- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - Inhoudsopgave Voorwoord Bestuursverslag Corporate governance Consolidated Financial Statements Company Financial Statements Pillar 3 Table 38: Impaired/past-due assets securitised. Table 39: Aggregate amount of securitisation exposure retained or purchased. Impaired/past-due assets securitised by Rabobank and losses recognised during the current period, broken down by exposure type Past due1 Losses2 Traditional securitisations - Residential mortgages 139.4 (25.3) - Loans to corporates or SMEs 6.7 - Leasing 4.0 0.6 Subtotal 150.1 (24.7) Synthetic securitisations - Corporate loans Total portfolio 150.1 (24.7) 1 For traditional securitisation this relates to securitised exposures in arrears 90 days/ For a synthetic securitisation this relates to a credit event. 2 A positive amount relates to losses, a negative amount to the reversal of losses. Aggregate amount of securitisation exposure retained or purchased, broken down by exposure type At 31 December 2016 Banking Banking Trading book book Off book On On balance balance balance Total Traditional securitisations - Residential mortgages 112 112 - Loans to corporates or SMEs - - Leasing - Subtotal 112 112 Synthetic securitisations - Loans to corporates or SMEs 2,252 2,252 Subtotal 2,252 2,252 Sponsored positions 6,669 6,669 Investor positions 2,548 634 33 3,215 Total 4,800 7,415 33 12,248 Table 40: Aggregate amount of resecuritisation exposure retained or purchased. Aggregate amount of resecuritisation exposure retained or purchased, taking into account credit risk mitigation Before credit After credit risk risk mitigation mitigation Resecuritisation exposure 261 261 Rabobank did not apply credit risk mitigation as it did not receive guarantees from other parties. Table 41Aggregate amount of securitisation exposure retained or purchased. Aggregate amount of securitisation exposure retained or purchased and the associated IRB capital charges IAA approach IRB approach STD approach Total exposure Of which: resecuritisation Total exposure in the trading book Regulatory Capital charges before cap Risk weight bands 10% 5,047 2,823 33 7,903 33 46 10% <20% 1,308 1,957 3,265 31 20% 35% 428 428 1 10 >40%< 100% 311 19 330 260 18 100% <850% 192 192 40 6,666 5,419 33 12,118 261 33 145 Unrated - Deduction own funds 34 Total 6,666 5,419 33 12,084 261 33 145 The difference between the exposures reported in the tables above (12,248 and 12,084) can be explained by adjustments of positions for provision and tax. 346 Rabobank Jaarverslag 2016

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Jaarverslagen Rabobank | 2016 | | pagina 347