Business and Financial Review • Feb 23, 2022
Business and Financial Review
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| Page | |
|---|---|
| 1. Risk governance | 5 |
| 2. Capital position | 22 |
| 3. Liquidity risk | 48 |
| 4. Credit risk |
54 |
| 5. Market risk | 106 |
| 6. Operational risk | 112 |
| Page | |
|---|---|
| 7. Compliance risk | 115 |
| Swedbank's legal entity structure and | |
| business activities | 121 |
| Terminology and abbreviations | 122 |
This Risk Management and Capital Adequacy Report Q4 2021 provides information on Swedbank's risk management and capital adequacy. The report is based on regulatory disclosure requirements set out in the Regulation (EU) 575/2013 "Capital Requirements Regulation" (CRR) and the Swedish Financial Supervisory Authority (SFSA) regulation FFFS 2014:12.
Information in this report pertains to the conditions for Swedbank Consolidated Situation as of period end if not otherwise stated. Disclosures are made annually in conjunction with the publication of Swedbank's Annual Report and quarterly in conjunction with the quarterly reports.
Unless otherwise stated, the reports of Q1 and Q3 follow the quarterly disclosure format, the report for Q2 follows the semi-annual format, and the report for Q4 follows the annual format and includes the most comprehensive details. In this report Swedbank Consolidated Situation is referred to as Swedbank, unless otherwise stated.
The capital adequacy framework builds on three pillars:
Pillar 1 provides rules for how to calculate minimum capital requirements for credit risk, market risk and operational risk. For credit risk and market risk, the calculations can be done either by using prescribed standardised risk measures or by using the bank's own internally used risk measures. Swedbank must fulfil certain requirements in order to apply its own internal risk measures and must seek approval from relevant supervisors in countries where Swedbank operates.
Pillar 2 requires institutions to prepare and document their own internal capital and liquidity adequacy assessment processes (ICAAP and ILAAP respectively). All significant
sources of risks must be taken into account in the ICAAP, that is, not only those already included in Pillar 1. Similarly, the analysis in the ILAAP should go beyond the minimum liquidity requirements. The Supervisory College assesses the bank in the Supervisory Review and Evaluation Process (SREP) and may impose additional measures.
Pillar 3 requires institutions to disclose comprehensive information about their risks, risk management and associated capital. This report constitutes the required disclosure for Swedbank.
This report is published by Swedbank AB, incorporated in Sweden, a public limited liability company with registration number 502017-7753. This document has not been audited and does not form part of Swedbank AB's audited financial statements.
Swedbank is a full-service bank available to households and businesses in its home markets, having 7.3 million private customers and 620 000 corporate and organisational customers. The customers are served through 233 branches in Swedbank's four home markets – Sweden, Estonia, Latvia and Lithuania – and through presence in neighbouring markets in Denmark, Finland and Norway. Swedbank also operates in the United States, China and South Africa. Swedbank's vision is a financially sound and sustainable society where Swedbank empowers the many people and businesses to create a better future.
Swedbank's business operations are organised in three business areas: Swedish Banking, Baltic Banking and Large Corporates & Institutions.
| Institution risk management approach (EU OVA) | CRR Article 435(1) | 5 |
|---|---|---|
| Disclosure on governance arrangements (EU OVB) | CRR Article 435 (2) | 5 |
| Remuneration Policy (EU REMA) | CRR Article 450(1)(a-f,j,k), 450(2) | 15 |
| Remuneration awarded for the financial year (EU REM1) | CRR Article 450(1)(h(i-ii)) | 17 |
| Special payments to staff whose professional activities have a material impact on institutions' risk profile (identified staff) (EU REM2) |
CRR Article 450(1)(h(v-vii)) | 18 |
| Deferred remuneration (EU REM3) | CRR Article 450(1)(h(iii-iv)) | 19 |
| Remuneration of 1 million EUR or more per year (EU REM4) | CRR Article 450(1)(i) | 20 |
| Information on remuneration of staff whose professional activities have a material impact on institutions' risk profile (identified staff) (EU REM5) |
CRR Article 450(1)(g) | 21 |
| Overview of risk weighted exposure amounts (EU OV1) | CRR Article 438(d) | 25 |
|---|---|---|
| Key Metrics (EU KM1) | CRR Article 447(a-g), 438(d) | 26 |
| Insurance Participations (EU INS1) | CRR Article 438(f) | 26 |
| Financial conglomerates information on own funds and capital adequacy ratio (EU INS2) | CRR Article 438(g) | 26 |
| ICAAP information (EU OVC) | CRR Article 438(a,c) | 27 |
| Differences between accounting and regulatory scopes of consolidation and mapping of financial statement categories with regulatory risk categories (EU LI1) |
CRR Article 436(c) | 32 |
| Main sources of differences between regulatory exposure amounts and carrying values in financial statements (EU LI2) |
CRR Article 436(d) | 32 |
| Outline of the differences in the scopes of consolidation (entity by entity) (EU LI3) | CRR Article 436(b) | 33 |
| Explanations of differences between accounting and regulatory exposure amounts (EU LIA) | CRR Article 436(b) | 34 |
| Other qualitative information on the scope of application (EU LIB) | CRR Article 436(f-h) | 34 |
| Prudent valuation adjustments (PVA) (EU PV1) | CRR Article 436(e) | 35 |
| Composition of regulatory own funds (EU CC1) | CRR Article 437(a,d,e,f) | 35 |
| Reconciliation of regulatory own funds to balance sheet in the audited financial statements (EU CC2) | CRR Article 437(a) | 38 |
| Main features of regulatory own funds instruments and eligible liabilities instruments (EU CCA) | CRR Article 437(b-c) | 39 |
| Geographical distribution of credit exposures relevant for the calculation of the countercyclical buffer (EU CCyB1) |
CRR Article 440(a) | 44 |
| Amount of institution-specific countercyclical capital buffer (EU CCyB2) | CRR Article 440(b) | 45 |
| Summary reconciliation of accounting assets and leverage ratio exposures (EU LR1 - LRSum) | CRR Article 451(1)(b) | 45 |
| Leverage ratio common disclosure (EU LR2 - LRCom) | CRR Article 451(1)(a-c), 451(2)(3) | 45 |
| Split-up of on balance sheet exposures (excluding derivatives, SFTs and exempted exposures) (EU LR3 - LRSpl) |
CRR Article 451(1)(b) | 46 |
| Disclosure of LR qualitative information (EU LRA) | CRR Article 451(1)(d-e) | 47 |
| Liquidity risk management (EU LIQA) | CRR Article 435(1), 451a(4) | 48 |
|---|---|---|
| Quantitative information of LCR (EU LIQ1) | CRR Article 451a(2) | 50 |
| Qualitative information of LCR (EU LIQB) | CRR Article 451a(2) | 51 |
| Net Stable Funding Ratio (EU LIQ2) | CRR Article 451a(3) | 51 |
| Encumbered and unencumbered assets (EU AE1) | CRR Article 443 | 52 |
| Collateral received and own debt securities issued (EU AE2) | CRR Article 443 | 53 |
| Sources of encumbrance (EU AE3) | CRR Article 443 | 53 |
| Accompanying narrative information (EU AE4) | CRR Article 443 | 53 |
| General qualitative information about credit risk (EU CRA) | CRR Article 435(1)(a,b,d,f) | 55 |
|---|---|---|
| Additional disclosure related to the credit quality of assets (EU CRB) | CRR Article 442(a-b) | 57 |
| Performing and non-performing exposures and related provisions (EU CR1) | CRR Article 442(c,f) | 58 |
| Maturity of exposures (EU CR1-A) | CRR Article 442(g) | 59 |
| Changes in the stock of non-performing loans and advances (EU CR2) | CRR Article 442(f) | 59 |
| Changes in the stock of non-performing loans and advances and related net accumulated recoveries (EU CR2-A) | CRR Article 442(c,f) | 59 |
| Credit quality of forborne exposures (EU CQ1) | CRR Article 442(c) | 60 |
| Quality of forbearance (EU CQ2) | CRR Article 442(c) | 60 |
| Credit quality of performing and non-performing exposures by past due days (EU CQ3) | CRR Article 442 (c,d) | 61 |
| Quality of non-performing exposures by geography (EU CQ4) | CRR Article 442(c,e) | 62 |
| Credit quality of loans and advances by industry (EU CQ5) | CRR Article 442(c,e) | 62 |
| Collateral valuation - loans and advances (EU CQ6) | CRR Article 442(c) | 64 |
| Collateral obtained by taking possession and execution processes (EU CQ7) | CRR Article 442(c) | 65 |
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| Collateral obtained by taking possession and execution processes – vintage breakdown (EU CQ8) | CRR Article 442(c) | 66 |
|---|---|---|
| Information on loans and advances subject to legislative and non-legislative moratoria | EBA/GL/2020/07 | 67 |
| Breakdown of loans and advances subject to legislative and non-legislative moratoria by residual maturity of moratoria |
EBA/GL/2020/07 | 68 |
| Information on newly originated loans and advances provided under newly applicable public guarantee schemes introduced in response to COVID-19 crisis |
EBA/GL/2020/07 | 68 |
| Qualitative disclosure requirements related to CRM techniques (EU CRC) | CRR Article 453(a-e) | 69 |
| CRM techniques – Overview (EU CR3) | CRR Article 453(f) | 70 |
| Qualitative disclosure requirements related to standardised model (EU CRD) | CRR Article 444 (a-d) | 71 |
| Standardised approach – Credit risk exposure and CRM effects (EU CR4) | CRR Article 453(g,h,i), 444(e) | 72 |
| Standardised approach – Exposures by exposure class and risk weights (EU CR5) | CRR Article 444(e) | 73 |
| Qualitative disclosure requirements related to IRB approach (EU CRE) | CRR Article 452(a-f) | 74 |
| IRB approach – Credit risk exposures by exposure class and PD range (EU CR6) | CRR Article 452(g) | 78 |
| Scope of the use of IRB and SA approaches (EU CR6-A) | CRR Article 452(b) | 83 |
| IRB approach – Effect on the RWAs of credit derivatives used as CRM techniques (EU CR7) | CRR Article 453(j) | 84 |
| IRB approach – Disclosure of the extent of the use of CRM techniques (EU CR7-A) | CRR Article 453(g) | 85 |
| RWA flow statements of credit risk exposures under IRB (EU CR8) | CRR Article 438(h) | 87 |
| IRB approach – Back-testing of PD per exposure class (fixed PD scale) (EU CR9) | CRR Article 452(h) | 88 |
| IRB approach – Back-testing of PD per exposure class (only for PD estimates according to point (f) of Article 180(1) CRR) (EU CR9.1) |
CRR Article 452(h), 180(1) | 93 |
| IRB (specialised lending and equities) (EU CR10) | CRR Article 438(e) | 94 |
| Qualitative disclosure related to CCR (EU CCRA) | CRR Article 439 (a-d) | 96 |
| Analysis of CCR exposure by approach (EU CCR1) | CRR Article 439(f,g,k) | 97 |
| Transactions subject to own funds requirements for CVA risk (EU CCR2) | CRR Article 439(h) | 98 |
| Standardised approach – CCR exposures by regulatory exposure class and risk weigh (EU CCR3) | CRR Article 439(l) | 99 |
| IRB approach – CCR exposures by exposure class and PD scale (EU CCR4) | CRR Article 439(g) | 99 |
| Composition of collateral for CCR exposures (EU CCR5) | CRR Article 439(e) | 101 |
| Credit derivatives exposures (EU CCR6) | CRR Article 439(j) | 102 |
| RWEA flow statements of CCR exposures under the IMM (EU CCR7) | CRR Article 438(h) | 102 |
| Exposures to CCPs (EU CCR8) | CRR Article 439(i) | 102 |
| Qualitative disclosure requirements related to securitisation exposures (EU SECA) | CRR Article 449(a-i) | 103 |
| Securitisation exposures in the non-trading book (EU SEC1) | CRR Article 449(j) | 103 |
| Securitisation exposures in the trading book (EU SEC2) | CRR Article 449(j) | 104 |
| Securitisation exposures in the non-trading book and associated regulatory capital requirements - institution acting as originator or as sponsor (EU SEC3) |
CRR Article 449(k(i)) | 104 |
| Securitisation exposures in the non-trading book and associated regulatory capital requirements - institution | CRR Article 449(k(ii)) | 105 |
| acting as investor (EU SEC4) Exposures securitised by the institution - Exposures in default and specific credit risk adjustments (EU SEC5) |
CRR Article 449(l) | 105 |
| Qualitative disclosure requirements related to market risk (EU MRA) | CRR Article 435(1)(a-d) | 106 |
| Qualitative disclosure requirements for institutions using the internal Market Risk Models (EU MRB) | CRR Article 455 (a-c,f) | 107 |
| Market risk under the standardised approach (EU MR1) | CRR Article 445 | 108 |
| Market risk under internal models approach (EU MR2-A) | CRR Article 455(e) | 108 |
| RWA flow statements of market risk exposures under an IMA (EU MR2-B) | CRR Article 438(h) | 109 |
| IMA values for trading portfolios (EU MR3) | CRR Article 455(d) | 109 |
| Comparison of VaR estimates with gains/losses (EU MR4) | CRR Article 455(g) | 110 |
| Qualitative information on interest rate risk of non-trading book activities (EU IRRBBA) | CRR Article 448 | 110 |
| Interest rate risk of non-trading book activities (EU IRRBB1) | CRR Article 448 | 111 |
| Qualitative information on operational risk (EU ORA) | CRR Article 435(1), 446, 454 | 112 |
Operational risk own funds requirements and risk-weighted exposure amounts (EU OR1) CRR Article 446, 454 114
Compliance risk CRR Article 431 N/A
The year 2021 was another year highly influenced by the pandemic, characterised by recovery but also by new covid waves, reintroduced restrictions and continued uncertainty. The economic activity accelerated, but global supply chain problems and increased energy prices held back growth and increased inflation. Several central banks began signalling tightened monetary policy and tapering which was followed by market turbulence. Geopolitical developments also increasingly came into focus. In this situation Swedbank stands strong and wellpositioned for economic growth as well as potential continued market turbulence and economic uncertainty.
Credit quality continued to be strong in 2021, supported by the economic recovery. Swedbank had a strong growth in private mortgage lending in all home markets, supported by high activity in the housing markets. Credit impairments were very low and important indicators of credit quality such as past due loans, credit migrations and watch list exposures had a positive development. Uncertainty however remains about how the hospitality and the retail sectors will be affected when government support measures will be phased out. The expert adjustments of credit provisions, mainly related to covid impacted sectors and oil & offshore, were largely unchanged. The winding down of the oil and offshore exit portfolio continued and has now been significantly reduced.
Swedbank's capital buffers and capital generation capacity is strong, making Swedbank well-positioned to meet increased demand for credit and to support customers in case of a negative macroeconomic development. Both the ICAAP and EBA stress test in 2021 demonstrated that the capital is sufficient to support Swedbank's business model in adverse scenarios and the liquidity position is equally strong.
The importance of operational resilience is increasingly acknowledged internationally, not least in view of several complex cyber-attacks perpetrated globally during 2021. Swedbank is prioritising resources towards this, including replacement of legacy infrastructure and investments in new technologies and improved processes. The sustainability of operations and the trust in the bank are linked to the ability to recover quickly from incidents with as little damage as possible. During 2021 IT incidents occurred that caused disruptions in significant customer-facing services. Several activities have been initiated to increase IT stability.
During 2021 Swedbank made important changes to governance and structures with the aim to strengthen the governance operating model. For the Baltic operations a new operating model was formalised through forming a financial holding company, which increase accountability and responsibility of Baltic Banking management. Further, responsibilities within the Group regarding the lending process and payments have been clarified with a defined end to end responsibility. This is aimed at improving coordination and efficiency and to reduce operational risks. In 2020 the Enterprise Risk Management (ERM) Policy was revised and the Risk Appetite Statement Policy was enhanced. These policies embed a low risk appetite for all risk types and a more direct link between Swedbank's strategic direction, our risk strategy and day-to-day risk management activities. During 2021 the framework was implemented with an ongoing evaluation of the risk exposure within all risk types. The framework has also been updated to enhance the monitoring, management and reporting of Environmental, Social and Governance (ESG) risk, with particular focus on climate change. This is an important step in our continued journey towards a sustainable bank that, in line with our strategic direction, actively contributes to the societal development and the transition to a low-carbon economy, while managing risks and preserving shareholder value.
Swedbank defines risk as a potential negative impact on the value of the Group that may arise from current internal processes or from internal or external future events. The concept of risk combines the probability of an event occurring with the impact that event would have on profit and loss, equity and the value of the Group.
During 2020 a project on Enterprise Risk Management was performed in order to strengthen and attain a more holistic view on risk management and improve oversight and control across the Group. A revised Enterprise Risk Management Policy (ERM Policy) was adopted by the Board of Directors. During 2021 the ERM Policy has been updated and measures have been taken to implement the revised policy. Swedbank's vision is a financially sound and sustainable society where Swedbank empowers the many people and businesses to create a better future. Additions have been made to ensure reporting and monitoring of Environmental, Social and Governance (ESG) risk in general, and especially in terms of climate change. The policy contains the Group's Risk Strategy including fundamental principles for the Group's risk management. Swedbank's strategy is to maintain a low-risk exposure and the Board of Directors articulates the attitude towards risk by expressing the Group's low risk appetite. Risk appetite statements are defined by the Board for the main risk types in the Group's Risk Taxonomy and expressed qualitatively and quantitatively in the Risk Appetite Statement Policy and further implemented by the CEO through a risk limit framework. The risk limit framework consists of limits decided on CEO level, executive management level and, where applicable, lower management levels, as well as Key Risk Indicators (KRI) where required from a risk perspective. Limits and KRIs are tools for monitoring and controlling risk exposures and risk concentrations. Combined, their purpose is to ensure that the risks are kept within the risk appetite.
Swedbank's customer base, which mainly consists of private individuals and small and medium-sized companies in Sweden and in the Baltic countries, is the foundation for the low risk. The credit quality remained strong in 2021, and visible negative impacts from Covid-19 were limited. Swedbank's exposure to sectors that are considerably affected by Covid-19 is low and Swedbank's loan portfolio showed resilience with low credit impairments also in 2021. Swedbank's liquidity position remained strong, due to proactive funding activities and stable demand from debt investors and substantial increase in deposits. In terms of operational risks, during 2021 Swedbank saw an increase in operational incidents compared to 2020. Following these incidents, a proactive implementation of mitigating actions and other preventive measures has been performed. The existing challenges associated with the Covid-19 pandemic and the extraordinary need to continuously strengthen the remote availability of our banking services has remained in focus in all Swedbank home markets. The ongoing digital transformation, evolving technological trends, remote access as well as organized crime and geopolitical tensions has raised information security threats, including cyber and external fraud risk, and has required the implementation of improved protection. Internal and external stress tests resulted in a clear picture of adequate capitalization and strong capacity to manage severe negative scenarios.
In order to continuously secure a low risk level, Swedbank's operations are based on structured risk management and control. The Enterprise Risk Management framework aims to ensure risk awareness, support a strong risk culture, strong accountability and business acumen within all parts of Swedbank. The framework is aligned with Swedbank's strategy and business planning process, in which risk-based planning is an integrated part. Internal regulations and guidelines are developed to secure strong risk control and steering. Swedbank's Enterprise Risk Management framework includes risk limits and KRIs applied for individual risk types, starting from the Board´s risk appetite down to the business areas for appropriate steering. The framework
also includes well-developed origination standards for prudent lending.
The Swedish and Estonian supervisory authorities concluded their investigations of Swedbank in March 2020. The investigations confirmed that Swedbank had deficiencies in its internal governance and control systems to prevent money laundering. A similar conclusion was reached by the independent investigation by Clifford Chance. In order to remediate the deficiencies and strengthen Swedbank´s capability to identify and control risks related to money laundering, Swedbank initiated a number of strategic programmes: Culture assessment, governance initiative and compliance review. The review phases of these programmes have been concluded, and a large number of measures have been taken. The programmes form part of the ongoing transformation phase of Swedbank. Further, an external consultancy firm has been assigned to conduct a yearly maturity assessment of Swedbank's Anti-Money Laundering and Counter-Terrorist Financing (AML/CTF) programme for three years. The first report confirmed a good progress of Swedbank's remediation programmes to remediate its historical deficiencies. The progress of the program was confirmed also in the second report issued during the fall 2021.
Swedbank has also identified elevated compliance risks in the customer protection area, and in the market surveillance area. Work is ongoing within the bank to address the deficiencies identified. Swedbank's Compliance function monitors this work.
Risk arises in all financial operations; hence a profound understanding and solid management of risks are central for any successful business. The risk culture throughout Swedbank is important for efficient risk management and, consequently, for a strong risk-adjusted return. The Board of Directors has the ultimate responsibility to set the risk appetite to limit Swedbank's risk-taking including minimum capital and liquidity levels. Through the ERM Policy, the Board provides the key principles on risk management and control in order to support the business strategy. Furthermore, the ERM Policy stipulates Swedbank's risk strategy and risk appetite, the concept of three lines of defence and the fundamental principles of risk management.
The activities of the risk organisation and compliance organisation are regulated in separate policies adopted by the Board. The Board has established a Risk and Capital Committee (RCC), an Audit Committee (AC), a Remuneration Committee (RC) and a Governance Committee (GC). The committees support the Board in matters related to risk management, governance, capital requirements and remuneration. For further information on these committees, see the Swedbank Corporate Governance Report available on:
www.swedbank.com/about-swedbank/management-
Swedbank's risk organisation and compliance organisation are responsible for independently ensuring that key risks are identified, assessed and properly managed. Decisions made should always be in line with Swedbank's risk appetite. The Board and the CEO are regularly informed on the overall risk and the exposures for all risk types. Furthermore, the Board and the CEO are also regularly provided with information regarding changes in Swedbank's risk limit framework structure and, in case of a breach, the actions needed to be taken to mitigate the breach. Swedbank's risk organisation and compliance organisation are responsible for providing the business operations with guidance and support by developing and maintaining, for example, internal regulations and guidelines.
The CEO has overall operational responsibility for the management and control of Swedbank's risks including the responsibility for reporting to the Board of Directors. The CEO is responsible for communicating and implementing the risk management and control defined by the Board, to ensure that there is an implemented and well-functioning internal control within the organisation. Based on the Board's overall governing documents, the CEO issues more detailed regulations for the operational management and control of Swedbank's risks. The CEO also has delegated parts of the operational responsibility for risk management to Swedbank's unit managers. The CEO has established the Group Executive Committee (GEC) to support in the effective management and governance of the Group.
The Group Risk and Compliance Committee (GRCC), chaired by the CRO, gives recommendations to the CEO and supports senior management in decisions about management of non-financial risk and compliance matters. This includes reviewing, monitoring, and challenging of the Group's risks in terms of significant exposures, risk trends, losses, management actions, and performance versus risk appetite. The GRCC supports the accurate management of findings by internal audit, risk and compliance. In order to further strengthen the risk management arrangements, in both Group functions and business areas, the GRCC is supported by Business Area Risk and Compliance Committees (BARCCs). Individual BARCCs are established in all business areas and relevant Group functions, and have similar setup as the GRCC.
The Group Asset Allocation Committee (GAAC), chaired by the CFO, gives recommendations to the CEO and supports senior management in matters related to the management of assets, liabilities, capital and the balance sheet structure, in order to ensure a robust system of financial control. GAAC is responsible for supporting that the Group's financial risk exposures stay within the risk appetite and the distributed risk limits as well as ensuring that the risk appetite framework and the level, type and allocation of internal capital adequately cover the underlying financial risks. Furthermore, GAAC supports the CFO in decisions on the management and allocation of capital, liquidity and
funding position, in order to support the implementation of business objectives. Each Business Area (BA) has established a Business Area Asset Allocation Committee (BAAC). BAAC assists the BA Head in discharging his/her duties in the BAAC scope. This includes pre-approval of annual targets on BA level for lending volume and/or total Risk Exposure Amount (REA) growth, partake in tasks concerning the internal capital assessment, provide recommendations regarding choice of scenarios and evaluate the results of simulations and stress prior to submission to GAAC. Furthermore, BAAC ensures BAs are compliant with the business steering principles decided by the Group in GAAC.
In the Group Policy on Diversity & Inclusion the bank sets a high standard for equality, diversity and inclusion to be inherent parts of the organization - all employees shall be treated equally which is followed up annually, and active measures are in place to increase gender balance and diversity where needed. In order to favour independent opinions and critical thinking both the Board, the Subsidiary Boards and the top management shall, with due consideration to local regulations, consist of sufficient diversity concerning for example gender, age, geographical origin, educational- and professional background. Swedbank aims for a 40/60 gender balance either way in all decision-making bodies, which also applies for the Board. The Board members are proposed by the Nomination Committee and elected at the Annual Shareholder Meeting. The Board does not currently meet the aspiration of gender balance, as it consists of 36% women and 64% men, without Employee Representatives included in the calculation, as they are nominated by the Trade Unions, which the bank cannot affect. The instruction for the Nomination Committee work sets out that an even gender representation shall be attained over time, meaning that at least 40% of the members of the Board of Directors shall be of either gender.
The Risk-based planning (RBP) process ensures that senior management considers the risks related to the business, that adequate resource and actions to manage the risks are planned for and prioritized as well as an overarching risk view is communicated. RBP also helps to improve coordination and information-sharing between Group Risk, Group Compliance and Group Internal Audit towards aligned assurance. The RBP process is an integrated part of Swedbank's annual Activity planning.
Swedbank has established a Group-level recovery plan in accordance with the Bank Recovery and Resolution Directive (BRRD) regulatory framework. The plan has been aligned with the guidelines and technical standards issued by the European Banking Authority. The recovery plan describes a set of measures that can be applied in distress in order to restore the sound financial position of Swedbank, and to ensure the continuity of critical financial services provided by Swedbank in all its home markets. The plan also describes a wide range of recovery indicators along with trigger levels that can be easily monitored to capture potential stress in a timely manner. Further, in Swedbank's corporate governance structure, the rules for escalation and decision-making to be used under stressful conditions are described.
Successful risk management requires a strong risk culture and a common approach. Swedbank has built its risk management on the concept of three lines of defence, with
Owns and manages risks in the day to day operations
Establishes infrastructure, monitors and assesses risks
• Group Risk
• Group Compliance
Evaluates the effectiveness of the first and second lines of defence
• Group Internal Audit
clear division of responsibilities between the risk owners in first line of defence responsible for managing risks and control functions, i.e. Group Risk, Group Compliance and
First line of defence refers to all risk management activities carried out by the business operations within the business areas, product areas and group functions. The first line management take or are object of risks and are responsible for the continuous and active risk management.
Management own the risks within their respective area of responsibility and are responsible for ensuring that there are appropriate processes and internal control structures in place that aim to ensure that risks are identified, assessed, managed, monitored, reported and kept within the boundaries of the Group´s risk appetite and in accordance with the risk management framework. First line responsibilities also include establishing a relevant governance structure and to secure that activities comply with external and internal requirements. The risk management framework clarifies the ultimate risk management responsibility by the first line of defence.
Second line of defence refers to the independent risk management functions, the risk control organisation (Group Risk) and compliance organisation (Group Compliance). These functions define the risk management framework, covering all material risks that the Group faces. The framework governs how to identify, assess, measure, monitor, manage and report on risks. Second line also monitors and assesses that effective risk management processes and controls are implemented by the relevant risk owners. The second line challenges and validates the first line's risk management activities, controls and analyses the Group's material risks and provides independent risk assessment and reporting to the CEO and the Board.
SWEDBANK Risk Management and Capital Adequacy Report – Pillar 3 – Q4 2021 The second line of defence is organisationally independent
from first line and shall not carry out operational activities in the business or the unit they monitor and control.
Group Internal Audit.
Third line of defence refers to Group Internal Audit which is governed by and reports to the Board. Group Internal Audit is responsible for evaluating governance, risk management and the control processes within the first and second lines of defence. Group Internal Audit is organisationally independent from the first and second lines and shall not carry out operational activities in the other functions.
The ERM Policy states that Swedbank shall maintain a low-risk exposure. The Board of Directors establishes the fundamental principles for Swedbank's risk management and decides on the overall risk appetite as well as risk appetites for each main risk type (see below). The risk appetites are further operationalised by limits and complementary KRIs set by the CEO and Executive management and, where applicable, lower management level. The limits and KRIs are independently assessed and approved by second line.
The risk appetite and limits are designed to secure that Swedbank sustains its low-risk exposure, taking into account Swedbank's business operations. The risk limit framework structure includes escalation principles in the event of any breaches of the risk appetite or limits.
Swedbank maintains a well-diversified credit portfolio with a low-risk exposure. All credit activities strive for long-term customer relationships and rest on strong business acumen to achieve solid profitability and a sound credit expansion for long-term stability. The low-risk exposure is
maintained by sustainable lending to customers with high debt-service capabilities, by maintaining a strong collateral position and by portfolio diversification within and between sectors and geographies. The customers are present in Swedbank's four home markets and in the other Nordic countries where Swedbank has branches, and are mainly private individuals, and small and medium-sized companies.
Counterparty credit risk arises as a result of hedging of own market risk and from customer-related trading activities. Swedbank is conservative when choosing interbank counterparts. In the derivatives business, Swedbank strives to have International Swaps and Derivatives Association (ISDA) supplemented with credit support annex (CSA), similar or other netting agreements with Swedbank's customers. Furthermore, Swedbank restricts the extent of its counterparty credit risk exposure through several actions such as setting counterparty limits, CVA limits and FX settlement limits. Counterparty credit risk is integrated in the Credit Risk limit structure.
The majority of Swedbank's market risk is structural or strategic in nature and emerges within Group Treasury. Market risk also arises in the daily market-making and client facilitation activities of the trading book. Swedbank's risk-taking is limited by a risk appetite, established by the Board of Directors. The Group has a low risk appetite for market risk and is willing to accept it only as part of managing the Group's own financial risks and to support customer needs. Market risks shall be managed with the aim to have low earnings volatility and to preserve the long-term value of the Group.
A strong capital position is essential to the Group's strategy of being a low-risk bank. Long-term stability in the capital position enables the Group to seek business opportunities, access cost-efficient funding, retain its competitiveness as a counterparty and achieve its targets for shareholder distributions, under normal economic environments and stressed conditions (both actual and as defined for internal capital planning or stress testing purposes). Capital management is intended to be holistic and flexible in order to react to a range of potential events and handle different sources of capital risk. A range of methodologies are used to identify and manage the risk, such as targets and limits, forecasting, modelling and stress testing.
The level of liquidity risk that is acceptable for achieving the strategic goals of the Group, the risk appetite, is defined by the Board of Directors. Internal policies state that Swedbank's appetite for liquidity risk shall be low, and that the liquidity profile shall be resilient towards both short-term and long-term liquidity stress, without relying on forced asset sales or other business disrupting activities.
For meeting these requirements, an adequate liquidity generating capacity shall be maintained – properly sized for withstanding adverse circumstances.
Internal policies further state that Swedbank shall have a long-term, stable, well-diversified funding and investor base with a wholesale funding operation that is well diversified across markets, instruments and currencies. Furthermore, Swedbank shall strive to avoid maturity mismatch risk in assets funded by unsecured funding. All non-liquid assets, not eligible for covered bond issuance, shall be funded either through customer deposits or through wholesale funding with a maturity, to the largest extent, matching or exceeding that of the assets.
Group Treasury has the overall responsibility to manage the Group's liquidity, which includes ensuring that the Group's liquidity risk is kept within the mandates provided by the Board of Directors, the CEO and the CFO. Group Treasury is responsible for the first line risk management including identifying, measuring, analysing, reporting, monitoring and management of the liquidity risk exposure across Swedbank.
Swedbank strives to maintain a low risk exposure in operational risk, with the aim to manage operational risks to be resilient without experiencing incidents, reputational damage and operational losses that have material negative impact on Swedbank's business continuity, funding, capitalisation, or third-party credit rating. The maximum level of operational risk is further defined as qualitative and quantitative statements and the risk limits.
Operational risks are to be kept at the lowest possible level taking into account business strategy, market sentiment, regulatory requirements, rating ambitions, and the capacity to absorb losses through earnings and capital. They shall be considered in business decisions and as far as possible in the pricing of products and services. Managers shall ensure that the operational risks inherent in their respective areas are identified, assessed, and properly managed in the day-to-day operations.
The impact of ESG factors on existing risk types should be considered throughout the risk management process. Reporting and monitoring of ESG risk relating climate change shall be done, and reporting in relation to greenhouse gas emissions shall be implemented to provide a track record for Swedbank's progress towards net-zero emission.
Strategic risk is inherent in all banking activities such as risk arising from changes in the business environment and from business decisions, improper implementation of decisions or lack of responsiveness to changes in the business environment that might lead to failure in reaching the bank's strategic goals. The Group's risk appetite for
strategic risk is low. This means that the Group shall have in place robust and effective risk management and processes that supports and ensures that the Group´s material strategic decisions, responses to a changing business environment and governance are aligned with the Group's strategic direction and supports the Group in reaching its strategic targets.
Compliance risk encompasses financial crime risk, conduct risk, and regulatory compliance risks which are further divided into respective sub-types in order to provide clarity in roles and responsibilities. All sub-types have clear qualitative risk appetite statements which are aligned with the overall strategy of the bank and supplemented with qualitative and quantitative ways of
measuring the risk exposure (KRIs) in order to provide active steering and oversight for each sub-type. Risk appetites shall be coupled with robust and effective risk management processes to uphold the conduct of the Group, which enables management of the risks in accordance with the principles set in relevant rules, regulations, and frameworks.
For governing, controlling and supporting the proper handling of compliance matters, Swedbank has established Group Compliance that is responsible for monitoring compliance risks and providing assurance to the CEO and the Board of Directors that Swedbank's business is being conducted in accordance with the compliance risk appetite.
Swedbank strives to meet stakeholders' expectations and financial needs, and taking and managing risks is fundamental to the Group's business model and value creation. As part of the risk strategy, the Group aims to build long-term relationships with customers in the Group's home markets, as well as in the other Nordic countries where the Group has branches. Hence, the Group assumes risks in a conscious and controlled manner when supporting its customers. The work associated with ESG risks has intensified and enhances the bank's capability to further assume risk in accordance with the business model.
The Group's risk appetite is decided by the Board of Directors and implemented by the CEO through internal rules and a risk management framework. This framework consists of several parts. A Group-wide risk culture, rooted in the Group's values and ethical standards. Clear goals and focus on low risk appetite. A continually good administrative order, is a key element of the Group's effective risk management and enables the Group to make sound and informed decisions.
To ensure that Swedbank is well capitalised in relation to the risks and maintains a sound liquidity position, there are risk appetites for capitalisation and liquidity. The risk appetite for capitalisation considers both statutory and future requirements as well as an assessment of capital requirement, based on Swedbank's model for economic capital (EC), and the impact of adverse scenarios. The CET1 capital ratio stood at 18.3% by the end of 2021 and the total capital ratio at 22.4% while the leverage ratio reached 5.4%. The strong capital ratios are well above the regulatory requirements and the CET1 ratio buffer is above Swedbank's capital target range. The leverage ratio shows a healthy distance to the minimum leverage ratio requirement of 3% implemented in conjunction with CRR in June 2021.
Risk appetite is the level of liquidity risk that is acceptable for achieving the strategic goals of the Group. The Group has a low appetite for liquidity risk to ensure that the Group always can continue to serve its customers and shall therefore maintain resilience towards both short-term and long-term liquidity stress without relying on forced asset sales or other business disrupting activities. For the purpose of ensuring that liquidity risk stays within appetite, and ultimately for supporting the Group's strategic goals, the maintenance of a liquidity-generating capacity together with funding planning and risk identification, are central processes within Swedbank's liquidity risk management.
The risk appetite is limited by the regulatory metrics Liquidity Coverage Ratio (LCR) and Net Stable Funding Ratio (NSFR), and by survival periods, as measured by the internal Survival horizon metric. In an assumed adverse scenario, the Survival horizon metric displays the number of days with a positive net liquidity position, taking future cash flows from all aspects of the balance sheet into account. Throughout 2021, Swedbank's liquidity position was strong with all key metrics remaining well above internal and regulatory requirements.
In addition, capital and liquidity stress tests were conducted to increase the awareness of potential effects from disruptions in the financial markets. The stress tests focused on both Swedbank specific and market related disruptions, and considered combined effects, i.e. scenarios where disruptions occur at the same time. A key objective of Swedbank's ICAAP stress testing programme is to ensure that the Group's business model remains viable in different scenarios, ranging from expected to severely adverse. In 2021, Swedbank simulated the impact of escalating trade wars, Covid-19 pandemic lockdowns and considered the transition risks stemming from the implementation of climate change combatting policies. All ICAAP stress tests confirmed that the Group's financial position and risk exposure provide sufficient resilience to withstand the impact of severe economic stress. In addition to stress testing scenarios, the economic capital calculations consistently demonstrate the Group's capital strength.
Swedbank's credit exposures have low risk and are well diversified. The low risk is confirmed in stress tests and 86% of all risk classified exposures have an internal rating corresponding to investment grade. Swedbank's customer base, which mainly consists of private individuals and small and medium-sized companies in Sweden and in the Baltic countries, but also large corporates, mainly in Sweden, is the foundation for the low risk. Private mortgage is Swedbank's largest loan segment and amounted at the end of 2021 to SEK 991bn, almost 60% of Swedbank's total loans to the public. The risks in household mortgage lending are low and the customers repayment capacity is good, proved by low historical losses. The diversification in terms of number of customers is large and the geographical distribution wide.
Market risk comprises 2.9% of the total Risk Exposure Amount (REA) for Swedbank. Swedbank shall keep a low risk exposure including limited risks in the financial markets. The Group's activity in these markets is designed to satisfy the long-term needs of its customers. The low risk exposure is manifested through the risk appetites for Trading Book and Banking Book respectively, combined with a comprehensive limit structure. For the Banking Book, there are additional risk appetite levels expressed as the negative impact on economic value, mark-to-market and net interest income due to adverse stressed interest rate risk movements.
Operational risk is the second largest risk type for Swedbank, from the Pillar 1 perspective, amounting to SEK 6 049m minimum capital requirement as of 31 December 2021. As a bank for the many households and companies, key operational risks are often those related to the availability of Swedbank's services, and the integrity and confidentiality of the data entrusted to Swedbank. The risk appetite for operational risk is expressed in terms of tolerance for levels and types of risks with respect to Swedbank's overall low risk exposure. During the year, total operational risk losses amounted to SEK 168m. During 2021, the critical impacts of the Covid-19 pandemic have been gradually decreasing. However, the existing challenges associated with the pandemic and the extraordinary need to continuously strengthen the remote availability of our banking services has remained in focus in all Swedbank home markets. The ongoing digital transformation, evolving technological trends, remote ways of working as well as organized crime exposes Swedbank to security threats including cyber risk and external fraud risk which has raised the need for improved IT risk, business continuity and information security management. In addition, during 2021, Swedbank faced several recurring IT incidents which caused disruptions in significant customerfacing services, and elevated operational risks related to IT stability. In order to respond to that, several initiatives are ongoing to further improve operational resilience, ensure acceptable levels of residual risks, and ensure a high level of availability for our customers.
The Board of Directors has initiated substantial changes to the management of the Group and as a result several remedial programmes have been established, including programmes to improve measures of combating money laundering and terrorist financing, to improve governance, an enhanced compliance programme as well as the cultural behavioural mapping. During 2021 the governance structure has been reviewed and changed in order to further clarify responsibilities and strengthen overall steering.
The previously identified shortcomings related to the governance of anti-money laundering within Swedbank have negatively impacted the market value and reputation of Swedbank beyond the risk appetite set by the Board of Directors. In addition to the observations reported on money laundering and terrorist financing, Swedbank has also identified elevated compliance risks in the customer protection area, and in the market surveillance area. Work is ongoing within the bank to address the deficiencies identified. Swedbank's compliance function monitors the work.
During 2021 there has been no transaction of material enough nature to impact Swedbank´s overall risk exposure. The remedial programme related to AML deficiencies continues according to plan. A strengthening of the governance arrangements in the Baltic entities have largely been implemented.
Swedbank has through established risk management processes, including strengthened governance, organisational changes, increased resources and the remedial programme to combat money laundering and terrorist financing, adequate arrangements for risk management considering the bank's low risk appetite and the bank´s chosen strategy of being the leading bank for the many households and businesses in our home markets.
| Göran Persson | Bo Magnusson | Bo Bengtsson | Göran Bengtsson | |
|---|---|---|---|---|
| Göran Persson has extensive experience leading the boards of both state-owned and private enterprises. He provides his social engagement and large network as well as broad experience with national and international economic issues and sustainable development. |
Bo Magnusson has many years of experience in the financial industry in Sweden and internationally both as a senior executive and director. In addition to broad competence from the financial sector, he contributes his knowledge of the real estate industry. |
Bo Bengtsson brings to the Board a wealth of experience in banking and finance and has held a number of senior positions in the Swedish savings bank movement, including many years as CEO. Bo is currently Chair of Sparbanken Skåne. |
Göran Bengtsson brings to the Board his extensive experience in banking and finance. Göran has held a number of senior positions at Swedbank in the credit area and is currently CEO of Falkenbergs Sparbank. |
|
| Education | University studies in sociology and political science |
Higher banking education | Higher educational studies, leadership training etc |
Bachelor's Programme in Business and Economics, University of Borås |
| Bank specific experience |
Board: 7 years (2015) | Operational: 29 years Board: 9 years (2013) |
Operational: 23 years Board: 2 years (2020) |
Operational: 32 years Board: 2 years (2020) |
| Number of directorships* |
Three Board of Directors assignments. |
Two Board of Directors assignments. |
Three Board of Directors assignments (one in an organisation with no predominant commercial objective). |
CEO and four Board of Directors assignments (three part of role as CEO, all in organisations with no predominant commercial objective). |
* As per 31 Dec 2021. Includes directorships in Swedbank.
| Annika Creutzer Hans Eckerström |
Kerstin Hermansson | Bengt Erik Lindgren | |||
|---|---|---|---|---|---|
| Annika Creutzer contributes her extensive experience in finance and the media, with a focus on business journalism and public education. |
Hans Eckerström, who has an extensive background as a partner and employee of Nordic Capital as well as a director of investment companies, brings to the Board his business acumen and experience in the financial industry. |
Kerstin Hermansson mainly contributes to the Board her experience in securities and compliance issues. She is an attorney with many years of experience in the European securities market. |
Bengt Erik Lindgren has many years of experience as a director in the banking and real estate sectors. He has also held many senior positions at Swedbank, Föreningssparbanken and in the Swedish savings bank movement. |
||
| Education | Economics degree, Stockholm University |
M.Sc. Mechanical Engineering, Chalmers University of Technology M.Sc. Business Administration, University of Gothenburg School of Business |
LLM, Lund University | Uppsala University, 2-year combined education (Business Administration, Sociology, Human resource management) |
|
| Bank specific experience |
Operational: 5 years Board: 1 year |
Board: 2 years (2020) | Operational: 9 years Board: 3 years (2019) |
Operational. 35 years Board: 10 years |
|
| Number of directorships* |
CEO and two Board of Directors assignments (one in role as CEO). |
Four Board of Directors assignments. |
Four Board of Directors assignments (three in organisations with no predominant commercial objective). |
Two Board of Directors assignments. |
* As per 31 Dec 2021. Includes directorships in Swedbank.
| Roger Ljung | Anna Mossberg | Per Olof Nyman | Biljana Pehrsson | |
|---|---|---|---|---|
| Roger Ljung is an employee representative and has broad experience in banking from both the private and corporate sectors. |
Anna Mossberg contributes her experience in digital change. She has long background in the internet and telecom industries, including as Business Area Manager at Google, and many years in various senior roles at Telia and Deutsche Telecom AG. |
Per Olof Nyman is CEO and Group President of Lantmännen, Northern Europe's leader in agriculture, machinery, bioenergy and food products, where he has held senior positions since 2008. Per Olof has extensive knowledge from the agricultural and forestry sector as well as long operational experience from the food and white goods sectors. |
Biljana Pehrsson has an extensive background as a senior executive and director in real estate and private equity. Biljana brings to the Board her expertise and experience in strategy, leadership and change as well as the real estate and financial industries. |
|
| Education | Upper secondary education |
Executive MBA, IE University, Spain Executive MBA, Stanford University, USA M.Sc., Luleå University of Technology |
M.Sc. Industrial Economics (investment and finance theory), Linköping University IFL School of Economics, Accounting & Financial Management IT and commercial law, Örebro University |
M.Sc. Engineering, Stockholm Royal Institute of Technology |
| Bank specific experience |
Operational: 35 years | Board: 4 years (2018) | Board: 1 year | Board: 2 years (2020) |
| Number of directorships* |
Four Board of Directors assignments (all related to union assignment and within organisations with no predominant commercial objective). |
Five Board of Directors assignments (the fifth assignment separately approved by SFSA). |
CEO and seven Board of Directors assignments (six part of role as CEO, of which two are within the same group and two within organisations with no predominant commercial objective, and one separately approved by SFSA as additional assignment). |
CEO and 131 Board of Directors assignments (130 part of role as CEO and of which 129 are within the same group and one within organisation with no predominant commercial objective). ** |
* As per 31 Dec 2021. Includes directorships in Swedbank.
** It is noted that Biljana Pehrsson left her position as CEO, and all Board of Directors assignments related to her role as CEO, on 10 January 2022.
| Åke Skoglund | Jens Henriksson | |
|---|---|---|
| Åke Skoglund is an employee representative with many years of experience from various positions within Swedbank. |
Jens Henriksson has extensive experience from leading roles in government, public institutions and private companies. He has in depth knowledge of financial markets, international economic affairs and public finances, with a broad network within and over several industries. |
|
| Education | Business administration, Stockholm University |
BA Economics, MSc Electrical Engineering, Control Theory, and Fil. Lic. Economics |
| Bank specific experience |
Operational: 32 years | Operational: 3 years Board: 1 year |
| Number of directorships* |
Three Board of Directors assignment (all related to union assignment and within organisations with no predominant commercial objective). |
Four Board of Directors assignments related to his role as CEO of Swedbank (all within organisations with no predominant commercial objective). |
* As per 31 Dec 2021. Includes directorships in Swedbank.
The Remuneration Policy states the foundations and principles for establishing remunerations within the Group, how the policy should be applied and followed-up as well as how the Group identifies which employees whose professional activities have a material impact on the risk profile (Material Risk Takers). In order for the bank to be able to identify, measure, direct and report internally and to control the risks its business involves in, the remunerations within the bank should be designed so that they are compatible with and encourage efficient risk management and counteract excessive risk taking. Remunerations to individual employees must not counteract the bank's longterm interests.
The Remuneration Policy is reviewed on an annual basis and at other times as necessary. The bank's Board of Directors' decision to introduce the Remuneration Policy is preceded by and based on an analysis of what risks are associated with the Group's remuneration system and policy. The most recent Remuneration Policy was adopted on 18 February 2021. The adjustments mainly concerned (i) prolonged deferral periods for Material Risk Takers reaching higher variable remuneration levels and (ii) revised criteria for identifying Material Risk Takers. Both changes related to new regulatory requirements. Based on Swedbank's current remuneration practices, variable remuneration levels and practices for identifying Material Risk Takers, the changes are not anticipated to lead to significant changes for Swedbank's remuneration practices nor make any significant impact on affected individuals.
The CEO of the bank and those executives who are members of the Group Executive Committee, are subject to the Guidelines for remuneration of top executives applicable at any given time. These guidelines are decided by the shareholders meeting in Swedbank AB pursuant to chapter 7 section 61 of the Companies Act.
The principles for variable remuneration are set out in the Remuneration Policy, which covers all employees within the Group. Group HR & Infrastructure is responsible for preparing Remuneration Policy proposals. The CEO together with GEC recommends proposals for submission to the Board's Remuneration Committee. The Remuneration Policy is prepared by the Remuneration Committee prior to a decision by the Board of Directors.
