The breakdown of the balances of these headings is as follows:
|
31-12-2019 |
31-12-2018 |
31-12-2017 |
|||
|---|---|---|---|---|---|---|
|
Assets |
Liabilities |
Assets |
Liabilities |
Assets |
Liabilities |
Interest rates |
2,070 |
351 |
1,752 |
363 |
2,201 |
302 |
Equity instruments |
58 |
|
|
|
108 |
|
Currencies and gold |
(6) |
2 |
(4) |
2 |
(1) |
2 |
Other |
|
40 |
95 |
88 |
93 |
97 |
Total fair value hedges |
2,122 |
393 |
1,843 |
453 |
2,401 |
401 |
Interest rates |
11 |
|
3 |
|
15 |
14 |
Equity instruments |
|
|
63 |
|
19 |
|
Currencies and gold |
|
|
0 |
0 |
0 |
0 |
Other |
|
122 |
147 |
340 |
162 |
378 |
Total cash flow hedges |
11 |
122 |
213 |
340 |
196 |
392 |
Total |
2,133 |
515 |
2,056 |
793 |
2,597 |
793 |
Memorandum items |
|
|
|
|
|
|
Of which: OTC - credit institutions |
499 |
254 |
897 |
560 |
1,223 |
721 |
Of which: OTC - other financial corporations |
1,634 |
261 |
1,157 |
233 |
1,369 |
67 |
Of which: OTC - other |
|
|
2 |
|
5 |
5 |
The details of the schedule of the nominal amount of interest rate hedging items and their average interest rate is as follows:
|
Hedged item value |
|
|||||
|---|---|---|---|---|---|---|---|
|
<1 Month |
1-3 Months |
3-12 Months |
1-5 Years |
5 Years |
Total |
Average interest rate |
Asset interest-rate hedges |
215 |
466 |
140 |
2,909 |
12,185 |
15,915 |
(0.25%) |
Liability interest-rate hedges |
282 |
637 |
2,130 |
18,471 |
11,412 |
32,932 |
1.74% |
Total fair value hedges |
497 |
1,103 |
2,270 |
21,380 |
23,597 |
48,847 |
1.29% |
Asset interest-rate hedges |
|
32 |
|
1,679 |
3,399 |
5,110 |
0.99% |
Total cash flow hedges |
0 |
32 |
0 |
1,679 |
3,399 |
5,110 |
0.99% |
|
|
|
|
31-12-2019 |
2019 |
31-12-2018 |
31-12-2017 |
||||
|---|---|---|---|---|---|---|---|---|---|---|---|
|
|
|
|
Value of hedging instument |
Change in FV used to calculate the inefectiveness of the hedge (Note 32) |
Ineffectiveness recognised in profit or loss (Note 32) |
Value of hedging instument |
Value of hedging instument |
|||
|
Hedged item |
Hedged risk |
Hedging instrument used |
Assets |
Liabilities |
Assets |
Liabilities |
Assets |
Liabilities |
||
Macrohedges |
Issuances (*) |
Transformation from fixed to floating |
Interest-rate swaps and options |
1,863 |
22 |
212 |
(3) |
1,710 |
123 |
2,045 |
232 |
Fixed-rate loans |
Transformation from fixed to floating |
Interest-rate swaps and options |
182 |
286 |
133 |
1 |
18 |
193 |
69 |
36 |
|
Floating-rate loans |
Transformation from 12M Euribor floating rate to EONIA floating rate |
Interest-rate swaps |
|
|
(6) |
|
7 |
|
18 |
|
|
Deposits with agreed maturity |
Transformation from fixed to floating |
Interest-rate swaps and options |
19 |
5 |
9 |
3 |
13 |
16 |
10 |
35 |
|
Total |
|
|
2,064 |
313 |
348 |
1 |
1,748 |
332 |
2,142 |
303 |
|
Microhedges |
Public debt OCI portfolio |
Transformation from fixed to floating |
Interest-rate swaps |
|
6 |
(2) |
|
|
3 |
65 |
1 |
Public debt OCI portfolio |
Transformation of inflation-linked debt to fixed-rate to floating-rate |
Interest-rate swaps, inflation-linked swaps and inflation-linked options |
|
40 |
(21) |
|
88 |
108 |
87 |
97 |
|
Public debt OCI portfolio |
Transformation from fixed-rate debt in foreign currency to floating-rate debt in foreign currency |
Interest-rate swaps |
|
34 |
(24) |
|
|
10 |
|
|
|
Equity instruments portfolio changes in OCI ** |
Value of the instrument |
Equity Swap |
58 |
|
58 |
|
|
|
107 |
|
|
Other |
|
|
|
|
(9) |
(1) |
7 |
|
|
|
|
Total |
|
|
58 |
80 |
2 |
(1) |
95 |
121 |
259 |
98 |
|
FV: Fair value.
