74.4 Countercyclical buffer by country and institution-specific countercyclical buffer rate Inhoudsopgave Voorwoord Bestuursverslag Corporate governance Consolidated Financial Statements Company Financial Statements Pillar 3 Split-up of on balance sheet exposures (excluding derivativesSFTs and exempted exposures) EU-1 Total on-balance sheet exposures (excluding derivatives, SFTs, and exempted exposures), of which: EU-2 Trading book exposures EU-3 Banking book exposures, of which: EU-4 Covered bonds EU-5 Exposures treated as sovereigns EU-6 Exposures to regional governments, MDB, international organisations and PSE NOT treated as sovereigns EU-7 Institutions EU-8 Secured by mortgages of immovable properties EU-9 Retail exposures EU-10 Corporate EU-11 Exposures in default EU-12 Other exposures (eg equity, securitisations, and other non-credit obligation assets) CRR leverage ratio exposures 605,998 2,777 603,221 117,010 23,969 307,411 29,759 79,979 11,096 33,997 Disclosure on qualitative items Description of the processes used to manage the risk of excessive leverage The leverage ratio of Rabobank has never been below the new Basel III minimum level of 3%. As the current level of the leverage ratio is well above the regulatory minimum, no explicit target has been defined. Our strategy is based on profit improvement, selective asset growth and reduction of specific portfolios. This will further improve the leverage ratio. The leverage ratio is a less binding constraint for the Rabobank Group in relation to the minimum requirements and our peers. Changes and potential changes in regulation relating to the leverage ratio are monitored and their potential impact is assessed. The risk profile of the bank (such as the risk weighted assets) is our primary driver in controlling the business. Description of the factors that had an impact on the leverage Ratio during the period to which the disclosed leverage Ratio refers Our leverage ratio amounted to 5.5% as per December 2016 (5.1% as per December 2015). The change in leverage ratio was mainly due to the issue ofa CRD IV compliant EUR 1.25 billion AT1 capital instrument in April 2016, the increase in retained earnings and the reduction of regulatory deductions. We expect that the leverage ratio will further increase in the coming years. Breakdown of credit exposures relevant for the calculation of the countercyclical buffer by country and institution-specific countercyclical buffer rate 31-Dec-2016 Relevant credit exposures - Credit Risk Exposure value under the Standardised Approach Exposure value under the IRB Approach Relevant credit exposures - Market risk Sum of long and short positions of trading book exposures for standardised approaches Value of trading book exposures for internal models Relevant credit exposures - Securitisation Exposure value of securitisation positions in the banking book under the Standardised Approach Exposure value of securitisation positions in the banking book under the IRB Approach Own funds requirements and weights Total own funds requirements for CCB Own funds requirements for relevant credit exposures - Credit risk Own funds requirements for relevant credit exposures - Market risk Own funds requirements for relevant credit exposures - Securitisation positions in the banking book Own funds requirements weights Countercyclical capital buffer rates Countercyclical capital buffer rate applicable for the country of the institution Institution-specific countercyclical capital buffer rate 0,0081% 29,174 481,737 12,215 13,161 339 144 13,644 33 0 383 14. Appendices

Rabobank Bronnenarchief

RABN | 2016 | | pagina 384