Årsrapport 2022 godkendt 7. marts 2023 (eng) - Flipbook - Side 14
INDUSTRIENS PENSIONSFORSIKRING A/S ANNUAL REPORT 2022
The solvency capital requirement amounted to
DKK 2.3 bn. at the end of 2022, and thereby
decreased by DKK 1.3 bn. compared with last
year, primarily because of a change in
investment management of assets under the
taxation on pension returns liability in market
interest rate schemes.
Total own funds of DKK 10.6 bn. have been
recognised to cover this. This corresponds to
excess liquidity of DKK 8.3 bn. and Industriens
Pension is thus particularly well consolidated.
Pursuant to the solvency regulations, a group 1
insurance company must analyse the effect of
changes in significant risks on the company's
own funds and solvency. The results of the
analysis must be reported quarterly to the
Danish FSA. The method of conducting the
sensitivity analysis, including the risk categories
to be stressed in the analysis, has been
implemented in a separate Executive Order from
the Danish FSA. The results of the most recent
analysis are detailed in the table.
However, a stress scenario of 80% is applied for
the life expectancy risk, as a higher stress will
cause uncertainty in the model due to an
excessively high life expectancy. The life
expectancy stress applied of 80% results in a
solvency ratio of 369%.
RISK AND SOLVENCY
See note 23 on risk management and the
Rapport om solvens og finansiel situation for
2022 (Report on the solvency and financial
situation for 2022 - only in Danish) on the
company website (www.industrienspension.dk)
for a more detailed description of risk
management in Industriens Pension, including
work on identifying individual risks
determining acceptable risk levels etc.
and
Table 11 Sensitivity information
SCR 125%
SCR 100%
Stress
Own
funds
(DKK bn.)
Solvency
ratio *
Stress
Own
funds
(DKK bn.)
Solvency
ratio *
Interest-rate risk
200 bp
10,526
Share-price risk
100%
4,630
444%
200 bp
10,526
444%
298%
100%
4,630
298%
Property risk
100%
10,164
327%
100%
10,164
327%
Danish government bonds etc.
100%
7,379
188%
100%
7,379
188%
Others government bonds etc.
100%
Other bonds
100%
10,213
299%
100%
10,213
299%
9,409
291%
100%
9,409
291%
USD
100%
9,809
367%
100%
9,809
367%
GBP
100%
10,591
440%
100%
10,591
440%
HKD
100%
10,585
442%
100%
10,585
442%
10,627
468%
10,627
369%
80%
10,627
369%
Risk category:
-
Credit spread risk
As a point of departure, for each risk category,
the analysis must specify the stress lowering the
current solvency ratio (see table 11) to 125% and
100%, respectively, including a statement of the
related reduced own funds, see the two
scenarios “SCR 125%” and “SCR 100%”.
If, even with maximum stress, the solvency ratio
cannot be lowered to 125% or 100%, the
maximum stress must be stated with the related
effect on solvency ratio and own funds. The
individual risk categories cannot be stressed by
more than 100%. Table 11 shows that even this
maximum stress does not take the solvency
capital requirement below 125% or 100%,
respectively.
Currency spread risk**
Counterparty risk
Life expectancy risk
80%
* Accepted own funds as % of the solvency capital requirement
** Sensitivity calculations are made for the three currencies with the largest net exposure
14