talanx group annual report 2011 en

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232 Financial statements Notes General information Maturities of derivative financial instruments Figures in EUR million Interest rate hedges Talanx Group. Annual Report 2011 Accounting principles and policies Segment reporting Consolidation, business combinations Non-current assets held for sale and disposal groups In the financial year just ended, derivative financial instruments – excluding derivatives used as hedging instruments – produced an unrealised loss of –EUR 13 (–20) million; the result realised on positions closed in 2011 amounted to EUR 3 (–21) million. The fair values of our open derivative positions including the relevant nominal values as at the balance sheet date are shown below, differentiated according to risk types and maturities. Positive and negative fair values are netted in the table. Open positions from derivatives therefore existed in the amount of –EUR 89 (–154) million at the balance sheet date, corresponding to 0.08 (0.1)% of the balance sheet total. Due in one year Due after one through five years Due after five through ten years Due after ten years Other 31.12.2011 31.12.2010 Fair value –16 –27 1 –10 — –52 –129 Notional values Currency hedges 595 2,307 58 33 — 2,993 2,288 Fair value 3 –12 –5 — –2 –16 –34 Notional values Equity and index hedges 207 151 22 — 28 408 111 Fair value –2 6 — — — 4 –6 Notional values Inflation hedges — 62 — — — 62 1 Fair value — –15 –6 — — –21 –31 Notional values Derivatives in connection with insurance contracts — 2,868 309 — — 3,177 2,535 1) Fair value Other risks — — — — –5 –5 46 Fair value — — 1 — — 1 — Notional values Total hedges — –4 1 — — –3 — Fair value –15 –48 –9 –10 –7 –89 –154 Notional values 802 5,384 390 33 28 6,637 4,935 1) The financial instruments relate exclusively to derivatives in connection with reinsurance business which, under IFRS 4, are to be separated from the underlying insurance contract and recognised separately. In view of the characteristics of these derivatives, a maturity disclosure/presentation of nominal values is not reasonably possible and has therefore been omitted. These derivatives are recognised at fair value In the year under review the Group acquired derivative financial instruments in the reinsurance sector to hedge inflation risks within the loss reserves. These transactions resulted in the recognition of negative fair values of EUR 21 (31) million (balance sheet item 26 “Other liabilities”).
Nature of risks Notes on the balance sheet – assets Notes on the balance sheet – liabilities Notes on the statement of income Other information List of shareholdings Hedge accounting In the context of hedge accounting, the Group seeks to compensate for the changes in value/ changes in cash flows of an underlying transaction caused by changes in market price by taking out a hedging instrument (derivative), the changes in value or changes in cash flows of which develop along approximately opposite lines. Hedging is carried out on the level of individual transactions (micro hedge). On closing of the transaction, we document the hedge relationship between the underlying and the hedging instrument, the purpose of risk management and the underlying hedging strategy. In addition, at the outset of the hedge relationship we document our assessment of the extent to which the hedging instruments are effective in offsetting the corresponding changes of the underlying. Proof of the effectiveness of the hedge relationships has been furnished. Fair value hedges In order to hedge changes in the fair value of equities (underlyings), the Group designated equity swaps as hedging derivatives. Under these fair value hedges, the changes in the fair value of the derivative are recognised with the changes in the fair value of the underlying allocable to the hedged risk in the investment income. In the year under review, losses of –EUR 6 million from the under lying transactions and gains of EUR 5 million from the hedging derivatives were recognised in income for the fair value hedges. There was no ineffectiveness in the case of these hedges. Cash flow hedges The Group uses interest rate swaps in the context of cash flow hedges relating to certain floatingrate commitments (underlyings) against the associated interest rate risk. The plain vanilla interest rate swaps serve to protect against adverse effects in the net profit or loss for the period in the event of rising interest rates. The interest payments received from the swaps (floating rates) are opposed by interest payments in the same amount in connection with the liabilities; in addition, the Group undertakes to make fixed interest payments to the swap partners. The selection of highly rated counterparties ensures that we avoid entering into a significant credit risk. The floating rate varies according to the 3-month EURIBOR. In addition, the Group hedged future transactions that are very likely to occur against the interest rate risk. In this connection, valuation units are established consisting of forward transactions in securities (forward purchases) and planned securities purchases. The forward purchases are used to hedge the risk associated with already firm future reinvestments, namely that it may be possible in future to generate only low returns on reinvestments due to falling interest rates. The underlying in relation to the hedging instruments is the future investment at the then applicable returns/rates. IAS 39 provides for the hedging of planned transactions to be captured as cash flow hedges. The effective part of the hedging instruments measured at fair value is recognised directly in equity in the cash flow hedge reserve after allowance for deferred taxes. The ineffective part of such changes in value, on the other hand, is booked directly in the statement of income in the investment income – in the case of effective hedging of floating-rate liabilities in other income/expenses. The underlying continues to be measured at amortised cost in accordance with allocation to the category pursuant to IAS 39.9. If the hedged transactions result in the recognition of financial assets, the amounts carried in shareholders’ equity are amortised over the maturity period of the acquired asset. Talanx Group. Annual Report 2011 233
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Group Annual Report 2011 Straightfo
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OuR VISION Talanx is the leading gl
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Our brands HDI-Gerling focuses part
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By contrast with the technical acco
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Dr. Heinz-Peter Roß Torsten Leue D
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Supervisory Board Committees Compos
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A further focus of our deliberation
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The annual financial statements are
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You can stand and work better on a
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Re-launch with a modern and efficie
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Forward together with a goal-orient
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under its own power and through acq
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Our targets: ambitious, but achieva
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Our premium volume has risen steadi
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Our target: to be fit for the futur
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Group management report. Detailed i
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Overall assessment of the economic
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Our Locations Argentina L’UNION d
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Italy Hannover Re Services Italy S.
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Glossary. A-C Accumulation risk Und
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L-P Lapse rate for life insurance p
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Index of key terms Acquisitions Cen
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ie Ireland. Hannover Life Re (Irela
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