Economic capital as an internal capital requirement RAROC4 Economic capital (in billions of euros) 2010 2009 31-Dec-10 31-Dec-09 Domestic retail banking 23.8% 15.2% 8.1 7.6 Wholesale banking and international retail banking 10.1% 8.8% 7.4 7.6 Asset management 0.8 0.8 Leasing 18.3% 10.4% 1.1 1.1 4 The RAROC ratio was calculated Real estate 1.6 1.5 by linking up net profit to the average Other 3.2 3.4 economic capital for the year. Rabobank Group 12.5% 10.3% 22.3 22.0 Over and above the external capital requirement, Rabobank Group uses an internal capital requirement based on an economic capital framework.The key difference with the external capital requirement is that an allowance is made for all material risks and for Rabobank's creditworthiness. The latter is reflected in the economic capital framework that starts from a higher confidence level (99.99%) than that used for the external capital requirement (99.90%). A broad spectrum of risks is measured consistently to gain a more complete understanding of risks and to allow a more rational weighing of risk and return. A series of models has been developed to weigh the risks incurred by Rabobank Group. These risks are credit, transfer, operational, business, interest rate and market risk. Market risk breaks down into trading book, private equity, currency, property and residual value risk. A separate risk model is used for the participation in Eureko. Economic capital saw a 3% rise to EUR 22.3 (22.0) billion in 2010 due primarily to an increase in economic capital for interest rate risk and credit risk. The interest rate risk grew due to an increase in net interest positions and a levelling-off of the yield curve. The rise for credit risk was attributable to an increase in receivables from counterparties. Total economic capital is ample below the available qualifying capital of EUR 35.7 (33.0) billion. This sizeable buffer underscores the solidity of Rabobank Group. Economic capital by group entity at year-end 2010 Domestic retail banking 37% Wholesale banking and international retail banking Real estate Leasing Asset management Other 14% 21 Financial developments Economic capital by category at year-end 2010 Credit and transfer risk Operational risk and business risk Interest rate and market risk Other risks 63% 16%

Rabobank Bronnenarchief

Annual Reports Rabobank | 2010 | | pagina 22