IPF årsrapport 2018 (eng) - Flipbook - Side 12
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10
Table 11
Sensitivity analysis (DKK mill.)
Risk category
SCR 125%
Solvency
Own funds
Stress
ratio *
Stress
SCR 100%
Own
Solvency
funds
ratio *
Interest-rate risk
200 bp
8,303
311%
200 bp
8,303
311%
Share-price risk
100%
4,220
144%
100%
4,220
144%
100%
8,202
315%
100%
8,202
315%
86%
5,212
125%
100%
4,288
103%
100%
8,295
297%
100%
8,295
297%
Property risk
Danish government bonds, etc.
Credit spread
Other government bonds, etc.
Other bonds
Currency spread
risk **
95%
4,700
125%
100%
4,372
117%
USD
100%
8,926
340%
100%
8,926
340%
HKD
100%
9,276
347%
100%
9,276
347%
BRL
100%
9,274
344%
100%
9,274
344%
9,312
339%
9,312
121%
99%
9,312
105%
Counterparty risk
Life expectancy risk
97%
* Accepted own funds as % of solvency capital requirement
** Sensitivity calculations are made for the three currencies with the largest net exposure
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 included
(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.
As a point of departure, for each risk category, the
analysis must specify the stress lowering the
current solvency ratio (see table 10) 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.
This is why, with the exception of two cases, the
table states the maximum stress for the individual
risk categories. The two exceptions concern creditspread risk on Danish bonds and other bonds
where a stress of 86% and 95%, respectively,
results in a solvency ratio of 125%.
Life-expectancy risk must specify the percentage
life-expectancy improvement reducing the solvency
ratio to 125% and 100%. For Industriens Pension,
this will require a life-expectancy improvement in
the two scenarios of no less than 97% and 99%.
See note 25 on risk management and sensitivity
information as well as ”Rapport om solvens og
finansiel situation for 2018” (Report on the
solvency and financial situation for 2017 - only in
Danish) on the company website for a more
detailed description of risk management in
Industriens Pension, including work on identifying
individual risks and determining acceptable risk
levels etc.