Annual Report 2011 - R+V Versicherung

Management Report 4
Risk report
Credit risk
The credit risk describes the risk that arises owing to bad debt
losses or due to a change in creditworthiness or the assessment
of creditworthiness (credit spread) of security issuers
and other debtors from whom the company has receivables.
In order to reduce the credit risk, investments are made and
loans are issued primarily to issuers and debtors with a good to
very good credit rating. The credit rating is initially classified
with the assistance of credit agencies and is continually reviewed
in accordance with internal guidelines.
The maximum credit risk of the portfolio is determined quarterly
and compared with the upper loss limited stipulated for
the credit risk. Counterparty risks are additionally restricted
using a limit system. More than 92% (2010: 95%) of the investments
in fixed interest securities have a Standard & Poor’s
rating of ‘A’ or better, more than 79% (2010: 82%) have an ‘AA’
or better rating.
In the past fiscal year the capital investments of R+V Versicherung
AG posted interest losses of 0.3 m euros (2010:
0.3 m euros). No losses of capital were recorded.
Until 31 December 2011, R+V Versicherung AG held Portuguese,
Italian, Irish, Greek and Spanish government bonds
directly and indirectly:
MARKET VALUES
EUR million 2011
Portugal 1.3
Italy 14.9
Ireland 9.8
Greece 1.7
Spain 35.0
Annual Financial Statements 35 Further Information 62 25
According to the current political situation, R+V Versicherung
AG is assuming that the measures taken by the PIIGS countries,
the EU, IMF and the ECB will guarantee a refinancing of
the crisis countries and their banks with the exception of
Greece. In accordance with the principle of caution, write
downs totalling over 0.4 m euros were performed in the case
of PIIGS countries’ bonds.
The total of all investments in banks made by R+V Versicherung
AG amounted to 900.8 m euros. At 43.3%, these
investments are largely securities for which there is special
cover for collateralisation. 47.0% of these investments are
invested in German banks. The remaining 53.0% relate almost
exclusively to EEA institutions.
Credit risks also include risks to the loss of settlement
receivables from the reinsurance business to cedents and
retrocessionaires. These risks are limited by continual monitoring
of the Standard and Poor’s ratings and other sources
of information that are available on the market.
Liquidity risk
The liquidity risk describes the risk that a company is not in
a position to satisfy its financial obligations when due or can
only do so at increased cost.
The liquidity of R+V companies is centrally controlled. An
integrated simulation for portfolio and success development
in the capital investment area and for the development of cash
flow is carried out for all R+V companies as part of the multiyear
planning.
The basis of this control is the forecast development of all important
cash flows from the technical business, capital investments
and general administration. The satisfaction of liquidity
requirements under supervisory law is continually reviewed
within the framework of new investment.