7.4 Regulatory Capital approaches
7.5 Risk measurement
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Contents Foreword Management report Corporate governance
Consolidated Financial Statements
Company Financial Statements
Pillar 3
Credit Committee Rabobank Group or the Executive Board.
On an annual basis, the liquidity facilities are reviewed and
renewed. For swap transactions, the underlying market risk in
the portfolios is monitored closely, with typical daily valuation.
Transaction analysis is based on trustee reports, rating
agency reports and industry-wide reports. From these reports
information is gathered on the overall performance of the
transaction, the development of credit enhancement, trends
in delinquencies and defaults, and performance versus trigger
levels.
Besides the aforementioned asset backed securitisation (ABS)
transactions, Rabobank holds a very limited number of ABS in
its non-core legacy portfolios managed by None-Core Run-off
Investments. These ABS assets are held in two different run-off
portfolios. All ABS securities are subject to an annual sector
review. Besides this annual review, which is drafted by Risk
Management Financial Markets (RM FM), this department also
performs a bi-annual impairment assessment of these securities.
All securities in scope carry an internal credit rating that shows
the implied creditworthiness according to the assessment of
RM FM.
Rabobank has established a strong governance framework
around the non-core portfolios. Any portfolio activity is subject
to approval from the Risk Management Committee. Members of
this committee are senior staff from various banking disciplines.
As all investor positions are swapped to floating, the interest
rate risk is relatively small.
All of Rabobank's securitisation positions in own asset
securitisation transactions and investor positions are reported
using the Internal Ratings Based (IRB) approach. For Corporate
Tranched Purchased Receivables, Rabobank applies the
Supervisory Formula Approach. Market risk is reported using the
Standardised Approach.
The Internal Assessment Approach (IAA) has been approved
and rolled out for Nieuw Amsterdam transactions. Solvency
calculations for a given transaction will be dependent on
the protections built into each transaction and the funding
requirements for the liquidity facility. We use the Cosas system
(securitisations assessment tool) to calculate the solvency.
IAA calculations should be confirmed with RM FM early in
the renewal process so that accurate solvency calculations
are used. This methodology is used to assign a risk weight to
a securitisation exposure where a direct rating based approach
or inferred rating based approach cannot be used and is only
applicable to exposures within an ABCP Nieuw Amsterdam and
the underlying transactions are analysed, and the commercial
paper is rated by the rating agencies (Moody's and Standard
Poor's). However, the various facilities provided by Rabobank
to Nieuw Amsterdam are not explicitly rated themselves and
accordingly do not fall under either the Direct or Inferred
Ratings Based Approach. The IAA is used for these exposures.
Two types of facilities fall under the IAA: Liquidity Facilities and
Program Wide Credit Enhancement (PWCE). The outcome of
the IAA is an internal rating for the liquidity facilities and the
PWCE. For a more detailed explanation on the liquidity facilities
please see section 7.2 above. The PWCE is available to all pools
in the conduit, and will incur a loss if there are losses within
a pool of assets greater than the over-collateralization within
that pool. The probability that such a loss will occur is reflected
in the implied rating of the structured pool of assets. The size
of the loss is limited to the size of the structured pool. The risk
weight for the PWCE is the weighted average re-securitisation
risk weight of the lowest rated structured pool. When a pool of
assets is structured and placed in the conduit, new commercial
paper is given out and the PWCE is increased by a fixed
percentage (7% of the notional for non-fully supported deals)
of the size of the structured pool/new commercial paper, unless
the specific pool is fully supported by liquidity facility.
Table 37: Total outstanding exposure securitised
by Rabobank.
Total outstanding exposure securitised by Rabobank and subject
to the securitisation framework by exposure type excluding fully
retained securitisation transactions.
Third party assets
Own assets
(sponsor deals)
Total
Traditional securitisations
- Residential mortgages
70,114
70,114
- Loans to corporates or SMEs
809
6,669
7,478
- Leasing
186
186
Subtotal
71,109
6,669
77,778
Synthetic securitisations
- Corporate loans
2,399
2,399
Total portfolio
73,508
6,669
80,177
341 7. Securitisation