- - - - - Inhoudsopgave Voorwoord Bestuursverslag Corporate governance Consolidated Financial Statements Company Financial Statements Pillar 3 Stressed VaR 1 Oday, 99%) in millions of euros Interest Credit Foreign currencies Shares Commodity Diversification Total 2016-31 December 50 4 2 (9) 48 2016-average 54 5 2 1 1 n/a 52 2016 - highest 71 11 5 6 2 n/a 69 2016 - lowest 30 3 n/a 23 As Table 44 shows, the stressed VaR can be broken down into a number of components, of which changes in interest rates and credit spreads are the most important. Since positions in different books off-set each other to a certain degree, this results in a large diversification benefit. At 31 December 2015, the consolidated 60 days averaged stressed VaR based on a 10-day holding period and a 99% confidence interval was 23. Table 44: Stressed VaR (1 Oday, 99%). Incremental Risk Charge The Incremental Risk Charge (IRC) captures credit risk in the trading portfolio that is not captured in the VaR. This risk arises from the fact that the issuers of bonds, the reference name of Credit Default Swaps or other issuer risk related products that Rabobank holds in its trading portfolio might default or suffer from a rating migration.This can result in a loss for Rabobank. To calculate IRC, the current issuer risk portfolio is used as a starting point. Rabobank uses the regulatory floor of 3 months as liquidity horizon, (i.e. it is assumed that positions cannot be sold within three months in stressed circumstances). A Monte Carlo simulation with input parameters (EADs based on MTM, PD, LGD per issuer type, migration losses and correlation) results in possible 4 outcomes of losses due to defaults and migrations in the portfolio within three months. Under the constant risk assumption Rabobank adds the outcomes of four 3-month profit and losses to arrive at a one year loss.The resulting 99.9% worst observation from the profit and loss distribution represents the IRC Regulatory Capital. As Table 45 shows, the mean, highest and the lowest IRC amount during 2016. Table 45: Incremental Risk Charge (99.9%). Regulatory Capital For portfolios that have been categorised as trading book, own funds requirements are being calculated within the Market Risk Solvency Framework. The VaR, stressed VaR, IRC and Risk Weightings for Securitisations (RWS) are used in the calculation of Regulatory Capital for market risk in the trading portfolios. Rabobank has the approval to use the Internal Method Approach (IMA) and specific risk. The VaR, stressed VaR and IRC are calculated using the Internal Method Approach (IMA), while the Standardised Approach is used for the RWS. This methodology is based on the standardised approach, already used for the banking book, which applies a fixed risk weight to a position based on rating, seniority, granularity and product type (securitisation or re-securitisation). All banks for which IMA is approved are required to use the Standardised Approach of RWS. A confidence interval of 99% and a holding period of 10 days is used for the VaR and stressed VaR in the calculation of the Regulatory Capital of the trading portfolios. In addition to the capital charges mentioned above Standardised Approach Regulatory Capital charges are calculated for the commodity trading positions in the Trade Commodity Finance (TCF) department and for FX positions. The capital requirement for market risk amounts to EUR 311 million.Table 46 shows a breakdown of the Regulatory Capital requirement for market risk. On the 31 December 2016, VaR and stressed VaR have a multiplier of 3 as per methodology. Incremental Risk Charge (99.9%) Total 2016-31 December 56 2016-average 58 2016 - highest 107 2016 - lowest 42 354 Rabobank Jaarverslag 2016

Rabobank Bronnenarchief

Jaarverslagen Rabobank | 2016 | | pagina 355