7.5 Risk measurement
Inhoudsopgave
Bestuursverslag
Corporate governance
Jaarrekening Rabobank Groep
Jaarrekening Rabobank
Based on EBA guidelines published in 2014, retained
securitisations are no longer classified as securitisation
exposures where no significant risk transfer has been achieved.
These are reported subsequently based on the underlying
assets. In this context, Rabobank did not securitise exposures
in 2015 that resulted in significant risk transfer. Retained
securitisation exposures also include on and off balance sheet
exposure to the sponsor (Nieuw Amsterdam). Exposures in
the trading book are not related to own asset securitisation
transactions.
Table 42:Total outstanding exposure securitised by Rabobank
Table 44: Aggregate amount of securitisation exposure
retained or purchased
Aggregate amount of securitisation exposure retained or
purchased, broken down by exposure type
At 31 December 2015
Traditional securitisations
- Residential mortgages
- Loans to corporates or SMEs
- Leasing
Subtotal
Synthetic securitisations
- Loans to corporates or SMEs
Subtotal
Banking
book
2,103
2,103
Trading
book
Total
2,103
2,103
Total outstanding exposure securitised by Rabobank and subject
to the securitisation framework by exposure type excluding fully
retained securitisation transactions.
Traditional securitisations
- Residential mortgages
- Loans to corporates or SMEs
- Leasing
Subtotal
Synthetic securitisations
- Corporate loans
Total portfolio
Third party assets
Own assets (sponsor deals)
7,158
2,103
2,103
7,158
Total
7,158
7,158
2,103
7,158 9,261
Sponsored positions
Investor positions
Total
7,158
3,257
12,518
229
229
7,158
3,487
12,748
Table 45: Aggregate amount of resecuritisation exposure
retained or purchased
Aggregate amount of resecuritisation exposure retained or
purchased, taking into account credit risk mitigation
Resecuritisation exposure
Before After
credit risk credit risk
mitigation mitigation
531 409
Table 43: Impaired/past-due assets securitised
Impaired/past-due assets securitised by Rabobank and losses
recognised during the current period, broken down by exposure
type
At 31 December 2015
Residential mortgages
Loans to corporates or SMEs
Corporate loans
Total
Past due1
Losses
Traditional/
Traditional Synthetic synthetic
0.2
0.2
0.0
0.0
Table 46: Receivable from guarantors, broken down
according to guarantors creditworthiness
Receivable from guarantors, broken down according to
guarantors creditworthiness
Investment-grade guarantors
Non-investment-grade guarantors
Total
Receivable from
guarantors
122
122
1 Traditional: payment arrears 90 days, synthetic: credit event
360 Rabobank Jaarverslag 2015
