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Note 8 (Tables)
 12 Months Ended
Dec. 31, 2022
Fair value of financial instruments [Abstract]  
Fair value and carrying amount of the financial instruments [Table Text Block]
The fair value of the Group’s financial instruments in the consolidated balance sheets and its corresponding carrying amounts, as of December 31, 2022, 2021 and 2020 are presented below:
Fair value and carrying amount of the financial instruments (Millions of Euros)
202220212020
NotesCarrying
Amount
Fair
Value
Carrying
Amount
Fair
Value
Carrying AmountFair Value
ASSETS
Cash, cash balances at central banks and other demand deposits979,75679,75667,79967,79965,52065,520
Financial assets held for trading10110,671110,671123,493123,493105,878105,878
Non-trading financial assets mandatorily at fair value through profit or loss116,8886,8886,0866,0865,1985,198
Financial assets designated at fair value through profit or loss129139131,0921,0921,1171,117
Financial assets at fair value through other comprehensive income1358,98058,98060,42160,42169,44069,440
Financial assets at amortized cost14422,061419,060372,676377,451367,668374,267
Derivatives – Hedge accounting151,8911,8911,8051,8051,9911,991
LIABILITIES
Financial liabilities held for trading 1095,61195,61191,13591,13584,10984,109
Financial liabilities designated at fair value through profit or loss 1210,58010,5809,6839,68310,05010,050
Financial liabilities at amortized cost 22528,629525,052487,893488,733490,606491,006
Derivatives – Hedge accounting153,3033,3032,6262,6262,3182,318
Fair value of financial instruments by levels [Table Text Block] The following table shows the financial instruments carried at fair value in the consolidated balance sheets, broken down by level used to determine their fair value as of December 31, 2022, 2021 and 2020:
Fair Value of Financial Instruments by Levels (Millions of Euros)
202220212020
Level 1Level 2Level 3Level 1Level 2Level 3Level 1Level 2Level 3
ASSETS
Financial assets held for trading22,71085,6362,32532,37187,7363,38632,55571,9381,386
Equity instruments 4,369—3415,925—3711,3673160
Debt securities 16,2847,93414811,87713,72518912,79011,12357
Loans and advances1,26239,5621,16961547,2792,9132,37926,7411,148
Derivatives79538,1409743,95426,7322476,01934,043121
Non-trading financial assets mandatorily at fair value through profit or loss5,7201511,0174,3785221,1863,826381992
Equity instruments5,457401,0144,1583947513,61257465
Debt securities 19111——128—432428
Loans and advances245—3220—435210—499
Financial assets designated at fair value through profit or loss913——916176—939178—
Equity instruments—————————
Debt securities 913——916176—939178—
Loans and advances—————————
Financial assets at fair value through other comprehensive income48,23510,23750852,1577,54571960,9767,866598
Equity instruments1,040581001,1783610696134105
Debt securities 47,16910,17940850,9527,50961359,9827,832493
Loans and advances26——27——33——
Derivatives – Hedge accounting41,887—631,73391201,8628
LIABILITIES
Financial liabilities held for trading 20,61173,8711,12926,21564,30561527,58756,127395
Trading derivatives74636,1611,0024,75526,5603897,40234,046232
Short positions13,354133—15,12411—11,8055043
Deposits6,51137,5771276,33537,7332268,38121,577159
Financial liabilities designated at fair value through profit or loss—8,9901,59018,2431,439—8,5581,492
Customer deposits—700——809——902—
Debt certificates—1,6981,59011,9561,439—3,0381,492
Other financial liabilities—6,592——5,479——4,617—
Derivatives – Hedge accounting1003,17925532,573—532,25015
Fair value of financial assets by levels, valuation techniques and inputs [Table Text Block]
Fair value of Financial Instruments by levels. (Millions of Euros)
202220212020Valuation techniquesObservable inputsUnobservable inputs
