Capital and Risk Management Report
First Quarter 2024
Provided by Nordea Bank Abp on the basis of its consolidated situation
Table of Contents
Table Name | Table Number |
Capital Position | |
EU KM1 - Overview of risk weighted exposure amounts | 1 |
EU OV1 - Overview of total risk exposure amounts | 2 |
Credit Risk | |
EU CR8 - RWEA flow statements of credit risk exposures under the IRB approach | 3 |
Counterparty Credit Risk | |
EU CCR7 - RWEA flow statements of CCR exposures under the IMM | 4 |
Liquidity | |
EU LIQ1 - Quantitative information of LCR | 5 |
Market Risk | |
EU MR2-B - RWA flow statements of market risk exposures under the IMA | 6 |
1
Table 1 - EU KM1 - Overview of risk weighted exposure amounts
During the first quarter of 2024 Nordea's Own Funds increased by EUR 0.2bn. CET1 capital increased by EUR 0.2bn, Additional Tier 1 (AT1) capital increased by EUR 0.1bn and Tier 2 (T2) capital remained stable during the period. The increase in CET1 capital was mainly driven by profit generation net of dividend accrual, partly offset by FX effects in retained earnings. AT1 capital increased due to FX effects in AT1 instruments. The Risk Exposure Amount (REA) decreased by EUR 0.1bn, mainly due to FX effects and active capital management implemented during the quarter, partly offset by the yearly update in operational risk. Leverage ratio (LR) decreased from 5.0% to 4.9% as a result of increased LR total exposure, primarily driven by increased SFT volumes.
a | b | c | d | e | ||
Available own funds (amounts), EURm | Q1 2024 | Q4 2023 | Q3 2023 | Q2 2023 | Q1 2023 | |
1 | Common Equity Tier 1 (CET1) capital | 23,798 | 23,645 | 23,004 | 22,393 | 22,279 |
2 | Tier 1 capital | 27,061 | 26,845 | 26,318 | 25,626 | 25,514 |
3 | Total capital | 31,021 | 30,815 | 29,164 | 28,643 | 28,542 |
Risk-weighted exposure amounts, EURm | ||||||
4 | Total risk exposure amount | 138,579 | 138,719 | 140,925 | 140,023 | 141,976 |
Capital ratios (as a percentage of risk-weighted exposure amount) | ||||||
5 | Common Equity Tier 1 ratio (%) | 17.2% | 17.0% | 16.3% | 16.0% | 15.7% |
6 | Tier 1 ratio (%) | 19.5% | 19.4% | 18.7% | 18.3% | 18.0% |
7 | Total capital ratio (%) | 22.4% | 22.2% | 20.7% | 20.5% | 20.1% |
Additional own funds requirements to address risks other than the risk of excessive leverage | ||||||
(as a percentage of risk-weighted exposure amount) | ||||||
EU 7a | Additional own funds requirements to address risks other than the risk of | 1.6% | 1.6% | 1.6% | 1.6% | 1.6% |
excessive leverage (%) | ||||||
EU 7b | of which: to be made up of CET1 capital (percentage points) | 0.9% | 0.9% | 0.9% | 0.9% | 0.9% |
EU 7c | of which: to be made up of Tier 1 capital (percentage points) | 1.2% | 1.2% | 1.2% | 1.2% | 1.2% |
EU 7d | Total SREP own funds requirements (%) | 9.6% | 9.6% | 9.6% | 9.6% | 9.6% |
Combined buffer and overall capital requirement (as a percentage of risk-weighted exposure amount) | ||||||
8 | Capital conservation buffer (%) | 2.5% | 2.5% | 2.5% | 2.5% | 2.5% |
EU 8a | Conservation buffer due to macro-prudential or systemic risk identified at | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% |
the level of a Member State (%) | ||||||
9 | Institution specific countercyclical capital buffer (%) | 1.7% | 1.7% | 1.6% | 1.6% | 1.3% |
EU 9a | Systemic risk buffer (%) | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% |
10 | Global Systemically Important Institution buffer (%) | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% |
EU 10a | Other Systemically Important Institution buffer (%) | 2.5% | 2.5% | 2.5% | 2.5% | 2.5% |
11 | Combined buffer requirement (%) | 6.7% | 6.7% | 6.6% | 6.6% | 6.3% |
EU 11a | Overall capital requirements (%) | 16.3% | 16.3% | 16.2% | 16.2% | 15.9% |
12 | CET1 available after meeting the total SREP own funds requirements (%) | 11.8% | 11.6% | 10.9% | 10.9% | 10.5% |
Leverage ratio | ||||||
13 | Total exposure measure | 555,234 | 533,497 | 558,509 | 552,620 | 557,817 |
