14. Hedging derivatives (receivable and payable) and Fair-value changes of the hedged items in portfolio hedges of interest-rate risk
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 | ||
|---|---|---|---|
| 2015 | 2014 | 2013 | |
| ASSETS- |
|
|
|
| Fair value changes of the hedged items in portfolio hedges of interest rate risk | 45 | 121 | 98 |
| Hedging derivatives | 3,538 | 2,551 | 2,530 |
| LIABILITIES- |
|
|
|
| Fair value changes of the hedged items in portfolio hedges of interest rate risk | 358 | - | - |
| Hedging derivatives | 2,726 | 2,331 | 1,792 |
As of December 31, 2015, 2014 and 2013, the main positions hedged by the Group and the derivatives designated 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 Bank: This risk is hedged using interest rate derivatives (fixed-variable swaps).
- Available-for-sale equity instruments: This risk is hedged using equity forwards.
- Fixed-interest loans: This risk is hedged using interest rate derivatives (fixed-variable swaps).
- Fixed-interest deposit portfolio hedges: in order to provide stability to net interest income and to protect the economic value of the balance sheet from rate fluctuations, cash flow and fair value hedge derivatives are put in place
- Cash-flow hedges:
Most of the hedged items are floating interest-rate loans and asset hedges linked to the inflation of the available for sale portfolio. This risk is hedged using foreign-exchange, interest-rate swaps, inflation and FRA’s (“Forward Rate Agreement”).
- Net foreign-currency investment hedges:
The risks hedged are foreign-currency investments in the Group’s foreign subsidiaries. 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 derivatives.
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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| Derivatives - Hedge accounting: Breakdown by type of risk and type of hedge December 2015 | Millions of euros | ||
|---|---|---|---|
| Assets | Liabilities | Notional amount – Total hedging |
|
| Interest rate | 1,660 | 875 | 55,767 |
| OTC options | 187 | 128 | 1,390 |
| OTC other | 1,473 | 747 | 54,377 |
| Organized market options | - | - | - |
| Organized market other | - | - | - |
| Equity | 12 | 74 | 2,500 |
| OTC options | - | 72 | 791 |
| OTC other | 12 | 2 | 1,709 |
| Organized market options | - | - | - |
| Organized market other | - | - | - |
| Foreign exchange and gold | 675 | 389 | 3,335 |
| OTC options | - | - | 1 |
| OTC other | 675 | 388 | 3,334 |
| Organized market options | - | - | - |
| Organized market other | - | - | - |
| Credit | - | - | - |
| Commodity | - | - | - |
| Other | - | - | - |
| FAIR VALUE HEDGES | 2,347 | 1,337 | 61,602 |
| Interest rate | 204 | 319 | 13,593 |
| OTC options | - | - | - |
| OTC other | 204 | 318 | 13,329 |
| Organized market options | - | - | - |
| Organized market other | - | 1 | 264 |
| Equity | - | - | - |
| Foreign exchange and gold | 242 | 34 | 2,382 |
| OTC options | 42 | 12 | 1,493 |
| OTC other | 200 | 22 | 889 |
| Organized market options | - | - | - |
| Organized market other | - | - | - |
| Credit | - | - | - |
| Commodity | - | - | - |
| Other | - | - | - |
| CASH FLOW HEDGES | 446 | 353 | 15,974 |
| HEDGE OF NET INVESTMENTS IN A FOREIGN OPERATION | 47 | 304 | 5,362 |
| PORTFOLIO FAIR VALUE HEDGES OF INTEREST RATE RISK | 697 | 732 | 17,919 |
| PORTFOLIO CASH FLOW HEDGES OF INTEREST RATE RISK | - | - | - |
| DERIVATIVES-HEDGE ACCOUNTING | 3,538 | 2,726 | 100,858 |
| of which: OTC - credit institutions | 3,413 | 2,366 | 49,776 |
| of which: OTC - other financial corporations | 95 | 256 | 47,881 |
| of which: OTC - other | 29 | 103 | 2,936 |
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| Derivatives - Hedge accounting: Breakdown by type of risk and type of hedge December 2014 |
Millions of euros | ||
|---|---|---|---|
| Assets | Liabilities | Notional amount – Total hedging |
|
| Interest rate | 2,174 | 990 | 56,125 |
| OTC options | - | - | 2 |
| OTC other | 2,174 | 990 | 56,123 |
| Organized market options | - | - | - |
| Organized market other | - | - | - |
| Equity | 13 | 101 | 578 |
| OTC options | 8 | 89 | 578 |
| OTC other | 6 | 12 | - |
| Organized market options | - | - | - |
| Organized market other | - | - | - |
| Foreign exchange and gold | - | 12 | 2,741 |
| OTC options | - | - | - |
