Caso Perú: Proyecto Piloto “Tumbes Accesible”

surplus (deficit) $000 2012 Impact on net surplus (deficit) $000

New Zealand dollar interest rates +1.0 59,344 2,005

New Zealand dollar interest rates -1.0 (59,344) (2,005)

Fair value interest rate risk Change in interest rate %

2013 Impact on net surplus (deficit) $000 2012 Impact on net surplus (deficit) $000

Long-term New Zealand dollar interest rates +1.0 (1,002,960) (805,593)

Long-term New Zealand dollar interest rates -1.0 1,166,716 916,196

The above only shows the impacts of changes in interest rate on ACC’s investment portfolios. Changes in interest rate also have an impact on the outstanding claims liability. Refer to Note 27(e)(ii) for this sensitivity analysis.

Interest Rate Swap Contracts

Under interest rate swap contracts, ACC agrees to exchange the difference between fixed and floating rate interest payments calculated on agreed notional principal amounts. Such contracts enable ACC to manage its interest rate risk and create synthetic fixed rate bonds from its investment in variable rate debt. The fair value of interest rate swaps at the reporting date is determined by discounting the future cash flows using the bank bill and swap curves at the reporting date. The average (fixed) interest rate is based on the outstanding balances at the end of the financial year.

The following table details the notional principal amounts and remaining terms of interest rate swap contracts outstanding as at the reporting date:

Average contracted fixed

interest rate Notional amount Fair value

2013 2012 2013 2012 2013 2012

Receive fix/pay floating interest rate swap contracts % % $000 $000 $000 $000

Less than one year – – – – – –

Between one and two years – – – – – –

Between two and three years 2.52 – 82,657 – (56) –

Greater than three years 4.39 4.91 5,829,050 3,667,864 23,073 305,791

5,911,707 3,667,864 23,017 305,791

The interest rate swap contracts have payments on a quarterly and semi-annual basis. ACC settles the difference between the semi-annual fixed and floating interest rate payments on a net basis.

(ii) Foreign exchange risk

Foreign exchange risk is the risk that the value of ACC’s investment portfolio will be adversely affected by a change in foreign exchange rates. ACC is exposed to foreign exchange risk principally due to its holdings of foreign-currency-denominated investments. ACC partially offsets these exposures by entering into foreign currency contracts for forward sales of foreign currencies against the New Zealand dollar and longer-term, cross-currency interest rate swaps.

The Investment Committee establishes neutral ‘benchmark’ levels of foreign exchange exposure for each Account. These benchmark levels of foreign exchange exposure accord with ACC’s high-level objective of finding an appropriate balance between the competing objectives of minimising risk and maximising expected return.

Practically, the Investment Committee has set benchmarks that would require all foreign exchange exposures from the Australian equity portfolio to be hedged, whilst allowing for a portion of non-Australasian portfolio to remain unhedged. This portion of unhedged currency exposures is set as a percentage of the total value of each Account’s reserves portfolio, rather

68

Notes to the financial statements

For the year ended 30 June 2013

than being determined as a simple proportion of the investment in global markets. In each case, the benchmark level of foreign exchange exposure is greater than zero, but lower than the Account’s total investment in global bonds and equities. Accordingly, each Account partially hedges its foreign exchange exposure arising from its global equity portfolios.

The Investment Committee allows ACC’s internal Investment Unit to vary the actual level of foreign exposure taken by each Account from the benchmark level of foreign exchange exposure, within fixed ranges determined by the Investment Committee. During the year, ACC consistently maintained a higher level of foreign currency exposure than the neutral levels inherent in ACC’s benchmarks. This was achieved by undertaking a lower level of foreign exchange hedging than would have been necessary to achieve the benchmark level of foreign exchange exposure.

Repricing Analysis

All foreign exchange contracts held by ACC have remaining terms of six months or less. While the cross-currency interest rate swaps have maturities out to 12 years, changes in exchange rates lead to cash flows every three months.

Sensitivity Analysis

The following sensitivity analysis shows the impact on the consolidated net surplus (deficit) of a change of 10% in the New Zealand dollar against the respective major currencies, with all other variables remaining constant. Any change in the net surplus (deficit) for the period would result in a corresponding movement in equity.

2013

$000 AUD USD EUR GBP CHF JPY CAD OTHER

Impact on net surplus (deficit)

10% increase (14,992) (219,907) (88,934) (69,499) (25,478) (47,001) (7,736) (39,277)

10% decrease 18,324 268,775 108,697 84,943 31,140 57,446 9,455 48,006

2012

$000 AUD USD EUR GBP CHF JPY CAD OTHER

Impact on net surplus (deficit)

10% increase (6,085) (178,616) (63,453) (53,826) (20,883) (32,653) (5,292) (32,532)

10% decrease 7,437 218,308 77,554 65,787 25,524 39,910 6,468 36,684

(iii) Other price risk

ACC invests in equities and unit trusts from a long-term perspective. Nevertheless, changes in the market price of equity investments:

• will often reflect a true change in the fair value

• affect the value that ACC could realise for these investments if it chose to sell them in the short-term

• will be reflected in the valuation carried in ACC’s statement of financial position and the investment income reported in ACC’s statement of comprehensive income.

69

Notes to the financial statements

For the year ended 30 June 2013

Sensitivity analysis

The table below details the sensitivity to a change of 10% in the market value of listed and unlisted equity investments to the consolidated net surplus (deficit) at the reporting date, with other variables held constant. Any change in the net surplus (deficit) for the period would result in a corresponding movement in equity.

Movement %

2013