Pillar 3 Report 2021 - 931174233

Pillar 3 Report
June 2021
The cooperative Rabobank

Pillar 3
Pillar 3
1. Contents
2. Introduction 4
3. Key Metrics of Risk-Weighted Exposure Amounts 5
4. Own Funds 10
5. Countercyclical Capital Buffers 15
6. Leverage Ratio 17
7. Credit Risk 21
7.1 Credit Risk Quality 22
7.2 The Use of the IRB Approach to Credit Risk 28
7.3 The Use of the Standardized Approach 40
7.4 Specialized Lending 42
7.5 Exposures to Counterparty Credit Risk 43
7.6 Disclosure of exposures subject to payment moratoria and public guarantees 48
8. Liquidity Risk 51
9. Securitization 54
10. Market Risk 57
11. Forward Looking Statement 60
12. Management Attestation 62
June 2021 - Pillar 3 3

Pillar 3
2. Introduction
This document presents Rabobank's consolidated Capital Adequacy and

Risk Management report (hereafter referred to as Pillar 3) for the period
ending June 30, 2021.
For purposes of Article 431 CRR, Rabobank has adopted a formal Global Standard on Pillar 3
Disclosure. This ensures that Rabobank’s risk disclosures comply with the Capital Requirements
Regulation 2013/575/EU (CRR) (Part Eight), the Capital Requirements Directive 2013/36/EU (CRD)
and related legislation. It also ensures the disclosures are compiled based upon a set of internally
defined principles, validations and related processes. The Global Standard on Pillar 3 Disclosure
defines overall roles and responsibilities and facilitates the disclosure preparation process and the
verification and sign off procedures. Senior representatives and subject matter experts from Finance
and Risk are responsible for Rabobank's risk disclosures and govern its respective risk disclosure
processes. Based upon our assessment and verification we believe that the risk disclosures
presented in this Pillar 3 Report in conjunction with the Annual Report 2020, the Interim Report 2021
and the Pillar 3 2020 report appropriately and comprehensively describe our overall risk profile.
In this document amounts have been rounded to EUR millions, which means that summations may
show minor deviations. In the tables, some parts are grayed out if this information is not required.
The LEI code of Coöperatieve Rabobank U.A. (Rabobank) is DG3RU1DBUFHT4ZF9WN62.
The comparison for template KM1 and OV1 was made against December 2020. Columns
representing a previous reporting period in other templats refer to March 2021.

Pillar 3
3. Key Metrics of Risk-Weighted Exposure Amounts
EU KM1 - Key Metrics Template

Amounts in Millions of Euros 30-06-2021 31-12-2020
Available own funds (amounts)
Common Equity Tier 1 (CET1) capital 36,207 34,647
Tier 1 capital 40,087 39,061
Total capital 48,511 49,851
Risk-weighted exposure amounts
Total risk-weighted exposure amount 210,768 205,773
Capital ratios (as a percentage of risk-weighted exposure amount)
Common Equity Tier 1 ratio (%) 17.18 16.84
Tier 1 ratio (%) 19.02 18.98
Total capital ratio (%) 23.02 24.23
Additional own funds requirements based on SREP (as a percentage of risk-weighted exposure amount)
Additional CET1 SREP requirements (%) 0.98 0.98
Additional AT1 SREP requirements (%) 0.33 0.33
Additional T2 SREP requirements (%) 0.44 0.44
Total SREP own funds requirements (%) 9.75 9.75
Combined buffer requirement (as a percentage of risk-weighted exposure amount)
Capital conservation buffer (%) 2.50 2.50
Conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State (%) 0.00 0.00
Institution specific countercyclical capital buffer (%) 0.02 0.01
Systemic risk buffer (%) 0.00 0.00
Global Systemically Important Institution buffer (%) 0.00 0.00
Other Systemically Important Institution buffer (%) 2.00 2.00
Combined buffer requirement (%) 4.52 4.51
Overall capital requirements (%) 14.27 14.26
CET1 available after meeting the total SREP own funds requirements 24,648 23,362

Pillar 3

Leverage ratio
Leverage ratio total exposure measure (transitional) 561,312 560,170
Leverage ratio (transitional) (%) 7.14 6.97
Additional own funds requirements to address risks of excessive leverage (as a percentage of leverage ratio total exposure amount)
Additional CET1 leverage ratio requirements (%) 0.00
Additional AT1 leverage ratio requirements (%) 0.00
Additional T2 leverage ratio requirements (%)
Total SREP leverage ratio requirements (%) 3.23
Applicable leverage buffer (%) 0.00
Overall leverage ratio requirements (%) 3.23
Liquidity Coverage Ratio
Total high-quality liquid assets (HQLA) (Weighted value - average) 137,063 119,375
Cash outflows - Total weighted value 98,955 96,284
Cash inflows - Total weighted value 39,064 34,359
Total net cash outflows (adjusted value) 59,891 61,925
Liquidity coverage ratio (%) 228.85 192.77
Net Stable Funding Ratio
Total available stable funding 468,848 451,900
Total required stable funding 354,074 354,494
NSFR ratio (%) 132.40 127.48
On June 30, 2021, our CET 1 ratio amounted to 17.2% (2020: 16.8%). This is well above our >14%
ambition. The development of the CET 1 ratio was positively influenced by the addition of net
profit to retained earnings. The risk weighted exposure amount increased due to the final result of
the Targeted Review of Internal Models (TRIM) impact, model changes and modest asset growth.
Our total capital ratio decreased to 23.0% (2020: 24.2%) following the call of a EUR 2 billion Tier 2
instrument and the amortization of the eligible amount of outstanding Tier 2 instruments, in line
with our intentions. We will allow our Total capital to trend downward towards 20%.
Our leverage ratio is well above the minimum requirements, and our Liquidity Coverage Ratio and
Net Stable Funding Ratio are also above the minimum requirements.

Pillar 3
IFRS9 - Available Capital

30-06-2021 31-12-2020
CET1 capital 36,207 34,647
CET1 capital as if IFRS 9 or analogous ECLs transitional arrangements had not been applied 36,201 34,592
CET1 capital as if the temporary treatment of unrealised gains and losses measured at fair value through OCI (other comprehensive income) in accordance with Article 468 of the CRR had not been applied 36,207 34,647
Tier 1 capital 40,087 39,062
Tier 1 capital as if IFRS 9 or analogous ECLs transitional arrangements had not been applied 40,081 39,007
Tier 1 capital as if the temporary treatment of unrealised gains and losses measured at fair value through OCI in accordance with Article 468 of the CRR had not been applied 40,087 39,062
Total capital 48,511 49,851
Total capital as if IFRS 9 or analogous ECLs transitional arrangements had not been applied 48,505 49,856
Total capital as if the temporary treatment of unrealised gains and losses measured at fair value through OCI in accordance with Article 468 of the CRR had not been applied 48,511 49,851
Risk-weighted assets (amounts)

Total risk-weighted assets 210,768 205,773
Total risk-weighted assets as if IFRS 9 or analogous ECLs transitional arrangements had not been applied 210,762 205,763
Capital ratios
CET1 (as a percentage of risk exposure amount - %) 17.18 16.84
CET1 (as a percentage of risk exposure amount) as if IFRS 9 or analogous ECLs transitional arrangements had not been applied - % 17.18 16.81
CET1 (as a percentage of risk exposure amount) as if the temporary treatment of unrealised gains and losses measured at fair value through OCI in accordance with Article 468 of the CRR had not been applied - % 17.18 16.84
Tier 1 (as a percentage of risk exposure amount - %) 19.02 18.98
Tier 1 (as a percentage of risk exposure amount) as if IFRS 9 or analogous ECLs transitional arrangements had not been applied - % 19.02 18.96
Tier 1 (as a percentage of risk exposure amount) as if the temporary treatment of unrealised gains and losses measured at fair value through OCI in accordance with Article 468 of the CRR had
not been applied - % 19.02 18.98
Total capital (as a percentage of risk exposure amount - %) 23.02 24.23
Total capital (as a percentage of risk exposure amount) as if IFRS 9 or analogous ECLs transitional arrangements had not been applied - % 23.01 24.23
Total capital (as a percentage of risk exposure amount) as if the temporary treatment of unrealised gains and losses measured at fair value through OCI in accordance with Article 468 of the CRR
had not been applied - % 23.02 24.23
Leverage ratio
Leverage ratio total exposure measure 561,312 560,170
Leverage ratio - % 7.14 6.97
Leverage ratio as if IFRS 9 or analogous ECLs transitional arrangements had not been applied - % 7.14 6.96
Leverage ratio as if the temporary treatment of unrealised gains and losses measured at fair value through OCI in accordance with Article 468 of the CRR had not been applied - % 7.14 6.97

Pillar 3
EU OV1 - Overview of Risk-Weighted Exposure Amounts

Risk weighted exposure
Total own funds requirements
amounts (RWEAs)
Credit risk (excluding CCR) 168,693 13,495
Of which the standardised approach 11,774 942
Of which the foundation IRB (FIRB) approach 15,392 1,231
Of which: slotting approach
Of which: equities under the simple riskweighted approach 4,551 364
Of which the advanced IRB (AIRB) approach 113,362 9,069
Counterparty credit risk - CCR 4,778 382
Of which the standardised approach 369 29
Of which internal model method (IMM) 3,122 250
Of which exposures to a CCP 81 6
Of which credit valuation adjustment - CVA 1,206 96
Of which other CCR 0 0
Settlement risk
Securitisation exposures in the non-trading book (after the cap) 2,441 195
Of which SEC-IRBA approach 1,225 98
Of which SEC-ERBA (including IAA) 801 64
Of which SEC-SA approach 414 33
Of which 1250%/ deduction 0 0
Position, foreign exchange and commodities risks (Market risk) 6,521 522
Of which the standardised approach 3,160 253
Of which IMA 3,360 269
Large exposures
Operational risk 28,336 2,267
Of which basic indicator approach 0 0
Of which standardised approach
Of which advanced measurement approach 28,336 2,267
Amounts below the thresholds for deduction (subject
to 250% risk weight) (For information) 6,390 511
Total 210,768 16,861

Pillar 3
For the calculations of the Regulatory Capital (RC), Rabobank is using the most advanced calculation
methods. We apply the Internal Rating Based (IRB) Approach for credit risk, the Internal Models
Approach (IMA) for market risk, and the Advanced Measurement Approach (AMA) for operational
risk. Only for a very small part of the portfolio the Standardised Approach is apllied for credit
risk. The majority of the total capital requirements consist of the credit risk component, including
Counterparty Credit Risk (CCR) and Securitizations. This component accounts for 83% of the total
regulatory capital. Furthermore, the market risk accounts for 3% of total regulatory capital, and
operational risk for 13%.
At half-year end 2021, Rabobank’s total capital requirement was EUR 16.9 billion (year end 2020:
EUR 16.5 billion). The capital requirement for credit risk increased over the past six months due
to portfolio movements and an addition to the add-on for TRIM. The increase due to portfolio
movements was recognized in the Wholesale & Rural domain, while Domestic Retail Banking and
Leasing saw slight decreases.

Pillar 3
4. Own Funds
EU CC1 - Composition of Regulatory Own Funds

Amount at Source based on reference
disclosure date numbers of the balance sheet
under the regulatory scope
Amounts in Millions of Euros 30-06-2021 of consolidation
Common Equity Tier 1 (CET1) capital: instruments and reserves
1 Capital instruments and the related share premium accounts 7,825
1a of which: Rabobank Certificates 7,825 31
2 Retained earnings 29,189 30
3 Accumulated other comprehensive income (and other reserves) -1,171 30
EU-3a Funds for general banking risk
4 Amount of qualifying items referred to in Article 484 (3) and the related share premium accounts subject to phase out from CET1
5 Minority interests (amount allowed in consolidated CET1)
EU-5a Independently reviewed interim profits net of any foreseeable charge or dividend 1,755
6 Common Equity Tier 1 (CET1) capital before regulatory adjustments 37,598
Common Equity Tier 1 (CET1) capital: regulatory adjustments
7 Additional value adjustments (negative amount) -181
8 Intangible assets (net of related tax liability) (negative amount) -608 10
9 Empty set in the EU
10 Deferred tax assets that rely on future profitability excluding those arising from temporary differences (net of related tax liability where the conditions in Article 38 (3) are met)
(negative amount) -216 14
11 Fair value reserves related to gains or losses on cash flow hedges of financial instruments that are not valued at fair value 26
12 Negative amounts resulting from the calculation of expected loss amounts -194
13 Any increase in equity that results from securitised assets (negative amount)
14 Gains or losses on liabilities valued at fair value resulting from changes in own credit standing 114
15 Defined-benefit pension fund assets (negative amount) -3
16 Direct and indirect holdings by an institution of own CET1 instruments (negative amount) -25
17 Direct, indirect and synthetic holdings of the CET 1 instruments of financial sector entities where those entities have reciprocal cross holdings with the institution designed to inflate artificially
the own funds of the institution (negative amount)
18 Direct, indirect and synthetic holdings by the institution of the CET1 instruments of financial sector entities where the institution does not have a significant investment in those entities
(amount above 10% threshold and net of eligible short positions) (negative amount)

Pillar 3

19 Direct, indirect and synthetic holdings by the institution of the CET1 instruments of financial sector entities where the institution has a significant investment in those entities (amount above
10% threshold and net of eligible short positions) (negative amount)
EU-20a Exposure amount of the following items which qualify for a RW of 1250%, where the institution opts for the deduction alternative -22
EU-20b of which: qualifying holdings outside the financial sector (negative amount)
EU-20c of which: securitisation positions (negative amount) -22
EU-20d of which: free deliveries (negative amount)
21 Deferred tax assets arising from temporary differences (amount above 10% threshold, net of related tax liability where the conditions in Article 38 (3) are met) (negative amount)
22 Amount exceeding the 17,65% threshold (negative amount)
23 of which: direct, indirect and synthetic holdings by the institution of the CET1 instruments of financial sector entities where the institution has a significant investment in those entities
25 of which: deferred tax assets arising from temporary differences
EU-25a Losses for the current financial year (negative amount) 0
EU-25b Foreseeable tax charges relating to CET1 items except where the institution suitably adjusts the amount of CET1 items insofar as such tax charges reduce the amount up to which those
items may be used to cover risks or losses (negative amount)
27 Qualifying AT1 deductions that exceed the AT1 items of the institution (negative amount)
27a Other regulatory adjustments (including IFRS 9 transitional adjustments when relevant) -282
28 Total regulatory adjustments to Common Equity Tier 1 (CET1) -1,391
29 Common Equity Tier 1 (CET1) capital 36,207
Additional Tier 1 (AT1) capital: instruments
30 Capital instruments and the related share premium accounts 3,979
31 of which: classified as equity under applicable accounting standards 3,979 32
32 of which: classified as liabilities under applicable accounting standards
33 Amount of qualifying items referred to in Article 484 (4) and the related share premium accounts subject to phase out from AT1 as described in Article 486(3) of CRR 32
EU-33a Amount of qualifying items referred to in Article 494a(1) subject to phase out from AT1
EU-33b Amount of qualifying items referred to in Article 494b(1) subject to phase out from AT1
34 Qualifying Tier 1 capital included in consolidated AT1 capital (including minority interests not included in row 5) issued by subsidiaries and held by third parties
35 of which: instruments issued by subsidiaries subject to phase out
36 Additional Tier 1 (AT1) capital before regulatory adjustments 3,979
Additional Tier 1 (AT1) capital: regulatory adjustments
37 Direct and indirect holdings by an institution of own AT1 instruments (negative amount) -100
38 Direct, indirect and synthetic holdings of the AT1 instruments of financial sector entities where those entities have reciprocal cross holdings with the institution designed to inflate artificially
the own funds of the institution (negative amount)