The Remuneration Committee is the committee of the Board of Directors which deals with matters concerning remuneration. The Board of Directors appoints the members of the committee. It consists of a minimum of two and a maximum of five board members. The committee's members shall be independent from Swedbank and the Group's executive management. The Chair of the committee should have knowledge and experience from risk analysis and the committee's members shall have requisite knowledge of and experience in matters regarding remuneration of top executives and
risk management. The Remuneration Committee prepares matters concerning remuneration prior to discussion and decisions by the Board of Directors. The Remuneration Committee also prepares matters concerning remuneration to be decided by the Annual General Meeting. The Remuneration Committee had nine meetings during 2021.
The CEO together with GEC evaluate the fulfilment of targets that form the basis of variable remuneration in each business area and prepare and recommend proposals on payments, policies and guidelines for submission to the Board's Remuneration Committee.
The Business Area Heads provide the CEO with supporting information for decisions in each business area.
Group Functions consist of among others the Group functions of HR, Finance, Risk, Legal and Compliance. Their aim is to support the CEO and other decision makers in composing instructions and detailed provisions for variable remuneration within the Group. Some of the functions are also responsible for monitoring and reporting.
Material Risk Takers in Swedbank are to be encouraged to perform according to Swedbank's goals and strategic direction. The remuneration shall also encourage employees to act according to Swedbank's values (open, simple and caring) since this is considered to be the foundation for a successful, sustainable and long-term business. Further, the total remuneration shall be designed in a way that makes Swedbank attract employees with the needed skills within the existing margins of cost.
Most of the Material Risk Takers have remuneration with one fixed and one variable part which, together with other benefits, make up the employee's total remuneration. The goal is to reach a healthy balance between the variable and the fixed part of the remuneration. Benefits including pension are granted in accordance with collective bargaining agreements, the bank's principles and market practice in the country where each employee is permanently resident.
Variable remuneration is a component of remuneration which aims to incentivise specific behaviours and desired results, create an alignment between the rewards and risk exposure to those of the shareholders and provide motivation and foster a performance driven culture in the Group.
Variable remuneration is tied to individual performance, the Group's total result and the business area result during the performance year. Variable remuneration is based on relevant, predetermined, and measurable criteria, set with the purpose of increasing the Group's long-term value. Both current and future risks will be taken into consideration as well as actual costs for capital and liquidity. Further, a multiple-year perspective shall be applied to ensure longterm sustainability of profits considering underlying business cycles and risks at the time of pay-out. In the
event that subjective assessments are used for adjusting profit based on risk, factors forming the basis for the adjustment must be well balanced and documented. Variable remuneration will primarily be based on a common risk-adjusted measure of profit. Allotments of variable remuneration are contingent on a positive economic profit (operating profit after deducting company tax and the cost of capital) at the business area and Group levels.
Within Swedbank's Performance Development process, individual performance criteria are set to contribute and support Swedbank's overall strategic direction, in which sustainability is an important part. The individual performance criteria will include desired results as well as a behavioural part to ensure that individual behaviours are consistent with Swedbank's values (open, simple and caring). Further, sustainability risks are integrated in Swedbank's remuneration practices by including qualitative individual performance criteria as basis for allotment of variable remuneration for all employees, e.g. as adherence with Swedbank's values, as well as applying deferral periods and the delivery of variable remuneration in instruments for the majority of the employees. Lack of compliance with external or internal regulations or deficiencies in risk management capabilities are such circumstances that are considered inconsistent with Swedbank's values.
Swedbank currently has two variable remuneration programs in which Material Risk Takers may participate. A) For the majority of the Material Risk Takers and other employees included in the general program, Eken 2021, 100% of the variable remuneration will be deferred for three years, whereas five years (including one year retention period) is applicable for Material Risk Takers with higher levels of remuneration, and paid out in Swedbank AB shares. The deferral period for Material Risk Takers who are also members of the Group Executive Committee is five years, followed by a one-year retention period for half of the shares. Shares is chosen as the financial instrument as it contributes to the alignment between the rewards and risk exposure of shareholders and employees. B) For employees included in the individual program, IP 2021, the variable remuneration is either based on Swedbank AB shares and cash or solely on cash. For Material Risk Takers half of the variable remuneration is based on Swedbank AB shares and half is cash based. At least 40% of the variable remuneration will be deferred for three years, followed by an additional one-year retention period for the share-based part. For Material Risk Takers with higher levels of remuneration, the deferral period amounts to four years, followed by an additional one-year retention period for the share-based part. For other IP participants the variable remuneration is fully cash based and deferral is applied in certain cases.
266 Material Risk Takers in Eken 2021 and IP 2021 benefitted from the possibility of derogations under Art. 94 (3) b of Directive 2013/36/EU. The derogations were applied by granting the affected Material Risk Takers
shorter deferral periods (three years), and for participants in Eken 2021, no retention period was applied. The total remuneration for the affected Material Risk Takers amounted to SEK 487m, of which SEK 399m constitutes fixed remuneration and SEK 87m constitutes variable remuneration.
Any variable remuneration to employees in control functions will be determined based on objectives set in the respective control function, independently of the earnings in the business areas they oversee.
Eken is primarily based on the capital cost and riskadjusted result for the Group, where Eken 2021 has been based on the target level of 15% Return on Equity (ROE) for Swedbank Group, which in average can give an allocation of 0.5 monthly salaries as regards employees in Sweden. The individual average allocation in Eken 2021 can amount to a maximum of 0.8 monthly salaries for employees in Sweden. If maximum re-allocation is made, the maximum Share Performance Amount corresponds to three times the average allocation based on the ROE result. In Eken 2021, the target fulfilment for ROE was 13.2%, which can give an average allocation of 0.3 monthly salaries for employees in Sweden.
The Board can withhold variable remuneration if the Group's financial position has been greatly weakened or there is a significant risk of this occurring, or if improper actions by individuals have adversely affected Swedbank's or a business area's results.
Variable remuneration will only be delivered provided that delivery is justified considering: A) The financial health of the Group and, if relevant, the subsidiary in which the employee is employed and the relevant business unit where the employee works; and B) The relevant employee's performance against the individual performance criteria. Further, deferred variable remuneration may be cancelled during the deferral period for the aforementioned reasons. The bank or the employer has the right to reclaim any variable remuneration paid or delivered on the basis of information which is later turned out to be clearly erroneous or the result of fraudulent activities.
The maximum ratio between variable and fixed remuneration is set in accordance to legislation in force and may never exceed the variable remuneration cap as decided by the Annual General Meeting and/or applicable regulations. For Material Risk Takers the variable remuneration shall not exceed 100% of the yearly fixed remuneration for each individual.
Material Risk Takers are defined in accordance with the Swedish Financial Supervisory Authority's regulation FFFS 2011:1, which implements Directive 2013/36/EU Art. 92.3 in Sweden, and the Commission Delegated Regulation (EU) No 2021/923 based on Art. 94.2 in Directive 2013/36/EU with regard to regulatory technical standards with respect to qualitative and appropriate quantitative criteria to identify categories of employees whose professional activities have a material impact on an institution's risk
profile. Material Risk Takers in Swedbank have been identified based on evaluated positions as of 31 December 2021. Identified staff based on other sectorial regulations covering employees within asset management, is not included in the definition of Material Risk Takers.
Guaranteed variable remuneration is only permitted in connection with new employment, and if exceptional reasons apply, in the form of sign-on remuneration and shall be paid during the first year of employment. Guaranteed variable remuneration may only be granted subject to prior approval from GEC.
Severance pay should not be awarded if a Material Risk Taker voluntarily and unilaterally resigns from his/her
position and leaves his/her employment within the Group, unless severance pay is required by national labour law. Severance pay can be awarded to Material Risk Takers in order to comply with national labour laws and employment contracts and/or in order to avoid a potential or actual labour dispute and to therefore avoid a decision by the courts. Severance pay to Material Risk Takers should be determined based on objective criteria such as job level and length of employment. Severance pay shall also be in line with national labour laws and market practice and determined in accordance with the bank's internal severance pay practices.
| MB Supervisory function |
MB Management function |
Other senior management |
Other identified staff | ||
|---|---|---|---|---|---|
| SEKm | |||||
| Number of identified staff | 12 | 2 | 14 | 317 | |
| Total fixed remuneration | 15 | 21 | 88 | 544 | |
| Of which: cash-based | 15 | 21 | 88 | 544 | |
| (Not applicable in the EU) | |||||
| Fixed | Of which: shares or equivalent ownership interests | ||||
| remuneration | Of which: share-linked instruments or equivalent non cash instruments |
||||
| Of which: other instruments | |||||
| (Not applicable in the EU) | |||||
| Of which: other forms | |||||
| (Not applicable in the EU) | |||||
| Number of identified staff | 0 | 1 | 10 | 266 | |
| Total variable remuneration | 0 | 2 | 42 | ||
| Of which: cash-based | 14 | ||||
| Of which: deferred | 6 | ||||
| Of which: shares or equivalent ownership interests | 0 | 2 | 28 | ||
| Variable | Of which: deferred | 0 | 2 | 20 | |
| remuneration | Of which: share-linked instruments or equivalent non cash instruments |
||||
| Of which: deferred | |||||
| Of which: other instruments | |||||
| Of which: deferred | |||||
| Of which: other forms | |||||
| Of which: deferred | |||||
| Total remuneration | 15 | 21 | 90 | 586 |
| SEKm Guaranteed variable remuneration awards 1 Guaranteed variable remuneration awards - Number of identified staff 0 0 0 1 Guaranteed variable remuneration awards -Total amount 1 Of which guaranteed variable remuneration awards paid during the financial year, that are not taken into account in the bonus cap Severance payments awarded in previous periods, that have been paid out during the financial year 0 Severance payments awarded in previous periods, that have been paid out during the financial year - Number of identified staff 0 0 0 Severance payments awarded in previous periods, that have been paid out during the financial year - Total amount Severance payments awarded during the financial year |
|---|
| 1 Severance payments awarded during the financial year - Number of identified staff 0 0 0 |
| 2 Severance payments awarded during the financial year - Total amount |
| 2 Of which paid during the financial year |
| Of which deferred |
| Of which severance payments paid during the financial year, that are not taken into account in the bonus cap |
| 2 Of which highest payment that has been awarded to a single person |
| Deferred and retained remuneration SEKm |
Total amount of deferred remuneration awarded for previous performance periods |
Of which due to vest in the financial year |
Of which vesting in subsequent financial years |
Amount of performance adjustment made in the financial year to deferred remuneration that was due to vest in the financial year |
Amount of performance adjustment made in the financial year to deferred remuneration that was due to vest in future performance years |
Total amount of adjustment during the financial year due to ex post implicit adjustments (i.e.changes of value of deferred remuneration due to the changes of prices of instruments) |
Total amount of deferred remuneration awarded before the financial year actually paid out in the financial year |
Total of amount of deferred remuneration awarded for previous performance period that has vested but is subject to retention periods |
|---|---|---|---|---|---|---|---|---|
| MB Supervisory function | ||||||||
| Cash-based | ||||||||
| Shares or equivalent ownership | ||||||||
| interests | ||||||||
| Share-linked instruments or equivalent | ||||||||
| non-cash instruments | ||||||||
| Other instruments | ||||||||
| Other forms | ||||||||
| MB Management function | ||||||||
| Cash-based | ||||||||
| Shares or equivalent ownership interests |
||||||||
| Share-linked instruments or equivalent | ||||||||
| non-cash instruments | ||||||||
| Other instruments | ||||||||
| Other forms | ||||||||
| Other senior management | 2 | 0 | 2 | 0 | 0 | |||
| Cash-based | ||||||||
| Shares or equivalent ownership | 2 | 0 | 2 | 0 | 0 | |||
| interests Share-linked instruments or equivalent |
||||||||
| non-cash instruments | ||||||||
| Other instruments | ||||||||
| Other forms | ||||||||
| Other identified staff | 94 | 27 | 67 | 0 | -1 | 13 | ||
| Cash-based | 29 | 11 | 18 | 0 | 8 | |||
| Shares or equivalent ownership | 65 | 17 | 48 | 0 | -1 | 5 | ||
| interests | ||||||||
| Share-linked instruments or equivalent | ||||||||
| non-cash instruments Other instruments |
||||||||
| Other forms | ||||||||
| Total amount | 96 | 28 | 68 | 0 | -1 | 14 |
| EUR | Identified staff that are high earners as set out in Article 450(i) CRR | ||
|---|---|---|---|
| 1 000 000 to below 1 500 000 | 1 | ||
| 1 500 000 to below 2 000 000 | 1 | ||
| 2 000 000 to below 2 500 000 | |||
| 2 500 000 to below 3 000 000 | |||
| 3 000 000 to below 3 500 000 | |||
| 3 500 000 to below 4 000 000 | |||
| 4 000 000 to below 4 500 000 | |||
| 4 500 000 to below 5 000 000 | |||
| 5 000 000 to below 6 000 000 | |||
| 6 000 000 to below 7 000 000 | |||
| 7 000 000 to below 8 000 000 | |||
| To be extended as appropriate if further payment bands are needed. |
| Management body remuneration | Business areas | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| SEKm | MB Supervisory function |
MB Management function |
Total MB | Investment banking |
Retail banking | Asset management |
Corporate functions |
Independent internal control functions |
All other |
Total |
| Total number of identified staff | 345 | |||||||||
| Of which: members of the MB | 12 | 2 | 14 | |||||||
| Of which: other senior management | 2 | 2 | 0 | 3 | 4 | 4 | ||||
| Of which: other identified staff | 57 | 73 | 7 | 38 | 44 | 98 | ||||
| Total remuneration of identified staff | 15 | 21 | 36 | 169 | 129 | 10 | 91 | 83 | 194 | |
| Of which: variable remuneration | 0 | 0 | 0 | 19 | 11 | 0 | 6 | 3 | 5 | |
| Of which: fixed remuneration | 15 | 21 | 36 | 150 | 118 | 9 | 85 | 80 | 190 |
The risk of insufficient level or composition of capital to cover applicable capital requirements and support business activities under normal economic environments or stressed conditions.
Swedbank's Common Equity Tier 1 (CET1) capital ratio was 18.3% as of year-end, which represents a buffer towards the Swedish Financial Supervisory Authority's (SFSA) requirement and the Pillar 2 Guidance of 4.6 percentage points and makes Swedbank well-positioned to meet both current and future capital requirements. While the Covid-19 pandemic is still prevailing, the year has been marked by economic recovery. The capital generation of Swedbank has remained healthy with decreased credit losses and improved asset quality. At the same time, Swedbank has continued to support its customers to manage the pandemic.
Swedbank has adhered to its dividend policy of 50% payout ratio during the year. In line with the recommendation on dividend restrictions from the SFSA, Swedbank distributed only 25 percent of the profit of the financial years 2019 and 2020 in the beginning of 2021. The SFSA decided to not extend its recommendation on dividend restrictions after 30 September which enabled Swedbank to distribute the remaining dividend of 25 percent of 2019 and 2020 years' profit in October.
As a result of the strong capital position, Swedbank's Board of Directors proposed to distribute a special dividend of SEK 2 per share in addition to the ordinary dividend for the financial year of 2021. The special dividend reduces CET1 capital by SEK 2.2 billion and the CET1 capital ratio by 0.3 percentage points. The CET1 capital buffer of 4.6 percentage points remains well above Swedbank's capital target range of 1 to 3 percentage points. Swedbank has also issued USD 500 million of Additional Tier 1 capital during 2021 to optimise its capital structure.
The European Banking Authority (EBA) conducted its biennial stress test during the year and the result confirmed that Swedbank is one of the most resilient banks in Europe and has a good ability to withstand an adverse scenario. The maximum impact of the stress test on the CET1 capital ratio of Swedbank amounted to 2.5 percentage points, which would imply a robust buffer above capital requirements in the adverse scenario. The internal stress testing, conducted through ICAAP, also showed a satisfactory resilience against severe economic downturns.
The remaining parts of the Banking Package, containing the amended Capital Requirements Regulation and Directive (CRR II/CRD IV), entered into force during the year. In line with the revised Pillar 2 framework, Swedbank received a new Pillar 2 Requirement (P2R), replacing the previous Individual Pillar 2 requirement, and Pillar 2 Guidance (P2G) through the yearly SREP decision. Swedbank is subject to a P2R of 1.7% and a P2G of 1.5% REA. As part of the Banking Package, Swedbank became subject to a 3.0% minimum leverage ratio requirement which was supplemented by the SFSA with an additional 0.45% of P2G in Q3 2021.
The SFSA decided to raise the Countercyclical Capital Buffer (CCyB) rate to 1.0% in September 2021, which enters into force in September 2022. The SFSA has communicated that it will gradually increase the CCyB rate to 2.0% during 2022 if the recovery continues.
At year-end 2021, the CET1 capital ratio (i.e., the CET1 capital in relation to the REA), was 18.3% (31 December 2020: 17.5%). This can be compared with the capital requirement of 13.7% (12.4%).
During 2021, Swedbank's CET1 capital increased by SEK 9.1bn, to SEK 129.6bn. The change was mainly attributable to earnings, net of proposed dividend. The accounting for employee benefits (IAS 19) created volatility in the estimated pension liabilities and increased the CET1 capital by approximately SEK 1.4bn. The changes in the CET1 capital are shown in Figure 2.2 below.
REA increased during 2021 by SEK 18.2bn to SEK 707.8bn (31 December 2020: SEK 689.6bn). Credit risk REA excluding additional REA for Article 458 (mortgage floor)
decreased during 2021 by SEK 9.6bn.
Increased exposures including FX has increased credit risk REA by SEK 12.6bn, mainly due to increased exposures towards retail mortgage and corporate customers within both Swedish Banking and Baltic Banking. Credit risk REA increased also due to REA from equity investments as well as from FX effect, primarily affecting exposures within LC&I and Baltic Banking. The increases were partially offset by a decrease in other assets.
The additional REA according to Article 458 CRR contributed with an increase in REA by SEK 15.3bn during 2021, of which the mortgage floor for Swedish retail mortgages contributed by SEK 11.5bn. During the third quarter, the Swedish FSA decided to recognise the Norwegian Ministry of Finance's decision to introduce average risk weight floors for retail and corporate real estate exposures in Norway. This resulted in an increase in REA by SEK 3.8bn during 2021.
Improved asset quality (defaults, LGD and PD migrations) decreased credit risk REA by SEK 10.1bn. REA from defaults decreased by SEK 4.7bn, mainly due to increased provisions for corporate customers in default within LC&I.
LGD further decreased credit risk REA by SEK 3.6bn. Improved LGD levels from increased collaterals within retail mortgage customers in Swedish Banking and Baltic Banking as well as towards corporate customers within LC&I and Swedish Banking decreased REA by SEK 5.2bn. The decrease was partially offset by a REA increase of SEK 1.6bn due to a LGD model update towards retail mortgage customers within Baltic Banking. The model update was performed during the third quarter.
PD migrations contributed with a decrease in credit risk REA of SEK 1.9bn, mainly towards corporates within LC&I and Swedish Banking as well as towards retail customers within Swedish Banking. The decrease was partially offset by an increase due to downgrade of PD scores for corporate customers within Baltic Banking.
Other credit risk decreased REA by SEK 9.3bn. The
supporting factor for small and medium enterprises contributed with a decrease of SEK 4.8bn, mainly due to the introduction of the modified supporting factor method during the second quarter. The remaining decrease in credit risk REA is primarily due to shorter maturities for corporate exposures within LC&I.
Counterparty credit risk decreased REA by SEK 2.8bn, primarily due to decreased exposures towards institutions within LC&I.
REA for market risks increased by SEK 3.0bn in 2021, partly explained by market volatility during Q4 which created conditions for two new back testing breaches.
In 2021, REA for credit valuation adjustment decreased by SEK 2.1bn where the main driver was a decrease in EAD during the year.
The annual update of the operational risk calculation increased REA by SEK 2.1bn during the year. The increase in REA was mainly due to increased income levels. This impacted the capital requirement for operational risks since it is calculated based on a rolling three-year average of revenues.
The additional risk exposure amounts for Article 3 in the CRR resulted in a REA increase of SEK 9.5bn, primarily associated with changes of probability of default in the PD model for large corporates.
On 31 December 2021, Swedbank's leverage ratio was 5.4% (31 December 2020: 5.1%). The Tier 1 capital increased by SEK 14.2bn to SEK 143.0bn. The change was mainly attributable to earnings, net of the proposed dividend, and the increase in Additional Tier 1 capital. The exposures included in the calculation of the leverage ratio increased by SEK 99.9bn. Please see Tables 2.20, 2.21 and 2.22 for a full reconciliation of the leverage ratio.
Increase Decrease
*As the new capital regulations came into force in January 2014, Swedbank's capital adequacy reporting under Basel II ceased from that date. **2011-2013 according to Swedbank's calculation based on the proposed regulations.
| Risk weighted exposure amounts (RWEAs) |
Total own funds requirements |
|||
|---|---|---|---|---|
| SEKm | 31 Dec 2021 | 30 Sep 2021 | 31 Dec 2021 | |
| Credit risk (excluding CCR) | 595 201 | 590 581 | 47 616 | |
| Of which the standardised approach | 49 195 | 47 472 | 3 936 | |
| Of which the foundation IRB (FIRB) approach | 74 000 | 75 089 | 5 920 | |
| Of which slotting approach | 418 | 390 | 33 | |
| Of which equities under the simple riskweighted approach | ||||
| Of which the advanced IRB (AIRB) approach | 200 981 | 200 807 | 16 078 | |
| Counterparty credit risk - CCR | 16 625 | 20 637 | 1 330 | |
| Of which the standardised approach | 12 649 | 15 049 | 1 012 | |
| Of which internal model method (IMM) | ||||
| Of which exposures to a CCP | 644 | 668 | 52 | |
| Of which credit valuation adjustment - CVA | 2 337 | 3 502 | 187 | |
| Of which other CCR | 995 | 1 418 | 80 | |
| Empty set in the EU | ||||
| Empty set in the EU | ||||
| Empty set in the EU | ||||
| Empty set in the EU | ||||
| Empty set in the EU | ||||
| Settlement risk | 2 | 0 | 0 | |
| Securitisation exposures in the non-trading book (after the cap) | ||||
| Of which SEC-IRBA approach | ||||
| Of which SEC-ERBA (including IAA) | ||||
| Of which SEC-SA approach | ||||
| Of which 1250%/ deduction | ||||
| Position, foreign exchange and commodities risks (Market risk) | 20 307 | 18 481 | 1 625 | |
| Of which the standardised approach | 4 423 | 4 383 | 354 | |
| Of which IMA | 15 884 | 14 098 | 1 271 | |
| Large exposures | ||||
| Operational risk | 75 618 | 73 521 | 6 049 | |
| Of which basic indicator approach | ||||
| Of which standardised approach | 75 618 | 73 521 | 6 049 | |
| Of which advanced measurement approach | ||||
| Amounts below the thresholds for deduction (subject | 23 557 | 23 114 | 1 885 | |
| to 250% risk weight) (For information) | ||||
| Empty set in the EU | ||||
| Empty set in the EU | ||||
| Empty set in the EU | ||||
| Empty set in the EU | ||||
| Total | 707 753 | 703 220 | 56 620 |
The Risk Exposure Amount (REA) increased by SEK 4.5bn to SEK 707.8bn (703.2bn for Q3 2021), mainly due to increase in credit risk including risk weight floors add-on. REA for credit risk, excluding the items reported under amounts below the thresholds for deduction, increased by SEK 4.6bn as compared to Q3 2021. Standardised approach (SA) REA increased mainly due to increased corporates exposures as well as increase in retail exposures of branches and subsidiaries. Foundation IRB (F-IRB) REA was primarily impacted by decrease in cash balances with central banks (SEK 2.3bn) as well as decreased institutional exposures (SEK 0.5bn), offset by increase in corporate exposures by SEK 1.8bn (mainly within Baltic Banking). Advanced IRB (A-IRB) REA changes were primarily driven by increased retail mortgages (SEK 1.4bn) and offset by decreased corporate REA (SEK 1.3bn). Increase of retail mortgage portfolio was impacted by volume growth (SEK 2.5bn), which was offset by changes in asset quality (SEK 1.3bn) due to improved probability of default (PD) and loss given default (LGD). Even though exposure at default (EAD) for corporates increased and led to increase in asset growth REA (SEK 3.5bn), it was compensated by improved LGD (SEK 3.6bn), rating migration (SEK 1.1bn) and shorter maturities (SEK 0.5bn).
Credit risk (excluding counterparty credit risk) (CCR)), also includes the other risk exposure amounts, that is the risk weighted assets for the mortgage floor add-on, the add-on for corporate real estate exposures in Norway (article 458 CRR) and article 3 add-on. The mortgage floor was SEK 237.5bn at the end of the fourth quarter (SEK 236.4bn for Q2 2021) and increased by SEK 1.2bn during the quarter due to volume growth in Swedish mortgages. Counterparty credit risk REA exposure decreased REA by SEK 2.9bn due to outflows, decreased PFE (Potential Future Exposure) for corporate and institutional counterparties as well as decreased market values for corporates. Credit valuation adjustment (CVA) REA decreased (SEK 1.2bn) primarily due to hedging effect and decreased EAD. REA for market risk increased by SEK 1.8bn during Q4 2021, explained by increase in REA for internal models (SEK 1.1bn in VaR; SEK 0.7bn in sVaR). The annual update of the operational risk REA calculation resulted in an increase in REA of SEK 2.1bn, mainly due to that the rolling three-year average of total income was higher this year compared to last year. Amounts below the thresholds for deduction (subject to 250% risk weight) increased by SEK 0.4bn mainly due to increase in Equity holdings of insurance undertakings.
| 31 Dec 2021 |
30 Sep 2021 |
30 Jun 2021 |
31 Mar 2021 |
31 Dec 2020 |
|
|---|---|---|---|---|---|
| SEKm Available own funds (amounts) |
|||||
| Common Equity Tier 1 (CET1) capital | 129 664 | 129 867 | 127 551 | 124 725 | 120 496 |
| Tier 1 capital | 143 022 | 142 960 | 136 146 | 133 548 | 128 848 |
| Total capital | 158 552 | 158 682 | 151 840 | 149 711 | 144 737 |
| Risk-weighted exposure amounts | |||||
| Total risk-weighted exposure amount | 707 753 | 703 220 | 688 517 | 694 625 | 689 594 |
| Capital ratios (as a percentage of risk-weighted exposure amount) | |||||
| Common Equity Tier 1 ratio (%) | 18.3% | 18.5% | 18.5% | 18.0% | 17.5% |
| Tier 1 ratio (%) | 20.2% | 20.3% | 19.8% | 19.2% | 18.7% |
| Total capital ratio (%) | 22.4% | 22.6% | 22.1% | 21.6% | 21.0% |
| Additional own funds requirements to address risks other than the risk of excessive | |||||
| leverage (as a percentage of risk-weighted exposure amount) | |||||
| Additional own funds requirements to address risks other than the risk of excessive leverage (%) |
1.7% | 1.7% | 2.0% | 2.0% | 2.0% |
| of which: to be made up of CET1 capital (percentage points) | 1.2% | 1.2% | 1.4% | 1.4% | 1.4% |
| of which: to be made up of Tier 1 capital (percentage points) | 1.3% | 1.3% | 1.7% | 1.7% | 1.7% |
| Total SREP own funds requirements (%) | 9.7% | 9.7% | 10.0% | 10.0% | 10.0% |
| Combined buffer requirement (as a percentage of risk-weighted exposure amount) | |||||
| Capital conservation buffer (%) | 2.5% | 2.5% | 2.5% | 2.5% | 2.5% |
| Conservation buffer due to macro-prudential or systemic risk identified at the level of | |||||
| a Member State (%) | |||||
| Institution specific countercyclical capital buffer (%) | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% |
| Systemic risk buffer (%) | 3.0% | 3.0% | 3.0% | 3.0% | 3.0% |
| Global Systemically Important Institution buffer (%) | |||||
| Other Systemically Important Institution buffer | 1.0% | 1.0% | 1.0% | 1.0% | 1.0% |
| Combined buffer requirement (%) | 6.5% | 6.5% | 6.5% | 6.5% | 6.5% |
| Overall capital requirements (%) | 16.2% | 16.2% | 16.5% | 16.5% | 16.5% |
| CET1 available after meeting the total SREP own funds requirements (%) | 8.6% | 8.8% | 8.5% | 8.0% | 7.5% |
| Leverage ratio | |||||
| Total exposure measure | 2 626 642 | 2 927 123 | 2 838 534 | 2 779 915 | 2 526 721 |
| Leverage ratio (%) | 5.4% | 4.9% | 4.8% | 4.8% | 5.1% |
| Additional own funds requirements to address the risk of excessive leverage (as a percentage of total exposure measure) |
|||||
| Additional own funds requirements to address the risk of excessive leverage (%) | |||||
| of which: to be made up of CET1 capital (percentage points) | |||||
| Total SREP leverage ratio requirements (%) | 3.0% | 3.0% | 3.0% | n/a | n/a |
| Leverage ratio buffer and overall leverage ratio requirement (as a percentage of | |||||
| total exposure measure) | |||||
| Leverage ratio buffer requirement (%) | |||||
| Overall leverage ratio requirement (%) | 3.0% | 3.0% | 3.0% | n/a | n/a |
| Liquidity Coverage Ratio | |||||
| Total high-quality liquid assets (HQLA) (Weighted value -average) | 717 469 | 671 691 | 609 652 | 574 930 | 537 572 |
| Cash outflows - Total weighted value | 528 742 | 489 426 | 453 480 | 433 130 | 413 139 |
| Cash inflows - Total weighted value | 53 820 | 53 679 | 58 464 | 69 439 | 77 124 |
| Total net cash outflows (adjusted value) | 474 922 | 435 747 | 395 016 | 363 691 | 336 015 |
| Liquidity coverage ratio (%) | 152% | 155% | 155% | 159% | 161% |
| Net Stable Funding Ratio | |||||
| Total available stable funding | 1 644 050 | 1 642 641 | 1 605 176 | 1 616 476 | 1 652 303 |
| Total required stable funding | 1 331 522 | 1 328 311 | 1 308 168 | 1 316 805 | 1 316 918 |
| NSFR ratio (%) | 123% | 124% | 123% | 123% | 125% |
| Exposure value | Risk-weighted exposure amount | |
|---|---|---|
| SEKm | ||
| Own fund instruments held in insurance or re-insurance undertakings or | ||
| insurance holding company not deducted from own funds |
Swedbank does not deduct investments in insurance undertakings as the sum of such investments is less than 10% of the Common Equity Tier 1. This is in accordance with CRR Article 48 (1)(b) and not from a permission in accordance with Article 49 (1) of the CRR.
| SEKm | |
|---|---|
| Supplementary own fund requirements of the financial conglomerate (amount) | 167 589 |
| Capital adequacy ratio of the financial conglomerate (%) | 134.80% |
The internal capital adequacy assessment considers all relevant risks that arise within the Group. In addition to Pillar 1 risks, all other relevant risk types are also assessed and evaluated in the ICAAP under Pillar 2. Swedbank's solvency and capital need is determined by applying the EC methodology and stress tests where it prepares and documents its own methods and processes to evaluate its capital requirement. Strategic and reputational risks are
managed indirectly within the capital adequacy assessment, as the capital buffer implicitly protects against such risks, and they are carefully monitored and managed. Liquidity constraints may arise because of an imbalance between risk and capital. Additionally, there are risk categories that receive no explicit capital allocation but are nevertheless closely monitored e.g. liquidity risk and strategic risk. Table 2.5 below depicts significant risks identified within the Group.
| Risk type | Pillar 1 | Pillar 2 |
|---|---|---|
| Capital is allocated? | Contributes to calculated capital need? | |
| Credit risk | Yes | Yes |
| Concentration risk | No | Yes |
| Market risk | Yes | Yes |
| Market risk: Interest rate risk in banking book | No | Yes |
| Operational risk | Yes | Yes |
| Insurance risk | Yes1 | Yes2 |
| Risks in post-employment benefits | No | Yes |
| Risk type | Pillar 1 | Pillar 2 |
| Identified and mitigated? | ||
| Reputational risk | No | Yes3 |
| Liquidity risk | No | ILAAP4 |
| Strategic risk: Decision risk, Business plans, Projects and acquisitions |
No | Yes5 |
1) Holdings in insurance companies are risk weighted at 250%
2) The insurance companies in Swedbank Group perform an Own Risk and Solvency Assessment (ORSA). The aim of this process is to assess risks (both qualitatively and quantitatively) and the solvency position over a business planning period of three years. The calculations are performed by projecting the risk metrics under the base and adverse scenarios. Depending on the outcome of ORSAs, Swedbank might choose to set aside capital within its Economic Capital framework
3) Reputational risk is considered as part of the operation risk in the ICAAP context. The Scenario Simulation parameters can be adjusted to reflect reputational risk 4) For information regarding liquidity risk in ILAAP and other stress tests and sensitivity analysis for liquidity risk, please see Chapter 3
5) Strategic and business risks are covered within the scope of the management buffer as part of the normal capital planning process. Economic Capital and adverse Scenario Simulation calculations can be adjusted to reflect forward looking perspective.
Swedbank uses macroeconomic scenario-based stress tests in the ICAAP for the purpose of forecasting its solvency and capital needs. The stress tests are an important means of analysing how Swedbank's portfolios are affected by severe macroeconomic developments, including the effects of negative events on Swedbank's total capital and risk profile.
The Group-wide stress test methodology takes its starting point in the identification of systemic risks that may have an adverse impact on Swedbank's capital. The identified systemic risks are transformed into quantitative effects on key macroeconomic variables to build macroeconomic scenarios. The scenarios include variables for Swedbank's four home markets and can thereby be used both on a Group level and for the subsidiaries. When stressing credit risk, Swedbank uses statistical models that transform the adverse macroeconomic scenarios into loss levels for relevant balance sheet items. Profit and loss items such as net interest income and fees and commissions are also stressed in the scenario. After REA changes are accounted for, a total impact on capital adequacy can be readily estimated. Finally, the stress test outcomes and the methodology are evaluated and discussed by Swedbank's experts and by management, to ensure consistency and reliability. The scenarios are presented to the Board of Directors for approval along with an assessment of the
effects on the main risk types.
For ICAAP purposes, Swedbank develops a narrative describing adverse macroeconomic scenario and calibrates it to two different severity levels, both with a three-year time horizon. One is a mild recession scenario reflecting a possible macroeconomic development expected to occur once in seven years, and the other is a severe recession scenario reflecting a possible but improbable course of events occurring no more than once in 25 years.
The 1-in-7-years scenario is used to assess Swedbank's capacity to withstand expected recessions maintaining a comfortable capital adequacy level. If a scenario analysis indicates that Swedbank could slip below the regulatory requirement threshold, a remedial action would be considered. Currently, no such need has been identified. Swedbank uses the 1-in-25-years scenario to determine whether the capital level is aligned with the risk appetite. If the risk appetite for capital is exceeded, relevant measures are taken to restore a sufficient capital level.
The scenario narrative and the postulated macro variables developed in late 2020 elaborates on re-emergence of the virus and the increase in infection rates followed by renewed restrictions. In this version of the second downturn, the potential output in all countries were severely affected whilst the ongoing deglobalization trend strengthened. This lead to a deepening of the initial downturn and the prospect of an economic recovery pushed further into the future. The scenario assumes that aggregate household income will decrease due to both rising unemployment and decreasing wages, thus affecting consumer prices negatively. Transition risk from climate change was also incorporated reducing annual growth rates in the home markets.
Figures 2.7 & 2.8 below compare developments in Swedish GDP and unemployment rates in various adverse scenarios that have been used for stress testing over the last few years. The realised economic downturn of 2007-2010 is also included for comparison purposes.
The starting points in the ICAAP 2020 and 2021 are
remarkably different. In 2019, a minor GDP growth was observed while the Covid-19 pandemic of 2020 resulted in a recession like no other in recent history. Elaborating on the Covid-19 pandemic is a key theme of the new 2021 ICAAP scenarios, even though some of the elements explored in the ICAAP 2020 also return this year. These are the repercussions of the ensuing trade wars that have become even more topical during Covid-19 pandemic, as well as climate change transition risks. Taken together, the ICAAP 2021 scenarios are significantly more severe in terms of GDP dynamics, especially when the weaker starting point in 2020 is taken into consideration.
In Sweden, GDP vs starting point falls by a maximum of 7.0%. Swedish unemployment in the ICAAP scenario increases to a maximum of 14.0% as depicted in Figure 2.8 below. House prices were forecasted to fall by a maximum of 35.6%.
In Estonia, GDP vs starting point falls by a maximum of 5.6%. In Latvia, GDP vs starting point falls by a maximum of 6.2%. In Lithuania, GDP vs starting point falls by a maximum of 5.7%. Estonian unemployment increases to a maximum of 16.0 % and house prices fall by a maximum of 34.6%. Latvian unemployment increases to a maximum of
16.7% and house prices fall by a maximum of 35.9% per cent. Lithuanian unemployment increases to a maximum of 16.3% and house prices fall by a maximum of 32.4%. The table below depicts the forecasted ICAAP 21 macroeconomic variables in detail.
| Severity level 1-in-25 years | ||||
|---|---|---|---|---|
| 20201) | 2021f | 2022f | 2023f | |
| Sweden | ||||
| Real GDP growth, % Q4/Q4 | -5.2 | -7.1 | -2.0 | 1.9 |
| Unemployment, % | 8.9 | 14.0 | 12.5 | 11.5 |
| Inflation, % yoy | 0.6 | -0.5 | 0.1 | 0.3 |
| Residential real estate price index | 100.0 | 75.9 | 64.6 | 65.0 |
| Estonia | ||||
| Real GDP growth, % Q4/Q4 | -4.3 | -5.2 | -2.3 | -0.4 |
| Unemployment, % | 8.1 | 16.0 | 14.2 | 11.9 |
| Inflation, % yoy | 0.0 | -0.6 | -0.1 | -0.2 |
| Residential real estate price index | 100.0 | 68.7 | 75.0 | 78.1 |
| Latvia | ||||
| Real GDP growth, % Q4/Q4 | -5.0 | -5.1 | -2.2 | -0.2 |
| Unemployment, % | 8.3 | 16.5 | 15.3 | 13.6 |
| Inflation, % yoy | 0.7 | -0.6 | -0.1 | 0.2 |
| Residential real estate price index | 100.0 | 64.1 | 73.3 | 76.2 |
| Lithuania | ||||
| Real GDP growth, % Q4/Q4 | -2.0 | -5.6 | -1.9 | -0.2 |
| Unemployment, % | 7.5 | 16.3 | 14.5 | 12.5 |
| Inflation, % yoy | 1.2 | -0.6 | -0.0 | 0.2 |
| Residential real estate price index | 100.0 | 67.9 | 76.3 | 79.4 |
| Interest rates | ||||
| 3m Government rate SEK, % | 0.04 | -0.32 | -0.9 | -1.06 |
| 3m Government rate EUR, % | -0.45 | -0.71 | -1.04 | -1.06 |
| FX | ||||
| USD/SEK | 8.24 | 9.06 | 8.73 | 8.39 |
| EUR/SEK | 10.57 | 11.06 | 10.65 | 10.24 |
| 1) |
Figures for 2020 are based on preliminary estimates due to final figures being published after the submission of the ICAAP report.
In the ICAAP, Swedbank factors known changes in regulatory and accounting practices which will take effect during the simulation period and that can be analysed with a high degree of certainty. These changes are integrated in the calculations according to their expected implementation schedule. The adjustments include, amongst others, IRB model revisions and introduction of the standardised approach to counterparty credit risk.
| Income statement under ICAAP scenario 1) | Severity level 1-in-25 years | |||
|---|---|---|---|---|
| SEKbn | 20201) | 2021f | 2022f | 2023f |
| Total net interest income | 28.4 | 27.7 | 25.3 | 24.4 |
| Total income | 46.5 | 37.1 | 35.6 | 36.5 |
| Total expenses | 24.82) | 20.7 | 20.0 | 20.0 |
| Profit before impairments | 21.6 | 16.4 | 15.7 | 16.5 |
| Credit impairments | 5.0 | 15.7 | 8.9 | 5.4 |
| Operating profit | 16.6 | 0.7 | 6.8 | 11.1 |
| Tax expense | 3.7 | 0.1 | 1.3 | 2.2 |
| Non-controlling interests | 0.0 | 0.0 | 0.0 | 0.0 |
| Profit for the period attributable to 3) Shareholders of Swedbank AB |
12.9 | 0.6 | 5.5 | 8.9 |
1) The ICAAP is based on Swedbank CS which does not include insurance companies.
2) Expenses include one-off AML charge of SEK 4bn.
3) The Board of Directors has set the dividend policy to 50% of profit for the year. This policy is applied in the ICAAP stress test.
In the simulated scenario the net interest income drops by SEK 4.0bn compared to the starting position. The main drivers underlying this development are falling benchmark interest rates (EURIBOR and STIBOR) and widened wholesale funding spreads.
In the scenario, the development of core operating expenses is primarily inflation driven, floored at the previous year level, i.e. assumed to be non-decreasing. The forecasted deflationary environment prevents core costs from rising in the ICAAP 1-25 scenario. In addition to the core administration costs, the general administrative
expenses item includes forecasts for operational risk losses and AML legal and advisory expenditures.
New credit losses accumulate to SEK 29.9bn or 1.6% of total loans as of Q4 2020. Losses peak in the first year, partly due to dampened economic starting point and existing hardship in the most Covid-19 exposed sectors. This drives migrations from stage 1 to stage 2 and additional stage 3 losses. In the second year, there are net reversals of provisions in both stage 1 and stage 2, while new defaults and stage 3 losses increase. Stage 3 impairments explain the net loss in the third year, driven by
continued new defaults and an increase in provisions for existing stage 3 loans. The scenario generates high loss ratios in small sectors like retail and manufacturing, while loss ratios are relatively less in the larger private mortgage and property management portfolios. The share of climate loss is high in the offshore sector and certain parts of the manufacturing industry as these are more directly impacted by government policies, while property management is only indirectly affected through lower rental income and higher energy costs. These five sectors together account for 64% of the total credit loss in the simulated scenario.
| Credit impairment by business | Severity level 1-in-25 years | ||||
|---|---|---|---|---|---|
| area, SEKbn |
Loans 2020 |
2021 | 2022 | 2023 | loss ratio, % |
| Swedish banking | 1 233.7 | 3.9 | 3.9 | 2.8 | 0.9 |
| Large Corporates & Institutions | 293.7 | 9.0 | 3.9 | 1.8 | 5.0 |
| Estonia | 89.3 | 1.0 | 0.4 | 0.4 | 2.1 |
| Latvia | 39.4 | 0.8 | 0.2 | 0.1 | 3.1 |
| Lithuania | 64.4 | 0.9 | 0.4 | 0.3 | 2.4 |
| Total | 1 720.4 | 15.7 | 8.9 | 5.4 | 1.7 |
The REA in the 1-25 scenario increases by 27% in 2023 vs. the starting point. The scenario-neutral REA development is a dominant driver of this increase. The deterioration of the Loss Given Default (LGD) is the main factor explaining development of the credit REA. The nominal amount of CET1 capital contracts by 3% in 2021 due to low profitability and high IAS 19 valuation losses (pensions). Only in 2023, when credit losses recede and income levels
improve, the CET1 returns to growth. The dividend pay-out ratio is maintained at 50% in the scenario. Additional Tier 1 (AT1) and Tier 2 (T2) instruments are neither called nor issued and CET1 ratio stays above the estimated regulatory requirement. Thus, the total capital ratio (TCR) of Swedbank Consolidated Situation falls by a cumulative amount of 470bp but stays above the corresponding requirement by 18bp. No Pillar 1 capital buffers are utilised in the scenario.
| Capital assessment | Severity level 1-in-25 years | |||
|---|---|---|---|---|
| SEKbn | 2020 | 2021f | 2022f | 2023f |
| Total REA | 689.6 | 851.8 | 833.4 | 877.3 |
| Common Equity Tier 1 | 120.5 | 117.2 | 117.5 | 120.4 |
| Common Equity Tier 1 ratio, % | 17.5 | 13.8 | 14.1 | 13.7 |
EC models are used to provide an objective internal view of the capital requirement for significant risks affecting Swedbank. In contrast to the capital assessment within Pillar 1, the estimation of Swedbank's EC is not limited by assumptions applied in the Basel framework. Consequently, the EC generates a more accurate assessment of the risk to which Swedbank is exposed.
Within the EC framework, credit risk, market risk, operational risk and post-employment risk are considered, while insurance risk and business risk are evaluated separately. The business risk is assessed through stress tests performed in the ICAAP. If the stress test outcome indicates additional capital need, the EC could be increased accordingly. The insurance companies within Swedbank Group perform an annual Own Risk and Solvency Assessment (ORSA). The ORSA process assesses the risks and solvency positions by projecting the risk metrics under
the base and adverse scenarios. Similar to business risk, if the outcome of the ORSA reveals a solvency need for the insurance companies, the EC could be increased accordingly.
In general, Value-at-Risk (VaR) based models with a confidence level of 99.9% are used to calculate the EC for the different risk types. The confidence level, which corresponds to the confidence level used in the Basel IRB framework calibration, uses a one-year horizon.
Swedbank's EC model for credit risk is based on the similar theoretical foundation as the Basel IRB framework, but while the IRB framework is limited to a one-factor model, Swedbank's EC framework applies a multi-factor model. Accordingly, the actual portfolio setup can be used, and both concentration and diversification effects are taken into account.
The operational loss model is a statistical and mathematical approach based on extreme value theory where historical operational loss data is used. The model has been developed primarily using internal loss data and is complemented with scenario information to capture areas where additional input is required beyond loss data. The main cause for internal operational losses is process risk followed by personnel risk. Since Swedbank is heavily dependent on solid IT-solutions, one of the main drivers for operational risk is also low frequency high impact losses related to information and technology risk which, together with external risk, creates an impact on clients, products and business practices.
The EC for market risk is primarily driven by interest rate risk in the banking book (IRRBB), where an economic value methodology is used. For risk stemming from the trading operations, Swedbank's internal assessment is in line with the view of market risk within Pillar 1. The main difference is that Swedbank uses a standardised approach to calculate specific interest rate risk in Pillar 1, while an internal model is applied within the EC framework. In addition to market risk in the banking and trading books, the EC assessment also accounts for CVA risk.
Post-employment benefit risk is the final risk type captured within the EC framework. The methodology for calculating post-employment benefit risk is based on the current postemployment benefit plan, where the underlying market risk factors are stressed to evaluate the capital requirement for post-employment benefit risks under stressed conditions.
