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

Rabobank Bronnenarchief

Annual Reports Rabobank | 2013 | | pagina 14