Annual Report 2012 - Swiss Life

176 Consolidated Financial Statements
Derivatives designated as fair value hedges
In CHF million Gains/losses on hedging Gains/losses on hedged
Fair value assets Fair value liabilities instruments items Contract/notional amount
Interest rate risk
31.12.2012 31.12.2011 31.12.2012 31.12.2011 31.12.2012 31.12.2011 31.12.2012 31.12.2011 31.12.2012 31.12.2011
Interest rate swaps to hedge
available-for-sale bond portfolios 37 – – – 23 –154 –24 154 1 829 –
Interest rate swaps to hedge
note loans – – – – – –42 – 40 – –
Foreign currency risk
Currency forwards to hedge
investments in hedge funds 1 0 – 2 1 –4 –2 4 72 117
Total derivatives designated
as fair value hedges 38 0 – 2 24 –200 –26 198 1 901 117
The Swiss Life Group uses interest rate swaps to hedge available-for-sale fixed-rate bonds in USD
against changes in the fair value attributable to interest rate risk. The nominal amount of these
bonds as at 31 December 2012 was USD 2 billion.
Forward contracts are used as hedging instruments to protect investments in hedge funds against
adverse movements in euro and US dollar exchange rates.
Derivatives designated as Cash Flow hedges
In CHF million Amounts Ineffective- Cash flows
recognised ness Amounts Cash flows expected
in other recognised transferred Contract/ expected to affect
Fair value Fair value comprehen- in to notional to occur profit or loss
assets liabilities sive income profit or loss profit or loss amount (year) (year)
31 December 2012
Interest rate risk
Forward starting swaps/bonds 589 5 408 – – 9 045 2014-2022 2014-2047
Total derivatives designated as cash flow hedges 589 5 408 – – 9 045 n/a n/a
31 December 2011
Interest rate risk
Forward starting swaps/bonds 239 63 175 – – 6 497 2014–2021 2015–2045
Foreign currency risk
Currency futures – – 0 0 –2 – 2011 2011
Total derivatives designated as cash flow hedges 239 63 175 0 –2 6 497 n/a n/a
In 2011 and 2012, the Group used forward starting swaps and forward starting bonds to hedge the
exposure to variability in interest cash flows arising on the highly probable purchase of bonds in order
to achieve an adequate yield level for reinvestments.
In 2011, the Group entered into futures to hedge the cash flows in euro arising from policy fees earned
on investment and unit-linked contracts against foreign currency movements. In 2011, CHF 2 million
was transferred to the income statement and was included in policy fees earned on investment and
unit-linked contracts.
Swiss Life – Annual Report 2012