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).
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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 com- |
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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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1,165.6 |
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0.85 % |
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0.82 |
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0.88 |
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–8.0 |
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–9.3 |
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Liabilities |
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–3,659.6 |
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3.53 % |
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1.42 |
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2.86 |
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80.4 |
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12.1 |
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Net |
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–2,494.0 |
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72.4 |
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2.8 |
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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, 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:
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Funds |
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Investment currency | ||
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Sub-fund V101 |
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EUR 131.5 million |
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with a duration of 0.65 |
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Sub-fund V102 |
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EUR 123.0 million |
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with a duration of 2.15 |
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Sub-fund V103 |
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EUR 114.2 million |
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with a duration of 4.03 |
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Special funds |
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EUR 15.2 million |
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(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:
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Funds of funds |
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Performance |
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V47 |
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4.94% |
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V54 |
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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.
