- - Inhoudsopgave Voorwoord Bestuursverslag Corporate governance Consolidated Financial Statements Company Financial Statements Pillar 3 Encumbered assets per 31 december 2016 Carrying amount of encumbered assets Fair value of encumbered assets Carrying amount of unencumbered assets Fair value of unencumbered assets Assets ofthe reporting institution 53,626 608,709 Loans on demand 4,201 81,203 Equity instruments 1,867 1,867 Debt securities 8,101 8,101 28,074 28,088 Loans and advances others than loans on demand 40,918 427,520 Other assets 407 70,045 On 31 December 2016, EUR 54 (2015: 52) billion ofthe assets of Rabobank's balance sheet were encumbered.The on-balance sheet asset encumbrance primarily comprises mortgages and other loans used to cover securitisations. Furthermore assets are encumbered for mandatory minimum reserve requirements and margining of derivative exposures. Table 54: Encumbered assets per 31 december 2016. Securities received in reverse repo transactions are not recognised on the balance sheet. For asset encumbrance reporting, these securities are considered as collateral received. Most ofthe collateral swaps and repurchase agreements that Rabobank performs are conducted using securities received in reverse repo transactions. These so-called re-used securities are therefore reported as encumbered collateral received. On 31 December 2016 the total asset encumbrance related to collateral received was EUR 12 (2015:11) billion. Table 55: Collateral received per 31 december 2016. Collateral received per 31 december20 7 6 Fair value of Fair value of col la teral encumbered received or own collateral received or debt securities own debt securities issued available for issued encumbrance Collateral received by the reporting institution 11,563 41,313 Loans on demand - 416 Equity instruments 6,830 24,157 Debt securities 4,734 5,472 Loans and advances others than loans on demand Other collateral received - 11,269 Own debt securities issued other than own covered bonds or ABSs The total asset encumbrance per 31 December 2016 was EUR 65 (2015: 63) billion.This includes both assets of Rabobank and asset encumbrance following encumbered collateral received.The increase in encumbrance can mainly be explained by an increase in secured funding. The median asset encumbrance, measured over the last four quarters, was 9% (2015: 8%).The median asset encumbrance, measured over the balance sheet of Rabobank, was 8% (2015:8%). The previous two tables presented an overview of the total encumbered on-balance and off-balance assets. The following table presents these two tables combined, along with their associated liabilities.The table shows that the majority of Rabobank's asset encumbrance can be associated with derivatives and funding (issued debt), which amounted to EUR 18 billion and EUR 22 billion, respectively. Table 56: Matching liabilities per 31 december 2016. Importance of asset encumbrance for Rabobank edtf 19 Rabobank has encumbered part of its loan portfolio to cover issued Asset Backed Securities (ABS) like Residential Mortgage-Backed Securities (RMBS) and Asset Backed Commercial Paper (ABCP).The pool of assets that secures these transactions exceeds the value ofthe issued securities, meaning that the securities are over collateralised. Matching liabilities per 31 december 2016 Matching liabilities, con tingen t liabilities or securities lent Assets, collateral received and own debt securities issued other than covered bonds and ABSs encumbered Carrying amount of selected financial liabilities 47,915 48,912 Derivatives 17,808 17,808 Repurchase agreements 623 621 Collateralised deposits other than repurchase agreements 7,801 8,678 Debt securities issued 21,683 21,805 of which: asset-backed securities issued 20,832 20,954 Other sources of encumbrance 16,069 16,277 Total sources of encumbrance 63,984 65,190 363 10. Liquidity risk

Rabobank Bronnenarchief

Jaarverslagen Rabobank | 2016 | | pagina 364