At year-end 2021, Swedbank's total EC amounted to SEK 36.6bn, which is a reduction of 1.3% compared to 37.0bn in 2020. All of the significant risk types moved in a consistent manner demonstrating a positive growth rate. Credit risk, being the major contributor to the total EC, added SEK 0.06bn (0.22%). For market risk, the EC decreased by 10% (SEK 0.6bn) to 5.2bn in 2021 vs. 2020 mainly due to reduction in the trading book exposure. The EC for operational risk amounted to SEK 5.5bn, which is 7.9% higher than a year ago (5.1bn). The operational risk charge mirrors the development of the Pillar 1 capital requirement, although the two approaches are driven by different underlying factors. There is no capital requirement for postemployment benefit risks as of 2021 year-end due to a equity value increase. The EC is a crucial component for and serves as primary input to the ICAAP.
| Risk type, | ||
|---|---|---|
| SEKbn | 2021 | 2020 |
| Credit risk | 25.8 | 25.8 |
| Market risk | 5.2 | 5.8 |
| Operational risk | 5.5 | 5.1 |
| Risks in post-employment benefits | 0.0 | 0.4 |
| Total | 36.6 | 34.7 |
| Carrying values of items | ||||||||
|---|---|---|---|---|---|---|---|---|
| SEKm | Carrying values as reported in published financial statements |
Carrying values under scope of regulatory consolidation |
Subject to the credit risk framework |
Subject to the CCR framework |
Subject to the securitisation framework |
Subject to the market risk framework |
Not subject to own funds requirements or subject to deduction from own funds |
|
| Breakdown by asset classes according to the balance sheet in the published financial statements | ||||||||
| 1 | Cash and balances with central banks | 360 153 | 360 153 | 360 153 | ||||
| 2 | Treasury bills and other bills eligible for refinancing with central banks, etc. |
163 590 | 163 188 | 163 188 | ||||
| 3 | Loans to public and credit institutions | 39 504 | 24 009 | 8 847 | 15 162 | |||
| 4 | Loans to the public | 1 703 206 | 1 718 443 | 1 692 391 | 26 053 | |||
| 5 | Value change of interest hedged item in portfolio hedge |
-1 753 | -1 753 | -1 753 | ||||
| 6 | Bonds and other interest-bearing securities |
58 093 | 58 155 | 5 073 | 53 083 | |||
| 7 | Financial assets for which the customers bear the investment risk |
328 512 | ||||||
| 8 | Shares and participating interests | 13 416 | 13 010 | 1 361 | 11 649 | |||
| 9 | Investments in associates | 7 705 | 4 440 | 4 416 | 25 | |||
| 10 | Investments subsidiaries | 0 | 5 637 | 4 952 | 685 | |||
| 11 | Derivatives | 40 531 | 40 531 | 0 | 40 531 | 23 616 | ||
| 12 | Intangible fixed assets | 19 488 | 18 877 | 557 | 18 320 | |||
| 13 | Tangible assets | 5 523 | 5 587 | 5 587 | ||||
| 14 | Current tax assets | 1 372 | 1 367 | 1 367 | ||||
| 15 | Deferred tax assets | 113 | 87 | 18 | 68 | |||
| 16 | Pension assets | |||||||
| 17 | Other assets | 9 194 | 9 432 | 4 532 | 4 900 | |||
| 18 | Prepaid expenses and accrued income | 1 970 | 2 102 | 2 102 | ||||
| 19 | Total assets | 2 750 617 | 2 423 265 | 2 252 791 | 81 746 | 88 348 | 23 998 | |
| Breakdown by liability classes according to the balance sheet in the published financial statements | ||||||||
| 1 | Amounts owed to credit institutions | 92 812 | 93 119 | |||||
| 2 | Deposits and borrowings from the public |
1 265 783 | 1 269 771 | 65 472 | ||||
| 3 | Financial liabilities for which the customers bear the investment risk |
329 667 | ||||||
| 4 | Debt securities in issue | 735 917 | 735 917 | |||||
| 5 | Short positions securities | 28 471 | 28 471 | |||||
| 6 | Derivatives | 28 106 | 28 106 | |||||
| 7 | Current tax liabilities | 672 | 667 | |||||
| 8 | Deferred tax liabilities | 3 398 | 3 294 | |||||
| 9 | Pension provisions | 1 801 | 1 877 | |||||
| 10 | Insurance provisions | 1 970 | ||||||
| 11 | Other liabilities and provisions | 29 076 | 28 987 | |||||
| 12 | Accrued expenses and prepaid income | 4 813 | 4 923 | |||||
| 13 | Senior non - preferred liabilities | 37 832 | 37 832 | |||||
| 14 | Subordinated liabilities | 28 604 | 28 604 | |||||
| 15 | Total liabilities | 2 588 921 | 2 261 569 | 65 472 |
| Items subject to | ||||||
|---|---|---|---|---|---|---|
| SEKm | Total | Credit risk framework |
Securitisation framework |
CCR framework |
Market risk framework |
|
| Assets carrying value amount under the scope of regulatory consolidation | 2 422 885 | 2 252 791 | 81 746 | 88 348 | ||
| (as per template LI1) Liabilities carrying value amount under the regulatory scope of consolidation (as per template LI1) |
65 472 | 65 472 | ||||
| Total net amount under the regulatory scope of consolidation | 2 488 357 | 2 252 791 | 147 218 | 88 348 | ||
| Off-balance-sheet amounts | 407 312 | 407 312 | ||||
| Differences in valuations | ||||||
| Differences due to different netting rules, other than those already included in row 2 |
-162 071 | -162 071 | ||||
| Differences due to consideration of provisions | 4 930 | 4 930 | ||||
| Differences due to the use of credit risk mitigation techniques (CRMs) | -2 587 | -2 587 | ||||
| Differences due to credit conversion factors | -229 408 | -229 408 | ||||
| Differences due to Securitisation with risk transfer | ||||||
| Other differences | 43 981 | 1 853 | 66 688 | -24 560 | ||
| Exposure amounts considered for regulatory purposes | 2 550 475 | 2 437 478 | 0 | 49 248 | 63 748 |
SWEDBANK Risk Management and Capital Adequacy Report – Pillar 3 – Q4 2021
| Method of | Method of prudential consolidation | Description of the entity | ||||||
|---|---|---|---|---|---|---|---|---|
| Name of the entity | accounting consolidation |
Full consolidation |
Proportional consolidation |
Equity method |
Neither consolidated nor deducted |
Deducted | ||
| Swedbank AB | Credit institution | |||||||
| Swedbank Mortgage AB | Full consolidation | X | Credit institution | |||||
| Swedbank Robur AB | Full consolidation | X | Financial institution | |||||
| Swedbank Robur Fonder AB | Full consolidation | X | Mutual fund company | |||||
| Swedbank | Full consolidation | X | Investment firm | |||||
| Investeerimisfondid AS | ||||||||
| Swedbank leguldijumu Parvaldes Sabierdiba AS |
Full consolidation | X | Investment firm | |||||
| Swedbank investiciju valdymas UAB |
Full consolidation | X | Investment firm | |||||
| SwedLux S A | Full consolidation | X | Credit institution | |||||
| Sparfrämjandet AB | Full consolidation | X | ||||||
| Sparia Group Insurance | Full consolidation | X | Insurance company | |||||
| Company Ltd Swedbank Fastighetsbyrå |
Full consolidation | X | Financial institution | |||||
| AB Fastighetsbyran The Real |
Full consolidation | X | Ancillary company - Real estate | |||||
| Estate Agency S L Bankernas Kontantkort |
Full consolidation | X | ||||||
| CASH Sverige AB Swedbank PayEx Holding AB |
Full consolidation | X | Financial institution | |||||
| PayEx Norge AS | Full consolidation | X | Ancillary company - Payments | |||||
| PayEx Danmark AS | Full consolidation | X | Ancillary company - Payments | |||||
| Swedbank PayEx Collection AB |
Full consolidation | X | ||||||
| PayEx Sverige AB | Full consolidation | X | Ancillary company - Payments | |||||
| PayEx Solutions OY | Full consolidation | X | ||||||
| PayEx Suomi OY | Full consolidation | X | Ancillary company - Payments | |||||
| PayEx Invest AB | Full consolidation | X | Ancillary company - Real estate | |||||
| Faktab B1 AB | Full consolidation | X | Ancillary company - Real estate | |||||
| Faktab V1 AB | Full consolidation | X | Ancillary company - Real estate | |||||
| Faktab S1 AB | Full consolidation | X | Ancillary company - Real estate | |||||
| Ektornet AB | Full consolidation | X | Holding company | |||||
| Swedbank Försäkring AB | Full consolidation | X | Insurance company | |||||
| ATM Holding AB | Full consolidation | X | Financial institution | |||||
| Bankomat AB | Equity method | X | Ancillary company - Other | |||||
| FRoR Invest AB | Full consolidation | X | Ancillary company - Other | |||||
| First Securities AS | Full consolidation | X | Financial institution | |||||
| Swedbank Management | Full consolidation | X | Financial institution | |||||
| Company SA ManCo | ||||||||
| Swedbank AS Latvia | Full consolidation | X | Credit institution | |||||
| Swedbank Lizings SIA | Full consolidation | X | Financial institution - Leasing | |||||
| Swedbank Atklatais Pensiju Fonds AS |
Full consolidation | X | Investment firm | |||||
| Swedbank Baltics AS | Full consolidation | X | Holding company | |||||
| Swedbank AB Lithuania | Full consolidation | X | Credit institution | |||||
| Swedbank Lizingas UAB | Full consolidation | X | Financial institution - Leasing | |||||
| Swedbank AS Estonia | Full consolidation | X | Credit institution | |||||
| Swedbank Liising AS | Full consolidation | X | Financial institution - Leasing | |||||
| Ektornet Project Estonia 1 OU |
Full consolidation | X | ||||||
| Swedbank Life Insurance SE | Full consolidation | X | Insurance company | |||||
| Swedbank PoC Insurance AS Swedbank Support OU |
Full consolidation Full consolidation |
X | X | Insurance company Ancillary company - IT |
||||
| SK ID Solutions AS | Equity method | X | Ancillary company - Other | |||||
| EnterCard Group AB | Equity method | X | Financial institution | |||||
| Sparbanken Sjuhärad AB | Equity method | X | Credit institution | |||||
| Sparbanken Rekarne AB | Equity method | X | Credit institution | |||||
| Sparbanken Skåne AB | Equity method | X | Credit institution | |||||
| Vimmerby Sparbank AB | Equity method | X | Credit institution | |||||
| Ölands Bank AB | Equity method | X | Credit institution | |||||
| Finansiell IDTeknik BID AB | Equity method | X | Ancillary company - IT | |||||
| BGC Holding AB | Equity method | X | Ancillary company - Payments | |||||
| Getswish AB | Equity method | X | Ancillary company - Payments | |||||
| VISA Sweden, ek för | Equity method | X | Ancillary company - Other | |||||
| USE Intressenter AB | Equity method | X | Holding company | |||||
| P27 Nordic Payments Platform AB |
Equity method | X | Ancillary company - Payments | |||||
| Invidem AB | Equity method | X | Ancillary company - Other |
The regulatory consolidation as of 31 December 2021 comprised the Swedbank Group except for a different consolidation method for EnterCard Group and Insurance undertakings that are consolidated according to the equity method. The EnterCard Group is included through the proportionate consolidation method for regulatory purposes, compared to the equity method in Swedbank Group. The total difference between the regulatory and accounting consolidation is SEK 327.4bn.
Difference between the regulatory and accounting framework as presented in Table 2.12 are explained by different rules set out in IFRS and CRR. The exposure amounts considered for regulatory purposes are original exposures before credit risk mitigation. The main differences for the items subject to credit risk framework are:
Instruments under the Counterparty credit risk framework in Swedbank include repurchase transactions, security lending and derivatives. The differences arise due to different netting rules between risk and accounting frameworks, as well as different treatment and rules on recognition of collaterals. Additionally, capital has to be set aside for potential future exposure of listed instruments.
Currently, there is no known or foreseen impediment to the prompt transfer of own funds or to the repayment of liabilities within the Group.
All subsidiaries are included in consolidation of the Group in accordance with equity method, proportional or full consolidation as presented in Table 2.13.
The Group does not use derogation referred to in Article 7 CRR or individual consolidation method laid down in Article 9 CRR.
All subsidiaries are included in consolidation of the Group in accordance with equity method, proportional or full consolidation as presented in Table 2.13.
| SEKm | Risk category | Category level AVA - Valuation uncertainty |
||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| Category level AVA |
Equity | Interest Rates |
Foreign exchange |
Credit | Commodit ies |
Unearned credit spreads AVA |
Investment and funding costs AVA |
Total category level post diversification |
Of which: Total core approach in the trading book |
Of which: Total core approach in the banking book |
| Market price uncertainty Set not applicable in the EU |
54 | 361 | 1 | 331 | 19 | 57 | 411 | 352 | 59 | |
| Close-out cost Concentrated positions Early termination |
8 3 |
492 | 0 | 2 170 |
27 | 57 | 293 173 |
277 43 |
16 130 |
|
| Model risk Operational risk |
3 | 22 48 |
0 0 |
19 | 1 | 57 | 40 70 |
40 63 |
0 7 |
|
| Set not applicable in the EU Set not applicable in the EU |
||||||||||
| Future administrative costs |
10 | 16 | 12 | 12 | 49 | 40 | 9 | |||
| Set not applicable in the EU |
||||||||||
| Total Additional Valuation Adjustments (AVAs) |
1 036 | 814 | 222 |
Prudent valuation is a regulatory requirement which takes into account uncertainties in the valuation of assets and liabilities carried at fair value. The prudent valuation adjustment is deducted from the CET1 capital in accordance with the CRR Article 105. In addition to the fair value adjustments made in the accounts, Swedbank calculates Additional Valuation Adjustments (AVAs) for fair valued positions in the trading and banking book. The purpose of the prudent valuation adjustment is to ensure, with an appropriate degree of certainty, that the valuations are sufficiently prudent taking into account the factors corresponding to the AVAs.
| SEKm | Amounts | Source based on reference numbers/letters of the balance sheet under the regulatory scope of consolidation |
|
|---|---|---|---|
| Common Equity Tier 1 (CET1) capital: instruments and reserves | |||
| 1 | Capital instruments and the related share premium accounts | 38 110 | 26 (1), 27, 28, 29 |
| of which: Instrument type 1 | EBA list 26 (3) | ||
| of which: Instrument type 2 | EBA list 26 (3) | ||
| of which: Instrument type 3 | EBA list 26 (3) | ||
| 2 | Retained earnings | 79 270 | 26 (1) (c) |
| 3 | Accumulated other comprehensive income (and other reserves) | 24 638 | 26 (1) |
| EU-3a | Funds for general banking risk | 26 (1) (f) | |
| 4 | Amount of qualifying items referred to in Article 484 (3) CRR and the related share premium accounts subject to phase out from CET1 |
486 (2) | |
| 5 | Minority interests (amount allowed in consolidated CET1) | 84 | |
| EU-5a | Independently reviewed interim profits net of any foreseeable charge or dividend | 8 239 | 26 (2) |
| 6 | Common Equity Tier 1 (CET1) capital before regulatory adjustments | 150 257 | |
| Common Equity Tier 1 (CET1) capital: regulatory adjustments | |||
| 7 | Additional value adjustments (negative amount) | - 1 036 | 34, 105 |
| 8 | Intangible assets (net of related tax liability) (negative amount) | -18 017 | 36 (1) (b), 37 |
| 9 | Empty set in the EU | ||
| 10 | Deferred tax assets that rely on future profitability excluding those arising from temporary differences (net of related tax liability where the conditions in Article 38 (3) CRR are met) (negative amount) |
-68 | 36 (1) (c), 38 |
| 11 | Fair value reserves related to gains or losses on cash flow hedges of financial instruments that are not valued at fair value |
-2 | 33 (1) (a) |
| 12 | Negative amounts resulting from the calculation of expected loss amounts | 36 (1) (d), 40, 159 | |
| 13 | Any increase in equity that results from securitised assets (negative amount) | 32 (1) | |
| 14 | Gains or losses on liabilities valued at fair value resulting from changes in own credit standing | 33 (1) (b) | |
| 15 | Defined-benefit pension fund assets (negative amount) | 36 (1) (e), 41 | |
| 16 | Direct, indirect and synthetic holdings by an institution of own CET1 instruments (negative amount) | -1 219 | 36 (1) (f), 42 |
| 17 | Direct, indirect and synthetic holdings of the CET 1 instruments of financial sector entities where those entities have reciprocal cross holdings with the institution designed to inflate artificially the own funds |
36 (1) (g), 44 | |
|---|---|---|---|
| 18 | of the institution (negative amount) Direct, indirect and synthetic holdings by the institution of the CET1 instruments of financial sector entities where the institution does not have a significant investment in those entities (amount above |
36 (1) (h), 43, 45, 46, 49 (2) (3), 79 |
|
| 19 | 10% threshold and net of eligible short positions) (negative amount) Direct, indirect and synthetic holdings by the institution of the CET1 instruments of financial sector entities where the institution has a significant investment in those entities (amount above 10% |
36 (1) (i), 43, 45, 47, 48 (1) (b), 49 (1) to (3), 79 |
|
| 20 | threshold and net of eligible short positions) (negative amount) Empty set in the EU |
||
| EU-20a | Exposure amount of the following items which qualify for a RW of 1250%, where the institution opts for the deduction alternative |
36 (1) (k) | |
| EU-20b | of which: qualifying holdings outside the financial sector (negative amount) | 36 (1) (k) (i), 89 to 91 | |
| EU-20c | of which: securitisation positions (negative amount) | 36 (1) (k) (ii), 243 (1) (b), 244 (1) (b), 258 |
|
| EU-20d | of which: free deliveries (negative amount) | 36 (1) (k) (iii), 379 (3) | |
| 21 | Deferred tax assets arising from temporary differences (amount above 10% threshold, net of related tax liability where the conditions in Article 38 (3) CRR are met) (negative amount) |
36 (1) (c), 38, 48 (1) (a) | |
| 22 | Amount exceeding the 17,65% threshold (negative amount) | 48 (1) | |
| 23 | of which: direct, indirect and synthetic holdings by the institution of the CET1 instruments of financial sector entities where the institution has a significant investment in those entities |
36 (1) (i), 48 (1) (b) | |
| 24 | Empty set in the EU | ||
| 25 | of which: deferred tax assets arising from temporary differences | 36 (1) (c), 38, 48 (1) (a) | |
| EU-25a | Losses for the current financial year (negative amount) | 0 | 36 (1) (a) |
| EU-25b | Foreseeable tax charges relating to CET1 items except where the institution suitably adjusts the amount of CET1 items insofar as such tax charges reduce the amount up to which those items may be used to cover risks or losses (negative amount) |
36 (1) (l) | |
| 26 27 |
Empty set in the EU Qualifying AT1 deductions that exceed the AT1 items of the institution (negative amount) |
36 (1) (j) | |
| 27a | Other regulatory adjustments to CET1 capital (including IFRS 9 transitional adjustments when relevant) | -270 | |
| 28 | Total regulatory adjustments to Common Equity Tier 1 (CET1) | -20 612 | |
| 29 | Common Equity Tier 1 (CET1) capital | 129 644 | |
| Additional Tier 1 (AT1) capital: instruments | |||
| 30 31 |
Capital instruments and the related share premium accounts of which: classified as equity under applicable accounting standards |
13 427 | 51, 52 |
| 32 | of which: classified as liabilities under applicable accounting standards | ||
| 33 | Amount of qualifying items referred to in Article 484 (4) CRR and the related share premium accounts | 486 (3) | |
| EU-33a | subject to phase out from AT1 as described in Article 486(3) CRR Amount of qualifying items referred to in Article 494a(1) CRR subject to phase out from AT1 |
||
| EU-33b | Amount of qualifying items referred to in Article 494b(1) CRR subject to phase out from AT1 | ||
| 34 | Qualifying Tier 1 capital included in consolidated AT1 capital (including minority interests not included in row 5) issued by subsidiaries and held by third parties |
85, 86 | |
| 35 | of which: instruments issued by subsidiaries subject to phase out | 486 (3) | |
| 36 | Additional Tier 1 (AT1) capital before regulatory adjustments | 13 427 | |
| Additional Tier 1 (AT1) capital: regulatory adjustments | 52 (1) (b), 56 (a), 57 | ||
| 37 | Direct, indirect and synthetic holdings by an institution of own AT1 instruments (negative amount) Direct, indirect and synthetic holdings of the AT1 instruments of financial sector entities where those |
56 (b), 58 | |
| 38 | entities have reciprocal cross holdings with the institution designed to inflate artificially the own funds of the institution (negative amount) |
||
| 39 | Direct, indirect and synthetic holdings of the AT1 instruments of financial sector entities where the institution does not have a significant investment in those entities (amount above 10% threshold and net of eligible short positions) (negative amount) |
56 (c), 59, 60, 79 | |
| 40 | Direct, indirect and synthetic holdings by the institution of the AT1 instruments of financial sector entities where the institution has a significant investment in those entities (net of eligible short positions) (negative amount) |
56 (d), 59, 79 | |
| 41 | Empty set in the EU | ||
| 42 42a |
Qualifying T2 deductions that exceed the T2 items of the institution (negative amount) Other regulatory adjustments to AT1 capital |
-50 | 56 (e) |
| 43 | Total regulatory adjustments to Additional Tier 1 (AT1) capital | -50 | |
| 44 | Additional Tier 1 (AT1) capital | 13 377 | |
| 45 | Tier 1 capital (T1 = CET1 + AT1) | 143 022 | |
| Tier 2 (T2) capital: instruments | |||
| 46 | Capital instruments and the related share premium accounts Amount of qualifying items referred to in Article 484 (5) CRR and the related share premium accounts |
14 937 | 62, 63 486 (4) |
| 47 | subject to phase out from T2 as described in Article 486(4) CRR | ||
| EU-47a | Amount of qualifying items referred to in Article 494a (2) CRR subject to phase out from T2 | ||
| EU-47b | Amount of qualifying items referred to in Article 494b (2) CRR subject to phase out from T2 Qualifying own funds instruments included in consolidated T2 capital (including minority interests and |
87, 88 | |
| 48 | AT1 instruments not included in rows 5 or 34) issued by subsidiaries and held by third parties | ||
| 49 | of which: instruments issued by subsidiaries subject to phase out | 486 (4) | |
| 50 | Credit risk adjustments | 628 | 62 (c) & (d) |
| 51 | Tier 2 (T2) capital before regulatory adjustments Tier 2 (T2) capital: regulatory adjustments |
15 565 | |
| 52 | Direct, indirect and synthetic holdings by an institution of own T2 instruments and subordinated loans | 63 (b) (i), 66 (a), 67 | |
| (negative amount) Direct, indirect and synthetic goldings of the T2 instruments and subordinated loans of financial sector |
66 (b), 68 | ||
| 53 | entities where those entities have reciprocal cross holdings with the institution designed to inflate artificially the own funds of the institution (negative amount) |
| 54 | Direct, indirect and synthetic holdings of the T2 instruments and subordinated loans of financial sector entities where the institution does not have a significant investment in those entities (amount above 10% threshold and net of eligible short positions) (negative amount) |
66 (c), 69, 70, 79 | |
|---|---|---|---|
| 54a | Empty set in the EU | ||
| 55 | Direct, indirect and synthetic holdings by the institution of the T2 instruments and subordinated loans of financial sector entities where the institution has a significant investment in those entities (net of eligible short positions) (negative amount) |
66 (d), 69, 79, 477 (4) | |
| 56 | Empty set in the EU | ||
| EU-56a | Qualifying eligible liabilities deductions that exceed the eligible liabilities items of the institution (negative amount) |
||
| EU-56b | Other regulatory adjustments to T2 capital | -35 | |
| 57 | Total regulatory adjustments to Tier 2 (T2) capital | -35 | |
| 58 | Tier 2 (T2) capital | 15 530 | |
| 59 | Total capital (TC = T1 + T2) | 158 552 | |
| 60 | Total Risk exposure amount | 707 753 | |
| Capital ratios and requirements including buffers | |||
| 61 | Common Equity Tier 1 capital | 18.3% | 92 (2) (a) |
| 62 | Tier 1 capital | 20.2% | 92 (2) (b) |
| 63 | Total capital | 22.4% | 92 (2) (c) |
| 64 | Institution CET1 overall capital requirements | 5.7% | CRD 128, 129, 130, 131, 133 |
| 65 | of which: capital conservation buffer requirement | 2.5% | |
| 66 | of which: countercyclical buffer requirement | ||
| 67 | of which: systemic risk buffer requirement | 3.0% | |
| EU-67a | of which: Global Systemically Important Institution (G-SII) or Other Systemically Important Institution (O-SII) buffer requirement |
1.0% | |
| EU 67-b | of which: additional own funds requirements to address the risks other than the risk of excessive leverage |
1.2% | |
| 68 | Common Equity Tier 1 available to meet buffers (as a percentage of risk exposure amount) | 12.6% | CRD 128 |
| National minima (if different from Basel III) | |||
| 69 | Not applicable | ||
| 70 | Not applicable | ||
| 71 | Not applicable | ||
| Amounts below the thresholds for deduction (before risk weighting) | |||
| 72 | Direct and indirect holdings of own funds and eligible liabilities of financial sector entities where the institution does not have a significant investment in those entities (amount below 10% threshold and net of eligible short positions) |
1 001 | 36 (1) (h), 45, 46, 56 (c), 59, 60, 66 (c), 69, 70 |
| 73 | Direct and indirect holdings by the institution of the CET1 instruments of financial sector entities where the institution has a significant investment in those entities (amount below 17.65% thresholds and net of eligible short positions) |
9 404 | 36 (1) (i), 45, 48 |
| 74 | Not applicable | ||
| 75 | Deferred tax assets arising from temporary differences (amount below 17,65% threshold, net of related tax liability where the conditions in Article 38 (3) CRR are met) |
18 | 36 (1) (c), 38, 48 |
| Applicable caps on the inclusion of provisions in Tier 2 | |||
| 76 | Credit risk adjustments included in T2 in respect of exposures subject to standardised approach (prior to the application of the cap) |
62 | |
| 77 | Cap on inclusion of credit risk adjustments in T2 under standardised approach | 62 | |
| 78 | Credit risk adjustments included in T2 in respect of exposures subject to internal ratings-based approach (prior to the application of the cap) |
628 | 62 |
| 79 | Cap for inclusion of credit risk adjustments in T2 under internal ratings-based approach | 3 172 | 62 |
| Capital instruments subject to phase-out arrangements (only applicable between 1 Jan 2014 and 1 Jan 2022) | |||
| 80 | Current cap on CET1 instruments subject to phase out arrangements | 484 (3), 486 (2) & (5) | |
| 81 | Amount excluded from CET1 due to cap (excess over cap after redemptions and maturities) | 484 (3), 486 (2) & (5) | |
| 82 | Current cap on AT1 instruments subject to phase out arrangements | 484 (4), 486 (3) & (5) | |
| 83 | Amount excluded from AT1 due to cap (excess over cap after redemptions and maturities) | 484 (4), 486 (3) & (5) | |
| 84 | Current cap on T2 instruments subject to phase out arrangements | 484 (5), 486 (4) & (5) | |
| 85 | Amount excluded from T2 due to cap (excess over cap after redemptions and maturities) | 484 (5), 486 (4) & (5) |
During 2021, Swedbank's CET1 capital increased by SEK 9.1bn, to SEK 129.6bn as compared to Q4 2020. The change was mainly attributable to earnings and net of proposed dividend. Own funds in Swedbank are calculated in accordance with CRR.
| Balance sheet as in published financial statements |
Under regulatory scope of consolidation |
Reference | |||
|---|---|---|---|---|---|
| SEKm | As at period end | As at period end | |||
| Assets - Breakdown by asset clases according to the balance sheet in the published financial statements | |||||
| 1 | Cash and balances with central banks | 360 153 | 360 153 | ||
| 2 | Treasury bills and other bills eligible for refinancing | 163 590 | 163 188 | ||
| 3 | with central banks, etc. Loans to credit institutions |
39 504 | 24 009 | ||
| 4 | Loans to the public | 1 703 206 | 1 718 443 | ||
| Value change of interest hedged item in portfolio | -1 753 | -1 753 | |||
| 5 | hedge | ||||
| 6 | Bonds and other interest-bearing securities | 58 093 | 58 155 | ||
| 7 | Financial assets for which the customers bear the investment risk |
328 512 | 0 | ||
| 8 | Shares and participating interests | 13 416 | 13 010 | ||
| 9 | Investments in associates and joint ventures | 7 705 | 4 440 | ||
| 10 | Investments subsidiaries | 0 | 5 637 | ||
| 11 | Derivatives | 40 531 | 40 531 | ||
| 12 | Intangible assets | 19 488 | 18 877 | ||
| of which: goodwill | 13 501 | 13 590 | 8 | ||
| of which: other intangible assets | 4 974 | 4 983 | 8 | ||
| 13 | Tangible assets | 5 523 | 5 587 | ||
| 14 | Current tax assets Deferred tax assets |
1 373 114 |
1 367 87 |
||
| 15 | of which: deferred tax assets that rely on future | 94 | 68 | 10 | |
| profitability excluding those arising from temporary | |||||
| differences | |||||
| 16 | Other assets | 9 192 | 9 432 | ||
| 17 | Prepaid expenses and accrued income | 1 970 | 2 102 | ||
| Total assets | 2 750 617 | 2 423 265 | |||
| Liabilities - Breakdown by liability clases according to the balance sheet in the published financial statements Amounts owed to credit institutions |
92 812 | 93 119 | |||
| 1 2 |
Deposits and borrowings from the public | 1 265 783 | 1 269 772 | ||
| 3 | Financial liabilities for which the customers bear the investment risk |
329 666 | 0 | ||
| 4 | Debt securities in issue | 735 917 | 735 917 | ||
| 5 | Short positions, securities | 28 613 | 28 613 | ||
| 6 | Derivatives | 28 106 | 28 106 | ||
| 7 | Current tax liabilities | 672 | 667 | ||
| 8 | Deferred tax liabilities | 3 398 | 3 294 | ||
| of which: deferred tax liabilities associated to other intangible assets |
1 013 | 1 013 | 8 | ||
| 9 | Pension provisions | 1 801 | 1 877 | ||
| 10 | Insurance provisions | 1 970 | 0 | ||
| 11 | Other liabilities and provisions | 28 934 | 28 845 | ||
| 12 | Accrued expenses and prepaid income | 4 813 | 4 923 | ||
| 13 | Senior non-preferred liabilities | 37 832 | 37 832 | ||
| 14 | Subordinated liabilities | 28 604 | 28 604 | ||
| of which: Capital instruments and the related share premium accounts AT1 |
13 427 | 13 427 | 30 | ||
| of which: Capital instruments and the related share premium accounts AT2 |
14 937 | 14 937 | 46 | ||
| Total liabilities | 2 588 921 | 2 261 569 | |||
| Shareholders' Equity | |||||
| 1 | Equity attributable to shareholders of the parent | 161 670 | 161 670 | ||
| company of which: capital instruments and the related share - |
38 110 | 38 110 | 1 | ||
| premium accounts | |||||
| of which retained earnings | 79 749 | 79 270 | 2 | ||
| of which: accumulated other comprehensive income (and other reserves) |
24 160 | 24 638 | 3 | ||
| of which: profit or loss | 20 871 | 20 871 | 5a | ||
| of which: less anticipated dividends for the year | 12 632 | 12 632 | 5a | ||
| of which: fair value reserves related to gains or | -2 | -2 | 11 | ||
| losses on cash flow hedges of which: direct holdings by an institution of own |
-1 219 | -1 219 | 16 | ||
| CET1 instruments (negative amount) | |||||
| 2 | Non-controlling interests | 26 | 26 | ||
| Total shareholders' equity | 161 696 | 161 696 |
| 1 | Issuer | Swedbank AB (publ) | Swedbank AB (publ) |
|---|---|---|---|
| 2 | Unique identifier (eg CUSIP, ISIN or Bloomberg identifier for | SE0000242455 | XS2377291963 |
| 2a | private placement) Public or private placement |
Public | Public |
| 3 | Governing law(s) of the instrument | Swedish | English/Swedish |
| 3a | Contractual recognition of write down and conversion | Yes | Yes |
| powers of resolution authorities Regulatory treatment |
|||
| 4 | Current treatment taking into account, where | Common Equity Tier 1 | Additional Tier 1 |
| applicable, transitional CRR rules | |||
| 5 | Post-transitional CRR rules Eligible at solo/(sub-)consolidated/ solo&(sub- |
Common Equity Tier 1 | Additional Tier 1 |
| 6 | )consolidated | Solo & consolidated | Solo & Consolidated |
| 7 | Instrument type (types to be specified by each jurisdiction) |
Share capital as published in Regulation (EU) No 575/2013 article 28 |
Additional Tier 1 as published in Regulation (EU) No 575/2013 art 52 |
| 8 | Amount recognised in regulatory capital or eligible liabilities (Currency in million, as of most recent reporting date) |
SEK 24 904m | SEK 4 369m |
| 9 | Nominal amount of instrument | SEK 24 904m | USD 500m |
| EU 9a |
Issue price | N/A | 100 per cent |
| EU 9b |
Redemption price | N/A | 100 per cent of Nominal amount |
| 10 | Accounting classification | Shareholders' equity | Liability - amortised cost |
| 11 | Original date of issuance | N/A | 25.Aug.21 |
| 12 13 |
Perpetual or dated Original maturity date |
Perpetual No maturity |
Perpetual No maturity |
| 14 | Issuer call subject to prior supervisory approval | No | Yes |
| 15 | Optional call date, contingent call dates and redemption amount |
N/A | 17-SEP-29 100 per cent of Nominal amount In addition Tax/Regulatory call |
| 16 | Subsequent call dates, if applicable | N/A | Any Reset Date after first call date |
| Coupons / dividends | |||
| 17 | Fixed or floating dividend/coupon | N/A | Fixed |
| 18 | Coupon rate and any related index | N/A | Fixed 4.0 per cent per annum to call date (equiv to USD Swap Rate +2.864 per cent per annum), thereafter reset Fixed rate equiv to USD Swap Rate +2.864 per cent per annum |
| 19 | Existence of a dividend stopper | N/A | No |
| EU 20a |
Fully discretionary, partially discretionary or mandatory (in terms of timing) |
Fully discretionary | Fully discretionary |
| EU 20b |
Fully discretionary, partially discretionary or mandatory (in terms of amount) |
Fully discretionary | Fully discretionary |
| 21 | Existence of step up or other incentive to redeem |
N/A | No |
| 22 | Noncumulative or cumulative | N/A | Non cumulative |
| 23 | Convertible or non-convertible | N/A | Convertible |
| 24 | If convertible, conversion trigger(s) | N/A | 8% CET1 ratio on consolidated level, 5.125% CET1 ratio on solo level |
| 25 | If convertible, fully or partially | N/A | Fully The greater of the current market price of an |
| 26 | If convertible, conversion rate | N/A | Ordinary Share, the Quota value of an Ordinary Share and the Floor Price, all as of the Conversion Date. Floor price means USD 12.92 (subject to limited anti-dilution adjustments) |
| 27 | If convertible, mandatory or optional conversion | N/A | Mandatory |
| 28 | If convertible, specify instrument type convertible into |
N/A | Ordinary Share |
| 29 | If convertible, specify issuer of instrument it converts into |
N/A | Swedbank AB (publ) |
| 30 | Write-down features | N/A | No |
| 31 32 |
If write-down, write-down trigger(s) If write-down, full or partial |
N/A N/A |
N/A N/A |
| 33 | If write-down, permanent or temporary | N/A | N/A |
| 34 | If temporary write-down, description of write- up mechanism |
N/A | N/A |
| 34a | Type of subordination (only for eligible liabilities) | N/A | N/A |
| EU 34b |
Ranking of the instrument in normal insolvency proceedings |
1 | 3 |
| 35 | Position in subordination hierarchy in liquidation (specify instrument type immediately senior to instrument) |
Additional Tier 1 | Tier 2 |
| 36 | Non-compliant transitioned features | No | No |
| 37 | If yes, specify non-compliant features | N/A | N/A |
| 37a | Link to the full term and conditions of the instrument (signposting) |
N/A | Link |
| 1 | Issuer | Swedbank AB (publ) | Swedbank AB (publ) |
|---|---|---|---|
| 2 | Unique identifier (eg CUSIP, ISIN or Bloomberg identifier for private placement) |
XS2046625765 | XS1535953134 |
| 2a | Public or private placement | Public | Public |
| 3 | Governing law(s) of the instrument | English/Swedish | English/Swedish |
| 3a | Contractual recognition of write down and conversion powers of resolution authorities |
Yes | Yes |
| Regulatory treatment | |||
| 4 | Current treatment taking into account, where applicable, transitional CRR rules |
Additional Tier 1 | Additional Tier 1 |
| 5 | Post-transitional CRR rules | Additional Tier 1 | Additional Tier 1 |
| 6 | Eligible at solo/(sub-)consolidated/ solo&(sub- )consolidated |
Solo & consolidated | Solo & Consolidated |
| 7 | Instrument type (types to be specified by each jurisdiction) |
Additional Tier 1 as published in Regulation (EU) No 575/2013 art 52 |
Additional Tier 1 as published in Regulation (EU) No 575/2013 art 52 |
| 8 | Amount recognised in regulatory capital or eligible liabilities (Currency in million, as of most recent reporting date) |
SEK 4 529m | SEK 4 529m |
| 9 | Nominal amount of instrument | USD 500m | USD 500m |
| EU-9a | Issue price | 100 per cent | 100 per cent |
| EU 9b |
Redemption price | 100 per cent of Nominal amount | 100 per cent of Nominal amount |
| 10 | Accounting classification | Liability - amortised cost | Liability - amortised cost |
| 11 | Original date of issuance | 29.Aug.19 | 16.Dec.16 |
| 12 | Perpetual or dated | Perpetual | Perpetual |
| 13 | Original maturity date | No maturity | No maturity |
| 14 | Issuer call subject to prior supervisory approval | Yes | Yes |
| 15 | Optional call date, contingent call dates and redemption amount |
17-SEP-24 100 per cent of Nominal amount In addition Tax/Regulatory call |
17-MAR-22 100 per cent of Nominal amount In addition Tax/Regulatory call |
| 16 | Subsequent call dates, if applicable | Any Reset Date after first call date | Any Reset Date after first call date |
| Coupons / dividends | |||
| 17 | Fixed or floating dividend/coupon | Fixed | Fixed |
| 18 | Coupon rate and any related index | Fixed 5.625 per cent per annum to call date (equiv to USD Swap Rate +4.134 per cent per annum), thereafter reset Fixed rate equiv to USD Swap Rate +4.134 per cent per annum |
Fixed 6.0 per cent per annum to call date (equiv to USD Swap Rate +4.106 per cent per annum), thereafter reset Fixed rate equiv to USD Swap Rate +4.106 per cent per annum |
| 19 | Existence of a dividend stopper | No | No |
| EU 20a |
Fully discretionary, partially discretionary or mandatory (in terms of timing) |
Fully discretionary | Fully discretionary |
| EU 20b |
Fully discretionary, partially discretionary or mandatory (in terms of amount) |
Fully discretionary | Fully discretionary |
| 21 | Existence of step up or other incentive to redeem |
No | No |
| 22 | Noncumulative or cumulative | Non cumulative | Non cumulative |
| 23 | Convertible or non-convertible | Convertible | Convertible |
| 24 | If convertible, conversion trigger(s) | 8% CET1 ratio on consolidated level, 5.125% CET1 ratio on solo level |
8% CET1 ratio on consolidated level, 5.125% CET1 ratio on solo level |
| 25 | If convertible, fully or partially | Fully | Fully |
| 26 | If convertible, conversion rate | The greater of the current market price of an Ordinary Share, the Quota value of an Ordinary Share and the Floor Price, all as of the Conversion Date. Floor price means USD 8.75 (subject to limited anti-dilution adjustments) |
The greater of the current market price of an Ordinary Share, the Quota value of an Ordinary Share and the Floor Price, all as of the Conversion Date. Floor price means USD 15.70 (subject to limited anti-dilution adjustments) |
| 27 | If convertible, mandatory or optional conversion | Mandatory | Mandatory |
| 28 | If convertible, specify instrument type convertible into |
Ordinary Share | Ordinary Share |
| 29 | If convertible, specify issuer of instrument it converts into |
Swedbank AB (publ) | Swedbank AB (publ) |
| 30 | Write-down features | No | No |
| 31 | If write-down, write-down trigger(s) | N/A | N/A |
| 32 | If write-down, full or partial | N/A | N/A |
| 33 | If write-down, permanent or temporary | N/A | N/A |
| 34 | If temporary write-down, description of write- up mechanism |
N/A | N/A |
| 34a | Type of subordination (only for eligible liabilities) | N/A | N/A |
| EU 34b |
Ranking of the instrument in normal insolvency proceedings |
3 | 3 |
| 35 | Position in subordination hierarchy in liquidation (specify instrument type immediately senior to instrument) |
Tier 2 | Tier 2 |
| 36 | Non-compliant transitioned features | No | No |
| 37 | If yes, specify non-compliant features | N/A | N/A |
| 37a | Link to the full term and conditions of the instrument (signposting) |
Link | Link |
| 1 | Issuer | Swedbank AB (publ) | Swedbank AB (publ) |
|---|---|---|---|
| 2 | Unique identifier (eg CUSIP, ISIN or Bloomberg identifier for private placement) |
XS1617859464 | XS1796813589 |
| 2a | Public or private placement | Public | Public |
| 3 | Governing law(s) of the instrument | English/Swedish | English/Swedish |
| 3a | Contractual recognition of write down and | Yes | Yes |
| conversion powers of resolution authorities | |||
| Regulatory treatment | |||
| 4 | Current treatment taking into account, where applicable, transitional CRR rules |
Tier 2 | Tier 2 |
| 5 | Post-transitional CRR rules | Tier 2 | Tier 2 |
| 6 | Eligible at solo/(sub-)consolidated/ | Solo & consolidated | Solo & Consolidated |
| solo&(sub)consolidated | |||
| 7 | Instrument type (types to be specified by each jurisdiction) |
Tier 2 as published in Regulation (EU) No 575/2013 article 63 |
Tier 2 as published in Regulation (EU) No 575/2013 article 63 |
| 8 | Amount recognised in regulatory capital or eligible liabilities (Currency in million, as of most recent reporting date) |
SEK 6 682m | SEK 397m |
| 9 | Nominal amount of instrument | EUR 650m | JPY 5 000m |
| EU-9a | Issue price | 99.475 per cent | 100 per cent |
| EU | Redemption price | 100 per cent of Nominal amount | 100 per cent of Nominal amount |
| 9b | |||
| 10 | Accounting classification | Liability - amortised cost | Liability - amortised cost |
| 11 | Original date of issuance | 22.May.17 | 28.Mar.18 |
| 12 | Perpetual or dated | Dated | Dated |
| 13 | Original maturity date | 22.Nov.27 | 28.Mar.33 |
| 14 | Issuer call subject to prior supervisory approval |
Yes | Yes |
| 15 | Optional call date, contingent call dates and redemption amount |
22-NOV-22 100 per cent of Nominal amount In addition Tax/Regulatory call |
28-MAR-28 100 per cent of Nominal amount In addition Tax/Regulatory call |
| 16 | Subsequent call dates, if applicable | N/A | N/A |
| Coupons / dividends | |||
| 17 | Fixed or floating dividend/coupon | Fixed | Fixed |
| 18 | Coupon rate and any related index | Fixed 1 per cent per annum to call date (equivalent to Euro Swap Rate +0.82 per cent per annum), thereafter reset Fixed rate equivalent to Euro Swap Rate +0.82 per cent per annum |
Fixed 0.9 per cent per annum payable in arrear on each Interest Payment Date, thereafter reset Fixed rate equivalent to JPY 6M Swap Rate +0.6425 per cent per annum |
| 19 | Existence of a dividend stopper | No | No |
| EU | Fully discretionary, partially discretionary | Mandatory | Mandatory |
| 20a EU |
or mandatory (in terms of timing) Fully discretionary, partially discretionary |
||
| 20b | or mandatory (in terms of amount) | Mandatory | Mandatory |
| 21 | Existence of step up or other incentive to redeem |
No | No |
| 22 | Noncumulative or cumulative | Cumulative | Cumulative |
| 23 | Convertible or non-convertible | Non-convertible | Non-convertible |
| 24 | If convertible, conversion trigger(s) | N/A | N/A |
| 25 | If convertible, fully or partially | N/A | N/A |
| 26 | If convertible, conversion rate | N/A | N/A |
| 27 | If convertible, mandatory or optional conversion |
N/A | N/A |
| 28 | If convertible, specify instrument type convertible into |
N/A | N/A |
| 29 | If convertible, specify issuer of instrument it converts into |
N/A | N/A |
| 30 | Write-down features | No | No |
| 31 | If write-down, write-down trigger(s) | N/A | N/A |
| 32 | If write-down, full or partial | N/A | N/A |
| 33 | If write-down, permanent or temporary | N/A | N/A |
| 34 | If temporary write-down, description of write-up mechanism |
N/A | N/A |
| 34a | Type of subordination (only for eligible liabilities) |
N/A | N/A |
| EU 34b |
Ranking of the instrument in normal insolvency proceedings |
4 | 4 |
| 35 | Position in subordination hierarchy in liquidation (specify instrument type immediately senior to instrument) |
Senior debt | Senior debt |
| 36 | Non-compliant transitioned features | No | No |
| 37 | If yes, specify non-compliant features | N/A | N/A |
| 37a | Link to the full term and conditions of the instrument (signposting) |
Link | Link |
| 1 | Issuer | Swedbank AB (publ) | Swedbank AB (publ) |
|---|---|---|---|
| 2 | Unique identifier (eg CUSIP, ISIN or Bloomberg identifier for private placement) |
XS1807179277 | XS1816641937 |
| 2a | Public or private placement | Public | Public |
| 3 | Governing law(s) of the instrument | English/Swedish | English/Swedish |
| 3a | Contractual recognition of write down and | Yes | Yes |
| conversion powers of resolution authorities | |||
| Regulatory treatment | |||
| 4 | Current treatment taking into account, where applicable, transitional CRR rules |
Tier 2 | Tier 2 |
| 5 | Post-transitional CRR rules | Tier 2 | Tier 2 |
| 6 | Eligible at solo/(sub- )consolidated/solo&(sub-)consolidated |
Solo & consolidated | Solo & Consolidated |
| 7 | Instrument type (types to be specified by each jurisdiction) |
Tier 2 as published in Regulation (EU) No 575/2013 article 63 |
Tier 2 as published in Regulation (EU) No 575/2013 article 63 |
| 8 | Amount recognised in regulatory capital or eligible liabilities (Currency in million, as of most recent reporting date) |
SEK 629m | SEK 1 206m |
| 9 | Nominal amount of instrument | JPY 8 000m | SEK 1 200m |
| EU-9a | Issue price | 100 per cent | 100 per cent |
| EU 9b |
Redemption price | 100 per cent of Nominal amount | 100 per cent of Nominal amount |
| 10 | Accounting classification | Liability - amortised cost | Liability - amortised cost |
| 11 | Original date of issuance | 12.Apr.18 | 08.May.18 |
| 12 | Perpetual or dated | Dated | Dated |
| 13 | Original maturity date | 12.Apr.28 | 08.May.28 |
| 14 | Issuer call subject to prior supervisory approval |
Yes | Yes |
| 15 | Optional call date, contingent call dates | 12-APR-23 100 per cent of Nominal amount |
08-MAY-23 100 per cent of Nominal amount |
| and redemption amount | In addition Tax/Regulatory call | In addition Tax/Regulatory call | |
| 16 | Subsequent call dates, if applicable | N/A | N/A |
| Coupons / dividends | |||
| 17 | Fixed or floating dividend/coupon | Fixed | Fixed |
| 18 | Coupon rate and any related index | Fixed 0.75 per cent per annum payable in arrear on each Interest Payment Date, thereafter reset Fixed rate equivalent to JPY 6M Swap Rate |
Fixed 1.55875 per cent per annum payable in arrear on each Interest Payment Date, thereafter reset Floating rate 3-month STIBOR +1.03 per cent per |
| +0.64625 per cent per annum | annum | ||
| 19 EU |
Existence of a dividend stopper Fully discretionary, partially discretionary |
No Mandatory |
No Mandatory |
| 20a EU |
or mandatory (in terms of timing) Fully discretionary, partially discretionary |
Mandatory | Mandatory |
| 20b 21 |
or mandatory (in terms of amount) Existence of step up or other incentive to |
No | No |
| redeem | |||
| 22 | Noncumulative or cumulative | Cumulative | Cumulative |
| 23 | Convertible or non-convertible | Non-convertible | Non-convertible |
| 24 | If convertible, conversion trigger(s) | N/A | N/A |
| 25 26 |
If convertible, fully or partially If convertible, conversion rate |
N/A N/A |
N/A N/A |
| 27 | If convertible, mandatory or optional conversion |
N/A | N/A |
| 28 | If convertible, specify instrument type convertible into |
N/A | N/A |
| 29 | If convertible, specify issuer of instrument it converts into |
N/A | N/A |
| 30 | Write-down features | No | No |
| 31 | If write-down, write-down trigger(s) | N/A | N/A |
| 32 | If write-down, full or partial | N/A | N/A |
| 33 | If write-down, permanent or temporary | N/A | N/A |
| 34 | If temporary write-down, description of write-up mechanism |
N/A | N/A |
| 34a | Type of subordination (only for eligible liabilities) |
N/A | N/A |
| EU 34b |
Ranking of the instrument in normal insolvency proceedings |
4 | 4 |
| 35 | Position in subordination hierarchy in liquidation (specify instrument type immediately senior to instrument) |
Senior debt | Senior debt |
| 36 | Non-compliant transitioned features | No | No |
| 37 | If yes, specify non-compliant features Link to the full term and conditions of the |
N/A | N/A |
| 1 | Issuer | Swedbank AB (publ) | Swedbank AB (publ) |
|---|---|---|---|
| 2 | Unique identifier (eg CUSIP, ISIN or Bloomberg identifier for private placement) |
XS1848755358 | XS1880928459 |
| 2a | Public or private placement | Public | Public |
| 3 | Governing law(s) of the instrument | English/Swedish | English/Swedish |
| 3a | Contractual recognition of write down and | Yes | Yes |
| conversion powers of resolution authorities | |||
| Regulatory treatment Current treatment taking into account, |
|||
| 4 | where applicable, transitional CRR rules | Tier 2 | Tier 2 |
| 5 | Post-transitional CRR rules | Tier 2 | Tier 2 |
| 6 | Eligible at solo/(sub-)consolidated/ solo&(sub-)consolidated |
Solo & consolidated | Solo & Consolidated |
| 7 | Instrument type (types to be specified by each jurisdiction) |
Tier 2 as published in Regulation (EU) No 575/2013 article 63 |
Tier 2 as published in Regulation (EU) No 575/2013 article 63 |
| 8 | Amount recognised in regulatory capital or eligible liabilities (Currency in million, as of most recent reporting date) |
SEK 864m | SEK 5 159m |
| 9 | Nominal amount of instrument | JPY 11 000m | EUR 500m |
| EU-9a | Issue price | 100 per cent | 99.523 per cent |
| EU 9b |
Redemption price | 100 per cent of Nominal amount | 100 per cent of Nominal amount |
| 10 | Accounting classification | Liability - amortised cost | Liability - amortised cost |
| 11 | Original date of issuance | 29.Jun.18 | 18.Sep.18 |
| 12 | Perpetual or dated | Dated | Dated |
| 13 | Original maturity date | 29.Jun.28 | 18.Sep.28 |
| 14 | Issuer call subject to prior supervisory approval |
Yes | Yes |
| 15 | Optional call date, contingent call dates | 29-JUN-23 100 per cent of Nominal amount |
18-SEP-23 100 per cent of Nominal amount |
| and redemption amount | In addition Tax/Regulatory call | In addition Tax/Regulatory call | |
| 16 | Subsequent call dates, if applicable | N/A | N/A |
| Coupons / dividends | |||
| 17 | Fixed or floating dividend/coupon | Fixed | Fixed |
| 18 | Coupon rate and any related index | Fixed 0.95 per cent per annum payable in arrear on each Interest Payment Date, thereafter reset Fixed rate equivalent to JPY 6M Swap Rate +0.85125 per cent per annum |
Fixed 1 per cent per annum to call date (equivalent to Euro Swap Rate +0.82 per cent per annum), thereafter reset Fixed rate equivalent to Euro Swap Rate +1.28 per cent per annum |
| 19 | Existence of a dividend stopper | No | No |
| EU 20a |
Fully discretionary, partially discretionary or mandatory (in terms of timing) |
Mandatory | Mandatory |
| EU 20b |
Fully discretionary, partially discretionary or mandatory (in terms of amount) |
Mandatory | Mandatory |
| 21 | Existence of step up or other incentive to redeem |
No | No |
| 22 | Noncumulative or cumulative | Cumulative | Cumulative |
| 23 | Convertible or non-convertible | Non-convertible | Non-convertible |
| 24 | If convertible, conversion trigger(s) | N/A | N/A |
| 25 | If convertible, fully or partially | N/A | N/A |
| 26 | If convertible, conversion rate | N/A | N/A |
| 27 | If convertible, mandatory or optional conversion |
N/A | N/A |
| 28 | If convertible, specify instrument type convertible into |
N/A | N/A |
| 29 | If convertible, specify issuer of instrument it converts into |
N/A | N/A |
| 30 | Write-down features | No | No |
| 31 | If write-down, write-down trigger(s) | N/A | N/A |
| 32 | If write-down, full or partial | N/A | N/A |
| 33 | If write-down, permanent or temporary | N/A | N/A |
| 34 | If temporary write-down, description of write-up mechanism |
N/A | N/A |
| 34a | Type of subordination (only for eligible liabilities) |
N/A | N/A |
| EU 34b |
Ranking of the instrument in normal insolvency proceedings |
4 | 4 |
| 35 | Position in subordination hierarchy in liquidation (specify instrument type immediately senior to instrument) |
Senior debt | Senior debt |
| 36 | Non-compliant transitioned features | No | No |
| 37 | If yes, specify non-compliant features Link to the full term and conditions of the |
N/A | N/A |
| General credit exposures | Relevant credit exposures – Market risk |
Own fund requirements | |||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Breakdown by country SEKm |
Exposure value under the standardised approach |
Exposure value under the IRB approach |
Sum of long and short positions of trading book exposures for SA |
Value of trading book exposures for internal models |
Securitisation exposures Exposure value for non-trading book |
Total exposure value |
Relevant credit risk exposures - Credit risk |
Relevant credit exposures – Market risk |
Relevant credit exposures – Securitisation positions in the non-trading book |
Total | Risk-weighted exposure amounts |
Own fund requirements weights (%) |
Countercyclical buffer rate (%) |
| Sweden | 41 778 | 1 546 635 | 29 109 | 1 617 522 | 33 919 | 218 | 34 137 | 426 713 | 75.67% | 0.0% | |||
| Estonia | 6 949 | 91 423 | 2 | 98 374 | 2 883 | 0 | 2 884 | 36 050 | 6.39% | ||||
| Latvia | 898 | 40 195 | 41 093 | 1 707 | 1 707 | 21 338 | 3.79% | 0.0% | |||||
| Lithuania | 3 949 | 71 553 | 96 | 75 598 | 2 155 | 1 | 2 156 | 26 950 | 4.78% | 0.0% | |||
| Norway | 9 166 | 44 700 | 1 573 | 55 439 | 1 631 | 25 | 1 656 | 20 700 | 3.67% | 1.0% | |||
| Finland | 336 | 25 254 | 1 451 | 27 041 | 834 | 6 | 840 | 10 500 | 1.86% | ||||
| Denmark | 5 795 | 5 192 | 267 | 11 254 | 295 | 2 | 297 | 3 713 | 0.66% | ||||
| USA | 682 | 4 809 | 1 | 5 492 | 262 | 0 | 262 | 3 275 | 0.58% | ||||
| Great Britain | 118 | 2 900 | 1 | 3 019 | 79 | 0 | 79 | 988 | 0.18% | ||||
| Luxemburg | 714 | 8 523 | 9 237 | 212 | 212 | 2 650 | 0.47% | 0.5% | |||||
| Other countries |
2 026 | 19 072 | 140 | 21 238 | 878 | 4 | 882 | 11 025 | 1.95% | 0.0% | |||
| Total | 72 411 | 1 860 256 | 32 640 | 1 965 307 | 44 855 | 256 | 45 112 | 563 900 | 100.00% |
Institution specific CCyB rate is equal to 0.0391%, there have been no significant changes for Q4 2021 as compared to Q2 2021. The majority or relevant exposures is in the country of residence Sweden where the CCyB is set to 0%.
