Indicate by check mark whether the registrant files or will file annual
reports under cover Form 20-F or Form 40-F.
Indicate by check mark if the registrant is submitting the Form 6-K
in paper as permitted by Regulation S-T Rule 101(b)(1): N/A
Indicate by check mark if the registrant is submitting the Form 6-K
in paper as permitted by Regulation S-T Rule 101(b)(7): N/A
Indicate by check mark whether by furnishing the information
contained in this Form, the registrant is also thereby furnishing the information to the Commission pursuant to Rule 12g3-2(b) under
the Securities Exchange Act of 1934.
If “Yes” is marked, indicate below the file number assigned
to the registrant in connection with Rule 12g3-2(b): N/A
This Report on Form 6-K, including the exhibits hereto, is hereby
incorporated by reference, in its entirety, into the registration statement on Form F-3 (File No. 333-249829) of
Aktiebolaget Svensk Exportkredit (publ) (“SEK”).
SIGNATURE
Pursuant to the requirements of the Securities Exchange Act of 1934,
the Registrant has duly caused this Report to be signed on its behalf by the undersigned, thereunto duly authorized.
Dated: October 28, 2022
|
|
|
|
AB Svensk Exportkredit |
|
|
|
(Swedish Export Credit Corporation) |
|
|
|
By: |
/s/ Magnus Montan |
|
|
|
|
|
Magnus Montan, Chief Executive Officer |
|
AB
Svensk Exportkredit Swedish Export Credit Corporation |
January–September 2022
(Compared to the period January-September 2021)
| ● | Net interest income Skr 1,531 million (9M21: Skr 1,425 million) |
| ● | Operating profit Skr 850 million (9M21: Skr 1,005 million) |
| ● | Net profit Skr 675 million (9M21: Skr 798 million) |
| ● | New lending Skr 98.4 billion (9M21: Skr 50.4 billion) |
| ● | New green lending1 Skr 7.1 billion (9M21: –) |
| ● | New green borrowing Skr 9.0 billion (9M21: 6.1 billion) |
| ● | Basic and diluted earnings per share Skr 169 (9M21: Skr 200) |
| ● | After-tax return on equity 4.3 percent (9M21: 5.2 percent) |
July–September 2022
(Compared to the period July-September 2021)
| ● | Net interest income Skr 541 million (3Q21: Skr 472 million) |
| ● | Operating profit Skr 489 million (3Q21: Skr 402 million) |
| ● | Net profit Skr 388 million (3Q21: Skr 319 million) |
| ● | New lending Skr 28.6 billion (3Q21: Skr 12.3 billion) |
| ● | New green lending1 Skr 0.7 billion (3Q21: –) |
| ● | New green borrowing Skr – billion (3Q21: Skr 2.1 billion) |
| ● | Basic and diluted earnings per share Skr 97 (3Q21: Skr 80) |
| ● | After-tax return on equity 7.4 percent (3Q21: 6.3 percent) |
Equity and balances
(Compared to December 31, 2021)
| ● | Total capital ratio 20.0 percent (year-end
2021: 21.6 percent) |
| ● | Total
assets Skr 394.6 billion (year-end 2021: Skr 333.6 billion) |
| ● | Loans,
outstanding and undisbursed Skr 351.0 billion (year-end 2021: Skr 291.1 billion) |
| 1 | New
key performance indicator to which there is no comparative historical information. |
High demand for financing in challenging conditions
The high level of uncertainty created by Russia’s war in Ukraine
continued to dominate in the third quarter of the year. The volumes in the capital markets remain at a low level and demand for SEK’s
financial solutions is high. SEK’s mission to provide finance for Sweden’s export industry becomes increasingly important
in times of great uncertainty.
Our strong business flow during the first half of the year continued
in the third quarter. New lending for the third quarter amounted to Skr 28.6 billion and to Skr 98.4 billion for the first three quarters
of the year, reflecting year-on-year increases of 133 percent and 95 percent, respectively.
We posted profitability of 7.4 percent during the third quarter,
reflecting a year-on-year increase of 1.1 percentage points. The increase was largely due to very strong net interest income of Skr 541
million. This reflected a year-on-year increase of 15 percent, despite a negative risk tax effect of Skr 27 million. We posted net profit
of Skr 388 million for the third quarter, reflecting a year-on-year increase of 22 percent.
We have noted a particularly significant increase in demand for working
capital financing to Swedish exporters, but also for larger export credits. In Sweden, SEK has, among other things, financed the mineral
fertilizer company Cinis Fertilizer’s first production plant for circular and fossil-free potassium sulfate, and in the Ivory Coast,
SEK’s social loans enable infrastructure that secures access to water.
Our focus on increasing the client portfolio and offering more companies
access to Sweden’s export credit system has been highly successful in the first three quarters of the year. The number of customers
increased 8 percent compared to year-end 2021, which is in line with the full year target of a 10 percent increase.
We welcomed two new members to the executive management team during
the third quarter: Jenny Lilja Lagercrantz, Head of HR; and Pontus Davidsson, Head of International Finance.
In order to meet the increased demand for financing, SEK raised borrowings
of USD 1.25 billion in the third quarter through the issuance of a two-year-fixed-rate bond and USD 800 million through the issuance of
a four-year floating rate bond based on SOFR. The company therefore has high liquidity for new lending and is well prepared to continue
to meet the future financing needs of Sweden’s export industry, even during these highly uncertain times with highly volatile financial
markets and reduced market liquidity.
|
|
|
Magnus Montan Chief Executive Officer |
Interim report January–September 2022 | Page 3 of 29 |
Continued substantial need for financing in the Swedish export industry
Global uncertainty remained high in the third quarter of the year.
The volumes in the capital markets remained at a low level and demand for SEK’s financial solutions increased. SEK’s mission
to provide finance for Sweden’s export industry becomes increasingly important in times of great uncertainty, and the company has
noted increased demand for a number of its offerings compared to the same period in the preceding year.
The high new lending volume during the first half
of the year continued in the third quarter. SEK achieved a new lending volume during the quarter of Skr 28.6 billion, and during the
first three quarters of Skr 98.4 billion, reflecting an increase of 95 percent compared to the first three quarters of 2021. From a historical
perspective, these high volumes can only be compared to new lending volumes in 2009 (the financial crisis) and 2020 (COVID-19 pandemic).
The company posted growth of 5.3 percent in its total lending in the third quarter and 16.2 percent in the first three quarters of the
year compared to year-end 2021.
The high level of new lending is primarily the
result of high demand for working capital finance from large and medium-sized Swedish exporters, but also from high demand for major
export credits, including to countries such as the Ivory Coast.
In Sweden, SEK has, among other things,
co-financed the mineral fertilizer company Cinis Fertilizer’s first production facility for circular and fossil-free
potassium sulfate. In the Ivory Coast, SEK’s social loans are financing the Water for All program. This program enables
infrastructure that secures access to water and Swedish companies play a role and deliver to projects initiated by the Ivory
Coast’s government.
SEK’s focus on increasing its client
portfolio and offering more companies access to Sweden’s export credit system has been highly successful in the first three
quarters of the year. The number of customers increased 8 percent during the first nine months of the year compared to year-end
2021, which is in line with the full year target of a 10 percent increase.
SEK’s
new lending |
Skr
bn |
Jan-Sep
2022 |
Jan-Sep
2021 |
Jan-Dec
2021 |
Lending to Swedish exporters1 |
38.4 |
16.5 |
25.1 |
Lending to exporters’ customers2 |
60.0 |
33.9 |
51.9 |
Total |
98.4 |
50.4 |
77.0 |
of which green lending3 |
7% |
– |
15% |
of which CIRR-loans |
23% |
18% |
15% |
1 Of
which Skr 5.2 billion (9M21: Skr 1.1 billion; year-end 2021: Skr 2.6 billion) had not been
disbursed at period end.
2 Of
which Skr 24.2 billion (9M21: Skr 10.6 billion; year-end 2021: Skr 18.6 billion) had not been disbursed at period end.
3 New
key performance indicator to which there is no comparative historical information. |
Favorable access to financing under difficult market conditions
High uncertainty in international capital markets continued during
the third quarter. Russia’s war in Ukraine, the remaining effects from the COVID-19 pandemic of shortages in supply chains, sharply
rising energy prices and historically high levels of inflation across much of the world are elements of concern that have made risk appetite
in international capital markets temporarily very low. As a result, demand for financing from SEK from the Swedish export industry is
increasing. SEK is highly regarded in the global markets and has healthy access to financing despite poor market conditions. SEK has
been able to meet the increased demand for financing and remained a stable and secure financing partner for Sweden’s export industry.
During the first three quarters of the year,
SEK increased its regular presence in the short-term borrowing market. During the period, the company raised borrowings of Skr 38
billion with maturities of less than one year, compared to Skr 3 billion in the same period during the previous year. SEK’s
new long-term borrowing, with maturities of over one year, amounted to Skr 56 billion for the first three quarters of the year, and
to Skr 26 billion in the third quarter. The company issued, inter alia, a two-year-fixed-rate bond denominated in USD with a volume
of USD 1.25 billion and a four-year floating rate note based on SOFR with a volume of USD 800 million.
The company therefore has high liquidity for new lending and is well
prepared to continue meeting the future financing needs of Sweden’s export industry, even during these highly uncertain times with
highly volatile financial markets and reduced market liquidity.
SEK’s
borrowing |
Skr
bn |
Jan-Sep
2022 |
Jan-Sep
2021 |
Jan-Dec
2021 |
New long-term borrowing |
55.7 |
62.0 |
81.1 |
New short-term borrowing |
37.7 |
2.6 |
6.4 |
New green borrowing |
9.0 |
6.1 |
6.1 |
Outstanding senior debt |
343.0 |
287.4 |
295.0 |
Repurchase and redemption of own debt |
2.2 |
1.1 |
1.5 |
January-September 2022
Operating profit amounted to Skr 850 million (9M21: Skr 1,005 million).
Net profit amounted to Skr 675 million (9M21: Skr 798 million). The lower net profit compared to the same period in the previous year
is explained by unrealized valuation effects of financial instruments which had a negative effect on the net results of financial transactions.
During the year, the valuation effects amounted to Skr -154 million compared to the same period in the previous year when they amounted
to Skr 15 million, representing a difference of Skr 169 million.
Net interest income
Net interest income amounted to Skr 1,531 million (9M21: Skr 1,425
million), representing an increase of 7 percent compared to the same period in the previous year. During the period, a high new lending
rate and a weaker Swedish krona contributed to higher interest income. On January 1, 2022, a new risk tax on credit institutions
was introduced in Sweden. Net interest income was negatively affected by the risk tax of Skr 81 million.
The table below shows average interest-bearing assets and liabilities.
Skr
bn, average |
Jan-Sep
2022 |
Jan-Sep
2021 |
Change |
Total lending |
256.4 |
230.3 |
11% |
Liquidity investments |
71.9 |
59.8 |
20% |
Interest-bearing assets |
341.7 |
306.8 |
11% |
Interest-bearing liabilities |
319.0 |
287.4 |
11% |
Net results of financial transactions
Net results of financial transactions amounted to Skr -154 million (9M21:
Skr 15 million). The first three quarters of 2022 have been volatile with large movement in the market. The results are mainly attributable
to unrealized value changes of financial instruments from cross-currency basis spreads, increased credit spreads in the liquidity portfolio
and increased interest rates. The valuation effects are expected to decrease as the instruments mature.
