49 Transfer of financial assets and
financial assets provided as collateral
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50 Structured entities
Contents Foreword Management report Corporate governance
Consolidated Financial Statements
Company Financial Statements
Pillar 3
49.1 Reverse repurchase transactions and securities
borrowing agreements
Reverse repurchase transactions and securities borrowing
agreements concluded by Rabobank are included under 'Loans
and advances to banks' or 'Loans and advances to customers'
and as per 31 December amount to:
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 2016,
the total fair value of the securities received under the
terms of the agreements was 29,931 (31 December 2015:
37,853). 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.
49.2 Repurchase transactions and securities lending
agreements
Repurchase transactions and securities lending agreements
concluded by Rabobank are included under 'Deposits from
banks' and 'Deposits from customers' as of 31 December
totalled:
On 31 December 2016, interest-bearing securities with
a carrying amount of 616 (2015: 1,075) were provided as
collateral for repurchase agreements. 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.
49.3 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 the transferred financial assets related
to own-asset securitisation is 77,894 (2015: 75,805) with the
corresponding liability amounting to 74,897 (2015: 75,707).
Approximately 74% (2015: 75%) of the transferred assets are
securitised internally for liquidity purposes. The carrying amount
of the assets where Rabobank acts as a sponsor (Nieuw-
Amsterdam) is 4,125 (2015: 5,218) with the corresponding
liability amounting to 4,125 (2015: 5,218). Reference is made to
section 50 Structured entities.
49.4 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
2016
2015
Cash and balances at central banks
130
54
Financial assets held for trading
134
Loans and advances to banks
4,704
5,186
Loans and advances to customers
12,759
13,838
Available-for-sale financial assets
7,693
2,563
Total
25,420
21,641
50.1 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
in millions of euros
2016
2015
Loans and advances to banks
13,398
18,495
Loans and advances to customers
16,068
18,927
Total reverse repurchase transactions and
securities borrowing agreements
29,466
37,422
in millions of euros
2016
2015
Deposits from banks
418
581
Deposits from customers
212
488
Total repurchase and securities lending
630
1,069
238 Rabobank Annual Report 2016