7. Securitisation
Securitisation is part of the ICAAP and ILAAP process and is integrated in Rabobank Group's long-term
funding strategy.
The following External Credit Assessment Institutions (ECAIs) are used: Fitch Ratings, Standard Poor's,
Moody's and DBRS. These ECAIs are used for all investor positions and own asset securitisations. There is
no policy to use specific ECAIs for specific exposures or transactions.This is determined on a case-
by-case basis.
Rabobank securitises, sells and carries various financial assets.Those assets are sometimes sold to
SPVs, which then issue securities to investors. Rabobank follows the IFRS regulations with regard to
the consolidation of SPVs. As Rabobank consolidates its SPVs, it is irrelevant whether the transactions
are treated as sales or financing. Investor positions are classified as financial assets. Assets which could
be securitised in the near future are still accounted for in the banking book, as it is uncertain if and
when those assets will be securitised. Further details of the Rabobank accounting policies with regard
to securitization transactions are provided in the Rabobank Group Consolidated Financial Statements
2015, note 2.9 and note 50.
7.7 Own asset securitisation (originator role)
Inhoudsopgave Bestuursverslag Corporate governance Jaarrekening Rabobank Groep Jaarrekening Rabobank Pillar 3
Within Rabobank Group own asset securitisation is used by
RaboAgri Finance (Harvest), Obvion (STORM and STRONG), De
Lage Landen (LEAP), CCRB (synthetic securitization of loans to
corporates) and Athlon (Highway). Own asset securitisations
that do not achieve significant risk transfer (SRT) are not
classified as exposures subject to the securitisation framework
and hence are reported on a look-through basis.
Only one securitisation transaction was set up to improve
liquidity ratios and create collateral for the ECB only.
This transaction does not mitigate credit risk exposure and
is retained by Rabobank in full, and Rabobank is still holding
capital for the underlying assets.The total amount was 50 billion
as per 31 December 2015.
Securitisation transactions are compliant with capital
requirements regulations Supervisory Regulation on Solvency
Requirements for Credit Risk). Compliance with the Regulation is
documented and signed-off by the internal legal department and
the control department. Own asset securitisation transactions
are also inline with internal policies covering, for example, IFRS
treatment.The general accounting rules are followed as described
in the Consolidated Financial Statements 2015 of Rabobank
Group (note 2.9. and note 50Securitisation transactions can be
initiated by entities and at group level. All transactions received
a positive advice of the ALCO Group and are subject to approval
by the Executive Board of Rabobank Group.
For transactions originated after 1 January 2011, compliance
with CRR (CRD IV) is warranted by a) retaining the first loss
positions and, if necessary, other tranches with the same
or more severe risk positions than those transferred or sold
to investors with a minimum of 5% of securitised assets or
randomly selected assets that would otherwise have been
securitised or b) retaining 5% of the notes placed with external
investors. Retained positions are not externally hedged.
A certain amount of liquidity risk in securitisation transactions
is retained by Rabobank by acting as liquidity facility provider
and swap counterparty in all of its own asset securitisation
transactions. Contingent liquidity risk in securitisation swaps
has been identified and is taken into account in the liquidity risk
management framework, see also Section 10 Liquidity Risk.
Given the current rating of Rabobank Group, the role as account
bank is also fulfilled by Rabobank.The processes in place to
monitor the changes in credit risk of securitised assets do
not differ from those for non-securitised assets. Please see
Section 6 Credit Risk for more information. Interest rate risk for
357 7. Securitisation
