14.5 Enhanced Disclosure Task Force (EDTF) Index
Contents Foreword Management report Corporate governance Consolidated Financial Statements Company Financial Statements Pillar 3
Nr
Recommendation
Pillar 3
Report 2016
Consolidated financial
statements 2016
General recommendations
1
Present all related risk information together in any particular report. Where this is not practicable, provide an
index or an aid to navigation to help users locate risk disclosures within the bank's reports
Appendix 14
2
Define the bank's risk terminology and risk measures and present key parameter values used.
See paragraph 4
3
Describe and discuss top and emerging risks, incorporating relevant information in the bank's external reports
on a timely basis. This should include quantitative disclosures, if possible, and a discussion of any changes in
those risk exposures during the reporting period.
See paragraph 4.1
4
Once the applicable rules are finalised, outline plans to meet each new key regulatory ratio, e.g. the net stable
funding ratio, liquidity coverage ratio and leverage ratio and, once the applicable rules are in force, provide such
key ratios.
See paragraph 4.3
Risk governance and risk management strategies/business model
5
Summarise prominently the bank's risk management organisation, processes and key functions.
See paragraph 4.2
6
Provide a description of the bank's risk culture, and how procedures and strategies are applied to support the
culture.
See paragraph 4.1
7
Describe the key risks that arise from the bank's business models and activities, the bank's risk appetite in the
context of its business models and how the bank manages such risks. This is to
enable users to understand how business activities are reflected in the bank's risk measures and how those risk
measures relate to line items in the balance sheet and income statement
See paragraph 4.1
8
Describe the use of stress testing within the bank's risk governance and capital frameworks. Stress testing
disclosures should provide a narrative overview of the bank's internal stress testing process and governance.
See paragraph 4.4.2
Capital adequacy and risk-weighted assets
9
Provide minimum Pillar 1 capital requirements, including capital surcharges for G-SIBs and the application of
counter-cyclical and capital conservation buffers or the minimum internal ratio established by management.
See paragraph 5.4
10
Summarise information contained in the composition of capital templates adopted by the Basel Committee
to provide an overview of the main components of capital, including capital instruments and regulatory
adjustments. A reconciliation of the accounting balance sheet to the regulatory balance sheet should be
disclosed.
See paragraph 5.1
11
Present a flow statement of movements since the prior reporting date in regulatory capital, including changes in
common equity tier 1, tier 1 and tier 2 capital
See paragraph 5.1
12
Qualitatively and quantitatively discuss capital planning within a more general discussion of management's
strategic planning, including a description of management's view of the required or targeted level of capital and
how this will be established.
See paragraph 5.2
13
Provide granular information to explain how risk-weighted assets (RWAs) relate to business activities and related
risks.
See paragraph 6.2
14
Present a table showing the capital requirements for each method used for calculating RWAs for credit risk,
including counterparty credit risk, for each Basel asset class as well as for major portfolios within those classes.
For market risk and operational risk, present a table showing the capital requirements for each method used for
calculating them. Disclosures should be accompanied by additional information about significant models used,
e.g. data periods, downturn parameter thresholds and methodology for calculating loss given default (LGD).
See paragraph 5.2
15
Tabulate credit risk in the banking book showing average probability of default (PD) and LGD as well as exposure
at default (EAD), total RWAs and RWA density for Basel asset classes and major portfolios within the Basel
asset classes at a suitable level of granularity based on internal ratings grades. For non-retail banking book
credit portfolios, internal ratings grades and PD bands should be mapped against external credit ratings and
the number of PD bands presented should match the number of notch-specific ratings used by credit rating
agencies
See paragraph 6.2
16
Present a flow statement that reconciles movements in RWAs for the period for each RWA risk type
See paragraph 5.2
17
Provide a narrative putting Basel Pillar 3 back-testing requirements into context, including how the bank has
assessed model performance and validated its models against default and loss.
See paragraph 6.2
Liquidity
18
Describe how the bank manages its potential liquidity needs and provide a quantitative analysis of the
components of the liquidity reserve held to meet these needs, ideally by providing averages as well as period-
end balances. The description should be complemented by an explanation of possible limitations on the use of
the liquidity reserve maintained in any material subsidiary or currency
See paragraph 10
paragraph 10.2
Funding
19
Summarise encumbered and unencumbered assets in a tabular format by balance sheet categories, including
collateral received that can be rehypothecated or otherwise redeployed. This is to facilitate an understanding of
available and unrestricted assets to support potential funding and collateral needs
See paragraph 10.2
20
Tabulate consolidated total assets, liabilities and off-balance sheet commitments by remaining contractual
maturity at the balance sheet date. Present separately (i) senior unsecured borrowing (ii) senior secured
borrowing (separately for covered bonds and repos) and (iii) subordinated borrowing. Banks should provide
a narrative discussion of management's approach to determining the behavioural characteristics of financial
assets and liabilities
See paragraph 10.2
See paragraph 4.7
21
Discuss the bank's funding strategy, including key sources and any funding concentrations, to enable effective
insight into available funding sources, reliance on wholesale funding, any geographical or currency risks and
changes in those sources over time.
See paragraph 10.2
378 Rabobank Annual Report 2016