14 | Leverage ratio (%) | 4.9% | 5.0% | 4.7% | 4.6% | 4.6% |
Additional own funds requirements to address the risk of excessive leverage (as a percentage of total exposure measure) | ||||||
EU 14a | Additional own funds requirements to address the risk of excessive | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% |
leverage (%) | ||||||
EU 14b | of which: to be made up of CET1 capital (percentage points) | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% |
EU 14c | Total SREP leverage ratio requirements (%) | 3.0% | 3.0% | 3.0% | 3.0% | 3.0% |
Leverage ratio buffer and overall leverage ratio requirement (as a percentage of total exposure measure) | ||||||
EU 14d | Leverage ratio buffer requirement (%) | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% |
EU 14e | Overall leverage ratio requirement (%) | 3.0% | 3.0% | 3.0% | 3.0% | 3.0% |
Liquidity Coverage Ratio | ||||||
15 | Total high-quality liquid assets (HQLA) (Weighted value -average) | 110,493 | 113,628 | 117,525 | 119,650 | 122,033 |
EU 16a | Cash outflows - Total weighted value | 86,536 | 86,686 | 88,420 | 90,461 | 92,852 |
EU 16b | Cash inflows - Total weighted value | 16,738 | 15,149 | 14,808 | 15,061 | 15,017 |
16 | Total net cash outflows (adjusted value) | 69,797 | 71,537 | 73,612 | 75,400 | 77,835 |
17 | Liquidity coverage ratio (%)1) | 159% | 159% | 160% | 159% | 157% |
Net Stable Funding Ratio | ||||||
18 | Total available stable funding | 319,522 | 316,784 | 314,357 | 313,104 | 313,743 |
19 | Total required stable funding | 265,493 | 266,889 | 266,269 | 263,968 | 269,712 |
20 | NSFR ratio (%) | 120.4% | 118.7% | 118.1% | 118.6% | 116.3% |
- The LCR reported in this table is the average of 12 end of month ratios.
2
Table 2 - EU OV1 - Overview of total risk exposure amounts
The following table provides an overview of total REA in Q1 2024 where credit risk accounted for the largest risk type with approximately 81% of Pillar I REA. Operational risk and market risk accounted for the second and third largest risk types. REA decreased by EUR 0.1bn in the first quarter of 2024, mainly due to FX effects and active capital management (EUR -2.2bn), partly offset by increased operational risk (EUR +1.8bn).
EURm | Total risk exposure amounts (TREA) | Total own funds | ||
requirements | ||||
a | b | c | ||
Q1 2024 | Q4 2023 | Q1 2024 | ||
1 | Credit risk (excluding CCR) | 100,022 | 100,741 | 8,002 |
2 | Of which the standardised approach | 10,971 | 11,072 | 878 |
3 | Of which the Foundation IRB (F-IRB) approach | 11,146 | 10,543 | 892 |
4 Of which slotting approach
EU 4a | Of which equities under the simple riskweighted approach | |||
5 | Of which the Advanced IRB (A-IRB) approach | 77,905 | 79,127 | 6,232 |
6 | Counterparty credit risk - CCR | 3,354 | 3,370 | 268 |
7 | Of which the standardised approach 2) | 434 | 480 | 35 |
8 | Of which internal model method (IMM) 2) | 1,643 | 1,794 | 131 |
EU 8a | Of which exposures to a CCP | 86 | 90 | 7 |
EU 8b | Of which credit valuation adjustment - CVA | 523 | 596 | 42 |
9 | Of which other CCR 2) | 667 | 410 | 53 |
15 | Settlement risk | 0 | ||
16 | Securitisation exposures in the non-trading book (after the cap) | 2,737 | 2,162 | 219 |
17 | Of which SEC-IRBA approach | 2,667 | 2,094 | 213 |
18 | Of which SEC-ERBA (including IAA) | 21 | 22 | 2 |
19 | Of which SEC-SA approach | 49 | 47 | 4 |
EU 19a | Of which 1250% / deduction | |||
20 | Position, foreign exchange and commodities risks (Market risk) | 5,154 | 4,805 | 412 |
21 | Of which the standardised approach | 703 | 733 | 56 |
22 | Of which IMA | 4,450 | 4,072 | 356 |
EU 22a | Large exposures | |||
23 | Operational risk | 17,874 | 16,048 | 1,430 |
EU 23a | Of which basic indicator approach | |||
EU 23b | Of which standardised approach | 17,874 | 16,048 | 1,430 |
EU 23c | Of which advanced measurement approach | |||
24 | Amounts below the thresholds for deduction (subject to 250% risk weight) | 417 | 513 | 33 |
