Alongside the ordinary financing of central government debt, we conduct active position taking in foreign currencies. This means that we take positions in interest rates and foreign currencies within the framework of risk limits determined by our board. A profit in active position taking reduces the state’s interest costs by the same amount.
When conducting active position taking, we work in line with our belief concerning trends and the performance of the international market and take positions in derivative instruments. The instruments used are interest rate futures, interest rate options, interest rate swaps, swaptions, currency forward contracts and currency options. Permitted currencies are the euro, the US dollar, the Australian dollar, the Canadian dollar, the Japanese yen, the British pound, the Swiss franc and the Norwegian krone.
Our ongoing active position taking is governed by a regulatory framework limiting the risks we can take. Our risk mandate is SEK 300 million in terms of daily 95 per cent Value-at-Risk (VaR). This mandate is supplemented by restrictions for currency and interest-rate positions. Positions in a single foreign currency may not be greater than the equivalent of six per cent of the managed debt amount. Interest-rate positions may not affect the total duration of the managed debt by more than 0.6 year in each currency and 0.9 year in total. The mandate is based on an amount corresponding to SEK 200 billion.