ETAPA METAS ACTIVIDADES RESPONSABLES RECURSOS TIEMPO
12. MANEJO DE LOS FOCOS Y LÁMPARAS
The statement of changes in assets and investments is shown at year-end (31 Decem- ber 2012) exchange rates.
Intangible assets consist mainly of purchased insurance portfolios and software. The carrying amount of owner-occupied property totals €240m.
Of our total investments (excluding deposits retained on assumed reinsurance) with a carrying amount of €62,697m, an amount of €5,918m is deposited with ceding com panies or foreign governments or in the custody of trustees nominated by us.
AG 5005
Carrying Carrying amount Currency Write- Write- amount
31.12.2011 translation Additions Disposals ups downs 31.12.2012
€k €k €k €k €k €k €k
(1) Intangible assets 28,779 – 4,096 –4 200 –12,811 20,260
(2) Investments
Land, land rights and buildings, including
buildings on third-party land 997,707 – 30,010 –290 14,909 –23,185 1,019,151 Investments in affiliated companies and
participating interests
Shares in affiliated companies 31,971,174 –52,180 2,710,030 –1,184,640 9,503 –55,841 33,398,046 Loans to affiliated companies 151,682 1,746 722,571 –728,501 – –2,800 144,698 Participating interests 237,481 –262 35,181 –10,980 – –3,152 258,268
Loans to participating interests 24,474 723 – – – – 25,197
32,384,811 –49,973 3,467,782 –1,924,121 9,503 –61,793 33,826,209
Other investments
Shares, investment fund certificates and
other non-fixed-interest securities 5,795,929 –6,822 5,121,189 –5,171,168 72,188 –215,364 5,595,952 Bearer bonds and other fixed-interest
securities 19,769,849 101,650 15,547,282 –14,000,086 20,713 –47,691 21,391,717
Loans secured on property 1,839 – – –423 – – 1,416
Other loans 62 4 – –5 – – 61
Deposits with banks 543,159 747 – –503 – – 543,403
Miscellaneous investments 293,404 – 7,268,383 –7,234,551 – –8,099 319,137 26,404,242 95,579 27,936,854 –26,406,736 92,901 –271,154 27,851,686 Total investments (2) 59,786,760 45,606 31,434,646 –28,331,147 117,313 –356,132 62,697,046 Total (1) + (2) 59,815,539 45,606 31,438,742 –28,331,151 117,513 –368,943 62,717,306
Derivative financial instruments (derivatives) are financial contracts relating to one or more underlying assets.
Derivatives are generally valued at the acquisition cost or their fair value at the balance sheet date, whichever is the lower. A pending liability is taken into account through the posting of a provision for anticipated losses. Upfront payments are capitalised and amortised over the term.
The carrying amounts of the insurance derivatives (swap contracts, options, and deriv atives embedded in cat bonds) are derived from the market value of the related under lying assets.
One interest-rate swap (notional principal amount: €1,349m) to hedge the subordin- ated bond from the year 2007 against interest-rate risks has not been accounted for at fair value owing to its recognition as part of a hedging relationship in accordance with Section 254 of the German Commercial Code and application of the “net method”. The change in market value of the interest-rate swap is recognised in determining the result of the hedging relationship. The positive market value of the interest-rate swap at the balance sheet date was €249m. Recognised valuation methods are used to determine
AG 5010
Carrying NotionalDerivatives Balance sheet item amount Fair value principal amount €k €k €k
Equity and index risks
Short stock options Other liabilities –13 –29 468
Other provisions –23
Equity/index futures – – 239 33,894
Interest-rate risks
Interest-rate swaps Other provisions –18,447 176,066 8,020,738
Interest-rate swaps (subordinated bond) Other provisions – 248,843 1,349,050
Inflation swaps Other provisions –87,463 –63,871 5,077,221
Bund futures Other provisions –12,453 9,544 4,526,927
Currency risks
Long currency options Shares, investment fund certificates
and other non-fixed-interest securities 565 606 499,926
Short currency options Other liabilities –87 –52 12,704
Currency forwards Other provisions –199,679 –83,842 14,831,986
Currency forwards
(for CAD hedging) Other liabilities – 26,947 1,444,649
Other transactions
Insurance derivatives I (swaps) Other provisions –5,150 –5,150 534,739 Insurance derivatives II (cat bonds) Other provisions –4 579 55,801
Deferred asset items 1
Deferred liability items –13
Insurance derivatives III (long options) Other investments 1,206 1,206 45,510 Insurance derivatives III (short options) Other liabilities –479 –208 14,533
Insurance derivatives IV Other provisions –36 1,647 134,335
(Total return swaps, insurance-linked)
Weather derivatives I Other liabilities –2,446 –1,156 12,720
(Weather options, short)
Weather derivatives II – – 4,220 20,479
(Total return swaps, weather)
Single credit default swaps Other provisions –1,277 3,927 419,527
Deferred asset items 7,860
Deferred liability items –5,796
Basket credit default swaps Deferred liability items –1,156 323 50,000
The fair value of investments (excluding deposits retained on assumed reinsurance) amounts to €74,164m. The relevant carrying amount totals €62,697m. This results in valuation reserves of €11,467m for the financial year 2012.
