13 Trading and investment portfolios
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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