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Since SEK now has established Calculation Statements following the request for bankruptcy protection by Lehman Brothers Holdings Inc., SEK wants to give the following information.
Following Lehman Brothers Holdings Inc.’s request for bankruptcy protection, SEK has now replaced most of the outstanding derivative contracts the company had with different units within Lehman Brothers. According to the terms of the contracts, SEK has established Calculation Statements in relation to all of these units within Lehman Brothers.
The Calculation Statements have been delivered to the respective counterparty.
Even though the gross amounts in the different Calculation Statement are considerable, SEK assesses, among other things due to off-setting, that the company will not suffer any material costs. The company will not make any provisions.
The majority of the contracts SEK had with different units within Lehman Brothers have served primarily to hedge SEK from market risk. Those contracts have been replaced with new contracts. Taken all together, for these contracts SEK have not suffered any replacement cost, instead a significant amount has been paid to SEK.
In addition, SEK has possessed some credit risk covering contracts, credit default swaps, with the purpose primarily of lowering the capital requirement. The underlying counterparties covered by these credit default swaps all have such creditworthiness that they qualify to be held without risk cover. During current market conditions SEK has not replaced these credit default swaps. The Calculation Statements include claims for costs related to replacement of these credit default swaps.
For more information please contact Peter Yngwe, CEO of SEK, +46 8 613 83 00, or Johan Winlund, Head of Communications at SEK, +46 8 613 84 88.