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The new Basel II capital accord applies to Rabobank Group since 1 January 2008. The introduction of Basel II has a favourable effect on Rabobank Group's capital requirement.
The second pillar of Basel II stipulates that banks should use an internal risk measure for determining their internal capital requirement, not only for the risk types governed by the external capital requirement, but also for other material risk types.
Rabobank Group uses Risk Adjusted Return On Capital (RAROC) as a performance measure for its financial management.
Ensuring that risks are acceptable and are dealt with sensibly is an important part of banking. Rabobank Group pursues a prudent risk policy that produces a moderate risk profile.
In publishing this Interim Report, Rabobank Group has given due regard to the recommendations of Financial Stability Forum (FSF).
Although conditions on the money market have not yet normalised, Rabobank Group has not experienced any problems at all in financing its balance sheet.
As mentioned, an important element of the bank's liquidity risk management involves maintaining a large portfolio of investments that are liquid and/or eligible for refinancing with the central bank and can be used to generate cash rapidly when necessary.
As mentioned previously, a few structures (Aquinas, Monument Garden) were wound down during the first quarter of 2008, also due to the introduction of the new Basel II rules at Rabobank Group with effect from 1 January 2008.
Rabobank has no direct exposure to monoline insurers. But in some cases monoline insurers are counterparties in credit default swaps used to hedge the credit risk attached to certain investments.
The leveraged finance portfolio of Rabobank International amounted to EUR 3.5 billion at 30 June 2008.