Pillar 3

39 Direct, indirect and synthetic holdings of the AT1 instruments of financial sector entities where the institution does not have a significant investment in those entities (amount above 10%
threshold and net of eligible short positions) (negative amount)
40 Direct, indirect and synthetic holdings by the institution of the AT1 instruments of financial sector entities where the institution has a significant investment in those entities (net of eligible
short positions) (negative amount)
42 Qualifying T2 deductions that exceed the T2 items of the institution (negative amount)
42a Other regulatory adjustments to AT1 capital 0
43 Total regulatory adjustments to Additional Tier 1 (AT1) capital -100
44 Additional Tier 1 (AT1) capital 3,879
45 Tier 1 capital (T1 = CET1 + AT1) 40,087
Tier 2 (T2) capital: instruments
46 Capital instruments and the related share premium accounts 8,515 28
47 Amount of qualifying items referred to in Article 484 (5) and the related share premium accounts subject to phase out from T2 as described in Article 486 (4) CRR
EU-47a Amount of qualifying items referred to in Article 494a (2) subject to phase out from T2
EU-47b Amount of qualifying items referred to in Article 494b (2) subject to phase out from T2
48 Qualifying own funds instruments included in consolidated T2 capital (including minority interests and AT1 instruments not included in rows 5 or 34) issued by subsidiaries and held by
third parties
49 of which: instruments issued by subsidiaries subject to phase out
50 Credit risk adjustments 0
51 Tier 2 (T2) capital before regulatory adjustments 8,515
Tier 2 (T2) capital: regulatory adjustments
52 Direct and indirect holdings by an institution of own T2 instruments and subordinated loans (negative amount) -91
53 Direct, indirect and synthetic holdings of the T2 instruments and subordinated loans of financial sector entities where those entities have reciprocal cross holdings with the institution
designed to inflate artificially the own funds of the institution (negative amount)
54 Direct and indirect holdings of the T2 instruments and subordinated loans of financial sector entities where the institution does not have a significant investment in those entities (amount
above 10% threshold and net of eligible short positions) (negative amount)
54a Empty set in the EU
55 Direct and indirect holdings by the institution of the T2 instruments and subordinated loans of financial sector entities where the institution has a significant investment in those entities
(net of eligible short positions) (negative amount) 0
EU-56a Qualifying eligible liabilities deductions that exceed the eligible liabilities items of the institution (negative amount)
56b Other regulatory adjusments to T2 capital 0
57 Total regulatory adjustments to Tier 2 (T2) capital -91
58 Tier 2 (T2) capital 8,424
59 Total capital (TC = T1 + T2) 48,511

Pillar 3

60 Total risk exposure amount 210,768
Capital ratios and buffers
61 Common Equity Tier 1 (as a percentage of total risk exposure amount - %) 17.18
62 Tier 1 (as a percentage of total risk exposure amount - %) 19.02
63 Total capital (as a percentage of total risk exposure amount - %) 23.02
64 Institution CET1 overall capital requirement (CET1 requirement in accordance with Article 92 (1) CRR, plus additional CET1 requirement which the institution is required to hold in accordance
with point (a) of Article 104(1) CRD, plus combined buffer requirement in accordance with Article 128(6) CRD) expressed as a percentage of risk exposure amount) - % 10.00
65 of which: capital conservation buffer requirement - % 2.50
66 of which: countercyclical buffer requirement - % 0.02
67 of which: systemic risk buffer requirement - % 0.00
EU-67a of which: Global Systemically Important Institution (G-SII) or Other Systemically Important Institution (O-SII) buffer - % 2.00
68 Common Equity Tier 1 available to meet buffer (as a percentage of risk exposure amount - %) 11.69
69 [non relevant in EU regulation]
Amounts below the thresholds for deduction (before risk weighting)
72 Direct and indirect holdings of own funds and eligible liabilities of financial sector entities where the institution does not have a significant investment in those entities (amount below 10%
threshold and net of eligible short positions) 509
73 Direct and indirect holdings by the institution of the CET1 instruments of financial sector entities where the institution has a significant investment in those entities (amount below 17.65%
thresholds and net of eligible short positions) 1,956
75 Deferred tax assets arising from temporary differences (amount below 17.65% threshold, net of related tax liability where the conditions in Article 38 (3) are met) 600
Applicable caps on the inclusion of provisions in Tier 2
76 Credit risk adjustments included in T2 in respect of exposures subject to standardised approach (prior to the application of the cap)
77 Cap on inclusion of credit risk adjustments in T2 under standardised approach 147
78 Credit risk adjustments included in T2 in respect of exposures subject to internal ratings-based approach (prior to the application of the cap) 0
79 Cap for inclusion of credit risk adjustments in T2 under internal ratings-based approach 726
Capital instruments subject to phase-out arrangements (only applicable between 1 Jan 2014 and 1 Jan 2022)
80 Current cap on CET1 instruments subject to phase out arrangements
81 Amount excluded from CET1 due to cap (excess over cap after redemptions and maturities)
82 Current cap on AT1 instruments subject to phase out arrangements 910
83 Amount excluded from AT1 due to cap (excess over cap after redemptions and maturities)
84 Current cap on T2 instruments subject to phase out arrangements
85 Amount excluded from T2 due to cap (excess over cap after redemptions and maturities)

Pillar 3
Carrying values as reported in

EU CC2 - Reconciliation of Regulatory Own Funds to Balance Sheet in the Financial Statements published financial statements
Carrying values as reported in Amounts in Millions of Euros 30-06-2021 Reference

published financial statements
Amounts in Millions of Euros 30-06-2021 Reference Equity
Assets Reserves and retained earnings 29,946 30
Cash and cash equivalents 123,792 1 Equity instruments issued by Rabobank
Loans and advances to credit institutions 25,883 2 Rabobank Certificates 7,825 31
Financial assets held for trading 2,818 3 Capital Securities 4,020 32
Financial assets designated at fair value 2 5 11,845
Financial assets mandatorily at fair value 2,527 4 Non-controlling interests 539 34
Derivatives 23,601 6 Total equity 42,330 35
Loans and advances to customers 437,863 7 Total equity and liabilities 650,997 36
Financial assets at fair value through other comprehensive income 15,050 8
Investments in associates and joint ventures 2,203 9
Rabobank's Interim Consolidated Financial Statements have been prepared in accordance with IFRS.
Goodwill and other intangible assets 719 10
Property and equipment 4,481 11
Rabobank's scope of accounting consolidation is the same as its scope of regulatory consolidation.
Investment properties 447 12
Current tax assets 105 13
Deferred tax assets 732 14
Other assets 10,669 15
Non-current assets held for sale 105 16
Total Assets 650,997 17
Liabilities
Deposits from credit institutions 75,473 18
Deposits from customers 376,859 19
Debt securities in issue 110,573 20
Financial liabilities held for trading 1,246 21
Financial liabilities designated at fair value 4,405 22
Derivatives 20,665 23
Other liabilities 6,223 24
Provisions 609 25
Current tax liabilities 371 26
Deferred tax liabilities 359 27
Subordinated liabilities 11,884 28
Total Liabilities 608,667 29

Pillar 3
5. Countercyclical Capital Buffers
EU CCyB1 - Geographical Distribution of Credit Exposures Relevant for the Calculation of the Countercyclical Buffer
Relevant credit exposures –

General credit exposures Own fund requirements
Market risk
Securitisation Relevant credit

Relevant Relevant
Exposure value Sum of long and Value of trading exposures exposures – Own fund
credit risk credit
under the Exposure value short positions of book exposures Exposure value Total Securitisation Risk-weighted requirements Countercyclical
exposures - exposures –
Amounts in Millions standardised under the IRB trading book for internal for non-trading exposure positions in the non- exposure weights buffer rate
Credit risk Market risk
of Euros approach approach exposures for SA models book value trading book Total amounts (%) (%)
010 Netherlands 2,715 334,028 0 1,677 2,750 341,169 6,542 269 57 6,867 85,840 57.3166 0.00
020 United States 1,348 47,512 3,773 52,632 1,566 0 64 1,630 20,371 13.6018 0.00
030 Brazil 2,932 5,868 350 9,149 508 0 12 520 6,494 4.3365 0.00
040 Australia 619 22,662 566 23,847 405 0 8 413 5,164 3.4484 0.00
050 United Kingdom 160 8,006 388 8,553 270 0 8 278 3,475 2.3205 0.00
060 France 120 5,683 312 6,115 229 0 6 235 2,938 1.9617 0.00
070 New Zealand 500 9,933 313 10,746 185 0 4 189 2,365 1.5790
080 Germany 364 6,444 95 6,903 182 0 2 184 2,298 1.5346 0.00
090 Canada 47 5,114 185 5,346 135 0 3 138 1,728 1.1535
100 Ireland 381 1,958 906 3,246 109 0 17 126 1,577 1.0529 0.00
110 Luxembourg 0 2,276 2,276 109 0 0 109 1,359 0.9074 0.50
120 Italy 115 2,150 117 2,383 105 0 2 107 1,336 0.8919 0.00
130 Hong Kong 6 3,182 3,188 97 0 0 97 1,217 0.8123 1.00
140 Norway 70 1,091 1,161 33 0 0 33 408 0.2723 1.00
150 Bulgaria 41 41 2 0 0 2 25 0.0167 0.50
160 Czech Republic 25 25 1 0 0 1 13 0.0088 0.50
170 Slovakia 16 16 1 0 0 1 8 0.0051 1.00
180 Other Countries 3,076 24,309 0 0 856 28,243 1,038 0 12 1,051 13,149
190 All Countries 12,453 480,298 0 1,677 10,611 505,039 11,517 269 195 11,981 149,765
Countries with an Own Fund requirment of less than EUR 100 million are included under
Other Countries.

Pillar 3
EU CCyB2 - Amount of Institution-Specific Countercyclical Capital Buffer

Amounts in Millions of Euros
Total risk exposure amount 210,768
Institution specific countercyclical capital buffer rate (%) 0.0156
Institution specific countercyclical capital buffer requirement 33

Pillar 3
6. Leverage Ratio
On June 18, 2021, the European Central Bank announced that exceptional circumstances warranting
The current level of the leverage ratio is well above the regulatory minimum. No explicit target has leverage ratio relief still exist, allowing banks to exclude certain exposures to central banks from the
been defined. total exposure measure as laid out in Article 429a(1)(n) CRR2. Rabobank applies this relief measure.
EU LR1 - Summary Reconciliation of Accounting Assets and Leverage Ratio Exposures

Amounts in Millions of Euros Applicable amount
1 Total assets as per published financial statements 650,997
2 Adjustment for entities which are consolidated for accounting purposes but are outside the scope of regulatory consolidation 0
3 (Adjustment for securitised exposures that meet the operational requirements for the recognition of risk transference) 0
4 (Adjustment for temporary exemption of exposures to central bank (if applicable)) -106,791
5 (Adjustment for fiduciary assets recognised on the balance sheet pursuant to the applicable accounting framework but excluded from the leverage ratio total exposure measure
in accordance with point (i) of Article 429a(1) CRR) 0
6 Adjustment for regular-way purchases and sales of financial assets subject to trade date accounting -154
7 Adjustment for eligible cash pooling transactions 0
8 Adjustments for derivative financial instruments -8,963
9 Adjustment for securities financing transactions (SFTs) 826
10 Adjustment for off-balance sheet items (ie conversion to credit equivalent amounts of off-balance sheet exposures) 31,988
11 (Adjustment for prudent valuation adjustments and specific and general provisions which have reduced Tier 1 capital) -181
EU-11a (Adjustment for exposures excluded from the leverage ratio total exposure measure in accordance with point (c ) of Article 429a(1) CRR) 0
EU-11b (Adjustment for exposures excluded from the leverage ratio total exposure measure in accordance with point (j) of Article 429a(1) CRR) 0
12 Other adjustments -6,410
13 Leverage ratio total exposure measure 561,312

Pillar 3
EU LR2 - Leverage Ratio Common Disclosure

CRR leverage ratio exposures
Amounts in Millions of Euros 30-06-2021
On-balance sheet exposures (excluding derivatives and SFTs)
1 On-balance sheet items (excluding derivatives, SFTs, but including collateral) 489,998
2 Gross-up for derivatives collateral provided where deducted from the balance sheet assets pursuant to the applicable accounting framework 0
3 (Deductions of receivables assets for cash variation margin provided in derivatives transactions) -10,730
4 (Adjustment for securities received under securities financing transactions that are recognised as an asset) 0
5 (General credit risk adjustments to on-balance sheet items) 0
6 (Asset amounts deducted in determining Tier 1 capital) -1,037
7 Total on-balance sheet exposures (excluding derivatives and SFTs) 478,230
Derivative exposures
8 Replacement cost associated with SA-CCR derivatives transactions (ie net of eligible cash variation margin) 3,727
EU-8a Derogation for derivatives: replacement costs contribution under the simplified standardised approach 0
9 Add-on amounts for potential future exposure associated with SA-CCR derivatives transactions 10,280
EU-9a Derogation for derivatives: Potential future exposure contribution under the simplified standardised approach 0
EU-9b Exposure determined under Original Exposure Method 0
10 (Exempted CCP leg of client-cleared trade exposures) (SA-CCR) 0
EU-10a (Exempted CCP leg of client-cleared trade exposures) (simplified standardised approach) 0
EU-10b (Exempted CCP leg of client-cleared trade exposures) (original exposure method) 0
11 Adjusted effective notional amount of written credit derivatives 632
12 (Adjusted effective notional offsets and add-on deductions for written credit derivatives) 0
13 Total derivatives exposures 14,639
Securities financing transaction (SFT) exposures
14 Gross SFT assets (with no recognition of netting), after adjustment for sales accounting transactions 37,028
15 (Netted amounts of cash payables and cash receivables of gross SFT assets) 0
16 Counterparty credit risk exposure for SFT assets 739
EU-16a Derogation for SFTs: Counterparty credit risk exposure in accordance with Articles 429e(5) and 222 CRR 0
17 Agent transaction exposures 0
EU-17a (Exempted CCP leg of client-cleared SFT exposure) 0
18 Total securities financing transaction exposures 37,767

