Contents Management report Corporate governance Consolidated financial statements Financial statements Pillar 3
HQLA liquidity buffer
in millions of euros
31-12-2015
31-12-2014
principal/
market value
principal/
market value
Level 1 assets
Cash and central bank reserves (after deduction of statutory reserves)
61,447
39,933
Assets issued or guaranteed by government agencies, central banks and multilateral development banks
33,900
36,432
Total holdings of Level 1 assets
95,347
76,365
Level 2a assets
Assets issued or guaranteed by government agencies, central banks and multilateral development banks
1,553
2,231
Non-financial corporate bonds, rated AA- or better
128
107
Covered bonds, not self-issued, rated AA- or better
137
129
Total holdings of Level 2a assets
1,817
2,466
Level 2b assets
Residential mortgage-backed securities (RMBS), rated AA or better
252
542
Non-financial corporate bonds, rated BBB- to A+
308
412
Total holdings of Level 2b assets
560
955
Total HQLA holdings
97,724
79,786
Central banks' eligible self-kept RMBS's
43,789
43,184
Central banks' other eligible assets
6,312
6,769
Other assets and illiquid shares
3,235
7,122
Total assets
151,061
136,861
Of the HQLA buffer 62% consists of deposits at central banks,
mainly held at the DNB, the Bank of England, the Swiss National
Bank and the Federal Reserve Bank of New York. The most
liquid category of buffer assets (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 are held as a buffer for liquidity purposes,
secured by residential mortgages issued by Rabobank.
In total, the liquidity buffer is EUR 151 (2014: EUR 137) billion.
In addition, there is a portfolio of EUR 29 billion short term
loans, mainly collateralized by stocks, which can be made liquid
in the short term.This portfolio has not been included in the
table 'HQLA liquidity buffer'.
Currency split HQLA
at year-end 2015
Euro
50%
US dollar
24%
Pound sterling
11%
Australian dollar
2%
Other
13%
Total buffer composition
(including retained RMBS)
at year-end 2015
I Total stock of level 1 assets 67%
Total stock of level 2a assets 1
Total stock of level 2b assets 1%
I Eligible retained RMBS 31%
Level 1 assets issued by sovereigns
at year-end 2015
I The Netherlands 75%
I United States 12%
I France 6%
I United Kingdom 3%
I Germany 1%
Other 3%
97 Risk management
