Contents Foreword Management report Corporate governance
Table 15: IRB exposures by internal rating scales.
Consolidated Financial Statements
Company Financial Statements
Pillar 3
Rabobank's IRB exposure as defined in CRR (CRD IV) at 31 December 2016
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
0.00
111,633
3
39
0
0
zero-risk
R01
0
0.02
6,526
25
7
0.03
0
AAA
R02
0.02
0.02
1,788
90
13
0.02
5
AA+
R03
0.02
0.03
2,776
100
19
0.03
4
AA
R04
0.03
0.05
3,746
510
27
0.04
14
AA-
R05
0.05
0.06
13,312
703
20
0.05
5
A+
R06
0.06
0.09
13,841
1,546
30
0.07
11
A
R07
0.09
0.12
25,650
2,576
24
0.11
10
A-
Adequate to good
R08
0.12
0.17
42,398
6,489
25
0.15
15
BBB+
R09
0.17
0.27
72,351
7,889
18
0.21
11
BBB
R10
0.27
0.41
56,834
11,547
24
0.34
20
BBB-
R11
0.41
0.61
43,561
11,645
22
0.49
27
BB+
R12
0.61
0.92
51,906
14,467
20
0.73
28
BB+/BB
R13
0.92
1.37
38,717
14,027
20
1.15
36
BB
R14
1.37
2.06
31,847
15,329
24
1.72
48
BB-
R15
2.06
3.09
23,922
10,192
19
2.47
43
B+
R16
3.09
4.63
23,696
11,664
19
3.75
49
B+/B
R17
4.63
6.95
14,204
7,946
23
5.61
56
B
R18
6.95
10.42
9,359
7,822
27
8.07
84
B-
R19
10.42
15.63
2,564
2,132
28
12.79
83
B-/CCC+
R20
15.63
99.99
2,083
2,445
27
21.48
117
CCC+/worse
Past due 90 days
D1
100
100
1,362
569
20
100
42
Default
Other defaults
D2
100
100
6,084
3,206
28
100
53
Default
D3
100
100
5,339
2,456
42
100
46
Default
D4
100
100
1,893
459
45
100
24
Default
Total exposure
607,392
135,838
25
3.38
22
At year-end 2016, the exposure weighted average PD of Rabobank's total performing IRB loan portfolio stood at 0.99% (2015: 0.98%).
Table 16: IRB exposures by region.
Rabobank's IRB exposure as defined in CRR (CRD IV) geographical
breakdown
Region
Exposure
Exposure-
weighted
average LGD
Exposure-
weighted
average PD
Netherlands
429,418
24.3
3.6
Other European countries
46,479
29.8
1.9
North America
70,831
28.2
2.5
Latin America
10,802
29.4
8.2
Asia
13,385
28.7
4.6
Australia
30,461
17.2
3.1
Other Countries
434
23.3
3.5
Total IRB advanced
601,811
25.0
3.4
Netherlands
131
45.0
0.4
Other European countries
954
42.0
9.1
North America
27
45.0
0.6
Latin America
849
45.0
0.9
Asia
3,272
45.2
1.0
Australia
66
45.0
1.0
Other Countries
283
45.0
2.5
Total IRB foundation
5,582
44.6
2.4
Total IRB
607,392
25.2
3.4
327 6. Credit Risk