Achmea Hypotheekbank N.V. annual report 2011

More documents

Recommendations

Info

As at 31 December 2010 In thousands of euros Level 1 Level 2 Level 3 Total Financial assets Derivative assets held for risk management - Interest rate swaps - 318,537 - 318,538 - Currency swaps - 424,515 - 424,515 - Back to back swap - - -32,584 -32,584 - 743,052 -32,584 710,469 Financial assets designated at fair value through profit or loss - Loans and advances to customers - - 413,849 413,849 - - 413,849 413,849 Financial assets held for sale - Interest-bearing securities 129,781 - - 129,781 129,781 743,052 381,265 1,254,099 Financial liabilities Derivative liabilities held for risk management - Interest rate swaps - 828,782 - 828,782 - Currency swaps - - - - - Back to back swap - - -32,584 -32,584 - 828,782 -32,584 796,198 • Level 1: Quoted prices (unadjusted) in active markets for identical assets or liabilities. • Level 2: Valuation techniques based on observable inputs, either directly (i.e. as prices) or indirectly (i.e. derived from prices). This category includes instruments valued using quoted prices in active markets for similar instruments, quoted prices for identical or similar instruments in markets that are considered less than active or valuation techniques where all significant inputs are directly or indirectly observable from market data. • Level 3: Valuation techniques using significant unobservable inputs. This category includes all instruments where the valuation technique includes inputs not based on observable data and the unobservable inputs have a significant effect on the instruments valuation. During the year 2011 no financial instruments have been transferred between the different levels. The total amount of gains and losses accounted for financial instruments with a level 3 fair value amounted to a gain of EUR 4.4 million (2010: gain of EUR 2.1 million), which was included in the statement of comprehensive income. As this effect is mitigated by the revaluation of the related derivatives the net effect in 2011 amounted to a gain of EUR 2.8 million (2010: gain of EUR 2.6 million). Although Achmea Hypotheekbank believes that its estimates of fair value are appropriate, the use of different methodologies or assumptions could lead to different measurements of fair value. For fair value measurements in Level 3 of the fair value hierarchy, changing one or more of the unobservable inputs would have the following effects: • Prepayment risk; Achmea Hypotheekbank uses a prepayment rate of 7% for its mortgage portfolio. In case the prepayment rate is increased by one percentage point the fair value of the level 3 private sector loans and advances will increase with EUR 0.1 million. A decrease of one percentage point will have an adverse effect on the fair value of EUR 0.1 million. 50
• Default rate sensitivity analysis; The fair value of financial assets, carried at fair value through profit or loss, takes into account the default rate of our counterparties. Applying our accounting policies, the table below shows the impact on our results of a change in the default rate among our mortgage borrowers. Sensitivity analysis In thousands of euros 2011 2010 Increase of 10 basis points -907 -1,042 Increase of 20 basis points -1,823 -2,077 Increase of 30 basis points -2,725 -3,105 Increase of 40 basis points -3,620 -4,126 Increase of 50 basis points -4,509 -5,139 The impact of the default rate on the calculation of the fair value of the loans and advances to customers amounts to EUR 18.9 million (2010 EUR 16.0 million). It should be noted that in case the actual differs from the estimated prepayment rate, this will also have an impact on the interest rate risk. Interest rate risk will be mitigated in line with the interest risk policy. As a result the impact on shareholders’ equity and net result is minimal. 4. Critical estimates and judgements used in applying the accounting policies Achmea Hypotheekbank makes estimates and assumptions which affect the value of assets and liabilities reported during the current financial year. The estimates and assumptions are continuously assessed and are based on historical data and future events that are considered reasonable in the circumstances. Fair value measurement The fair value of financial instruments that are not listed on an active market is assessed using valuation models. As far as practically possible, the valuation models are used in combination with observable market data. For credit risk, volatility and correlations the specific characteristics of the market in which the financial instrument is used are taken into account. Impairment of loans and advances to customers Achmea Hypotheekbank periodically evaluates whether the mortgage loans are impaired. In deciding whether an impairment loss should be recognised in the statement of comprehensive income, Achmea Hypotheekbank evaluates whether there are any observable indications of a decrease in the estimated future cash inflows of a loan portfolio, before determining the decrease for an individual loan in that portfolio. The method and assumptions used to estimate both the amount and the timing of future cash flows are reviewed periodically in order to reduce differences between estimates of losses and actual losses. Estimates used for macro hedge accounting The amortisation method for macro hedge accounting is based on the effective-interest method over the remaining term to maturity of the hedged item (ranging from 1 to 30 years). Achmea Hypotheekbank N.V. | 2011 51
Page 1: Achmea Hypotheekbank N.V. annual re
Page 4 and 5: 4 ‘Operating profit remained posi
Page 6 and 7: Capital market investors Trust agre
Page 8 and 9: Capital market investors Notes SPV
Page 10 and 11: Report of the Supervisory Board The
Page 12 and 13: 12 ‘Standard and Poor’s raised
Page 14 and 15: As part of its ongoing internal rev
Page 16 and 17: 16 ‘Excellent payment performance
Page 19 and 20: Achmea Hypotheekbank N.V. financial
Page 21 and 22: Consolidated statement of comprehen
Page 23 and 24: consolidated statement of cash flow
Page 25 and 26: Notes to the consolidated financial
Page 27 and 28: The amendments also require additio
Page 29 and 30: instruments. The amendments address
Page 31 and 32: A financial liability (or part of f
Page 33 and 34: After their initial recognition, av
Page 35 and 36: Achmea Hypotheekbank measures the c
Page 37 and 38: 3. Financial risk management 3.1 In
Page 39 and 40: As at 31 December 2010 Low Average
Page 41 and 42: Interest risk profile financial ass
Page 43 and 44: The following table presents an ana
Page 45 and 46: As at 31 December 2010 In thousands
Page 47 and 48: Qualifying capital and BIS In milli
Page 49: the credit crisis (in particular li
Page 53 and 54: As at 31 December 2010 Notional amo
Page 55 and 56: Impairment of receivables In thousa
Page 57 and 58: 13. Funds entrusted This includes a
Page 59 and 60: 17. Deferred tax assets and liabili
Page 61 and 62: Interest income In thousands of eur
Page 63 and 64: The administrative expenses mainly
Page 65 and 66: Irrevocable facilities This refers
Page 67 and 68: Interest expenses on account of loa
Page 69 and 70: statement of financial position of
Page 71 and 72: statement of changes in company equ
Page 73 and 74: Independent auditor’s report To:
Page 75 and 76: Proposal for profit appropriation I

Achmea Hypotheekbank N.V. annual report 2011

You also want an ePaper? Increase the reach of your titles

Delete template?

Save as template?