Annual Report 2013 | Suomeksi |

3 Financial risk management

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Risk management objectives, principles and framework including governance, organisation and processes as well as description of risks i.e. strategic, financial and operational risks are described in the Operating and financial review (OFR).
See also Risk management.
3.1 Commodity market risks
Commodity market risk refers to the potential negative effects of market price movements or volume changes in electricity, fuels and environmental values. A number of different methods, such as Profit-at-Risk and Value-at-Risk, are used throughout Fortum to quantify these risks taking into account their interdependencies. Stress-testing is carried out in order to assess the effects of extreme price movements on Fortum’s earnings.
Commodity market risk management aims to capture potential upside by optimising hedging or by trading in the markets. Risk taking is limited by risk mandates. Risk mandates include the Group minimum EBITDA mandate approved by the CEO and volumetric limits, Profit-at-Risk limits and Stop-Loss limits.
3.2 Electricity price and volume risk
Strategies for hedging the electricity price are developed and executed by the Power division in co-operation with the divisions within set mandates approved by the CEO. In the Nordic markets, the hedging strategies are executed by entering into commodity derivatives contracts such as forward or futures, mainly on Nasdaq OMX Commodities Europe. The majority of electricity price risk in Russia is hedged with physical fixed priced delivery contracts. Hedging strategies for Russia are developed in line with the development of the financial electricity market. Risk in the hedging strategies and their execution are continuously evaluated in accordance with models approved by the Chief Risk Officer and mandates approved by CEO.
Fortum's sensitivity to electricity market price is dependent on the hedge level for a given time period. As per 31 December 2013, approximately 60% of the Power Division's estimated Nordic power sales volume was hedged for the calendar year 2014 and approximately 20% for the calendar year 2015. Assuming no changes in generation volumes, hedge ratios or cost structure a 1 EUR/MWh change in the market price of electricity would affect Fortum's 2014 comparable operating profit by approximately EUR 18 million and for 2015 by approximately EUR 36 million. The volume used in this sensitivity analysis is 45 TWh which includes the electricity generation sold to the spot market in Sweden and Finland in the Power Division without minority owner's shares of electricity or other pass-through sales, and excluding the volume of Fortum's coal-condensing generation. This volume is heavily dependent on price level, the hydrological situation, the length of annual maintenance periods and availability of power plants. Sensitivity is calculated only for electricity market price movements. Hydrological conditions, temperature, CO2 allowance prices, fuel prices and the import/export situation all affect the electricity price on short-term basis and effects of individual factors cannot be separated.
3.2.1 Sensitivity arising from financial instruments according to IFRS 7
Sensitivity analysis shows the sensitivity arising from financial electricity derivatives as defined in IFRS 7. These derivatives are used for hedging purposes within Fortum. Sensitivities are calculated based on 31 December 2013 (31 December 2012) position. Positions are actively managed in the day-to-day business operations and therefore the sensitivities vary from time to time. Sensitivity analysis includes only the market risks arising from derivatives i.e. the underlying physical electricity sales and purchase are not included. Sensitivity is calculated with the assumption that electricity forward quotations in NASDAQ OMX Commodities Europe and in EEX would change 1 EUR/MWh for the period Fortum has derivatives.
Sensitivity according to IFRS 7
+/- 1 EUR/MWh change in electricity forward quotations, EUR million Effect 2013 2012
Effect on Profit before income tax -/+ 7 26
Effect on Equity -/+ 22 20
3.2.2 Electricity derivatives
The tables below disclose the Group's electricity derivatives used mainly for hedging electricity price risk. The fair values represent the values disclosed in the balance sheet.
See also Note 16 Financial assets and liabilities by categories for accounting principles and basis for fair value estimations
and Note 7 Fair value changes of derivatives and underlying items in income statement for the effects in the income statement regarding electricity derivatives not getting hedge accounting status.
