DNR 2011-568-AFS
Statistical definitions for the fixed income market (FI)
Source: Sveriges Riksbank, Bank for International Settlements (BIS), European Commission and
NASDAQ OMX.
SELMA FI (Fixed Income) reporting covers the daily turnover for different types of debt securities
and derivatives denominated in Swedish kronor (SEK). The transactions must be reported under
the various transaction types, contract types and counterparty types as specified below. In that
way, Sveriges Riksbank can gain an understanding of the activity on the Swedish fixed income
market in Swedish kronor and a picture of how the market shares are distributed between the
reporting institutions.
Institution-specific information is only communicated to the institution itself. Aggregate turnover
figures for all institutions are published on Sveriges Riksbank's website and in the SELMA system.
It is important that the institutions appoint a person responsible for quality that can make a
reasonability assessment and give rapid responses to questions concerning the statistics reported
to Sveriges Riksbank.
Note that all amounts must be expressed in millions of Swedish kronor without decimals.
CONTENTS
1. Instrument (Asset Types) ......................................................................................................... 2 1.1. Bonds ............................................................................................................................... 2 1.2. Short-term debt securities ............................................................................................. 2 1.3. Derivatives ...................................................................................................................... 4 2. Transaction type ...................................................................................................................... 5 2.1. For bonds and short-term securities ............................................................................. 5 2.2. For derivatives ................................................................................................................ 5 3. Contract types ......................................................................................................................... 7 3.1. For bonds and short-term securities ............................................................................. 7 3.2. Derivatives ...................................................................................................................... 8 4. Counterparty Types ................................................................................................................. 9 1
1. Instrument (Asset Types1)
The instruments are divided into various main categories: bonds, short-term debt securities and
derivatives.
1.1. Bonds
Government Bonds:
Bonds issued by the Swedish Government (National Debt Office) with a remaining maturity of
1 year or more (≥365 calendar days), denominated in Swedish kronor.
Short Government Bonds:
Bonds issued by the Swedish Government (National Debt Office) with a remaining maturity
shorter than 1 year (<365 calendar days), denominated in Swedish kronor.
Inflation Linked Bonds:
Inflation-linked bonds issued by the Swedish Government (National Debt Office),
denominated in Swedish kronor.
Mortgage Bonds:
Bonds issued by mortgage institutions with a remaining maturity of 1 year or more (≥365
calendar days), denominated in Swedish kronor. Examples of Swedish mortgage institutions
are Nordea Hypotek, SBAB, SEB, Stadshypotek and Swedbank Hypotek.
Short Mortgage Bonds:
Mortgage bonds issued by mortgage institutions with a remaining maturity shorter than 1
year (<365 calendar days), denominated in Swedish kronor. Examples of Swedish mortgage
institutions are Nordea Hypotek, SBAB, SEB, Stadshypotek and Swedbank Hypotek.
Corporate Bonds:
Corporate bonds issued by government-owned and private companies, denominated in
Swedish kronor.
Kommuninvest Bonds:
Bonds issued by Kommuninvest i Sverige AB with a remaining maturity of 1 year or more
(≥365 calendar days), denominated in Swedish kronor.
Short Kommuninvest Bonds:
Bonds issued by Kommuninvest i Sverige AB with a remaining maturity shorter than 1 year
(<365 calendar days), denominated in Swedish kronor.
Other Bonds:
Other bonds denominated in Swedish kronor. They may be issued by banks, credit market
companies, municipalities or county councils.
1.2. Short-term debt securities
T-Bills (Treasury Bills):
Treasury bills issued by the Swedish Government (National Debt Office).
1
The instruments are called “Asset Types” only for technical reasons.
2
Mortgage Certificates:
Mortgage certificates issued by mortgage institutions, denominated in Swedish kronor.
Examples of Swedish mortgage institutions are Nordea Hypotek, SBAB, SEB, Stadshypotek and
Swedbank Hypotek.
Riksbank Certificates:
Certificates issued by Sveriges Riksbank, denominated in Swedish kronor. The certificates are
usually issued weekly by Sveriges Riksbank.
Corporate Certificates:
Corporate certificates issued by government-owned and private companies, denominated in
Swedish kronor.
Kommuninvest Certificates:
Certificate issued by Kommuninvest i Sverige AB, denominated in Swedish kronor.
Other Short-Term Securities:
Other short-term debt securities, denominated in Swedish kronor. These may be issued by
banks, credit market companies, municipalities or county councils.
Screenshot of FI report
3
1.3. Derivatives
The general rule for reporting swaps is that only ordinary swaps are to be reported (”plain vanilla
swaps”)
IRS SEK/SEK:
Swaps2 denominated in Swedish kronor with a maturity of more than 1 year must be reported
with the principle amount. Note that only the fixed income leg of a swap is to be reported.
So-called buy-outs, terminations and novations are not to be included in reporting. Only new
swaps are to be reported.
Example
If a reporter pays the 5-year swap interest rate and receives the 3-month STIBOR rate at the
nominal amount of SEK 5 billion; this is to be reported as follows. In the example, the
counterparty is a foreign customer.
