15

Derivatives - Hedge accounting (assets and liabilities)

The breakdown of the balances of these headings is as follows:

Breakdown of hedging derivatives (product and counterparty) (Millions of euros)

  31/12/2020 31/12/2019 31/12/2018
ASSETS LIABILITIES ASSETS LIABILITIES ASSETS LIABILITIES
Interest rates 312 121 2,070 351 1,752 363
Equity instruments 58
Currencies and gold 11 (6) 2 (4) 2
Other 1 40 95 88
TOTAL FAIR VALUE HEDGES 313 132 2,122 393 1,843 453
Interest rates 1 11 3
Equity instruments 63
Currencies and gold 159 4
Other 43 100 122 147 340
TOTAL CASH FLOW HEDGES 202 105 11 122 213 340
TOTAL 515 237 2,133 515 2,056 793
               
Memorandum items
Of which: OTC - credit institutions 515 237 499 254 897 560
Of which: OTC - other financial corporations 1,634 261 1,157 233
Of which: OTC - other 2

The detail of the schedule of the nominal amount of interest rate hedging items and their average interest rate are as follows:

Maturity schedule of hedging items and average interest rate (Millions of euros)

  HEDGED ITEM VALUE AVERAGE INTEREST RATE
1 MONTH 1-3 MONTHS 3-12 MONTHS 1-5 YEARS >5 YEARS TOTAL
Asset interest-rate hedges 20 8 112 2,162 11,047 13,349 (0.49%)
Liability interest-rate hedges 2,071 1,020 1,808 22,874 7,787 35,560 1.32%
TOTAL FAIR VALUE HEDGES 2,091 1,028 1,920 25,036 18,834 48,909
Asset interest-rate hedges 41 1,609 1,371 2,900 3,073 8,994 (0.34%)
TOTAL CASH FLOW HEDGES 41 1,609 1,371 2,900 3,073 8,994 (0.34%)

Hedging items - Fair value hedges (Millones de euros)

HEDGING INSTRUMENT USED 31/12/2020 2020 31/12/2019 31/12/2018
VALUE OF HEDGING INSTRUMENT CHANGE IN FV USED TO CALCULATE THE INEFFECTIVENESS OF THE HEDGE (NOTE 32) INEFFECTIVENESS RECOGNISED IN PROFIT OR LOSS (NOTE 32) VALUE OF HEDGING INSTRUMENT VALUE OF HEDGING INSTRUMENT
HEDGED ITEM HEDGED RISK ASSETS LIABILITIES ASSETS LIABILITIES ASSETS LIABILITIES
Macrohedges Issuances* Transformation from fixed to floating Interest-rate swaps and options 265 9 113 (6) 1,863 22 1,710 123
Fixed-rate loans Transformation from fixed to floating Interest-rate swaps and options 47 80 (168) (1) 182 286 18 193
Floating-rate loans Transformation from 12M Euribor floating rate to EONIA floating rate Interest-rate swaps 7
Deposits with agreed maturity Transformation from fixed to floating Interest-rate swaps and options 0 42 7 (1) 19 5 13 16
TOTAL 312 131 (48) (8) 2,064 313 1,748 332
Microhedges Public debt OCI portfolio Transformation from fixed to floating Interest-rate swaps (1) 6 3
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 1 (6) 40 88 108
Public debt OCI portfolio Transformation of fixed-rate debt in foreign currency to floating-rate in foreign currency Interest-rate swaps 53 34 10
Currency loan Transformation from fixed rate in foreign currency to floating rate in euro Currency swaps 1 (1)
Equity instruments portfolio changes in OCI ** Value of the instrument Equity Swap 58
Other 7 5 7
TOTAL 1 1 52 5 58 80 95 121

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).

(**) Hedge on 1% of Telefónica contracted in 2019 and cancelled in March 2020.