The valuation reserves contain hidden losses of €21m from land and buildings. These are apportionable to a plant under construction. According to a current valuation assessment, however, it can be assumed that the hidden losses do not constitute a sus- tained impairment in value.
The valuation reserves additionally contain hidden losses of €9m for participating interests, apportionable to an investment holding company whose sole purpose is to hold shares in a listed company. However, due to the low trading volume involved and small free float, the stock market price of these shares is not very meaningful. No write- down has been made because the net asset value per share is higher than the stock market price and also higher than the carrying amount per underlying share in the holding company.
The valuation reserves also contain hidden losses of €8m for loans. No write- downs have been made, because the impairments in value are only temporary (the carrying amount corresponds to the loans’ redemption amount).
Derivatives Pricing method Parameters Pricing model
Equity and index risks
OTC stock options Theoretical price Listing of underlying shares Black-Scholes Effective volatilities (European)
Money-market interest rate Cox, Ross and Rubin-
Dividend yield stein (American) Equity/index futures Quoted price
Interest-rate risks
Interest-rate swaps Theoretical price Swap curve Present-value method
Money-market interest-rate curve
Inflation swaps Theoretical price Zero-coupon inflation swap rates Present-value method Swap curve
Money-market interest-rate curve
Bund futures Quoted price
Currency risks
Currency options Theoretical price At-the-money volatility Garman-Kohlhagen (European)
Currency spot rates
Money-market interest-rate curve
Currency forwards Theoretical price Currency spot rates Present-value method
Money-market interest-rate curve
Other transactions
Insurance derivatives Theoretical price Market values of the cat bonds Present-value method
Interest-rate curve
Credit default swaps Theoretical price Credit spreads Present-value method
Recovery rates ISDA CDS Standard Model
Interest-rate curve
Commodity swaps Theoretical price Listing of underlying index Index ratio calculation Commodity options Theoretical price Listing of underlying shares Black-Scholes
Effective volatilities (European) Money-market interest rate Cox, Ross and Rubin-
stein (American) Weather derivatives Theoretical price Event estimates Monte Carlo
The fair values of real estate are determined once a year, generally using the capitalised earnings value; new buildings are valued at cost at the balance sheet date. In the case of shares in affiliated companies, participating interests, equities, investment fund cer- tificates and other non-fixed-interest securities, the market prices on the balance sheet date are used if the investments concerned are listed on the stock market. If no market prices are available, we calculate the value using the discounted earnings method or use net asset values. In the case of unlisted new acquisitions, we use the acquisition cost. The fair values of fixed-interest securities listed on the stock market are determined on the basis of the market prices at the balance sheet date. In the case of fixed-interest securities not listed on the stock market, we determine the values using recognised valuation methods in accordance with the present-value principle on the basis of interest-rate curves.
At 31 December 2012, the Company held shares of more than 10% in several German and foreign investment funds.
3 Information on shareholdings
A list of all our shareholdings can be found on page 127 ff.
Investments – Fair values and valuation reserves
Carrying Valuation amounts Fair values reserves
€m 31.12.2012 31.12.2012 31.12.2012
Land, land rights and buildings, including buildings on third-party land 1,019 2,605 1,586 Investments in affiliated companies and participating interests
Shares in affiliated companies 33,398 40,514 7,116
Loans to affiliated companies 145 138 –7
Participating interests 258 500 242
Loans to participating interests 25 37 12
33,826 41,189 7,363 Other investments
Shares, investment fund certificates and other non-fixed-interest securities 5,596 6,351 755 Bearer bonds and other fixed-interest securities 21,392 23,156 1,764
Loans secured on property 1 1 0
Deposits with banks 544 544 0
Miscellaneous investments 319 318 –1 27,852 30,370 2,518 Total investments 62,697 74,164 11,467
AG 5015
Distribution received in the €m Market value Carrying amount Difference financial yearEquity funds 4,015 4,012 3 385
Bond funds 1,249 929 320 20
Total 5,264 4,941 323 405
4 Deferred items
These include €14m for a difference (as defined in Section 250 para. 3 of the German Commercial Code) in respect of the settlement amount of a liability.
5 Excess of plan assets over pension liabilities
A total settlement amount of €792m for liabilities from pension commitments is more than covered by plan assets with a total fair value of €1,026m. Netting at individual plan level results in both an excess of €247m of plan assets over pension liabilities, which has to be capitalised, and a pension provision of €13m. The acquisition costs of the assets to be netted amounts to €843m. The income from these assets and the interest income for the pension provisions and comparable long-term commitments in the financial year totalled €80m and €131m respectively.
The additional funding obligation resulting from the contract trust agreement has decreased, owing to the reduction in the IAS actuarial interest rate. The relevant expenses provisions were set up prior to the introduction of BilMoG (German Act to Modernise Accounting Law) and have therefore been maintained, in accordance with Section 67 para. 3 of the Act Introducing the German Commercial Code. The addi- tional funding obligation arises from the trust agreement to finance pension commit- ments on the basis of the defined benefit obligation as per IAS 19. The above- mentioned income derives mainly from a partial release of this expenses provision. Besides this, a small expense results from the change in the discount rate.