Level 2Level 3Level 2Level 3Level 2Level 3
ASSETS
Financial assets held for trading85,6362,32587,7363,38671,9381,386
Equity instruments —34—373160Comparable pricing (Observable price in a similar market)
Net asset value		- Brokers quotes
- Market operations
- NAVs published		-NAV provided by the administrator of the fund
Debt securities 7,93414813,72518911,12357Present-value method
(Discounted future cash flows)
Observed prices in non-active markets		- Issuer´s credit risk
- Current market interest rates
- Non active markets prices		- Prepayment rates
- Issuer´s credit risk
- Recovery rates
Loans and advances39,5621,16947,2792,91326,7411,148Present-value method
(Discounted future cash flows)		- Issuer´s credit risk
- Current market interest rates
- Funding interest rates observed in the market or in consensus services
- Exchange rates		- Prepayment rates
- Issuer´s credit risk
- Recovery rates
- Funding interest rates not observed in the market or in consensus services
Derivatives38,14097426,73224734,043121
Interest rateInterest rate products (Interest rate Swaps, Call money Swaps and FRA): Discounted cash flows
Caps/Floors: Black 76, Hull-White and SABR
Bond options: Black 76
Swaptions: Black, Hull-White and LGM
Other Interest rate Options: Black 76, Hull-White and LGM
Constant Maturity Swaps: SABR		- Exchange rates
- Market quoted future prices
- Market interest rates
- Underlying assets prices: shares, funds, commodities
- Market observable volatilities
- Issuer credit spread levels
- Quoted dividends
- Market listed correlations		- Beta
- Implicit correlations between tenors
- interest rates volatility
EquityFuture and Equity Forward: Discounted future cash flows
Equity Options: Local Volatility, Momentum adjustment and Heston		- Volatility of volatility
- Implicit assets correlations
- Long term implicit correlations
- Implicit dividends and long term repos
Foreign exchange and goldFuture and Equity Forward: Discounted future cash flows
Foreign exchange Options: Local volatility, momentum adjustment		- Volatility of volatility
- Implicit assets correlations
- Long term implicit correlations
CreditCredit Derivatives: Default model and Gaussian copula- Correlation default
- Credit spread
- Recovery rates
- Interest rate yield
- Default volatility
CommoditiesCommodities: Momentum adjustment and discounted cash flows
Non-trading financial assets mandatorily at fair value through profit or loss1511,0175221,186381992
Equity instruments401,01439475157465Comparable pricing (Observable price in a similar market)
Net asset value		- Brokers quotes
- Market operations
- NAVs published		- NAV provided by the administrator of the fund
Debt securities111—128—32428Present-value method
(Discounted future cash flows)		- Issuer credit risk
- Current market interest rates		- Prepayment rates
- Issuer credit risk
- Recovery rates
Loans and advances—3—435—499Specific liquidation criteria regarding losses of the EPA proceedings
PD and LGD of the internal models, valuations and specific criteria of the EPA proceedings
Discounted future cash flows		- Prepayment rates
- Business plan of the underlying asset, WACC, macro scenario
- Property valuation
Financial assets designated at fair value through profit or loss——176—178—Present-value method
(Discounted future cash flows)		- Issuer credit risk
- Current market interest rates
Debt securities——176—178—
Financial assets at fair value through other comprehensive income10,2375087,5457197,866598
Equity instruments581003610634105Comparable pricing (Observable price in a similar market)
Net asset value		- Brokers quotes
- Market operations
- NAVs published		- NAV provided by the administrator of the fund
Debt securities10,1794087,5096137,832493Present-value method
(Discounted future cash flows)
Observed prices in non-active markets		- Issuer´s credit risk
