Liquidity buffer, after DNB stress haircuts
Composition of liquidity buffer after stress haircuts
The third pillar in limiting liquidity risk is a prudent funding policy. This aims to provide for
the funding requirements of group entities at acceptable costs. The diversification of funding
sources and currencies, the flexibility of the funding instruments used and an active investor
relations function play an important part in this respect. This helps to ensure that Rabobank
Group does not become excessively dependent on any single source of funding.
Comfortable liquidity position
EDTF recommendation 18 The liquidity position remained robust in 2013. Rabobank has developed several methods to
measure and manage liquidity risk, including a method for calculating the survival period.
This is the period that the liquidity buffer will hold up under extreme market-specific or
idiosyncratic stress. In all the internally used scenarios, Rabobank more than satisfies the
determined minimum survival period of three months. Moreover, from the perspective of the
Dutch Central Bank's guidelines on liquidity, our liquidity position qualifies as comfortable,
and our liquidity buffer as sizable. The available liquidity exceeding the requirement by 40%
on average.
The liquidity buffer is EUR 121 (157) billion.The decrease (in absolute terms) is a consequence of
a deliberate reduction in professional funding, particularly in the first half of the year, as a result
of which a lower buffer is appropriate. The position, measured in terms of the LCR and NSFR for
instance, remains comfortably above the (future) limits.
In this table central bank and government
bonds is a basket of central bank
and government securities including
public sector entities and multilateral
development banks.
in billions of euro's
31-Dec-13
31-Dec-12
Central bank reserves (excluding mandatory)
38.7
63.3
Bonds:
Centrale bank and government:*
39.0
44.5
Netherlands
16.8
17.4
France
4.9
4.7
Germany
3.4
4.1
Other
13.8
18.3
Covered bonds
0.3
0.6
External ABS
3.0
4.4
Retained RMBS
34.6
36.5
Other bonds
5.8
7.4
Liquidity buffer
121.3
156.6
at year-end 2013, in c
2
Central bank reserves
(excluding mandatory)
Central bank and
government
Internal RMBS
External ABS
Other bonds
Of the liquidity buffer, 32% consists of central bank credit
balances, held mainly at the ECB and FED, 32% of government
debt securities and 36% of other financial assets, mainly securities
held by Rabobank itself for liquidity purposes with residential
mortgages provided by Rabobank as collateral. In addition to
this liquidity buffer, there is a significant portfolio of short-term
(covered) loans to professional parties.
77 High level of creditworthiness: risk management
