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The Debt Office is responsible for debt management, guarantee issuing and co-ordination, and acts also as an internal bank for state agencies.
The objective of debt management is also formulated in the Act.
It stipulates that the state’s debt shall be managed so that the long-term costs are minimised while taking risks into account.
Debt management shall also respect the demands of monetary policy.
The Act also stipulates that the government each year shall decide guidelines for debt management. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
This decision shall be based on a proposal submitted by the Debt Office.
The proposal shall be sent to the Riksbank, the central bank, for comments, to ensure that the demands of monetary policy are taken into account.
The Act also instructs the government to submit an annual report to Parliament in which it makes an evaluation of the management of the debt.
The Debt Office’s proposal, the Riksbank’s comments and the government’s guidelines, as well as the evaluation report, are all public documents. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
The implementation of debt management on the basis of the guidelines is delegated to the Debt Office.
The guidelines define in broad terms how the debt should be structured.
They typically include ranges around target values, leaving scope for the Debt Office to make more detailed decisions on the management of the debt. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
The Government guidelines cover the composition between debt denominated in foreign currency, nominal, as well as index- linked domestic currency debt, the duration of the nominal debt and maturities of index-linked borrowing.
III.14.
RISK MANAGEMENT OF GOVERNMENT DEBT IN SWEDEN ADVANCES IN RISK MANAGEMENT OF GOVERNMENT DEBT – ISBN 92-64-10441-0 – © OECD 2005 219 Figure 14.1 shows how the debt and its broad composition have developed since 1990.
Figure 14.1. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
Figure 14.1.
Central government debt, 1990-2003 (including derivatives) In millions of Swedish kronor The current debt portfolio is dominated by nominal loans in domestic currency, made up of bonds and bills, but less so than in most OECD countries.
First, Sweden has an unusually large share of inflation-linked loans, amounting to close to 15 per cent of total debt.
Second, and more significant, nearly a third of the debt is in foreign currencies. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
The foreign currency debt is largely a legacy from the early 1990s.
As can be seen in Figure 14.1, total debt more than doubled between 1990 and 1995, when Sweden experienced the deepest recession since the 1930s.
With an annual net borrowing requirement corresponding to 14 per cent of GDP at the peak, it was useful to divert some of the borrowing to foreign capital markets.
This reduced the pressure on long-term interest rates in the domestic market and diversified the debt portfolio. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
The duration of the combined nominal krona and foreign currency debt is approximately 2.7 years.
The inflation-linked debt has a duration (measured in terms of real rates) of close to 10 years.
The guidelines for the overall composition of the debt constitute the basis for financial risk management of the Debt Office.
In addition, the Government has instructed the Debt Office to follow “best practices” in risk management, and to comply with relevant laws and regulations for financial companies. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
The Debt Office has a board consisting of 8 members, of which 4 are members of Parliament, appointed by the Government.
The Director General 1 600 000 1 400 000 1 200 000 1 000 000 800 000 600 000 400 000 200 000 0 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 SEK, nominal S E K , In fla tio n -lin k -lin -lin SEK, Inflation-linked Foreign currency III.14. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
RISK MANAGEMENT OF GOVERNMENT DEBT IN SWEDEN ADVANCES IN RISK MANAGEMENT OF GOVERNMENT DEBT – ISBN 92-64-10441-0 – © OECD 2005 220 is chairman of the Board.
The Board does not take part in the operational decisions of the SNDO. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
Based on Government guidelines, the Board decides on more precise guidelines for debt and risk management operations, including: ●benchmarks for nominal domestic debt and for foreign currency debt; ●strategic approach for domestic borrowing, such as transparency, predictability, liquidity, broadening the investor base and efforts to modernise the market’s infrastructure; ●limits and guidelines (e.g. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
in terms of Value at Risk) for the active management of the foreign currency portfolio; ●limits and guidelines for credit risks; ●instructions for internal control (operational risks); and ●ethical rules.
The second level of decision-making concerns the operational management of the debt within the framework determined by the Board.
These decisions are taken by the Debt Office’s staff, led by the Director General. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
This operational level includes front offices, planning, executing transactions, administration, back office, financial accounting, IT, risk management, information, law and documentation and research and forecasting.
The organisational structure is based on the principles of: ●delegation of power; ●strict duality in the transaction process; ●independent risk control; and ●internal auditing reporting directly to the Board. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
The work on the guidelines and the long-term strategy is a responsibility of the debt management department with the help of the research and forecasting department.
