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52 Structured entities
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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.
51.3 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 section 2.15.
The carrying amount of the transferred financial assets related
to own-asset securitisation is 76,803 (2016: 77,894) with the
corresponding liability amounting to 74,819 (2016: 74,897).
Approximately 76% (2016: 74%) 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 4,252 (2016: 4,125) with the corresponding
liability amounting to 4,252 (2016:4,125). Starting 2017
Rabobank retains 5% of the outstanding commercial paper
issued by Nieuw Amsterdam for regulatory purposes.
51.4 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
2017
2016
Cash and cash equivalents
43
130
Financial assets held for trading
92
134
Financial assets designated at fair value
126
Loans and advances to banks
3,297
4,704
Loans and advances to customers
13,509
12,759
Available-for-sale financial assets
4,195
7,693
Total
21,262
25,420
52.1 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
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 Obvion (STORM, GREEN
STORM and STRONG) and DLL (LEAP Warehouse Trust No.1 and
DLL Securitization Trust 2017-A). 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.
52.2 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
securitisation vehicles are usually refinanced by issued debt
securities or credit facilities.
Rabobank Annual Report 2017 - Consolidated financial statements
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