The ATP Group Annual Report 2012

Management's Review Business Model Risk Pension Hedging and investment Hedging Investment Administration Social Responsibility The ATP Group Financial StatementsCreditHigh-yield bonds and loans to credit institutions and funds boosted the returnBeta portfolio return on CreditReturnPortfolio, year-end2012 2012 2011Asset type DKK million DKK billion DKK billionHigh-yield bonds 2,506.0 17.6 15.9Loans, etc. 2,133.7 28.9 29.4Total 4,639.7 46.5 45.2Development in overall return on CreditDKK million5,0004,0003,0002,0001,000Development in credit spreadsBasis points750700650600550High Yield credit(Merrill Lynch HighYield Master Index)0Q1 Q2 Q3 Q4500Q1 Q2 Q3 Q4The Credit risk class, consisting of high-yield bonds andloans to credit institutions and funds, generated a return ofDKK 4.6bn.High-yield bonds are bonds issued by companies with lowcredit ratings or by developing countries. These bondsgenerated a return of DKK 2.5bn. The positive return is attributableto a narrowing of credit spreads, see the chartabove. Credit spreads are the difference between the yieldson bonds with the same maturities, but of different creditqualities. The credit spread is the payment for the creditrisk associated with the bond – the wider the spread,the greater the risk of issuer default perceived by the market.The narrowing of the credit spread for high-yieldbonds in the course of 2012 produced increases in the priceof this type of bond, reflected in positive returns.Loans to credit institutions and funds, investing, amongother things, in bank loans and real-estate related loans,produced a return of DKK 2.1bn. These loans are made indirectlythrough ATP Alternative Investments K/S or directlythrough ATP.The ATP Group – Annual Report 201249