4.4 Legal risk - Scor

In 2012, the decrease of EUR 337 million during the year results from sales of short term investments and increased funds
held by ceding companies.
Short term investments are carried at fair value. Other loans and receivables are carried at cost which approximates to the
fair value at 31 December 2012 and 2011.
20.1.6.8 NOTE 8 - DERIVATIVE INSTRUMENTS
Derivative financial instruments include the following items:
Derivative assets
Derivative liabilities
Fair value through
income
Gains or losses
recognised through
other
comprehensive
income
In EUR million 2012 2011 2012 2011 2012 2011 2012 2011
Atlas V & VI 81 130 - - (49) (31) - -
Mortality swaps - - - - - (6) - -
Real estate swaps - - - 1 - 2 - -
Interest rate swaps - - 36 24 (1) (4) (12) (21)
Currency swaps 9 15 - - - - (13) -
Other 22 13 4 27 (3) - - -
TOTAL 112 158 40 52 (53) (39) (25) (21)
ATLAS SPECIAL PURPOSE VEHICLE CATASTROPHE BONDS
On 19 February 2009, SCOR reopened the market for catastrophe bonds (an insurance-linked security) with the issue of the
three series “Atlas V" catastrophe bonds. The multi-year property catastrophe agreements concluded between SCOR and
Atlas V Capital Limited (“Atlas V") provided the Group with additional protection of USD 200 million for exposures to
earthquakes and hurricanes in the U.S. and Puerto Rico. Events were covered for the risk period from 20 February 2009 to
19 February 2012.
On 9 December 2009, SCOR completed the EUR 75 million Atlas VI transaction, replacing Atlas Reinsurance III. Atlas VI
provides EUR 75 million of protection against European windstorms and Japanese earthquakes risks until 31 March 2013.
On 9 December 2010, SCOR successfully placed a new catastrophe bond (“Cat bond”), Atlas VI Capital Limited Series
2010-1, which provides the Group with EUR 75 million of protection against European windstorms and Japanese
earthquakes for a risk period extending from 10 December 2010 to 31 March 2014. This transaction succeeds Atlas IV
Reinsurance Limited, which matured on 31 December 2010 and provides similar geographical cover of EUR 160 million.
On 12 December 2011 SCOR successfully placed a new catastrophe bond (“Cat bond”), Atlas VI Capital Limited Series
2011-1 and 2011-2, whichprovides the Group with USD 270 million of protection against US Hurricanes and Earthquakes
and EUR 50 million of protection against European windstorms, for a risk period extending from 13 December 2011 to 31
December 2014 for the US series and 31 March 2015 for the European series. This transaction will succeeded Atlas V
Capital Limited, which matured on 24 February 2012 and provides similar geographical cover as Series 2011-1 for an
amount of USD 200 million.
Atlas V & VI are special-purpose vehicles incorporated under the laws of Ireland and their notes are placed with various
institutional investors. In accordance with IAS 39 “Financial Instruments recognition and measurement”, due to the absence
of an ultimate net loss clause, these instruments have been recognized as derivative instruments, which are fully funded by
the proceeds of the vehicles. They are considered as balance sheet protection.
Valuation and presentation
Amounts are recorded in the balance sheet representing the derivative asset recognized at fair value through P&L and other
liabilities representing the value interest payments. SCOR values the derivative asset using a model that is based on a
combination of market inputs to the extent that trades in these instruments are active and catastrophic modelling tools.
These assets are disclosed as level 3 investments within insurance business investments (see Note 6 – Insurance business
investments).
Amounts recorded in the statement of income include transaction costs that are expensed at inception as financing
expense. The changes in fair value through income as presented above are recognized as other operating expenses or
other operating income.
Premiums related to the underlying business are accounted for in accordance with IFRS 4 “Insurance Contracts”.
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