29 | Total | 129,140 | 127,126 | 10,331 |
Additional risk exposure amount related to Finnish RW floor due to Article 458 CRR | ||||
Additional risk exposure amount related to Swedish RW floor due to Article 458 CRR | 9,439 | 11,592 | 755 | |
Article 3 CRR Buffer | ||||
Pillar 1 total | 138,579 | 138,719 | 11,086 | |
2) Q4 2023 figures have been adjusted compared to what was disclosed in Q4 2023. The minor adjustment to exposure values has not impacted any ratios.
3
Table 3 - EU CR8 - RWEA flow statements of credit risk exposures under the IRB approach
During the first quarter of 2024 IRB REA decreased by EUR 0.6bn, mainly driven by FX effects, favorable asset quality, primarily due to capital management initiatives, and model updates. This was partly offset by increased asset size and increased unsettled transactions at quarter end (seen in "Other").
EURm | Risk weighted exposure | |
amount | ||
a | ||
1 | Risk weighted exposure amount Q4 2023 | 89,669 |
2 | Asset size (+/-) | 806 |
3 | Asset quality (+/-) | -539 |
4 | Model updates (+/-) | -192 |
5 | Methodology and policy (+/-) | |
6 | Acquisitions and disposals (+/-) | |
7 | Foreign exchange movements (+/-) | -1,246 |
8 | Other (+/-) | 553 |
9 | Risk weighted exposure amount Q1 2024 | 89,051 |
4
Table 4 - EU CCR7 - RWEA flow statements of CCR exposures under the IMM
This table only includes exposures calculated under the Internal Model Method (IMM). RWEA for CCR exposures under the IMM decreased throughout the first quarter of 2024. The decrease is mainly attributed to the reduction in asset size of portfolio partly offset by USD appreciation and NOK, SEK depreciation against EUR.
EURm | a | |
Q1 2024 | RWEA | |
1 | RWEA as at the end of the previous reporting period | 1,839 |
2 | Asset size | -623 |
- Credit quality of counterparties
- Model updates (IMM only)
- Methodology and policy (IMM only)
- Acquisitions and disposals
7 | Foreign exchange movements | 446 |
8 | Other | 27 |
9 | RWEA as at the end of the current reporting period | 1,689 |
EURm | a | |
Q4 2023 | RWEA | |
1 | RWEA as at the end of the previous reporting period | 1,845 |
2 | Asset size | -6 |
3 | Credit quality of counterparties | 12 |
4 | Model updates (IMM only) | 0 |
- Methodology and policy (IMM only)
- Acquisitions and disposals
7 | Foreign exchange movements | -5 |
8 | Other | -8 |
9 | RWEA as at the end of the current reporting period | 1,839 |
5
Table 5 - EU LIQ1 - Quantitative information of LCR
Nordea Group's short term liquidity risk exposure, measured by Liquidity Coverage Ratio (LCR), remained on a good and stable level during Q1 2024. The main drivers of Nordea Group's LCR results are outflows associated with customer deposits which are counterbalanced by high quality liquid assets. In Q1 2024 both net outflows and cash in central banks decreased and hence LCR was stable. Liquidity buffer in Nordea Group is composed mainly of cash with central banks, government bonds, government related bonds and high quality covered bonds. During the quarter Nordea was able to actively use all its funding programs, maintained its strong name in the funding markets, and held a strong and diversified funding base across all main currencies. Nordea Group's main funding sources at the end of Q1 were customer deposits (36%) and issued debt securities (32%) of total liabilities. Nordea has a centralised liquidity management function where Group Treasury is responsible for the management of the Group's liquidity positions, liquidity buffers, external and internal funding including the mobilisation of cash around the Group, and Funds Transfer Pricing. Nordea actively manages LCR on currency level by holding liquid assets across all significant currencies and by managing possible currency mismatches. Nordea's derivative exposures and their impact to LCR is closely monitored and managed. Associated collateral calls during possible liquidity crises are monitored, managed as well as stressed in LCR.
