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Nordic Fixed Income

Fixed Income Products - Sweden

Fixed Income Products in Sweden

Treasury Bonds

Issuer: The Swedish State through the Swedish National Debt Office. Type of debt instrument: Running promissory note. A fixed interest bond with annual payment of interest. 

Maturity: Over two years from issue date. Maturities of up to 16 years have been issued. Denomination: Lowest denomination is SEK 100 000. 

Issuance: Issued through the Swedish National Debt Office issue framework via tender offers. Bids are submitted to dealers authorized by the Swedish National Debt Office, i.e. banks and securities institutions. Tenders at the highest price are accepted first and then in descending order until the issue amount is filled. 

The secondary market: The liquidity of the Swedish treasury bond market is considered to be healthy. The secondary market also includes a market where trading is conducted by telephone. The participants involved in this market - banks and securities institutions - are market-makers. Since May 2001, Interbank trades, i.e. trades between two market-makers, in 2-, 5-, or 10-year government bonds are carried out in an electronic marketplace supplied by Nasdaq Stockholm. Swedish treasury bonds can also be traded on Retail Bonds list, an electronic exchange within Nasdaq Stockholm. 

Valuations: The pricing of the instruments is stated as a real annual interest rate. The buyer does not pay the nominal amount, but pays the market price (clean price) plus any accrued interest since the last interest payment date. To calculate the dirty price (P) i.e. the price plus accrued interest, use the following equation:


Mortgage Bond equation

P= settlement amount / dirty price (per 100 SEK nominally)
Y=yield to maturity (%)
k= number of remaining coupons
C= coupon (%)
N= nominal amount (100 SEK)
n= term to maturity (day count basis: 30E/360) 


Delivery and settlement: The delivery and settlement date for treasury bonds is three banking days following the transaction date. The interest payment is received on the interest payment date into the EuroClear Sweden account in which the bonds have been registered. 


Relevant links:

Link to Swedish National Debt Office:www.riksgalden.se
(Please refer to Instruments/Treasury bonds under the heading "Funding")

Treasury Bills

Issuer: The Swedish state through the Swedish National Debt Office. 

Type of debt instrument: Running promissory note. 

Maturity: Up to one year. Maturities of 720 days have been issued. 

Denominations: 1, 5, 10, 20, 50, and 100 MSEK. 

Issuance: Issued through the Swedish National Debt Office issue framework via tender offers. Bids are submitted to dealers authorized by the Swedish National Debt Office, i.e. banks and securities institutions. Bids at the lowest rate of interest are accepted first and thereafter in order of increase until the stated volume of the issue has been filled. 

Secondary market: The liquidity of the Swedish treasury bill market is considered to be healthy. The secondary market also includes a market where trading is conducted by telephone. The participants involved in this market - banks and securities institutions - are market-makers. Swedish treasury bills can also be traded on Retail Bonds list, an electronic exchange within Nasdaq Stockholm. 

Valuations: The pricing of the instruments is stated as a simple annual interest rate. Because these are discount instruments, the buyer does not pay a nominal amount, but pays the nominal amount (future value N) less the simple year's interest – a discounted amount. To calculate the discounted amount (present value P) uses the following equation: 

Treasury Bills equation

P = settlement amount
N = nominal amount
R = simple annual interest rate
D = remaining maturity in days (day count basis: Act/360) 

Delivery and settlement: The delivery and settlement date for treasury bills is two banking days following the transaction date.
Link to the Swedish National Debt Office: www.riksgalden.se (Please refer to Instruments/Treasury bills under the heading "Funding")

CPI Linked Bonds

Issuer: The Swedish State through the Swedish National Debt Office. 

Type of debt instrument: Running promissory notes. Interest bearing bonds with annual payment of interest of the nominal amount. The holder also receives an amount over and above this payment which is related to the fluctuations in the consumer price index over the maturity of bond. Real yield zero coupon bonds are also issued. 

Maturity: Five to 13 years from issue date. 

Denomination: Lowest denomination is SEK 5 000. Issuance: Issued quarterly by the Swedish National Debt Office's authorized dealers, i.e. banks and securities institutions. 

Secondary market: The liquidity of the Swedish index-linked bond market is considered to be high. The instruments are traded both OTC and electronically in Nasdaq's retail segment. Valuation: The pricing of the instruments is stated as a real annual interest rate. The buyer does not pay a nominal amount, but pays the market price plus any accrued interest since the last interest payment date. Each year a nominal interest rate is fixed, plus an index-linked rate calculated on the fluctuation in the CPI rate on the interest payment date. 

Delivery and settlement: The delivery and settlement date for index-linked bonds is three days following the transaction date. The fixed interest payment, plus the change in the consumer price, is paid annually on 1st of December. 

Link to Swedish National Debt Office:www.riksgalden.se (Please refer to Instruments/Index-linked bonds under the heading "Funding")

Mortgage Bonds

Issuers: The Swedish mortgage lending institutions – some of them are Stadshypotek AB, Swedbank Hypotek AB, SBAB, Länsförsäkringar and SEB AB - issue bonds on an ongoing basis to finance their lending operations. 

Companies and local authority-financed intermediaries finance their own lending operations in the same way as the mortgage lending institutions. Examples of the larger ones are Svensk Exportkredit (SEK), Industrikredit AB and Kommuninvest I Sverige AB. 

Type of debt instrument: Promissory note. Fixed interest rate bonds with half-yearly or annual interest payments. 

Maturity: As a rule, over two years from issue date. 

Denomination: Varies. Issuance: The intermediary institutions sell their bonds through a fixed issue syndicate consisting of Swedish banks and securities institutions and, in some cases, through overseas banks. The issues are carried out on a continual basis when the mortgage lending institutions require funds to finance their lending operations. These are secured by first mortgage loans on properties owned by borrowers. 

Secondary market: The liquidity of the mortgage bond market in Sweden is considered to be fairly high in the larger mortgage lending institutions' issues. The secondary market trading is mostly conducted by telephone. The participants involved in this market - banks and securities institutions - are market-makers. Mortgage bonds can also be traded electronically on the market STO Retail Bonds. 

Valuation: The pricing of the instruments is stated as a real annual interest rate. The buyer does not pay a nominal amount, but pays the market price plus any accrued interest since the last interest payment date. To calculate the price (P) of a mortgage bond with an annual interest payment, use the following equation: 

Mortgage Bond equation

P= settlement amount / dirty price (per 100 SEK nominally)
Y= yield to maturity (%)
k= number of remaining coupons
C= coupon (%)
N= nominal amount (100 SEK)
n= term to maturity in years (day count basis: 30E/360) 

Delivery and settlement: The delivery and settlement date for mortgage bonds is three banking days following the transaction date. The interest payment is received on the interest payment date into the EuroClear Sweden account in which the bonds have been registered, or alternatively by presenting the coupons attached to the bond against payment at a bank. 


Relevant links:

Links to the Swedish mortgage lending institutions: 

Corporate and Municipality Bonds

Issuers: Non-Financial Corporations, Municipalities, Financial Companies 

Type of debt instrument: Bonds issued under a “Medium Term Note program” or on a standalone basis. Bonds can be issued with fixed or floating coupons payments or as zero coupon bonds.  

Maturity: Longer than 1 year.  

Secondary market: Bonds are generally traded over the counter in contrast to equities that regularly trades in the exchange’s central limit order book. The majority of bonds are issued as whole-sale bonds. Whole-sale bonds are usually denominated in lots greater than 100,000 EUR. Nasdaq also lists retail bonds, where the majority of trading is done in the order books of the exchange. Retail bonds are often traded in sizes of 500 or 1,000 EUR.  

Valuation: The pricing of a bond is decided by the present value of the cash flows the owner is entitled to, where adjustments are made depending on the bond’s risk profile. Therefore, the bond’s price fluctuates as macroeconomic factors such as interest rates and inflation change but also depending on the issuers’ perceived risk level.  

Delivery and settlement: Bonds listed on Nasdaq’s market must be registered with a central securities depository and trades are settled bilaterally between the exchange’s members.

Sustainable bonds

Nasdaq is proud to have launched the first Sustainable Bond Market in the world and to be a part of the transition towards more sustainable financial markets. 

The Nasdaq Sustainable Bond Market was launched in July of 2015 with a total volume of 740 million euro and has grown at an impressive pace ever since. We facilitate infrastructure, monitor issuers and foster dialogue to ensure the continued growth of the markets. 

Bonds listed on Nasdaq Sustainable Bond Market can be broken down into three categories; Green, Social and Sustainable. 

