voestalpine AG differentiates between cash flow risk (the risk that interest expenses or interest income will undergo a detrimental change) for variable-interest financial instruments and present value risk for fixed-interest financial instruments. The positions shown include all interest rate-sensitive financial instruments (loans, money market, issued and purchased securities, as well as interest rate derivatives).
The primary objective of interest rate management is to optimize interest expenses while taking the risk into consideration.
The variable-interest positions on the liabilities side significantly exceed the positions on the assets side so that a 1% increase in the money market rate increases the interest expense by EUR 6.4 million.
The weighted average interest rate for asset positions is 1.35% with a duration of 0.64 years (including money market investments) and 4.57% for liability positions with a duration of 1.46 years.
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Position1 |
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Weighted average interest rate |
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Duration (years) |
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Average capital commitment (years)2 |
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Sensitivity to a 1% change in the interest rate1 |
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Cash flow risk1 |
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Assets |
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1,756.7 |
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1.35% |
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0.64 |
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0.69 |
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–10.0 |
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–14.2 |
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Liabilities |
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–4,360.4 |
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4.57% |
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1.46 |
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3.54 |
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63.8 |
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20.6 |
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Net |
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–2,603.7 |
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53.8 |
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6.4 |
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1 In millions of euros |
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2 Excluding revolving export loans of EUR 376.0 million |
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The present value risk determined using the Value-at-Risk calculation for March 31, 2011, is equal to EUR 29.7 million (2009/10: EUR 8.3 million) for positions on the assets side given a 1% change in the interest rate and EUR 199.4 million (2009/10: EUR 64.2 million) for positions on the liabilities side. Therefore, in the event of a 1% drop in the interest rate, voestalpine AG would have an imputed (unrecognized) net present value loss of EUR 169.7 million (2009/10: EUR 55.9 million).
The asset positions include EUR 407.4 million (previous year: EUR 413.1 million) of investments in the V47 and V54 funds of funds. 92.0% of the fund assets are invested in bonds and money market securities in euros or in cash in the three sub-funds V101, V102, and V103 and in three special funds as follows:
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Funds |
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Investment currency | ||
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Sub-fund V101 |
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EUR 132.7 million |
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with a duration of 0.75 |
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Sub-fund V102 |
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EUR 128.6 million |
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with a duration of 2.59 |
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Sub-fund V103 |
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EUR 113.7 million |
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with a duration of 4.67 |
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Special funds |
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EUR 14.5 million |
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(only included in V54) |
The funds of funds include EUR 16.2 million in equities (3.9% of fund assets), which are divided among two global equity funds with different investment approaches.
For reasons of credit risk management, an amount of EUR 115.6 million has been invested in daily realizable, externally managed money market funds with an AAA rating as a replacement for money market investments.
In the business year 2010/11, the following gains in the funds of funds were recorded:
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Funds of funds |
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Performance |
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V47 |
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1.34% |
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V54 |
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1.29% |
Securities are measured at fair value. For the determination of the fair value, quoted prices (unadjusted) for identical assets or liabilities in active markets are used. Net profit amounting to EUR 6.9 million (2009/10: net profit EUR 19.4 million) is recognized at fair value through profit or loss for financial instruments that are measured using the fair value option.