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In its risk sensitivity analysis the PZU Group distinguishes risk pertaining to financial assets, risk pertaining to technical rates and mortality.
Risk related to financial assets
Table below presents the results of the analysis of the net financial result and PZU Group’s equity sensitivity to changes in interest rate risk, currency risk, and equity risk. The analysis does not take into account the impact of changes in interest rates on the insurance or investment contracts presented as liabilities.
Financial assets exposed to currency risk include deposit transactions and debt instruments used to hedge payments from technical provisions denominated in foreign currencies, as well as exposures to equities listed on stock exchanges other than WSE, investment fund units and certificates in foreign currencies, exposures to derivatives denominated in foreign currencies and financial assets of consolidated entities denominated in foreign currencies.
| Sensitivity of assets portfolio (in PLN million) | Change of risk factor | 31 December 2015 | 31 December 2014 | ||
|---|---|---|---|---|---|
| Impact on net financial result | Impact on equity | Impact on net financial result | Impact on equity | ||
| Interest rate risk | drop by 100 bps | 601 | 149 | 126 | 223 |
| increase by 100 bps | (548) | (142) | (138) | (219) | |
| Foreign currency risk | increase by 20% | 89 | 15 | 6 | 119 |
| drop by 20% | (89) | (15) | (6)* | (119)* | |
| Equity instruments risk | increase by 20% | 545 | 207 | 346 | 561 |
| drop by 20% | (545) | (207) | (346) | (561) | |
*Assuming a 80% drop in the exchange rate of hryvnia vs. Polish zloty (with a 20% drop maintained for other currencies), the adverse impact on financial result and equity would amount to PLN 47 million and PLN 159 million respectively.
Risk pertaining to technical rates and mortality
Table below shows a sensitivity analysis of the net result and equity to changes in the assumptions used to calculate the capitalized annuities. The analysis does not take into account the impact of changes in valuation of the deposits taken into consideration in calculation of the reserve on the net financial result and equity
| Sensitivity of provisions | Impact of assumptions on: | |||
|---|---|---|---|---|
| net financial result | equity | |||
| 31 December 2015 | 31 December 2014 | 31 December 2015 | 31 December 2014 | |
| Change in assumptions used to calculate the provisions for capitalized annuities net of reinsurance in non-life insurance (in PLN million) | ||||
| Technical rate – increase by 0.5 p.p. | 412 | 415 | 412 | 415 |
| Technical rate – decrease by 1.0 p.p. | (1,064) | (1,074) | (1,064) | (1,074) |
| Mortality 110% of existing value | 127 | 129 | 127 | 129 |
| Mortality 90% of existing value | (142) | (144) | (142) | (144) |
| Change in assumptions for annuities in life insurance (in PLN million) | ||||
| Technical rate – decrease by 1 p.p. | (32) | (34) | (32) | (34) |
| Mortality 90% of existing value | (12) | (12) | (12) | (12) |
| Change in assumptions for provisions for insurance and investment contracts with DPF in life insurance, excluding annuities (in PLN million) | ||||
| Technical rate – decrease by 1 p.p. | (2,157) | (2,194) | (2,157) | (2,194) |
| Mortality 110% of existing value | (902) | (923) | (902) | (923) |
| 110% of morbidity and injury rates | (179) | (187) | (179) | (187) |
