49 Transfer of financial assets and financial assets provided as collateral - 50 Structured entities Inhoudsopgave Voorwoord Bestuursverslag Corporate governance Consolidated Financial Statements Company Financial Statements Pillar 3 49.1 Reverse repurchase transactions and securities borrowing agreements Reverse repurchase transactions and securities borrowing agreements concluded by Rabobank are included under 'Loans and advances to banks' or 'Loans and advances to customers' and as per 31 December amount to: Under the terms of the reverse repurchase transactions and securities borrowing agreements, Rabobank receives collateral under conditions that enable it to re-pledge or resell the collateral to third parties. On 31 December 2016, the total fair value of the securities received under the terms of the agreements was 29,931 (31 December 2015: 37,853). In accordance with the agreement terms, a portion of the securities was re-pledged or sold as collateral. These transactions were effected subject to the normal conditions for standard reverse repurchase transactions and securities borrowing agreements.The securities are not recognised in the statement of financial position because almost all the associated risks and benefits accrue to the counterparty. A receivable is recognised at a value equivalent to the amount paid as collateral. 49.2 Repurchase transactions and securities lending agreements Repurchase transactions and securities lending agreements concluded by Rabobank are included under 'Deposits from banks' and 'Deposits from customers'as of 31 December totalled: in millions of euros 2016 2015 Deposits from banks 418 581 Deposits from customers 212 488 Total repurchase and securities lending 630 1,069 de-recognised because almost all the associated risks and benefits accrue to Rabobank, including credit and market risks. A liability is recognised at a value equivalent to the amount received as collateral. 49.3 Securitisations As part of the financing activities and liquidity management of Rabobank Group, and in order to reduce credit risk, cash flows from certain financial assets are transferred to third parties (true sale transactions). Most of the financial assets subject to these transactions are mortgages and other loan portfolios that are transferred to a special purpose vehicle that is subsequently consolidated. After securitisation, the assets continue to be recognised in the statement of financial position of Rabobank Group, mainly under 'Loans and advances to customers'. The securitised assets are measured in accordance with the accounting policies referred to in Paragraph 2.15. The carrying amount of the transferred financial assets related to own-asset securitisation is 77,894 (2015: 75,805) with the corresponding liability amounting to 74,897 (2015: 75,707). Approximately 74% (2015: 75%) of the transferred assets are securitised internally for liquidity purposes.The carrying amount of the assets where Rabobank acts as a sponsor (Nieuw- Amsterdam) is 4,125 (2015: 5,218) with the corresponding liability amounting to 4,125 (2015: 5,218). Reference is made to section 50 Structured entities. 49.4 Carrying amount of financial assets provided as security for (contingent) liabilities The assets referred to below have been pledged as security for (contingent) liabilities (with exception to repo transactions, securities lending and securitisations) with the objective of providing security for the counterparty. If Rabobank remains in default the counterparties may use the security to settle the debt. in millions of euros 2016 2015 Cash and balances at central banks 130 54 Financial assets held for trading 134 Loans and advances to banks 4,704 5,186 Loans and advances to customers 12,759 13,838 Available-for-sale financial assets 7,693 2,563 Total 25,420 21,641 in millions of euros 2016 2015 Loans and advances to banks 13,398 18,495 Loans and advances to customers 16,068 18,927 Total reverse repurchase transactions and securities borrowing agreements 29,466 37,422 On 31 December 2016, interest-bearing securities with a carrying amount of 616 (2015:1,075) were provided as collateral for repurchase agreements. The counterparty retains the right to sell or re-pledge the securities.These transactions were performed subject to the normal conditions for standard repurchase transactions and securities lending agreements. The bank may provide or receive securities or cash as collateral if the value of the securities changes. The securities are not 50.1 Consolidated structured entities A structured entity is an entity which is structured such that voting rights or comparable rights do not constitute the dominant factor in determining who exercises control over the entity. Rabobank uses structured entities in order to securitise 242 Rabobank Jaarverslag 2016

Rabobank Bronnenarchief

Jaarverslagen Rabobank | 2016 | | pagina 243