Annual Report 2012 - Swiss Life

175 Consolidated Financial Statements
9 Derivatives
In CHF million Fair value assets Fair value liabilities Contract/notional amount
31.12.2012 31.12.2011 31.12.2012 31.12.2011 31.12.2012 31.12.2011
Currency derivatives
Forward contracts 405 400 332 689 42 536 36 506
Swaps – – 2 3 814 939
Futures 1 – 0 – 66 –
Options (over-the-counter) 43 42 31 25 1 372 6 826
Total currency derivatives 449 442 365 717 44 788 44 271
Interest rate derivatives
Swaps 152 278 378 332 28 076 11 723
Futures – 26 – 1 – 256
Options (over-the-counter) 121 105 – 15 2 981 1 947
Other 589 239 7 63 9 105 6 497
Total interest rate derivatives 862 648 385 411 40 163 20 423
Equity/index derivatives
Futures 3 0 0 7 250 147
Options (exchange-traded) 322 228 88 51 8 818 2 962
Total equity/index derivatives 325 228 89 58 9 067 3 109
Other derivatives
Derivatives embedded in insurance contracts – – – 0 – 6
Other – – 0 – 25 –
Total other derivatives – – 0 0 25 6
Total derivatives 1 636 1 318 839 1 186 94 043 67 809
of which derivatives designated and accounted for as hedging instruments
Derivatives designated as fair value hedges 38 0 – 2 1 901 117
Derivatives designated as cash flow hedges 589 239 5 63 9 045 6 497
Derivatives designated as net investment hedges 0 6 – – 299 365
Derivatives held for Risk Management
Derivatives held for risk management primarily comprise derivatives that share a risk with other
financial instruments and give rise to opposite changes in fair value that tend to offset each other
(“economic hedges”). The timing of the offset does not match in all cases.
To manage the risks associated with derivative activity, the Group establishes risk levels and monitors
these exposures. Exposure to price risk on both derivatives and their underlyings is managed in
accordance with risk limits set by management for buying or selling instruments or closing out positions.
The risks arise from open positions in interest rates, currencies and equity instruments, all of
which are exposed to general and specific market movements.
Derivatives designated and accounted for as hedging instruments
Derivatives designated and accounted for as hedging instruments comprise derivatives associated
with fair value hedges, cash flow hedges and net investment hedges that qualify for hedge accounting.
Swiss Life – Annual Report 2012