The risk management department has more limited responsibility in this work.
The Debt Office has a credit committee and an operational risk committee.
Each committee is in charge of risk management within these two areas.
The risk management department prepares the issues to be raised at meetings of these two committees. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
This department (with a staff of 8 officers) has also the following tasks: ●monitoring and analysing financial and operational risks; ●calculating profit and loss for the active management of the FX debt; ●taking initiative for reforms in the risk management area based on the requirements of “best practice”; and ●managing IT and physical security issues.
III.14. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
III.14.
RISK MANAGEMENT OF GOVERNMENT DEBT IN SWEDEN ADVANCES IN RISK MANAGEMENT OF GOVERNMENT DEBT – ISBN 92-64-10441-0 – © OECD 2005 221 The reports produced by the risk management department are addressed to the credit and operational risk committees, the debt management department, the top management and to the Board.
II.
Types of risks Ethical and reputational risks The risk that what we do and say will lead to a loss in reputation. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
As a representative for the Government, the Debt Office has to act responsibly in all matters.
We should always treat our counterparties fair and objective and avoid entering transactions that could harm the reputation of the Debt Office or the Swedish Government.
Business and strategic risks Risks associated with the basic borrowing strategies. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
Our approach is to determine foreseeable borrowing, supporting liquidity by concentrating borrowing to benchmarks, using standard selling techniques and striving to develop the market and the market infrastructure.
By having an open attitude and discussing these matters with market players and comparing with normal practice in other OECD-countries,1 these risks are minimised.
Financial risks ●Market risk.
The risk that changes in market prices leads to losses. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
Our long- term strategic approach is to measure it as variations in coupon costs, plus the realised gains or losses on FX-debt and inflation-linked debt.
A real measure of costs and risks according to ALM is regarded as the preferred choice for the future.
The short-term tactical approach is to use the concept of mark-to-market and measure the costs as changes in market values.
●Liquidity risk. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
●Liquidity risk.
The refinancing risk or roll-over risk, defined as exposure to high interest rates at time of roll-over, has traditionally been managed by limits on redemption amounts.
We have now implemented another technique based on Cost-at-Risk methodology for quantifying the effects of rising interest rates. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
Another aspect of liquidity risk is that instruments and positions in the active management of FX debt must always be liquid so that at all times the SNDO can unwind its positions fast and at low cost.
●Credit risk.
The risks for losses due to unwillingness/incapability of your counterparty to honour its obligations.
Credit risk in our operations stems mainly from the use of OTC derivatives. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
The credit risk policy states that our counterparties should have a minimum rating from Standard & Poor’s, Moody’s and Fitch.
We also require an ISDA agreement with CSA (collateral support annex) with all our derivative counterparties.
We have chosen to use cash as collateral and we have bilateral agreements (requiring also the III.14. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
RISK MANAGEMENT OF GOVERNMENT DEBT IN SWEDEN ADVANCES IN RISK MANAGEMENT OF GOVERNMENT DEBT – ISBN 92-64-10441-0 – © OECD 2005 222 SNDO to deliver collateral if our counterparty has an exposure on us).
The thresholds are rating dependent.
A rating trigger is attached to the ISDA agreement making it possible for the Debt Office to terminate the transactions if the rating of the counterparty is below a minimum level.
The limit system is based on ratings. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
The limit system is based on ratings.
We have single limits for all transactions for each counterparty in terms of exposure, expected loss and maximum maturity.
We also face credit risks in our liquidity management when we have to deposit surplus in the inter bank market.
These credit risks are managed integrated with the credit risks arising from the use of OTC derivatives.
●Settlement risk.
The credit risk related to a settlement procedure.
Our policy is to have Delivery-versus-Payment (DVP). | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
In FX-transactions this is not so easy to achieve.
Thus, the counterparties should comply with our rating requirement.
Even when DVP is achieved, a minimum rating is normally required for our counterparties.
Operational risks Risks associated with weaknesses in the organisation, systems and routines.
Our policy is to comply with industry best practices.
The Board has decided on instructions for internal control in order to handle operational risks. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
The instructions state that: ●The organisation should be based on the principle that duties with risk management, back office and financial accounting are clearly separated from the operational departments.
●The competence of our staff should, at least, be comparable with the competence of the staff in the financial services industry.
●The instructions, routines and models should be documented, of high quality and well-known by the staff. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
●IT-systems should have high security and contribute to a high level of internal control.
