Note 11

Derivatives

  31/12 2016   31/12 2015  
  Fair value positive Fair value negative Fair value positive Fair value negative
Interest rate related instruments:        
FRA/Futures     - -
Swaps  174 96  181 101
Total interest rate related instruments  174  96 181 101
of which cleared  - - -
Currency-related instruments:        
Options  735 665  949 890
Futures  1 703  2 920 2 159 724
Swaps  8  238 7 173
Total Currency-related instruments  2 446  3 823 3 115 1 787
of which cleared     - -
Total derivate instruments  2 620  3 919 3 296 1 888
of which cleared  -

 
For details about areas of use and risk management for derivative instruments refer to note 20 Risks.

Maturity analyses

The majority of the Fund’s derivatives have a maturity of less than one year. Only a number of currency options, cross currency basis swaps, credit default swaps and currency forwards have a longer maturity and of these 57 (32) contracts have a negative fair value. These are presented in the tables below.

 

Outstanding currency options, December 31, 2016

Currency pair Time to maturity (years) Fair value (SEK m)
USD/SEK  1.6  -35
USD/SEK  1.6  -35
USD/JPY  1.8  -34
USD/JPY  2.1  -32
USD/JPY  2.7  -31
USD/JPY  2.7  -31
USD/JPY  2.1  -19
USD/JPY  2.7  -17
USD/JPY 2.7 -17
EUR/NOK 1.4 -16
USD/JPY 2.1 -15
USD/SEK 1.6 -11
USD/SEK 1.6 -11
EUR/NOK 1.3 -10
EUR/NOK 1.3 -10
EUR/NOK 1.3 -7
USD/JPY 2.0 -5
USD/JPY 1.8 -5
EUR/NOK 1.4 -3
USD/JPY 2.7 -2
USD/JPY 2.7 -2
EUR/NOK 1.3 -2
EUR/NOK 1.3 -2
USD/MXN 1.3 -2
USD/MXN 1.7 -2
USD/JPY 1.8 -2
USD/JPY 1.8 -2
EUR/NOK 1.3 -2
USD/MXN 1.9 -1
USD/JPY 1.8 -1
USD/JOY 1.8 -1
Total    -367

 

Outstanding currency options, December 31, 2015

Currency pair Time to maturity (years) Fair value (SEK m)
USD/SEK 1.7 -30
USD/SEK 1.7 -28
USD/SEK 1.7 -17
USD/SEK 1.7 -16
USD/SEK 1.7 -9
USD/SEK 1.7 -5
USD/BRL 1.8 0
USD/BRL 1.7 0
Summa   -107

Cross Currency Basis Swaps, December 31, 2016

Currency pair Time to maturity (years) Fair value (SEK m)
EUR/SEK 3.1  -14
EUR/SEK 1.9 -13
EUR/SEK 3.2 -7
Total    -34

Cross Currency Basis Swaps, December 31, 2015

Currency pair Time to maturity (years) Fair value (SEK m)
USD/SEK 1.5 -149
Total   -149

Credit Default Swaps, December 31, 2016

Currency pair Time to maturity (years) Fair value (SEK m)
CDS INDEX  5.0  -36
CDS INDEX  2.0  -20
CDS INDEX  5.5  -18
CDS INDEX  6.0  -5
CDS SINGLE  5.0  -3
CDS SINGLE  4.5  -3
CDS SINGLE  2.7  -3
CDS SINGLE  5.0  -2
CDS SINGLE  4.0  -2
CDS SINGLE  3.3  -1
CDS SINGLE  5.0  -0
CDS SINGLE  5.0  -0
CDS SINGLE  2.7  -0
CDS SINGLE  1.5  -0
CDS SINGLE  6.6  -0
CDS SINGLE  2.0  -0
CDS SINGLE  3.5  -0
CDS SINGLE  3.5  -0
Total    -95

 

Credit Default Swaps, December 31, 2015

Currency pair Time to maturity (years) Fair value (SEK m)
CDS INDEX 3.0 -22
CDS INDEX 5.0 -16
CDS INDEX 5.0 -13
CDS INDEX 5.0 -11
CDS INDEX 5.0 -5
CDS INDEX 5.0 -5
CDS INDEX 5.0 -5
CDS INDEX 5.0 -5
CDS SINGLE 3.8 -3
CDS SINGLE 1.2 -3
CDS INDEX 5.0 -3
CDS INDEX 7.1 -2
CDS SINGLE 4.5 -2
CDS SINGLE 5.0 -2
CDS SINGLE 1.5 -2
CDS SINGLE 1.2 -1
CDS SINGLE 3.5 -1
CDS SINGLE 1.5 -1
CDS SINGLE 2.5 0
Total   -104

 

Currency futures, December 31, 2016

Currency pair Time to maturity (years) Fair value (SEK m)
EUR/SEK  1.3 -3
EUR/SEK  1.3 -3
USD/SEK  1.2 -2
USD/SEK  1.0 -2
EUR/SEK 1.3 -1
Total    -10

Currency futures, December 31, 2015

Currency pair Time to maturity (years) Fair value (SEK m)
GBP/SEK 1.2 -5
EUR/SEK 1.3 -1
EUR/SEK 1.5 -1
EUR/SEK 1.2 -1
Total   -9