Inhoudsopgave Voorwoord Bestuursverslag Corporate governance Consolidated Financial Statements Company Financial Statements Pillar 3 Fair value hedges The main components of the fair value hedge at Rabobank are interest rate swaps and cross-currency interest rate swaps which serve as protection against a potential change in the fair value of fixed-income financial assets and liabilities in both local and foreign currencies, such as mortgages, available- for-sale debt securities and issued debt securities. The net fair value of these interest rate swaps on 31 December 2016 was -6,921 (2015: -9,374). The net fair value of the cross-currency swaps on 31 December 2016 was 2,050 (2015: 2,190). Rabobank tests the hedge effectiveness on the basis of statistical regression analysis models, both prospectively and retrospectively. At year-end 2016, the hedge relations were highly effective within the range set by IAS 39. The IFRS ineffectiveness for the year ended 31 December 2016 was 118 (2015:130). The result on the hedging instrument amounted to -850 (2015:1,466), with the result from the hedged position, allocable to the hedged risk, amounting to 968 (2015:-1,336). Cash flow hedges Rabobank's cash flow hedges consist mainly of cross-currency interest rate swaps which serve to protect against a potential change in cash flows from financial assets in foreign currencies with floating interest rates. Rabobank tests the hedge effectiveness on the basis of statistical regression analysis models, both prospectively and retrospectively. At year-end 2016 and 2015, the hedge relations were highly effective within the range set by IAS 39. On 31 December 2016, the net fair value of the cross- currency interest rate swaps, classified as cash flow hedges was -594 (2015:-707). In 2016, Rabobank accounted for an amount of-87 (2015: 659) after taxation in other comprehensive income as effective changes in the fair value of derivatives in cash flow hedges. In 2016, an amount of 56 (2015: -709) after taxation of cash flow hedge reserves was reclassified to the income statement. On 31 December 2016, the cash flow hedge reserves as part of equity totalled -70 (2015: -39) after taxation. This amount fluctuates along with the fair value of the derivatives in the cash flow hedges and is accounted for in profit over the term of the hedged positions as trading income.The cash flow hedge reserve relates to a large number of derivatives and hedged positions with different terms.The maximum term is 25 years, with the largest concentrations exceeding five years.The IFRS ineffectiveness for the year ended 31 December 2016 was 148 (2015: 181). Net investment hedges Rabobank uses foreign forward-exchange contracts to hedge a portion of the currency translation risk of net investments in foreign operations. The net fair value of these foreign forward- exchange contracts on 31 December 2016 was 20 (2015:4). On 31 December 2016, forward contracts with a nominal amount of 1,230 (2015: 657) were designated as net investment hedges.These resulted in exchange gains and losses of-6 for the year (2015: -6), which are deferred in equity. A total of 24 was made in withdrawals from equity during the reporting year (2015: 22). For the year ended 31 December 2016, Rabobank reported no ineffectiveness resulting from the net investment hedges. 10.4 Notional amount and fair value Although the notional amount of certain types of financial instruments provides a basis for comparing instruments that are included in the statement of financial position, it does not necessarily represent the related future cash flows or the fair values of the instruments and therefore the exposure of Rabobank to credit or exchange risks. The nominal value is the amount of the asset, reference rate or index underlying a derivative financial instrument, which represents the basis on which changes in a derivative financial instrument's value are measured. It provides an indication of the volume of transactions executed by Rabobank, but is not a measure of risk exposure. Some derivatives are standardised in terms of notional amount or settlement date and are specifically designed for trading on active markets (stock exchanges). Other derivatives are specifically constructed for individual clients and not for trading on an exchange, even though they can be traded at prices negotiated between buyers and sellers (OTC instruments). The positive fair value represents the cost for Rabobank to replace all contracts on which it will be entitled to receive payment if all counterparties were to default. This is the standard method in the industry for calculating the current credit risk exposure.The negative fair value represents the cost of all Rabobank contracts on which it will have to make payment if Rabobank defaults. The totals of the positive and negative fair values are disclosed separately in the statement of financial position. Derivatives are positive (assets) or negative (liabilities) as a result of fluctuations in market or exchange rates in relation to their contract values.The total contract amount or notional amount of derivatives held, the degree to which these instruments are positive or negative, and hence the total fair value of the derivative financial assets and liabilities can sometimes fluctuate significantly. The following table shows the notional amounts and the positive and negative fair values of derivative contracts held by Rabobank. 219 Notes to the consolidated financial statements

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Jaarverslagen Rabobank | 2016 | | pagina 220