Saab 2011 Annual Report Download - page 129

turing of inventory, which aect prot and loss on the day delivery is made to
the customer. e hedge reserve before tax amounted to   (), of
which the value of derivatives was  - () and the eects arising from
rollovers of derivatives were   ().
e change in the hedge reserve in  of  - consists of a reversal
to prot or loss of  -, the change in the value of existing derivatives of
 -, the market value of hedges obtained during the year of  -,
and the change that arose due to the extension of derivatives of  . For
information on the amount recognised in other comprehensive income, see
consolidated net comprehensive income.
e ineciency in cash ow hedges that aected net income for the year
amounted to   ().
Valuation methods for financial assets and liabilities
e fair value of listed nancial assets is determined using market prices.
Furthermore, Saab applies various valuation methods to determine the fair
value of nancial assets that are traded on an inactive market or are unlisted
holdings. ese valuation methods are based on the valuation of similar
instruments, discounted cash ows or customary valuation methods such as
Black-Scholes.
e following instruments were valued at fair value (unadjusted) on an active
market on the closing date (Level ):
t Bonds
t Electricity derivatives
t Interest derivatives
e following instruments are valued at fair value according to accepted valu-
ation models based on observable market data (Level ):
t Forward exchange contracts: Future payment ows in each cur-
rency are discounted by current market rates to the valuation day and
valued to  at year-end exchange rates
t Options: e Black-Scholes option pricing model is used in the mar-
ket valuation of all options
t Interest swaps: Future variable interest rates are calculated with the
help of current forward rates. ese implicit interest payments are dis-
counted on the valuation date using current market rates. e market
value of interest rate swaps is obtained by contrasting the discounted
variable interest payments with the discounted present value of xed
interest payments
Unlisted shares and participations: Valued according to accepted principles,
e.g., for venture capital rms (Level ).
As of  December , the Group had the following nancial assets and
liabilities at fair value:
Assets at fair value
MSEK 2011 Level 1 Level 2 Level 3
Bonds and interest-bearing
securities 4,555 4,555 - -
Forward exchange contracts 466 - 466 -
Currency options 29 - 29 -
Interest rate swaps 1 - 1 -
Electricity derivatives 24 24 - -
Shares and participations 54 - - 54
Total 5,129 4,579 496 54
Liabilities at fair value
MSEK 2011 Level 1 Level 2 Level 3
Forward exchange contracts 515 - 515 -
Currency options 43 - 43 -
Interest rate swaps 31 - 31 -
Electricity derivatives 39 39 - -
Total 628 39 589 -
Pension fund
e Saab Pension Fund was established in  to secure the main part of the
Group’s pension obligation and is not consolidated in the Group.
e fund has a long-term real yield requirement of  per cent per year.
e investment policy requires an asset distribution of a maximum of  per
cent equities/alternative investments (hedge funds) and - per cent
interest-bearing instruments. Investments are made in interest-bearing secu-
rities from issuers with a credit rating of no lower than (Baa) according to
Standard & Poor’s and Moody’s. Of the fund’s capital at year-end,  per cent
() was invested in interest-bearing assets and the remaining  per cent
() in equity and alternative investments. e market value of the fund’s
assets as of  December  was  , (,) and the annual return
was  per cent (). In , the fund was capitalised by   () and
  () in refunds were paid. e table below shows the solvency margin
for the pension fund.
MSEK 31-12-2011 31-12-2010 31-12-2009 31-12-2008
Fair value of assets under
management 4,050 3,969 3,609 3,082
Present value of defined-
benefit obligations1) 5,866 4,675 5,002 4,432
Solvency margin 69% 85% 72% 70%
Pension obligation accord-
ing to PRI 4,489 4,042 3,844 3,678
Solvency margin 90% 98% 94% 84%
1) Refers to the pension obligation that the assets under management are designed to cover.
NOTE 42
ASSETS PLEDGED AND CONTINGENT LIABILITIES
Group Parent Company
MSEK 31-12-2011 31-12-2010 31-12-2011 31-12-2010
Assets pledged for own
liabilities and provisions
Chattel mortgages - 100 - 100
Bonds and other securities 10 10 10 10
Total 10 110 10 110
Contingent liabilities
Guarantees to insurance
company, FPG/PRI 90 81 90 81
Guarantees for Group
companies’ commitments
to customers - - 5,336 5,164
Contingent liabilities related
to legal dispute1) 301 302 301 302
Sureties for joint ventures 6 6 - -
Sureties for associated
companies 8 2 102 371
Total 405 391 5,829 5,918
1) Saab has an ongoing legal dispute in Denmark with the Danish Defence Acquisition and Logistics Organization
(DALO). The Maritime and Commercial Court in Copenhagen issued a judgment dismissing DALO’s claim against
Saab. DALO has filed an appeal against the judgment. DALO’s counterclaim amounts to approximately MDKK 250.
NOTE 41, CONT.
FINANCIAL INFORMATION > NOTES
SAAB ANNUAL REPORT 2011 125