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

Rabobank Bronnenarchief

Jaarverslagen Rabobank | 2016 | | pagina 332