Achmea Hypotheekbank N.V. annual report 2011

• Default rate sensitivity analysis; The fair value of financial assets, carried at fair value through profit or loss, takes into
account the default rate of our counterparties. Applying our accounting policies, the table below shows the impact on our
results of a change in the default rate among our mortgage borrowers.
Sensitivity analysis
In thousands of euros 2011 2010
Increase of 10 basis points -907 -1,042
Increase of 20 basis points -1,823 -2,077
Increase of 30 basis points -2,725 -3,105
Increase of 40 basis points -3,620 -4,126
Increase of 50 basis points -4,509 -5,139
The impact of the default rate on the calculation of the fair value of the loans and advances to customers amounts to EUR 18.9
million (2010 EUR 16.0 million).
It should be noted that in case the actual differs from the estimated prepayment rate, this will also have an impact on the
interest rate risk. Interest rate risk will be mitigated in line with the interest risk policy. As a result the impact on shareholders’
equity and net result is minimal.
4. Critical estimates and judgements used in applying the accounting policies
Achmea Hypotheekbank makes estimates and assumptions which affect the value of assets and liabilities reported during the
current financial year. The estimates and assumptions are continuously assessed and are based on historical data and future
events that are considered reasonable in the circumstances.
Fair value measurement
The fair value of financial instruments that are not listed on an active market is assessed using valuation models. As far as
practically possible, the valuation models are used in combination with observable market data. For credit risk, volatility and
correlations the specific characteristics of the market in which the financial instrument is used are taken into account.
Impairment of loans and advances to customers
Achmea Hypotheekbank periodically evaluates whether the mortgage loans are impaired. In deciding whether an impairment
loss should be recognised in the statement of comprehensive income, Achmea Hypotheekbank evaluates whether there are any
observable indications of a decrease in the estimated future cash inflows of a loan portfolio, before determining the decrease
for an individual loan in that portfolio.
The method and assumptions used to estimate both the amount and the timing of future cash flows are reviewed periodically
in order to reduce differences between estimates of losses and actual losses.
Estimates used for macro hedge accounting
The amortisation method for macro hedge accounting is based on the effective-interest method over the remaining term to
maturity of the hedged item (ranging from 1 to 30 years).
Achmea Hypotheekbank N.V. | 2011
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