XML 43 R24.htm IDEA: XBRL DOCUMENT
v3.24.0.1

Note 15 | 12 Months Ended
--- | ---
Dec. 31, 2023
Hedging derivatives and fair value changes of the hedged items in portfolio hedge of interest rate risk [Abstract] |
Disclosure of Hedging derivatives and fair value changes of the hedged items in portfolio hedge of interest rate risk [Text Block] | Hedging derivatives and fair value changes of the hedged items in portfolio hedges of interest rate risk The balance of these headings in the consolidated balance sheets is as follows:
Derivatives – Hedge accounting and fair value changes of the hedged items in portfolio hedge of interest rate risk (Millions of Euros)
| 2023 | 2022 | 2021
ASSETS |  |  |
Derivatives - Hedge accounting | 1,482 | 1,891 | 1,805
Fair value changes of the hedged items in portfolio hedges of interest rate risk | (97) | (148) | 5
LIABILITIES |  |  |
Derivatives - Hedge accounting | 2,625 | 3,303 | 2,626
Fair value changes of the hedged items in portfolio hedges of interest rate risk | — | — | —
As of December 31, 2023, 2022 and 2021, the main positions hedged by the Group and the derivatives designated to hedge those positions were: –Fair value hedging: a.Fixed-interest debt securities at fair value through other comprehensive income and at amortized cost: The interest rate risk of these securities is hedged using interest rate derivatives (fixed-variable swaps) and forward sales. b.Long-term fixed-interest debt securities issued by the Bank: the interest rate risk of these securities is hedged using interest rate derivatives (fixed-variable swaps). c.Fixed-interest loans: The equity price risk of these instruments is hedged using interest rate derivatives (fixed-variable swaps). d.Fixed-interest and/or embedded derivative deposit portfolio hedges: it covers the interest rate risk through fixed-variable swaps. The valuation of the borrowed deposits corresponding to the interest rate risk is in the heading "Fair value changes of the hedged items in portfolio hedges of interest rate risk”. –Cash-flow hedges: Most of the hedged items are floating interest-rate loans and asset hedges linked to the inflation of the amortized cost portfolio and the financial assets at fair value through other comprehensive income portfolio. This risk is hedged using foreign-exchange, interest-rate swaps, inflation and FRA (Forward Rate Agreement). –Net foreign-currency investment hedges: These hedged risks are foreign-currency investments in the Group’s foreign subsidiaries. This risk is hedged mainly with foreign-exchange options and forward currency sales and purchases (see Note 30). Note 7 analyzes the Group’s main risks that are hedged using these financial instruments. The details of the net positions by hedged risk of the fair value of the hedging derivatives recognized in the consolidated balance sheets are as follows:
Derivatives - Hedge accounting. Breakdown by type of risk and type of hedge (Millions of Euros)
| Notes | 2023 | 2022 | 2021
|  | Assets | Liabilities | Assets | Liabilities | Assets | Liabilities
Interest rate |  | 422 | 364 | 656 | 376 | 697 | 322
OTC |  | 422 | 364 | 656 | 376 | 697 | 322
Organized market |  | — | — | — | — | — | —
Equity |  | — | — | — | — | — | —
OTC |  | — | — | — | — | — | —
Organized market |  | — | — | — | — | — | —
Foreign exchange and gold |  | 221 | 31 | 259 | 83 | 463 | 135
OTC |  | 221 | 31 | 259 | 83 | 463 | 135
Organized market |  | — | — | — | — | — | —
Credit |  | — | — | — | — | — | —
Commodities |  | — | — | — | — | — | —
Other |  | — | — |  |  | — | —
FAIR VALUE HEDGES |  | 644 | 395 | 915 | 459 | 1,160 | 457
Interest rate |  | 490 | 2,048 | 470 | 2,763 | 228 | 1,786
OTC |  | 483 | 2,048 | 454 | 2,763 | 226 | 1,786
Organized market |  | 7 | — | 16 |  | 2 | —
Equity |  | — | — | — | — | — | —
Foreign exchange and gold |  | 291 | 41 | 239 | 46 | 180 | 79
OTC |  | 291 | 41 | 239 | 45 | 180 | 79
Organized market |  | — | 1 | — | 1 | — | —
Credit |  | — | — | — | — | — | —
Commodities |  | — | — | — | — | — | —
Other |  | — | — | — | — | — | —
CASH FLOW HEDGES |  | 781 | 2,089 | 708 | 2,809 | 408 | 1,865
HEDGE OF NET INVESTMENTS IN A FOREIGN OPERATION |  | 27 | 136 | 213 | 26 | 198 | 196
PORTFOLIO FAIR VALUE HEDGES OF INTEREST RATE RISK |  | 3 | 5 | 7 | 8 | 18 | 95
PORTFOLIO CASH FLOW HEDGES OF INTEREST RATE RISK |  | 27 | — | 48 | 1 | 21 | 13
DERIVATIVES-HEDGE ACCOUNTING | 8.1 | 1,482 | 2,625 | 1,891 | 3,303 | 1,805 | 2,626
