Siemens 2013 Annual Report Download - page 315

253 D. Consolidated Financial Statements 357 E. Additional Information
254 D.1 Consolidated Statements of Income
255 D.2 Consolidated Statements of Comprehensive Income
256 D.3 Consolidated Statements of Financial Position
257 D. Consolidated Statements of Cash Flows
258 D.5 Consolidated Statements of Changes in Equity
260 D.6 Notes to Consolidated Financial Statements
348 D.7 Supervisory Board and Managing Board
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Derivative interest rate contracts – The fair values of derivative
interest rate contracts (e.g. interest rate swap agreements) are
estimated by discounting expected future cash flows using
current market interest rates and yield curves over the remain-
ing term of the instrument. Interest rate futures and interest
rate options are valued on the basis of quoted market prices
when available. If quoted market prices are not available, inter-
est rate options are valued based on option pricing models.
Derivative currency contracts – The fair value of foreign cur-
rency exchange contracts is based on forward exchange rates.
Currency options are valued on the basis of quoted market
prices or on estimates based on option pricing models.
Derivative commodity contracts – The fair value of commodity
swaps is based on forward commodity prices. Commodity
options are valued on the basis of quoted market prices or on
estimates based on option pricing models.
In determining the fair values of the derivative financial
instruments, no compensating effects from underlying trans-
actions (e.g. firm commitments and forecast transactions) are
taken into consideration.
The following table allocates financial assets and financial
liabilities measured at fair value to the three levels of the fair
value hierarchy.
September 30, 2013
(in millions of €) Level 1 Level 2 Level 3 Total
Financial assets
measured at fair value
Available-for-sale financial assets 1,884 110 – 1,994
Derivative financial instruments – 2,330 – 2,330
Total 1,884 2,440 – 4,324
Financial liabilities
measured at fair value
Derivative financial instruments – 1,047 – 1,047
September 30, 2012
(in millions of €) Level 1 Level 2 Level 3 Total
Financial assets
measured at fair value
Available-for-sale financial assets 1,252 – – 1,252
Derivative financial instruments – 3,328 – 3,328
Total 1,252 3,328 – 4,580
Financial liabilities
measured at fair value
Derivative financial instruments – 1,125 – 1,125
The levels of the fair value hierarchy and its application to our
financial assets and financial liabilities are described below:
Level : quoted prices in active markets for identical assets
or liabilities;
Level : inputs other than quoted prices that are observ-
able for the asset or liability, either directly (i.e. as prices) or
indirectly (i.e. derived from prices); and
Level : inputs for assets or liabilities, not based on observ-
able market data.
Net gains (losses) of financial instruments are as follows:
Year ended September 30,
(in millions of €) 2013 2012
Cash and cash equivalents (1) 11
Available-for-sale financial assets (99) 83
Loans and receivables (178) (238)
Financial liabilities
measured at amortized cost 408 (258)
Financial assets and
financial liabilities held for trading 363 (189)
Net gains (losses) in fiscal  and  on available-for-sale
financial assets include net gains on derecognition as well as
impairment losses. Net losses on loans and receivables con-
tain changes in valuation allowances, gains or losses on
derecognition as well as recoveries of amounts previously
written-off. Net gains (losses) in fiscal  and  on finan-
cial liabilities measured at amortized cost are comprised of
gains (losses) from derecognition and the ineffective portion
of fair value hedges. Net gains (losses) in fiscal  and 
on financial assets and financial liabilities held for trading con-
sist of changes in the fair value of derivative financial instru-
ments, including interest income and expense, for which
hedge accounting is not applied.
The amounts presented include foreign currency gains and
losses from the realization and valuation of the financial assets
and liabilities mentioned above.