- - - - - - - - - - - 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

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Jaarverslagen Rabobank | 2016 | | pagina 340