Solvency Capital Requirement

Transcription

1 Solvency Capital Requirement Market Risk Report Pyrford Pyrford Global Total Return (Sterling) Fund Class B Stg Accumulating Page 1

2 Market Risk - SCR Contribution Sub Module SCR (GBP) % AUM Interest rate 1,329, % Equity 14,956, % Property Spread % Currency 6,942, % Concentration % Diversification -5,056, % Market Risk 18,170, % Market Risk - SCR Contribution / AUM (%) Top 10 Issuer Exposures Issuer Rating Exposure UK TSY 1 3/4% 2019 AA 8.10% US TREASURY N/B AAA 7.28% UK TSY 3 3/4% 2020 AA 7.08% UK TSY 1 1/2% 2021 AA 6.84% UK TSY 2% 2020 AA 6.78% UK TSY 3 3/4% 2019 AA 6.57% UK TSY 4 3/4% 2020 AA 5.32% AUSTRALIAN GOVERNMENT AAA 5.05% UNITED KINGDOM GILT AA 4.14% UK TSY 8% 2021 AA 3.97% Top 10 Country Exposures Country Market Value Exposure UNITED KINGDOM 77,129, % UNITED STATES 10,528, % AUSTRALIA 8,987, % CANADA 7,567, % SINGAPORE 3,013, % SWITZERLAND 2,772, % HONG KONG 2,343, % SWEDEN 2,031, % JAPAN 1,775, % TAIWAN 1,562, % Concentration by Asset Class Credit Rating Exposure Asset Class Market Value Exposure Fixed Income 80,989, % Equity 38,082, % Cash 3,712, % FX -36, % Page 2

3 Extract from Quantitative Reporting Template (SCR-B3A)* Before After Gross Solvency Sub Module Shock Shock Capital Contribution Interest rate risk 1.08% Interest rate down shock 65.99% 66.83% Interest rate up shock 65.99% 64.91% Equity risk 12.15% Type 1 equities 24.23% 14.75% Type 1 equity 24.23% 14.75% Strategic participations (type 1 equities) 0.00% 0.00% Duration-based (type 1 equities) 0.00% 0.00% Type 2 equities 6.70% 3.41% Type 2 equity 6.70% 3.41% Strategic participations (type 2 equities) 0.00% 0.00% Duration-based (type 2 equities) 0.00% 0.00% Property risk 0.00% 0.00% 0.00% Spread risk 0.00% Bonds 66.08% 66.08% Credit derivatives 0.00% 0.00% Downward shock on credit derivatives 0.00% Upward shock on credit derivatives 0.00% Securitisation 0.00% 0.00% Currency risk 37.33% 5.64% Market risk concentrations 97.01% 0.00% Diversification within module -4.11% Gross capital requirement for market risk - Assets 14.76% * This table provides the basic market risk information for assets only Page 3

4 Interest Rate Shock Instrument Type NPV Up Shock Down Shock Up Shock (%) Down Shock (%) Bond 81,348,860-1,387,805 1,099, % 0.89% Cash 3,712, % 0.00% Equity 38,076, % 0.00% FX Forward -113,467 58,570-63, % -0.05% Total 123,023,441-1,329,235 1,036, % 0.84% Page 4

5 Equity Shock Instrument Type NPV Equity Type1 Shock Equity Type2 Shock Equity Type1 Shock (%) Equity Type2 Shock (%) Equity 38,076,003-11,673,006-4,054, % -3.29% Total 38,076,003-11,673,006-4,054, % -3.29% Spread Shock Instrument Type NPV Up Shock Down Shock Up Shock (%) Down Shock (%) Total 0.00% 0.00% Page 5

6 Currency Shock CCY Instrument Type NPV Up Shock Down Shock Up Shock (%) Down Shock (%) AUD Bond 6,262,401-1,565,600 1,565, % 1.27% AUD Equity 2,800, , , % 0.57% AUD FX Forward -8,519,068 2,129,767-2,129, % -1.73% CAD Bond 5,976,519-1,494,130 1,494, % 1.21% CAD Cash 1, % 0.00% CAD Equity 1,611, , , % 0.33% CAD FX Forward -7,158,292 1,789,573-1,789, % -1.45% CHF Equity 2,775, , , % 0.56% CHF FX Forward -2,623, , , % -0.53% EUR Cash % 0.00% EUR Equity 2,455, , , % 0.50% EUR FX Forward % 0.00% GBP Bond 60,154, % 0.00% GBP Cash 3,664, % 0.00% GBP Equity 13,247, % 0.00% GBP FX Forward 18,186, % 0.00% HKD Cash 26,485-6,621 6, % 0.01% HKD Equity 2,317, , , % 0.47% ILS Equity 592, , , % 0.12% JPY Equity 1,773, , , % 0.36% MYR Cash % 0.00% MYR Equity 1,371, , , % 0.28% NOK Equity 951, , , % 0.19% SEK Equity 2,030, , , % 0.41% SGD Cash % 0.00% SGD Equity 3,017, , , % 0.61% TWD Cash 18,043-4,511 4, % 0.00% TWD Equity 1,544, , , % 0.31% USD Bond 8,955,244-2,238,811 2,238, % 1.82% USD Cash 1, % 0.00% USD Equity 1,585, , , % 0.32% Total 123,023,441-6,942,441 6,942, % 5.64% Page 6

7 Currency Risk Decomposition CCY NPV Up Shock Down Shock Currency Risk Currency Risk / AUM AUD 544, , , , % CAD 431, , , , % CHF 151,994-37,998 37,998 37, % EUR 2,455, , , , % GBP 95,253, % HKD 2,344, , , , % ILS 592, , , , % JPY 1,773, , , , % MYR 1,371, , , , % NOK 951, , , , % SEK 2,030, , , , % SGD 3,017, , , , % TWD 1,562, , , , % USD 10,542,790-2,635,697 2,635,697 2,635, % Total 123,023,441-6,942,441 6,942,441 6,942, % Page 7

8 Report Notes 1. Figures are presented as % of fund NAV, or Net Asset Value 2. The credit rating corresponds to the second best credit rating based on 3 rating agencies 3. The Spread Shocks table does not include shocks on securitisations, bonds and loans. Disclaimer This information is for general informational purposes only and it does not constitute investment research or investment, legal, or tax advice, and it is not an offer or solicitation to buy or sell any product, service, or securities or any financial instrument, and it does not constitute any binding contractual arrangement or commitment of any kind. State Street Corporation and its subsidiaries and affiliates ( State Street ) provide products and services to professional and institutional clients and this is not directed at retail clients. Any opinions expressed in this document are subject to change without notice. While all reasonable efforts have been made to ensure the accuracy of the information contained in this document, there is no warranty, express or implied, as to its accuracy or completeness, this information is provided as-is and State Street disclaims any and all liability and makes no guarantee, representation, or warranty of any from or in connection with the use of this information. All statistics quoted are sourced by State Street unless otherwise stated. No part of this publication may be reproduced, redistributed, modified, or stored in a retrieval system or transmitted, in any form or by any means, electronic, mechanical, photocopying, recording or otherwise, without State Street Corporation s prior written consent. Copyright 2018 State Street Corporation, All rights reserved Page 8