- Jaarrekening Rabobank Groep Jaarrekening Rabobank Pillar 3 Inhoudsopgave Bestuursverslag Corporate governance Table 58: Potential maximum outflow of liquidity Potential maximum outflow of liquidity as per year-end 2015 Funding Derivatives Credit related Total Rating downgrade: 0 notch1 57 97 154 1 notch 1,285 78 482 1,845 2 notch 488 1,153 3,078 4,719 3 notch 1,939 839 451 3,229 Total for 3 notches 3,769 2,070 4,108 9,947 These outflows are based on rating triggers that will be hit in the event of a credit rating downgrade. In this table a split has been made between funding, derivatives and credit related instruments. Funding instruments include, but are not limited to any kind of deposits, bonds, loans or wholesale funding with rating triggers. Two important components within the funding category are funding from the European Investment Bank (EIB) and Guaranteed Investment Contracts (GIC) accounts. Derivative documentation may also contain rating triggers on Rabobank that could potentially result in additional liquidity risk for Rabobank. Rating triggers may also be included in credit 1 The numbers in case of a '0 notch' rating downgrade present the current remaining potential outflow. 2 In line with the EBA asset encumbrance definition. related instruments or in a guarantee/letter of credit, which means that the beneficiary of the guarantee, under certain conditions could request payment under the guarantee upon a rating downgrade of Rabobank. In that case, Rabobank has a direct claim on the customer for who the guarantee was provided. Asset encumbrance The encumbrance of assets is a standard element of a bank's business. An asset is to be treated as 'encumbered' if it has been pledged or if it is subject to any form of arrangement to secure, collateralize or credit enhance any transaction from which it cannot be freely withdrawn. At year-end 2015, 632 billion (2014: 55 billion) of Rabobank's total assets were encumbered.Total assets includes both on-balance sheet and off-balance sheet assets. Off-balance sheet assets refers to collateral received in, mainly, secured lending transactions. The total asset encumbrance per year-end 2015 was 9% (2014: 8%). The average asset encumbrance over 2015 was 8% (2014: 8%). The encumbered on-balance sheet items were mainly due to the clearing of derivatives positions and funding- related transactions, such as securitisations and asset backed commercial paper, for which loans are placed as collateral. Collateral received in secured funding transactions and collateral swaps are considered off-balance sheet assets. Part of these assets are pledged as collateral in secured lending transactions and collateral swaps. These pledged assets are considered encumbered. The below table provides an overview of the total off-balance sheet received collateral, of which partially encumbered. Table 59: Asset encumbrance Asset type Carrying value of Fair value of encumbered assets encumbered assets Carrying value of unencumbered assets Fair value of unencumbered assets Total As per 31 December 2015 Loans on demand Equity instruments Debt securities Loans and advances other than loans on demand of which: mortgage loans Other assets Total 3,562 9,566 37,936 19,220 784 51,848 9,566 62,229 1,568 31,696 441,836 288,333 81,196 618,526 1,568 31,656 65,791 1,568 41,262 479,773 307,553 81,980 670,373 376 Rabobank Jaarverslag 2015

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Jaarverslagen Rabobank | 2015 | | pagina 377