6.6 Equities in the banking book Inhoudsopgave Voorwoord Bestuursverslag Corporate governance Consolidated Financial Statements Company Financial Statements Pillar 3 Table 35: Ultimate risk in non-industrial non-OECD countries. Ultimate risk in non-industrial non-OECD countries 31-Dec-2016 Regions Europe Africa Latin America Asia/Pacific Total As of total assets Ultimate country risk (exclusive of derivatives)1 844 602 11,956 14,964 28,366 4.3 - of which in local currency exposure 178 7 7,090 3,574 10,848 Net ultimate country risk before allowance 666 596 4,866 11,390 17,518 2.6 As of total allowance Total allowance for ultimate country risk 10 - 192 268 471 6.2 31-Dec-2015 Regions Europe Africa Latin America Asia/Pacific Total As of total assets Ultimate country risk (exclusive of derivatives)1 818 466 10,335 13,123 24,742 3.7% - of which in local currency exposure 148 178 5,604 3,377 9,307 Net ultimate country risk before allowance 670 288 4,731 9,746 15,435 2.3% As of total allowance Total allowance for ultimate country risk 10 - 144 191 346 4.1% Since concerns about the euro increased, the outstanding country risk, including the sovereign risk for relevant countries, has been reported on a monthly basis. Next to exposures to Dutch, German and French government bonds, exposures to government bonds issued by other European countries are relatively low. Already since the beginning of 2014 Rabobank has been following a very restrictive country risk policy towards Russia. Monitoring has been intensified. Exposure in Russia at year-end 2015 was very limited, mainly in trade and commodity financing of Russian exports and to a lesser extent in leasing. Rabobank's risks on Russia are considered to be acceptable. Since the failed coup attempt in July 2016 a more restrictive country risk policy towardsTurkey was introduced and monitoring has been intensified. Total exposure value at 31 December 2016 of equities in banking books amounted to 4,021, resulting in a capital requirement of 821. Table 36 shows Rabobank's equity holdings outside the trading book based on the purpose of the ownership. All equities in the investment portfolio are stated at fair value.The evidence of published price quotations in an active market is the best 1 Total assets after third party coverage, plus guarantees issued and unused committed credit facilities. evidence of fair value, and if they exist they are used to measure the value of financial assets and financial liabilities. For equities with no published price quotations, fair values are estimated based on appropriate price/earnings ratios, and adjusted to reflect the specific circumstances of the respective issuers. Strategic investments are recognised in accordance with the equity method. With this method, Rabobank's share in the profit or loss of an associate - subject to Rabobank's accounting policies - (after the acquisition) is recognised in profit or loss, and its share in the changes in reserves after the acquisition is recognised in reserves. Any post-acquisition changes are taken to the cost of the investment. Table 36: Overview of equities in the banking book. Equity overview Exposure value Risk- weighted exposure amount Capital requirement Cumulative unrealised gains/losses Gains/ losses realised in the period Investment portfolio 1,894 4,612 369 68 17 Strategic investment 2,128 5,651 452 187 62 Total 4,021 10,263 821 255 79 Of the exposure value 946 relates to private equity exposures in sufficiently diversified portfolios (190% risk weight), 2,563 relates to exposures in significant financial institutions (250% risk weight), 211 relates to exchange traded equity exposures (290% risk weight) and 301 to all other equity exposures (370% risk weight). 342 Rabobank Jaarverslag 2016

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Jaarverslagen Rabobank | 2016 | | pagina 343