Inhoudsopgave Bestuursverslag Corporate governance Jaarrekening Rabobank Groep Jaarrekening Rabobank
Table 30: Definitions.
Financial term Definition
Gross positive fair value This is taken as the sum of all aggregate positive MTM values for each counterparty in each netting pool before any benefit is given
for offsetting negative MTM values on the same netting pool.
Netting benefits The netting benefits applicable to each pool are worked out on a counterparty by counterparty basis and are derived by
referencing the impact or negative MTM values for each counterparty but only to the extent that positive MTM exists.
Netted current credit exposure The gross positive fair value less netting benefits for each counterparty produces the netted current credit exposure.
Collateral benefit The offset arising from (net) collateral held to collateralize the netted current credit exposure is quantified on a counterparty by
counterparty basis. Instances where Rabobank has pledged more collateral to a counterparty than it has received are ignored.
Collateral benefit is only recorded for collateral held and only to the extent that positive netted current credit exposure exists.
Net derivatives credit exposure The netted current credit exposure less the collateral benefit for each counterparty produces the net derivatives credit exposure
for each counterparty, which to summarise takes the positive trade MTMsfor each counterparty, and shows the impact of netting
agreements and collateralisation. The collateral over posted as part of CSA trades are included here. Also the non-bankruptcy
remote Initial Margin placed for exchange traded products and CCPS are included here.
Notional Value This is taken as the sum of all aggregate notional values for each counterparty.
Exposure in the Od to 10d The exposure in the 0 to1 Oday time band represents the Potential Future exposure for the time band 0 to 10day.
Peak PFE exposures The Peak PFE exposure is the maximum potential future exposure (across the lifetime of the deals) aggregated on an industry level
across all financial derivatives products.
Peak PFE timeband The Peak PFE time band is the time band in which the peak of the PFE aggregated at the industry level lies.
Table 32: Overview of derivatives not captured under
netting agreements
Derivatives - not captured under netting agreements (gross pool)
Gross positive
Industry type
fair value
Bank
35
Corporate
480
NBFI
14
Sovereign
29
Total
558
Each of the first five terms presented above are segmented
by counterparty industry type; Bank, Corporate, NBFI
and Sovereign, and for the portfolio as a whole. For OTC
derivatives and Repo/Reverse Repo categories, we also provide
a breakdown of the Gross Positive FairValue fortrades where
no netting agreement exists - i.e. the gross pool. For Repos
and Securities the collateral benefit is taken into account in the
Positive or Negative FairValue. Therefore the Netted Current
Credit Exposure equals the Net Credit Exposure.
Table 31Overview of derivatives captured under netting
agreements
edtf 29 The following section provides a quantitative analysis
of counterparty credit risk that arises from its
derivatives transactions. This quantifies notional derivatives
exposure, including whether derivatives are OTC or traded on
recognized exchanges. Where the derivatives are OTC, Table 33
shows how much is settled by CCP.The credit risk mitigation
paragraph in this subsection elaborates on the collateral
agreements in place.
Derivatives - captured under netting agreements
(A)
(B)
(C)
(D)
(E)
Industry type
Gross
positive
fair value
Netting
benefits
Netted
current
credit
exposure
Collateral
benefit
Net
derivatives
credit
exposure
Bank
38,293
31,775
6,518
6,265
467
Corporate
1,749
360
1,388
59
1,336
NBFI
63,472
62,991
481
185
404
Sovereign
1,628
1,549
79
66
40
Total
105,142
96,675
8,467
6,575
2,247
350 Rabobank Jaarverslag 2015
