Inhoudsopgave Voorwoord Bestuursverslag Corporate governance Consolidated Financial Statements Company Financial Statements Pillar 3 VaR (1 day97.5%) in millions of euros Interest Credit Currencies Shares Commodities Diversification Total 2016-31 December 4.5 0.6 0.4 0.0 0.2 (1.5) 4.2 2016 - average 4.1 1.1 0.2 0.2 0.2 n/a 4.4 2016 - highest 6.3 1.7 0.7 0.7 0.8 n/a 6.9 2016 - lowest 3.3 0.6 0.1 0.0 0.1 n/a 3.5 2015 -31 December 4.3 1.2 0.4 0.4 0.1 (1.3) 5.1 2015 - average 4.2 1.3 0.2 0.7 0.3 n/a 4.8 2015 - highest 8.0 2.0 0.6 1.0 0.7 n/a 8.7 2015 - lowest 2.5 0.7 0.1 0.2 0.2 n/a 2.5 In addition to the VaR, there are several other key risk indicators. The interest rate delta is a measure of the change in the value of positions if there is a parallel increase in the yield curve of1 basis point (i.e. 0.01 percentage point).The interest rate delta table below shows the sensitivity to changes in the yield curves forthe major currencies. At 31 December 2016, the interest rate delta for trading books was EUR 0.3 million positive. The interest rate delta remained well within the set limit during the reporting period. Rabobank uses stress testing to complement the VaR. It is instrumental in gauging the impact of extreme, yet plausible predefined moves in market risk factors on the P&L of individual trading and investment portfolios.These moves are reflected in scenarios which capture risk drivers such as tenor basis swap spreads, interest rates, foreign exchange, credit spreads, volatility and interest rate curve rotation. Depending on the scenario, individual risk factors or multiple risk factor categories will be stressed at the same time. The event risk, which is measured by performing sensitivity analyses and stresstests was EUR 105 million on 31 December 2016, well within the set limit. It fluctuated between EUR 103 million and EUR 159 million with an average of EUR 125 million. Rabobank's event risk is largely determined by the tenor basis swap position, which comes from non-client facing positions of a more strategic nature which are classified as permitted proprietary trading activities outside the US under the Volcker Rule. 4.7 Liquidity risk Liquidity risk is the risk that the bank will not be able to meet all of its payment and repayment obligations on time, as well as the risk that the bank will not be able to fund increases in assets ata reasonable price, if at all. This could happen if, for instance, customers or professional counterparties suddenly withdraw more funds than expected which cannot be absorbed by the bank's cash resources, by selling or pledging assets in the market or by borrowing funds from third parties. Rabobank considers an adequate liquidity position and retaining the confidence of both professional market parties and retail customers to be crucial in ensuring unimpeded access to the public money and capital markets. The liquidity risk policy focuses on financing assets using stable funding, i.e., funds entrusted by customers and long-term wholesale funding. Liquidity risk is managed on the basis of three pillars.The first of these sets strict limits for the maximum outgoing cash flows within the wholesale banking business. Among other things, Rabobank measures and reports on a daily basis what incoming and outgoing cash flows can be expected during the next twelve months. Limits have been set for these outgoing cash flows, including for each currency and each location. Detailed plans (the contingency funding plans) have been drawn up for contingency funding to ensure the bank is prepared for potential crisis situations. Periodic operational tests are performed for these plans. The second pillar is used to maintain a substantial high-quality buffer of liquid assets. In addition to credit balances held at central banks, these assets can be used to be pledged to central banks, in repo transactions, or to be sold directly in the market to generate liquidity immediately. The size of the liquidity buffer is attuned to the risk Rabobank is exposed to in its balance sheet. In addition Rabobank has securitised a portion of the mortgage portfolio internally, which means it can be pledged to the central bank, thereby serving as an additional liquidity buffer. Since this concerns retained securitisations, it is not reflected in the consolidated balance sheet. Interest rate delta in millions of euros 2016 2015 Euro 0.1 (1.2) US dollar 0.1 (0.4) British pound 0.1 0.1 Other 0.0 0.1 Total 0.3 (1.4) 200 Rabobank Jaarverslag 2016

Rabobank Bronnenarchief

Jaarverslagen Rabobank | 2016 | | pagina 201