- Current market interest rates
- Non active market prices		- Prepayment rates
- Issuer credit risk
- Recovery rates
Hedging derivatives1,887—1,73391,8628
Interest rateInterest rate products (Interest rate Swaps, Call money Swaps and FRA): Discounted cash flows
Caps/Floors: Black, Hull-White and SABR
Bond options: Black 76
Swaptions: Black 76, Hull-White and LGM
Other Interest rate Options: Black 76, Hull-White and LGM
Constant maturity Swaps: SABR		- Exchange rates
- Market quoted future prices
- Market interest rates
- Underlying assets prices: shares, funds, commodities
- Market observable volatilities
- Issuer credit spread levels
- Quoted dividends
- Market listed correlations		- Beta
- Implicit correlations between tenors
- interest rates volatility
EquityFuture and Equity Forward: Discounted future cash flows
Equity Options: Local volatility, Black 76, Momentum adjustment and Heston		- Volatility of volatility
- Implicit assets correlations
- Long term implicit correlations
- Implicit dividends and long term repos
Foreign exchange and goldFuture and Equity Forward: Discounted future cash flows
Foreign exchange Options: Local volatility, momentum adjustment		- Volatility of volatility
- Implicit assets correlations
- Long term implicit correlations
CreditCredit Derivatives: Default model and Gaussian copula- Correlation default
- Credit spread
- Recovery rates
- Interest rate yield
- Default volatility
CommoditiesCommodities: Momentum adjustment and Discounted cash flows
Fair value of financial liabilities by levels, valuation techniques and inputs [Table Text Block]
Fair Value of Financial Instruments by Levels.(Millions of Euros)
202220212020
Level 2Level 3Level 2Level 3Level 2Level 3Valuation techniquesObservable inputsUnobservable inputs
LIABILITIES
Financial liabilities held for trading 73,8711,12964,30561556,127395
Deposits37,57712737,73322621,577159Present-value method
(Discounted future cash flows)		- Interest rate yield
- Funding interest rates observed in the market or in consensus services
- Exchange rates		- Funding interest rates not observed in the market or in consensus services
Derivatives36,1611,00226,56038934,046232
Interest rateInterest rate products (Interest rate Swaps, call money Swaps and FRA): Discounted cash flows
Caps/Floors: Black 76, Hull-White and SABR
Bond options: Black 76
Swaptions: Black 76, Hull-White and LGM
Other Interest rate Options: Black 76, Hull-White, SABR and LGM
Constant Maturity Swaps: SABR		- Exchange rates
- Market quoted future prices
- Market interest rates
- Underlying assets prices: shares, funds, commodities
- Market observable volatilities
- Issuer credit spread levels
- Quoted dividends
- Market listed correlations		- Beta
- Correlation between tenors
- Interest rates volatility
EquityFuture and Equity forward: Discounted future cash flows
Equity Options: Local volatility, momentum adjustment and Heston		- Volatility of volatility
- Assets correlation
Foreign exchange and goldFuture and Equity Forward: Discounted future cash flows
Foreign exchange Options: Black 76, Local volatility, momentum adjustment		- Volatility of volatility
- Assets correlation
CreditCredit Derivatives: Default model and Gaussian copula- Correlation default
- Credit spread
- Recovery rates
- Interest rate yield
- Default volatility
CommoditiesCommodities: Momentum adjustment and discounted cash flows
Short positions 133—11—5043Present-value method
(Discounted future cash flows)		- Prepayment rates
- Issuer´s credit risk
- Current market interest rates
Financial liabilities designated at fair value through profit or loss8,9901,5908,2431,4398,5581,492Present-value method
(Discounted future cash flows)		- Prepayment rates
- Issuer´s credit risk
- Current market interest rates
