5.4 Capital ratios
Inhoudsopgave Bestuursverslag Corporate governance Jaarrekening Rabobank Groep Jaarrekening Rabobank
Table 7: RAROC and Economie Capital (in billion). Table 8: Capital ratios
RAROC
At 31 December 2015
At 31 December 2014
RAROC
Economic
Capital
RAROC
Economic
Capital
Domestic retail banking
13.0%
10.1
8.2%
8.8
Wholesale banking and
international retail banking
-4.3%
in
10.2%
7.3
Leasing
27.4%
2.0
31.2%
1.5
Real estate
11.8%
1.4
-15.5%
1.5
Total
8.3%
26.7
7.8%
23.4
Capital ratios
At
At
At
31 December
1 January
31 December
2015
2015
2014
Risk Weighted Exposure Amount
213,110
211,870
211,870
Total Common Equity Tier 1 capital
28,754
27,999
28,714
Total Tier 1 capital
35,052
32,780
33,873
Total qualifying capital
49,455
44,165
45,140
Common Equity Tier 1 ratio
13.5%
13.2%
13.6%
Tier 1 ratio
16.4%
15.5%
16.0%
Capital ratio
23.2%
20.8%
21.3%
The CRR and CRD IVjointly constitute the European
implementation of the Basel capital and liquidity agreement
of 2010. CRR provides CET1 deductible items such as deferred
tax assets and the Internal Ratings Based (IRB) shortfall.
These adjustments will be phased in gradually during the
period 2014-2018. A special element in the deductible
items is the treatment of intangible non-current assets
which temporarily move from CET1 deduction to additional
Tier 1 deduction (AT1 deduction).This leads to an initial
and temporary increase in the CET1 ratio. The Tier 1 ratio is
not affected.
The fully loaded Common Equity Tier 1 ratio was 12.0% on
31 December 2015. Fully loaded is the CET1 ratio where based
on all CRR (CRD IV) regulation being fully applied. In line with
the regulatory requirements various adjustments in capital
will be phased in during the coming years in the CET1 capital.
Therefore, the current CET1-ratio is higher than the fully loaded
CET1-ratio.
edtf 9 Rabobank's capital objectives are based on the
CRR (CRD IV) and bail-in legislation, peer group analyses
and market expectations. In setting these objectives, we have
taken into account the maximum Systemic Risk Buffer of 3%
and bail-in legislation from Europe. Rabobank has been
designated as a Dutch SIFI and not as a global SIFI. DNB has
imposed Rabobank (and the other major Dutch banks) the
maximum buffer of 3%. This buffer will be phased in between
2016 and 2019.
Table 9: Minimum capital buffer.
Minimum capital buffer
CRD IV/CRR
cm
Tier 1
Total
Capital
Minimum pillar 1
2015
4.5%
6.0%
8.0%
Pillar 2 and Capital
conservation buffer
2016-2019
5.0%
5.0%
5.0%
Minimum capital
conservation buffer
9.5%
11.0%
13.0%
Countercyclical buffer
2016-2019
0.0%
0.0%
0.0%
Systemic Risk buffer
2016-2019
3.0%
3.0%
3.0%
Total required (end state)
2016-2019
12.5%
14.0%
16.0%
The Tier 1 instruments that were issued by Rabobank before
2014 do not meet the new requirements of the CRR. For these
instruments, grandfathering is applicable. This means that
these instruments will, in line with the regulatory requirements,
gradually be phased out of equity. In 2015 theTier 1 ratio
increased by 0.4 percentage points to 16.4% (16.0%), mainly
due to the issuance of the 1.5 billion CRR compliant capital
securities in January 2015.
As a result of the issue of Tier 2 capital, the capital ratio rose by
0.9 percentage points to 23.2% (21.3%).
The total required (end state) CET1 capital therefore amounts
to 12.5%, i.e. a minimum Pillar 1 requirement of 4.5%, a pillar
2 requirement and capital conservation buffer of 5.0% and
a system buffer of 3%.The required (end state) total capital
amounts to 16.0%, i.e. a minimum Pillar 1 requirement of 8%,
a pillar 2 requirement and capital conservation buffer of 5.0%
and a system buffer of 3%, however there are discussions
whether banks should include the full additional tier 1 and tier 2
minimum pillar 1 requirement in this total capital requirement
when there is already a pillar 2 CET1 capital requirement set.
In addition to these ratios, there would be a counter cyclical
buffer of up to 2.5% which may be imposed by the supervsior
which also will be phased in between 2016 and 2019. Almost all
supervisors have set their countercyclical buffer at 0% as per
1 January 2016.
334 Rabobank Jaarverslag 2015
