Investor relations and rating agencies
Rabobank attaches great importance to high-quality, transparent communication with
institutional investors and other financiers and providers of capital, and rating agencies.
The Investor Relations department is responsible for supplying and explaining all relevant
information requested by investors. On a global level, presentations are used to inform
institutional investors and other financiers and providers of capital of financial developments
at Rabobank Group. In addition, the department provides information on developments at
Rabobank Group to institutional investors and providers of capital through a website set up
specifically for this target group as well as through a digital newsletter. Activities in this area
were stepped up over the past few years because today, more than ever before, investors want
to be certain that Rabobank continues to have a low risk profile. The fact that our efforts in
this regard are paying off was reflected in being awarded the Best Company Award by the
Netherlands Investor Relations Society (NEVIR).
Market risk
Market risk concerns changes in the value of the trading portfolio as a result of movements in
market prices relating to interest rates, equities, credit spreads, currencies and commodities,
among other things.
Rabobank International and Robeco incur the most market risk within Rabobank Group.
An appropriate system of limits has been developed to manage market risk. The Executive
Board determines Rabobank Group's risk appetite and the related limits on an annual basis.
These limits are then transposed into limits at book level and monitored daily by the market
risk departments of Rabobank International and Robeco. At a consolidated level, market risk is
measured using Value at Risk (VaR) and event risk. Value at Risk, which is based on historical
market developments for one year, indicates the maximum loss that Rabobank Group can suffer,
subject to a specific confidence level, under 'normal' market conditions. In order to weigh the
risk of'abnormal' market conditions as well, the effects of certain extreme events are measured
also (event risk). To this end, both historical scenarios and hypothetical scenarios are analysed.
Sensitivity analyses are also used.
In 2011, Value at Risk fluctuated between EUR 10 million and EUR 24 million, the average being
EUR 16 million. During the year under review, this figure stayed well within the set limit, which
was EUR 40 million at year-end. As a result, a maximum loss of EUR 24 million can be expected
on a single day under normal circumstances, subject to a confidence level of 97.5%. Under this
calculation method, Value at Risk is the result of both historical market trends and the positions
taken. The fluctuations in Value at Risk during 2011 were attributable to market developments
and changes in positions.
Value at Risk
in millions of euros
30
25
20
5
0
Jan Feb Mar Apr May Jun Jul Aug Sept Oct Nov Dec
Value at Risk can be broken down into a number of components, the most important of which
are changes in interest rates and credit spreads. Opposite positions in different books offset
each other to a certain degree, resulting in a diversification benefit and reducing the total risk.
At year-end 2011, consolidated Value at Risk was EUR 16.5 million.
51
Strategic Framework High level of creditworthiness: risk management
