Contents Management report Corporate governance Consolidated financial statements Financial statements
Table 17: IRB exposures by internal rating scales
Rabobank's IRB exposure as defined in CRR (CRD IV) at 31 December 2015
Internal
rating
PD min
PD max
Exposure
Risk-
weighted
exposure
amount
Exposure-
weighted
average LGD
Exposure-
weighted
average PD
Exposure-
weighted
average risk
weight
External
Rating
Equivalent
(Virtually) no risk
R00
0.00
0.00
91,003
7
41
0.00
0
zero-risk
R01
0.00
0.02
5,925
52
2
0.01
1
AAA
R02
0.02
0.02
2,053
180
18
0.02
9
AA+
R03
0.02
0.03
2,654
74
16
0.03
3
AA
R04
0.03
0.05
4,374
441
24
0.04
10
AA-
R05
0.05
0.06
14,281
634
16
0.05
4
A+
R06
0.06
0.09
14,898
1,725
27
0.08
12
A
R07
0.09
0.12
27,930
2,575
21
0.11
9
A-
Adequate to good
R08
0.12
0.17
44,566
6,167
23
0.15
14
BBB+
R09
0.17
0.27
72,289
6,634
16
0.22
9
BBB
R10
0.27
0.41
64,617
12,517
22
0.33
19
BBB-
R11
0.41
0.61
46,088
11,456
22
0.50
25
BB+
R12
0.61
0.92
50,344
15,295
22
0.75
30
BB+/BB
R13
0.92
1.37
38,287
15,480
23
1.12
40
BB
R14
1.37
2.06
29,702
12,437
21
1.68
42
BB-
R15
2.06
3.09
23,027
9,800
19
2.52
43
B+
R16
3.09
4.63
18,664
10,995
22
3.78
59
B+/B
R17
4.63
6.95
13,088
8,333
29
5.67
64
B
R18
6.95
10.42
9,324
9,863
31
8.51
106
B-
R19
10.42
15.63
2,115
2,559
30
12.77
121
B-/CCC+
R20
15.63
99.99
2,709
4,158
33
19.15
154
CCC+/worse
Past due 90 days
D1
100.00
100.00
1,994
105
24
5
Default
Other defaults
D2
100.00
100.00
6,711
1,395
48
21
Default
D3
100.00
100.00
4,872
952
64
20
Default
D4
100.00
100.00
2,146
298
59
14
Default
Total exposure
593,660
134,130
24.95
0.98
22.59
6.2.1 Credit portfolio
In Table 18 the credit risk to which Rabobank is subject is
presented. No collateral or any other measures for mitigating
credit risk is taken into account. In some cases the amounts
deviate from the carrying amounts, since the outstanding
equity instruments are not included.
Off-balance sheet financial instruments
Guarantees and standby letters of credit which Rabobank
provides to third parties in the event a client cannot fulfil its
obligations vis-a-vis these third parties, are exposed to credit
risk. Documentary and commercial letters of credit and written
undertakings by Rabobank on behalf of clients authorise third
parties to draw bills against Rabobank up to a present amount
subject to specific conditions.These transactions are secured
by the delivery of the underlying goods to which they relate.
Accordingly, the risk exposure of such an off-balance sheet
instrument is lowerthan that of an on-balance sheet exposure,
e.g. a direct loan. Obligations to grant loans at specific rates
of interest during a fixed period of time are recognised under
credit granting liabilities and accounted for as such unless these
commitments do not extend beyond the period expected
to be needed to perform appropriate underwriting, in which
case they are considered to be transactions conform standard
market conventions.
Table 18: Credit Risk
Maximum credit risk
31 Decern ber 2015 31 Decern ber 2014
Total gross
exposure
Average
gross
exposure
Total gross
exposure
Average
gross
exposure
Loans and advances to
customers
458,618
460,203
461,787
459,178
Debt securities
36,838
37,665
38,493
42,114
Derivatives
48,113
52,301
56,489
48,096
Loans and advances to banks
31,210
38,586
45,962
43,045
Cash and balances at central
banks
64,943
54,176
43,409
43,224
639,722
642,931
646,140
635,657
Credit-related and
contingent liabilities
62,285
57,966
53,647
51,103
Total
702,007
700,897
699,787
686,760
331 6. Credit Risk
