Contents Management report Corporate governance Consolidated financial statements Financial statements Pillar 3
Financial assets and derivatives held for trading. Financial
assets and derivatives held for trading are carried at fair value
based on available quoted market prices. If quoted market
prices are not available, the fair value is estimated on the basis
of discounted cash flow models and option valuation models.
For derivatives, the bank factors in counterparty risk and its own
creditworthiness. In estimating counterparty risk, Rabobank
uses the latest market data, including CDS curves and Monte
Carlo simulations. Another factor that is taken into account
is funding valuation adjustments (FVA). FVA concerns the
valuation difference between transactions hedged by securities
and transactions not hedged by securities. Collateralised
transactions are valued by means of a discounting curve, based
on the overnight index spread. Non-collateralised transactions
are valued by means of a discounting curve, based on Euribor/
Libor plus a spread which reflects the market conditions.
Financial assets designated at fair value.These financial
assets are carried at fair value based on quoted market prices if
available. If not, they are estimated from comparable assets on
the market, or using valuation methods, including appropriate
discounted cash flow models and option valuation models.
Loans and advances to customers. The fair value of issued
loans is estimated on the basis of a calculation of the present
value of the cash flows according to current market rates for
similar loans, taking also into account the creditworthiness of
the counterparty. For variable-interest loans that are reviewed
regularly and do not vary significantly in terms of credit risk, the
fair value is based on the carrying amount until maturity.
Available-for-sale financial assets. Available-for-sale
financial assets are measured at fair value based on listed
market prices. If quoted market prices are not available, the fair
value is estimated on the basis of discounted cash flow models
and option valuation models.
Other financial assets. For almost all other financial assets the
carrying amount is a good approximation of the fair value.
Due to banks. Loans and advances to banks also includes
interbank placings, items to be collected and deposits.The fair
values of floating rate placings and overnight deposits are their
carrying amounts.The estimated fair value of fixed-interest
deposits is based on the present value of the cash flows,
calculated on the basis of valid money market interest rates for
debts with comparable credit risks and terms to maturity.
Trade liabilities. The fair value of trade liabilities is based on
available quoted market prices. If quoted market prices are not
available, the fair value is estimated on the basis of valuation
models.
Financial liabilities designated at fair value.The fair value
of these liabilities is based on available quoted market prices.
If quoted market prices are not available, the fair value is
estimated on the basis of discounted cash flow models and
option valuation models.
Due to customers. Due to customers includes current
accounts and deposits. The fair value of savings and current
account balances that have no specific termination date
are assumed to be the amount payable on demand on the
reporting date i.e. their carrying amount on that date.The fair
value of these deposits is estimated from the present value of
the cash flows on the basis of current bid rates for interest for
similar arrangements and terms to maturity and that match the
items to be measured. The carrying amount of variable-interest
deposits is a good approximation of their fair value on the
reporting date.
Debt securities issued by Rabobank. The fair value of these
instruments is calculated using quoted market prices. For notes
for which no quoted market prices are available, a discounted
cash flow model is used on the basis of a current yield curve
appropriate for the term to maturity.
2015
2014
in millions of euros
Assets
Cash and balances at central banks
Loans and advances to banks
Loans and advances to customers
Carrying amount
64,943
31,210
458,618
Fair value Carrying amount
64,943
31,330
466,237
43,409
45,962
461,787
Fair value
43,409
45,996
473,236
Liabilities
Due to banks
Due to customers
Debt securities in issue
Subordinated liabilities
19,038
337,593
174,991
15,503
19,077
342,228
178,477
16,558
18,066
326,288
189,060
11,928
18,101
331,049
196,056
13,111
205 Notes to the consolidated financial statements
