Årsrapport 2022 godkendt 7. marts 2023 (eng) - Flipbook - Side 47
INDUSTRIENS PENSIONSFORSIKRING A/S ANNUAL REPORT 2022
21.
BOARD OF MANAGEMENT AND BOARD OF DIRECTORS
Derivative financial instruments
DKK mill.
22.
Principal
amount
Positive
value
Negative
value
Breakdown by valuation of investment assets and financial
liabilities
Investment assets and financial liabilities are recognised at fair value or amortised cost, see note 1. Fair value is the
price which can be obtained by selling an asset, or which must be paid in order to transfer a liability in a regular
transaction between independent parties at the time of measurement. Fair value is determined on the basis of the
Interest-rate and inflation contracts, swaps
following hierarchy:
Term 0-10 years
40,390
9,575
-3,542
Term 10-20 years
11,138
3,173
-1,542
Level 1 - listed prices:
Listed prices are used when there is an active market for the individual assets. As a general rule, the official market
Term >20 years
Total
808
375
-48
52,335
13,123
-5,132
based on the actual trading activity just before the reporting date.
Level 2 - observable input:
Options
Term 0-10 years
price on the balance sheet date is applied. For listed bonds on highly liquid markets, the market price is modified
For listed securities, where the market price does not reflect the fair value, the fair value is set on the basis of the
-1
101
-41
listed prices of similar assets or liabilities or on the basis of other methods of valuation based on observable market
input, e.g. input from banks or brokers. For derivative financial instruments, assessment techniques are applied based
on observable market conditions such as yield curves and exchange rates, etc. This category includes unlisted bonds
Repo / reverse business
Term 0-10 years
-1,846
3,388
-4,102
and derivative financial instruments.
Level 3 - unobservable input:
For a significant part of the investments, valuation cannot be solely based on observable market data. These
Futures (shares and bonds)
Term 0-10 years
3
0
0
investments include unlisted equity investments, such as equity investments in group and associated undertakings,
as well as the owner-occupied property. For these assets, valuation models are applied that may entail estimates of
the current market conditions and future developments in these. Note 1 on accounting policies describes in more
Forward foreign-exchange contracts
Term 0-10 years
Balance 31 December 2022
detail the methods of valuation applied.
86,036
3,033
-59
136,526
19,644
-9,333
All interest-rate contracts are in DKK, EUR and SEK. Positive fair values are included in other financial investment
assets, and negative fair values are included in liabilities under other debt.
47