Operating expenses
Operating expenses amounted to Skr -483 million (9M21: Skr -462 million),
an increase of 5 percent compared to the same period in the previous year. The increase in operating expenses is mainly due to increased
personnel and depreciation costs. A provision of Skr 6 million was made for the individual variable remuneration program (9M21: Skr 6
million).
Net credit losses
Net credit losses amounted to Skr -22 million (9M21: Skr 50 million).
Net credit losses were mainly attributable to increased provisions for expected credit losses for exposures in stage 1, offset by
decreased provisions for expected credit losses for exposures in stage 2, as well as recovered credit losses.
Due to the current macroeconomic uncertainty, SEK has made an overall
adjustment according to management’s assessment, see Note 4.
Loss allowances as of September 30, 2022, amounted to Skr -211
million compared to Skr -164 million as of December 31, 2021, of which exposures in stage 3 amounted to Skr -59 million (year-end
2021: Skr -48 million).
The provision ratio amounted to 0.06 percent (year-end 2021: 0.06 percent).
Taxes
Tax costs amounted to Skr -175 million (9M21: Skr -207 million), and
the effective tax rate amounted to 20.6 percent (9M21: 20.6 percent).
Other comprehensive income (OCI)
Other comprehensive income before tax amounted to Skr 13 million (9M21:
Skr 10 million). The outcome is explained by a positive result related to the changes in own credit risk due to increased credit spreads,
as well as a positive result related to the revaluation of defined benefit plans that were affected by a higher discount rate, offset
in part by unrealized losses from derivatives in cash flow hedging.
July-September 2022
Operating profit amounted to Skr 489 million (3Q21: Skr 402 million).
Net profit amounted to Skr 388 million (3Q21: Skr 319 million). The higher net profit compared to the same period in the previous year
was mainly explained by unrealized valuation effects of financial instruments. During the third quarter the net result of financial transactions
amounted to Skr 108 million, an improvement of Skr 85 million compared to the same period in the previous year. In addition, net interest
income improved by Skr 69 million, which was partly offset by higher net credit losses of Skr 54 million compared to the same period in
the previous year.
Net interest income
Net interest income amounted to Skr 541 million (3Q21: Skr 472 million),
representing an increase of 15 percent compared to the same period in the previous year. A high new lending rate during the year and
a weaker Swedish krona contributed to higher interest income during the quarter. Net interest income was negatively affected by the new
risk tax of Skr 27 million.
The table below shows average interest-bearing assets and liabilities.
Skr
bn, average |
Jul-Sep
2022 |
Jul-Sep
2021 |
Change |
Total lending |
269.3 |
225.3 |
20% |
Liquidity investments |
72.0 |
63.6 |
13% |
Interest-bearing assets |
355.5 |
300.9 |
18% |
Interest-bearing liabilities |
329.2 |
284.3 |
16% |
Interim report January–September 2022 | Page 6 of 29 |
Net results of financial transactions
Net results of financial transactions amounted to Skr 108 million (3Q21:
Skr 23 million). The quarter was volatile and characterized by substantial movement in the financial markets. The results are mainly attributable
to unrealized value changes of financial instruments from cross-currency basis spreads, and increased interest rates.
Operating expenses
Operating expenses amounted to Skr -148 million (3Q21: Skr -136 million),
representing an increase of 9 percent compared to the same period in the previous year. The increase in operating expenses is mainly due
to increased personnel costs. A provision of Skr 6 million was made for the individual variable remuneration program (3Q21: Skr 2 million).
Net credit losses
Net credit losses amounted to Skr -5 million (3Q21: Skr 49 million).
Net credit losses were attributable to increased provisions for expected credit losses for exposures in stage 1 and stage 2, offset by
recovered credit losses.
SEK’s IFRS 9 model is based on a business cycle parameter. The
business cycle parameter reflects the general risk of default in each probability of default (PD) segment and should reflect the general
risk of default in the economy, see Note 4. Due to the current macroeconomic uncertainty, SEK has made an overall adjustment according
to management’s assessment.
Taxes
Tax costs amounted to Skr -101 million (3Q21: Skr -83 million), and
the effective tax rate amounted to 20.7 percent (3Q21: 20.6 percent).
Other comprehensive income (OCI)
Other comprehensive income before tax amounted to Skr -97 million (3Q21:
Skr -5 million). This outcome was mainly explained by unrealized losses incurred from derivatives in cash flow hedging due to rising interest
rates.
Statement of Financial Position
Total assets and liquidity investments
Total assets increased 18 percent compared to the end of 2021. The company’s
increased customer lending, together with a weaker Swedish krona, drove the increase in the company’s assets.
Skr
bn |
September 30,
2022 |
December 31,
2021 |
Change |
Total assets |
394.6 |
333.6 |
18% |
Liquidity investments |
76.0 |
67.9 |
12% |
Total lending |
275.6 |
237.2 |
16% |
of which green |
25.0 |
18.0 |
39% |
of which CIRR-loans |
98.3 |
87.9 |
12% |
SEK’s total net exposures, after risk mitigation, amounted to
Skr 441.8 billion as of September 30, 2022 (year-end 2021: Skr 372.5 billion). Credit exposures have increased to states, which is
mainly due to new lending in the form of larger export credits that are guaranteed by EKN.
Liabilities and equity
As of September 30, 2022, the aggregate volume of available funds
and shareholders’ equity exceeded the aggregate volume of loans outstanding and loans committed at all maturities. SEK considers
all of its outstanding commitments to be covered through maturity.
SEK has a credit facility in place with the Swedish National Debt Office
of up to Skr 175 billion. The credit facility can be utilized when the Swedish export industry’s demand for financing is particularly
high.
Capital adequacy
As of September 30, 2022, SEK’s total own funds amounted
to Skr 20.5 billion (year-end 2021: Skr 19.9 billion). The total capital ratio was 20.0 percent (year-end 2021: 21.6 percent), representing
a margin of 3.6 percentage points above SEK’s estimate of Finansinspektionen’s (the “Swedish FSA”) requirement
of 16.4 percent as of September 30, 2022. The corresponding Common Equity Tier 1 capital estimated requirement was 11.3 percent.
Given that SEK’s own funds are comprised solely of Common Equity Tier 1 capital, this total capital ratio represents a margin of
8.7 percentage points above the requirement. Overall, SEK is strongly capitalized and has healthy liquidity.
Percent |
September 30,
2022 |
December 31,
2021 |
Common Equity Tier 1 capital ratio |
20.0 |
21.6 |
Tier 1 capital ratio |
20.0 |
21.6 |
Total capital ratio |
20.0 |
21.6 |
Leverage ratio |
8.4 |
9.3 |
Liquidity coverage ratio (LCR) |
301 |
463 |
Net stable funding ratio (NSFR) |
122 |
139 |
Rating
|
Skr |
Foreign
currency |
Moody’s |
Aa1/Stable |
Aa1/Stable |
Standard & Poor’s |
AA+/Stable |
AA+/Stable |
Interim report January–September 2022 | Page 7 of 29 |
Other events
At SEK’s annual general meeting on March 24, 2022, Lars
Linder-Aronson stepped down from his position as Chairman of the Board of Directors of SEK (the “Board”) and Lennart Jacobsen
was elected as new Chairman of the Board. Hans Larsson stepped down from his position as member of the Board, and three new members were
elected: Håkan Berg, Katarina Ljungqvist and Paula da Silva. A resolution was passed at the annual general meeting to adopt the
income statement and balance sheet in SEK’s Annual Report 2021 on Form 20-F, and to appropriate distributable funds pursuant
to the Board’s proposal.
SEK’s Deputy CEO Per Åkerlind has
retired and no new Deputy CEO will be appointed.
During the first nine months of the year, the roles as Head of Sustainability,
Chief Information Officer, Head of Human Resources and Head of International Finance were filled. Further changes in SEK’s executive
management will take effect during the fourth quarter when SEK’s Chief Risk Officer will leave the company. Recruitment for the
position is ongoing.
The macro environment
In the second quarter of 2022, Sweden’s
GDP increased 0.9 percent compared to the previous quarter. Exports rose 1.1 percent, with exports of services contributing positively
and exports of goods contributing negatively. Unemployment amounted to 7.7 percent at the end of the second quarter of 2022, down 1.5
percentage points compared to the second quarter of 2021. The rate of inflation in August 2022 was 9.0 percent, which represented
an increase from July 2022 when the rate of inflation was 8.0 percent. The inflation rate is increasing significantly due to sharply
rising food and energy prices. The Riksbank (Sweden’s Central Bank) has raised the repo rate on three occasions in 2022 by a total
of 175 basis points and further hikes to the repo rate are expected.
A continued high, and partly rising, inflation
gives rise to expectations of continued interest rate hikes. A higher repo rate positively impacts SEK’s net interest income. The
company anticipates that higher market interest rates will have a limited impact on its clients and, therefore, a limited indirect impact
on SEK.
SEK believes that there is a higher-than-normal level of risk factors
in the financial markets that affect the company.
SEK believes that information security threats, particularly cyber security, have increased,
as a consequence of Sweden supporting Ukraine. Russia’s war in Ukraine is causing substantial human suffering and is fueling inflation
and the overall likelihood of a recession has increased. The war has little direct financial impact on SEK. The company has very low
lending in Russia and no lending in Ukraine or Belarus. However, the high level of uncertainty may have a more long-term effect on SEK’s
customers and, therefore, on SEK.
The western world has gradually escalated sanctions
against Russia and continues to support Ukraine with military and protective equipment, and contributes direct economic support to Ukraine’s
armed forces. The long-term humanitarian and socioeconomic effects of Russia’s war in Ukraine are expected to be significant and
the prevailing geopolitical security tension occasioned by the conflict could continue for a long time.
There is still some increase in the spread of COVID-19 with several
local outbreaks. Despite this, the number of lock-downs due to COVID-19 are decreasing and SEK therefore sees some reduction in the probability
of disruptions in supply chains resulting from COVID-19.
Risk factors
Various risks arise as part of SEK’s operations, primarily credit
risks, but also market, liquidity, refinancing, operational and sustainability risks. For a more detailed description of these risks,
refer to the separate risk report Capital Adequacy and Risk Management Report Pillar 3 2021 and the Risk and Note 30 to the annual
financial statements included in SEK’s 2021 Annual Report on Form 20-F, as well as the “Risk Factors” section in
SEK’s 2021 Annual Report on Form 20-F.
The following risk factor supplement the “Risk Factors”
section in SEK’s 2021 Annual Report on Form 20-F and the Interim Report January-June 2022 on Form 6-K.
Continued challenges posed by geopolitical factors and the aftermath
of the COVID-19 pandemic could materially affect SEK’s operations and financial position.
We are currently operating in a period of economic uncertainty and
capital markets disruption, which has been significantly impacted by geopolitical instability due to the ongoing Russia-Ukraine war,
the aftermath of the COVID-19 pandemic and higher inflation and interest rates and recessionary concerns.
The Russia-Ukraine war, alongside the economic
impacts that continue to result from the COVID-19 pandemic, has increased commodity prices, resulting in a significant increase in inflation,
which in turn has led to interest rate hikes. These developments have led to further challenges for monetary authorities and SEK’s
customers, and there is a risk that these economic effects could lead to a significant economic slowdown and potential recession in some
parts of the global economy if continued, which could adversely affect SEK’s business, results of operations and financial position.
In addition, if these negative global economic conditions persist or worsen, they can also amplify each other’s impact.
These economic effects could also have consequences for the companies
and industries that SEK provides financing to as well as the financial condition of SEK’s financial counterparties. In addition,
such economic effects could lead to further instability and lack of liquidity in capital markets, affecting SEK’s ability to access
funding on financial terms acceptable to it, and result in an increase in SEK’s cost of funding, which could have a material adverse
effect on SEK’s business prospects, financial condition or ability to fulfil its debt obligations.
