| Financial assets and liabilities at fair value |
Note 5. Financial assets and liabilities at fair value | | | | | | | | | June 30, 2025 | | | | | | | Surplus value (+)/ | Skr mn | | Book value | | Fair value | | Deficit value (–) | Cash and cash equivalents | | 5,589 | | 5,589 | | – | Treasuries/governments bonds | | 16,480 | | 16,480 | | – | Other interest-bearing securities except loans | | 51,693 | | 51,693 | | – | Loans in the form of interest-bearing securities | | 51,250 | | 52,255 | | 1,005 | Loans to credit institutions | | 21,201 | | 21,731 | | 530 | Loans to the public | | 207,479 | | 208,363 | | 884 | Derivatives | | 6,761 | | 6,761 | | – | Shares | | 6 | | 6 | | – | Total financial assets | | 360,459 | | 362,878 | | 2,419 | | | | | | | | Borrowing from credit institutions | | 4,316 | | 4,316 | | – | Debt securities issued | | 326,345 | | 326,566 | | 221 | Derivatives | | 9,279 | | 9,279 | | – | Total financial liabilities | | 339,940 | | 340,161 | | 221 |
| | | | | | | | | December 31, 2024 | | | | | | | Surplus value (+)/ | Skr mn | | Book value | | Fair value | | Deficit value (–) | Cash and cash equivalents | | 5,219 | | 5,219 | | – | Treasuries/governments bonds | | 4,150 | | 4,150 | | – | Other interest-bearing securities except loans | | 52,843 | | 52,843 | | – | Loans in the form of interest-bearing securities | | 48,726 | | 49,951 | | 1,225 | Loans to credit institutions | | 13,529 | | 13,863 | | 334 | Loans to the public | | 224,354 | | 223,945 | | -409 | Derivatives | | 10,643 | | 10,643 | | – | Shares | | 20 | | 20 | | – | Total financial assets | | 359,484 | | 360,634 | | 1,150 | | | | | | | | Borrowing from credit institutions | | 8,607 | | 8,607 | | – | Debt securities issued | | 316,388 | | 316,375 | | -13 | Derivatives | | 5,227 | | 5,227 | | – | Total financial liabilities | | 330,222 | | 330,209 | | -13 |
Determination of fair value The determination of fair value is described in the annual financial statements included in SEK’s 2024 Annual Report on Form 20-F, see Note 1 (f) (vii) Principles for determination of fair value of financial instruments and (viii) Determination of fair value of certain types of financial instruments. Financial assets in fair value hierarchy | | | | | | | | | | | Financial assets at fair value | Skr mn | | Level 1 | | Level 2 | | Level 3 | | Total | Treasuries/governments bonds | | 668 | | 15,812 | | – | | 16,480 | Other interest-bearing securities except loans | | 23,758 | | 27,935 | | – | | 51,693 | Derivatives | | – | | 6,740 | | 21 | | 6,761 | Shares | | 6 | | – | | – | | 6 | Total, June 30, 2025 | | 24,432 | | 50,487 | | 21 | | 74,940 | Total, December 31, 2024 | | 22,648 | | 44,969 | | 39 | | 67,656 |
Financial liabilities in fair value hierarchy | | | | | | | | | | | Financial liabilities at fair value | Skr mn | | Level 1 | | Level 2 | | Level 3 | | Total | Debt securities issued | | – | | 14,977 | | 2,990 | | 17,967 | Derivatives | | – | | 8,267 | | 1,012 | | 9,279 | Total, June 30, 2025 | | – | | 23,244 | | 4,002 | | 27,246 | Total, December 31, 2024 | | – | | 18,193 | | 4,942 | | 23,135 |
There were no transfers during the period (year-end 2024: no transfers during the period). Financial assets and liabilities at fair value in Level 3, 2025 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Gains (+) and | | | | | | | | | | | | | | | | | Gains (+) and | | losses (–) in | | | | | | | | | | | | | | | Transfers | | losses (–) | | Other | | Exchange- | | | | | January 1, | | | | Settlements & | | Transfers | | from | | through profit | | comprehensive | | rate | | June 30, | Skr mn | | 2025 | | Purchases | | sales | | to Level 3 | | Level 3 | | or loss1 | | income | | differences | | 2025 | Debt securities issued | | -3,452 | | – | | 231 | | – | | – | | 35 | | -10 | | 206 | | -2,990 | Derivatives, net | | -1,451 | | – | | 94 | | – | | – | | -35 | | – | | 401 | | -991 | Net assets and liabilities | | -4,903 | | – | | 325 | | – | | – | | 0 | | -10 | | 607 | | -3,981 |
