External managers

The Debt Office works with external managers as a complement to its own active management. We not only do this to improve our results, but to provide a benchmark for our own management. We also want to enhance the skills of our employees through the transfer of knowledge and information.

We engage managers offering different areas of specialisation to ensure that we achieve the desired results. We use five external managers: Alliance Bernstein, IPM, Mellon, Payden & Rygel and PIMCO.

Mandate

The external managers generally have the same mandate as ourselves, but work with a smaller portfolio. Their mandate is based on SEK 6 billion or alternatively SEK 8 billion. The risk assumed by each individual manager, assessed as a daily 95 per cent Value-at-Risk (VaR), may never exceed SEK 6.6 million or SEK 8.8 million respectively.

They otherwise have the same limits as we do. Foreign currency positions may not be larger than the equivalent of six per cent of managed debt amount. Interest-rate positions may not affect the total duration of the managed debt by more than 0.6 year in each currency and 0.9 year in total.

Permitted instruments

Transactions may be conducted in the euro, the US dollar, the Australia dollar, the Canadian dollar, the Japanese yen, the British pound, the Swiss franc and the Norwegian krona. Instruments that may be used are interest rate futures, interest rate swaps, forward foreign exchange contracts and currency swaps. The time to maturity for interest rate swaps may not exceed 20 years.