50 Structured entities
Contents Management report Corporate governance Consolidated financial statements Financial statements Pillar 3
Under the terms of the reverse repurchase transactions
and securities borrowing agreements, Rabobank receives
collateral under conditions that enable it to re-pledge or
resell the collateral to third parties. On 31 December 2015,
the total fair value of the securities received under the
terms of the agreements was 37,853 (31 December 2014:
47,540). In accordance with the agreement terms, a portion
of the securities was re-pledged or sold as collateral.
These transactions were effected subject to the normal
conditions for standard reverse repurchase transactions
and securities borrowing agreements.The securities are not
recognised in the statement of financial position because
almost all the associated risks and benefits accrue to the
counterparty. A receivable is recognised at a value equivalent to
the amount paid as collateral.
Repurchase transactions and securities lending
agreements
Repurchase transactions and securities lending agreements
concluded by Rabobank are included under 'Due to banks'and
'Due to customers' as of 31 December totalled:
in millions of euros 2015 2014
Due to banks 581 708
Due to customers 488 2,025
Total repurchase and securities lending 1,069 2,733
On 31 December 2015 and 2014, interest-bearing securities
with a carrying amount of 1,075 and 2,757 respectively were
provided as collateral for repurchase agreements and the like.
The counterparty retains the right to sell or re-pledge the
securities. These transactions were performed subject to the
normal conditions for standard repurchase transactions and
securities lending agreements.The bank may provide or receive
securities or cash as collateral if the value of the securities
changes.The securities are not de-recognised because almost
all the associated risks and benefits accrue to Rabobank,
including credit and market risks. A liability is recognised at
a value equivalent to the amount received as collateral.
Securitisations
As part of the financing activities and liquidity management of
Rabobank Group, and in order to reduce credit risk, cash flows
from certain financial assets are transferred to third parties (true
sale transactions). Most of the financial assets subject to these
transactions are mortgages and other loan portfolios that are
transferred to a special purpose vehicle that is subsequently
consolidated. After securitisation, the assets continue to be
recognised in the statement of financial position of Rabobank
Group, mainly under 'Loans and advances to customers'.
The securitised assets are measured in accordance with the
accounting policies referred to in Paragraph 2.15.
The carrying amount of these financial assets is 81,023 (2014:
79,940) with the corresponding liability amounting to 80,925
(2014:80,341). Approximately 72% (2014: 71%) of the transferred
assets are securitised internally for liquidity purposes.
Carrying amount of financial assets provided as
security for (contingent) liabilities
The assets referred to below have been pledged as security
for (contingent) liabilities (with exception to repo transactions,
securities lending and securitisations) with the objective of
providing security for the counterparty. If Rabobank remains
in default the counterparties may use the security to settle
the debt.
in millions of euros 2015 2014
Cash and balances at central banks 54
Loans and advances to banks 5,186 7,289
Loans and advances to customers 13,838 10,905
Available-for-sale financial assets 2,563 2,575
Total 21,641 20,769
Consolidated structured entities
A structured entity is an entity which is structured such that
voting rights or comparable rights do not constitute the
dominant factor in determining who exercises control over the
entity. Rabobank uses structured entities in order to securitise
mortgages and other loan portfolios as part of its financing
activities, liquidity management and in order to reduce credit
risk. The loans are actually transferred to the structured entities.
Own-asset securitisation is handled by RaboAgri Finance (Fiarvest),
Obvion (STORM and STRONG), DLL (LEAP) and Athlon (Flighway).
As well as having provided cash facilities, Rabobank also acts as
a swap counterparty for all own-asset securitisations.
Rabobank acts as a sponsor in Nieuw Amsterdam Receivables
Corporation. Nieuw Amsterdam issues ABCP in various
currencies and provides Rabobank customers access to liquidity
through the commercial paper market. Rabobank provides
advice and manages the programme, markets ABCP, provides
cash facilities and/or credit risk enhancements and other facilities
for the underlying transactions and the programme itself.
Rabobank consolidates the own-asset securitisation vehicles
and Nieuw Amsterdam because it is exposed to or entitled
to fluctuating income in respect of its involvement in these
entities. In addition, Rabobank also has the option to influence
the amount of the investor's income by virtue of having control
over the entities.
243 Notes to the consolidated financial statements
