Contents Management report Corporate governance Consolidated financial statements Financial statements Pillar 3
in millions of euros
Balance on 31 December 2015
Derivatives held for trading
Derivatives held as hedges
Short positions shares and bonds
Total derivative financial assets/liabilities recognised
Notional
amounts
2,819,875
148,307
2,968,182
Fair values
Assets
43,152
4,961
48,113
Liabilities
41,708
12,848
573
55,129
Derivatives held for trading
Currency derivatives
Unlisted tradeable contracts (OTC)
Currency swaps
Currency options - purchased and sold
395,309
5,812
5,028
87
7,626
56
Listed tradeable contracts
Currency futures
Total currency derivatives
4,062
3
405,186
5,154
7,709
Interest rate derivatives
Unlisted tradeable contracts (OTC)
Interest rate swaps
OTC interest rate options
Total OTC contracts
2,236,520
101,210
2,337,730
33,238
4,135
37,373
29,369
4,143
33,512
Listed tradeable contracts
Interest rate swaps
Total interest rate derivatives
67,932
2,405,662
1
37,374
1
33,513
Credit derivatives
Credit default swaps
Total return swaps
Total credit derivatives
2,782
558
3,340
5
10
15
Equity instruments/index derivatives
Unlisted tradeable contracts (OTC)
Options - purchased and sold
2,793
162
127
Listed tradeable contracts
Options - purchased and sold
Total equity instruments/index derivatives
Other derivatives
Total derivative financial
1,239
4,032
1,655
2,819,875
95
257
365
43,152
47
174
296
41,708
Derivatives held as hedges
Derivatives designated as fair value hedges
Currency swaps and cross-currency interest rate swaps
Interest rate swaps
Derivatives designated as cash flow hedges
Currency swaps and cross-currency interest rate swaps
Derivatives classified as net investment hedges
Currency futures contracts
Total derivative financial assets/liabilities designated as hedges
84,006
47,687
15,957
657
148,307
2,231
1,787
4
4,961
41
11,161
1,646
12,848
220 Rabobank Annual Report 2015
