About this Chairman's Corporate Consolidated Financial Company Financial
Report Foreword Management Report Appendices Governance Statements Statements
The hedged ratio of the IFRS 9 fair value hedges is the actual
economic hedge (notional issued bond and notional cross
currency interest rate swap).
Maturity Profile and Average Interest Rate of Hedging Instruments in Fair Value Hedges
On December 31,2018
Amounts in millions of euros
Fair value hedges
Hedging instrument - Hedge of
financial assets
Average fixed interest rate
Hedging instrument - Hedge of
financial liabilities
Average fixed interest rate
Total notional amount
51,852
1.89%
62,604
2.39%
Remaining maturity
Less than 1 year 1 - 5 years
7,553
1.18%
3,954
2.90%
31,990
1.87%
18,797
2.02%
Longer than 5years
12,309
2.38%
39,853
2.51%
Designated Hedging Instruments in Fair Value Hedges of Interest Rate Risk
On December 31,2018
Amounts in millions of euros
Designated hedging instruments - fair value hedges
Hedge of loans and advances to customers
Hedge of financial assets at fair value through other comprehensive income
Hedge of issued debt securities
Carrying amount
derivative financial
assets
101
19
3,156
Carrying amount Change in fair value
derivative financial used for calculating
liabilities hedge ineffectiveness
4,014
457
699
305
(148)
636
Hedge ineffectiveness of fair value hedging amounts to
EUR 174 million and is included in the statement of income on line
item "Gains/ (losses) on financial assets and liabilities at fair value
through profit or loss".
Designated Hedged Items in Fair Value Hedges of Interest Rate Risk
On December 31,2018
Amounts in millions of euros
Designated hedged items
Loans and advances to customers
Financial assets at fair value through other comprehensive income
Issued debt securities
Accumulated amount
of fair value hedge
adjustment on the Change in fair value
Carrying amount hedged item included used for calculating
in the carrying hedge ineffectiveness
amount of the hedged
item
43,013
8,188
37,935
5,784
463
1,375
Accumulated
amount of fair value
hedge adjustments
remaining for any
hedged items that
have ceased to be
adjusted for hedging
gains and losses
(285)
159
841
6,309
412
1,077
Cash flow hedges
Rabobank's cash flow hedges mainly consist of hedges of the
margin of issued bonds in foreign currency hedged with cross-
currency interest rate swaps to protect against a potential change
in cash flows due to change in foreign currency rates. Rabobank
assesses the hedge effectiveness based on statistical regression
analysis models, both prospectively and retrospectively for IAS 39
cash flow hedges and analyzes the sources of ineffectiveness for
IFRS 9 cash flow hedges. The IFRS 9 cash flow hedges are 100%
effective. The interest rate risk is not hedged in the cash flow
hedge (two fixed legs, foreign cu rrency and Euro) and the average
interest rate is therefore not disclosed in the table below.
Annual Report2018-Consolidated Financial Statements
180
