Annual Report IPF 2021 - Flipbook - Side 15
INDUSTRIENS PENSIONSFORSIKRING A/S
ANNUAL REPORT 2021
Pursuant to the solvency regulations, a group 1
insurance company must analyse the effect of
changes in significant risks on the company's own
funds and solvency. The results of the analysis
must be reported quarterly to the Danish FSA. The
method of conducting the sensitivity analysis,
including the risk categories to be stressed in the
analysis, has been implemented in a separate
Executive Order from the Danish FSA. The results
of the most recent analysis are detailed in the
table.
RISK AND SOLVENCY
See note 23 on risk management as well as 'Rapport
om solvens og finansiel situation for 2021' (Report
on the solvency and financial situation for 2021 only in Danish) on the company website
(www.industrienspension.dk) for a more detailed
description of risk management in Industriens
Pension, including work on identifying individual
risks and determining acceptable risk levels etc.
Table 11 Sensitivity information
As a point of departure, for each risk category, the
analysis must specify the stress lowering the
current solvency ratio (see table 11) to 125% and
100%, respectively, including a statement of the
related reduced own funds, see the two scenarios
“SCR 125%” and “SCR 100%”.
SCR 125%
Stress
Own funds
(DKK bn.)
SCR 100%
Solvency
ratio *
Stress
Own funds
(DKK bn.)
Solvency
ratio *
Risk category:
If, even with maximum stress, the solvency ratio
cannot be lowered to 125% or 100%, the
maximum stress must be stated with the related
effect on solvency ratio and own funds. The
individual risk categories cannot be stressed by
more than 100%. Table 11 shows that even this
maximum stress does not take the solvency capital
requirement below 125% or 100%, respectively.
However, a stress scenario of 80% is applied for
the life expectancy risk, as a higher stress will
cause uncertainty in the model due to an
excessively high life expectancy. The life
expectancy stress applied of 80% results in a
solvency ratio of 213%.
Interest-rate risk
200 bp
10,725
294%
200 bp
10,725
294%
Share-price risk
100%
2,241
126%
100%
2,241
126%
Property risk
100%
9,913
237%
100%
9,913
237%
Danish government bonds etc.
100%
6,989
130%
100%
6,989
130%
Others government bonds etc.
100%
10,201
235%
100%
10,201
235%
Other bonds
100%
7,696
150%
100%
7,696
150%
USD
100%
10,244
308%
100%
10,244
308%
HKD
100%
10,970
309%
100%
10,970
309%
IDR
100%
11,002
307%
100%
11,002
307%
11,033
287%
11,033
213%
80%
11,033
213%
Credit spread risk
Currency spread risk**
Counterparty risk
Life expectancy risk
80%
* Accepted own funds as % of the solvency capital requirement
** Sensitivity calculations are made for the three currencies with the largest net exposure
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