5.3 Economic Capital Inhoudsopgave Voorwoord Bestuursverslag Corporate governance Consolidated Financial Statements Company Financial Statements Pillar 3 edtf 14 Table 3: Regulatory Capital requirements and risk weighted exposure. Regulatory capital requirements and risk weighted exposure At31 December 2016 At 31 December 2015 Risk-weighted Capital Risk-weighted Capital exposure amount requirement exposure amount requirement IRB approach Central governments and central banks 1,198 96 1,109 89 Financial Institutions 6,667 533 6,637 531 Corporates 83,223 6,659 85,282 6,822 Retail 44,750 3,580 41,102 3,288 Equity 10,263 821 13,465 1,077 Other non-credit obligations and transfer risk 11,912 953 15,088 1,207 Securitisation positions 1,806 144 2,219 178 Total IRB approach 159,819 12,786 164,902 13,192 Standardised approach Central governments and central banks 4,247 340 3,734 299 Institutions 288 23 137 11 Corporates 7,748 621 8,445 676 Retail 3,698 296 3,130 250 Secured by mortgages immovable property 1,505 120 2,335 187 Exposures in default 1,418 113 894 71 Exposures associated with particularly high risk 55 4 55 4 Total standardised approach 18,959 1,517 18,730 1,498 Total credit risk and transfer risk 178,778 14,302 183,632 14,690 Market risk 5,340 427 4,948 396 Operational risk 27,108 2,169 24,512 1,961 Total 211,226 16,898 213,092 17,047 At year-end 2016, the Regulatory Capital requirement of Rabobank Group was 16.9 (2015:17.0) billion. The Regulatory Capital requirement for credit risk decreased mainly due to the reduction of exposure. The Regulatory Capital requirement for market risk is in line with the Regulatory Capital Requirement as per year-end 2015. The Regulatory Capital Requirement for operational risk increased in particular due to the re-parametrisation of the AMA model and partly offset by improved data quality of operational events. A more granular overview of the capital requirements can be found in Appendix 14.2 (CRR438c,d). edtf 16 In table 4 until table 6 the flow statements of the RWEA for the different risk types are shown. Table 4: RWEA Credit Risk. Table 5: RWEA Market Risk. Market Risk RWEA at 31 December2015 4,948 CVA (234) Other 626 RWEA at 31 December 2016 5,340 Table 6: RWEA Operational Risk. Operational Risk RWEA at 31 December2015 24,511 Various 2,597 RWEA at 31 December 2016 27,108 Economic capital (EC) refers to Rabobank's internal assessment of the amount of capital it requires to cover the risks it is exposed to. In addition to regulatory capital, Rabobank Group uses an internal capital requirement based on an economic capital framework. In contrast to regulatory capital, our calculation of economic capital takes account of all tangible Credit Risk RWEA at 31 December2015 183,632 Model adjustments 8,061 Business volume incl FX (9,652) (Des) investments (3,263) RWEA at 31 December 2016 178,778 322 Rabobank Jaarverslag 2016

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Jaarverslagen Rabobank | 2016 | | pagina 323