Appendix IV: Financial Instruments (Tables)

12 Months Ended

Dec. 31, 2022

Appendix IV: Financial Instruments [Abstract]

Schedule of Detailed Information about Financial Instruments

The detail of the net financial debt arranged by the Group (notional amount) by currency and interest rates at December 31, 2022 is as follows:

															Fair value
Millions of euros	2023		2024		2025		2026		2027		Subsequent years		Notional		Underlying debt (*)	Associated derivatives	TOTAL
Euro	(8,499)		1,066		2,500		3,707		4,020		17,344		20,138		12,461	8,254	20,715
Floating rate	1,933		38		(87)		1,770		206		5,095		8,955		1,079	12,129	13,208
Spread	0.04	%	0.73	%	—		(0.12	%)	(0.56	%)	0.05	%	—		—	—	—
Fixed rate	(10,432)		1,028		2,587		1,937		3,814		12,249		11,183		11,382	(3,875)	7,507
Interest rate	1.29	%	2.80	%	1.62	%	2.25	%	1.13	%	1.80	%	2.17	%	—	—	—
Rate cap	—		—		—		—		—		—		—		—	—	—
Other european currencies
Instruments in CZK	(87)		—		—		—		—		—		(87)		—	(86)	(86)
Floating rate	—		—		—		—		—		—		—		—	—	—
Spread	—		—		—		—		—		—		—		—	—	—
Fixed rate	(87)		—		—		—		—		—		(87)		—	(86)	(86)
Interest rate	6.17	%	—		—		—		—		—		6.17	%	—	—	—
Rate cap	—		—		—		—		—		—		—		—	—	—
Instruments in GBP	610		—		—		(2)		(6)		(4)		598		922	(325)	597
Floating rate	—		—		—		—		—		—		—		—	(1)	(1)
Spread	—		—		—		—		—		—		—		—	—	—
Fixed rate	610		—		—		(2)		(6)		(4)		598		922	(324)	598
Interest rate	3.49	%	—		—		0.70	%	0.70	%	0.70	%	3.54	%	—	—	—
Rate cap	—		—		—		—		—		—		—		—	—	—
Instruments in CHF	(1)		—		—		—		—		—		(1)		—	—	—
Floating rate	—		—		—		—		—		—		—		—	—	—
Spread	—		—		—		—		—		—		—		—	—	—
Fixed rate	(1)		—		—		—		—		—		(1)		—	—	—
Interest rate	—		—		—		—		—		—		—		—	—	—
Rate cap	—		—		—		—		—		—		—		—	—	—
America
Instruments in USD	(982)		49		—		(1,878)		—		1,874		(937)		13,038	(13,937)	(899)
Floating rate	(7)		141		—		(1,874)		—		1,874		134		329	(154)	175
Spread	—		0.47	%	—		—		—		—		0.49	%	—	—	—
Fixed rate	(975)		(92)		—		(4)		—		—		(1,071)		12,709	(13,783)	(1,074)
Interest rate	2.18	%	3.23	%	—		1.55	%	—		—		2.27	%	—	—	—
Rate cap	—		—		—		—		—		—		—		—	—	—
Instruments in UYU	(15)		97		—		29		—		—		111		119	(4)	115
Floating rate	—		—		—		—		—		—		—		—	—	—
Spread	—		—		—		—		—		—		—		—	—	—
Fixed rate	(15)		97		—		29		—		—		111		119	(4)	115
Interest rate	1.85	%	9.39	%	—		8.90	%	—		—		10.26	%	—	—	—
Rate cap	—		—		—		—		—		—		—		—	—	—