EURm | a | b | c | d | e | f | g | h | |
Total unweighted value (average) | Total weighted value (average) | ||||||||
EU 1a Quarter ending on (31 March 2024) | 31 Mar 24 | 31 Dec 23 | 30 Sep 23 | 30 Jun 23 | 31 Mar 24 | 31 Dec 23 | 30 Sep 23 | 30 Jun 23 | |
EU 1b Number of data points used in the calculation | 12 | 12 | 12 | 12 | 12 | 12 | 12 | 12 | |
of averages | |||||||||
High-quality liquid assets | |||||||||
1 | Total high-quality liquid assets (HQLA) | 110,493 | 113,628 | 117,525 | 119,650 | ||||
Cash - Outflows | |||||||||
2 | Retail deposits and deposits from small | 109,783 | 109,619 | 110,552 | 112,083 | 7,722 | 7,755 | 7,871 | 7,981 |
business customers, of which: | |||||||||
3 | Stable deposits | 72,368 | 72,706 | 73,677 | 75,164 | 3,618 | 3,635 | 3,684 | 3,758 |
4 | Less stable deposits | 37,414 | 36,913 | 36,875 | 36,919 | 4,104 | 4,119 | 4,187 | 4,223 |
5 | Unsecured wholesale funding | 106,037 | 108,028 | 111,801 | 115,143 | 54,825 | 55,471 | 57,549 | 58,978 |
6 | Operational deposits (all counterparties) | 19,350 | 20,790 | 22,481 | 24,509 | 4,822 | 5,181 | 5,604 | 6,111 |
and deposits in networks of cooperative | |||||||||
banks | |||||||||
7 | Non-operational deposits | 76,615 | 76,930 | 79,186 | 80,225 | 39,930 | 39,981 | 41,811 | 42,459 |
(all counterparties) | |||||||||
8 | Unsecured debt | 10,072 | 10,309 | 10,134 | 10,409 | 10,072 | 10,309 | 10,134 | 10,409 |
9 | Secured wholesale funding | 3,811 | 3,454 | 3,473 | 3,530 | ||||
10 | Additional requirements | 74,610 | 75,538 | 76,481 | 77,130 | 14,411 | 14,406 | 14,165 | 14,390 |
11 | Outflows related to derivative exposures | 6,598 | 6,622 | 6,371 | 6,690 | 6,106 | 6,112 | 5,922 | 6,285 |
and other collateral requirements |
12 Outflows related to loss of funding on debt
products | |||||||||
13 | Credit and liquidity facilities | 68,012 | 68,916 | 70,110 | 70,440 | 8,305 | 8,293 | 8,243 | 8,105 |
14 | Other contractual funding obligations | 2,249 | 2,354 | 2,349 | 2,545 | 2,249 | 2,261 | 2,130 | 2,231 |
15 | Other contingent funding obligations | 42,650 | 42,566 | 43,137 | 44,825 | 3,517 | 3,340 | 3,232 | 3,350 |
16 | Total cash outflows | 86,536 | 86,686 | 88,420 | 90,461 | ||||
Cash - Inflows | |||||||||
17 | Secured lending (e.g. reverse repos) | 29,260 | 27,295 | 25,719 | 25,265 | 3,992 | 3,588 | 3,469 | 3,327 |
18 | Inflows from fully performing exposures | 15,423 | 14,575 | 14,629 | 14,792 | 9,106 | 8,262 | 8,043 | 7,959 |
19 | Other cash inflows | 3,641 | 3,299 | 3,296 | 3,775 | 3,641 | 3,299 | 3,296 | 3,775 |
EU-19a | (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) | |||||||||
EU-19b | (Excess inflows from a related specialised | ||||||||
credit institution) | |||||||||
20 | Total cash inflows | 48,324 | 45,168 | 43,644 | 43,831 | 16,738 | 15,149 | 14,808 | 15,061 |
