Inhoudsopgave Bestuursverslag
Figure 7: Currency split HQLA and
Level 1 assets issued by sovereigns.
Currency split HQLA
at year-end 2015
Euro 50%
US dollar 24%
Pound sterling 11%
I Australian dollar 2%
Other 13%
Level 1 assets issued by sovereigns
at year-end 2015
I The Netherlands 75%
United States 12%
France 6%
United Kingdom 3%
Germany 1%
Other 3%
Corporate governance Jaarrekening Rabobank Groep Jaarrekening Rabobank Pillar 3
Table 56: HQLA liquidity buffer
HQLA liquidity buffer
Level 1 assets
Cash and withdrawable central bank reserves
Securities issued or guaranteed by sovereigns, central banks and
multilateral development banks
Total stock of Level 1 assets
31 December
2015
31 December
2014
amount/market amount/market
value value
61,447
39,933
33,900 36,432
95,347 76,365
Level 2a assets
Securities issued or guaranteed by sovereigns, central banks and
multilateral development banks
Non-financial corporate bonds, rated AA- or better
Covered bonds, not self-issued, rated AA- or better
Total stock of Level 2a assets
1,553
128
137
1,817
2,231
107
129
2,466
Level 2b assets
Residential mortgage-backed securities (RMBS), rated AAor better
Non-financial corporate bonds, rated BBB-to A+
Total stock of Level 2b assets
252
308
560
542
412
955
Total stock of HQLA
97,724
79,786
Central bank eligible Retained RMBS
Other central bank eligible assets
Other securities and equity
Total stock
43,789
6,312
3,235
151,061
43,184
6,769
7,122
136,861
62% of the HQLA liquidity buffer consists of deposits at central banks, mainly held
at the DNB, the Federal Reserve Bank of New York, the Swiss National Bank and the
Bank of England. The most liquid category of the buffer (Level 1 assets) constitutes
approximately 98% of the HQLA buffer (and 63% of the total buffer).The HQLA buffer
reported contains unencumbered assets and is managed by theTreasury department.
In addition to this HQLA buffer, a significant amount of eligible, retained RMBS notes
secured by residential mortgages issued by Rabobank, are held as a buffer for liquidity
purposes. Furthermore, Rabobank holds a portfolio of equities obtained by short
term secured funding transactions, mostly equity, (29 billion) that can be liquidated.
This portfolio is not included inTable 56: HQLA liquidity buffer.
Funding strategy
The funding strategy strives for diversification of the funding in products, maturities
and markets. In the current situation Rabobank is, more than other banks, dependent
on the financial markets and it aims to reduce this dependency. For this purpose,
Rabobank seeks to reduce its wholesale funding for the group below EUR 150 billion
by 2020.Table 57 shows the various funding sources.The domestic retail banking
business is to a large extent funded by funds deposited by retail customers. In 2015,
funds entrusted by customers of the domestic retail banking business remained stable.
The increase in non-retail funds entrusted was mainly due to some short term deposits
from public sector entities, financial institutions and large corporates.This, and
a decrease in assets, contributed to a reduction of the wholesale funding.
374 Rabobank Jaarverslag 2015
