2.7 Financial Assets at Fair Value Through Other Comprehensive Income 2.8 Repurchase Agreements and Reverse Repurchase Agreements 2.9 Securitizations and (De)Recognition of Financial Assets and Liabilities About this Report Chairman's Foreword Corporate Management Report Appendices Governance Consolidated Financial Company Financial Statements Statements deferred and accounted for as 'Other liabilities' or 'Other assets'. After initial recognition the deferred day one gain/ loss is recognized as a gain/ loss to the extent it results from a change in a factor (including time effects). Debt instruments that are held for collection of contractual cash flows and for selling the financial assets, where the assets' cash flows represent solely payments of principal and interest, are measured at fair value through other comprehensive income and presented as 'Financial assets at fair value through other comprehensive income'. Financial assets at fair value through other comprehensive income are initially recognized atfair value, including transaction costs, based on quoted bid prices or at values derived from cash flow models. The fair values of unlisted equity instruments are estimated on the basis of appropriate price/earnings ratios, adjusted to reflect the specific circumstances of the respective issuer. Movements in the carrying amount are taken through OCI, except for the recognition ofimpairmentgainsor losses, interest income and foreign exchange gains and losses which are recognized in profit or loss. When the financial asset is derecognized, the cumulative gain or loss previously recognized in OCI is reclassified from equity to profit or loss. Interest from these financial assets is included in net interest income using the effective interest rate method. Impairment losses are included in 'Impairment charges on financial assets' in the statement of income. Where Rabobank has elected to present fair value gains and losses on equity investments in OCI, there is no subsequent reclassification of fair value gains and losses to profit or loss following the derecognition of the investment. Dividends from such investments continue to be recognized in profit or loss as other income when Rabobank's right to receive payments is established. Financial assets that are sold subject to related sale and repurchase agreements are included in the financial statements under 'Financial assets held for trading' or 'Financial assets at fair value through other comprehensive income', as applicable. The liability to the counterparty is included under 'Deposits from credit institutions' or 'Deposits from customers', as applicable. Financial assets acquired under reverse sale and reverse repurchase agreements are recognized as 'Loans and advances to credit institutions' or 'Loans and advances to customers', as applicable. The difference between the sales and repurchasing prices is recognized as interest income/expense overthe term of the agreement using the effective interest method. Recognition of Financial Assets and Liabilities Purchases and sales of financial assets and liabilities classified as fair value through profit or loss and financial assets at fair value through profit or loss which are required to be delivered within a regulatory-prescribed period or in accordance with market conventions are recognized on the transaction date. Financial instruments carried at amortized cost are recognized on the settlement date. Securitizations and Derecognition of Financial Assets and Liabilities Rabobank securitizes, sells and carries various financial assets. Those assets are sometimes sold to a special purpose entity (SPE) which then issues securities to investors. Rabobank has the option of retaining an interest in these assets in the form of subordinated interest-only strips, subordinated securities, spread accounts, servicing rights, guarantees, put and call options or other constructions. A financial asset (or a portion thereof) is derecognized where: The rights to the cash flows from the asset expire; The rights to the cash flows from the asset and substantially all the risks and rewards of ownership of the asset are transferred; A contractual obligation is assumed to transfer the cash flows from the asset and substantially all the risks and rewards have been transferred; or Substantially all the risks and rewards are neither transferred nor retained but where control over the asset is not retained. A financial liability or a part thereof is derecognized if it ceases to exist, i.e. after the contractual obligation has been fulfilled or cancelled or has expired. Continuing involvement is recognized if Rabobank neither retains nor transfers substantially all the risks and rewards and control has retained. The asset is recognized to the extent of Rabobanks continuing involvement in it. Where a transaction does not meet these conditions for derecognition, it is recognized as a loan for which security has been provided. To the extent that the transfer of a financial asset Annual Report 2018 - Consolidated Financial Statements 140

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Annual Reports Rabobank | 2018 | | pagina 142