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Liquidity

Q1, 2013

 Liquidity ratios

Liquidity Reserve, Group SEKm 1)     

According to the template defined by the Swedish Bankers' Association 

Currency distribution

 

 Total

SEK

EUR

USD

Other

Cash and holdings in central banks210 2511 75181 371115 02712 102
Deposits in other banks available overnight1 29013 1 180 97
Securities issued or guaranteed by sovereigns, central banks or multilateral development banks27 7518 85116 3892 511 
Securities issued or guaranteed by municipalities or Public sector entities378  378  
Covered bonds58 28455 6742 610  

- Issued by other institutions

58 28455 6742 610  

- Own issued

     
Securities issued by non-financial corporates     
Securities issued by financial corporates (excl. covered bonds)2 532 6591 873 
Other     
Total300 48666 289101 407120 59112 199
      
1) 95% of the securities in the liquidity reserve per Q1 2013 are rated AAA. The rating requirement is AA-.     
      

Liquidity Reserve Definition ny the Swedish Banker's Association

      
Assets included in the liquidity reserve should comply with the following:     
- assets shall be held by the Treasury function in a bank     
- assets can not be encumbered     
- market values are used for the assets     
- only unencumbered securities receiving 0-20% risk weight under the standardised approach to credit risk of the Basel II framework can be included     

- securities received in reverse repo transactions shall be included in the liquidity reserve and securities used as collateral for repo transactions shall be excluded     

 

Additional liquid assets, Group SEKm 2)     

  

Currency distribution

 

Total 

SEK

EUR

USD

Other

Cash and holdings in central banks     
Deposits in other banks available overnight     
Securities issued or guaranteed by sovereigns, central banks or multilateral development banks11 4739 949249 1 275
Securities issued or guaranteed by municipalities or Public sector entities3641   363
Covered bonds37 49530 3191 647 5 529
- Issued by other institutions30 80524 3891 523 4 893
- Own issued6 6905 930124 636
Securities issued by non-financial corporates1 3041021 199 3
Securities issued by financial corporates (excl. covered bonds)5 8364411 8563 539 
Other     
Total56 47240 8124 9513 5397 170
      

2) 84% of the additional assets fulfill the Liquidity Reserve definition by the Swedish Bankers’ Association except for that they are held outside the Treasury department.     

3) 82 % of the additional assets are rated AAA

 

31 Mar 2013

Liquidity coverage ratios

(Swedish regulation FFFS 2012:6)  1)

                                                    

31 Mar 2013 

31 Dec 2012 

 
Liquidity coverage ratio (LCR), Total, %139139   
   Liquidity reserve 3), SEKbn325240   
      Liquid assets level 1250157   
      Liquid assets level 27583   
   Cash outflows, SEKbn312253   
      Customer deposits13076   
      Market borrowing150140   
      Other cash outflows3237   
   Cash inflows, SEKbn7880   
      Inflow from maturing lending to non-financial customers1112   
      Other cash inflow6768   
     
Liqudity coverage ratio (LCR), EUR, %196269   
Liquidity coverage ratio (LCR), USD, %248293   
     

 Liquidity coverage ratio (Basel committee recommendation), 2) % 

 31 Mar 2013

31 Dec 2012

   
Liqudity coverage ratio (LCR), Total183171   
     

 Liquidity and funding ratios, %

 31 Mar 2013

31 Dec 2012

30 Sep 201230 Jun 2012

31 Mar 2012

Net stable funding ratio (NSFR) 3)939194 9196
Liquidity assets in relation to maturing wholesale funding during next 3, 6 and 12 months 4) 

liquidity reserve 3 months

156142213145141
        liquidity reserve 6 months134102127123126
        liquidity reserve 12 months1128910381102

liquidity reserve + additional liquid assets 3 months

186180274190178
        liquidity reserve + additional liquid assets 6 months159130164162159
        liquidity reserve + additional liquid assets 12 months133113132106129
  

 
Definitions

1) LCR - calculated in accordance with the new Swedish regulation 2012:6. LCR = Liquidity reserve / (cash outflows - cash inflows)
2) LCR - calculated in accordance with Swedbank's interpretation of the Basel Committee recommendation 6 Jan 2013 (BCBS238)
3) NSFR - calculated in accordance with Swedbank's interpretation of the current Basel proposal

4) Liquidity ratios: liquid assets in relation to maturing wholesale funding during next 3, 6, 12 months:  

- Liquidity reserve according to definition by the Swedish Bankers' Association  
- Additional liquid assets: Assets, pledgeable in central banks, held by the group outside of Group Treasury  
- Maturing wholesale funding during 12 months: All wholesale funding maturing within 3, 6 and 12 months, including long-term debt, short-term CP/CD's and net of lending and borrowing to/from credit institutions (net interbank)  

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