11 Sep 2018
EUR 100 million
Financial institutions and SMEs
The minimum size of the liquidity buffer depends on outgoing and incoming cash flow levels during the survival horizon. The stress scenario assumes the acceleration of outflows and the disruption of inflows, as well as adverse market developments that affect the value of securities in the liquidity buffer and derivatives. The liquidity buffer consists of cash, money market instruments and securities, and it has the target survival horizon of one year.
At the end of April 2018, NIB’s total liquidity amounted to EUR 9,410 million, of which EUR 2,650 million (28% of the total) was in short-term money market instruments, and EUR 6,760 million (72% of the total) was invested in bonds with longer maturities.
|Counterparty risk class distribution|
During the first four months of 2018, NIB's loan disbursements totalled EUR 1,376 million, and the Bank obtained EUR 3,952 million in new funding in 12 currencies. The EUR 2,650 million held in the short-term money market is used to manage the Bank's daily payment obligations. The instrument distribution is shown in the graph below.
The liquidity investments are limited by the counterparty and market risk framework that applies to Treasury operations.
Along with the counterparty and market risk framework, Treasury’s liquidity investments follow guidelines that will ensure the assets remain liquid even under stressed market conditions. At the end of April 2018, 80% of the liquidity was invested in accordance with the Basel III liquidity rules of being high-quality liquid assets (HQLA), and 85% of the liquidity was eligible as repo collateral in one or several central banks. NIB does not have direct access to central bank repos, but can repo its bond securities via intermediating banks.
|Cash instruments. Distribution by instrument|
* Reverse repos are repurchase agreements in which a bond is received as collateral for a cash deposit.
The Portfolio Management unit manages the bond security portfolios. The market value of these portfolios amounted to EUR 6,760 million at the end of April 2018. The securities are held on both amortised cost and fair value bases, and include both floating-rate and fixed-coupon instruments. The instrument distribution of the portfolio can be seen in the graph below.
|Bond Group||Bond instruments. Distribution by instrument|
|Sovereign and sov. guaranteed agencies||25.2%|
|Non-sovereign public sector||1.0|