saxo-bank-annual-report-2015

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NOTES – RISK MANAGEMENT – SAXO BANK GROUP (DKK 1,000) MARKET RISK · continued Derivative financial instruments 2014 Currency contracts Within 3 months 3-12 months 1-5 years > 5 years Notional amount Net fair value Notional amount Net fair value Notional amount Net fair value Notional amount Net fair value Forwards/futures purchased 50,471,634 (180,263) 6,024,211 1,874,915 356 2 - - Forwards/futures sold 50,129,686 125,649 5,100,008 (1,042,811) 619 (8) - - Options purchased 66,337,004 481,655 29,015,771 575,792 703 271 - - Options written 58,866,984 (526,231) 30,253,418 (1,426,128) 507 (195) - - Interest rate contracts Forwards/futures purchased 65,254 30,016 21,602 2,750 44,393 4,483 - - Forwards/futures sold 65,256 (18,599) 21,602 411 44,393 (5,213) - - Options purchased 20,463 157 13,976 (1,294) 16,568 460 - - Options written 20,463 (175) 13,976 1,288 16,568 (453) - - Swaps - - - - - - 348,139 (91,313) Equity contracts Forwards/futures purchased 2,002,637 10,190 630 370 115 19 14 1 Forwards/futures sold 1,998,129 804,816 629 (253) 115 (410) 14 2 Options purchased 13,510 39,787 4,135 21,159 3,158 22,255 - 33 Options written 13,459 (39,787) 4,135 (21,159) 3,158 (22,255) - (33) Commodity contracts Forwards/futures purchased 52,440 (75,817) 15,048 8,717 42,855 (24,133) - - Forwards/futures sold 52,708 120,865 14,827 4,799 42,855 24,477 - - Options purchased 10,266 14,308 4,201 14,353 26 224 - - Options written 10,266 (14,308) 4,201 (14,353) 26 (224) - - 104 · SAXO BANK · ANNUAL REPORT 2015
NOTES – RISK MANAGEMENT – SAXO BANK GROUP LIQUIDITY RISK Liquidity Requirements Saxo Bank is required to meet and report current requirements for both Saxo Bank A/S and Saxo Bank Group. Saxo Bank is required to fulfill liquidity requirements according to the CRR as well as the liquidity standards set out in the Danish Financial Business Act. In addition, the Danish FSA has defined liquidity threshold values in the so-called Supervisory Diamond. Current Minimum Requirements The LCR-requirement means that banks are obligated to hold a buffer of liquid assets as a percentage of net cash outflows over a 30-day period. The objective of the LCR framework is therefore to promote short-term resilience of a bank’s liquidity risk profile by ensuring that it has sufficient high quality liquid assets (HQLA) to survive a significant stress scenario lasting for one month. In Denmark, the LCR requirement is being phased-in gradually with 60% of the full requirement from October 2015, 70% from January 1st 2016, 80% in 2017 and 100% in 2018. The LCR provisions are further specified in a delegated act which sets detailed rules on the liquidity area hereunder provisions for the composition and the diversification of the liquidity buffer. The Group reports monthly LCR to the Danish FSA in accordance with Implementing Technical Standards and Regulatory Technical Standards developed by The European Banking Authority. As of 31 December 2015, the Group´s reported LCR ratio was 105 % (2014: 85%) The Group is highly liquid and holds a large portfolio of Level 1 assets hereunder cash at central banks and e.g. on 15 January 2015 (during the so called Swiss event) the Group was able to fulfil the largest margin requirement in the Group’s history in a fast and timely manner The Group’s actual liquidity situation however, is therefore not properly reflected in the current LCR regulation, which to a large extent is designed to regulate liquidity risk in retail banks. The Group is also subject to regulatory liquidity requirements according to the Danish Financial Business Act where the liquidity shall amount to no less than: • 15% of the debt exposures that, irrespective of possible payment conditions, are the liability of the Group to pay on demand or at notice of no more than one month, and • 10% of the total debt and guarantee exposures of the Group, less subordinated debt that may be included in calculations of the Total capital. In addition to the above, the Supervisory Diamond includes 50% additional charge to the above mentioned standard. The Group met the regulatory liquidity standards throughout the year 2015. The regulatory liquidity requirement for the Group including the 50% additional surcharge was DKK 5.75 billion as of 31 December 2015 (2014: DKK 5.25 billion). The Group’s liquidity as of 31 December 2015 to cover this was DKK 18.66 billion (2014: DKK 17.48 billion). Further, the Danish FSA expects all Danish banks to hold a “funding-ratio” below 1. The “funding-ratio” is loans divided by the sum of deposits, subordinated debt and equity. The “funding-ratio” for the Group as of 31 December 2015 was 0.066 (2014: 0.075). ILAAP requirement From end of 2014 the Group has been obligated to hold liquidity of at least the current ILAAP level as determined by the Board of Directors. This ILAAP level cannot be less than the current minimum regulatory standard. The ILAAP is performed based on guidelines issued by the Danish FSA. The calculation of the ILAAP result is based on an internal process in which management assesses the liquidity risks, the overall liquidity