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Contents
Foreword
Management report
Corporate governance
Consolidated Financial Statements
Company Financial Statements
Pillar 3
Table 30: Netted credit exposure for derivatives and repo
and securities financing transactions.
Netted credit exposure for derivatives and repo and securities financing transactions
At 31 December 2016
(A) (B)
(C)
(D)
(E) (F)
gross positive netting
fair value benefits
netted current
credit exposure
collateral
benefit
net credit notional
exposure Value
Derivatives-CCP
73,586 73,576
11
121 2,141,101
Derivatives-ETP
180 94
85
88 53,929
Derivatives-under netting agreements
40,798 29,449
11,349
7,202
4,638 945,159
Derivatives-gross
464 -
464
464 27,445
Repo/SFT-under netting agreements
15,395 14,845
550
550 -
Repo/SFT-gross
12 -
12
12 -
Total
130,435 117,964
12,471
7,202
5,873 3,167,635
Exposure at default for Counterparty Credit Risk exposures
Table 32: Overview of collateral on counterparty credit
Table 31 below shows regulatory Exposure-At-Default (post
risk exposures.
CRM) values for derivative and repo and securities financing
transactions under Counterparty Credit Risk treatment as set
Overview of collateral on counterparty credit risk exposures
out in CRD/CRR IV. As mentioned, Rabobank uses the IMM
At 31 December 2016
Collateral on derivatives
Collateral on repo/SFT's
approach for the majority of the portfolio.
Collateral Type
Received
Posted
Received Posted
Cash
7,285
14,053
632 20,243
Equity Securities
21,311 6,833
Table 31: Total Exposure-At-Default (post CRM) for
Debt Securities -
Counterparty Credit Risk exposures.
Government
590
5,408
7,272 3,442
Debt Securities -
Non-Government
41
2,480 766
Total Exposure-At-Default (post CRM) for Counterparty Credit Risk
Total
7,875
19,503
31,695 31,285
exposures
At 31 December 2016
EAD post-CRM
Exposure on credit derivatives
Mark-to-Market Method
2,542
Rabobank does participate in the credit derivatives market
Original Exposure Method
with the intention to hedge exposures as a net purchaser of
Standardised Method
credit risk protection from other counterparties. Counterparties
Rabobank interacts with are large international financial
Internal Model Method
7,610
Total EAD
10,152
Overview of collateral on counterparty credit risk exposures
edtf30 Table 32 shows an overview of collateral posted or
received to mitigate exposures arising from
counterparty credit risk broken down by type of collateral used.
The reported figures include collateral in the form of margin on
transactions cleared through CCP or brokers, initial margin held
in non-bankruptcy remote accounts and collateral on Credit
Support Annex and equivalent agreements.
institutions rated from A+ to BBB+. Single name CDS's are used
as protection on credit events on the securities portfolio and
index CDS's are used as 'generic' portfolio hedge. The figures
in table 33 represent the notional amount of credit derivatives
that Rabobank entered into on a gross basis.
Table 33: Overview of credit derivatives.
Credit derivatives notional
exposures
At 31 December 2016
Other Credit
Credit Derivative Hedges Derivatives
As protection As protection
Credit Derivative Type
purchaser seller
Single Name CDS
134 63 -
Index CDS
65 - -
Total Return Swap - - -
Total
199 63 -
335
6. Credit Risk
