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