management and the funding risks. The Group has implemented liquidity stress testing based on the LCR and section 152 requirements. Stress tests are conducted on a monthly basis. The Group continuously (on daily basis) monitors its liquidity and LCR level in order to ensure compliance with the regulatory standards. The Group operates with a liquidity buffer available at all times in the form of unencumbered, highly liquid securities and cash instruments to address the estimated potential cash needs during a liquidity crisis. However, the Group acknowledges the value of flexibility and the balance between the counterparty risks associated with holding cash during a liquidity crisis and the importance of having sufficient liquidity during the initial phase of a liquidity crisis. Additional information about the Group’s liquidity risk and ILAAP is disclosed in the Group’s Risk Report 2015 and is available at: www.saxobank. com/investor-relations. Funding Requirements and Assets Encumbrance CRD IV and CRR require the Group to monitor and report a long-term Net Stable Funding Ratio (NSFR). The aim of NSFR is to ensure that banks have an acceptable amount of stable funding to support their assets and activities over the medium term (i.e. a one-year period). Currently, the Group is required to report and monitor NSFR. NSFR is planned to be a 100% requirement from 2018, but the exact timing will be decided by the EU based on reports from EBA. In December 2015 the EBA recommended the introduction of the NSFRrequirement in the EU to ensure an appropriate stable funding structure in relation to the degree of asset illiquidity, as the way of properly mitigating funding risk in banks. In addition to the funding ratio described above, the Group is also required to monitor, report and disclose Asset Encumbrance. This disclosure shows the Group’s ability to provide liquidity based on the current balance sheet etc. Asset Encumbrance end 2015 is disclosed in the Risk Report 2015 and is available at www.saxobank.com/investor-relations. SAXO BANK · ANNUAL REPORT 2015 · 105
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2015
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TRADING OPPORTUNITIES. ANYTIME, ANY
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4 · SAXO BANK · ANNUAL REPORT 201
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The continued rise in client’s co
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TAILORED PRICING - ONE SIZE DOES NO
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As of 31 December 2015, Saxo Bank e
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CRD IV and CRR is a single set of p
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#SAXOSTRATS - YOUR NEXT TRADE In 20
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FINANCIAL REVIEW Saxo Bank Group re
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of 2014 the corresponding ratios we
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OPERATIONAL REVIEW PRODUCT DEVELOPM
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Through its multi-asset offering, S
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SAXOTRADERGO - THE NEXT GENERATION
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THE BUSINESS OF SAXO BANK 26 · SAX
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WE PROVIDE LIQUIDITY VIA ... • 15
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ured as the expected one day loss f
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RISK FACTORS Saxo Bank Group is exp
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function is to optimise the trading
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HIGHLIGHTS 2015 JANUARY Saxo Bank r
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FINANCIAL STATEMENTS 38 · SAXO BAN
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INCOME STATEMENT - SAXO BANK GROUP
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STATEMENT OF FINANCIAL POSITION - S
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STATEMENT OF CHANGES IN EQUITY - SA
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STATEMENT OF TOTAL CAPITAL (OWN FUN
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NOTES - SAXO BANK GROUP Note 1 Acco
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Page 56 and 57: NOTES - SAXO BANK GROUP Note 1 Acco
Page 58 and 59: NOTES - SAXO BANK GROUP Note 2 Crit
Page 60 and 61: NOTES - SAXO BANK GROUP Note (DKK 1
Page 90 and 91: NOTES - RISK MANAGEMENT - SAXO BANK
Page 110 and 111: NOTES - KEY FIGURES AND RATIOS - SA
Page 112 and 113: 110 · SAXO BANK · ANNUAL REPORT 2
Page 114 and 115: INCOME STATEMENT - SAXO BANK A/S 1
Page 116 and 117: STATEMENT OF FINANCIAL POSITION - S
Page 118 and 119: STATEMENT OF CHANGES IN EQUITY - SA
Page 120 and 121: STATEMENT OF TOTAL CAPITAL (OWN FUN
Page 122 and 123: NOTES - SAXO BANK A/S Note (DKK 1,0
Page 132 and 133: NOTES - SAXO BANK A/S 23 Branches a
Page 136 and 137: STATEMENTS BY THE INDEPENDENT AUDIT
Page 138 and 139: COMPANY INFORMATION
Page 140 and 141: ADDRESSES DENMARK ADDRESSES EUROPE
Page 142: ADDRESSES WORLD AUSTRALIA Saxo Capi
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