27 Nov 2020
EUR 100 million
Infrastructure, transportation and telecom
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 September 2020, NIB’s total liquidity amounted to EUR 12,963 million, of which EUR 5,390 million (42% of the total) was in short-term money market instruments, and EUR 7,574 million (58% of the total) was invested in bonds with longer maturities.
|Counterparty risk class distribution|
During the period January to September 2020, NIB's loan disbursements totalled EUR 3,482 million, and the Bank obtained EUR 6,946 million in new funding in twelve currencies. The EUR 5,390 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 September 2020, 86% of the liquidity was invested in accordance with the Basel III liquidity rules of being high-quality liquid assets (HQLA), and 90% 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 7,540 million at the end of September 2020. 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%|