4.5 (Regulatory) Developments
Inhoudsopgave Bestuursverslag Corporate governance
In 2015 an internal group-wide stress test, as part of the yearly
Supervisory Review and Evaluation Process (SREP), has been
performed. For 2016 in addition to an internal group-wide stress
test also an external group-wide stress test will be performed as
part of the SREP process.
Volcker Rule
As part of the Dodd-Frank Act, US regulators adopted a ban on
proprietary trading and restricted investments in or sponsoring
(or having certain relationships with) hedge funds and private
equity ('covered fund activities') by banking entities and their
affiliates, known as the 'Volcker Rule'.The entire Rabobank
Group is in scope of the Volcker rule since it controls an FDIC-
insured bank ('Rabobank N.A.') and maintains a branch in the
U.S. ('CCRB, New York Branch'). Market Making, Risk-Mitigating
Hedging and Trading Outside the United States ('TOTUS') are
examples of permitted proprietary trading activities under
the Volcker Rule. As of 21 July 2015, Rabobank has an internal
Volcker compliance program, reasonably designed to ensure
and monitor compliance with the Volcker Rule. Rabobank is
in the process of implementing the regulation with respect to
covered fund activities for which the conformance period is
21 July 2016.
IFRS9
As of 1st of January 2018, the current IFRS standards (IAS 39)
will be replaced by IFRS 9. Changes contain three main topics:
classification and measurement of financial instruments,
impairment of financial assets and hedge accounting. In 2015
an IFRS9 project was started to become compliant in time.
MREL
In addition to stronger prudential CRR/ CRD IV requirements,
there was also a need for a framework on recovery and
resolution measures for banks to ensure that bank failures
across the EU are managed in a way which avoids financial
instability and minimises costs for taxpayers.Therefore, in April
2014, the European Parliament passed the BRRD effective
1 January 2016.
To ensure banks have sufficient loss absorbing capacity in
resolution, banks have to hold a certain minimum required
amount to absorb losses:The Minimum Required Eligible
Liabilities which should be at least 8% of the balance sheet
total.The MREL-requirement will be set on a case by case
Jaarrekening Rabobank Groep Jaarrekening Rabobank
basis (bank specific). MREL requirements have not been
defined by the Resolution Authority but is expected to be
compatible with theTLAC requirements for Global Systemically
important institutions ("G-SIB's").The expected timing for the
communication on MREL requirements is the second half
of 2016.
TLAC
The Financial Stability Board (FSB) has published its final Total
Loss-Absorbing Capacity (TLAC) standard in November 2015
to be applied to global systemically important banks (G-SIBs).
The standard is intended to ensure that failing G-SIBs have
sufficient loss-absorbing and re-capitalisation capacity available
in resolution for authorities to implement an orderly resolution
that minimise impacts on financial stability, maintains the
continuity of critical functions and avoids exposing public funds
to loss.
TheTLAC principles and term sheet sets out the minimum
requirement for the instruments and liabilities that should be
readily available for bail-in without resolution at G-SIBs, which
will be defined as at least 16% of the resolution group's risk-
weighted assets from 1 January 2019 and at least 18% from
1 January 2022 as well as a minimumTLAC of at least 6% of the
Basel III leverage ratio denominator from 1 January 2019 and at
least 6.75% from 1 January 2022. The FSB has announced that it
will monitor the technical implementation oftheTLAC standard
and will report on this by the end of 2019.
Basel IV
The Basel Committee is currently reviewing the whole
Regulatory Capital framework. In the market this is also called
'Basel IV'given the significant reforms. The new market risk
framework is published in January 2016.The GHOS (Central
Bank Governors and Heads of Supervision which is the oversight
body of the Basel Committee) agreed in January 2016 that the
Committee would complete its work to address the problem of
excessive variability in risk-weighted assets by the end of 2016.
This program will include the following key elements:
Consultation on the removal of internal model approaches
for certain risks (such as the removal of the Advanced
Measurement Approach for operational risk); and
Consultation on setting additional constraints on the use
of internal model approaches for credit risk, in particular
through the use of floors.
328 Rabobank Jaarverslag 2015