Interim report January–September 2022 | Page 8 of 29 |
Financial targets
Profitability
target |
A
return on equity after tax of at least 5 percent. |
Dividend
policy |
Payment
of an ordinary dividend of 20-40 percent of the profit for the year. |
Capital
target |
SEK’s
total capital ratio is to exceed the Swedish FSA’s requirement by 2 to 4 percentage points and SEK’s Common Equity Tier
1 capital ratio is to exceed the Swedish FSA’s requirement by at least 4 percentage points. Currently, the capital targets
mean that the total capital ratio should amount to 18.4-20.4 percent and the Common Equity Tier 1 capital ratio should amount to
15.3 percent, based on SEK’s estimation of the Swedish FSA’s requirements as of September 30, 2022. |
Key performance indicators (unaudited)
Skr
mn (if not otherwise indicated) |
Jul-Sep
2022 |
Apr-Jun
2022 |
Jul-Sep
2021 |
Jan-Sep
2022 |
Jan-Sep
2021 |
Jan-Dec
2021 |
New
lending |
28,628 |
45,403 |
12,356 |
98,407 |
50,423 |
76,988 |
of
which to Swedish exporters |
10,912 |
22,223 |
5,871 |
38,434 |
16,555 |
25,075 |
of
which to exporters’ customers |
17,716 |
23,180 |
6,485 |
59,973 |
33,868 |
51,913 |
of
which green as a percentage of new lending1 |
2% |
12% |
– |
7% |
– |
15% |
of
which CIRR-loans as a percentage of new lending |
28% |
26% |
0% |
23% |
18% |
15% |
Total
lending |
275,638 |
263,031 |
228,842 |
275,638 |
228,842 |
237,224 |
of
which green1 |
9.1% |
8.7% |
– |
9.1% |
– |
7.5% |
of
which social1 |
0.2% |
0.1% |
– |
0.2% |
– |
– |
of
which sustainability-linked1 |
1.4% |
1.5% |
– |
1.4% |
– |
0.5% |
Loans,
outstanding and undisbursed |
350,984 |
330,819 |
279,598 |
350,984 |
279,598 |
291,095 |
|
|
|
|
|
|
|
Customer
growth1 |
3% |
4% |
– |
8% |
– |
11% |
|
|
|
|
|
|
|
New
long-term borrowings |
25,677 |
9,906 |
18,563 |
55,694 |
62,003 |
81,103 |
New
short-term borrowings |
6,372 |
10,099 |
876 |
37,675 |
2,631 |
6,409 |
New
green borrowings |
– |
7,501 |
2,100 |
9,001 |
6,100 |
6,100 |
Outstanding
senior debt |
343,007 |
315,378 |
287,423 |
343,007 |
287,423 |
295,000 |
|
|
|
|
|
|
|
After-tax
return on equity |
7.4% |
3.3% |
6.3% |
4.3% |
5.2% |
5.1% |
|
|
|
|
|
|
|
Common
Equity Tier 1 capital ratio |
20.0% |
19.7% |
22.6% |
20.0% |
22.6% |
21.6% |
Tier
1 capital ratio |
20.0% |
19.7% |
22.6% |
20.0% |
22.6% |
21.6% |
Total
capital ratio |
20.0% |
19.7% |
22.6% |
20.0% |
22.6% |
21.6% |
Leverage
ratio |
8.4% |
8.5% |
9.7% |
8.4% |
9.7% |
9.3% |
Liquidity
coverage ratio (LCR) |
301% |
597% |
1,399% |
301% |
1,399% |
463% |
Net
stable funding ratio (NSFR) |
122% |
122% |
141% |
122% |
141% |
139% |
Risk
exposure amount |
102,416 |
101,898 |
87,526 |
102,416 |
87,526 |
92,140 |
1 New
key performance indicators to which there is no comparative historical information. |
See definitions on page 28.
Interim report January–September 2022 | Page 9 of 29 |
Condensed Consolidated Statement of Comprehensive Income (unaudited)
Skr
mn |
Note |
Jul-Sep 2022 |
Apr-Jun 2022 |
Jul-Sep 2021 |
Jan-Sep 2022 |
Jan-Sep 2021 |
Jan-Dec 2021 |
Interest
income |
|
1,926 |
994 |
678 |
3,605 |
2,016 |
2,719 |
Interest
expenses |
|
-1,385 |
-489 |
-206 |
-2,074 |
-591 |
-812 |
Net
interest income |
2 |
541 |
505 |
472 |
1,531 |
1,425 |
1,907 |
|
|
|
|
|
|
|
|
Net
fee and commission expense |
|
-7 |
-8 |
-6 |
-22 |
-23 |
-29 |
Net
results of financial transactions |
3 |
108 |
-92 |
23 |
-154 |
15 |
56 |
Total
operating income |
|
642 |
405 |
489 |
1,355 |
1,417 |
1,934 |
|
|
|
|
|
|
|
|
Personnel
expenses |
|
-85 |
-102 |
-76 |
-279 |
-263 |
-359 |
Other
administrative expenses |
|
-48 |
-56 |
-49 |
-160 |
-165 |
-231 |
Depreciation
and impairment of non-financial assets |
|
-15 |
-15 |
-11 |
-44 |
-34 |
-80 |
Total
operating expenses |
|
-148 |
-173 |
-136 |
-483 |
-462 |
-670 |
|
|
|
|
|
|
|
|
Operating
profit before credit losses |
|
494 |
232 |
353 |
872 |
955 |
1,264 |
|
|
|
|
|
|
|
|
Net
credit losses |
4 |
-5 |
-19 |
49 |
-22 |
50 |
41 |
Operating
profit |
|
489 |
213 |
402 |
850 |
1,005 |
1,305 |
|
|
|
|
|
|
|
|
Tax
expenses |
|
-101 |
-42 |
-83 |
-175 |
-207 |
-271 |
Net
profit1 |
|
388 |
171 |
319 |
675 |
798 |
1,034 |
|
|
|
|
|
|
|
|
Other
comprehensive income related to: |
|
|
|
|
|
|
|
Items
to be reclassified to profit or loss |
|
|
|
|
|
|
|
Derivatives
in cash flow hedges |
|
-115 |
– |
– |
-115 |
– |
– |
Tax
on items to be reclassified to profit or loss |
|
24 |
– |
– |
24 |
– |
– |
Net
items to be reclassified to profit or loss |
|
-91 |
– |
– |
-91 |
– |
– |
Items
not to be reclassified to profit or loss |
|
|
|
|
|
|
|
Own
credit risk |
|
20 |
-6 |
-11 |
84 |
-31 |
-24 |
Revaluation
of defined benefit plans |
|
-2 |
16 |
6 |
44 |
41 |
24 |
Tax
on items not to be reclassified to profit or loss |
|
-3 |
-3 |
1 |
-27 |
-2 |
0 |
Net
items not to be reclassified to profit or loss |
|
15 |
7 |
-4 |
101 |
8 |
0 |
|
|
|
|
|
|
|
|
Total
other comprehensive income |
|
-76 |
7 |
-4 |
10 |
8 |
0 |
|
|
|
|
|
|
|
|
Total
comprehensive income1 |
|
312 |
178 |
315 |
685 |
806 |
1,034 |
|
|
|
|
|
|
|
|
Skr |
|
|
|
|
|
|
|
Basic
and diluted earnings per share2 |
|
97 |
43 |
80 |
169 |
200 |
259 |
1 The
entire profit is attributable to the shareholder of the Parent Company.
2 Net
profit divided by average number of shares, which amounts to 3,990,000 for each period. |
Interim report January–September 2022 | Page 10 of 29 |
Consolidated Statement of Financial Position (unaudited)
Skr
mn |
Note |
September 30,
2022 |
December 31,
2021 |
Assets |
|
|
|
Cash and cash equivalents |
5 |
2,923 |
11,128 |
Treasuries/government bonds |
5 |
13,307 |
10,872 |
Other interest-bearing securities except loans |
5 |
59,734 |
45,881 |
Loans in the form of interest-bearing securities |
4, 5 |
52,300 |
46,578 |
Loans to credit institutions |
4, 5 |
28,246 |
20,775 |
Loans to the public |
4, 5 |
211,275 |
180,288 |
Derivatives |
5, 6 |
21,700 |
8,419 |
Tangible and intangible assets |
|
336 |
331 |
Deferred tax asset |
|
0 |
11 |
Other assets |
|
1,206 |
7,451 |
Prepaid expenses and accrued
revenues |
|
3,621 |
1,913 |
Total assets |
|
394,648 |
333,647 |
|
|
|
|
Liabilities and equity |
|
|
|
Borrowing from credit institutions |
5 |
20,632 |
5,230 |
Borrowing from the public |
5 |
– |
10,000 |
Debt securities issued |
5 |
322,375 |
279,770 |
Derivatives |
5, 6 |
17,850 |
14,729 |
Other liabilities |
|
9,445 |
1,167 |
Accrued expenses and prepaid revenues |
|
3,249 |
1,875 |
Provisions |
|
18 |
68 |
Total liabilities |
|
373,569 |
312,839 |
|
|
|
|
Share capital |
|
3,990 |
3,990 |
Reserves |
|
-119 |
-129 |
Retained earnings |
|
17,208 |
16,947 |
Total equity |
|
21,079 |
20,808 |
|
|
|
|
Total liabilities and equity |
|
394,648 |
333,647 |
Interim report January–September 2022 | Page 11 of 29 |
Condensed Consolidated Statement of Changes in Equity
(unaudited)
Skr mn |
Equity |
Share capital |
Reserves |
Retained
earnings |
Hedge
reserve |
Own
credit risk |
Defined
benefit plans |
Opening
balance of equity January 1, 2021 |
20,064 |
3,990 |
– |
-84 |
-45 |
16,203 |
Net
profit Jan-Sep 2021 |
798 |
|
|
|
|
798 |
Other
comprehensive income Jan-Sep 2021 |
8 |
|
|
-24 |
32 |
|
Total
comprehensive income Jan-Sep 2021 |
806 |
– |
– |
-24 |
32 |
798 |
Dividend |
-290 |
|
|
|
|
-290 |
Closing
balance of equity September 30, 20211 |
20,580 |
3,990 |
– |
-108 |
-13 |
16,711
|
|
|
|
|
|
|
|
Opening
balance of equity January 1, 2021 |
20,064 |
3,990 |
– |
-84 |
-45 |
16,203 |
Net
profit Jan-Dec 2021 |
1,034 |
|
|
|
|
1,034 |
Other
comprehensive income Jan-Dec 2021 |
0 |
|
|
-18 |
18 |
|
Total
comprehensive income Jan-Dec 2021 |
1,034 |
– |
– |
-18 |
18 |
1,034 |
Dividend |
-290 |
|
|
|
|
-290 |
Closing
balance of equity December 31, 20211 |
20,808 |
3,990 |
– |
-102 |
-27 |
16,947 |
|
|
|
|
|
|
|
Opening
balance of equity January 1, 2022 |
20,808 |
3,990 |
– |
-102 |
-27 |
16,947 |
Net
profit Jan-Sep 2022 |
675 |
|
|
|
|
675 |
Other
comprehensive income Jan-Sep 2022 |
10 |
|
-91 |
66 |
35 |
|
Total
comprehensive income Jan-Sep 2022 |
685 |
– |
-91 |
66 |
35 |
675 |
Dividend |
-414 |
|
|
|
|
-414 |
Closing
balance of equity September 30, 20221 |
21,079 |
3,990 |
-91 |
-36 |
8 |
17,208 |
1 The
entire equity is attributable to the shareholder of the Parent Company. |
Interim report January–September 2022 | Page 12 of 29 |
Condensed Statement of Cash Flows in the Consolidated Group (unaudited)
Skr mn |
Jan-Sep
2022 |
Jan-Sep
2021 |
Jan-Dec
2021 |
Operating activities |
|
|
|
Operating profit |
850 |
1,005 |
1,305 |
Adjustments for non-cash items in operating profit |
93 |
-145 |
69 |
Income tax paid |
-303 |
-197 |
-263 |
Changes in assets and liabilities from
operating activities |
-30,439 |
17,770 |
19,464 |
Cash flow from operating activities |
-29,799 |
18,433 |
20,575 |
|
|
|
|
Investing activities |
|
|
|
Capital expenditures |
-49 |
-63 |
-242 |
Cash flow from investing activities |
-49 |
-63 |
-242 |
|
|
|
|
Financing activities |
|
|
|
Change in senior debt |
12,180 |
-12,752 |
-10,958 |
Derivatives, net |
8,597 |
-1,705 |
-1,523 |
Dividend paid |
-414 |
-290 |
-290 |
Payment of lease liability |
-15 |
-18 |
-24 |
Cash flow from financing activities |
20,348 |
-14,765 |
-12,795 |
|
|
|
|
Cash flow for the period |
-9,500 |
3,605 |
7,538 |
|
|
|
|
Cash and cash equivalents at beginning of the period |
11,128 |
3,362 |
3,362 |
Cash flow for the period |
-9,500 |
3,605 |
7,538 |
Exchange-rate differences on cash and
cash equivalents |
1,295 |
209 |
228 |
Cash and cash equivalents
at end of the period1 |
2,923 |
7,176 |
11,128 |
1 | Cash
and cash equivalents include, in this context, cash at banks that can be immediately converted
into cash and short-term deposits for which the time to maturity does not exceed three months from trade date. |
Interim report January–September 2022 | Page 13 of 29 |
Notes
Note 1. Accounting policies
Note 2. Net interest income
Note 3. Net results of financial transactions
Note 4. Impairments
Note 5. Financial assets and liabilities
at fair value
Note 6. Derivatives
Note 7. CIRR-system
Note 8. Pledged assets and contingent
liabilities
Note 9. Capital adequacy
Note 10. Exposures
Note 11. Reference interest rate reform
Note 12. Transactions with related
parties
Note 13. Events after the reporting
period
References to “SEK” or the “Parent Company”
are to AB Svensk Exportkredit. References to “Consolidated Group” are to SEK and its consolidated subsidiary. All amounts
are in Skr million, unless otherwise indicated. All figures relate to the Consolidated Group, unless otherwise indicated.
