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Annual report 2011
72
3.5.3.2.A. Private Equity
On the PE side, at 31 December 2011, currency exposure
for the PE funds can be broken down as follows:
EUR
GBP
SEK
USD
CHF
DKK
For 2011, changes due to foreign exchange rates for shares
and other variable income amount to EUR 1 615 478,
of which EUR 1 237 229 has been posted to the fair
value reserve (2010: respectively EUR 2 499 130 and
EUR 2 294 406).
The sensitivity analysis is performed for all currencies rep-
resenting more than 5 % of the total exposure. As of year
end, only GBP falls into this category and has been stress
tested with an increase/decrease of 15 % vs. the Euro.
Foreign exchange rate risk
EUR
GBP
SEK
USD
Other
21.2%
51%
13.2%
8.7%
5.9%
18.9%
75.5%
2.3% 0.2%
(as % of
the total fair value,
EUR 212.2m)
0.7%
2.4%
Impact in EUR
GBP increase
of 15% vs. EUR
GBP decrease
of 15% vs. EUR
31.12.2011
6 980 106
(5 159 209)
31.12.2010
5 684 746
(4 201 769)
It should be noted however, that these impacts are meas-
ured at a fund level (impact on the net asset values de-
nominated in out-currency). Accordingly, they do not take
into account indirect potential effects on the underlying
portfolio companies which could be in out-currencies. In
practice fund managers try to hedge any positions they
hold in currency other than the fund’s main currencies.
In addition, the underlying investments are also diversi -
fied and the indirect exposure of EIF broadly follows the
exposure at fund level, as illustrated by the graph below: