14.4 Countercyclical buffer by country and institution-specific countercyclical buffer rate
Contents Foreword Management report Corporate governance Consolidated Financial Statements Company Financial Statements Pillar 3
Split-up of on balance sheet exposures (excluding derivatives, SFTs and exempted exposures)
CRR leverage
ratio exposures
EU-1
Total on-balance sheet exposures (excluding derivatives, SFTs, and exempted exposures), of which:
605,998
EU-2
Trading book exposures
2,777
EU-3
Banking book exposures, of which:
603,221
EU-4
Covered bonds
EU-5
Exposures treated as sovereigns
117,010
EU-6
Exposures to regional governments, MDB, international organisations and PSE NOT treated as sovereigns
EU-7
Institutions
23,969
EU-8
Secured by mortgages of immovable properties
307,411
EU-9
Retail exposures
29,759
EU-10
Corporate
79,979
EU-11
Exposures in default
11,096
EU-12
Other exposures (eg equity, securitisations, and other non-credit obligation assets)
33,997
Disclosure on qualitative items
Description of the processes used to manage the risk of excessive leverage
The leverage ratio of Rabobank has never been below the new Basel III minimum level of 3%. As the current level of the leverage
ratio is well above the regulatory minimum, no explicit target has been defined. Our strategy is based on profit improvement,
selective asset growth and reduction of specific portfolios. This will further improve the leverage ratio.
The leverage ratio is a less binding constraint for the Rabobank Group in relation to the minimum requirements and our peers.
Changes and potential changes in regulation relating to the leverage ratio are monitored and their potential impact is assessed.
The risk profile of the bank (such as the risk weighted assets) is our primary driver in controlling the business.
Description of the factors that had an impact on the leverage Ratio during the period to which the disclosed leverage
Ratio refers
Our leverage ratio amounted to 5.5% as per December 2016 (5.1% as per December 2015). The change in leverage ratio was mainly
due to the issue of a CRD IV compliant EUR 1.25 billion ATI capital instrument in April 2016, the increase in retained earnings and the
reduction of regulatory deductions. We expect that the leverage ratio will further increase in the coming years.
Breakdown of credit exposures relevant for the calculation of the countercyclical buffer by country and institution-specific countercyclical
buffer rate
31-Dec-2016
Relevant credit exposures - Credit Risk
Exposure value under the Standardised Approach
29,174
Exposure value under the IRB Approach
481,737
Relevant credit exposures - Market risk
Sum of long and short positions of trading book exposures for standardised approaches
33
Value of trading book exposures for internal models -
Relevant credit exposures - Securitisation
Exposure value of securitisation positions in the banking book under the Standardised Approach -
Exposure value of securitisation positions in the banking book under the IRB Approach
12,215
Own funds requirements and weights
Total own funds requirements for CCB
Own funds requirements for relevant credit exposures - Credit risk
13,161
Own funds requirements for relevant credit exposures - Market risk
339
Own funds requirements for relevant credit exposures - Securitisation positions in the banking book
144
Own funds requirements weights
13,644
Countercyclical capital buffer rates
Countercyclical capital buffer rate applicable for the country of the institution
0
Institution-specific countercyclical capital buffer rate
0,0081%
377 14. Appendices
