Changes in estimates during the reporting period

The Group has refined the calculation logic for the fair values of derivatives in connection with Modified Coinsurance/Coinsurance Funds Withheld reinsurance treaties. This represents a change in an accounting estimate, which was performed in the year under review without adjustment of the comparative figures for previous years. Within the scope of the accounting of ModCo reinsurance treaties, under which securities deposits are held by the ceding companies and payments rendered on the basis of the income from certain securities of the ceding company, the interest-rate risk elements are clearly and closely related to the underlying reinsurance arrangements. Embedded derivatives consequently result solely from the credit risk of the underlying securities portfolio. We calculate the fair values of the embedded derivatives in ModCo treaties using the market information available on the valuation date on the basis of a “credit spread” method. Through refinement of the calculation logic for these derivatives, the risks from the aforementioned contracts are established on a more market-oriented basis. The derivative (balance sheet item: “Financial instruments at fair value through profit or loss”, subitem: “Financial instruments held for trading”) had a fair value of EUR 45 million as at the balance sheet date (31 December 2009: EUR 32 million). Retention of the parameters used until the first quarter of 2010 to calculate the fair values would have produced a value of EUR 27 million. The effect of this refinement of the calculation logic on the value of the derivative in future reporting periods could only have been determined with a disproportionately high effort.