- Prepayment rates
- Issuer´s credit risk
- Current market interest rates
Derivatives – Hedge accounting3,179252,573—2,25015
Interest rateInterest rate products (Interest rate Swaps, Call money Swaps and FRA): Discounted cash flows
Caps/Floors: Black 76, Hull-White and SABR
Bond options: Black 76
Swaptions: Black, Hull-White and LGM
Other Interest rate Options: Black 76, Hull-White, SABR and LGM
Constant Maturity Swaps: SABR		- Exchange rates
- Market quoted future prices
- Market interest rates
- Underlying assets prices: shares, funds, commodities
- Market observable volatilities
- Issuer credit spread levels
- Quoted dividends
- Market listed correlations		- Beta
- Implicit correlations between tenors
- interest rates volatility
EquityFuture and Equity Forward: Discounted future cash flows
Equity Options: Local volatility, momentum adjustment and Heston		- Volatility of volatility
- Implicit assets correlations
- Long term implicit correlations
- Implicit dividends and long term repos
Foreign exchange and goldFuture and Equity Forward: Discounted future cash flows
Foreign exchange Options: Black 76, Local Volatility, momentum adjustment		- Volatility of volatility
- Implicit assets correlations
- Long term implicit correlations
CreditCredit Derivatives: Default model and Gaussian copula- Correlation default
- Credit spread
- Recovery rates
- Interest rate yield
- Default volatility
CommoditiesCommodities: Momentum adjustment and discounted cash flows
Unobservable inputs [Table Text Block] Quantitative information of unobservable inputs used to calculate level 3 valuations is presented below as of December 31, 2022, 2021 and 2020.
Unobservable inputs. December 2022
Financial instrumentValuation technique(s)Significant unobservable inputsMinAverageMaxUnits
Debt SecuritiesPresent value methodCredit spread—1111,538bp
Recovery rate0 %39 %40 %%
Comparable Pricing2 %94 %139 %%
Equity/Fund instruments (1)
Net Asset Value
Comparable Pricing
Loans and advancesPresent value methodRepo funding curve0.71 %3.48 %5.52 %Abs Repo rate
Credit DerivativesGaussian CopulaCorrelation default26 %44 %58 %%
Black 76Price volatility———Vegas
Equity DerivativesOption models on equities, baskets of equity, funds
Dividends (2)
Correlations(93 %)59 %99 %%
Volatility7.8132.6298.71Vegas
FX DerivativesOption models on FX underlyingsVolatility5.3211.9320.73Vegas
IR DerivativesOption models on IR underlyingsBeta0.25 %2 %18 %%
Correlation rate/credit(100 %)100 %%
Correlation rate/inflation51 %66 %76 %%
(1) Due to the diversity of valuation models of equity valuations, we would not include all the unobservable inputs or the quantitative ranges of them.
(2) The range of unobservable dividends is too wide range to be relevant.
Unobservable inputs. December 2021
Financial instrumentValuation technique(s)Significant unobservable inputsMinAverageMaxUnits
Debt SecuritiesPresent value methodCredit spread31252,374bp
Recovery rate0 %37 %40 %%
Comparable Pricing0.1 %97 %144 %%
Equity/Fund instruments (1)
Net Asset Value
Comparable Pricing
Loans and advancesPresent value methodRepo funding curve(2.71 %)1.16 %4.99 %Abs Repo rate
Credit DerivativesGaussian CopulaCorrelation default35 %43 %53 %%
Black 76Price volatility———Vegas
Equity DerivativesOption models on equities, baskets of equity, funds
Dividends (2)
Correlations(88 %)60 %99 %%
Volatility5.5726.3062.00Vegas
FX DerivativesOption models on FX underlyingsVolatility3.969.7116.34Vegas
IR DerivativesOption models on IR underlyingsBeta0.25 %2 %18 %%
Correlation rate/credit(100 %)100 %%
Credit default volatility———Vegas
(1) Due to the diversity of valuation models of equity valuations, we would not include all the unobservable inputs or the quantitative ranges of them.
(2) The range of unobservable dividends is too wide range to be relevant.