| SEKm | |
|---|---|
| Total risk exposure amount | 707 753 |
| Institution specific countercyclical capital buffer rate | 0.04% |
| Institution specific countercyclical capital buffer requirement | 276 |
Institution specific CCyB rate is equal to 0.0391%. The majority or relevant exposures is in the country of residence Sweden where the CCyB is set to 0%.
| SEKm | Applicable amount |
|---|---|
| Total assets as per published financial statements | 2 750 617 |
| Adjustment for entities which are consolidated for accounting purposes but are outside the scope of prudential consolidation |
-327 352 |
| (Adjustment for securitised exposures that meet the operational requirements for the recognition of risk transference) | |
| (Adjustment for temporary exemption of exposures to central bank (if applicable)) | |
| (Adjustment for fiduciary assets recognised on the balance sheet pursuant to the applicable accounting framework but excluded from the total exposure measure in accordance with point (i) of point (i) of Article 429a(1) CRR) |
|
| Adjustment for regular-way purchases and sales of financial assets subject to trade date accounting | |
| Adjustment for eligible cash pooling transactions | |
| Adjustments for derivative financial instruments | -5 943 |
| Adjustment for securities financing transactions (SFTs) | 65 695 |
| Adjustment for off-balance sheet items (ie conversion to credit equivalent amounts of off-balance sheet exposures) | 164 195 |
| (Adjustment for prudent valuation adjustments and specific and general provisions which have reduced Tier 1 capital) | |
| (Adjustment for exposures excluded from the total exposure measure in accordance with point (c ) of Article 429a(1) CRR) | |
| (Adjustment for exposures excluded from the total exposure measure in accordance with point (j) of Article 429a(1) CRR) | |
| Other adjustments | -20 570 |
| Total exposure measure | 2 626 642 |
Leverage ratio exposure measure decreased by SEK 211.9bn as compared to Q2 2021. The decrease was mainly due to lower balances with central banks.
| CRR leverage ratio exposures | |||
|---|---|---|---|
| 31 Dec 2021 | 30 June 2021 | ||
| On-balance sheet exposures (excluding derivatives and SFTs) | |||
| 1 | On-balance sheet items (excluding derivatives, SFTs, but including collateral) | 2 350 682 | 2 575 159 |
| 2 | Gross-up for derivatives collateral provided where deducted from the balance sheet assets pursuant to the | ||
| 3 | applicable accounting framework (Deductions of receivables assets for cash variation margin provided in derivatives transactions) |
-7 738 | 7 635 |
| 4 | (Adjustment for securities received under securities financing transactions that are recognised as an asset) | ||
| 5 | (General credit risk adjustments to on-balance sheet items) | ||
| 6 | (Asset amounts deducted in determining Tier 1 capital) | -20 571 | -19 548 |
| 7 | Total on-balance sheet exposures (excluding derivatives and SFTs) | 2 322 373 | 2 547 975 |
| Derivative exposures | |||
| 8 | Replacement cost associated with SA-CCR derivatives transactions (ie net of eligible cash variation margin) | 15 501 | 15 006 |
| EU-8a | Derogation for derivatives: replacement costs contribution under the simplified standardised approach | ||
| 9 | Add-on amounts for potential future exposure associated with SA-CCR derivatives transactions | 34 224 | 38 191 |
| EU-9a | Derogation for derivatives: Potential future exposure contribution under the simplified standardised approach | ||
| EU-9b | Exposure determined under Original Exposure Method | ||
| 10 | (Exempted CCP leg of client-cleared trade exposures) (SA-CCR) | -1 292 | -287 |
| EU-10a | (Exempted CCP leg of client-cleared trade exposures) (simplified standardised approach) | ||
| EU-10b | (Exempted CCP leg of client-cleared trade exposures) (Original exposure method) | ||
| 11 | Adjusted effective notional amount of written credit derivatives | ||
| 12 | (Adjusted effective notional offsets and add-on deductions for written credit derivatives) | ||
| 13 | Total derivatives exposures | 48 433 | 52 910 |
| Securities financing transaction (SFT) exposures | |||
| 14 | Gross SFT assets (with no recognition of netting), after adjustment for sales accounting transactions | 88 535 | 70 569 |
| 15 | (Netted amounts of cash payables and cash receivables of gross SFT assets) | ||
| 16 | Counterparty credit risk exposure for SFT assets | 3 105 | 6 386 |
| EU-16a | Derogation for SFTs: Counterparty credit risk exposure in accordance with Articles 429e(5) and 222 CRR | ||
| 17 | Agent transaction exposures | ||
| EU-17a | (Exempted CCP leg of client-cleared SFT exposure) | ||
| 18 | Total securities financing transaction exposures | 91 640 | 76 955 |
| Other off-balance sheet exposures | |||
| 19 | Off-balance sheet exposures at gross notional amount | 407 305 | 408 879 |
| 20 | (Adjustments for conversion to credit equivalent amounts) | -242 491 | 247 488 |
| 21 | (General provisions deducted in determining Tier 1 capital and specific provisions associated associated with off-balance sheet exposures) |
||
|---|---|---|---|
| 22 | Off-balance sheet exposures | 164 814 | 161 391 |
| Excluded exposures | |||
| EU-22a | (Exposures excluded from the total exposure measure in accordance with point (c) of Article 429a(1) CRR) | ||
| EU-22b | (Exposures exempted in accordance with point (j) of Article 429a (1) CRR (on and off balance sheet)) | ||
| EU-22c | (Excluded exposures of public development banks (or units) - Public sector investments) | ||
| EU-22d | (Excluded exposures of public development banks (or units) - Promotional loans) | ||
| EU-22e | Excluded passing-through promotional loan exposures by non-public development banks (or units)) | ||
| EU-22f | (Excluded guaranteed parts of exposures arising from export credits) | -619 | -698 |
| EU-22g | (Excluded excess collateral deposited at triparty agents) | ||
| EU-22h | (Excluded CSD related services of CSD/institutions in accordance with point (o) of Article 429a(1) CRR) | ||
| EU-22i | (Excluded CSD related services of designated institutions in accordance with point (p) of Article 429a(1) CRR) | ||
| EU-22j | (Reduction of the exposure value of pre-financing or intermediate loans) | ||
| EU-22k | (Total exempted exposures) | -619 | -698 |
| Capital and total exposure measure | |||
| 23 | Tier 1 capital | 143 022 | 136 146 |
| 24 | Total exposure measure | 2 626 642 | 2 838 534 |
| Leverage ratio | |||
| 25 | Leverage ratio (%) | 5.4% | 4.8% |
| EU-25 | Leverage ratio (excluding the impact of the exemption of public sector investments and promotional loans) (%) |
5.4% | 4.8% |
| 25a | Leverage ratio (excluding the impact of any applicable temporary exemption of central bank reserves) (%) | 5.4% | 4.8% |
| 26 | Regulatory minimum leverage ratio requirement (%) | 3.0% | 3.0% |
| EU-26a | Additional own funds requirements to address the risk of excessive leverage (%) | ||
| EU-26b | of which: to be made up of CET1 capital | ||
| 27 | Leverage ratio buffer requirement (%) | 3.0% | 3.0% |
| Overall leverage ratio requirement (%) | 3.0% | 3.0% | |
| Choice on transitional arrangements and relevant exposures | |||
| EU-27b | Choice on transitional arrangements for the definition of the capital measure | ||
| Disclosure of mean values | |||
| 28 | Mean of daily values of gross SFT assets, after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivable |
110 771 | 97 401 |
| 29 | Quarter-end value of gross SFT assets, after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivables |
88 535 | 70 569 |
| Total exposures (including the impact of any applicable temporary exemption of central bank reserves) | 2 648 878 | 2 865 365 | |
| 30 | incorporating mean values from row 28 of gross SFT assets (after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivables) |
||
| 30a | Total exposures (excluding the impact of any applicable temporary exemption of central bank reserves) incorporating mean values from row 28 of gross SFT assets (after adjustment for sale accounting |
2 648 878 | 2 865 365 |
| transactions and netted of amounts of associated cash payables and cash receivables) | |||
| 31 | Leverage ratio (including the impact of any applicable temporary exemption of central bank reserves) incorporating mean values from row 28 of gross SFT assets (after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivables) |
5.4% | 4.8% |
| Leverage ratio (excluding the impact of any applicable temporary exemption of central bank reserves) | 5.4% | 4.8% | |
| 31a | incorporating mean values from row 28 of gross SFT assets (after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivables) |
Swedbank monitors and discloses its leverage ratio according to the requirements and as of Q2 2021 must meet a minimum leverage ratio requirement of 3% under the CRR II. The leverage ratio has slightly increased to 5.4% during Q4 2021 as compared to Q2 2021 (4.8%).
| SEKm | CRR leverage ratio exposures |
|---|---|
| Total on-balance sheet exposures (excluding derivatives, SFTs, and exempted exposures), of which: | 2 388 685 |
| Trading book exposures | 11 845 |
| Banking book exposures, of which: | 2 376 840 |
| Covered bonds | 21 718 |
| Exposures treated as sovereigns | 505 243 |
| Exposures to regional governments, MDB, international organisations and PSE not treated as sovereigns | 3 913 |
| Institutions | 8 675 |
| Secured by mortgages of immovable properties | 1 142 580 |
| Retail exposures | 95 554 |
| Corporate | 445 485 |
| Exposures in default | 4 431 |
| Other exposures (eg equity, securitisations, and other non-credit obligation assets) | 149 241 |
Decrease in exposures towards sovereigns had the highest impact on the decrease of on-balance sheet excluding SFTs and derivatives as compared to Q2 2021.
Swedbank takes the risk of excessive leverage into account in the forward-looking capital planning process by forecasting the leverage ratio at least on a quarterly basis. Other business steering or asset-and-liability management tools are also considered as means to affect the total exposure measure and may be accessed, should such a need arise. Swedbank assesses if the entire Group, as well as the parent company and its subsidiaries, are adequately capitalised. In case of a deterioration, Swedbank Group can also increase the Tier 1 capital by issuing Additional Tier 1 capital. Likewise, a capital injection to support subsidiaries may be performed. In addition to the injection of equity capital, the total capital in a subsidiary may also be strengthened through subordinated loans within the Group. To the extent that non-restricted equity is available in subsidiaries, funds can be transferred back to the parent company as dividends. Swedbank regularly reviews the
capitalisation of the Group and the individual legal entities. The outcome of such reviews may trigger adjustments deemed necessary to ensure compliance with regulatory requirements and an efficient capital management within the Group. Further, there are no current or foreseen material practical or legal impediments to the prompt transfer of own funds or repayment of liabilities to or from the parent company and its subsidiaries.
The leverage ratio increased by 0.35 percentage points from 5.1% percent to 5.4% percent during 2021. The Tier 1 capital increased by SEK 14.1 bn, whereof CET1 capital increased by SEK 9.1bn and AT1 capital increased by SEK 5bn. The leverage ratio exposure amount increased by SEK 99.9bn, whereof the main driver was other assets which increased by SEK 107.3bn mainly due to increased cash and balances with central banks and loans to the public. Other drivers which increased the leverage ratio exposure amount were SFTs by 2.9bn and off-balance items by 6.9bn while derivatives decreased it by 16bn.
The risk of not being able to meet payment obligations when they fall due without incurring considerable additional costs for obtaining funds or losses due to asset fire-sales.
Throughout the year, central bank asset purchases were continued in accordance to announced programmes. This has led to continued inflows of deposits into the banking sector.
The liquidity risk that is acceptable for achieving the strategic goals of the Group, risk appetite, is defined by the Board of Directors. The risk appetite comprises both qualitative and quantitative statements. The Group has a low appetite for liquidity risk to ensure that the Group always can continue to serve its customers, and shall therefore maintain resilience towards both short-term and long-term liquidity stress without relying on forced asset sales or other business disrupting activities.
For the purpose of ensuring that liquidity risk stays within appetite, and ultimately for supporting the Group's strategic goals, the maintenance of a liquidity-generating capacity, together with funding planning and risk identification, are key processes within Swedbank's liquidity risk management.
The liquidity-generating capacity comprises two components. First, the Group's liquid assets, which comprise the liquidity reserve, i.e. liquid assets under the direct control of Group Treasury, as well as eligible unencumbered assets held elsewhere in the Group. Second, over-collateralisation in the cover pool, which also represents liquidity-generating capacity as it can be used to issue covered bonds.
The inclusion criteria for liquid assets correspond to the definition of High-Quality Liquid Assets (HQLA) in the Delegated regulation on the Liquidity Coverage Ratio (LCR). The size and currency distribution of the reserve is determined by the maturity structure and composition of asset and liabilities and internal and external requirements, e.g. risk appetite, limits, and regulations applicable for Group and its Subsidiaries.
Swedbank's funding strategy is based on three objectives: diversification, commitment, and proactivity. Funding shall be diversified based on long-term and short-term debt, different products, the maturity profile, geographies and the currency distribution.
Commitment is shown by maintaining a regular presence in the chosen markets and by providing liquidity. In order to be proactive in funding decisions, the Group monitors market developments and trends in the capital markets, including regulatory requirements, accounting changes and demands from rating agencies and investors. The funding strategy supports liquidity risk management, as it aims to ensure reliable access to funding markets.
The Group's funding strategy forms the basis for a more granular and tactical funding plan for issuance of debt where planned actions and activities are outlined. The funding plan spans a three-year period and is revised at least yearly, or when deemed appropriate due to changes in internal or external circumstances.
Liquidity risk identification is mainly managed through two separate processes. Besides the New Product Approval Process (NPAP), there is the Risk Identification Process (RIP), which is an annual process where liquidity risk topics are discussed. As part of the RIP, a gross risk inventory is established and maintained. Liquidity risk factors stemming from on- and off-balance sheet items are well known and covered by the risk inventory.
The independent risk management function, or the second line of defence, is constituted by the risk management function (Group Risk) and the compliance organisation (Group Compliance). The lines of defence are described in the Risk governance chapter of this report. Group Risk is responsible for ensuring that liquidity risks are identified and properly managed by Group Treasury and for this purpose have the responsibility to develop and maintain internal Group-wide methods for liquidity risk measurement and a limit framework. Group Risk is responsible for governance and strategies within the area of liquidity risk control and provides independent review of liquidity risk management. The division of responsibilities between Group Treasury and Group Risk with respect to liquidity risk management and control are regulated by internal policies.
Swedbank Group employs a centralised liquidity management, in the sense that regardless of where the liquidity reserve is located, Group Treasury is responsible for monitoring and coordinating the management of the reserve in different legal entities. Regulatory or other reasons are taken into account in the allocation of liquidity, why parts of the liquidity reserve may be held by different legal entities within the Group when deemed necessary.
Besides the central Group Treasury function, also local Treasury functions are established with responsibilities for local liquidity management. Due to the centralised approach, the Group Treasury function operates in close collaboration with the local functions.
The liquidity position is regularly reported to the management body through a range of channels. The CFO and CRO monthly reports target different committees and are reported to the Board of Directors. The scope covers the key liquidity metrics, including point in time outcomes, historical comparisons and forward-looking perspectives. In addition, the ILAAP and the Risk Management and Capital Adequacy reports are well anchored throughout the management lines and is ultimately targeting the Board of Directors. Besides the internal risk reporting, external reporting is made to supervisors and other stakeholders.
The liquidity systems provide information required in supporting the liquidity risk management processes and cater for measurement of key external and internal liquidity metrics as well as for data for analysis. The system solutions source relevant information and logic for generating cash flows and for structuring and compiling the data in accordance with common rules is applied.
The Risk Limit Framework (RLF) aims to ensure that risks stay within appetite. The RLF comprises limits decided by the CEO and allocated to the relevant Executive management (the CFO in the case of liquidity risk). Executive management then allocates the limit to the ultimate risk-owner, which in the case of liquidity risk is the Head of Group Treasury. Executive management may also impose limits in addition to the ones decided by the CEO.
Through the RLF, the risk appetite determines minimums for the earlier described liquidity-generating capacity.
The risk appetite is limited by the regulatory metrics Liquidity Coverage Ratio (LCR) and Net Stable Funding Ratio (NSFR), and by survival periods, as measured by the internal Survival horizon metric. The liquidity positions as captured by the limiting metrics are monitored daily.
The Survival horizon metric is central in the management of liquidity. The survival period in the Survival horizon gives answer to the question: "for how many days would the bank survive assuming liquidity was under severe pressure?". In addition to estimating the survival period itself, the liquidity position is evaluated at certain key horizons.
The survival period is determined by two factors. First, the liquidity-generating capacity, which represents the current liquidity position. Second, the scenario-determined projected stressed cash flows. The projected cash flows cause the liquidity position to either increase or decrease over the scenario horizon. The survival period is defined as the number of consecutive days for which the liquidity position is non-negative. Cash flows are projected using stressed assumptions, meaning for instance that wholesale funding is not, or is only partially, rolled over. Other key assumptions are that significant deposit withdrawals occur, and a severe decline in house prices.
Swedbank maintains Business Continuity Plans (BCPs) to manage liquidity disruptions and incidents. The BCPs specify the situations under which Group Treasury's Crisis Management Team would be activated, and the range of actions that then may be taken to restore the situation.
A primary objective of the BCP for liquidity is to ensure that action is taken in an early phase, avoiding activation of the Recovery Plan. To this end, Group Treasury maintains limits and targets for Recovery indicators set above their Recovery trigger levels.
Should the situation nevertheless become more severe, the CEO summons the Recovery Committee, and more farreaching recovery options become available.
There is also a BCP dedicated to intraday liquidity management which covers routines activated in the event of disruptions to critical IT systems used in the intraday liquidity management process, and in the event of an
intraday liquidity crisis. Business contingency plans are also established in the Baltic subsidiaries.
The risk appetite for liquidity risk is the range of adverse scenarios the bank shall have a capacity to withstand. The lower the risk appetite, the more adverse a scenario the bank must be able to manage.
In stress testing, scenarios that are more severe than envisioned in the risk appetite are imposed. The liquidity position in those severely adverse scenarios is compared to the risk appetite limits. The assessment is an attempt to answer the question – "given the current risk appetite, how would Swedbank fare if the materialised stress was significantly more severe than envisioned in the metrics used for daily liquidity steering?".
The stress test also assesses whether and when recovery triggers and/or regulatory requirements are breached for metrics such as the Survival horizon, LCR and NSFR.
In addition to the annual ILAAP stress test, quarterly stress tests (using the ILAAP scenario) and sensitivity analyses are conducted to continually attempt to identify weaknesses.
Swedbank has, through its established risk management processes and governance framework, adequate
arrangements for liquidity risk management and for maintaining the low-risk profile.
Risk appetite is the level of liquidity risk that is acceptable for achieving the strategic goals of the Group. The Group has a low appetite for liquidity risk to ensure that the Group always can continue to serve its customers, and shall therefore maintain resilience towards both short-term and long-term liquidity stress without relying on forced-asset sales or other business disrupting activities.
For the purpose of ensuring that liquidity risk stays within appetite, and ultimately for supporting the Group's strategic goals, the maintenance of a liquidity-generating capacity, together with funding planning and risk identification, are central processes within Swedbank's liquidity risk management.
The risk appetite is limited by the regulatory metrics Liquidity Coverage Ratio (LCR) and Net Stable Funding Ratio (NSFR), and by survival periods, as measured by the internal Survival horizon metric. In an assumed adverse scenario, the Survival horizon metric displays the number of days with a positive net liquidity position, taking future cash flows from all aspects of the balance sheet into account. Throughout 2021 Swedbank's liquidity position was strong with all key metrics remaining well above internal and regulatory requirements.
| Total unweighted value (average) | Total weighted value (average) | ||||||||
|---|---|---|---|---|---|---|---|---|---|
| Quarter ending on (DD Month YYY) SEKm |
31 December 2021 |
30 September 2021 |
30 June 2021 |
31 March 2021 |
31 December 2021 |
30 September 2021 |
30 June 2021 |
31 March 2021 |
|
| Number of data points used in the calculation of averages |
12 | 12 | 12 | 12 | 12 | 12 | 12 | 12 | |
| HIGH-QUALITY LIQUID ASSETS | |||||||||
| Total high-quality liquid assets (HQLA) | 717 469 | 671 691 | 609 652 | 574 930 | |||||
| CASH - OUTFLOWS | |||||||||
| Retail deposits and deposits from small business customers, of which: |
777 566 | 758 357 | 740 333 | 724 931 | 50 524 | 49 276 | 47 979 | 46 882 | |
| Stable deposits | 579 527 | 561 735 | 546 980 | 534 837 | 28 976 | 28 087 | 27 349 | 26 742 | |
| Less stable deposits | 195 391 | 192 211 | 187 066 | 182 748 | 21 547 | 21 189 | 20 630 | 20 140 | |
| Unsecured wholesale funding | 677 619 | 633 302 | 594 987 | 561 247 | 389 526 | 353 766 | 318 792 | 296 210 | |
| Operational deposits (all counterparties) and deposits in networks of cooperative banks |
377 988 | 354 017 | 339 701 | 319 445 | 128 681 | 114 073 | 101 738 | 91 308 | |
| Non-operational deposits (all counterparties) |
211 263 | 201 991 | 186 676 | 181 100 | 172 477 | 162 399 | 148 444 | 144 201 | |
| Unsecured debt | 88 368 | 77 294 | 68 611 | 60 701 | 88 368 | 77 294 | 68 611 | 60 701 | |
| Secured wholesale funding | 5 303 | 5 874 | 6 709 | 9 036 | |||||
| Additional requirements | 377 049 | 371 507 | 364 374 | 353 757 | 67 004 | 66 124 | 65 230 | 65 016 | |
| Outflows related to derivative exposures and other collateral requirements Outflows related to loss of funding on debt products |
33 378 | 32 821 | 32 112 | 32 176 | 33 378 | 32 821 | 32 112 | 32 176 | |
| Credit and liquidity facilities | 343 671 | 338 685 | 332 261 | 321 581 | 33 625 | 33 302 | 33 118 | 32 840 | |
| Other contractual funding obligations | 23 150 | 21 163 | 21 628 | 22 946 | 16 386 | 14 387 | 14 771 | 15 986 | |
| Other contingent funding obligations | 53 878 | 53 196 | 52 563 | 51 836 | |||||
| TOTAL CASH OUTFLOWS | 528 742 | 489 426 | 453 480 | 433 130 | |||||
| CASH - INFLOWS | |||||||||
| Secured lending (e.g. reverse repos) | 59 981 | 59 592 | 65 266 | 72 901 | 3 919 | 3 849 | 5 596 | 9 395 | |
| Inflows from fully performing exposures | 33 311 | 33 463 | 34 773 | 35 623 | 24 162 | 24 513 | 25 798 | 26 431 | |
| Other cash inflows | 25 739 | 25 316 | 27 071 | 33 613 | 25 739 | 25 316 | 27 071 | 33 613 |
SWEDBANK Risk Management and Capital Adequacy Report – Pillar 3 – Q4 2021
| (Difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies) (Excess inflows from a related specialised credit institution) |
||||||||
|---|---|---|---|---|---|---|---|---|
| TOTAL CASH INFLOWS | 119 030 | 118 371 | 127 110 | 142 137 | 53 820 | 53 679 | 58 464 | 69 439 |
| Fully exempt inflows | ||||||||
| Inflows subject to 90% cap | ||||||||
| Inflows subject to 75% cap | 119 030 | 118 371 | 127 110 | 142 137 | 53 820 | 53 679 | 58 464 | 69 439 |
| TOTAL ADJUSTED VALUE | ||||||||
| LIQUIDITY BUFFER | 717 469 | 671 691 | 609 652 | 574 930 | ||||
| TOTAL NET CASH OUTFLOWS | 474 922 | 435 747 | 395 016 | 363 691 | ||||
| LIQUIDITY COVERAGE RATIO | 152% | 155% | 155% | 159% |
The LCR outcome depends on the underlying dynamics of a) the liquidity reserve and b) the net cash outflows. Net cash outflows have increased over time, driven by an increase in deposit volumes since the introduction of quantitative easing by central banks. However, the size of the liquidity reserve has also been substantially increased over time, resulting in a general upshift of LCR levels.
Since the third quarter of 2021, the average LCR was slightly down. The LCR was for the period mostly affected by various factors such as the maturity distribution of debt as well as other temporary effects.
Swedbank is a retail bank with diversified funding. Low level of concentration is maintained by the large and broad base of depositors, and by wholesale funding that is diversified across investors, instrument types and currencies.
The majority of holdings in Swedbank's liquidity reserve are central bank assets. Residual assets of size in the reserve are government bonds and covered bonds of very high quality.
For assessing potential additional outflows from derivatives and other collateral requirements, the historical look-back approach (HLBA) is used, together with estimated effects from eventual rating downgrades.
Swedbank actively manages currency mismatches in the Group. In addition, Swedbank is required to comply with LCR requirements for significant currencies.
There are no material items in Swedbank's LCR that are not captured in the disclosure template.
| Unweighted value by residual maturity | Weighted | ||||
|---|---|---|---|---|---|
| SEKm | No maturity | < 6 months | 6 months to < 1yr |
≥ 1yr | value |
| Available stable funding (ASF) Items | |||||
| Capital items and instruments | 159 168 | 4 516 | 6 651 | 8 914 | 168 082 |
| Own funds | 159 168 | 4 516 | 6 651 | 8 914 | 168 082 |
| Other capital instruments | |||||
| Retail deposits | 817 813 | 683 | 650 | 768 055 | |
| Stable deposits | 614 716 | 458 | 428 | 584 843 | |
| Less stable deposits | 203 097 | 225 | 223 | 183 212 | |
| Wholesale funding: | 766 474 | 70 984 | 476 099 | 705 390 | |
| Operational deposits | 257 709 | 128 854 | |||
| Other wholesale funding | 508 765 | 70 984 | 476 099 | 576 536 | |
| Interdependent liabilities | |||||
| Other liabilities: | 72 566 | 2 522 | 2 522 | ||
| NSFR derivative liabilities | |||||
| All other liabilities and capital instruments not included in the | 72 566 | 2 522 | 2 522 | ||
| above categories | |||||
| Total available stable funding (ASF) | 1 644 050 | ||||
| Required stable funding (RSF) Items | |||||
| Total high-quality liquid assets (HQLA) | 7 221 | ||||
| Assets encumbered for more than 12m in cover pool | 347 225 | 295 141 | |||
| Deposits held at other financial institutions for operational purposes | |||||
| Performing loans and securities: | 136 602 | 82 967 | 1 185 179 | 940 088 | |
| Performing securities financing transactions with financial customers collateralised by Level 1 HQLA subject to 0% haircut |
4 223 | ||||
| Performing securities financing transactions with financial customer collateralised by other assets and loans and advances |
35 019 | 5 114 | 18 039 | 23 186 |
SWEDBANK Risk Management and Capital Adequacy Report – Pillar 3 – Q4 2021
| to | ||||
|---|---|---|---|---|
| financial institutions | ||||
| Performing loans to non- financial corporate clients, loans to retail | ||||
| and small business customers, and loans to sovereigns, and | 79 212 | 64 693 | 319 487 | 343 401 |
| PSEs, of which: | ||||
| With a risk weight of less than or equal to 35% under the | 31 | 35 | 580 | 410 |
| Basel II Standardised Approach for credit risk | ||||
| Performing residential mortgages, of which: | 13 355 | 12 397 | 834 103 | 559 780 |
| With a risk weight of less than or equal to 35% under the | 11 510 | 10 843 | 810 415 | 537 946 |
| Basel II Standardised Approach for credit risk | ||||
| Other loans and securities that are not in default and do not qualify | ||||
| as HQLA, including exchange-traded equities and trade finance | 4 794 | 764 | 13 549 | 13 721 |
| on-balance sheet products | ||||
| Interdependent assets | ||||
| Other assets: | 34 777 | 59 839 | 67 248 | |
| Physical traded commodities | ||||
| Assets posted as initial margin for derivative contracts and | ||||
| contributions to default funds of CCPs | 15 829 | 13 455 | ||
| NSFR derivative assets | 5 168 | 5 168 | ||
| NSFR derivative liabilities before deduction of variation margin | ||||
| posted | 11 438 | 572 | ||
| All other assets not included in the above categories | 18 171 | 44 009 | 48 053 | |
| Off-balance sheet items | 100 266 | 44 455 | 252 220 | 21 825 |
| Total RSF | 1 331 522 | |||
| Net Stable Funding Ratio (%) | 123 |
The Available Stable Funding (ASF) is mostly composed of funding from deposits and long-term issued debt. A general trend during the period since 2021 Q2 has been an increase in deposits, most importantly, retail deposits, that are classified as being more stable. This has lessened the need for market-based funding and resulted in a decrease in wholesale funding. The Required Stable Funding (RSF) is mostly composed of funding needed to give out residential mortgage loans and loans to nonfinancial corporate clients. During the period since 2021 Q2 there was a slight increase in lending to non-financial corporate clients which slightly increased the required funding. Overall, however, the NSFR saw no change.
It is interesting to note that there is a slight interdependence between residential mortgage loans and long-term issued debt in the form of covered bonds. When a covered bond is emitted, more stable funding is made available in the category wholesale funding. However, this also encumbers a corresponding volume of residential mortgage loans that then receive a slightly higher factor weight which in turn increases the required funding.
| Carrying amount of encumbered assets |
assets | Fair value of encumbered | Carrying amount of unencumbered assets |
Fair value of unencumbered assets |
||||
|---|---|---|---|---|---|---|---|---|
| SEKm | of which notionally eligible EHQLA and HQLA |
of which notionally eligible EHQLA and HQLA |
of which EHQLA and HQLA |
of which EHQLA and HQLA |
||||
| Assets of the reporting | 539 683 | 42 322 | 2 028 025 | 688 388 | ||||
| institution Equity instruments |
22 188 | |||||||
| Debt securities | 42 322 | 43 120 | 42 433 | 42 433 | 179 482 | 159 100 | 179 612 | 159 209 |
| of which: covered bonds | 10 603 | 10 603 | 10 646 | 10 646 | 25 320 | 24 186 | 25 376 | 24 240 |
| of which: securitisations | ||||||||
| of which: issued by general | 27 034 | 27 034 | 27 077 | 27 077 | 14 284 | 12 603 | 14 295 | 12 612 |
| governments of which: issued by financial |
15 232 | 15 232 | 15 288 | 15 288 | 41 748 | 30 139 | 41 837 | 30 205 |
| corporations of which: issued by non- financial corporations |
10 110 | 675 | 10 132 | 679 | ||||
| Other assets | 497 361 | 1 868 707 | 549 123 |
52
| Unencumbered | ||||||
|---|---|---|---|---|---|---|
| Fair value of encumbered collateral received or own debt securities issued |
Fair value of collateral received or own debt securities issued available for encumbrance |
|||||
| SEKm | of which notionally eligible EHQLA and HQLA |
of which EHQLA and HQLA |
||||
| Collateral received by the reporting institution | 34 914 | 34 914 | 43 859 | 23 365 | ||
| Loans on demand | ||||||
| Equity instruments | 3 375 | |||||
| Debt securities | 34 914 | 34 914 | 25 824 | 23 365 | ||
| of which: covered bonds | 10 340 | 10 340 | 20 934 | 18 936 | ||
| of which: securitisations | ||||||
| of which: issued by general governments | 22 737 | 22 737 | 2 826 | 2 826 | ||
| of which: issued by financial corporations | 12 647 | 12 647 | 22 189 | 19 717 | ||
| of which: issued by non-financial corporations | 516 | 135 | ||||
| Loans and advances other than loans on demand | 13 892 | |||||
| Other collateral received | 765 | |||||
| Own debt securities issued other than own covered bonds or securitisations |
||||||
| Own covered bonds and asset-backed securities issued and not yet pledged |
734 | |||||
| TOTAL ASSETS, COLLATERAL RECEIVED AND OWN DEBT SECURITIES ISSUED |
574 597 | 77 236 |
| SEKm | Matching liabilities, contingent liabilities or securities lent |
Assets, collateral received and own debt securities issued other than covered bonds and securitisations encumbered |
|---|---|---|
| Carrying amount of selected financial liabilities | 542 790 | 546 726 |
The types of assets and funding instruments that are being utilised to encumber the balance sheet of a bank determine the quality of the asset encumbrance. In Swedbank's opinion, secured funding in the form of covered bonds, which has a direct link to the underlying business line of mortgage lending, is of higher quality than secured funding in the form of repos, where several different types of assets are used.
The main source of asset encumbrance is mortgages which become encumbered when they are used as collateral when emitting covered bonds. Apart from these loans, smaller encumbrance volumes also come from derivatives and repos, with most of such encumbrance stemming from Swedbank AB. Unencumbered assets under "other assets" include assets not eligible for pledging in central banks such as intangible assets. See table 3.3 illustrating Swedbank's current and potential level of asset encumbrance.
The risk that a counterparty fails to meet its obligations towards Swedbank and the risk that the pledged collateral does not cover the claims.
Credit risk also includes concentration risk, country risk, and counterparty credit risk in trading transactions, including settlement risk.
Swedbank's credit quality remained strong in 2021. The visible effects from Covid-19 remained small in the majority of Swedbank's loan portfolio and the economic recovery continued throughout the year. However, the uncertainties increased in the latter part of the year, due to both renewed virus spread with increased restrictions, and increased inflation pressure in many countries. So far, there has been no negative impact from this on Swedbank's asset quality, but the long-term effects of continued inflationary pressure as well as potential effects from Covid-19 in different sectors are being closely monitored. The segments most affected by the pandemic, such as hotels, restaurants, and parts of transportation and retail, account for a limited share of Swedbank's lending. The buffer of expert credit adjustment provisions to cover potential future credit impairments, allocated mainly in 2020, amounted to SEK 1 796m at the end of 2021 (1 533m at the end of 2020).
Credit impairments in 2021 were SEK 170m (4 334m) and the credit impairment ratio was 0.01% (0.26%). Additional individual provisions were made for a few ongoing restructuring cases in the oil and offshore sector, which was partly offset by reversals due to updated macro scenarios.
Oil and offshore exposures constitute a small share of Swedbank's total credit exposures and restructuring of defaulted exposures is ongoing. Investments in the oil and offshore industry remain low and the market situation is challenging, despite the continued rise in oil prices. The sector's recovery is uncertain with additional risks due to the global energy transition.
Swedbank's total lending, carrying amount, increased to SEK 1 679bn (SEK 1 616bn) in 2021, mainly explained by a strong growth in private mortgage loans. Corporate lending grew by SEK 9.0bn, mainly within residential and commercial property management, and public sector and utilities.
Swedbank's growth in mortgage loans in Sweden was 5.2%, supported by a high number of transactions and increased housing prices. This was lower than market growth of 7.1%, explained by fierce competition and Swedbank's strict lending criteria. Swedbank's growth in the Baltic countries was 7.5% in local currencies, driven by rising wages, low interest rates and increased housing prices.
Private mortgage loans constitute almost 60% of Swedbank's total loan portfolio, where 90% is in Sweden and 10% in the Baltic countries. The private mortgage portfolio is of high quality with low historical loan losses and low average loan-to-value (LTV) ratios. Lending is based on the borrower's repayment capacity, including the ability to manage a significantly increased interest rate and still be able to afford relevant loan amortisation and other costs of living.
Property management constitutes the second largest loan concentration, 15% of the total loan portfolio. The main part of the property management loans, 82%, is in Sweden, 10% in other Nordic countries, and 8% in the Baltic countries. Swedbank's underwriting criteria is focused on the customer's long-term ability to make interest payments and amortisations on the loan, with special attention to a stress of the future cash flow. In addition, customers should be financially strong, and collateral should have sound LTV ratios.
Swedbank's growth in property management in 2021 was mainly within residential properties in Sweden, and also commercial properties in Sweden and Norway. The growth in Sweden was 4.4%, supported by the strong transaction market. In the Baltic countries, Swedbank's lending to property management decreased by 2.3% in local currencies.
Swedbank's credit risk appetite is aligned with the overall risk strategy and risk appetite, which is described in "EU OVA - Institution risk management approach".
The credit risk appetite states that Swedbank shall maintain a well-diversified credit portfolio with a low risk profile. The focus is on long-term customer relationships and credit exposures are mainly concentrated to customers in Swedbank's four home markets, including the other Nordic countries where Swedbank has branches. Exposures outside the home markets shall have a direct link to the home market business or be necessary for supporting this business.
The credit risk appetite statement governs the credit portfolio through four principles: (i) Strong asset quality, (ii) Sound loan growth, (iii) Prevent risk drivers, and (iv) Avoid concentration. Risk limits and complementary key risk indicators (KRIs) for credit risk are based on these four principles and are defined on Group level and business area level.
A sustainable repayment ability and an adequate financial position of the customer or counterparty are key factors when granting credits. ESG considerations shall be an integrated part of all credit operations in order to identify and avoid undesired risk, and to assume risk in support of Swedbank's strive for an environmentally, socially, and financially sustainable society.
Swedbank's overall risk management processes are described in "EU OVA - Institution risk management approach". Within credit risk, the most important processes are outlined below.
Credit policy – The credit policy establishes and describes the high-level principles and rules within the Group on credit risk management and credit operations.
It provides basis for the Group´s business and credit strategy and serves as a guide to create long-term customer relationship and maintain a low risk profile in the credit portfolio as well as good risk-adjusted profitability.
Prudent banking is one of the main governing factors. It means sound and reasonable risk management practices in line with Swedbank values and low risk profile. It also considers responsible lending from a consumer protection perspective as well as from a societal perspective.
The credit portfolio shall be well-diversified with a low risk profile. Diversification is obtained by geographical and industrial spread, a diversified customer base and by avoiding undesirable risk concentrations of any kind. Low risk is developed and maintained through relevant credit
risk steering principles as well as clear credit strategy and appropriate targets within each business unit that are in line with the strategy and risk appetite of the Group. A continuous and structured monitoring of the credit portfolio is essential to maintain a desired risk level and long-term quality of the business relations.
The credit operations shall strive towards long-term customer relationships and rest on sound business acumen to achieve solid profitability. Risk-taking should be adequately balanced between the borrower and the bank. The credit risk shall moreover be balanced against expected profitability of each borrower as well as in the business unit's credit portfolio.
A customer's sustainable cash flow, solvency and collateral are always key lending variables. Credits should only be granted to customers with a demonstrated repayment ability and a sufficient financial situation.
Duality and segregation of duties are essential in all credit operations within the Group to ensure sound credit operations including well-founded decisions. It shall be reflected in the organisation of the credit risk management with an independent credit organisation and applied in decision-making and otherwise in the credit process.
The credit framework should always be read in conjunction with policies, position statements and other internal guidelines in the ESG area.
Swedbank shall play an active role in contributing to a more sustainable society. In the credit area this could be achieved by the choice of customers that Swedbank finances and by providing and promoting sustainable lending products, such as loans for green investments, as well as by assessing and managing ESG risks and opportunities linked to borrowers. An ESG perspective shall be an integrated part of all credit risk assessments in order to mitigate risk and identify opportunities.
Credit operations processes – The principle of essentiality and risk is important within all parts of the credit operations. The main processes of the credit operations include credit risk assessment, decision on credit risk, and credit monitoring and review, as described below.
Credit risk assessment, including business analysis, is the basis for a credit decision. Relevant environmental, social and governance aspects shall be included in the analysis of the counterparty´s opportunities and risks. The credit assessment covers the counterparty's capacity to repay. It also includes collateral considerations and other risk mitigating actions, as well as terms and conditions for the credit arrangement. Risk-classification of the counterparty is an important part of the credit risk assessment.
Decisions on credit proposals are made according to an established structure of credit decision-making bodies. The primary credit decision is made in a credit decision-making body within the business area responsible for the borrower
and its credit risk. Credit proposals implying higher risks are reassessed and finally decided by an upper credit committee. For smaller standardised credits automated solutions for credit assessment and decision-making may be used.
Credit monitoring and review of individual credit risk exposures is performed continuously to early identify any change in credit risk. In addition to continuous monitoring, corporate customers, financial institutions and sovereigns are also reviewed at least annually. If a counterparty's risk has deteriorated, several corrective measures are considered and implemented, with the objective to avoid impairment, and/or minimise the risk of loss in case of default. A key component in management of exposures with materially increased risk is the watch list process.
Hedging and mitigation of credit risk – There are several ways to mitigate credit risk, including mainly:
The main types of collateral, collateral valuation and netting policies are described in "EU CRC – Qualitative disclosure requirements related to CRM techniques".
Credit risk limits – The purpose of the risk limit framework is to integrate the risk appetite into the Group's daily operations and to facilitate effective and structured monitoring and reporting to keep the Group's risk exposure within the established Group risk appetite.
