Inhoudsopgave Voorwoord Bestuursverslag Corporate governance Consolidated Financial Statements Company Financial Statements Pillar 3
Nr Recommendation
Market Risk
Provide information that facilitates users' understanding of the linkages between line items in the balance
sheet and the income statement with positions included in the traded market risk disclosures (using the bank's
primary risk management measures such as Value at Risk (VaR)) and non-traded market risk disclosures such as
22 risk factor sensitivities, economic value and earnings scenarios and/or sensitivities
Provide further qualitative and quantitative breakdowns of significant trading and nontrading market risk factors
that may be relevant to the bank's portfolios beyond interest rates, foreign exchange, commodity and equity
23 measures
Provide qualitative and quantitative disclosures that describe significant market risk measurement model
limitations, assumptions, validation procedures, use of proxies, changes in risk measures and models through
time and descriptions of the reasons for back-testing exceptions, and how these results are used to enhance the
24 parameters of the model.
Provide a description of the primary risk management techniques employed by the bank to measure and assess
the risk of loss beyond reported risk measures and parameters, such as VaR, earnings or economic value scenario
results, through methods such as stress tests, expected shortfall, economic capital, scenario analysis, stressed
VaR or other alternative approaches. The disclosure should discuss how market liquidity horizons are considered
25 and applied within such measures.
Credit Risk
Provide information that facilitates users' understanding of the bank's credit risk profile, including any significant
credit risk concentrations. This should include a quantitative summary of aggregate credit risk exposures that
reconciles to the balance sheet, including detailed tables for both retail and corporate portfolios that segments
them by relevant factors. The disclosure should also incorporate credit risk likely to arise from off-balance sheet
26 commitments by type.
Describe the policies for identifying impaired or non-performing loans, including how the bank defines impaired
or non-performing, restructured and returned-to-performing (cured) loans as well as explanations of loan
27 forbearance policies.
Provide a reconciliation of the opening and closing balances of non-performing or impaired loans in the period
and the allowance for loan losses. Disclosures should include an explanation of the effects of loan acquisitions on
28 ratio trends, and qualitative and quantitative information about restructured loans
Provide a quantitative and qualitative analysis of the bank's counterparty credit risk that arises from its
derivatives transactions. This should quantify notional derivatives exposure, including whether derivatives
are over-the-counter (OTC) or traded on recognised exchanges. Where the derivatives are OTC, the disclosure
should quantify how much is settled by central counterparties and how much is not, as well as provide a
29 description of collateral agreements
Provide qualitative information on credit risk mitigation, including collateral held for all sources of credit risk and
quantitative information where meaningful. Collateral disclosures should be sufficiently detailed to allow an
assessment of the quality of collateral. Disclosures should also discuss the use of mitigants to manage credit risk
arising from market risk exposures (i.e. the management of the impact of market risk on derivatives counterparty
30 risk) and single name concentrations
Pillar 3
Report 2016
Consolidated financial
statements 2016
Other risks
Describe 'other risk' types based on management's classifications and discuss how each one is identified,
governed, measured and managed. In addition to risks such as operational risk, reputational risk, fraud risk
and legal risk, it may be relevant to include topical risks such as business continuity, regulatory compliance,
technology, and outsourcing.
Discuss publicly known risk events related to other risks, including operational, regulatory compliance and legal
risks, where material or potentially material loss events have occurred. Such disclosures should concentrate on
the effect on the business, the lessons learned and the resulting changes to risk processes already implemented
or in progress
See paragraph 9
See paragraph 9.1
See paragraph 9.1.1
See paragraph 9.1.1
See paragraph 6.2.1
See paragraph 6.2.3
See paragraph 6.2.3 See section 11
Paragraph 6.3.2
Paragraph 6.2,
paragraph 6.3.1 8
paragraph 6.3.2
See paragraph 8.1
See paragraph 4.4.1
and 4.4.3
See paragraph 8.2 See paragraph 4.10
385 14. Appendices