●The integrity and secrecy of information should be protected.
The availability of information should be secured.
Safe methods for controlling the identity of our counterparties should be used.
●Physical security should safeguard continuity and protect against trespassing. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
As a method for analysing operational risks we construct standardised flowcharts, according to UML-standard, describing the working processes in detail focusing on the risks involved.
A recovery site is currently being implemented.
III.14.
RISK MANAGEMENT OF GOVERNMENT DEBT IN SWEDEN ADVANCES IN RISK MANAGEMENT OF GOVERNMENT DEBT – ISBN 92-64-10441-0 – © OECD 2005 223 Legal risks Legal risk is the risk that you fail to bind your counterparty to the provisions in the contract. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
Since this risk normally is associated with weaknesses in your own organisation including a competent staff and adequate routines), we regard it as an operational risk.
III.
Overall risks and risk management The main risks in government debt management are interest rate risk and currency risk related to the size and overall composition of the debt. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
The risks should be seen in the context of the overall balance sheet of the government and assessed in relation to expenditure commitments and to future tax revenues.
It seems inevitable that an optimal debt policy is state- contingent; that is, the attitude to risk will vary depending on the overall outlook for government finances.
Strategic decisions on debt management are thus closely linked to fiscal and budget policies, falling within the reponsibility of the government and Parliament. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
From this overall point of view, real (as opposed to nominal) measures of costs applied within an integrated ALM approach seem appropriate.
Risks arise when assets and liabilities are not perfectly matched.
To manage these risks, the government must therefore consider the entire balance sheet and try to limit the mismatch between assets and liabilities.2 A complete balance sheet analysis of the government is a very complicated undertaking. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
However, an ALM-based approach to debt management may be helpful even if one does not have a complete quantitative picture.
In particular, it becomes clear that the risk of government debt should be assessed on the basis of whether it exacerbates or mitigates strains on the balance sheet.
One simple measure of the (current) strains on the balance sheet is budget balance. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
For example, a debt portfolio that typically has high costs in recessions (when also public finances are under pressure) must be considered more risky than a portfolio for which the opposite is true.
This suggests treating deficit smoothing as an operational objective of debt management.
Acknowledging that ALM provides an appropriate conceptual framework for thinking about debt management risks is one thing, translating it into a complete debt management strategy is quite another. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
The most important effect so far on Swedish debt management is that in qualitative and quantitative analyses, debt costs are expressed in relation to GDP.
GDP is used as a measure of other business cycle-related influences on the budget; a debt portfolio with a relatively stable cost-to-GDP ratio is regarded as less risky.
Using the cost-to-GDP ratio as criterion for ranking debt portfolios, is a first step in the direction of using an ALM-based approach to debt management.
III.14. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
III.14.
RISK MANAGEMENT OF GOVERNMENT DEBT IN SWEDEN ADVANCES IN RISK MANAGEMENT OF GOVERNMENT DEBT – ISBN 92-64-10441-0 – © OECD 2005 224 However, at this stage, market risks measured in nominal terms constitute the basis for the bulk of our analyses.
When conducting a nominal risk analysis you need first to decide whether costs (and related risks) should be measured on the basis of a complete mark-to-market of the debt or by using interest rates when bonds were issued. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
Our conclusion is that market value changes do matter.
However, the bulk of the debt cannot be refinanced at short notice.
As a first approximation, therefore, it is reasonable to assume that debt instruments are kept until maturity.
This means that short-term fluctuations in market values resulting from changes in market interest rates are of little consequence for the realised costs of the debt.
This view forms the basis of modelling and measuring costs used for the overall debt management guidelines. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
From a short term, tactical perspective, costs and risk are defined according to mark-to-market practice.
This is the only possible way of defining costs when interacting with the market, irrespectively if you are auctioning or repurchasing domestic debt or if you are actively managing foreign currency debt.
IV. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
IV.
Simulation model and other risk models The Debt Office has built a stochastic simulation model, which is used jointly with qualitative reasoning, in the work on guidelines for debt management.3 The model generates paths for interest rates, exchange rates, GDP and the borrowing requirement for up to 30 years. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
These time series are then used to simulate the costs of a set of debt portfolios with different characteristics, making it possible to rank portfolios on the basis of their expected costs and the variability of costs.
The costs of debt in the simulation model are measured as the coupon costs, plus the realised gains or losses on FX-debt and inflation-linked debt.