The risk limit framework consists of limits decided by the CEO and by executive management. The framework also includes KRIs where required from a risk perspective. The limits and KRIs are tools for controlling and monitoring that the risks stay within the appetite.
The credit risk limits are organised in four categories:
credit strategy thus preventing unsustainable growth.
The CRO develops and maintains the risk limit framework. The risk limit framework is reviewed annually to secure that the limits and levels are relevant, up to date, and sufficiently reflects that Swedbank operates within the risk appetite.
Monitoring and reporting of credit risk – The Credit Risk unit within the Group Risk organisation oversees the Group's credit risk development and reports monthly to the CRO, who informs the CEO and the Board. Important parts of the monthly risk reports are credit portfolio trends and findings from stress tests and other analysis. The control and monitor of credit exposures against risk limits are also performed monthly and reported to the CRO in a credit risk limit report.
The Credit Risk unit conducts stress tests on selected sectors, typically the largest sectors, and specific segments or exposure types with potentially increased risks. For relevant sectors, stress tests using climate scenarios are made to assess climate risk exposure at the portfolio level. Furthermore, the Credit Risk unit performs annual reviews of all sectors including portfolio risk profiles and industry outlook.
Group Risk annually performs a thorough and comprehensive stress test of the entire Group, the ICAAP (see "EU OVC - ICAAP information"), which includes a credit loss stress of the total credit portfolio.
Swedbank's governance structure for risk management including the three lines of defence is described in "EU OVA - Institution risk management approach". In the credit risk area the governance structure details as follows.
The business units, the first line of defence, are responsible for the operational credit management of their customers and own all credit risks that arise within their area of operation. The head of the unit ensures that all credits are assessed, decided, administrated, and followed-up in accordance with the credit framework, including establishing an integrated internal control of high quality in the credit process. The head of each business unit shall also make sure that the credit transactions are in line with Swedbank's strategies, policies, and instructions. The business unit is furthermore accountable for the profitability connected to the credit decision.
The Group Risk organisation, the second line of defence, is responsible for independent monitoring and control of the
credit risk management carried out by the business operations (first line of defence). This includes verification that internal rules and processes defined in the credit risk framework are complied with, and that the first line of defence has adequate controls in place. Group Risk also has the responsibility to maintain, develop and monitor the risk classification system. Group Risk shall independently report relevant risk information to the CEO and the Board.
The Group Compliance organisation, also within the second line of defence is, in the credit risk area, responsible for screening and control of regulatory compliance.
The Group Internal Audit organisation, the third line of defence, is governed by and reports to the Board. It performs independent periodic reviews of the credit management and the credit control processes within the first and second line of defence.
Past-due loans refer to overdrawn accounts and loans where amounts due for payment have not been paid in accordance with the terms of the loan agreements.
Credit-impaired loans are loans for which it is unlikely that the payments will be received in accordance with the contractual terms and where there is a risk that Swedbank will not receive full payment. A loan is considered creditimpaired when there is objective proof that an event has occurred on an individual level following the first reporting date of the loan, and that a risk of loss arises when the loan's anticipated future cash flows differ from the contractual cash flows.
Events on an individual level arise, implying an impairment test, e.g., when:
A loan in default is also considered as a credit-impaired loan, and vice versa. Exposures that are past-due by more than 90 days, or exposures where the terms have changed in a significant manner due to the borrower's financial difficulties, are considered as being in default. For sovereign and financial institutions exposure classes, the trigger of default and credit-impaired status is based on manual decisions rather than strictly 90 days past-due. Credit-impaired loans are moved to stage 3 according to the accounting framework IFRS 9.
Credit impairment provisions are measured according to an expected credit loss model in line with the accounting standard IFRS 9. All loans, performing as well as nonperforming, will carry a credit impairment provision (loss allowance) depending on their stage allocation.
The exposures are allocated to one of three stages:
Regardless of which stage a loan is allocated to, the provisions will be calculated according to Swedbank's models. The key inputs used in the qualitative models are probability of default (PD), loss given default (LGD), exposure at default (EAD) and expected lifetime. Expected credit losses reflect both historical data and probability weighted forward-looking scenarios. For the large exposures in stage 3, the provisioning will be assessed manually by using scenario-based cash flows and then decided by the relevant credit decision-making body.
More details about credit impairment provisions are found in the Annual Report, note G2 (3.4.3) and note G3 (3.1.4).
Forborne loans refer to loans where the contractual terms have been changed due to the customer's financial difficulties. The purpose of forbearance measures is to enable the borrower to make full payments again and to avoid foreclosure, or when this is not considered possible, to maximise the repayment of outstanding loans. Changes in contractual terms include various forms of concessions such as amortisation suspensions, reductions in interest rates to below market rate, forgiveness of all or part of the loan, or issuance of new loans to pay overdue amounts.
Depending on the severity of the financial difficulties of the borrower, the forborne loan could either be classified as performing or non-performing.
| Accumulated impairment, accumulated negative changes in fair value due to Gross carrying amount/nominal amount credit risk and provisions |
Collateral and financial guarantees received |
||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Performing exposures | Non-performing exposures | Performing exposures – accumulated impairment and provisions |
Non-performing exposures – accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions |
Accumula ted partial write-off |
On performing |
On non performin g |
|||||||||
| SEKm | Of which stage 1 |
Of which stage 2 |
Of which stage 2 |
Of which stage 3 |
Of which stage 1 |
Of which stage 2 |
Of which stage 2 |
Of which stage 3 |
exposures | exposures | |||||
| Cash balances at central banks and other demand |
359 793 | 359 793 | |||||||||||||
| deposits Loans and advances |
1 720 846 | 1 621 007 | 99 645 | 8 443 | 225 | 8 103 | 3 042 | 1 050 | 1 990 | 3 466 | 6 | 3 459 | 1 566 477 | 3 707 | |
| Central banks | |||||||||||||||
| General governments | 4 736 | 4 735 | 0 | 0 | 0 | 1 018 | |||||||||
| Credit institutions | 14 973 | 14 946 | 28 | 1 | 0 | 0 | 3 483 | ||||||||
| Other financial corporations | 31 144 | 30 582 | 562 | 0 | 0 | 34 | 20 | 13 | 0 | 0 | 5 391 | 0 | |||
| Non-financial corporations | 537 870 | 489 007 | 48 679 | 4 429 | 37 | 4 392 | 2 092 | 673 | 1 419 | 1 922 | 2 | 1 920 | 475 602 | 2 353 | |
| Of which SMEs | 304 790 | 275 719 | 29 071 | 1 176 | 37 | 1 138 | 649 | 167 | 482 | 259 | 2 | 257 | 296 880 | 885 | |
| Households | 1 132 123 | 1 081 737 | 50 376 | 4 014 | 188 | 3 711 | 915 | 357 | 558 | 1 544 | 4 | 1 539 | 1 080 983 | 1 354 | |
| Debt securities | 166 645 | 128 447 | |||||||||||||
| Central banks | 128 447 | 128 447 | |||||||||||||
| General governments | 9 814 | ||||||||||||||
| Credit institutions | 5 036 | ||||||||||||||
| Other financial corporations | 21 406 | ||||||||||||||
| Non-financial corporations | 1 942 | ||||||||||||||
| Off-balance-sheet exposures | 417 285 | 329 112 | 14 812 | 230 | 1 | 216 | 574 | 298 | 276 | 86 | 86 | 76 642 | 112 | ||
| Central banks | |||||||||||||||
| General governments | 22 363 | 20 845 | 5 | 0 | 0 | 0 | 11 | ||||||||
| Credit institutions | 10 262 | 10 182 | 80 | 1 | 1 | 0 | 2 | ||||||||
| Other financial corporations | 17 100 | 16 556 | 513 | 6 | 5 | 1 | 243 | ||||||||
| Non-financial corporations | 250 596 | 226 068 | 13 087 | 223 | 1 | 209 | 541 | 274 | 267 | 85 | 85 | 50 935 | 106 | ||
| Households | 116 964 | 55 461 | 1 127 | 7 | 0 | 7 | 26 | 18 | 8 | 1 | 1 | 25 451 | 6 | ||
| Total | 2 664 569 | 2 438 359 | 114 457 | 8 673 | 226 | 8 319 | 3 616 | 1 348 | 2 266 | 3 552 | 6 | 3 545 | 1 643 119 | 3 819 |
The total gross carrying amount of loans and advances increased by SEK 29.3bn compared to June 2021. Performing loans and advances increased by SEK 29.9bn, mainly driven by growth in private mortgage loans. Increased exposures in other financial corporations were counteracted by decreased exposures in non-financial corporations, explained by data adjustments between these two categories. Stage 2 (significantly increased credit risk) loans decreased by SEK 2.7bn, mainly explained by reduced oil- and offshore exposures due to divestment. Nonperforming loans and advances decreased by SEK 0.6bn, mainly due to write-offs of restructured stage 3 oil- and offshore exposures within Non-financial corporations. The quality of Swedbank's exposures is high with less than 1% of non-performing exposures.
| Net exposure value | |||||||||
|---|---|---|---|---|---|---|---|---|---|
| SEKm | On demand | <= 1 year | > 1 year <= 5 years | > 5 years | No stated maturity | Total | |||
| Loans and advances | 833 | 206 642 | 310 733 | 1 204 573 | 1 722 781 | ||||
| Debt securities | 0 | 160 873 | 5 772 | 166 645 | |||||
| Total | 833 | 367 515 | 316 505 | 1 204 573 | 1 889 426 |
A major part of loans and advances, 70%, has a maturity over five years, mainly explained by private mortgage loans, which is the same share compared to June 2021. The share with maturity 1-5 years has increased, while the share with maturity less than 1 year has decreased.
| Gross carrying amount | |
|---|---|
| SEKm | |
| Initial stock of non-performing loans and advances | 12 346 |
| Inflows to non-performing portfolios | 3 346 |
| Outflows from non-performing portfolios | -7 249 |
| Outflows due to write-offs | -4 475 |
| Outflow due to other situations | -2 774 |
| Final stock of non-performing loans and advances | 8 443 |
Non-performing loans and advances decreased by SEK 3.9bn compared to the end of 2020, mainly due to write-offs of oil- and offshore exposures. Other outflows, including repayments of loans and recoveries, were offset by inflows, mainly within oil- and offshore, and hotels.
| SEKm | Gross carrying amount | Related net accumulated recoveries |
|---|---|---|
| Initial stock of non-performing loans and advances | ||
| Inflows to non-performing portfolios | ||
| Outflows from non-performing portfolios | ||
| Outflow to performing portfolio | ||
| Outflow due to loan repayment, partial or total | ||
| Outflow due to collateral liquidations | ||
| Outflow due to taking possession of collateral | ||
| Outflow due to sale of instruments | ||
| Outflow due to risk transfers | ||
| Outflows due to write-offs | ||
| Outflow due to other situations | ||
| Outflow due to reclassification as held for sale | ||
| Final stock of non-performing loans and advances |
According to CRR, EU CR2a is applicable to institutions with a threshold ratio on non-performing loans and advances (NPL ratio) of 5% or above. Swedbank's NPL ratio is below 5%.
| Gross carrying amount/nominal amount of exposures with forbearance measures |
Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions |
Collateral received and financial guarantees received on forborne exposures |
|||||||
|---|---|---|---|---|---|---|---|---|---|
| Non-performing forborne | Of which collateral and financial guarantees |
||||||||
| Performing forborne |
Of which defaulted |
Of which impaired |
On performing forborne exposures |
On non-performing forborne exposures |
received on non-performing exposures with forbearance measures |
||||
| SEKm Cash balances at central banks and |
|||||||||
| other demand deposits Loans and advances |
6 349 | 4 623 | 3 903 | 3 965 | 311 | 1 863 | 7 331 | 2 388 | |
| Central banks | |||||||||
| General governments | 0 | ||||||||
| Credit institutions | |||||||||
| Other financial corporations | |||||||||
| Non-financial corporations | 5 013 | 3 792 | 3 566 | 3 576 | 281 | 1 747 | 5 774 | 1 863 | |
| Households | 1 336 | 831 | 337 | 389 | 30 | 116 | 1 557 | 525 | |
| Debt Securities | |||||||||
| Loan commitments given | 585 | 5 | 4 | 1 | 11 | 0 | 17 | 5 | |
| Total | 6 934 | 4 628 | 3 907 | 3 966 | 322 | 1 863 | 7 348 | 2 393 |
Total forborne loans and advances decreased by SEK 2.5bn (performing -1.9bn, non-performing -0.6bn) compared to June 2021, mainly attributable to write-offs of restructured oil- and offshore exposures.
SEKm Gross carrying amount of forborne exposures Loans and advances that have been forborne more than twice Non-performing forborne loans and advances that failed to meet the non-performing exit criteria
According to CRR, EU CQ2 is applicable to institutions with a threshold ratio on non-performing loans and advances (NPL ratio) of 5% or above. Swedbank's NPL ratio is below 5%.
| Gross carrying amount/nominal amount | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Performing exposures | Non-performing exposures | |||||||||||
| SEKm | Not past due or past due ≤ 30 days |
Past due > 30 days ≤ 90 days |
Unlikely to pay that are not past due or are past due ≤ 90 days |
Past due > 90 days ≤ 180 days |
Past due > 180 days ≤ 1 year |
Past due > 1 year ≤ 2 years |
Past due > 2 years ≤ 5 years |
Past due > 5 years ≤ 7 years |
Past due > 7 years |
Of which defaulted |
||
| Cash balances at central banks and | 359 793 | 359 793 | ||||||||||
| other demand deposits Loans and advances |
1 720 846 | 1 719 743 | 1 101 | 8 443 | 5 384 | 483 | 632 | 801 | 980 | 60 | 104 | 8 064 |
| Central banks | ||||||||||||
| General governments | 4 736 | 4 736 | ||||||||||
| Credit institutions | 14 973 | 14 973 | ||||||||||
| Other financial corporations | 31 144 | 31 144 | 0 | 0 | 0 | 0 | ||||||
| Non-financial corporations | 537 870 | 537 783 | 86 | 4 429 | 4 017 | 37 | 86 | 161 | 85 | 23 | 21 | 4 379 |
| Of which SMEs | 304 790 | 304 704 | 86 | 1 176 | 845 | 37 | 86 | 86 | 78 | 22 | 21 | 1 126 |
| Households | 1 132 123 | 1 131 107 | 1 015 | 4 014 | 1 367 | 446 | 546 | 640 | 895 | 37 | 83 | 3 685 |
| Debt securities | 166 645 | 166 645 | ||||||||||
| Central banks | 128 447 | 128 447 | ||||||||||
| General governments | 9 814 | 9 814 | ||||||||||
| Credit institutions | 5 036 | 5 036 | ||||||||||
| Other financial corporations | 21 406 | 21 406 | ||||||||||
| Non-financial corporations | 1 942 | 1 942 | ||||||||||
| Off-balance-sheet exposures | 417 285 | 230 | 229 | |||||||||
| Central banks | ||||||||||||
| General governments | 22 363 | |||||||||||
| Credit institutions | 10 262 | |||||||||||
| Other financial corporations | 17 100 | |||||||||||
| Non-financial corporations | 250 596 | 223 | 222 | |||||||||
| Households | 116 964 | 7 | 7 | |||||||||
| Total | 2 664 569 | 2 246 181 | 1 101 | 8 673 | 5 384 | 483 | 632 | 801 | 980 | 60 | 104 | 8 293 |
Non-performing exposures decreased by SEK 0.8bn compared to June 2021, mainly due to write-offs of restructured oil and offshore exposures, of which SEK 0.2bn in off-balance. The performing exposures with past due days more than 30 but less or equal to 90 increased by SEK 0.1bn, mainly in household exposures. The total exposures that are past due remained on a low level with less than 1% of total exposures past due more than 30 days. Most of the exposures that are non-performing are less than 90 days past due.
| Gross carrying/nominal amount | Provisions on off | ||||||||
|---|---|---|---|---|---|---|---|---|---|
| Of which non-performing | Of which | Accumulated impairment |
balance-sheet commitments and |
Accumulated negative changes in fair value due to credit risk on non |
|||||
| SEKm | Of which defaulted |
subject to impairment |
financial guarantees given |
performing exposures | |||||
| On-balance-sheet | 1 895 935 | 8 064 | 6 508 | ||||||
| exposures | |||||||||
| -Sweden | 1 581 564 | 2 458 | 2 734 | ||||||
| -Norway | 42 190 | 3 708 | 2 024 | ||||||
| -Denmark | 9 373 | 102 | 143 | ||||||
| -Finland | 22 217 | 88 | 88 | ||||||
| -Estonia | 94 933 | 468 | 388 | ||||||
| -Latvia | 39 257 | 339 | 215 | ||||||
| -Lithuania | 75 559 | 341 | 252 | ||||||
| -USA | 5 998 | 0 | 2 | ||||||
| -Other countries | 24 844 | 560 | 662 | ||||||
| Off-balance-sheet | 417 514 | 228 | 659 | ||||||
| exposures | |||||||||
| -Sweden | 308 610 | 65 | 288 | ||||||
| -Norway | 28 709 | 126 | 252 | ||||||
| -Denmark | 2 583 | 3 | |||||||
| -Finland | 18 835 | 1 | 25 | ||||||
| -Estonia | 13 665 | 34 | 13 | ||||||
| -Latvia | 6 046 | 0 | 9 | ||||||
| -Lithuania | 10 419 | 2 | 14 | ||||||
| -USA | 4 278 | 0 | |||||||
| -Other countries | 24 369 | 0 | 55 | ||||||
| Total | 2 313 449 | 8 292 | 6 508 | 659 |
Swedbank's exposures are concentrated to the four home markets. At the end of 2021, 82% of total exposures were in Sweden, 10% in the Baltic countries, and the rest mainly in other Nordic countries. The total amount of defaulted exposures is below 1%. The share of defaulted exposures is higher in Norway and Other countries, explained by oil- and offshore exposures. Defaulted exposures decreased compared to June 2021, mainly due to write-offs of oil- and offshore exposures in Other countries.
According to CRR, the columns "of which non-performing" and "of which subject to impairment" in EU CQ4, are applicable to institutions with a threshold ratio on non-performing loans and advances (NPL ratio) of 5% or above. Swedbank's NPL ratio is below 5%.
| Gross carrying amount | Accumulated negative | |||||
|---|---|---|---|---|---|---|
| Of which non-performing | Of which loans and | Accumulated impairment |
changes in fair value due to credit risk on |
|||
| SEKm | Of which defaulted |
advances subject to impairment |
non-performing exposures |
|||
| Agriculture, forestry and fishing | 13 260 | 88 | 23 | |||
| Mining and quarrying | 5 205 | 2 984 | 1 878 | |||
| Manufacturing | 34 974 | 154 | 332 | |||
| Electricity, gas, steam and air conditioning supply |
17 063 | 0 | 8 | |||
| Water supply | 1 834 | 1 | 8 | |||
| Construction | 15 808 | 173 | 93 | |||
| Wholesale and retail trade | 27 981 | 131 | 282 | |||
| Transport and storage | 20 564 | 29 | 329 | |||
| Accommodation and food service activities |
6 469 | 389 | 416 | |||
| Information and communication | 15 546 | 2 | 25 | |||
| Financial and insurance actvities | 4 276 | 14 | 8 | |||
| Real estate activities | 347 560 | 304 | 455 | |||
| Professional, scientific and technical activities |
12 965 | 50 | 46 | |||
| Administrative and support service activities |
5 271 | 2 | 17 | |||
| Public administration and defense, compulsory social security |
94 | 0 | 0 | |||
| Education | 1 117 | 2 | 1 | |||
| Human health services and social work | 5 024 | 12 | 24 |
| Total | 542 299 | 4 379 | 4 014 | |
|---|---|---|---|---|
| Other services | 2 481 | 5 | 33 | |
| Arts, entertainment and recreation | 4 807 | 39 | 36 | |
| activities |
Industry distribution in EU CQ5 is according to NACE industry classification and differs from the sector distribution used by Swedbank in annual and interim reports.
Loans and advances to non-financial corporations, gross carrying amount, decreased by SEK 16.6bn compared to June 2021. The largest decrease was in the industry financial and insurance activities, SEK 27.2bn, mainly due to data adjustment with movement of exposures to other financial corporations (outside the scope of this table). The largest increase was in real estate activities SEK 11.6bn, mainly within residential properties in Sweden, and also commercial properties in Sweden and Norway.
The largest industry concentration is real estate activities (including tenant-owner associations), 64% of gross carrying amount of loans and advances to non-financial corporations. The large part of defaulted loans in mining and quarrying is within oil- and offshore exposures. The decrease in oil and offshore exposures continued, including additional write-offs.
According to CRR, the columns "of which non-performing" and "of which loans and advances subject to impairment" in EU CQ5, are applicable to institutions with a threshold ratio on non-performing loans and advances (NPL ratio) of 5% or above. Swedbank's NPL ratio is below 5%.
63
| Loans and advances | |||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Performing Of which past due > 30 days ≤ 90 days |
Non-performing | ||||||||||||
| Unlikely to | Past due > 90 days | ||||||||||||
| SEKm | pay that are not past due or are past due ≤ 90 days |
Of which past due > 90 days ≤ 180 days |
Of which: past due > 180 days ≤ 1 year |
Of which: past due > 1 years ≤ 2 years |
Of which: past due > 2 years ≤ 5 years |
Of which: past due > 5 years ≤ 7 years |
Of which: past due > 7 years |
||||||
| Gross carrying amount | |||||||||||||
| Of which secured | |||||||||||||
| Of which secured with immovable property | |||||||||||||
| Of which instruments with LTV higher than 60% and lower or equal to 80% |
|||||||||||||
| Of which instruments with LTV higher than 80% | |||||||||||||
| and lower or equal to 100% | |||||||||||||
| Of which instruments with LTV higher than 100% Accumulated impairment for secured assets |
|||||||||||||
| Collateral | |||||||||||||
| Of which value capped at the value of exposure | |||||||||||||
| Of which immovable property | |||||||||||||
| Of which value above the cap | |||||||||||||
| Of which immovable property | |||||||||||||
| Financial guarantees received | |||||||||||||
| Accumulated partial write-off |
According to CRR, EU CQ6 is applicable to institutions with a threshold ratio on non-performing loans and advances (NPL ratio) of 5% or above. Swedbank's NPL ratio is below 5%.
| Collateral obtained by taking possession | |||||||
|---|---|---|---|---|---|---|---|
| SEKm | Value at initial recognition | Accumulated negative changes | |||||
| Property, plant and equipment (PP&E) | |||||||
| Other than PP&E | 84 | 11 | |||||
| Residential immovable property | 23 | 3 | |||||
| Commercial Immovable property | 13 | 8 | |||||
| Movable property (auto, shipping, etc.) | 28 | ||||||
| Equity and debt instruments | 20 | ||||||
| Other collateral | 0 | ||||||
| Total | 84 | 11 |
The amount of collateral obtained by taking possession remained low and the value at initial recognition decreased by SEK 16m compared to June 2021. The decrease was mainly within commercial properties (SEK 12m).
| Total collateral obtained by taking possession | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Debt balance reduction | Foreclosed ≤ 2 years | Foreclosed > 2 years ≤ 5 years | Foreclosed > 5 years | Of which non-current assets held for-sale |
||||||||
| SEKm | Gross carrying amount |
Accumulated negative changes |
Value at initial recognition |
Accumulated negative changes |
Value at initial recognition |
Accumulated negative changes |
Value at initial recognition |
Accumulated negative changes |
Value at initial recognition |
Accumulated negative changes |
Value at initial recognition |
Accumulated negative changes |
| Collateral obtained by taking possession classified as PP&E |
||||||||||||
| Collateral obtained by taking possession other than that classified as PP&E |
||||||||||||
| Residential immovable property |
||||||||||||
| Commercial immovable property |
||||||||||||
| Movable property (auto, shipping, etc.) Equity and debt instruments |
||||||||||||
| Other collateral | ||||||||||||
| Total |
According to CRR, EU CQ8 is applicable to institutions with a threshold ratio on non-performing loans and advances (NPL ratio) of 5% or above. Swedbank's NPL ratio is below 5%.
| Gross carrying amount | Accumulated impairment, accumulated negative changes in fair value due to credit risk | Gross carrying amount |
|||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Performing | Non performing | Performing | Non performing | ||||||||||||
| SEKm | Of which: exposures with forbearanc e measures |
Of which: Instruments with significant increase in credit risk since initial recognition but not credit impaired (Stage 2) |
Of which: exposures with forbearance measures |
Of which: Unlikely to pay that are not past due or past due <= 90 days |
Of which: exposures with forbearance measures |
Of which: Instruments with significant increase in credit risk since initial recognition but not credit impaired (Stage 2) |
Of which: exposures with forbearan ce measures |
Of which: Unlikely to pay that are not past-due or past due <= 90 days |
Inflows to non performing exposures |
||||||
| Loans and advances subject to moratorium of which: Households of which: Collateralised by residential immovable property of which: Non-financial corporations of which: Small and Medium-sized Enterprises of which: Collateralised by commercial immovable property |
There are no loans and advances subject to active moratoria (SEK 39.7bn in June 2021).
| Gross carrying amount | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Number | Residual maturity of moratoria | |||||||||||
| of obligors |
Of which: expired |
<= 3 months |
> 3 months <= 6 months |
> 6 months <= 9 months |
> 9 months <= 12 months |
> 1 year |
||||||
| SEKm | ||||||||||||
| Loans and advances for which moratorium was offered |
60 443 | 79 278 | ||||||||||
| Loans and advances subject to moratorium (granted) |
59 421 | 77 162 | 63 837 | 77 162 | ||||||||
| of which: Households | 68 930 | 63 837 | 68 930 | |||||||||
| of which: Collateralised by residential immovable property |
67 520 | 67 520 | ||||||||||
| of which: Non-financial corporations |
8 227 | 8 227 | ||||||||||
| of which: Small and Medium sized Enterprises |
7 807 | 7 807 | ||||||||||
| of which: Collateralised by commercial immovable property |
4 694 | 4 694 |
There are no loans and advances subject to active moratoria (SEK 39.7bn in June 2021).
| Gross carrying amount | Maximum amount of the guarantee that can be considered |
Gross carrying amount | ||
|---|---|---|---|---|
| SEKm | of which: forborne |
Public guarantees received |
Inflows to non-performing exposures |
|
| Newly originated loans and advances subject to public guarantee schemes |
636 | 138 | 472 | 3 |
| of which: Households | 9 | 1 | ||
| of which: Collateralised by residential immovable property |
1 | 1 | ||
| of which: Non-financial corporations | 627 | 137 | 465 | 2 |
| of which: Small and Medium-sized Enterprises | 567 | 2 | ||
| of which: Collateralised by commercial immovable property |
123 | 2 |
The gross carrying amount of newly originated loans subject to public guarantee schemes decreased compared to June 2021 (SEK 881m). The loans are mainly to small and medium-sized companies and to sectors affected by Covid-19.
Swedbank enters into master netting agreements (MNAs) with counterparties with whom derivatives or securities financing transactions are made. The main types of MNAs are the ISDA master agreement, used for derivatives, the global master repurchase agreement (GMRA), used for repurchase agreements, and the global master securities lending agreement (GMSLA), used for securities financing transactions. All are global standards commonly used for documenting transactions of respective type.
The use of MNAs allows for novation of individual transactions into one single contract instead of treating all transactions individually.
Swedbank has internal policies stipulating the eligibility requirements of different types of credit protection that need to be fulfilled in order to achieve credit risk mitigation in the calculation of capital requirements. These requirements are aligned with the regulatory requirements laid down in CRR. Every type of collateral has specific requirements, however in general all types of credit protection arrangement must have their legal certainty verified by obtaining a legal opinion. This legal opinion should verify that the credit protection agreement is legally effective and enforceable in the relevant jurisdictions and whether the credit protection arrangement or arrangements meet the specific conditions for each specific type of credit protection.
For collateral types which are eligible as part of Swedbank's permissions to use own estimates of loss given default (LGD) parameter, the effect of those collateral types may be recognised through the use of modelled LGD. For other cases and collateral types not suitable for modelling, the method for recognition used is the prescribed regulatory approach as set out by the CRR.
Collateral is valuable from a risk perspective even if the credit protection is not eligible for capital adequacy purposes. When granting credits, Swedbank applies adequate credit protection, e.g., pledged collateral and guarantees. The collateral, its value and risk mitigating effect are considered through the credit process.
The valuation of collateral is based on a thorough review and analysis of the pledged assets and is an integrated part of the credit risk assessment. The establishment of the collateral value is part of the credit decision. The value of the collateral is reassessed as part of periodic credit reviews and in situations where Swedbank has reason to believe that the value has deteriorated, or the exposure has become a problem loan. For financial collateral, such as debt securities and equities, valuation is normally performed daily.
The established value of the collateral shall correspond to the most likely sales price at the date of valuation estimated in a qualitative process and characterised by prudence. The risk mitigating effect of the collateral shall be considered. If the risk mitigating effect is limited, the value shall be reduced accordingly.
Real estate valuation shall be based on facts concerning the object, circumstances in the local market and an adequate estimation of all relevant factors which may affect the market value in case of a resale situation. The estimated value shall correspond to the market value and be based on fair assumptions, a conservative approach, and a reliable future outlook. Uncertain conditions that may have an impact on the value must be reported in a sensitivity analysis that illustrates the impact that changes in these conditions may have on the proposed market value. Risks associated with sustainability and environmental issues, such as pollutions or contamination of property, shall be taken into consideration when setting market value of the property.
For commercial real estate (cash-flow generating properties), the cash-flow shall be analysed to ensure that the property over time generates a positive net operating income that covers the financial costs. Cash-flow calculations shall be based on market rents and complemented with current rental agreements for the contract period.
For private residential real estate, including tenant-owner rights, the market valuation is normally based on sales comparison. This can be made either by an individual analysis and valuation, or by using an automatic valuation support system based on qualitative and quantitative information about the objects and the sales. A market value proposed by a valuation support system shall always be assessed by an appointed valuer with special notice to location, standard and condition.
The most common types of pledged collateral used by Swedbank are residential real estate including tenantowner rights, commercial real estate, floating charge, and financial instruments.
Credits without collateral are mainly granted for small loans to private customers or loans to large companies with very solid repayment capacity. For the latter, special loan covenants are commonly created which entitle Swedbank to renegotiate or terminate the agreement if the borrower's repayment capacity deteriorates, or if the covenants are otherwise breached.
Main types of guarantees used in the credit risk mitigation are guarantees provided by parent companies to subsidiaries. Other types of guarantees used are those received from export credit agencies as part of the trade
finance activities and sovereign guarantees provided to particular types of loans. For a guarantee to be effective in the credit risk mitigation, the credit worthiness of the guarantor must be superior to the obligor and the guarantor cannot be in default state.
In special circumstances, Swedbank may buy credit derivatives or financial guarantees to hedge the credit risk, but this is not part of Swedbank's normal lending operations.
Credit risk concentrations within mitigation instruments
Approximately 59% of Swedbank's total loans have private housing mortgages as collateral indicating a high concentration risk. However, the composition of the portfolio, with a large number of customers, in all four
home markets and a variation between customers in larger city areas and countryside as well as relatively small amounts on each borrower, mitigates the risks. Another 24% of the loans have other types of real estate as collateral. This portfolio is spread over a large number of customers, several geographies and different property segments.
The use of guarantees does not provide significant additional concentration. As mentioned, the main types of guarantees are group internal guarantees within a group of connected clients, where the parent and subsidiary normally are of same type.
| Secured carrying amount | ||||||
|---|---|---|---|---|---|---|
| Unsecured carrying | Of which secured by financial guarantees | |||||
| SEKm | amount | Of which secured by collateral |
Of which secured by credit derivatives |
|||
| Loans and advances | 518 897 | 1 570 185 | 1 511 418 | 58 767 | ||
| Debt securities | 166 645 | |||||
| Total | 685 542 | 1 570 185 | 1 511 418 | 58 767 | ||
| Of which non-performing exposures |
4 736 | 3 707 | 3 605 | 102 | ||
| Of which defaulted | 4 736 | 3 707 |
In table EU CR3, the item Loans and advances includes cash balances at central banks of SEK 360bn. Excluding the cash balances, 87% of Swedbank's loans and advances were secured by collaterals at end of 2021, which is the same level as in June 2021. The major part is secured by private housing mortgages or other real estate collateral.
Swedbank uses ratings assigned by Standard & Poor's, and in the Baltic subsidiaries also ratings assigned by Moody's and Fitch.
Ratings are required to be used in the calculation of risk weights for central governments and central banks, regional governments and local authorities, institutions, and corporate exposure classes. Swedbank uses this methodology for exposures in the Baltic countries for central governments and central banks, regional governments and local authorities.
In the standardised approach, fixed risk weights are applied to each exposure class split into credit quality steps, based on ratings assigned by external credit rating agencies. Each exposure is assigned to a credit quality step, and dependent on exposure class, a risk weight associated with the credit quality step. The risk weights are in some cases also affected by maturity. When an external credit rating is not available, a default treatment is applied.
External ratings for the nominated ECAI and corresponding credit quality steps and risk weights are shown in the tables below.
| External credit ratings | ||||||||
|---|---|---|---|---|---|---|---|---|
| Credit quality step | S&P | Moody's | Fitch | |||||
| Step 1 | AAA to AA- | Aaa to Aa3 | AAA to AA | |||||
| Step 2 | A+ to A- | A1 to A3 | A+ to A | |||||
| Step 3 | BBB+ to BBB- | Baa1 to Baa3 | BBB+ to BBB | |||||
| Step 4 | BB+ to BB- | Ba1 to Ba3 | BB+ to BB | |||||
| Step 5 | B+ to B- | B1 to B3 | B+ to B | |||||
| Step 6 | CCC+ and below | Caa1 and below | CCC+ and below |
| Exposure classes | |||
|---|---|---|---|
| Credit quality step | Corporates | Central governments and central banks |
Regional and local authorities, Institutions |
| Step 1 | 20% | 0% | 20% |
| Step 2 | 50% | 20% | 50% |
| Step 3 | 100% | 50% | 100% |
| Step 4 | 100% | 100% | 100% |
| Step 5 | 150% | 100% | 100% |
| Step 6 | 150% | 150% | 150% |
| Unrated | 100% | 100% | 100% |
| CRM | Exposures before CCF and before | Exposures post CCF and post CRM | RWAs and RWAs density | ||||
|---|---|---|---|---|---|---|---|
| Exposure classes | On-balance sheet exposures |
Off-balance sheet exposures |
On-balance sheet exposures |
Off-balance sheet amount |
RWAs | RWAs density (%) |
|
| SEKm | |||||||
| Central governments or central banks | 70 | 70 | 0.0% | ||||
| Regional government or local authorities |
3 931 | 161 | 3 969 | 44 | 604 | 15.1% | |
| Public sector entities | 303 | 1 571 | 303 | 770 | 205 | 19.1% | |
| Multilateral development banks | 4 065 | 18 | 4 066 | 4 | 0.0% | ||
| International organisations | |||||||
| Institutions | 956 | 8 | 956 | 8 | 75 | 7.8% | |
| Corporates | 2 562 | 3 821 | 2 478 | 1 436 | 3 795 | 97.0% | |
| Retail | 21 136 | 23 057 | 20 764 | 393 | 15 251 | 72.1% | |
| Secured by mortgages on immovable property |
4 690 | 475 | 4 690 | 475 | 1 807 | 35.0% | |
| Exposures in default Exposures associated with particularly high risk |
854 | 89 | 854 | 44 | 942 | 104.9% | |
| Covered bonds Institutions and corporates with a short-term credit assessment |
360 | 360 | 36 | 10.0% | |||
| Collective investment undertakings | 3 | 3 | 37 | 1233.3% | |||
| Equity | 10 737 | 10 737 | 24 889 | 231.8% | |||
| Other items | 2 763 | 2 763 | 1 554 | 56.2% | |||
| Total | 52 430 | 29 200 | 52 013 | 3 174 | 49 195 | 89.1% |
The exposures in the standardised approach constitute a small part of Swedbank's total credit risk exposure. There are no significant changes compared to Q2 2021.
| Exposure classes | Risk weight | Total | Of which | ||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 0% | 2% | 4% | 10% | 20% | 35% | 50% | 70% | 75% | 100% | 150% | 250% | 370% | 1250% | Others | unrated | ||
| SEKm | |||||||||||||||||
| Central governments or central banks Regional government or local authorities |
70 994 |
3 018 | 70 4 012 |
||||||||||||||
| Public sector entities | 200 | 772 | 101 | 1 073 | |||||||||||||
| Multilateral development banks | 4 070 | 4 070 | |||||||||||||||
| International organisations | |||||||||||||||||
| Institutions | 607 | 344 | 12 | 963 | |||||||||||||
| Corporates | 3 914 | 3 914 | |||||||||||||||
| Retail exposures | 21 157 | 21 157 | |||||||||||||||
| Exposures secured by mortgages on immovable property |
5 165 | 5 165 | |||||||||||||||
| Exposures in default Exposures associated with particularly high risk Covered bonds |
360 | 811 | 87 | 898 360 |
|||||||||||||
| Exposures to institutions and corporates with a short-term credit assessment |
|||||||||||||||||
| Units or shares in collective investment undertakings |
3 | 3 | |||||||||||||||
| Equity exposures | 1 329 | 9 404 | 4 | 10 737 | |||||||||||||
| Other items | 980 | 287 | 1 497 | 0 | 2 764 | ||||||||||||
| Total | 6 921 | 360 | 4 421 | 5 165 | 113 | 21 157 | 7 551 | 87 | 9 404 | 7 | 0 | 55 186 |
The exposures in the standardised approach constitute a small part of Swedbank's total credit risk exposure. This table shows exposures post CCF and post CRM (EAD) distributed by exposure class and risk-weight. The table presented in June 2021 also included CCR exposures, but after the EBA amendments the CCR exposures were removed from this table. The decrease in exposures compared to June 2021 is mainly explained by the removal of the CCR exposures.
The IRB approach is applied for a vast majority, 98%, of Swedbank's credit risk exposures. Swedbank has approval from the SFSA to use the IRB approach as described below.
For the retail exposure class in Sweden and the Baltic countries, Swedbank has approval to use the IRB approach. For corporate exposures in Sweden and Norway, Swedbank has approval to use the advanced IRB approach. For other IRB-approved exposure classes (corporate exposures outside the advanced IRB scope, institutions, and sovereign exposures), Swedbank uses the foundation IRB approach, and hence calculates its own PD estimates, but uses prescribed levels for the parameters LGD and credit conversion factor (CCF) in calculating capital requirements.
For non-IRB approved parts of Swedbank's credit portfolio, and where an exception has been granted by the regulatory supervisory college, Swedbank uses the standardised approach to calculate capital requirements for credit risks.
The scope of the use of IRB and standardised approaches is disclosed in table EU CR6-A. That table also disclose the parts under IRB roll-out plans.
Swedbank defines its risk classification system in its governing documents. The overarching rules are established by the Board of Directors, with more detailed regulations issued by the CEO, CRO, or Chief Credit Officer, respectively. These regulations contain rules as to how models should be structured and validated and stipulate regular quality controls. The controls are carried out in several processes performed in different parts of the organisation to ensure independency.
Tests are conducted during the model development to ensure that the model design is robust and minimises future model performance risks. The evaluation procedures are used when determining if models are acceptable to model developers, model owners and model users. In addition, the validation function reviews new models when they are finalised.
Existing models are reviewed according to each model's individual review cycle. Regular calibration of models is done on a periodic basis. The models are also regularly monitored, assessing performance of models and their stability over time. The outcome of the monitoring process is part of the regular review of estimates for credit risk.
Quantitative and qualitative validations of the models are performed regularly and at least yearly. The validation is prepared by the unit Model Risk & Validation within Group Risk, which is separated from the functions responsible for model development and calibration. All validation reports shall be approved by the CRO.
The Risk Control unit within Group Risk has the responsibility to perform risk-based reviews of the implementation, use and adequacy of the risk classification system. As a second line of defence unit, it is independent from the functions responsible for originating and renewing exposures, in line with Article 190 of the CRR.
The Group Internal Audit, the third line of defence, performs independent audits on the risk classification system at least on an annual basis and in specific cases related to model updates and applications.
The CRO is responsible for the credit risk models and related methods used in Swedbank's risk classification system and set detailed Group standards for credit risk model development, validation, and risk control in relation to the risk classification system. The CRO appoints responsible units within Group Risk to manage the different stages in the model life cycle for credit risk models, as described below.
The unit Credit Risk and Modelling is the owner of credit risk models and the associated risks. It has the responsibility to set up and monitor the model life cycle management of credit risk models and coordinate that models are developed, validated, implemented, and used appropriately and in line with relevant regulatory requirements.
The unit Credit Risk and Modelling is also responsible for the model development as well as model implementation.
The unit Model Risk and Validation is an independent risk control function responsible for model validation. The responsibility also includes to secure that model validation methods are compliant with regulatory requirements.
The unit Risk Control is responsible for performing riskbased reviews of the implementation, use and adequacy of the risk classification system.
The Board of Directors approves major changes of the risk classification systems. Subsequent changes to the models are handled by the unit Credit Risk and Modelling and are approved by the CRO.
Each year the Board of Directors receives an evaluation of the risk classification system in the form of a written report on the design and performance of the risk classification system, as well as areas of improvement. It also includes an assessment of to what extent internal principles are fulfilled and relevant information about measures taken to further develop the risk classification system.
The CRO is responsible for ensuring that all risk classification systems and sub-systems are operating properly and that the Board of Directors regularly receives information in these matters, in line with article 189 in CRR.
Swedbank's internal risk classification system is a central component in the credit process. The system aims to measure the risk that a customer or a contract will default and, in that case, what the losses would be for Swedbank.
Swedbank uses a number internal rating systems for different exposures classes, which can be grouped into
systems relying on expert models and systems relying on statistical models. The models are adapted to the geography in which the customer operates. In addition, for private retail exposures there are different models for existing customers (portfolio scoring) and for new customers (application scoring system). The systems used for different exposure types are summarised in the tables below.
| PD dimension | |||||
|---|---|---|---|---|---|
| Customer types | Definition | Application | Portfolio | LGD dimension | CCF dimension |
| Credit institutions | All | Rating System for Countries, Bank Systems and Banks | – | – | |
| Sovereigns | All | Rating System for Central Governments and Central Banks, Regional Governments and Local Authorities* |
– | – | |
| Insurance Companies | All | Rating System for Insurance Companies | – | – | |
| Large corporates | Asset > 1 bn SEK or Revenue > 0.5 bn SEK |
Corporate Rating System | Corporate CCF | ||
| Medium-sized companies | Exposure >1 m SEK | SME Application and Portfolio Scoring System | Corporate LGD Models | Models | |
| (SMEs) | |||||
| Small-sized companies (SSEs) |
Exposure < 1 m SEK | SSE Application Scoring System |
SSE Portfolio Scoring System |
Retail LGD Models |
Retail CCF Models |
| Private persons | All | Application Scoring System for Private Persons |
Portfolio Scoring System for Private Persons |
||
System relying on expert models
System relying on statistical models
* Only Regional Governments and Local Authorities which, according to EBA, may be treated as exposures to Central Governments are in the scope of the model.
| PD dimension | |||||
|---|---|---|---|---|---|
| Customer types | Definition | Application | Portfolio | LGD dimension | CCF dimension |
| Credit institutions | All | Rating System for Countries, Bank Systems and Banks | – | – | |
| Sovereigns | All | Rating System for Central Governments and Central Banks |
– | – | |
| Large corporates | Exposure > € 0.8 m | Corporate Rating System | – | – | |
| Medium-sized companies (SMEs) |
Exposure > € 0.2 m and <= € | SME Application Scoring | SME Portfolio Scoring | – | – |
| 0.8 m | System* | System | |||
| Small-sized | Exposure <= € 0.2 m | SSE Application | SSE Portfolio | ||
| companies (SSEs) | Scoring System | Scoring System | Retail LGD | Retail CCF | |
| Private persons | All | Application Scoring System for Private Persons |
Portfolio Scoring System for Private Persons |
Models | Models |
System relying on expert models
System relying on statistical models
* SME PD Models are not pure statistical models, but also incorporate expert judgement.
Rating systems (expert-based) – A rating system generates a risk rating for counterparty with the help of an expert-based system, through which each selected criterion is weighted and converted into a risk grade. Rating systems are mainly used for large exposures where a thorough understanding of the risks is needed to ensure sound credit decisions. In these cases, Swedbank always conducts an extensive individual analysis before granting credits and updates the ratings at least annually.
The main characteristics of Swedbank's different rating systems can be described as follows:
Scoring systems (statistical) – In a scoring system, the risk grade of the counterparty (or contract) is based on the statistical relation between a number of selected variables and defaults. Scoring systems are mainly used in portfolios with large numbers of smaller exposures where statistical relationships between different variables and default help to identify potential high-risk customers. When granting loans to counterparties in this type of portfolio, a credit process with a highly automated risk evaluation process is applied.
Swedbank's scoring systems are organised as follows:
• Medium-sized companies comprises a combination of different scoring models and an expert component. In the statistical component, the risk assessment is based on information regarding the borrower's financial status and behaviour. Market conditions and the borrower's strategy are considered through the expert component.
• Retail exposures (private individuals and small companies) comprises a number of different statistical scoring models where each model is designed to provide an effective instrument in its area. The risk assessment is based on information regarding the borrower's financial status and credit behaviour.
Probability of default (PD) – PD estimates the risk that a counterparty or contract will default within a 12-month period. PD is measured through Swedbank's different rating and scoring systems.
When calculating capital requirements, Swedbank uses a through-the-cycle (TtC) perspective, aiming at producing PD values that indicate the average 12-month default frequency across a full business cycle. PD values also include a safety margin to account for the statistical uncertainty in the estimates. Thus, TtC-adjusted PD figures should remain stable across a business cycle at the portfolio level, while reflecting underlying long-term trends in the credit risk of the portfolio and taking a conservative view in estimated level of defaults. If the cyclical aspect is ignored, the result is a point-in-time PD (PiT), which is not used in capital requirement calculations, but when calculating the present risk level in a credit portfolio.
Swedbank uses a scale of 22 grades to classify the risk that a customer defaults, where grade 21 represents the lowest risk of default and grade 0 represents the highest risk. In addition, there is a default grade. Based on the PD estimate calculated using the TtC method, Swedbank assigns the customer, or exposure, a value on this risk scale.
| Internal risk grade | PD,% | Indicative rating Standard & Poor's |
|---|---|---|
| 18–21 | <0.1 | A- to AAA |
| 13–17 | 0.1–0.5 | BBB- to BBB+ |
| 9–12 | >0.5–2.0 | BB to BB+ |
| 6–8 | >2.0–5.7 | B+ to BB |
| 0–5 | >5.7–99.9 | C to B |
| Default | 100 | D |
Loss given default (LGD) - LGD measures what proportion of the exposure amount would be lost in case of default. Swedbank uses its own LGD estimates for retail exposures. Swedbank has an approval to apply its own LGD estimates to corporate exposures in Sweden and Norway. These
estimates are in turn based on internal historic loss data. The LGD estimate depends on factors such as the counterparty's financial status, the value of the collateral, and on assumptions of how much can be recovered through the sale of any collateral based on historical outcomes and other factors. For corporate exposures not covered by the advanced IRB approval as well as for institutions and sovereign exposures, prescribed LGD values are used.
Capital requirements are based on LGD estimates which are representative for a severe economic downturn. This means that they correspond to a degree of loss incurred under economic stress and cannot be directly compared to current loss levels. The LGD values also include a safety margin that takes into account the statistical uncertainty in the estimates.