Electricity derivatives by instrument 2013
Volume, TWh Fair value, EUR million
Under 1
year
1-5
years
Over 5
years
Total Positive Negative Net
Sales swaps 50 22 0 72 484 33 451
Purchase swaps 29 13 0 42 11 253 -242
Purchased options 0 0 0 0 0 0 0
Written options 0 1 0 1 0 0 0
Total 79 36 0 115 495 286 209
Netting against electricity exchanges 1) -227 -227 0
Total 268 59 209
Electricity derivatives by accounting status 2013
Volume, TWh Fair value, EUR million
Under 1
year
1-5
years
Over 5
years
Total Positive Negative Net
Derivatives with hedge accounting status 19 12 0 31 181 42 139
Derivatives with non-hedge accounting status 2) 60 24 0 84 314 244 70
Total 79 36 0 115 495 286 209
Netting against electricity exchanges 1)
Derivatives with hedge accounting status -35 -35 0
Derivatives with non-hedge accounting status 2) -192 -192 0
Total -227 -227 0
Total 268 59 209
Of which long-term 82 35 47
Short-term 186 24 162
Electricity derivatives by instrument 2012
Volume, TWh Fair value, EUR million
Under 1
year
1-5
years
Over 5
years
Total Positive Negative Net
Sales swaps 63 27 0 90 376 62 314
Purchase swaps 35 10 0 45 26 164 -138
Purchased options 0 0 0 0 0 0 0
Written options 0 2 0 2 1 0 1
Total 98 39 0 137 403 226 177
Netting against electricity exchanges 1) -193 -193 0
Total 210 33 177
Electricity derivatives by accounting status 2012
Volume, TWh Fair value, EUR million
Under 1
year
1-5
years
Over 5
years
Total Positive Negative Net
Derivatives with hedge accounting status 26 14 0 40 152 60 92
Derivatives with non-hedge accounting status 2) 72 25 0 97 251 166 85
Total 98 39 0 137 403 226 177
Netting against electricity exchanges 1)
Derivatives with hedge accounting status -55 -55 0
Derivatives with non-hedge accounting status 2) -138 -138 0
Total -193 -193 0
Total 210 33 177
Of which long-term 76 14 62
Short-term 134 19 115
1) Receivables and liabilities against electricity exchanges arising from standard derivative contracts with same delivery period are netted.
2) Derivatives with non-hedge accounting status consist of trading derivatives and cash flow hedges without hedge accounting status.
Maturity analysis of commodity derivatives
2013 2012
EUR million Under 1
year
1-5
years
Over 5
years
Total Under 1
year
1-5
years
Over 5
years
Total
Electricity derivatives assets 186 80 2 268 288 21 80 389
Electricity derivatives liabilities 25 33 2 60 174 51 1 226
Other commodity derivatives, assets 28 3 0 31 50 17 0 67
Other commodity derivatives, liabilities 10 2 0 12 44 3 0 47
3.3 Fuel price and volume risks
Exposure to fuel prices is to some extent limited because of Fortum's flexible generation possibilities, which allow for switching between different fuels according to prevailing market conditions, and in some cases, the fuel price risk can be transferred to the customer. The remaining exposure to fuel price risk is mitigated through fixed price purchases that cover forecasted consumption levels. Fixed price purchases can be either for physical deliveries or in the form of financial hedges, such as oil and coal derivatives. In addition to this, Fortum has a proprietary trading book which includes oil and coal derivatives.
3.4 Emission allowance price and volume risk
Part of Fortum's power and heat generation is subject to requirements of emission trading schemes. Fortum manages its exposure to these prices and volumes through the use of CO2 forwards and by ensuring that the costs of allowances are taken into account during production planning. Most of these CO2 forwards are own use contracts valued at cost and some are treated as derivatives in the accounts.
3.5 Liquidity and refinancing risk
Fortum's business is capital intensive and the Group has a regular need to raise financing. Fortum has a diversified loan portfolio mainly consisting of long-term financing denominated in EUR and SEK. Long-term financing is primarily raised by issuing bonds under Fortum’s Euro Medium Term Note programme as well as through bilateral and syndicated loan facilities from a variety of different financial institutions. Seasonal variations in working capital are generally financed by issuing short-term commercial papers under the Group’s Swedish (SEK) and Finnish (EUR) Commercial Paper programmes.
