Note 26 - Derivatives


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Cash flow hedges
The table below shows the derivatives that the Group has contracted to hedge currency exposure, interest rate exposure, or price exposure on future cash flows. The total fair value adjustment at year-end is entered directly in Shareholders' equity and will be taken to the income statement as the financial contracts are realized, with the exception of currency translation and accrued interest on currency swaps used for interest hedging, as these do not qualify as cash flow hedges and are therefore entered directly in the income statement.
   2009    2008  
DKK million Contract amount based on agreed rates Market value Dec. 31   Contract amount based on agreed rates Market value Dec. 31  
Forward exchange contracts (sales)
JPY 118  15  216 
USD 1,418  164    2,031  84   
1,536  179  2,247  85 
Interest rate swaps
DKK/DKK - pays fixed rate of 2.95% / earns variable rate of 1.55% 307  (3)
EUR/EUR - pays fixed rate of 3.06% / earns variable rate of 1.38% 112  (2)
EUR/EUR - pays fixed rate of 3.58% / earns variable rate of 1.38% 112  (3)
USD/USD - paid fixed rate of 3.73% / earned variable rate of 1.83% in 2008 244  (2)
CAD/CAD - paid fixed rate of 6.77% / earned variable rate of 1.62% in 2008       15  (3)  
531  (8) 259  (5)
Currency swaps
EUR/DKK - pays fixed rate of 4.27% / earns variable rate of 1.55% (compared to 4.92% in 2008) 250  (16) 250  (13)
EUR/USD - pays fixed rate of 4.03% / earns variable rate of 0.25% 383  (61)
EUR/USD - paid fixed rate of 3.84% / earned variable rate of 1.53% in 2008 527  (89)
EUR/USD - paid fixed rate of 4.03% / earned variable rate of 1.47% in 2008       384  (55)  
633  (77) 1,161  (157)
Forwards            
Electricity price agreement (average payment of DKK 288/MWh) (2008: 335/MWh) 74  120  (18)
  2,774  97    3,787  (95)  
The forward exchange contracts fall due in the period January 2010 to December 2010 (January 2009 to June 2010 at the end of 2008), while the interest rate and currency swaps fall due in the period June 2010 to July 2017 (June 2009 to July 2017 at the end of 2008). Electricity agreements have been contracted for the period January 2010 to December 2011.
The Group's future net cash flows in USD and JPY are hedged over the following periods:
        2009 2008  
USD 12 months 18 months
JPY 12 months 12 months

Hedges of net investments in foreign subsidiaries
The table below shows the derivatives that the Group has contracted to hedge currency exposure on investments in subsidiaries. Gains or losses on market value adjustments (excluding accrued interest) at year-end are entered directly in Shareholders' equity.
   2009    2008  
DKK million Contract amount based on agreed rates Market value Dec. 31   Contract amount based on agreed rates Market value Dec. 31  
Currency loan
USD - paid variable rate of 1.85% in 2008       244  33   
    -     -   244  33 
There is no hedge ineffectiveness.
Fair value hedges
The table below shows the derivatives that the Group has contracted to hedge currency exposure on financial assets and liabilities that give rise to currency adjustments in the income statement, and derivatives that no longer fulfil the criteria for cash flow hedges. Gains or losses on market value adjustments at year-end are entered in the income statement.
   2009    2008  
DKK million Contract amount based on agreed rates Market value Dec. 31   Contract amount based on agreed rates Market value Dec. 31  
Forward exchange contracts (sales)
AUD (net purchase) (11)   -  118 
CAD (net purchase) (7)   -  (26)   - 
CHF (net purchase) (249) (2) (322) 16 
GBP (net purchase) (124) (90) (7)
KRW (net purchase)   -    -  (34) (1)
JPY 40  (1) 51  (5)
SEK 43    -  18    - 
USD 618    88   
310  (197) 15 
The forward exchange contracts fall due in the period January 2010 to December 2010 (February 2009 to June 2009 at the end of 2008). 
The gain on forward exchange contracts was DKK 46 million (DKK 0 million in 2008), compared to a loss on the hedged items of DKK 17 million (DKK 13 million in 2008).
    
The carrying amounts for the categories Loans and receivables and Other financial liabilities at December 31, 2009, are DKK 2,967 million and DKK 3,853 million respectively (DKK 2,593 million and DKK 3,870 million in 2008). For the categories Hedge accounting (asset), Available-for-sale financial assets, and Hedge accounting (liability) the carrying amounts are shown in the balance sheet or the notes.
    
The derivatives are not traded on an active marked based on quoted prices, but are individual contracts. The fair value of the derivatives is determined using valuation techniques that maximize the use of observable market data, where available (Level 2).

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