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Contents Introduction Management report Appendices Corporate governance Consolidated Financial Statements Company Financial Statements
The following table shows the notional amounts and the positive and negative fair values of derivative contracts held by Rabobank.
in millions of euros
Notional
amounts
Fair values
in millions of euros
Notional
amounts
Fair values
Balance on 31 December 2017
Assets
Liabilities
Balance on 31 December 2016
Assets
Liabilities
Derivatives held for trading
2,851,309
21,109
21,158
Derivatives held for trading
3,036,696
37,438
37,645
Derivatives held as hedges
116,644
4,396
6,945
Derivatives held as hedges
133,517
4,934
10,379
Total derivative financial assets/
liabilities
2,967,953
25,505
28,103
Total derivative financial assets/
liabilities
3,170,213
42,372
48,024
Derivatives held for trading
Derivatives held for trading
Currency derivatives
Currency derivatives
Unlisted tradeable contracts (OTC)
Unlisted tradeable contracts (OTC)
Currency swaps
336,792
3,556
4,021
Currency swaps
405,251
6,986
9,191
Currency options - purchased and sold
3,694
29
48
Currency options - purchased and sold
5,438
95
63
Listed tradeable contracts
3,718
2
3
Listed tradeable contracts
3,333
10
12
Currency futures
241
2
4
Currency futures
64
1
10
Total currency derivatives
344,445
3,589
4,076
Total currency derivatives
414,086
7,092
9,276
Interest rate derivatives
Interest rate derivatives
Unlisted tradeable contracts (OTC)
Unlisted tradeable contracts (OTC)
Interest rate swaps
2,375,700
14,800
14,088
Interest rate swaps
2,472,881
26,751
24,630
OTC interest rate options
77,409
2,593
2,758
OTC interest rate options
81,784
3,388
3,435
Total OTC contracts
2,453,109
17,393
16,846
Total OTC contracts
2,554,665
30,139
28,065
Listed tradeable contracts
Listed tradeable contracts
Interest rate swaps
49,676
1
Interest rate swaps
62,078
1
Total interest rate derivatives
2,502,785
17,394
16,846
Total interest rate derivatives
2,616,743
30,140
28,065
Credit derivatives
Credit derivatives
Credit default swaps
1,580
4
Credit default swaps
2,663
1
4
Total return swaps
Total return swaps
522
30
7
Total credit derivatives
1,580
4
Total credit derivatives
3,185
31
11
Equity instruments/index derivatives
Equity instruments/index derivatives
Unlisted tradeable contracts (OTC)
Unlisted tradeable contracts (OTC)
Options - purchased and sold
63
8
7
Options - purchased and sold
163
23
6
Total equity instruments/index
derivatives
63
8
7
Total equity instruments/index
derivatives
163
23
6
Other derivatives
2,436
118
225
Other derivatives
2,518
153
287
Total derivative financial assets/
liabilities held for trading
2,851,309
21,109
21,158
Total derivative financial assets/
liabilities held for trading
3,036,695
37,439
37,645
Derivatives held as hedges
Derivatives held as hedges
Derivatives designated as fair value
hedges
Derivatives designated as fair value
hedges
Currency swaps and cross-currency
interest rate swaps
51,904
1,563
5
Currency swaps and cross-currency
interest rate swaps
75,783
2,063
13
Interest rate swaps
58,129
2,565
5,669
Interest rate swaps
48,654
1,903
8,824
Derivatives designated as cash flow
hedges
Derivatives designated as cash flow
hedges
Currency swaps and cross-currency
interest rate swaps
4,777
299
1,271
Currency swaps and cross-currency
interest rate swaps
7,850
948
1,542
Derivatives classified as net
investment hedges
Derivatives classified as net
investment hedges
Currency futures contracts
1,834
(31)
Currency futures contracts
1,230
20
Total derivative financial assets/
liabilities designated as hedges
116,644
4,396
6,945
Total derivative financial assets/
liabilities designated as hedges
133,517
4,934
10,379
Rabobank Annual Report 2017 - Consolidated financial statements
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