Financing is primarily raised on parent company level and distributed internally through various internal financing arrangements. On 31 December 2013, 95% (2012: 93%) of the Group’s total external financing was raised by the parent company Fortum Oyj.
On 31 December 2013, the total interest-bearing debt was EUR 9,118 million (2012: 8,777) and the interest-bearing net debt was EUR 7,849 million (2012: 7,814).
Fortum manages liquidity and refinancing risks through a combination of cash positions and committed credit facility agreements with its core banks. The Group shall at all times have access to cash, marketable securities and unused committed credit facilities including overdrafts, to cover all loans maturing within the next twelve-month period. However, cash/marketable securities and unused committed credit facilities shall always amount to at least EUR 500 million.
On 31 December 2013, loan maturities for the coming twelve-month period amounted to EUR 2,142 million (2012: 1,078). Cash and cash equivalents amounted to EUR 1,269 million (2012: 963) and the total amount of committed credit facilities amounted to EUR 2,218 million (2012: 2,722) of which EUR 2,218 million (2012: 2,722) was undrawn.
Maturity of interest-bearing liabilities
EUR million 2013
2014 2,142
2015 1,088
2016 884
2017 580
2018 668
2019 and later 3,756
Total 1) 9,118
1) Including interest-bearing debt of EUR 20 million (2012: 0) classified as assets held for sale in the balance sheet.
Loan maturities per loan type, EUR million
Cash and cash equivalents, major credit lines and debt programmes 2013
EUR million Total facility Drawn amount Available amount
Cash and cash equivalents 1) 1,269
of which in Russia (OAO Fortum) 113
Committed credit lines
EUR 2,000 million syndicated credit facility 2,000 - 2,000
Bilateral overdraft facilities 218 - 218
Total 2,218 - 2,218
Debt programmes (uncommitted)
Fortum Corporation, CP programme EUR 500 million 500 381 119
Fortum Corporation, CP programme SEK 5,000 million 564 337 227
Fortum Corporation, EMTN programme EUR 8,000 million 8,000 5,839 2,161
Total 9,064 6,557 2,507
1) Including cash balances of EUR 15 million (2012: 0) classified as assets held for sale in the balance sheet.
Cash and cash equivalents, major credit lines and debt programmes 2012
EUR million Total facility Drawn amount Available amount
Cash and cash equivalents 963
of which in Russia (OAO Fortum) 128
Committed credit lines
EUR 2,500 million syndicated credit facility 2,500 - 2,500
Bilateral overdraft facilities 222 - 222
Total 2,722 - 2,722
Debt programmes (uncommitted)
Fortum Corporation, CP programme EUR 500 million 500 100 400
Fortum Corporation, CP programme SEK 5,000 million 583 128 455
Fortum Corporation, EMTN programme EUR 6,000 million 6,000 5,841 159
Total 7,083 6,069 1,014
Cash and cash equivalents amounted to EUR 1,269 million (2012: 963), including OAO Fortum's bank deposits amounting to EUR 101 million (2012: 105) earmarked for capacity increase investments in Russia. Of these deposits at year-end 2013 EUR 58 million (2012: 100) were in euros and EUR 43 million (2012: 5) in Russian roubles.
See also Note 25 Cash and cash equivalents.
Maturity analysis of interest-bearing liabilities and derivatives
Amounts disclosed below are non-discounted expected cash flows (future interest payments and amortisations) of interest-bearing liabilities and interest rate and currency derivatives.
2013 2012
EUR million Under
1 year
1-5
years
Over 5
years
Total Under 1
year
1-5
years
Over 5
years
Total
Interest-bearing liabilities 2,411 3,920 4,250 10,581 1,377 4,626 4,274 10,277
Interest rate and currency derivatives liabilities 7,116 1,942 294 9,352 8,695 1,365 304 10,364
Interest rate and currency derivatives receivables -7,142 -2,023 -271 -9,436 -8,560 -1,473 -330 -10,363
Total 2,385 3,839 4,273 10,497 1,512 4,518 4,248 10,278
Interest-bearing liabilities include loans from the State Nuclear Waste Management Fund and Teollisuuden Voima Oyj of EUR 995 million (2012: 940). These loans are renewed yearly and the related interest payments are calculated for ten years in the table above.