| OTC other | - | 12 | 2,741 |
| Organized market options | - | - | - |
| Organized market other | - | - | - |
| Credit | - | - | 20 |
| OTC options | - | - | 20 |
| OTC other | - | - | - |
| Organized market options | - | - | - |
| Organized market other | - | - | - |
| Commodity | - | - | - |
| Other | - | 61 | 115 |
| FAIR VALUE HEDGES | 2,188 | 1,164 | 59,578 |
| Interest rate | 265 | 272 | 6,014 |
| OTC options | 3 | 7 | - |
| OTC other | 262 | 265 | 5,777 |
| Organized market options | - | - | - |
| Organized market other | - | - | 238 |
| Equity | - | - | - |
| Foreign exchange and gold | 36 | 27 | 2,070 |
| OTC options | 22 | 12 | 1,064 |
| OTC other | 14 | 16 | 1,006 |
| Organized market options | - | - | - |
| Organized market other | - | - | - |
| Credit | - | - | - |
| Commodity | - | - | - |
| Other | - | - | - |
| CASH FLOW HEDGES | 301 | 299 | 8,085 |
| HEDGE OF NET INVESTMENTS IN A FOREIGN OPERATION | - | 502 | 4,160 |
| PORTFOLIO FAIR VALUE HEDGES OF INTEREST RATE RISK | 62 | 366 | 10,783 |
| PORTFOLIO CASH FLOW HEDGES OF INTEREST RATE RISK | - | - | - |
| DERIVATIVES-HEDGE ACCOUNTING | 2,551 | 2,331 | 82,606 |
| of which: OTC - credit institutions | 2,305 | 1,954 | 42,724 |
| of which: OTC - other financial corporations | 236 | 280 | 39,169 |
| of which: OTC - other | 10 | 97 | 476 |
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| Derivatives - Hedge accounting: Breakdown by type of risk and type of hedge - December 2013 |
Millions of euros | ||
|---|---|---|---|
| Assets | Liabilities | Notional amount – Total hedging |
|
| Interest rate | 2,310 | 1,212 | 63,354 |
| OTC options | - | - | - |
| OTC other | 2,310 | 1,212 | 63,354 |
| Organized market options | - | - | - |
| Organized market other | - | - | - |
| Equity | 11 | 35 | 87 |
| OTC options | - | - | - |
| OTC other | 11 | 35 | 87 |
| Organized market options | - | - | - |
| Organized market other | - | - | - |
| Foreign exchange and gold | 6 | 7 | 303 |
| OTC options | - | - | - |
| OTC other | 6 | 7 | 303 |
| Organized market options | - | - | - |
| Organized market other | - | - | - |
| Credit | - | 1 | 25 |
| OTC options | - | - | - |
| OTC other | - | 1 | 25 |
| Organized market options | - | - | - |
| Organized market other | - | - | - |
| Commodity | - | - | - |
| Other | - | 9 | 153 |
| FAIR VALUE HEDGES | 2,328 | 1,265 | 63,922 |
| Interest rate | 148 | 143 | 5,224 |
| OTC options | - | - | - |
| OTC other | 148 | 143 | 5,224 |
| Organized market options | - | - | - |
| Organized market other | - | - | - |
| Equity | - | - | - |
| Foreign exchange and gold | 2 | 2 | 2,037 |
| OTC options | 2 | 2 | 2,037 |
| OTC other | - | - | - |
| Organized market options | - | - | - |
| Organized market other | - | - | - |
| Credit | - | - | - |
| Commodity | - | - | - |
| Other | - | - | - |
| CASH FLOW HEDGES | 149 | 145 | 7,260 |
| HEDGE OF NET INVESTMENTS IN A FOREIGN OPERATION | - | - | 6 |
| PORTFOLIO FAIR VALUE HEDGES OF INTEREST RATE RISK | 53 | 383 | 7,838 |
| PORTFOLIO CASH FLOW HEDGES OF INTEREST RATE RISK | - | - | - |
| DERIVATIVES-HEDGE ACCOUNTING | 2,530 | 1,792 | 79,026 |
| of which: OTC - credit institutions | 2,074 | 1,421 | 50,902 |
| of which: OTC - other financial corporations | 447 | 316 | 27,070 |
| of which: OTC - other | 9 | 55 | 1,055 |
The cash flows forecasts for the coming years for cash flow hedging recognized on the accompanying consolidated balance sheet as of December 31, 2015 are:
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|
|
Millions of euros | ||||
|---|---|---|---|---|---|
| Cash Flows of Hedging Instruments | 3 Months or Less | From 3 Months to 1 Year | From 1 to 5 Years | More than 5 Years | Total |
| Receivable cash inflows | 765 | 1,442 | 1,817 | 945 | 4,969 |
| Payable cash outflows | 851 | 1,270 | 1,804 | 1,068 | 4,993 |
The above cash flows will have an impact on the Group’s consolidated income statements until 2050.
In the years ended December 31, 2015, 2014 and 2013 there was no reclassification in the accompanying consolidated income statements of any amount corresponding to cash flow hedges that was previously recognized in equity.
The amount for derivatives designated as accounting hedges that did not pass the effectiveness test during the years ended December 31, 2015, 2014 and 2013 was not material.