Inhoudsopgave Voorwoord Bestuursverslag Corporate governance Consolidated Financial Statements Company Financial Statements Pillar 3
Notional
in millions of euros amounts Fair values
Balance on 31 December 2016 Assets Liabilities
Derivatives held for trading 3,036,696 37,438 37,645
Derivatives held as hedges 133,517 4,934 10,379
Total derivative financial assets/
liabilities 3,170,213 42,372 48,024
Derivatives held for trading
Currency derivatives
Unlisted tradeable contracts (OTC)
Currency swaps 405,251 6,986 9,191
Currency options - purchased and sold 5,438 95 63
Listed tradeable contracts 3,333 10 12
Currency futures 64 1 10
Total currency derivatives 414,086 7,092 9,276
Interest rate derivatives
Unlisted tradeable contracts (OTC)
Interest rate swaps 2,472,881 26,751 24,630
OTC interest rate options 81,784 3,388 3,435
Total OTC contracts 2,554,665 30,139 28,065
Listed tradeable contracts
Interest rate swaps 62,078 1 0
Total interest rate derivatives 2,616,743 30,140 28,065
Credit derivatives
Credit default swaps
2,663
1
Total return swaps
522
30
Total credit derivatives 3,185 31 11
Equity instruments/index derivatives
Unlisted tradeable contracts (OTC)
Options - purchased and sold 163 23 6
Total equity instruments/index
derivatives 163 23 6
Other derivatives 2,518 153 287
Total derivative financial assets/
liabilities held for trading 3,036,695 37,439 37,645
Derivatives held as hedges
Derivatives designated as fair value
hedges
Currency swaps and cross-currency
interest rate swaps 75,783 2,063 13
Interest rate swaps 48,654 1,903 8,824
Derivatives designated as cash flow
hedges
Currency swaps and cross-currency
interest rate swaps 7,850 948 1,542
Derivatives classified as net investment
hedges
Currency futures contracts 1,230 20
Total derivative financial assets/
liabilities designated as hedges 133,517 4,934 10,379
Notional
in millions of euros amounts Fair values
Balance on 31 December 2015 Assets Liabilities
Derivatives held for trading 2,819,875 43,152 41,708
Derivatives held as hedges 148,307 4,961 12,848
Total derivative financial assets/
liabilities 2,968,182 48,113 54,556
Derivatives held for trading
Currency derivatives
Unlisted tradeable contracts (OTC)
Currency swaps 395,309 5,028 7,626
Currency options - purchased and sold 5,812 87 56
Listed tradeable contracts 4,062 39 27
Currency futures 3 - -
Total currency derivatives 405,186 5,154 7,709
Interest rate derivatives
Unlisted tradeable contracts (OTC)
Interest rate swaps 2,236,520 33,238 29,370
Interest rate options 101,210 4,135 4,143
Total OTC contracts 2,337,730 37,373 33,513
Listed tradeable contracts
Interest rate swaps 67,932 1 1
Total interest rate derivatives 2,405,662 37,374 33,514
Credit derivatives
Credit default swaps
2,782 1
Total return swaps
558 1
Total credit derivatives 3,340 2 15
Equity instruments/index derivatives
Unlisted tradeable contracts (OTC)
Options - purchased and sold 2,793 162 127
Listed tradeable contracts
Options - purchased and sold 1,239 95 47
Total equity instruments/index
derivatives 4,032 257 174
Other derivatives 1,655 365 296
Total derivative financial assets/
liabilities held for trading 2,819,875 43,152 41,708
Derivatives held as hedges
Derivatives designated as fair value
hedges
Currency swaps and cross-currency
interest rate swaps 84,006 2,231 41
Interest rate swaps 47,687 1,787 11,161
Derivatives designated as cash flow
hedges
Currency swaps and cross-currency
interest rate swaps 15,957 939 1,646
Derivatives classified as net investment
hedges
Currency futures contracts 657 4
Total derivative financial assets/
liabilities designated as hedges 148,307 4,961 12,848
220 Rabobank Jaarverslag 2016
