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Liquidity

Q1, 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)408 39122 978168 876211 3815 156
Deposits in other banks available overnight779
Securities issued or guaranteed by sovereigns, central banks or multilateral development banks97 56086 1404 3126 213895
Securities issued or guaranteed by municipalities or Public sector entities6 5954 3687171 510
Covered bonds79 95575 9551803 820

- Issued by other institutions

64 04460 1301513 763

- Own issued

15 91115 8252957
Securities issued by non-financial corporates1331267 
Securities issued by financial corporates (excl. covered bonds)302 32158112 
Other     
Total592 943189 574173 407218 46911 493
      
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 Q1, 2017

Liquidity coverage ratios (new Swedish regulation FFFS 2012:6) 1)Q1 2017Q4 2016Q3 2016Q2 2016Q1 2016
Liquidity coverage ratio (LCR), Total, %137156131138148
Liquid Assets, SEKbn501297369444396
Liquid assets level 1, SEKbn447239273362284
Liquid assets level 2, SEKbn54589682112
Cash outflows, SEKbn490226452523492
Customer deposits, SEKbn185103178237247
Market borrowing, SEKbn25583222236179
Other cash outflows, SEKbn5040525066
Cash inflows, SEKbn12436170202225
Inflow from maturing lending to non-financial customers, SEKbn66666
Other cash inflow, SEKbn11830164196219
Liquidity coverage ratio (LCR), EUR, %166330253151230
Liquidity coverage ratio (LCR), USD, %216160130125163
Liquidity coverage ratio (LCR), SEK, % 2)8785609039
Liquidity coverage ratio % (EU 2015/61) 3)
Liquidity coverage ratio (LCR), Total127155125119124
Liquidity and funding ratios %
Net Stable funding ratio (NSFR) according to new recommendation 4)109108104108107
     Available stable funding (ASF), SEKbn1 4601 4111 4051 4271 378
     Required stable funding (RSF), SEKbn1 3391 3051 3501 3271 291
Liquid assets in relation to maturing funding during next 3, 6 and 12 months 6)
     liquidity reserve 3 months195200248246251
     liquidity reserve 6 months167160157204191
     liquidity reserve 12 months133106138142138

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 constrast 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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