For further information regarding loans from the State Nuclear Waste Management Fund and Teollisuuden Voima Oyj, see Note 30 Nuclear related assets and liabilities.
3.6 Interest rate risk and currency risk
3.6.1 Interest rate risk
The Treasury risk policy stipulates that the average duration of the debt portfolio shall always be kept within a range of 24 and 48 months and that the flow risk i.e. changes in interest rates shall not affect the net interest payments of the Group by more than EUR 50 million for the next rolling 12-month period. Within these mandates, strategies are evaluated and developed in order to find an optimal balance between risk and financing cost.
On 31 December 2013, the average duration of the debt portfolio (including derivatives) was 2.4 years (2012: 2.1). Approximately 51% (2012: 45%) of the debt portfolio was on a floating rate basis or fixed rate loans maturing within the next 12 month period. The effect of one percentage point change in interest rates on the present value of the debt portfolio was EUR 179 million on 31 December 2013 (2012: 175). The flow risk, measured as the difference between the base case net interest cost estimate and the worst case scenario estimate for Fortum's debt portfolio for the coming 12 months, was EUR 14 million (2012: 24).
The average interest rate on loans and derivatives on 31 December 2013 was 3.6% (2012: 4.5%). Average cumulative interest rate on loans and derivatives for 2013 was 4.1% (2012: 4.7%).
3.6.2 Currency risk
Fortum's policy is to hedge major transaction exposures to avoid exchange differences in the profit and loss statement. These exposures are mainly hedged with forward contracts.
Translation exposures in the Fortum Group are generally not hedged as the majority of these assets are considered to be long-term strategic holdings. In Fortum this means largely entities operating in Sweden, Russia, Norway and Poland, whose base currency is not euro.
The currency risk relating to transaction exposures is measured using Value-at-Risk (VaR) for a one-day period at 95% confidence level. Translation exposures relating to net investments in foreign entities are measured using a five day period at 95% confidence level. The limit for transaction exposure is VaR EUR 5 million. On 31 December 2013 the open transaction and translation exposures were EUR 1 million (2012: 1) and EUR 4,837 million (2012: 4,993) respectively. The VaR for the transaction exposure was EUR 0 million (2012: 0) and VaR for the translation exposure was EUR 55 million (2012: 45).
Group Treasury's transaction exposure
2013 2012
EUR million Net position   Hedge Open Net position Hedge Open
SEK 5,769 -5,769 0 6,789 -6,789 0
USD -33 33 0 -61 61 0
NOK 39 -39 0 94 -94 0
RUB 523 -523 0 571 -571 0
PLN 110 -110 0 114 -114 0
Other 59 -58 1 96 -95 1
Total 6,467 -6,466 1 7,603 -7,602 1
In addition OAO Fortum is hedging its euro investments with euro deposits EUR 58 million (2012: 100), which qualifies as a cash flow hedge in Fortum group accounts.
Transaction exposure is defined as already contracted or forecasted foreign exchange dependent items and cash flows. Transaction exposure is divided into balance sheet exposure and cash flow exposure. Balance sheet exposure reflects currency denominated assets and liabilities for example loans, deposits and accounts receivable/payable in currencies other than the company’s base currency. Cash flow exposure reflects future forecasted or contracted currency flows in foreign currency deriving from business activities such as sales, purchases or investments. Net conversion differences from transaction exposure are entered under financial income or expense when related to financial items or when related to accounts receivable/payable entered under items included in operating profit. Conversion differences related to qualifying cash flow hedges are deferred to equity.
Fortum’s policy is to hedge balance sheet exposures in order to avoid exchange rate differences in the income statement. The Group’s balance sheet exposure mainly relates to financing of Swedish subsidiaries and the fact that the Group’s main external financing currency is EUR. For derivatives hedging this balance exposure Fortum does not apply hedge accounting, because they have a natural hedge in the income statement.
