Interim Report January-March 2017

AB Svensk Exportkredit Swedish Export Credit Corporation

Interim Report January-March 2017

Summary

Net interest revenues, quarterly

First quarter 2017

Skr mn 500

429 400

460

457

401

430

million)

300

Operating profit Skr 257 million (3M16: Skr 310 million)

200

Net profit Skr 196 million (3M16: Skr 245 million)

100

0

Net interest revenues Skr 430 million (3M16: Skr 429

New lending Skr 17.5 billion (3M16: Skr 21.1 billion) Q1 2016

Q2

Q3

Q4

Q1 2017

Basic and diluted earnings per share Skr 49 (3M16: Skr 62) After-tax return on equity 4.6 percent (3M16: 5.8 percent)

Operating profit, quarterly Skr mn 350

328

310

300

257 250

213

Total capital ratio 21.5 percent ( year-end 2016: 25.1 percent)

200

151

150

Total assets Skr 298.8 billion ( year-end 2016: Skr 299.4

100

billion)

50 0

Q1 2016

Q2

Q3

Q4

Q1 2017

After-tax return on equity, quarterly percent 6

Equity and balances

Loans, outstanding and undisbursed Skr 263.1 billion (year-end 2016: Skr 263.5 billion)

6.0

5.8

5

4.6 3.9

4

2.7

3 2 1 0

Q1 2016

Q2

Q3

Q4

Q1 2017

Total capital ratio, quarterly percent 30 25

23.7

22.8

23.5

25.1 21.5

20 15 10 5 0

Q1 2016

Q2

Q3

Q4

Q1 2017

Interim report January–March 2017

Page 2 of 33

Statement by the CEO

High activity during the first quarter The Swedish export industry has a positive outlook and SEK posted a strong first quarter with healthy new lending and new customers. According to Statistics Sweden, Swedish exports of goods posted a 12 percent year-on-year increase between December 2016 and February 2017. The National Institute of Economic Research’s Economic Tendency Survey indicates that Swedish companies have an optimistic outlook. This optimism has been reflected by high levels of activity for SEK’s operations in the first quarter. SEK posted a strong first quarter with new lending of Skr 17.5 billion (3M16: Skr 21.1 billion). It is gratifying that the efforts to diversify both the customer base and the customer offering are continuing to generate results. In the first quarter, our lending showed a healthy distribution of business with companies in diverse industries, and included both existing and new customers as well as different types of financing solutions. Sweden and the Swedish export industry possess world class environmental technology and systems know-how. However, given the increasing intensity of international competition, new investments will be required within the Swedish environmental field if Sweden is to retain its position. SEK is participating in the government’s Fossil Free Sweden initiative to promote the mobilization of capital for environmental projects to make the “It is gratifying that the efforts country fossil free. By gathering together different participants, the to diversify both the customer partnership creates an interesting platform for exports moving forward. SEK is also active in Team Sweden and collaborates with other base and the customer offering public agencies to develop competitive financial offerings for the are continuing to generate Swedish export industry. The initiative includes particular focus on results.” exports for sustainable urban development, including, for example, exports to the 100 smart cities that are planned to be constructed in India over a 20-year period. In the first quarter of 2017, the financial markets have been stable with rising indices and low volatility. In the first quarter, SEK completed the issue of a five-year, USD 1.4 billion benchmark bond, which was well received by investors. The pace of investment remains high at SEK. In addition to efforts to improve our measurement of market risks, work is also ongoing with implementing the new IFRS 9 regulatory framework for reporting impairment, among other items, and for new reporting to regulatory bodies. The operating profit for the first quarter was Skr 257 million (3M16: Skr 310 million). Net interest income and expenses were in line with last year. Net interest revenues were negatively affected by a higher resolution fee of Skr 49 million (3M16: Skr 13 million), which was offset by lower borrowing costs and increased interest revenue from credits. The earnings decline was mainly due to lower net results of financial transactions. SEK has a strong capitalization with a total capital ratio of 21.5 percent (year-end 2016: 25.1 percent) and healthy liquidity. The change in capital ratio was primarily due to regulatory changes. Accordingly, we are continually well prepared to assist the Swedish export industry with financial solutions and to thereby strengthen Swedish exporters’ competitiveness.

Catrin Fransson, CEO


Page 3 of 33

Operations

Healthy new lending

New lending, quarterly Skr bn 25

21.1 20

17.5 15.3

15

8.8

10

9.6

5

0

Q1 2016

Q2

Q3

Q4

Q1 2017

SEK’s markets for new lending Jan-Mar 2017

SEK’s first quarter was characterized by a high level of activity. Although new lending was slightly lower than in the first quarter of 2016 the number of transactions was higher. New lending during the first quarter was Skr 17.5 billion (3M16: Skr 21.1 billion). SEK’s new lending often varies between quarters, mainly due to a portion of the lending consisting of large export credits that may affect the individual quarters. The initiative to attract new customers continues according to plan and SEK has attracted new customers in both customer groups, large and medium-sized companies. SEK’s contribution to the realization of the government’s export strategy involves an increased focus on export financing to emerging countries and closer cooperation with the other export promotion agencies in Team Sweden. During the quarter, one of the transactions that SEK participated in financing in 2016 received a Best Deals 2016 award from the trade finance magazine Global Trade Review (GTR). The transaction was for deliveries by ASEA Brown Boveri (ABB) to the 720 km subsea interconnector, the North Sea Link, between the UK and Norway. SEK’s part of the financing totaled approximately USD 230 million.

New lending Skr bn

Skr 17.5 bn (3M16: Skr 21.1 bn)

Lending to Swedish

exporters1

Lending to exporters’

customers2

Total CIRR loan as percentage of new financial transactions 1

2

Jan-Mar 2017

Jan-Mar 2016

Jan-Dec 2016

7.3

3.2

18.1

10.2

17.9

36.7

17.5

21.1

54.8

3%

51%

20%

Of which Skr 0.8 billion (3M16: Skr 0.4 billion; year-end 2016: Skr 0.1 billion) had not been disbursed at period end. Of which Skr 1.0 billion (3M16: 11.2 billion; year-end 2016: Skr 8.3 billion) had not been disbursed at period end.

Sweden 39% (3M16: 9%) Western Europe excl. Sweden 16% (3M16: 25%) Non-Japan Asia 3% (3M16: 0%) Middle East/Africa 15% (3M16: 4%) North America 25% (3M16: 61%) Latin America 2% (3M16: 1%)


Page 4 of 33

Successful issuances

New borrowing, quarterly Long-term borrowing Skr bn

20

24.2

23.5

25

20.0 18.0

15

8.9

10

5

0

Q1 2016

Q2

Q3

Q4

Q1 2017

In the first quarter of 2017, the financial market posted a stable trend despite a certain level of political hesitancy resulting from uncertainties surrounding how the UK will handle the Brexit process and the forthcoming national elections in several large European countries. SEK completed the issuance of a five-year, USD 1.4 billion benchmark bond. SEK also issued additional notes of an existing Floating Rate Note (FRN) series totaling USD 300 million with a remaining maturity of approximately 1.5 years and issued a Fixed Rate Note of GBP 250 million with a tenor of approximately 3.5 years. All of the transactions were well-received by the market. SEK maintains a healthy capacity for new lending and believes it is well prepared to withstand the potential consequences that a turbulent financial and political macro environment may have for the Swedish export industry’s ability to secure favorable long-term financing.

SEK’s markets for new borrowing Jan-Mar 2017

Norden 0% (3%)

SEK’s borrowing

Skr bn New long-term borrowings

Skr 24.2 bn (3M16: Skr 18.0 bn)

Outstanding senior debt Repurchase and redemption of own debt

Jan-Mar 2017

Jan-Mar 2016

Jan-Dec 2016

24.2

18.0

70.4

256.9

249.2

252.9

9.7

3.9

15.0

Nordic countries 7% (3M16: 2%) Europe excl. Nordic countries 27% (3M16: 30%) Japan 21% (3M16: 12%) Non-Japan Asia 13% (3M16: 10%) Middle East/Africa 3% (3M16: 5%) Latin America 1% (3M16: 3%) North America 27% (3M16: 38%) Oceania 1% (3M16: 0%)


Page 5 of 33

Comments on the consolidated financial accounts

First quarter of 2017 Operating profit for the first quarter amounted to Skr 257 million (3M16: Skr 310 million). Net profit was Skr 196 million (3M16: Skr 245 million). Net interest revenues Net interest revenues for the first quarter amounted to Skr 430 million (3M16: Skr 429 million), which was in line with the previous year. Net interest revenues were affected negatively by a higher resolution fee of Skr 49 million (3M16: Skr 13 million), which SEK is required to pay to a fund to support the recovery of credit institutions. The higher resolution fee was offset by lower borrowing costs and increased interest revenue from credit. Average interest-bearing assets increased compared to the corresponding period the previous year, which also had a positive impact on net interest revenues.

Skr bn, average Total loans Liquidity investments

Jan-Mar

Jan-Mar

2017

2016

Change

210.9

203.5

4%

70.8

66.0

7%

Interest-bearing assets

281.7

269.5

5%

Interest-bearing liabilaties

257.2

243.4

6%

Net results of financial transactions Net results of financial transactions for the first quarter amounted to Skr 6 million (3M16: Skr 36 million), mainly due to unrealized gains related to the fair value of currency swaps which was offset by unrealized losses related to the fair value of the credit spreads on SEK’s own debt. Operating expenses

ation for permanent employees with customer or business responsibility, with the exception of members of the executive management. The remuneration at the Company level is capped at a maximum of two months’ salary for those who qualify. For the first quarter, a provision of Skr 3 million was made for the remuneration in the system. Net credit losses Net credit losses for the first quarter totaled Skr -23 million (3M16: Skr 1 million). In the first quarter, a provision of Skr -17 million was made for expected credit losses relative to individually-assessed counterparties. A Skr -10 million provision for expected credit losses to the reserve for collectively-assessed credits was also made as a result of a new method for calculating sovereign risk (see Note 10). A review of earlier impaired credits corresponding to Skr 49 million has now been concluded, and has resulted in a realized loss of Skr 47 million and a recovery of Skr 2 million. The collectively-assessed credits reserve amounted to Skr 180 million at March 31, 2017 (yearend 2016: Skr 170 million). Other comprehensive income Skr mn Items to be reclassified to operating profit

Jan-Mar 2017

Jan-Mar 2016

Change

-37

–56

34%

of which available-for-sale securities

-8

-10

20%

of which other comprehensive income effects related to cash-flow hedges

-29

–46

37%

Items not to be reclassified to operating profit

4

–13

131%

-33

–69

52%

Other comprehensive income after tax

A major part of the items to be reclassified to operating profit were related to cash flow hedges. The effect was related to reclassification from other comprehensive income to net interest revenues due to the fact that hedging instruments previously were included in cash flow hedges. Items not to be reclassified to operating profit were related to revaluation of defined benefit pensions. The positive impact in fair value was caused by the higher discount rate.

