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Inhoudsopgave Voorwoord Bestuursverslag Corporate governance Consolidated Financial Statements Company Financial Statements Pillar 3
Table 30: Netted credit exposure for derivatives and repo
and securities financing transactions.
Netted credit exposure for derivatives and repo and securities financing transactions
At 31 December 2016
(A)
(B)
(C)
(D)
(E)
(F)
gross positive
netting
netted current
collateral
net credit
notional
fair value
benefits
credit exposure
benefit
exposure
Value
Derivatives-CCP
73,586
73,576
11
121
2,141,101
Derivatives-ETP
180
94
85
88
53,929
Derivatives-under netting agreements
40,798
29,449
11,349
7,202
4,638
945,159
Derivatives-gross
464
464
464
27,445
Repo/SFT-under netting agreements
15,395
14,845
550
550
Repo/SFT-gross
12
12
12
Total
130,435
117,964
12,471
7,202
5,873
3,167,635
Exposure at default for Counterparty Credit Risk exposures
Table 31 below shows regulatory Exposure-At-Default (post
CRM) values for derivative and repo and securities financing
transactions under Counterparty Credit Risk treatment as set
out in CRD/CRR IV. As mentioned, Rabobank uses the IMM
approach for the majority of the portfolio.
Table 31 :Total Exposure-At-Default (post CRM) for
Counterparty Credit Risk exposures.
Total Exposure-At-Default (post CRM) for Counterparty Credit Risk
exposures
At 31 December 2016
EAD post-CRM
Mark-to-Market Method 2,542
Original Exposure Method
Standardised Method
Internal Model Method 7,610
Total EAD 10,152
Overview of collateral on counterparty credit risk exposures
edtf30 Table 32 shows an overview of collateral posted or
received to mitigate exposures arising from
counterparty credit risk broken down by type of collateral used.
The reported figures include collateral in the form of margin on
transactions cleared through CCP or brokers, initial margin held
in non-bankruptcy remote accounts and collateral on Credit
Support Annex and equivalent agreements.
Table 32: Overview of collateral on counterparty credit
risk exposures.
Overview of collateral on counterparty credit risk exposures
At 31 December 2016
Collateral on derivatives
Collateral on repo/SFT's
Collateral Type
Received
Posted
Received
Posted
Cash
7,285
14,053
632
20,243
Equity Securities
21,311
6,833
Debt Securities -
Government
590
5,408
7,272
3,442
Debt Securities -
Non-Government
41
2,480
766
Total
7,875
19,503
31,695
31,285
Exposure on credit derivatives
Rabobank does participate in the credit derivatives market
with the intention to hedge exposures as a net purchaser of
credit risk protection from other counterparties. Counterparties
Rabobank interacts with are large international financial
institutions rated from A+ to BBB+. Single name CDS's are used
as protection on credit events on the securities portfolio and
index CDS's are used as 'generic' portfolio hedge.The figures
in table 33 represent the notional amount of credit derivatives
that Rabobank entered into on a gross basis.
Table 33: Overview of credit derivatives.
Credit derivatives notional
exposures
At 31 December 2016
Other Credit
Credit Derivative Fledges Derivatives
As protection As protection
Credit Derivative Type
purchaser seller
Single Name CDS
134 63
Index CDS
65
Total Return Swap -
Total
199 63
339
6. Credit Risk