|
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 |
of which |
|||
|
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 |
||||
|
||||||||||
|
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 |
||
|
||||||
|
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 |
||
|
||||||
|
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 |