Pillar 3
CRR leverage ratio exposures

Amounts in Millions of Euros 30-06-2021
Other off-balance sheet exposures
19 Off-balance sheet exposures at gross notional amount 97,546
20 (Adjustments for conversion to credit equivalent amounts) -65,558
21 (General provisions associated with off-balance sheet exposures deducted in determining Tier 1 capital) 0
22 Off-balance sheet exposures 31,988
Excluded exposures
EU-22a (Exposures excluded from the leverage ratio total exposure measure in accordance with point (c ) of Article 429a(1) CRR) 0
EU-22b (Exposures exempted in accordance with point (j) of Article 429a (1) CRR (on and off balance sheet)) 0
EU-22c (-) Excluded exposures of public development banks - Public sector investments 0
EU-22d (Excluded promotional loans of public development banks:
- Promotional loans granted by a public development credit institution
- Promotional loans granted by an entity directly set up by the central government, regional governments or local authorities of a Member State
- Promotional loans granted by an entity set up by the central government, regional governments or local authorities of a Member State through an intermediate credit institution) 0
EU-22e ( Excluded passing-through promotional loan exposures by non-public development banks (or units):
- Promotional loans granted by a public development credit institution
- Promotional loans granted by an entity directly set up by the central government, regional governments or local authorities of a Member State
- Promotional loans granted by an entity set up by the central government, regional governments or local authorities of a Member State through an intermediate credit institution) 0
EU-22f (Excluded guaranteed parts of exposures arising from export credits ) -1,312
EU-22g (Excluded excess collateral deposited at triparty agents ) 0
EU-22h (Excluded CSD related services of CSD/institutions in accordance with point (o) of Article 429a(1) CRR) 0
EU-22i (Excluded CSD related services of designated institutions in accordance with point (p) of Article 429a(1) CRR) 0
EU-22j (Reduction of the exposure value of pre-financing or intermediate loans ) 0
EU-22k (Total exempted exposures) -1,312
Capital and total exposure measure
23 Tier 1 capital 40,087
24 Leverage ratio total exposure measure 561,312
Leverage ratio
25 Leverage ratio (%) 7.14
EU-25 Leverage ratio (without the adjustment due to excluded exposures of public development banks - Public sector investments) (%) 7.14
25a Leverage ratio (excluding the impact of any applicable temporary exemption of central bank reserves) (%) 6.00
26 Regulatory minimum leverage ratio requirement (%) 3.23
EU-26 Additional leverage ratio requirements (%) 0.00
27 Required leverage buffer (%) 0.00
Choice on transitional arrangements and relevant exposures
EU-27 Choice on transitional arrangements for the definition of the capital measure Transitional

Pillar 3
EU LR3 - Split Up of On Balance Sheet Exposures (Excl. Derivatives, SFT's and Exempted Exposures)
Amounts in Millions of Euros CRR leverage ratio exposures
EU-1 Total on-balance sheet exposures (excluding derivatives, SFTs, and exempted exposures), of which: 477,956
EU-2 Trading book exposures 7,791
EU-3 Banking book exposures, of which: 470,164
EU-4 Covered bonds 0
EU-5 Exposures treated as sovereigns 32,500
EU-6 Exposures to regional governments, MDB, international organisations and PSE not treated as sovereigns 0
EU-7 Institutions 8,990
EU-8 Secured by mortgages of immovable properties 287,512
EU-9 Retail exposures 31,650
EU-10 Corporate 81,068
EU-11 Exposures in default 8,898
EU-12 Other exposures (eg equity, securitisations, and other non-credit obligation assets) 19,546

Pillar 3
7. Credit Risk
For additional information about credit risks, we refer to paragraph Risks and Uncertainties in our
Interim Report 2021.

Pillar 3
7.1 Credit Risk Quality
EU CR1 - Performing and Non-Performing Exposures and Related Provisions

Accumulated impairment, accumulated negative changes in fair value due to Collaterals and financial
Gross carrying amount/nominal amount
credit risk and provisions guarantees received
Non-performing exposures
Performing exposures - Accumulated - Accumulated impairment,
Performing exposures Non-performing exposures
impairment and provisions accumulated negative changes in fair
value due to credit risk and provisions
On On non-
of which: of which: of which: of which: of which: of which: of which: of which: Accumulated performing performing
Amounts in Millions of Euros stage 1 stage 2 stage 2 stage 3 stage 1 stage 2 stage 2 stage 3 partial write-off exposures exposures
Cash balances at central banks and other
demand deposits 124,068 124,066 1 0 0 -1 -1 0 0 0
Loans and advances 450,942 415,229 34,539 12,276 283 11,957 -1,343 -488 -855 -2,818 -4 -2,814 -25 381,068 7,217
Central banks 6 6 0 0 0
General governments 2,123 2,068 53 4 4 -3 -3 -1 -1 -1 990 3
Credit institutions 25,518 24,668 398 -2 -1 -1 19,696
Other financial corporations 33,365 32,227 1,138 545 2 508 -24 -14 -11 -120 0 -120 0 21,668 147
Non-financial corporations 196,365 167,367 28,341 10,628 260 10,367 -1,245 -442 -803 -2,603 -4 -2,599 -25 148,525 6,075
Of which: SMEs 105,804 92,050 13,752 5,894 138 5,756 -710 -222 -488 -1,117 -3 -1,114 -25 92,603 4,432
Households 193,565 188,894 4,608 1,099 21 1,078 -68 -29 -39 -94 0 -94 0 190,189 992
Debt Securities 14,865 14,723 98 -2 -2 0
Central banks 345 345 0 0
General governments 10,110 10,109 0 -1 -1 0
Credit institutions 3,920 3,822 98 -1 -1 0
Other financial corporations 326 282 0 0
Non-financial corporations 165 165 0 0
Off-balance sheet exposures 97,526 94,353 3,173 1,127 54 1,073 37 26 11 95 0 95 10,281 140
Central banks 47 47 0 0
General governments 699 675 23 0 0 0 0 0 0 0 21
Credit institutions 1,631 1,630 1 0 0 0 9
Other financial corporations 9,837 9,678 160 307 0 307 1 1 0 24 0 24 344 39
Non-financial corporations 72,909 69,935 2,974 817 54 763 32 21 11 71 0 71 9,905 101
Households 12,403 12,388 15 3 0 3 3 3 0 0 0 0 2 0
Total 687,401 648,371 37,811 13,403 337 13,030 -1,382 -516 -866 -2,913 -4 -2,909 -25 391,350 7,357

Pillar 3
Non Performing Loans (NPLs) are still trending downward. The inflow of NPLs is still low in the Dutch
CR1_A - Maturity of Exposures
SME and mid corporate market and has stabilized in the corporate and wholesale domains, mainly
Net exposure value due to government support measures (including tax delays), and by a much more resilient economy
> 1 year <= 5 No stated
Amounts in Millions of Euros On demand <= 1 year years > 5 years maturity Total
than expected. The outflow of NPLs is effectively managed by special asset management. The NPL
Loans and advances 49,229 67,259 103,793 233,419 6,011 459,711 ratio decreased from 2.46% at year-end 2020 to 2.09% as of June 30, 2021; at the same time the stage
Debt securities 1,035 2,157 4,521 9,115 0 16,828 3 ratio decreased from 3.0% per year-end 2020 to 2.6% as at June 30,2021.
Total 50,263 69,416 108,314 242,534 6,011 476,538
CR2 - Changes in the Stock of Non-Performing Loans and Advances

Amounts in Millions of Euros Gross carrying amount
Initial stock of non-performing loans and advances as of December 31, 2020 13,882
Inflows to non-performing portfolios 2,534
Outflows from non-performing portfolios -3,766
Outflows due to write-offs -373
Outflow due to other situations 0
Final stock of non-performing loans and advances as of June 30, 2021 12,276

Pillar 3
CQ1: Credit Quality of Forborne Exposures

Accumulated impairment, accumulated negative Collaterals received and financial guarantees
Gross carrying amount/ Nominal amount of exposures with forbearance measures
changes in fair value due to credit risk and provisions received on forborne exposures
Non-performing forborne Of which: Collateral
and financial
guarantees received
on non-performing
On performing On non-performing exposures with
Amounts in Millions of Euros Performing forborne Of which defaulted Of which impaired forborne exposures forborne exposures forbearance measures
Cash balances at central banks and other
demand deposits
Loans and advances 6,187 7,399 7,223 7,223 -57 -1,388 9,508 4,274
Central banks
General governments 1 0 0 0 0 0 1 0
Credit institutions
Other financial corporations 112 188 187 187 -1 -25 110 67
Non-financial corporations 4,019 6,629 6,462 6,462 -49 -1,336 6,822 3,647
Households 2,055 582 575 575 -7 -27 2,575 560
Debt Securities
Loan commitments given 515 274 220 220 1 12 273 7
Total 6,702 7,673 7,443 7,443 -56 -1,376 9,781 4,281
In the first half of 2021, the performing part of the forbearance portfolio shows slight decreases asset management. The total exposure on clients managed by special asset management decreased
compared to year end 2020. Also, the non-performing forborne loans are continuing their compared to year-end 2020.
decreasing trend, falling below the historical average. The forborne portfolio is managed by special
CQ4 - Quality of Non-Performing Exposures by Geography1

Gross carrying/Nominal amount Accumulated negative
Provisions on off-balance changes in fair value
of which: non-performing
of which: subject Accumulated sheet commitments and due to credit risk on non-
Amounts in Millions of Euros of which: defaulted to impairment impairment financial guarantee given performing exposures
On balance sheet exposures 478,083 12,276 11,992 476,831 -4,163
Australia 18,483 267 267 18,483 -53
Brazil 9,537 965 965 9,536 -471
Canada 6,107 104 104 6,107 -76
Germany 7,892 93 93 7,892 -56
France 13,885 320 320 13,809 -96
United Kingdom 21,716 402 402 21,681 -84

Pillar 3
Gross carrying/Nominal amount Accumulated negative

Provisions on off-balance changes in fair value
of which: subject Accumulated sheet commitments and due to credit risk on non-
Amounts in Millions of Euros of which: defaulted to impairment impairment financial guarantee given performing exposures
Netherlands 302,605 7,135 7,084 301,651 -2,601
New Zealand 8,839 304 304 8,839 -34
United States 45,766 1,437 1,237 45,758 -202
Other Countries 43,254 1,250 1,217 43,075 -487
Off balance sheet exposures 98,653 1,127 1,073 132
Australia 4,527 9 9 2
Brazil 412 0 0 0
Canada 1,790 6 6 0
Germany 1,907 5 5 1
France 1,763 0 0 1
United Kingdom 3,843 37 37 1
Netherlands 47,415 940 887 101
New Zealand 1,618 15 15 1
United States 21,867 69 69 3
Other Countries 13,510 46 46 22
Total 576,736 13,403 13,065 476,831 -4,163 132
1 All countries with an exposure under 1% of the total amount are combined under Other countries
The majority of the on-balance exposures is originated in the Netherlands.

Pillar 3
CQ5 - Credit Quality of Loans and Advances to Non-Financial Corporations by Industry

Gross carrying amount
Accumulated negative changes in
of which: loans and advances fair value due to credit risk on non-
Amounts in Millions of Euros of which: defaulted subject to impairment Accumulated impairment performing exposures
Agriculture, forestry and fishing 71,704 4,234 4,168 71,664 -708
Mining and quarrying 1,334 20 20 1,334 -11
Manufacturing 32,928 1,863 1,858 32,864 -1,101
Electricity, gas, steam and air conditioning supply 4,405 78 76 4,387 -58
Water supply 575 43 15 575 -9
Construction 6,656 521 510 6,656 -260
Wholesale and retail trade 32,776 1,008 991 32,651 -513
Transport and storage 7,140 860 857 7,140 -230
Accommodation and food service activities 5,413 322 314 5,413 -145
Information and communication 2,331 43 43 2,331 -53
Real estate activities 18,949 726 706 18,949 -234
Financial and insurance actvities 969 69 35 969 -27
Professional, scientific and technical activities 3,756 117 117 3,756 -115
Administrative and support service activities 4,949 270 269 4,949 -146
Public administration and defense, compulsory
social security 35 2 2 35 -1
Education 801 15 15 801 -12
Human health services and social work activities 6,457 167 109 6,457 -76
Arts, entertainment and recreation 1,503 129 123 1,502 -56
Other services 4,312 140 140 3,904 -93
Total 206,993 10,628 10,367 206,336 -3,848
Most of the loans and advances to non-financial corporations are concentrated in the Agriculture,
Forestry and Fishing industry (35% of the total), followed by Manufacturing (17% of the total),
Wholesale and retail trade (16% of the total) and Real Estate Activities (10% of the total).
Exposures within vulnerable subsectors are placed in Stage 2 and relate almost fully to non-F&A
subsectors as per June 2021. Vulnerable subsectors are Commercial Real Estate (retail and leisure),
Accommodation & Food Services (hotels, restaurants and pubs), Wholesale and Retail Trade
(automotive and retail fashion and shoes), Arts, Entertainment & Recreation (sport facilities, fitness
and amusement and theme parks), Administrative and Support Service Activities (rental & leasing
and travel agencies).

Pillar 3
CQ7 - Collateral Obtained by Taking Possession and Execution Processes

Collateral obtained by taking
possession accumulated
Value at initial Accumulated
Amounts in Millions of Euros recognition negative changes
Property Plant and Equipment (PP&E) 0 0
Other than Property Plant and Equipment 0 0
Residential immovable property 0 0
Commercial Immovable property 0 0
Movable property (auto, shipping, etc.) 0 0
Equity and debt instruments 0 0
Other 0 0
Total 0 0
CR3 - Disclosure of the Use of Credit Risk Mitigation Techniques

Secured carrying amount
Of which secured by financial guarantees
Of which secured by
Amounts in Millions of Euros Unsecured carrying amount Of which secured by collateral credit derivatives
Loans and advances 199,001 388,285 354,402 33,884
Debt securities 14,865
Total 213,866 388,285 354,402 33,884
Of which non-performing exposures 5,059 7,217 6,624 593
Of which defaulted 5,059 6,932 6,340 593
There was an increase of the secured exposure both by collateral and financial guarantees compared
to year-end 2020.

