saxo-bank-annual-report-2015

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NOTES – SAXO BANK GROUP Note (DKK 1,000) 31 Accounting classification and valuation of financial instruments The accounting classification can be specified as follows: 2015 Fair value through profit and loss Held for trading Designated Amortised cost Loans and advances Liabilities Total carrying amount Financial assets Cash in hand and demand deposits with central banks - - 2,808,010 - 2,808,010 Receivables from credit institutions and central banks - - 1,735,824 - 1,735,824 Trading assets 24,311,589 - - - 24,311,589 Loans and advances at amortised cost - - 1,793,022 - 1,793,022 Investment securities - 39,287 - - 39,287 Financial liabilities Debt to credit institutions and central banks - - - 2,807,481 2,807,481 Trading liabilities 2,536,624 - - - 2,536,624 Deposits - - - 22,734,633 22,734,633 Subordinated debt - - - 674,070 674,070 2014 Fair value through profit and loss Held for trading Designated Amortised cost Loans and advances Liabilities Total carrying amount Financial assets Cash in hand and demand deposits with central banks - - 1,900,572 - 1,900,572 Receivables from credit institutions and central banks - - 2,647,919 - 2,647,919 Trading assets 26,416,499 - - - 26,416,499 Loans and advances at amortised cost - - 1,834,306 - 1,834,306 Investment securities - 39,195 - - 39,195 Financial liabilities Debt to credit institutions and central banks - - - 2,096,199 2,096,199 Trading liabilities 7,057,018 - - - 7,057,018 Deposits - - - 21,255,053 21,255,053 Subordinated debt - - - 542,743 542,743 80 · SAXO BANK · ANNUAL REPORT 2015
NOTES – SAXO BANK GROUP Note (DKK 1,000) 31 Accounting classification and valuation of financial instruments · continued Fair value hierarchy for financial instruments 2015 Quoted market price - Level 1 Observable input - Level 2 Nonobservable input - Level 3 Total fair value Total carrying amount Financial assets 1) Trading portfolio bonds 19,076,398 - - 19,076,398 19,076,398 Trading portfolio equities 1,762 - 3,000 4,762 4,762 Derivative financial instruments with positive value 2,090,167 2,857,590 282,672 5,230,430 5,230,430 Loans and advances at amortised cost - - 1,751,095 1,751,095 1,793,022 Investment securities - - 39,287 39,287 39,287 Financial liabilities Derivative financial instruments with negative value 1,302,335 1,234,289 - 2,536,624 2,536,624 Subordinated debt - - 606,362 606,362 674,070 2014 Quoted market price - Level 1 Observable input - Level 2 Nonobservable input - Level 3 Total fair value Total carrying amount Financial assets 1) Trading portfolio bonds 17,554,304 - 400 17,554,704 17,554,704 Trading portfolio equities 965 - 2,907 3,872 3,872 Derivative financial instruments with positive value 2,473,632 6,021,647 362,644 8,857,923 8,857,923 Loans and advances at amortised cost - - 1,805,616 1,805,616 1,834,306 Investment securities - - 39,195 39,195 39,195 Financial liabilities Derivative financial instruments with negative value 1,739,982 5,317,036 - 7,057,018 7,057,018 Subordinated debt 477,347 477,347 542,743 1) Trading portfolio bonds, equities and derivatives are presented in the statement of financial position as Trading assets and Trading liabilities, note 15. Financial instruments measured at fair value Fair values of financial assets and liabilities that are traded in active markets are based on quoted market prices. Listed bonds, listed equities, futures, ETO’s and CFD single equities are measured based on quoted prices (level 1). If quoted prices for financial instruments fail to represent actual and regularly occurring market transactions or if quoted prices are not available, fair value is established using interbank quoted prices or valuation techniques. Interbank quoted prices are generally provided by several other financial institutions. The Group applies valuation techniques for FX instruments. Valuation techniques used are different option pricing models. In most cases the valuation is substantially based on observable input, such as interbank quoted prices and implied volatility (level 2). Fair value for CFD contracts with clients where credit value adjustments are made is established by using the same valuation techniques as for level 2. This fair value is adjusted for credit value adjustment based on the client’s worthiness. Investment securities are primarily measured based on third party pricing information (level 3). The Group has an ongoing process of assessing the best valuation technique and changes in the valuation process are implemented when relevant. The objective of valuation techniques is to arrive at a fair value measurement that reflects the price that would be received to sell the asset or paid to transfer the liability in an orderly transaction between market participants at the measurement date. SAXO BANK · ANNUAL REPORT 2015 · 81
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2015
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TRADING OPPORTUNITIES. ANYTIME, ANY
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4 · SAXO BANK · ANNUAL REPORT 201
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The continued rise in client’s co
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TAILORED PRICING - ONE SIZE DOES NO
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As of 31 December 2015, Saxo Bank e
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CRD IV and CRR is a single set of p
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#SAXOSTRATS - YOUR NEXT TRADE In 20
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FINANCIAL REVIEW Saxo Bank Group re
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of 2014 the corresponding ratios we
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OPERATIONAL REVIEW PRODUCT DEVELOPM
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Through its multi-asset offering, S
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SAXOTRADERGO - THE NEXT GENERATION
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THE BUSINESS OF SAXO BANK 26 · SAX
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WE PROVIDE LIQUIDITY VIA ... • 15
Page 32 and 33: ured as the expected one day loss f
Page 34 and 35: RISK FACTORS Saxo Bank Group is exp
Page 36 and 37: function is to optimise the trading
Page 38 and 39: HIGHLIGHTS 2015 JANUARY Saxo Bank r
Page 40 and 41: FINANCIAL STATEMENTS 38 · SAXO BAN
Page 42 and 43: INCOME STATEMENT - SAXO BANK GROUP
Page 44 and 45: STATEMENT OF FINANCIAL POSITION - S
Page 46 and 47: STATEMENT OF CHANGES IN EQUITY - SA
Page 48 and 49: STATEMENT OF TOTAL CAPITAL (OWN FUN
Page 50 and 51: NOTES - SAXO BANK GROUP Note 1 Acco
Page 58 and 59: NOTES - SAXO BANK GROUP Note 2 Crit
Page 60 and 61: NOTES - SAXO BANK GROUP Note (DKK 1
Page 90 and 91: NOTES - RISK MANAGEMENT - SAXO BANK
Page 110 and 111: NOTES - KEY FIGURES AND RATIOS - SA
Page 112 and 113: 110 · SAXO BANK · ANNUAL REPORT 2
Page 114 and 115: INCOME STATEMENT - SAXO BANK A/S 1
Page 116 and 117: STATEMENT OF FINANCIAL POSITION - S
Page 118 and 119: STATEMENT OF CHANGES IN EQUITY - SA
Page 120 and 121: STATEMENT OF TOTAL CAPITAL (OWN FUN
Page 122 and 123: NOTES - SAXO BANK A/S Note (DKK 1,0
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NOTES - SAXO BANK A/S 23 Branches a
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NOTES - SAXO BANK A/S Note (DKK 1,0
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STATEMENTS BY THE INDEPENDENT AUDIT
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COMPANY INFORMATION
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ADDRESSES DENMARK ADDRESSES EUROPE
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ADDRESSES WORLD AUSTRALIA Saxo Capi
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