annual report 2020 - Flipbook - Side 45
INDUSTRIENS PENSIONSFORSIKRING A/S ANNUAL REPORT 2020
NOTES
Note 21 - Derivative financial instruments
Note 22 - Breakdown by valuation of investment assets and financial liabilities
DKK mill.
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 following hierarchy:
Principal amount
Positive value
Negative value
Term 0-10 years
36,787
1,106
-2,805
Term 10-20 years
11,474
1,711
-1,144
Interest-rate and inflation contracts, swaps
Term >20 years
Total
3,190
130
-281
51,451
2,947
-4,230
Options
Term 0-10 years
-7
73
-67
Total
-7
73
-67
67,680
1,861
-216
119,124
4,881
-4,514
Forward foreign-exchange contracts
Term 0-10 years
Balance of account as at 31 December 2020
All interest-rate contracts are in DKK, EUR, USD and SEK. Positive fair values are included in other financial
investment assets, and negative fair values are included in liabilities under other debt.
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 price on the balance sheet date is applied. For listed bonds on highly liquid markets, the
market price is modified based on the actual trading activity just before the reporting date.
Level 2 - observable input:
For listed securities, where the market price does not reflect the fair value, the fair value is set on the
basis of the 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 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 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 detail the methods of valuation applied.
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