4.5 (Regulatory) Developments
Inhoudsopgave Voorwoord Bestuursverslag Corporate governance
Consolidated Financial Statements Company Financial Statements Pillar 3
Volcker Rule
As part of the Dodd-Frank Act, US regulators adopted a ban
on proprietary trading and restricted investments in or
sponsoring (or having certain relationships with) hedge funds
and private equity ('covered fund activities') by banking entities
and their affiliates, known as the 'Volcker Rule'. The entire
Rabobank Group is in scope of the Volcker rule since it controls
an FDIC insured bank ('Rabobank N.A.') and maintains a branch
in the U.S. ('CRUA, New York Branch'). Market Making, Risk-
Mitigating Fledging and Trading Outside the United States
('TOTUS') are examples of permitted proprietary trading
activities under the Volcker Rule. As of 21 July 2015, Rabobank
has an internal Volcker compliance programme, reasonably
designed to ensure and monitor compliance with the Volcker
Rule. On 30 March 2016, the first annual CEO-attestation to
the US regulator (FED) was submitted based on the output of
the Volcker Control Framework. Rabobank is in the process of
further implementing the requirements and Control Framework
with respect to covered fund activities.
IFRS9
In July 2014, the IASB published IFRS 9 Financial Instruments as
the replacement for IAS 39 Financial Instruments: Recognition
and Measurement. The new standard becomes effective on
1 January 2018 and is endorsed by the EU in November 2016.
IFRS 9 governs the accounting methods used for the majority
of our statement of financial positions and consists of three
main areas: Classification and Measurement, Impairments and
Fledge Accounting.
During 2016 Rabobank has progressed with the implementation
of IFRS 9 towards the effectiveness date of 1 January 2018.
During 2017 we are planning a parallel-run as from July 2017
onwards. For further information regarding the requirements
and impact of IFRS 9 we refer to the consolidated financial
statements of 2016.
MREL
Following the financial crises of 2007/2008, the FSB's
recommended a framework on recovery and resolution
measures. In April 2014 the European countries accepted the
Bank Recovery Resolution Directive (BRRD) which largely
reflected FSB's framework.The BRRD went into full force as per
1st of January 2016.
Financial institutions have to hold a certain minimum required
amount - Minimum Required Eligible Liabilities (MREL)- to have
sufficient loss-absorbing and re-capitalisation capacity available
to overcome challenging periods and to ensure for an orderly
resolution that minimise impacts on financial stability, maintains
the continuity of critical functions and avoids exposing public
funds (and taxpayers) to loss.
Rabobank is held to meet MREL requirements.
MREL Requirements will be determined on a case by case basis
by the SRB It is our current understanding that Rabobank's
capital strategy is aligned with potential MREL requirements.
If and when the ongoing dialogue with the regulators will
indicate changes are needed, Rabobank will adjust its capital
plan.
Basel IV
The Basel Committee is currently reviewing the whole
Regulatory Capital Framework. In the market this overhaul is
referred to as'Basel IV'given significance of the anticipated
reforms. The new market risk framework was published in
January 2016.The Central Bank Governors and Fleads of
Supervision (GFIOS), which is the oversight body of the Basel
Committee) agreed in January 2016 that the Committee would
work to address the problem of excessive variability in risk-
weighted assets by the end of 2016. Flowever, more time is
needed to finalise some work. A meeting of the GFIOS, originally
planned for early January 2017, has therefore been postponed
and it is yet unclear when the committee will complete
the programme.
This programme will include the following key elements:
Removal of internal model approaches for certain risks (such
as the removal of the Advance Measurement Approach for
operational risk).
Introduction of additional constraints on the use of internal
model approaches for credit risk, in particular through the use
of input floors. And the revision of the standardised approach
for credit risk.
The main issue of the proposed capital framework: the
potential introduction of an output capital floor based on
revised standardised approaches.
319 4. Risk management