7.2 Sponsor transactions
7.3 Investor transactions
Inhoudsopgave Bestuursverslag Corporate governance
own asset securitisation positions are intercompany positions,
and are irrelevant for the interest rate risk position at a group
level. Rabobank does not book gains or losses on securitised
own assets.
Rabobank sponsors Nieuw Amsterdam Receivables Corporation,
which issues Asset Backed Commercial Paper (ABCP) in
various currencies and provides Rabobank's core customers
access to liquidity via the commercial paper market instead of
financing through Rabobank's statement of financial position.
The ABCP of Nieuw Amsterdam carries short-term ratings of
A-1/P-1 based on the credit and liquidity support provided by
Rabobank and the quality of the transactions that are funded
in Nieuw Amsterdam.The conduit acquires exposures from
Rabobank clients and finances these pools in the ABCP market.
As a sponsor, the bank manages/advises on the program,
places ABCP on the market, and provides liquidity and/or
credit risk enhancements and other facilities to underlying
transactions and to the conduits itself. The liquidity facilities
are provided for individual structured pools of assets placed in
Nieuw Amsterdam. When a pool of assets is structured a risk
assessment takes place based on rating agency criteria for
that asset type. The pool of assets is structured to a certain
overcollateralization level dependent on the desired level of
creditworthiness for the transaction. The risk drivers and their
importance vary per transaction, for example different asset
types: the risk drivers forTrade Receivables are different to
those for credit card loans. Even within the asset types there
can be much variance: within trade receivables the payment
terms could vary as well as the dilution risks. In addition to this
quantitative assessment a more qualitative risk assessment of
the whole transaction takes place.This assessment looks at
the whole structure besides the quality of the assets. The total
funding size of Nieuw Amsterdam Receivables Corporation was
7.2 billion as per 31 December 2015.
Rabobank underwrites sponsor transactions in close
consultation with the internal risk department and the legal
department. The bank conducts pre-closing due diligence
on the customers, their servicing operations (e.g. credit and
collections policies, management information systems, disaster
recovery) and on their origination and supply chains. Rabobank
either engages third party collateral audit firms, such as PwC,
Protiviti, KPMG, or makes use of Rabobank collateral inspection
teams. All transactions are subject to approval by requisite
deal, business, and credit committees. When necessary, the tax,
control and compliance departments are involved upfront.
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Rabobank monitors each transaction on a continuous basis.
As a minimum, the clients provide servicing reports on
a monthly basis.These reports provide overall assessments of
the performance of the overall portfolio that is being financed
and determine key trends in terms of delinquency, default
and dilution data.The reports also determine compliance with
transaction parameters, triggers, financial covenants, and the
borrowing base.
On at least an annual basis, each client transaction undergoes
a re-underwriting, in accordance with standard Rabobank credit
policies and procedures. Each review or approval will be subject
to an analysis of and be provided with an opinion of Risk
Management GFM before entering the Credit Committee KRM.
Depending on the size of the transaction, final credit approval
is required from the Credit Committee KRM, the Central Credit
Committee Rabobank Group or the Executive Board.
Nieuw Amsterdam Receivables Corporation produces
an Investor- and Rating Agency report on a monthly basis.
In these reports detailed information on the underlying
transactions and their assets is given to the investors, who
buy the ABCP, and to the Rating Agencies, who provide for
each structuring and restructuring of the transactions Rating
Affirmation Confirmation (RAC).
Rabobank operates in the term securitisation market as
an arranger, a book runner and a provider of such ancillary
products as liquidity facilities, swaps and current accounts.
The liquidity facilities can be considered investor positions
in securitisation transactions. All liquidity facilities for term
securitisation transactions (mostly Dutch RMBS) rank senior
to any payment to note holders and, as such, the credit risk is
limited. After a downgrade of Rabobank below a certain trigger
rating (typically long-term A-) the liquidity facilities must be
replaced by other parties. Contingent liquidity risk in liquidity
facilities has been identified and is taken into account in the
liquidity risk management framework.
In all swap transactions of Rabobank with SPVs, the market
risk position is fully hedged with opposite swaps. As such,
the market risk on the swap in the transactions only becomes
relevant after a default of a party providing the hedge to
Rabobank. Credit risk on the SPVs is limited due to a senior
position over payments to note holders. Contingent liquidity
risk in securitisation swaps has been identified and is also taken
into account in the liquidity risk management framework.
358 Rabobank Jaarverslag 2015