Inhoudsopgave Voorwoord Bestuursverslag Corporate governance Consolidated Financial Statements Company Financial Statements Pillar 3
Table 15: IRB exposures by internal rating scales.
Rabobank's IRB exposure as defined in CRR (CRD IV) at 31 December 2016
Internal
rating
PD min
PD max
Exposure
Risk-weighted
exposure
amount
Exposure-
weighted average
LGD
Exposure-
weigh ted a verage
PD(%)
Exposure-
weighted average
risk weight
External
Rating
Equivalent
(Virtually) no risk
R00
0
0.00
111,633
3
39
0
0
zero-risk
R01
0
0.02
6,526
25
7
0.03
0
AAA
R02
0.02
0.02
1,788
90
13
0.02
5
AA+
R03
0.02
0.03
2,776
100
19
0.03
4
AA
R04
0.03
0.05
3,746
510
27
0.04
14
AA-
R05
0.05
0.06
13,312
703
20
0.05
5
A+
R06
0.06
0.09
13,841
1,546
30
0.07
11
A
R07
0.09
0.12
25,650
2,576
24
0.11
10
A-
Adequate to good
R08
0.12
0.17
42,398
6,489
25
0.15
15
BBB+
R09
0.17
0.27
72,351
7,889
18
0.21
11
BBB
R10
0.27
0.41
56,834
11,547
24
0.34
20
BBB-
R11
0.41
0.61
43,561
11,645
22
0.49
27
BB+
R12
0.61
0.92
51,906
14,467
20
0.73
28
BB+/BB
R13
0.92
1.37
38,717
14,027
20
1.15
36
BB
R14
1.37
2.06
31,847
15,329
24
1.72
48
BB-
R15
2.06
3.09
23,922
10,192
19
2.47
43
B+
R16
3.09
4.63
23,696
11,664
19
3.75
49
B+/B
R17
4.63
6.95
14,204
7,946
23
5.61
56
B
R18
6.95
10.42
9,359
7,822
27
8.07
84
B-
R19
10.42
15.63
2,564
2,132
28
12.79
83
B-/CCC+
R20
15.63
99.99
2,083
2,445
27
21.48
117
CCC+/worse
Past due 90 days
D1
100
100
1,362
569
20
100
42
Default
Other defaults
D2
100
100
6,084
3,206
28
100
53
Default
D3
100
100
5,339
2,456
42
100
46
Default
D4
100
100
1,893
459
45
100
24
Default
Total exposure
607,392
135,838
25
3.38
22
At year-end 2016, the exposure weighted average PD of Rabobank's total performing IRB loan portfolio stood at 0.99% (2015: 0.98%).
Table 16: IRB exposures by region.
Rabobank's IRB exposure as defined in CRR (CRD IV) geographical
breakdown
Exposure- Exposure-
weighted weighted
Region Exposure average LGD average PD(%)
Netherlands 429,418 24.3 3.6
Other European countries 46,479 29.8 1.9
North America 70,831 28.2 2.5
Latin America 10,802 29.4 8.2
Asia 13,385 28.7 4.6
Australia 30,461 17.2 3.1
Other Countries 434 23.3 3.5
Total IRB advanced 601,811 25.0 3.4
Netherlands 131 45.0 0.4
Other European countries 954 42.0 9.1
North America 27 45.0 0.6
Latin America 849 45.0 0.9
Asia 3,272 45.2 1.0
Australia 66 45.0 1.0
Other Countries 283 45.0 2.5
Total IRB foundation 5,582 44.6 2.4
Total IRB 607,392 25.2 3.4
331 6. Credit Risk