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Contents Foreword Management report Corporate governance
Consolidated Financial Statements
Company Financial Statements
Pillar 3
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 (Harvest), Obvion (STORM and STRONG) and DLL (LEAP).
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.
50.2 Non-consolidated structured entities
Non-consolidated structured entities refers to all structured
entities over which Rabobank has no control. These interests
are comprised mainly of debt securities in a securitisation
vehicle, including RMBS, ABS and CDO and private equity
interests. The amount of these debt securities is almost
always limited when compared to the vehicle's total assets.
Those securitization vehicles are usually refinanced by issued
debt securities or credit facilities.
The following table shows the nature and risks of Rabobank's
interests in non-consolidated structured entities. The size of
non-consolidated structured entities generally reflects the
carrying amount of the assets and the contingent liabilities.
The maximum exposure equals the carrying amount disclosed
in the table below.
in millions of euros
On 31 December 2016
On 31 December 2015
Assets recognised by Rabobank
Securitisations
Other
Total
Securitisations
Other
Total
Financial assets held for trading
38
83
121
1
100
101
Financial assets designated at fair value
92
92
255
72
327
Derivatives
418
418
463
463
Loans and advances to customers
712
712
1,011
1,011
Available-for-sale financial assets
180
41
221
670
61
731
Investments in associates
322
322
395
395
Total financial assets recognised by Rabobank
1,348
538
1,886
2,400
628
3,028
Liabilities recognised by Rabobank
Derivatives
4
4
3
3
Deposits from customers
260
260
393
393
Total liabilities recognised by Rabobank
264
264
396
396
Income from sponsored, non-consolidated structured entities in which Rabobank holds no interest:
in millions of euros
Fee and
commission income Interest income
Other results
Total income
Carrying amount of
transferred assets
On 31 December 2016
Securitisations
- 5
5
Asset management -----
Total
- 5
5
On 31 December 2015
Securitisations
1 46
64
111
Asset management -----
Total
1 46
64
111
239 Notes to the consolidated financial statements