7.4 Regulatory Capital approaches 7.5 Risk measurement - - - Inhoudsopgave Voorwoord Bestuursverslag Corporate governance Consolidated Financial Statements Company Financial Statements Pillar 3 Credit Committee Rabobank Group or the Executive Board. On an annual basis, the liquidity facilities are reviewed and renewed. For swap transactions, the underlying market risk in the portfolios is monitored closely, with typical daily valuation. Transaction analysis is based on trustee reports, rating agency reports and industry-wide reports. From these reports information is gathered on the overall performance of the transaction, the development of credit enhancement, trends in delinquencies and defaults, and performance versus trigger levels. Besides the aforementioned asset backed securitisation (ABS) transactions, Rabobank holds a very limited number of ABS in its non-core legacy portfolios managed by None-Core Run-off Investments.These ABS assets are held in two different run-off portfolios. All ABS securities are subject to an annual sector review. Besides this annual review, which is drafted by Risk Management Financial Markets (RM FM), this department also performs a bi-annual impairment assessment of these securities. All securities in scope carry an internal credit rating that shows the implied creditworthiness according to the assessment of RM FM. Rabobank has established a strong governance framework around the non-core portfolios. Any portfolio activity is subject to approval from the Risk Management Committee. Members of this committee are senior staff from various banking disciplines. As all investor positions are swapped to floating, the interest rate risk is relatively small. All of Rabobank's securitisation positions in own asset securitisation transactions and investor positions are reported using the Internal Ratings Based (IRB) approach. For Corporate Tranched Purchased Receivables, Rabobank applies the Supervisory Formula Approach. Market risk is reported using the Standardised Approach. The Internal Assessment Approach (IAA) has been approved and rolled out for Nieuw Amsterdam transactions. Solvency calculations for a given transaction will be dependent on the protections built into each transaction and the funding requirements for the liquidity facility. We use the Cosas system (securitisations assessment tool) to calculate the solvency. IAA calculations should be confirmed with RM FM early in the renewal process so that accurate solvency calculations are used. This methodology is used to assign a risk weight to a securitisation exposure where a direct rating based approach or inferred rating based approach cannot be used and is only applicable to exposures within an ABCP. Nieuw Amsterdam and the underlying transactions are analysed, and the commercial paper is rated by the rating agencies (Moody's and Standard Poor's). However, the various facilities provided by Rabobank to Nieuw Amsterdam are not explicitly rated themselves and accordingly do not fall under either the Direct or Inferred Ratings Based Approach. The IAA is used for these exposures. Two types of facilities fall under the IAA: Liquidity Facilities and Program Wide Credit Enhancement (PWCE). The outcome of the IAA is an internal rating for the liquidity facilities and the PWCE. For a more detailed explanation on the liquidity facilities please see section 7.2 above. The PWCE is available to all pools in the conduit, and will incur a loss if there are losses within a pool of assets greater than the over-collateralization within that pool. The probability that such a loss will occur is reflected in the implied rating ofthe structured pool of assets. The size of the loss is limited to the size ofthe structured pool.The risk weight for the PWCE is the weighted average re-securitisation risk weight ofthe lowest rated structured pool. When a pool of assets is structured and placed in the conduit, new commercial paper is given out and the PWCE is increased by a fixed percentage (7% ofthe notional for non-fully supported deals) ofthe size ofthe structured pool/new commercial paper, unless the specific pool is fully supported by liquidity facility. Table 37:Total outstanding exposure securitised by Rabobank. Total outstanding exposure securitised by Rabobank and subject to the securitisation framework by exposure type excluding fully retained securitisation transactions. Own assets Third party assets (sponsor deals) Total Traditional securitisations - Residential mortgages 70,114 70,114 - Loans to corporates or SMEs 809 6,669 7,478 - Leasing 186 186 Subtotal 71,109 6,669 77,778 Synthetic securitisations - Corporate loans 2,399 2,399 Total portfolio 73,508 6,669 80,177 345 7. Securitisation

Rabobank Bronnenarchief

Jaarverslagen Rabobank | 2016 | | pagina 346