Bad debt costs in basis points of average lending Domestic retail banking 2011 22 2010 13 Wholesale banking and international retail banking 73 64 Leasing 58 90 Real estate 69 36 Rabobank Group 37 29 Driven by the adverse economic developments due to the euro crisis, bad debt costs rose relatively sharp in the last six months of 2011; they were 29 basis points in the first half of 2011 and 45 in the second half of the year. The ten-year average (period 2001 -2010) of bad debt costs is 24 basis points. This pattern was seen across the organisation. On an annual basis, the leasing operations were the only ones to show a reduction in bad debt costs compared to 2010.This was attributable in particular to a relatively high release and a substantial amount in recovered bad debts in the first six months of the year. The real estate business suffered from pressure on the property market, nearly doubling bad debt costs in that division compared to 2010. Impaired loans and allowance for loan losses (in millions of euros) 31 December 2011 31 December 2010 Impaired loans Allowance Impaired loans Allowance Domestic retail 4,559 1,543 3,577 1,376 Wholesale banking and international retail banking 3,493 999 2,649 780 Leasing 832 474 960 464 Real estate 1,066 205 793 95 Other 8 1 70 64 Rabobank Group 9,958 3,222 8,049 2,779 Structured credit exposure in billions of euros at year-end 2011 Non-subprime RMBS 1.8 CDO/CLO and other corporate exposures 1.5 Commercial real estate 0.8 US subprime 0.3 ABS CDO 0.1 Other ABS 0.1 Structured credit Structured credit exposure in the trading and investment books stood at EUR 4.6 (5.8) billion at year-end 2011. Structured credit exposure rating distribution at year-end 2011 AAA 30% A 26% AA 23% Below A 21% Monoline insurers are counterparties in some credit default swaps used to hedge the credit risk of certain investments. The counterparty risk on the monoline insurers before provisions was EUR 1,313 (1,330) million at year-end 2011. The total allowance stood at EUR 1,140 (1,114) million, reducing the remaining counterparty risk to EUR 173 (216) million. This counterparty risk is caused by a drop in the fair value of the underlying investments or by the potential emergence of a claim for payment against these insurers because of other insured investments. In determining the economic counterparty risk, time aspects and the credit quality of the investments have been taken into consideration. As the largest part of the counterparty risk has been provided for, further downgrades have only limited impact. 47 Strategic Framework High level of creditworthiness: risk management

Rabobank Bronnenarchief

Annual Reports Rabobank | 2011 | | pagina 48