Jan-Mar

Jan-Mar

2017

2016

Change

Personnel expenses

-79

-82

-4%

Other administrative expenses

-60

-57

5%

Depreciation and impairment of nonfinancial assets

-11

-12

-8%

Statement of Financial Position

-150

-151

-1%

Total assets and liquidity investments Total assets were unchanged but the proportion of outstanding loans increased during the first quarter compared to the end of the year. This was explained by increased lending and also to some extent by a stronger US dollar as compared to Skr.

Skr mn

Total operating expenses

The operating expenses for the first quarter were in line with the corresponding period the previous year. Beginning in 2017, SEK has introduced a system for individual variable remuner-


Page 6 of 33

Skr bn Total assets Liquidity investments Outstanding loans of which loans in the S-system

Rating

March 31, 2017

December 31, 2016

Change

298.8

299.4

0%

69.3

72.3

-4%

213.1

208.7

2%

53.4

50.8

5%

No significant change has taken place in the composition of SEK’s counterparty exposure (see Note 11). Total exposures amounted to Skr 338.0 billion on March 31, 2017 (year-end 2016: Skr 340.7 billion).

Liabilities and equity As of March 31, 2017, the aggregate volume of available funds and shareholders’ equity exceeded the aggregate volume of loans outstanding and loans committed at all maturities. Accordingly, SEK considers all of its outstanding commitments to be covered through maturity. In 2017, SEK has a credit facility in place with the Swedish National Debt Office of up to Skr 125 billion. To date, SEK has not utilized the credit facility. The credit facility can only be utilized for loans covered by the officially supported export credits system (CIRR). Capital adequacy SEK maintains strong capitalization, with a total capital ratio of 21.5 percent (year-end 2016: 25.1 percent) and healthy liquidity. The change in capital ratios compared to the year-end 2016 is primarily due to SEK applying the internal ratings-based (IRB) approach to exposures to central and regional governments and to multilateral development banks beginning in the first quarter of 2017 (see Note 10).

Percent

March 31, 2017

December 31, 2016

Common Equity Tier 1 capital ratio

19.0

22.1

Tier 1 capital ratio

19.0

22.1

Total capital ratio

21.5

25.1

Leverage ratio

5.4

5.3

LCR according to the Swedish FSA

562

383

LCR according to the EU Commision’s delegated act

438

215

136.6

131.5

Net stable funding ratio (NSFR)


Moody’s Standard & Poor’s

Skr

Foreign currency

Aa1/Stable

Aa1/Stable

AA+/Stable

AA+/Stable

Risk factors and the macro environment Various risks arise as part of SEK’s operations. SEK’s primary exposure is to credit risk, but SEK is also exposed to market, liquidity, refinancing, operational and sustainability risks. For a more detailed description of SEK’s risk factors, refer to the Risk and Capital Management section in SEK’s 2016 Annual Report. The Swedish economy started 2017 with a continued upswing after a strong growth rate in the fourth quarter of 2016. The main reason for the increase in GDP in the fourth quarter of 2016 was a strong export performance and that increase has continued so far in 2017. The annualized rate of Swedish gross domestic product growth was approximately 2.3 percent in the fourth quarter of 2016 and the unemployment rate was 6.8 percent as of February 2017. The consumer price index rose by 1.3 percent on an annualized basis as of March 2017, and the repo rate remains fixed at -0.5 percent. According to Statistics Sweden (SCB), in the fourth quarter of 2016, Swedish exports increased by 1.8 percent compared to the prior quarter. Exports of goods increased by 1.6 percent and exports of services increased by 2.0 percent. Financial markets have been stable in the first quarter of 2017, despite political uncertainty as a result of Brexit, US policy and national elections in several big European countries. European cooperation faces major challenges and political uncertainty risks ultimately affecting the real economy and the financial system.

Page 7 of 33

Change in External Auditor and Board of Directors At SEK’s Annual General Meeting on March 22, 2017 (2017 Annual Meeting), the Board of Directors of SEK proposed, in accordance with the Audit Committee’s recommendation, that Öhrlings PricewaterhouseCoopers AB (PwC) serve as external auditors of SEK for a period of one year until the end of SEK’s next Annual General Meeting in 2018. Accordingly, the engagement of SEK’s prior auditors, Ernst & Young AB (EY), was not renewed. The change was made pursuant to corporate governance guidelines recommending periodic rota-

tion of independent registered public accounting firms and was not the result of EY’s resignation, dismissal or refusal to stand for re-election. In addition, at the 2017 Annual Meeting, Reinhold Geijer and Hans Larsson were each elected to the Board of Directors of SEK as Directors to replace Jan Belfrage and Magnus Uggla. For more information, see SEK’s report on Form 6-K/A filed with the U.S. Securities and Exchange Commission on March 31, 2017.

Financial targets Profitability target

A return on equity of at least 6 percent over time.

Dividend policy

Payment of an ordinary dividend of 30 percent of the profit for the year.

Capital target

Under normal conditions, SEK’s total capital ratio is to exceed the Swedish FSA’s total capital adequacy requirement by 1 to 3 percentage points. Currently this means a Total capital ratio between 19-21 percent.

Key performance indicators Skr mn (if not otherwise indicated)

Jan-Mar 2017

Oct-Dec 2016

Jan-Mar 2016

Jan-Dec 2016

17,540

9,624

21,066

54,856

7,315

4,175

3,202

18,107

10,225

5,449

17,864

36,749

3%

0%

51%

20%

263,065

263,483

270,896

263,483

24,202

8,905

17,962

70,388

256,938

252,948

249,161

252,948

4.6%

3.9%

5.8%

4.6%


19.0%

22.1%

21.1%

22.1%


19.0%

22.1%

21.1%

22.1%

Total capital ratio

21.5%

25.1%

23.7%

25.1%

New lending of which to Swedish exporters of which to exporters’ customers CIRR-loans as a percentage of new lending Loans, outstanding and undisbursed

New long-term borrowings Outstanding senior debt

After-tax return on equity

Leverage ratio

5.4%

5.3%

5.3%

5.3%

Liquidity coverage ratio (LCR) according to the Swedish FSA

562%

383%

563%

383%

Liquidity coverage ratio (LCR) according to the EU Commision’s delegated act

438%

215%

-

215%

136.6%

131.5%

104.3%

131.5%

Net stable funding ratio (NSFR) See definitions on page 32.


Page 8 of 33

CONSOLIDATED STATEMENT OF COMPREHENSIVE INCOME Skr mn

Note

Jan–Mar 2017

Oct-Dec 2016

Jan-Mar 2016

Jan-Dec 2016

Interest revenues

886

887

727

3,188

Interest expenses

-456

-430

-298

-1,441

430

457

429

1,747

Net interest revenues Net fee and commission expense Net results of financial transactions

2

Total operating income

-6

-11

-5

-29

6

-60

36

-110

430

386

460

1,608

Personnel expenses

-79

-85

-82

-308


-60

-61

-57

-236

Depreciation and impairment of non-financial assets

-11

-12

-12

-46

-150

-158

-151

-590

280

228

309

1,018

Total operating expenses Operating profit before net credit losses Net credit losses Operating profit

3

-23

-15

1

-16

257

213

310

1,002

Tax expenses

-61

-47

-65

-222

Net profit1

196

166

245

780

Other comprehensive income related to: Items to be reclassified to profit or loss Available-for-sale securities2 Derivatives in cash flow hedges2 Tax on items to be reclassified to profit or loss Net items to be reclassified to profit or loss

-8

6

-10

46

-29

-38

-46

-169

8

7

12

27

-29

-25

-44

-96

-26

Items not to be reclassified to profit or loss

Revaluation of defined benefit plans

4

9

-13

-1

-2

3

6

3

7

-10

-20

Total other comprehensive income

-26

-18

-54

-116

Total comprehensive income1

170

148

191

664

49

42

62

195

Tax on items not to be reclassified to profit or loss Net items not to be reclassified to profit or loss

1 2

The entire profit is attributable to the shareholder of the Parent Company (as defined below). See the Consolidated Statement of Changes in Equity.

Skr Basic and diluted earnings per share3 3

Net profit divided by average number of shares, which amounts to 3,990,000 for each period.


