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financial statements 2012

15. Hedging derivatives (receivable and payable) and Fair-value changes of the hedged items in portfolio hedges of interest-rate risk

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The balance of these headings in the accompanying consolidated balance sheets is as follows:

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Hedging derivatives and Fair value changes of the hedged items in portfolio hedges of interest rate risk Millions of Euros
2012 2011 2010
ASSETS-


Fair value changes of the hedged items in portfolio hedges of interest rate risk 226 146 40
Hedging derivatives 4,894 4,552 3,563
LIABILITIES-


Fair value changes of the hedged items in portfolio hedges of interest rate risk - - (2)
Hedging derivatives 2,968 2,710 1,664

As of December 31, 2012, 2011 and 2010, the main positions hedged by the Group and the derivatives assigned to hedge those positions were:

  • Fair value hedging:
    • Available-for-sale fixed-interest debt securities: This risk is hedged using interest rate derivatives (fixed-variable swaps).
    • Long-term fixed-interest debt securities issued by the Group: This risk is hedged using interest rate derivatives (fixed-variable swaps).
    • Available-for-sale equity instruments: This risk is hedged using equity swaps.
    • Fixed-interest loans: This risk is hedged using interest rate derivatives (fixed-variable swaps).
    • Fixed-interest deposit portfolio hedges: This risk is hedged using fixed-variable swaps and interest-rate options. The valuation of the deposit hedges corresponding to interest-rate risk is recognized under 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. This risk is hedged using foreign-exchange and interest-rate swaps.
  • Net foreign-currency investment hedges: The risks hedged are foreign-currency investments in the Group’s subsidiaries based abroad. This risk is hedged mainly with foreign-exchange options and forward currency purchases.

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 accompanying consolidated balance sheets are as follows:

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Hedging Derivatives by Markets and Transaction Type 2012 Millions of Euros
Currency Risk Interest Rate Risk Equity Price Risk Other Risks Total
Organized markets




Fair value hedge - - (52) - (52)
Subtotal - - (52) - (52)
OTC markets




Credit institutions




Fair value hedge 11 1,773 (50) (1) 1,733
Of which: Macro hedge - (365) - - (365)
Cash flow hedge 21 35 - - 56
Net investment in a foreign operation hedge 2 - - - 2
Subtotal 34 1,808 (50) (1) 1,791
Other financial Institutions




Fair value hedge - 227 - - 227
Of which: Macro hedge - (117) - - (117)
Cash flow hedge 6 (13) - - (7)
Net investment in a foreign operation hedge - - - - -
Subtotal 6 214 - - 220
Other sectors




Fair value hedge (6) (16) (3) - (25)
Of which: Macro hedge - (14) - - (14)
Cash flow hedge - (8) - - (8)
Net investment in a foreign operation hedge - - - - -
Subtotal (6) (24) (3) - (33)
Total 34 1,998 (105) (1) 1,926
Of which:




Asset Hedging Derivatives 49 4,818 27 - 4,894
Liability Hedging Derivatives (16) (2,820) (131) (1) (2,968)
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Hedging Derivatives by Markets and Transaction Type 2011 Millions of Euros
Currency Risk Interest Rate Risk Equity Price Risk Other Risks Total
OTC markets




Credit institutions




Fair value hedge - 1,679 27 3 1,709
Of which: Macro hedge - (331) - - (331)
Cash flow hedge (45) 89 - - 44
Net investment in a foreign operation hedge (2) - - - (2)
Subtotal (47) 1,767 27 3 1,751
Other financial Institutions




Fair value hedge - 93 - - 93
Of which: Macro hedge - (41) - - (41)
Cash flow hedge (2) - - - (2)
Net investment in a foreign operation hedge - - - - -
Subtotal (2) 93 - - 91
Other sectors




Fair value hedge - 17 (1) - 16
Of which: Macro hedge - (6) - - (6)
Cash flow hedge - (16) - - (16)
Net investment in a foreign operation hedge - - - - -
Subtotal - 1 (1) - -
Total (49) 1,861 26 3 1,842
Of which:




Asset Hedging Derivatives 34 4,474 41 3 4,552
Liability Hedging Derivatives (83) (2,612) (15) - (2,710)
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Hedging Derivatives by Markets and Transaction Type 2010 Millions of Euros
Currency Risk Interest Rate Risk Equity Price Risk Other Risks Total
OTC markets




Credit institutions




Fair value hedge - 1,645 7 3 1,655
Of which: Macro hedge - (282) - - (282)
Cash flow hedge (4) 160 - - 156
Net investment in a foreign operation hedge 3 (6) - - (3)
Subtotal (1) 1,799 7 3 1,808
Other financial Institutions




Fair value hedge - 109 5 - 114
Of which: Macro hedge - (20) - - (20)
Cash flow hedge - (1) - - (1)
Net investment in a foreign operation hedge - - - - -
Subtotal - 108 5 - 113
Other sectors




Fair value hedge - (12) - - (12)
Of which: Macro hedge - (2) - - (2)
Cash flow hedge - (10) - - (10)
Net investment in a foreign operation hedge - - - - -
Subtotal - (22) - - (22)
Total (1) 1,885 12 3 1,899
Of which:




Asset Hedging Derivatives 14 3,486 60 3 3,563
Liability Hedging Derivatives (15) (1,601) (48) - (1,664)

The cash flows forecasts for the coming years for cash flow hedging recognized on the accompanying consolidated balance sheet as of December 31, 2012 are:

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Cash Flows of Hedging Instruments Millions of Euros
3 Months or Less From 3 Months to 1 Year From 1 to 5 Years More than 5 Years Total
Receivable cash inflows 33 103 472 1,124 1,732
Payable cash outflows 38 97 439 1,025 1,599

The above cash flows will have an impact on the consolidated income statements until 2055.

In 2012, there was no reclassification in the accompanying consolidated income statements of any amount corresponding to cash flow hedges that was previously recognized as equity. The amounts recognized previously in equity from cash flow hedges that were reclassified and included in the consolidated income statement, either under the heading “Gains or losses of financial assets and liabilities (net)" or under the heading “Exchange differences (net)” totaled €29 million in 2011 and -€34 million in 2010.

The amount for derivatives designated as accounting hedges that did not pass the effectiveness test in 2012 stood at €167 million (see Note 44).

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