Annual Report 2011 - R+V Versicherung
Annual Report 2011 - R+V Versicherung
Annual Report 2011 - R+V Versicherung
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56<br />
Notes to the balance sheet<br />
B. III. OTHER CAPITAL ASSETS – INFORMATION ON DERIVATIVE FINANCIAL INSTRUMENTS<br />
in EUR<br />
Type Nominal volumes Book value Current value<br />
Futures/registered certificates forward purchases 1 ) 1,000,000 – 8,227<br />
Futures/bearer bonds forward purchases/futures 2) 17,000,000 – 864,796<br />
1 ) Current value is calculated on the value date. SWAP and money market curve valuation parameters<br />
2 ) Stock exchange value is calculated on the value date: SWAP and money market curve valuation parameters<br />
The financial derivatives and structured products were broken<br />
down into their individual components. The derivative components<br />
were valued using recognised financial mathematical<br />
E. III. OTHER ASSETS<br />
methods on the basis of the Black 76 model, Hull-White single<br />
factor and Hull-White two factor models.<br />
in EUR <strong>2011</strong><br />
Others 314,974<br />
Status as of 31 December 314,974<br />
The amount essentially concerns operational expenses which<br />
have been paid in advance.<br />
F. II. OTHER ACCRUALS AND DEFERRALS<br />
in EUR <strong>2011</strong><br />
Premium on registered bonds 732.626<br />
Expenditure relating to subsequent years 64,687<br />
Status as of 31 December 797,313
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