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