Pillar 3
7.2 The Use of the IRB Approach to Credit Risk
CR8 - RWEA Flow Statements of Credit Risk Exposures Under the IRB Approach
Amounts in Millions of Euros Risk weighted exposure amount
Risk weighted exposure amount as at the end of the previous reporting period 118,735
Asset size (+/-) 211
Asset quality (+/-) -3,292
Model updates (+/-) -641
Methodology and policy (+/-) 2,826
Acquisitions and disposals (+/-) 0
Foreign exchange movements (+/-) -366
Other (+/-) 0
Risk weighted exposure amount as at the end of the reporting period 117,474
CR6 - Credit Risk Exposure by Exposure Class and PD Range - A-IRB

Exposure Risk weighted Density of risk
Amounts in Millions of Euros Exposure Exposure Exposure weighted exposure weighted
Off-balance- weighted Exposure post weighted weighted average amount after exposure Value adjust-
On-balance sheet exposures average CCF CCF and post average PD Number of average LGD maturity supporting amount Expected loss ments and
Exposure class PD scale sheet exposures pre-CCF (%) CRM (%) obligors (%) (in years) factors (%) amount provisions
CGCB 0.00 to <0.15 136,256 249 108.57 136,796 0.00 135 33.98 1 225 0.16 0 -1
CGCB 0.00 to <0.10 135,983 249 108.57 136,520 0.00 127 33.91 1 131 0.10 0 -1
CGCB 0.10 to <0.15 273 0 0.83 276 0.11 8 71.64 1 94 34.03 0 0
CGCB 0.15 to <0.25 2 2 0.22 3 30.47 1 0 23.16 0 0
CGCB 0.25 to <0.50 319 252 99.58 572 0.38 7 22.70 4 185 32.34 1 0
CGCB 0.50 to <0.75 15 0 90.65 15 0.75 4 6.73 2 2 11.32 0 0
CGCB 0.75 to <2.50 450 450 1.12 6 79.00 1 673 149.57 4 -1
CGCB 0.75 to <1.75 450 450 1.12 6 79.00 0 673 149.57 4 -1
CGCB 1.75 to <2.5
CGCB 2.50 to <10.00 354 37 90.31 391 5.14 12 24.03 3 253 64.62 3 -1
CGCB 2.5 to <5 166 0 2.50 168 3.12 8 52.74 1 229 136.32 3 0
CGCB 5 to <10 188 37 90.31 223 6.67 4 2.34 4 23 10.47 0 -1
CGCB 10.00 to <100.00 195 15 90.33 210 12.77 0 2.60 4 29 13.79 1 -2
CGCB 10 to <20 195 15 90.33 210 12.77 4 2.60 4 29 13.79 1 -2
CGCB 20 to <30
CGCB 30.00 to <100.00

Pillar 3

CGCB 100.00 (Default)
Subtotal CGCB 137,590 554 138,436 171 1,366 0.00 8 -4
Institutions 0.00 to <0.15 4,999 3,211 95.98 8,099 0.08 260 29.33 2 1,395 17.23 2 0
Institutions 0.00 to <0.10 2,335 1,870 96.18 4,147 0.06 175 20.41 3 496 11.97 0 0
Institutions 0.10 to <0.15 2,663 1,341 95.70 3,952 0.11 85 38.70 2 899 22.75 2 0
Institutions 0.15 to <0.25 93 91 97.33 182 0.21 32 29.23 2 55 30.22 0 0
Institutions 0.25 to <0.50 175 114 84.22 298 0.38 43 32.41 1 126 42.41 0 0
Institutions 0.50 to <0.75 61 358 97.21 409 0.73 71 26.02 3 246 60.12 1 0
Institutions 0.75 to <2.50 108 73 94.42 173 1.48 51 25.09 4 133 76.73 1 0
Institutions 0.75 to <1.75 108 73 94.42 173 1.48 45 25.08 4 132 76.72 1 0
Institutions 1.75 to <2.5 0 0 2.05 6 31.62 2 0 80.91 0 0
Institutions 2.50 to <10.00 6,053 295 100.19 436 4.35 38 33.38 2 456 104.69 6 -1
Institutions 2.5 to <5 30 295 100.19 325 3.53 25 40.16 2 398 122.73 5 0
Institutions 5 to <10 6,023 111 6.76 13 13.61 2 58 52.05 1 -1
Institutions 10.00 to <100.00 9 0 102.50 8 12.76 6 29.16 2 12 141.48 0 0
Institutions 10 to <20 9 0 102.50 8 12.76 6 29.16 2 12 141.48 0 0
Institutions 20 to <30
Institutions 30.00 to <100.00
Institutions 100.00 (Default) 3 3 100.00 4 19.99 2 1 33.71 1 0
Subtotal Institutions 11,501 4,142 9,608 505 2,424 0.00 11 -3
Corporates-SME 0.00 to <0.15 665 500 116.03 1,321 0.13 1587 8.97 4 76 5.76 0 0
Corporates-SME 0.00 to <0.10 30 23 0.06 7 26.61 2 3 11.05 0 0
Corporates-SME 0.10 to <0.15 635 500 116.03 1,298 0.13 1580 8.66 4 74 5.67 0 0
Corporates-SME 0.15 to <0.25 1,130 552 90.21 1,768 0.21 1937 10.41 4 144 8.13 0 0
Corporates-SME 0.25 to <0.50 6,153 1,809 98.63 8,441 0.43 7041 9.48 4 943 11.17 3 -3
Corporates-SME 0.50 to <0.75 7,515 1,463 95.05 9,409 0.72 6490 9.66 4 1,420 15.09 7 -4
Corporates-SME 1.75 to <2.5 5,664 689 90.87 6,352 2.34 3933 16.33 4 2,531 39.84 24 -8
Corporates-SME 2.5 to <5 10,900 1,462 98.36 12,660 3.24 6865 15.78 4 4,760 37.60 66 -26
Corporates-SME 5 to <10 6,854 756 97.53 7,646 6.27 4627 18.44 4 4,004 52.37 90 -37
Corporates-SME 10.00 to <100.00 1,264 140 91.68 1,385 15.22 1061 24.41 3 1,307 94.39 53 -23

Pillar 3

Corporates-SME 10 to <20 1,167 118 93.45 1,270 14.12 980 23.63 3 1,132 89.14 43 -19
Corporates-SME 20 to <30 96 22 82.03 114 27.13 79 33.26 3 175 153.57 10 -4
Corporates-SME 30.00 to <100.00 1 0 100.00 1 51.76 2 6.56 5 0 24.03 0 0
Corporates-SME 100.00 (Default) 3,050 256 93.09 3,327 100.00 2283 16.44 4 929 27.93 476 -371
Subtotal Corporates-SME 62,287 10,181 74,913 49914 20,935 0.00 755 -489
Corporates-SL 0.00 to <0.15 1,039 151 61.92 1,140 0.10 0 7.05 0 74 6.51 0 0
Corporates-SL 0.00 to <0.10 418 83 61.43 473 0.07 0 7.35 0 26 5.47 0 0
Corporates-SL 0.10 to <0.15 621 68 62.52 667 0.13 0 6.84 0 48 7.25 0 0
Corporates-SL 0.15 to <0.25 1,142 107 85.21 1,241 0.19 0 12.96 0 235 18.90 0 0
Corporates-SL 0.25 to <0.50 4,929 486 67.13 5,299 0.38 0 8.63 0 831 15.69 2 -1
Corporates-SL 0.50 to <0.75 3,024 951 62.53 3,661 0.65 0 11.69 0 978 26.71 3 -2
Corporates-SL 0.75 to <2.50 7,175 1,129 47.50 7,791 1.34 0 9.67 0 1,819 23.35 10 -4
Corporates-SL 0.75 to <1.75 5,439 1,076 47.08 6,005 1.13 0 10.10 0 1,452 24.19 7 -3
Corporates-SL 1.75 to <2.5 1,736 53 56.08 1,786 2.04 0 8.23 0 367 20.53 3 -2
Corporates-SL 2.50 to <10.00 1,522 107 88.98 1,635 3.75 0 9.96 0 484 29.63 6 -3
Corporates-SL 2.5 to <5 1,342 106 88.91 1,452 3.38 0 9.58 0 406 27.98 5 -3
Corporates-SL 5 to <10 180 1 101.17 183 6.68 0 12.96 0 78 42.75 2 -1
Corporates-SL 10.00 to <100.00 264 6 93.66 273 13.43 0 14.07 0 167 61.09 5 -2
Corporates-SL 10 to <20 235 6 93.62 243 12.25 0 14.17 0 146 60.28 4 -2
Corporates-SL 20 to <30 30 0 101.24 30 22.98 0 13.34 0 20 67.65 1 0
Corporates-SL 30.00 to <100.00
Corporates-SL 100.00 (Default) 789 18 77.07 816 100.00 0 26.89 0 227 27.78 222 -186
Subtotal Corporates-SL 19,884 2,954 21,856 4126 4,815 0.00 249 -199
Corporates-Other 0.00 to <0.15 10,385 17,255 73.46 23,724 0.10 0 25.54 0 4,304 18.14 7 -2
Corporates-Other 0.00 to <0.10 3,956 8,038 62.87 9,161 0.05 0 21.14 0 1,039 11.34 1 0

Pillar 3

Corporates-Other 2.5 to <5 6,497 1,932 83.40 8,152 3.28 0 26.88 0 7,159 87.82 72 -70
Corporates-Other 5 to <10 3,496 431 87.58 3,799 6.29 0 28.33 0 4,231 111.37 65 -42
Corporates-Other 10.00 to <100.00 451 165 85.44 574 15.21 0 39.58 0 1,230 214.29 39 -17
Corporates-Other 10 to <20 393 142 86.58 498 13.35 0 33.48 0 826 165.81 23 -11
Corporates-Other 20 to <30 57 22 78.15 75 27.29 0 80.57 0 402 539.10 16 -6
Corporates-Other 30.00 to <100.00 2 1 36.02 0 28.52 0 2 162.59 0 0
Corporates-Other 100.00 (Default) 4,349 635 29.86 4,645 100.00 0 25.10 0 1,339 28.82 1,256 -1,136
Subtotal Corporates-Other 73,796 54,979 116,142 11152 53,366 0.00 1,582 -1,327
Retail-SRE-SME 0.00 to <0.15 1,077 284 84.07 1,315 0.12 11992 8.11 0 28 2.12 0 0
Retail-SRE-SME 0.00 to <0.10 189 80 84.30 256 0.09 3607 8.11 0 4 1.64 0 0
Retail-SRE-SME 0.10 to <0.15 888 204 83.98 1,059 0.13 8385 8.11 0 24 2.23 0 0
Retail-SRE-SME 0.15 to <0.25 1,691 341 82.44 1,971 0.20 13785 11.13 0 85 4.33 0 0
Retail-SRE-SME 0.25 to <0.50 2,806 414 79.84 3,134 0.37 18333 14.44 0 276 8.79 2 -2
Retail-SRE-SME 0.50 to <0.75 2,033 195 76.36 2,179 0.62 11160 16.07 0 308 14.12 2 -1
Retail-SRE-SME 0.75 to <2.50 5,985 357 72.10 6,231 1.39 28488 16.02 0 1,478 23.72 14 -9
Retail-SRE-SME 0.75 to <1.75 4,513 271 72.21 4,700 1.15 20989 16.07 0 1,003 21.33 9 -6
Retail-SRE-SME 1.75 to <2.5 1,472 86 71.77 1,532 2.13 7499 15.86 0 475 31.04 5 -4
Retail-SRE-SME 2.50 to <10.00 2,921 147 81.66 3,052 4.78 15397 18.26 0 1,708 55.98 27 -22
Retail-SRE-SME 2.5 to <5 1,858 99 78.35 1,938 3.46 9504 17.27 0 872 44.99 12 -8
Retail-SRE-SME 5 to <10 1,063 49 88.40 1,113 7.08 5893 19.99 0 836 75.12 16 -14
Retail-SRE-SME 10.00 to <100.00 861 25 94.35 893 20.14 4485 23.85 0 1,077 120.55 44 -28
Retail-SRE-SME 10 to <20 578 20 93.85 603 13.63 3109 23.42 0 693 114.96 20 -16
Retail-SRE-SME 20 to <30 149 3 96.79 155 24.17 750 24.35 0 210 135.96 9 -6
Retail-SRE-SME 30.00 to <100.00 133 1 95.83 136 44.33 626 25.20 0 174 127.80 15 -6
Retail-SRE-SME 100.00 (Default) 687 29 31.22 690 100.00 2794 21.29 0 251 36.32 130 -101
Subtotal Retail-SRE-SME 18,060 1,792 19,466 106434 5,211 0.00 220 -164
Retail-SRE-NoSME 0.00 to <0.15 77,467 3,774 74.29 79,722 0.09 1 5.68 0 1,172 1.47 4 -1
Retail-SRE-NoSME 0.00 to <0.10 45,601 3,189 73.32 47,465 0.07 0 5.41 0 516 1.09 2 0
Retail-SRE-NoSME 0.10 to <0.15 31,866 584 79.60 32,257 0.12 0 6.07 0 656 2.03 2 0
Retail-SRE-NoSME 0.15 to <0.25 41,166 422 80.90 41,478 0.19 0 8.10 0 1,589 3.83 7 -1
Retail-SRE-NoSME 0.50 to <0.75 12,514 4,190 20.91 13,391 0.60 0 13.50 0 1,916 14.31 11 -2