Asset type: IRS SEK/SEK
Transaction type: Pay
Contract Type: NA (-)
Counterparty type: Non-Swedish Customer
Amount: 5 000 (note that the amount is to be expressed in SEK millions).
Screenshot of this example of reporting IRS SEK/SEK
2
An interest rate swap (IRS SEK/SEK) is an agreement between two parties to exchange interest rate
flows for a specified period.
4
2. Transaction type
2.1. For bonds and short-term securities
Turnover on bonds and short-term securities must be allocated among bought and sold as
follows:
Purchased (SEK million): Refers to purchases from counterparties.
Sold (SEK million):
Refers to sales to counterparties.
Screenshot showing transaction types for bonds and short-term securities
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2.2. For derivatives
Turnover in IRS SEK/SEK and NOIS swap futures must be divided into paid and received as
follows:
Pay:
Refers to the payment by the reporter of a fixed interest rate to the
counterparty.
Receive:
Refers to the receipt by the reporter of a fixed interest rate from the
counterparty.
This screenshot shows allocation among the different transaction types for derivatives.
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3. Contract types
3.1. For bonds and short-term securities
Bonds and short-term securities must be allocated among the following contract types:
Spot:
Refers to transactions settled up to and including 10 business days from trade date, also
designated T+10.
Forward:
Refers to transactions settled later than 10 business days from trade date, also designated
T+11.
Note that OMX-cleared forwards must always be reported as Forwards (even if they were
settled sooner than T+11).
Repo:
A repo transaction is a repurchase agreement between two parties – that is, a purchase or sale of
securities to a counterparty in exchange for cash, under the agreement that the same securities
will be sold back or bought back for a given price at a specific future date.
Both cleared and uncleared repo transactions must be included in reporting.
Note that only the first leg of the repo transaction is to be reported.
For example: A repo transaction in which a reporter purchases 5-year government bonds for
SEK 500 million from a foreign customer in the first stage of the repo transaction must be
reported as follows:
Asset type: Government bond,
Transaction type: Purchase,
Contract Type: Repo,
Counterparty type: Non-Swedish customer,
Amount: 500
This screenshot shows the repo transaction in the example above
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3.2. Derivatives
Turnover in IRS SEK/SEK and NOIS swap futures must not be allocated by contract type.

-:
Not applicable.
This screenshot shows that derivatives do not have contract types
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4. Counterparty Types
Counterparty Types refer to the counterparty the reporter is trading with.
Primary Market:
Primary market refers to transactions conducted with one issuer. The counterparty in this case
could be the Swedish National Debt Office, Sveriges Riksbank, a mortgage institution, a Swedish
or foreign reporter, another bank or a company.
Participation in an issue must be reported as purchased on the Primary Market. When the issuer
purchases/advance redeems existing securities, this is considered to be sold to the Primary
Market. Substitutions must be reported as bought and sold to the Primary Market (a received
instrument is to be registered as bought, a handed-over instrument is to be registered as sold).
Swedish Reporter:
The Riksbank’s primary monetary policy counterparties and counterparties to the Swedish
National Debt Office are defined as “Swedish Reporters”. See www.riksbank.se for an updated list
of reporters. This information is available at SELMA’s start page under the function “Active
Institutions”.
Non-Swedish Reporter:
The Riksbank’s foreign primary monetary policy counterparties and foreign counterparties to the
Swedish National Debt Office are defined as “Non-Swedish Reporters”. See www.riksbank.se for
an updated list of reporters. This information is available at SELMA’s start page under the function
“Active Institutions”.
Other Market Maker
The term Other Market Maker refers to an institution that acts as a market maker but is not a
Swedish or Non-Swedish Reporter. Transactions concluded with the Inter Bank Desk at institutes
in the list should be reported under category “Other Market Maker”. Transactions concluded
with Asset Management or Propriety Desk in the same organizations should be reported under
customer categories.
See www.riksbank.se for an updated list of Other Market Makers. Find the list under “Monetary
Policy/Reporting SELMA/Documentation SELMA”.
No Name Give Up Brokers:
Transactions made with Fixed Income Brokers, such as ICAP, Tullett Prebon and R P Martin.
Swedish Customer:
Customers active in Sweden.3
This also functions a general item for counterparties in Sweden. That means all counterparties not
categorised as Swedish Reporter, Non-Swedish Reporter, No Name Give Up Brokers or Sveriges
Riksbank.
3
The customer’s domicile is the country in which the customer has its legal domicile. For branches, the
domicile is the country in which the customer has its head office.
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Non-Swedish Customer:
Customers active outside Sweden.4
This also functions as a general item for counterparties outside Sweden. That means all
counterparties not categorised as Swedish Reporter, Non-Swedish Reporter, No Name Give Up
Brokers or Sveriges Riksbank.
Sveriges Riksbank:
The counterparty is the central bank of Sweden, Sveriges Riksbank.
Note that when Sveriges Riksbank acts as issuer, for example in the issuance of Riksbank
certificates, this transaction must be reported in Primary Market.
4
See footnote 4
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