Annual Report 2012 - Swiss Life

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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
In CHF million Notes 31.12.2012 31.12.2011 177 Consolidated Financial Statements Derivatives designated as Net Investment Hedges In CHF million Amounts recognised in other Ineffectiveness recognised Fair value assets Fair value liabilities comprehensive income in profit or loss Notional amount 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 Currency forwards 0 6 – – 3 9 –1 0 299 365 Total derivatives designated as net investment hedges 0 6 – – 3 9 –1 0 299 365 In 2012 and 2011, the Group entered into forward contracts to hedge the foreign currency translation risk for a portion of its investment in AWD Holding. As at 31 December 2012, the hedged portion amounted to EUR 248 million (31.12.2011: EUR 300 million). 10 Financial Assets and Liabilities at Fair Value through Profit or Loss Financial assets designated as at fair value through profit or loss Debt securities 693 1 905 Money market instruments 1 1 Equity securities 558 796 Investment fund units – debt 1 970 780 Investment fund units – equity 869 605 Investment fund units – mixed 443 20 Hedge funds 20 113 Assets for the account and risk of the Swiss Life Group’s customers 5 22 629 19 900 Total financial assets designated as at fair value through profit or loss 27 183 24 120 Financial liabilities designated as at fair value through profit or loss Unit-linked contracts 5 20 570 18 216 Share of net assets of investment funds attributable to minority unitholders 592 566 Total financial liabilities designated as at fair value through profit or loss 21 162 18 782 Swiss Life – Annual Report 2012
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Swiss Life Group annual report 2012
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4 Facts & Figures The Swiss Life
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6 Shareholder’s Letter Dear Share
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8 Summary of Group results Summary
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Amounts in CHF million 2012 2011 +/
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12 Segment Reporting Segment Report
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14 Segment Reporting New products l
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16 Segment Reporting insurance Fran
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18 Segment Reporting insurance Germ
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20 Segment Reporting insurance inte
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22 Segment Reporting Investment Man
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24 Segment Reporting AWD The AWD Gr
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26 Corporate Governance Corporate G
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28 Corporate Governance Talanx AG,
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30 Corporate Governance decreased t
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32 Corporate Governance The accepta
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34 Corporate Governance FRANK SCHNE
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36 Corporate Governance HENRY PETER
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38 Corporate Governance The Board o
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40 Corporate Governance also regula
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42 Corporate Governance Management
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44 Corporate Governance MEMBERS OF
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46 Corporate Governance Other appoi
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48 Corporate Governance Transfer of
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50 Corporate Governance The Board o
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52 Corporate Governance COMPENSATIO
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54 Corporate Governance In the same
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56 Corporate Governance The number
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58 Corporate Governance HIGHEST TOT
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60 Corporate Governance Shareholder
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62 Corporate Governance SUPERVISORY
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64 Risk Management Risk Management
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66 Market Consistent Embedded Value
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In CHF million 2012 2011 70 Market
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In CHF million Switzerland France G
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100 Market Consistent Embedded Valu
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102 Market Consistent Embedded Valu
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104 Consolidated Financial Statemen
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In CHF million Notes 2012 2011 106
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In CHF million Notes 31.12.2012 31.
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In CHF million 2012 2011 110 Consol
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Page 158 and 159: In CHF million CHF EUR USD GBP JPY
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Page 194 and 195: In CHF million 2012 2011 194 Consol
Page 204 and 205: Number of shares 2012 2011 204 Cons
Page 208 and 209: In CHF million 2012 208 Consolidate
Page 210 and 211: In CHF million 01.04.2011 210 Conso
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226 Swiss Life Holding Financial St
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In CHF million 2012 2011 228 Swiss
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As % of total share capital 31.12.2
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In CHF million 2012 2011 232 Swiss
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250 Share Performance and Historica
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252 Contacts and Publishing Details
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130 286 The future starts here. Swi
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Annual Report 2012 - Swiss Life

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