6.5 Country risk
Inhoudsopgave Bestuursverslag Corporate governance
With respect to country risk, a distinction is made between
collective debtor risk and transfer risk. Collective debtor risk is
the risk that a large number of debtors in a particular country
will all be unable to fulfil their obligations owing to the same
cause, e.g. war, political or social unrest, natural disasters, or
government policy that fails to create macro-economic and
financial stability. Transfer risk is the risk that payments in non
local currency could in any way be hindered or prohibited
due to insufficient availability of non-local currency financial
resources (economic transfer risk), and/or to unwillingness of
the government (political transfer risk) to permit the non-local
currency outflow of financial resources.
Rabobank uses a country limit system to manage collective
debtor risk and transfer risk. After careful review, relevant
countries are given an internal country risk rating, after which
general limits and transfer limits are set.Transfer limits are
introduced based on the net transfer risk, which is defined
as total loans granted less loans granted in local currency,
guarantees, other collateral obtained to cover transfer risk
and a deduction related to the reduced weighting of specific
products.The limits are allocated to the offices, which are
Table 40: Ultimate risk in non-industrial non-OECD countries
Jaarrekening Rabobank Groep Jaarrekening Rabobank
themselves responsible for the day-to-day monitoring of
loans that have been granted and for reporting on this to
Risk Management. At Rabobank Group level, the country
risk outstanding is reported every quarter to the Risk
Management Committee (RMC Group) and the Country Limit
Committee (CLC).
Special Basel II parameters, specifically EATE (Exposure at
Transfer Event), PTE (Probability ofTransfer Event) and LGTE
(Loss Given Transfer Event), are used to calculate the additional
capital requirement for transfer risk. These calculations are made
in accordance with internal guidelines and cover all countries
where transfer risk is relevant.
Based on the concept of country of ultimate risk, the collective
debtor risk for non-industrial non-OECD countries stood at
24.7 (2014: 26.9) billion at year-end 2015.The net ultimate
transfer risk before allowances for these countries amounted
to 15.4 (2014:18.2) billion at year-end 2015, which corresponds
to 2.3% (2014:2.7%) of total assets. Total assets were 670.4
(2014:681.1) billion. The total allowance for ultimate country
risk amounted to 346 (2014: 233), which corresponds to 4.1%
(2014:2.5%) of the total allowance of 8,478 (2014: 9,438).
Ultimate risk in non-industrial non-OECD
countries
Regions
Ultimate country risk (exclusive of derivatives)1
- of which in local currency exposure
Net ultimate country risk before allowance
Total allowance for ultimate country risk
Europe
818
148
670
Africa
466
178
288
Latin America
10,335
5,604
4,731
Asia/Pacific
13,123
3,377
9,746
Total
24,742
9,307
15,435
31-Dec-15
As of total
assets
3.7%
As of total
allowance
Regions
Ultimate country risk (exclusive of derivatives)1
- of which in local currency exposure
Net ultimate country risk before allowance
Total allowance for ultimate country risk
Europe
430
157
273
Africa Latin America
493 10,187
195 4,554
298 5,633
146
Asia/Pacific
15,749
3,768
11,981
84
Total
26,860
8,675
18,185
233
31-Dec-14
As of total
assets
3.9%
As of total
allowance
2.5%
1 Total assets after third party coverage, plus guarantees issued and unused committed credit facilities.
355 6. Credit Risk
