Inhoudsopgave Voorwoord Bestuursverslag Corporate governance
Consolidated Financial Statements Company Financial Statements Pillar 3
Risk Management Credit (RM Credit) provides insight into the
risk at portfolio level, in order to make it possible for Rabobank
to optimise the balance between credit risk, capital usage
and returns. RM Credit is a centre of competence for all credit
activities in which risk-return considerations play a role.
IRB and Standardised Approach exposures
The following tables provide an overview of Rabobank's
IRB exposures in terms of EAD.These exposures include
outstandings, an estimate of the amount drawn from the
unused part of credit facilities and the estimated interest
payments in arrears in case of a default. Furthermore the risk-
weighted exposure amount, the PD, the LGD and the exposure-
weighted average risk weight are shown.
The policy of Rabobank is aimed at applying the IRB approach
for its credit portfolio as much as possible. A few exceptions
can be made to this policy. The criteria used to assess when
the IRB approach does not need to be applied for a credit
portfolio are included in the 'Policy on partial use of the
Standardised Approach'. In this policy a distinction is made
between portfolios on which the Standardised Approach (SA)
is permanently applied - as they are immaterial in size and risk
- and portfolios for which SA is temporarily applied. Within the
portfolios for which SA is permanently applied, a distinction is
made between portfolios for which the credit risk is nil or very
limited (e.g. some central governments) and portfolios falling
under discretionary approval of DNB for using the SA, for which
specific limits are prescribed.
Rabobank is IRB compliant for 97% of its credit portfolio
exposures (this includes a limited exposure on IRB foundation).
A full 100% IRB coverage will never be reached, since the SA has
been chosen for some portfolios as described in the previous
paragraph. In general the IRB coverage is particularly high for
the portfolios in the Netherlands and in the wholesale portfolios
outside the Netherlands. Some parts of the international retail
portfolios abroad are under SA. The total exposure under the SA
is 22 billion. In Table 10, Rabobank's IRB exposure is presented.
328 Rabobank Jaarverslag 2016
