Total buffer composition
(including retained RMBS)
at year-end 2014
V
Total stock of Level 1 assets
Total stock of Level 2a assets
Total stock of Level 2b assets
Eligible Retained RMBS
Currency split HQLA
at year-end 2014
62%
1%
35%
~^v"~
EURO
USD
Other
50%
HQLA buffer
in millions of euros
31-Dec-14
31-Dec-13
Amount/
market value
Amount/
market value
Level 1 assets
Coins and banknotes
726
954
Central bank reserves that can be drawn in times of stress
39,207
38,675
Securities issued or guaranteed by sovereigns, central banks en mdb's
36,432
42,167
Total stock of Level 1 assets
76,365
81,796
Level 2A assets
Securities issued or guaranteed by sovereigns, central banks en mdb's
2,231
1,122
Non-financial corporate bonds, rated AA- or better
107
133
Covered bonds, not self-issued, rated AA- or better
129
205
Total stock of Level 2A assets
2,466
1,461
Level 2B assets
Residential mortgage-backed securities (RMBS), rated AAor better
542
1,048
Non-financial corporate bonds, rated BBB- to A+
412
191
Total stock of Level 2B assets
955
1,239
Total stock of HQLA
79,786
84,496
Eligible Retained RMBS
43,184
43,253
Liquid Equity
32,828
23,292
Other securities, equity and gold
13,891
24,015
Of the HQLA buffer 49% consists of deposits at central banks, mainly held at the ECB, the Bank of
England (BOE) and the Federal Reserve (FED). The best category of buffer assets (Level 1 assets)
constitutes approximately 96% of the HQLA buffer (and 62% of the total buffer). The HQLA buffer
reported unencumbered and is managed by the Treasury department. In addition to this HQLA
buffer, a significant amount of eligible, retained RMBS notes are held as a buffer for liquidity
purposes, secured by residential mortgages issued by Rabobank. Furthermore Rabobank holds
a portfolio of equities mainly obtained by short term equity finance that can be liquidated,
although this does not qualify as part of the HQLA (level 2B) buffer.
EDTF 21
Level 1 assets issued by sovereigns
at year-end 2014
Excellent access to funding
The domestic retail banking business is to a large extent funded by funds deposited by retail
customers. In 2014, funds entrusted by customers of the domestic retail banking business
declined, mainly due to prepayments on residential mortgage loans. The increase in funds
entrusted by international businesses was mainly due to some short term deposits from public
sector entities and large corporates.This, and a decrease in assets, contributed to a reduction in
the dependency on wholesale funding.
Netherlands
France
United States
Germany
Other
100 Annual Report 2014 Rabobank Group
