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Capital adequacy analysis

 

Swedbank’s legal capital requirement is currently based on the transitions rules. The transition rules state that the minimum capital requirement may not fall below 80 per cent of the requirement according to the Basel 1 rules. The transition rules have been prolonged and their expiry date are not yet decided.

 

Capital adequacy20112010
Capital base73 74485 170
Capital requirement29 20132 779
Capital surplus or deficit44 54352 391
Capital quotient2,532,60
Risk-weighted amount365 013409 740
Tier 1 capital ratio, %17,816,7
Capital adequacy ratio, %20,220,8
Capital base20112010
Tier 1 capital65 07468 386
Tier 2 capital11 57219 685
of which, perpetual subordinated loans1 5892 431
Total Tier 1 and Tier 2 captial76 64688 071
Shareholdings deducted*-2 902-2 901
Total73 74485 170
* Companies where deductions for capital base are brought are Sparia Försäkrings AB and Swedbank Försäkring AB.
Tier 1 capital20112010
Equity attributable to the shareholders according to balance sheet in annual report62 75165 759
Proposed dividend-5 825-2 995
74 per cent of accrual reserve1 921535
Goodwill-566-689
Other deductions   
Deferred tax assets  -196
Intangible assets-176-192
Deduction internal risk classification, provisions surplus/deficit-703-1 053
Cash flow hedges124307
Shareholdings deducted from Tier 1 capital*-5-5
Tier 1 capital contribution**7 5536 915
Total Tier 1 capital65 07468 386
* Company where deduction for Tier 1 capital is brought is BGC Holding.
** Tier 1 mainly comprises equity, with adjustments for certain assets that may not be included and certain deductions. Tier 1 capital contributions are perpetual debenture loans whose terms are such that they may be included after approval from the Swedish Financial Supervisory Authority. The contributions' preferential rights are subordinate to all other deposits and lending. Interest payment is set in accordance with the agreement, but may only occur if there are distributable funds. The contribution is reported in the balance sheet as a liability. All tier 1 capital contributions are based on transition rules according to FFFS 2010:10.
Capital requirement20112010
Credit risks26 04828 733
Market risks1 0491 583
Operational risks2 1042 463
Total29 20132 779
Capital requirement for credit risks20112010
Credit risks according to the standardised approach8 4369 032
Credit risks according to IRB17 61219 701
of which institutional exposures1 3721 736
of which corporate exposures14 01515 350
of which retail exposures2 0322 128
of which securitisation1533
of which non-credit-obligation asset exposures178454
Total26 04828 733
 
Capital requirement for market risks20112010
Interest-rate risks934738
of which for specific risk359587
of which for general risk575151
Equity risk17139
of which for specific risk  
of which for general risk17139
Currency risk in trading book10474
Commodity risk12
Total capital requirement for risks in trading book*889853
of which stressed VaR**366 
Currency rate risk outside trading book160730
Total1 0491 583
* The capital requirement for general interest-rate risk, equity risk and currency risk in the trading-book are calculated in accordance with the VaR model. In 2010 the distribution of risk (VaR)  is based on additive allocation of the risk while in 2011 risks have been calculated for each risk type individually. In the new model the diversification effect between different risk classes would result in a lower total risk than the sum of the individual parts.
**Stressed VaR is a requirement in CRDIII as from the end of December, 2011.
Capital requirement for operational risks20112010
Trading and sales500691
Retail banking1 3361 433
Commercial banking303269
Payment and settlement7955
Agency services1415
Asset management-128 
Total2 1042 463
The standard approach is used for calculating capital requirments for operational risk.

 

 20112010
Credit risks acording to IRBExposure after
credit risk mitigation		Average risk weight, %Capital requirementExposure after
credit risk mitigation		Average risk weight, %Capital requirement
Institutional exposures133 480131 372152 312141 736
Corporate exposures305 5115714 015281 2806815 350
Retail exposures88 045292 03294 033282 128
Securitisations1 59812153 5351233
Exposures without counterparties2 2271001785 686100454
Total530 8614117 612536 8464619 701

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