Page 9 of 33

CONSOLIDATED STATEMENT OF FINANCIAL POSITION Skr mn

Note

March 31, 2017

December 31, 2016

Cash and cash equivalents

4, 5, 6

11,633

7,054

Treasuries/government bonds

4, 5, 6

3,286

3,687

3, 4, 5, 6

43,525

49,901

Assets

Other interest-bearing securities except loans Loans in the form of interest-bearing securities

4, 5, 6

44,907

46,222

Loans to credit institutions

3, 4, 5, 6

25,330

26,190

Loans to the public

3, 4, 5, 6

153,676

147,909

5, 6, 7

9,704

12,005

119

123

Other assets

4,688

4,167

Prepaid expenses and accrued revenues

1,965

2,184

298,833

299,442

Derivatives Property, plant, equipment and intangible assets

Total assets Liabilities and equity Borrowing from credit institutions

5, 6

2,564

3,756

Senior securities issued

5, 6

254,374

249,192

5, 6, 7

19,145

22,072

814

2,374

2,036

2,036

559

559

Derivatives Other liabilities Accrued expenses and prepaid revenues Deferred tax liabilities Provisions Subordinated securities issued Total liabilities Share capital Reserves

5, 6

41

51

2,228

2,266

281,761

282,306

3,990

3,990

104

130

Retained earnings

12,978

13,016

Total equity

17,072

17,136

298,833

299,442

Total liabilities and equity


Page 10 of 33

CONSOLIDATED STATEMENT OF CHANGES IN EQUITY IN SUMMARY Reserves

Skr mn Opening balance of equity January 1, 2016 Net profit Jan-Mar, 2016

Equity

Share capital

Hedge reserve

Fair value reserve

Defined benefit plans

Retained earnings

16,828

3,990

228

-1

-19

12,592

245

245

Other comprehensive income Jan-Mar, 2016, related to: Items to be reclassified to profit or loss Available-for-sale securities

-10

Derivatives in cash flow hedges

-46

-46

12

10

Tax on items to be reclassified to profit or loss

-10 2

Items not to be reclassified to profit or loss Revaluation of defined benefit plans

-13

Tax on items not to be reclassified to profit or loss

3

Total other comprehensive income Jan-Mar, 2016

-54

Total comprehensive income Jan-Mar, 2016

-13 3 -36

-10

-36

-8

-10

245

Closing balance of equity March 31, 20161

17,019

3,990

192

-9

9

12,837

Opening balance of equity January 1, 2016

16,828

3,990

228

-1

19

12,592

Net profit Jan-Dec, 2016

191

-8

780

780

Other comprehensive income Jan-Dec, 2016, related to: Items to be reclassified to profit or loss Available-for-sale securities Derivatives in cash flow hedges Tax on items to be reclassified to profit or loss

46

46

-169

-169

27

37

-10

Items not to be reclassified to profit or loss Revaluation of defined benefit plans Tax on items not to be reclassified to profit or loss Total other comprehensive income Jan-Dec, 2016 Total comprehensive income Jan-Dec, 2016 Dividend Closing balance of equity December 31, 20161 Net profit Jan-Mar, 2017

-26

-26

6

6

-116

-132

36

-20

664

-132

36

-20

-356 17,136

780 -356

3,990

96

35

-1

196

13,016 196

Other comprehensive income Jan-Mar, 2017, related to: Items to be reclassified to profit or loss Available-for-sale securities Derivatives in cash flow hedges Tax on items to be reclassified to profit or loss

-8

-8

-29

-29

8

6

2

Items not to be reclassified to profit or loss Revaluation of defined benefit plans Tax on items not to be reclassified to profit or loss

4

4

-1

-1

Total other comprehensive income Jan-Mar, 2017

-26

-23

-6

3

Total comprehensive income Jan-Mar, 2017

170

-23

-6

3

Dividend Closing balance of equity March 31, 20171 1

-234 17,072

196 -234

3,990

73

29

2

12,978

The entire equity is attributable to the shareholder of the Parent Company (as defined below)


Page 11 of 33

STATEMENT OF CASH FLOWS IN THE CONSOLIDATED GROUP Skr mn

Jan-Mar 2017

Jan–Mar 2016

Jan-Dec 2016

257

310

1,002

Operating activities Operating profit1 Adjustments to convert operating profit to cash flow: Provision for credit losses - net

23

-1

16


11

12

46

2

-2

0

-6

-30

195

Exchange-rate differences Unrealized changes in fair value Other

20

24

30

Income tax paid

-90

20

-276

Total adjustments to convert operating profit to cash flow

-40

23

11

-24,215

-13,237

-61,350

19,056

15,207

72,214

6,509

-6,431

-9,041

-9

22

652

-638

-690

-54

920

-4,796

3,434

Capital expenditures

-

-6

-39

Cash flow from investing activities

-

-6

-39

Short-term senior debt

21,275

10,083

17,904

Long-term senior debt

24,423

17,060

70,085

-30,237

-7,713

-70,829

Repurchase and early redemption of own long-term debt

-9,979

-3,123

-14,523

Derivatives relating to debts

-1,456

-2,931

-834

-234

-

-356

Cash flow from financing activities

3,792

13,376

1,447

Net cash flow for the year

4,712

8,574

4,842

-133

-302

-46

7,054

2,258

2,258

11,633

10,530

7,054

385

170

916

11,248

10,360

6,138

Loan disbursements Repayments of loans Net change in bonds and securities held Derivatives relating to loans Other changes – net Cash flow from operating activities Investing activities

Financing activities

Repayments of debt

Dividend paid

Exchange-rate differences on cash and cash equivalents Cash and cash equivalents at beginning of the period Cash and cash equivalents at end of the period2 of which cash at banks of which cash equivalents 1

Interest payments received and expenses paid

Interest payments received

Interest expenses paid

2

Cash and cash equivalents include, in this context, cash at banks that can be immediately converted into cash and short-term deposits for which the time to maturity does not exceed three months from trade date. See Note 4.


1,124

902

2,975

665

488

1,229

Page 12 of 33

NOTES 1. 2. 3. 4. 5. 6. 7. 8. 9. 10. 11. 12. 13.

Applied accounting principles and impacts from changes in accounting principles Net results of financial transactions Impairment and past-due receivables Loans and liquidity investments Classification of financial assets and liabilities Financial assets and liabilities at fair value Derivatives S-system Pledged assets and contingent liabilities Capital adequacy Exposures Transactions with related parties Events after the reporting period

All amounts are in Skr million, unless otherwise indicated. All figures concern the Consolidated Group, unless otherwise indicated.

Note 1. Applied accounting principles and impacts from changes in accounting principles This condensed Interim Report is presented in accordance with IAS 34, Interim Financial Reporting. The Group’s consolidated accounts have been prepared in accordance with the International Financial Reporting Standards (IFRS) as issued by the International Accounting Standards Board (IASB) together with the interpretations from IFRS Interpretations Committee (IFRS IC). The IFRS standards applied by SEK are all endorsed by the European Union (EU). The accounting also follows the additional standards imposed by the Annual Accounts Act for Credit Institutions and Securities Companies (1995:1559) and the regulation and general guidelines issued by the Swedish Financial Supervisory Authority, “Annual Reports in Credit Institutions and Securities Companies” (FFFS 2008:25). In addition to this, the supplementary accounting rules for groups (RFR 1) issued by the Swedish Financial Reporting Board have been applied. SEK also follows the state’s general guidelines regarding external reporting in accordance with its corporate governance policy and guidelines for state-owned companies. The accounts of Aktiebolaget Svensk Exportkredit (publ) (Swedish Export Credit Corporation) (the “Parent Company”) have been prepared in accordance with the Swedish Annual Accounts Act for Credit Institutions and Securities Companies (1995:1559) (ÅRKL), and the recommendation RFR 2, “Accounting for Legal Entities,” issued by the Swedish Financial Reporting Board, as well as the accounting regulations of the Swedish Financial Supervisory Authority (FFFS 2008:25), which means that within the framework of ÅRKL, IFRS has been applied to the greatest extent possible. The Parent Company’s results and total assets represent most of the operating profit and total assets of the Consolidated Group, so the Consolidated Group´s information in these notes largely reflects the condition of the Parent Company. The Consolidated Group’s and the Parent Company’s accounting policies, methods of computation and presentation are, in all material aspects, the same as those used for the 2016 annual financial statements. The Interim Report does not include all the disclosures required in the annual financial statements, and should be read in conjunction with the Company’s annual financial statements as of December 31, 2016.


Future changes to IFRS IFRS 9 Financial instruments covering classification and measurement, impairment and general hedge accounting was adopted by IASB in 2014. The adoption of IFRS 9 becomes mandatorily effective beginning January 1, 2018, with early adoption permitted. In 2015, SEK set up a project with members from Risk, Credit, Lending, Finance, Accounting and IT to prepare for IFRS 9 implementation. The project has entered the implementation phase, with a parallel run planned for the second half of 2017, and adoption in 2018. From a classification and measurement perspective SEK anticipates a limited impact on its lending portfolio, as most of it will be measured at amortized cost under IFRS 9. Financial assets and liabilities at fair value through profit or loss are expected to continue to be measured at fair value through profit or loss. The majority of debt securities classified as available for sale under IAS 39, SEK’s liquidity investments, are expected to be measured at amortized cost or fair value through other comprehensive income. Some securities, however, will be classified at fair value through profit or loss, either because of their contractual cash flow characteristics or the business model within which they are held. For financial liabilities, the policies have essentially been transferred from IAS 39. A material change for SEK is that when SEK’s own debt is measured at fair value through profit or loss, changes in value due to the company’s own credit risk will no longer affect profit or loss but will be separated and recognized directly through other comprehensive income, which will probably result in reduced profit volatility for SEK. The new general rules on hedge accounting give the opportunity to improve and simplify hedge accounting, and the changes will primarily have an effect on the administrative process for hedge accounting. SEK plans for an adoption of IFRS 9 hedge accounting from January 1, 2018. IFRS 9 will also fundamentally change the loan loss impairment methodology by replacing IAS 39’s incurred loss approach with a forward-looking expected loss approach, which is expected to be the greatest impact of IFRS 9. IFRS 9 requires an allowance for expected losses for all financial assets measured at amortized cost or fair value through other comprehensive income, together with loan commitments and financial guarantee contracts. This is a change from IAS 39 where the allowance for incurred but not yet identified impairment does not include off-balance sheet

Page 13 of 33

items or financial assets classified as available for sale. The allowance is based on the expected credit losses associated with the probability of default in the next twelve months unless there has been a significant increase in credit risk since origination, in which case, the allowance is based on the probability of default over the life of the asset. SEK is in the process of evaluating the effects from IFRS 9, and in line with the parameters established in accordance with IFRS 9, the simulated expected loss amount will be closer to the expected loss amount. For now, no conclusions have been reached as to any effects on SEK’s financial statements, capital adequacy or large exposures. The magnitude of the effect on

capital adequacy, will depend, among other things, on whether the capital rules are amended to reflect IFRS 9. The IASB has also adopted IFRS 15 Revenue from Contracts with Customers, which is applicable from January 1, 2018. IFRS 15 is not applicable for financial instruments or leasing agreements. IFRS 15 is not expected to have any material effects on SEK’s financial statements, capital adequacy or large exposures. There are no other IFRS or IFRS IC interpretations that are not yet applicable that are expected to have a material impact on SEK’s financial statements, capital adequacy or large exposures.