(*) In 2018, a subordinated bond issuance with a nominal amount of EUR 2,072 million was repaid early, for which a profit of EUR 110 million has been recorded, recognised under "Gains/(losses) on derecognition of financial assets and liabilities not measured at fair value through profit or loss, net" in the accompanying consolidated statement of profit or loss, deriving from the hedge operation associated with this issuance (Note 32).
(**) Corresponds to the hedge on 1% of Telefónica.
|
|
|
|
31-12-2019 |
2019 |
31-12-2018 |
31-12-2017 |
|||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
|
|
|
|
Hedged instrument |
Accumulated fair value adjustments in the hedged item |
Accumulated amount of FV hedging adjustments of hedged items ** |
Change in value used to calculate the inaffectiveness of the hedge (Note 32) |
Line on the balance sheet with the hedged item |
Hedged instrument |
Hedged instrument |
||||
|
Hedged item |
Hedged risk |
Hedging instrument used |
Assets |
Liabilities |
Assets |
Liabilities |
Assets |
Liabilities |
Assets |
Liabilities |
|||
Macrohedges |
Issuances |
Transformation from fixed to floating |
Interest-rate swaps and options |
|
27,726 |
|
1,470 |
89 |
(215) |
Financial liabilities at amortised cost |
|
22,179 |
|
24,846 |
Fixed-rate loans |
Transformation from fixed to floating |
Interest-rate swaps and options |
13,681 |
|
106 |
|
(781) |
(132) |
Financial assets at amortised cost |
12,211 |
0 |
10,837 |
|
|
Floating-rate loans |
Transformation from 12M Euribor floating rate to EONIA floating rate |
Interest-rate swaps |
660 |
|
|
|
|
6 |
Financial assets at amortised cost |
3,615 |
0 |
3,715 |
|
|
Deposits with agreed maturity |
Transformation from fixed to floating |
Interest-rate swaps and options |
|
5,206 |
|
4 |
|
(6) |
|
493 |
5,085 |
516 |
4,892 |
|
Total |
|
|
14,341 |
32,932 |
106 |
1,474 |
(692) |
(347) |
|
16,319 |
27,264 |
15,068 |
29,738 |
|
Microhedges |
Public debt OCI portfolio |
Transformation from fixed to floating |
Interest-rate swaps |
69 |
|
n/a |
n/a |
|
2 |
Financial assets at fair value * |
64 |
0 |
4,610 |
|
Public debt OCI portfolio |
Debt transformation from inflation-linked fixed to floating rate |
Interest-rate swaps, inflation-linked swaps and inflation-linked options |
468 |
|
n/a |
n/a |
|
21 |
Financial assets at fair value * |
434 |
0 |
425 |
|
|
Public debt OCI portfolio |
Transformation of fixed-rate debt in foreign currency to floating-rate in foreign currency |
Interest-rate swaps |
1,037 |
|
n/a |
n/a |
|
24 |
Financial assets at fair value * |
880 |
0 |
|
|
|
Equity instruments portfolio changes in OCI |
Value of the instrument |
Equity Swap |
323 |
|
n/a |
n/a |
|
(58) |
Financial assets at fair value * |
0 |
0 |
479 |
|
|
Other |
|
|
3 |
|
|
|
|
8 |
|
34 |
0 |
34 |
|
|
Total |
|
|
1,900 |
0 |
0 |
0 |
0 |
(3) |
|
1,412 |
0 |
5,548 |
0 |
|
(*) With changes in other comprehensive income.
