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. In order to achieve a natural hedge for the interest-bearing positions, an active/passive approach to management was introduced in business year 2012/13, whereby the modified duration of assets is closely linked to the modified duration of the liabilities.
The variable-interest positions on the assets side significantly exceed the positions on the liabilities side so that a 1% increase in the money market rate decreases the interest expense by EUR 8.2 million (2011/12: EUR –2.8 million).
The weighted average interest rate for asset positions is 0.81% (2011/12: 0.85%) with a duration of 0.89 years (2011/12: 0.82 years) – including money market investments – and 4,11% (2011/12: 3.53%) for liability positions with a duration of 2.07 years (2011/12: 1.42 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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1,601.9 |
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0.81 |
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0.89 |
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1.03 |
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–9.2 |
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12.8 |
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Liabilities |
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–3,725.9 |
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4.11 |
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2.07 |
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3.78 |
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95.6 |
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–4.7 |
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Net |
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–2,124.0 |
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86.4 |
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8.1 |
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1 In millions of euros |
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2 Excluding revolving export loans of EUR 406.1 million |
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The present value risk determined using the Value-at-Risk calculation for March 31, 2013, is equal to EUR 37.1 million (2011/12: EUR 8.3 million) for positions on the assets side given a 1% change in the interest rate and EUR 267.1 million (2011/12: EUR 79.5 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 230.0 million (2011/12: EUR 71.2 million).
After the merger of the two funds of funds V47 and V54 in business year 2012/13, the asset positions include EUR 410.3 million (previous year: EUR 399.0 million) of investments in the V54 fund of funds. 100% 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 various 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 64.7 million |
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with a duration of 4.50 |
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Sub-fund V102 |
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EUR 142.8 million |
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with a duration of 2.56 |
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Sub-fund V103 |
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EUR 121.0 million |
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with a duration of 1.98 |
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Special funds |
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EUR 81.6 million |
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(only included in V54) |
The equity component in the fund of funds was reduced to EUR 0 million as part of the asset allocation (March 31, 2012: EUR 15.1 million, 3.7% of fund assets).
In addition to the investment fund, there are also securities exposures in the amount of EUR 69.6 million (March 31, 2012: EUR 60.0 million).
In the business year 2012/13, the following gains in the fund of funds were recorded:
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Fund of funds |
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Performance |
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V54 |
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4.20% |
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 11.2 million (2011/12: net profit EUR 9.4 million) is recognized at fair value through profit or loss for financial instruments that are measured using the fair value option.
