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Allianz Annual Report 2013

D Consolidated Financial Statements 127 Consolidated Balance Sheets 128 Consolidated Income Statements 129 Consolidated Statements of Comprehensive Income 130 Consolidated Statements of Changes in Equity 131 Consolidated Statements of Cash Flows 134 Notes to the Consolidated Financial Statements Annual Report 2013    Allianz Group 205 Other Information 43  – Derivative financial instruments Derivative financial instruments € mn as of 31 December 2013 2012 Maturity by notional amount Notional principal amounts Positive fair values Negative fair values Notional principal amounts Positive fair values Negative fair valuesUp to 1 year 1 – 5 years Over 5 years Interest rate contracts, consisting of: OTC Forwards 774 671 160 1,605 77 (14) 635 77 (2) Swaps 530 4,437 19,204 24,171 342 (949) 21,681 878 (431) Swaptions – 25,429 5,072 30,501 404 (18) 26,027 140 (65) Caps 11 4,933 8 4,952 1 (3) 4,974 – (14) Options – – – – – – 26 5 (5) Exchange traded Futures 4,498 23 – 4,521 1 (44) 1,641 4 (51) Forwards – – – – – – 200 23 – Swaps – – – – – – 450 24 (39) Subtotal 5,813 35,493 24,444 65,750 825 (1,028) 55,634 1,151 (607) Equity/Index contracts, consisting of: OTC Forwards 596 – 50 646 124 (10) 1,181 89 (236) Swaps 1,609 78 1,393 3,080 6 (51) 5,207 27 (88) Floors – – – – – – 2 – (2) Options  104,036 2,380 223 106,639 469 (4,671) 85,251 278 (4,714) Warrants – – 2,679 2,679 3 (143) 1,225 – (66) Exchange traded Futures 12,458 – 149 12,607 95 (109) 5,653 13 (20) Forwards 15 – – 15 – – 13 – – Options 6,316 49 1,454 7,819 61 (30) 3,780 29 (17) Warrants 1,620 7 – 1,627 126 – 1,231 84 – Subtotal 126,650 2,514 5,948 135,112 884 (5,014) 103,543 520 (5,143) Foreign exchange contracts, consisting of: OTC Futures 124 429 – 553 1 (21) 664 2 (11) Forwards 33,815 213 78 34,106 332 (74) 21,336 287 (45) Swaps 50 81 97 228 6 (7) 175 5 (3) Options 14 32 – 46 11 – 13 – – Exchange traded Futures 3 – – 3 – – – – – Subtotal 34,006 755 175 34,936 350 (102) 22,188 294 (59) Credit contracts, consisting of: OTC Swaps 263 2,014 231 2,508 26 (23) 1,912 15 (48) Floors – 1 – 1 – (1) – – – Exchange traded Swaps – – 6 6 3 – 6 3 – Subtotal 263 2,015 237 2,515 29 (24) 1,918 18 (48) Real estate contracts, consisting of: OTC Forwards – – – – – – 291 10 – Options – 6 – 6 – – 6 1 – Subtotal – 6 – 6 – – 297 11 – Total 166,732 40,783 30,804 238,319 2,088 (6,168) 183,580 1,994 (5,857)

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