Credit conversion factor (CCF) – A Credit conversion factor (CCF) is used when calculating capital requirements for off-balance exposures and typically estimates the
Internal models for CCF are applied on all portfolios with an advanced IRB permit (similar to LGD), whereas all other portfolios use prescribed CCF values. Safety margins and downturn adjustments are managed similarly to LGD and the measure should be conservative enough to capture a severe economic downturn.
| A-IRB | PD range | On-balance sheet exposures |
Off balance sheet exposures pre-CCF |
Exposure weighted average CCF |
Exposure post CCF and post CRM |
Exposure weighted average PD (%) |
Number of obligors |
Exposure weighted average LGD (%) |
Exposure weighted average maturity (years) |
Risk weighted exposure amount after supporting factors |
Density of risk weighted exposure amount |
Expected loss amount |
Value adjust ments and provisions |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| SEKm Exposure classes AIRB |
|||||||||||||
| Corporate: SME | |||||||||||||
| 0.00 to <0.15 | 5 885 | 765 | 71.1% | 5 694 | 0.1% | 145 | 13.0% | 4.1 | 443 | 7.8% | 1 | 0 | |
| 0.00 to <0.10 | 3 352 | 661 | 83.1% | 3 112 | 0.1% | 88 | 13.4% | 4.3 | 238 | 7.6% | 0 | 0 | |
| 0.10 to <0.15 | 2 533 | 104 | 57.6% | 2 581 | 0.1% | 57 | 12.4% | 3.9 | 204 | 7.9% | 0 | 0 | |
| 0.15 to <0.25 | 19 764 | 2 197 | 70.5% | 21 445 | 0.2% | 515 | 16.8% | 3.4 | 3 005 | 14.0% | 7 | -2 | |
| 0.25 to <0.50 | 39 038 | 5 098 | 60.3% | 42 244 | 0.4% | 2 368 | 15.7% | 3.2 | 7 572 | 17.9% | 24 | -8 | |
| 0.50 to <0.75 | 23 044 | 2 652 | 72.2% | 24 846 | 0.6% | 2 043 | 16.6% | 3.1 | 5 476 | 22.0% | 25 | -10 | |
| 0.75 to <2.50 | 58 700 | 6 650 | 66.5% | 57 915 | 1.3% | 4 973 | 16.0% | 3.1 | 16 007 | 27.6% | 122 | -121 | |
| 0.75 to <1.75 | 50 958 | 5 643 | 67.7% | 51 075 | 1.2% | 4 378 | 16.0% | 3.1 | 13 714 | 26.9% | 97 | -83 | |
| 1.75 to <2.5 | 7 743 | 1 008 | 52.8% | 6 840 | 2.4% | 1 132 | 15.5% | 3.2 | 2 293 | 33.5% | 25 | -38 | |
| 2.50 to <10.00 | 12 203 | 1 198 | 65.0% | 9 784 | 4.7% | 1 607 | 16.7% | 3.1 | 4 043 | 41.3% | 78 | -123 | |
| 2.5 to <5 | 9 840 | 985 | 67.8% | 7 833 | 3.8% | 1 292 | 16.3% | 3.1 | 3 074 | 39.2% | 50 | -71 | |
| 5 to <10 | 2 364 | 213 | 56.9% | 1 951 | 8.0% | 440 | 18.2% | 3.2 | 969 | 49.7% | 28 | -52 | |
| 10.00 to <100.00 | 971 | 122 | 62.9% | 911 | 20.7% | 285 | 23.0% | 3.0 | 768 | 84.3% | 45 | -83 | |
| 10 to <20 | 595 | 83 | 60.2% | 565 | 15.2% | 120 | 21.8% | 3.3 | 437 | 77.3% | 19 | -30 | |
| 20 to <30 | 283 | 19 | 65.4% | 264 | 27.2% | 157 | 25.3% | 2.1 | 257 | 97.3% | 18 | -25 | |
| 30.00 to <100.00 | 93 | 20 | 70.7% | 82 | 38.4% | 30 | 24.0% | 3.8 | 74 | 90.2% | 8 | -28 | |
| 100.00 (Default) | 305 | 36 | 88.2% | 334 | 100.0% | 58 | 26.4% | 3.6 | 310 | 92.8% | 76 | -77 | |
| Corporate: SME - Subtotal | 159 909 | 18 719 | 66.2% | 163 172 | 1.3% | 11 994 | 16.1% | 3.2 | 37 624 | 23.1% | 376 | -425 | |
| Corporate: Other | |||||||||||||
| 0.00 to <0.15 | 38 525 | 68 095 | 41.2% | 68 717 | 0.1% | 304 | 28.5% | 2.3 | 11 145 | 16.2% | 16 | -15 | |
| 0.00 to <0.10 | 15 226 | 41 097 | 41.3% | 34 908 | 0.1% | 182 | 30.2% | 2.3 | 5 059 | 14.5% | 7 | -3 | |
| 0.10 to <0.15 | 23 299 | 26 997 | 41.1% | 33 808 | 0.1% | 146 | 26.5% | 2.3 | 6 086 | 18.0% | 9 | -12 | |
| 0.15 to <0.25 | 57 140 | 59 813 | 41.1% | 83 648 | 0.2% | 285 | 24.9% | 2.4 | 19 248 | 23.0% | 37 | -91 | |
| 0.25 to <0.50 | 76 409 | 30 470 | 44.9% | 89 481 | 0.4% | 394 | 20.0% | 2.7 | 22 950 | 25.6% | 60 | -152 | |
| 0.50 to <0.75 | 14 670 | 5 913 | 43.9% | 18 049 | 0.6% | 168 | 28.8% | 2.8 | 8 610 | 47.7% | 31 | -118 | |
| 0.75 to <2.50 | 20 554 | 11 408 | 45.1% | 24 377 | 1.1% | 353 | 31.4% | 2.7 | 15 620 | 64.1% | 83 | -556 | |
| 0.75 to <1.75 | 19 062 | 11 056 | 45.1% | 22 736 | 1.0% | 321 | 31.3% | 2.6 | 14 452 | 63.6% | 70 | -478 | |
| 1.75 to <2.5 | 1 492 | 351 | 43.9% | 1 640 | 2.4% | 36 | 32.9% | 3.0 | 1 167 | 71.2% | 12 | -78 | |
| 2.50 to <10.00 | 4 199 | 914 | 42.4% | 4 399 | 4.9% | 54 | 27.4% | 2.4 | 3 902 | 88.7% | 57 | -408 | |
| 2.5 to <5 | 3 184 | 686 | 40.8% | 3 280 | 4.2% | 36 | 27.5% | 2.1 | 2 768 | 84.4% | 36 | -288 | |
| 5 to <10 | 1 014 | 229 | 47.4% | 1 119 | 7.1% | 20 | 27.0% | 3.4 | 1 134 | 101.3% | 21 | -119 | |
| 10.00 to <100.00 | 639 | 21 | 38.8% | 522 | 24.3% | 10 | 32.7% | 1.9 | 812 | 155.6% | 44 | -258 | |
| 10 to <20 | 426 | 21 | 38.8% | 309 | 14.6% | 6 | 28.9% | 2.5 | 366 | 118.4% | 13 | -77 | |
| 20 to <30 | |||||||||||||
| 30.00 to <100.00 | 212 | 38.8% | 212 | 38.4% | 4 | 38.3% | 1.2 | 446 | 210.4% | 31 | -181 | ||
| 100.00 (Default) | 3 108 | 126 | 100.0% | 3 234 | 100.0% | 18 | 39.4% | 2.2 | 1 070 | 33.1% | 1 709 | -1 709 | |
| Corporate: Other - Subtotal | 215 243 | 176 761 | 42.2% | 292 426 | 1.5% | 1 586 | 25.3% | 2.5 | 83 356 | 28.5% | 2 038 | -3 307 |
| A-IRB | PD range | On-balance sheet exposures |
Off balance sheet exposures pre-CCF |
Exposure weighted average CCF |
Exposure post CCF and post CRM |
Exposure weighted average PD (%) |
Number of obligors |
Exposure weighted average LGD (%) |
Exposure weighted average maturity (years) |
Risk weighted exposure amount after supporting |
Density of risk weighted exposure amount |
Expected loss amount |
Value adjust ments and provisions |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| SEKm | factors | ||||||||||||
| Secured by real estate property SME | |||||||||||||
| 0.00 to <0.15 | 71 253 | 70 904 | 0.1% | 14 805 | 17.6% | 2 238 | 3.2% | 9 | -1 | ||||
| 0.00 to <0.10 | 49 014 | 48 704 | 0.1% | 10 195 | 17.0% | 1 215 | 2.5% | 5 | 0 | ||||
| 0.10 to <0.15 | 22 238 | 22 200 | 0.1% | 4 610 | 18.9% | 1 023 | 4.6% | 4 | 0 | ||||
| 0.15 to <0.25 | 5 763 | 5 668 | 0.2% | 1 712 | 21.9% | 469 | 8.3% | 2 | 0 | ||||
| 0.25 to <0.50 | 7 367 | 7 017 | 0.4% | 2 441 | 20.4% | 873 | 12.4% | 5 | -1 | ||||
| 0.50 to <0.75 | 2 833 | 0 | 79.7% | 2 786 | 0.6% | 890 | 21.7% | 521 | 18.7% | 4 | -1 | ||
| 0.75 to <2.50 | 5 395 | 7 | 73.6% | 5 354 | 1.4% | 3 106 | 21.4% | 1 633 | 30.5% | 16 | -11 | ||
| 0.75 to <1.75 | 4 422 | 6 | 69.0% | 4 388 | 1.2% | 2 547 | 20.9% | 1 175 | 26.8% | 11 | -7 | ||
| 1.75 to <2.5 | 973 | 1 | 91.9% | 966 | 2.4% | 559 | 23.6% | 458 | 47.4% | 5 | -3 | ||
| 2.50 to <10.00 2.5 to <5 |
1 380 1 069 |
13 10 |
66.0% 65.1% |
1 386 1 076 |
4.7% 3.9% |
1 255 940 |
20.4% 20.4% |
795 573 |
57.4% 53.3% |
13 9 |
-18 -11 |
||
| 5 to <10 | 311 | 3 | 69.0% | 310 | 7.3% | 315 | 20.5% | 222 | 71.6% | 5 | -7 | ||
| 10.00 to <100.00 | 147 | 3 | 64.5% | 149 | 21.2% | 189 | 20.1% | 146 | 98.0% | 8 | -12 | ||
| 10 to <20 | 96 | 1 | 69.0% | 97 | 14.4% | 122 | 14.2% | 64 | 66.0% | 2 | -4 | ||
| 20 to <30 | 20 | 2 | 62.6% | 22 | 27.2% | 23 | 26.7% | 28 | 127.3% | 2 | -5 | ||
| 30.00 to <100.00 | 31 | 31 | 38.4% | 44 | 34.0% | 54 | 174.2% | 4 | -4 | ||||
| 100.00 (Default) | 31 | 31 | 100.0% | 27 | 26.3% | 48 | 154.8% | 5 | -5 | ||||
| Secured by real estate property SME - | 94 168 | 24 | 68.3% | 93 293 | 0.3% | 24 425 | 18.5% | 6 722 | 7.2% | 62 | -48 | ||
| Subtotal | |||||||||||||
| Secured by real estate property Non SME |
|||||||||||||
| 0.00 to <0.15 | 852 320 | 60 313 | 35.8% | 873 930 | 0.1% | 1 571 626 | 8.9% | 11 425 | 1.3% | 42 | -12 | ||
| 0.00 to <0.10 | 701 390 | 54 392 | 35.6% | 720 742 | 0.0% | 1 321 278 | 8.9% | 7 815 | 1.1% | 27 | -7 | ||
| 0.10 to <0.15 | 150 929 | 5 920 | 38.2% | 153 188 | 0.1% | 250 349 | 9.1% | 3 610 | 2.4% | 15 | -5 | ||
| 0.15 to <0.25 | 46 026 | 8 896 | 39.7% | 49 561 | 0.2% | 92 708 | 12.8% | 2 349 | 4.7% | 11 | -4 | ||
| 0.25 to <0.50 | 48 172 | 7 033 | 46.7% | 51 454 | 0.4% | 93 024 | 13.7% | 4 534 | 8.8% | 26 | -6 | ||
| 0.50 to <0.75 | 20 564 | 2 100 | 39.9% | 21 402 | 0.6% | 36 184 | 15.6% | 2 988 | 14.0% | 20 | -6 | ||
| 0.75 to <2.50 | 60 398 | 3 438 | 47.4% | 62 046 | 1.3% | 98 853 | 15.9% | 14 575 | 23.5% | 130 | -79 | ||
| 0.75 to <1.75 | 52 228 | 3 154 | 46.2% | 53 703 | 1.2% | 85 055 | 15.9% | 11 636 | 21.7% | 98 | -54 | ||
| 1.75 to <2.5 | 8 171 | 285 | 60.6% | 8 343 | 2.4% | 13 799 | 15.9% | 2 939 | 35.2% | 32 | -25 | ||
| 2.50 to <10.00 | 12 904 | 544 | 54.3% | 13 199 | 5.0% | 23 512 | 15.6% | 6 747 | 51.1% | 104 | -75 | ||
| 2.5 to <5 | 9 287 | 356 | 53.4% | 9 477 | 3.9% | 16 525 | 15.8% | 4 379 | 46.2% | 59 | -47 | ||
| 5 to <10 | 3 617 | 188 | 56.0% | 3 722 | 7.9% | 6 988 | 15.3% | 2 368 | 63.6% | 45 | -28 | ||
| 10.00 to <100.00 | 3 364 | 254 | 46.5% | 3 482 | 24.6% | 7 540 | 15.2% | 2 997 | 86.1% | 133 | -53 | ||
| 10 to <20 | 1 756 | 112 | 48.2% | 1 810 | 15.8% | 3 597 | 14.9% | 1 449 | 80.1% | 42 | -21 | ||
| 20 to <30 | 613 | 45 | 49.9% | 635 | 27.2% | 1 315 | 14.4% | 550 | 86.6% | 25 | -10 | ||
| 30.00 to <100.00 | 995 | 97 | 42.9% | 1 037 | 38.4% | 2 630 | 16.3% | 997 | 96.1% | 65 | -22 | ||
| 100.00 (Default) | 1 056 | 10 | 70.2% | 1 063 | 100.0% | 2 695 | 12.7% | 550 | 51.7% | 224 | -217 | ||
| Secured by real estate property Non SME - Subtotal |
1 044 804 | 82 588 | 37.9% | 1 076 138 | 0.4% | 1 926 142 | 10.0% | 46 165 | 4.3% | 690 | -452 |
| A-IRB | PD range | On-balance sheet exposures |
Off balance sheet exposures pre-CCF |
Exposure weighted average CCF |
Exposure post CCF and post CRM |
Exposure weighted average PD (%) |
Number of obligors |
Exposure weighted average LGD (%) |
Exposure weighted average maturity (years) |
Risk weighted exposure amount after supporting |
Density of risk weighted exposure amount |
Expected loss amount |
Value adjust ments and provisions |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| SEKm | factors | ||||||||||||
| Retail other SME | |||||||||||||
| 0.00 to <0.15 | 397 | 192 | 87.9% | 565 | 0.1% | 2 392 | 43.8% | 55 | 9.7% | 0 | 0 | ||
| 0.00 to <0.10 | 90 | 71 | 71.0% | 140 | 0.1% | 367 | 47.8% | 11 | 7.9% | 0 | |||
| 0.10 to <0.15 | 308 | 120 | 98.0% | 424 | 0.1% | 2 025 | 42.5% | 44 | 10.4% | 0 | 0 | ||
| 0.15 to <0.25 | 1 529 | 2 301 | 96.9% | 3 726 | 0.2% | 17 494 | 41.9% | 582 | 15.6% | 3 | -1 | ||
| 0.25 to <0.50 | 2 635 | 1 848 | 97.0% | 4 333 | 0.4% | 18 913 | 41.2% | 967 | 22.3% | 7 | -3 | ||
| 0.50 to <0.75 | 2 266 | 1 493 | 96.3% | 3 696 | 0.6% | 14 079 | 41.2% | 1 045 | 28.3% | 9 | -3 | ||
| 0.75 to <2.50 | 12 772 | 5 130 | 86.2% | 17 094 | 1.6% | 80 418 | 36.1% | 6 111 | 35.7% | 96 | -43 | ||
| 0.75 to <1.75 | 9 480 | 3 651 | 85.3% | 12 515 | 1.3% | 55 351 | 36.4% | 4 206 | 33.6% | 57 | -22 | ||
| 1.75 to <2.5 | 3 292 | 1 479 | 88.3% | 4 580 | 2.4% | 25 068 | 35.5% | 1 905 | 41.6% | 39 | -22 | ||
| 2.50 to <10.00 | 6 883 | 1 906 | 76.9% | 8 312 | 5.1% | 55 137 | 35.6% | 3 643 | 43.8% | 147 | -86 | ||
| 2.5 to <5 | 4 825 | 1 511 | 79.1% | 5 986 | 4.0% | 41 954 | 36.2% | 2 614 | 43.7% | 85 | -41 | ||
| 5 to <10 | 2 058 | 395 | 68.8% | 2 325 | 7.9% | 13 184 | 34.0% | 1 029 | 44.3% | 63 | -45 | ||
| 10.00 to <100.00 | 1 242 | 240 | 62.4% | 1 386 | 22.3% | 7 387 | 32.9% | 847 | 61.1% | 103 | -78 | ||
| 10 to <20 | 775 | 159 | 62.7% | 872 | 15.9% | 4 607 | 31.9% | 466 | 53.4% | 44 | -28 | ||
| 20 to <30 | 218 | 36 | 67.3% | 238 | 27.2% | 1 202 | 34.7% | 175 | 73.5% | 22 | -17 | ||
| 30.00 to <100.00 | 249 | 45 | 57.2% | 275 | 38.4% | 1 580 | 34.5% | 207 | 75.3% | 36 | -33 | ||
| 100.00 (Default) | 242 | 31 | 83.9% | 262 | 100.0% | 1 399 | 37.2% | 537 | 205.0% | 58 | -59 | ||
| Retail other SME - Subtotal | 27 966 | 13 142 | 88.9% | 39 375 | 3.3% | 197 219 | 37.6% | 13 788 | 35.0% | 423 | -272 | ||
| Retail other Non-SME | |||||||||||||
| 0.00 to <0.15 | 14 006 | 5 119 | 89.2% | 18 565 | 0.1% | 966 289 | 36.7% | 1 217 | 6.6% | 4 | -5 | ||
| 0.00 to <0.10 | 9 685 | 4 374 | 93.8% | 13 788 | 0.1% | 788 530 | 37.4% | 777 | 5.6% | 3 | -3 | ||
| 0.10 to <0.15 | 4 321 | 744 | 62.2% | 4 777 | 0.1% | 177 760 | 34.7% | 441 | 9.2% | 2 | -2 | ||
| 0.15 to <0.25 | 6 926 | 1 088 | 58.0% | 7 512 | 0.2% | 282 832 | 43.4% | 1 272 | 16.9% | 6 | -9 | ||
| 0.25 to <0.50 | 6 652 | 1 098 | 58.4% | 7 220 | 0.4% | 246 603 | 38.9% | 1 735 | 24.0% | 10 | -15 | ||
| 0.50 to <0.75 | 4 647 | 559 | 63.2% | 4 938 | 0.6% | 133 800 | 27.4% | 1 105 | 22.4% | 8 | -6 | ||
| 0.75 to <2.50 | 10 730 | 1 465 | 61.7% | 11 231 | 1.4% | 555 481 | 35.7% | 4 667 | 41.6% | 56 | -39 | ||
| 0.75 to <1.75 | 8 906 | 1 262 | 61.5% | 9 460 | 1.2% | 482 264 | 35.3% | 3 738 | 39.5% | 40 | -29 | ||
| 1.75 to <2.5 | 1 825 | 203 | 62.7% | 1 771 | 2.4% | 73 218 | 37.4% | 930 | 52.5% | 16 | -10 | ||
| 2.50 to <10.00 | 3 305 | 492 | 57.9% | 3 153 | 5.2% | 270 591 | 39.6% | 1 930 | 61.2% | 65 | -48 | ||
| 2.5 to <5 | 2 391 | 345 | 57.7% | 2 189 | 3.9% | 224 581 | 38.9% | 1 276 | 58.3% | 34 | -28 | ||
| 5 to <10 | 914 | 147 | 58.3% | 963 | 8.0% | 46 011 | 41.0% | 653 | 67.8% | 31 | -20 | ||
| 10.00 to <100.00 | 756 | 65 | 64.0% | 769 | 23.0% | 32 204 | 41.4% | 747 | 97.1% | 74 | -44 | ||
| 10 to <20 | 449 | 37 | 62.7% | 459 | 15.9% | 18 366 | 41.1% | 397 | 86.5% | 30 | -22 | ||
| 20 to <30 | 129 | 13 | 75.7% | 135 | 27.2% | 4 685 | 40.9% | 144 | 106.7% | 15 | -9 | ||
| 30.00 to <100.00 | 178 | 15 | 56.9% | 174 | 38.4% | 9 155 | 42.4% | 207 | 119.0% | 28 | -13 | ||
| 100.00 (Default) | 556 | 1 | 90.1% | 551 | 100.0% | 12 864 | 51.7% | 653 | 118.5% | 239 | -240 | ||
| Retail other Non-SME - Subtotal | 47 578 | 9 886 | 75.2% | 53 939 | 2.1% | 2 500 664 | 37.2% | 13 327 | 24.7% | 462 | -406 | ||
| Total all exposures AIRB | 1 589 668 | 301 119 | 45.5% | 1 718 344 | 4 661 761 | 0.7 | 200 981 | 11.7% | 4 051 | -4 912 |
| F-IRB | PD range | On-balance sheet exposures |
Off balance sheet exposures pre-CCF |
Exposure weighted average CCF |
Exposure post CCF and post CRM |
Exposure weighted average PD (%) |
Number of obligors |
Exposure weighted average LGD (%) |
Exposure weighted average maturity (years) |
Risk weighted exposure amount after supporting |
Density of risk weighted exposure amount |
Expected loss amount |
Value adjust ments and provisions |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| SEKm | factors | ||||||||||||
| Exposure classes FIRB | |||||||||||||
| Central governments or central | |||||||||||||
| banks | 0.00 to <0.15 | 499 947 | 23 162 | 66.1% | 526 025 | 0.0% | 451 | 45.0% | 1.6 | 6 258 | 1.2% | 5 | 0 |
| 0.00 to <0.10 | 499 947 | 23 162 | 66.1% | 526 025 | 0.0% | 451 | 45.0% | 1.6 | 6 258 | 1.2% | 5 | 0 | |
| 0.10 to <0.15 | |||||||||||||
| 0.15 to <0.25 | |||||||||||||
| 0.25 to <0.50 | |||||||||||||
| 0.50 to <0.75 | |||||||||||||
| 0.75 to <2.50 | |||||||||||||
| 0.75 to <1.75 | |||||||||||||
| 1.75 to <2.5 | |||||||||||||
| 2.50 to <10.00 | 841 | 302 | 75.0% | 1 067 | 3.1% | 28 | 45.0% | 2.5 | 343 | 32.1% | 3 | ||
| 2.5 to <5 | 841 | 302 | 75.0% | 1 067 | 3.1% | 28 | 45.0% | 2.5 | 343 | 32.1% | 3 | ||
| 5 to <10 | |||||||||||||
| 10.00 to <100.00 | |||||||||||||
| 10 to <20 | |||||||||||||
| 20 to <30 | |||||||||||||
| 30.00 to <100.00 | |||||||||||||
| 100.00 (Default) | |||||||||||||
| banks - Subtotal | Central governments or central | 500 788 | 23 465 | 66.2% | 527 091 | 0.0% | 479 | 45.0% | 1.6 | 6 601 | 1.3% | 9 | 0 |
| Institutions | |||||||||||||
| 0.00 to <0.15 | 28 749 | 10 244 | 59.5% | 35 234 | 0.0% | 390 | 30.2% | 2.5 | 3 773 | 10.7% | 4 | -2 | |
| 0.00 to <0.10 | 27 887 | 8 814 | 60.4% | 33 582 | 0.0% | 252 | 28.7% | 2.5 | 3 219 | 9.6% | 3 | -2 | |
| 0.10 to <0.15 | 861 | 1 430 | 53.3% | 1 652 | 0.1% | 148 | 45.0% | 2.5 | 554 | 33.5% | 1 | -1 | |
| 0.15 to <0.25 | |||||||||||||
| 0.25 to <0.50 | 246 | 1 092 | 41.0% | 721 | 0.3% | 96 | 45.0% | 2.5 | 460 | 63.8% | 1 | 0 | |
| 0.50 to <0.75 | 64 | 291 | 20.0% | 107 | 0.6% | 32 | 45.0% | 2.5 | 89 | 83.2% | 0 | -1 | |
| 0.75 to <2.50 | 3 | 50 | 20.0% | 13 | 1.7% | 10 | 45.0% | 2.5 | 15 | 115.4% | 0 | 0 | |
| 0.75 to <1.75 | 3 | 50 | 20.0% | 13 | 1.7% | 10 | 45.0% | 2.5 | 15 | 115.4% | 0 | 0 | |
| 1.75 to <2.5 | |||||||||||||
| 2.50 to <10.00 | 4 | 0 | 20.0% | 1 | 6.2% | 21 | 45.0% | 2.5 | 2 | 200.0% | 0 | 0 | |
| 2.5 to <5 | 4 | 0 | 4.8% | 19 | 45.0% | 2.5 | 0 | 0.0% | 0 | 0 | |||
| 5 to <10 | 1 | 0 | 20.0% | 1 | 6.8% | 2 | 45.0% | 2.5 | 1 | 100.0% | 0 | 0 | |
| 10.00 to <100.00 10 to <20 |
|||||||||||||
| 20 to <30 | |||||||||||||
| 30.00 to <100.00 | |||||||||||||
| 100.00 (Default) | |||||||||||||
| Institutions - Subtotal | 29 066 | 11 678 | 56.7% | 36 075 | 0.0% | 549 | 30.5% | 2.5 | 4 338 | 12.0% | 5 | -3 |
| F-IRB | PD range | On-balance sheet exposures |
Off balance sheet exposures pre-CCF |
Exposure weighted average CCF |
Exposure post CCF and post CRM |
Exposure weighted average PD (%) |
Number of obligors |
Exposure weighted average LGD (%) |
Exposure weighted average maturity (years) |
Risk weighted exposure amount after supporting |
Density of risk weighted exposure amount |
Expected loss amount |
Value adjust ments and provisions |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| SEKm | factors | ||||||||||||
| Corporate: SME | |||||||||||||
| 0.00 to <0.15 | 183 | 1 | 63.9% | 77 | 0.1% | 8 | 35.6% | 2.5 | 19 | 24.7% | 0 | 0 | |
| 0.00 to <0.10 | 109 | 2 | 0.0% | 3 | 35.0% | 2.5 | 0 | 0.0% | 0 | ||||
| 0.10 to <0.15 | 74 | 1 | 63.9% | 75 | 0.1% | 5 | 35.6% | 2.5 | 19 | 25.3% | 0 | 0 | |
| 0.15 to <0.25 | 390 | 187 | 23.6% | 312 | 0.2% | 38 | 43.3% | 2.5 | 97 | 31.1% | 0 | 0 | |
| 0.25 to <0.50 | 810 | 234 | 31.6% | 888 | 0.4% | 102 | 42.0% | 2.5 | 375 | 42.2% | 2 | 0 | |
| 0.50 to <0.75 | 470 | 57 | 46.2% | 462 | 0.6% | 153 | 40.9% | 2.5 | 264 | 57.1% | 1 | 0 | |
| 0.75 to <2.50 | 2 973 | 660 | 44.1% | 3 078 | 1.3% | 922 | 42.0% | 2.5 | 2 084 | 67.7% | 18 | -8 | |
| 0.75 to <1.75 | 2 466 | 586 | 43.2% | 2 575 | 1.1% | 708 | 41.5% | 2.5 | 1 646 | 63.9% | 12 | -4 | |
| 1.75 to <2.5 | 507 | 74 | 49.2% | 503 | 2.4% | 216 | 43.8% | 2.5 | 438 | 87.1% | 5 | -3 | |
| 2.50 to <10.00 | 1 384 | 645 | 31.9% | 1 399 | 5.3% | 415 | 43.7% | 2.5 | 1 502 | 107.4% | 32 | -30 | |
| 2.5 to <5 | 841 | 549 | 27.9% | 985 | 4.0% | 302 | 43.8% | 2.5 | 961 | 97.6% | 17 | -8 | |
| 5 to <10 | 543 | 96 | 57.7% | 414 | 8.3% | 113 | 43.7% | 2.5 | 541 | 130.7% | 15 | -22 | |
| 10.00 to <100.00 | 236 | 48 | 40.9% | 195 | 20.1% | 61 | 43.0% | 2.5 | 330 | 169.2% | 17 | -18 | |
| 10 to <20 | 158 | 28 | 39.1% | 129 | 15.0% | 37 | 42.4% | 2.5 | 200 | 155.0% | 8 | -9 | |
| 20 to <30 | 49 | 9 | 26.2% | 48 | 27.2% | 11 | 44.5% | 2.5 | 93 | 193.8% | 6 | -7 | |
| 30.00 to <100.00 | 29 | 11 | 50.5% | 17 | 38.4% | 13 | 44.7% | 2.5 | 37 | 217.6% | 3 | -2 | |
| 100.00 (Default) | 23 | 6 | 21.5% | 24 | 100.0% | 11 | 43.8% | 2.5 | 0.0% | 11 | -1 | ||
| Corporate: SME - Subtotal | 6 470 | 1 838 | 36.6% | 6 435 | 2.9% | 1 710 | 42.2% | 2.5 | 4 671 | 72.6% | 81 | -58 | |
| Corporate: Other | |||||||||||||
| 0.00 to <0.15 | 14 498 | 9 402 | 30.4% | 17 154 | 0.1% | 211 | 44.8% | 2.5 | 4 449 | 25.9% | 6 | -2 | |
| 0.00 to <0.10 | 8 098 | 3 495 | 26.2% | 8 788 | 0.1% | 111 | 44.7% | 2.5 | 1 896 | 21.6% | 2 | -1 | |
| 0.10 to <0.15 | 6 399 | 5 907 | 32.9% | 8 366 | 0.1% | 106 | 44.9% | 2.5 | 2 553 | 30.5% | 4 | -2 | |
| 0.15 to <0.25 | 18 225 | 14 880 | 26.5% | 22 137 | 0.2% | 273 | 44.7% | 2.5 | 9 543 | 43.1% | 20 | -20 | |
| 0.25 to <0.50 | 16 390 | 7 981 | 48.9% | 20 154 | 0.4% | 357 | 44.7% | 2.5 | 12 266 | 60.9% | 37 | -6 | |
| 0.50 to <0.75 | 403 | 597 | 20.0% | 519 | 0.6% | 59 | 45.0% | 2.5 | 422 | 81.3% | 1 | -2 | |
| 0.75 to <2.50 | 11 120 | 4 725 | 43.0% | 13 007 | 1.0% | 534 | 44.3% | 2.5 | 10 934 | 84.1% | 58 | -58 | |
| 0.75 to <1.75 | 11 093 | 4 705 | 43.1% | 12 977 | 1.0% | 510 | 44.3% | 2.5 | 10 899 | 84.0% | 58 | -58 | |
| 1.75 to <2.5 | 28 | 20 | 21.4% | 31 | 2.4% | 24 | 44.7% | 2.5 | 35 | 112.9% | 0 | 0 | |
| 2.50 to <10.00 | 4 016 | 1 455 | 40.1% | 4 387 | 4.9% | 274 | 43.8% | 2.5 | 5 799 | 132.2% | 93 | -76 | |
| 2.5 to <5 | 3 323 | 1 347 | 41.4% | 3 688 | 4.3% | 214 | 43.7% | 2.5 | 4 744 | 128.6% | 69 | -45 | |
| 5 to <10 | 693 | 107 | 22.9% | 698 | 7.9% | 60 | 44.1% | 2.5 | 1 055 | 151.1% | 24 | -31 | |
| 10.00 to <100.00 | 1 788 | 712 | 47.6% | 2 106 | 26.2% | 41 | 44.5% | 2.5 | 5 195 | 246.7% | 246 | -199 | |
| 10 to <20 | 435 | 125 | 41.3% | 471 | 17.4% | 18 | 43.4% | 2.5 | 1 025 | 217.6% | 35 | -17 | |
| 20 to <30 | 1 124 | 568 | 50.5% | 1 404 | 27.2% | 17 | 45.0% | 2.5 | 3 652 | 260.1% | 172 | -135 | |
| 30.00 to <100.00 | 230 | 19 | 3.6% | 231 | 38.4% | 6 | 44.3% | 2.5 | 518 | 224.2% | 39 | -47 | |
| 100.00 (Default) | 664 | 30 | 49.8% | 679 | 100.0% | 15 | 45.0% | 2.5 | 0.0% | 305 | -245 | ||
| Corporate: Other - Subtotal | 67 103 | 39 780 | 34.7% | 80 142 | 2.2% | 1 764 | 44.6% | 2.5 | 48 609 | 60.7% | 768 | -608 | |
| Total all exposures FIRB | 603 428 | 76 762 | 48.7% | 649 743 | 4 469 | 1.8 | 64 219 | 9.9% | 862 | -669 |
REA under A-IRB increased by SEK 4.1bn compared to June 2021, mainly explained by growth in corporate exposures: non-SME secured by real estate property. REA under F-IRB decreased by SEK 0.7bn. Decreased cash balances at central banks and decreased exposures to institutions was counteracted by increased corporate exposures.
| Exposure value as defined in Article 166 CRR for exposures subject to IRB approach |
Total exposure value for exposures subject to the Standardised approach and to the IRB approach |
Percentage of total exposure value subject to the permanent partial use of the SA (%) |
Percentage of total exposure value subject to IRB Approach (%) |
Percentage of total exposure value subject to a roll-out plan (%) |
|
|---|---|---|---|---|---|
| SEKm Central governments or central banks |
519 055 | 520 298 | 2% | 66% | 33% |
| Of which Regional governments or local authorities | 18 109 | 22% | 78% | 0% | |
| Of which Public sector entities | 332 | 100% | |||
| Institutions | 35 917 | 35 814 | 5% | 92% | 2% |
| Corporates | 548 227 | 561 806 | 0% | 87% | 13% |
| Of which Corporates - Specialised lending, excluding slotting approach | |||||
| Of which Corporates - Specialised lending under slotting approach | 318 | 100% | |||
| Retail | 1 264 843 | 1 280 122 | 2% | 98% | 0% |
| of which Retail – Secured by real estate SMEs | 204 647 | 100% | |||
| of which Retail – Secured by real estate non-SMEs | 959 442 | 100% | 0% | ||
| of which Retail – Qualifying revolving | |||||
| of which Retail – Other SMEs | 45 744 | 1% | 91% | 8% | |
| of which Retail – Other non-SMEs | 67 408 | 33% | 67% | 0% | |
| Equity | 10 737 | 90% | 10% | ||
| Other non-credit obligation assets | 13 841 | 16 606 | 5% | 47% | 48% |
| Total | 2 381 883 | 2 425 383 | 1.98% | 87.35% | 10.67% |
The IRB approach is applied for the vast majority of Swedbank's credit risk exposures. For non-IRB approved parts of Swedbank's credit portfolio, and where an exception has been granted by the regulatory supervisory college, Swedbank uses the standardised approach. The standardised approach is mainly used in smaller retail portfolios and equity exposures in Entercard. The parts under IRB roll-out plans also include exposures in F-IRB where Swedbank plans to apply A-IRB in the future.
The material difference between the values in the first and second columns of the same exposures, is the use of different CCFs for calculation of off- balance sheet items, and provisions that are excluded from the amount in the first column.
| Pre-credit derivatives risk | Actual risk weighted exposure | |
|---|---|---|
| SEKm | weighted exposure amount | amount |
| Exposures under F-IRB | 64 637 | 64 637 |
| Central governments and central banks | 6 601 | 6 601 |
| Institutions | 4 338 | 4 338 |
| Corporates | 53 698 | 53 698 |
| of which Corporates - SMEs | 4 671 | 4 671 |
| of which Corporates - Specialised lending | 418 | 418 |
| Exposures under A-IRB | 200 981 | 200 981 |
| Central governments and central banks | ||
| Institutions | ||
| Corporates | 120 980 | 120 980 |
| of which Corporates - SMEs | 37 624 | 37 624 |
| of which Corporates - Specialised lending | ||
| Retail | 80 002 | 80 002 |
| of which Retail – SMEs - Secured by immovable property collateral | 6 722 | 6 722 |
| of which Retail – non-SMEs - Secured by immovable property collateral | 46 165 | 46 165 |
| of which Retail – Qualifying revolving | ||
| of which Retail – SMEs - Other | 13 788 | 13 788 |
| of which Retail – Non-SMEs- Other | 13 327 | 13 327 |
| Total (including F-IRB exposures and A-IRB exposures) | 265 619 | 265 619 |
Credit derivatives are not used as CRM techniques in the capital reporting of Swedbank.
| Credit risk Mitigation techniques | Credit risk Mitigation methods in the calculation of RWEAs |
|||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Funded credit Protection (FCP) |
Unfunded credit Protection (UFCP) |
|||||||||||||
| A-IRB | Total exposures |
Part of | Part of | RWEA without |
RWEA with substitution |
|||||||||
| Part of exposures covered by Financial Collaterals (%) |
exposures covered by Other eligible collaterals (%) |
Part of exposures covered by Immovable property Collaterals |
Part of exposures covered by Receivables (%) |
Part of exposures covered by Other physical collateral |
exposures covered by Other funded credit protection (%) |
Part of exposures covered by Cash on deposit (%) |
Part of exposures covered by Life insurance policies (%) |
Part of exposures covered by Instruments held by a third party |
Part of exposures covered by Guarantees (%) |
Part of exposures covered by Credit Derivatives (%) |
substitution effects (reduction effects only) |
effects (both reduction and sustitution effects) |
||
| SEKm | (%) | (%) | (%) | |||||||||||
| Central governments and central banks Institutions |
||||||||||||||
| Corporates | 455 598 | 0.00% | 52.84% | 48.26% | 0.47% | 4.11% | 0.00% | 0.00% | 0.00% | 0.00% | 9.08% | 0.00% | 121 297 | 120 980 |
| Of which Corporates – SMEs Of which Corporates – Specialised lending |
163 172 | 0.00% | 76.14% | 68.52% | 0.81% | 6.82% | 0.00% | 0.00% | 0.00% | 0.00% | 11.11% | 0.00% | 39 730 | 37 624 |
| Of which Corporates – Other |
292 426 | 0.00% | 39.84% | 36.95% | 0.29% | 2.60% | 0.00% | 0.00% | 0.00% | 0.00% | 7.94% | 0.00% | 81 568 | 83 356 |
| Retail | 1 262 745 | 0.00% | 90.06% | 88.60% | 0.03% | 1.43% | 0.00% | 0.00% | 0.00% | 0.00% | 0.04% | 0.00% | 80 060 | 80 002 |
| Of which Retail – Immovable property SMEs |
93 293 | 0.00% | 98.94% | 98.94% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 6 755 | 6 722 |
| Of which Retail – Immovable property non SMEs Of which Retail – |
1 076 138 | 0.00% | 95.06% | 94.85% | 0.00% | 0.21% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 46 165 | 46 165 |
| Qualifying revolving Of which Retail – Other SMEs |
39 375 | 0.00% | 15.80% | 0.04% | 0.93% | 14.83% | 0.00% | 0.00% | 0.00% | 0.00% | 1.32% | 0.00% | 13 807 | 13 788 |
| Of which Retail – Other non-SMEs |
53 939 | 0.00% | 29.13% | 10.56% | 0.01% | 18.57% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 13 333 | 13 327 |
| Total | 1 718 343 | 0.00% | 80.19% | 77.90% | 0.15% | 2.14% | 0.00% | 0.00% | 0.00% | 0.00% | 2.44% | 0.00% | 201 357 | 200 982 |
| Credit risk Mitigation techniques | Credit risk Mitigation methods in the calculation of RWEAs |
|||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Funded credit Protection (FCP) |
Unfunded credit Protection (UFCP) |
|||||||||||||
| Total exposures |
RWEA | RWEA with substitution |
||||||||||||
| F-IRB SEKm |
Part of exposures covered by Financial Collaterals (%) |
Part of exposures covered by Other eligible collaterals (%) |
Part of exposures covered by Immovable property Collaterals (%) |
Part of exposures covered by Receivables (%) |
Part of exposures covered by Other physical collateral (%) |
Part of exposures covered by Other funded credit protection (%) |
Part of exposures covered by Cash on deposit (%) |
Part of exposures covered by Life insurance policies (%) |
Part of exposures covered by Instruments held by a third party (%) |
Part of exposures covered by Guarantees (%) |
Part of exposures covered by Credit Derivatives (%) |
without substitution effects (reduction effects only) |
effects (both reduction and sustitution effects) |
|
| Central governments and | 527 091 | 0.00% | 0.02% | 0.00% | 0.00% | 0.02% | 0.00% | 0.00% | 0.00% | 6 309 | 6 601 | |||
| central banks Institutions |
36 075 | 2.13% | 0.01% | 0.00% | 0.00% | 0.01% | 0.00% | 0.06% | 0.00% | 4 197 | 4 338 | |||
| Corporates | 86 940 | 0.38% | 3.93% | 1.38% | 2.15% | 0.41% | 0.00% | 2.09% | 0.00% | 53 755 | 53 698 | |||
| Of which Corporates – | 6 435 | 0.71% | 22.00% | 14.59% | 1.97% | 5.45% | 0.00% | 12.12% | 0.00% | 4 719 | 4 671 | |||
| SMEs Of which Corporates – Specialised lending |
363 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 418 | 418 | |||
| Of which Corporates – Other |
80 142 | 0.35% | 2.50% | 0.33% | 2.17% | 0.00% | 0.00% | 1.29% | 0.00% | 48 618 | 48 609 | |||
| Total | 650 106 | 0.17% | 0.54% | 0.18% | 0.29% | 0.07% | 0.00% | 0.28% | 0.00% | 64 261 | 64 637 |
Swedbank mainly uses immovable property collaterals as credit risk mitigation technique. Exposures under A-IRB are covered by immovable property collaterals to 77.9%. Exposures under F-IRB are mainly to central governments and central banks.
| SEKm | Risk weighted exposure amount |
|---|---|
| Risk weighted exposure amount as at the end of the previous reporting period | 276 285 |
| Asset size (+/-) | 3 774 |
| Asset quality (+/-) | -5 670 |
| Model updates (+/-) | 161 |
| Methodology and policy (+/-) | |
| Acquisitions and disposals (+/-) | |
| Foreign exchange movements (+/-) | 1 163 |
| Other (+/-) | -314 |
| Risk weighted exposure amount as at the end of the reporting period | 275 399 |
REA reported under IRB decreased by SEK 0.9bn in the fourth quarter. The main changes were:
(1) Asset growth increased REA by SEK 3.8bn, explained by volume growth for retail exposures in business areas Baltic Banking and Swedish Banking, and corporate exposures in LC&I and Swedish Banking. Decreased cash balances with central banks partly offset the increase.
(2) Asset quality changes decreased REA by SEK 5.7bn, explained by increased collaterals and updated collateral values (LGD), mainly in LC&I and Swedish Banking, and positive rating (PD) changes, also in LC&I and Swedish Banking.
(3) Model updates increased REA by SEK 0.2bn, due to deficiencies within the Baltic retail mortgage default calculations, until an updated model has been approved.
(4) Foreign exchange movements increased REA by SEK 1.2bn, mainly driven by depreciation of SEK towards EUR and USD.
