Till textinnehållet på sidan. Tryck Alt+S

Fair value of financial instruments

 

Carrying amounts and fair values of financial instruments

A comparison between the carrying amount and fair value of the parent company’s financial assets and financial liabilities according to the definition in IAS 39 is presented below.

Determination of fair values of financial instruments When the parent company determines fair value for financial instruments different methods are used depending on the grade of observable market data. The methods are divided in three different levels. Fair value for financial instruments that are classified to level 1 is determined based on quoted market prices on an active market. Fair value for financial instruments that are classified as level 2 is determined based on observable market data. When interest–related and currency–related derivatives, lending and deposits are measured at fair value future cash flows from the financial instruments are discounted. Used interest yield in the discounting is based on observable market data, i.e. derived from quoted market rates for each maturity in which the cash flows will be received or paid. The measurement of options is done according to generally accepted
valuation models, such as Black & Scholes. The models are updated with for the measurement observable market data for, among other things, interest rates, currency rates, credit risks, volatilities, correlations and market liquidity. Fair value for financial instruments that are classified as level 3 is also determined mainly based on observable market data, but there are inputs from own assumptions that are viewed as significant for the measurement.

For variable–rate lending and deposits, the carrying amount is assessed to coincide with the fair value. The carrying amounts and fair values coincide for the most part because of the large share of financial instruments recognised at fair value.

 

  2011  2010 1/1/2010  
 

Fair value		Carrying amount

Difference

Fair value		Carrying amount

Difference

Fair value		Carrying amount

Difference
Assets   
Financial assets covered by IAS 39   
Treasury bills etc.21 42921 429  25 53925 539  76 86676 866 
of which fair value through profit or loss21 42921 429  25 53925 539  76 86676 866 
Loans to credit institutions325 896325 896  478 941478 941  464 458464 458 
of which loans receivables275 942275 942  391 469391 469  400 666400 666 
of which fair value through profit or loss49 95449 954  87 47287 472  63 79263 792 
Loans to the public342 394342 394  324 662324 662  413 350413 350 
of which loan receivables229 340229 340  218 907218 907  274 200274 200 
of which fair value through profit or loss113 054113 054  105 755105 755  139 150139 150 
Bonds and interest-bearing securities115 006115 101-95130 598130 657-59186 302185 985317
of which fair value through profit or loss112 629112 629  115 870115 870  96 84796 847 
of which investments held to maturity2 3772 472-9514 72814 787-5989 45589 138317
Shares and participating interest1 3921 392  5 3065 306  5 2275 227 
of which fair value through profit or loss1 3321 332  5 2555 255  5 1835 183 
of which available for sale6060  5151  4444 
Derivatives119 320119 320  80 32580 325  80 43880 438 
Other financial assets166 106166 106  19 32819 328  34 94434 944 
Total1 091 5431 091 638-951 064 6991 064 758-591 261 5851 261 268317
Investment in associates1 1661 166  1 1681 168  1 2711 271 
Investment in subsidiaries58 15358 153  48 83348 833  44 49244 492 
Non-financial assets4 2214 221  3 7453 745  3 8263 826 
Total1 155 0831 155 178-951 118 4451 118 504-591 311 1741 310 857317
   
