-
Inhoudsopgave
Voorwoord
Bestuursverslag
Corporate governance
Consolidated Financial Statements
Company Financial Statements
Pillar 3
Table 51: Liquidity buffer.
Liquidity buffer
1 Weighted using LCR haircuts
2 Weighted using CB haircuts
in millions of euros
31-Dec-2016
31-Dec-2015
Liquidity value
Liquidity value
Level 1 assets
Cash and central bank reserves (after deduction of average minimum
reserve requirement)
75,399
61,447
Securities issued or guaranteed by sovereigns, central banks and
multilateral development banks
26,297
33,900
Total holdings of Level 1 assets
101,696
95,347
Level 2a assets
Securities issued or guaranteed by sovereigns, central banks and
multilateral development banks
755
1,320
Non-financial corporate bonds, rated AA- or better
61
108
Covered bonds, not self-issued, rated AA- or better
116
Total holdings of Level 2a assets
816
1,545
Level 2b assets
Residential mortgage-backed securities (RMBS), rated AA or better
64
189
Non-financial corporate bonds, rated BBB-to A+
128
154
Total holdings of Level 2b assets
192
560
Total HQLA buffer1
102,703
97,452
Central banks' eligible self-kept RMBS's2
38,286
40,803
Total liquidity buffer
140,989
138,255
Figure 8: Currency split HQLA and Level 1 assets issued by sovereigns.
Figure 9:Total buffer composition.
Currency split HQLA
at year-end 2016
Level 1 assets issued by sovereigns
at year-end 2016
Total buffer composition
(including retained RMBS)
at year-end 2016
"\A"
"\A"
"\A"
Euro
US dollar
Pound sterling
Swiss franc
Australian dollar
Other
Netherlands
United States
France
Germany
Other
76%
11%
Total holdings of Level 1 assets 72%
Total holdings of Level 2a assets 1
Total holdings of Level 2b assets 0%
Central banks'eligible
self-kept RMBS's 27%
360
Rabobank Jaarverslag 2016
