Notes to the company financial statements
|
Cash and balances with central banks |
|
|
1 |
|
In EUR millions |
2009 |
2008 |
||
|
Cash and balances with central banks |
1,353 |
1,113 |
||
|
1,353 |
1,113 |
The amounts included in cash and balances with central banks are available on demand.
Balances held with central banks are interest bearing.
The fair value of this balance sheet item does not materially deviate from its face value, due to the short term nature of the underlying assets.
|
Due from other banks |
|
|
2 |
|
In EUR millions |
2009 |
2008 |
||
|
Current accounts |
189 |
76 |
||
|
Deposits with other banks |
2,334 |
1,446 |
||
|
Due from group companies |
426 |
513 |
||
|
2,949 |
2,035 |
|
In EUR millions |
2009 |
2008 |
||
|
DUE FroM OTHER BANKS CAN BE CATEGORISED AS FOLLOWS: |
||||
|
Receivable on demand |
188 |
176 |
||
|
Cash collateral placements posted under CSA agreements |
1,051 |
933 |
||
|
Not receivable on demand |
1,710 |
926 |
||
|
2,949 |
2,035 |
|
In EUR millions |
2009 |
2008 |
||
|
The legal maturity analysis of due from other banks not |
||||
|
In three months or less |
1,692 |
548 |
||
|
In more than three months but not longer than one year |
2 |
32 |
||
|
In more than one year but not longer than five years |
11 |
18 |
||
|
Longer than five years |
5 |
328 |
||
|
1,710 |
926 |
There are no subordinated loans outstanding due from other banks in 2009 and 2008.
The fair value of this balance sheet item does not materially deviate from its face value, due to the short-term nature of the underlying assets and the credit quality of the counterparties.
Other than from group companies, NIBC does not have receivables from other participating interests.
No impairments were recorded in 2009 or 2008 on the amounts due from other banks.
An amount of EUR 1,051 million (2008: EUR 933 million) relates to cash collateral given to third parties and is not freely available to NIBC.
NIBC transacted several reverse repurchase transactions with third parties. The related disclosures are included in repurchase and resale agreements (see note 20).
|
Loans and receivables |
|
|
3 |
|
In EUR millions |
2009 |
2008 |
||
|
Loans - amortised cost |
5,902 |
5,489 |
||
|
Loans - fair value through profit or loss |
1,697 |
1,841 |
||
|
Public sector |
36 |
38 |
||
|
Group companies - amortised cost |
6,987 |
7,167 |
||
|
14,622 |
14,535 |
|
In EUR millions |
2009 |
2008 |
||
|
The legal maturity analysis of loans and receivables is analysed as follows: |
||||
|
In three months or less |
3,958 |
5,284 |
||
|
In more than three months but not longer than one year |
436 |
203 |
||
|
In more than one year but not longer than five years |
4,118 |
2,209 |
||
|
Longer than five years |
6,110 |
6,839 |
||
|
14,622 |
14,535 |
|
In EUR millions |
2009 |
2008 |
||
|
Impairment losses on loans and receivables: |
||||
|
Balance at 1 January |
9 |
60 |
||
|
Additional allowances |
69 |
67 |
||
|
Write-offs |
(22) |
(11) |
||
|
Amounts released |
(10) |
(25) |
||
|
Unwinding of discount adjustment |
(1) |
(4) |
||
|
Differences due to foreign currency translation |
1 |
(4) |
||
|
Impact IAS 39 implementation |
- |
(74) |
||
|
Balance at 31 December |
46 |
9 |
The amount of the loss is measured as the difference between the asset’s carrying amount and the present value of estimated future cash flows (excluding future credit losses that have not been incurred) discounted at the financial asset’s original effective interest rate.
Impairment losses of loans at available for sale are defined to be the difference between the fair value of loans that exhibit indicators of impairment and original cost.
The maximum credit risk exposure for loans including undrawn credit facilities amounts to EUR 7,710 million in 2009 (2008: EUR 8,812 million), excluding the group companies.
The total amount of subordinated loans in this item, as at 31 December 2009, amounts to EUR 123 million (2008: EUR 106 million), of which EUR 14 million (2008: EUR 38 million) has been guaranteed by the Dutch State. No subordinated loans are included with respect to group companies.
As per 31 December 2009, EUR 36 million (2008: EUR 38 million) is guaranteed by the Dutch State.
If NIBC had fair valued the loans classified as amortised cost, then the balance sheet amount would decrease at the balance sheet date by EUR 184 million (2008: EUR 380 million) excluding group companies. This decrease reflects both changes due to interest rates and credit spreads.
As a policy, NIBC does not provide loans to its executives.
On 1 July 2008, following the IAS 39 amendments, an amount of EUR 74 million of the impairments related to the available for sale loans were reclassified to the loans category at amortised cost. The total amount of loans in the available for sale category net of impairments has been reclassified to the loans category at amortised cost as at 1 July 2008.
For the impact of the reclassifications following International Accounting Standards Board (IASB) amendments ‘IAS 39 Financial Instruments: Recognition and Measurements’ on the income statement and on shareholder’s equity see notes to the consolidated financial statements 2009 of NIBC.
|
Interest bearing securities |
|
|
4 |
|
In EUR millions |
2009 |
2008 |
||
|
Amortised cost |
597 |
809 |
||
|
Available for sale |
714 |
34 |
||
|
Fair value through profit or loss |
797 |
1,491 |
||
|
Held for trading |
79 |
98 |
||
|
2,187 |
2,432 |
The table above displays the IFRS accounting treatment of interest bearing securities.
All interest bearing securities are non-government.
All held for trading interest bearing securities are listed.
|
In EUR millions |
2009 |
2008 |
||
|
INTEREST BEARING SECURITIES AT AMORTISED COST, AT AVAILABLE FOR SALE AND DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS CAN BE CATEGORISED AS FOLLOWS: |
||||
|
Listed |
1,260 |
1,271 |
||
|
Unlisted |
848 |
1,063 |
||
|
2,108 |
2,334 |
|
In EUR millions |
2009 |
2008 |
||
|
THE LEGAL MATURITY ANALYSIS OF INTEREST BEARING SECURITIES AT AMORTISED COST, AT AVAILABLE FOR SALE AND DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS IS ANALYSED AS FOLLOWS: |
||||
|
In three months or less |
116 |
51 |
||
|
In more than three months but not longer than one year |
472 |
753 |
||
|
In more than one year but not longer than five years |
1,159 |
897 |
||
|
Longer than five years |
361 |
633 |
||
|
2,108 |
2,334 |
|
In EUR millions |
2009 |
2008 |
||
|
THE MOVEMENT IN INTEREST BEARING SECURITIES AT AMORTISED COST, AT AVAILABLE FOR SALE AND DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS IS ANALYSED AS FOLLOWS: |
||||
|
Balance at 1 January |
2,334 |
2,008 |
||
|
Additions |
1,106 |
871 |
||
|
Disposals (sale and redemption) |
(1,291) |
(1,372) |
||
|
Impact IAS 39 amendments |
- |
888 |
||
|
Impairments and changes in fair value |
(42) |
(29) |
||
|
Exchange differences |
1 |
(32) |
||
|
Balance at 31 December |
2,108 |
2,334 |
Subordinated assets included in interest bearing securities amount to EUR 4 million (2008: EUR 19 million).
Interest bearing securities do not include assets issued and bought by NIBC for market-making purposes. Any such assets are eliminated from the balance sheet.
Interest income from interest bearing securities and other fixed-income instruments is recognised in interest and similar income at the effective interest rate. Fair value movements (excluding interest) are recognised in net trading income.
The portion of fair value changes in 2009 included in the balance sheet amount (designated at fair value through profit or loss) at 31 December 2009 relating to the movement in credit spreads amounts to EUR 1 million debit, being an increase in the carrying value of the asset (2008: EUR 21 million credit).
For the interest bearing securities at amortised cost, the maximum credit exposure amounts to EUR 597 million (2008: EUR 825 million). The other interest bearing securities are reported at fair value, which represents the maximum credit exposure for these assets.
If NIBC had fair valued the interest bearing securities classified as amortised cost, then the balance sheet amount would decrease at the balance sheet date by EUR 154 million (2008: EUR 168 million). This decrease reflects both changes due to interest rates and credit spreads.
In 2009, EUR 13 million were recorded as impairments on interest bearing assets as amortised cost. No impairments were recorded in 2008.
As at 1 July 2008 debt investments from the available for sale and held for trading category were reclassified to debt investments at amortised costs.
For the impact of the implementation of IASB amendments ‘IAS 39 Financial Instruments: Recognition and Measurements’ on the income statement and on shareholder’s equity see notes to the consolidated financial statements 2009 of NIBC.
|
Equity investments |
|
|
5 |
|
In EUR millions |
2009 |
2008 |
||
|
Equity investments |
||||
|
Available for sale |
17 |
17 |
||
|
Fair value through profit or loss |
2 |
- |
||
|
19 |
17 |
|
In EUR millions |
2009 |
2008 |
||
|
Listed |
8 |
8 |
||
|
Unlisted |
11 |
9 |
||
|
19 |
17 |
|
In EUR millions |
2009 |
2008 |
||
|
The movement in equity investments at available for sale may be summarised as follows: |
||||
|
Balance at 1 January |
17 |
30 |
||
|
Gains/(losses) from changes in fair value |
- |
(13) |
||
|
Balance at 31 December |
17 |
17 |
|
In EUR millions |
2009 |
2008 |
||
|
IMPAIRMENT LOSSES ON EQUITY INVESTMENTS |
||||
|
Balance at 1 January |
8 |
8 |
||
|
Additional allowances |
- |
- |
||
|
Balance at 31 December |
8 |
8 |
|
In EUR millions |
2009 |
2008 |
||
|
THE MOVEMENT IN EQUITY INVESTMENTS DESIGNATED AT FAIR VALUE THROUGH PROFIT OR LOSS MAY BE SUMMARISED AS FOLLOWS: |
||||
|
Balance at 1 January |
- |
- |
||
|
Additions |
1 |
- |
||
|
Gains/(losses) from changes in fair value |
1 |
- |
||
|
Balance at 31 December |
2 |
- |
Equity investments are reported at available for sale and at fair value through profit or loss.
Impairment losses for equity investments at available for sale are defined as the difference between the fair value of equity investments that exhibit indicators of impairment and original cost.
|
Participating interests in group companies |
|
|
6 |
|
In EUR millions |
2009 |
2008 |
||
|
Participating interests in group companies |
850 |
887 |
||
|
850 |
887 |
|
In EUR millions |
2009 |
2008 |
||
|
THE MOVEMENT IN Participating interests in group companies MAY BE SUMMARISED AS FOLLOWS: |
||||
|
Balance at 1 January |
887 |
980 |
||
|
Purchases and investments |
- |
- |
||
|
Disposals |
(3) |
(5) |
||
|
Revaluation |
(9) |
(44) |
||
|
Dividend received |
- |
(47) |
||
|
Results of group companies |
(22) |
- |
||
|
Exchange differences |
(3) |
3 |
||
|
Balance at 31 December |
850 |
887 |
The group companies are unlisted.
Participating interests in group companies are accounted for at net asset value.
NIBC Bank Ltd included in group companies is a registered credit institution in Singapore.
|
Other participating interests |
|
|
7 |
|
In EUR millions |
2009 |
2008 |
||
|
Other participating interests |
1 |
2 |
||
|
1 |
2 |
|
In EUR millions |
2009 |
2008 |
||
|
THE MOVEMENT IN OTHER PARTICIPATING INTERESTS MAY BE SUMMARISED AS FOLLOWS: |
||||
|
Balance at 1 January |
2 |
1 |
||
|
Purchases and investments |
- |
2 |
||
|
Disposals |
(1) |
(1) |
||
|
Balance at 31 December |
1 |
2 |
Other participating interests are accounted for at net asset value.
On the balance sheet dates at the end of 2009 and 2008, all other participating interests were unlisted.
The other participating interests are not registered as credit institutions.
There are no significant restrictions on the ability of other participating interests to transfer funds to the investor in the form of cash dividends, or repayment of loans.
There is no unrecognised share of losses of other participating interests, both for the period and cumulatively.
|
Property, plant and equipment |
|
|
8 |
|
In EUR millions |
2009 |
2008 |
||
|
Land and buildings (in own use) / leasehold improvements |
9 |
10 |
||
|
Other fixed assets |
6 |
5 |
||
|
15 |
15 |
|
In EUR millions |
2009 |
2008 |
||
|
THE MOVEMENT IN PROPERTY, PLANT AND EQUIPMENT MAY BE SUMMARISED AS FOLLOWS: |
||||
|
Balance at 1 January |
15 |
52 |
||
|
Additions |
5 |
2 |
||
|
Transferred to assets held under financial lease |
- |
(22) |
||
|
Reallocated revaluation to group companies |
- |
(10) |
||
|
Depreciation |
(5) |
(7) |
||
|
Balance at 31 December |
15 |
15 |
|
In EUR millions |
2009 |
2008 |
||
|
THE ACCUMULATED DEPRECATION IN PROPERTY, PLANT AND EQUIPMENT CAN BE CATEGORISED AS FOLLOWS: |
||||
|
Land and buildings (in own use) / leasehold improvements |
9 |
7 |
||
|
Other fixed assets |
15 |
17 |
||
|
24 |
24 |
For information about insurance of property, plant and equipment please refer to note 30 of the consolidated financial statements.
There is no property, plant and equipment pledged as security for liabilities.
There are no expenditures recognised in the carrying amount of property, plant and equipment in the course of its construction at 31 December 2009 and 31 December 2008.
There are no contractual commitments for the acquisition of property, plant and equipment at 31 December 2009 and 31 December 2008.
The fair value of land and buildings (in own use) does not materially deviate from its carrying value.
NIBC’s land and buildings in own use were last revalued as of 31 December 2006 based on an external appraisal carried out in January 2007.
|
Assets held under financial lease |
|
|
9 |
|
In EUR millions |
2009 |
2008 |
||
|
Assets held under financial lease |
21 |
22 |
||
|
21 |
22 |
|
In EUR millions |
2009 |
2008 |
||
|
MOVEMENT IN ASSETS HELD UNDER FINANCIAL LEASE may be summarised AS FOLLOWS: |
||||
|
Balance at 1 January |
22 |
- |
||
|
Transferred from property, plant and equipment |
- |
22 |
||
|
Depreciation |
(1) |
- |
||
|
Balance at 31 December |
21 |
22 |
Assets held under financial lease are pledged as security for liabilities to group companies.
There are no expenditures recognised in the carrying amount of assets held under financial lease in the course of its construction at 31 December 2009 and 31 December 2008.
There are no contractual commitments for the acquisition of assets held under financial lease at 31 December 2009 (2008: nil).
No impairments were recorded in 2009 and 2008 on the amounts assets held under financial lease.
The fair value of land and buildings (in own use) does not materially deviate from its carrying value.
|
Derivative financial instruments |
|
|
10 |
|
In EUR millions |
2009 |
2008 |
||
|
Derivative financial assets |
||||
|
Derivative financial assets held for trading (trading portfolios) |
3,109 |
3,066 |
||
|
Derivative financial assets held for trading (other portfolios) |
513 |
637 |
||
|
Derivative financial assets used for hedging |
242 |
216 |
||
|
3,864 |
3,919 |
|
In EUR millions |
2009 |
2008 |
||
|
Derivative financial liabilities |
||||
|
Derivative financial liabilities held for trading (trading portfolios) |
2,970 |
3,100 |
||
|
Derivative financial liabilities held for trading (other portfolios) |
486 |
572 |
||
|
Derivative financial liabilities used for hedging |
80 |
42 |
||
|
3,536 |
3,714 |
|
Derivative financial instruments – held for trading (trading portfolios) at 31 December 2009 |
||||||||||||
|
in EUR millions |
Notional amount with remaining life of |
|||||||||||
|
Less than three months |
Between three months and one year |
More than one year |
Total |
Assets |
Liabilities |
|||||||
|
Interest rate derivatives |
||||||||||||
|
OTC-products: |
||||||||||||
|
Interest rate swaps |
12,513 |
9,288 |
77,557 |
99,358 |
2,471 |
2,530 |
||||||
|
Interest rate options (purchase) |
- |
130 |
955 |
1,085 |
21 |
- |
||||||
|
Interest rate options (sale) |
4 |
125 |
922 |
1,051 |
- |
14 |
||||||
|
Subtotal |
12,517 |
9,543 |
79,434 |
101,494 |
2,492 |
2,544 |
||||||
|
Currency derivatives |
||||||||||||
|
OTC-products: |
||||||||||||
|
Currency/cross currency swaps |
- |
951 |
1,356 |
2,307 |
596 |
398 |
||||||
|
Subtotal |
- |
951 |
1,356 |
2,307 |
596 |
398 |
||||||
|
Other derivatives |
||||||||||||
|
OTC-products: |
||||||||||||
|
Other swaps |
- |
2,000 |
169 |
2,169 |
4 |
17 |
||||||
|
Other options (purchase) |
24 |
54 |
74 |
152 |
17 |
- |
||||||
|
Other options (sale) |
24 |
54 |
74 |
152 |
- |
11 |
||||||
|
Subtotal |
48 |
2,108 |
317 |
2,473 |
21 |
28 |
||||||
|
Total derivatives held for trading (trading portfolios) |
12,565 |
12,602 |
81,107 |
106,274 |
3,109 |
2,970 |
||||||
|
Derivative financial instruments - held for trading (trading portfolios) at 31 December 2008 |
||||||||||||
|
in EUR millions |
Notional amount with remaining life of |
|||||||||||
|
Less than three months |
Between three months and one year |
More than one year |
Total |
Assets |
Liabilities |
|||||||
|
Interest rate derivatives |
||||||||||||
|
OTC-products: |
||||||||||||
|
Forward rate agreements |
750 |
- |
- |
750 |
4 |
16 |
||||||
|
Interest rate swaps |
11,228 |
11,901 |
83,255 |
106,384 |
2,419 |
2,525 |
||||||
|
Interest rate options (purchase) |
- |
42 |
685 |
727 |
13 |
- |
||||||
|
Interest rate options (sale) |
11 |
91 |
619 |
721 |
- |
12 |
||||||
|
Subtotal |
11,989 |
12,034 |
84,559 |
108,582 |
2,436 |
2,553 |
||||||
|
Currency derivatives |
||||||||||||
|
OTC-products: |
||||||||||||
|
Currency/cross currency swaps |
154 |
1,180 |
2,970 |
4,304 |
582 |
502 |
||||||
|
Subtotal |
154 |
1,180 |
2,970 |
4,304 |
582 |
502 |
||||||
|
Other derivatives |
||||||||||||
|
OTC-products: |
||||||||||||
|
Other swaps |
- |
14 |
967 |
981 |
12 |
23 |
||||||
|
Other options (purchase) |
- |
10 |
153 |
163 |
36 |
- |
||||||
|
Other options (sale) |
- |
10 |
153 |
163 |
- |
22 |
||||||
|
Subtotal |
- |
34 |
1,273 |
1,307 |
48 |
45 |
||||||
|
Total derivatives held for trading (trading portfolios) |
12,143 |
13,248 |
88,802 |
114,193 |
3,066 |
3,100 |
||||||
|
Derivative financial instruments - held for trading (other portfolios) at 31 December 2009 |
||||||||||||
|
in EUR millions |
Notional amount with remaining life of |
|||||||||||
|
Less than three months |
Between three months and one year |
More than one year |
Total |
Assets |
Liabilities |
|||||||
|
Interest rate derivatives |
||||||||||||
|
OTC-products: |
||||||||||||
|
Interest rate swaps |
341 |
697 |
14,023 |
15,061 |
438 |
435 |
||||||
|
Subtotal |
341 |
697 |
14,023 |
15,061 |
438 |
435 |
||||||
|
Currency derivatives |
||||||||||||
|
OTC-products: |
||||||||||||
|
Forward rate agreements |
74 |
42 |
29 |
145 |
5 |
5 |
||||||
|
Interest currency rate swaps |
2,571 |
284 |
1,863 |
4,718 |
68 |
44 |
||||||
|
Other currency contracts |
33 |
39 |
30 |
102 |
- |
1 |
||||||
|
Subtotal |
2,678 |
365 |
1,922 |
4,965 |
73 |
50 |
||||||
|
OTC-products: |
||||||||||||
|
Credit default swaps (guarantees given) |
- |
23 |
99 |
122 |
2 |
1 |
||||||
|
Credit default swaps (guarantees received) |
3 |
- |
- |
3 |
- |
- |
||||||
|
Other options (sale) |
- |
- |
77 |
77 |
- |
- |
||||||
|
Subtotal |
3 |
23 |
176 |
202 |
2 |
1 |
||||||
|
Total derivatives held for trading (other portfolios) |
3,022 |
1,085 |
16,121 |
20,228 |
513 |
486 |
||||||
|
Derivative financial instruments - held for trading (other portfolios) at 31 December 2008 |
||||||||||||
|
in EUR millions |
Notional amount with remaining life of |
|||||||||||
|
Less than three months |
Between three months and one year |
More than one year |
Total |
Assets |
Liabilities |
|||||||
|
Interest rate derivatives |
||||||||||||
|
OTC-products: |
||||||||||||
|
Interest rate swaps |
133 |
265 |
3,186 |
3,584 |
342 |
519 |
||||||
|
Subtotal |
133 |
265 |
3,186 |
3,584 |
342 |
519 |
||||||
|
Currency derivatives |
||||||||||||
|
OTC-products: |
||||||||||||
|
Forward rate agreements |
45 |
61 |
89 |
195 |
7 |
6 |
||||||
|
Interest currency rate swaps |
137 |
77 |
323 |
537 |
279 |
41 |
||||||
|
Other currency contracts |
32 |
57 |
111 |
200 |
- |
3 |
||||||
|
Subtotal |
214 |
195 |
523 |
932 |
286 |
50 |
||||||
|
OTC-products: |
||||||||||||
|
Credit default swaps (guarantees given) |
18 |
22 |
89 |
129 |
1 |
2 |
||||||
|
Credit default swaps |
- |
- |
27 |
27 |
1 |
1 |
||||||
|
Other options (purchase) |
5 |
12 |
78 |
95 |
7 |
- |
||||||
|
Subtotal |
23 |
34 |
194 |
251 |
9 |
3 |
||||||
|
Total derivatives held for trading (other portfolios) |
370 |
494 |
3,903 |
4,767 |
637 |
572 |
||||||
|
Derivative financial instruments - used for hedging at 31 December 2009 |
||||||||||||
|
in EUR millions |
Notional amount with remaining life of |
Total |
||||||||||
|
Less than three months |
Between three months and one year |
More than one year |
Assets |
Liabilities |
||||||||
|
DERIVATIVES ACCOUNTED FOR AS FAIR VALUE HEDGES OF INTEREST RATE RISK |
||||||||||||
|
OTC-products: |
||||||||||||
|
Interest rate swaps |
25 |
117 |
6,663 |
6,805 |
146 |
78 |
||||||
|
Interest currency rate swaps |
7 |
24 |
115 |
146 |
16 |
1 |
||||||
|
Subtotal |
32 |
141 |
6,778 |
6,951 |
162 |
79 |
||||||
|
Derivatives accounted |
||||||||||||
|
OTC-products: |
||||||||||||
|
Interest rate swaps |
- |
- |
1,651 |
1,651 |
80 |
1 |
||||||
|
Subtotal |
- |
- |
1,651 |
1,651 |
80 |
1 |
||||||
|
Total derivatives used for hedging |
32 |
141 |
8,429 |
8,602 |
242 |
80 |
||||||
|
Derivative financial instruments - used for hedging at 31 December 2008 |
||||||||||||
|
in EUR millions |
Notional amount with remaining life of |
Total |
||||||||||
|
Less than three months |
Between three months and one year |
More than one year |
Assets |
Liabilities |
||||||||
|
DERIVATIVES ACCOUNTED FOR AS FAIR VALUE HEDGES OF INTEREST RATE RISK |
||||||||||||
|
OTC-products: |
||||||||||||
|
Interest rate swaps |
285 |
1,374 |
4,912 |
6,571 |
70 |
41 |
||||||
|
Interest currency rate swaps |
807 |
99 |
731 |
1,637 |
39 |
1 |
||||||
|
Subtotal |
1,092 |
1,473 |
5,643 |
8,208 |
109 |
42 |
||||||
|
Derivatives accounted |
||||||||||||
|
OTC-products: |
||||||||||||
|
Interest rate swaps |
- |
- |
429 |
429 |
107 |
- |
||||||
|
Subtotal |
- |
- |
429 |
429 |
107 |
- |
||||||
|
Total derivatives used for hedging |
1,092 |
1,473 |
6,072 |
8,637 |
216 |
42 |
||||||
Fair value hedges of interest rate risk
The interest rate risk of financial assets with a fixed interest rate classified at available for sale or at amortised costs are hedged with interest rate swaps under which NIBC pays a fixed rate and receives floating rates. Fair value hedge accounting is applied to these so-called hedge relationships.
Interest rate swaps under which NIBC pays a floating rate and receives a fixed rate, are used in fair value hedges of fixed interest rate liabilities (as far as not held for trading purposes or designated at fair value through profit or loss).
The following table discloses the fair value of the swaps designated in fair value hedging relationships.
|
In EUR millions |
2009 |
2008 |
|||
|
Fair value pay - fixed swaps (hedging assets) |
assets |
- |
12 |
||
|
Fair value pay - fixed swaps (hedging assets) |
liabilities |
(38) |
(29) |
||
|
(38) |
(17) |
||||
|
In EUR millions |
2009 |
2008 |
|||
|
Fair value pay - floating swaps (hedging liabilities) |
assets |
162 |
97 |
||
|
Fair value pay - floating swaps (hedging liabilities) |
liabilities |
(41) |
(13) |
||
|
121 |
84 |
Cash flow hedges of interest rate risk
The following table discloses the fair value of the swaps designated in cash flow hedging relationships.
|
In EUR millions |
2009 |
2008 |
|||
|
Fair value receive - fixed swaps |
assets |
79 |
107 |
||
|
Fair value receive - fixed swaps |
liabilities |
(1) |
- |
||
|
78 |
107 |
||||
|
In EUR millions |
2009 |
2008 |
|||
|
Fair value receive - floating swaps |
assets |
1 |
- |
||
|
Fair value receive - floating swaps |
liabilities |
- |
- |
||
|
1 |
- |
Sum of fair value and cash flow hedges of interest rate risk
|
In EUR millions |
2009 |
2008 |
|||
|
Fair value pay swaps |
assets |
162 |
109 |
||
|
Fair value receive swaps |
assets |
80 |
107 |
||
|
242 |
216 |
||||
|
In EUR millions |
2009 |
2008 |
|||
|
Fair value pay swaps |
liabilities |
(79) |
(42) |
||
|
Fair value receive swaps |
liabilities |
(1) |
- |
||
|
(80) |
(42) |
The average remaining maturity (in which the related cash flows are expected to enter into the determination of profit and loss) is three years (2008: four years).
|
Prepayments and accrued income |
|
|
11 |
|
In EUR millions |
2009 |
2008 |
||
|
Interest |
- |
3 |
||
|
Current tax |
19 |
12 |
||
|
Accrued income and prepayments |
21 |
33 |
||
|
40 |
48 |
|
Due to other banks |
|
|
12 |
|
In EUR millions |
2009 |
2008 |
||
|
Due to other banks |
1,741 |
4,100 |
||
|
1,741 |
4,100 |
|
In EUR millions |
2009 |
2008 |
||
|
Payable on demand |
62 |
12 |
||
|
Not payable on demand |
1,679 |
4,088 |
||
|
1,741 |
4,100 |
|
In EUR millions |
2009 |
2008 |
||
|
THE LEGAL MATURITY ANALYSIS OF DUE TO OTHER BANKS NOT PAYABLE ON DEMAND IS ANALYSED AS FOLLOWS: |
||||
|
In three months or less |
231 |
2,120 |
||
|
In more than three months but not longer than one year |
603 |
1,269 |
||
|
In more than one year but not longer than five years |
818 |
464 |
||
|
Longer than five years |
27 |
235 |
||
|
1,679 |
4,088 |
Interest is recognised in interest expense and similar charges on an effective interest basis.
NIBC transacted several repurchase transactions with third parties. The related disclosures are included in repurchase and resale agreements (see note 20).
|
Deposits from customers |
|
|
13 |
|
In EUR millions |
2009 |
2008 |
||
|
Deposits from customers |
7,001 |
5,711 |
||
|
7,001 |
5,711 |
|
In EUR millions |
2009 |
2008 |
||
|
deposits from customers can be categorised as follows: |
||||
|
Certificates of deposits |
608 |
3,845 |
||
|
Due to customers |
6,393 |
1,866 |
||
|
7,001 |
5,711 |
|
In EUR millions |
2009 |
2008 |
||
|
deposits from customers can be categorised as follows: |
||||
|
Payable on demand |
2,717 |
1,120 |
||
|
Not payable on demand |
4,284 |
4,591 |
||
|
7,001 |
5,711 |
|
In EUR millions |
2009 |
2008 |
||
|
THE LEGAL MATURITY ANALYSIS OF DEPOSITS FROM CUSTOMERS NOT PAYABLE ON DEMAND IS ANALYSED AS FOLLOWS: |
||||
|
In three months or less |
3,024 |
3,071 |
||
|
In more than three months but not longer than one year |
660 |
213 |
||
|
In more than one year but not longer than five years |
523 |
718 |
||
|
Longer than five years |
77 |
589 |
||
|
4,284 |
4,591 |
Interest is recognised in interest expense and similar charges on an effective interest basis.
The balance sheet item includes EUR 2,581 million (2008: EUR 3,771 million) in respect of deposits from customers to group companies.
The balance sheet item includes all non-subordinated liabilities other than debt securities and amounts owed to credit institutions.
|
Debt securities |
|
|
14 |
|
In EUR millions |
2009 |
2008 |
||
|
Bonds and notes issued - amortised costs |
9,395 |
6,461 |
||
|
Bonds and notes issued - fair value through profit or loss |
1,896 |
2,499 |
||
|
Fair value hedge adjustment on amortised cost bonds and notes issued |
30 |
48 |
||
|
11,321 |
9,008 |
|
In EUR millions |
2009 |
2008 |
||
|
The legal maturity analysis of debt securities |
||||
|
In three months or less |
544 |
918 |
||
|
In more than three months but not longer than one year |
753 |
1,503 |
||
|
In more than one year but not longer than five years |
8,219 |
4,708 |
||
|
Longer than five years |
1,805 |
1,879 |
||
|
11,321 |
9,008 |
For an amount of EUR 6,497 million of the issued notes, the Dutch State has unconditionally and irrevocably guaranteed the due payment of all amounts of principal and interest due by NIBC under these notes according and subject to (I) the Rules governing the 2008 Dutch State’s Credit Guarantee Scheme and (II) the Guarantee Certificate issued under those Rules in respect of these Notes. Those Rules and that Guarantee Certificate are available at www.dutchstate.nl.
The balance sheet item includes debentures and other negotiable fixed-income debt investments, other than subordinated items.
|
Other liabilities |
|
|
15 |
|
In EUR millions |
2009 |
2008 |
||
|
Interest |
15 |
30 |
||
|
Accruals |
71 |
46 |
||
|
Payables |
19 |
25 |
||
|
Finance lease liabilities |
21 |
22 |
||
|
126 |
123 |
Finance lease liabilities
The lease liabilities are effectively secured as the rights to the leased asset revert to the lessor in event of default.
|
In EUR millions |
2009 |
2008 |
||
|
THE LEGAL MATURITY ANALYSIS OF THE GROSS FINANCE LEASE LIABILITIES - MINIMUM LEASE PAYMENTS - IS ANALYSED AS FOLLOWS: |
||||
|
Not longer than one year |
2 |
2 |
||
|
In more than one year but not longer than five years |
8 |
8 |
||
|
Longer than five years |
22 |
24 |
||
|
32 |
34 |
|
In EUR millions |
2009 |
2008 |
||
|
The present value of the finance lease liabilities |
||||
|
Gross financial lease liability |
32 |
34 |
||
|
Future finance charge of finance leases |
(11) |
(12) |
||
|
21 |
22 |
|
In EUR millions |
2009 |
2008 |
||
|
THE LEGAL MATURITY ANALYSIS OF THE PRESENT VALUE OF FINANCE LEASE LIABILITIES IS ANALYSED AS FOLLOWS: |
||||
|
Not longer than one year |
2 |
2 |
||
|
In more than one year but not longer than five years |
6 |
6 |
||
|
Longer than five years |
13 |
14 |
||
|
21 |
22 |
At the end of 2009, NIBC has leased land and buildings. The annual lease payments (related to the financial lease) are EUR 2 million.
The remaining contractual term of the finance lease contract(s) is nine years.
|
Provisions |
|
|
16 |
|
In EUR millions |
2009 |
2008 |
||
|
Deferred tax |
17 |
51 |
||
|
Employee benefits |
6 |
8 |
||
|
23 |
59 |
For a specification of the employee benefits please refer to note 42 of the consolidated financial statements.
|
Deferred tax |
||||
|
In EUR millions |
2009 |
2008 |
||
|
THE AMOUNTS OF DEFERRED income TAX ASSETS, WITHOUT TAKING INTO CONSIDERATION THE OFFSETTING OF BALANCES WITHIN THE SAME JURISDICTION, IS AS FOLLOWS: |
||||
|
Loans to customers |
9 |
7 |
||
|
Debt securities |
3 |
5 |
||
|
Tax losses carried forward |
3 |
- |
||
|
15 |
12 |
|||
|
The amounts of deferred income tax liabilities, without taking into consideration the offsetting of balances within the same jurisdiction, is as follows: |
||||
|
Equity investments |
- |
1 |
||
|
Cash flow hedges |
14 |
26 |
||
|
Property |
5 |
8 |
||
|
Temporary differences as a result of internal securitisations |
13 |
28 |
||
|
32 |
63 |
|||
|
(17) |
(51) |
|||
|
In EUR millions |
2009 |
2008 |
||
|
The gross movement on the deferred income tax account may be summarised as follows: |
||||
|
Balance at 1 January |
(51) |
(4) |
||
|
LOANS (reported as available for sale): |
||||
|
Fair value remeasurement (charged)/credited to revaluation reserve |
2 |
(11) |
||
|
DEBT INVESTMENTS (reported as available for sale): |
||||
|
Fair value remeasurement (charged)/credited to revaluation reserve |
(2) |
3 |
||
|
PROPERTY (reported at fair value): |
||||
|
(Charged)/credited to the income statement |
3 |
- |
||
|
EQUITY INVESTMENTS (reported as available for sale): |
||||
|
Fair value remeasurement (charged)/credited to revaluation reserve |
1 |
3 |
||
|
CASH FLOW HEDGES: |
||||
|
Fair value remeasurement (charged)/credited to hedging reserve |
12 |
(14) |
||
|
Temporary differences as a result of internal securitisations |
15 |
(28) |
||
|
Tax losses carried forward |
3 |
- |
||
|
Balance at 31 December |
(17) |
(51) |
|
Subordinated liabilities - amortised cost |
|
|
17 |
|
In EUR millions |
2009 |
2008 |
||
|
Subordinated loans qualifying as Tier-1 capital |
89 |
130 |
||
|
Other subordinated loans |
37 |
92 |
||
|
126 |
222 |
|
In EUR millions |
2009 |
2008 |
||
|
The legal maturity analysis of subordinated liabilities is analysed as follows: |
||||
|
One year or less |
- |
56 |
||
|
Longer than one year but not longer than five years |
24 |
23 |
||
|
Longer than five years but not longer than ten years |
1 |
1 |
||
|
Longer than ten years |
101 |
142 |
||
|
126 |
222 |
All of the above loans are subordinated to the other liabilities of NIBC. The EUR 89 million (2008: EUR 130 million) qualifying as Tier-1 capital is subordinated to other subordinated loans that rank pari passu. These securities are perpetual securities and may be redeemed by NIBC at its option after ten years with the prior approval of the DNB. Interest expense of EUR 8 million was recognised on these subordinated liabilities during the year 2009 (2008: EUR 14 million).
The subordinated liabilities reflect nine transactions (2008: nine transactions), of which the largest three have a size of EUR 109 million (2008: EUR 189 million).
|
Subordinated liabilities - designated at fair value through profit or loss |
|
|
18 |
|
In EUR millions |
2009 |
2008 |
||
|
Subordinated loans qualifying as Tier-1 capital |
174 |
225 |
||
|
Other subordinated loans |
195 |
242 |
||
|
369 |
467 |
|
In EUR millions |
2009 |
2008 |
||
|
The legal maturity analysis of subordinated liabilities is analysed as follows: |
||||
|
One year or less |
- |
51 |
||
|
Longer than one year but not longer than five years |
23 |
- |
||
|
Longer than five years but not longer than ten years |
67 |
113 |
||
|
Longer than ten years |
279 |
303 |
||
|
369 |
467 |
All of the above loans are subordinated to the other liabilities of NIBC. The EUR 174 million (2008: EUR 225 million) qualifying as Tier-1 capital for NIBC is subordinated to other subordinated loans that rank pari passu. These securities are perpetual securities and may be redeemed by NIBC at its option after ten years with the prior approval of the DNB. Interest expense of EUR 25 million was recognised on these subordinated liabilities during the year 2009 (2008: EUR 26 million).
The subordinated liabilities reflect 10 transactions (2008: 11 transactions), of which the largest three have a size of EUR 270 million (2008: EUR 277 million).
|
19 |
The ultimate controlling company is New NIB Limited, a company incorporated in Ireland.
|
Share capital |
||||
|
In EUR millions |
2009 |
2008 |
||
|
share capital can be categorised as follows: |
||||
|
Paid-up capital |
80 |
80 |
||
|
80 |
80 |
|||
|
2009 |
2008 |
|||
|
The number of authorised shares is specified as follows: |
||||
|
Number of authorised shares 1 |
218,937,500 |
218,937,500 |
||
|
Number of shares issued and fully paid 2 |
62,586,794 |
62,586,794 |
||
|
Par value per A-share |
1.28 |
1.28 |
||
|
Par value per preferent share |
1.00 |
1.00 |
||
|
||||
|
Other reserves |
||||
|
In EUR millions |
2009 |
2008 |
||
|
other reserves are comprised of: |
||||
|
Share premium |
238 |
238 |
||
|
Hedging reserve - cash flow hedges |
40 |
75 |
||
|
Revaluation reserve - loans and receivables |
(28) |
(64) |
||
|
Revaluation reserve - equity investments |
7 |
15 |
||
|
Revaluation reserve - debt securities |
(4) |
(18) |
||
|
Revaluation reserve - property, plant and equipment |
28 |
28 |
||
|
281 |
274 |
|||
|
in EUR millions |
Share |
Hedging |
Revaluation reserve |
Total |
||||
|
BALANCE AT 1 JANUARY 2008 |
238 |
35 |
23 |
296 |
||||
|
Net result on cash flow hedging instruments |
- |
40 |
- |
40 |
||||
|
Revaluation loans and receivables (net of tax) |
- |
- |
(14) |
(14) |
||||
|
Revaluation equity investments (net of tax) |
- |
- |
(36) |
(36) |
||||
|
Revaluation debt securities (net of tax) |
- |
- |
(12) |
(12) |
||||
|
Revaluation property, plant and equipment (net of tax) |
- |
- |
- |
- |
||||
|
TOTAL RECOGNISED DIRECTLY THROUGH OTHER COMPREHENSIVE INCOME IN EQUITY |
- |
40 |
(62) |
(22) |
||||
|
BALANCE AT 31 DECEMBER 2008 |
238 |
75 |
(39) |
274 |
|
in EUR millions |
Share |
Hedging |
Revaluation reserve |
Total |
||||
|
Balance at 1 January 2009 |
238 |
75 |
(39) |
274 |
||||
|
Net result on cash flow hedging instruments |
- |
(35) |
- |
(35) |
||||
|
Revaluation loans and receivables (net of tax) |
- |
- |
36 |
36 |
||||
|
Revaluation equity investments (net of tax) |
- |
- |
(8) |
(8) |
||||
|
Revaluation debt securities (net of tax) |
- |
- |
14 |
14 |
||||
|
Revaluation property, plant and equipment (net of tax) |
- |
- |
- |
- |
||||
|
TOTAL RECOGNISED DIRECTLY THROUGH OTHER COMPREHENSIVE INCOME IN EQUITY |
- |
(35) |
42 |
7 |
||||
|
Balance at 31 December 2009 |
238 |
40 |
3 |
281 |
If NIBC had not reclassified financial assets in 2008, fair value losses recognised for the year 2009 in the income statement, and losses recognised in the revaluation reserve in shareholder’s equity would have amounted to a net of tax loss of EUR 23 million (2008: loss of EUR 117 million) and a net tax gain of EUR 10 million (2008: los of EUR 220 million) respectively. Impairment charges would have amounted to nil for these assets that were classified out of available for sale into loans and receivables. In addition NIBC would have recognised interest income out available for sale assets for the amount of EUR 3 million (2008: EUR 8 million). For more information see note 45 of the consolidated financial statements.
Information on NIBC’s solvency ratios is included in the risk management section of this annual report.
At 31 December 2009, retained earnings and net profit attributable to the parent shareholder includes unrealised fair value changes on residential mortgages (own book and securitised), on certain non-listed trading assets, on derivatives related to residential mortgages (own book and securitised) and to these non-listed trading assets, on associates designated at fair value through profit or loss and on liabilities designated at fair value through profit or loss. With respect to unrealised fair value gains arising on these instruments, a legal reserve has been established of EUR 258 million (2008: EUR 225 million), that is included in other reserves. At the balance sheet date, for associates accounted for based on net equity method, no further legal reserve has been established for both 2009 and 2008. At the balance sheet date the legal reserve for currency translation differences are nil for both 2009 and 2008.
Including the revaluation and hedging reserves displayed in note 45 of the consolidated financial statements, total legal reserves at 31 December 2009 amount to EUR 293 million (2008: EUR 268 million).
|
Repurchase and resale agreements |
|
|
20 |
NIBC transacted several reverse repurchase transactions with third parties, in which notes amounting to a notional of EUR 1,205 million (with a fair value at 31 December 2009 of EUR 1,245 million) were transferred to NIBC from third parties at 31 December 2009 in exchange for EUR 1,228 million in deposits at 31 December 2009 for periods ranging from one day up to five days.
NIBC transacted several repurchase transactions with third parties, in which notes amounting to a notional of EUR 218 million (with a fair value at 31 December 2009 of EUR 215 million) were transferred from NIBC to third parties at 31 December 2009 in exchange for EUR 205 million in deposits at 31 December 2009 for periods ranging from one year up to three years.
NIBC conducts these transactions under terms agreed in Global Master Repurchase Agreements.
|
Commitments and contingent assets & liabilities |
|
|
21 |
At any time NIBC has outstanding commitments to extend credit. Outstanding offers for loan commitments have a commitment period that does not extend beyond the normal underwriting and settlement period of one to three months. Commitments extended to customers related to mortgages at fixed interest rates or fixed spreads are hedged with interest rate swaps recorded at fair value. These commitments are designated upon initial recognition at fair value through profit or loss.
NIBC provides financial guarantees and letters of credit to guarantee the performance of customers to third parties. These agreements have fixed limits and generally extend for a period up to five years. Expirations are not concentrated in any period.
The contractual amounts of commitments (excluding mortgages commitments which are measured at fair value through profit or loss) and contingent liabilities are set out in the following table by category. In the table it is assumed that amounts are fully advanced. The amounts for guarantees and letters of credit represent the maximum accounting loss that would be recognised at the balance sheet date if counterparties failed completely to perform as contracted.
|
In EUR millions |
2009 |
2008 |
||
|
Contract amount: |
||||
|
Undrawn facilities |
1,191 |
775 |
||
|
Guarantees and letters of credit |
1,267 |
1,284 |
||
|
2,458 |
2,059 |
In 2009, the item includes EUR 1,000 million (2008: EUR 1,000 million) in respect of guarantees to group companies.
These commitments and contingent liabilities have off-balance sheet credit risk because only commitment and origination fees and accruals for probable losses are recognised in the balance sheet until the commitments are fulfilled or expire. Many of the contingent liabilities and commitments will expire without being advanced in whole or in part. Therefore, the amounts do not represent expected future cash flows.
Details of concentrations of credit risk including concentrations of credit risk arising from commitments and contingent liabilities as well as NIBC’s policies for collateral for loans are set out in note 54 of the consolidated financial statements.
Guarantees within the meaning of Section 403, Book 2, of the Netherlands Civil Code have been given on behalf of De Nationale Maatschappij voor Industriële Financieringen B.V., PARNIB Holding N.V. and B.V. NIBC Mortgage Backed Assets. A complete list of the companies on behalf of which NIBC has given guarantees within the meaning of Section 403, Book 2, of the Netherlands Civil Code has been filed with the Chamber of Commerce in The Hague. Declaration of joint and several liability has also been made to the respective monetary authorities of DNI Inter Asset Bank N.V. and NIBC Bank Ltd.
NIBC is together with other group companies and participating interests a member of one fiscal entity NIBC Holding. Besides NIBC and NIBC Holding, the principal other members are B.V. NIBC Mortgage Backed Assets, Parnib Holding N.V., Vredezicht ‘s-Gravenhage 110 B.V. and NIBC Principal Investments Mezzanine B.V.
|
Assets pledged as security |
|
|
22 |
|
In EUR millions |
2009 |
2008 |
||
|
ASSETS HAVE BEEN PLEDGED AS SECURITY IN RESPECT OF THE FOLLOWING LIABILITIES AND CONTINGENT LIABILITIES: |
||||
|
Liabilities |
||||
|
Due to other banks |
1,438 |
4,114 |
||
|
Debt securities in issue related to securitised loans and mortgages |
5,231 |
5,835 |
||
|
Derivative financial liabilities |
1,051 |
1,000 |
||
|
7,720 |
10,949 |
|
In EUR millions |
2009 |
2008 |
||
|
Details of the carrying amounts of assets pledged as collateral are as follows: |
||||
|
Assets pledged |
||||
|
Assets utilised as collateral |
2,001 |
4,559 |
||
|
Securitised loans and mortgages |
5,399 |
5,880 |
||
|
Cash |
1,051 |
1,000 |
||
|
8,451 |
11,439 |
As part of NIBC’s funding and credit risk mitigation activities, the cash flows of selected financial assets are transferred or pledged to third parties. Furthermore, NIBC pledges assets as collateral for derivative transactions. Substantially all financial assets included in these transactions are residential mortgages, other loan portfolios, debt investments and cash collateral. The extent of NIBC’s continuing involvement in these financial assets varies by transaction.
With respect to assets utilised as collateral, the total portfolio eligible for use to collateralise funding was EUR 7.0 billion in 2009 (2008: EUR 5.9 billion).
As of 31 December 2009, the excess cash liquidity of NIBC was EUR 2.6 billion (2008: EUR 1.1 billion), consisting of EUR 1.4 billion (2008: EUR 1.0 billion) cash placed with the DNB and EUR 1.2 billion (2008: EUR 0.1 billion) placed overnight with other banks.
|
Assets under management |
|
|
23 |
NIBC provides collateral management services, whereby it holds and manages assets or invests funds received in various financial instruments on behalf of the customer. NIBC receives fee income for providing these services. Assets under management are not recognised in the consolidated balance sheet. NIBC is not exposed to any credit risk relating to such placements, as it does not guarantee these investments.
At 31 December 2009, the total assets held by NIBC on behalf of customers were EUR 2,668 million (2008: EUR 2,520 million).
|
24 |
For a specification of the related party transactions we refer to note 51 of the consolidated financial statements.
|
Principal subsidiaries, joint ventures and associates |
|
|
25 |
For a specification of the principal subsidiaries, joint ventures and associates we refer to note 52 of the consolidated financial statements.
|
Financial risk management |
|
|
26 |
Please refer to notes 54 to 57 of the consolidated financial statements, for NIBC’s risk management policies.
|
Number of employees |
|
|
27 |
On a full time equivalent basis, the average number of employees was 653 (2008: 650).
|
Remuneration |
|
|
28 |
For the remuneration of the Statutory Board and Supervisory Board we refer to note 53 of the consolidated financial statements.
At 31 December 2009 and 31 December 2008 there are no receivables outstanding with members of the Statutory Board.
|
Profit appropriation |
|
|
29 |
The profit appropriation is included in other information.
The Hague, 8 March 2010
Managing Board
Jeroen Drost, Chairman, Chief Executive Officer
Kees van Dijkhuizen, Vice-Chairman, Chief Financial Officer
Rob ten Heggeler, Member
Jeroen van Hessen, Member
Jan Sijbrand, Member, Chief Risk Officer
Supervisory Board
Mr. J.H.M. Lindenbergh, Chairman
Mr. W.M. van den Goorbergh, Vice-Chairman
Mr. C.H. van Dalen
Mr. N.W. Hoek
Mr. A. de Jong
Mrs. S.A. Rocker
Mr. D. Rümker
Mr. A.H.A. Veenhof