Pillar 3

Retail-SRE-NoSME 2.5 to <5 2,695 7 90.38 2,705 3.45 0 17.61 0 1,514 55.96 16 -7
Retail-SRE-NoSME 5 to <10 1,258 3 89.51 1,264 6.97 0 14.70 0 848 67.07 13 -8
Retail-SRE-NoSME 10.00 to <100.00 1,071 2 91.34 1,076 23.83 0 12.65 0 825 76.68 32 -12
Retail-SRE-NoSME 10 to <20 643 1 92.72 646 13.88 0 12.98 0 506 78.30 12 -7
Retail-SRE-NoSME 20 to <30 198 0 89.59 199 24.40 0 11.70 0 160 80.50 6 -2
Retail-SRE-NoSME 30.00 to <100.00 231 1 89.85 232 51.02 0 12.53 0 160 68.90 15 -3
Retail-SRE-NoSME 100.00 (Default) 961 2 25.27 967 100.00 0 12.92 0 1,024 105.94 52 -46
Subtotal Retail-SRE-NoSME 190,428 8,714 194,159 1148586 16,350 0.00 183 -88
Retail-Other-SME 0.00 to <0.15 299 164 84.48 417 0.11 12839 19.88 0 22 5.20 0 0
Retail-Other-SME 0.15 to <0.25 1,015 266 83.76 1,164 0.21 44335 24.24 0 109 9.36 1 0
Retail-Other-SME 0.25 to <0.50 2,535 496 83.03 2,739 0.38 102504 25.11 0 385 14.04 3 -2
Retail-Other-SME 0.75 to <2.50 10,327 520 76.52 9,830 1.48 338626 24.61 0 2,607 26.52 36 -30
Retail-Other-SME 2.5 to <5 5,074 143 74.96 4,797 3.51 154302 25.25 0 1,612 33.60 42 -42
Retail-Other-SME 5 to <10 3,062 95 80.27 2,925 6.56 84683 24.49 0 1,064 36.39 47 -51
Retail-Other-SME 10 to <20 1,054 42 89.13 1,039 13.15 29304 27.24 0 504 48.51 38 -70
Retail-Other-SME 20 to <30 302 11 91.40 290 25.87 8144 30.62 0 206 70.97 23 -26
Retail-Other-SME 30.00 to <100.00 306 7 95.19 291 41.87 6971 24.38 0 171 58.74 30 -25
Retail-Other-SME 100.00 (Default) 864 30 39.47 830 100.00 19390 33.13 0 319 38.36 266 -309
Subtotal Retail-Other-SME 27,002 2,043 26,547 875515 7,412 0.00 490 -558
Retail-Other-NoSME 0.00 to <0.15 26 273 56.11 179 0.14 6047 12.43 0 7 4.08 0 0

Pillar 3

Retail-Other-NoSME 0.25 to <0.50 390 1,292 122.79 1,996 0.40 32233 42.16 0 559 28.03 3 -2
Retail-Other-NoSME 0.50 to <0.75 396 164 127.36 609 0.62 31933 37.07 0 192 31.56 1 -1
Retail-Other-NoSME 0.75 to <2.50 910 152 126.11 1,112 1.28 76789 38.50 0 492 44.23 5 -3
Retail-Other-NoSME 2.5 to <5 171 1 130.07 172 3.41 16737 24.95 0 64 37.52 1 -1
Retail-Other-NoSME 5 to <10 127 126 6.70 11534 23.07 0 48 37.76 2 -1
Retail-Other-NoSME 10.00 to <100.00 39 44 21.92 3037 47.57 0 51 115.46 5 -1
Retail-Other-NoSME 30.00 to <100.00 3 3 45.30 429 43.23 0 4 118.61 1 0
Retail-Other-NoSME 100.00 (Default) 70 0 133.03 89 100.00 2989 44.23 0 45 51.15 36 -31
Subtotal Retail-Other-NoSME 2,303 2,068 4,716 196637 1,484 0.00 55 -42
Total A-IRB 0.00 to <0.15 232,211 25,860 77.47 252,714 0.04 691762 23.69 1 7,304 2.89 13 -5
Total A-IRB 0.00 to <0.10 188,601 13,729 70.15 198,181 0.02 486952 26.10 1 2,221 1.12 3 -2
Total A-IRB 0.10 to <0.15 43,610 12,132 85.76 54,532 0.12 204810 14.90 1 5,083 9.32 10 -3
Total A-IRB 0.15 to <0.25 53,604 7,226 79.86 59,962 0.20 269352 12.66 1 5,569 9.29 16 -5
Total A-IRB 0.25 to <0.50 73,316 19,543 80.60 90,237 0.38 320853 16.95 1 17,382 19.26 59 -21
Total A-IRB 0.50 to <0.75 36,650 13,710 60.64 45,366 0.67 183224 17.12 2 12,279 27.07 53 -21
Total A-IRB 0.75 to <2.50 79,498 14,287 73.10 90,353 1.43 523702 18.25 2 32,909 36.42 241 -121
Total A-IRB 0.75 to <1.75 63,463 11,289 79.53 73,005 1.25 390618 17.90 2 25,098 34.38 165 -84
Total A-IRB 1.75 to <2.5 16,035 2,998 48.87 17,347 2.21 133084 19.72 2 7,812 45.03 77 -37
Total A-IRB 2.50 to <10.00 50,983 5,418 90.51 49,760 4.42 313344 20.69 2 28,206 56.68 458 -314
Total A-IRB 2.5 to <5 28,732 4,046 89.78 32,369 3.33 200309 20.43 2 17,015 52.57 222 -157
Total A-IRB 5 to <10 22,251 1,372 92.67 17,390 6.44 113035 21.18 2 11,191 64.35 236 -157
Total A-IRB 10.00 to <100.00 5,817 413 89.13 6,083 18.78 57848 23.41 1 5,578 91.70 271 -207
Total A-IRB 10 to <20 4,289 346 89.98 4,531 13.55 37737 22.54 2 3,856 85.10 140 -127
Total A-IRB 20 to <30 852 58 83.13 887 25.36 11118 30.07 1 1,211 136.52 69 -46
Total A-IRB 30.00 to <100.00 676 10 94.72 666 45.59 8993 20.48 0 512 76.86 61 -34
Total A-IRB 100.00 (Default) 10,772 969 47.74 11,368 100.00 32955 22.16 2 4,134 36.37 2,439 -2,180
Total A-IRB 542,852 87,427 605,843 2393040 113,362 18.71 3,551 -2,874

Pillar 3
CR6 - Credit risk exposure by exposure class and PD Range - F-IRB

CGCB 0.00 to <0.15 18.71
CGCB 0.00 to <0.10
CGCB 0.10 to <0.15
CGCB 0.15 to <0.25
CGCB 0.25 to <0.50
CGCB 0.50 to <0.75
CGCB 0.75 to <2.50
CGCB 0.75 to <1.75
CGCB 1.75 to <2.5
CGCB 2.50 to <10.00 27 20.00 5 2.52 1 45.00 2 9 170.92 0 0
CGCB 2.5 to <5 27 20.00 5 2.52 1 45.00 2 9 170.92 0 0
CGCB 5 to <10
CGCB 10.00 to <100.00 19 20.00 4 19.15 1 45.00 2 10 253.47 0 0
CGCB 10 to <20 19 20.00 4 19.15 1 45.00 2 10 253.47 0 0
CGCB 20 to <30
CGCB 30.00 to <100.00
Subtotal CGCB 47 9 2 19 0.00 0 0
Institutions 0.00 to <0.15 1,833 778 23.72 2,017 0.11 104 45.00 2 989 49.02 1 0
Institutions 0.00 to <0.10 66 322 27.13 154 0.06 42 45.00 2 51 32.87 0 0
Institutions 0.10 to <0.15 1,766 456 21.30 1,863 0.12 62 45.00 2 938 50.36 1 0
Institutions 0.15 to <0.25 25 58 21.06 37 0.22 16 45.00 2 23 63.37 0 0
Institutions 0.25 to <0.50 486 93 22.22 506 0.43 50 45.00 2 498 98.31 1 0
Institutions 0.50 to <0.75 65 37 30.83 77 0.75 20 45.00 2 95 124.37 0 0
Institutions 0.75 to <2.50 135 165 26.74 180 1.36 51 45.00 2 262 145.99 1 0
Institutions 0.75 to <1.75 135 165 26.74 180 1.36 51 45.00 2 262 145.99 1 0
Institutions 2.50 to <10.00 444 139 20.72 473 3.80 69 45.00 2 864 182.61 8 0
Institutions 2.5 to <5 276 95 20.93 296 2.65 42 45.00 2 478 161.34 4 0
Institutions 5 to <10 168 44 20.29 177 5.72 27 45.00 2 386 218.20 5 0
Institutions 10.00 to <100.00 23 13 26.81 27 13.12 8 45.00 2 76 285.72 2 0

Pillar 3

Institutions 10 to <20 23 13 26.81 27 13.12 8 45.00 2 76 285.72 2 0
Institutions 20 to <30
Institutions 100.00 (Default)
Subtotal Institutions 3,011 1,283 3,316 318 2,808 0.00 13 0
Corporates-SME 0.00 to <0.15
Corporates-SME 2.5 to <5
Corporates-SME 5 to <10
Corporates-SME 100.00 (Default)
Subtotal Corporates-SME 12 12 1 12 0.00 0 0
Corporates-Other 0.00 to <0.10
Corporates-Other 0.15 to <0.25 438 4 50.00 448 0.22 0 45.00 0 232 51.83 0 0
Corporates-Other 0.25 to <0.50 157 79 50.00 296 0.34 0 45.00 0 194 65.59 0 0
Corporates-Other 0.75 to <2.50 389 34 50.00 422 1.37 0 45.00 0 483 114.47 3 -1
Corporates-Other 0.75 to <1.75 377 34 50.00 403 1.34 0 45.00 0 459 113.82 2 -1

Pillar 3

Corporates-Other 2.5 to <5
Corporates-Other 5 to <10
Corporates-Other 10.00 to <100.00 54 54 10.55 0 45.00 0 118 218.36 3 -4
Corporates-Other 10 to <20 54 54 10.55 0 45.00 0 118 218.36 3 -4
Corporates-Other 20 to <30
Corporates-Other 100.00 (Default) 239 0 0.00 239 100.00 0 26.44 0 0 0.00 69 -64
Subtotal Corporates-Other 1,580 118 1,863 43 1,273 0.00 75 -70
Total F-IRB 0.00 to <0.15 2,005 778 23.72 2,274 0.11 106 45.00 2 1,096 48.22 1 0
Total F-IRB 0.00 to <0.10 66 322 27.13 154 0.06 42 45.00 2 51 32.87 0 0
Total F-IRB 0.10 to <0.15 1,938 456 21.30 2,120 0.12 64 45.00 2 1,046 49.33 1 0
Total F-IRB 0.15 to <0.25 463 63 23.01 485 0.22 21 45.00 2 256 52.71 0 0
Total F-IRB 0.25 to <0.50 642 172 35.03 802 0.40 58 45.00 2 692 86.23 1 0
Total F-IRB 0.50 to <0.75 195 37 30.83 225 0.74 26 45.00 2 233 103.73 1 0
Total F-IRB 0.75 to <2.50 537 200 30.76 614 1.38 63 45.00 2 757 123.39 4 -1
Total F-IRB 0.75 to <1.75 512 200 30.76 583 1.35 60 45.00 2 721 123.73 4 -1
Total F-IRB 1.75 to <2.5 25 31 2.08 3 45.00 2 36 116.84 0 0
Total F-IRB 2.50 to <10.00 444 166 20.60 479 3.78 70 45.00 2 873 182.48 8 0
Total F-IRB 2.5 to <5 276 122 20.72 302 2.64 43 45.00 2 487 161.51 4 0
Total F-IRB 5 to <10 168 44 20.29 177 5.72 27 45.00 2 386 218.20 5 0
Total F-IRB 10.00 to <100.00 77 32 22.73 85 11.75 10 45.00 2 204 241.15 4 -4
Total F-IRB 10 to <20 77 32 22.73 85 11.75 10 45.00 2 204 241.15 4 -4
Total F-IRB 20 to <30
Total F-IRB 30.00 to <100.00
Total F-IRB 100.00 (Default) 239 0 0.00 239 100.00 10 26.44 2 0 0.00 69 -64
Total F-IRB 4,603 1,447 5,201 364 4,112 79.05 89 -70
F-IRB exposure increased by around EUR 3.2 billion compared to year-end 2020, mainly driven by
the transfer of the Trade Related Banking Exposure (TRBE) portfolio from SA to F-IRB.

Pillar 3
Rabobank hardly uses credit derivatives to hedge its credit risk. Therefore there is no effect
CR7 - Effect on the RWEAs of Credit Derivatives Used as CRM Techniques
on RWEAs.
Pre-credit
derivatives risk Actual risk
weighted weighted
exposure exposure
Amounts in Millions of Euros amount amount
Exposures under FIRB 4,112 4,112
Central governments and central banks 19 19
Institutions 2,808 2,808
Corporates 1,285 1,285
of which SMEs 12 12
of which Specialised lending
Exposures under AIRB 113,362 113,362
Central governments and central banks 1,366 1,366
Institutions 2,424 2,424
Corporates 79,115 79,115
of Corporates - which SMEs 20,935 20,935
of which Corporates - Specialised lending 4,815 4,815
Retail 30,456 30,456
of which Retail – SMEs - Secured by immovable property collateral 5,211 5,211
of which Retail – non-SMEs - Secured by immovable property collateral 16,350 16,350
of which Retail – Qualifying revolving
of which Retail – SMEs - Other 7,412 7,412
of which Retail – Non-SMEs- Other 1,484 1,484
Total (including FIRB exposures and AIRB exposures) 117,474 117,474

