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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from which it cannot be freely withdrawn.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