Contents Introduction Management report Appendices Corporate governance Consolidated Financial Statements Company Financial Statements
Liquidity risk
Liquidity risk is defined as a major risk type at Rabobank. It must
be managed carefully. Rabobank's policy is to finance client
assets using stable funding, that is, funds entrusted by clients
and long-term wholesale funding.TheTreasury department is
responsible for managing the day-to-day liquidity position, the
generation of professional funding on the money and capital
markets, and the structural position.
Liquidity risk management rests on three pillars. The first sets
strict limits for the maximum outgoing cash flows for different
maturities within the wholesale banking business. On a daily
basis, Rabobank measures and reports the incoming and
outgoing cash flows expected during the next twelve months.
Limits govern these outgoing cash flows, including limits and
controls per currency. Detailed contingency funding plans
are in place to ensure the bank is prepared for potential crisis
situations.These plans are subject to periodic operational tests,
most recently at the end of 2016.
The second pillar of liquidity risk management is our substantial
high-quality buffer of liquid assets. Besides cash balances held
at central banks, liquid securities can also be pledged to central
banks, used in repo transactions or be sold directly in the
market to generate cash immediately. The size and quality of
the liquidity buffer is aligned with the risk Rabobank is exposed
to resulting from its balance sheet. In addition, a portion of
the mortgage loan portfolio has been securitised internally.
By pledging the notes to the central bank, this retained
securitisation serves as an additional liquidity buffer, but it is not
reflected on the consolidated balance sheet.
The third pillar in managing liquidity risk is maintaining a solid
credit rating, high capital levels and a prudent funding policy.
Rabobank takes various measures to create a balanced source of
funding. These measures include the balanced diversification of
funding sources with respect to maturity, currencies, investors,
geography and markets, a high degree of unsecured funding
(and therefore limited asset encumbrance), and an active and
consistent investor relations policy.
Rabobank Annual Report 2017 - Management report
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