Note 1. Accounting policies
This condensed interim report is presented in accordance with International
Accounting Standard (IAS) 34, Interim Financial Reporting. The Consolidated Group’s consolidated accounts have been prepared
in accordance with the International Financial Reporting Standards (IFRS) as issued by the International Accounting Standards Board (IASB),
together with the interpretations from IFRS Interpretations Committee (IFRS IC). The IFRS standards applied by SEK are all endorsed by
the European Union (EU). The accounting also follows the additional standards imposed by the Annual Accounts Act for Credit Institutions
and Securities Companies (1995:1559) (ÅRKL) and the regulation and general guidelines issued by Finansinspektionen (the Swedish
FSA), “Annual Reports in Credit Institutions and Securities Companies” (FFFS 2008:25). In addition to this, the supplementary
accounting rules for groups (RFR 1) issued by the Swedish Financial Reporting Board have been applied. SEK also follows the state’s
principles for external reporting in accordance with its State Ownership Policy and principles for state-owned enterprises.
The accounting policies, methods of computation and presentation
of the Consolidated Group are, in all material aspects, the same as those used for the 2021 annual financial statements included in SEK’s
2021 Annual Report on Form 20-F. SEK analyzes and assesses the application and impact of changes in financial reporting standards
that are applied within the Group. Changes that are not mentioned are either not applicable to SEK or have been determined to not have
a material impact on SEK’s financial reporting.
There are no IFRS or IFRS Interpretations Committee interpretations
that are not yet applicable that are expected to have a material impact on SEK’s financial statements, capital adequacy or large
exposure ratios.
Interim report January–September 2022 | Page 14 of 29 |
Note 2. Net interest income
Skr mn |
Jul-Sep
2022 |
Apr-Jun
2022 |
Jul-Sep
2021 |
Jan-Sep
2022 |
Jan-Sep
2021 |
Jan-Dec
2021 |
Interest income |
|
|
|
|
|
|
Loans to credit institutions |
163 |
73 |
35 |
275 |
102 |
131 |
Loans to the public |
1,343 |
1,082 |
948 |
3,408 |
2,787 |
3,782 |
Loans in the form of interest-bearing securities |
302 |
207 |
199 |
705 |
583 |
776 |
Interest-bearing securities excluding loans in the form of
interest-bearing securities |
130 |
40 |
9 |
182 |
40 |
50 |
Derivatives |
-81 |
-475 |
-568 |
-1,162 |
-1,655 |
-2,239 |
Administrative remuneration CIRR-system |
61 |
58 |
50 |
176 |
143 |
198 |
Other assets |
8 |
9 |
5 |
21 |
16 |
21 |
Total interest income1 |
1,926 |
994 |
678 |
3,605 |
2,016 |
2,719 |
Interest expenses |
|
|
|
|
|
|
Interest expenses |
-1,336 |
-443 |
-184 |
-1,927 |
-525 |
-724 |
Resolution fee |
-22 |
-19 |
-22 |
-66 |
-66 |
-88 |
Risk tax |
-27 |
-27 |
– |
-81 |
– |
– |
Total interest expenses |
-1,385 |
-489 |
-206 |
-2,074 |
-591 |
-812 |
Net interest income |
541 |
505 |
472 |
1,531 |
1,425 |
1,907 |
1 | Interest income calculated using
the effective interest method amounted to Skr 4,152 million during January-September 2022 (9M21: Skr 3,157 million). |
Note 3. Net results of financial transactions
Skr
mn |
Jul-Sep
2022 |
Apr-Jun
2022 |
Jul-Sep
2021 |
Jan-Sep
2022 |
Jan-Sep
2021 |
Jan-Dec
2021 |
Derecognition
of financial instruments not measured at fair value through profit or loss |
2 |
1 |
1 |
3 |
31 |
33 |
Financial
assets or liabilities at fair value through profit or loss |
70 |
-171 |
19 |
-252 |
-20 |
13 |
Financial
instruments under fair-value hedge accounting |
39 |
85 |
4 |
105 |
7 |
12 |
Currency exchange-rate effects on all assets and liabilities excl. currency
exchange-rate effects related to revaluation at fair value |
-3 |
-7 |
-1 |
-10 |
-3 |
-2 |
Total
net results of financial transactions |
108 |
-92 |
23 |
-154 |
15 |
56 |
Interim report January–September 2022 | Page 15 of 29 |
Note 4. Impairments
Skr
mn |
Jul-Sep
2022 |
Apr-Jun
2022 |
Jul-Sep
2021 |
Jan-Sep
2022 |
Jan-Sep
2021 |
Jan-Dec
2021 |
Expected
credit losses, stage 1 |
-6 |
-23 |
27 |
-38 |
63 |
60 |
Expected
credit losses, stage 2 |
-2 |
3 |
10 |
7 |
28 |
29 |
Expected
credit losses, stage 3 |
0 |
-5 |
12 |
-3 |
-45 |
-46 |
Established
losses |
– |
– |
-7 |
– |
-10 |
-52 |
Reserves
applied to cover established credit losses |
– |
– |
7 |
– |
10 |
49 |
Recovered
credit losses |
3 |
6 |
0 |
12 |
4 |
1 |
Net
credit losses |
-5 |
-19 |
49 |
-22 |
50 |
41 |
Skr
mn |
September 30,
2022 |
December 31,
2021 |
Stage
1 |
Stage
2 |
Stage
3 |
Total |
Total |
Loans,
before expected credit losses |
234,370 |
38,633 |
2,840 |
275,843 |
237,381 |
Off-balance
sheet exposures, before expected credit losses |
56,214 |
25,116 |
42 |
81,372 |
60,148 |
Total,
before expected credit losses |
290,584 |
63,749 |
2,882 |
357,215 |
297,529 |
Loss
allowance, loans |
-125 |
-22 |
-59 |
-206 |
-157 |
Loss
allowance, off-balance sheet exposures1 |
-5 |
0 |
– |
-5 |
-7 |
Total
loss allowance |
-130 |
-22 |
-59 |
-211 |
-164 |
Provision
ratio (in percent) |
0.04 |
0.03 |
2.05 |
0.06 |
0.06 |
1 | Recognized under provision in
Consolidated Statement of Financial Position. Off-balance sheet exposures consist of guarantee commitments, committed undisbursed loans
and binding offers, see Note 8. |
The table above shows the book value of loans and nominal amounts for
off-balance sheet exposures before expected credit losses for each stage as well as related loss allowance amounts, in order to place
expected credit losses in relation to credit exposures. Overall, the credit portfolio has an extremely high credit quality and SEK
often uses risk mitigation measures, primarily through guarantees from
the Swedish Export Credit Agency (EKN) and other government export credit agencies in the Organisation for Economic Co-operation and
Development (OECD), which explains the low provision ratio.
Loss Allowance
|
September 30,
2022 |
December 31,
2021 |
Skr
mn |
Stage
1 |
Stage
2 |
Stage
3 |
Total |
Total |
Opening
balance January 1 |
-88 |
-28 |
-48 |
-164 |
-249 |
Increases
due to origination and acquisition |
-52
|
-1 |
–
|
-53
|
-65 |
Net
remeasurement of loss allowance |
-6
|
13
|
7
|
14
|
21 |
Transfer
to stage 1 |
0
|
0 |
– |
0 |
0 |
Transfer
to stage 2 |
1 |
-10
|
– |
-9 |
-4 |
Transfer
to stage 3 |
1 |
4
|
-10
|
-5
|
-19 |
Decreases
due to derecognition |
18
|
1 |
0 |
19
|
110 |
Decrease
in allowance account due to write-offs |
– |
– |
– |
–
|
49 |
Exchange-rate
differences1 |
-4
|
-1
|
-8
|
-13
|
-7 |
Closing
balance |
-130
|
-22
|
-59
|
-211
|
-164 |
1 | Recognized under net results
of financial transactions in Statement of Comprehensive Income. |
Provisions for expected credit losses (ECLs) are calculated using quantitative models
based on inputs, assumptions and methods that are highly reliant on assessments. In particular, the following could heavily impact the
level of provisions: the establishment of a material increase in credit risk, allowing for forward-looking macroeconomic scenarios, and
the measurement of both ECLs over the next 12 months and lifetime ECLs. ECLs are based on objective assessments of what SEK expects to
lose on the exposures given what was known on the reporting date and taking into account possible future events. The ECL is a probability-weighted
amount that is determined by evaluating the outcome of several possible scenarios and where the data taken into consideration comprises
information from previous conditions, current conditions and projections of future economic conditions. SEK’s method entails three
scenarios being prepared for each probability of default curve: a base scenario, a downturn scenario, and an upturn scenario, where the
scenarios are expressed in a business cycle parameter. The business cycle parameter reflects the general | | risk
of default in each geographic segment. The parameter is standard normally distributed where
zero indicates a neutral economy as the economy has been on average, historically. The business
cycle parameters for the base scenario are between -0.20 and 0.02 for the various probability
of default (PD) segments. The base scenarios have been weighted at between 40 and 70 percent,
the downturn scenarios have been weighted at between 30 and 60 percent, and the upturn scenarios
have been weighted at zero percent between the different PD-segments. An improvement of the
PD model has taken place during the first quarter of 2022, which means, among other things,
that the difference between the base and downturn/upturn scenarios has increased and that
new data sources are used.
