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Liquidity

Q3 2017

 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)336 28414 093228 62788 2695 295
Deposits in other banks available overnight33
Securities issued or guaranteed by sovereigns, central banks or multilateral development banks136 002125 4454 0155 683859
Securities issued or guaranteed by municipalities or Public sector entities5 5794 340656583
Covered bonds56 94251 9341 1843 824

- Issued by other institutions

52 88947 9491 1423 798

- Own issued

4 0533 9854226
Securities issued by non-financial corporates17512649 
Securities issued by financial corporates (excl. covered bonds)329 76144109
Other     
Total535 314195 938233 95494 75210 670
      
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 Q3, 2017

Liquidity coverage ratios (new Swedish regulation FFFS 2012:6) 1)Q3 2017Q2 2017Q1 2017Q4 2016Q3 2016
Liquidity coverage ratio (LCR), Total, %145128137156131
Liquid Assets, SEKbn495505501297369
Liquid assets level 1, SEKbn450459447239273
Liquid assets level 2, SEKbn4546545896
Cash outflows, SEKbn427464490226452
Customer deposits, SEKbn172157185103178
Market borrowing, SEKbn19925625583222
Other cash outflows, SEKbn5651504052
Cash inflows, SEKbn857012436170
Inflow from maturing lending to non-financial customers, SEKbn94666
Other cash inflow, SEKbn766611830164
Liquidity coverage ratio (LCR), EUR, %191192166330253
Liquidity coverage ratio (LCR), USD, %121161216160130
Liquidity coverage ratio (LCR), SEK, % 2)7863878560
Liquidity coverage ratio % (EU 2015/61) 3)
Liquidity coverage ratio (LCR), Total133121127155125
Liquidity and funding ratios %
Net Stable funding ratio (NSFR) according to new recommendation 4)109110109108104
     Available stable funding (ASF), SEKbn1 4451 4511 4601 4111 405
     Required stable funding (RSF), SEKbn1 3311 3241 3391 3051 350
Liquid assets in relation to maturing funding during next 3, 6 and 12 months 6)
     liquidity reserve 3 months158200195200248
     liquidity reserve 6 months136150167160157
     liquidity reserve 12 months109134133106138

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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