Inhoudsopgave Voorwoord Bestuursverslag Corporate governance
Table 11 shows the exposure value which is covered by eligible
collateral and by guarantees and credit derivatives.Table 12
presents the exposure to which the SA is applied. In Table 13
the exposures for the SA before and after credit risk mitigation
are shown. Credit risk mitigation lowers the amount of credit
risk due to e.g. collateralization and guarantees.The exposure
with the 250% risk weight concerns the capital held for
deferred tax assets in accordance with CRR (CRD IV). In table
14 the undrawn commitments are presented.Table 15 gives
an overview of the IRB exposures by internal rating scales.
The external rating equivalents are included for comparison
purposes.
Consolidated Financial Statements Company Financial Statements Pillar 3
Table 12: Rabobank's SA exposure as defined in CRR (CRD IV).
Rabobank's SA exposure as defined in CRR (CRD IV)
Exposure
Risk-weighted
exposure amount
Exposure-weighted
average risk weight
Central governments and
central banks
3,168
4,247
134
Institutions
1,277
288
23
Corporates
7,841
7,748
99
Retail
5,032
3,698
73
Secured by mortgages
immovable property
3,079
1,505
49
Exposures in default
1,223
1,418
116
Exposures associated with
particularly high risk
37
55
150
Total exposure 21,656 18,959 88
edtf 30 Table 11Rabobank's exposure secured by collaterals,
guarantees and credit derivatives (IRB approach).
Rabobank's exposure secured by collaterals, guarantees and credit
derivatives (IRB approach)
Exposure
Of which secured
by guarantees and
credit derivatives
Of which
secured by
collateral
Central governments and
central banks
114,864
778
114,086
Institutions
14,084
18
14,066
Corporates
217,578
4,170
213,408
Retail secured by real estate
224,171
11,679
212,492
Retail SME
25,509
597
24,912
Retail other
5,603
43
5,560
Total IRB advanced
601,811
17,286
584,524
Central governments and
Table 13: Exposure under the SA by risk weight.
Exposure under the SA by risk weight
Before After
credit risk credit risk
Risk weight mitigation mitigation
0% 959 1,337
20% 1,285 1,285
35% 2,770 2,262
50% 316 314
75% 5,515 5,032
100% 15,356 9,326
150% 1,302 428
250% 1,672 1,672
Total exposure 29,174 21,656
Table 14: Amount of undrawn commitments and average
credit conversion factor.
Amount of undrawn commitments and average credit conversion
factor IRB advanced
Original exposure
pre conversion
factors
Average credit
conversion
factor
Exposure
value
Central government and
central institutions
351
58
203
Institutions
1,508
73
1,098
Corporates
82,275
63
51,808
Retail secured by real estate
10,706
66
7,106
Retail SME
2,524
100
2,524
Retail other
3,123
99
3,092
Total
100,487
66
65,831
central banks 7 - 7
Institutions 4,170 394 3,776
Corporates 1,404 279 1,125
Total IRB foundation 5,582 673 4,909
Total IRB 607,392 17,959 589,433
330 Rabobank Jaarverslag 2016
