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Annual report 2011
74
The EIF uses a beta derived from the betas of three listed
PE indices, LPX Europe Price Index, LPX Venture Price In-
dex and LPX Buyout Price Index, to estimate the sensitivity
of the valuation of EIF’s PE investment to market prices.
Regression has been carried out using the Dow Jones
Euro Stoxx 50 over the last two years.
Using the most conservative beta from the three indices
mentioned above and assuming market price movements
of ±10 %, the final sensitivity (i.e beta x ±10 %) is applied
to the net asset value to give an adjusted net asset value,
which is then compared to the net paid in. The calculated
value adjustment is then recorded using the methodology
described in note 3.2.1. EIF’s PE investment value would
be impacted as follows:
Public market risk: all private equity
+10%
-10%
Retained Beta 1.1
Retained Beta 1.1
Final Sensitivity: +11%
Final Sensitivity: -11%
Profit &
loss account
Equity (Fair
value reserve)
Total effect
on equity
Profit &
loss account
Equity (Fair
value reserve)
Total effect
on equity
31.12.2011
392 722 22 063 964 22 456 686 (13 981 838)
(8 474 847)
(22 456 686)
31.12.2010
378 829 22 363 253 22 742 082 (14 592 133)
(8 129 976)
(22 722 110)
3.5.3.3.B. Portfolio Guarantees and Securitisation
As EIF’s G&S transactions are not actively traded on public markets, direct sensitivity to price risk is not a consideration.