Our portfolio of assets under own management grew substantially in the course of 2015 to EUR 39.3 billion (EUR 36.2 billion). This was due in large measure to exchange rate effects – primarily associated with the US dollar – and in particular to our gratifyingly positive operating cash flow. The only inhibiting factors in this growth were the decline in valuation reserves in connection with the observed yield increases on US Treasuries and higher credit spreads.

Along with the rebuilding of an equity portfolio, we adjusted the allocation of our investments to the individual classes of securities in other asset categories as well in response to the challenging interest rate environment. For example, we continued to expand the asset classes of fixed income enhancements and emerging markets while at the same time enlarging our holding of government bonds. On the other hand, the proportion of mid-rated covered bonds and corporate bonds was reduced. In this way we can achieve increased liquidity of the portfolio with stable return expectations, while extensively maintaining the overall risk level of our fixed-income portfolio unchanged. We also moved to further slightly increase the share attributable to real estate as part of the strategic expansion of this asset category. In all other asset classes we made only minimal changes in the context of regular portfolio maintenance.

The portfolio of fixed-income securities excluding short-term assets rose to EUR 33.6 billion (EUR 32.0 billion). Hidden reserves for available-for-sale fixed-income securities, which are allocable to shareholders’ equity, totalled EUR 635.6 million (EUR 1,246.4 million). This reflects the yield increases observed in the course of the reporting period, especially in the area of US Treasuries, and above all higher risk premiums on corporate bonds and semi-government bonds. As to the quality of the bonds – measured in terms of rating categories –, the proportion of securities rated “A” or better remained on a virtually unchanged high level as at year-end at 79.8% (82.9%).

Rating of fixed-income securities

Holdings of alternative investment funds increased appreciably. As at 31 December 2015 an amount of EUR 781.5 million (EUR 684.9 million) was invested in private equity funds; a further EUR 678.8 million (EUR 551.5 million) was attributable predominantly to investments in high-yield bonds and loans. In addition, altogether EUR 371.3 million (EUR 373.7 million) was invested in structured real estate investments. The uncalled capital with respect to these asset classes totalled EUR 837.1 million (EUR 716.3 million).

We again slightly increased our real estate allocation in the course of the year. Two properties were acquired in the United States for this purpose; further projects are under review, and the real estate allocation will therefore keep rising steadily as planned. Despite selective sales in the course of the reporting period, it rose to 4.4% (3.9%). By moving back into listed equities – accounting for 1% of the asset portfolio – we further improved the diversification of our investment portfolio.

At the end of the year under review we held a total amount of EUR 1.9 billion (EUR 1.3 billion) in short-term investments and cash. Funds withheld amounted to EUR 14.0 billion (EUR 15.9 billion).

 

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