The ATP Group Annual Report 2012

More documents

Recommendations

Info

Management's Review Business Model Risk Pension Hedging and investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsHedging-activity ratios• In case of a general 1-percentage-point interest-rate fall,ATP's pension liabilities will rise by DKK 105.1bn.• At year-end 2012, hedging using bonds accounted for 46.6per cent of the interest-rate sensitivity of pension liabilities.• A tyear-end 2012, hedging using the euro market accountedfor 68.1 per cent of the interest-rate sensitivity of pensionliabilities.How to calculate the value of ATP's pension liabilitiesThe value of ATP's pension liabilities changes for two reasons:Firstly, the value increases when interest rates decline, as ATPhas to set aside more funds to be able to meet future pensionliabilities. In 2012, pension liabilities increased by DKK 26.6bnfrom an interest-rate drop. The opposite applies if interestrates go up.Secondly, pension benefits move one year closer to payout,also causing the value of pension liabilities to rise, as DKK 1one year from now is worth more than DKK 1 two years fromnow. This effect is reflected in the item 'Change in guaranteedbenefits due to declining term to maturity', representing a riseof DKK 10.4bn.Between them, these changes produced a DKK 37.0bn increasein the value of guaranteed benefits in 2012.Yield curve for valuation of pension liabilitiesATP's yield curve for the valuation of pension liabilities is comprised as follows:• interest-rate swaps denominated in Danish kroner• interest-rate swaps denominated in euros• domestic government bonds• German government bonds10 per cent40 per cent15 per cent35 per centThe curve is flat after the 30-year mark.Liquidity is made available for investment activitiesThere is a clear interface between hedging activities and investmentactivities.If the hedging of ATP's pension liabilities were performed exclusivelyusing a bond portfolio with the same interest-ratesensitivity as the pension liabilities, the interest expenses ofthe hedging activities would be zero. However, part of theinterest-rate hedging is achieved by using interest-rate swapswhere liquidity is not an issue as it is for the purchase of bonds.Consequently, ATP's hedging activities have 'idle liquidity',which is made available for investment activities against thepayment of an internal rate of interest.The hedging-activity bonds can also be used to raise liquidityby entry into repo transactions. This liquidity is also madeavailable for investment activities against the payment of aninternal rate of interest.The ATP Group – Annual Report 201240
Management's Review Business Model Risk Pension Hedging and investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsInvestmentFactsMakeabouta planpensionsHalf What of do the you population want your life in accounts retirement to for look 88 like? per centof all pension contributions in Denmark.When they think about retirement, many people envisagetravelling and unique, singular experiences – but don't foolyourself. What counts is everyday life, and most of yourdays will be "everyday".»
Page 1 and 2: The ATP GroupAnnual Report 2012
Page 3 and 4: Management's Review Business Model
Page 7 and 8: Management's Review B u s i n e s s
Page 19 and 20: M a n a g e m e n t 's R ev i ew B
Page 25 and 26: M a n a g e m e n t 's R ev i ew B
Page 37 and 38: Management's Review B u s in e s s
Page 39: Management's Review Business Model
Page 63 and 64: M an a g e m e nt's Revi ew B u s i
Page 67 and 68: M an a g e m e nt's Revi ew B u s i
Page 91 and 92:
Management's Review Business Model
Page 93 and 94:
Page 95 and 96:
Page 97 and 98:
Page 99 and 100:
Page 101 and 102:
Page 103 and 104:
Page 105 and 106:
Page 107 and 108:
Page 109 and 110:
Page 111 and 112:
Page 113 and 114:
Page 115 and 116:
Page 117 and 118:
Page 119 and 120:
Page 121 and 122:
Page 123 and 124:
Page 125 and 126:
Page 127 and 128:
Page 129 and 130:
Page 131 and 132:
Page 133 and 134:
Page 135 and 136:
Page 137 and 138:
Page 139:
Hovedtræk ATP Koncernens hovedtal
show all

The ATP Group Annual Report 2012

You also want an ePaper? Increase the reach of your titles

Delete template?

Save as template?