Financial assets and liabilities at fair value in Level 3, 2024 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Gains (+) and | | | | | | | | | | | | | | | | | Gains (+) and | | losses (–) in | | | | | | | | | | | | | | | Transfers | | losses (–) | | Other | | Exchange- | | | | | January 1, | | | | Settlements & | | Transfers | | from | | through profit | | comprehensive | | rate | | December 31, | Skr mn | | 2024 | | Purchases | | sales | | to Level 3 | | Level 3 | | or loss1 | | income | | differences | | 2024 | Debt securities issued | | -8,271 | | – | | 4,870 | | – | | – | | -81 | | 3 | | 27 | | -3,452 | Derivatives, net | | -2,279 | | – | | 1,176 | | – | | – | | 92 | | – | | -440 | | -1,451 | Net assets and liabilities | | -10,550 | | – | | 6,046 | | – | | – | | 11 | | 3 | | -413 | | -4,903 |
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 June 30, 2025, amounted to a Skr 1 million gain (year-end 2024: Skr 1 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. Sensitivity analysis – level 3 assets and liabilities | | | | | | | | | | | | | Assets and liabilities | | June 30, 2025 | | | | | | | Range of estimates | | | | | | | | | | | Unobservable | | for unobservable | | | | Sensitivity | | Sensitivity | Skr mn | | Fair Value | | input | | input | | Valuation method | | max | | min | | | | | | | | | | | | | | Equity | | 0 | | Correlation | | 0.12 – (0.12) | | Option Model | | 0 | | 0 | Interest rate | | 0 | | Correlation | | 0.12 – (0.12) | | Option Model | | 0 | | 0 | FX | | -884 | | Correlation | | 0.12 – (0.12) | | Option Model | | -19 | | 19 | Other | | -107 | | Correlation | | 0.12 – (0.12) | | Option Model | | 0 | | 0 | Sum derivatives, net | | -991 | | | | | | | | -19 | | 19 | Equity | | 0 | | Correlation | | 0.12 – (0.12) | | Option Model | | 0 | | 0 | | | | | Credit spreads | | 10BP – (10BP) | | Discounted cash flow | | 0 | | 0 | Interest rate | | 0 | | Correlation | | 0.12 – (0.12) | | Option Model | | 0 | | 0 | | | | | Credit spreads | | 10BP – (10BP) | | Discounted cash flow | | 0 | | 0 | FX | | -2,889 | | Correlation | | 0.12 – (0.12) | | Option Model | | 19 | | -19 | | | | | Credit spreads | | 10BP – (10BP) | | Discounted cash flow | | 14 | | -14 | Other | | -101 | | Correlation | | 0.12 – (0.12) | | Option Model | | 0 | | 0 | | | | | Credit spreads | | 10BP – (10BP) | | Discounted cash flow | | 0 | | 0 | Sum debt securities issued | | -2,990 | | | | | | | | 33 | | -33 | Total effect on total comprehensive income | | | | | | | | | | 14 | | -14 | | | | | | | | | | | | | | Derivatives, net, December 31, 2024 | | -1,451 | | | | | | | | -18 | | 18 | Debt securities issued, December 31, 2024 | | -3,452 | | | | | | | | 34 | | -34 | Total effect on total comprehensive income, December 31, 2024 | | | | | | | | | | 16 | | -16 |
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 | | The period’s change in fair value originating | | | (- liabilities increase/ + liabilities decrease) | | from credit risk (+ income/ - loss) | | | June 30, | | December 31, | | Jan-Jun | | Jan-Jun | Skr mn | | 2025 | | 2024 | | 2025 | | 2024 | CVA/DVA, net1 | | -16 | | -17 | | 1 | | 5 | OCA2 | | 320 | | 265 | | 55 | | 97 |
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 affect the fair value of financial liabilities measured at fair value through profit and loss. |
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