Sensitivity analysis

Interest rate risk

Interest rate risk refers to the risk that the value of the Group’s assets,liabilities and interest-related derivatives will be negatively affected by changes in interest rates or other relevant risk factors.

The majority of the Group’s interest rate risks are structural and arise within the banking operations when there is a mismatch between the interest fixing periods of assets and liabilities, including derivatives.

The table below shows the sensitivity to a +100bp change in the interest rates on the banking and trading book by currency and in different buckets of maturity. This is calculated as the value change for a shift of 1 bp and then scaled up to reflect a 100 bp move.

Interest rate sensitivity

Trading book
per time buckets
2016< 3
months
3-12
months
1-2
years
2-5
years
>5
years
Total
EUR11-27-38164165275
SEK233-38628617298
USD112-3916-17-53-205
Other-2-112128-94-71-151
TOTAL-80-175-28033921317
2016
EUR-2025538-11-1261
SEK-118179-2297-6571
USD-41-43-11173-75
Other14-158-19610112-218
TOTAL-165233-1911134939
Banking book
per time buckets*
2016< 3
months
3-12
months
1-2
years
2-5
years
>5
years
Total
EUR-2025538-11-1261
SEK-118179-2297-6571
USD-41-43-11173-75
Other14-158-19610112-218
TOTAL-165233-1911134939
2016
EUR-56-222-181-224267-416
SEK-665-172-399-505-143-1,884
USD20911132134387
Other-58-12-5-28-7-110
TOTAL-570-405-574-725251-2,023
* by currency
SEKm/100 bp