Interests in unconsolidated structured entities

Structured entities are entities that have been designed so that voting rights or similar rights are not the dominant factor in deciding who controls the entity. The Cooperative Financial Network mainly distinguishes between the following types of interests in unconsolidated structured entities, based on their design and the related risks; these entities largely concern companies of the DZ BANK Group:

Interests in investment funds issued by the Cooperative Financial Network
Interests in investment funds not issued by the Cooperative Financial Network
Interests in securitization vehicles
Interests in asset-leasing vehicles

Interests in investment funds issued by the Cooperative Financial Network
The interests in the investment funds issued by the Cooperative Financial Network largely comprise investment funds issued by entities in the Union Investment Group in accordance with the contractual form model without voting rights and, to a lesser extent, those that are structured as a company with a separate legal personality. Furthermore, DVB Bank SE makes subordinated loans available to fully consolidated funds for the purpose of transport finance. In turn, these funds make subordinated loans or direct equity investments available to unconsolidated entities.

The maximum exposure of the investment funds issued and managed by the Cooperative Financial Network is determined as a gross value, excluding deduction of available collateral, and amounts to €7,979 million as at the reporting date (2019: €9,352 million). These investment fund assets resulted in losses of €66 million (2019: losses of €13 million) as well as income of €2,561 million (2019: €2,421 million).

Interests in investment funds not issued by the Cooperative Financial Network
The interests in the investment funds not issued by the Cooperative Financial Network above all comprise investment funds managed by entities in the Union Investment Group within the scope of their own decision-making powers and investment funds that have been issued by entities outside the Cooperative Financial Network and parts of such investment funds. Their total volume amounted to €39,836 million (2019: €40,256 million). Moreover, loans to investment funds are extended in order to generate interest income. In addition, there are investment funds issued by entities outside the Cooperative Financial Network in connection with unit-linked life insurance of the R+V Group (R+V) amounting to €10,056 million (2019: €8,837 million) that, however, do not result in a maximum exposure.

The maximum exposure arising of the investment funds not issued by the Cooperative Financial Network is determined as a gross value, excluding deduction of available collateral, and amounts to €7,318 million as at the reporting date (2019: €7,000 million). Income generated from these investment fund assets in the financial year 2020 amounted to €195 million (2019: €165 million).

Interests in securitization vehicles
The interests in securitization vehicles are interests in vehicles where the Cooperative Financial Network involvement goes beyond that of an investor.

The material interests in securitization vehicles comprise the two multi-seller asset-backed commercial paper (ABCP) programs: CORAL and AUTOBAHN. DZ BANK acts as sponsor and program agent for both programs. It is also the program administrator for AUTOBAHN.

The maximum exposure of the interests in securitization vehicles in the Cooperative Financial Network is determined as a gross value, excluding deduction of available collateral, and amounts to €4,583 million as at the reporting date (2019: €4,004 million). Income generated from these interests in the financial year 2020 amounted to €59 million (2019: €63 million).

Interests in asset-leasing vehicles
The interests in asset-leasing vehicles comprised shares in limited partnerships and voting rights, other than the shares in limited partnerships, in partnerships established by VR Smart Finanz for the purpose of real estate leasing (asset-leasing vehicles), in which the asset, and the funding occasionally provided by the DZ BANK Group, were placed. This business model was discontinued in the previous year.

Interest income and current income and expense generated in the previous year from asset-leasing vehicles amounted to €1 million, while other net operating income amounted to €2 million.

Consolidated Financial Statements 2020 of the Volksbanken Raiffeisenbanken Cooperative Financial Network