Type
Programme
Launched
Solvency management Atlantis1997
Client facilitationErasmus2000
Nieuw Amsterdam 1999
Securities arbitrageTempo2007
Total
Amount outstanding
(in billions of euros)
31-Dec-09
9.5
2.3.
2.3.
1.2
1.5.3.
Underlying portfolio
Own originated loans
Predominantly customer
loans.and receivables
High-quality asset-
backed securities
Senior unsecured funding
in 2009 by currency
Euro
45%
US dollar
30%
Australian dollar
9%
Pound Sterling
4%
New Zealand dollar
3%
Swiss franc
3%
Other
6%
Rating and funding
For many years, Rabobank has been awarded the highest possible
rating by leading rating agencies such as Moody's and Standard
Poor's. Both agencies reaffirmed Rabobank's Triple-A rating in
2009. They did, however, change their outlook to negative, in view
of the fact that poor economic conditions in the Netherlands will
also affect Rabobank Group. Fitch too, ranked Rabobank among
the banks with the highest ratings. Rabobank Group was able to
benefit fully from the, at times, improved sentiment in the capital
market. During 2009, Rabobank Group managed to raise over EUR 40
billion in long-term funding on the international financial markets entirely by its own efforts.
In 2009 the amount of savings deposits also showed a positive trend. While the raising of
long-term funding is centralised within Rabobank Group, an internal system of transfer pricing
ensures that costs are borne by the users.
Information provision to investors and capital providers
Rabobank attaches great importance to high-quality and transparent communication with
institutional investors and other professional financiers. The Investor Relations department
is responsible for supplying and explaining all relevant information requested by investors.
Institutional investors and other professional financiers globally are informed through
presentations about the financial developments at Rabobank Group. Further, this department
informs this target group about developments at Rabobank Group via a dedicated website
and an electronic newsletter. Since the onset of the financial crisis, activities in this field have
been stepped up because, more than ever, investors want to be convinced of Rabobank's
low-risk profile.
Market risk
Market risk relates to changes in the value of the trading portfolio as a result of price movements
in the market, amongst others relating to interest rates, equities, credit spreads, currencies and
certain commodities. Within Rabobank Group, Rabobank International and Robeco in particular
are exposed to this risk. Therefore, specific market risk management departments are in place
within these group entities that calculate and report market risk exposure on a daily basis. An
appropriate system of limits has been developed to control this risk. At consolidated level,
market risk is represented by the Value at Risk. This measure, which is based on historic market
developments for one year, indicates the maximum loss that Rabobank Group can suffer subject
to a certain confidence level and under'normal'market conditions.
In order to weigh the risks of'abnormal' market conditions as well, the effects of certain
extreme events - event risk - are calculated. To this end, both actual scenarios, e.g. the stock
market crash of 1987, and hypothetical scenarios, e.g. an assumed steep rise of all interest
rates, are analysed. Sensitivity analyses are also used. In the year under review, the outcomes
of these sensitivity analyses and stress tests did not exceed their set limit of EUR 160 million.
In 2009, the Value at Risk fluctuated between EUR 23 million and EUR 50 million, with an
average of EUR 32 million.This means that the on a single day under normal circumstances
and with a confidence level of 97.5% the maximum loss will not exceed EUR 50 million.
57
Risk management