Note 2. Net results of financial transactions Jan–Mar 2017

Skr mn

Oct-Dec 2016

Jan-Mar 2016

Jan-Dec 2016

Net results of financial transactions related to: Derecognition of financial instruments not measured at fair value through profit or loss

0 -13

Financial assets or liabilities at fair value through profit or loss

1 -671

20

Currency exchange effects on all assets and liabilities excl. currency exchange effects related to revaluation at fair value

-1

-1

-1

-2

6

-60

36

-110

1

6

4 -801

Financial instruments under fair-value hedge accounting

Total net results of financial transactions

7

0 31

-32

During the fourth quarter of 2016, SEK adopted a new valuation method for derivatives. The new valuation method led to a negative impact on operating profit.

SEK’s general business model is to hold financial instruments measured at fair value to maturity. The net fair value changes that occur, mainly related to changes in credit spreads on SEK’s own debt and basis-spreads, and recognized in net results of financial transactions, which could be significant in a single reporting period, will not affect earnings over time since the lifetime cumulative changes in the instrument’s market value will net to zero if it is held to maturity and is a performing instrument. When financial instruments are not held to matu-


rity, realized gains and losses can occur, as in cases where SEK repurchases its own debt, or where lending is repaid early and the related hedging instruments are terminated prematurely. These effects are presented in the table above under the line items “Derecognition of financial instruments not measured at fair value through profit or loss”, “Financial assets or liabilities at fair value through profit or loss” and “Financial instruments under fair-value hedge accounting”.

Page 14 of 33

Note 3. Impairment and past-due receivables Skr mn Credit losses

Jan-Mar 2017

Oct-Dec 2016

-27

-18

Jan-Mar 2016 -

Jan-Dec 2016 -23

Reversal of previous write-downs

49

3

1

7

Net impairment and reversals

22

-15

1

-16

Established losses Recovered credit losses Net credit losses1

-47

-

-

-

2

0

0

0

-23

-15

1

-16

-254

-238

-236

-236

1

-

-

-

22

-15

1

-16

Reserve of impairment of financial assets Opening balance Reserves used to cover write-downs Net impairment and reversals Currency effects

0

-1

0

-2

Closing balance

-231

-254

-235

-254

1

Net credit losses for the first quarter of 2017 amounted to Skr -23 million (3M16: Skr 1 million). The increase compared to the corresponding period the previous year is mainly explained by impairments of Skr -17 million (3M16: Skr - million) relative to individually-assessed counterparties and an increase to the reserve for collectivelyassessed credits of Skr -10 million (3M16: Skr - million) as a result of a new method for calculating sovereign risk (see Note 10). Reversal of previous impairments amounted to Skr 49 million, of which Skr 47 million was established as a credit loss. The reversal relates to a large receivable in which the company has been restructured and a receivable in which an agreement has been reached.

Past-due receivables Receivables past due have been recorded at the amounts expected to actually be received at settlement. Skr mn

March 31, 2017

December 31, 2016

Past-due receivables1 Aggregate amount of principal and interest less than, or equal to, 90 days past-due Aggregate amount of principal and interest more than 90 days past-due2

205

55

15

44

Principal amount not past-due on such receivables

644

3,778

Total Past-due receivables

864

3,877

A larger, previous past-due, unpaid loan was restructured and refinanced in 2016. The old loan has been fully repaid and refinanced with a new loan at terms and conditions which mainly correspond to the terms and conditions of the old loan. The new loan is fully covered by adequate guarantees and therefore no loan loss has been recorded. As of December 31, 2016, SEK had one large unpaid amount, which represented the main part of the total loans outstanding. The unpaid amount relates to the fourth quarter of 2015 and was, to a large extent, covered by adequate guarantees which is why expected future credit loss was limited in relation to the amount included in Past-Due Receivables above. As of March 31, 2017, this unpaid loan was restructured and as a consequence the previous credit loss reserve for the unpaid loan is Skr million (year-end 2016: Skr 40 million) and a credit loss of Skr 41 million (year-end 2016: Skr - million) has been established. 2 Of the aggregate amount of principal and interest past due, Skr 15 million (year-end 2016: Skr 38 million) was due for payment more than three but less than, or equal to, six months before the end of the reporting period, Skr - million (year-end 2016: Skr 4 million) was due for payment more than six but less than, or equal to, nine months before the end of the reporting period, and Skr - million (year-end 2016: Skr 2 million) was due for payment more than nine months before the end of the reporting period. 1

Note 4. Loans and liquidity investments Skr mn

March 31, 2017

December 31, 2016

Loans: Loans in the form of interest-bearing securities

44,907


25,330

26,190

153,676

147,909

-10,833

-11,621

Loans to the public

46,222

Less: Cash collateral under the security agreements for derivative contracts1 Deposits with time to maturity exceeding three months Total loans

-

-

213,080

208,700

Liquidity investments: Cash and cash equivalents

11,633

7,054

Cash collateral under the security agreements for derivative contracts

10,833

11,621

Deposits with time to maturity exceeding three months Treasuries/government bonds

-

-

3,286

3,687

Other interest-bearing securities except loans

43,525

49,901

Total liquidity investments

69,277

72,263

282,357

280,963

Total interest-bearing assets


Page 15 of 33

Note 5. Classification of financial assets and liabilities Financial assets by accounting category Financial assets at fair value through profit or loss

Skr mn

Derivatives used for hedge accounting

Availablefor-sale

Loans and receivables

Total

11,633

Designated upon Held-for- initial recognition trading (FVO)


-

-

-

-

11,633


-

-

-

3,286

-

3,286


-

1,023

-

42,512

-10

43,525

Loans in the form of interest-bearing securities

-

266

-

-

44,641

44,907


-

-

-

-

25,330

25,330

Loans to the public

-

-

-

-

153,676

153,676

Derivatives

5,678

-

4,026

-

-

9,704

Total financial assets, March 31, 2017

5,678

1,289

4,026

45,798

235,270

292,061

Total financial assets, December 31, 2016

6,371

1,750

5,634

52,107

227,106

292,968

Financial liabilities by accounting category Financial liabilities at fair value through profit or loss

Skr mn

Derivatives used for hedge Other financial accounting liabilities

Total

Designated upon Held-for- initial recognition trading (FVO)

Borrowing from credit institutions

-

-

-

2,564

2,564


-

65,590

-

188,784

254,374

13,553

-

5,592

-

19,145

-

-

-

2,228

2,228

Total financial liabilities, March 31, 2017

13,553

65,590

5,592

193,576

278,311

Total financial liabilities, December 31, 2016

15,770

71,079

6,302

184,135

277,286

Derivatives Subordinated securities issued

Fair value related to credit risk Fair value originating from credit risk (- liabilities increase/ + liabilities decrease) Skr mn CVA/DVA, net1 OCA2 1

2

The period's change in fair value originating from credit risk (+ income/ - loss)

March 31, 2017

December 31, 2016

Jan–Mar 2017

-11

-14

3

Jan–Mar 2016 -2

-472

-383

-89

-63

CVA (Credit value adjustment) and DVA (Debt value adjustment) reflects how the counterparties’ credit risk as well as SEK’s own credit rating affects the fair value of derivatives. OCA (Own credit adjustment) reflects how the changes in SEK’s credit rating affects the fair value of financial liabilities measured at fair value through profit and loss.


Page 16 of 33

Note 6. Financial assets and liabilities at fair value March 31, 2017 Skr mn Cash and cash equivalents Treasuries/governments bonds Other interest-bearing securities except loans

Book value

Fair value

Surplus value (+)/ Deficit value (–)

11,633

11,633

-

3,286

3,286

-

43,525

43,536

11 1,001


44,907

45,908


25,330

25,354

153,676

156,145

Loans to the public Derivatives Total financial assets Borrowing from credit institutions Senior securities issued Derivatives Subordinated securities issued Total financial liabilities

24 2,4691

9,704

9,704

-

292,061

295,566

3,505

2,564

2,564

-

254,374

255,709

1,335

19,145

19,145

-

2,228

2,250

22

278,311

279,668

1,357

December 31, 2016

Skr mn

Book value

Fair value

Surplus value (+)/ Deficit value (–)


7,054

7,054

-

Treasuries/governments bonds

3,687

3,687

-


49,901

49,911

10


46,222

47,210

988


26,190

26,240

147,909

150,338

Loans to the public Derivatives Total financial assets Borrowing from credit institutions Senior securities issued Derivatives Subordinated securities issued Total financial liabilities 1

50 2,4291

12,005

12,005

-

292,968

296,445

3,477

3,756

3,756

-

249,192

250,151

959

22,072

22,072

-

2,266

2,265

-1

277,286

278,244

958

Skr 1,686 million of the surplus value (year-end 2016: Skr 1,721 million) is mainly related to CIRR loans (as defined below) within the S-system (as defined below). See note 8 for more information regarding the S-system.