of which: OTC - credit institutions |  | 1,237 | 2,404 | 1,577 | 2,911 | 1,454 | 2,248
of which: OTC - other financial corporations |  | 237 | 221 | 297 | 391 | 349 | 378
Below there is a breakdown of the items covered by fair value hedges:
Hedged items in fair value hedges (Millions of Euros)
| Carrying amount | Hedge adjustments included in the carrying amount of assets/liabilities ⁽¹⁾ | Remaining adjustments for discontinued micro hedges including hedges of net positions ⁽¹⁾ | Hedged items in portfolio hedge of interest rate risk | Recognized ineffectiveness in profit or loss
| 2023 | 2022 | 2023 | 2022 | 2023 | 2022 | 2023 | 2022 | 2023 | 2022
ASSETS |  |  |  |  |  |  |  |  |  |
Financial assets measured at fair value through other comprehensive income | 11,308 | 13,667 | (652) | (1,024) | 172 | 2 | — | — | (5) | (45)
Debt securities | 11,308 | 13,667 | (652) | (1,024) | 172 | 2 | — | — |  |
Interest rate | 11,308 | 13,601 | (652) | (1,024) | 172 | 2 | — | — |  |
Foreign exchange and gold | — | — | — | — | — | — | — | — |  |
Other | — | 66 | — | — | — | — | — | — |  |
Loans and advances | — | — | — | — | — | — | — | — |  |
Interest rate | — | — | — | — | — | — | — | — |  |
Foreign exchange and gold | — | — | — | — | — | — | — | — |  |
Other | — | — | — | — | — | — | — | — |  |
Financial assets measured at amortized cost | 3,248 | 4,838 | (114) | (485) | 685 | 13 | 936 | 1,179 | 14 | —
Debt securities | 2,304 | 4,164 | (119) | (397) | 685 | 13 | — | — |  |
Interest rate | 2,304 | 4,164 | (119) | (397) | 685 | 13 | — | — |  |
Foreign exchange and gold | — | — | — | — | — | — | — | — |  |
Loans and advances | 944 | 675 | 5 | (88) | — | — | 936 | 1,179 |  |
Interest rate | 944 | 672 | 5 | (88) | — | — | 936 | 1,179 |  |
Foreign exchange and gold | — | 3 | — | — | — | — |  |  |  |
LIABILITIES |  |  |  |  |  |  |  |  |  |
Financial liabilities measured at amortized costs | 47,180 | 34,898 | 509 | 1,299 | — | — | — | — | (20) | (5)
Debt securities issued | 37,916 | 33,447 | 600 | 1,372 | — | — | — | — |  |
Interest rate | 37,915 | 33,447 | 600 | 1,372 | — | — | — | — |  |
Foreign exchange and gold | 1 | — | — | — | — | — | — | — |  |
Deposits | 9,263 | 1,451 | (91) | (73) | — | — | — | — |  |
Interest rate | 9,258 | 1,446 | (91) | (73) | — | — | — | — |  |
Foreign exchange and gold | 5 | 5 | — | — | — | — | — | — |  |
(1) The balance of discontinued hedges is not significant. The following is the breakdown, by their notional maturities, of the hedging instruments as of December 31, 2023:
Calendar of the notional maturities of the hedging instruments (Millions of Euros)
| Up to 3 months | From 3 months to 1 year | From 1 to 5 years | More than 5 years | Total
FAIR VALUE HEDGES | 6,235 | 15,249 | 28,110 | 13,953 | 63,547
Of which: Interest rate | 5,627 | 15,230 | 27,360 | 13,091 | 61,308
CASH FLOW HEDGES | 7,819 | 9,691 | 14,635 | 4,963 | 37,107
Of which: Interest rate | 7,819 | 9,683 | 13,232 | 2,843 | 33,577
HEDGE OF NET INVESTMENTS IN A FOREIGN OPERATION | 11,391 | 1,343 | — | — | 12,735
PORTFOLIO FAIR VALUE HEDGES OF INTEREST RATE RISK | 250 | 597 | 1,828 | 747 | 3,423
PORTFOLIO CASH FLOW HEDGES OF INTEREST RATE RISK | — | — | 311 | 46 | 358
DERIVATIVES-HEDGE ACCOUNTING | 25,695 | 26,881 | 44,884 | 19,709 | 117,169
In 2023, 2022 and 2021, there was no reclassification in the consolidated income statements of any amount corresponding to cash flow hedges that was previously recognized in equity (see Note 41). The amount for derivatives designated as accounting hedges that did not pass the effectiveness test in the years ended December 31, 2023, 2022 and 2021 were not material.

X
- Definition Disclosure of Hedging derivatives and fair value changes of the hedged items in portfolio hedge of interest rate risk + References No definition available. + Details
Name: | bbva_DisclosureOfHedgingDerivativesAndFairValueChangesOfTheHedgedItemsInPortfolioHedgeOfInterestRateRiskTextBlock
Namespace Prefix: | bbva_
Data Type: | dtr-types1:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- Definition Hedging derivatives and fair value changes of the hedged items in portfolio hedge of interest rate risk [Abstract] + References No definition available. + Details
Name: | bbva_HedgingDerivativesAndFairValueChangesOfTheHedgedItemsInPortfolioHedgeOfInterestRateRiskAbstract
Namespace Prefix: | bbva_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration