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6.3 Specific counterparty credit risk
Inhoudsopgave Bestuursverslag Corporate governance
6.2.3 Forbearance
EDTF27 Since 2014 Rabobank is monitoring its forbearance
portfolio. The forbearance portfolio consists of the
customers of Rabobank for whom forbearance measures have
been putin place. The measures under that name comprise
concessions to debtors facing or about to face difficulties in
meeting their financial commitments. A concession refers to
either of the following measures:
Modification of the previous terms and conditions of
a contract which the debtor is considered unable to comply
with due to its financial difficulties (i.e. troubled debts) to
allow for sufficient debt service ability that would not have
been granted had the debtor not been in financial difficulties.
Total or partial refinancing of a troubled loan contract that
would not have been granted if the debtor had not been in
financial difficulties.
EDTF28 Table 29: Forborne assets
Jaarrekening Rabobank Groep Jaarrekening Rabobank
Examples include postponements of repayments and
extensions of the term of a facility. The rationale for the focus
on this portfolio derives from the concerns of the European
supervisory authorities about the deterioration of the quality
of the portfolio; it is feared that forbearance measures might
camouflage this deterioration of the portfolio as debtors are
able to meet their financial obligations for longer periods as
a result of the concessions.
The identification of forbearance measures for the
corporate portfolio is based on the current Loan Quality
Classification (LQC) framework. This Rabobank framework
divides the loan portfolio into the categories: Good, OLEM,
Substandard, Doubtful and Loss.The three categories
Substandard, Doubtful and Loss form the classified
portfolio. Forbearance measures only apply to this classified
portfolio. If forbearance measures are applied to a debtor,
the debtor is by definition dealt with by the Special Asset
Management department. Items in the forbearance category
must be reported and monitored for up to two years after
recovery. This period of two years is referred to as 'Forborne
under probation'.
Forborne assets
Private
sector loan
portfolio
Forborne
assets (gross
carrying
amount)
Performing
forborne
assets
Of which (a):
instruments with
modifications
in the terms and
conditions
Of which (b):
refinancing
Non-
performing
forborne
assets
Of which (a):
instruments with
modifications
in the terms and
conditions
Of which (b):
refinancing
Loan
impairment
allowance on
non-performing
forborne assets
Domestic retail banking
281,941
7,773
3,586
3,290
296
4,187
3,796
391
1,592
Wholesale banking and
international retail banking
98,798
4,138
1,121
706
415
3,018
2,414
603
1,171
Leasing
29,656
211
50
39
11
161
117
44
44
Real estate
15,287
2,358
138
138
0
2,219
2,162
58
765
Other
474
0
0
0
0
0
0
0
Rabobank Group
426,157
14,480
4,895
4,173
722
9,585
8,489
1,096
3,572
In addition to the more familiar types of credit risk arising from
loan and issuer risk portfolios, credit risk is also generated from
derivatives and security finance transactions entered into with
our counterparties. Trading derivatives and security finance
transactions are concentrated within the Markets and Treasury
departments of Rabobank. Rabobank's comprehensive risk
management philosophy led to an integrated market and
counterparty credit risk policy, control and reporting framework.
Qualitative information counterparty credit risk and
credit risk mitigation
Risk Management Wholesale Rural Retail (RM WRR) is
established in the domain of Risk Management (RM), and the
department focusing on the financial markets risk management
of the Markets and Treasury departments is Risk Management
Financial Markets (RM FM).The department aims to manage
the various financial market related risk types in an integrated
manner.
346 Rabobank Jaarverslag 2015
