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Annual report 2011
66
parties are fixed according to their nature, to their credit quality (as measured by their external credit ratings) and to
their own funds.
Any currency arbitrage is ruled out by the statutes.
The following table shows the maximum exposure to credit risk for treasury:
EUR
Maximum exposure 2011 Maximum exposure 2010
Cash and cash equivalents
160 660 806
73 603 254
Debt securities and other fixed income securities
778 368 598
863 578 881
Total Credit Risk Exposure
939 029 404
937 182 135
The following table outlines the credit quality of the Fund’s debt securities and other fixed income securities as of
31 December 2011 and 2010, based on external ratings.
The exposures in rating range of Ba1 - Ca mainly consist of EU sovereign bonds. In the course of the year 2011 the
treasury portfolio suffered unrealised losses of EUR 41.0m (2010: EUR 50.3m), which stemmed mainly from sovereign
and government guaranteed bonds downgrades.
AFS - Debt securities and
other fixed income securities
31.12.2011
31.12.2010
Rating
Amount in EUR In percentage Amount in EUR In percentage
Aaa
309 052 145
39.7% 352 119 579
40.8%
Aa1
4 973 550
0.6% 54 509 085
6.3%
Aa2
44 583 417
5.7%
96 135 522
11.1%
Aa3
17 060 351
2.2%
8 982 575
1.0%
A1
121 843 783
15.7% 113 486 436
13.1%
A2
138 122 691
17.7%
9 414 792
1.1%
A3
4 863 132
0.6% 42 536 459
4.9%
Baa1
6 542 565
0.8% 103 212 844
12.0%
Baa2
0
0.0%
0
0.0%
Baa3
0
0.0%
4 988 681
0.6%
Ba1
97 875 833
12.6% 78 192 908
9.1%
Ba2
18 955 538
2.4%
0
0.0%
Ba3
2 822 337
0.4%
0
0.0%
Ca
11 673 256
1.5%
0
0.0%
Total
778 368 598
100.0% 863 578 881
100.0%