ABGSC Swedish Banks Treasury lunches

Transcription

1 ABGSC Swedish Banks Treasury lunches Nov 11, 211 Anders Kvist Head of Group Treasury Balance Sheet, Liquidity & Funding

2 A strong balance sheet structure Sep 21 Balance sheet structure Liquid assets Cash & Lending Financial Institutions Net Other Trading Deposits from Financial Institutions Funding <1 year Short-term funding Net bond portfolio * Funding, remaining maturity >1 year Retail Lending Banking book Corporate and Public Lending Deposits from the General Public Stable funding Equity Assets Equity & Liabilities * SEK 166bn more in stable funding than the banking book 2

3 Deposit changes Development of loans to deposit ratios Loans to deposit ratio excl repos ands bonds* (%) 18% 16% 14% 12% 1% 134% Q2 211Q3 Deposit gathering strategies implemented (SEK bn) Total Corporate sector Private sector Public sector Q1 25 Q3 25 Q1 26 Q3 26 Q1 27 Q3 27 Q1 28 Q3 28 Q1 29 Q3 29 Q1 21 Q3 21 Q1 211 Q3 211 * Less repos and reclassified bonds 3

4 Activity Based Balance Sheet SEB Group Sep 211 YTD development, SEK bn Assets Dec 21 Sep 211 YTD Change Liabilities Dec 21 Sep 211 YTD Change Household Mortgage Household Deposits Household Other Corporate, Real Estate * Corporate Deposits Public Sector * Public Sector Deposits Total Lending 941 1,43 12 Total Deposits Public Sector Lending, Covered Bonds Related Public Covered Bonds Total Public Sector Lending, Cov. Bond Related Total Public Covered Bonds Bonds, Capital Markets Bonds, Capital Markets Repos Repos Derivatives Derivatives Shares, Trading Shares, Trading Total Trading Total Trading Total Trading ex Derivatives Total Trading ex Derivatives Shares, Investment 3 3 Bonds, Liquidity Portfolio CPs/CDs Lending Interbank and Credit Institutions Deposits Interbank and Credit Institutions Cash & Deposits in Central Banks Deposits Central Banks Total Treasury Activities Total Short-term Funding Issued Schuldscheins & Registered Bonds Mortgage Covered Bonds Germany Mortgage Covered Bonds Sweden Other Issued Bonds Subordinated debt incl. hybrid capital Equity Total Strategic Treasury Activities Insurance Insurance Other Internal Other Internal Other Cash Collateral Other Cash Collateral Other Retail AG Other Retail AG Other Minor Items Other Minor Items Total 2,18 2, Total 2,18 2, *Changes in accounting treatment for several counterparties resulting in a move from Public Sector Lending to Corporate lending. Effect approx SEK 7,5bn. 4

5 Strong structural liquidity situation in the two most important business areas Balance sheet structure (Sep 211) Retail banking Sweden Merchant banking 1 78 Other Loans Funding Gap 31 Funding Gap 13 Retail Customer Deposits Residential Mortgage Loans 443 Corporate Customer Loans Corporate Customer Deposits Swedish Covered Bonds 215 Public Deposits 62 Lending Funding Lending Funding 1. Excluding repos and reclassified bonds 5

6 Funding gaps and other lending are funded with medium-term senior bonds 31 Average duration (years): Retail Lending Retail Funding Retail Funding Gap Baltic Wealth Other Retail Merchant Banking Required Funding Combined Funding Gap Other Net Lending Less sticky deposits Actual Funding Issued Schuldscheins Senior Unsecured Bonds MB Lending MB Funding MB Funding Gap 6

7 Net liquidity position: Allows for sustained periods of no market access Improvement in SEB s matched funding horizon 1 Months Net Liquidity position improved (SEK bn) Cumulative net cash flow including liquidity reserve 21 vs. Q2-Q Long-term target: 12 months Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 <1d <1m <3m <6m <12m YE 21 Q2 211 Q Cash Flow model where assets & liabilities are mapped to contractual maturities Source: LRA BaseScenario SEB Group 7

8 Well-diversified Liquidity Reserve across asset type and currency External vs. Internal Liquidity Reserve definitions (SEK bn) Sep 211 FI Liquidity Reserve by currency (SEK bn) Sep Net Trading Assets OC * SEK EUR USD Other Total Cash and Bank Deposits GVT Bonds Covered bonds Other 2 1 Development of FI Liquidity Reserve (SEK bn) 211 YTD FI SBA**/SEB Core Reserve SEB Extended Reserve Total SEB Liquid Resources 4 3 Central Bank Deposits Other Bank Deposits GVT Bonds Public bonds Covered bonds (other) Covered bonds (SEB) Non-financials Financials Other OC Net Trading Assets *Overcollateralisation net of Moody s requirement for AAA rating (1%) **Swedish Bankers Association (Bankföreningen) 2 1 Jan Feb Mar Apr May June July Aug Sep 8