Page 17 of 33

The best evidence of fair value is quoted prices in an active market. The majority of SEK’s financial instruments are not publicly traded, and quoted market values are not readily available. Fair value measurements are categorized using a fair value hierarchy. The financial instruments carried at fair value have been categorized under the three levels of the IFRS fair value hierarchy that reflect the significance of inputs. The categorization of these instruments is based on the lowest level of input that is significant to the fair value measurement in its entirety. SEK uses the following hierarchy for determining and disclosing the fair value of financial instruments based on valuation techniques: Level 1: quoted (unadjusted) prices in active markets for identical assets or liabilities; Level 2: other techniques for which all inputs which have a significant effect on the recorded fair value are observable, either directly or indirectly; and Level 3: techniques which use inputs which have a significant effect on the recorded fair value that are not based on observable market data. SEK recognizes transfers between levels of the fair value hierarchy at the beginning of the reporting period in which the change has occurred. For all classes of financial instruments (assets and liabilities), fair value is established by using internally established valuation models, externally established valuation models, and quotations furnished by external parties. If the market for a financial instrument is not active, fair value is established by using a valuation technique. The objective of using a valuation technique is to establish what the transaction price would have been at the measurement date in an arm’s length exchange based on normal business terms and conditions. Valuation techniques include using recent arm’s length market transactions between professional, willing parties, if available, reference to the current fair value of another instrument that is substantially the same, discounted cash flow analysis and option pricing models. Periodically, the valuation techniques are calibrated and tested for validity using prices from observable current market transactions in the same instruments or based on any available observable market data, or comparable to the counterparts prices. In calculating fair value, SEK seeks to use observable market quotes (market data), where possible, to best reflect the market’s view on prices. These market quotes are used, directly or indirectly, in quantitative models for the calculation of fair value. Examples of the indirect use of market data are: • the derivation of discount curves from observable market data, which is interpolated to calculate the non-observable data points, and • quantitative models, which are used to calculate the fair value of a financial instrument, where the model is calibrated so that available market data can be used to recreate observable market prices on similar instruments. In some cases, due to low liquidity in the market, there is no access to observable market data. In these cases, SEK follows market practice by basing its valuations on:   • historically observed market data. One example is a valuation depending on the correlation between two exchange rates, where the correlation is determined by time series analysis.   • similar observable market data. One example is SEK’s valuation of the volatility of a stock option whose maturity is


longer than the longest option for which observable market quotes are available. In such a case, SEK extrapolates a value based on the observable market quotes for shorter maturities. For observable market data, SEK uses third-party information based on purchased contracts (such as that available from Reuters and Bloomberg). This type of information can be divided into two groups, with the first group consisting of directly observable prices and the second of market data calculated from the observed prices. Examples from the first group are – for various currencies and maturities – currency rates, stock prices, share index levels, swap prices, future prices, basis spreads and bond prices. The discount curves that SEK uses, which are a cornerstone of valuation at fair value, are constructed from observable market data. Examples from the second group are the standard forms of quotes, such as call options in the foreign exchange market quoted through volatility which is calculated by the “BlackScholes model”. Further examples from this group are – for various currencies and maturities – currency volatility, swap volatility, cap/floor volatilities, stock volatility, dividend schedules for equity and credit default swap spreads. SEK continuously evaluates the high quality of market data, and in connection with financial reporting, a thorough validation of market data is performed quarterly. For transactions that cannot be valued based on observable market data, the use of non-observable market data is necessary. Examples of non-observable market data are discount curves created using observable market data that are extrapolated to calculate non-observable interest rates, correlations between different underlying market parameters and volatilities at long maturities. Correlations that are non-observable market data are calculated from time-series of observable market data. When extrapolated market data such as interest rates are used they are calculated by setting the last observable node as a constant for longer maturities. Non-observable market data such as SEK’s own creditworthiness are assessed by SEK’s recent issuances of securities, or if no continuous flow of new transactions exist, spreads against other issuers, in those cases in which observable prices in the secondary market are unavailable. The valuation models applied by SEK comply with accepted methods for pricing financial instruments. Fair value adjustments applied by SEK reflect additional factors that market participants take into account and that are not captured by the valuation model. SEK’s independent Risk Management Function assesses the level of fair value adjustments to reflect counterparty risk, SEK’s own creditworthiness and other unobservable parameters, where relevant. All models for the valuation of financial instruments must receive annual approval from the Board’s Finance and Risk Committee. The use of a valuation model demands a validation and thereafter an approval. Validation is conducted by the independent risk function. Analysis of significant nonobservable market data, fair value adjustments and significant changes in fair values of level-3-instruments are reviewed on a quarterly basis by plausibility checks. The valuation result is analyzed and approved by persons responsible for valuation and accounting, and discussed with the Audit Committee quarterly in connection with SEK’s interim reports.

Page 18 of 33

Determination of the fair value of certain types of financial instruments Derivative instruments. Derivative instruments are carried at fair value, and fair value is calculated based upon internally established valuations, external valuation models, quotations furnished by external parties or dealers in such instruments or market quotations. When calculating fair value for derivative instruments, the impact on the fair value of the instrument related to counterparty credit risk is based on publicly quoted prices on credit default swaps of the counterparty, if such prices are available. Issued debt instruments. When calculating the fair value of issued debt instruments, the effect on the fair value of SEK’s own credit risk is assessed based on internally established models founded on observations from different markets. The models used include both observable and non-observable parameters for valuation.

Issued debt instruments that are hybrid instruments with embedded derivatives. SEK issues debt instruments in many financial markets. A large portion of these are hybrid instruments with embedded derivatives. SEK’s policy is to hedge the risks in these instruments by using derivatives in order to obtain effective economic hedges. These hybrid debt instruments are classified as financial assets and financial liabilities measured at fair value through profit or loss and therefore the embedded derivatives are not separated. As there are no quoted market prices for these instruments, valuation models are used to calculate fair value. The gross value of these instruments and derivatives which effectively hedge each other requires complex judgments regarding the most appropriate valuation technique, assumptions and estimates. If different valuation models or assumptions were used, or if assumptions changed, this could produce different valuation results. Excluding the impact on valuation of credit spreads on SEK’s own debt and basis spreads (which can be considerable), such changes in fair value would generally offset each other.

Financial assets in fair value hierarchy Financial assets at fair value through profit or loss Skr mn

Level 1

Level 2

Level 3

Available-for-sale

Total

Level 1

Level 2

Level 3

Total


-

-

-

-

-

-

-

-

Treasuries/governments bonds

-

-

-

-

3,286

-

-

3,286


895

128

-

1,023

-

42,513

-

42,513


266

-

-

266

-

-

-

-

-

-

-

-

-

-

-

-

Loans to credit institutions Loans to the public

-

-

-

-

-

-

-

-

Derivatives

-

7,430

2,274

9,704

-

-

-

-

Total, March 31, 2017

1,161

7,558

2,274

10,993

3,286

42,513

-

45,799

Total, December 31, 2016

1,368

9,868

2,519

13,755

4,643

47,464

-

52,107

Financial liabilities in fair value hierarchy Financial liabilities at fair value through profit or loss Skr mn

Level 1

Level 2

Level 3

Total

Borrowing from credit institutions

-

-

-

-

Borrowing from the public

-

-

-

-


-

24,298

41,292

65,590

Derivatives

-

15,813

3,333

19,146

Subordinated securities issued

-

-

-

-

Total, March 31, 2017

-

40,111

44,625

84,736

Total, December 31, 2016

1

40,597

52,553

93,151

There were no transfers made between levels during the period January-March 2017 (year-end 2016: Skr - million).


Page 19 of 33

Financial assets and liabilities at fair value in Level 3, March 31, 2017

Skr mn

January 1, 2017

Purchases

Settlements & sales

Transfers to Level 3

Transfers from Level 3

Gains (+) and losses (–) through profit or loss1

Currency exchangerate effects

March 31, 2017


257

-

-250

-

-

-7

0

0


-47,887

-3,811

11,250

-

-

1,202

-2,046

-41,292

Derivatives, net Net assets and liabilities, 2017

-2,404

-324

329

-

-

-1,143

2,483

-1,059

-50,034

-4,135

11,329

-

-

52

437

-42,351

Gains (+) and losses (–) through profit or loss1

Financial assets and liabilities at fair value in Level 3, December 31, 2016

Skr mn

Purchases

Settlements & sales

Transfers to Level 3

Transfers from Level 3

Currency exchange- December 31, rate effects 2016


261

-

-

-

-

-4

0

257


-38,709

-15,279

10,176

-

-

-651

-3,424

-47,887

Derivatives, net Net assets and liabilities, 2016 1

January 1, 2016

-2,551

-1,259

-263

-

-

722

947

-2,404

-40,999

-16,538

9,913

-

-

67

-2,477

-50,034

Gains and losses through profit or loss, including the impact of exchange rates, is reported as interest net revenue and results of financial transactions. The unrealized fair value changes for assets and liabilities, including the impact of exchange rates, held as of March 31, 2017, amount to Skr 275 million loss (year-end 2016: Skr 12 million profit) and are reported as net results of financial transactions.

Uncertainty of valuation of Level 3 instruments As the estimation of the parameters included in the models to calculate the market value of Level 3-instruments is associated with subjectivity and uncertainty, SEK has, in accordance with IFRS 13, 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 Level 3-instruments with a longer duration where extrapolated discount curves are used, a sensitivity analysis has been conducted with regards to the interest. The revaluation of the portfolio is made using an interest rate shift of +/– 10 basis points. 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 basis for this sensitivity analysis is therefore the revaluation of the relevant part of the portfolio, where the correlations have been


adjusted by +/– 10 percentage points. After the revaluation is performed, the max/min value for each transaction is identified. For Level 3-instruments that are significantly affected by non-observable market data, such as 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 of 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. This means that an increase or decrease in fair value of the issued security, excluding SEK’s own credit spread, is offset by an equally large increase or decrease of fair value in the derivative because the underlying market data in the security is also used to evaluate the derivative.

