5.3 Economic Capital
Inhoudsopgave Bestuursverslag Corporate governance
At year-end 2015, the Regulatory Capital requirement of
Rabobank Group was 17.0 (16.9) billion. The Regulatory Capital
requirement for credit risk and market risk is in line with
the Regulatory Capital Requirement as peryear-end 2014.
Regulatory Capital Requirement for operational risk increased
due to the improved registration of operational events. A more
granular overview of the capital requirements can be found in
Appendix 14.2 (CRR438c,d).
edtf 16 In Table 4 until Table 6 the flow statements of the
RWEA for the different risk types are shown.
Table 4: RWEA Credit Risk
Credit Risk
RWEA at 31 December 2014
183,650
Model adjustments
6,740
Business volume incl FX
(5,628)
(Des) investments
(1,130)
RWEA at 31 December 2015
183,632
Table 5: RWEA Market Risk
Market Risk
RWEA at 31 December 2014
5,091
CVA
(245)
Other
102
RWEA at 31 December 2015
4,948
Jaarrekening Rabobank Groep Jaarrekening Rabobank
weighing of risk against return. A series of models has been
developed to assess the risks incurred by Rabobank Group.
These models concern credit, transfer, operational, interest
rate and market risk. Market risk breaks down into trading
book, private equity, currency, real estate and residual value
risk.These EC models also form the core of the Internal Capital
Adequacy Assessment Process (ICAAP).
The Economic Capital increased to 26.7 (23.4) billion.
The increase was mainly due to the removal of diversification
between risk categories in the EC framework.
Economic capital by risk category
at year-end 2015
I Credit and transfer risk 54%
I Operational and business risk 19%
I Interest rate and market risk 17%
I Other risks 10%
Table 6: RWEA Operational Risk
Operational Risk
RWEA at 31 December 2014
23,129
Improved registration
1,382
RWEA at 31 December 2015
24,511
In addition to Regulatory Capital, Rabobank Group also uses
an internal capital requirement.This Economic Capital (EC)
framework is used as key metric for internal risk measurement
and management.The main difference between EC and RC is
that the calculation of the Economic Capital takes into account
all the material risks for which Rabobank considers a capital
reserve necessary. Rabobank also assumes a higher confidence
level (99.99%) than is used for Regulatory Capital (99.90%).
A broad spectrum of risks is measured consistently to gain
an understanding of these risks and to enable a rational
Figure 2: Economic Capital by risk category.
Qualifying capital
The available qualifying capital of 49.4 (45.1) billion, that the
bank retains to compensate for potential losses, was above the
level of the total external and internal capital requirements.
This buffer underlines the financial solidity of Rabobank Group.
The Risk Adjusted Return on Capital (RAROC), is calculated by
relating the net profit to the average Economic Capital during
a year. In Table 7 the RAROC and Economic Capital are shown.
The RAROC of WRR is negatively impacted in 2015 because
of the goodwill impairment of EUR 0.6 billion on RNA. In 2014
the real estate loan impairment charges were significant.
In 2015 the real estate results recovered mainly due to less loan
impairment charges which resulted in a higher RAROC.
333 5. Capital management