															Fair value
Millions of euros	2023		2024		2025		2026		2027		Subsequent years		Notional		Underlying debt(*)	Associated derivatives	TOTAL
Instruments in ARS	(222)		(4)		—		—		—		—		(226)		(232)	—	(232)
Floating rate	—		—		—		—		—		—		—		—	—	—
Spread	—		—		—		—		—		—		—		—	—	—
Fixed rate	(222)		(4)		—		—		—		—		(226)		(232)	—	(232)
Interest rate	61.15	%	—		—		—		—		—		60.06	%	—	—	—
Rate cap	—		—		—		—		—		—		—		—	—	—
Instruments in BRL	2,125		17		796		8		367		99		3,412		868	2,610	3,478
Floating rate	(220)		17		796		8		367		99		1,067		827	271	1,098
Spread	(0.57	%)	—		0.38	%	—		1.32	%	—		0.85	%	—	—	—
Fixed rate	2,345		—		—		—		—		—		2,345		41	2,339	2,380
Interest rate	10.86	%	—		—		—		—		—		10.86	%	—	—	—
Rate cap	—		—		—		—		—		—		—		—	—	—
Instruments in CLP	428		116		184		99		—		460		1,287		(234)	1,523	1,289
Floating rate	(19)		—		—		—		—		460		441		(21)	476	455
Spread	—		—		—		—		—		(0.50	%)	(0.52	%)	—	—	—
Fixed rate	447		116		184		99		—		—		846		(213)	1,047	834
Interest rate	4.84	%	2.55	%	3.30	%	3.60	%	—		—		4.04	%	—	—	—
Rate cap	—		—		—		—		—		—		—		—	—	—
Instruments in UFC	—		—		—		—		—		—		—		115	(106)	9
Floating rate	—		—		—		—		—		—		—		115	(106)	9
Spread	—		—		—		—		—		—		—		—	—	—
Fixed rate	—		—		—		—		—		—		—		—	—	—
Interest rate	—		—		—		—		—		—		—		—	—	—
Rate cap	—		—		—		—		—		—		—		—	—	—
Instruments in PEN	294		63		165		159		139		—		820		474	349	823
Floating rate	16		—		—		—		—		—		16		16	—	16
Spread	—		—		—		—		—		—		—		—	—	—
Fixed rate	278		63		165		159		139		—		804		458	349	807
Interest rate	8.36	%	5.81	%	7.08	%	7.36	%	7.38	%	—		7.53	%	—	—	—
Rate cap	—		—		—		—		—		—		—		—	—	—
Instruments in VAC	—		—		—		—		25		64		89		89	—	89
Floating rate	—		—		—		—		25		64		89		89	—	89
Spread	—		—		—		—		3.63	%	3.05	%	3.21	%	—	—	—
Fixed rate	—		—		—		—		—		—		—		—	—	—
Interest rate	—		—		—		—		—		—		—		—	—	—
Rate cap	—		—		—		—		—		—		—		—	—	—
Instruments in COP	(13)		131		219		5		5		459		806		339	483	822
Floating rate	9		63		(248)		5		5		429		263		335	(62)	273
Spread	—		1.23	%	(2.01	%)	—		—		0.30	%	2.66	%	—	—	—
Fixed rate	(22)		68		467		—		—		30		543		4	545	549
Interest rate	7.35	%	6.65	%	3.19	%	—		—		8.09	%	3.72	%	—	—	—
Rate cap	—		—		—		—		—		—		—		—	—	—
Instruments in VEB	(20)		—		—		—		—		—		(20)		(20)	—	(20)
Floating rate	—		—		—		—		—		—		—		—	—	—
Spread	—		—		—		—		—		—		—		—	—	—
Fixed rate	(20)		—		—		—		—		—		(20)		(20)	—	(20)
Interest rate	—		—		—		—		—		—		—		—	—	—
Rate cap	—		—		—		—		—		—		—		—	—	—

												Fair value
Millions of euros	2023		2024		2025	2026		2027	Subsequent years	Notional		Underlying debt(*)	Associated derivatives	TOTAL
Instruments in MXN	163		(246)		—	87		—	—	4		(240)	227	(13)
Floating rate	24		—		—	—		—	—	24		15	—	15
Spread	0.84	%	—		—	—		—	—	0.84	%	—	—	—
Fixed rate	139		(246)		—	87		—	—	(20)		(255)	227	(28)
Interest rate	10.66	%	9.70	%	—	8.80	%	—	—	6.88	%	—	—	—
Rate cap	—		—		—	—		—	—	—		—	—	—
TOTAL										25,994		27,699	(1,012)	26,687
Floating rate										10,989		2,784	12,553	15,337
Fixed rate										15,005		24,915	(13,565)	11,350

(*) Includes all net financial debt adjustments

The table below shows the sensitivity to interest rates originated by our position on interest rate swaps categorized into instruments entered into for trading purposes and instruments entered into for purposes other than trading at December 31, 2022:

Interest rate swaps
Millions of euros	Maturity
Non trading accountant purposes	2023		2024		2025		2026		2027		Subsequent years		Total		Fair value
EUR															482
Fixed to floating	—		—		—		—		—		—		—		595
Receiving leg	(2,974)		(1,778)		(1,195)		(1,215)		(325)		(3,632)		(11,119)		(7,894)
Average Interest Rate	1.50	%	1.54	%	1.07	%	1.29	%	0.86	%	1.16	%	1.31	%	—
Paying leg	2,974		1,778		1,195		1,215		325		3,632		11,119		8,489
Average Spread	0.46	%	0.29	%	0.45	%	—		—		—		0.22	%	—
Floating to fixed	—		—		—		—		—		—		—		(113)
Receiving leg	(715)		(470)		(50)		(477)		(245)		(1,187)		(3,144)		(3,148)
Average Spread	—		—		—		—		—		—		—		—
Paying leg	715		470		50		477		245		1,187		3,144		3,035
Average Interest Rate	0.10	%	1.26	%	0.65	%	0.71	%	1.22	%	2.75	%	1.46	%	—
USD															(19)
Fixed to floating	—		—		—		—		—		—		—		1
Receiving leg	(319)		(159)		—		—		—		—		(478)		(161)
Average Interest Rate	1.74	%	3.55	%	—		—		—		—		2.34	%	—
Paying leg	319		159		—		—		—		—		478		162
Average Spread	1.77	%	—		—		—		—		—		1.18	%	—
Floating to fixed	—		—		—		—		—		—		—		(20)
Receiving leg	(703)		(159)		—		—		—		—		(862)		(869)
Average Spread	—		—		—		—		—		—		—		—
Paying leg	703		159		—		—		—		—		862		849
Average Interest Rate	0.24	%	2.52	%	—		—		—		—		0.66	%	—

Interest rate swaps
Millions of euros	Maturity
Trading accountant purposes	2023		2024		2025		2026		2027		Subsequent years		Total		Fair value
EUR															(1,292)
Fixed to floating	—		—		—		—		—		—		—		175
Receiving leg	(1,500)		—		(125)		—		(100)		(2,925)		(4,650)		(4,476)
Average Interest Rate	1.54	%	—		0.32	%	—		0.76	%	2.18	%	1.89	%	—
Paying leg	1,500		—		125		—		100		2,925		4,650		4,651
Average Spread	—		—		—		—		—		—		—		—
Floating to fixed	—		—		—		—		—		—		—		(1,467)
Receiving leg	—		—		(354)		—		(1,604)		(6,608)		(8,566)		(8,291)
Average Spread	—		—		0.44	%	—		—		—		0.02	%	—
Paying leg	—		—		354		—		1,604		6,608		8,566		6,824
Average Interest Rate	—		—		0.44	%	—		0.88	%	1.23	%	1.13	%	—
USD															756
Fixed to floating	—		—		—		—		—		—		—		756
Receiving leg	(822)		(83)		(423)		(3,757)		(4,590)		(9,532)		(19,207)		(11,396)
Average Interest Rate	1.85	%	2.36	%	1.30	%	2.79	%	1.63	%	3.16	%	2.62	%	—
Paying leg	822		83		423		3,757		4,590		9,532		19,207		12,152
Average Spread	—		—		1.03	%	2.78	%	0.92	%	—		0.79	%	—
GBP															16
Fixed to floating	—		—		—		—		—		—		—		16
Receiving leg	—		—		—		—		—		(451)		(451)		(434)
Average Interest Rate	—		—		—		—		—		3.42	%	3.42	%	—
Paying leg	—		—		—		—		—		451		451		450
Average Spread	—		—		—		—		—		—		—		—