Page 20 of 33

Sensitivity analysis – level 3 assets and liabilities Assets and liabilities

Skr mn

March 31, 2017

Fair Value

Interest rate

0

Sum other interest-bearing securities except loans

0

Equity Interest rate FX Other

Senior securities issued, December 31, 2016 Total effect on profit or loss, December 31, 2016 1

2

0

0

0.75 - (0.01)

Option Model

4

-3

Option Model

-212

207

-1,590

Correlation

0.86 - (0.76)

Option Model

49

-46

-166

Correlation

0.59 - 0.05

Option Model

0

0

-159

158

32,890

33

136

41,292

Total effect on profit or loss2

Derivatives, net, December 31, 2016

0

0.08 - (0.11)

Correlation

0.75 - (0.01)

Option Model

-3

1

Credit spreads

10BP - (10BP)

Discounted cash flow

26

-26

Correlation

0.08 - (0.11)

Option Model

217

-210

Credit spreads

10BP - (10BP)


126

-126

Correlation

0.86 - (0.76)

Option Model

-55

51

Credit spreads

10BP - (10BP)


97

-97

Correlation

0.59 - 0.05

Option Model

0

0

10BP - (10BP)


Credit spreads

Other interest-bearing securities except loans, December 31, 2016

0

Correlation

8,233

Sum senior securities issued


Sensitivity min

Correlation

Equity

Other

10BP - (10BP)

Sensitivity max

841

-1,059

FX

Credit spreads

Valuation method

-144

Sum derivatives, net

Interest rate

Unobservable input

Range of estimates for unobservable input1

2

-2

410

-409

251

-251

257

0

0

-2,404

-270

258

-47,887

191

-192

-79

66

Represents the range of correlations that SEK has determined market participants would use when pricing the instruments. The structures are represented both in the security and the derivative hedging the bond. The sensitivity analysis is based on a shift in the interval for correlation between 0.1 and –0.1. The correlation is expressed as a value between 1 and –1, where 0 indicates no relationship, 1 indicates maximum positive relationship and -1 indicates maximum negative relationship. The maximum correlation in the range of unobservable inputs can thus be from 1 to –1. The table presents the scenario analysis of the effect on Level 3-instruments, with maximum positive and negative changes. Of the total impact on profit or loss, the sensitivity effect of SEK’s own credit spread was Skr 251 million (year-end 2016: Skr 244 million) under a maximum scenario and Skr -251 million (year-end 2016: Skr -244 million) under a minimum scenario.


Page 21 of 33

Note 7. Derivatives Derivatives by categories March 31, 2017 Skr mn

Assets Fair value

December 31, 2016

Liabilities Fair value

Nominal amounts

Assets Fair value

Liabilities Fair value

Nominal amounts

Interest rate-related contracts

3,875

9,781

251,120

4,309

9,909

244,854

Currency-related contracts

5,251

8,652

138,236

7,115

10,302

137,656

578

533

19,260

581

1,683

24,829

0

179

-1,007

-

178

2,662

9,704

19,145

407,609

12,005

22,072

410,001

Equity-related contracts Contracts related to commodities, credit risk, etc. Total derivatives

In accordance with SEK’s policies with regard to counterparty, interest rate, currency exchange, and other exposures, SEK uses, and is a party to, different kinds of derivative instruments, mostly various interest rate-related and currency exchange-related contracts primarily to hedge risk exposure

inherent in financial assets and liabilities. These contracts are carried at fair value in the statements of financial position on a contract-by-contract basis.

Note 8. S-system SEK administers, for compensation, the Swedish State’s export credit support system (CIRR loans), and the State’s related concessionary credit program (together referred to as the “Ssystem”). In accordance with its assignment in the owner’s instruction to the company issued by the Swedish State, SEK manages the granting of loans in the S-system. See Note 1(f) in the Annual Report for 2016.

The remuneration from the S-system to SEK in accordance with the owner’s instruction is shown as a part of interest revenues in the statement of comprehensive income for SEK (see the line item “Remuneration to SEK” in the table below). The assets and liabilities of the S-system are included in SEK’s statement of financial position. Unrealized fair value changes on derivatives related to the S-system are presented net as a claim from the State under other assets.

Statement of Comprehensive Income for the S-system Skr mn

Oct-Dec 2016

Jan-Mar 2016

Jan-Dec 2016

Interest revenues

332

321

293

1,185

Interest expenses

-276

-273

-245

-1,012

56

48

48

173

Net interest revenues Interest compensation Remuneration to SEK1 Foreign exchange effects Reimbursement to (–) / from (+) the State Operating profit 1

Jan-Mar 2017

2

9

1

121

-32

-30

-28

-116

-1

-1

4

4

-25

-26

-25

-182

0

0

0

0

The remuneration from the S-system to SEK is shown as a part of interest revenues in the statement of comprehensive income for SEK.


Page 22 of 33

Statement of Financial Position for the S-system (included in SEK’s statement of financial position) Skr mn

March 31, 2017

Cash and cash equivalents Loans

December 31, 2016

-

55

53,364

50,793

Derivatives1

330

321

Other assets

3,640

3,414

304

352

Total assets


57,638

54,935

Liabilities

53,456

50,982

3,814

3,576

368

377

Derivatives1 Accrued expenses and prepaid revenues Equity Total liabilities and equity

-

-

57,638

54,935

42,719

49,080

3,804

2,911

Commitments Committed undisbursed loans Binding offers 1

Revaluation effects on derivatives are net reported as Other assets in Consolidated Statement of Financial Position. The change is mainly due to market value changes.

Results under the S-system by type of CIRR loans (Commercial Interest Reference Rate) Jan-Mar 2017

Oct-Dec 2016

Jan-Mar 2016

Jan–Dec 2016

68

62

61

224

2

9

1

121

-32

-30

-28

-114

Foreign exchange effects

-1

-1

4

4

Results under the S-system by CIRR loans

37

40

38

235

Jan-Mar 2017

Oct-Dec 2016

Jan-Mar 2016

Jan–Dec 2016

Net interest revenues

-12

-14

-13

-51

Remuneration to SEK

0

0

0

-2

Foreign exchange effects

-

-

-

-

-12

-14

-13

-53

25

26

25

182

Skr mn Net interest revenues Interest compensation Remuneration to SEK

Results under the S-system for Concessionary loans Skr mn

Results under the S-system by Concessionary loans Total comprehensive income in the S-system which represents net remuneration to the State (+) net remuneration to SEK (-)

Note 9. Pledged assets and contingent liabilities Skr mn

March 31, 2017

December 31, 2016

10,833

11,621

2,973

3,027

49,985

54,783

4,439

4,630

Collateral provided Cash collateral under the security agreements for derivative contracts Contingent assets Guarantee commitments Commitments Committed undisbursed loans Binding offers


Page 23 of 33

Note 10. Capital adequacy Capital adequacy analysis March 31, 2017

December 31, 2016


19.0%

22.1%


19.0%

22.1%

Total capital ratio

21.5%

25.1%

8.4%

8.0%

of which minimum Common Equity Tier 1 requirement

4.5%

4.5%

of which Capital conservation buffer

2.5%

2.5%

of which Countercyclical Buffer

1.4%

1.0%

-

-

13.0%

16.1%

21.5%

22.8%

Capital ratios excl. of buffer requirements1

Institution-specific Common Equity Tier 1 capital requirement incl. buffers2

of which Systemic Risk Buffer Common Equity Tier 1 capital available to meet

buffers3

Total capital ratio according to Basel I floor4 1 Capital

2

3

4

ratios excl. of buffer requirements are the quotients of the relevant capital measure and the total risk exposure amount. The minimum requirements according to CRR (as defined below), which, without regard to the transitional period, already have come into force in Sweden, are 4.5 percent, 6.0 percent and 8.0 percent related to Common Equity Tier 1 capital, Tier 1 capital and total Own Funds respectively. The change in capital ratios compared to year-end 2016 is primarily due to SEK applying the internal rating-based (IRB) approach to exposures to central and regional governments and to multilateral development banks. Expressed as a percentage of total risk exposure amount. Beginning March 31, 2017, the 4.5 percent minimum requirement is shown separately to clarify the summary of this ratio. Common Equity Tier 1 capital ratio as reported less minimum requirement of 4.5 percent (excluding buffer requirements) and less 1.5 percent, consisting of Common Equity Tier 1 used to meet the Tier 1 requirements, since SEK does not have any Tier 1 capital. Beginning March 31, 2017, the ratio exclusively expresses the availability to meet buffer requirements. The year-end 2016 value has been recalculated to reflect this change in methodology. The minimum requirement is 8.0 percent.

For further information on capital adequacy, risks, and CRR1, see the section entitled “Risk and capital management” in SEK’s Annual Report for 2016. 1

“CRR” means Regulation (EU) No 575/2013 of the European Parliament and of the Council of June 26, 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012.

Own funds – Adjusting items Skr mn Share capital

March 31, 2017

December 31, 2016

3,900

3,990

12,782

12,236

Accumulated other comprehensive income and other reserves

104

130

Independently reviewed profit net of any foreseeable charge or dividend

137

546

17,013

16,902

-434

-444

Intangible assets

-93

-101

Fair value reserves related to gains or losses on cash flow hedges

-73

-96

Gains or losses on liabilities valued at fair value resulting from changes in own credit standing

353

281

Retained earnings

Common Equity Tier 1 (CET1) capital before regulatory adjustments Additional value adjustments due to prudent valuation

Total regulatory adjustments to Common Equity Tier 1 capital Total Common Equity Tier 1 capital Additional Tier 1 capital Total Tier 1 capital Tier 2-eligible subordinated debt Credit risk adjustments1

-247

-360

16,766

16,542

-

-

16,766

16,542

2,233

2,267

7

12

2,240

2,279

Total Own funds

19,006

18,821

Total Own funds according to Basel I floor

18,999

18,809

Total Tier 2 capital

1 Expected

loss amount calculated according to the IRB approach is a gross deduction from own funds. The gross deduction is decreased by impairment related to exposures for which expected loss is calculated. Excess amounts of such impairment will increase own funds. This increase is limited to 0.6 percent of SEK’s risk exposure amount according to the IRB approach related to exposures to corporates and financial institutions. As of March 31, 2017, the limitation rule has not had any effect (year-end 2016: no effect).


Page 24 of 33

Minimum capital requirements exclusive of buffer March 31, 2017

Skr mn

EAD1

Risk exposure amount

December 31, 2016 Minimum capital requirement

EAD1

Minimum capital requirement

Risk exposure amount

Credit risk standardized method Central governments

-

-

-

145,531

963

77

Regional governments

-

-

-

19,904

-

-

Multilateral development banks

-

-

-

1,900

-

-

Corporates

1,575

1,575

126

1,450

1,450

116

Total credit risk standardized method

1,575

1,575

126

168,785

2,413

193

Credit risk IRB method Central governments

169,268

9,758

781

-

-

-

49,823

15,585

1,247

44,947

14,089

1,127

101,374

54,157

4,333

95,519

51,104

4,088

119

119

9

123

123

10

320,584

79,619

6,370

140,589

65,316

5,225

Credit valuation adjustment risk

n.a.

2,238

186

n.a.

2,526

202

Foreign exchange risk

n.a.