Unobservable inputs. December 2020
Financial instrumentValuation technique(s)Significant unobservable inputsMinAverageMaxUnits
Debt securitiesPresent value methodCredit spread447564bp
Recovery rate0 %37 %40 %%
Comparable pricing0.1 %100 %144 %%
Equity/Fund instruments (1)
Net asset value
Comparable pricing
Loans and advancesPresent value methodRepo funding curve(1.18 %)(0.25 %)0.74 %Abs Repo rate
Credit derivativesGaussian CopulaCorrelation default30 %45 %61 %%
Black 76Price volatility———Vegas
Equity OTC optionOption models on equities, baskets of equity, funds
Dividends (2)
Correlations(77 %)51 %98 %%
Volatility6.5229.90141.77Vegas
FX derivativesOption models on FX underlyingsVolatility4.1110.0016.14Vegas
IR derivativesOption models on IR underlyingsBeta0.25 %2 %18 %%
Correlation rate/Credit(100 %)100 %%
Credit default Volatility———Vegas
(1) Due to the diversity of valuation models of equity valuations, we would not include all the unobservable inputs or the quantitative ranges of them.
(2) The range of unobservable dividends is too wide range to be relevant.
Financial assets level 3 Changes in the year [Table Text Block]
The changes in the balance of level 3 financial assets and liabilities included in the consolidated balance sheets are as follows:
Financial assets level 3: Changes in the year (Millions of Euros)
202220212020
AssetsLiabilitiesAssetsLiabilitiesAssetsLiabilities
Balance at the beginning5,3012,0542,9841,9023,3162,103
Changes in fair value recognized in profit and loss (1)
289(131)338143611296
Changes in fair value not recognized in profit and loss(62)14(47)(10)(89)(4)
Acquisitions, disposals and liquidations (2)
(864)7822,531156(725)(652)
Net transfers to level 3(750)74(436)(80)549199
Exchange differences and others(64)(50)(69)(56)(160)(35)
 Discontinued operations (3)
————(518)(5)
Balance at the end3,8502,7435,3012,0542,9841,902
(1) Profit or loss that is attributable to gains or losses relating to those financial assets and liabilities held as of December 31, 2022, 2021 and 2020. Valuation adjustments are recorded under the heading “Gains (losses) on financial assets and liabilities (net)”.
(2) Of which, in 2021, the assets roll forward is comprised of €2,742 million of acquisitions and €211 million of disposals. The liabilities roll forward is comprised of €213 million of acquisitions and €57 million of sales.
(3)The balance of 2020 corresponds mainly to the companies in the United States included in the USA Sale (see Notes 3 and 21).
Transfer between levels [Table Text Block]
The financial instruments transferred among the different levels of measurement for the years ended December 31, 2022, 2021 and 2020 are at the following amounts in the consolidated balance sheets as of December 31, 2022, 2021 and 2020:
Transfers among levels. December 2022 (Millions of Euros)
From:Level 1Level 2Level 3
To:Level 2Level 3Level 1 Level 3Level 1Level 2
ASSETS
Financial assets held for trading68311,90934024911
Non-trading financial assets mandatorily at fair value through profit or loss——243—532
Financial assets designated at fair value through profit or loss——123———
Financial assets at fair value through other comprehensive income1,723—715—1883
Derivatives – Hedge accounting——————
Total2,40712,99034095996
LIABILITIES
Financial liabilities held for trading524—239141—258
Financial liabilities designated at fair value through profit or loss———221—55
Derivatives – Hedge accounting———25——
Total524—239387—313
Transfer among levels (Millions of Euros)
20212020
From:Level 1Level 2Level 3Level 1Level 2Level 3
To:Level 2Level 3Level 1 Level 3Level 1Level 2Level 2Level 3Level 1 Level 3Level 1Level 2
ASSETS
Financial assets held for trading924235184106371,46011203548498
Non-trading financial assets mandatorily at fair value through profit or loss8———14239114——17
Financial assets designated at fair value through profit or loss——————143—————
Financial assets at fair value through other comprehensive income5961750650—6484—13596—6
Derivatives – Hedge accounting—————————8——
Total1,52819542234246652,096223426524121
