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Liquidity

Q4 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)173 16014 615131 24026 317988
Deposits in other banks available overnight
Securities issued or guaranteed by sovereigns, central banks or multilateral development banks94 33688 9481 4503 151787
Securities issued or guaranteed by municipalities or Public sector entities5 3374 806531
Covered bonds43 37438 8263104 238

- Issued by other institutions

42 25738 1653103 782

- Own issued

1 117661456
Securities issued by non-financial corporates34147110184 
Securities issued by financial corporates (excl. covered bonds)182 182
Other     
Total316 730147 242133 29229 6526 544
      
1) 97% 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 Q4, 2018

Liquidity coverage ratios (EU 2015/61) 1)Q4 2018Q3 2018Q2 2018Q1 2018Q4 2017
Liquid Assets, SEKbn310447613523
Liquid assets level 1, SEKbn301438606517
Liquid assets level 2, SEKbn9976
Cash outflows, SEKbn256348483648
Retail deposits and deposits from small business customers, SEKbn42403938
Unsecured wholesale funding, SEKbn142237366318
Secured wholesale funding, SEKbn7234
Additional requirements, SEKbn495145259
Other cash outflows, SEKbn15183029
Cash inflows, SEKbn404559274
Secured lending, SEKbn5042
Inflows from fully performing exposures, SEKbn16161521
Other cash inflow, SEKbn193040251
Liquidity coverage ratio (LCR), Total, %144148145140171
Liquidity coverage ratio (LCR), EUR, %282260161273
Liquidity coverage ratio (LCR), USD, %228165166222
Liquidity coverage ratio (LCR), SEK, % 2)686611368
Liquidity and funding ratios %
Net Stable funding ratio (NSFR) according to new recommendation 4)111110110110110
     Available stable funding (ASF), SEKbn1 5371 5501 5471 4931 445
     Required stable funding (RSF), SEKbn1 3781 4061 4031 3631 323
Liquid assets in relation to maturing funding during next 3, 6 and 12 months 6)
     liquidity reserve 3 months223179187213189
     liquidity reserve 6 months162145151148152
     liquidity reserve 12 months136128129132118

Definitions

1) LCR - calculated in accordance with Commission Delegated Regulation (EU) 2015/61) of 10 October 2014.
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)

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