Petroleum Fund of Timor-Leste Notes to the financial statements
for the year ended 31 December 2013
12. Financial risk and management objectives and policies continued
Summarised sensitivity analysis
The following table summarises the sensitivity of the Funds operating profit and net assets to price risk. The analysis is based on reasonably possible movements in the benchmark with all other variables held constant and the fair value of the Funds portfolio moving according to the
movement in the benchmark. The reasonably possible movements in the risk variables have been determined based on the investment managers’ best estimates, having regard to a number of factors, including historical levels of changes in market index, security prices andor
benchmark returns and interest rates. However, actual movements in the risk variables may be greater or less than anticipated due to a number of factors, including unusually large market shocks resulting from changes in the performance of the economies, markets and securities to
which the variable is exposed. As a result, historic variations in risk variables are not a definitive indicator of future variations in the risk variables.
Price risk Impact on operating profit Net assets
As at 31122013: -10.00 As at 31122013: +10.00
As at 31122012: -10.00 As at 31122012: +10.00
31 December 2013
533,352,659 533,352,659
31 December 2012 303,482,541
303,482,541
c Market risk continued ii Interest rate risk
Interest rate risk arises from the possibility that an investments fair value or associated future cash flows will change due to a change in the absolute level of interest rates, in the spread between two rates, in the shape of the yield curve or in any other interest rate relationship.
The majority of interest rate exposure arises on investments in debt securities in the United States of America, and to a lesser extent, the rest of the developed world. Most of the Petroleum Fund’s investments in debt securities carry fixed interest rates and mature within ten years.
The Petroleum Fund manages this risk by investing according to well-defined industry benchmarks with specified duration target and tracking error limit. The assets and liabilities of the Petroleum Fund will re-price or mature within the following periods:
As at 31122013 USD
FINANCIAL ASSETS
Statement of financial
position Non-interest
sensitive 6 months or less 6 to 12 months
1 to 2 years 2 to 5 years
5 to 10 years
Cash and cash equivalents
70,185,105 -
70,185,105 -
- -
- Other receivables
11,112,267 11,112,267
- -
- -
- Financial assets at
fair value through profit or loss
14,904,678,996 5,333,526,585
- 48,412,491
630,207,747 6,671,629,193
2,220,902,980
Total assets 14,985,976,368
5,344,638,852 70,185,105
48,412,491 630,207,747
6,671,629,193 2,220,902,980
Weighted average interest rate
- 1.96
2.36 1.03
2.86
As at 31122012 USD
FINANCIAL ASSETS
Statement of financial
position Non-interest
sensitive 6 months or less 6 to 12 months
1 to 2 years 2 to 5 years
5 to 10 years
Cash and cash equivalents
60,884,289 -
60,884,289 -
- -
- Other receivables
6,477,700 6,477,700
- -
- -
- Financial assets at
fair value through profit or loss
11,711,144,753 3,034,825,409
- -
1,058,345,114 5,533,535,917
2,084,438,313
Total assets 11,778,506,742
3,041,303,109 60,884,289
- 1,058,345,114
5,533,535,917 2,084,438,313
Weighted average interest rate
0.15 -
2.08 1.39
2.72 - 25 -
