01 Gothaer Konzern_E_09_Umschl - Gothaer Allgemeine ...

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Consolidated Financial Statements Investments available for sale Fixed-income securities Breakdown by rating category €million AAA 4,777.3 3,751.3 4,830.8 3,821.0 AA 1,521.5 1,326.9 1,549.6 1,339.7 A 837.9 402.3 886.2 394.8 BBB 738.0 264.9 764.9 225.0 BB 157.9 111.8 168.3 97.2 B 117.3 146.4 120.9 94.1 CCC and lower 8.0 2.3 6.9 2.3 Non-rated 715.5 222.5 717.0 219.8 Total 8,873.6 6,228.4 9,044.7 6,193.9 Concentration of default risks is avoided through strict limits for all fixed-income securities imposed by the supervisory bodies of the Gothaer Group. In addition, the amounts and ratings of individual exposures are constantly monitored to permit timely identification of possible defaults. The effective interest rates on our fixed-income securities lie between 0.0 % and 12.5 %. All valuation categories include financial instruments with variable coupons that are dependent upon market conditions or specific corporate events. Impairment Amortized cost Fair value 142 Gothaer Group Annual Report 2009 2009 2008 2009 2008 €million 2009 2008 Amortized cost before impairment 1,416.6 1,849.3 Impairment Due to significant change in creditworthiness 0.2 5.6 Due to significant decrease in fair value 83.8 266.5 Due to permanent negative fair value reserve 16.4 15.6 Due to repeated impairment of impaired investments 83.7 52.1 Amortized cost after impairment 1,232.5 1,509.5
[9] Investments measured at fair value through profit or loss Derivative financial instrument Consolidated Financial Statements Breakdown by type of investment €million Held for trading Non-fixed-income 0.0 0.0 10.4 323.2 Fixed-income 0.0 0.0 52.5 85.7 0.0 0.0 62.9 408.9 By designation Non-fixed-income 6.1 0.0 6.7 0.0 Fixed-income 0.5 4.0 0.6 3.1 6.6 4.0 7.3 3.1 Total 6.6 4.0 70.2 412.0 The Gothaer Group does not use hedge accounting within the meaning of IAS 39. All derivative financial instruments are therefore shown under investments held for trading. Derivatives are financial instruments whose value changes as a function of the changes in one or more underlying variables. Derivative financial instruments are used within the Gothaer Group for purposes of performance management and protection of investment portfolios against falling prices. In particular, forward foreign exchange contracts are used to protect against exchange rate risks and interest swaps to protect against changes in interest rates. All derivative financial instruments are recognized based on conventional option, future or swap models. Valuation models Historical cost Fair value Listed share options Quoted price — — Total return swaps Theoretical Market value of Cash value price reference instrument method Yield curve Yield swaps Theoretical Swap curve Cash value price Money market yield curve method Forward exchange Theoretical Spot rate Cash value transactions price Money market y1ield curve method Credit default swaps Theoretical Credit spreads Cash value price Recovery rates method Yield curve Gothaer Group Annual Report 2009 143 2009 2008 2009 2008 Derivative Pricing method Parameters Pricing model
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108141 - 03.2009 The Gothaer Group
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Financial Highlights The Business U
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Gothaer Versicherungsbank VVaG Grou
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Foreword Rich in tradition, but for
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Competence for small and medium siz
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Target group SMEs Target group SMEs
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Target group SMEs Healthy staff - t
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Employees: our most important resou
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Passion for performance Employees I
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Employees Personnel and management
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190 Years Gothaer brand 18 Gothaer
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Topical Subject 190 Years Gothaer b
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Topical Subject Why a strong brand
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Topical Subject Positioning since 2
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Topical Subject ASSTEL - the direct
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Management Report 28 Gothaer Group
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Management Report General Economic
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Management Report Situation of the
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Management Report Developments in l
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Management Report Developments in p
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Management Report Gross premiums wr
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Management Report Composition of in
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Management Report Consolidated prof
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Management Report Solvency Rating R
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Management Report Segmental Perform
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Management Report Gross underwritin
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Management Report Janitos Versicher
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Management Report Performance of th
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Management Report ASSTEL Lebensvers
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Management Report Performance of th
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Management Report Other Activities
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Management Report The run-off of th
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Management Report Underwriting risk
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Management Report Corporate client
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Management Report Reinsurance In 20
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Management Report Claims The follow
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Management Report Adequacy of assum
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Management Report Health segment Ge
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Management Report In order to test
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Management Report Investment risks
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Management Report Reinvestment risk
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Management Report Counterparty defa
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Management Report Shares Because of
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Management Report Scenario analysis
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Management Report Summary of the ri
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Management Report In view of fallin
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Management Report Health segment Ge
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Consolidated Financial Statements U
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Consolidated Financial Statements R
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Consolidated Financial Statements L
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Auditors’ Report We audited the c
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The financial strength ratings carr
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Gothaer Versicherungsbank VVaG Arno
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