LIABILITIES
Financial liabilities held for trading562—2457159583—180—13
Financial liabilities designated at fair value through profit or loss———38—65———56—27
Derivatives – Hedge accounting————————————
Total562—24951516083—236—40
Financial instruments level 3 sensitivity analysis [Table Text Block]
As of December 31, 2022, the effect on profit for the year and total equity of changing the main unobservable inputs used for the measurement of level 3 financial instruments for other reasonably possible unobservable inputs, taking the highest (most favorable input) or lowest (least favorable input) value of the range deemed probable, would be as follows:
Financial instruments level 3: sensitivity analysis (Millions of Euros)
Potential impact on consolidated
 income statement 		Potential impact on
other comprehensive income
Most favorable hypothesisLeast favorable hypothesisMost favorable hypothesisLeast favorable hypothesis
20222021202220212022202120222021
ASSETS
Financial assets held for trading3333(33)(57)————
Loans and advances14(1)(4)————
Debt securities—24—(24)————
Equity instruments251(25)(25)————
Derivatives65(6)(5)————
Non-trading financial assets mandatorily at fair value through profit or loss13535(136)(36)————
Loans and advances—16—(5)————
Debt securities1710(19)(10)————
Equity instruments1189(118)(21)————
Financial assets designated at fair value through profit or loss————————
Financial assets at fair value through other comprehensive income————2541(25)(43)
Total16868(169)(93)2541(25)(43)
LIABILITIES
Financial liabilities held for trading73(7)(3)————
Total73(7)(3)————
Fair value of financial instruments at amortized cost by levels [Table Text Block]
The following table presents the fair value of key financial instruments carried at amortized cost in the consolidated balance sheets as of December 31, 2022, 2021 and 2020, broken down according to the method of valuation used for the estimation:
Fair value of financial instruments at amortized cost by Levels (Millions of Euros)
202220212020
Level 1Level 2Level 3Level 1Level 2Level 3Level 1Level 2Level 3
ASSETS
Cash, cash balances at central banks and other demand deposits79,463—29367,581—21865,355—165
Financial assets at amortized cost34,55513,393371,11233,21313,033331,20535,19615,066324,005
LIABILITIES
Financial liabilities at amortized cost 77,112266,194181,74691,870243,847153,01690,839255,278144,889
Fair value of financial instruments at amortized cost by valuation technique [Table Text Block]
The main valuation techniques and inputs used to estimate the fair value of financial instruments accounted for at amortized cost and classified in levels 2 and 3 is shown below. These are broken down by type of financial instrument and the balances correspond to those as of December 31, 2022, 2021 and 2020:
Fair Value of financial Instruments at amortized cost by valuation technique (Millions of Euros)
202220212020Valuation technique(s)Main inputs used
Level 2Level 3Level 2Level 3Level 2Level 3
ASSETS
Financial assets at amortized cost13,393371,11213,033331,20515,066324,005Present-value method
(Discounted future cash flows)
Loans and advances to central banks—142————- Credit spread
- Prepayment rates
- Interest rate yield
Loans and advances to credit institutions1,28914,71186312,3291,88312,641- Credit spread
- Prepayment rates
- Interest rate yield
Loans and advances to customers1,571355,2473,416318,0593,904310,924- Credit spread
- Prepayment rates
- Interest rate yield
Debt securities10,5331,0128,7558179,279440- Credit spread
- Interest rate yield
LIABILITIES
Financial liabilities at amortized cost 266,194181,746243,847153,016255,278144,889
Deposits from central banks—300—300—207Present-value method
(Discounted future cash flows)		- Issuer´s credit risk
- Prepayment rates
- Interest rate yield
Deposits from credit institutions20,5466,23114,8534,91622,9144,633
Deposits from customers230,821160,278209,345137,803210,097129,525
Debt certificates7,2408,36810,0144,39114,4134,848
Other financial liabilities7,5876,5689,6365,6067,8545,676