The model is a quarterly model, but the costs are measured on a yearly basis. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
The risk of debt is measured as the percentage distance between the 95th and 50th percentile (the percentile distance) of the distribution of simulated costs.
As indicated above, the primary metric used is the cost-to-GDP ratio.
Since GDP is generated in the model, it is possible to capture correlations between interest rates, exchange rates and GDP in an internally consistent manner. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
Based on an assessment of the roll-over risk in different markets, separate duration benchmarks are determined for nominal domestic and foreign currency debt.
The duration is higher for nominal domestic debt than for foreign currency debt.
Limits for deviations from the duration target are also decided.
The benchmarks are defined in terms of duration and for the FX debt currency composition, as percentages of market value.
Deviations are measured in the same way. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
Deviations are measured in the same way.
The currency composition is arrived at through a standard mean-variance model.4 The risk in the active portfolios is measured using the parametric VaR approach.
III.14.
RISK MANAGEMENT OF GOVERNMENT DEBT IN SWEDEN ADVANCES IN RISK MANAGEMENT OF GOVERNMENT DEBT – ISBN 92-64-10441-0 – © OECD 2005 225 V. Overall debt policy Based on qualitative and quantitative analyses, the Debt Office has concluded that it is desirable to reduce the share of foreign currency debt. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
It adds risk without offering expected long-term cost savings.
First, the government has few foreign currency assets (i.e., the foreign exchange exposure is basically unhedged).
Second, it is likely that the domestic currency weakens in recessionary periods, since the costs of foreign currency debt would tend to add to swings in the deficit-to-GDP ratio. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
Third, at a somewhat more subtle level, the simulation model illustrates that (under flexible exchange rates) domestic short-term interest rates are positively correlated with the business cycle, since the central bank will vary short rates in a counter-cyclical manner.
This tends to stabilise the debt costs-to-GDP ratio.
For a small country, foreign interest rates will be unaffected by domestic events, making foreign currency debt less attractive than domestic currency debt, other things being equal. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
The quantitative results from the simulation model for index-linked debt were less clear-cut than for of foreign currency debt.
The model indicates that there is little difference in terms of costs and risks between nominal and inflation-linked domestic currency debt.
One potential explanation is that the model assumes the economy is not subject to severe shocks.
For example, budgetary and monetary policy targets are met on average in all simulations. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
In other words, the debt portfolios are not subjected to any stress tests, since these are hard to handle in a long-term simulation model.
In such an environment, there is little reason to expect inflation-linked debt to differ markedly from nominal debt.
However, under more realistic assumptions for the real economy, a portfolio made up of several types of debt is preferable from the point of view of reducing risk. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
As long as inflation-linked bonds are not markedly more costly than nominal bonds, this diversification effect argues for including inflation-linked debt in the portfolio.
The choice of duration involves a trade-off between costs and refinancing risks.
Experience indicates that nominal short rates, on average, are lower than long rates.
This is also an important assumption in our model.
Strict cost minimisation would thus argue for having a debt with short duration. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
As noted above, domestic short rates may also be positively correlated with the business cycle, which contributes to deficit smoothing.
On the other hand, a short duration would make debt costs more sensitive to current interest rate levels.
Moreover, short rates tend to be more volatile than long rates.
The duration of the nominal part of Swedish debt is 2.7 years, which is considered a reasonable trade-off between the considerations discussed above.
A duration target does not limit refinancing risks. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
In principle, a mixture of just two maturities can achieve any duration target.
In practice, the III.14.
RISK MANAGEMENT OF GOVERNMENT DEBT IN SWEDEN ADVANCES IN RISK MANAGEMENT OF GOVERNMENT DEBT – ISBN 92-64-10441-0 – © OECD 2005 226 refinancing or roll-over risk is limited by the Debt Office’s overall borrowing strategy, based on a set of nominal benchmark bonds with a maturity of at least 10 years and a set of inflation-linked bonds, some of which have an even longer time to maturity. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
The roll-over risk is measured according to a Cost-at- Risk approach.5 VI.
Active debt management It is useful to distinguish between two types of active debt management.
The first type includes actions allowing a separation between funding decisions, on the one hand, and decisions on the characteristics of the debt portfolio, on the other, achieved primarily through derivatives. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
Such activities are motivated by a desire to use low-cost methods of funding without necessarily accepting the risks attached to those instruments.
The resulting debt portfolio should have lower funding costs and/or lower risk than an identical portfolio created by direct borrowing.
This form of active management is driven by strategic considerations.
The second type of active debt management refers to positions taken on the basis of views on the future paths of interest rates or exchange rates. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
This requires that there is a defined benchmark.
A position is then created by modifying the actual portfolio so that it deviates from the benchmark.
The result of the position can be evaluated by comparing the (market) value of the actual portfolio to the value of the benchmark.
This form of active management is typically driven by tactical considerations.
The Swedish National Debt Office uses both forms of active debt management. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
This section explains the reasons behind, and the frameworks used for, each case.
Separation of funding and portfolio decisions The separation between funding and portfolio decisions originates from the framework for managing foreign currency debt.
Traditionally, the Debt Office pursued an opportunistic borrowing strategy, seeking out low-cost funding sources, without regard to currency or maturity. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
To achieve the desired composition of the foreign currency debt portfolio, expressed as a benchmark portfolio, it used derivatives to transform the cash flows.
Given this experience of working with derivatives, it was natural for the Debt Office in 1996 to include the krona among the currencies used for funding the foreign currency debt.
Funding in different currencies is subsequently transformed into the desired foreign currency exposure.
This transformation involves several steps. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
This transformation involves several steps.
First, the Debt Office issues a long-term krona bond.
Second, it does an interest-rate swap (IRS) in kronor in which it receives payments based on a fixed interest rate and pays based on a floating III.14.
RISK MANAGEMENT OF GOVERNMENT DEBT IN SWEDEN ADVANCES IN RISK MANAGEMENT OF GOVERNMENT DEBT – ISBN 92-64-10441-0 – © OECD 2005 227 interest rate.
Third, the floating krona cash flow is converted to euros, say, via a foreign currency swap. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
Finally, there is an interest rate swap in foreign currency to achieve the desired duration of the foreign currency exposure.
At the end of 2003 around 49 per cent of the foreign currency exposure, equivalent to SKr 164 billion, was in the form of krona/currency swaps.6 Tactical debt allocation The Debt Office takes tactical positions to benefit from movements in exchange rates and interest rates only in the management of the foreign currency debt. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
The framework for this activity is a benchmark portfolio determined by the Debt Office’s Board.
The Board defines a neutral portfolio in terms of currency and maturity composition and the maximum permissible deviations from this portfolio.
Within these boundaries, the management of the Debt Office has the mandate to take positions.
Compliance with these limits is monitored by the risk management department, which is separated from the debt management department. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
The Debt Office also uses external portfolio managers (currently six, of which five act as advisors and one enters transactions on behalf of the SNDO) working with the same mandate, scaled down to a fraction of the total foreign currency debt.
This practice gives an additional measuring rod for evaluating the Debt Office’s tactical debt management decisions.
In practice, the management of the foreign currency debt is split into a passive portfolio and an active portfolio. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
In the passive portfolio, consisting of the bulk of transactions, the aim is to be on the benchmark every day with a very small tolerance level.
In the active portfolio, the SNDO, its own managers and also external managers, enter into derivative transactions in order to benefit from views on market development.
The Debt Office makes no corresponding debt allocation decisions based on views on interest rates in the management of the krona debt. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
The main reason is that the Debt Office is so dominant a player in the krona fixed income market, that its reallocations could move interest rates.
Opportunistic behaviour by such a borrower will raise the overall level of interest rates as investors demand compensation for the additional risks they face.
Given its typical dominance of the domestic currency bond market, a predictable and transparent borrowing strategy is a better means to lower debt costs for a sovereign issuer.
VII. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
VII.
Systems used The SNDO uses SimCorp Dimension as a financial administration system supporting the needs of front office, back office and risk management.
The dealers enter transactions into the system, the back office confirms the deals and produces files for financial accounting, clearing and settlement and the III.14.
RISK MANAGEMENT OF GOVERNMENT DEBT IN SWEDEN ADVANCES IN RISK MANAGEMENT OF GOVERNMENT DEBT – ISBN 92-64-10441-0 – © OECD 2005 228 depository system. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
The risk management department produces risk reports and P/L reports on a daily basis.
A new system for short-and medium-term borrowing planning is being developed based on the same database.
The simulation model uses a simplified database and is not automatically connected with the financial administration system.
VIII.
Performance measurement The governance system puts great emphasis on evaluation.
Each decision level is evaluated by its immediate superior body. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
This means that the Board monitors and evaluates operational debt management operations and reports to the government.
