The risk management for investments is done in a structured investment process in which the various market risks are controlled at the level of the strategic asset allocation with tactical weighting of the individual asset classes based on market opinion and in the form of timing and selection decisions. In particular, stress tests and sensitivity analyses are used as key figures for measuring, observing and actively controlling the risk.
The table below shows the most important market risks in the form of key sensitivity figures; the information is presented as available on the reporting date, meaning that only rough figures can be offered for future losses of fair value. Depending on the assessment principle to be applied, if there are any future fair value losses, they can lead to different fluctuations in equity that are with or without an effect on the income statement. The key figures are calculated theoretically on the basis of actuarial principles and do not take into consideration any diversification effects between the individual market risks or counter-controlled measures taken in the various market scenarios.
|
Interest rate risk |
31 Dec. 2010 |
31 Dec. 2009 | ||
|
€ 000 |
+100 basis |
–100 basis |
+100 basis |
–100 basis |
|
High-grade bonds |
–382,196 |
410,964 |
–407,638 |
429,092 |
|
Bank/company bonds |
–55,312 |
59,475 |
–55,555 |
58,479 |
|
Emerging markets bonds |
–71,990 |
77,408 |
–49,408 |
52,008 |
|
High-yield bonds |
–912 |
981 |
–1,745 |
1,837 |
|
Total |
–510,410 |
548,828 |
–514,345 |
541,416 |
|
Equity risk |
31 Dec. 2010 |
31 Dec. 2009 | ||
|
€ 000 |
+10% |
–10% |
+10% |
–10% |
|
Shares in Europe |
38,221 |
–37,744 |
23,331 |
–23,331 |
|
Shares in America |
6,117 |
–6,117 |
1,714 |
–1,714 |
|
Shares in Asia |
2,053 |
–2,053 |
389 |
–389 |
|
Shares international |
2,175 |
–2,175 |
1,950 |
–1,950 |
|
Shares in emerging markets |
3,403 |
–3,403 |
1,320 |
–1,320 |
|
Shares total return |
16,663 |
–16,663 |
15,646 |
–15,646 |
|
Derivative financial instruments and other shares |
3,448 |
–3,448 |
4,615 |
–4,615 |
|
Total |
72,080 |
–71,603 |
48,965 |
–48,965 |
|
Currency risk |
31 Dec. 2010 |
31 Dec. 2009 | ||
|
€ 000 |
+10% |
–10% |
+10% |
–10% |
|
€ |
0 |
0 |
0 |
0 |
|
USD |
45,924 |
–45,924 |
32,817 |
–32,817 |
|
Other |
161,797 |
–161,797 |
140,959 |
–140,959 |
|
Total |
207,721 |
–207,721 |
173,775 |
–173,775 |
|
Credit risk |
|
31 Dec. 2010 |
31 Dec. 2009 | ||
|
€ 000 |
|
+ |
– |
+ |
– |
|
AAA |
0 basis points |
0 |
0 |
0 |
0 |
|
AA |
25 basis points |
–38,313 |
38,313 |
–49,296 |
49,296 |
|
A |
50 basis points |
–53,030 |
53,030 |
–69,170 |
69,170 |
|
BAA |
75 basis points |
–70,948 |
70,948 |
–43,105 |
43,105 |
|
BA |
100 basis points |
–34,735 |
34,735 |
–14,196 |
14,196 |
|
B |
125 basis points |
–30,641 |
30,641 |
–16,588 |
16,588 |
|
CAA |
150 basis points |
–7,453 |
7,453 |
–5,901 |
5,901 |
|
Not rated |
100 basis points |
–13,098 |
13,098 |
–6,756 |
6,756 |
|
Total |
|
–248,219 |
248,219 |
–205,011 |
205,011 |