EU-20a | Fully exempt inflows | ||||||||
EU-20b | Inflows subject to 90% cap | ||||||||
EU-20c | Inflows subject to 75% cap | 47,945 | 44,761 | 43,274 | 43,546 | 16,738 | 15,149 | 14,808 | 15,061 |
Total Adjusted Value | |||||||||
21 | Liquidity buffer | 110,493 | 113,628 | 117,525 | 119,650 | ||||
22 | Total net cash outflows | 69,797 | 71,537 | 73,612 | 75,400 | ||||
23 | Liquidity coverage ratio | 159% | 159% | 160% | 159% |
6
Table 6 - EU MR2-B - RWA flow statements of market risk exposures under the IMA
Market risk under the IMA increased in Q1 2024 to EUR 4.5bn from EUR 4.1bn in Q4 2023 primarily driven by higher contribution from VaR and IRC partially offset by lower contribution from SVaR. Compared to Q4 2023 the RWA stemming from VaR increased by EUR 321m, Incremental risk charge (IRC) increased by EUR 209m while RWA from SVaR decreased by EUR 135m.
EURm | a | b | c | d | e | f | g | ||
Comprehensive | Total own | ||||||||
VaR | SVaR | IRC | Other | Total RWEAs | funds | ||||
risk measure | |||||||||
requirements | |||||||||
1 | RWEAs Q4 2023 | 1,392 | 2,102 | 329 | 248 | 4,072 | 326 | ||
1a | Regulatory adjustment | -978 | -1,412 | -17 | -138 | -2,545 | -204 | ||
1b | RWEAs Q4 2023 (end of the day) | 414 | 690 | 312 | 111 | 1,527 | 122 | ||
2 | Movement in risk levels | 78 | -204 | 170 | 0 | 45 | 4 | ||
3 | Model updates/changes | ||||||||
4 | Methodology and policy | ||||||||
5 | Acquisitions and disposals | ||||||||
6 | Foreign exchange movements | ||||||||
7 | Other | ||||||||
8a | RWEAs Q1 2024 (end of the day) | 493 | 487 | 482 | 111 | 1,572 | 126 | ||
8b | Regulatory adjustment | 1,221 | 1,480 | 56 | 121 | 2,878 | 230 | ||
8 | RWEAs Q1 2024 | 1,714 | 1,967 | 538 | 232 | 4,450 | 356 | ||
EURm | a | b | c | d | e | f | g | ||
Comprehensive | Total own | ||||||||
VaR | SVaR | IRC | Other | Total RWEAs | funds | ||||
risk measure | |||||||||
requirements | |||||||||
1 | RWEAs Q3 2023 | 1,257 | 1,801 | 311 | 337 | 3,707 | 297 | ||
1a | Regulatory adjustment | -861 | -1,148 | -72 | -2,081 | -166 | |||
1b | RWEAs Q3 2023 (end of the day) | 396 | 653 | 311 | 266 | 1,626 | 130 | ||
2 | Movement in risk levels | 18 | 37 | 0 | -155 | -99 | -8 | ||
3 | Model updates/changes | ||||||||
4 | Methodology and policy | ||||||||
5 | Acquisitions and disposals | ||||||||
6 | Foreign exchange movements | ||||||||
7 | Other | ||||||||
8a | RWEAs Q4 2023 (end of the day) | 414 | 690 | 312 | 111 | 1,527 | 122 | ||
8b | Regulatory adjustment | 978 | 1,412 | 17 | 138 | 2,545 | 204 | ||
8 | RWEAs Q4 2023 | 1,392 | 2,102 | 329 | 248 | 4,072 | 326 |
7
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Nordea Bank Abp published this content on 15 May 2024 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 15 May 2024 11:39:10 UTC.