Inhoudsopgave Voorwoord Bestuursverslag Corporate governance Consolidated Financial Statements Company Financial Statements Pillar 3 market as well as appropriate CDS spreads. All other market risk parameters are valued consistently with derivatives used to hedge the market risk in these liabilities. Changes in the fair value that are attributable to changes in own credit risk are reported in 'Other comprehensice income'.The change in fair value that is attributable to changes in own credit risk is calculated by deducting on a note by note basis the current fair value of the structured notes portfolio at the reporting date from the fair value recalculated based on the prevailing credit curve at the time of origination, with all other pricing components unchanged.This calculation reflects the amount that can be attributed to the change in the own credit risk of Rabobank since the origination of these structured notes. Debt securities in issue. The fair value of these instruments is calculated using quoted prices on an active market. For debt securities for which no quoted prices on an active market are available, a discounted cash flow model is used on the basis of credit adjusted yield curves appropriate for the term to maturity. The above stated figures represent the best possible estimates by management on the basis of a range of methods and assumptions. If a quoted price on an active market is available, this is the best estimate of fair value. If no quoted prices on an active market are available for fixed- term securities, equity instruments, derivatives and commodity instruments, Rabobank bases the expected fair value on the present value of the future cash flows, discounted at market rates which correspond to the credit ratings and terms to maturity of the investments. A model-based price can also be used to determine fair value. Rabobank follows a policy of having all models used for valuing financial instruments validated by expert staff who are independent of the staff who determine the fair values of the financial instruments. In determining market values or fair values, various factors have to be considered. These factors include the time value of money, volatility, underlying options, credit quality of the counterparty and other factors. The valuation process has been designed in such a way that market prices that are available on a periodic basis are systematically used.This systematic valuation process has proved its worth during the credit crisis. Modifications to assumptions might affect the fair value of financial assets and liabilities held for trading and non-trading purposes. The table on the next page illustrates the fair value hierarchy used in determining the fair value of financial assets and liabilities.The breakdown is as follows: Level 1Quoted prices on active markets for identical assets or liabilities; an 'active market' is a market in which transactions relating to the asset or liability occur with sufficient frequency and at a sufficient volume in order to provide price information on a permanent basis. Level 2: Inputs other than quoted prices included in level 1 that are observable for the asset or liability, either directly (i.e. as prices) or indirectly (i.e. derived from prices); Level 3: Inputs for the asset or liability not based on observable market data. Rabobank determines for recurrent valuations of financial instruments at fair value when transfers between the various categories of the fair-value hierarchy occurred by reassessing the level at the end of each reporting period. 2016 2015 in millions of euros Carrying amount Fair value Carrying amount Fair value Assets Cash and balances at central banks 84,405 84,405 64,943 64,943 Loans and advances to banks 25,444 25,368 32,434 32,553 Loans and advances to customers 452,807 465,278 465,993 473,612 Liabilities Deposits from banks 22,006 22,042 19,038 19,077 Deposits from customers 347,712 353,227 345,884 350,519 Debt securities in issue 159,342 163,622 174,991 178,477 Subordinated liabilities 16,861 18,256 15,503 16,558 205 Notes to the consolidated financial statements

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Jaarverslagen Rabobank | 2016 | | pagina 206