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Contents Management report Corporate governance Consolidated financial statements Financial statements Pillar 3
The above stated figures represent the best possible estimates
by management on the basis of a range of methods and
assumptions. If a quoted market price is available, this is the
best estimate of fair value.
If no quoted market prices are available for fixed-term securities,
equity instruments, derivatives and commodity instruments,
Rabobank bases the expected fair value on the present value
of the future cash flows, discounted at market rates which
correspond to the credit ratings and terms to maturity of
the investments. A model-based price can also be used to
determine fair value.
Rabobank follows a policy of having all models used for
valuing financial instruments validated by expert staff who are
independent of the staff who determine the fair values of the
financial instruments.
In determining market values or fair values, various factors
have to be considered. These factors include the time
value of money, volatility, underlying options, warrants and
derivatives, credit quality of the counterparty and other
factors.The valuation process has been designed in such
a way that market prices that are available on a periodic basis
are systematically used.This systematic valuation process
has proved its worth during the credit crisis. Modifications to
assumptions might affect the fair value of financial assets and
liabilities held for trading and non-trading purposes.
The table on the next page illustrates the fair value hierarchy
used in determining the fair value of financial assets and
liabilities.The breakdown is as follows:
Category 1Quoted prices in active markets for identical
assets or liabilities; an 'active market' is a market in which
transactions relating to the asset or liability occur with
sufficient frequency and at a sufficient volume in order to
provide price information on a permanent basis.
Category 2: Inputs other than quoted prices included in
category 1 that are observable for the asset or liability, either
directly (i.e. as prices) or indirectly (i.e. derived from prices);
Category 3: Inputs for the asset or liability not based on
observable market data.
Rabobank determines for recurrent valuations of financial
instruments at fair value when transfers between the various
categories of the fair-value hierarchy occurred by reassessing
the category at the end of each reporting period. As of
31 December 2015, current receivables and liabilities whose
carrying amount is equal to their fair value are presented
in category 1Comparative figures have been adjusted
accordingly.
in millions of euros Category 1 Category 2 Category 3 Total
On 31 December 2015
Assets
Cash and balances at central banks
64,929
9
5
64,943
Loans and advances to banks
30,411
919
31,330
Financial assets held for trading
2,385
961
126
3,472
Financial assets designated at fair value
24
1,187
985
2,196
Derivatives
39
47,309
765
48,113
Loans and advances to customers
128,662
337,575
466,237
Available-for-sale financial assets
33,068
4,111
594
37,773
Associates at fair value
486
486
Non-current assets held for sale and discontinued operations
155
155
Liabilities
Due to banks
18,209
868
19,077
Due to customers
5,017
80,315
256,896
342,228
Debt securities in issue
1,593
152,351
24,533
178,477
Derivatives and other trade liabilities
578
53,863
688
55,129
Financial liabilities designated at fair value
16,967
24
16,991
Subordinated liabilities
16,457
101
16,558
206 Rabobank Annual Report 2015
