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53. Structured Entities
About this
Report
Chairman's
Foreword
Corporate
Management Report Appendices Governance
Consolidated Financial Company Financial
Statements Statements
commercial paper issued by Nieuw Amsterdam for regulatory
purposes.
52.4 Carrying Amount of Financial Assets Pledged as
Collateral for (Contingent) Liabilities
The assets referred to below have been pledged as collateral for
(contingent) liabilities (with exception to repo transactions,
securities lending and own-asset securitizations) with the
objective of providing security for the counterparty. If Rabobank
would enter into default the counterparties may use the security
to settle the debt. The increase of the pledged loans and
advances to customers is caused by a transaction with Achmea
where loans are legally transferred to Achmea. These loans are not
derecognized by Rabobank as the risks and rewards of the loans
have not been transferred.
Amounts in millions of euros
2018
2017
Cash and cash equivalents
82
43
Loans and advances to credit institutions
2,536
3,297
Loans and advances to customers
27,499
13,509
Financial assets held for trading
77
92
Financial assets designated at fair value
126
126
Financial assets mandatorily at fair value
n/a
Available-for-sale financial assets
n/a
4,195
Financial assets at fair value through other comprehensive
income
4,223
n/a
Total assets pledged as collateral
34,543
21,262
53.1 Consolidated Structured Entities
A structured entity is an entity which is structured so 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 securitize 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
securitization is handled by Obvion (STORM, GREEN STORM and
STRONG) and DLL (LEAP WarehouseTrust No.1, DLL Securitization
Trust 2017-A, DLL 2018 - 1 LLC and DLL 2018 - 2 LLC). As well as
having provided cash facilities, Rabobank also acts as a swap
counterparty for all own-asset securitizations.
Rabobank acts as a sponsor in Nieuw Amsterdam Receivables
Corporation. Nieuw Amsterdam issues ABCP in various currencies
and provides Rabobankcustomersaccessto liquidity through the
commercial paper market. Rabobank provides advice and
manages the program, markets ABCP, provides cash facilities and/
or credit risk enhancements and other facilities for the underlying
transactions and the program 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.
53.2 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 securitization 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.
Annual Report 2018 - Consolidated financial Statements
212