At the next level, the government evaluates the overall result of the Debt Office’s decisions.
Finally, the Parliament evaluates debt management as a whole, including the government’s guidelines.
This evaluation is in the form of an annual written statement, adopted after a debate and vote in Parliament. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
This statement is published in time for the Debt Office to consider comments and recommendations from Parliament when preparing the next guideline proposal, thereby closing the loop of delegation and monitoring.
Evaluation, or performance measurement, is conducted in many ways.
The overall composition of the debt is evaluated both in terms of costs and risks.
The active management of the FX debt is evaluated according to a traditional profit and loss approach, based on mark-to-market valuations. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
Domestic debt management is to a high degree evaluated in terms of how well the strategic objectives (e.g.
liquidity, predictability and market infrastructure development) have been achieved.
Our own assessments, market inquiries and benchmarking/comparisons with other sovereign borrowers, constitute the basis for this evaluation.
IX.
Publication policy The Swedish Government tradition is one of openness; that is, all documents sent between ministries and agencies are publicly available. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
This tradition is also valid for debt management.
The Debt Office actively supports openness since this is the basis for transparency and predictability.
Our proposals and the Government’s decision on guidelines are made public.
We have a publication on borrowing requirement and debt policy, which is made available three times a year.
A statement on public debt is published every month.
Risk and performance is analysed in detail in our annual report and to some extent also in our half-yearly report. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
X.
Management of contingent liabilities7 Contingent liabilities in the form of guarantees can only be issued on the basis of an authorisation by parliament.
Four government agencies are in III.14.
RISK MANAGEMENT OF GOVERNMENT DEBT IN SWEDEN ADVANCES IN RISK MANAGEMENT OF GOVERNMENT DEBT – ISBN 92-64-10441-0 – © OECD 2005 229 charge of special guarantee programs related to export credit, housing, international aid, and deposit insurance. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
The Debt Office issues other guarantees based on specific authorisations by parliament in each case.
The budget law stipulates that a risk-related fee should be charged for guarantees.
If parliament decides that the recipient of the guarantee does not have to pay, budget means must be reserved to cover the fee.
The Debt Office sets the fee; that is, there is a clear separation between the decision to issue the guarantee and the pricing. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
The accuracy of the Debt Office’s pricing decisions can be evaluated ex post by checking whether the fees accumulated over long periods match the payments made to cover guarantee claims.
With an ALM approach to debt management, it is clear that guarantees (and other contingent liabilities) must be considered in analysing the risks related to public finances. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
In a consistent risk management framework, it should be possible, for example, to consider whether a risk reduction should be achieved via a change in the government debt portfolio or by transferring a guarantee to a guarantor in the private sector.
This principle is easier to state than to implement.
A first operational step would be to present consistent aggregate information on government guarantees. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
This should include expected losses on the total guarantee portfolio, but also capture the magnitude of unexpected losses.
Reports on the guarantee portfolio should be presented to the parliament in connection with the budget proposal.
If expected or unexpected guarantee losses are increasing, then this should be taken into account before decisions on expenditures and taxes are taken, since this would be equivalent to a weakening of the underlying budget position. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
Such a framework is not yet in place in Sweden, but steps in this direction are being taken to improve the analysis and management of contingent liabilities.
Notes 1.
The OECD Working Party on Debt Management is the principal forum for this.
2.
The ALM perspective was introduced in the guideline proposal presented in October 2000, available at the Debt Office’s Web site (www.rgk.se/files/upl497- Guidelines_2001.pdf).
3. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
3.
The model and the simulation results are described in papers available at the Debt Office’s Web site (www.rgk.se/files/upl553-Teknisk_Rapport.pdf).
4.
The model and the results are described in Central Government Borrowing: Forecast and Analysis, report 2003:1, available at the Debt Office’s Web site.
5.
The model is described in Central Government Borrowing: Forecast and Analysis, report 2004:1, available at the Debt Office’s Web site.
6. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
6.
SNDO’s use of swaps is described in Central Government Borrowing: Forecast and Analysis, report 2002:3, available at the Debt Office’s Web site.
7.
See also Chapter 6, this volume.
TABLE OF CONTENTS ADVANCES IN RISK MANAGEMENT OF GOVERNMENT DEBT – ISBN 92-64-10441-0 – © OECD 2005 5 Table of Contents Part I Introductionary Overview and Analytical Framework Chapter 1. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
Introduction to advances in risk management of government debt by Hans Blommestein......................................................................... 11 Annexe 1.A Optimal Debt and Strategic Benchmark: the Risk Management Approach to Debt Sustainability ....................................................... 22 Chapter 2.
