4 I am confident that R&R will be well prepared by the time Basel III c ec 9 [9 What is your view on the Basel III proposals and, specifically, on liquidity reforms? (9 introducing the net stable funding ratio (NSFR) and leverage ratio mean for Rabobank? How should/will Rl apply the liquidity requirements as described in Basel III? 19 holding government bonds, taking into account the sovereign debt crisis? What are the alternatives? Basel III is the third edition of Basel banking regulations since 1988. History has shown that Basel I and II were not watertight. Will Basel III be any different? A "I don't think that a regulation - by definition - can be watertight, so Basel III won't be either. Flowever, I do believe that it'll be a step forward, and looking at the amendments released in July and September, it'll be better than Basel II. Flaving said that, I don't think it will eliminate the possibility of a systemic crisis. Risk culture within the bank, strategy, risk appetite, governance and holistic risk management are at least as important as the regulatory ratios banks need to maintain. Regulators look in principle at these issues under Pillar II, but I believe that this should get increased focus." 9 A "I studied econometrics at university, which involves developing and applying quantitative or statistical methods to the study of economie principles. I joined Rabobank in January 2009 as Global Head of Risk Management Rl. The responsibility involves credit risk, market risk and asset liability management risk in all Rl business lines. Prior to that, I spent 17 rewarding years at ABN AMRO, where I worked in a number of different functions, including market risk management, structured finance and, ultimately, heading balance sheet management of the Group. I'm 42 years old, married with two daughters, and when I'm not spending time with my family, I enjoy playing golf and exploring wine regions." A "From a liquidity angle, until Basel III came out there was no global Standard on liquidity solutions, so clearly this is a very good development. The liquidity coverage ratio is similar to a ratio already in place at the Dutch Central Bank, so that's not particularly an issue for us. The main question mark we had about the original Basel III proposals was over the net stable funding ratio (NSFR).This NSFR ratio should ensure that the liquidity which can be generated by the assets is sufficiënt to absorb assumed outflow of liabilities over a one year horizon. Our concern was primarily about the underlying and very stringent assumptions used to calculate the NSFR ratio. The requirement to comply with such a ratio would have affected the way the bank was able to carry out its primary functions. Given the impact, it is unlikely that the ratios will be implemented as proposed but we do anticipate an NSFR ratio in some form. Clearly the liquidity reforms will give much more focus on the liability side of the balance sheet, where stable funding sources - such as saving accounts or long term issuance - will become increasingly important." A "We're particularly pleased that concerns voiced by the banking sector have been taken into account. The NSFR ratio will be revised and the proposal won't be implemented before 2018. Ifthe proposals had remained in their original form, Rabobank would have been forced to make some strategie choices about how best to meet the targets the Basel Committee had set. The softening of the proposals have made it easierfor not only Rabobank, but the entire sector, to take time and adapt more gradually to the new requirements." A "We already have a liquidity framework and governance model in place that surrounds our liquidity requirements, and over the last few years we've put much more focus on increasing awareness on both the issue and the cost of liquidity. The main objectives were to ensure we priced the liquidity properly in our loans to clients, centrally manage our liquidity profile and create transparency of results. Essentially, that step has now been taken and implemented within Wholesale, while in Rural Retail we still have a way to go. The MT Rural Retail has this clearly on the agenda and an ALM Rural Retail Working Group has been established, in which we are making strong progress, and I am confident that R&R will be well prepared by the time Basel III comes into effect." A "Most of our current liquidity portfolio is made up of government bonds, although we only tend to invest in very secure countries, such as the Netherlands, Germany, and so on. Because a liquidity portfolio needs to be relied on in an extreme situation - for example when there's a crisis and you could conceivably have a significant outflow of funds over a short time period - the quality and liquidity of the portfolio has to be extremely high. Apart from government bonds, there are only a few alternatives. One is very short term high quality investments like repo/securities lending, another option is to place your money with a Central Bank, although this is generally unattractive because of the poor interest rates on offer." A "I sleep soundly and very few things keep me awake at night! In fact, what I particularly enjoy about being part of Rabobank is the opportunity l've been given to work with professional colleagues, to continue developing the risk organisation, and to help take the risk management function forward to an even higher level."* ISSUE 25 Rl WORLD

Rabobank Bronnenarchief

blad 'RI World' (EN) | 2010 | | pagina 17