7.2 Sponsor transactions
7.3 Investor transactions
Inhoudsopgave Voorwoord Bestuursverslag Corporate governance
Consolidated Financial Statements Company Financial Statements Pillar 3
Rabobank sponsors Nieuw Amsterdam Receivables
Corporation B.V., which issues Asset Backed Commercial
Paper (ABCP) in various currencies and provides Rabobank's
core corporate customers access to liquidity via the commercial
paper market instead of financing by Rabobank. The ABCP
of Nieuw Amsterdam carries short-term ratings of A-1/P-1
based on the credit and liquidity support provided by
Rabobank and the quality of the transactions that are funded
in Nieuw Amsterdam.The conduit acquires exposures from
Rabobank clients and finances these pools in the ABCP market.
As a sponsor, the bank manages/advises on the programme,
places ABCP in the market, and provides liquidity and/or
credit risk enhancements and other facilities to underlying
transactions and to the conduits itself. The liquidity facilities
are provided for individual structured pools of assets placed in
Nieuw Amsterdam. When a pool of assets is structured a risk
assessment takes place based on rating agency criteria for
that asset type. The pool of assets is structured to a certain
overcollateralization level dependent on the desired level of
creditworthiness for the transaction. The risk drivers and their
importance vary per transaction, for example different asset
types: the risk drivers forTrade Receivables are different to
those for credit card loans. Even within the asset types there
can be much variance: within trade receivables the payment
terms could vary as well as the dilution risks. In addition to this
quantitative assessment a more qualitative risk assessment of
the whole transaction takes place.This assessment looks at
the whole structure besides the quality of the assets. The total
funding size of Nieuw Amsterdam Receivables Corporation B.V.
was 6.7 billion as per 31 December 2016.
Rabobank underwrites sponsor transactions in close
consultation with the internal risk department and the legal
department.The bank conducts pre-closing due diligence
and collateral audits on the customers, their servicing
operations (e.g. credit and collections policies, management
information systems, disaster recovery) and on their origination
and supply chains. Rabobank either engages external audit
firms or makes use of the Rabobank collateral inspection
teams. All transactions are subject to approval by requisite
deal, business, and credit committees. When necessary, the tax,
control and compliance departments are involved upfront.
Rabobank monitors each transaction on a continuous basis.
At a minimum, the clients provide servicing reports on
a monthly basis.These reports provide overall assessments of
the performance of the overall portfolio that is being financed
and determine key trends in terms of delinquency, default
and dilution data.The reports also determine compliance with
transaction parameters, triggers, financial covenants, and the
borrowing base.
On at least an annual basis, each client transaction undergoes
a re-underwriting, in accordance with standard Rabobank credit
policies and procedures. Each review or approval will be subject
to an analysis of and be provided with an opinion of Risk
Management Financial Markets before entering the relevant
Credit Committee. Depending on the size of the transaction,
final credit approval is required from the Central Credit
Committee Rabobank Group or the Executive Board.
Nieuw Amsterdam Receivables Corporation B.V. produces
an Investor- and Rating Agency report on a monthly basis.
In these reports detailed information on the underlying
transactions and their assets is given to the investors, who
buy the ABCP, and to the Rating Agencies, who provide for
each structuring and restructuring of the transactions Rating
Affirmation Confirmation (RAC).
Rabobank operates in the securitisation market as an arranger,
a book runner and a provider of ancillary products such as
liquidity facilities, swaps and current accounts.The liquidity
facilities can be considered investor positions in securitisation
transactions. All liquidity facilities for term securitisation
transactions (mostly Dutch RMBS) rank senior to any payment
to note holders and, as such, the credit risk is limited.
After a downgrade of Rabobank below a certain trigger rating
(typically long-term A-), the liquidity facilities must be replaced
by other parties. Contingent liquidity risk in liquidity facilities
has been identified and is taken into account in the liquidity risk
management framework.
In all swap transactions of Rabobank with SPVs, the market
risk position is fully hedged with opposite swaps. As such,
the market risk on the swap in the transactions only becomes
relevant after a default of a party providing the hedge to
Rabobank. Credit risk on the SPVs is limited due to a senior
position over payments to note holders. Contingent liquidity
risk in securitisation swaps has been identified and is also taken
into account in the liquidity risk management framework.
For all investor transactions in which Rabobank is engaged
there is a procedure that requires involvement of risk, credit,
legal and tax departments. Depending on the size of the
transaction, final credit approval is required from the Central
344 Rabobank Jaarverslag 2016