Due
to the current macroeconomic uncertainty, SEK has made an overall adjustment according to
management’s overall assessment. This resulted in an increase of expected credit losses,
which was calculated pursuant to SEK’s IFRS 9 model as of September 30, 2022. |
Interim report January–September 2022 | Page 16 of 29 |
Note 5. Financial assets and liabilities at fair value
Skr mn |
September 30, 2022 |
Book value |
Fair value |
Surplus
value (+)/
Deficit
value (–) |
Cash and cash equivalents |
2,923 |
2,923 |
– |
Treasuries/governments bonds |
13,307 |
13,307 |
– |
Other interest-bearing securities except loans |
59,734 |
59,734 |
– |
Loans in the form of interest-bearing securities |
52,300 |
52,152 |
-148 |
Loans to credit institutions |
28,246 |
27,996 |
-250 |
Loans to the public |
211,275 |
206,765 |
-4,510 |
Derivatives |
21,700 |
21,700 |
– |
Total financial assets |
389,485 |
384,577 |
-4,908 |
Borrowing from credit institutions |
20,632 |
20,632 |
– |
Borrowing from the public |
– |
– |
– |
Debt securities issued |
322,375 |
322,299 |
-76 |
Derivatives |
17,850 |
17,850 |
– |
Total financial liabilities |
360,857 |
360,781 |
-76 |
Skr mn |
December 31, 2021 |
Book value |
Fair value |
Surplus
value (+)/
Deficit
value (–) |
Cash and cash equivalents |
11,128 |
11,128 |
– |
Treasuries/governments bonds |
10,872 |
10,872 |
– |
Other interest-bearing securities except loans |
45,881 |
45,881 |
– |
Loans in the form of interest-bearing securities |
46,578 |
47,991 |
1,413 |
Loans to credit institutions |
20,775 |
20,993 |
218 |
Loans to the public |
180,288 |
186,436 |
6,148 |
Derivatives |
8,419 |
8,419 |
– |
Total financial assets |
323,941 |
331,720 |
7,779 |
Borrowing from credit institutions |
5,230 |
5,230 |
– |
Borrowing from the public |
10,000 |
10,000 |
– |
Debt securities issued |
279,770 |
280,294 |
524 |
Derivatives |
14,729 |
14,729 |
– |
Total financial liabilities |
309,729 |
310,253 |
524 |
Determination of fair value
The determination of fair value is described in the annual financial statements included in SEK’s 2021 Annual Report on Form 20-F, see Note 1 (h) (viii) Principles for determination of fair value of | |
financial instruments and (ix) Determination of fair value of certain types of financial instruments. |
Interim report January–September 2022 | Page 17 of 29 |
Financial assets in fair value hierarchy
Skr mn |
Financial assets at fair value |
Level 1 |
Level 2 |
Level 3 |
Total |
Treasuries/governments bonds |
4,264 |
9,043 |
– |
13,307 |
Other interest-bearing securities except loans |
24,175 |
35,559 |
– |
59,734 |
Derivatives |
– |
21,600 |
100 |
21,700 |
Total, September 30, 2022 |
28,439 |
66,202 |
100 |
94,741 |
Total, December 31, 2021 |
32,187 |
32,499 |
486 |
65,172 |
Financial liabilities in fair value hierarchy
Skr mn |
Financial liabilities at fair value |
Level 1 |
Level 2 |
Level 3 |
Total |
Debt securities issued |
– |
6,299 |
27,881 |
34,180 |
Derivatives |
– |
10,809 |
7,041 |
17,850 |
Total, September 30, 2022 |
– |
17,108 |
34,922 |
52,030 |
Total, December 31, 2021 |
– |
18,967 |
35,078 |
54,045 |
There were no transfers between levels during the period (year-end 2021: a transfer of Skr -1 million for derivatives was made from level 2 to level 3, due to larger elements of assessment in the valuation). |
|
Financial assets and liabilities at fair value in Level 3, 2022
Skr mn |
January 1,
2022 |
Purchases |
Settlements &
sales |
Transfers
to Level 3 |
Transfers
from
Level 3 |
Gains (+) and
losses (–)
through profit
or loss1 |
Gains (+) and
losses (–) in
Other
comprehensive
income |
Exchange-
rate
differences |
September
30, 2022 |
Debt securities issued |
-32,555 |
-4,718 |
8,495 |
– |
– |
2,852 |
-37 |
-1,918 |
-27,881 |
Derivatives, net |
-2,037 |
0 |
187 |
– |
– |
-690 |
– |
-4,401 |
-6,941 |
Net assets and liabilities |
-34,592 |
-4,718 |
8,682 |
– |
– |
2,162 |
-37 |
-6,319 |
-34,822 |
Financial assets and liabilities at fair value in Level 3, 2021
Skr mn |
January 1,
2021 |
Purchases |
Settlements &
sales |
Transfers
to Level 3 |
Transfers
from
Level 3 |
Gains (+) and
losses (–)
through profit
or loss1 |
Gains (+) and
losses (–) in
Other
comprehensive
income |
Exchange-
rate
differences |
December
31, 2021 |
Debt securities issued |
-41,198 |
-10,372 |
19,337 |
– |
– |
196 |
-36 |
-482 |
-32,555 |
Derivatives, net |
-263 |
5 |
-599 |
-1 |
– |
411 |
– |
-1,590 |
-2,037 |
Net assets and liabilities |
-41,461 |
-10,367 |
18,738 |
-1 |
– |
607 |
-36 |
-2,072 |
-34,592 |
| 1 | Gains and losses through profit
or loss, including the impact of exchange-rates, is reported as net interest income and net results of financial transactions. The unrealized
fair value changes for assets and liabilities, including the impact of exchange rates, held as of September 30, 2022, amounted to
a Skr 2,159 million gain (year-end 2021: Skr 594 million gain) and are reported as net results of financial transactions. |
Uncertainty of valuation of Level 3 instruments
As the estimation of parameters included in the models used to calculate the market value of Level 3 instruments is associated with subjectivity and uncertainty, SEK has conducted an analysis of the difference in fair value of Level 3 instruments using other established parameter values. Option models and discounted cash flows are used to value the Level 3 instruments. For the Level 3 instruments that are significantly affected by different types of correlations, which are not based on observable market data, a revaluation has been made by shifting the correlations. The correlation is expressed as a value between 1 and –1, where 0 indicates no relationship, 1 indicates a maximum positive relationship and -1 indicates a maximum negative relationship. The maximum correlation in the range of unobservable inputs can thus be from 1 to –1. In the analysis, the correlations have been adjusted by +/– 0.12, which represents the level SEK uses within its prudent valuation framework. For Level 3 instruments that are significantly affected by non-observable market data | |
in the form of SEK’s own creditworthiness, a revaluation has been made by shifting the credit curve. The revaluation is made by shifting the credit spreads by +/– 10 basis points, which has been assessed as a reasonable change in SEK’s credit spread. The analysis shows the impact of the non-observable market data on the market value. In addition, the market value will be affected by observable market data. The result of the analysis corresponds with SEK’s business model where issued securities are linked with a matched hedging derivative. The underlying market data is used to evaluate the issued security as well as to evaluate the fair value in the derivative. This means that a change in fair value of the issued security, excluding SEK’s own credit spread, is offset by an equally large change in fair value in the derivative. |
Interim report January–September 2022 | Page 18 of 29 |
Sensitivity analysis – level 3 assets and liabilities
Assets and liabilities |
September 30, 2022 |
Skr mn |
Fair Value |
Unobservable
input |
Range of estimates
for unobservable
input |
Valuation method |
Sensitivity
max |
Sensitivity
min |
Equity |
-4,409 |
Correlation |
0.12 – (0.12) |
Option Model |
-13 |
13 |
Interest rate |
4 |
Correlation |
0.12 – (0.12) |
Option Model |
0 |
0 |
FX |
-2,420 |
Correlation |
0.12 – (0.12) |
Option Model |
-34 |
34 |
Other |
-116 |
Correlation |
0.12 – (0.12) |
Option Model |
0 |
0 |
Sum derivatives, net |
-6,941 |
|
|
|
-47 |
47 |
Equity |
-10,797 |
Correlation |
0.12 – (0.12) |
Option Model |
13 |
-13 |
|
|
Credit spreads |
10BP – (10BP) |
Discounted cash flow |
15 |
-15 |
Interest rate |
-8,572 |
Correlation |
0.12 – (0.12) |
Option Model |
0 |
0 |
|
|
Credit spreads |
10BP – (10BP) |
Discounted cash flow |
98 |
-98 |
FX |
-8,326 |
Correlation |
0.12 – (0.12) |
Option Model |
36 |
-36 |
|
|
Credit spreads |
10BP – (10BP) |
Discounted cash flow |
34 |
-34 |
Other |
-186 |
Correlation |
0.12 – (0.12) |
Option Model |
0 |
0 |
|
|
Credit spreads |
10BP – (10BP) |
Discounted cash flow |
1 |
-1 |
Sum debt securities issued |
-27,881 |
|
|
|
197 |
-197 |
Total effect on total comprehensive income |
|
|
|
|
150 |
-150 |
Derivatives, net, December 31, 2021 |
-2,037 |
|
|
|
-59 |
59 |
Debt securities issued, December 31, 2021 |
-32,555 |
|
|
|
181 |
-181 |
Total effect on total comprehensive income, December 31, 2021 |
|
|
|
|
122 |
-122 |
The sensitivity analysis shows the effect that a shift in correlations or SEK’s own credit spread has on Level 3 instruments. The table presents maximum positive and negative change in fair value when correlations or SEK’s own credit spread is shifted by +/– 0.12 and +/– 10 basis | |
points, respectively. When determining the total maximum/minimum effect on total comprehensive income the most adverse/favorable shift is chosen, considering the net exposure arising from the issued securities and the derivatives, for each correlation. |
Fair value related to credit risk
|
Fair
value originating from credit risk
(- liabilities
increase/ + liabilities decrease) |
The period’s change in fair value originating
from credit risk (+ income/ - loss) |
Skr mn |
September 30,
2022 |
31 December
2021 |
Jan–Sep
2022 |
Jan–Sep
2021 |
CVA/DVA, net1 |
-58 |
-14 |
-44 |
5 |
OCA2 |
-48 |
-132 |
84 |
-31 |
| 1 | Credit value adjustment (CVA) and Debt value adjustment (DVA) reflects how the counterparties’
credit risk as well as SEK’s own credit rating affects the fair value of derivatives. |
| 2 | Own credit adjustment (OCA) reflects how the changes in SEK’s
credit rating affects the fair value of financial liabilities measured at fair value through profit and loss. |
Interim report January–September 2022 | Page 19 of 29 |
Note 6. Derivatives
Derivatives by category
Skr mn |
September 30, 2022 |
December 31, 2021 |
Assets
Fair value |
Liabilities
Fair value |
Nominal
amounts |
Assets
Fair value |
Liabilities
Fair value |
Nominal
amounts |
Interest rate-related contracts |
2,724 |
2,669 |
440,770 |
3,192 |
9,464 |
361,160 |
Currency-related contracts |
18,874 |
9,768 |
195,838 |
5,218 |
3,518 |
157,362 |
Equity-related contracts |
6 |
4,415 |
12,409 |
2 |
895 |
9,801 |
Contracts related to commodities, credit risk, etc. |
96 |
998 |
8,402 |
7 |
852 |
3,521 |
Total derivatives |
21,700 |
17,850 |
657,419 |
8,419 |
14,729 |
531,844 |
In accordance with
SEK’s policies with regard to counterparty, interest rate, currency exchange, and other exposures, SEK uses, and is a party
to, different kinds of derivative instruments, mostly various interest rate-related and currency exchange-related contracts, | |
primarily to hedge
risk exposure inherent in financial assets and liabilities. These contracts are carried at fair value in the statements of financial
position on a contract-by-contract basis. |
Note 7. CIRR-system
Pursuant to the company’s assignment as stated in its owner instruction issued by the Swedish government, SEK administers credit granting in the Swedish system for officially supported export credits (CIRR-system). SEK receives compensation from the Swedish government in the form of an administrative compensation, which is calculated based on the principal amount outstanding.
