9. Available-for-sale securities


Type of investment

Cost

Fluctuation in value not recognised in profit or loss

Accumulated valuation allowances

Exchange differences through profit or loss

Fair values

in € thousand

31/12/2014

31/12/2013

31/12/2014

31/12/2013

31/12/2014

31/12/2013

31/12/2014

31/12/2013

31/12/2014

31/12/2013

Shares in affiliated companies

21,708

17,587

0

0

0

0

0

0

21,708

17,587

Equity

48,393

134,805

4,278

99,297

–22,155

–21,578

0

0

30,516

212,524

Equity funds

267,141

271,512

29,567

32,889

–19,386

–18,926

0

0

277,322

285,475

Bonds not capital-guaranteed

27,812

207,731

–122

–840

–11,842

–24,903

0

0

15,848

181,987

Other variable-income securities

30,097

34,094

–3,696

–32

0

0

0

0

26,402

34,063

Equity investments and other investments

217,430

139,759

65,833

10,909

–29,869

–18,495

0

0

253,394

132,174

Fixed-income securities

16,647,139

15,143,349

1,536,105

335,193

–190,599

–246,556

23,677

–95,741

18,016,323

15,136,246

Total

17,259,720

15,948,837

1,631,966

477,417

–273,851

–330,458

23,677

–95,741

18,641,512

16,000,055

Type of investment

Accumulated valuation allowances

of which
prior year cumulative

of which
current year

in € thousand

31/12/2014

31/12/2013

31/12/2014

31/12/2013

31/12/2014

31/12/2013

Shares in affiliated companies

0

0

0

0

0

0

Equity

–22,155

–21,578

–20,611

–11,109

–1,543

–10,470

Equity funds

–19,386

–18,926

–18,024

–12,985

–1,362

–5,941

Bonds not capital-guaranteed

–11,842

–24,903

–8,436

–14,403

–3,406

–10,500

Other variable-income securities

0

0

0

0

0

0

Equity investments and other investments

–29,869

–18,495

–16,007

–15,407

–13,862

–3,088

Fixed-income securities

–190,599

–246,556

–180,485

–207,349

–10,114

–39,208

Total

–273,851

–330,458

–243,564

–261,252

–30,287

–69,206

Type of investment

Change in valuation allowance current year

of which impairment/ reversal of impairment loss through profit or loss

of which change due to disposal

Reversal of impairment loss – equity

in € thousand

31/12/2014

31/12/2014

31/12/2014

31/12/2014

Shares in affiliated companies

0

0

0

0

Equity

–576

–1,543

945

22

Equity funds

–461

–1,362

703

198

Bonds not capital-guaranteed

13,061

–3,406

16,467

0

Other variable-income securities

0

0

0

0

Equity investments and other investments

–11,374

–13,862

2,488

0

Fixed-income securities

55,957

–10,114

66,071

0

Total

56,607

–30,287

86,674

220

Change in equity

Recognised directly in equity

Withdrawal through profit or loss1)

Change in unrealised gains/losses

in € thousand

31/12/2014

31/12/2013

31/12/2014

31/12/2013

31/12/2014

31/12/2013

1)

Withdrawals through profit or loss due to disposals and impairments.

2)

Including reclassified securities.

Other available-for-sale securities2)

 

 

 

 

 

 

Gross

1,318,234

–170,192

–174,736

–239,082

1,143,498

–409,274

Deferred tax

–127,346

21,194

11,112

28,104

–116,234

49,299

Deferred profit participation

–893,479

76,778

98,135

150,511

–795,344

227,290

Proportion of non-controlling interests

1,326

158

399

428

1,725

586

Net

298,735

–72,062

–65,090

–60,038

233,645

–132,099

Hierarchy for instruments that are reported in the statement of financial position at current fair value

The table below depicts the financial instruments for which subsequent valuation is performed at the current market value.

Assets at fair value

Level 1

Level 2

Level 3

Group total

in € thousand

31/12/2014

31/12/2014

31/12/2014

31/12/2014

1)

See Table 10 for details

Available-for-sale securities

14,164,806

3,852,616

624,090

18,641,512

Shares in affiliated companies

103

21,593

12

21,708

Shares

6,908

23,285

323

30,516

Equity funds

224,880

52,442

0

277,322

Bonds not capital-guaranteed

3,506

12,342

0

15,848

Other variable-income securities

0

26,402

0

26,402

Equity investments and other investments

0

59,359

194,035

253,394

Fixed-income securities

13,929,409

3,657,195

429,719

18,016,323

Assessed at fair value through profit or loss

158,976

295,468

8,191

462,635

Derivative financial instruments1)

0

89,851

0

89,851

Total

14,323,782

4,237,935

632,281

19,193,998

No transfers between Levels 1 and 2 took place during the reporting period. The entire portfolio of asset-backed securities was classified as Level 3 within fixed-income securities. Other shares and equity investments (RZB shares) for which there is a valuation report were also classified in Level 3. Otherwise, there are no other Level 3 assets as at 31 December 2014.