9 Well-diversified funding base both across deposits and wholesale funding Overall liability & funding mix SEB Group, SEK 1,539bn, September 211 Total Liability & Funding SEK 1,539bn Wholesale Funding SEK 58bn Fin. Inst. deposits 11% Public deposits 5% Central Bank deposits 2% Mortgage Covered Bonds Swe 14% Private deposits 12% Mortgage Covered Bonds Ger 2% Wholesale Funding 39% Senior Debt 7% CP s/cd s 13% Corporate deposits 32% Subordinated Debt 2% 9

10 Short-term funding CP and CD programmes CP/CDs volume and duration development 211 YTD, SEK bn USD EUR SEK Other Duration (days) Jan Feb Mar Apr May Jun Jul Aug Sep

11 Jan-9 Mar-9 May-9 Jul-9 Sep-9 Nov-9 Jan-1 Mar-1 May-1 Jul-1 Sep-1 Nov-1 Jan-11 Mar-11 May-11 Jul-11 Sep-11 CP/CD funding - moves in line with Net Trading Assets 1) :Sep SEK bn Net Trading Assets CPs/CDs CP/CD funding Net Trading Assets 1) Net Trading Assets excluding derivatives

12 Long-term wholesale funding issuance Issued vs. matured long-term funding SEK bn Upcoming maturities long-term funding SEK bn 6 Issued Matured Mortgage Covered SEK Mortgage Covered, non-sek Senior Unsecured SEK Senior Unsecured, non-sek Retail index linked bonds Subordinated debt SEB AG Q Q2 29Q3 29Q4 21Q1 21Q2 21Q3 21Q4 211Q1 211Q2 211Q3 Q1 212 Q2 212 Q3 212 Q Long-term funding raised SEK bn Instrument FY 29 FY 21 Q1 211 Q2 211 Q3 211 Q Yankee CD Senior unsecured SEB AG Senior unsecured SEB AB Index Linked Bonds Covered bonds SEB AG Covered bonds SEB AB Hybrid tier Total As of October 27 12

13 SEB 75m 2-year FRN Termsheet Execution Highlights Distribution by investor type Issuer: Status : Issue Rating: Coupon: Maturity: Book size Skandinaviska Enskilda Banken AB (publ) Senior unsecured floating rate notes A1/A/A+ (Moody s/s&p/fitch) 3-month Euribor +115bp 2-year Maturity date: 21 October 213 Size 75mn Leads : Natixis + 3 Reoffer spread : Reoffer price: % 3-month Euribor +117bp Book analysis 1.3 bn Number of orders: 113 SEB had been monitoring primary markets in the past few weeks and with the reopening of the senior market, coupled with recent successful deals from other strong issuers, decided to reopen the Nordic senior segment with a new 2 year FRN trade. This visit to the market was SEB s third visit since the beginning of the year in the senior market. The decision was taken mid-morning to move ahead with the trade and books were opened at 1.2am London time, with price guidance of 3m Euribor +12bp area. SEB indicated a target size of 5mn to 75mn. In the space of 9 minutes the book grew to 1bn. The steady book-building, the good quality of investors and a strong oversubscription ratio allowed SEB to tighten the spread down to +117bp from +12bp area and to set the issue size at 75mn at 1.45pm. Books were formally closed at 2.3pm London time with 113 orders and a total book size of 1.3bn. In terms of distribution, Asset Managers and Banks were the drivers of the deal, with 45% and 38% respectively. By geography, the book was driven by the Nordics, the UK and Germany. High quality orders from Austria, France, Switzerland and Benelux provided high quality incremental demand and granularity This deal reiterates SEB s strong credit and the Nordic regions safe haven status Distribution by geography 13

14 Long-term funding development Long-term funding volume and duration development Q3, SEK bn Long-term funding by currency Sep 211, SEK bn Mortgage covered bonds Mortgage covered bonds (yrs) Overcollateralisation Senior unsecured Senior unsecured (yrs) Mortgage covered Senior unsecured Schuldschein darlehen Retail index linked Subordinated debt Q1 211 Q2 211 Q3 211 SEK EUR GBP USD NOK JPY CHF LTL HKD Long-term funding maturity profile SEK bn 21 Q Product <1Y 1-2Y 2-3Y 3-4Y 4-5Y 5-7Y 7-1Y >1Y 8 Covered bonds SEK, SEB AB Covered bonds non SEK, SEB AB <1Y 1-2Y 2-3Y 3-4Y 4-5Y 5-7Y 7-1Y >1Y Mortgage pfandbriefe, SEB AG Senior unsecured Subordinated debt Total