The administrative compensation paid by the state to SEK is recognized in the CIRR-system as administrative remuneration to SEK. Refer to the following tables of the statement of comprehensive income and statement of financial positions for the CIRR-system, presented as reported to the owner. Interest expenses includes interest expenses for loans between SEK and the CIRR-system which reflects the borrowing cost for the CIRR-system. Interest expenses for derivatives hedging CIRR-loans are also recognized as interest | |
expenses, which differs from SEK’s accounting principles. Arrangement fees to SEK are recognized together with other arrangement fees as interest expenses.
In addition to the CIRR-system, SEK administers the Swedish government’s previous concessionary credit program according to the same principles as the CIRR-system. No new lending is being offered under the concessionary credit program. As of September 30, 2022, concessionary loans outstanding amounted to Skr 386 million (year-end 2021: Skr 315 million) and operating profit for the program amounted to Skr -14 million (9M21: Skr -16 million) for the period January-September 2022. SEK’s administrative compensation for administrating the concessionary credit program amounted to Skr 1 million (9M21: Skr 1 million). |
Statement of Comprehensive Income for the CIRR-system
Skr mn |
Jul-Sep
2022 |
Apr-Jun
2022 |
Jul-Sep
2021 |
Jan-Sep
2022 |
Jan-Sep
2021 |
Jan-Dec
2021 |
Interest income |
568 |
556 |
541 |
1,681 |
1,527 |
2,105 |
Interest expenses |
-520 |
-517 |
-514 |
-1,550 |
-1,529 |
-2,061 |
Interest compensation |
– |
2 |
– |
2 |
7 |
7 |
Exchange-rate differences |
2 |
1 |
0 |
4 |
-1 |
-1 |
Profit before compensation to SEK |
50 |
42 |
27 |
137 |
4 |
50 |
Administrative remuneration to SEK |
-61 |
-58 |
-50 |
-175 |
-142 |
-197 |
Operating profit CIRR-system |
-11 |
-16 |
-23 |
-38 |
-138 |
-147 |
Reimbursement to (–) / from (+) the State |
11 |
16 |
23 |
38 |
138 |
147 |
Interim report January–September 2022 | Page 20 of 29 |
Statement of Financial Position for the CIRR-system
Skr
mn |
September 30,
2022 |
December 31,
2021 |
Cash and cash equivalents |
1 |
8 |
Loans |
98,310 |
87,872 |
Derivatives |
8,544 |
36 |
Other assets |
252 |
7,359 |
Prepaid expenses and accrued revenues |
1,484 |
470 |
Total assets |
108,591 |
95,745 |
Liabilities |
107,583 |
88,092 |
Derivatives |
– |
7,060 |
Accrued expenses and prepaid revenues |
1,008 |
593 |
Total liabilities |
108,591 |
95,745 |
Commitments |
|
|
Committed undisbursed loans |
56,005 |
39,084 |
Binding offers |
1,453 |
1,510 |
Note 8. Pledged assets and contingent liabilities
Skr
mn |
September 30,
2022 |
December 31,
2021 |
Collateral provided |
|
|
Cash collateral under the security agreements for derivative contracts |
16,184 |
10,417 |
Contingent liabilities1 |
|
|
Guarantee commitments |
4,394 |
4,767 |
Commitments1 |
|
|
Committed undisbursed loans |
75,346 |
53,871 |
Binding offers |
1,632 |
1,510 |
1 | For expected credit losses in
guarantee commitments, committed undisbursed loans and binding offers, see Note 4. |
Interim report January–September 2022 | Page 21 of 29 |
Note 9. Capital adequacy
The capital adequacy analysis relates to the parent company AB Svensk
Exportkredit. The information is disclosed according to FFFS 2014:12
and FFFS 2008:25. For further information on capital adequacy and
risks, see Note 30 to the annual financial statements included in SEK’s 2021
Annual Report on Form 20-F and see SEK’s
2021 Capital Adequacy and Risk Management (Pillar 3) Report.
Capital Adequacy Analysis
|
September 30,
2022 |
December 31,
2021 |
Capital ratios |
percent1 |
percent1 |
Common Equity Tier 1 capital ratio |
20.0 |
21.6 |
Tier 1 capital ratio |
20.0 |
21.6 |
Total capital ratio |
20.0 |
21.6 |
1 | Capital
ratios exclusive of buffer requirements are the quotients of the relevant capital measure
and the total risk exposure amount.
See tables Own funds – adjusting items and Minimum capital requirements exclusive of
buffer. |
|
September 30,
2022 |
December 31,
2021 |
Total
risk-based capital requirement |
Skr
mn |
percent1 |
Skr
mn |
percent1 |
Capital base requirement of 8 percent2 |
8,193 |
8.0 |
7,371 |
8.0 |
of which Tier 1 requirement of 6 percent |
6,145 |
6.0 |
5,528 |
6.0 |
of which minimum requirement of 4.5 percent |
4,609 |
4.5 |
4,146 |
4.5 |
Pillar 2 capital requirements3 |
3,759 |
3.7 |
3,382 |
3.7 |
Common Equity Tier 1 capital available to meet buffer requirements4 |
8,531 |
8.3 |
9,149 |
9.9 |
Capital buffer requirements |
3,344 |
3.2 |
2,333 |
2.5 |
of which Capital conservation buffer |
2,560 |
2.5 |
2,303 |
2.5 |
of which Countercyclical buffer |
784 |
0.7 |
30 |
0.0 |
Pillar 2 guidance5 |
1,536 |
1.5 |
1,382 |
1.5 |
Total risk-based capital requirement including Pillar 2 guidance |
16,832 |
16.4 |
14,468 |
15.7 |
| 1 | Expressed
as a percentage of total risk exposure amount. |
| 2 | The
minimum requirements according to CRR (Regulation (EU) No 575/2013 of the European Parliament
and of the Council of June 26, 2013 on prudential requirements for credit institutions
and investment firms and amending Regulation (EU) No 648/2012) have fully come into force
in Sweden without regard to the transitional period. |
| 3 | Individual
Pillar 2 requirement of 3.67 percent calculated on the total risk exposure amount, according
to the decision from the latest Swedish FSA Supervisory Review and Evaluation Process
(“SREP”) on September 29, 2021. |
|
4 | Common
Equity Tier 1 capital available to meet buffer requirement after 8 percent minimum capital
requirement (SEK covers all minimum requirements with CET1 capital, i.e., 4.5 percent,
1.5 percent and 2 percent) and after the Pillar 2 requirements (3.67 percent). The Pillar
2 requirement was not deducted in the previous year’s figure. |
| 5 | The
Swedish FSA notified SEK on September 29, 2021, within the latest SREP, that in addition
to the capital requirements according to Regulation (EU) no 575/2013 on prudential requirements,
SEK should hold additional capital (Pillar 2 guidance) of 1.50 percent of the total risk-weighted
exposure amount. The Pillar 2 guidance is not a binding requirement. |
|
September 30,
2022 |
December 31,
2021 |
Leverage
ratio1 |
Skr
mn |
Skr
mn |
On-balance sheet exposures |
237,182 |
209,889 |
Off-balance sheet exposures |
7,118 |
5,309 |
Total exposure measure |
244,300 |
215,198 |
Leverage ratio2 |
8.4% |
9.3% |
| 1 | The
leverage ratio reflects the full impact of IFRS 9 as no transitional rules were utilized. |
| 2 | Defined
by CRR as the quotient of the Tier 1 capital and an exposure measure. |
|
September 30,
2022 |
December 31,
2021 |
Total
Leverage ratio requirement |
Skr
mn |
percent1 |
Skr
mn |
percent1 |
Capital base requirement of 3 percent |
7,329 |
3.0 |
6,456 |
3.0 |
Pillar 2 guidance2 |
366 |
0.2 |
323 |
0.2 |
Total capital requirement relating to Leverage ratio including Pillar 2 guidance |
7,695 |
3.2 |
6,779 |
3.2 |
| 1 | Expressed
as a percentage of total exposure amount. |
| 2 | The
Swedish FSA has on September 29, 2021 notified SEK, within the latest SREP, that SEK
may hold additional capital (Pillar 2 guidance) of 0.15 percent calculated on the total
Leverage ratio exposure measure. The Pillar 2 guidance is not a binding requirement. |
Interim report January–September 2022 | Page 22 of 29 |
Own funds – Adjusting items
Skr
mn |
September 30,
2022 |
December 31,
2021 |
Share capital |
3,990 |
3,990 |
Retained earnings |
16,098 |
15,518 |
Accumulated other comprehensive income and other reserves |
253 |
323 |
Independently reviewed profit net of any foreseeable charge or dividend |
603 |
601 |
Common Equity Tier 1 (CET1) capital before regulatory adjustments |
20,944 |
20,432 |
Additional value adjustments due to prudent valuation |
-422 |
-395 |
Intangible assets1 |
-76 |
-99 |
Fair value reserves related to gains or losses on cash flow hedges |
91 |
– |
Gains or losses on liabilities valued at fair value resulting from changes in own credit standing |
24 |
98 |
Negative amounts resulting from the calculation of expected loss amounts |
-94 |
-111 |
Total regulatory adjustments to Common Equity Tier 1 capital |
-477 |
-507 |
Total Common Equity Tier 1 capital |
20,467 |
19,925 |
Total Own funds |
20,467 |
19,925 |
| 1 | From December 31, 2020,
SEK applies the amendments to Delegated Regulation (EU) No 241/2014 regarding deduction of software assets from Common Equity
Tier 1
(CET1). The amendments introduce an exemption from the deduction of intangible assets from CET1 for prudently valued software assets
of which the value is
not negatively affected by resolution, insolvency or liquidation of the institution. |
Minimum capital requirements exclusive of buffer
Skr mn |
September 30,
2022 |
December 31,
2021 |
EAD1 |
Risk exposure
amount |
Minimum
capital requirement |
EAD1 |
Risk exposure
amount |
Minimum
capital requirement |
Credit risk standardized method |
|
|
|
|
|
|
Corporates |
3,178 |
3,146 |
252 |
2,990 |
2,990 |
239 |
Exposures in default |
98 |
98 |
8 |
74 |
74 |
6 |
Total credit risk standardized method |
3,276 |
3,244 |
260 |
3,064 |
3,064 |
245 |
Credit risk IRB method |
|
|
|
|
|
|
Central Governments |
244,699 |
11,870 |
950 |
196,606 |
9,673 |
774 |
Financial institutions2 |
37,610 |
7,047 |
564 |
41,082 |
8,843 |
707 |
Corporates3 |
133,799 |
72,216 |
5,777 |
115,412 |
62,988 |
5,039 |
Assets without counterparty |
405 |
405 |
32 |
372 |
372 |
30 |
Total credit risk IRB method |
416,513 |
91,538 |
7,323 |
353,472 |
81,876 |
6,550 |
Credit valuation adjustment risk |
n.a. |
2,881 |
230 |
n.a. |
2,922 |
233 |
Foreign exchange risk |
n.a. |
1,115 |
89 |
n.a. |
645 |
52 |
Commodities risk |
n.a. |
16 |
1 |
n.a. |
11 |
1 |
Operational risk |
n.a. |
3,622 |
290 |
n.a. |
3,622 |
290 |
Total |
419,789 |
102,416 |
8,193 |
356,536 |
92,140 |
7,371 |
| 1 | Exposure
at default (EAD) shows the size of the outstanding exposure at default. |
| 2 | Of
which counterparty risk in derivatives: EAD Skr 6,741million (year-end 2021: Skr 5,975 million),
Risk exposure amount of Skr 2,221 million (year-end 2021: Skr 2,000 million) and
Capital requirement of Skr 178 million (year-end 2021: Skr 160 million). |
| 3 | Of
which related to specialized lending: EAD Skr 6,718 million (year-end 2021: 5,224 million),
Risk exposure amount of Skr 4,348 million (year-end 2021: Skr 3,589 million) and Capital
requirement of Skr 348 million (year-end 2021: Skr 287 million). |
Credit risk
For classification and quantification of credit risk, SEK uses the
internal ratings-based (IRB) approach. Specifically, SEK applies the Foundation Approach. Under the Foundation Approach, the company
determines the PD within one year for each of its counterparties, while the remaining parameters are established in accordance with
CRR. Application of the IRB approach requires the Swedish FSA’s permission and is subject to ongoing supervision. Certain
exposures are, by permission from the Swedish FSA, exempted from application of the IRB approach, and, instead, the standardized
approach is applied. In 2020, SEK reviewed its credit risk processes in order to comply with new regulatory requirements, EBA
Guidelines EBA/ GL/2016/07 and Commission Delegated Regulation (EU) 2018/171, on the definition of default. As a result, SEK
established a new internal
definition of default, which was subsequently approved by the
Swedish
FSA and later, on January 1, 2021, implemented in the IRB
approach for own funds requirements calculation. Counterparty risk
exposure
amounts in derivatives are calculated in accordance with
the standardized approach for counterparty credit risk. SEK has been
applying
a new standardized approach for counterparty credit risk
since June 30, 2021.
