01 Gothaer Konzern_E_09_Umschl - Gothaer Allgemeine ...

gothaer.de

01 Gothaer Konzern_E_09_Umschl - Gothaer Allgemeine ...

[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

More magazines by this user
Similar magazines