Annual Report 2012 - Swiss Life

In CHF million
AAA AA A BBB Below BBB Not rated Total
In CHF million
AAA AA A BBB Below BBB Not rated Total
157 Consolidated Financial Statements
Exposure to credit risk OF OTHER ASSETS
Credit rating as at 31 December 2012
Cash and cash equivalents 2 089 422 1 084 50 0 68 3 714
Derivatives 111 94 962 2 – 466 1 636
Reinsurance assets 0 121 189 9 – 50 369
Total 2 200 638 2 235 61 0 585 5 719
Credit rating as at 31 December 2011
Cash and cash equivalents 883 334 1 207 96 0 118 2 638
Derivatives 185 30 900 1 – 202 1 318
Reinsurance assets – 114 186 12 – 68 380
Total 1 068 478 2 293 109 0 388 4 336
Exposure to credit risk OF UnRECOGNISED ITEMS
Credit rating as at 31 December 2012
Financial guarantees – – – – – 54 54
Loan commitments – – – – – 149 149
Total – – – – – 203 203
Credit rating as at 31 December 2011
Financial guarantees – – – – – 130 130
Loan commitments – – – – – 119 119
Total – – – – – 249 249
Currency risk
The Swiss Life Group operates internationally and its exposures to currency risk primarily arise with
respect to the euro, US dollar and British pound. Most of the investments and liabilities are denominated
in Swiss francs, euros and US dollars, the values of which are subject to exchange rate fluctuations.
The Group operates with various functional currencies (predominantly Swiss francs and euros). Its
financial position and earnings could be significantly affected by a weakening of said foreign currencies
against the Swiss franc.
The Swiss Life Group’s European insurance and investment operations (excluding Switzerland) generally
invest in assets denominated in the same currency as their insurance and investment contract
liabilities, which mitigates the currency risk for these operations. As a result, currency risk arises from
recognised assets and liabilities denominated in other currencies and net investments in foreign operations.
Although the Swiss Life Group actively engages in currency management to reduce the effect
of exchange rate fluctuations on its assets and liabilities, particularly by hedging against the risk of
such movements in relation to part of its investments denominated in euros and in US dollars, significant
movements in exchange rates could adversely affect the Swiss Life Group’s earnings and financial
position, including the value of its investment portfolio. Foreign exchange exposure is hedged to a
large extent in line with the strategic asset allocation. The Group’s hedging arrangements are directed
Swiss Life – Annual Report 2012