Portfolio Key Rate Shift Report
Wednesday, August 13, 2008Key Rate Shift Analysis identifies the interest rate segment that represents more risk compared to other segments. It provides valuable information in relation to hedging decisions. Key rate shifts show how much a portfolio’s value changes when a single interest rate on the yield curve is lifted or dropped by 100 bps, leaving all other rates constant.
1. Total portfolio
| Rate segment | Current value (NPV) | Portfolio value after 100 bps downward shift of selected rate segment | Portfolio value after 100 bps upward shift of selected rate segment | Key rate sensitivity |
|---|---|---|---|---|
| 1M | -539 206 769 | -539 562 657 | -145 960 | |
| 3M | -538 901 858 | -539 819 324 | -402 628 | |
| 6M | -539 327 338 | -539 505 106 | -88 410 | |
| 1Y | -539 724 697 | -539 091 260 | 325 437 | |
| 2Y | -540 718 842 | -538 142 141 | 1 274 556 | |
| 5Y | -539 849 333 | -539 006 147 | 410 549 | |
| 7Y | -539 436 646 | -539 397 900 | 18 797 | |
| 10Y | -539 435 473 | -539 399 386 | 17 310 | |
| 15Y | -539 424 391 | -539 409 874 | 6 823 | |
| 30Y | -539 416 982 | -539 416 473 | 224 | |
| Total | -539 416 697 | 1 416 698 |
2. Loan porfolio
| Rate segment | Current value (NPV) | Portfolio value after 100 bps downward shift of selected rate segment | Portfolio value after 100 bps upward shift of selected rate segment | Key rate sensitivity |
|---|---|---|---|---|
| 1M | -533 775 949 | -534 507 390 | -299 957 | |
| 3M | -533 427 378 | -534 817 421 | -609 988 | |
| 6M | -534 034 593 | -534 378 380 | -170 947 | |
| 1Y | -534 211 084 | -534 203 517 | 3 916 | |
| 2Y | -534 222 738 | -534 192 396 | 15 037 | |
| 5Y | -534 236 887 | -534 179 427 | 28 006 | |
| 7Y | -534 227 059 | -534 188 885 | 18 548 | |
| 10Y | -534 225 904 | -534 190 349 | 17 084 | |
| 15Y | -534 214 985 | -534 200 682 | 6 751 | |
| 30Y | -534 207 686 | -534 207 184 | 249 | |
| Total | -534 207 433 | -991 302 |
3. Derivatives portfolio
| Rate segment | Current value (NPV) | Portfolio value after 100 bps downward shift of selected rate segment | Portfolio value after 100 bps upward shift of selected rate segment | Key rate sensitivity |
|---|---|---|---|---|
| 1M | 4 782 849 | 5 230 371 | 21 107 | |
| 3M | 4 691 443 | 5 389 563 | 180 299 | |
| 6M | 5 048 305 | 5 261 037 | 51 773 | |
| 1Y | 4 640 192 | 5 519 919 | 310 655 | |
| 2Y | 2 803 133 | 6 433 441 | 1 224 177 | |
| 5Y | 4 456 083 | 5 746 171 | 536 907 | |
| 7Y | 5 209 210 | 5 209 210 | 0 | |
| 10Y | 5 209 210 | 5 209 210 | 0 | |
| 15Y | 5 209 210 | 5 209 210 | 0 | |
| 30Y | 5 209 210 | 5 209 210 | 0 | |
| Total | 5 209 264 | 2 324 917 |
Conclusion
It can be concluded that maturities up to five years affect the portfolio’s net present value. The 2-year maturity bracket shows a positive change in portfolio net present value, which originates from a positive change of the derivatives’ value. If the 2-year interest rate, which shows the most significant change, is increased by 100 bps and all other rates remain constant, then the portfolio’s net present value increases by 1.2 million EUR.
| Instrument | Sum of interest cash flows | Single instrument 's worst case scenario value | Single instrument CFaR | Portfolio CFaR |
|---|---|---|---|---|
| loan 13y quarterly 3m Euribor (amortizing) | -25 827 045 | -27 412 639 | -792 797 | |
| loan 15y semiannually 6m Euribor (amortizing) | -49 812 260 | -51 774 739 | -490 620 | |
| loan 11y quarterly 3m Euribor (amortizing) | -21 066 642 | -22 466 053 | -233 235 | |
| loan 9y semi-annually 6m Euribor (amortizing) | -14 191 807 | -15 124 748 | -116 618 | |
| loan 6y quarterly 3m Euribor (amortizing) | -36 725 221 | -39 428 704 | -270 348 | |
| loan 13y seminannually 6m Euribor (amortizing) | -673 920 | -755 118 | -6 766 | |
total loans | -148 296 896 | -156 961 999 | -8 665 103 | -5 776 735 |
| IRS 6y @3.8% semiannually | 2 863 782 | 2 033 820 | -76 157 | |
| IRS 8y @4.5% seminannually | 2 594 449 | 1 758 880 | -57 819 | |
total derivatives | 5 458 231 | 3 792 700 | -1 665 531 | -1 110 354 |
total | -142 838 665 | -153 169 299 | -10 330 634 | -6 887 089 |