15 Wholesale Funding mix by currency and type September 211 (SEK bn) Short-term funding CP's Sterling CD's Swe CP's Yankee CD's 14 BN 45 BN 11 BN 9 BN 1 BN SEK EUR USD GBP DKK NOK Other Short-term funding activities concentrated to EUR, USD and GBP, partly due to lack of Nordic and domestic short-term market USD borrowings mainly used to fund needs in SEK, EUR and NOK on a currency-swapped basis Long-term funding Mortgage Covered Bonds Public Covered Bonds Senior Bonds SSD Retail index linked bonds 176 BN 214 BN Long-term funding activities concentrated to SEK and EUR markets which are dominated by covered bond funding BN 1 BN 2 BN 6 BN 1 BN SEK EUR USD GBP JPY NOK Other 15

16 SEB has the lowest wholesale funding dependence and a high liquidity reserve 3 September, % 214% SEB Nordea Swedbank SHB 238% 253% 179% 146% 99% 114% 14% 133% 97% 122% 43% 45% 2% 25% 22% 21% 21% 23% Loan to deposit ratio Loan to deposit ratio (excl mortgage lending) Wholesale funding to assets ratio Senior unsecured to wholesale funding ratio Liquidity reserve to short term funding Source: Enskilda 16

17 Oct-11 Sep-11 Sep-11 Aug Aug-11 Aug-11 SEB Swedish Covered Bond vs peers 5yr benchmark issues on ASW basis, ytd 211 Swap spreads Swedish banking peer group Jul-11 Jul-11 Jun-11 Jun-11 May-11 May-11 Apr-11 Apr-11 Mar-11 Mar-11 Feb-11 Feb-11 Jan-11 Jan-11 Jan-11 SEB Swedbank SHB Nordea

18 Oct-11 Sep-11 Sep Credit spread development SEB 5yr Senior Fixed benchmark vs. Nordea and Handelsbanken Credit spread vs. EUR Swaps Sep-11 Sep-11 Sep-11 Aug-11 Aug-11 Aug-11 Aug-11 Jul-11 Jul-11 Jul-11 Jul-11 Jun-11 Jun-11 Jun-11 Jun-11 Jun-11 May-11 May-11 May-11 Nordea SEB Handelsbanken

19 Strong capital situation Core Tier 1 ratio (%) Basel II 15% 13% 11% 9% Regulatory target range Basel II Basel III Strong capital formation Maintain buffer to minimum regulatory levels Capacity to issue additional tier 1 instruments and return capital to shareholders in future 7% 5% Q1 8 Q2 Q3 Q4 Q1 9 Q2 Q3 Q4 Q1 1 Q2 Q3 Q4 Q1 11 Q2 Q3 19

20 Capital adequacy SEB Group - Basel II (without transitional rules) Total capital ratio, % Tier 1 capital ratio, % Core Tier 1 (from 27) Note: In order to improve quality, capital management in 21 has focused on shifting the capital base from Tier 2 to Tier 1. The end effect, when combined with certain deductions to be made from the total capital resources, is that Tier 1 capital becomes larger than the capital base from 21. SEK bn Dec 27 Dec 28 Dec 29 Dec 21 Mar 211 Jun 211 Sep 211 Tier 1 capital Capital base Risk-w. Assets

21 Capitalisation more than adequate Summary of stress tests Core Tier 1 capital ratio Basel II (unfloored except EBA) Swedish FSA Stress (Oct 21) Swedish Central Bank Stress Test (May 211) Swedish FSA EBA Adverse (July 211) floored Actual (Q3 211) 14% 13% 12% 11% 1%

22 Existing Tier 1 debt instruments Feature Maturity $5m 4.958% $6m 5.471% Perpetual, 1bps step-up Regulatory and Tax calls 5m 7.922% 5m 9.25% Perpetual, 1bps step-up Regulatory, Tax, Accounting and Rating Agency calls Perpetual, reset non-step Regulatory, Tax, Accounting and Rating Agency calls Ranking Junior, senior to common only Full claim in liquidation Junior, senior to common only Full claim in liquidation Junior, senior to common only Full claim in liquidation Ongoing Loss Absorption Limited discretion to cancel, distributable items test only No pusher, dividend stopper Dividend pusher, no stopper Principal Loss Absorption Temporary write-down Avoidance of liquidation only conversion into conditional capital Temporary write-down Avoidance of liquidation and avoidance of breach of capital ratios conversion into conditional capital Temporary write-down Avoidance of liquidation and avoidance of breach of capital ratios conversion into conditional capital Non-Viability Loss Absorption Currently none Currently none Currently none Red indicates areas of potential non-compliance. Step-ups and temporary nature of the existing principal loss absorption are the main reasons for non-compliance with the new rules. 22

23 Safe harbour balance sheet Core Tier 1 ratio 13.9% Liquidity reserve SEK 38bn >1% of maturing debt 211 pre-financed >2 years matched funding NPL coverage ratio 63% 23