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Contents Management report Corporate governance Consolidated financial statements Financial statements Pillar 3
Offsetting of financial instruments
in millions of euros
Gross carrying
amount
IAS 32 Offsetting
Net carrying
amount included
in balance sheet
Master netting
agreements
Other offsetting
Net value after
other offsetting
On 31 December 2015
Loans and advances to banks
31,883
(673)
31,210
(17,655)
13,555
Derivatives
108,741
(60,628)
48,113
(36,047)
12,066
Loans and advances to customers
477,897
(19,279)
458,618
(20,198)
438,420
Other assets
8,379
(380)
7,999
7,999
Total
626,900
(80,960)
545,940
(36,047)
(37,853)
472,040
Due to banks
21,336
(2,298)
19,038
(589)
18,449
Due to customers
350,314
(12,721)
337,593
(486)
337,107
Derivatives and other trade liabilities
120,690
(65,561)
55,129
(36,047)
19,082
Other liabilities
8,430
(380)
8,050
8,050
Total
500,770
(80,960)
419,810
(36,047)
(1,075)
382,688
On 31 December 2014
Loans and advances to banks
46,690
(728)
45,962
(28,676)
17,286
Derivatives
124,764
(68,275)
56,489
(43,195)
13,294
Loans and advances to customers
483,072
(21,285)
461,787
(18,864)
442,923
Other assets
8,917
(357)
8,560
8,560
Total
663,443
(90,645)
572,798
(43,195)
(47,540)
482,063
Due to banks
20,352
(2,286)
18,066
(721)
17,345
Due to customers
341,047
(14,759)
326,288
(2,036)
324,252
Derivatives and other trade liabilities
140,803
(73,243)
67,560
(43,195)
24,365
Other liabilities
8,404
(357)
8,047
8,047
Total
510,606
(90,645)
419,961
(43,195)
(2,757)
374,009
4.4.5 Off-balance-sheet financial instruments
The guarantees and standby letters of credit which Rabobank
provides to third parties in the event a client cannot fulfil its
obligations vis-a-vis these third parties, are exposed to credit
risk. Documentary and commercial letters of credit and written
undertakings by Rabobank on behalf of clients authorise third
parties to draw bills against Rabobank up to a fixed amount
subject to specific conditions.These transactions are backed
by the delivery of the underlying goods to which they relate.
Accordingly, the risk exposure of such an instrument is less than
that of a direct loan.
Obligations to issue loans at a specific interest rate for a set period
are included among the lender's obligations. They are accounted
for as such, unless these obligations do not continue after the
period expected to be needed to carry out suitable acceptance
procedures. After that period they are treated as transactions
according to standard market conventions. Rabobank is exposed
to credit risk when it promises to grant lending facilities. The size
of such losses is less than the total of the unused commitments
because the promises to grant credit facilities are made subject
to the clients meeting certain conditions that apply to loans.
Rabobank monitors the term to expiry of credit promises because
long-term commitments are generally associated with a higher
risk than short-term commitments.
4.4.6 Credit quality of financial assets
In its financing approval process, Rabobank Group uses the
Rabobank Risk Rating, which reflects the risk of failure or the
probability of default (PD) of the loan relation over a period
of one year. The table below shows the loan quality (after
deduction of the bad-debt provision) ofthe loan-related
balance sheet items. The loan-quality categories are determined
on the basis ofthe internal Rabobank Risk Rating.The Rabobank
Risk Rating consists of 21 performance ratings (R0-R20) and
four default ratings (D1-D4).The performance ratings are
linked to the probability that the client will default within
a period of one year, whereby the rating is determined, in
principle, on a cyclically neutral basis. D1-D4 ratings refer
to default classifications. D1 represents 90 days' arrears; D2
indicates a high probability that the debtor is unable to pay;
D3 indicates the debtor's inability to meet its commitments
and that their properties will most likely be sold off; and D4
indicates bankruptcy status.The default ratings make up the
total impaired exposure. The 'vulnerable'category consists of
performance ratings which have been cancelled but which
have not undergone impairment.
197 Notes to the consolidated financial statements
