Annual Report 2012 - Swiss Life

152 Consolidated Financial Statements
mum thresholds apply with regard to permitted investments in non-government bonds. For investments
in government bonds with a rating lower than AA- (according to Standard & Poor’s or equivalent)
and non-government bonds additional exposure limits are in place. For certain businesses, credit risk
is monitored and controlled with a risk limit framework whereby maximum limits are reviewed and
approved at least annually. The majority of the bond portfolio is invested in government bonds
(including supranational and sovereigns) and bonds issued by the financial sector covered by collateral
or government guarantees.
Maximum exposure to credit risk
In CHF million For the account and risk of the For the account and risk of the
swiss Life Group Swiss Life Group’s customers Total
31.12.2012 31.12.2011 31.12.2012 31.12.2011 31.12.2012 31.12.2011
Debt securities
Debt securities at fair value through profit or loss 694 1 906 5 526 6 083 6 220 7 989
Debt securities available for sale 78 670 64 883 – – 78 670 64 883
Debt securities held to maturity – 5 046 – – – 5 046
Debt securities pledged as collateral 964 969 – – 964 969
Debt securities classified as loans 6 932 8 608 – – 6 932 8 608
Total debt securities 87 259 81 412 5 526 6 083 92 785 87 495
Loans and receivables
Mortgages 5 464 5 123 – – 5 464 5 123
Policy and other originated loans 1 247 1 708 – – 1 247 1 708
Note loans 7 970 8 176 – – 7 970 8 176
Receivables 3 876 3 587 – – 3 876 3 587
Total loans and receivables 18 556 18 594 – – 18 556 18 594
Other assets
Cash and cash equivalents 3 714 2 638 2 767 2 446 6 480 5 084
Derivatives 1 636 1 318 – – 1 636 1 318
Reinsurance assets 369 380 – – 369 380
Total other assets 5 719 4 336 2 767 2 446 8 486 6 782
Unrecognised items
Financial guarantees 54 130 – – 54 130
Loan commitments 149 119 – – 149 119
Total unrecognised items 203 249 – – 203 249
Total exposure to credit risk 111 737 104 591 8 293 8 529 120 030 113 120
Swiss Life – Annual Report 2012