Pillar 3
CR7_A - Disclosure of the Extent of the Use of CRM Techniques - A-IRB

Credit risk Mitigation methods
Credit risk Mitigation techniques
in the calculation of RWEAs
Unfunded credit
Funded credit Protection (FCP)
Protection (UFCP)
Part of exposures covered by Other funded
Part of exposures covered by Other eligible collaterals
credit protection
Part of Part of Part of Part of
Part of exposures exposures Part of exposures exposures Part of RWEA with
exposures covered by Part of covered by exposures covered by covered by Part of exposures RWEA without substitution
covered by Immovable exposures Other covered by Life Instruments exposures covered by substitution effects (both
Financial property covered by physical Cash on insurance held by a covered by Credit effects reduction and
Total Collaterals Collaterals Receivables collateral deposit policies third party Guarantees Derivatives (reduction sustitution
Amounts in Millions of Euros exposures (%) (%) (%) (%) (%) (%) (%) (%) (%) (%) (%) effects only) effects)
Central governments and central banks 138,436 0.17 0.04 0.00 0.00 0.04 0.00 0.00 0.00 0.00 0.00 0.00 1,366 1,366
Institutions 9,608 0.06 5.40 0.27 0.60 4.54 0.00 0.00 0.00 0.00 1.49 0.00 2,424 2,424
Corporates 212,912 3.56 228.61 171.06 12.48 45.07 0.00 0.00 0.00 0.00 4.19 0.00 79,115 79,115
Of which Corporates – SMEs 74,913 0.34 96.69 78.91 4.60 13.18 0.00 0.00 0.00 0.00 1.64 0.00 20,935 20,935
Of which Corporates – Specialised lending 21,856 0.57 97.29 81.94 0.63 14.72 0.00 0.00 0.00 0.00 0.85 0.00 4,815 4,815
Of which Corporates – Other 116,142 2.66 34.64 10.22 7.25 17.17 0.00 0.00 0.00 0.00 1.70 0.00 53,366 53,366
Retail 244,888 5.60 211.49 190.03 4.04 17.41 0.09 0.09 0.00 0.00 2.61 0.00 30,456 30,456
Of which Retail – Immovable property SMEs 19,466 0.00 270.05 202.58 21.97 45.50 0.41 0.41 0.00 0.00 1.48 0.00 5,211 5,211
Of which Retail – Immovable property non-SMEs 194,159 7.06 219.37 219.37 0.00 0.00 0.00 0.00 0.00 0.00 2.86 0.00 16,350 16,350
Of which Retail – Qualifying revolving
Of which Retail – Other SMEs 26,547 0.00 144.50 0.00 21.19 123.31 0.54 0.54 0.00 0.00 2.07 0.00 7,412 7,412
Of which Retail – Other non-SMEs 4,716 0.00 22.20 0.00 0.00 22.20 0.00 0.00 0.00 0.00 0.00 0.00 1,484 1,484
Total 605,843 2.87 107.69 91.49 3.62 12.57 0.04 0.04 0.00 0.00 1.64 0.00 113,362 113,362

Pillar 3
CR7_A - Disclosure of the Extent of the Use of CRM techniques - F-IRB

Credit risk Mitigation methods
Credit risk Mitigation techniques
in the calculation of RWEAs
Unfunded credit
Funded credit Protection (FCP)
Protection (UFCP)
Part of exposures covered by Other funded
Part of exposures covered by Other eligible collaterals
credit protection
Part of Part of Part of Part of
Part of exposures exposures Part of exposures exposures Part of RWEA with
exposures covered by Part of covered by exposures covered by covered by Part of exposures RWEA without substitution
covered by Immovable exposures Other covered by Life Instruments exposures covered by substitution effects (both
Financial property covered by physical Cash on insurance held by a covered by Credit effects reduction and
Total Collaterals Collaterals Receivables collateral deposit policies third party Guarantees Derivatives (reduction sustitution
Amounts in Millions of Euros exposures (%) (%) (%) (%) (%) (%) (%) (%) (%) (%) (%) effects only) effects)
Central governments and central banks 9 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 19 19
Institutions 3,316 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 2,808 2,808
Corporates 1,876 0.58 7.65 7.60 0.00 0.05 0.00 0.00 0.00 0.00 1.19 0.00 1,285 1,285
Of which Corporates – SMEs 12 0.00 66.97 66.97 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 12 12
Of which Corporates – Specialised lending
Of which Corporates – Other 1,863 0.58 7.25 7.20 0.00 0.05 0.00 0.00 0.00 0.00 1.19 0.00 1,273 1,273
Total 5,201 0.21 2.76 2.74 0.00 0.02 0.00 0.00 0.00 0.00 0.43 0.00 4,112 4,112

Pillar 3
7.3 The Use of the Standardized Approach
CR4 - Credit Risk Exposure and CRM Effects

Amounts in Millions of Euros Exposures before CCF and before CRM Exposures post CCF and post CRM RWAs and RWAs density
On-balance-sheet Off-balance-sheet On-balance-sheet Off-balance-sheet RWEA density
Exposure classes exposures exposures exposures amount RWEA (%)
Central governments or central banks 1,117 0 1,348 0 1,564 116.03
Regional government or local authorities
Public sector entities 0 0 0 0.00
Multilateral development banks
International organisations
Institutions 359 359 137 38.09
Corporates 6,123 6,019 6,123 725 6,387 93.27
Retail 3,660 740 3,542 282 2,546 66.59
Secured by mortgages on immovable property 1,204 487 973 109 461 42.57
Exposures in default 472 2 472 1 528 111.67
Exposures associated with particularly high risk 97 97 145 150.00
Covered bonds
Institutions and corporates with a short-term credit assessment
Collective investment undertakings
Equity
Other items 6 124 6 4.85
Total 13,038 7,248 13,038 1,116 11,774 83.18
The Standardized Approach (SA) total exposure decreased with approximately EUR 3.5 billion
compared to year-end 2020. This decrease was due to the transfer of the Trade Related Banking
Exposure (TRBE) portfolio from SA to F-IRB.

Pillar 3
CR5 - Standardized approach

Amounts in Millions of Euros Risk weight
Of which
Exposure classes 0% 2% 4% 10% 20% 35% 50% 70% 75% 100% 150% 250% 370% 1250% Others Total unrated
Central governments or central banks 665 10 36 21 16 600 1,348 3
Public sector entities 0 0
Institutions 0 262 27 67 2 359 12
Corporates 100 6,748 6,848 2,672
Retail 112 3,712 3,824 2,977
Secured by mortgages on immovable property 501 579 2 1,082 269
Exposures in default 363 110 473 88
Exposures associated with particularly high risk 97 97 97
Covered bonds
Institutions and corporates with a short-term
credit assessment
Unit or shares in collective
investment undertakings
Equity
Other items 6 118 124 6
Total 878 0 272 501 642 3,712 7,207 225 600 118 14,154 6,124
Within the exposure class "Central Governments or Central Banks" an amount of EUR 600 million
has a risk weight of 250%. This relates to Deferred Tax Assets (DTA). Rabobank uses the public
information, as published by the External Credit Assessment Institution (ECAI), or as published
by the company itself to apply a rating issued by an ECAI. Rabobank complies with the standard
association published by the EBA. For rated exposures under the Standardized Approach Rabobank
uses two External Credit Assessment Institutions: Standard & Poor’s and Moody’s. Both External
Credit Assessment Institutions are used for the exposure classes "Central Governments or Central
Banks", and "Institutions". For securitizations, we us the External Credit Assessment Institution Fitch.

Pillar 3
7.4 Specialized Lending
CR10 - Specialised Lending and Equity Exposures Under the Simple Risk-Weighted Approach
Specialised Lending: Template EU CR10.1 to CR10.4 not applicable
Regulatory categories
On-balancesheet Off-balancesheet Risk weighted
Amounts in Millions of Euros Remaining maturity exposure exposure Risk weight Exposure value exposure amount Expected loss amount
Less than 2.5 years 50%
Category 1
Equal to or more than 2.5 years 70%
Category 2
Category 3
Category 4
Less than 2.5 years -
Category 5
Equal to or more than 2.5 years -
Less than 2.5 years
Total Equal to or more than
2.5 years
Equity Exposures Under the Simple Risk-Weighted Approach: Template EUR CR10.5
Categories
On-balancesheet Off-balancesheet Risk weighted
Amounts in Millions of Euros exposure exposure Risk weight Exposure value exposure amount Expected loss amount
Private equity exposures 1,142 190% 1,142 2,170 9
Exchange-traded
equity exposures 13 290% 13 38 0
Other equity exposures 633 370% 633 2,343 15
Total 1,789 1,789 4,551 24
Rabobank does not use the Slotting Approach to calculate its own funds requirements for
specialized lending.

Pillar 3
7.5 Exposures to Counterparty Credit Risk

EBA increased the IMM alpha factor to 1.45 from 1.40 and the risk capital multiplier to 1.15 from 1.10
with effect from the end of February 2021 following the TRIM exercise .
CCR1 - Analysis of CCR Exposure by Approach

Alpha used
Effective for computing
Potential future expected positive regulatory Exposure value pre- Exposure value
Amounts in Millions of Euros Replacement cost (RC) exposure (PFE) exposure (EEPE) exposure value CRM post-CRM Exposure value RWEA
EU - Original Exposure Method (for derivatives) 1.4
EU - Simplified SA-CCR (for derivatives) 1.4
SA-CCR (for derivatives) 15 1 1.4 1,402 1,402 1,402 369
IMM (for derivatives and SFTs) 6,608 1.45 8,356 8,356 9,582 3,122
Of which securities financing transactions netting sets 1,003 1,259 1,259 1,454 131
Of which derivatives and long settlement transactions netting sets 5,605 7,097 7,097 8,128 2,991
Of which from contractual cross-product netting sets
Financial collateral simple method (for SFTs)
Financial collateral comprehensive method (for SFTs)
VaR for SFTs
Total 9,758 9,758 10,984 3,491
Retail derivatives and other trades which were previously calculated using the MtM (Mark-to- Rabobank uses the CVA Advanced Approach as required for institutions using IMM models for CCR
Market) method have been migrated to the Standardized Approach for Counterparty Credit Risk and Market Risk VaR. The RWEA values reported for VaR and Stressed VaR (SVaR) include the TRIM 1.15
(SA-CCR) exposure methodology in line with the June 2021 CRR2 implementation. multiplier as previously mentioned. Inflation trades are reported under the Standardized method.
The VaR component shows a marked reduction versus December 2020 due to the decay of peak
Covid scenario dates (when credit spreads had widened significantly) from the observation period.
CCR2 - Transactions Subject to Own Funds Requirements for CVA Risk
Amounts in Millions of Euros Exposure value RWEA
Total transactions subject to the Advanced method 2,594 1,024
(i) VaR component (including the 3× multiplier) 83
(ii) stressed VaR component (including the 3× multiplier) 941
Transactions subject to the Standardised method 26 181
Transactions subject to the Alternative approach (Based on the Original Exposure Method)
Total transactions subject to own funds requirements for CVA risk 2,620 1,206

Pillar 3
CCR3 - Standardized Approach; CCR Exposure by Regulatory Exposure Class and Risk Weights
Amounts in Millions of Euros Risk weight
Total exposure
Exposure classes 0% 2% 4% 10% 20% 50% 70% 75% 100% 150% Others value
Central governments or central banks
Public sector entities
Institutions 0 0 0
Corporates 5 5
Retail 0 0
Institutions and corporates with a short-term
credit assessment
Other items
Total exposure value 0 0 0 5 5
The Standardized Approach is applied in exceptional cases to exposures where no PD and LGD
models are available.
CCR4 - IRB Approach; CCR Exposures by Regulatory Exposure Class and PD Scale
Exposure weighted Exposure weighted Exposure weighted Density of risk weighted
Amounts in Millions average PD average LGD average maturity exposure amount
of Euros PD scale Exposure value (%) Number of obligors (%) (in years) RWEA (%)
CGCB 0.00 to <0.15 918 0.02 38 7.50 3 9 0.97
CGCB 0.15 to <0.25
CGCB 0.25 to <0.50 23 0.34 2 49.24 1 11 48.64
CGCB 0.50 to <0.75
CGCB 0.75 to <2.50 4 1.66 2 38.91 1 4 105.26
CGCB 2.50 to <10.00
CGCB 10.00 to <100.00
Subtotal CGCB 945 0.04 42 8.64 3 24 2.53
Institutions 0.00 to <0.15 4,620 0.08 353 33.83 2 996 21.55
Institutions 0.15 to <0.25 111 0.22 23 49.25 2 71 63.30
Institutions 0.25 to <0.50 77 0.41 23 51.68 2 64 83.06

Pillar 3
Exposure weighted Exposure weighted Exposure weighted Density of risk weighted

Amounts in Millions average PD average LGD average maturity exposure amount
of Euros PD scale Exposure value (%) Number of obligors (%) (in years) RWEA (%)
Institutions 0.50 to <0.75 2 0.75 6 50.72 2 2 91.24
Institutions 0.75 to <2.50 1 1.24 6 71.98 2 3 191.16
Institutions 2.50 to <10.00 0 8.51 1 96.42 1 0 491.76
Institutions 100.00 (Default)
Subtotal Institutions 4,812 0.09 412 34.49 2 1,135 23.58
Corporates 0.00 to <0.15 1,149 0.35 237 65.59 9 263 48.40
Corporates 0.15 to <0.25 776 0.65 150 75.03 7 214 75.52
Corporates 0.25 to <0.50 1,314 1.20 555 73.31 9 547 103.05
Corporates 0.50 to <0.75 674 2.12 388 70.08 10 366 136.34
Corporates 0.75 to <2.50 732 4.16 1048 66.89 8 490 154.75
Corporates 2.50 to <10.00 487 12.05 855 67.13 9 399 203.41
Corporates 10.00 to <100.00 12 50.75 60 152.89 8 26 729.24
Corporates 100.00 (Default) 77 300.00 167 68.70 6 22 83.42
Subtotal Corporates 5,222 7.71 3460 64.98 9 2,327 117.75
Retail 0.00 to <0.15
Retail 2.50 to <10.00
Retail 10.00 to <100.00
Retail 100.00 (Default)
Subtotal Retail
Total 0.00 to <0.15 6,688 0.08 628 28.81 2 1,268 18.96
Total 0.15 to <0.25 888 0.22 173 28.41 2 285 32.07
Total 0.25 to <0.50 1,414 0.39 580 28.18 3 622 44.00
Total 0.50 to <0.75 677 0.73 394 27.03 3 368 54.36
Total 0.75 to <2.50 737 1.42 1056 29.06 2 497 67.38
Total 2.50 to <10.00 487 4.29 856 27.02 3 399 81.91
Total 10.00 to <100.00 12 16.60 60 46.84 3 26 216.33
Total 100.00 (Default) 77 100.00 167 4.58 2 22 28.50
Total 10,979 1.16 3914 28.38 2 3,486 31.75

Pillar 3
Exposure to Central Banks and Central Governments decreased by more than half compared to
December 2020. The decrease is driven by a fall in exposure to SSAs (Sovereigns, Supranationals and
Agencies). RWEA impact was limited as a result of the low risk weighting in this category.
CCR5 - Composition of Collateral for CCR Exposures

Amounts in Millions of Euros Collateral used in derivative transactions Collateral used in SFTs
Fair value of collateral received Fair value of posted collateral Fair value of collateral received Fair value of posted collateral
Collateral type Segregated Unsegregated Segregated Unsegregated Segregated Unsegregated Segregated Unsegregated
Cash – domestic currency 8,742 0 9,967 2,083 0 9,669
Cash – other currencies 345 2 182 710 10 12,233
Domestic sovereign debt 4 182 250 344 1,489 847
Other sovereign debt 1,065 294 3,038 1,376 9,594 25 6,958
Government agency debt 36 12 554 452
Corporate bonds 50 21 635 106 39
Equity securities 260 27,334 11,638
Other collateral
Total 1,414 9,564 3,322 11,870 42,397 141 41,835
This table shows the composition of collateral for both Derivatives and Securities Financing
CCR6 - Credit Derivatives Exposures
Transactions (SFT). Lower posted derivative collateral compared to December 2020 reflects a
reduction in Non-Bank Financial Institution (NBFI) exposures to Rabobank. Higher SFT collateral Amounts in Millions of Euros Protection bought Protection sold
posted relates to an increase in equity linked SFT transactions. Notionals

Single-name credit default swaps 0 0
Index credit default swaps 825 627
Total return swaps 0 0
Credit options
Other credit derivatives 0 0
Total notionals 825 627
Fair values
Positive fair value (asset) 0 14
Negative fair value (liability) -19 0
Rabobank is a small market participant in the credit derivatives market as a net purchaser of credit
risk protection for exposure hedging and does not participate in intermediation activities related to
credit derivatives. Notional CDS exposure has increased compared to December 2020.

