Liquidity

NIB has a survival horizon measuring the period during which the Bank is able to fulfil all its payment obligations stemming from ongoing business operations under a severe stress scenario. The target survival horizon is twelve months and must always exceed nine months.

At the end of 2016, NIB’s survival horizon is calculated at 443 days, equivalent to more than 14 months.

In order to limit the liquidity risk, NIB maintains a liquidity buffer, mainly invested in EUR, USD and the Nordic currencies. At the end of 2016, the liquidity buffer amounted to EUR 11,097 million, of which 39%, or EUR 4,361 million, is held as cash in short-term money market instruments, and 61%, or EUR 6,736 million, is held in securities with longer maturities.

The liquidity buffer must fulfil the quality requirements stipulated in NIB’s Liquidity Policy, thereby ensuring that the buffer maintains both its market value and sufficient liquidity under severe market conditions, and that the asset quality is high.

At year-end, 83% of the liquidity buffer was warehoused in high-quality liquid assets (HQLA), 91% was eligible as repo collateral in one or several central banks, and 91% of the assets belonged to the top four internal rating categories.

Furthermore, the Bank easily fulfilled the liquidity coverage ratio (LCR) and net stable funding ratio (NSFR) requirements specified in the Capital Requirements Regulation of the European Union.

Counterparty risk class in 2016

as of 31 Dec 2016
%, distribution by risk class

Counterparty risk class in 2016