Sustainable Bonds 

International standards define sustainable bonds as loans used to finance projects that bring clear environmental and social-economic benefits. Green Bonds Green Bonds are defined as loans used to finance projects and activities that benefit the environment. 

Social Bonds 

Social Bonds are used to finance projects achieving positive socio-economic outcomes for an identified target population, with neutral or positive impact on the environment. 

Certificates

Issuer: Banks, companies, mortgage institutions, municipalities, county council as well as the Swedish Central Bank in the event of money market interventions in the banking system.

Type of debt instrument: Current bearer instrument. 

Lifetime: Up to one year. Lifetimes of more than one year are offered in exceptional cases. 

Issues: Issues are normally carried out on request through a bank or brokerage firm and as part of a certificate program. Nasdaq Stockholm lists the certificate program and not the individual certificates. The reporting is done on an aggregated level for all certificates that mature in a certain month. 

Secondary market: Liquidity in certificates is generally somewhat weak, although it is good for mortgage certificates. The secondary market is made up of a telephone-based market where some banks and securities firms act as market makers, or market guarantors. 

Valuation: The setting of prices for instruments is carried out as with simple annual interest. Since certificates are discount instruments, the buyer of a certificate does not pay the nominal value of the certificate, but instead pays the nominal value discounted with the market rate (simple annual interest). The calculation of the discounted amount, the cash amount, is the same as for Treasury bills. Please refer to the following formula: 

Treasury Bills equation

P = present value
N = nominal value
r = market rate (simple annual interest)
d = remaining time-to-maturity in actual days (day-count base: actual/360). 

The day-count base 30/360 may be applied for certificates issues prior to 1 April 2001. 

Delivery: The settlement day and delivery for certificates is two banking days after the transaction day.

Fixed Income Index

The OMRX index family includes 28 indexes with durations ranging from one day to over eight years:

Nordic Fixed Income

Only securities with an outstanding amount above SEK 3 billion are eligible for inclusion. Payable coupons are re-invested in the indexes and the indexes are rebalanced on monthly basis.


The Nasdaq Credit SEK (NOMX Credit SEK) family includes nine indexes covering:

  • Corporate Bonds (financial and non-financial)
 
Relevant links:

Premium Bonds

Issuer: The Swedish State through the Swedish National Debt Office. 

Type of debt instrument: Running promissory note. A fixed interest bond with an annual interest payment in the form of a draw at a time in accordance with a schedule which is decided by the Swedish National Debt Office. Some premium bond issues are issued according to a fluctuating dividend/profit plan where the return/yield is fixed and based on the interest rate on a 180 day Swedish treasury bill. Other premium bond issues are issued at a fixed rate until maturity. 

Maturity: Normally five to 10 years from the issue date. Denomination: varies from year to year from a nominal SEK 1 to SEK 10. 

Issuance: Issues are carried out following a decision by the Swedish National Debt Office. They also fix the issue price and the price plan for issues etc. Premium bond issues have been sold through banks and securities institutions. 

Secondary market: The liquidity of the premium bond market is considered to be good, even though they are issued in nominal denominations. Around the time of the drawing of premium bonds there is no trading in the premium bond loans upon which a price is going to be allotted. Premium bonds are mainly traded electronically. 

Valuation: The price of a premium bond is stated in Swedish krona per premium bond. The price includes the accrued interest/return up to and including the settlement date. There may be substantial differences in the price of individual premium bonds and series of numbers. These differences are due to the guaranteed return on some of the series of numbers. The drawing of prices on premium bonds is conducted by a set series and numbering order and drawn by the Swedish National Debt Office. A certain amount of small prices are drawn on the number of orders only. This means that an investor who has purchased an entire series of premium bond numbers will receive a guaranteed return - between 1.5% and 4.5% of the nominal value of the premium bond. 

Delivery and settlement: The delivery and settlement of premium bonds is three banking days following the transaction date. 

Link to the Swedish National Debt Office:www.riksgalden.se
(Please refer to Retail borrowing under the heading "Funding")

All information provided on this page shall be deemed to be general information regarding the instruments that can be traded at the exchange. For accurate rules for trade with the instruments we refer to the rules and regulations. Information on this page shall under no circumstances constitute any recommendation regarding investment decisions. The visitor shall be personally liable for the risks associated with any investment decision based on information provided on this page. Notwithstanding that the accuracy of the information provided herein has been verified, Nasdaq Stockholm assumes no liability with respect to the accuracy or use of such information.
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