Inhoudsopgave Voorwoord Bestuursverslag Corporate governance
Consolidated Financial Statements Company Financial Statements Pillar 3
Loans and advances to banks.
Loans and advances to banks also includes interbank
placings and items to be collected.The fair values of floating
rate placings, that are re-priced regularly and do not vary
significantly in terms of credit risk, and overnight deposits
are their carrying amounts. The estimated fair value of fixed-
interest deposits is based on the present value of the cash
flows, calculated on the basis of appropriate money market
interest rates for debts with comparable credit risks and terms
to maturity.
Financial assets and derivatives held for trading.
Financial assets held for trading are carried at fair value based
on available quoted prices in an active market. If quoted prices
in an active market are not available, the fair value is estimated
on the basis of discounted cash flow models and option
valuation models.
Derivatives are recognised at fair value determined on the basis
of listed market prices (with mid-prices being used for EUR, USD
and GBP derivatives that have a bid-ask range), prices offered
by traders, discounted cash flow models and option valuation
models based on current market prices and contract prices for
the underlying instruments and reflecting the time value of
money, yield curves and the volatility of the underlying assets
and liabilities.
For OTC derivatives credit valuation adjustments (CVA) are
made to reflect expected credit losses related to the non
performance risk of a given counterparty. A CVA is determined
per counterparty and is dependent on expected future
exposure taking into account collateral, netting agreements
and other relevant contractual factors, default probability and
recovery rates.The CVA calculation is based on available market
data including credit default swap (CDS) spreads, Where CDS
spreads are not available relevant proxies are used. A debit
valuation adjustment (DVA) is made to include own credit in the
valuation of OTC derivatives. The calculation of DVA is consistent
with the CVA framework and is calculated using the Rabobank
CDS spread. Another factor that is taken into account are
the funding valuation adjustments (FVA). FVA concerns the
valuation difference between transactions hedged by securities
and transactions not hedged by securities. Collateralised
transactions are valued by means of a discounting curve, based
on the overnight index spread. Non-collateralised transactions
are valued by means of a discounting curve, based on Euribor/
Libor plus a spread which reflects the market conditions.
Financial assets designated at fair value.
These financial assets are carried at fair value based on quoted
prices on an active market if available. If not, they are estimated
from comparable assets on the market, or using valuation
methods, including appropriate discounted cash flow models
and option valuation models.
Loans and advances to customers.
The fair value of loans and advances to customers is estimated
by discounting expected future cash flows using current market
rates for similar loans, taking into account the creditworthiness
of the counterparty. For the fair valuation of residential
mortgage loans, the contractual cash flows are adjusted for the
prepayment rate of the portfolio. For variable-interest loans that
are re-priced regularly and do not vary significantly in terms of
credit risk, the fair value approximates the carrying amount.
Available-for-sale financial assets.
Available-for-sale financial assets are measured at fair value
based on listed market prices. If quoted prices on an active
market are not available, the fair value is estimated on the basis
of discounted cash flow models and option valuation models.
Deposits from banks.
Loans and advances to banks also includes interbank placings,
items to be collected and deposits. The fair values of floating
rate placings, that are re-priced regularly and do not vary
significantly in terms of credit risk, and overnight deposits are
their carrying amounts. The estimated fair value of fixed-interest
deposits is based on the present value of the cash flows,
calculated on the basis of valid money market interest rates for
debts with comparable credit risks and terms to maturity.
Deposits from customers.
Deposits from customers includes current accounts and
deposits. The fair value of savings and current account balances
that have no specific termination date are assumed to be
the amount payable on demand on the reporting date i.e.
their carrying amount on that date. The fair value of these
deposits is estimated from the present value of the cash
flows on the basis of current bid rates for interest for similar
arrangements and terms to maturity and that match the items
to be measured. The carrying amount of variable-interest
deposits is a good approximation of their fair value on the
reporting date.
Financial liabilities held for trading.
The fair value of financial liabilities held for trading is based on
available quoted prices on an active market. If quoted prices on
an active market are not available, the fair value is estimated on
the basis of valuation models.
Financial liabilities designated at fair value.
The fair value option is used to eliminate the accounting
mismatch and valuation asymmetry between these instruments
and the hedging derivatives which would occur if these
instruments would have been accounted for at amortised
cost.The financial liabilities designated at fair value include
structured notes and structured deposits which are managed
and reported on a fair value basis together with the hedging
derivatives. The fair value of these liabilities is determined
by discounting contractual cashflows using credit adjusted
yield curves based on available market data in the secondary
204 Rabobank Jaarverslag 2016
