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Allianz Annual Report 2012

Derivative financial instruments within the ­­­Allianz Group Derivative financial instruments D 118 € mn as of 31 December 2012 2011 Maturity by notional amount Notional principal amounts Positive fair values Negative fair values Notional principal amounts Positive fair values Negative fair values Up to 1 year 1 – 5 years Over 5 years Interest rate contracts, consisting of: OTC Forwards 85 500 50 635 77 (2) 330 8 – Swaps 623 3,694 17,364 21,681 878 (431) 19,442 1,114 (744) Swaptions – 22,000 4,027 26,027 140 (65) 6,280 118 (1) Caps 20 1,263 3,691 4,974 – (14) 5,310 – (7) Floors – – – – – – 129 2 – Options 26 – – 26 5 (5) 20 – – Exchange traded Futures 1,492 – 149 1,641 4 (51) 2,039 29 (12) Forwards – 200 – 200 23 – – – – Swaps – 20 430 450 24 (39) 659 13 (43) Options – – – – – – 3262 – – Subtotal 2,246 27,677 25,711 55,634 1,151 (607) 34,535 1,284 (807) Equity/Index contracts, consisting of: OTC Forwards 1,131 – 50 1,181 89 (236) 1,447 240 (131) Swaps 3,795 – 1,412 5,207 27 (88) 3,916 72 (64) Floors 2 – – 2 – (2) 3 1 (1) Options 1 81,236 1,100 2,915 85,251 278 (4,714) 88,7282 553 (5,044) Warrants – – 1,225 1,225 – (66) 1,240 – (13) Exchange traded Futures 5,653 – – 5,653 13 (20) 5,606 23 (19) Forwards 13 – – 13 – – – – – Options 3,631 – 149 3,780 29 (17) 2,639 33 (27) Warrants 1,225 6 – 1,231 84 – 1,254 16 – Subtotal 96,686 1,106 5,751 103,543 520 (5,143) 104,833 938 (5,299) Foreign exchange contracts, consisting of: OTC Futures 206 458 – 664 2 (11) 357 1 (12) Forwards 21,062 196 78 21,336 287 (45) 29,359 226 (674) Swaps 33 48 94 175 5 (3) 436 20 (9) Options 11 2 – 13 – – 914 12 – Subtotal 21,312 704 172 22,188 294 (59) 31,066 259 (695) Credit contracts, consisting of: OTC Swaps 159 1,494 259 1,912 15 (48) 1,330 39 (44) Exchange traded Swaps – – 6 6 3 – 212 6 – Subtotal 159 1,494 265 1,918 18 (48) 1,351 45 (44) Real Estate contracts, consisting of: OTC Forwards – 291 – 291 10 – – – – Options – 6 – 6 1 – – – – Subtotal – 297 – 297 11 – – – – Total 120,403 31,278 31,899 183,580 1,994 (5,857) 171,785 2,526 (6,845) 1 As of 31 December 2012, includes embedded derivatives related to equity-indexed annuities with negative fair values of € (3,578) mn (2011: € (3,513) mn). 2 Includes a correction of the determination of the notional amounts for a sub-portfolio ­(increases the notional amount by a total of € 58,492 MN). Annual Report 2012    Allianz Group D Consolidated Financial Statements 219 Consolidated Balance Sheets 220 Consolidated Income Statements 221 Consolidated Statements of Comprehensive Income 222 Consolidated Statements of Changes in Equity 223 Consolidated Statements of Cash Flows 226 Notes to the Consolidated Financial Statements 325

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