Note 14 - Market risk related to interest rate risk
This note is a sensitivity analysis based on relevant balance sheet items as of 31 December and thereafter for the year concerned. The Bank's interest rate risk is calculated by simulating a parallel interest rate shift for the entire interest rate curve of one percentage point on all balance sheet items.
For further details regarding interest rate risk, see Note 6 Risk Factors.
| Interest rate risk, change 1 percentage piont | ||
| Basis risk Group (NOK million) | 2021 | 2020 |
| Currency | ||
| NOK | - 22 | - 8 |
| EUR | 0 | 0 |
| USD | - 5 | 3 |
| CHF | 1 | 0 |
| GBP | 0 | - 1 |
| Other | 0 | - 1 |
| Total interest rate risk | - 27 | - 7 |
Total interest rate risk suggest that the Bank will have losses from an increase in the interest rate in 2021.
The table below shows the effect of an interest rate curve shift on various time intervals and the associated gains or losses within the respective maturities.
| Interest rate risk, change 1 percentage piont | ||
| Interest rate curve risk, Group (NOK million) | 2021 | 2020 |
| Maturity | ||
| 0 - 2 month | - 16 | - 16 |
| 2 - 3 months | 10 | 12 |
| 3 - 6 months | - 19 | - 14 |
| 6 - 12 months | - 1 | 6 |
| 1 - 2 years | 2 | - 6 |
| 2 - 3 years | - 12 | - 9 |
| 3 - 4 years | 22 | 21 |
| 4 - 5 years | - 27 | 3 |
| 5 - 8 years | 7 | - 10 |
| 8 - 15 years | 7 | 8 |
| Total interest rate risk | - 27 | - 7 |
Financial results
Annual report and notes
