Note 30 - Financial derivatives

All derivatives are booked at fair value through profit and loss. Gains are carried as assets and losses as liabilities in the case of all interest rate derivatives. This applies both to derivatives used, and to derivatives not used, for hedge purposes. The Group does not employ cash flow hedging.

The contract amount shows absolute values for all contracts.

For a description of counterparty risk and market risk, see note 6 on risk factors. For further details concerning market risk linked to interest rate risk, see note 16 on market risk related to interest rate risk, and for market risk related to currency exposure, see note 17 on market risk related to currency exposure.

Parent Bank            
             
Fair value through profit and loss (NOK million) 31 Dec 15 31 Dec 14
  Contract Fair values Contract Fair values
Currency instruments amount Assets Liabilities amount Assets Liabilities
Foreign exchange derivatives (forwards) 3,347 220 -90 2,939 213 -89
Currency swaps 11,999 628 -185 20,653 946 -422
FX-options - - - 87 0 -0
Total currency instruments 15,346 848 -276 23,679 1,159 -512
             
Fixed income instruments            
Interest rate swaps (including cross currency) 145,309 4,419 -4,046 122,624 4,279 -4,264
Short-term interest rate swaps (FRA) 216,951 754 -766 517,704 1,271 -1,281
Other interest rate contracts 222 1 -1 281 0 -0
Total non-standardised contracts 362,481 5,174 -4,813 640,609 5,550 -5,545
             
Hedging            
Interest rate instruments            
Interest rate swaps (including cross currency) 21,626 1,213 -2 20,495 985 -
Total non-standardised contracts 21,626 1,213 -2 20,495 985 -
             
             
             
Total currency and fixed income instruments            
Total interest rate derivatives 384,107 6,387 -4,815 661,104 6,535 -5,545
Total currency derivatives 15,346 848 -276 23,679 1,159 -512
Total financial derivatives 399,453 7,234 -5,091 684,783 7,694 -6,057
             
The market value of currency swaps and forward foreign exchange contracts is carried net under 'other assets' in the statement of financial position.

 

Group            
             
Fair value through profit and loss (NOK million) 31 Dec 15 31 Dec 14
  Contract Fair values Contract Fair values
Currency instruments amount Assets Liabilities amount Assets Liabilities
Foreign exchange derivatives (forwards) 3,347 220 -90 2,939 213 -89
Currency swaps 11,999 628 -185 20,653 946 -422
FX-options - - - 87 0 -0
Total currency instruments 15,346 848 -276 23,679 1,159 -512
             
Fixed income instruments            
Interest rate swaps (including cross currency) 144,906 4,334 -4,046 122,204 4,187 -4,264
Short-term interest rate swaps (FRA) 216,951 754 -766 517,704 1,271 -1,281
Other interest rate contracts 222 1 -1 281 0 -0
Total non-standardised contracts 362,079 5,089 -4,813 640,189 5,458 -5,545
             
Equity instruments            
Equity options 30 7 -22 - - -
Equity forwards/futures 1,004 2 -27 - - -
Total equity instruments 1,034 9 -49 - - -
             
Hedging            
Interest rate instruments            
Interest rate swaps (including cross currency) 21,626 1,213 -2 20,495 985 -
Total non-standardised contracts 21,626 1,213 -2 20,495 985 -
             
             
             
Total currency, fixed income and equity instruments            
Total interest rate derivatives 383,705 6,302 -4,815 660,684 6,443 -5,545
Total currency derivatives 15,346 848 -276 23,679 1,159 -512
Total equity derivatives 1,034 9 -49 - - -
Total financial derivatives 400,085 7,159 -5,139 684,363 7,602 -6,057
             
The market value of currency swaps and forward foreign exchange contracts is carried net under 'other assets' in the statement of financial position.

 

 

 

Financial results

Annual report and notes

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