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Q4, 2016

 Liquidity ratios

Liquidity Reserve, Group SEKm 1)     

According to the template defined by the Swedish Bankers' Association 

Currency distribution







Cash and holdings in central banks 2)126 42623 45884 63417 441893
Deposits in other banks available overnight1459
Securities issued or guaranteed by sovereigns, central banks or multilateral development banks118 211104 7746 2856 292960
Securities issued or guaranteed by municipalities or Public sector entities6 1714 531728912
Covered bonds74 03066 7129416 377

- Issued by other institutions

67 52560 3039266 296

- Own issued

6 5056 40915 81
Securities issued by non-financial corporates52647749 
Securities issued by financial corporates (excl. covered bonds)1 092 820160112 
Total326 470199 95792 72924 6219 163
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 Q4, 2016

Liquidity coverage ratios (new Swedish regulation FFFS 2012:6) 1)Q4 2016Q3 2016Q2 2016Q1 2016Q4 2015
Liquidity coverage ratio (LCR), Total, %156131138148159
Liquid Assets, SEKbn297369444396269
Liquid assets level 1, SEKbn239273362284207
Liquid assets level 2, SEKbn58968211262
Cash outflows, SEKbn226452523492321
Customer deposits, SEKbn103178237247126
Market borrowing, SEKbn83222236179153
Other cash outflows, SEKbn4052506642
Cash inflows, SEKbn36170202225152
Inflow from maturing lending to non-financial customers, SEKbn66668
Other cash inflow, SEKbn30164196219144
Liquidity coverage ratio (LCR), EUR, %330253151230638
Liquidity coverage ratio (LCR), USD, %160130125163363
Liquidity coverage ratio (LCR), SEK, % 2)8560903971
Liquidity coverage ratio % (EU 2015/61) 3)
Liquidity coverage ratio (LCR), Total155125119124144
Liquidity and funding ratios %
Net Stable funding ratio (NSFR) according to new recommendation 4)108104108107107
     Available stable funding (ASF), SEKbn1 4111 4051 4271 3781 350
     Required stable funding (RSF), SEKbn1 3051 3501 3271 2911 263
Liquid assets in relation to maturing funding during next 3, 6 and 12 months 6)
     liquidity reserve 3 months200248246251167
     liquidity reserve 6 months160157204191127
     liquidity reserve 12 months106138142138110


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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