Saab 2012 Annual Report Download - page 119

NOTE 41, CONT.
Valuation methods for financial assets and liabilities
e fair value of listed nancial assets is determined using market prices.
Saab also 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 according to listed
(unadjusted) prices on an active market on the closing date (Level ):
t Bonds
t Electricity derivatives
t Interest derivatives
e following instruments were valued at fair value according to accepted
valuation 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 SEK 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 2012 Level 1 Level 2 Level 3
Bonds and interest-bearing
securities 3,963 3,963 - -
Forward exchange contracts 486 - 486 -
Currency options 24 - 24 -
Interest rate swaps 1 - 1 -
Electricity derivatives 3 3 - -
Shares and participations 49 - - 49
Total 4,526 3,966 511 49
Liabilities at fair value
MSEK 2012 Level 1 Level 2 Level 3
Forward exchange contracts 198 - 198 -
Currency options 15 - 15 -
Interest rate swaps 24 - 24 -
Electricity derivatives 17 17 - -
Total 254 17 237 -
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  according to
Standard & Poor’s and aa according to Moody’s. Of the fund’s capital at year-
end,  per cent () was invested in interest-bearing assets and the remain-
ing  per cent () in equities 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 31-12-2012 31-12-2011 31-12-2010 31-12-2009
Fair value of assets under
management 4,346 4,050 3,969 3,609
Present value of defined-
benefit obligations1) 6,485 5,866 4,675 5,002
Solvency margin 67% 69% 85% 72%
Pension obligation
according to PRI 4,615 4,489 4,042 3,844
Solvency margin 94% 90% 98% 94%
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 31-12-2012 31-12-2011 31-12-2012 31-12-2011
Assets pledged for own
liabilities and provisions
Chattel mortgages - - - -
Bonds and other securities 10 10 10 10
Other assets 110 - - -
Total 120 10 10 10
Contingent liabilities
Guarantees to insurance
company, FPG/PRI 92 90 92 90
Guarantees for Group
companies’ commitments
to customers - - 4,067 5,336
Sureties for joint ventures 6 6 - -
Sureties for associated
companies 8 8 85 102
Total 106 104 4,244 5,528
Saab has an ongoing legal dispute with the Danish Defence Acquisition and
Logistics Organization, Forsvarets Materialtjeneste (). e Maritime and
Commercial Court in Copenhagen issued a judgment dismissing the ’s
action against Saab.  has appealed the court’s decision. ’s counter-
claim amounts to  . Judgement in the Danish Supreme Court
(Højesteret) is expected by the end of April .
Saab has received a claim for alleged patent infringement in the United
States. e process is at a very early stage and the claim is currently being
evaluated. It cannot be ruled out that the claim could be substantial.
FINANCIAL INFORMATION > NOTES
SAAB ANNUAL REPORT 2012 115