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Liquidity

Q4 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)208 3709 658153 93140 2304 552
Deposits in other banks available overnight33
Securities issued or guaranteed by sovereigns, central banks or multilateral development banks88 00678 2284 0464 872860
Securities issued or guaranteed by municipalities or Public sector entities5 6364 416656564
Covered bonds46 62143 5251 0622 034

- Issued by other institutions

44 34941 4758602 014

- Own issued

2 2722 05020220
Securities issued by non-financial corporates292126166 
Securities issued by financial corporates (excl. covered bonds)409 153145111
Other     
Total349 337135 953159 36045 9038 121
      
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)Q4 2017Q3 2017Q2 2017Q1 2017Q4 2016
Liquidity coverage ratio (LCR), Total, %173145128137156
Liquid Assets, SEKbn328495505501297
Liquid assets level 1, SEKbn290450459447239
Liquid assets level 2, SEKbn3845465458
Cash outflows, SEKbn229427464490226
Customer deposits, SEKbn118172157185103
Market borrowing, SEKbn6519925625583
Other cash outflows, SEKbn4656515040
Cash inflows, SEKbn40857012436
Inflow from maturing lending to non-financial customers, SEKbn79466
Other cash inflow, SEKbn33766611830
Liquidity coverage ratio (LCR), EUR, %374191192166330
Liquidity coverage ratio (LCR), USD, %362121161216160
Liquidity coverage ratio (LCR), SEK, % 2)7678638785
Liquidity coverage ratio % (EU 2015/61) 3)
Liquidity coverage ratio (LCR), Total171133121127155
Liquidity and funding ratios %
Net Stable funding ratio (NSFR) according to new recommendation 4)110109110109108
     Available stable funding (ASF), SEKbn1 4451 4451 4511 4601 411
     Required stable funding (RSF), SEKbn1 3231 3311 3241 3391 305
Liquid assets in relation to maturing funding during next 3, 6 and 12 months 6)
     liquidity reserve 3 months189158200195200
     liquidity reserve 6 months152136150167160
     liquidity reserve 12 months118109134133106

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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