   
  2011  2010  1/1/2010 
 

Fair value		Carrying amount

Difference

Fair value		Carrying amount

Difference

Fair value		Carrying amount

Difference
Liabilities   
Financial liabilities covered by IAS 39   
Amounts owed to credit institutions200 430200 430  190 710190 710  339 875339 875 
of which other financial liabilities177 845177 845  170 947170 947  321 630321 630 
of which fair value through profit or loss22 58522 585  19 76319 763  18 24518 245 
Deposits and borrowings from the public459 720459 720  437 870437 870  394 054394 054 
of which other financial liabilities409 319409 319  409 496409 496  367 781367 781 
of which fair value through profit or loss50 40150 401  28 37428 374  26 27326 273 
Debt securities in issue, etc251 264251 764-500274 989273 8191 170340 929340 929 
of which other financial liabilities226 790227 290-500203 075201 9051 170276 504276 504 
of which fair value through profit or loss24 47424 474  71 91471 914  64 42564 425 
Subordinated liabilities21 09019 8331 25726 29027 661-1 37137 15137 151 
of which other financial liabilities21 09019 8331 25726 29027 661-1 37137 15137 151 
Derivatives111 752111 752  72 63972 639  82 46082 460 
Short positions securities30 60330 603  34 17934 179  40 41040 410 
of which fair value through profit or loss30 60330 603  34 17934 179  40 41040 410 
Other financial liabilities13 43113 431  13 51413 514  14 98814 988 
Total1 088 2901 087 5337571 050 1911 050 392-2011 249 8671 249 867  
Non-financial liabilities4 8944 894  2 3532 353  2 7722 772 
Summa1 093 1851 092 4277571 052 5441 052 745-2011 252 6391 252 639 

 

Financial instruments recognised at fair value

The following tables describe fair values divided on the three different valuation levels for financial instruments recognised at fair value.

Level 1 contains primarily stocks, bonds, treasury bills, commercial paper and standardised derivatives, where the quoted price is used in the valuation. Securities in issue that are traded on an active market are included in this category as well.

Level 2 contains primarily less liquid bonds, loans to the public, deposits and derivatives measured on the basis of observable prices. For less liquid bond holdings, an adjustment is made for the credit spread based on observable market inputs such as the market for credit derivatives. For loans to the public where there are no observable market inputs for credit margins at the time of measurement, the credit margin of the last transaction executed with the same counterparty is used. Securities in issue that are not quoted but measured according to quoted prices for similar quoted bonds are also included in Level 2. Level 3 contains primarily corporate bonds and securities in issue. For corporate bonds where there is no observable quote for the credit spread in question, a reasonable assumption is used, such as a comparison with similar counterparties where there is an observable quote for the credit spread. An increase in the assumed credit spread with 10 bp would lead to a negative impact with SEK 0.5m (1).

When valuation models are used to determine fair value for financial instrument in level 3 the consideration that has been paid or received is assessed to be the best evidence of fair value at initial recognition. Because it is possible that a difference could arise between this consideration and the fair value calculated at that time in the valuation model, so called day 1– profit or loss, the parent company adjusts the valuation models to avoid such differences. As of year–end there were no cumulative differences not recognised through profit or loss.

During the year there have been no significant transfers of financial instruments between measurement level 1 and 2, despite the turbulence on the financial markets.

The table shows financial instruments measured at fair value as per year-end distributed by valuation method.

 

20112010
 Level 1Level 2Level 3TotalLevel 1Level 2Level 3Total
Assets    
Treasury bills and other bills eligible for refinancing with central banks, etc21 220209  21 42925 539    25 539
Loans to credit institutions  49 954  49 954  87 472  87 472
Loans to the public  113 054  113 054  105 755  105 755
Bonds and interest-bearing securities81 86030 379390112 62992 24422 935691115 870
Shares and participating interest974358  1 3325 135120  5 255
Derivatives337118 983  119 3202 99777 328  80 325
Total104 391312 937390417 718125 915293 610691420 216
               
Liabilities               
Amounts owed to credit institutions  22 585  22 585  19 763  19 763
Deposits and borrowings from the public  50 401  50 401  28 374  28 374
Debt securities in issue, etc  24 474  24 474  71 914  71 914
Derivatives619111 133  111 7523 61569 015972 639
Short positions securities30 603    30 60334 16217  34 179
Total31 222208 593  239 81537 777189 0839226 869
20112010
Level 3  AssetsLiabilitiesAssetsLiabilities
Opening balance  691967041
Purchase for the year      37 
Issued         
Sales/maturities during the year  -204-3-14 
Transferred from Level 3      -48-75
Gains or loss  -97-64643
 of which in profit or loss  -97-64643
Closing balance  390   6919
Total recognised result in Net gains and losses on financial items at fair value-97-64643
of which financial instruments held on closing day  -102  157

 

Close Print