Pillar 3
CCR7 - RWEA Flow Statements of CCR Exposures Under the IMM CCR8 - Exposures to CCPs
Amounts in Millions of Euros RWEA Amounts in Millions of Euros Exposure value RWEA
RWEA as at the end of the previous reporting period 3,324 Exposures to QCCPs (total) 81
Asset size -164 Exposures for trades at QCCPs (excluding initial margin and default fund
contributions); of which 207 4
Credit quality of counterparties -29
(i) OTC derivatives 175 4
Model updates (IMM only) 0
(ii) Exchange-traded derivatives 21 0
Methodology and policy (IMM only) 0
(iii) SFTs 11 0
Acquisitions and disposals 0
(iv) Netting sets where cross-product netting has been approved
Foreign exchange movements -8
Segregated initial margin 2,109
Other 0
Non-segregated initial margin
RWEA as at the end of the current reporting period 3,122
Prefunded default fund contributions 198 77
Unfunded default fund contributions 558 0
This table breaks down IMM RWEA movements across a range of possible drivers. It demonstrates
Exposures to non-QCCPs (total) 0
that no model or methodological drivers have impacted movements in RWEA. Exposures for trades at non-QCCPs (excluding initial margin and default fund
contributions); of which 0 0
(i) OTC derivatives
(ii) Exchange-traded derivatives
(iii) SFTs
(iv) Netting sets where cross-product netting has been approved
Segregated initial margin
Non-segregated initial margin
Prefunded default fund contributions 0
Unfunded default fund contributions 0
Rabobank clears most trades by central counterparties (CCP), either directly or via clearing brokers.
The Alternative Calculation Method for CCPs is no longer available under CRR2. The capital
calculation for CCP trades is performed under the Standardized Approach. The shift from the
Alternative to the Standardized Approach has increased the RWEA for CCPs by 17%. Rabobank does
not have any transactions with non-qualifying CCPs.

Pillar 3
7.6 Disclosure of exposures subject to payment Eligible General Payment Moratoria

moratoria and public guarantees The Dutch Banking Association (NVB) published two formalized (private) general payment
moratoria on its website for business customers.
The Covid-19 pandemic affected Rabobank’s loan portfolio. The lock-down measures to contain
the virus taken by governments across the world resulted in lower economic activity in Rabobank's Rabobank applied these two general payment moratoria to allow for the postponement of
market areas. payments on loans and credit facilities originated before March 15, 2020. The suspensions were
available to all business customers headquarted in the Netherlands who had no payment difficulties
Recommendations ECB, EBA, and ESMA before the Covid-19 crisis. The payment moratoria were granted without an ex ante client specific
Rabobank adhered to the view of the EBA that the application of public and private moratoria aimed creditworthiness assessment and without an automatic classification as forborne. The granted
at addressing the adverse impact of the Covid-19 pandemic should not in itself be deemed an payment moratoria in themselves are not considered a significant increase in credit risk that would
automatic trigger to conclude that a significant increase in credit risk has occurred. Rabobank also lead to Stage 2 migration. All of these Eligible General Payment Moratoria have been ended.
applied the ECB, EBA, and ESMA recommendations regarding the identification and classification
of non-performing loans. Loans can be renegotiated without diminishing the financial position of Additional (Liquidity) Financing
the lender. This means that the net present value of cash flows of the loan remains the same after Rabobank also offered financing (new loans) to clients in need of additional liquidity due to the
modification. In this case, if the obligor remains likely to meet its obligations under the renegotiated Covid-19 crisis. These loans were granted with or without a government guarantee. An example
contract, there is no need to classify the exposure as defaulted. of additional financing with a Dutch government guarantee is the BKMB-C facility. Government
guarantees issued as a credit risk mitigating measure for Rabobank did not influence client quality
Rabobank’s Relief Measures measurements such as PD.
Rabobank provided a range of relief measures to support clients negatively impacted by Covid-19 in
the Netherlands and around the world, in addition to government measures in the various countries Find below the information on loans and advances subject to EBA-compliant legislative and
where Rabobank operates. non-legislative moratoria and on newly originated exposures subject to public guarantee schemes.

Pillar 3
Template 1: Information on Loans and Advances Subject to Non-Legislative Moratoria

Gross carrying amount Accumulated impairment, accumulated negative changes in fair value due to credit risk Gross carrying amount
Performing Non performing Performing Non performing
Of which: Of which:
Instruments Instruments
with with
significant significant
increase in increase in Inflows to
credit risk Of which: credit risk Of which: non-
since initial Unlikely to since initial Unlikely to performing exposures
Of which: recognition Of which: pay that are Of which: recognition Of which: pay that are
exposures but not exposures not past- exposures but not exposures not past-
with credit- with due or past- with credit- with due or past-
forbearance impaired forbearance due <= 90 forbearance impaired forbearance due <= 90
Amounts in Millions of Euros measures (Stage 2) measures days measures (Stage 2) measures days
Loans and advances subject to moratorium
of which: Households
of which: Collateralised by residential
immovable property
of which: Non-financial corporations
of which: Small and Medium-sized Enterprises
of which: Collateralised by commercial
immovable property
Template 2: Breakdown of Loans and Advances Subject to Legislative and Non-Legislative Moratoria by Residual Maturity of Moratoria
Gross carrying amount
Residual maturity of moratoria
Number of obligors Of which: Of which:
legislative moratoria expired <= 3 months > 3 months > 6 months > 9 months
> 1 year
<= 6 months <= 9 months <= 12 months
Loans and advances for which moratorium was offered 43,159 11,251
Loans and advances subject to moratorium (granted) 43,159 11,251 375 11,251
of which: Households
of which: Collateralised by residential immovable property
of which: Non-financial corporations 11,105 374 11,105
of which: Small and Medium-sized Enterprises 10,190 363 10,190
of which: Collateralised by commercial immovable property 9,399 0 9,399

Pillar 3
Template 3: Information on Newly Originated Loans and Advances Provided Under Newly Applicable Guarantee Schemes Introduced in Response to Covid-19 Crisis
Gross carrying amount Maximum amount of the guarantee that can be considered Gross carrying amount
Inflows to
of which: forborne Public guarantees received
Amounts in Millions of Euros non-performing exposures
Newly originated loans and advances subject to public guarantee schemes 768 188 654 36
of which: Households 0 0
of which: Collateralised by residential immovable property 0 0
of which: Non-financial corporations 766 188 652 36
of which: Small and Medium-sized Enterprises 345 16
of which: Collateralised by commercial immovable property 186 1

Pillar 3
8. Liquidity Risk
LIQ1 - Quantitative Information of LCR

Consolidated figures - Amounts in millions of euros Total unweighted value (average) Total weighted value (average)
EU 1a Quarter ending on (DD Month YYYY) 30-06-2021 30-06-2021
EU 1b Number of data points used in the calculation of averages 12 12
High-Quality Liquid Assets
1 Total high-quality liquid assets (HQLA), after application of haircuts in line with Article 9 of regulation (EU) 2015/61 136,132
Cash-Outflows
2 Retail deposits and deposits from small business customers, of which: 231,729 14,891
3 Stable deposits 128,165 6,408
4 Less stable deposits 68,886 7,629
5 Unsecured wholesale funding 133,872 75,050
6 Operational deposits (all counterparties) and deposits in networks of cooperative banks 11,441 2,860
7 Non-operational deposits (all counterparties) 113,647 63,406
8 Unsecured debt 8,784 8,784
9 Secured wholesale funding 1,349
10 Additional requirements 57,984 15,088
11 Outflows related to derivative exposures and other collateral requirements 8,431 8,431
12 Outflows related to loss of funding on debt products 0 0
13 Credit and liquidity facilities 49,553 6,658
14 Other contractual funding obligations 2,932 1,417
15 Other contingent funding obligations 48,100 4,275
16 Total Cash-Outflows 112,070
Cash-Inflows
17 Secured lending (e.g. reverse repos) 29,001 22,482
18 Inflows from fully performing exposures 18,711 13,488
19 Other cash inflows 2,455 2,107
EU-19a (Difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer
restrictions or which are denominated in non-convertible currencies) 146
EU-19b (Excess inflows from a related specialised credit institution) 0

Pillar 3
Consolidated figures - Amounts in millions of euros Total unweighted value (average) Total weighted value (average)
20 Total Cash-Inflows 50,166 37,931
EU-20a Fully exempt inflows 0 0
EU-20b Inflows subject to 90% cap 0 0
EU-20c Inflows subject to 75% cap 48,021 37,931
Total Adjusted Value
21 Liquidity buffer 136,132
22 Total net cash-outlfows 75,228
23 Liquidity Coverage Ratio (%) 182.33
LIQ2 - Net Stable Funding Ratio

Unweighted value by residual maturity
Amounts in Millions of Euros No maturity < 6 months 6 months to < 1yr ≥ 1yr Weighted value
Available stable funding (ASF) Items
1 Capital items and instruments 39,669 13,975 53,644
2 Own funds 39,669 8,515 48,184
3 Other capital instruments 5,460 5,460
4 Retail deposits 219,683 1,572 13,307 219,895
5 Stable deposits 148,608 573 3,856 145,578
6 Less stable deposits 71,075 999 9,450 74,317
7 Wholesale funding: 165,704 20,281 137,407 194,770
8 Operational deposits 10,799 5,400
9 Other wholesale funding 154,904 20,281 137,407 189,370
10 Interdependent liabilities
11 Other liabilities: 0 8,998 539 539
12 NSFR derivative liabilities 0
13 All other liabilities and capital instruments not included in the above categories 8,998 539 539
14 Total Available Stable Funding (ASF) 468,848
Required stable funding (RSF) Items
15 Total high-quality liquid assets (HQLA) 45
EU-15a Assets encumbered for more than 12m in cover pool
16 Deposits held at other financial institutions for operational purposes
17 Performing loans and securities: 94,098 23,262 338,190 321,138
18 Performing securities financing transactions with financial customerscollateralised by Level 1 HQLA subject to
0% haircut 3,968

Pillar 3
Unweighted value by residual maturity

Amounts in Millions of Euros No maturity < 6 months 6 months to < 1yr ≥ 1yr Weighted value
19 Performing securities financing transactions with financial customer collateralised by other assets and loans and
advances to financial institutions 42,374 1,517 3,655 7,004
20 Performing loans to non- financial corporate clients, loans to retail and small business customers, and loans to
sovereigns, and PSEs, of which: 44,424 19,404 130,353 142,790
21 With a risk weight of less than or equal to 35% under the Basel II Standardised Approach for credit risk 108 81 1,094 806
22 Performing residential mortgages, of which: 2,292 2,081 199,738 166,911
23 With a risk weight of less than or equal to 35% under the Basel II Standardised Approach for credit risk 1,553 1,484 188,895 157,026
24 Other loans and securities that are not in default and do not qualify as HQLA, including exchange-traded equities
and trade finance on-balance sheet products 1,040 260 4,444 4,434
25 Interdependent assets
26 Other assets: 19,081 25,712 28,877
27 Physical traded commodities 1 0
28 Assets posted as initial margin for derivative contracts and contributions to default funds of CCPs 1,848 1,570
29 NSFR derivative assets 977 977
30 NSFR derivative liabilities before deduction of variation margin posted 12,355 618
31 All other assets not included in the above categories 3,900 25,711 25,711
32 Off-balance sheet items 10,592 3,518 83,534 4,014
33 Total Required Stable Funding (RSF) 354,074
34 Net Stable Funding Ratio (%) 132.40
Rabobank's short term liquidity increased and remained well above the minimum regulatory
requirements due to a rise in accumulated High Quality Liquid Assets (HQLA) as a result of additional
TLTRO3 borrowings and an increase in retail funding.
Rabobank utilizes a diversified funding strategy in terms of products, geography, currency, and tenor
with retail client deposits being the largest funding source. Rabobank’s liquidity risk management
framework manages the liquidity risk at the individual currency level on a day-to-day basis and does
not allow Rabobank to have significant currency mismatches. The largest mismatch in foreign
currency exposure is USD, which is monitored with a separate USD LCR metric. Rabobank utilizes
mainly securities finance investments to manage part of the surplus LCR position.

Pillar 3
9. Securitization
SEC1 - Securitization Exposures in the Non-Trading Book

Institution acts as originator Institution acts as sponsor Institution acts as investor
Traditional Synthetic Traditional Traditional
STS Non-STS
of which of which of which
Amounts in Millions of Euros SRT SRT SRT Sub-total STS Non-STS Synthetic Sub-total STS Non-STS Synthetic Sub-total
Total exposures 408 1,520 42 2,128 2,128 4,055 528 3,208 3,736 214 4,491 4,706
Retail (total) 408 1,053 42 1,460 258 258 26 101 127
Residential Mortgages 408 1,053 42 1,460 26 18 44
Credit card receivables
Other retail exposures 258 258 83 83
Re-securitisation
Wholesale (total) 468 2,128 2,128 2,595 528 2,950 3,478 188 4,390 4,578
Loans to corporates 2,128 2,128 2,128
Commercial Mortgages
Leasing and receivables 468 468 528 2,950 3,478 188 4,390 4,578
Other wholesale exposures
Re-securitisation
SEC2 - Securitization Exposures in the Trading Book
As we do not have securitization exposures in the trading book, this template is not included in the
Pillar 3 report.

