Contents Introduction Management report Appendices Corporate governance Consolidated Financial Statements Company Financial Statements
Minimum capital requirements
Rabobank must comply with the minimum capital ratios as
stipulated under law. Effective 1 January 2014, the minimum
required percentages are determined on the basis of CRD IV/CRR.
The legal buffers below are applicable as from 2016. These buffers
will gradually increase until the year 2019. Rabobank is already
allowing for these changes in its capital planning.The table
below shows the minimum legal buffers under CRD IV/CRR.
Minimum CET1 buffer
2017
2018
2019
Pillar 1 requirement
4.5%
4.5%
4.5%
Pillar 2 requirement
1.75%
1.75%
1.75%
Capital conservation buffer
1.25%
1.875%
2.5%
Systemic risk buffer
1.5%
2.25%
3.0%
Total required CET1 ratio
9.0%
10.375%
11.75%
Actual
15.8%
The total required (end state) CET1 ratio therefore amounts to
11.75%, excluding the pillar 2 guidance.The required (end state)
total capital amounts to 15.25%.This is the required (end state)
CET1 ratio plus 35% pillar 1 requirement for additional Tier 1 and
Tier 2. In addition to these ratios, there will be a countercyclical
buffer of up to 2.5% which may be imposed by the supervisor.
Almost all supervisors have set their countercyclical buffer at
0% as per 1 January 2018. The actual capital ratios of Rabobank
exceeds these minimum capital ratios.
Development capital ratios
When we refer to our fully loaded CET1 ratio, we mean the CET1
ratio that would result if the CRR/CRD IV rules were already
fully in effect. Although our fully loaded CET1 ratio was 15.5%
(2016:13.5%) on 31 December 2017, our actual or transitional
CET1 ratio was 15.8% (2016:14.0%). The increase of both ratios
was mainly due to the issue of Rabobank Certificates in January
2017 and retained earnings from 2017.The increase of the
transitional ratio was tempered, however, by the phasing-in of
the CRR/CRD IV rules, which require various adjustments to be
made to CET1 capital, additional tier 1 capital and tier 2 capital
on 1 January of each year during the transition period.
Our leverage ratio - that is, our tier 1 capital divided by balance
sheet positions and off-balance-sheet liabilities - is calculated
based on the definitions provided in the CRR/CRD IV. As at 31
December 2017, our fully loaded leverage ratio was 5.4% (2016:
4.6%), while our actual or transitional leverage ratio was 6.0%
(2016: 5.5%). Our actual leverage ratio is well above the minimum
leverage ratio of 3% required by the Basel III guidelines.
Capital ratios
Amounts in millions of euros
Retained earnings
Expected dividends
Rabobank Certificates
Part of non-controlling interests treated
as qualifying capital
Reserves
Deductions
Transition guidance
Common equity tier 1 capital
Capital securities
Grandfathered instruments
Non-controlling interests
Deductions
Transition guidance
Additional tier 1 capital
Tier 1 capital
Part of subordinated debt treated as
qualifying capital
Non-controlling interests
Deductions
Transition guidance
Tier 2 capital
Qualifying capital
Risk-weighted assets
Common equity tier 1 ratio (transitional)
Common equity tier 1 ratio (fully loaded)
Tier 1 ratio
Total capital ratio
Equity capital ratio
Common equity tier 1 ratio of
Coöperatieve Rabobank U.A. solo
(issuer level)
-12-2017
1-1-2017
31-12-2016
26,777
25,709
25,709
(54)
(60)
(60)
7,440
5,948
5,948
26
25
25
(1,401)
112
112
(2,050)
(3,302)
(3,302)
525
605
1,186
31,263
29,037
29,618
2,728
2,728
2,728
3,590
4,552
5,462
6
5
5
(88)
(91)
(91)
(295)
(321)
(643)
5,941
6,873
7,461
37,204
35,910
37,079
14,896
16,094
16,094
7
7
7
(89)
(99)
(99)
(95)
(104)
(208)
14,719
15,898
15,794
51,923
51,808
52,873
198,269
211,226
211,226
15.8%
13.7%
14.0%
15.5%
13.5%
13.5%
18.8%
17.0%
17.6%
26.2%
24.5%
25.0%
17.3%
15.0%
15.0%
15.5% - 16.4%
Rabobank changed the risk weighting of its equity exposures
in group entities by applying the more common IRB simple risk
weight approach of article 155 CRR as a result of which its solo
CET1 ratio decreased to 15.5% (2016:16.4%).
CRR constraints
The CRR contains several CET1-deductible items, such as
deferred tax assets and the internal ratings-based (IRB) shortfall
(the difference between the IRB expected credit losses and the
actual level of credit provisions). The deductibility of these items
is gradually being phased in overthe 2014-2018 period.
The additional tier 1 instruments issued by Rabobank prior
to 2014 do not meet the CRR conditions. As such, these
instruments will gradually cease to qualify as regulatory
capital. In 2017, according to the CRR/CRDIV transition rules,
the regulatory treatment of these grandfathered instruments
was capped at 50% of the outstanding amount as per the end
of 2012 (EUR 9.1 billion), being EUR 4.6 billion. In June 2017,
Rabobank Annual Report 2017 - Management report
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