Overview of Risk Management Practices in OECD Countries by Hans Blommestein ........................................................................ 27 Chapter 3. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
Analytical Framework for Debt and Risk Management by Lars Risbjerg and Anders Holmlund ........................................... 39 Annex 3.A.
Structure of Debt Simulation Model ................................................. 54 Part II Recent Developments in Managing Market Risk, Operational Risk and Contingent Liability Risk Chapter 4.
Recent Developments in the Management of Market risk by Ove Sten Jensen and Lars Risbjerg .............................................. 61 Chapter 5. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
Management of Operational Risk by Sovereign Debt Management Agencies by Peter McCray .................................................................................. 67 Annex 5.A.
Sovereign Debt Management Operational Risk Survey: Summary of Responses ...................................................................... 72 Annex 5.B.
OECD Working Party on Government Debt Management Survey on Operational Risk 2002.................................................................... 80 Chapter 6. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
Explicit Contingent Liabilities in Debt Management ..................... 89 TABLE OF CONTENTS ADVANCES IN RISK MANAGEMENT OF GOVERNMENT DEBT – ISBN 92-64-10441-0 – © OECD 2005 6 Part III Risk Management Practices in Selected OECD Debt Markets Chapter 7.
Risk Management of Government Debt in Austria by Paul A. Kocher and Gerald Nebenführ ........................................ 119 Chapter 8. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
Risk Management of Government Debt in Belgium by Jean Deboutte and Bruno Debergh............................................... 129 Chapter 9.
Managing Risks in Canada’s Debt and Foreign Reserves by Pierre Gilbert, Zar Chi Tin and Mark Zelmer .............................. 139 Annex 9.A.
Investment and Credit Guidelines for the Exchange Fund Account ........................................................ 154 Chapter 10. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
Risk Management of Government Debt in Denmark by Lars Risbjerg ................................................................................... 157 Annex 10.A.
The Scenario and CaR Model ............................................................. 171 Annex 10.B.
Principles for Credit Risk Management............................................ 174 Chapter 11. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
Risk Management of Government Debt in Finland by John Rogers .................................................................................... 177 Chapter 12.
Risk Management of Government Debt in France by Bertrand de Mazieres and Benoit Coeure .................................. 189 Chapter 13.
Risk Management of Government Debt in Portugal by Rita Granger ................................................................................... 199 Annex 13.A. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
Benchmarking for Public Debt Management................................... 210 Chapter 14.
Risk Management of Government Debt in Sweden by Per-Olof Jönsson ............................................................................ 217 Chapter 15.
Risk Management of Government Debt in the United Kingdom by Toby Davies .................................................................................... 231 Annex 15.A. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
DMO Functional Structure.................................................................. 244 Chapter 16.
Risk Management of Government Debt in the Czech Republic by Petr Pavelek .................................................................................... 245 Annex 16.A.
Government Debt Management Regulations .................................. 261 Chapter 17. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
Risk Management of Government Debt in Poland by Arkadiusz Kaminski and Marek Szczerbak ................................ 263 TABLE OF CONTENTS ADVANCES IN RISK MANAGEMENT OF GOVERNMENT DEBT – ISBN 92-64-10441-0 – © OECD 2005 7 List of boxes 6.1.
Illustration of the risk of a loan guarantee ................................................. 105 9.1.
Application of the model: finding a new balance ...................................... 145 List of figures 3.A1. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
Structure of government debt simulation model ...................................... 54 6.1.
Probability distribution of net assets ........................................................... 105 7.1.
Currency value at risk .................................................................................... 122 7.2.
Interest expense 2004-2011 ........................................................................... 123 7.3. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
Value at Risk .................................................................................................... 124 7.4.
Current exposure in previous year .............................................................. 126 9.1.
Funds management governance framework ............................................. 141 9.2.
Debt strategy framework ............................................................................... 143 9.3. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
Composition of EFA assets ............................................................................ 149 9.4.
EFA assets by credit rating ............................................................................ 149 9.5.
EFA funding composition .............................................................................. 150 10.1.
Structure of Government Debt Management ............................................. 161 10.A1. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
Structure of simulation model ..................................................................... 171 11.1.
Currency risk: composition of foreign currency debt ................................ 181 11.2.
