Type
Securities arbitrage
lotal
Programme
Solvency management
Client facilitation
Launched
1997
Amount outstanding
(in EUR billion)
31-Dec-08 Underlying portfolio
Atlantis
Neptune1997
Erasmus2000
Nieuw Amsterdam1999
9-8 Own originated loans
1.1
2 5 Predominantly customer
2,7
Tempo
2007
loans and receivables
AAA and AA Asset Backed
1,4
Securities
17.5
As early as in the first quarter of 2008, due to the scarcity of funding opportunities for Structured
Investment Vehicles - i.e. off-balance sheet investment vehicles - the remaining SIVTango assets
managed by Rabobank were taken on the balance sheet. This put an end to the active existence of
this SIV. Following its inclusion on the balance sheet, the size of this portfolio shrunk as a result of
currency effects and selling to EUR 3.8 billion as at the end of 2008. Otherwise, Rabobank no longer
has any investments in SIVs.
Structured credit
An important element of the bank's liquidity risk management is to maintain a large portfolio of liquid
and/or central bank eligible assets that can be used, if necessary, to generate liquidity very quickly.
Rabobank Group's trade and investment portfolios have a limited exposure to more structured investments.
This structured credit exposure amounts to EUR 9 billion, by far the largest part of which is AAA-rated.
Due to the further deterioration of the US housing market, some related investments, Residential
Mortgage Backed Securities (RMBSs) and Collateralised Debt Obligations (CDOs) have been impaired and
the resulting loss charged to profit. For the whole of 2008 this involved an amount of EUR 418 million
after tax. For a liquidity facility granted by the bank that was partly secured by subprime related assets,
an additional provision was formed amounting to EUR 152 million after tax.
Structured credit exposure at
year-end 2008 in billions of euros
Non-subprime RBMS 4.3
CDO/CLO and other corporate
exposures 2.5
Commercial real estate 1.3
Other ABS 0.9
ABSCDO 0.3
US subprime 0.2
Structured credit exposure rating
distribution at year-end 2008
AAA
AA
A
Below A
90%
5%
1%
Monoline insurers
In a number of cases, monoline insurers are the counterparty to credit default swaps that hedge the credit
risk of certain investments. In most cases, solvency objectives are the main reason for the existence of
these hedges rather than the credit quality of these investments. The ongoing deterioration of the US
mortgage market further undermined the creditworthiness of these monoline insurers in 2008 as well,
which adversely affected the rating of these institutions. Counterparty risk relating to these monoline
insurers arises because the value of the credit default swaps with these counterparties increases, due to
the fair value of the underlying investments decreasing, or because other insured investments can lead to
payment claims against these insurers. The table below gives an overview of this. Value adjustments
amounting to EUR 245 million after tax were already recognised in the first half of the year. In the second
half, additional value adjustments amounting to EUR 148 million were recognised via profit and loss. On
top of that a generic provision is formed of EUR 260 million after tax. The remaining counterparty risk
resulting from this as at the end of 2008 amounts to EUR 1,729 million.
57
Report of the Executive Board