Millions of euros	Maturity
Trading accountant purposes	2023		2024	2025		2026	2027	Subsequent years		Total		Fair value
CLP												(9)
Fixed to floating	—		—	—		—	—	—		—		—
Receiving leg	(3)		—	—		—	—	—		(3)		(3)
Average Interest Rate	4.90	%	—	—		—	—	—		4.90	%	—
Paying leg	3		—	—		—	—	—		3		3
Average Spread	1.27	%	—	—		—	—	—		1.27	%	—
Floating to fixed	—		—	—		—	—	—		—		(9)
Receiving leg	(127)		—	—		—	—	—		(127)		(130)
Average Spread	—		—	—		—	—	—		—		—
Paying leg	127		—	—		—	—	—		127		121
Average Interest Rate	1.54	%	—	—		—	—	—		1.54	%	—
COP												(106)
Fixed to floating	—		—	—		—	—	—		—		10
Receiving leg	—		—	(58)		—	—	—		(58)		(50)
Average Interest Rate	—		—	5.77	%	—	—	—		5.77	%	—
Paying leg	—		—	58		—	—	—		58		60
Average Spread	—		—	1.07	%	—	—	—		1.07	%	—
Floating to fixed	—		—	—		—	—	—		—		(116)
Receiving leg	—		—	(467)		—	—	(30)		(497)		(507)
Average Spread	—		—	—		—	—	3.39	%	0.20	%	—
Paying leg	—		—	467		—	—	30		497		391
Average Interest Rate	—		—	3.19	%	—	—	8.09	%	3.48	%	—

Schedule of Maturity Analysis for Derivative Financial Liabilities

rte options, by maturity, are as follows:Cash flows receivable or payable on derivative financial instruments to be settled via the swap of nominals, categorized by currency of collection/payment, along with contractual maturities are as follows:

Millions of euros		2023	2024	2025	2026	2027	Subsequent years	Total
Currency swaps
Receive	BRL	30	—	—	—	—	—	30
Pay	BRL	(282)	—	—	—	—	—	(282)
Receive	CLP	76	—	—	—	—	—	76
Pay	CLP	(335)	—	—	—	—	(460)	(795)
Receive	COP	—	—	367	—	—	—	367
Pay	COP	—	—	(367)	—	—	(367)	(734)
Receive	EUR	1,536	—	—	—	2,542	—	4,078
Pay	EUR	(673)	(80)	(46)	(2,352)	(3,966)	(6,907)	(14,024)
Receive	GBP	—	—	—	564	—	451	1,015
Pay	GBP	—	—	—	—	—	—	—
Receive	JPY	—	—	—	—	—	107	107
Pay	JPY	—	—	—	—	—	—	—
Receive	UFC	231	—	—	—	—	—	231
Pay	UFC	(115)	—	—	—	—	—	(115)
Receive	USD	1,297	83	517	1,883	3,934	7,659	15,373
Pay	USD	(1,665)	—	(468)	—	(2,529)	—	(4,662)
TOTAL		100	3	3	95	(19)	483	665

The largest volume of cash flows collected in this table falls into the following currency pairs. The average exchange rates to which the settlements have been closed are: EUR/GBP (0.83), EUR/USD (1.13) and USD/COP (3,742.44).

Millions of euros		2023	2024	2025	2026	2027	Subsequent years	Total
Forwards
Receive	BRL	213	—	—	—	—	—	213
Pay	BRL	(2,587)	—	—	—	—	—	(2,587)
Receive	CLP	25	—	—	—	—	—	25
Pay	CLP	(740)	(28)	—	—	—	—	(768)
Receive	COP	114	—	—	—	—	—	114
Pay	COP	(213)	—	—	—	—	—	(213)
Receive	CZK	87	—	—	—	—	—	87
Pay	CZK	—	—	—	—	—	—	—
Receive	EUR	4,583	—	—	—	—	—	4,583
Pay	EUR	(890)	—	—	—	—	—	(890)
Receive	GBP	24	—	—	—	—	—	24
Pay	GBP	(796)	—	—	—	—	—	(796)
Receive	MXN	—	—	—	—	—	—	—
Pay	MXN	(217)	(19)	—	—	—	—	(236)
Receive	PEN	32	—	—	—	—	—	32
Pay	PEN	(384)	—	—	—	—	—	(384)
Receive	USD	1,919	43	—	—	—	—	1,962
Pay	USD	(1,165)	—	—	—	—	—	(1,165)
Receive	UYU	21	—	—	—	—	—	21
Pay	UYU	(18)	—	—	—	—	—	(18)
TOTAL		8	(4)	—	—	—	—	4

The largest volume of cash flows collected in this table falls into the following currency pairs. The average exchange rates to which the settlements have been closed are: EUR/GBP (0.87), EUR/USD (1.03), USD/COP (4,660.76) and EUR/BRL (5.58).