14.5 Enhanced Disclosure Task Force (EDTF) Index
Inhoudsopgave Voorwoord Bestuursverslag Corporate governance Consolidated Financial Statements Company Financial Statements Pillar 3
Nr Recommendation
General recommendations
Present all related risk information together in any particular report. Where this is not practicable, provide an
1 index or an aid to navigation to help users locate risk disclosures within the bank's reports
2 Define the bank's risk terminology and risk measures and present key parameter values used.
Describe and discuss top and emerging risks, incorporating relevant information in the bank's external reports
on a timely basis. This should include quantitative disclosures, if possible, and a discussion of any changes in
3 those risk exposures during the reporting period.
Once the applicable rules are finalised, outline plans to meet each new key regulatory ratio, e.g. the net stable
funding ratio, liquidity coverage ratio and leverage ratio and, once the applicable rules are in force, provide such
4 key ratios.
Risk governance and risk management strategies/business model
5 Summarise prominently the bank's risk management organisation, processes and key functions.
Provide a description of the bank's risk culture, and how procedures and strategies are applied to support the
6 culture.
Describe the key risks that arise from the bank's business models and activities, the bank's risk appetite in the
context of its business models and how the bank manages such risks. This is to
enable users to understand how business activities are reflected in the bank's risk measures and how those risk
7 measures relate to line items in the balance sheet and income statement
Describe the use of stress testing within the bank's risk governance and capital frameworks. Stress testing
8 disclosures should provide a narrative overview of the bank's internal stress testing process and governance.
Capital adequacy and risk-weighted assets
Provide minimum Pillar 1 capital requirements, including capital surcharges for G-SIBs and the application of
9 counter-cyclical and capital conservation buffers or the minimum internal ratio established by management.
Summarise information contained in the composition of capital templates adopted by the Basel Committee
to provide an overview of the main components of capital, including capital instruments and regulatory
adjustments. A reconciliation of the accounting balance sheet to the regulatory balance sheet should be
10 disclosed.
Present a flow statement of movements since the prior reporting date in regulatory capital, including changes in
11 common equity tier 1tier 1 and tier 2 capital
Qualitatively and quantitatively discuss capital planning within a more general discussion of management's
strategic planning, including a description of management's view of the required or targeted level of capital and
12 how this will be established.
Provide granular information to explain how risk-weighted assets (RWAs) relate to business activities and related
13 risks.
Present a table showing the capital requirements for each method used for calculating RWAs for credit risk,
including counterparty credit risk, for each Basel asset class as well as for major portfolios within those classes.
For market risk and operational risk, present a table showing the capital requirements for each method used for
calculating them. Disclosures should be accompanied by additional information about significant models used,
14 e.g. data periods, downturn parameter thresholds and methodology for calculating loss given default (LGD).
Tabulate credit risk in the banking book showing average probability of default (PD) and LGD as well as exposure
at default (EAD), total RWAs and RWA density for Basel asset classes and major portfolios within the Basel
asset classes at a suitable level of granularity based on internal ratings grades. For non-retail banking book
credit portfolios, internal ratings grades and PD bands should be mapped against external credit ratings and
the number of PD bands presented should match the number of notch-specific ratings used by credit rating
15 agencies
16 Present a flow statement that reconciles movements in RWAs for the period for each RWA risk type
Provide a narrative putting Basel Pillar 3 back-testing requirements into context, including how the bank has
17 assessed model performance and validated its models against default and loss.
Liquidity
Describe how the bank manages its potential liquidity needs and provide a quantitative analysis of the
components of the liquidity reserve held to meet these needs, ideally by providing averages as well as period-
end balances. The description should be complemented by an explanation of possible limitations on the use of
18 the liquidity reserve maintained in any material subsidiary or currency
Funding
Summarise encumbered and unencumbered assets in a tabular format by balance sheet categories, including
collateral received that can be rehypothecated or otherwise redeployed. This is to facilitate an understanding of
19 available and unrestricted assets to support potential funding and collateral needs
Tabulate consolidated total assets, liabilities and off-balance sheet commitments by remaining contractual
maturity at the balance sheet date. Present separately (i) senior unsecured borrowing (ii) senior secured
borrowing (separately for covered bonds and repos) and (iii) subordinated borrowing. Banks should provide
a narrative discussion of management's approach to determining the behavioural characteristics of financial
20 assets and liabilities
Discuss the bank's funding strategy, including key sources and any funding concentrations, to enable effective
insight into available funding sources, reliance on wholesale funding, any geographical or currency risks and
21 changes in those sources over time.
Pillar 3 Consolidated financial
Report 2016 statements 2016
Appendix 14
See paragraph 4
See paragraph 4.1
See paragraph 4.3
See paragraph 4.2
See paragraph 4.1
See paragraph 4.1
See paragraph 4.4.2
See paragraph 5.4
See paragraph 5.1
See paragraph 5.1
See paragraph 5.2
See paragraph 6.2
See paragraph 5.2
See paragraph 6.2
See paragraph 5.2
See paragraph 6.2
See paragraph 10 6
paragraph 10.2
See paragraph 10.2
See paragraph 10.2 See paragraph 4.7
See paragraph 10.2
384 Rabobank Jaarverslag 2016