Contracted cash flow exposures shall be hedged to reduce volatility in future cash flows. These hedges normally consist of currency derivative contracts, which are matched against the underlying future cash flow according to maturity. Fortum has currency cash flow hedges both with and without hedge accounting treatment under IFRS. Those currency cash flow hedges, which do not qualify for hedge accounting are mainly hedging electricity derivatives. Unrealised hedges create volatility in the operating profit.
Group Treasury's translation exposure
2013 2012
EUR million Invest-
ment
Hedge Open Invest-
ment
Hedge Open
RUB 3,187 -317 2,870 3,086 -26 3,060
SEK 1,303 - 1,303 1,217 - 1,217
NOK 440 - 440 451 - 451
PLN 138 - 138 135 - 135
Other 86 - 86 130 - 130
Total 5,154 -317 4,837 5,019 -26 4,993
Translation exposure position includes net investments in foreign subsidiaries and associated companies. On consolidation, exchange differences arising from the translation of the net investment in foreign entities are taken to equity. The net effect of exchange differences on equity attributable to equity holders from RUB, NOK and SEK was EUR -465 million in 2013 (2012: 173).
Interest rate and currency derivatives by instrument 2013
Notional amount Fair value
Remaining lifetimes
EUR million Under 1
year
1-5
years
Over 5
years
Total Positive Negative Net
Forward foreign exchange contracts 6,796 396 - 7,192 73 44 29
Interest rate swaps 944 2,215 3,499 6,658 252 147 105
Interest rate and currency swaps - 928 - 928 36 0 36
Forward rate agreements 56 - - 56 0 0 0
Total 7,796 3,539 3,499 14,834 361 191 170
Of which long-term 278 140 138
Short-term 83 51 32
Interest rate and currency derivatives by use 2013
Notional amount Fair value
Remaining lifetimes
EUR million Under 1
year
1-5
years
Over 5
years
Total Positive Negative Net
Net investment hedging foreign exchange derivatives 1) 55 - - 55 - 0 0
Cash flow hedging foreign exchange derivatives 258 203 - 461 7 7 0
Non-hedging foreign exchange derivatives 2) 6,483 193 - 6,676 66 37 29
Total forward foreign exchange contracts 6,796 396 - 7,192 73 44 29
Fair value hedging interest rate derivatives - - 1,700 1,700 70 22 48
Cash flow hedging interest rate derivatives 44 1,086 299 1,429 0 43 -43
Non-hedging interest rate derivatives 2) 956 1,129 1,500 3,585 182 82 100
Total interest rate derivatives 1,000 2,215 3,499 6,714 252 147 105
Net investment hedging, interest rate and currency swaps - 344 - 344 19 0 19
Non-hedging interest rate and currency swaps 2) - 584 - 584 17 - 17
Total interest rate and currency swaps - 928 - 928 36 0 36
Total 7,796 3,539 3,499 14,834 361 191 170
1) Contracts hedging dividends.
2) Consists of deals without hedge accounting status.
Interest rate and currency derivatives by instrument 2012
Notional amount Fair value
Remaining lifetimes
EUR million Under 1
year
1-5
years
Over 5
years
Total Positive Negative Net
Forward foreign exchange contracts 8,148 523 - 8,671 38 197 -159
Interest rate swaps 477 2,856 2,935 6,268 362 161 201
Interest rate and currency swaps 227 317 - 544 - 8 -8
Forward rate agreements 87 29 - 116 0 0 0
Total 8,939 3,725 2,935 15,599 400 366 34
Of which long-term 358 165 193
Short-term 42 201 -159
Interest rate and currency derivatives by use 2012
Notional amount Fair value
Remaining lifetimes
EUR million Under 1
year
1-5
years
Over 5
years
Total Positive Negative Net
Net investment hedging foreign exchange derivatives 1) 61 - - 61 - 0 0
Cash flow hedging foreign exchange derivatives 262 177 - 439 5 5 0
Non-hedging foreign exchange derivatives 2) 7,825 346 - 8,171 33 192 -159
Total forward foreign exchange contracts 8,148 523 - 8,671 38 197 -159
Fair value hedging interest rate derivatives - - 1,975 1,975 181 0 181
Cash flow hedging interest rate derivatives 74 824 210 1,108 1 56 -55
Non-hedging interest rate derivatives 2) 490 2,061 750 3,301 180 105 75
Total interest rate derivatives 564 2,885 2,935 6,384 362 161 201
Net investment hedging, interest rate and currency swaps 2) - 26 - 26 - 0 0
Non-hedging interest rate and currency swaps 2) 227 291 - 518 - 8 -8
Total interest rate and currency swaps 227 317 - 544 - 8 -8
Total 8,939 3,725 2,935 15,599 400 366 34
1) Contracts hedging dividends.