Credit valuation adjustment risk
Credit valuation adjustment risk is calculated for all over-the-
counter
derivative contracts, except for credit derivatives used as
credit protection and transactions with a qualifying central counterparty.
SEK calculates this capital requirement according to the
standardized method.
Interim report January–September 2022 | Page 23 of 29 |
Foreign exchange risk
Foreign exchange risk is calculated according to the standardized
approach, whereas the scenario approach is used for calculating
the gamma and volatility risks.
Commodities risk
Capital requirements for commodity risk are calculated in
accordance
with the simplified approach under the standardized
approach. The scenario approach is used for calculating the gamma
and volatility risks.
Operational risk
Capital requirement for operational risk is calculated according to
the standardized approach. The company’s operations are divided
into business areas as defined in the CRR. The capital requirement
for each area is calculated by multiplying a factor depending on the
business area by an income indicator. The factors applicable for
SEK
are 15 percent and 18 percent. The income indicators consist of the
average operating income for the past three financial years for
each
business area.
Transitional rules
The capital adequacy ratios reflect the full impact of IFRS 9 as no
transitional rules for IFRS 9 were utilized.
Capital buffer requirements
SEK expects to meet capital buffer requirements with Common Equity
Tier 1 capital. The mandatory capital conservation buffer is 2.5 percent. The countercyclical buffer rate that is applied to
exposures located in Sweden was increased from 0 percent to 1 percent as of September 29, 2022. As of
September 30, 2022, the capital requirement related to relevant exposures in Sweden was 70 percent (year-end 2021: 68
percent) of the total relevant capital requirement regardless of location; this fraction is also the weight applied on the
Swedish buffer rate when calculating SEK’s countercyclical capital buffer. On June 21, 2022, the Swedish FSA decided
to further increase the countercyclical buffer rate to 2 percent, which will take effect on June 22, 2023. Buffer rates
applicable in other countries may have effects on SEK, but as most capital requirements for SEK’s relevant credit
exposures are related to Sweden, the potential effect is limited. As of September 30, 2022, the contribution to SEK’s
countercyclical buffer from buffer rates in other countries was 0.07 percentage points (year-end 2021: 0.03 percentage
points). SEK has not been classified as a systemically important institution by the Swedish FSA. The capital buffer
requirements for systemically important institutions that came into force January 1, 2016, therefore do not apply to
SEK.
Pillar 2 guidance
The Swedish FSA will in connection with the Supervisory Review and
Evaluation Process (”SREP”) determine appropriate levels for the institution’s own funds. The Swedish FSA will
then inform the institution of the differences between the appropriate levels and requirements under the Supervisory Regulation, the
Buffer Act and the Pillar 2 requirements. These notifications are called Pillar 2 guidance. The Pillar 2 guidance covers both the
risk-based capital requirement and the leverage ratio requirement.
Internally assessed economic capital
Skr mn |
September 30,
2022 |
December 31,
2021 |
Credit risk |
7,054 |
6,038 |
Operational risk |
225 |
225 |
Market risk |
1,300 |
1,247 |
Other risks |
230 |
234 |
Capital planning buffer |
1,610 |
1,610 |
Total |
10,419 |
9,354 |
SEK regularly conducts an internal capital adequacy assessment
process, during which the company determines how much capital is needed in order to cover its risks. The result of SEK’s
assessment of capital adequacy is presented above. For more information regarding the internal capital adequacy assessment
process and its methods, please see Note 30 to the annual financial statements included in SEK’s 2021 Annual Report on
Form 20-F.
Liquidity coverage
Skr bn, 12 month
average |
September 30,
2022 |
December 31,
2021 |
Total liquid assets |
55.4 |
56.1 |
Net liquidity outflows1 |
8.9 |
10.1 |
Liquidity outflows |
22.7 |
21.2 |
Liquidity inflows |
15.5 |
12.2 |
Liquidity Coverage Ratio |
847% |
695% |
| 1 | Net liquidity outflows is calculated as the net of liquidity outflows
and capped liquidity inflows. Capped liquidity inflows is calculated in accordance with article 425 of CRR (EU 575/2013) and article
33 of the Commission Delegated Regulation (EU) 2015/61. |
Information on Liquidity Coverage Ratio (LCR) in accordance with
article 447 of the CRR (EU 575/2013), calculated in accordance with the Commission Delegated Regulation (EU) 2015/61.
Net stable funding
Skr
bn |
September 30,
2022 |
December 31,
2021 |
Available stable funding |
245.0 |
245.9 |
Requiring stable funding |
200.2 |
176.4 |
Net Stable Funding Ratio |
122% |
139% |
Information on Net Stable Funding Ratio (NSFR) in accordance with
article 447 of the CRR (EU 575/2013), calculated in accordance with the Commission Delegated Regulation (EU) 2015/61.
Interim report January–September 2022 | Page 24 of 29 |
Note 10. Exposures
Net exposures are reported after taking into consideration effects of
guarantees and credit default swaps. Amounts are calculated in accordance with capital adequacy calculations, but before the application
of credit conversion factors.
Total net exposures by exposure class
|
Credits &
interest-bearing
securities |
Committed
undisbursed loans,
derivatives, etc. |
Total |
|
September 30,
2022 |
December 31,
2021 |
September 30,
2022 |
December 31,
2021 |
September 30,
2022 |
December 31,
2021 |
Skr bn |
Amount |
% |
Amount |
% |
Amount |
% |
Amount |
% |
Amount |
% |
Amount |
% |
Central governments |
164.0 |
46.4 |
136.1 |
44.4 |
67.0 |
76.0 |
49.4 |
74.8 |
231.0 |
52.3 |
185.5 |
49.8 |
Regional governments |
16.2 |
4.6 |
14.3 |
4.7 |
0.9 |
1.0 |
1.0 |
1.5 |
17.1 |
3.9 |
15.3 |
4.1 |
Multilateral development banks |
4.6 |
1.3 |
3.0 |
1.0 |
– |
– |
– |
– |
4.6 |
1.0 |
3.0 |
0.8 |
Public Sector Entity |
9.0 |
2.5 |
5.4 |
1.7 |
– |
– |
– |
– |
9.0 |
2.0 |
5.4 |
1.4 |
Financial institutions |
30.0 |
8.5 |
34.9 |
11.4 |
7.9 |
9.0 |
6.3 |
9.5 |
37.9 |
8.6 |
41.2 |
11.1 |
Corporates |
129.9 |
36.7 |
112.7 |
36.8 |
12.3 |
14.0 |
9.4 |
14.2 |
142.2 |
32.2 |
122.1 |
32.8 |
Total |
353.7 |
100.0 |
306.4 |
100.0 |
88.1 |
100.0 |
66.1 |
100.0 |
441.8 |
100.0 |
372.5 |
100.0 |
Net exposure by region and exposure class, as of September 30,
2022
Skr bn |
Middle
East/
Africa |
Asia
excl.
Japan |
Japan |
North
America |
Latin
America |
Sweden |
West
European
countries
excl.
Sweden |
Central-
and East
European
countries |
Total |
Central governments |
0.0 |
0.4 |
2.3 |
1.3 |
– |
200.3 |
24.4 |
2.3 |
231.0 |
Regional governments |
– |
– |
– |
– |
– |
14.0 |
3.1 |
– |
17.1 |
Multilateral development banks |
– |
– |
– |
– |
– |
– |
4.6 |
– |
4.6 |
Public Sector Entity |
– |
– |
– |
– |
– |
– |
9.0 |
– |
9.0 |
Financial institutions |
0.1 |
– |
0.2 |
1.7 |
– |
17.2 |
18.6 |
0.1 |
37.9 |
Corporates |
0.2 |
1.0 |
3.3 |
6.2 |
3.5 |
98.1 |
28.8 |
1.1 |
142.2 |
Total |
0.3 |
1.4 |
5.8 |
9.2 |
3.5 |
329.6 |
88.5 |
3.5 |
441.8 |
Net exposure by region and exposure class, as of December 31,
2021
Skr
bn |
Middle
East/
Africa |
Asia
excl.
Japan |
Japan |
North
America |
Latin
America |
Sweden |
West
European
countries
excl.
