Business development - Helvetia Gruppe

17.5.2 Interest rate risk
Maturity schedule
of financial assets
Financial report
Risk management ‹
Helvetia Group’s results are affected by changes in interest rates. A prolonged period
of low interest rates reduces the return on fixed-income investments such as bonds and
mortgages. On the other hand, the return increases with rising interest rates. Information
on current investment returns can be found in Note 7.1 (from page 124).
As with most investments, the value of Helvetia Group’s liabilities depends on interest
rate levels. Generally speaking, the higher the interest rate, the lower the present value
of assets and liabilities. The extent of this change in values depends, among other things,
on the time pattern of cash flows. To manage the volatility of net positions (assets – net
liabilities, i.e. AL mismatch) the Group compares the maturities of cash flows arising from
liabilities with those resulting from assets, and analyses them for maturity matching. The
derived risk is managed as part of the asset and liability management process. Risk capacity,
on one side, and the capacity to finance guaranteed benefits or to generate surpluses,
on the other, are balanced.
as of 31.12.2010 < 1 year 1–5 years 5–10 years > 10 years
Without
maturity Total
in CHF million
Loans (LAR) incl. money market
instruments
Held-to-maturity investments
1 138.2 2 849.8 1 797.7 2 303.1 402.5 8 491.3
(HTM)
Available-for-sale investments
249.0 877.9 814.6 1 594.1 - 3 535.6
(AFS)
Financial assets at fair value
618.9 4 396.8 4 023.9 2 684.1 938.6 12 662.3
through profit or loss 277.6 782.5 20.3 108.0 3 181.6 4 370.0
Total financial assets 2 283.7 8 907.0 6 656.5 6 689.3 4 522.7 29 059.2
as of 31.12.2009 < 1 year 1–5 years 5–10 years > 10 years
Without
maturity Total
in CHF million
Loans (LAR) incl. money market
instruments
Held-to-maturity investments
2 039.1 2 632.4 1 738.6 1 956.3 20.5 8 386.9
(HTM)
Available-for-sale investments
232.0 895.4 912.5 1 007.1 - 3 047.0
(AFS)
Financial assets at fair value
621.1 5 626.7 3 958.3 1 683.5 916.9 12 806.5
through profit or loss 225.6 956.9 53.5 75.2 3 107.2 4 418.4
Total financial assets 3 117.8 10 111.4 6 662.9 4 722.1 4 044.6 28 658.8
A statement on the ALM situation of a portfolio can be made by comparing the guaranteed
interest rates with yields. Aggregated information on interest guarantees is given
in the following diagram. The interest guarantees range from 1 to 6%. Less than 0.8%
of Helvetia Group’s actuarial reserves carry an interest guarantee of more than 4%.
Notes to the Consolidated financial statement of Helvetia Group 2010
181