(5) Other factors decreased REA by SEK 0.3bn, mainly due to shorter corporate maturities in LC&I and Swedish Banking
A-IRB
| Number of obligors at the end of previous year | Exposures weighted average PD | Average | |||||
|---|---|---|---|---|---|---|---|
| Exposure class | PD range | Of which number of obligors which defaulted in the year |
Observed average default rate (%) |
(%) average PD |
Average PD (%) | historical annual default rate (%) |
|
| Corporates - Of which: | |||||||
| SME | |||||||
| 0.00 to <0.15 | 108 | 0 | 0.0% | 0.1% | 0.1% | 0.0% | |
| 0.00 to <0.10 | 74 | 0 | 0.0% | 0.1% | 0.1% | 0.0% | |
| 0.10 to <0.15 | 34 | 0 | 0.0% | 0.1% | 0.1% | 0.0% | |
| 0.15 to <0.25 | 289 | 0 | 0.0% | 0.2% | 0.2% | 0.9% | |
| 0.25 to <0.50 | 1 623 | 5 | 0.3% | 0.4% | 0.4% | 0.7% | |
| 0.50 to <0.75 | 1 269 | 1 | 0.1% | 0.6% | 0.6% | 1.0% | |
| 0.75 to <2.50 | 4 274 | 17 | 0.4% | 1.3% | 1.5% | 2.3% | |
| 0.75 to <1.75 | 3 458 | 11 | 0.3% | 1.2% | 1.2% | 2.0% | |
| 1.75 to <2.5 | 816 | 6 | 0.7% | 2.4% | 2.4% | 3.4% | |
| 2.50 to <10.00 | 1 372 | 18 | 1.3% | 4.7% | 5.0% | 6.1% | |
| 2.5 to <5 | 1 006 | 4 | 0.4% | 3.8% | 3.9% | 4.7% | |
| 5 to <10 | 366 | 14 | 3.8% | 8.0% | 7.8% | 10.5% | |
| 10.00 to <100.00 | 167 | 19 | 11.4% | 20.7% | 24.1% | 19.9% | |
| 10 to <20 | 79 | 3 | 3.8% | 15.2% | 15.9% | 15.2% | |
| 20 to <30 | 54 | 9 | 16.7% | 27.2% | 27.2% | 23.9% | |
| 30.00 to <100.00 | 34 | 7 | 20.6% | 38.4% | 38.4% | 40.8% | |
| 100.00 (Default) | 67 | 100.0% | 100.0% | ||||
| Corporates - Of which: Other |
|||||||
| 0.00 to <0.15 | 205 | 0 | 0.0% | 0.1% | 0.1% | 4.8% | |
| 0.00 to <0.10 | 109 | 0 | 0.0% | 0.1% | 0.1% | 2.6% | |
| 0.10 to <0.15 | 96 | 0 | 0.0% | 0.1% | 0.1% | 7.6% | |
| 0.15 to <0.25 | 213 | 2 | 0.9% | 0.2% | 0.2% | 5.5% | |
| 0.25 to <0.50 | 432 | 1 | 0.2% | 0.4% | 0.4% | 3.3% | |
| 0.50 to <0.75 | 202 | 0 | 0.0% | 0.6% | 0.6% | 2.0% | |
| 0.75 to <2.50 | 507 | 1 | 0.2% | 1.1% | 1.3% | 2.8% | |
| 0.75 to <1.75 | 450 | 1 | 0.2% | 1.0% | 1.2% | 3.0% | |
| 1.75 to <2.5 | 57 | 0 | 0.0% | 2.4% | 2.4% | 2.1% | |
| 2.50 to <10.00 | 113 | 2 | 1.8% | 4.9% | 4.8% | 3.9% | |
| 2.5 to <5 | 87 | 2 | 2.3% | 4.2% | 4.1% | 2.7% | |
| 5 to <10 | 26 | 0 | 0.0% | 7.1% | 7.2% | 7.7% | |
| 10.00 to <100.00 | 71 | 1 | 1.4% | 24.3% | 26.9% | 9.1% | |
| 10 to <20 | 7 | 0 | 0.0% | 14.6% | 16.8% | 5.6% | |
| 20 to <30 | 59 | 1 | 1.7% | 0.0% | 27.2% | 9.7% | |
| 30.00 to <100.00 | 5 | 0 | 0.0% | 38.4% | 38.4% | 50.0% | |
| 100.00 (Default) | 37 | 2 | 100.0% | 100.0% |
| A-IRB | |
|---|---|
| Number of obligors at the end of previous year | Exposures weighted average PD | Average | |||||
|---|---|---|---|---|---|---|---|
| Exposure class | PD range | Of which number of obligors which defaulted in the year |
Observed average default rate (%) |
(%) average PD |
Average PD (%) | historical annual default rate (%) |
|
| Retail - Secured by real | |||||||
| estate property SME | |||||||
| 0.00 to <0.15 0.00 to <0.10 |
14 375 10 209 |
0 0 |
0.0% 0.0% |
0.1% 0.1% |
0.1% 0.1% |
0.0% 0.0% |
|
| 0.10 to <0.15 | 4 166 | 0 | 0.0% | 0.1% | 0.1% | 0.0% | |
| 0.15 to <0.25 | 1 249 | 0 | 0.0% | 0.2% | 0.2% | 0.0% | |
| 0.25 to <0.50 | 4 117 | 0 | 0.0% | 0.4% | 0.4% | 0.0% | |
| 0.50 to <0.75 | 3 760 | 1 | 0.0% | 0.6% | 0.6% | 0.0% | |
| 0.75 to <2.50 | 10 888 | 2 | 0.0% | 1.4% | 1.4% | 0.0% | |
| 0.75 to <1.75 | 9 131 | 2 | 0.0% | 1.2% | 1.2% | 0.0% | |
| 1.75 to <2.5 | 1 757 | 0 | 0.0% | 2.4% | 2.4% | 0.0% | |
| 2.50 to <10.00 | 2 497 | 12 | 0.5% | 4.7% | 4.8% | 0.0% | |
| 2.5 to <5 | 1 932 | 4 | 0.2% | 3.9% | 3.9% | 0.0% | |
| 5 to <10 | 565 | 8 | 1.4% | 7.3% | 7.8% | 0.3% | |
| 10.00 to <100.00 | 376 | 25 | 6.7% | 21.2% | 24.0% | 0.3% | |
| 10 to <20 | 213 | 3 | 1.4% | 14.4% | 15.9% | 0.6% | |
| 20 to <30 | 56 | 4 | 7.1% | 27.2% | 27.2% | 1.0% | |
| 30.00 to <100.00 | 107 | 18 | 16.8% | 38.4% | 38.4% | 2.7% | |
| 100.00 (Default) | 60 | 100.0% | 100.0% | ||||
| Retail - Secured by real estate property Non-SME |
|||||||
| 0.00 to <0.15 | 1 493 923 | 264 | 0.0% | 0.1% | 0.1% | 0.0% | |
| 0.00 to <0.10 | 1 251 615 | 201 | 0.0% | 0.0% | 0.0% | 0.0% | |
| 0.10 to <0.15 | 242 308 | 63 | 0.0% | 0.1% | 0.1% | 0.0% | |
| 0.15 to <0.25 | 93 387 | 59 | 0.1% | 0.2% | 0.2% | 0.0% | |
| 0.25 to <0.50 | 84 815 | 58 | 0.1% | 0.4% | 0.4% | 0.0% | |
| 0.50 to <0.75 | 33 678 | 14 | 0.0% | 0.6% | 0.6% | 0.0% | |
| 0.75 to <2.50 | 91 328 | 203 | 0.2% | 1.3% | 1.4% | 0.0% | |
| 0.75 to <1.75 | 77 635 | 147 | 0.2% | 1.2% | 1.2% | 0.0% | |
| 1.75 to <2.5 | 13 693 | 56 | 0.4% | 2.4% | 2.4% | 0.1% | |
| 2.50 to <10.00 | 22 621 | 268 | 1.2% | 5.0% | 5.2% | 0.2% | |
| 2.5 to <5 | 15 272 | 146 | 1.0% | 3.9% | 4.0% | 0.1% | |
| 5 to <10 | 7 349 | 122 | 1.7% | 7.9% | 7.9% | 0.2% | |
| 10.00 to <100.00 | 8 238 | 514 | 6.2% | 24.6% | 25.6% | 0.8% | |
| 10 to <20 | 3 988 | 152 | 3.8% | 15.8% | 16.2% | 0.5% | |
| 20 to <30 | 1 505 | 115 | 7.6% | 27.2% | 27.2% | 0.8% | |
| 30.00 to <100.00 | 2 745 | 247 | 9.0% | 38.4% | 38.4% | 1.2% | |
| 100.00 (Default) | 3 093 | 100.0% | 100.0% |
| A-IRB | |||||||
|---|---|---|---|---|---|---|---|
| Number of obligors at the end of previous year | Exposures weighted average PD | Average | |||||
| Exposure class | PD range | Of which number of obligors which defaulted in the year |
Observed average default rate (%) |
(%) average PD |
Average PD (%) | historical annual default rate (%) |
|
| Other Retail SME | |||||||
| 0.00 to <0.15 | 181 | 0 | 0.0% | 0.1% | 0.1% | 0.0% | |
| 0.00 to <0.10 | 134 | 0 | 0.0% | 0.1% | 0.1% | 0.0% | |
| 0.10 to <0.15 | 47 | 0 | 0.0% | 0.1% | 0.1% | 0.0% | |
| 0.15 to <0.25 | 328 | 0 | 0.0% | 0.2% | 0.2% | 0.0% | |
| 0.25 to <0.50 | 2 978 | 0 | 0.0% | 0.4% | 0.4% | 0.0% | |
| 0.50 to <0.75 | 4 841 | 2 | 0.0% | 0.6% | 0.6% | 0.0% | |
| 0.75 to <2.50 | 47 613 | 40 | 0.1% | 1.6% | 1.6% | 0.0% | |
| 0.75 to <1.75 | 33 929 | 16 | 0.1% | 1.3% | 1.3% | 0.0% | |
| 1.75 to <2.5 | 13 684 | 24 | 0.2% | 2.4% | 2.4% | 0.1% | |
| 2.50 to <10.00 | 39 587 | 162 | 0.4% | 5.1% | 5.1% | 0.0% | |
| 2.5 to <5 | 30 687 | 76 | 0.3% | 4.0% | 4.3% | 0.1% | |
| 5 to <10 | 8 900 | 86 | 1.0% | 7.9% | 7.9% | 0.6% | |
| 10.00 to <100.00 | 5 090 | 338 | 6.6% | 22.3% | 24.1% | 0.4% | |
| 10 to <20 | 2 828 | 61 | 2.2% | 15.9% | 16.0% | 0.7% | |
| 20 to <30 | 815 | 50 | 6.1% | 27.2% | 27.2% | 1.5% | |
| 30.00 to <100.00 | 1 447 | 227 | 15.7% | 38.4% | 38.4% | 6.4% | |
| 100.00 (Default) | 1 057 | 100.0% | 100.0% | ||||
| Other Retail Non-SME | |||||||
| 0.00 to <0.15 | 525 887 | 200 | 0.0% | 0.1% | 0.1% | 0.00% | |
| 0.00 to <0.10 | 440 266 | 117 | 0.0% | 0.0% | 0.1% | 0.00% | |
| 0.10 to <0.15 | 85 621 | 83 | 0.1% | 0.1% | 0.1% | 0.01% | |
| 0.15 to <0.25 | 217 037 | 359 | 0.2% | 0.2% | 0.2% | 0.01% | |
| 0.25 to <0.50 | 244 678 | 466 | 0.2% | 0.4% | 0.4% | 0.02% | |
| 0.50 to <0.75 | 134 328 | 200 | 0.2% | 0.6% | 0.6% | 0.02% | |
| 0.75 to <2.50 | 462 827 | 1 442 | 0.3% | 1.4% | 1.4% | 0.03% | |
| 0.75 to <1.75 | 371 749 | 983 | 0.3% | 1.2% | 1.2% | 0.03% | |
| 1.75 to <2.5 | 91 078 | 459 | 0.5% | 2.4% | 2.4% | 0.06% | |
| 2.50 to <10.00 | 273 845 | 1 468 | 0.5% | 5.2% | 4.3% | 0.06% | |
| 2.5 to <5 | 233 502 | 761 | 0.3% | 3.9% | 3.7% | 0.03% | |
| 5 to <10 | 40 343 | 707 | 1.8% | 8.0% | 8.0% | 0.19% | |
| 10.00 to <100.00 | 32 990 | 2 776 | 8.4% | 23.0% | 25.0% | 0.98% | |
| 10 to <20 | 17 247 | 756 | 4.4% | 15.9% | 16.0% | 0.50% | |
| 20 to <30 | 5 050 | 372 | 7.4% | 27.2% | 27.2% | 0.88% | |
| 30.00 to <100.00 | 10 693 | 1 648 | 15.4% | 38.4% | 38.4% | 1.76% | |
| 100.00 (Default) | 8 744 | 100.0% | 100.0% |
| F-IRB | |||||||
|---|---|---|---|---|---|---|---|
| Number of obligors in the end of previous year | Average | ||||||
| Exposure class | PD range | Of which number of obligors which defaulted in the year |
Observed average default rate (%) |
Exposure weighted average PD (%) |
Average PD (%) | historical annual default rate (%) |
|
| Central governments or central banks |
|||||||
| 0.00 to <0.15 | 366 | 0 | 0.0% | 0.0% | 0.0% | 0.0% | |
| 0.00 to <0.10 | 366 | 0 | 0.0% | 0.0% | 0.0% | 0.0% | |
| 0.10 to <0.15 | |||||||
| 0.15 to <0.25 | 1 | 0 | 0.0% | 0.0% | 0.0% | 0.0% | |
| 0.25 to <0.50 | |||||||
| 0.50 to <0.75 | |||||||
| 0.75 to <2.50 | |||||||
| 0.75 to <1.75 | |||||||
| 1.75 to <2.5 | |||||||
| 2.50 to <10.00 | 14 | 0 | 0.0% | 3.1% | 3.0% | 0.0% | |
| 2.5 to <5 | 14 | 0 | 0.0% | 3.1% | 3.0% | 0.0% | |
| 5 to <10 | |||||||
| 10.00 to <100.00 | |||||||
| 10 to <20 | |||||||
| 20 to <30 | |||||||
| 30.00 to <100.00 | |||||||
| 100.00 (Default) | |||||||
| Institutions | |||||||
| 0.00 to <0.15 | 330 | 0 | 0.0% | 0.0% | 0.1% | 0.0% | |
| 0.00 to <0.10 | 208 | 0 | 0.0% | 0.0% | 0.1% | 0.0% | |
| 0.10 to <0.15 | 122 | 0 | 0.0% | 0.1% | 0.1% | 0.0% | |
| 0.15 to <0.25 | 0 | 0 | |||||
| 0.25 to <0.50 | 70 | 0 | 0.0% | 0.3% | 0.3% | 0.0% | |
| 0.50 to <0.75 | 18 | 0 | 0.0% | 0.6% | 0.6% | 0.0% | |
| 0.75 to <2.50 | 7 | 0 | 0.0% | 1.7% | 1.7% | 0.0% | |
| 0.75 to <1.75 | 7 | 0 | 0.0% | 1.7% | 1.7% | 0.0% | |
| 1.75 to <2.5 | 0 | 0 | |||||
| 2.50 to <10.00 | 13 | 0 | 0.0% | 6.2% | 5.0% | 0.0% | |
| 2.5 to <5 | 13 | 0 | 0.0% | 4.8% | 5.0% | 0.0% | |
| 5 to <10 | 0 | 0 | 0.0% | 6.8% | 0.0% | 0.0% | |
| 10.00 to <100.00 10 to <20 |
|||||||
| 20 to <30 | |||||||
| 30.00 to <100.00 | |||||||
| 100.00 (Default) | |||||||
| F-IRB | |||||||
|---|---|---|---|---|---|---|---|
| Number of obligors in the end of previous year | Average | ||||||
| Exposure class | PD range | Of which number of obligors which defaulted in the year |
Observed average default rate (%) |
Exposure weighted average PD (%) |
Average PD (%) | historical annual default rate (%) |
|
| Corporates - Of which: | |||||||
| SME | 0.00 to <0.15 | 129 | 0 | 0.0% | 0.1% | 0.1% | 0.2% |
| 0.00 to <0.10 | 92 | 0 | 0.0% | 0.0% | 0.1% | 0.4% | |
| 0.10 to <0.15 | 37 | 0 | 0.0% | 0.1% | 0.1% | 0.0% | |
| 0.15 to <0.25 | 326 | 0 | 0.0% | 0.2% | 0.2% | 0.0% | |
| 0.25 to <0.50 | 1 883 | 0 | 0.0% | 0.4% | 0.4% | 0.0% | |
| 0.50 to <0.75 | 1 442 | 0 | 0.0% | 0.6% | 0.6% | 0.1% | |
| 0.75 to <2.50 | 5 365 | 1 | 0.0% | 1.3% | 1.5% | 0.3% | |
| 0.75 to <1.75 | 4 325 | 1 | 0.0% | 1.1% | 1.2% | 0.3% | |
| 1.75 to <2.5 | 1 040 | 0 | 0.0% | 2.4% | 2.4% | 0.3% | |
| 2.50 to <10.00 | 1 842 | 1 | 0.1% | 5.3% | 5.0% | 1.0% | |
| 2.5 to <5 | 1 353 | 0 | 0.0% | 4.0% | 4.0% | 0.8% | |
| 5 to <10 | 489 | 1 | 0.2% | 8.2% | 7.8% | 1.3% | |
| 10.00 to <100.00 | 295 | 4 | 1.4% | 20.1% | 24.6% | 5.9% | |
| 10 to <20 | 120 | 0 | 0.0% | 15.0% | 16.1% | 3.5% | |
| 20 to <30 | 123 | 0 | 0.0% | 27.2% | 27.2% | 4.1% | |
| 30.00 to <100.00 | 52 | 4 | 7.7% | 38.4% | 38.4% | 10.8% | |
| 100.00 (Default) | 72 | 1 | 100.0% | 100.0% | |||
| Corporates - Of which: Other |
|||||||
| 0.00 to <0.15 | 313 | 0 | 0.0% | 0.1% | 0.1% | 0.0% | |
| 0.00 to <0.10 | 174 | 0 | 0.0% | 0.1% | 0.1% | 0.0% | |
| 0.10 to <0.15 | 139 | 0 | 0.0% | 0.1% | 0.1% | 0.0% | |
| 0.15 to <0.25 | 378 | 0 | 0.0% | 0.2% | 0.2% | 0.2% | |
| 0.25 to <0.50 | 511 | 0 | 0.0% | 0.4% | 0.4% | 0.5% | |
| 0.50 to <0.75 | 139 | 0 | 0.0% | 0.6% | 0.6% | 0.0% | |
| 0.75 to <2.50 | 618 | 0 | 0.0% | 1.0% | 1.2% | 0.7% | |
| 0.75 to <1.75 | 583 | 0 | 0.0% | 1.0% | 1.1% | 1.5% | |
| 1.75 to <2.5 | 35 | 0 | 0.0% | 2.4% | 2.4% | 0.0% | |
| 2.50 to <10.00 | 242 | 3 | 1.2% | 4.8% | 4.8% | 4.6% | |
| 2.5 to <5 | 194 | 2 | 1.0% | 4.3% | 4.0% | 2.0% | |
| 5 to <10 | 48 | 1 | 2.1% | 7.9% | 7.9% | 7.3% | |
| 10.00 to <100.00 | 48 | 4 | 8.3% | 26.2% | 25.5% | 20.8% | |
| 10 to <20 | 24 | 1 | 4.2% | 17.4% | 16.9% | 1.7% | |
| 20 to <30 | 9 | 1 | 11.1% | 27.2% | 27.2% | 33.7% | |
| 30.00 to <100.00 | 15 | 2 | 13.3% | 38.4% | 38.4% | 34.4% | |
| 100.00 (Default) | 14 | 4 | 100.0% | 100.0% |
The retail exposures' realised default ratios have been stable and at a low level over time, and decreased somewhat compared to December 2020. For the corporate exposures in the advanced IRB approach, the realised defaults decreased compared to 2020 and remained below the historical levels. Also for the corporate exposures in the foundation IRB approach, the realised defaults decreased compared to 2020 and remained below the historical default frequencies.
A-IRB
| Exposure class | PD range | External rating equivalent |
Number of obligors at the end of previous year Of which number of obligors which defaulted in the year |
Observed average default rate (%) | Average PD (%) | Average historical annual default rate (%) |
||||
|---|---|---|---|---|---|---|---|---|---|---|
F-IRB
| Number of obligors in the end of previous year | Average | ||||||
|---|---|---|---|---|---|---|---|
| Exposure class | PD range | External rating equivalent |
Of which number of obligors which defaulted in the year |
Observed average default rate (%) | Average PD (%) | historical annual default rate (%) |
|
According to CRR, EU CR9.1 is applicable to institutions that map its internal grades to the scale used by an ECAI or similar organisations and then attribute the default rate observed for the external organisation's grades to the institution's grades. Swedbank does not use default rates from external rating scales in its internal rating models.
There were no significant changes in the total exposure in specialised lending compared to June 2021. Exposures previously reported as project finance are now reported as income-producing real estate and high volatility commercial real estate. Swedbank has no equity exposures under the simple risk-weighted approach.
| Specialised lending: Project finance (Slotting approach) SEKm |
|||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| Regulatory categories |
Remaining maturity | On-balance sheet exposure |
Off-balance sheet exposure |
Risk weight | Exposure value |
Risk weighted exposure amount |
Expected loss amount |
||||
| Category 1 | Less than 2.5 years | 50% | |||||||||
| Equal to or more than 2.5 years |
70% | ||||||||||
| Less than 2.5 years | 70% | ||||||||||
| Category 2 | Equal to or more than 2.5 | ||||||||||
| years | 90% | ||||||||||
| Less than 2.5 years | 115% | ||||||||||
| Category 3 | Equal to or more than 2.5 | ||||||||||
| years | 115% | ||||||||||
| Less than 2.5 years | 250% | ||||||||||
| Category 4 | Equal to or more than 2.5 | ||||||||||
| years | 250% | ||||||||||
| Category 5 | Less than 2.5 years Equal to or more than 2.5 |
- | |||||||||
| years | - | ||||||||||
| Total | Less than 2.5 years Equal to or more than 2.5 years |
| Specialised lending: Income-producing real estate and high volatility commercial real estate (Slotting approach) | |||||||||
|---|---|---|---|---|---|---|---|---|---|
| SEKm | |||||||||
| Regulatory categories |
Remaining maturity | On-balance sheet exposure |
Off-balance sheet exposure |
Risk weight | Exposure value |
Risk weighted exposure amount |
Expected loss amount |
||
| Less than 2.5 years | 1 | 50% | 1 | 1 | |||||
| Category 1 | Equal to or more than 2.5 years |
5 | 71 | 70% | 40 | 28 | 0 | ||
| Less than 2.5 years | 78 | 104 | 70% | 156 | 109 | 1 | |||
| Category 2 | Equal to or more than 2.5 years |
2 | 90% | 2 | 1 | 0 | |||
| Less than 2.5 years | 56 | 50 | 115% | 92 | 101 | 2 | |||
| Category 3 | Equal to or more than 2.5 years |
0 | 115% | 0 | 1 | 0 | |||
| Less than 2.5 years | 71 | 250% | 71 | 177 | 6 | ||||
| Category 4 | Equal to or more than 2.5 years |
250% | |||||||
| Less than 2.5 years | 1 | - | 1 | 0 | |||||
| Category 5 | Equal to or more than 2.5 years |
- | |||||||
| Less than 2.5 years | 206 | 154 | 320 | 387 | 9 | ||||
| Total | Equal to or more than 2.5 years |
7 | 71 | 42 | 30 | 0 |
| SEKm | |||||||
|---|---|---|---|---|---|---|---|
| Regulatory categories |
Remaining maturity | On-balance sheet exposure |
Off-balance sheet exposure |
Risk weight | Exposure value |
Risk weighted exposure amount |
Expected loss amount |
| Less than 2.5 years | 50% | ||||||
| Category 1 | Equal to or more than 2.5 years |
70% | |||||
| Less than 2.5 years | 70% | ||||||
| Category 2 | Equal to or more than 2.5 years |
90% | |||||
| Less than 2.5 years | 115% | ||||||
| Category 3 | Equal to or more than 2.5 years |
115% | |||||
| Less than 2.5 years | 250% | ||||||
| Category 4 | Equal to or more than 2.5 years |
250% | |||||
| Less than 2.5 years | - | ||||||
| Category 5 | Equal to or more than 2.5 years |
- | |||||
| Less than 2.5 years | |||||||
| Total | Equal to or more than 2.5 | ||||||
| years |
| SEKm | Specialised lending: Commodities finance (Slotting approach) | ||||||
|---|---|---|---|---|---|---|---|
| Regulatory categories |
Remaining maturity | On-balance sheet exposure |
Off-balance sheet exposure |
Risk weight | Exposure value |
Risk weighted exposure amount |
Expected loss amount |
| Less than 2.5 years | 50% | ||||||
| Category 1 | Equal to or more than 2.5 years |
70% | |||||
| Less than 2.5 years | 0 | 70% | 0 | 0 | 0 | ||
| Category 2 | Equal to or more than 2.5 years |
90% | |||||
| Less than 2.5 years | 0 | 115% | 0 | 0 | 0 | ||
| Category 3 | Equal to or more than 2.5 years |
115% | |||||
| Less than 2.5 years | 250% | ||||||
| Category 4 | Equal to or more than 2.5 years |
250% | |||||
| Less than 2.5 years | - | ||||||
| Category 5 | Equal to or more than 2.5 years |
- | |||||
| Less than 2.5 years | 0 | 0 | 1 | 0 | |||
| Total | Equal to or more than 2.5 years |
| Equity exposures under the simple risk-weighted approach SEKm |
|||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Categories | On-balance sheet exposure |
Off-balance sheet exposure |
Risk weight | Exposure value | Risk weighted exposure amount |
Expected loss amount |
|||||||
| Private equity exposures |
190% | ||||||||||||
| Exchange-traded equity exposures |
290% | ||||||||||||
| Other equity exposures |
370% | ||||||||||||
| Total |
Management of counterparty credit risk – Counterparty credit risk is the risk that a counterparty to a derivative contact will not meet its final obligations towards Swedbank and that collateral held will not be enough to cover the claims. Counterparty credit risk also encompasses repurchasing agreements and securities financing contracts. The majority of Swedbank's counterparty credit risk emanates primarily from two units: LC&I, and Group Treasury. Counterparty credit exposure arises mainly as a result of hedging of own positions in market risk in foreign exchange, interest rate and other derivatives from customer-related trading activities. As for products, most counterparty credit risk derives from interest rate swaps, basis swaps, and currency forwards. In nominal terms, forward rate agreements comprise a large share of the derivatives trading. However, since these contracts to a large extent are centrally cleared and have short maturities, the counterparty credit risk inherent in these derivatives is low.
Measurement of counterparty credit risk – Derivative and securities financing transactions market value fluctuates over time to maturity and requires that the uncertainty of the future market potential conditions is taken into account and estimated when measuring the exposure. For risk management purposes, counterparty credit risk is measured as potential future exposure (PFE) at the 95% percentile using an advanced simulation-based framework covering a majority of the counterparty credit risk. The simulation-based method takes close-out netting agreements and collateral agreements into account. For transactions not included in the simulation-based calculation Swedbank uses an enhanced version of SA-CCR where several adaptions have been made for the approach to fit the purpose of internal risk management and exposure calculation. Risk measurement and evaluation is an ongoing process and Swedbank makes regular assessments. Follow-up and measurement of counterparty credit risk exposure against approved limits is performed in a system specific to the task.
Swedbank maintains an independent control on Group level with responsibility to identify, quantify, follow-up, analyse and report the counterparty credit risk inherent in the business. This unit also proposes preventive actions, implements policies, works with early warning indicators, and addresses relevant mitigating actions. New products and processes are reviewed in the New Product Approval Process (NPAP) before becoming operational.
Swedbank also conducts various ad-hoc stress test to estimate tail events, pertaining to political, market or other macro events. Effects on counterparty exposures, credit losses, REA, collateral flows and market values are considered.
Internal capital – Pillar 1 method for capital adequacy purposes, Swedbank applies the Standardised Approach for counterparty credit risk (SA-CCR) method to calculate the exposure amounts for derivative contracts concerning counterparty credit risk. In addition, derivative transactions are subject to capital requirements for credit value adjustment (CVA) risk where the SA-CCR method Swedbank is used as well. For the purposes to assign internal capital, as well as profitability steering, Swedbank distribute regulatory capital for each customer and contract to affected unit respectively.
Credit limits – Limits for counterparty credit exposures are assessed, set and allocated in the regular credit process using the calculated estimates of maximum potential future exposure after recognition of netting agreements and collateral as appropriate. In the process of setting and approving counterparty credit risk exposure limits, a number of factors have to be taken into account; included but not limited to guidance from the core credit policies, procedures and standards, and judgement and experience of credit risk professionals, the credit quality and rationale for the trading activity. Limits are also established for exposure in specific countries and/or areas, and for FX settlement risk. Moreover, relevant credit risk limits that include counterparty credit risk are allocated to certain customer segments. Limits are reviewed at least annually.
Swedbank uses a variety of tools to mitigate counterparty credit risk of which the most important is close-out netting agreements whereby derivatives at a counterparty level can be offset. Swedbank strives to have ISDA Master Agreements supplemented with credit support annex (CSA) agreements in place with all financial counterparties concerned to ensure a well-functioning netting and collateral management process. The vast majority of the current received, and pledged collateral is cash, but interest-bearing security instruments are also used. As part of the credit process, credit memos provided to credit committees specify what collateral is accepted for each individual counterparty. The range of financial collateral selection accepted is specified in credit policies. Financial collateral is subject to daily monitoring and an independent valuation.
Other actions to mitigate counterparty credit risk include steering exposure and risks to clearing houses, which is standard procedure and mandatory for a range of products, to reduce bilateral counterparty credit risk. The counterparty credit risk can also be closed out through various portfolio compression activities.
A very small part of the counterparty credit risk is reduced by credit derivatives. Swedbank conducts credit derivative transactions primarily in connection with counterparty credit risk and mainly trades with counterparties where an ISDA CSA agreement has been established. Rather than using credit derivatives to mitigate counterparty credit risk in its trading operations, Swedbank prefers to make use of collateral arrangements.
Swedbank mitigates settlement risk through Delivery-vs-Payment (DVP) or Payment-vs-Payment (PVP) arrangements when possible. One such settlement vehicle is the global FX clearing that is conducted through CLS Group (originally Continuous Linked Settlement), where Swedbank is a member. They eliminate settlement risk in FX transactions with counterparties that are eligible for CLS clearing.
Wrong-Way risk (WWR) is the risk that arises when exposure to a counterparty increases while the counterparty´s creditworthiness deteriorates, i.e. negatively correlates. WWR is divided into specific and general WWR.
Existence of Specific WWR is detected by monitoring CCR generating trades to capture any trade where there is a legal connection between the counterparty and the underlying issuer. General WWR is typically measured via a range of stress test scenarios. For Swedbank, it is deemed reasonable to examine sectors and/or counterparties individually to detect relationships and significant correlation between exposures and counterparties' probabilities of default.
In the event of a downgrade, Swedbank would need to provide additional collateral of approximately SEK 316m for a one-notch long term downgrade by Moody's, approximately SEK 456m for a one-notch long term downgrade by Standard & Poor's and approximately SEK 316m for a one-notch downgrade by Fitch. Swedbank has a very limited number of netting and collateral agreements with rating triggers. Rating triggers may apply to the ratings of one or both parties in the agreement. The effects of a potential rating downgrade do not pose a threat on Swedbank's liquidity and collateral preparedness.
| SEKm | Replacement cost (RC) |
Potential future exposure (PFE) |
EEPE | Alpha used for computing regulatory exposure value |
Exposure value pre CRM |
Exposure value post CRM |
Exposure value |
RWEA |
|---|---|---|---|---|---|---|---|---|
| EU - Original Exposure Method (for derivatives) |
1.4 | |||||||
| EU - Simplified SA-CCR (for derivatives) |
1.4 | |||||||
| SA-CCR (for derivatives) | 12 643 | 22 656 | 1.4 | 100 367 | 49 411 | 46 142 | 12 943 | |
| IMM (for derivatives and SFTs) Of which securities financing transactions netting sets Of which derivatives and long settlement transactions netting sets Of which from contractual cross product netting sets Financial collateral simple method (for SFTs) Financial collateral comprehensive method (for SFTs) |
154 484 | 3 105 | 3 105 | 1 064 | ||||
| VaR for SFTs Total |
254 851 | 52 516 | 49 248 | 14 008 | ||||
Swedbank uses the standardized approach (SA-CCR) method for calculation of derivative exposures and financial collateral comprehensive method for SFTs. Derivatives RWEA decreased by SEK 2.6bn as compared to end Q2 2021 mainly due to lower EAD. Lower EAD is caused partially to a decrease in Potential Future Exposure (PFE) and outflows.
| Exposure value | RWEA | |
|---|---|---|
| SEKm | ||
| Total transactions subject to the Advanced method | ||
| (i) VaR component (including the 3× multiplier) | ||
| (ii) stressed VaR component (including the 3× multiplier) | ||
| Transactions subject to the Standardised method | 19 401 | 2 337 |
| Transactions subject to the Alternative approach (Based on the Original Exposure Method) | ||
| Total transactions subject to own funds requirements for CVA risk | 19 401 | 2 337 |
The table presents exposure values after CRM techniques and the associated risk for credit valuation adjustment (CVA). CVA capital charge is calculated according to standardized method. CVA RWEA decreased by SEK 0.9bn compared to end Q2 2021, mainly due to hedging effect and decreased EAD.
Exposure value for CCR exposures in the Standardised approach decreased compared to end Q2 2021, as SFTs EAD of multilateral development banks and derivatives EAD of CCPs have decreased (institutions with 2% risk weight).
| Exposure classes IRB SEKm |
PD scale | Exposure value | Exposure weighted average PD (%) |
Number of obligors |
Exposure weighted average LGD (%) |
Exposure weighted average maturity (years) |
RWEA | Density of risk weighted exposure amounts |
|---|---|---|---|---|---|---|---|---|
| Central governments or central banks (F-IRB) | ||||||||
| 0.00 to <0.15 | 3 558 | 0.0% | 44 | 45.0% | 2.2 | 113 | 3.2% | |
| 0.15 to <0.25 | ||||||||
| 0.25 to <0.50 | ||||||||
| 0.50 to <0.75 | ||||||||
| 0.75 to <2.50 | ||||||||
| 2.50 to <10.00 | ||||||||
| 10.00 to <100.00 | ||||||||
| 100.00 (Default) | ||||||||
| Central governments or central banks (F-IRB) - Sub total | 3 558 | 0.0% | 44 | 45.0% | 2.2 | 113 | 3.2% | |
| Central governments or central banks (A-IRB) | ||||||||
| 0.00 to <0.15 | ||||||||
| 0.15 to <0.25 | ||||||||
| 0.25 to <0.50 | ||||||||
| 0.50 to <0.75 | ||||||||
| 0.75 to <2.50 | ||||||||
| 2.50 to <10.00 | ||||||||
| 10.00 to <100.00 | ||||||||
| 100.00 (Default) | ||||||||
| Central governments or central banks (A-IRB) - Sub total |
| Institutions (F-IRB) | ||||||||
|---|---|---|---|---|---|---|---|---|
| 0.00 to <0.15 | 15 649 | 0.1% | 131 | 45.0% | 2.5 | 3 731 | 23.8% | |
| 0.15 to <0.25 | ||||||||
| 0.25 to <0.50 | 151 | 0.3% | 18 | 45.0% | 2.5 | 93 | 61.2% | |
| 0.50 to <0.75 | 56 | 0.6% | 2 | 45.0% | 2.5 | 45 | 80.0% | |
| 0.75 to <2.50 | 3 | 1.7% | 1 | 45.0% | 2.5 | 3 | 116.2% | |
| 2.50 to <10.00 | 3 | 3.4% | 1 | 45.0% | 2.5 | 4 | 141.0% | |
| 10.00 to <100.00 | ||||||||
| 100.00 (Default) | ||||||||
| Institutions (F-IRB) - Sub total | 15 862 | 0.1% | 153 | 45.0% | 2.5 | 3 875 | 24.4% | |
| Institutions (A-IRB) | ||||||||
| 0.00 to <0.15 | ||||||||
| 0.15 to <0.25 | ||||||||
| 0.25 to <0.50 | ||||||||
| 0.50 to <0.75 | ||||||||
| 0.75 to <2.50 | ||||||||
| 2.50 to <10.00 | ||||||||
| 10.00 to <100.00 | ||||||||
| 100.00 (Default) | ||||||||
| Institutions (A-IRB) - Sub total | ||||||||
| Corporates (F-IRB) | ||||||||
| 0.00 to <0.15 | 2 237 | 0.1% | 22 | 45.0% | 2.5 | 578 | 25.9% | |
| 0.15 to <0.25 | 156 | 0.2% | 10 | 45.0% | 2.5 | 72 | 46.2% | |
| 0.25 to <0.50 | 362 | 0.4% | 16 | 45.0% | 2.5 | 249 | 68.7% | |
| 0.50 to <0.75 | ||||||||
| 0.75 to <2.50 | 62 | 1.0% | 12 | 45.0% | 2.3 | 57 | 93.0% | |
| 2.50 to <10.00 | 38 | 4.7% | 12 | 45.0% | 2.1 | 55 | 145.6% | |
| 10.00 to <100.00 | 1 | 19.2% | 2 | 45.0% | 2.5 | 3 | 250.4% | |
| 100.00 (Default) | ||||||||
| Corporates (F-IRB) - Sub total | 2 856 | 0.2% | 74 | 45.0% | 2.5 | 1 015 | 35.5% | |
| Corporates (A-IRB) | ||||||||
| 0.00 to <0.15 | 6 609 | 0.1% | 107 | 36.6% | 2.3 | 1 282 | 19.4% | |
| 0.15 to <0.25 | 4 505 | 0.2% | 99 | 36.7% | 2.1 | 1 629 | 36.2% | |
| 0.25 to <0.50 | 3 487 | 0.3% | 106 | 36.6% | 3.7 | 2 037 | 58.4% | |
| 0.50 to <0.75 | 851 | 0.6% | 41 | 36.7% | 2.6 | 610 | 71.6% | |
| 0.75 to <2.50 | 1 147 | 1.8% | 80 | 36.6% | 3.1 | 1 161 | 101.2% | |
| 2.50 to <10.00 | 31 | 5.5% | 13 | 36.9% | 2.1 | 39 | 126.0% | |
| 10.00 to <100.00 | 0 | 27.2% | 1 | 42.8% | 1.0 | 0 | 141.7% | |
| 100.00 (Default) | ||||||||
| Corporates (A-IRB) - Sub total | 16 630 | 0.3% | 447 | 36.6% | 2.6 | 6 758 | 40.6% | |
| Retail (A-IRB) | ||||||||
| 0.00 to <0.15 | ||||||||
| 0.15 to <0.25 | ||||||||
| 0.25 to <0.50 | 1 | 0.3% | 1 | 45.0% | 0 | 25.2% | ||
| 0.50 to <0.75 | 0 | 0.6% | 1 | 45.0% | 0 | 30.8% | ||
| 0.75 to <2.50 | 6 | 1.5% | 16 | 44.7% | 3 | 42.4% | ||
| 2.50 to <10.00 | 279 | 4.8% | 291 | 45.0% | 164 | 58.8% | ||
| 10.00 to <100.00 | 1 | 14.6% | 3 | 53.4% | 1 | 105.8% |
100.00 (Default)
| Retail (A-IRB) - Sub total | 288 | 4.8% | 312 | 45.0% | 168 | 58.5% | |
|---|---|---|---|---|---|---|---|
| Total (all CCR relevant exposure classes) | 39 194 | 0.2% | 1 030 | 41.4% | 2.7 | 11 929 | 30.4% |
As compared to end-Q2 2021 RWEA for CCR exposures risk weighted under internal approach decreased by SEK 3.0bn. This is due to lower EAD for institutions and corporates as of end Q2 2021.
| Collateral used in derivative transactions | Collateral used in SFTs | |||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Collateral type | Fair value of collateral received | Fair value of posted collateral | Fair value of collateral received | Fair value of posted collateral | ||||||||
| SEKm | Segregated | Unsegregated | Segregated | Unsegregated | Segregated | Unsegregated | Segregated | Unsegregated | ||||
| Cash – domestic | 4 279 | 2 771 | ||||||||||
| currency Cash – other currencies |
10 701 | 7 516 | ||||||||||
| Domestic sovereign debt | 3 912 | 734 | 9 294 | 40 | 45 492 | 43 213 | ||||||
| Other sovereign debt | 230 | 1 038 | 111 | 204 | ||||||||
| Government agency debt | ||||||||||||
| Corporate bonds | ||||||||||||
| Equity securities | 893 | 893 | 358 | 142 | ||||||||
| Other collateral | 514 | 773 | 830 | 42 296 | 22 264 | |||||||
| Total | 5 549 | 17 525 | 11 017 | 10 438 | 88 350 | 65 619 |
The table presents the fair values of collateral (received or posted) used in CCR exposures related to derivative transactions and SFTs.
| SEKm | Protection bought | Protection sold |
|---|---|---|
| Notionals | ||
| Single-name credit default swaps | ||
| Index credit default swaps | 3 069 | |
| Total return swaps | ||
| Credit options | ||
| Other credit derivatives | ||
| Total notionals | 3 069 | |
| Fair values | ||
| Positive fair value (asset) | ||
| Negative fair value (liability) | -74 |
The table present the notional amounts of fair value of credit derivative transactions. As compared to end Q2 2021 notional values of Index credit default swaps have increased by SEK 1.9bn.
| SEKm | RWEA |
|---|---|
| RWEA as at the end of the previous reporting period | |
| Asset size | |
| Credit quality of counterparties | |
| Model updates (IMM only) | |
| Methodology and policy (IMM only) | |
| Acquisitions and disposals | |
| Foreign exchange movements | |
| Other | |
| RWEA as at the end of the current reporting period |
Swedbank AB does not have an approved IMM for measuring EAD of exposures subject to the CCR framework and therefore the table EU CCR7 is not populated with any information.
| Exposure value | RWEA | |
|---|---|---|
| SEKm | ||
| Exposures to QCCPs (total) | 644 | |
| Exposures for trades at QCCPs (excluding initial margin and default fund | 6 709 | 270 |
| contributions); of which | ||
| (i) OTC derivatives | 5 858 | 253 |
| (ii) Exchange-traded derivatives | ||
| (iii) SFTs | 851 | 17 |
| (iv) Netting sets where cross-product netting has been approved | ||
| Segregated initial margin | 10 701 | |
| Non-segregated initial margin | 3 769 | 93 |
| Prefunded default fund contributions | 1 190 | 281 |
| Unfunded default fund contributions | 1 190 | |
| Exposures to non-QCCPs (total) | ||
| Exposures for trades at non-QCCPs (excluding initial margin and default fund | ||
| contributions); of which | ||
| (i) OTC derivatives | ||
| (ii) Exchange-traded derivatives | ||
| (iii) SFTs | ||
| (iv) Netting sets where cross-product netting has been approved | ||
| Segregated initial margin | ||
| Non-segregated initial margin | ||
| Prefunded default fund contributions | ||
| Unfunded default fund contributions |
The table presents the exposure value and RWEA amounts derived from qualified central counterparties (QCCPs). There were no significant changes in RWEA for QCCPs as compared to end Q2 2021.
Swedbank does not have any securitisation exposures.
| Institution acts as originator | Institution acts as sponsor | Institution acts as investor | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Traditional | Synthetic | Traditional | Traditional | |||||||||
| SEKm | STS of which SRT |
Non -STS of which SRT |
of which SRT |
Sub-total | STS | Non-STS | Synthetic | Sub-total | STS | Non-STS | Synthetic | Sub-total |
| Total exposures Retail (total) Residential mortgage credit card other retail exposures re- securitisation Wholesale (total) loans to corporates Commercial mortgage lease and receivables other wholesale re- securitisation |
Swedbank does not have any securitisation exposures.
| Institution acts as originator | Institution acts as sponsor | Institution acts as investor | |||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Traditional | Traditional | Traditional | |||||||||||
| SEKm | STS | Non-STS | Synthetic | Sub-total | STS | Non-STS | Synthetic | Sub-total | STS | Non-STS | Synthetic | Sub-total | |
| Total exposures | |||||||||||||
| Retail (total) | |||||||||||||
| residential mortgage | |||||||||||||
| credit card | |||||||||||||
| other retail exposures | |||||||||||||
| re-securitisation | |||||||||||||
| Wholesale (total) | |||||||||||||
| loans to corporates | |||||||||||||
| commercial mortgage | |||||||||||||
| lease and receivables | |||||||||||||
| other wholesale | |||||||||||||
| re-securitisation |
Swedbank does not have any securitisation exposures.
| Exposure values (by RW bands/deductions) | Exposure values (by regulatory approach) | RWEA (by regulatory approach) | Capital charge after cap | ||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| SEKm | ≤20% RW | >20% to 50% RW |
>50% to 100% RW |
>100% to <1250% RW |
1250% RW/ deductions |
SEC-IRBA | SEC-ERBA (including IAA) |
SEC-SA | 1250%/ deductions |
SEC-IRBA | SEC-ERBA (including IAA) |
SEC-SA | 1250%/ deductions |
SEC-IRBA | SEC-ERBA (including IAA) |
SEC-SA | 1250%/ deductions |
| Total exposures Traditional transactions Securitisation |
|||||||||||||||||
| Retail underlying | |||||||||||||||||
| Of which STS | |||||||||||||||||
| Wholesale | |||||||||||||||||
| Of which STS | |||||||||||||||||
| Re-securitisation | |||||||||||||||||
| Synthetic transactions | |||||||||||||||||
| Securitisation | |||||||||||||||||
| Retail underlying | |||||||||||||||||
| Wholesale | |||||||||||||||||
| Re-securitisation |
Swedbank does not have any securitisation exposures.
| Exposure values (by RW bands/deductions) | Exposure values (by regulatory approach) | RWEA (by regulatory approach) | Capital charge after cap | ||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| SEKm | ≤20% RW | >20% to 50% RW |
>50% to 100% RW |
>100% to <1250% RW |
1250% RW/ deductions |
SEC-IRBA | SEC-ERBA (including IAA) |
SEC-SA | 1250%/ deductions |
SEC-IRBA | SEC-ERBA (including IAA) |
SEC-SA | 1250%/ deductions |
SEC-IRBA | SEC-ERBA (including IAA) |
SEC-SA | 1250%/ deductions |
| Total exposures Traditional securitisation Securitisation |
|||||||||||||||||
| Retail underlying | |||||||||||||||||
| Of which STS | |||||||||||||||||
| Wholesale | |||||||||||||||||
| Of which STS | |||||||||||||||||
| Re-securitisation | |||||||||||||||||
| Synthetic | |||||||||||||||||
| securitisation | |||||||||||||||||
| Securitisation | |||||||||||||||||
| Retail underlying | |||||||||||||||||
| Wholesale | |||||||||||||||||
| Re-securitisation |
Swedbank does not have any securitisation exposures.
| Exposures securitised by the institution - Institution acts as originator or as sponsor | ||||||||
|---|---|---|---|---|---|---|---|---|
| Total outstanding nominal amount | Total amount of specific credit risk adjustments made during | |||||||
| Of which exposures in default | the period | |||||||
| SEKm Total exposures |
||||||||
| Retail (total) | ||||||||
| residential mortgage | ||||||||
| credit card | ||||||||
| other retail exposures | ||||||||
| re-securitisation | ||||||||
| Wholesale (total) | ||||||||
| loans to corporates | ||||||||
| commercial mortgage | ||||||||
| lease and receivables | ||||||||
| other wholesale | ||||||||
| re-securitisation |
Swedbank does not have any securitisation exposures.
The risk to value, earnings, capital or exposure arising from movements of risk factors in financial markets. Value covers both economic value and accounting value and include valuation adjustments such as CVA (Credit Valuation Adjustment) and DVA (Debit Valuation Adjustment).
Financial markets in 2021 were largely characterised by a continuation of the positive sentiment from 2020 and strong equity markets, but also from signs of inflation and interest rate volatility. Towards the year end, central banks and upcoming rate hikes were in focus, as well as the end of the FED quantitative easing program. While further waves and variants of Covid-19 had little effect on financial markets, high inflation readings were a central theme towards the end of the year. The question remains how persistent the observed inflation will be. In conjunction with uncertainty around the timeline for the FED tapering, rate hikes posed a threat to investors and interest rate options premia were driven up forcefully. Adjustment) and DVA (Debit Valuation Adjustment).
The majority of Swedbank's market risk is structural or strategic in nature and emerges within Group Treasury. Market risk also arises in the daily market-making and client facilitation activities of the trading book. Swedbank's trading operations are managed within the business area LC&I primarily to fulfil the clients' transaction requirements in the financial markets.
Swedbank has established strategies and processes for the overall management of the market risks that emerge within the trading and banking book, with the ERM Policy as the starting point. The Market Risk Instruction, which originates from the ERM Policy is reviewed and adopted at least annually by the CEO. All internal regulations and processes are reviewed on a regular basis by the risk organisation, internal and external auditors, and supervisors.
Swedbank's market risk-taking is limited via the risk
appetite established by Swedbank's Board of Directors. Using the risk appetites as starting points, a strict risk management framework has been adopted on both CEO level and Executive management level in order to prevent Swedbank from unintentional losses. The CEO assigns risk limits to the CFO as well as the Head of LC&I. In order to monitor the limits assigned by the CEO, the CFO and the Head of LC&I additionally set limits, as well as different types of indicators which at certain levels signal increased risk. In addition to limits set by the CFO and the Head of LC&I there are also local business area limits.
There are other units within the Group where arising banking book market risks, for various practical purposes, cannot efficiently be transferred in its entirety to Group Treasury. In these cases, the Head of Group Treasury can grant market risk mandates to such units in the form of administrative limits, escalation triggers (ET) or KRIs.
Group Treasury, as well as LC&I, monitor and manage their market risks within the given mandates and have the possibility to use different types of derivative contracts, mainly interest rate and cross currency swaps, foreign exchange forwards & swaps as well as forward rate agreements, to mitigate currency and interest rate risks. In those cases where hedge accounting is applied, the effectiveness of the hedge is continuously monitored by evaluating the changes in fair values or cash flows of the hedged item compared with the changes in fair values or cash flows of the hedging instrument.
New products have to be pre-approved in the NPAP, where some of the key stakeholders besides the business are the risk, compliance, and finance organisations. The process is a way of ensuring, for example, that all positions in the trading book are tradable or can be hedged.
The risk organisation performs limit monitoring, in-depth analysis, frequent stress testing and reporting of Swedbank's market risks. Internal reporting of market risk exposure and follow-up on limit usage is performed on a daily basis and delivered to various stakeholders, such as the risk-taking units and the senior management of Swedbank. The risk organisation has established sound escalation principles for limit breaches in which the market risk-takers, as well as Swedbank's senior management, are informed of the incident as well as mitigation actions.
Measurement of market risk at Swedbank uses a variety of risk measures, both statistical such as various Value-at-Risk (VaR) as well as non-statistical measures. In the trading book, VaR and Stressed VaR are used for the daily risk measurement as well as for calculating regulatory capital. In the banking book, not using an internal model, VaR and sensitivities are used for risk monitoring in addition to a historical simulation that is used for calculating Economic Capital. Non-statistical measures such as sensitivity analyses and stress tests are important complementary measures that provide a better understanding of specific market risk factors or possible tail scenarios. Materiality is considered when analysing and measuring the risks, paying extra attention to the largest exposures. New products have to be pre-approved by the risk organisation in the NPAP to ensure that all risk factors associated with the new product are identified and can be managed in the risk measurement. The use of products that contain fundamentally new market risk characteristics, such as new asset classes, requires explicit approval by the CEO. The risk system is subject to a continuous maintenance process and a yearly validation process to ensure that a relevant set of risk factors is being used as the nature and volume of trades may vary over time.
Swedbank's VaR model (using Monte Carlo simulations and a 99% confidence level over a one-day time horizon) is a useful tool for comparing risk levels across different asset classes such as interest rate, credit spread, foreign exchange or equity; and thus gives insight into each asset class as well as into their relative risk levels. VaR does not include strategic currency risk, since a VaR measure on a one-day time horizon is not relevant for positions which are meant to be held strategically for longer periods of time. VaR does, however, include positions that are designated as "Held to maturity" or are in a hedging relationship ("Hedge accounting") and therefore have no direct impact on Swedbank's net gains and losses on financial items at fair value.
