13 Prepayments and accrued income
Management report
Corporate governance
Consolidated financial statements
Financial statements
The table below shows the notional amounts and the positive
and negative fair values of Rabobank's derivative contracts with
third parties.
Breakdown of trading and investment portfolios
Balance on 3 7 December 2015
Derivatives held for trading
Interest rate contracts
OTC
Listed
Currency contracts
OTC
Listed
Credit derivatives
Other contracts
OTC
Listed
Derivatives held as hedges
Derivatives designated as fair value
hedges
Interest rate contracts
Currency contracts
Balance on 31 December 2014
Derivatives held for trading
Interest rate contracts
OTC
Listed
Currency contracts
OTC
Listed
Credit derivatives
Notional
amounts
2,378,968
2,312,801
66,167
398,381
396,816
1,565
3,340
5,633
4,394
1,239
132,266
47,687
84,579
Derivatives designated as cash flow
hedges 15,957
Currency contracts 15,957
Total derivative financial contracts
with third parties 2,934,545
Notional
amounts
2,125,332
2,078,507
46,825
364,984
363,412
1,572
5,984
Assets
34,579
34,578
1
5,030
5,017
13
610
515
95
4,017
1,787
2,230
939
939
45,177
Assets
40,385
40,384
1
5,213
5,174
39
Fair values
Liabilities
33,557
33,557
7,608
7,596
12
15
463
417
47
11,202
11,161
41
1,646
1,646
54,491
Fair values
Liabilities
40,382
40,379
3
6,839
6,835
4
2015
2014
Trading portfolio including group companies
Short-term government papers
19
123
Loans and advances to customers
1,487
1,767
Interest-bearing securities
2,783
3,156
Shares
158
270
4,447
5,316
Investment portfolio
Short-term government papers
841
816
Interest-bearing securities
82,878
83,774
Shares
612
650
Loans and advances to customers
6
7
84,337
85,247
Included in the investment portfolios of group
companies
52,213
52,109
Changes in the investment portfolio
Balance on 1 January
85,247
90,602
Foreign exchange differences
362
408
Acquisitions during the financial year
2,711
5,252
Disposals during the financial year
(3,942)
(10,784)
Fair value changes
(286)
424
Depreciation, impairments and reversals
over the book year
Other
245
(655)
Balance on 31 December
84,337
85,247
The terms of securities included in the investment portfolio other than group
companies are as follows:
On demand or undated
603
642
3 months
961
1,679
3 months 1 year
3,209
1,958
1 year 5 years
18,138
15,228
5 years
61,426
65,740
84,337
85,247
Investment portfolio containing value adjustments through the profit and loss
account including group companies
Interest-bearing securities
815
2,476
Shares
8
35
823
2,511
This item mainly relates to accrued interest.
Other contracts
OTC
Listed
11,278
8,156
3,122
899
712
187
843
705
138
Derivatives held as hedges
Derivatives designated as fair value
hedges 138,543 5,527 14,489
Interest rate contracts 44,365 1,571 14,439
Currency contracts 94,178 3,956 50
Derivatives designated as cash flow
hedges
Currency contracts 19,698 788 3,448
Total derivative financial contracts
with third parties 2,665,819 52,833 66,060
281 Notes to the statement of financial position of Rabobank