Interest rate risk: share of floating rate debt ............................................. 182 11.3.
Interest rate risk: modified duration ........................................................... 182 11.4. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
Refinancing risk: redemptions within one year ......................................... 184 11.5.
Refinancing risk: redemption profile ........................................................... 185 13.1.
IGCF organisational chart .............................................................................. 200 13.2.
Refixing profile of the debt portfolio vs. the benchmark .......................... 203 13.A1. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
DEM rate history ............................................................................................. 212 13.A2.
Strategies and scenario generators .............................................................. 213 13.A3.
Cost/Risk measure .......................................................................................... 214 14.1.
Central government debt, 1990-2003 (including derivatives) ................... 219 16.1. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
The Government Debt Management Unit at the MoF – Organisational structure in 2003 ............................................................................................. 250 16.2.
Refinancing vs. redemptions and net issues, 1993-2003 (% of gross domestic product) ....................................................................... 253 16.3. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
Monthly refinancing vs. redemption profile of T-Bonds during 2002 and 2003 (CZK billion) ............................................................... 255 16.4.
State debt redemption profile vs. interest rate refixing profile (inc. swaps), September 30, 2003 .................................................................. 256 17.1.
Maturity profile of State Treasury domestic debt, as of mid 2003 .......... 273 17.2. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
Maturity profile of State Treasury foreign debt, as of mid 2003 .............. 274 TABLE OF CONTENTS ADVANCES IN RISK MANAGEMENT OF GOVERNMENT DEBT – ISBN 92-64-10441-0 – © OECD 2005 8 List of tables 5.A1.
Break-up of Staff involved with middle office functions .......................... 75 13.A1.
Liability and asset management .................................................................. 211 16.1. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
Published strategic targets for 2003 ............................................................. 248 16.2.
Czech state debt portfolio in 2003 ................................................................ 254 17.1. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
Average time to maturity and duration of PLN denominated marketable debt (in years) ............................................................................. 270 From: Advances in Risk Management of Government Debt Access the complete publication at: https://doi.org/10.1787/9789264104433-en Please cite this chapter as: Jönsson, Per-Olof (2006), “Risk Management of Government Debt in Sweden”, in OECD, Advances in Risk Management of Government Debt, OECD Publishing, Paris. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725552283914.pdf | https://www.oecd-ilibrary.org/risk-management-of-government-debt-in-sweden_5l9rls8wl9ms.pdf | Sweden |
DOI: https://doi.org/10.1787/9789264104433-15-en This work is published under the responsibility of the Secretary-General of the OECD.
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PUBLIC DEBT MANAGEMENT ACT, 2021 Arrangement of Sections Section PART I - PRELIMINARY 4 1.
Short title and commencement.............................................................................4 2.
Interpretation........................................................................................................4 3.
Primacy of this Act...............................................................................................8 PART II - OBJECTIVES OF PUBLIC DEBT MANAGEMENT 8 4. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725534379302.pdf | https://www.bahamas.gov.bs/wps/wcm/connect/824dd04f-2858-420e-8ef9-92c5f382bd41/PublicDebtManagementAct%2C2021.pdf?MOD=AJPERES | Bahamas |
Public debt management objectives.....................................................................8 PART III - ESTABLISHMENT OF AUTHORITIES 9 5.
Establishment of Debt Management Office..........................................................9 6.
Establishment of Debt Management Committee..................................................9 PART IV - FUNCTIONS AND RESPONSIBILITIES OF AUTHORITIES 10 7.
Functions of the Debt Management Office.........................................................10 8. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725534379302.pdf | https://www.bahamas.gov.bs/wps/wcm/connect/824dd04f-2858-420e-8ef9-92c5f382bd41/PublicDebtManagementAct%2C2021.pdf?MOD=AJPERES | Bahamas |
Functions of the Committee...............................................................................11 9.
Functions of the Financial Secretary..................................................................12 10.
Responsibilities of the Minister in the management of public debt....................13 PART V - PUBLIC DEBT MANAGEMENT 14 11.
Medium-term debt management strategy...........................................................14 12. | https://transfered-docs-lawep.s3.amazonaws.com/thematic1e/pw_2/1725534379302.pdf | https://www.bahamas.gov.bs/wps/wcm/connect/824dd04f-2858-420e-8ef9-92c5f382bd41/PublicDebtManagementAct%2C2021.pdf?MOD=AJPERES | Bahamas |
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