Capital requirements
Of the revaluation reserve - pensions, which relates to the defined benefit plan placed with
Stichting Rabobank Pensioenfonds and terminated in 2013 and the Robeco pension scheme,
and taking account of the correction provision in 'Q&A on the Effects of the Pensions Reporting
Standard (IAS 19 Revised) for banks and investment firms in 2013'published by De Nederlandsche
Bank (DNB), EUR 1,089 million has been deducted from the core tier 1 capital and EUR 1,993
million from the additional tier 1 capital. The pro forma Basel III leverage ratio stood at 4.8%
(4.7%) on 31 December 2013, and is calculated by dividing the tier 1 capital on the reporting
date by the volume of the balance sheet as defined in the Basel III document of June 2011
A number of changes were made to the definition in early January 2014. These are expected
to lead to a slight increase in the leverage ratio.
Besides strengthening its capital ratios, Rabobank intends to change the composition of its
capital. Rabobank strives to further increase the proportion of retained earnings and tier 2
capital in its capital, and to reduce the relative proportion of hybrid capital and the relative
proportion of capital in Rabobank Certificates.
Regulatory capital
Rabobank Group's regulatory capital requirement stood at EUR 16.9
(17.8) billion at the end of 2013. The decline in the regulatory
capital requirement was mainly due to the phasing out of non-core
portfolios in the wholesale banking division, foreign currency
effects and the sale of Robeco. 90% of the total capital requirement
concerns credit and transfer risk, 9% relates to operational risk and
1% to market risk.
Rabobank Group calculates the regulatory capital for credit risk for
virtually its entire loan portfolio on the basis of the Advanced
Internal Rating Approach approved by DNB.The Standardised
Approach is applied, in consultation with DNB, to portfolios with
relatively limited exposure and to a few smaller foreign portfolios
that are not suited to the Advanced Internal Rating Approach. Operational risk is measured
using the internal model approved by the Dutch regulator that is based on the Advanced
Measurement Approach. Regarding market risk, Rabobank has obtained permission from DNB
to calculate the general and specific position risk using its own internal value-at-risk (VaR)
models, based on the rules of CAD II (Capital Adequacy Directive).
Economic capital
In addition to regulatory capital, Rabobank Group uses an internal capital requirement based on
an economic capital framework. The key difference with regulatory capital is that the economic
capital takes account of all material risks and assumes a higher confidence level (99.99%) than
that assumed for regulatory capital (99.90%). A broad spectrum of risks is measured consistently
to gain an understanding of these risks and to enable a rational weighing of risk against return.
A series of models has been developed to assess the risks incurred by Rabobank Group.
These are credit, transfer, operational, interest-rate and market risk. Market risk breaks down
into trading book, private equity, currency, real estate and residual value risk. A separate risk
model is used for the participation in Achmea.
The economic capital declined compared to 2012 to EUR 23.2 (24.3) billion. The economic
capital for credit risk declined mainly as a result of the phasing out of non-core portfolios.
The economic capital for operational risk declined, mainly due to the implementation of a
new model.
at year-end 2013, in billions of euros
45
40
30
20
E
Other risks
Operational and
business risk
Interest rate and
market risk
Credit and transfer risk
13 Financial developments