13 Trading and investment portfolios - - Inhoudsopgave Voorwoord Bestuursverslag Corporate governance Consolidated Financial Statements Company Financial Statements Pillar 3 The table below shows the notional amounts and the positive and negative fair values of Rabobank's derivative contracts with third parties. In millions of euros Notional amounts Fair values Balance on 31 December 2016 Assets Liabilities Derivatives held for trading Interest rate contracts 2,609,169 30,742 28,027 OTC 2,548,166 30,741 28,027 Listed 61,003 1 Currency contracts 409,508 6,961 9,189 OTC 409,508 6,961 9,189 Listed Credit derivatives 3,185 31 10 Other contracts 2,460 172 279 OTC 2,460 172 279 Listed Derivatives held as hedges Derivatives designated as fair value hedges 125,667 3,858 8,837 Interest rate contracts 48,654 1,775 8,824 Currency contracts 77,013 2,083 13 Derivatives designated as cash flow hedges 7,850 948 1,542 Currency contracts 7,850 948 1,542 Total derivative financial contracts with third parties 3,157,839 42,712 47,884 In millions of euros Notional amounts Fair values Balance on 31 December 2015 Assets Liabilities Derivatives held for trading Interest rate contracts 2,378,968 34,579 33,557 OTC 2,312,801 34,578 33,557 Listed 66,167 1 Currency contracts 398,381 5,030 7,608 OTC 396,816 5,017 7,596 Listed 1,565 13 12 Credit derivatives 3,340 2 15 Other contracts 5,633 610 463 OTC 4,394 515 416 Listed 1,239 95 AT Derivatives held as hedges Derivatives designated as fair value hedges 132,266 4,017 11,202 Interest rate contracts 47,687 1,787 11,161 Currency contracts 84,579 2,230 41 Derivatives designated as cash flow hedges 15,957 939 1,646 Currency contracts 15,957 939 1,646 Breakdown of trading and investment portfolios In millions of euros 2016 2015 Trading portfolio including group companies Short-term government papers - 19 Loans and advances to customers 1,049 1,487 Interest-bearing securities 1,637 2,783 Shares 504 158 3,190 4,447 Investment portfolio Short-term government papers 801 841 Interest-bearing securities 79,422 82,878 Shares 459 612 Loans and advances to customers 5 6 80,687 84,337 Included in the investment portfolios of group companies 51,573 52,213 Changes in the investment portfolio Balance on 1 January 84,337 85,247 Foreign exchange differences 93 362 Acquisitions during the financial year 1,836 2,711 Disposals during the financial year (5,466) (3,942) Fair value changes (173) (286) Depreciation, impairments and reversals over the book year Other 60 245 Balance on 31 December 80,687 84,337 The terms of securities included in the investment portfolio other than group companies are as follows: On demand or undated 451 603 3 months 1,934 961 3 months 1 year 2,235 3,209 1 year 5 years 17,473 18,138 >5 years 58,594 61,426 80,687 84,337 Investment portfolio containing value adjustments through the profit and loss account including group companies Interest-bearing securities 89 815 Shares - 8 89 823 Total derivative financial contracts with third parties 2,934,545 45,177 54,491 283 Notes to the statement of financial position

Rabobank Bronnenarchief

Jaarverslagen Rabobank | 2016 | | pagina 284