7. Securitisation Rabobank management integrates securitisation in Rabobank Group's long-term funding and capital strategy. In selling and carrying various financial assets, Rabobank is active in own asset securitisation, sponsor transactions and investor transactions. Financial assets are sometimes sold to Special Purpose Vehicles (SPVs), which then issue securities to investors. Rabobank follows the IFRS regulations with regard to the consolidation of SPVs. When Rabobank consolidates SPVs, it is irrelevant whether the transactions are treated as sales or financing. Investor positions are classified as financial assets. Assets which could be securitised in the near future are still accounted for in the banking book, as it is uncertain if and when those assets will be securitised. Further details of the Rabobank accounting policies with regard to securitisation transactions are provided in the Rabobank Group Consolidated Financial Statements 2016, note 2.9 and note 50. With respect to securitisations, Rabobank uses the following External Credit Assessment Institutions (ECAIs): Fitch Ratings, Standard Poor's, Moody's and DBRS. These ECAIs are used for all investor positions and own asset securitisations.There is no policy to use specific ECAIs for specific exposures or transactions. This is determined on a case-by-case basis. 7.7 Own asset securitisation (originator role) Inhoudsopgave Voorwoord Bestuursverslag Corporate governance Consolidated Financial Statements Company Financial Statements Pillar 3 Within Rabobank Group, own asset securitisation is used by RaboAgri Finance (Harvest), Obvion (STORM and STRONG), De Lage Landen (LEAP) and Coöperatieve Rabobank U.A. (traditional securitisation of Dutch mortgages and synthetic securitization of loans to corporates). Own asset securitisations that do not achieve significant risk transfer (SRT) are classified as securitization exposures and are reported as originator exposures. As per 31 December 2016 Rabobank has achieved for in total EUR 3.4 billion SRT. For one transaction amounting to EUR 1 billion where Rabobank achieved SRT in 2016, it realised a gain amounting to EUR 4.2 million. One securitisation transaction is set up to improve liquidity ratios and create collateral for the ECB.This transaction does not mitigate credit risk exposure and is retained by Rabobank in full, and Rabobank is still holding capital for the underlying assets. The total amount was EUR 50 billion as per 31 December 2016. Securitisation transactions are compliant with the European Capital Requirements Regulations on solvency requirements for credit risk. Compliance with the Regulation is documented and signed-off by the internal legal department and the control department. Securitisation transactions can be initiated by entities and at Group level. All transactions received a positive advice of the ALCO Group and are subject to approval by the Executive Board of Rabobank Group. For transactions originated after 1 January 2011, compliance with CRR (CRD IV) is warranted by a) retaining the first loss positions and, if necessary, other tranches with the same or more severe risk positions than those transferred or sold to investors with a minimum of 5% of securitised assets or randomly selected assets that would otherwise have been securitised or b) retaining 5% of the notes placed with external investors. Retained positions are not externally hedged. A certain amount of liquidity risk in securitisation transactions is retained by Rabobank by acting as liquidity facility provider and swap counterparty in all of its own asset securitisation transactions. Contingent liquidity risk in securitisation swaps has been identified and is taken into account in the liquidity risk management framework, see also Chapter 10 Liquidity Risk. Given the current rating of Rabobank Group, the role as account bank is also fulfilled by Rabobank.The processes in place to monitor the changes in credit risk of securitised assets do not differ from those for non-securitised assets. See Chapter 6 Credit Risk for more information. Interest rate risk for own asset securitisation positions are intercompany positions, and are irrelevant for the interest rate risk position at a Group level. 343 7. Securitisation

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Jaarverslagen Rabobank | 2016 | | pagina 344