Notes to the financial statements 18 Fair value measurement of financial assets and liabilities Group Parent company Financial assets at fair value 2007 2006 2007 2006 Financial assets at fair value1) 525,738 493,764 367,985 351,996 Available-for-sale financial assets 170,137 116,630 62,085 22,411 Investments in associates2) 833 690 815 690 Total 696,708 611,084 430,885 375,097 Financial liabilities at fair value Financial lialibilities at fair value Debt securities3) Total 1) Policyholders bearing the risk excluded from financial assets at fair value. 2) Venture capital activities designated at fair value through profit and loss. 3) Index linked bonds designated at fair value through profit and loss. Fair value measurement – assets 216,390 26,512 242,902 151,032 6,873 157,905 201,761 20,145 221,906 72,563 358,021 301 430,885 141,809 6,873 148,682 47,228 327,417 452 375,097 Quoted market prices Valuation techniques – market observable input Equities carried at cost Total Fair value measurement – liabilities 114,965 581,393 350 696,708 82,964 527,668 452 611,084 Quoted market prices 53,270 28,771 51,366 28,594 Valuation techniques – market observable input 189,632 129,134 170,540 120,088 Total 242,902 157,905 221,906 148,682 Quoted market prices lishing reference instruments are developed to ensure that the fair values recog- For financial instruments traded in active markets fair values are based on quoted nised on the balance sheet and the changes in fair values recorded in the income market prices or dealer price quotations. statement and in equity reflect the underlying economics. Credit spread risk is the risk that the credit spread premium embedded in the price of a security changes Valuation techniques with market observable input and thus impacts the price of the instrument independently of changes in the so Valuation techniques are used to estimate fair values incorporating discounted called risk free interest rate. The fixed income securities portfolio has an inherent cash flows, option pricing models, valuations with reference to recent transac-credit spread sensitivity of 25,6 MSEK that will affect the profit and loss and 13,3 tions in the same instrument and valuations with reference to other financial in-MSEK that will affect equity if the credit spreads change one basis point (0,01%). struments that are substantially the same. Derivatives: SEB uses widely recognised valuation techniques demonstrated to Fixed income securities portfolios: As a consequense of increased credit spreads provide reliable fair values of financial derivative instruments, such as forwards, in the fixed income securities portfolio and the subsequent decrease in market options and swaps, with use of market observable inputs. activity the Group has identified additional external sources for market quotes and continued to fair value the portfolio using market observable input. To a limit-Valuation techniques with non-market observable input ed extent reference instruments with substantially the same underlying risk and The Group has no assets nor liabilities where the bank applies a valuation techstructure are used to estimate fair value. The valuation technique together with nique without incorporating market input. the judgement involved in evaluating and reviewing third party quotes and estab 19 Cash and cash balances with central banks Group Parent company 2007 2006 2007 2006 Cash 5,020 4,184 1,550 1,430 Balances with foreign Central Banks 91,851 7,130 208 398 Total 96,871 11,314 1,758 1,828 20 Loans to credit institutions 2007 Group 2006 Parent company 2007 2006 Remaining maturity – payable on demand 98,114 62,437 138,009 87,366 – maximum 3 months 130,843 88,317 103,601 102,177 – more than 3 months but maximum 1 year 11,246 5,773 9,825 15,626 – more than 1 year but maximum 5 years 11,836 15,196 93,709 143,242 – more than 5 years 9,619 7,616 10,564 12,317 Accrued interest 1,354 1,139 1,774 887 Total 263,012 180,478 357,482 361,615 of which repos 97,213 82,867 82,249 77,281 Average remaining maturity (years) 0.58 0.76 1.14 1.60 SEB ANNUAL REPORT 2007 87
