15. 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 | ||
|---|---|---|---|
| 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).