Estimates of the parameters included in the VaR model are updated on a daily basis. Both absolute and relative returns are used when simulating potential movements in risk factors. A full revaluation approach is used for both VaR and SvaR, with a few exceptions such as structured equity products and interest rate products in the Baltic subsidiaries, for which the valuation is based on approximations. Since VaR is premised on model assumptions, Swedbank conducts daily backtesting to assess the accuracy and relevance of the model. Swedbank has an approval to partially use an Internal Models Approach (IMA) when calculating regulatory capital requirements regarding market risk for Swedbank Consolidated Situation and Swedbank AB. The approval is
based on VaR and SVaR models. For both Swedbank CS and Swedbank AB, the approval covers general interest rate risk, general equity risk, specific equity risk and currency risk in the trading book for the Swedish operations. For Swedbank CS, the approval also covers general interest rate risk and currency risk in the trading book for the Baltic subsidiaries. The IMA VaR and SVaR models differ from the VaR and SVaR models used for internal risk management purposes as they do not include credit spread risk. The SVaR model uses market data from the one-year period covering early 2008 to 2009, a period deemed to be of significant stress. The VaR model uses market data from one year back, with unweighted returns. The 10-day VaR is determined by multiplying one-day VaR by the square root of 10. The same methodology applies when calculating the 10-day SVaR.
In addition to the Monte Carlo-based VaR and SVaR models, Swedbank also runs Historical VaR, and other variants such as Exponential VaR and Expected Shortfall, for further complementary monitoring and analysis.
Swedbank uses various sensitivity measures in order to grasp each portfolio's sensitivity to changes in one or more market risk factors. For example, measures used for interest rate sensitivities may include the one basis point shift along various parts of the curve to capture basis risk or the 100 basis point parallel shift which attempts to capture convexity effects. Another example is FX matrix risk which shows each foreign currency's sensitivity to changes in both price and volatility. Together, these sensitivity measures provide important information to risk analysts who monitor changes, trends and anomalies. These measures also form the building blocks of important risk limits that guide Swedbank's trading activities and banking operations.
Several stress tests are performed and reported to various stakeholders on a daily basis. The various statistical and sensitivity measures described above have known shortfalls and limitations. For example, the VaR model inputs are based on market data from the past year which might not include stressed market conditions, i.e. VaR figures may not capture hypothetical extreme market movements. Moreover, the VaR model does not accurately capture correlation breakdown during extreme financial market stress. Additionally, sensitivity measures only show general sensitivity to small and large movements but provide no historical context for the figures. To address these limitations, Swedbank has a comprehensive set of stress tests which are broadly categorized into scenarios: (i) historical, (ii) hypothetical, and (iii) method and model. The stress tests (and the scenarios on which they are based) are meant to cover significant movements in market risk factors and to highlight mismatches in open positions that might cause large-scale losses.
Historical stress tests attempt to capture various effects
on the current portfolio using past market data from periods of particular stress. In effect, these tests present the possible losses to the current portfolio if history were to repeat itself. The set of historical scenarios and relevant market data goes as far back as 30 years. It covers financial events (such as the 1992 Swedish banking crisis or the 2008 subprime mortgage meltdown) and nonfinancial events (such as the September 2001 terror attacks or the 2011 Japan earthquake).
Hypothetical stress tests attempt to quantify the change in portfolio value that would result from hypothetical and extreme shifts in risk factors. These tests include standardised single or cross-asset tests with large but possible shifts that are historically informed. Other
forward-looking tests can include more customised tests which may be run on an ad-hoc basis, such as the EBA stress test performed every second year. Some customised tests may be more routinely established, such as the biannual reverse stress test.
Method and model stress tests measure how statistical measures (such as VaR and Expected Shortfall) respond to changes in assumptions, parameters and market conditions. The purpose is partly to capture the uncertainty in reported risk figures due to assumptions and parameter estimations, and partly to capture how dependent the reported risk figures are on current market conditions (such as interest rate levels and risk factor covariance).
| SEKm | RWEAs |
|---|---|
| Outright products | |
| Interest rate risk (general and specific) | 4 073 |
| Equity risk (general and specific) | 9 |
| Foreign exchange risk | 340 |
| Commodity risk | |
| Options | |
| Simplified approach | |
| Delta-plus approach | |
| Scenario approach | 0 |
| Securitisation (specific risk) | |
| Total | 4 422 |
As of Q4 2021, Swedbank's risk exposure amount, based on calculations according to the standardised approach, was SEK 4 422m (Q2 2021: SEK 5 046m). The decrease mainly stems from reduced REA for specific interest rate risk in the trading book, which was mainly driven by decreased positions in Swedish (SEK -496m) and Norwegian (SEK -190m) corporate debt instruments.
| SEKm | RWEAs | Own funds requirements | |
|---|---|---|---|
| 1 | VaR (higher of values a and b) | 3 211 | 257 |
| (a) | Previous day's VaR (VaRt-1) | 77 | |
| (b) | Multiplication factor (mc) x average of previous 60 working days (VaRavg) | 257 | |
| 2 | SVaR (higher of values a and b) | 12 673 | 1 014 |
| (a) | Latest available SVaR (SVaRt-1)) | 273 | |
| (b) | Multiplication factor (ms) x average of previous 60 working days (sVaRavg) | 1 014 | |
| 3 | IRC (higher of values a and b) | ||
| (a) | Most recent IRC measure | ||
| (b) | 12 weeks average IRC measure | ||
| 4 | Comprehensive risk measure (higher of values a, b and c) | ||
| (a) | Most recent risk measure of comprehensive risk measure | ||
| (b) | 12 weeks average of comprehensive risk measure | ||
| (c) | Comprehensive risk measure Floor | ||
| 5 | Other | ||
| 6 | Total | 15 884 | 1 271 |
| VaR | SVaR | IRC | Comprehensive | Other | Total | Total own funds | |
|---|---|---|---|---|---|---|---|
| SEKm | risk measure | RWEAs | requirements | ||||
| RWEAs at previous period end | 2 143 | 11 955 | 14 098 | 1 128 | |||
| Regulatory adjustment | 1 477 | 8 103 | 9 580 | 766 | |||
| RWEAs at the previous quarter-end (end of the day) |
666 | 3 852 | 4 518 | 361 | |||
| Movement in risk levels | 293 | -435 | -142 | -11 | |||
| Model updates/changes | |||||||
| Methodology and policy | |||||||
| Acquisitions and disposals | |||||||
| Foreign exchange movements | |||||||
| Other | |||||||
| RWEAs at the end of the disclosure period (end of the day) |
959 | 3 417 | 4 376 | 350 | |||
| Regulatory adjustment | 2 252 | 9 256 | 11 508 | 921 | |||
| RWEAs at the end of the disclosure period |
3 211 | 12 673 | 15 884 | 1 271 |
| SEKm | |
|---|---|
| VaR (10 day 99%) | |
| Maximum value | 96 |
| Average value | 64 |
| Minimum value | 47 |
| Period end | 77 |
| SVaR (10 day 99%) | |
| Maximum value | 356 |
| Average value | 299 |
| Minimum value | 246 |
| Period end | 273 |
| IRC (99.9%) | |
| Maximum value | |
| Average value | |
| Minimum value | |
| Period end | |
| Comprehensive risk measure (99.9%) | |
| Maximum value | |
| Average value | |
| Minimum value | |
| Period end |
At the end of the year, the capital requirement for Swedbank's market risk, based on calculations according to the IMA, was SEK 1 271m (Q2 2021: SEK 1 160m). The increase was mainly attributable to increased general interest rate risk exposure. The total capital requirement for Swedbank's market risk was SEK 1 625m (Q2 2021: SEK 1 564m).
Swedbank conducts both actual and hypothetical backtesting. Actual backtesting uses the trading operations' actual daily results, cleaned from commissions and fees and excluding monthly value adjustments (such as CVA reservations). The hypothetical backtesting uses close-of-business positions and revalues the portfolio with the latest market data to obtain a hypothetical result. The actual, as well as the hypothetical result, is then compared with VaR to ensure the validity of the IMA VaR model. If
actual or hypothetical losses exceed the calculated value at risk estimated losses, it is considered an "exception". Backtesting exceptions against hypothetical P&L impact the IMA REA estimate while exceptions against actual P&L do not. Given the confidence level of 99%, an exception about 2-3 times per year would be statistically expected.
Swedbank had five exceptions in the hypothetical backtesting in 2021, as shown below. All exceptions were related to interest rate risk positions.
In Swedbank IRRBB is defined as the risk in the banking book to value, earnings, or capital arising from movements in interest rate risk factors in financial markets. Value covers both economic value and accounting value.
When it comes to IRRBB management and mitigation, different management layers and independent committees are established to monitor and control the IRRBB, with the Board of Directors having the ultimate responsibility. A three lines of defence model with different authorities and responsibilities is adopted to manage the risk, subject to a well-defined structure of risk appetite and limits. The risk appetite and limits are reviewed at least on an annual basis while ad hoc updates are made when deemed necessary. The interest rate risk in the banking book is transferred from business units to Group Treasury, via a Funds Transfer Pricing mechanism, where it is centrally managed. Interest rate swaps are the main hedging instruments used to mitigate the interest rate risk, while future and forward contracts may also be considered. Risk identification, measurement, monitoring and control are always performed from both economic value and earnings perspectives. Stress testing and reverse stress testing are periodically performed to explore possible adverse impacts on the bank's economic value and earnings and to identify potential vulnerabilities.
Swedbank uses various sensitivity measures that are calculated daily in order to grasp each portfolio's sensitivity to changes in one or more interest rate risk factors. For example, measures used for interest rate sensitivities may include one basis point shifts along various parts of the curve to capture basis risk or a 100-basis point parallel shift which attempts to capture convexity effects. Additionally, supervisory outlier test scenarios are calculated in accordance with prescribed methodology along with proprietary stress testing scenarios. Other sensitivity measures applied to net interest income include for instance a 100-basis point shift and stress testing scenarios which are calculated on monthly basis.
There is also modelling of non-maturity deposits included in the calculation of the different sensitivity measures. For these non-maturity deposits the average repricing maturity assigned to the core part is 1.1 years, while the average and longest repricing maturity assigned to all non-maturity deposits is 0.3 years and 3.2 years respectively.
In Table 5.6, Net Interest Income Sensitivity has been modelled using the following assumptions: Loan contracts with a contractual floor have a zero percent floor on the market rate, deposits on transaction accounts get no change in the customer rate when rates increase and all
deposits made by private customers have a zero percent floor on the customer rate when rates decrease. These assumptions are quite easy to grasp, however for everyday use within the bank some additional assumptions are applied to NII-sensitivity calculations in order to make them more rigorous. These additional assumptions apply to mortgage loans and deposits, which are divided into additional groups to more precisely model floors and other behavioural aspects.
To formulate its hedging strategy, Swedbank considers its current interest rate risk profile, from both economic value and earnings perspectives, the anticipated balance sheet developments and their impact on interest rate risk metrics along with the economic and market developments. Swedbank also balances the potential impacts of the hedging on the risk metrics along with the execution costs and the potential income implications.
Interest rate swaps are primarily employed for mitigating interest rate risk arising from issuing funding instruments (micro hedging) but also for mitigating interest rate risk arising from a portfolio of fixed rate mortgage lending
(macro hedging). In order to minimize or avoid volatility in the profit or loss from fair value changes in derivatives that are entered to hedge non trading financial instruments, Swedbank has elected to apply hedge accounting under IFRS 9. For a fair value hedge of the interest rate exposure of a portfolio of financial assets or liabilities, Swedbank has elected to apply the hedge accounting requirements under IAS 39.
Interest rate swaps designated as hedging instruments are reported in the derivatives balance sheet line item/row. The Interest Rate Swap (IRS) currencies depend on the currency of the hedged exposure and the market conditions.
The IRS used for interest rate risk hedging, with the exception of basis swaps, are cleared through Central Counterparty Clearing Houses (CCPs) eliminating in this way the counterparty credit risk.
| Supervisory shock scenarios | Changes of the economic value of equity | Changes of the net interest income | ||||||
|---|---|---|---|---|---|---|---|---|
| SEKm | Current period | Last period | Current period | Last period | ||||
| Parallel up | -5 414 | -1 419 | 4 578 | 9 880 | ||||
| Parallel down | 3 291 | 2 416 | -2 373 | -5 395 | ||||
| Steepener | -1 091 | -520 | ||||||
| Flattener | -452 | 402 | ||||||
| Short rates up | -2 493 | -585 | ||||||
| Short rates down | 1 905 | 1 495 |
The risk of losses, business process disruptions and negative reputational impact resulting from inadequate or failed internal processes, people and systems, or from external events. It also includes risk from external events not covered by any other risk type.
Operational risk is broken down into the following subtypes: Business continuity risk, third-party risk, information security risk, IT risk, legal & internal governance risk, statutory reporting & tax risk, processing & execution risk, physical security & safety risk, people risk, data management risk, model risk, internal fraud risk and external fraud risk.
In 2021 Swedbank saw an increase in operational incidents compared to 2020. Risks and recurring incident events that continuously require a closer attention are associated with (but not limited to) information security & IT risks, business continuity risks and third-party risks connected to reoccurring disruptions in critical customer-facing services. Following these incidents and elevated operational risks, a proactive implementation of mitigating actions and other preventive measures has been performed. Several other initiatives are ongoing to further improve operational resilience and to ensure acceptable levels of residual risks and a high level of availability for the bank's customers.
Availability and accessibility as a full-service bank in all four home markets remains as a key priority for Swedbank. In order to follow the Strategic Direction, Swedbank strives to meet the customer interests in a secure, convenient and continuously accessible way via channels customers choose to use. The bank's ability to uphold the service promise to customers is dependent on the ability to achieve and maintain effective operations, stable and resilient IT-environment, including outsourced services. Swedbank's Resilience Program, which was launched during 2020, is increasingly strengthening the bank's digital services and capabilities as well as future proofing the overall IT infrastructure and cybersecurity. In addition, the progress of the Resilience Program is one of the bank's key factors to lower operational risks and operational incidents for Swedbank Group.
However, the ongoing challenges associated with Covid-19 pandemic and the extraordinary need to continuously strengthen the remote availability of the banking services has remained in focus in all Swedbank home markets throughout 2021. The continuing digital transformation, evolving technological trends, remote ways of working as well as organised crime and geopolitical tensions have raised certain information security threats towards Swedbank including cyber risk and external fraud risk. Due to these aspects Swedbank continuously works on effective implementation of new and improved ways of protection. Information security and IT risks are being identified and addressed in all types of development, procurement and change management. Additional measures were taken during 2021 to increase IT stability, including improvements related to external suppliers.
Operational risks are inherent in all Swedbank's business activities. It is not cost-efficient to attempt to eliminate all operational risks, nor is it possible to do so. However, Swedbank seeks to maintain the lowest possible level of operational risks, taking into account market sentiment and regulations, as well as Swedbank's strategy, rating ambition and capacity to absorb operational risk losses. Larger losses of material significance are rare and Swedbank aims to reduce the likelihood of such losses through operational risk management and control, as well as continuity management to maintain readiness for events that could cause financial losses or reputational damage or could impact the availability of significant customer-facing services.
The Board of Directors has defined the overall aim and principles for identification, analysis and reporting, monitoring and measurement of operational risk in the ERM Policy, the Group Risk Policy as well as in the Operational Risk Policy which is supplemented and supported by additional directives, instructions and guidelines.
Every Business Area, Product Area, Group Function, as well as the Swedbank Branches and Subsidiaries own operational risks inherent in their operations. All managers throughout Swedbank have the responsibility for the continuous and active operational risk management as part of their first line risk management.
Business managers own the risks within their respective areas of responsibility and are obligated to ensure that there are appropriate processes and internal control structures in place that aim to secure operational risk identification, assessment, management, monitoring, reporting as well as the operational risk exposures being within the boundaries of operational risk appetite and in alignment with the operational risk management framework. Operational risk managers are embedded within the first line of defence and are dedicated to assist business managers in their day-to-day operational risk management with the aim to ensure an effective implementation of operational risk management and internal control framework.
Group Risk is an independent second line of defence function which is responsible for identifying, monitoring, measuring, analysing and reporting on Swedbank's operational risks. In this capacity it provides operational risk assurance to the senior management, different risk committees, CEO and the Board of Directors by monitoring and assessing whether the first line of defence has adequate and effective operational risk management processes and controls in place. By providing independent and periodic risk reports, Group Risk caters and summarizes a detailed overview of operational risk appetites, risk exposures, statuses on operational risk limits, including key risk indicators, as well as covering significant incident and other relevant risk highlights.
All business areas apply the same methods to self-assess operational risks e.g. Risk Assessment. This method is used on a regular basis to cover all key processes within Swedbank and includes risk identification, planning for risk mitigation and monitoring to manage any potential risks. Risk Assessment is also triggered when major changes occur within the organisation.
Swedbank has a Group-wide process for New Product Approval (NPAP) covering all new and/or materially altered products, services, markets, processes and/or IT-systems as well as major operational and/or organisational changes including outsourcing. The purpose is to ensure that Swedbank does not enter into activities which entail unintended risks or risks that are not adequately managed and controlled as part of the process. The process is designed to emphasise the responsibility and accountability of the business areas for continuous overview of initiated NPAPs and continuous risk identification, analysis and mitigation. Group Risk and Group Compliance contributes with an expert evaluation of the risk analysis process and the residual risks, and both Group Risk and Group Compliance has the mandate to reject changes where risks exceed the risk appetite and the underlying limits.
Swedbank's principles for Business Continuity Management are defined in a Group-level framework. Crisis Management teams are available both on a Group and on a local level to coordinate and communicate internally and externally. In addition, business continuity plans are in place for all critical processes, for IT-systems supporting these processes, and for services that are critical for society in the countries where Swedbank operates. The plans are implemented on a Group and on a local level and describe how Swedbank shall operate in the event of a severe business disruption or potential crisis situation.
Swedbank has established a framework for processes and internal controls which is common to all types of processes and controls. Processes are managed and internal controls are identified by every Business Area, Product Area, Group Function across the bank. Specific framework for internal controls over financial reporting (ICFR) are applied for the processes concerned. In addition, a process universe has been introduced which clarifies the responsibilities of the significant processes, as well as for controls needed in these processes. As such, it supports operational risk management and risk control activities within Swedbank.
Swedbank has established procedures and system support to facilitate reporting and following-up on incidents. Group Risk supports business areas in reporting, analysing, and drafting action plans to ensure that underlying causes are identified, and suitable actions are taken. Incidents and operational risk losses are reported in a central database for further analysis.
RMMA is a scorecard used to assess the risk management maturity level through following up the implementation of risk management processes. A high risk-management maturity level within the business indicates a strong risk awareness, which in turn reduces the threat of unforeseen losses and keeps business assets secure. The RMMA score is also used for adjusting capital allocation to further encourage the business to improve their operational risk management as it impacts the capital related profitability measures.
Swedbank has a structured approach to continuously manage information security risk and establish sound protection of confidentiality, integrity, and availability of Swedbank's information assets. In order to ensure comprehensive governance and monitoring of related risk exposure, Swedbank has established information security risk appetite, risk tolerance limits and risk metrics. Continuous work is conducted to further improve in
maturity and keep in pace with the challenges of ongoing digital transformation, increasing complexity of external threat landscape, technological developments and increased regulatory expectations.
The CEO has established a Group Legal function with the overall responsibility for governing, controlling and supporting proper management of legal matters. Swedbank has legal counsels in all major business areas specialised in core areas of Swedbank's operations. The legal counsels provide legal services by supporting, understanding, and acting upon the need of the concerned business. There are also internal rules on escalation, information-sharing, and reporting of legal risks and
* Excludes the SEK 4bn administrative fine issued to Swedbank for systematic deficiencies to combat money laundering.
lawsuits. Regular reviews are carried out to identify and follow-up on actual and/or potential legal risks, so that practices can be modified to ensure compliance with local regulatory requirements.
Swedbank has insurance protection for significant parts of its operations and maintains several insurance programmes to mitigate operational risks (and other types of risks). These insurance programmes consist of external insurance solutions, internal captive solutions, and externally reinsured captive solutions. The external programmes include crime, professional liability, directors' and officers' liability, property insurance, and cyber insurance.
Swedbank calculates operational risk capital requirements using the standardised approach. Currently no other method is applied for this purpose. As such, the standardised approach assigns multipliers determined by the capital adequacy regulation and rules (beta factors) expressing the capital requirement in relation to gross income for each business line. A new method to calculate the operational risk capital requirements as a part of the amended CRR has been proposed to be implemented on 1 January 2025.
| Banking activities | Relevant indicator | Own funds | Risk weighted | |||
|---|---|---|---|---|---|---|
| SEKm | 2019 | 2020 | 2021 | requirements | exposure amount | |
| Banking activities subject to basic indicator approach (BIA) Banking activities subject to standardised (TSA) / alternative standardised (ASA) approaches |
45 198 | 46 152 | 47 419 | 6 049 | 75 618 | |
| Subject to TSA: Subject to ASA: |
45 198 | 46 152 | 47 419 | |||
| Banking activities subject to advanced measurement approaches AMA |
The risk of failure by the Group to fulfil and meet the external and internal regulations applicable to the Group's licensed operations. More specifically, compliance risk includes regulatory compliance risk, financial crime risk and conduct risk.
In 2020, Swedbank launched a Compliance Transformation Programme to raise the Group´s compliance maturity. The Programme has in 2021 delivered frameworks, processes, and standards to ensure that the Group has a robust foundation to manage compliance risks. The programme will continue in 2022 and will focus on strengthening data and IT capabilities for key compliance processes.
On 19 March 2020 the FSAs in Sweden and Estonia announced the results of the parallel investigations of Swedbank. On 23 March 2020 the international law firm Clifford Chance presented its report on Swedbank's AML/CTF work. Clifford Chance was hired by the Board in February 2019 to conduct the investigation that served as the basis of the report.
In Estonia, the FSA submitted part of its investigation to the Estonian Prosecutor's Office in November 2019. The investigation is reviewing whether money laundering or other criminal activities have taken place in Swedbank AS. The bank has no information as to when this investigation will be completed.
Based on the investigations and reports, the bank has during 2020 and 2021 addressed the identified shortcomings in terms of AML/CTF by an extensive remediation program consisting of a number of key activities. The progress of the program has been followed up quarterly
both by internal control units as well as external independent consultancy firms.
The bank's priority has been to remedy the shortcomings that the Estonian and Swedish FSAs pointed out, but also during 2021, lay the foundation for a shift of focus in order to be in the forefront of the fight against financial crime.
Swedbank's remediation programme to address AML/CTF related shortcomings is continuing according to plan. The Anti Financial Crime (AFC) unit is coordinating the work and the programme has amongst other things improved the Group's key processes and IT systems, connected to the Group Risk Assessment process, know your customer (KYC)-, customer risk classification-, transaction monitoring-, Financial Sanctions – as well as internal and external reporting.
In order to reach expectations from regulators and target being in the forefront in the fight against financial crime, Group Compliance has progressed in a transformation programme clarifying responsibilities between first and second line of defence and where Group compliance going forward will own the overarching Group AML/CTF and Financial Sanctions frameworks as well as have the role as standard setter with certain veto rights. Group Compliance is furthermore, about to strengthen the control structure with the aim to quality assure the first line activities and to continuously ensure a holistic AML/CTF/FS risk oversight. Group Compliance has also implemented a new Financial Crime Intelligence Unit (FCIU).
The U.S. authorities are continuing to investigate Swedbank's historical AML/CTF work and historical information disclosures. The investigations are being conducted by the Department of Justice (DoJ), Securities Exchange Commission (SEC), Office of Foreign Assets Control (OFAC) and Department of Financial Services in New York (DFS). The investigations are progressing and the bank is holding separate discussions with relevant authorities through our U.S. legal advisors. The investigations are at different stages and the bank cannot at this time determine any financial consequences or when the investigations will be completed.
The aim of all AML/CTF related initiatives is to ensure that Swedbank is doing the right things to combat financial crime, at the right time and with the right quality. Over a three-year period, external experts will conduct an annual evaluation. Evaluations have been made both in 2020 and 2021 and will further be completed in the fourth quarter of 2022.
Swedbank has also identified elevated compliance risks in the customer protection area, and in the market surveillance area. Work is ongoing within the bank to address the deficiencies identified. Swedbank's Compliance function monitors this work.
The Swedish Economic Crime Authority (EBM) concluded its investigation begun in 2019 and the prosecutor´s office filed charges against the former CEO of Swedbank on 4 January 2022. The case does not affect Swedbank.
In May 2021, the Disciplinary Committee at Nasdaq Stockholm ordered Swedbank to pay a fine of twelve annual fees, or a total of SEK 46.6m. As Swedbank stated in the interim report on 27 April 2021, this applied to historical shortcomings in the period December 2016 to February 2019.
The SFSA announced on 26 October 2021 that it had closed its investigation of the bank's suspected breaches of the EU's Market Abuse Regulation with no remark. The suspected breaches occurred in connection with the disclosure of suspected money laundering within the bank in the period September 2018 to February 2019.
The Regulatory Screening and Control process is a support and control process, established by Group Compliance as a control function. The main purpose of the Regulatory Screening and Control process is to enable responsible function holders within Swedbank to identify and take action on Legislative Acts under their respective area of responsibility. In addition, the process provides assurance to the Board, the CEO, Heads of Business Area/Product Area/Group Functions (BA/PA/GF) and other competent decision-making bodies of Licensed Subsidiaries that Legislative Acts are implemented adequately and on time as well as that systematic post-implementation assurance of how the Group complies, is given to the Board and the CEO.
SWEDBANK Risk Management and Capital Adequacy Report – Pillar 3 – Q4 2021 The risk-based planning process serves to make sure that the Group's material compliance risks are identified and assessed, and that relevant control activities are planned, using the risk-based approach to manage the related risk. It also helps to improve coordination and information-sharing
between Group Risk, Group Compliance and Group Internal Audit towards aligned assurance.
The monitoring activities are derived from a standardised process where the Compliance function, using a risk-based approach, assesses how the Group complies with the applicable external regulations as well as the relevant internal regulations. The Independent Testing unit has been established as a designated unit for conducting and coordinating the monitoring activities.
The advisory process for Group Compliance is a key activity for the function that enables sound and sustainable business in line with the regulatory expectations put on the Group. The Compliance function's involvement in the NPAP is an example of how the function supports the business in a proactive way, by providing compliance related advice and support in material change initiatives within the Group.
Compliance training processes are implemented in order to ensure that all relevant employees are properly trained and informed about the regulations and ethical standards applicable to their day-to-day tasks. Trainings are regularly reviewed and updated to ensure they remain relevant and fit for purpose.
Swedbank continuously addresses risks related to the conduct of the bank and its employees by emphasising the importance of sound ethics and identifying and mitigating conflicts of interest. Swedbank has Group-level policies for Code of Conduct and Conflicts of Interest. The Group Compliance units, Conduct Risk and Data Protection Risk are responsible for risk oversight and standard setting obligations for conduct risks (market conduct risks and customer protection risks) and data protection risks.
All activities related to market conduct shall be conducted in compliance with applicable laws, the Group's corporate values and within the boundaries defined by the risk appetite, as set by the Board.
Market conduct risk is defined as the risk of inappropriate or poor sales and marketing practices to the public, lack of transparency and disclosures, inappropriate incentives, the misuse of information and the distortion of price-setting mechanisms, leading to unfair treatment of customers or undermining the integrity of the financial market and confidence in the financial system. It also includes the risk of contributing to investing in or financing activities/businesses detrimental to environmental and social considerations.
All activities related to customer protection shall be conducted in compliance with applicable laws, the Group's corporate values and within the boundaries defined by the
risk appetite, as set by the Board.
Customer protection risk is defined as the risk that Swedbank, when providing financial products and services, do not treat customers in a fair and transparent way and do not put customers interests at the centre of business models and corporate culture. It also includes the risk of contributing to investing in or financing activities/businesses detrimental to environmental and social considerations.
Swedbank has a mandatory annual Code of Conduct and ethics training for all employees. The training is part of the compliance awareness scheme, which includes trainings and activities to continuously highlight and address compliance awareness and the importance of being compliant.
The bank's conflicts of interest management processes set a common structure in the Group in order to identify, document and mitigate different conflicts of interest related to the organisation, executives, and key position holders.
Swedbank has established a Group wide internal alerts process that sets the requirements on how the Group shall handle internal alerts. The process allows employees and other stakeholders (both internal and external) to report and raise concerns of potential or actual failures to comply with external and internal rules or regulations, concerns of breaches of internal standards, irregularities, criminal offences, including, but not limited to, corruption, fraud, other financial crimes and sexual harassment.
The processing of personal data shall be compliant with the General Data Protection Regulation (GDPR) and any other applicable data protection regulation and the processing shall be conducted within the boundaries defined by the risk appetite, as set by the Board.
The data protection risk is the risk of deficient processing of personal data which may jeopardize privacy rights and freedom of individuals.
Swedbank is a full-service retail bank offering a wide range of products and services to a large number of private and corporate customers. This makes the Group vulnerable and exposed to many predicate crimes in relation to ML as well as many different types of Money Laundering/ Terrorist Financing (ML/TF) schemes. The ML/TF risks are inherent to Swedbank's business activities. Swedbank has a responsibility to its customers, shareholders, and regulators to prevent the Group from being used for ML/TF. Therefore, Swedbank will apply robust and consistent AML/CTF processes and procedures to prevent use of the services, products or channels for purposes of ML/TF in the jurisdictions in which it operates.
To strengthen the overall Group AML/CTF approach and the roles and responsibilities between the first and second line of defence, an updated Group AML/CTF Framework has been rolled out in Swedbank starting during 2020 and 2021. The updated Group AML/CTF Framework aims to ensure clear roles and responsibilities as well as a clear AML/CTF risk strategy and risk appetite. Apart from outlining the minimum requirements in the Group, it is employed to ensure a centralised approach to AML/CTF, which will work to both achieve a higher degree of effectiveness and to facilitate oversight of the level of compliance within the Group. Coupled with a stronger and more coherent framework governance and AML/CTF organisation, it ultimately aims to improve the possibilities of an effective overall AML/CTF risk management. The AML/CTF Framework is reviewed annually.
The Group instruction on AML/CTF outlines the AML/CTF governance in the Group, including accountabilities and responsibilities, the Group AML/CTF organisation, the AML/CTF reporting procedures and the governance concerning the Group AML/CTF framework. The appointed Chief Compliance Officer is accountable for the overarching Group AML/CTF framework.
The Group Specially Appointed Executive (Group SAE) is responsible for the AFC unit. The Group SAE is chairing the group-wide risk committee, Group Financial Crime Committee (GFCC), which has been established to ensure adequate and effective management of ML/TF risks in the Group.
In line with the established governance, each subsidiary shall similarly ensure that a subsidiary SAE is appointed (unless restricted by local legal requirements). The subsidiary SAE shall report directly to the subsidiary Board and subsidiary CEO and functionally to the Group SAE and the relevant BA/PA/GF Head on AML/CTF matters. The BA/PA/GF Head is accountable for the implementation of AML/CTF processes and procedures in its respective BA/PA/GF.
SWEDBANK Risk Management and Capital Adequacy Report – Pillar 3 – Q4 2021 The Group instruction on principles for the Group ML/TF Risk Assessment outlines the overall principles for the risk
assessments in the Group. Based on the overarching approach outlined in the instruction, the Group Directive on Group Risk Assessment Methodology (the GRAM Directive) outlines further details of the approach to the overall Group Risk Assessment Process and the mandatory risk assessments that all legal entities within the Group are obliged to perform.
In accordance with the risk-based approach, the identified and assessed inherent risks shall set the foundation for all AML/CTF routines and processes (measures) in the bank. This is to ensure that measures taken are commensurate with the ML/TF risks that Swedbank is exposed to (i.e., resources are to be dedicated to the areas where risks are higher).
The Group Directive on KYC outlines the minimum requirements as regards the performance of risk-based KYC measures on customers, the customers' Beneficial Owners and Authorised Representatives. The directive is designed to allow for the application of a risk-based approach, as well as adaption to the nature and scale of the business activities and services etc. Each BA/SUB is accountable for interpreting and implementing the requirements in its business processes to manage the ML/TF risks to which it is exposed.
To detect suspicious activities, behaviours or transactions which could be related to possible offences, ML or TF, Swedbank performs risk-based monitoring of its customer relationships. This includes scrutiny of transactions undertaken throughout the course of the business relationship as well as occasional transactions. The performance of transaction monitoring and investigation of alerts in the Group falls under the responsibility of the Group Function Group AML Investigations within AFC (i.e., the responsibility of the Group SAE).
The Group Officer for Controlling and Reporting (Group OCR) is accountable for the FIU reporting and for the handling of requests from local FIUs through the appointed Money Laundering Reporting Officers (MLROs). The appointed MLROs for each legal entity in the Group are responsible for the FIU-reporting. In line with the accountability of the OCR, the Group Compliance function also monitors and controls the adherence to regulatory requirements, internal regulations, adherence to stated risk appetite, and efficiency of processes related to AML/CTF and especially transaction monitoring and reporting to the FIUs.
The Group Policy on Financial Sanctions, adopted by the Board, lays out the overarching views on how the bank achieves adherence to various relevant sanction programmes, i.e., financial sanctions enacted by the EU, the UN and the US. In addition, the Group takes a programmatic and risk-based approach to sanctions
screening, in line with the Wolfsberg Guidance on Sanctions Screening. This means, inter alia, that the bank's sanctions programme is applied in conjunction with other anti-financial crime processes, such as policies and procedures, risk assessment and internal controls.
The bank performs Group-wide daily screening of all international payments, trade finance messages and the registers of new and existing customers, to ensure that Swedbank is not assisting with any transactions or retaining any business engagements that are subject to EU, UN or relevant US sanctions. Furthermore, there are multiple processes in place to stop those who try to use Swedbank to evade sanctions. Should a customer's business model or transactions indicate a sanctions risk that surpasses the bank's risk appetite, an off-boarding procedure will be initiated.
Besides the Policy on Financial Sanctions, the Group also has adopted an instruction as well as four new Directives (as shown in figure 7.2), in line with the new approach on Group AML/CTF Framework and Governance, and in order to meet new challenges and set an appropriate risk appetite.
regulatory compliance risk type, a subset of compliance risk together with financial crime risk and conduct risk.
The purpose of including regulatory compliance risk in the Group´s risk taxonomy is to assure that there are controls in place across all of the defined risk types to enable a continuous and comprehensive monitoring of compliance with the laws and regulations impacting the Group's licensed business. Given this, Group Compliance established a new unit, in June 2021 with the mission objective of establishing processes and controls to be able to provide assurance on the regulatory compliance risk also for Financial, Sustainability and Operational risks (FSO-risks). During 2021, Group Compliance has, in accordance with the expectations started with establishing processes and controls to be able to identify, measure and report on the Group´s regulatory compliance risk exposure when it comes to the FSO-risks.
The Board has adopted the ERM Policy and the Policy for Group Compliance. Through these policies, the Board has decided, that the Group Compliance scope also covers the
The consolidated situation for Swedbank as of 31 December 2021 comprises the Swedbank Group except for the wholly owned insurance companies, Swedbank Försäkring AB, Sparia Group Insurance Company Ltd, Swedbank Life Insurance SE and Swedbank P&C Insurance AS, that are included through equity method. EnterCard Group, P27 Nordic Payments Platform AB and Invidem AB, all joint ventures, are included through the proportionate consolidation method. The difference between Swedbank Group and Swedbank Consolidated Situation (CS) is shown more in detail below, where "•" means 100% consolidation. Where percentages are shown, the company is included using the equity method unless otherwise stated. Any changes in legal entity structure are reflected on www.swedbank.com.
| Legal entity name | Business activity | Country | Swedbank Group | Swedbank CS | Swedbank Estonia Group | Swedbank Estonia CS | Swedbank Latvia Group | Swedbank Latvia CS | Swedbank Lithuania Group | Swedbank Lithuania CS | Legal entity name | Business activity | Country | Swedbank Group | Swedbank CS | Swedbank Estonia Group | Swedbank Estonia CS | Swedbank Baltic Group | Swedbank Baltic CS | Swedbank Lithuania Group Swedbank Lithuania CS |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Swedbank AB | Banking operations | SE | • | • | First Securities AS | Inactive | NO | • | • | |||||||||||
| Swedbank Mortgage AB | Mortgage | SE | • | • | Swedbank Management Company SA (ManCo) |
Holding company | LU | • | • | |||||||||||
| Swedbank Robur AB | Holding company | SE | • | • | Swedbank Baltics AS | Banking operations | LV | • | • | |||||||||||
| Swedbank Robur Fonder AB Fund management | SE | • | • | Swedbank AS (Estonia) | Banking operations | EE | • | • | • | • | • | • | ||||||||
| Swedbank Investeerimisfondid AS |
Investment management | EE | • | • | Swedbank Liising AS | Leasing, factoring | EE | • | • | • | • | • | • | |||||||
| Swedbank leguldijumu Parvaldes Sabierdiba AS |
Investment management | LV | • | • | Swedbank Life Insurance SE |
Life insurance | EE | • | 100% | • | 100% | • | 100% | |||||||
| Swedbank investiciju valdymas UAB |
Investment management | LT | • | • | Swedbank P&C Insurance AS |
Insurance | EE | • | 100% | • | 100% | • | 100% | |||||||
| SwedLux S.A. | Banking operations | LU | • | • | Swedbank Support OÜ | IT, property management |
EE | • | • | • | • | • | • | |||||||
| Sparfrämjandet AB | Inactive | SE | • | • | SK ID Solutions AS | Certification services |
EE 25% 25% 25% 25% 25% 25% | |||||||||||||
| Sparia Group Insurance Company Ltd |
Insurance company | SE | • | 100% | Ektornet Project Estonia I OU |
Real estate | EE | • | • | • | • | • | • | |||||||
| Swedbank Fastighetsbyrå AB |
Estate Agent | SE | • | • | Swedbank AS (Latvia) | Banking operations | LV | • | • | • | • | |||||||||
| Fastighetsbyran The Real Estate Agency S.L. |
Estate Agent | ES | • | • | Swedbank Lizings SIA | Leasing, factoring | LV | • | • | • | • | |||||||||
| Bankernas Kontantkort CASH Sverige AB |
Inactive | SE | • | • | Swedbank Atklatais Pensiju Fonds AS |
Investment management |
LV | • | • | • | • | |||||||||
| Swedbank PayEx Holding AB |
Holding Company | SE | • | • | Swedbank AB (Lithuania) Banking operations | LT | • | • | • | • | • • | |||||||||
| PayEx Norge AS | Invoicing, ledger, debt collection, e-com, point-of sale, value-added-service |
NO | • | • | Swedbank Lizingas UAB Leasing, factoring | LT | • | • | • | • | • • | |||||||||
| PayEx Danmark AS | Invoicing, ledger, debt collection, e-com, point-of sale, value-added-service |
DK | • | • | EnterCard Group AB | Credit card transactions |
SE 50% 50% | |||||||||||||
| Swedbank PayEx Collection AB |
Inactive | SE | • | • | Sparbanken Sjuhärad AB Banking operations | SE 48% 48% | ||||||||||||||
| PayEx Sverige AB | Invoicing, ledger, debt collection, e-com, point-of sale, value-added-service |
SE | • | • | Sparbanken Rekarne AB Banking operations | SE 50% 50% | ||||||||||||||
| PayEx Solutions OY | Inactive | FI | • | • | Sparbanken Skåne AB | Banking operations | SE 22% 22% | |||||||||||||
| PayEx Suomi OY | Invoicing, ledger, debt collection, e-com, point-of sale, value-added-service |
FI | • | • | Vimmerby Sparbank AB Banking operations | SE 40% 40% | ||||||||||||||
| PayEx Invest AB | Real estate | SE | • | • | Ölands Bank AB | Banking operations | SE 49% 49% | |||||||||||||
| Faktab B1 AB | Real estate | SE | • | • | Finansiell ID-Teknik BID AB |
Computer services | SE 28% 28% | |||||||||||||
| Faktab V1 AB | Real estate | SE | • | • | BGC Holding AB | Giro transactions | SE 29% 29% | |||||||||||||
| Faktab S1 AB | Real estate | SE | • | • | Getswish AB | Mobile transactions | SE 20% 20% | |||||||||||||
| Ektornet AB | Real estate | SE | • | • | Getswish AB | Mobile transactions | SE 20% 20% | |||||||||||||
| Swedbank Försäkring AB | Insurance company | SE | • | 100% | USE Intressenter AB | Holding company related to UC |
SE 20% 20% | |||||||||||||
| ATM Holding AB | Holding company | SE 70% 70% | P27 Nordic Payments Platform AB |
Payment solutions | SE 17% 17% | |||||||||||||||
| Bankomat AB | ATM operations | SE 20% 20% | ||||||||||||||||||
| FR&R Invest AB | Financial reconstruction & recovery |
SE | • | • | Invidem AB | KYC (Know Your Customer) service |
SE 17% 17% |
| "AC" | Audit Committee | Committee | ||
|---|---|---|---|---|
| "A-IRB" | Advanced Internal Ratings Based Approach |
"Group" | Swedbank Group (see definition below) |
|
| "ALM" | Asset Liability Management | "G-SIB" | Global Systemically Important | |
| "AMA" | Advanced Measurement Approach |
"G-SII" | Bank Global Systemically Important |
"SFSA" or |
| "AML" | Anti-Money Laundering | Institution | "Swedish FSA" |
|
| "AT1" | Additional Tier 1 capital | "ICAAP" | Internal Capital Adequacy Assessment Process |
|
| "AVA" | Additional Valuation Adjustment |
"ICFR" | Internal Control over Financial Reporting |
|
| "BARCC" | Business Area Risk and Compliance Committee |
"IFRS" | International Financial Reporting Standards |
|
| "BCBS" | Basel Committee on Banking Supervision |
"ILAAP" | Internal Liquidity Adequacy Assessment Process |
|
| "Board" | Board of Directors of Swedbank AB |
"IRB" | Internal Ratings Based Approach |
|
| "BRRD" | Bank Recovery and Resolution Directive 2014/59/EU |
"IRRBB" | Interest Rate Risk in the | |
| "CCF" | Credit Conversion Factor | "ISDA" | Banking Book International Swaps and |
|
| "CCoB" | Capital Conservation Buffer | Derivatives Association | ||
| "CCP" | Central Counterparty | "KRI" | Key Risk Indicator | |
| "CCR" | Counterparty Credit Risk | "LC&I" | Large Corporate & Institutions | |
| "CCyB" | Countercyclical Capital Buffer | "LCR" | Liquidity Coverage Ratio | |
| "CET1" | Common Equity Tier 1 | "LGD" | Loss Given Default | |
| "CIU" | Collective Investment | "LRE" | Leverage Ratio Exposure | |
| Undertaking | "LTV" | Loan-to-Value | ||
| "CPC" | Credit Process Control | "MDB" | Multilateral Development Bank | |
| "CRO" | Chief Risk Officer of Swedbank AB |
"MREL" | Minimum level of own funds and eligible liabilities |
"Swedbank Baltic" |
| "CRD" | Capital Requirements Directive | "NII" | Net Interest Income | |
| 2013/36/EU | "NPAP" | New Product Approval Process | "Swedbank Group" |
|
| "CRR" | Capital Requirements Regulation (EU) No 575/2013 |
"NSFR" | Net Stable Funding Ratio | |
| "CS" | Consolidated Situation | "OC" | Overcollateralisation | |
| "CSA" | Credit Support Annex | "O-SII | Other Systemically Important | |
| "CTF" | Counter Terrorist Financing | buffer" | Institution buffer | |
| "CVA" | Credit Value Adjustment | "OTC" | Over-the-Counter | |
| "DVA" | Debit Valuation Adjustment | "ORSA" | Own Risk and Solvency | |
| "DVP" | Delivery-vs-Payment | Assessment | ||
| "EAD" | Exposure at Default | "Own funds" |
The sum of Tier 1 and Tier 2 capital |
|
| "EBA" | European Banking Authority | "P2G" | Pillar 2 Guidance | |
| "EC" | Economic Capital | "P2R" | Pillar 2 Requirement | |
| "ECB" | European Central Bank | "Parent | Swedbank AB (publ) | |
| "EL" | Expected Loss | Company" | ||
| "ERM | Enterprise Risk Management | "PD" | Probability of Default | |
| Policy" | Policy | "PFE" | Potential Future Exposure | |
| "ESG" | Environmental, Social and | "PSE" | Public Sector Entity | |
| "F-IRB" | Governance Foundation Internal Ratings |
"PVP" "RAROC" |
Payment-vs-Payment Risk Adjusted Return On |
|
| Based Approach | Capital | |||
| "FRTB" | Fundamental Review of the Trading Book (review by the |
"RC" "RCC" |
Remuneration Committee Risk and Capital Committee |
|
| BCBS) | "REA" | Risk Exposure Amount (Same | ||
| "FSA" | Financial Supervisory Authority | as RWEA) | ||
| "FSB" | Financial Stability Board | "Riksbank" | Sweden's Central Bank | |
| "FTP" "GAAC" |
Funds Transfer Pricing Group Asset Allocation |
"RMMA" | Risk Management Maturity Assessment |
|
| "GF" | Committee Group Functions |
"RTS" | Regulatory Technical Standards |
|
| "GRCC" | Group Risk and Compliance | "RWEA" | Risk Weighted Exposure | |
| Amount (Same as REA) | |
|---|---|
| "SA" | Standardised Approach |
| "SA-CCR" | Standardised Approach for Measuring Counterparty Credit Risk Exposures |
| "SFSA" or "Swedish FSA" |
Swedish Financial Supervisory Authority |
| "SFT" | Securities Financing Transaction |
| "SMA" | Standardised Measurement Approach |
| "SME" | Small and Medium-sized Enterpris |
| "SNDO" | Swedish National Debt Office (Swedish: Riksgälden) |
| "SPK" | Sparinstitutens PensionsKassa Försäkringsförening (pension fund) |
| "SREP" | Supervisory Review and Evaluation Process |
| "SRB" | Single Resolution Board |
| "SRM" | Single Resolution Mechanism |
| "SSE" | Small-sized Enterprise |
| "SSM" | Single Supervisory Mechanism |
| "SVaR" | Stressed Value-at-Risk |
| "Swedbank" | Swedbank Consolidated Situation |
| "Swedbank Baltic" |
Swedbank AS (Estonia), Swedbank AS (Latvia) and Swedbank AB (Lithuania) |
| "Swedbank Group" |
Swedbank AB (publ) and all its underlying legal entities (regardless of percentages of holding) |
| "TCFD" | Task Force on Climate-Related Financial Disclosures |
| "T2" | Tier 2 capital |
| "TLAC" | Total Loss-Absorbing Capacity |
| "TLTRO" | Targeted Long-Term Refinancing Operations |
| "TOA" | Tenant-Owner Association |
| "TOR" | Tenant-Owner Right |
| "TtC" | Through-the-Cycle |
| "VaR" | Value-at-Risk |
| "VAT" | Value-Added Tax |
| "WWR" | Wrong Way Risk |
The Chair of Risk and Capital Committee of the Board of Directors, the President and CEO and the CRO hereby attest that the disclosures in Swedbank's Risk Management and Capital Adequacy Report (Pillar 3), provided according to Part Eight of Regulation (EU) No 575/2013, have been prepared in accordance with the internal controls and procedures set out in Swedbank's Policy on Pillar 3 disclosure requirements, approved by the Board of Directors. The Policy on Pillar 3 disclosure requirements
stipulates the general principles that apply for the control processes and structures regarding the disclosure of risk and capital adequacy information in Swedbank. The policy ensures that the disclosed information is subject to effective, timely and adequate internal controls and monitoring structures. Furthermore, the policy outlines the distinguished responsibilities in the process and the frequency of the reporting.
Stockholm, 22 February 2022
Bo Magnusson Chair of Risk and Capital Committee of the Board of Directors
Jens Henriksson President and CEO
Rolf Marquardt Chief Risk Officer
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