Note 28 - 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 for hedging purposes and held for trading purposes. The Bank 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 14 on market risk related to interest rate risk, and for market risk related to currency exposure, see note 15 on market risk related to currency exposure.

Parent Bank    
     
Fair value through profit and loss (NOKm) 31 Dec 2021 31 Dec 2020
  Contract Fair value Contract Fair value
Currency instruments amount Assets Liabilities amount Assets Liabilities
Foreign exchange derivatives (forwards) 6,834 98 -79 4,947 72 -143
Currency swaps 10,027 205 -154 9,376 295 -51
FX-options 58 1 -1 132 1 -2
Total currency instruments 16,919 304 -235 14,455 368 -196
             
Interest rate instruments            
Interest rate swaps (including cross currency) 252,753 1,776 -1,866 249,493 4,924 -5,535
Short-term interest rate swaps (FRA) - - - 2,000 7 -7
Total interest rate instruments 252,753 1,776 -1,866 251,493 4,931 -5,542
             
Commodity-related contracts            
Stock-exchange-traded standardised forwards and futures contracts 814 190 -190 1,549 83 -83
Total commodity-related contracts 814 190 -190 1,549 83 -83
             
Hedging            
Interest rate instruments            
Interest rate swaps (including cross currency) 36,895 353 -511 37,771 921 -48
Total interest rate instruments 36,895 353 -511 37,771 921 -48
             
             
Total            
Total interest rate instruments 289,649 2,129 -2,376 289,265 5,852 -5,590
Total currency instruments 16,919 304 -235 14,455 368 -196
Total commodity-related contracts 814 190 -190 1,549 83 -83
Accrued interest   569 -699   872 -977
Total financial derivatives 307,382 3,192 -3,500 305,269 7,175 -6,845
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Group    
     
Fair value through profit and loss (NOKm) 31 Dec 2021 31 Dec 2020
  Contract Fair value Contract Fair value
Currency instruments amount Assets Liabilities amount Assets Liabilities
Foreign exchange derivatives (forwards) 6,834 98 -79 4,947 72 -143
Currency swaps 10,027 205 -154 9,376 295 -51
FX-options 58 1 -1 132 1 -2
Total currency instruments 16,919 304 -235 14,455 368 -196
             
Interest rate instruments            
Interest rate swaps (including cross currency) 252,753 1,776 -1,866 249,493 4,924 -5,535
Short-term interest rate swaps (FRA) - - - 2,000 7 -7
Total interest rate instruments 252,753 1,776 -1,866 251,493 4,931 -5,542
             
Equity instruments            
Equity options 69 32 -25 21 9 -12
Equity forwards/futures 1,329 0 -384 1,393 42 -322
Total equity instruments 1,397 33 -409 1,414 51 -334
             
Commodity-related contracts            
Stock-exchange-traded standardised forwards and futures contracts 814 190 -190 1,549 83 -83
Total commodity-related contracts 814 190 -190 1,549 83 -83
             
Hedging            
Interest rate instruments            
Interest rate swaps (including cross currency) 36,895 353 -511 37,771 921 -48
Total interest rate instruments 36,895 353 -511 37,771 921 -48
             
             
Total            
Total interest rate instruments 289,649 2,129 -2,376 289,265 5,852 -5,590
Total currency instruments 16,919 304 -235 14,455 368 -196
Total equity instruments 1,398 33 -409 1,414 51 -334
Total commodity-related contracts 814 190 -190 1,549 83 -83
Accrued interest   569 -699   872 -977
Total financial derivatives 308,779 3,224 -3,909 306,683 7,226 -7,179
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Annual report and notes

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