Annual Report IPF 2021 - Flipbook - Side 44
INDUSTRIENS PENSIONSFORSIKRING A/S
21.
ANNUAL REPORT 2021
NOTES
Derivative financial instruments
DKK mill.
22.
Principal
amount
Positive
value
Negative
value
34,011
2,528
-1,075
-575
Interest-rate and inflation contracts, swaps
Term 0-10 years
Term 10-20 years
9,621
2,423
-2,203
144
-252
Total
41,429
5,095
-1,901
Forward foreign-exchange contracts
Balance 31 December 2021
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:
Term >20 years
Term 0-10 years
Breakdown by valuation of investment assets and financial
liabilities
94,890
285
-1,133
136.319
5,380
-3,035
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:
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.
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 owneroccupied 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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