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Benchmark Recovery Plan

Drafted pursuant to Article 28(2) of Regulation (EU) 2016/1011 and equivalent Article 28(2) of the UK Benchmark Regulation.

1. Introduction

The European Benchmark Regulation (EU) 2016/1011 of the European Parliament and of the Council (“EU BMR”) and UK Benchmark Regulation (“UK BMR”) introduce a common framework to ensure the accuracy and integrity of indices used as benchmarks in financial instruments and financial contracts or to measure the performance of investment funds in the European Union and UK. Under EU BMR Article 28(2) and equivalent Article 28(2) for UK BMR, supervised entities, such as Coöperatieve Rabobank U.A. (“CRUA”) and its supervised legal entities which use a benchmark1, must:

    produce and maintain robust written plans setting out the actions they would take in the event that a benchmark materially changes or ceases to be provided; where feasible and appropriate, such plans shall nominate one or several alternative benchmarks that could be referenced to substitute the benchmarks no longer provided, indicating why these would be suitable; reflect these plans in the contractual relationships with clients.

This document constitutes the robust written plan referred to in EU BMR Article 28(2) and UK BMR Article 28(2) (“Robust Written Plan”), and together with the Annex drafted pursuant to article 118-bis into Legislative Decree No. 385 of September 1, 1993 (“Italian Banking Act”) for Italian clients (“Italian Annex”), is designed to ensure full compliance with these requirements. The Benchmark Recovery Plan of CRUA and its legal entities will be used in situations where a benchmark materially changes or ceases to exist. This Robust Written Plan will be published on Rabobank.com and Rabobank.nl. The plan only applies insofar as no robust written plan, for example in the form of any fallback language, at the time of publication of this plan or thereafter, is available in any relevant product (legal) documentation such as, for example and without limitation, (master) agreements, (base) prospectuses, final terms, confirmations and definitions.

2. Benchmark Event monitoring

Possible events and triggers that could put the Benchmark Recovery Plan in motion include:

    a permanent discontinuation of a benchmark. the benchmark becoming unrepresentative and/or having been appointed as such by its administrator and/or supervisor. any authorisation or registration in any official register in respect of the relevant benchmark or the administrator of the benchmark (or in reference to third country benchmarks, the benchmark itself) has not been obtained, or has or will be withdrawn by the relevant competent authority. In each case with the effect that it is not permitted under any applicable law or regulation to use the relevant benchmark. the administrator is insolvent. a material change to the definition, methodology or formula.

These (and/or similar) events will be referenced as a ‘Benchmark Event’ throughout this plan. CRUA monitors the benchmarks used in its relations with customers to identify any (potential) Benchmark Event and, in the event that a Benchmark Event is detected, the procedure for implementing this Plan is initiated.

3. Benchmark Event remediation

In case of a Benchmark Event, CRUA will take the following approach. As a first step the materiality of the impact will be determined after which a further, detailed quantitative impact assessment may be executed, if considered necessary. This could for example include:

    a quantitative impact analysis on notional amounts, exposures and number of impacted contracts, clients/counterparties and trades; a review of affected agreements, products and transactions and checking whether the conditions set out in the existing contractual arrangements already contain alternative benchmarks and to what extent a benchmark event frustrates or otherwise breaches the terms of any financial contract or financial instrument; a qualitative analysis by reviewing if there is any impact on systems, models and processes.

Article 28 (2) EU BMR and equivalent article 28(2) for UK BMR states that: “Where feasible and appropriate, such plans shall nominate one or several alternative benchmarks that could be referenced to substitute the benchmarks no longer provided, indicating why such benchmarks would be suitable alternatives”.

The overall scope of the steps outlined above is to determine, if feasible and appropriate, a suitable and appropriate alternative benchmark or any other appropriate contingency measures for existing financial contracts, financial instruments and investment funds referencing such benchmark. It is expected that for important benchmarks the market, for example a Central Bank or working group or calculation agent, will nominate an alternative benchmark which CRUA expects to include in new contractual agreements, where appropriate and relevant. In addition, CRUA may take into account the following factors, without limitation, when assessing alternative benchmarks or indices:

    suitability in measuring the underlying interest; only using benchmarks registered in the ESMA register; ISDA, ICMA or LMA guidance and definitions if possible; market practice; capable of implementation without undue delay; compliant with regulatory requirements.

4. Information to customers

CRUA shall inform customers who entered into contracts indexed to the benchmark rate subject to the Benchmark Event, in order to communicate the replacement benchmark rate that will be applied to the relevant contract(s), the applicable effective date, as well as the possibility of exercising the right of withdrawal and the procedures for doing so, in accordance with the provisions of the underlying agreement(s).

5. Revision of the benchmark recovery plan

CRUA monitors the validity of this plan. In the event of regulatory changes, events related to market conditions, organizational changes or business operations, that materially impact the plan, CRUA shall update this plan accordingly. Furthermore, the plan shall be reviewed on a yearly basis and updated accordingly.

1 BMR art. 3(3): ‘benchmark’ means any index by reference to which the amount payable under a financial instrument or a financial contract, or the value of a financial instrument, is determined, or an index that is used to measure the performance of an investment fund with the purpose of tracking the return of such index or of defining the asset allocation of a portfolio or of computing the performance fees.

BMR art 3(1): ‘index’ means any figure:

a) that is published or made available to the public;

b) that is regularly determined:

(i) entirely or partially by the application of a formula or any other method of calculation, or by an assessment; and

(ii) on the basis of the value of one or more underlying assets or prices, including estimated prices, actual or estimated interest rates, quotes and committed quotes, or other values or surveys;