Interest rate risk

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 2.8 million (2010/11: EUR 6.4 million).

The weighted average interest rate for asset positions is 0.85% (2010/11: 1.35%) with a duration of 0.82 years (2010/11: 0.64 years) – including money market investments – and 3.53% (2010/11: 4.57%) for liability positions with a duration of 1.42 years (2010/11: 1.46 years).

(XLS:) Download

 

 

Position1

 

Weighted average interest rate

 

Duration (years)

 

Average capital com-
mitment (years)2

 

Sensitivity to a 1% change in the interest rate1

 

Cash flow risk1

 

 

 

 

 

 

 

 

 

 

 

 

 

Assets

 

1,165.6

 

0.85 %

 

0.82

 

0.88

 

–8.0

 

–9.3

Liabilities

 

–3,659.6

 

3.53 %

 

1.42

 

2.86

 

80.4

 

12.1

Net

 

–2,494.0

 

 

 

 

 

 

 

72.4

 

2.8

 

 

 

 

 

 

 

 

 

 

 

 

 

1 In millions of euros

 

 

2 Excluding revolving export loans of EUR 376.0 million

 

 

The present value risk determined using the Value-at-Risk calculation for March 31, 2012, is equal to EUR 8.3 million (2010/11: EUR 29.7 million) for positions on the assets side given a 1% change in the interest rate and EUR 79.5 million (2010/11: EUR 199.4 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 71.2 million (2010/11: EUR 169.7 million).

The asset positions include EUR 399.0 million (previous year: EUR 407.4 million) of investments in the V47 and V54 funds of funds. 96.2% 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:

(XLS:) Download

Funds

 

Investment currency

 

 

 

 

 

Sub-fund V101

 

EUR 131.5 million

 

with a duration of 0.65

Sub-fund V102

 

EUR 123.0 million

 

with a duration of 2.15

Sub-fund V103

 

EUR 114.2 million

 

with a duration of 4.03

Special funds

 

EUR 15.2 million

 

(only included in V54)

The funds of funds include EUR 15.1 million in equities (3.7% of fund assets), which are divided among two global equity funds with different investment approaches (March 31, 2011: EUR 16.2 million, 3.9% of fund assets).

For reasons of credit risk management, an amount of EUR 60.0 million (March 31, 2011: EUR 115.6 million) has been invested in daily realizable, externally managed money market funds and other securities with an A rating as a replacement for money market investments.

In the business year 2011/12, the following gains in the funds of funds were recorded:

(XLS:) Download

Funds of funds

 

Performance

 

 

 

V47

 

4.94%

V54

 

4.60%

Securities are measured at fair value. For the determination of the fair value, quoted prices for identical assets or liabilities in active markets (unadjusted) are used. Net profit amounting to EUR 9.4 million (2010/11: net profit EUR 6.9 million) is recognized at fair value through profit or loss for financial instruments that are measured using the fair value option.

to pagetop
  • Share price, end of period (euros) 25.22    EPS – Earnings/share (euros) 1.98    Dividend/share (euros) 0.80
  • Ad-Hoc NewsInvestor Relations
Close