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