Risk in non-OECD countries (in millions of euros)
of the additional capital requirement and the country risk allowance is made in accordance
with internal guidelines, and concerns countries with an increased transfer risk.
At year-end 2009, the net transfer risk before allowances for non-OECD countries was 1.3%
(1.2%) of total assets.
Regio's In Europe In Africa
Economic cou ntry. risk, (excluding .derivatives).11913 638
Risk mitigating components:
local currency exposure72 236.
-third party.coverage.of.country risk99. 68
- deduction for transactions with lower risk78. 5
Net country risk before provisions664. 329
Total provisions for economic country risk7 0.
In Latin
America
10,200
In Asia
Pacific
Total
In of balance
sheet total
8.842. 20,5.93. 3.2
4,7.05 2,3817,3.94
.1,5.55
8.92
1,901
505.
.3,0.48 4,056
181
70
3,623
1,479
.8,097
257
1.3%
In of total
provisions
5.6%
Structured credit
Rabobank Group incurs limited exposure to more structured investments in its trading and
investment portfolios. This structured credit exposure stood at EUR 8.0 billion at year-end
2009, and consisted primarily of high quality investments with AAA ratings.
Structured credit exposure
in billions of euros
at year-end 2009
Non-subprime RMBS
3.0
CDO/CLO and other
corporate exposures
2.3
Commercial real estate
1.3
Other ABS
1.0
ABS CDO
0.2
US subprime
0.2
Structured credit exposure
rating distribution
year-end 2009
AAA
71%
AA
12%
A
10%
Below A
7%
A number of structured investments have been further impaired as a result of the further
deterioration of the US housing market as well as the corporate market in that country.
These impairment losses involved an amount of EUR 267 million after taxation for the full year
2009. An additional provision of EUR 30 million after taxation has been formed in connection
with a liquidity facility that has been partially secured by subprime mortgages.
11 Total assets, plus guarantees issued
and unused committed credit facilities.
Monoline insurers
Monoline insurers are counterparties in some credit default swaps used to hedge the credit
risk of certain investments. In most cases, solvency objectives are the main reason why these
investments were hedged rather than the credit quality of the investments. There was a further
deterioration in the creditworthiness of a number of monoline insurers in 2009, which was
reflected in the further downgrading of the ratings of these institutions. Counterparty risk arises
in relation to these monoline insurers either because the value of credit default swaps with
these counterparties increases due to a decrease in the value of the underlying investments, or
because other insured investments might result in claims for these insurers. When calculating
the level of counterparty risk, time-related aspects and the credit quality of the relevant
investments are taken into consideration. At year-end 2009, the total counterparty risk before
provisions amounted to EUR 1,321 million.The total provision increased to EUR 1,138 million,
partly as a result of the scaling down of the portfolio and the formation of an additional provi
sion, which had an impact on earnings of EUR 196 million after taxation. As a consequence,
the remaining counterparty risk at year-end 2009 amounted to EUR 183 million.
54
Report 2009 Rabobank Group
