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Contents Foreword Management report Corporate governance
Table 38: Impaired/past-due assets securitised.
Consolidated Financial Statements Company Financial Statements
Table 39: Aggregate amount of securitisation exposure
retained or purchased.
Pillar 3
Impaired/past-due assets securitised by Rabobank and losses
recognised during the current period, broken down by exposure
type
Past due1
Losses2
Traditional securitisations
- Residential mortgages
139.4
(25.3)
- Loans to corporates or SMEs
6.7
- Leasing
4.0
0.6
Subtotal
150.1
(24.7)
Synthetic securitisations
- Corporate loans - -
Total portfolio
150.1
(24.7)
1 For traditional securitisation this relates to securitised exposures in
arrears 90 days/ For a synthetic securitisation this relates to a credit
event.
2 A positive amount relates to losses, a negative amount to the
reversal of losses.
Aggregate amount of securitisation exposure retained or
purchased, broken down by exposure type
At 31 December 2016
Banking
Banking
Trading
book
book Off
book On
On balance
balance
balance
Total
Traditional securitisations
- Residential mortgages
112
112
- Loans to corporates or SMEs - - - -
- Leasing - - - -
Subtotal
112
112
Synthetic securitisations
- Loans to corporates or SMEs
2,252
2,252
Subtotal
2,252
2,252
Sponsored positions
6,669
6,669
Investor positions
2,548
634
33
3,215
Total
4,800
7,415
33
12,248
Rabobank did not apply credit risk mitigation as it did not
receive guarantees from other parties.
Table 41: Aggregate amount of securitisation exposure
retained or purchased.
The difference between the exposures reported in the tables
above (12,248 and 12,084) can be explained by adjustments of
positions for provision and tax.
Aggregate amount of securitisation exposure retained or purchased and the associated IRB capital charges
IAA approach
IRB approach
STD approach
Total
exposure
Of which:
resecuritisation
Total exposure
in the trading
book
Regulatory
Capital charges
before cap
Risk weight bands
10%
5,047
2,823
33
7,903
33
46
10% 20%
1,308
1,957
3,265
31
20% 35%
428
428
1
10
40% 100%
311
19
330
260
18
100% 850%
192
192
40
6,666
5,419
33
12,118
261
33
145
Unrated - - - - - - -
Deduction own funds
34
Total
6,666
5,419
33
12,084
261
33
145
Table 40: Aggregate amount of resecuritisation exposure
retained or purchased.
Aggregate amount of resecuritisation exposure retained or
purchased, taking into account credit risk mitigation
Before credit After credit risk
risk mitigation mitigation
Resecuritisation exposure 261 261
342 Rabobank Annual Report 2016