4. MATERIALES Y MÉTODOS
4.6 M AGNITUDES BIOQUÍMICAS
Off-balance-sheet
Fair values unrealised gains and losses Carrying amounts
€m 31.12.2012 Prev. year 31.12.2012 Prev. year 31.12.2012 Prev. year
Land and buildings1 8,048 8,013 1,826 1,739 6,222 6,274
Associates 1,621 1,250 364 326 1,257 924
Loans 63,248 56,893 8,830 3,633 54,418 53,260
Other securities 8 13 1 – 7 13
Tangible assets in renewable energies 500 267 – 7 500 260
Total 73,425 66,436 11,021 5,705 62,404 60,731
Additionally, in the interests of optimising the structure of our portfolio, we hold a small quantity of credit default swaps from France and the Netherlands, thus increasing our total government bond exposure by €12m.
We generally base fair values on quoted prices in an active market (Level 1). In cases where these are not available, and for our loans, the fair value is based on recognised valuation methods in accordance with the present-value principle (Level 2).
4100
Portfolio of government bonds and state-guaranteed securities issued by eurozone countries1, 2 Carrying Unrealised gains
€m Amortised cost amounts Fair values and losses3
Loans Belgium 803 803 999 196 Germany 16,647 16,647 19,219 2,572 Finland 685 685 837 152 France 55 55 63 8 Ireland 106 106 114 8 Italy 255 255 266 11 Netherlands – – – – Austria 1,363 1,363 1,630 267 Spain 915 915 636 –279
Other eurozone countries – – – –
20,829 20,829 23,764 2,935
Other securities
Available for sale
Belgium 1,041 1,190 1,190 149 Germany 10,825 11,989 11,989 1,164 Finland 877 963 963 86 France 2,770 3,082 3,082 312 Ireland 986 1,038 1,038 52 Italy 2,357 2,378 2,378 21 Netherlands 1,789 1,935 1,935 146 Austria 1,496 1,660 1,660 164 Spain 606 561 561 –45
Other eurozone countries 883 911 911 28
23,630 25,707 25,707 2,077 At fair value through profit or loss
Belgium – – – – Germany 42 42 42 – Finland 2 2 2 – France 3 3 3 – Ireland – – – – Italy – – – – Netherlands 1 1 1 – Austria 16 16 16 – Spain – – – –
Other eurozone countries 1 1 1 –
65 65 65 –
Total 44,524 46,601 49,536 5,012
1 Presentation based on approximation and not fully comparable with IFRS figures.
2 Listed are all those eurozone countries where our holdings of government bonds and state-guaranteed securities total more than €1bn in terms of carrying amounts. 3 Concerns unrecognised unrealised gains and losses in the case of “loans” and recognised unrealised gains and losses in the case of “available for sale” .
Information on the levels of the fair value hierarchy is provided on page 175 f. in the notes to the consolidated financial statements
At the reporting date, around 90% of the eurozone government bonds and government- guaranteed securities measured at fair value are allocated to Level 1 and 10% to Level 2. Investments from the category “available for sale” allocated to Level 2 mainly involve borrower’s note loans of German “Länder”.
Our overall portfolio of eurozone government bonds has a good rating structure. As at 31 December 2012, 89% were rated AAA to A.
The rating categories are based on those of the leading international rating agencies. In deviation from the purely economic view, the carrying amount of the securities repre- sents the maximum exposure to credit risk at the balance sheet date, in accordance with IFRS 7.
4105
Allocation of eurozone government bonds and government-guaranteed securities measured at fair value to levels of the fair value hierarchy1€m Level 1 Level 2 Level 3 Total
Other securities available for sale 23,047 2,660 – 25,707 Other securities at fair value through profit or loss 65 – – 65
