Swedbank AB (publ)

We agree that this comparison is useful. In relation to this, we think it is important to highlight that the best assessment of interest rate exposure, as expressed by behavioural models for NMDs, should be the basis for the internal capital assessment and the national regulator’s review thereof. Naturally, the assumptions and their impact on interest rate risk should be evaluated and tested. To ensure a level playing field for European banks, discussion should evolve around the validity of assumptions and not the rationale for using – or not using – behavioural models.
The size of the impact depends on a number of factors, such as behavioural modelling and the absolute level of interest rates. However, with a market leading position in our home markets, our ability to offset short-term risk in smaller interest rate market is sometimes limited. Disregarding positive changes would then have a material impact on the calculation. In our view, using historical correlations between interest rates in different currencies would be a prudent way to measure and manage risk. To use correlations in different time bands for every pair of currencies would further improve risk management.
Klaus Aarnio
S