IPF årsrapport 2018 (eng) - Flipbook - Side 46
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44
Notes (cont.)
Note
22
Derivative financial instruments (DKK mill.)
Principal
amount
Positive
value
Negative
value
Interest-rate contracts, swaps
Term 0-10 years
Term 10-20 years
Term >20 years
59,350
1,758
2,536
886
1,525
104
-2,246
-158
-7
Total
63,644
2,514
-2,410
672
-
-927
746
-
-2
73,133
243
-552
138,196
2,757
-3,891
Repo / reverse transactions
Term 0-10 years
Futures (shares and bonds)
Term 0-10 years
Forward foreign-exchange contracts
Term 0-10 years
Balance as at 31 December 2018
All interest-rate contracts are in DKK and EUR. Positive fair values are included in other financial investment
assets, and negative fair values are included in liabilities under other debt.
23
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 following hierarchy:
Level 1 - listed prices:
Listed prices are used when there is an active market for the individual assets. As a general rule, the closing
rate on the balance sheet date is applied.
Level 2 - observable input:
For listed securities, where the closing 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 the derivative financial instruments,
assessment techniques are applied which are 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
include unlisted equity investments, such as equity investments in group and associated companies, as well as
domicile properties. For these assets are used 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.