Total 23,112 2,660 – 25,772
1 Presentation based on approximation and not fully comparable with IFRS figures.
4110
1 Presentation based on approximation and not fully comparable with IFRS figures.
Rating of eurozone government bonds and government-guaranteed securities according to carrying amounts1
€m AAA AA A BBB Lower No rating Total
Belgium – 1,686 307 – – – 1,993 Germany 14,446 13,954 268 – – 10 28,678 Finland 1,650 – – – – – 1,650 France 355 2,782 3 – – – 3,140 Ireland 70 – – 1,057 17 – 1,144 Italy – – 145 2,488 – – 2,633 Netherlands 1,936 – – – – – 1,936 Austria 2,249 739 51 – – – 3,039 Spain – – – 954 522 – 1,476
Other eurozone countries 15 94 803 – – – 912
Total 20,721 19,255 1,577 4,499 539 10 46,601
4115
Period to maturity of eurozone government bonds and government-guaranteedsecurities according to carrying amounts1
€m Carrying amounts
Up to one year 2,890
Over one year and up to two years 2,781
Over two years and up to three years 3,776 Over three years and up to four years 2,697 Over four years and up to five years 2,097
Over five years and up to ten years 9,763
Over ten years 22,597
Total 46,601
€19.6bn or around 60% of our government bonds and government-guaranteed secur- ities with a period to maturity in excess of five years are German government bonds. The periods to maturity of our bonds from Irish, Italian and Spanish issuers are as follows:
At the reporting date, 28% of our interest-bearing investments were in covered bonds and other securities and debt instruments with collateralisation, around 38% of which were German pfandbriefs. In the course of the financial year, we disposed of sections of our Spanish covered bonds (cedulas) and switched into British and French covered bonds. We increased our investments in corporate bonds again, these making up 10% of our fixed-interest portfolio at the reporting date. Falling interest rates and risk spreads were beneficial to us here, bringing about an additional rise in the market value of our portfolio. We continue to hold a small quantity of credit derivatives, thus increas- ing our exposure mainly to corporates by another percentage point.
Information on the risks from eurozone government bonds and government-guaranteed secur- ities can be found on page 131 f.
4120
Period to maturity of government bonds and government-guaranteed securities of Irish, Italian,
and Spanish issuers according to carrying amounts1
€m Ireland Italy Spain Total
Up to one year 16 146 217 379
Over one year and up to two years – 54 49 103
Over two years and up to three years 23 91 44 158
Over three years and up to four years 168 119 113 400
Over four years and up to five years – 160 5 165
Over five years and up to ten years 684 595 198 1,477
Over ten years 253 1,468 850 2,571
Total 1,144 2,633 1,476 5,253
1 Presentation based on approximation and not fully comparable with IFRS figures.
1 Presentation essentially shows fixed-interest securities and loans, including deposits and cash at banks, at market value. The approximation is not fully comparable with IFRS figures.
2 Including other public-sector issuers and government-guaranteed bank bonds.
Total: €194bn (178bn)
Fixed-interest portfolio by economic category1
48% (48%) Government bonds2
Thereof: 7% (7 %) inflation-linked bonds 28% (28%) Pfandbriefs/Covered bonds 10% (10%) Corporate bonds
4% (4%) Cash positions/other
4% (3 %) Structured products (credit structures) 3% (4%) Bank bonds
Fixed-interest securities: Bank bonds1
% 31.12.2012 Prev. year
Senior bonds 82 82
Loss-bearing bonds 6 7
Subordinated bonds 12 11
1 Presentation essentially shows fixed-interest securities and loans at market value. The approximation is not fully comparable with the IFRS figures.
We further reduced our limited investments in bank bonds to 3% (4%) of our portfolio of fixed-interest securities. At the reporting date, our proportion of bank bonds from southern European states and Ireland totalled only 5% of our bank bond holdings. Overall, senior bonds dominated, i.e. bonds that are not subordinated or subject to loss participation. Subordinated bonds and loss-bearing bonds made up only 1% of our fixed-interest portfolio. Nearly half our total receivables from banks related to deposits. Our portfolio of structured credit products (which are chiefly held by our reinsurers) grew by €1.3bn to €7.5bn. This asset class refers to securitised receiv ables (asset- backed securities or mortgage-backed securities), e.g. securitisations of real estate finance, consumer credit or student loans. Around 62% of our portfolio of asset- and mortgage-backed securities have a rating of AAA.
In the current environment of low interest rates and higher volatility, our active duration management also helps reduce risk. Although the average durations of fixed-interest investments exceed those of liabilities in reinsurance, the durations of fixed-interest items in primary insurance are shorter than those of liabilities. On balance, this diversi- fication in opposite positions allows us to reduce the interest-rate risk for the Group as a whole.
The carrying amount of our equity portfolio (before taking derivatives into account, and including investments in affiliated companies and associates at market value) was €8.4bn (6.7bn), or 3.7% (3.2%) of our total investments. In the second half of 2012, we disposed of large portions of the derivatives used to hedge this equity portfolio. At the reporting date, our equity exposure after hedging thus increased to 3.4% (2.0%) of our total investments.
Besides this, we are protecting ourselves against rapid inflation in an environment of continuing low interest rates. Inflation-linked bonds with a volume of €6.8bn (6.1bn) and inflation-linked swaps for a notional amount of €5.2bn (4.0bn), real assets like shares, property and commodities, and investments in renewable energies and infra- structure also have a positive diversification effect on the overall portfolio.
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