2) Consists of deals without hedge accounting status.
3.7 Share derivatives
Cash-settled share forwards are used as a hedging instrument for the Fortum share price risk regarding the Fortum Group's long-term incentive schemes.
The amounts disclosed are non-discounted cash flows for the share derivatives. In December 2013 there were no outstanding share derivatives.
See Note 12 Employee benefits for more information about the Group's long-term incentive schemes.
2013 2012
EUR million Notional value Net fair
value
Notional value Net fair
value
Share forwards - - 8 7
3.8 Credit risk
Fortum is exposed to credit risk whenever there is a contractual obligation with an external counterpart. Fortum has procedures in place to ensure that credit risks are kept at an acceptable level. All larger exposures are monitored centrally against limits which are approved according to authority levels defined in the Group Credit Instructions. Counterpart creditworthiness is continuously monitored and reported. Collaterals are used if dealing with counterparts without approved limits or when exposures arising from engagements are considered too high in relation to the counterpart creditworthiness. Parent company guarantees are requested when dealing with subsidiaries not considered creditworthy on a stand-alone basis.
Credit risk exposures relating to derivative instruments are often volatile due to rapidly changing market prices and are therefore monitored closely. Currency and interest rate derivative counterparts are limited to investment grade banks and financial institutions. ISDA Master agreements, which include netting clauses and in some cases collateral support agreements, are in place with most of these counterparts. The majority of the Group's commodity derivatives are cleared through an exchange such as NASDAQ OMX Commodities Europe. Some derivative transactions are also executed on the OTC market. These OTC counterparts are limited to those considered of high creditworthiness. Master agreements, such as ISDA, FEMA and EFET, which include netting clauses, are in place with the majority of the counterparts.
Fortum, like any capital intensive business, is exposed to credit risks in the financial sector. Credit risk relating to banks is monitored closely as the creditworthiness of financial institutions can deteriorate quickly. Where possible, exposures have been concentrated to key relationship banks considered to be of high credit quality and importance to the financial stability of their respective countries. In Russia, bank guarantees are used to cover exposures to suppliers related to the investment programme of OAO Fortum. In case a contractor defaults or does not fulfil its obligations, there are guarantees covering prepayments as well as performance guarantees in place. Issuers of these guarantees are banks with a strong local presence and understanding of the contractor. The creditworthiness of these banks as well as exposures arising from issued guarantees is monitored closely.
Credit risk relating to customers is well diversified over a large number of private individuals and businesses across several geographic regions and industry sectors. Russia, Finland and Sweden account for most of the exposure, of which exposure to Russia represents the highest risk of non-payment.
3.8.1 Credit quality of major financial assets
Amounts disclosed below are presented by counterparties for interest-bearing receivables including finance lease receivables, bank deposits and derivative financial instruments recognised as assets.
2013 2012
EUR million Carrying amount of which
past due
Carrying amount of which
past due
Investment grade receivables 1,553 - 1,284 -
Electricity exchanges 185 - 160 -
Associated companies 1,416 - 1,332 -
Other 135 - 109 -
Total 3,289 - 2,885 -
Investment grade receivables consist of deposits and Treasury bank accounts EUR 1,163 million (2012: 818), fair values of interest rate and currency derivatives EUR 361 million (2012: 400) and fair values of electricity, coal, oil and CO2 emission allowance derivatives EUR 29 million (2012: 66). Electricity exchange receivable is the fair value of derivatives on NASDAQ OMX Commodities Europe. Associated companies receivables consist of loan receivables EUR 1,415 million (2012: 1,332) and fair values of electricity derivatives EUR 1 million (2012: 0). Other receivables consist of loan and other interest bearing receivables EUR 52 million (2012: 58), finance lease receivables EUR 2 million (2012: 3) and fair values of electricity, coal, oil, and CO2 emission allowance derivatives EUR 81 million (2012: 48).