Hedged items - Fair value hedges (Millions of euros)

HEDGED ITEM HEDGED RISK HEDGING INSTRUMENT USED 31/12/2020 2020 31/12/2019 31/12/2018
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 INEFFECTIVENESS OF THE HEDGE (NOTE 32) LINE ON THE BALANCE SHEET WITH THE HEDGED ITEM HEDGED INSTRUMENT HEDGED INSTRUMENT
ASSETS LIABILITIES ASSETS LIABILITIES ASSETS LIABILITIES ASSETS LIABILITIES
Macrohedges Issuances Transformation from fixed to floating Interest-rate swaps and options 30,327 1,602 81 (122) Financial liabilities at amortised cost 27,726 22,179
Fixed-rate loans Transformation from fixed to floating Interest-rate swaps and options 12,673 269 (1,017) 167 Financial assets at amortised cost 13,681 12,211
Floating-rate loans Transformation from Euribor 12M floating rate to EONIA floating rate Interest-rate swaps Financial assets at amortised cost 660 3,615
Deposits with agreed maturity Transformation from fixed to floating Interest-rate swaps and options 5,233 12 (7) Financial liabilities at amortised cost 5,206 493 5,085
TOTAL 12,673 35,560 269 1,614 (936) 38 14,341 32,932 16,319 27,264
Microhedges Public debt OCI portfolio Transformation from fixed to floating Interest-rate swaps 70 N/A N/A 1 Financial assets at fair value * 69 64
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 471 N/A N/A 6 Financial assets at fair value * 468 434
Public debt OCI portfolio Transformation of fixed-rate debt in foreign currency to floating-rate in foreign currency Interest-rate swaps N/A N/A (53) Financial assets at fair value * 1,037 880
Currency loan Transformation from fixed rate in foreign currency to floating rate in euro Currency swaps 131 1 1 Financial assets at amortised cost
Equity instruments portfolio changes in OCI Value of the instrument Equity Swap N/A N/A Financial assets at fair value * 323
Other 4 3 34
TOTAL 676 1 (45) 1,900 1,412

(*) With changes in other comprehensive income.

(**) See Note 20.

Hedging items - Cash flow hedges (Millions of euros)

31/12/2020 31/12/2019 31/12/2018
VALUE OF HEDGING INSTRUMENT AMOUNT RECLASSIFIED 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
Mortgage Euribor loans Mortgage Euribor transformation to fixed rate Interest-rate swaps 11
Floating-rate currency loans Transformation from floating rate in foreign currency to floating rate in euros Currency swaps 158 3 (16)
TOTAL 158 3 (16) 11 3
Microhedges Inflation-linked public debt Transformation from inflation-linked floating to fixed rate Inflation-linked swaps and inflation-linked options 84 (20) 122 145 340
Inflation-linked public debt at amortised cost Transformation from floating to fixed Interest-rate and inflation-linked swaps 44 18 (1)
Equity instruments portfolio associates* Value of the instrument Equity Swap 63
Other 2
TOTAL 44 102 (21) 122 210 340

(*) The hedge on 1.36% of the stake in Erste Bank was 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.

Hedged items - Cash flow hedges (Millions of euros)

31/12/2020 31/12/2019 31/12/2018
HEDGED ITEM HEDGED RISK HEDGING INSTRUMENT 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
Mortgage Euribor loans Mortgage Euribor transformation to fixed rate Interest-rate swaps 93 2
Floating-rate currency loans Transformation from floating rate in foreign currency to floating rate in euros Currency swap (3) 0 Financial assets at amortised cost
Fixed-rate term deposits Transformation from fixed to floating Interest-rate swaps Financial assets at amortised cost 25 26
TOTAL 90 0 0 2 25 2 26
Microhedges Inflation-linked public debt. Transformation from inflation-linked floating debt to fixed rate Inflation-linked swaps and inflation-linked options 15 Financial assets at fair value * (75) (55)
Inflation-linked public debt at amortised cost Transformation from floating to fixed Interest-rate and inflation-linked swaps (25) 0 Financial assets at amortised cost
Equity instruments of investments in associates Value of the instrument Equity Swap Investments in joint ventures and associates 61
Other 2 (4)
TOTAL 15 0 (75) 0 8 (4)

(*) With changes in other comprehensive income.