1,052

84

n.a.

999

81

Commodities risk

n.a.

12

1

n.a.

14

1

Operational risk

n.a.

3,669

293

n.a.

3,669

293

322,159

88,255

7,060

309,374

74,937

5,995

n.a.

311

25

n.a.

7,572

606

322,159

88,566

7,085

n.a.

82,509

6,601

Financial institutions2 Corporates 3 Assets without counterparty Total credit risk IRB method

Total Adjustment according to Basel I floor Total incl. Basel I floor 1 2

3

Exposure at default (EAD) shows the size of the outstanding exposure at default. Of which counterparty risk in derivatives: EAD Skr 4,717 million (year-end 2016: Skr 4,515 million), Risk exposure amount of Skr 1,767 million (year-end 2016: Skr 1,784 million) and Capital requirement of Skr 141 million (year-end 2016: Skr 143 million). Of which related to specialized lending: EAD Skr 2,795 million (year-end 2016: Skr 2,853 million), Risk exposure amount of Skr 1,907 million (year-end 2016: Skr 1,942 million) and Capital requirement of Skr 153 million (year-end 2016: Skr 155 million).

Credit risk

Foreign exchange risk

For risk classification and quantification of credit risk, SEK uses the IRB approach. Specifically, SEK applies the Foundation Approach. Under the Foundation Approach, the company determines the probability of default within one year (PD) for each of its counterparties, while the remaining parameters are established in accordance with CRR. The Swedish Financial Supervisory Authority has approved SEK’s IRB approach. Certain exposures are, by permission from the Swedish Financial Supervisory Authority, exempted from application of the IRB approach, and, instead, the standardized approach is applied. Beginning March 31, 2017, by permission from the Swedish Financial Supervisory Authority, the IRB approach is applied also to SEK’s exposures to central and regional governments and to multilateral development banks. Minimum capital requirements for these exposures increased due to the expanded IRB approach, which explains a great deal of the 19.9 percent increase in SEK’s total minimum capital requirements for credit risk between December 31, 2016 and March 31, 2017. Counterparty risk exposure amounts in derivatives are calculated in accordance with the mark-to-market method.

Foreign exchange risk is calculated according to the standardized approach, whereas the scenario approach is used for calculating the gamma and volatility risks.

Credit valuation adjustment risk Credit valuation adjustment risk shall be calculated for all over-the-counter derivative contracts, except for credit derivatives used as credit protection and transactions with a qualifying central counterparty. SEK calculates this capital requirement according to the standardized method.


Commodities risk Capital requirements for commodity risk are calculated in accordance with the simplified approach under the standardized approach. The scenario approach is used for calculating the gamma and volatility risks.

Operational risk Capital requirement for operational risk is calculated according to the standardized approach. The company’s operations are divided into business areas as defined in the CRR. The capital requirement for each area is calculated by multiplying a factor depending on the business area by an income indicator. The factors applicable for SEK are 15 percent and 18 percent. The income indicators consist of the average operating income for the past three financial years for each business area.

Transitional rules CRR states that the previously applicable transition rules, i.e. the Basel I floor, will continue to apply until 2017. According to the transitional rules, the capital requirement should be calculated in parallel on the basis of the Basel I rules. To the extent that the Basel I-based capital requirement, reduced to 80 percent, exceeds the capital requirement based on CRR, the

Page 25 of 33

capital requirement under the above mentioned Basel I-based rules should constitute the minimum capital requirement.

Leverage Ratio

Capital buffer requirements

Exposure measure for the leverage ratio

SEK expects to meet capital buffer requirements with Common Equity Tier 1 capital. The mandatory capital conservation buffer is 2.5 percent. The countercyclical buffer rate that will be applied to exposures located in Sweden was increased from 1.5 percent to 2.0 percent as of March 19, 2017. As of March 31, 2017, the capital requirement related to relevant exposures in Sweden is 68 percent (year-end 2016: 69 percent) of the total relevant capital requirement regardless of location; this fraction is also the weight applied on the Swedish buffer rate when calculating SEK’s countercyclical capital buffer. Buffer rates activated in other countries may have effects on SEK, but as most capital requirements from relevant credit exposures are related to Sweden, the potential effect is limited. As of March 31, 2017, the contribution to SEK’s countercyclical buffer from buffer rates in other countries was 0.01 percentage points (year-end 2016: 0.01 percentage points). SEK has not been classified as a systemically important institution by any financial regulatory authority. The capital buffer requirements for systemically important institutions that came into force January 1, 2016, will hence not apply to SEK.

Skr mn

On-balance sheet exposures

March 31, 2017

December 31, 2016

280,889

278,324

Off-balance sheet exposures Total exposure measure

32,217

35,626

313,106

313,950

5.4%

5.3%

Leverage ratio

The leverage ratio is defined by CRR as the quotient of the Tier 1 capital and an exposure measure. Currently there is no minimum requirement for the leverage ratio.

Internally assessed economic capital excl. buffer Skr mn

March 31, 2017

December 31, 2016

7,287

7,481

Credit risk Operational risk Market risk

182

182

1,259

1,597

Other risks

242

258

2,005

1,668

10,975

11,186

Capital planning buffer Total

SEK regularly conducts an internal capital adequacy assessment process, during which the company determines how much capital is needed in order to cover its risks. The result of SEK’s assessment of capital adequacy is presented above. For more information regarding the internal capital adequacy assessment process and its methods, please see the Risk and Capital management section of SEK’s Annual Report for 2016.

Note 11. Exposures Net exposures are reported after taking into consideration effects of guarantees and credit default swaps. Amounts are calculated in accordance with capital adequacy calculations, but before the application of credit conversion factors.

Total net exposures Skr bn Classified by type of counterparty Central governments Regional governments Multilateral development banks Financial institutions

Credits & interest-bearing securitites March 31, 2017 Amount

Undisbursed credits, derivatives, etc

December 31, 2016 %

Amount

%

March 31, 2017 Amount

Total

December 31, 2016 %

Amount

March 31, 2017

%

Amount

December 31, 2016 %

Amount

%

117.0

42.4

117.3

42.9

50.6

81.4

56.4

84.1

167.6

49.6

173.7

51.0

13.5

4.9

19.9

7.3

-

-

-

-

13.5

4.0

19.9

5.8

0.8

0.3

1.9

0.7

-

-

-

-

0.8

0.2

1.9

0.6

44.6

16.2

39.8

14.5

5.4

8.7

5.4

8.0

50.0

14.8

45.2

13.2

Corporates

100.0

36.2

94.7

34.6

6.1

9.9

5.3

7.9

106.1

31.4

100.0

29.4

Total

275.9

100.0

273.6

100.0

62.1

100.0

67.1

100.0

338.0

100.0

340.7

100.0


Page 26 of 33

Net exposure by region and exposure class, as of March 31, 2017 Middle East/ Africa/ Turkey

Skr bn Central governments

Asia excl. Japan

-

2.7

North America

Japan

2.8

Oceania

3.6

-

Latin America

Sweden

0.9

138.4

West European countries excl. Sweden

16.0

Centraland East European countries

Total

3.2

167.6 13.5


-

-

-

-

-

-

13.0

0.5

-


-

-

-

-

-

-

-

0.8

-

0.8

Financial institutions

-

1.1

3.2

9.5

0.5

1.2

9.3

24.9

0.3

50.0

Corporates

3.0

1.7

0.8

5.4

-

3.2

73.3

18.5

0.2

106.1

Total

3.0

5.5

6.8

18.5

0.5

5.3

234.0

60.7

3.7

338.0

Net exposure by region and exposure class, as of December 31, 2016 Middle East/ Africa/ Turkey

Skr bn Central governments

Asia excl. Japan

-

3.6

North America

Japan

2.8

Oceania

3.8

-

Latin America

Sweden

0.9

140.7

West European countries excl. Sweden

18.6

Centraland East European countries

Total

3.3

173.7 19.9


-

-

-

-

-

-

18.0

1.9

-


-

-

-

-

-

-

-

1.9

-

1.9

1.1

1.4

9.2

0.6

1.3

7.2

24.1

0.3

45.2

Financial institutions Corporates

3.9

1.8

1.4

2.4

-

3.2

68.7

18.4

0.2

100.0

Total

3.9

6.5

5.6

15.4

0.6

5.4

234.6

64.9

3.8

340.7

Net exposure European countries, excluding Sweden Skr bn

March 31, 2017

December 31, 2016

France

13.2

14.0

8.9

8.5

United Kingdom Finland

7.2

7.8

Denmark

6.7

8.4

Germany

6.0

6.9

Norway

5.7

5.9

The Netherlands

4.5

2.8

Poland

3.2

3.3

Luxembourg

3.2

4.8

Spain

2.5

2.1

Switzerland

1.5

1.6

Belgium

0.6

0.6

Ireland

0.4

0.4

Iceland

0.3

0.3

Latvia

0.2

0.3

Hungary

0.1

0.1 0.1

Russia

0.1

Estonia

0.1

0.1

Portugal

0.1

0.1

Austria

0.0

0.6

Italy

0.0

0.0

64.5

68.7

Total


Note 12. Transactions with related parties Transactions with related parties are described in Note 28 in SEK’s Annual Report for 2016. No material changes have taken place in relation to transactions with related parties compared to the descriptions in the Annual Report for 2016.

Note 13. Events after the reporting period No events with significant impact on the information in this report have occurred after the end of the reporting period.

