Inhoudsopgave Voorwoord Bestuursverslag Corporate governance Consolidated Financial Statements Company Financial Statements Pillar 3 exposure or the tenor of specific trades, (e.g. break clauses or MTM resets). The setting ofthe main parameters of a collateral agreement are geared to a low or zero threshold, daily margining, and acceptable collateral being cash or highly rated government/ supra national debt paper (cash and AA- or better rated government bonds). Haircuts are used to cover the worst expected price move on the collateral over a period of time. They are mainly based on the asset quality and the market price volatility. As of December end cash collateral received represents 92.5% the total. Security finance transactions are entered into on a collateralised basis with financial institutions (including pension funds) under industry standard agreements (e.g. GMRA, GMSLA). In most cases margin frequency is on a daily basis. Collateral arrangements for repo and securities financing transactions are evidenced under the terms ofthe legal master agreement and embedded in the terms of each individual transaction. The type of collateral to be held and the criteria to be adhered to are set out in the credit procedure and monitored via the control framework with a focus on: correlation between the counterparty and the collateral (wrong-way risk); the liquidity ofthe collateral; cash out limits on a counterparty basis; and collateral concentration limitations. Central counterparties (CCP) Rabobank is clearing an increasing number of trades via central counterparties (CCP), either directly or via clearing brokers. Where Rabobank trades Over-The-Counter (OTC) products it is usually a direct member ofthe CCP.This implies that besides the initial and variation margin Rabobank also is required to contribute to the default fund. For most exchange-traded products (ETP), Rabobank has a 'non-clearing member' (NCM) CCP status.This means that Rabobank is required to use clearing brokers in order to clear the trades via a CCP and is required to post initial and variation margin to the clearing broker. 6.3.2 Quantitative information counterparty credit risk and credit risk mitigation Table 29: Definitions. edtf 29 Table 30 provides a quantitative analysis of counterparty credit risk that arises from its derivatives and repo and securities financing transactions.This quantifies notional derivatives exposure, including whether derivatives are OTC or traded on recognised exchanges. Where the derivatives are OTC, it shows how much is settled via a CCP. For repos and securities the collateral benefit is taken into account in the Positive or Negative FairValue. Therefore the Netted Current Credit Exposure equals the Net Credit Exposure. The figures provide further insight into the derivatives portfolio compared to last year thanks to improvements made in scoping, incorporating an additional 2.4B in terms of Gross Positive Fair Value at year end. Financial term Definition Gross positive fair value Sum of all aggregate positive MTM values for each counterparty in each netting agreement before any benefit is given for offsetting negative MTM values on the same netting pool. Netting benefits The netting benefits applicable to each netting agreement are derived by referencing the impact of negative MTM values but only to the extent that positive MTM exists. Netted current credit exposure The gross positive fair value less netting benefits for each netting agreement produces the netted current credit exposure. Collateral benefit The offset arising from (net) collateral held to collateralize the netted current credit exposure is quantified on a netting pool basis. Instances where Rabobank has pledged more collateral than it has received are ignored. Collateral benefit is only recorded for collateral held and only to the extent that positive netted current credit exposure exists. Net credit exposure The netted current credit exposure less the collateral benefit for each netting agreement produces the net credit exposure. Net credit exposure contains as well non-bankruptcy remote Initial Margin placed for exchange traded products and CCPS. Over collateral posted as part of CSA agreements is also captured here. Notional Value This is taken as the sum of all aggregate notional values for each counterparty. EAD Exposure At Default as calculated and reported following CRD IV/CRR guidelines 338 Rabobank Jaarverslag 2016

Rabobank Bronnenarchief

Jaarverslagen Rabobank | 2016 | | pagina 339