Pillar 3
SEC3 - Securitization Exposures in the Non-Trading Book and Associated Regulatory Capital Requirements- Institution Acting as Originator or as Sponsor
Exposure values (by RW bands/deductions) Exposure values (by regulatory approach) RWEA (by regulatory approach) Capital charge after cap
SEC-ERBA SEC-ERBA SEC-ERBA
>20% to >50% to >100% to 1250% RW/ (including 1250%/ (including 1250%/ (including 1250%/
Amounts in Millions of Euros ≤20% RW 50% RW 100% RW <1250% RW deductions SEC-IRBA IAA) SEC-SA deductions SEC-IRBA IAA) SEC-SA deductions SEC-IRBA IAA) SEC-SA deductions
Total exposures 2,958 2,636 311 21 2,494 3,023 388 21 529 786 80 42 63 6
Traditional transactions 2,163 1,303 311 0 367 3,023 388 0 61 786 80 5 63 6
Securitisation 2,163 1,303 311 0 367 3,023 388 0 61 786 80 5 63 6
Retail underlying 300 0 42 258 0 6 52 0 4
Of which STS
Wholesale 1,863 1,303 311 0 325 2,765 388 0 54 734 80 4 59 6
Of which STS 315 213 0 528 0 117 9
Re-securitisation
Synthetic transactions 795 1,333 21 2,128 21 468 37
Securitisation 795 1,333 21 2,128 21 468 37
Retail underlying
Wholesale 795 1,333 21 2,128 21 468 37
Re-securitisation

Pillar 3
SEC4 - Securitization Exposures in the Non-Trading Book and Associated Regulatory Capital Requirements- Institution Acting as Investor
Exposure values (by RW bands/deductions) Exposure values (by regulatory approach) RWEA (by regulatory approach) Capital charge after cap
SEC-ERBA SEC-ERBA SEC-ERBA
>20% to >50% to >100% to 1250% RW/ (including 1250%/ (including 1250%/ (including 1250%/
Amounts in Millions of Euros ≤20% RW 50% RW 100% RW <1250% RW deductions SEC-IRBA IAA) SEC-SA deductions SEC-IRBA IAA) SEC-SA deductions SEC-IRBA IAA) SEC-SA deductions
Total exposures 2,857 1,679 166 4 1 3,510 44 1,151 1 698 16 334 56 1 27
Traditional transactions 2,857 1,679 166 4 1 3,510 44 1,151 1 698 16 334 56 1 27
Securitisation 2,857 1,679 166 4 1 3,510 44 1,151 1 698 16 334 56 1 27
Retail underlying 26 98 4 0 44 83 0 16 32 1 3
Of which STS 26 0 26 0 3 0
Wholesale 2,830 1,582 166 1 3,510 1,067 1 698 302 56 24
Of which STS 188 0 188 0 56 5
Re-securitisation
Synthetic transactions
Securitisation
Retail underlying
Wholesale
Re-securitisation
SEC5 - Exposures Securitized by the Institution- Exposures in Default and Specific Credit Risk Adjustments
Exposures securitised by the institution - Institution acts as originator or as sponsor
Total outstanding nominal amount
Amounts in Millions of Euros Of which exposures in default Total amount of specific credit risk adjustments made during the period
Total exposures 72,761 360 -28
Retail (total) 68,684 307 -18
Residential Mortgages 68,684 307 -18
Credit card receivables
Other retail exposures 0 0 0
Re-securitisation
Wholesale (total) 4,076 53 -10
Loans to corporates 2,268 10 0
Commercial Mortgages
Leasing and receivables 1,808 43 -10
Other wholesale exposures
Re-securitisation

Pillar 3
10. Market Risk
Risk-Weighted Assets (RWA) under the Standardized Approach increased from EUR 563 million at
The tables below provide an overview of risk weighted assets related to market risk for Rabobank year-end 2020 to EUR 3.2 billion at 30 June , 2021. Commodity risk increased as a result of additional
Group under the Standardized and Internal Model Approaches. deal volumes in energy products. FX risk includes an open currency position above the threshold,
resulting in additional RWA.
MR1 - Market Risk under the Standardized Approach

Amounts in Millions of Euros RWEAs
Outright products
Interest rate risk (general and specific)
Equity risk (general and specific)
Foreign exchange risk 1,066
Commodity risk 2,095
Options
Simplified approach
Delta-plus approach
Scenario approach
Securitisation (specific risk)
Total 3,160

Pillar 3
MR2-A - Market Risk Under the Internal Model Approach (IMA)

Amounts in Millions of Euros RWAs Own funds requirements
VaR (higher of values a and b) 387 31
Previous day’s VaR (VaRt-1) 9
Multiplication factor (mc) x average of previous 60 working days (VaRavg) 31
SVaR (higher of values a and b) 2,213 177
Latest available SVaR (SVaRt-1)) 59
Multiplication factor (ms) x average of previous 60 working days (sVaRavg) 177
IRC (higher of values a and b) 760 61
Most recent IRC measure 60
12 weeks average IRC measure 61
Comprehensive risk measure (higher of values a, b and c) 0 0
Most recent risk measure of comprehensive risk measure 0
12 weeks average of comprehensive risk measure 0
Comprehensive risk measure Floor 0
Other 0 0
Total 3,360 269
MR2-B - RWA Flow Statements of Market Risk Exposures Under the IMA
Comprehensive Total own
Amounts in Millions of Euros VaR SVaR IRC risk measure Other Total RWAs funds requirements
RWAs at previous period end 1,240 1,596 773 0 0 3,609 289
Regulatory adjustment -1,153 -1,045 0 0 0 -2,198 -176
RWAs at the previous quarter-end (end of the day) 87 551 773 0 0 1,411 113
Movement in risk levels 22 185 -21 0 0 186 15
Model updates/changes 0 0 0 0 0 0 0
Methodology and policy 0 0 0 0 0 0 0
Acquisitions and disposals 0 0 0 0 0 0 0
Foreign exchange movements 1 0 0 0 0 1 0
Other 0 0 0 0 0 0 0
RWAs at the end of the reporting period (end of the day) 110 736 752 0 0 1,598 128
Regulatory adjustment 278 1,476 8 0 0 1,762 141
RWAs at the end of the reporting period 387 2,213 760 0 0 3,360 269

Pillar 3
The regulatory capital calculated under the Internal Model Approach decreased from No backtesting outliers were observed between June 30, 2020 and June 30, 2021.
EUR 289 million in March, 2021, to EUR 269 million in June, 2021. The decrease can be attributed to
a decrease in VaR as the Covid-19 related historical stress scenarios are no longer in the observation
window that is used for historical simulation. SVaR showed an increase that can be explained by MR4 Comparison of VaR estimates with gains/losses
position changes for interest rate products. in millions of euros
All figures presented in the tables include the temporary 30% add-on required by the regulator 20
on incremental risk charge (IRC) to compensate for model shortcomings identified during the
TRIM exercise.
10
MR3 - IMA Values for Trading Portfolios

0
Amounts in Millions of Euros
VaR (10 day 99%)
Maximum value 41
-10
Average value 20
Minimum value 6
Period end 9
-20
SVaR (10 day 99%)
2020 July Aug Sep Oct Nov Dec Jan Feb Mar Apr May June 2021
Maximum value 63
Average value 47
Minimum value 34
Actual P&L Hypothetical P&L VatR 99% 1d
Period end 59
IRC (99.9%)
Maximum value 65
Average value 60
Minimum value 54
Period end 60
Comprehensive risk measure (99.9%)
Maximum value 0
Average value 0
Minimum value 0
Period end 0

Pillar 3
11. Forward Looking Statement
and business conditions in the Netherlands and internationally; inflation, deflation, interest rates
This document contains certain forward-looking statements with respect to the business, strategy and policies of the Dutch Central Bank, the European Central Bank and other G8 central banks;
and plans of Rabobank and its current goals and expectations relating to its future financial fluctuations in exchange rates, stock markets and currencies; the ability to access sufficient
condition and performance. Statements that are not historical facts, including statements about funding to meet the Group’s liquidity needs; changes to the Group’s credit ratings; the ability to
Rabobank or its directors’ and/or management’s beliefs and expectations, are forward-looking derive cost savings and other benefits; changes in customer preferences; changes to borrower
statements. Words such as “believes”, “anticipates”, “estimates”, “expects”, “intends”, “aims”, or counterparty credit quality; instability in the global financial markets, including Eurozone
“potential”, “will”, “would”, “could”, “considered”, “likely”, “estimate” and variations of these words and instability and the impact of any sovereign credit rating downgrade or other sovereign financial
similar future or conditional expressions are intended to identify forward-looking statements but are issues; technological changes and risks to cyber security; natural and other disasters, adverse
not the exclusive means of identifying such statements. By their nature, forward-looking statements weather and similar contingencies outside the Group’s control; inadequate or failed internal
involve risk and uncertainty because they relate to events and depend upon circumstances that will or external processes, people and systems; acts of war, other acts of hostility, terrorist acts
or may occur in the future. and responses to those acts, geopolitical, pandemic or other such events; changes in laws,
regulations, taxation, accounting standards or practices; regulatory capital or liquidity requirements
Examples of such forward-looking statements include, but are not limited to: projections or and similar contingencies outside the Group’s control; the policies and actions of governmental
expectations of the Group’s future financial position including profit attributable to provisions, or regulatory authorities in the Netherlands, the European Union (EU), the US or elsewhere,
economic profit, dividends, capital structure, expenditures or any other financial items or ratios; including the implementation of key legislation and regulation; the implementation of the draft
statements of plans, objectives or goals of the Group or its management including certain synergy EU crisis management framework directive and banking reform, following the recommendations
targets; statements about the future business and economic environments in the Netherlands and made by the Independent Commission on Banking; the ability to attract and retain senior
elsewhere including, but not limited to, future trends in interest rates, foreign exchange rates, management and other employees; actions or omissions by the Group’s directors, management or
credit and equity market levels and demographic developments; statements about competition, employees including industrial action; the extent of any future impairment charges or write-downs
regulation, disposals and consolidation or technological developments in the financial services caused by, but not limited to, depressed asset valuations, market disruptions and illiquid markets;
industry, and statements of assumptions underlying such statements. market-related trends and developments; exposure to regulatory or competition scrutiny, legal
proceedings, regulatory or competition investigations or complaints; changes in competition
Factors that could cause actual business, strategy, plans and/or results to differ materially from and pricing environments; the inability to hedge certain risks economically; the adequacy of loss
the plans, objectives, expectations, estimates and intentions expressed in such forward-looking reserves; the actions of competitors, including nonbank financial services and lending companies,
statements made by the Group or on its behalf include, but are not limited to: general economic and the success of the Group in managing the risks of the foregoing.

Pillar 3
Rabobank may also make or disclose written and/or oral forward-looking statements in reports
filed with or furnished to the US Securities and Exchange Commission, Rabobank annual reviews,
half-year announcements, proxy statements, offering circulars, prospectuses, press releases and
other written materials, and in oral statements made by the directors, officers or employees of
Rabobank to third parties, including financial analysts. Except as required by any applicable law or
regulation, the forward-looking statements contained in this document are made as of the date
hereof, and Rabobank expressly disclaims any obligation or undertaking to release publicly any
updates or revisions to any forward looking statements contained in this document to reflect any
change in Rabobank’s expectations with regard thereto or any change in events, conditions or
circumstances on which any such statement is based.

Pillar 3
12. Management Attestation
Rabobank prepares the Pillar 3 disclosures in accordance with the Capital Requirements Regulations
2013/575/EU (CRR) (Part Eight), the Capital Requirements Directive 2013/36/EU (CRD) and related
legislation. To comply with these disclosure requirements Rabobank has adopted formal policies
and internal processes, systems and controls. Rabobank has made the disclosures required under
Part Eight of the CRR and the related legislation in accordance with the formal policies and internal
processes, systems and controls (as mentioned in article 431 CRR).
August 10, 2021
Els de Groot, CRO
Bas Brouwers, CFO

Pillar 3 Report 2021 - 931174233

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Pillar 3 Report

The cooperative Rabobank

June 2021 - Pillar 3 3

This document presents Rabobank's consolidated Capital Adequacy and

The LEI code of Coöperatieve Rabobank U.A. (Rabobank) is DG3RU1DBUFHT4ZF9WN62.

June 2021 - Pillar 3 4

3. Key Metrics of Risk-Weighted Exposure Amounts

EU KM1 - Key Metrics Template

June 2021 - Pillar 3 5

Amounts in Millions of Euros 30-06-2021 31-12-2020

June 2021 - Pillar 3 6

IFRS9 - Available Capital

Risk-weighted assets (amounts)

June 2021 - Pillar 3 7

EU OV1 - Overview of Risk-Weighted Exposure Amounts

June 2021 - Pillar 3 8

June 2021 - Pillar 3 9

EU CC1 - Composition of Regulatory Own Funds

June 2021 - Pillar 3 10

Amount at Source based on reference

June 2021 - Pillar 3 11

Amount at Source based on reference

June 2021 - Pillar 3 12

Amount at Source based on reference

June 2021 - Pillar 3 13

Carrying values as reported in

Carrying values as reported in Amounts in Millions of Euros 30-06-2021 Reference

June 2021 - Pillar 3 14

5. Countercyclical Capital Buffers

Relevant credit exposures –

Securitisation Relevant credit

June 2021 - Pillar 3 15

EU CCyB2 - Amount of Institution-Specific Countercyclical Capital Buffer

June 2021 - Pillar 3 16

EU LR1 - Summary Reconciliation of Accounting Assets and Leverage Ratio Exposures

June 2021 - Pillar 3 17

EU LR2 - Leverage Ratio Common Disclosure

June 2021 - Pillar 3 18

CRR leverage ratio exposures

June 2021 - Pillar 3 19

June 2021 - Pillar 3 20

June 2021 - Pillar 3 21

7.1 Credit Risk Quality

EU CR1 - Performing and Non-Performing Exposures and Related Provisions

June 2021 - Pillar 3 22

CR2 - Changes in the Stock of Non-Performing Loans and Advances

June 2021 - Pillar 3 23

CQ1: Credit Quality of Forborne Exposures

CQ4 - Quality of Non-Performing Exposures by Geography1

June 2021 - Pillar 3 24

Gross carrying/Nominal amount Accumulated negative

The majority of the on-balance exposures is originated in the Netherlands.

June 2021 - Pillar 3 25

CQ5 - Credit Quality of Loans and Advances to Non-Financial Corporations by Industry

June 2021 - Pillar 3 26

CQ7 - Collateral Obtained by Taking Possession and Execution Processes

CR3 - Disclosure of the Use of Credit Risk Mitigation Techniques

June 2021 - Pillar 3 27

7.2 The Use of the IRB Approach to Credit Risk

CR6 - Credit Risk Exposure by Exposure Class and PD Range - A-IRB

June 2021 - Pillar 3 28

Exposure Risk weighted Density of risk