Inhoudsopgave Bestuursverslag Corporate governance Jaarrekening Rabobank Groep Jaarrekening Rabobank
As Table 50 shows, the stressed VaR can be broken down into
a number of components, of which changes in interest rates
and credit spreads are the most important. Since positions
in different books off-set each other to a certain degree, this
results in a large diversification benefit. At 31 December 2015,
the consolidated 60 days averaged stressed VaR based on
a 10-day holding period and a 99% confidence interval was 23.
Table 50: Stressed VaR (10day, 99%)
Stressed VaR 10day, 99%)
2015-31 December
2015 - average
2015 - highest
Interest
42
Foreign
Credit currencies
Shares Commodity Diversification
(17)
N/A
N/A
Total
37
2015 - lowest
20
N/A
Incremental Risk Charge
The Incremental Risk Charge (IRC) captures credit risk in the
trading portfolio that is not captured in the VaR. This risk arises
from the fact that the issuers of bonds, the reference name of
Credit Default Swaps or other issuer risk related products that
Rabobank holds in its trading portfolio might default or suffer
from a rating migration.This can result in a loss for Rabobank.
To calculate this risk, the current issuer risk portfolio is used as
a starting point. It is assumed that these positions cannot be
sold within three months in stressed circumstances. A Monte
Carlo simulation (with input parameters PD, LGD, migration
losses and correlation) results in 4 possible outcomes of losses
due to defaults and migrations in the portfolio within three
months. Regulations prescribe that the final capital number is
based on a one-year period. Under the constant risk assumption
Rabobank adds the outcomes of four 3-month profits and
losses to arrive at a one year loss. The resulting 99.9% worst
observation from the profit and loss distribution represents the
IRC Regulatory Capital.
Regulatory Capital
The VaR, stressed VaR, IRC and Risk Weightings for
Securitisations (RWS) are used in the calculation of Regulatory
Capital for market risk in the trading portfolios. Also the Credit
Value Adjustment (CVA) charge is part of the Regulatory
Capital for market risk. The VaR, stressed VaR and IRC are
calculated using the Internal Method Approach (IMA), while the
Standardised Approach is used for the RWS. This methodology
is based on the standardised approach, already used for the
banking book, which applies a fixed risk weight to a position
based on rating, seniority, granularity and product type
(securitisation or re-securitisation). All banks for which IMA is
approved are required to use the Standardised Approach of
RWS. A confidence interval of 99% and a holding period of 10
days is used for the VaR and stressed VaR in the calculation of
the Regulatory Capital of the trading portfolios.
In addition to the capital charges mentioned above
Standardised Approach Regulatory Capital charges are
calculated for the commodity trading positions in theTrade
Commodity Finance (TCF) department and for FX positions.
Based on the internal CRD IV solvency model, the capital
requirement for market risk amounts to 261. Table 51 shows
a breakdown of the Regulatory Capital requirement for
market risk. On the 31 December 2015, VaR and stressed
VaR have a multiplier of 3.4 as per methodology, including
a 0.4 additional charge as Rabobank's outliers were above
the threshold.
Table 51Regulatory Capital for Market Risk
Regulatory Capital
Internal model
Standardised
Total
VaR
76
76
Stressed VaR
93
93
IRC
58
58
RWS
3
3
Commodities (TCF)
32
32
FX
CVA
135
135
Total
361
35
396
368 Rabobank Jaarverslag 2015
