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
2017< 3
months
3-12
months
1-2
years
2-5
years
5-10
years
>10
years
Total
EUR20-1388227105256171
SEK374-5321315211364
USD-91-37-140-30-32--336
Other-2-13866-232-67339-33
TOTAL-36-184-3917815889166
2016
EUR11182-146164187-124275
SEK23246-553286170-7498
USD-11217-29-17-53-10-205
Other-2-11124-94-124155-151
TOTAL-80335-704339180-5417
Banking book
per time buckets*
2017< 3
months
3-12
months
1-2
years
2-5
years
5-10
years
>10
years
Total
EUR16-349-16-311-7116-551
SEK-199-715-397-643-25870-2,142
USD68295015-4149307
Other-15-58-5-35-4-117
TOTAL-131-1,093-368-973-273335-2,503
2016
EUR30-237-86-382-47210-512
SEK-249-597-281-524-24385-1,808
USD80107225-3170380
Other-26-54-16-44-5-145
TOTAL-165-781-381-925-298465-2,085
* by currency
SEKm/100 bp