Market risk
Value at Risk
Senior unsecured funding by currency
Dutch Central Bank's guidelines on liquidity, our liquidity position
qualifies as comfortable, and our liquidity buffer as sizable, with
available liquidity exceeding the requirement by 44% on average.
Long-term funding activities were also successful. During the year
under review, Rabobank Group managed to issue EUR 29 billion in
unsecured long-term bonds in 17 different currencies. By operating
on a global scale in this regard, the bank avoids becoming too
reliant on a single source of finance. Equity was shored up by
issuing hybrid equity instruments for a total of EUR 2.8 billion.
Investor relations
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 and so to contribute to raising the required
funding for Rabobank Group. On a global level, institutional investors and other financiers and
providers of capital are informed of financial developments at Rabobank Group, including via
the corporate website (www.rabobank.com/ir). 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 our being awarded the Best Company Award 2012 by the
Netherlands Investor Relations Society (NEVIR).
Market risk relates to changes in the value of the trading portfolio caused by movements in
market prices affecting 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 on a daily basis 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 too, the effects of certain extreme
events are also measured (event risk). To this end, historical scenarios as well as hypothetical
scenarios are analysed. Sensitivity analyses are also used.
In 2012, Value at Risk fluctuated between EUR 7.6 million and EUR 20.6 million, the average
being EUR 11.6 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 21 million can
be expected on a single day under normal circumstances, subject to a confidence level of
97.5%. Under this method, Value at Risk is calculated on the basis of historical market trends
and the positions taken. The fluctuations in Value at Risk during 2012 were attributable to
market developments and changes in positions.
in millions of euros
0 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
60 Annual Report 2012 Rabobank Group
at year-end 2012, in
O
16
Euro
10 US dollar
Japanese yen
Australian dollar
m Pound Sterling
21 Other
