SEC Form 20-F - Deutsche Bank Annual Report 2012

Deutsche Bank Additional Notes F-167
Annual Report 2010 on Form 20-F 39 – Insurance and Investment Contracts
Carrying Amount
The following table presents an analysis of the change in insurance and investment contracts liabilities.
in € m.
Insurance
contracts
Investment
contracts
2010 2009
Insurance
contracts
Investment
contracts
Balance, beginning of year 4,613 7,278 3,963 5,977
New business 257 153 121 171
Claims/withdrawals paid (463) (609) (285) (549)
Other changes in existing business 331 843 427 1,145
Exchange rate changes 161 233 387 534
Balance, end of year 4,899 7,898 4,613 7,278
Other changes in existing business for the investment contracts of € 843 million and € 1,145 million are
principally attributable to changes in the underlying assets’ fair value for the years ended December 31, 2010
and December 31, 2009, respectively.
Key Assumptions in relation to Insurance Business
The liabilities will vary with movements in interest rates, which are applicable, in particular, to the cost of
guaranteed benefits payable in the future, investment returns and the cost of life assurance and annuity
benefits where future mortality is uncertain.
Assumptions are made related to all material factors affecting future cash flows, including future interest rates,
mortality and costs. The assumptions to which the long term business amount is most sensitive are the interest
rates used to discount the cash flows and the mortality assumptions, particularly those for annuities.
The assumptions are set out below:
Interest Rates
Interest rates are used that reflect a best estimate of future investment returns taking into account the nature
and term of the assets used to support the liabilities. Suitable margins for default risk are allowed for in the
assumed interest rate.
Mortality
Mortality rates are based on published tables, adjusted appropriately to take into account changes in the
underlying population mortality since the table was published, company experience and forecast changes
in future mortality. If appropriate, a margin is added to assurance mortality rates to allow for adverse future
deviations. Annuitant mortality rates are adjusted to make allowance for future improvements in pensioner
longevity. Improvements in annuitant mortality are based on a percentage of the medium cohort projection
subject to a minimum of rate of improvement of 1.25 % per annum.
Costs
For non-linked contracts, allowance is made explicitly for future expected per policy costs.