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Liquidity

Q3 2018

 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 banks 2)296 8844 496234 21856 6191 551
Deposits in other banks available overnight20015842
Securities issued or guaranteed by sovereigns, central banks or multilateral development banks89 07781 4331 9124 6351 097
Securities issued or guaranteed by municipalities or Public sector entities4 7364 65680
Covered bonds68 96965 1258892 955

- Issued by other institutions

65 59762 3018252 471

- Own issued

3 3722 82464484
Securities issued by non-financial corporates22240182 
Securities issued by financial corporates (excl. covered bonds)215 215
Other     
Total460 303155 908237 41661 2545 725
      
1) 95% of the securities in the liquidity reserve are rated AAA.
2) Including Loans to the Swedish National Debt Office
      
Assets included in the liquidity reserve should comply with the following:     
- assets shall be under the control of the Treasury function in the 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     

 

Liquidity ratios Q2, 2018

Liquidity coverage ratios (new Swedish regulation FFFS 2012:6) 1)Q3 2018Q2 2018Q1 2018Q4 2017Q3 2017
Liquid Assets, SEKbn447613523
Liquid assets level 1, SEKbn438606517
Liquid assets level 2, SEKbn976
Cash outflows, SEKbn348483648
Retail deposits and deposits from small business customers, SEKbn403938
Unsecured wholesale funding, SEKbn237366318
Secured wholesale funding, SEKbn234
Additional requirements, SEKbn5145259
Other cash outflows, SEKbn183029
Cash inflows, SEKbn4559274
Secured lending, SEKbn042
Inflows from fully performing exposures, SEKbn161521
Other cash inflow, SEKbn3040251
Liquidity coverage ratio (LCR), Total, %148145140171133
Liquidity coverage ratio (LCR), EUR, %260161273
Liquidity coverage ratio (LCR), USD, %165166222
Liquidity coverage ratio (LCR), SEK, % 2)6611368
Liquidity and funding ratios %
Net Stable funding ratio (NSFR) according to new recommendation 4)110110110110109
     Available stable funding (ASF), SEKbn1 5501 5471 4931 4451 445
     Required stable funding (RSF), SEKbn1 4061 4031 3631 3231 331
Liquid assets in relation to maturing funding during next 3, 6 and 12 months 6)
     liquidity reserve 3 months179187213189158
     liquidity reserve 6 months145151148152136
     liquidity reserve 12 months128129132118109

Definitions

1) LCR - calculated in accordance with FFFS 2012:6. LCR = Liquidity reserve / (cash outflows - cash inflows).
2) LCR in SEK is lower in comparison to EUR and USD LCRs due to capped Liquid assets and capped cash inflows denominated in SEK and cash flows in general as main operations are conducted in SEK. It is also due to foreign currency funding and the corresponding swap agreements used to hedge FX risks. In contrast to EUR and USD it is also more restrictive to invest in SEK denominated Liquid assets due to the low availability/restrictions of these assets. There is currently no regulatory requirement to reach 100%.
3) LCR - calculated in accordance with Commission Delegated Regulation (EU) 2015/61) of 10 October 2014.
4) NSFR according to Swedbank's best understanding of BCBS's consultative document on new NSFR recommendation (BCBS295).
5) Liquidity ratios: liquid assets in relation to maturing wholesale funding during next 3, 6 and 12 months:
- Liquidity reserve according to template defined by the Swedish Bankers' Association
- Maturing funding during 3, 6 and 12 months: All wholesale funding maturing within 3, 6 and 12 months, including short-term CP/CD's, and net of lending and borrowing to/from credit institutions (net Interbank)
Additional information on LCR according to FFFS 2012:6
The main drivers of the LCR result are the wholesale cash flows related to issued debt, lending and borrowing from financial institutions and large corporates. The Liquid asset composition is important, especially for individual currencies. Another important driver for individual currencies is also the derivative cash flows. The composition of Liquid assets are shown broken down by Level 1 and Level 2 assets. Further breakdown of liquid assets can be found in this Fact book. Concentration of funding sources is an important factor for the LCR result. Further information on Swedbank Group's funding sources can be found in this Fact book.
Swedbank matches its assets and liabilities in currencies to the extent that it is in line with the Group's risk appetite. Swedbank has a currency mismatch in the LCR due to the regulatory approach in LCR e.g. Liquid assets (Level 2 assets) are capped and the cash inflow cap. The need for foreign currency is deemed higher from a risk perspective and hence the composition of Liquid assets and the currency mismatch in the LCR. The liquidity management is centralised to the Group Treasury function in Swedbank Group. The centralised approach facilitates an efficient monitoring and control of Swedbank’s liquidity risks. In order to be able to monitor and manage liquidity risk in the whole Group on all markets, Group Treasury is located in relevant markets and jurisdictions where Swedbank performs business operations. Swedbank support its entities through effective agreements of liquidity transfer.

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