Assets at fair value

Level 1

Level 2

Level 3

Group total

in € thousand

31/12/2013

31/12/2013

31/12/2013

31/12/2013

1)

See Table 10 for details

Available-for-sale securities

13,266,081

2,006,732

727,242

16,000,055

Shares in affiliated companies

175

17,400

12

17,587

Shares

13,868

21,663

176,993

212,524

Equity funds

260,289

25,185

1

285,475

Bonds not capital-guaranteed

7,946

174,042

0

181,987

Other variable-income securities

0

34,063

0

34,063

Equity investments and other investments

1,119

61,527

69,527

132,174

Fixed-income securities

12,982,685

1,672,853

480,708

15,136,246

Assessed at fair value through profit or loss

182,152

382,768

5,718

570,638

Derivative financial instruments1)

561

64,519

0

65,079

Total

13,448,794

2,454,019

732,959

16,635,773

There were also no transfers made between Levels 1 and 2 in the previous year. The entire portfolio of asset-backed securities was classified as Level 3 within fixed-income securities. Other shares (RZB shares) and equity investments for which there is a valuation report were also classified in Level 3. Otherwise there are no other Level 3 assets as at 31 December 2013.

Reconciliation of Level 3 fair value measurements for financial assets:

Level 3 assets at fair value

Available-for-sale securities

Assessed at fair value through profit or loss

Derivative financial instruments

Total

in € thousand

At 1/1/2014

727,242

5,718

0

732,959

Foreign exchange differences

–1

0

0

–1

Total gains/losses included in income statement

24,244

1,762

0

26,006

Total gains/losses included in equity (revaluation reserve)

–6,404

0

0

–6,404

Purchases

7,864

901

0

8,766

Sales

–128,993

–52

0

–129,045

Issues

0

0

0

0

Redemptions

0

0

0

0

Amounts carried forward

138

–138

0

0

At 31/12/2014

624,090

8,191

0

632,281

The sensitivity analysis is mainly concerned with the ABS portfolio and the RZB shares.

The sensitivity analysis of the ABS portfolio with regard to a rise or a fall in the default rates in the investments underlying the ABS structures is based on the forecast values from Moody’s Investors Service.

The sensitivities for these model-based analyses of the securities are also determined using Moody’s default scenarios. According to Moody’s, these default scenarios correspond to the 10 per cent quantile or the 90 per cent quantile of the distribution function of the defaults.

Sensitivity analysis ABS 2014

Upside

Downside

in € thousand

 

 

Total gains/losses

195

–1,245

Through profit or loss

65

–260

Through equity

130

–985

The sensitivity analysis of the RZB shares was determined in the course of a valuation report and relates to a change in the discount interest rate and the increase or decrease in the growth rate.

Sensitivity analysis RZB 2014

Upside

Downside

in € thousand

 

 

Effect of changes in the discount insurance rate (+/–1 per cent)

18,600

–14,900

Through profit or loss

0

0

Through equity

18,600

–14,900

Effect of changes in the growth rate (+/–1 per cent)

300

–400

Through profit or loss

0

0

Through equity

300

–400

Level 3 assets at fair value

Available-for-sale securities

At fair value through profit or loss

Derivative financial instruments

Total

in € thousand

As at 1/1/2013

598,483

4,659

0

603,143

Foreign exchange differences

11

0

0

11

Total gains/losses included in income statement

–19,916

1,047

0

–18,869

Total gains/losses included in equity (revaluation reserve)

10,393

0

0

10,393

Purchases

2,858

386

0

3,244

Sales

–147,400

0

0

–147,400

Issues

0

0

0

0

Redemptions

‑2

–100

0

–103

Amounts carried forward

282,815

–274

0

282,541

At 31/12/2013

727,242

5,718

0

732,959

The sensitivity analysis is mainly concerned with the ABS portfolio and the RZB shares.

The sensitivity analysis of the ABS portfolio with regard to a rise or a fall in the default rates in the investments underlying the ABS structures is based on the forecast values from Moody’s Investors Service.

The sensitivities for these model-based analyses of the securities are also determined using Moody’s default scenarios. According to Moody’s, these default scenarios correspond to the 10 per cent quantile or the 90 per cent quantile of the distribution function of the defaults.

Sensitivity analysis ABS 2013

Upside

Downside

in € thousand

 

 

Total gains/losses

300

–2,300

Through profit or loss

0

–2,800

Through equity

300

500

The sensitivity analysis of the RZB shares was determined in the course of a valuation report and refers to a change in the discount interest rate and the increase or decrease of the growth rate.

Sensitivity analysis RZB 2013

Upside

Downside

in € thousand

 

 

Effect of changes in the discount insurance rate (+/–1 per cent)

15,500

–13,600

Through profit or loss

0

0

Through equity

15,500

–13,600

Effect of changes in the growth rate (+/–1 per cent)

13,600

–9,700

Through profit or loss

0

0

Through equity

13,600

–9,700

Default risk rating

31/12/2014

in € thousand

 

Issuer countries

 

Equity securities

 

IE, NL, UK, US

92,286

AT, BE, CH, DE, DK, FR, IT

75,889

ES, FI, NO, SE

0

Remaining EU

106,859

Other countries

32,803

Issuer countries equity securities total

307,837

Other equity investments

253,394

Total variable-income securities

561,231

© UNIQA Group 2015