Page 27 of 33

PARENT COMPANY INCOME STATEMENT Skr mn

Jan-Mar 2017

Oct-Dec 2016

Jan-Mar 2016

Jan-Dec 2016

Interest revenues

886

887

727

3,188

Interest expenses

-456

-430

-298

-1,441

430

457

429

1,747

Net interest revenues Dividend from subsidiaries Net fee and commission expense Net results of financial transactions

0

0

0

2

-6

-11

-5

-29

6

-60

36

-110

Total operating income

430

386

460

1,610

Personnel expenses

-80

-86

-84

-313


-60

-61

-57

-236


-11

-12

-12

-46

-151

-159

-153

-595

279

227

307

1,015

Total operating expenses

Operating profit before net credit losses Net credit losses

-25

-15

1

-16

Operating profit

254

212

308

999

0

712

0

712

Tax expenses

-60

-203

-65

-377

Net profit

194

721

243

1,334

Changes in untaxed reserves


Page 28 of 33

PARENT COMPANY BALANCE SHEET Skr mn

March 31, 2017

December 31, 2016

Assets Cash and cash equivalents

11,616

7,031

3,286

3,687


43,525

49,901


44,907

46,222


25,330

26,190

153,676

147,909

9,704

12,005


Loans to the public Derivatives Shares in subsidiaries Property, plant, equipment and intangible assets

17

17

119

123

Other assets

4,687

4,167


1,965

2,184

298,832

299,436

2,564

3,756

Total assets Liabilities and equity Borrowing from credit institutions Borrowing from the public Senior securities issued Derivatives Other liabilities Accrued expenses and prepaid revenues Deferred tax liabilities

0

0

254,374

249,192

19,145

22,072

813

2,374

2,036

2,036

0

0

18

16

2,228

2,266

281,178

281,712

2,565

2,565

Share capital

3,990

3,990

Legal reserve

198

198

31

29

Provisions Subordinated securities issued Total liabilities Untaxed reserves Non-distributable capital

Fund for internally developed software Distributable capital Fair value reserve

101

131

Retained earnings

10,575

9,477

Net profit for the year Total equity Total liabilities and equity


194

1,334

15,089

15,159

298,832

299,436

Page 29 of 33

The Board of Directors and the Chief Executive Officer confirm that this Interim report provides a fair overview of the Parent Company’s and the Consolidated Group’s operations and their respective financial position and results, and describes material risks and uncertainties facing the Parent Company and other companies in the Consolidated Group.

Stockholm, April 25, 2017 AB SVENSK EXPORTKREDIT SWEDISH EXPORT CREDIT CORPORATION

Lars Linder-Aronson Chairman of the Board

Cecilia Ardström Director of the Board

Reinhold Geijer Director of the Board

Hans Larsson Director of the Board

Susanne Lithander Director of the Board

Lotta Mellström Director of the Board

Ulla Nilsson Director of the Board

Teppo Tauriainen Director of the Board

Catrin Fransson Chief Executive Officer

SEK has established the following expected dates for the publication of financial information and other related matters: July 17, 2017 October 24, 2017 February 1, 2018

Interim Report for the period January 1, 2017 – June 30, 2017 Interim Report for the period January 1, 2017 – September 30, 2017 Year-end Report for the period January 1, 2017 – December 31, 2017

The report contains information that SEK will disclose pursuant to the Securities Markets Act and/or the Financial Instruments Trading Act. The information was submitted for publication on April 25, 2017 15:00 (CET). Additional information about SEK, including investor presentations and the Annual Report for the financial year 2016, is available at www.sek.se. Information available on or accessible through SEK’s website is not incorporated herein by reference.


Page 30 of 33

THIS IS A TRANSLATION FROM THE SWEDISH ORIGINAL

AUDITOR REVIEW REPORT To the Board of Directors of AB Swedish Export Credit Corporation (publ.) Corp Id No 556084-0315

Report of Review of Interim Financial Information

Introduction We have reviewed the condensed interim financial information (interim report) of AB Svensk Exportkredit (publ) as of 31 March 2017 and the three-month period then ended. The board of directors and the CEO are responsible for the preparation and presentation of the interim financial information in accordance with IAS 34 and the Annual Accounts Act for Credit Institutions and Securities Companies. Our responsibility is to express a conclusion on this interim report based on our review.

Scope of Review We conducted our review in accordance with the International Standard on Review Engagements ISRE 2410, Review of Interim Report Performed by the Independent Auditor of the Entity. A review consists of making inquiries, primarily of persons responsible for financial and accounting matters, and applying

analytical and other review procedures. A review is substantially less in scope than an audit conducted in accordance with International Standards on Auditing, ISA, and other generally accepted auditing standards in Sweden. The procedures performed in a review do not enable us to obtain assurance that we would become aware of all significant matters that might be identified in an audit. Accordingly, we do not express an audit opinion.

Conclusion Based on our review, nothing has come to our attention that causes us to believe that the interim report is not prepared, in all material respects, in accordance with IAS 34 and the Annual Accounts Act for Credit Institutions and Securities Companies, regarding the Group, and with the Annual Accounts Act for Credit Institutions and Securities Companies, regarding the Parent Company.

Stockholm, 25 April 2017 Öhrlings PricewaterhouseCoopers AB

Peter Nyllinge Authorized Public Accountant Auditor in Charge


Anneli Granqvist Authorized Public Accountant

Page 31 of 33

Definitions

Alternative performance measures (see *) Alternative performance measures (APMs) are key performance indicators that are not defined under IFRS or in the Capital Requirements Directive IV (CRD IV) or in regulation (EU) No. 575/2013 on prudential requirements for credit institutions and investment firms (CRR). SEK has chosen to present these, either because they are in common use within the industry or because they accord with SEK’s assignment from the Swedish government. The APMs are used internally to monitor and manage operations, and are not considered to be directly comparable with similar key performance indicators presented by other companies. For additional information

a negative market scenario.

regarding the APMs, refer to www.sek.se.

Medium-sized companies Companies with an annual turnover between Skr 500 million and Skr 5 billion, inclusive.

*After-tax return on equity Net profit, expressed as a percentage per annum of the current year’s average equity (calculated using the opening and closing balances for the report period). *Average interest-bearing assets The total of cash and cash equivalents, treasuries/government bonds, other interest-bearing securities except loans, loans in the form of interest-bearing securities, loans to credit institutions and loans to the public. Calculated using the opening and closing balances for the report period. *Average interest-bearing liabilities The total of outstanding senior debt and subordinated securities issued. Calculated using the opening and closing balances for the report period. Basic and diluted earnings per share (Skr) Net profit divided by the average number of shares, which amounted to 3,990,000 for each period. *CIRR loans as percentage of new lending The system for officially supported export credits. Common Equity Tier 1 capital ratio The capital ratio is the quotient of total common equity tier 1 capital and

*Loans, outstanding and undisbursed Lending pertains to all credit facilities provided in the form of interest-bearing securities, and credit facilities granted by traditional documentation. SEK considers these amounts to be useful measurements of SEK’s lending volumes. Accordingly, comments on lending volumes in this report pertain to amounts based on this definition (see the Statement of Financial Position and Note 9).

Net stable funding ratio (NSFR) This ratio measures stable funding in relation to the company’s illiquid assets over a one-year, stressed scenario in accordance with Basel III. *New lending New lending includes all new committed loans, irrespective of tenor. Not all new lending is reported in the Consolidated Statement of Financial Position and the Consolidated Statement of Cash Flows since certain portions comprise committed undisbursed loans (see Note 9). The amounts reported for committed undisbursed loans may change when presented in the Consolidated Statement of Financial Position due to changes in exchange rates, for example. *New long-term borrowing New borrowings with maturities exceeding one year, for which the amounts are based on the trade date. In the Consolidated Statement of Cash Flows, amounts are shown based on settlement dates. Differences can occur between these amounts, since trade dates and settlement dates can differ and occur in different reporting periods. *Outstanding senior debt The total of borrowing from credit institutions, borrowing from the public and senior securities issued.

the total risk exposure amount. Large companies Companies with an annual turnover of more than Skr 5 billion. Leverage ratio Tier 1 capital expressed as a percentage of the exposure measured under CRR (refer to Note 10). Liquidity coverage ratio (LCR) The liquidity coverage ratio is a liquidity metric that shows SEK’s highly liquid assets in relation to the company’s net cash outflows for the next 30 calendar days. An LCR of 100 percent means that the company’s liquidity reserve is of sufficient size to enable the company to manage stressed liquidity outflows over a period of 30 days. Unlike the Swedish FSA’s rules, the EU rules take into account the outflows that correspond to the need to pledge collateral for derivatives that would arise as a result of the effects of

Repurchase and redemption of own debt The amounts are based on the trade date. In the Consolidated Statement of Cash Flows, amounts are shown based on settlement dates. Differences can occur between these amounts, since trade dates and settlement dates can differ and occur in different reporting periods. Swedish exporters SEK’s clients that directly or indirectly promote Swedish export. Tier 1 capital ratio The capital ratio is the quotient of total tier 1 capital and the total risk exposure amount. Total capital ratio The capital ratio is the quotient of total own funds and the total risk exposure amount.

Unless otherwise stated, amounts in this report are in millions (mn) of Swedish kronor (Skr), abbreviated “Skr mn” and relate to the group consisting of the Parent Company and its consolidated subsidiaries (together, the “Group” or the “Consolidated Group”). AB Svensk Exportkredit (SEK), is a Swedish corporation with the identity number 556084-0315, and with its registered office in Stockholm, Sweden. SEK is a public limited liability company as defined in the Swedish Companies Act. In some instances, under Swedish law, a public company is obliged to add “(publ.)” to its company name.


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About SEK

Mission

Our mission is to ensure access to financial solutions for the Swedish export industry on commercial and sustainable terms. The mission includes administration of the officially supported CIRR system.

Vision

SEK’s vision is to strengthen the competitiveness of Swedish exporters and, thereby help to create employment and sustainable growth in Sweden.

Our clients

SEK’s offering is aimed at Swedish exporters and their customers and, currently, our clients are mainly represented among the 100 largest Swedish exporters with sales exceeding Skr 4 billion. Starting in 2015, we have also expanded our offering to reach medium-sized exporters with sales of more than Skr 500 million.

Our partnerships

We have close partnerships with other export promotion agencies in Sweden such as: EKN, Business Sweden, Almi and Swedfund. We also work together with numerous Swedish and international banks.

Employees

SEK has about 260 employees and its head office is located in Stockholm, Sweden. SEK also has a representative office in Gothenburg.

Core values

SEK is governed by our core values: solution orientation, collaboration and professionalism.

SEK’s history

SEK has helped the Swedish export industry with financing solutions in 55 years. The Swedish government and the largest banks founded SEK in 1962, and the government became the sole owner in 2003.


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Interim Report January-March 2017

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