The ATP Group Annual Report 2012

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Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsNote 36 Related-party transactions, continuedATPRelated parties of ATP are associates, subsidiaries and independentschemes managed by ATP. For an overview of associates and subsidiaries,please refer to notes 21 and 22.SUPP is regarded as a scheme managed by ATP.Members of the ATP Supervisory Board, Executive Board and their closefamily members are also regarded as related parties.Enterprises in which these persons have significant interests are also regardedas related parties.ATP has entered into the following related-party transactions:2012DKK millionSales *) Purchases *) PayablesReceivables/LoansContingentliabilitiesAssociates 431 260 0 689 261Subsidiaries 209,361 206,083 0 51 0Independent schemes managed by ATP:The Employers' Reimbursement System (AER) 71 0 0 6 0FerieKonto 63 0 0 21 0The Employees' Guarantee Fund (LG) 68 0 0 8 0The Labour Market Occupational Diseases Fund (AES) 65 0 0 8 0Barsel.dk 34 0 0 4 0Udbetaling Danmark 267 0 0 76 0Tax reductions for senior citizens 11 0 0 0 0FIB 14 0 0 1 0Other parties 6 0 0 0 0Total related-party transactions210,391 206,343 0 864 2612011DKK millionSales *) Purchases *) PayablesReceivables/LoansContingentliabilitiesAssociates 1,264 (304) 0 671 522Subsidiaries 186,073 (193,903) 0 1,127 0Independent schemes managed by ATP:The Employers' Reimbursement System (AER) 74 0 0 9 0FerieKonto 72 0 0 16 0The Employees' Guarantee Fund (LG) 63 0 0 6 0The Labour Market Occupational Diseases Fund (AES) 59 0 0 9 0Barsel.dk 32 0 0 3 0Udbetaling Danmark 93 0 0 10 0Tax reductions for senior citizens 14 0 0 0 0FIB 14 0 0 0 0Other parties 8 0 0 1 0Total related-party transactions 187,766 (194,207) 0 1,852 0*Internal sales and purchases include administration services, interest rates and internal forward-exchange transactions.Sales to subsidiaries comprise a number of administration functions, includingaccounting functions, IT operations and development and staffadministration, etc. These amounts are also set out in note 13. Sales tosubsidiaries also comprise currency hedging undertaken by ATP on behalfof subsidiaries.Related-party transactions also comprise the statutory labour-marketpension for members of the ATP Supervisory and Executive Boards andtheir close family members, as well as enterprises in which these personshave a controlling or significant influence.Overall payments to ATP in 2012 total DKK 0.0m (2011 DKK 0.0m)Transactions with associates comprise loans entered into and interestaccrued, which are settled on an arm's length basis (market terms).Related-party transactions are settled on an arm's length basis (marketterms) or, in the case of subsidiaries and schemes, on a cost-recoverybasis. The transactions are subject to contractual agreement with ATP.Remuneration details for the Board of Directors and the Manager are setout in note 9.No-one is considered to have a controlling influence on the Parent Company.The ATP Group – Annual Report 2012116
Management's Review Business Model Risk Pension Hedging and Investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsNote 37 Market risksATP's risk limits are, in addition to statutory limits, based on an overallrisk framework as well as a number of more specific limits. The overallframework for ATP is expressed as a risk tolerance for the probability ofhitting a red-light scenario (the traffic-light system of the Danish FinancialSupervisory Authority) over a three-month period. The risk tolerance is amaximum probability of 1 per cent and at 31 December 2012, the actualprobability was very modest (at 0.0 per cent) relative to the risk tolerance.Moreover, the ATP Supervisory Board has established a rule, setting anupper limit of 55 per cent on the proportion of risky assets and a dynamiclimit of 46 per cent at 31 December 2012. 31.12.2012 udgjorde 46 pct. At31 December 2012, the allocation of risky assets in the investment portfoliowas 21.3 per cent.ATP's risk limits – statutory limits, limits set by the Supervisory Board andinternally established limits – are monitored and reported on a daily basisin relation to ATP's actual risks and any deviations from the limits arereported to the ATP Supervisory and Executive Boards.ATP's risk management is based on ATP's business model with a divisioninto the following activities: pension activities, investment activities, hedgingactivities and administration activities and a division of investmentactivities into a beta and an alpha portfolio, as well as classification ofthe beta portfolio into the risk classes: Interest Rate risk, Credit risk, Equityrisk, Inflation risk and Commodity risk.Market risksATP's risk management also applies the risk target of Expected Shortfallat a 3-month horizon and a 1-per-cent quantile (ES, 3 months, 99 percent). This risk target expresses the average of the 1 per cent worst lossesover a 3-month horizon.Expected Shortfall in DKK million for the ATP beta portfolioES31.12.2012ES31.12.2011BetaInterest Rates 2,350 4,485Credit 2,532 2,460Equities 14,981 11,183Inflation 6,069 7,041Commodities 2,917 2,614ATP's risk management also provides limits for allocation of risk onthe five risk classes of the beta portfolio with a view to ensuring appropriatediversification of ATP's investment. The risk allocation hasbeen determined as the proportion of each risk class of the sum of riskfor the five risk classes. The ATP Supervisory Board has established along-term target and upper and lower limits for the proportion of eachrisk class of the overall risk.Relative risk allocation (per cent)End of year2012End of year2011TargetInterest Rates 8 16 20Credit 9 9 10Equities 52 40 35Inflation 21 25 25Commodities 10 9 10In 2012, the risk allocation of the five risk classes has been fairly closely aligned with ATP's long-term target.The ATP Group Annual Report 2012117
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The ATP Group Annual Report 2012

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