The following tables indicate how bank deposits and fair values of derivatives are distributed by rating class.
  
Deposits and Treasury Bank Accounts
EUR million 2013 2012
Counterparties with external credit rating from Standard & Poor's and/or Moody's Investment grade ratings
AAA - -
AA+/AA/AA- 410 144
A+/A/A- 658 586
BBB+/BBB/BBB- 95 88
Total investment grade ratings 1,163 818
Non-investment grade ratings - -
Counterparties without external credit rating from Standard & Poor's and/or Moody's - -
Total 1,163 818
In addition, cash in other bank accounts totalled EUR 106 million on 31 December 2013 (2012: 145).
Interest rate and currency derivatives
2013 2012
EUR million Receivables Netted amount Receivables Netted
amount
Counterparties with external credit rating from Standard & Poor's and/or Moody's Investment grade ratings
AAA - - - -
AA+/AA/AA- 36 0 12 0
A+/A/A- 308 220 374 272
BBB+/BBB/BBB- 17 0 14 8
Total investment grade ratings 361 220 400 280
Counterparties without external credit rating from Standard & Poor's and/or Moody's - - - -
Total 361 220 400 280
Electricity, coal and oil derivatives and CO2 emission allowances treated as derivatives
2013 2012
EUR million Receivables Netted amount Receivables Netted
amount
Counterparties with external credit rating from Standard & Poor's and/or Moody's Investment grade ratings
AAA - - - -
AA+/AA/AA- 0 0 0 0
A+/A/A- 30 21 66 32
BBB+/BBB/BBB- - - - -
Total investment grade ratings 30 21 66 32
Non-investment grade ratings
BB+/BB/BB- 8 7 1 1
B+/B/B- - - - -
Below B- - - - -
Total non-investment grade ratings 8 7 1 1
Total associated companies 1 1 0 0
Counterparties without external credit rating from Standard & Poor's or Moody's
Government or municipality 1 1 2 2
Fortum Rating 5 - Lowest risk 1 1 10 9
Fortum Rating 4 - Low risk 23 23 10 9
Fortum Rating 3 - Normal risk 47 46 16 15
Fortum Rating 2 - High risk - - 9 9
Fortum Rating 1 - Highest risk 2 1 0 0
No rating 1 1 0 0
Total non-rated counterparties 75 73 47 44
Total 114 102 114 77
For derivatives, the receivable is the sum of the positive fair values, i.e the gross amount. Netted amount includes negative fair values where a valid netting agreement is in place with the counterparty. When the netted amount is less than zero, it is not included. In cases where a parent company guarantee is in place, the exposure is shown on the issuer of the guarantee.
All counterparties for currency and interest rate derivatives and the majority of counterparties for bank deposits have an external rating from Standard & Poor's and Moody's credit agencies. The above rating scale is for Standard & Poor's rating categories. For those counterparties only rated by Moody's, the rating has been translated to the equivalent Standard and Poor's rating category. For counterparties rated by both Standard & Poor's and Moody's, a conservative approach is taken by choosing the lower of the two ratings.
In the electricity, coal and oil derivatives market, there are a number of counterparties not rated by Standard & Poor's or Moody's. For these counterparties, Fortum assigns an internal rating. The internal rating is based on external credit ratings from other credit agencies. The rating from Soliditet is used for Finnish, Norwegian and Swedish counterparties and for other counterparties the rating from Dun & Bradstreet is used. Governments and municipal companies are typically not rated, and are shown separately. This rating category does not include companies owned by governments or municipalities. Counterparties that have not been assigned a rating by the above listed credit agencies are in the "No rating" category.
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