Sweden |
Central-
and East
European
countries |
Total |
Central governments |
– |
0.4 |
2.0 |
2.0 |
– |
161.5 |
17.0 |
2.6 |
185.5 |
Regional governments |
– |
– |
– |
– |
– |
15.3 |
0.0 |
– |
15.3 |
Multilateral development banks |
– |
– |
– |
– |
– |
– |
3.0 |
– |
3.0 |
Public Sector Entity |
– |
– |
– |
– |
– |
– |
5.4 |
– |
5.4 |
Financial institutions |
0.0 |
– |
2.4 |
4.9 |
– |
15.1 |
18.6 |
0.2 |
41.2 |
Corporates |
1.4 |
1.2 |
3.3 |
5.7 |
3.3 |
82.7 |
23.1 |
1.4 |
122.1 |
Total |
1.4 |
1.6 |
7.7 |
12.6 |
3.3 |
274.6 |
67.1 |
4.2 |
372.5 |
Interim report January–September 2022 | Page 25 of 29 |
Net exposure to European countries, excluding Sweden
Skr
bn |
September 30,
2022 |
December 31,
2021 |
Germany |
19.6 |
10.3 |
France |
11.9 |
7.8 |
Finland |
11.5 |
8.2 |
Luxembourg |
7.4 |
4.3 |
Norway |
6.9 |
6.8 |
United Kingdom |
6.0 |
7.0 |
Denmark |
5.2 |
5.4 |
Belgium |
5.1 |
2.9 |
The Netherlands |
5.0 |
4.0 |
Austria |
4.9 |
6.0 |
Poland |
2.4 |
2.8 |
Spain |
2.4 |
2.3 |
Portugal |
1.0 |
1.0 |
Ireland |
0.8 |
0.6 |
Switzerland |
0.6 |
0.4 |
Serbia |
0.4 |
0.4 |
Lithuania |
0.3 |
0.3 |
Italy |
0.2 |
0.1 |
Iceland |
0.1 |
0.1 |
Estonia |
0.1 |
0.1 |
Latvia |
0.1 |
0.1 |
Czech Republic |
0.1 |
0.2 |
Slovakia |
0.0 |
0.1 |
Total |
92.0 |
71.2 |
Note 11. Reference interest rate reform
Since the 2010s, there has been an ongoing reform to replace or amend
benchmark interest rates such as LIBOR and other interbank offered rates (“IBOR”). SEK’s exposure that is directly affected
by the reference interest rate reform is primarily its lending contracts with floating interest rates, its lending and borrowing contracts
at fixed interest rates that are hedged to floating interest rates as well as swaps to floating interest rates. The main floating interest
rate exposures relate to USD LIBOR, STIBOR and EURIBOR. LIBOR is the group of benchmark interest rates that currently has a timed settlement
plan. GBP LIBOR, CHF LIBOR, EUR LIBOR, JPY LIBOR and USD LIBOR 1W and USD LIBOR 2M ceased on December 31, 2021. For USD LIBOR, the
rest of the maturities will expire after June 30, 2023. Outstanding exposures with a reference interest rate of USD LIBOR and a maturity
after June 2023 will be converted during the period up to June 30, 2023. Change of reference interest rate during the reform
will be carried out with the intention that the change shall be financially neutral for each party. SEK has lending contracts and derivative
contracts maturing after June 30, 2023 in USD LIBOR with a nominal amount of USD 1,706 million and USD 17,482 million, respectively.
SEK has adhered to the 2020 ISDA Fallback Protocol, which sets a market standard for handling between counterparties the conversion of
derivatives to a new reference interest rate during the reference interest rate reform. For lending contracts, conversion is handled by
agreement. SEK has applied the relief under IFRS 9 Reform for new reference rates.
Note 12. Transactions with related parties
Transactions with related parties are described in Note 27 to the
annual financial statements in SEK’s 2021 Annual Report on Form 20-F. During the first quarter of 2022, SEK repaid the
drawdown of Skr 10 billion that was made from the credit facility with the Swedish National Debt Office during the first quarter of
2020. Beyond that, no material changes have taken place in relation to transactions with related parties compared to the description
in SEK’s 2021 Annual Report on Form 20-F.
Note 13. Events after the reporting period
No events with significant impact on the information in this report
have occurred after the end of the reporting period.
Interim report January–September 2022 | Page 26 of 29 |
The Board of Directors and the Chief Executive Officer confirm that
this interim report provides a fair overview of the Consolidated Group’s operations and financial position and result, and
describes material risks and uncertainties facing the Consolidated Group.
Stockholm, October 28, 2022
AB SVENSK EXPORTKREDIT
SWEDISH EXPORT CREDIT CORPORATION
Lennart Jacobsen |
Håkan Berg |
Chairman of the Board |
Director of the Board |
|
|
|
|
|
|
|
|
|
Anna Brandt |
Reinhold Geijer |
Hanna Lagercrantz |
Director of the Board |
Director of the Board |
Director of the Board |
|
|
|
|
|
|
|
|
|
Katarina Ljungqvist |
Eva Nilsagård |
Paula da Silva |
Director of the Board |
Director of the Board |
Director of the Board |
|
|
|
|
|
|
|
|
|
|
Magnus Montan |
|
|
Chief Executive Officer |
|
|
|
|
|
|
|
|
SEK has established the following expected dates for the publication
of financial information and other related matters:
February 1, 2023 Year-end
report for the period January 1, 2022 – December 31, 2022
The report contains information that SEK will disclose pursuant to
the Securities Markets Act and/or the Financial Instruments Trading Act. The information was submitted for publication on October 28,
2022, 15:00 (CEST).
Additional information about SEK, including investor presentations and
SEK’s 2021 Annual Report on Form 20-F, is available at www.sek.se. Information available on or accessible through SEK’s
website is not incorporated herein by reference.
Interim report January–September 2022 | Page 27 of 29 |
Alternative
performance measures (see *)
Alternative performance measures
(APMs) are key performance indicators that are not defined under IFRS or in the Capital Requirements Directive IV (CRD IV) or in
regulation (EU) No. 575/2013 on prudential requirements for credit institutions and investment firms (CRR). SEK has presented
these, either because they are in common use within the industry or because they comply with SEK’s assignment from the Swedish
government. The APMs are used internally to monitor and manage operations, and are not considered to be directly comparable
with similar key performance indicators presented by other companies. For additional information regarding the APMs, refer to www.sek.se.
* After-tax return on equity
Net profit, expressed as a percentage
per annum of the current year’s average equity (calculated using the opening and closing balances for the report period).
* Average interest-bearing assets
This item includes cash and cash equivalents,
treasuries/government bonds, other interest-bearing securities except loans, loans in the form of interest-bearing securities, loans
to credit institutions and loans to the public, and is calculated using the opening and closing balances for the reporting period.
* Average interest-bearing liabilities
This item includes borrowing from
credit institutions, borrowing from the public and debt securities issued and is calculated using the opening and closing balances
for the reporting period.
Basic and diluted earnings per
share (Skr)
Net profit divided by the average
number of shares, which amounted to 3,990,000 for each period.
* CIRR loans as percentage of new
lending
The proportion of officially supported
export credits (CIRR) of new lending.
CIRR-system
The CIRR-system comprises of the system
of officially supported export credits (CIRR).
Common Equity Tier 1 capital ratio
The capital ratio is the quotient
of total common equity tier 1 capital and the total risk exposure amount.
Green bond
A green bond is a bond where the capital
is earmarked for various forms of environmental projects. |
Green
lending and green loans
SEK’s green lending comprises
green loans that promote the transition to a low-carbon economy. The classification is performed by sustainability analysts at SEK.
The effects that the loan will give rise to, such as reduced emissions of greenhouse gases, are monitored and reported. The term
green project is assigned the same meaning as the term green loan. Green loans are categorized under SEK’s framework for green
bonds and green loans finance products or services that lead to significant and demonstrable progress toward the goal of sustainable
development.
Leverage ratio
Tier 1 capital expressed as a percentage
of the exposure measured under CRR (refer to Note 9).
Liquidity coverage ratio (LCR)
The liquidity coverage ratio is a
liquidity metric that shows SEK’s highly liquid assets in relation to the company’s net cash outflows for the next
30 calendar days. An LCR of 100 percent means that the company’s liquidity reserve is of sufficient size to enable the company
to manage stressed liquidity outflows over a period of 30 days. Unlike the Swedish FSA’s rules, the EU rules take into
account the outflows that correspond to the need to pledge collateral for derivatives that would arise as a result of the effects
of a negative market scenario.
Loans
Lending pertains to all credit facilities
provided in the form of interest-bearing securities, and credit facilities granted by traditional documentation. SEK considers these
amounts to be useful measurements of SEK’s lending volumes. Accordingly, comments on lending volumes in this report pertain
to amounts based on this definition.
* Loans, outstanding and undisbursed
The total of loans in the form of
interest-bearing securities, loans to credit institutions, loans to the public and loans, outstanding and undisbursed. Deduction
is made for cash collateral under the security agreements for derivative contracts and deposits with time to maturity exceeding three
months (see the Statement of Financial Position and Note 8).
Net stable funding ratio (NSFR)
This ratio measures stable funding
in relation to the company’s illiquid assets over a one-year, stressed scenario in accordance with CRRII. |
*
New lending
New lending includes all new committed
loans, irrespective of tenor. Not all new lending is reported in the Consolidated Statement of Financial Position and the Consolidated
Statement of Cash Flows since certain portions comprise committed undisbursed loans (see Note 8). The amounts reported for committed
undisbursed loans may change when presented in the Consolidated Statement of Financial Position due to changes in exchange rates,
for example.
* New long-term borrowings
New borrowings with maturities exceeding
one year, for which the amounts are based on the trade date.
* Outstanding senior debt
The total of borrowing from credit
institutions, borrowing from the public and debt securities issued.
Own credit risk
Net fair value change due to credit
risk on financial liabilities designated as at fair value through profit or loss.
Repurchase and redemption of own
debt
The amounts are based on the trade
date.
Social loans
Social loans are offered to exporters
and suppliers for projects, often in developing countries, whose aim is to improve social conditions.
Sustainability-linked loans
Sustainability-linked loans concern
working capital connected to the borrower’s sustainability targets, for example, energy-efficiency enhancements, reduced transportation
or reduced number of accidents. If the borrower reaches their targets, they are rewarded with a lower interest rate.
Swedish exporters
SEK’s clients that directly
or indirectly promote Swedish export.
Tier 1 capital ratio
The capital ratio is the quotient
of total tier 1 capital and the total risk exposure amount.
Total capital ratio
The capital ratio is the quotient
of total Own funds and the total risk exposure amount. |
Unless otherwise stated, amounts in this report are in millions (mn)
of Swedish kronor (Skr), abbreviated “Skr mn” and relate to the group consisting of the Parent Company and its consolidated
subsidiary (together, the “Group” or the “Consolidated Group”). AB Svensk Exportkredit (SEK), is a Swedish corporation
with the identity number 556084-0315, and with its registered office in Stockholm, Sweden. SEK is a public limited liability company as
defined in the Swedish Companies Act. In some instances, under Swedish law, a public company is obliged to add “(publ.)” to
its company name.
Interim report January–September 2022 | Page 28 of 29 |
About Swedish Export Credit Corporation (SEK)
SEK is owned by the Swedish state, and since 1962 has enabled
growth for thousands of Swedish companies. To expand their production, make acquisitions, employ more people and enable selling
goods and services to customers worldwide.
SEK’s mission |
Our mission is to ensure access to financial solutions for the Swedish export industry on commercial and sustainable terms. The mission includes making available fixed-interest export credits within the officially supported CIRR-system. |
SEK’s vision |
Our vision is a sustainable world through increased Swedish exports. |
SEK’s core values |
We are professionals, make the difficult easy and build sustainable relationships. |
SEK’s clients |
We finance exporters, their subcontractors and foreign clients. The target group is companies with annual sales exceeding Skr 200 million and that are linked to Swedish interests and exports. |
SEK’s partnerships |
Through Team Sweden, we have close partnerships with other export promotion agencies in Sweden such as Business Sweden and The Swedish Export Credit Agency (EKN). Our international network is substantial and we also work with numerous Swedish and international banks. |
Interim report January–September 2022 | Page 29 of 29 |