(**) See Note 20.
|
|
|
|
31-12-2019 |
31-12-2018 |
31-12-2017 |
|||||
|---|---|---|---|---|---|---|---|---|---|---|---|
|
|
|
|
Value of hedging instrument |
Amount reclassifies from equity to profit or loss |
Ineffectiveness recognised in profit or loss |
Value of hedging instrument |
Value of hedging instrument |
|||
|
Hedged item |
Hedged risk |
Hedging instrument used |
Assets |
Liabilities |
Assets |
Liabilities |
Assets |
Liabilities |
||
Macrohedges |
Floating-rate loans |
Transformation from floating to fixed |
Interest-rate swaps |
|
|
3 |
|
3 |
|
15 |
|
Mortgage Euribor loans |
Mortgage Euribor transformation to fixed rate |
Interest-rate swaps |
11 |
|
11 |
|
|
|
|
14 |
|
Total |
|
|
11 |
|
14 |
|
3 |
|
15 |
14 |
|
Microhedges |
Inflation-linked public debt |
Transformation from inflation-linked floating to fixed rate |
Inflation-linked swaps and inflation-linked options |
|
122 |
4 |
|
145 |
340 |
161 |
378 |
Corporate bonds to floating |
Transformation from floating to fixed |
Interest rate swaps |
|
|
|
|
|
|
|
|
|
Currency-linked public debt |
Transformation from floating rate in foreign currency to floating rate in euros |
Currency swaps |
|
|
(1) |
|
|
|
|
|
|
Equity instruments portfolio associates * |
Value of the instrument |
Equity Swap |
|
|
49 |
|
63 |
|
|
|
|
Other |
|
|
|
|
|
|
2 |
|
20 |
|
|
Total |
|
|
|
122 |
52 |
|
210 |
340 |
181 |
378 |
|
(*) The hedge on 1.36% of the stake in Erste Bank has been cancelled in 2019, generating a profit of EUR 49 million, registered under the heading "Gains/(losses) from hedge accounting, net" of the statement of profit or loss.
|
|
|
|
31-12-2019 |
31-12-2018 |
31-12-2017 |
|||||
|---|---|---|---|---|---|---|---|---|---|---|---|
|
Hedged item |
Hedged risk |
Hedging intrument used |
Reserve of cash flow hedges |
Pending amount in reserve of cash flow hedges of hedging relationships for which recognising hedges no longer applies |
Line on the balance sheet including the hedged item |
Reserve of cash flow hedges |
Pending amount in reserve of cash flow hedges of hedging relationships for which recognising hedges no longer applies |
Reserve of cash flow hedges |
Pending amount in reserve of cash flow hedges of hedging relationships for which recognising hedges no longer applies |
|
Macrohedges |
Floating-rate loans |
Transformation from floating to fixed |
Interest-rate swaps |
|
|
Financial assets at amortised cost |
2 |
|
|
6 |
|
Mortgage Euribor loans |
Mortgage Euribor transformation to fixed rate |
Interest-rate swaps |
2 |
|
|
|
|
|
|
|
|
Fixed-rate term deposits |
Transformation from fixed to floating |
Interest-rate swaps |
|
25 |
Financial assets at amortised cost |
|
|
26 |
(14) |
46 |
|
Total |
|
|
2 |
25 |
0 |
2 |
|
26 |
(8) |
46 |
|
Microhedges |
Inflation-linked public debt |
Transformation from inflation-linked floating debt to fixed rate |
Inflation-linked swaps and inflation-linked options |
(75) |
|
Financial assets at fair value * |
(55) |
|
|
(56) |
|
Corporate bonds to floating |
Transformation from floating to fixed |
Interest-rate swaps |
0 |
|
Financial assets at fair value * |
|
|
|
|
|
|
Currency-linked public debt |
Transformation from floating rate in foreign currency to floating rate in euros |
Currency swaps |
|
|
Financial assets at fair value * |
|
|
|
|
|
|
Equity instruments of investments in associates |
Value of the instrument |
Equity Swap |
|
|
Investments in joint ventures and associates |
61 |
|
|
|
|
|
Other |
|
|
|
|
|
2 |
|
(4) |
41 |
(1) |
|
Total |
|
|
(75) |
0 |
8 |
|
(4) |
(15) |
(1) |
||
(*) With changes in other comprehensive income.
