Within the framework of its liquidities management, the Bank works with two different portfolios: a Financial assets held to maturity portfolio and an Available-for-sale financial assets portfolio. Management of these two portfolios is guided by the desire to give the Bank the best protection for its capital and reserves within the framework of an extremely conservative market risk and credit profile.
Financial assets held to maturity portfolioRepresenting the investment of available own assets, this portfolio is limited in terms of both outstanding and type. Consequently, it is invested in long-term fixed-rate investment securities. These securities are, in principle, held until final maturity. Only securities with a minimum AA/Aa2 rating at the purchase are eligible for this portfolio. In order to avoid any foreign exchange risk, this portfolio is invested in euros.
Available-for-sale financial assets portfolio
On account of its liquidity ratio, the Bank shows a structurally surplus liquidity position; it therefore invests the available liquidities either in deposits or in fixed or variable rate securities with a residual maturity of less than 1 year and a minimum A1/P-1 rating. Furthermore, for an amount not exceeding 2 billion euros, the Bank can invest in securities with a maturity of 15 years or less, either at variable rate or at fixed rate coupled with an interest-rate swap, so as to create a floating-rate synthetic asset. The rating criteria are identical to those for the available-for-sale financial assets portfolio.