Siemens 2015 Annual Report Download - page 86

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Consolidated Financial Statements

Sensitivity analysis
A one-half-percentage-point change of the above assumptions
would result in the following increase (decrease) of the DBO:
Effect on DBO due to a one-half percentage-point
Sep 30, 2015 Sep 30, 2014
(in millions of €) increase decrease increase decrease
Discount rate (2,121) 2,380 (2,100) 2,361
Rate of compen-
sation increase 101 (93) 95 (90)
Rate of pension
progression 1,717 (1,379) 1,590 (1,441)
The DBO effect of a  % reduction in mortality rates for all
beneficiaries would be an increase of € , million and
€ , million, respectively, as of September ,  and .
As in prior year, sensitivity determinations apply the same
methodology as applied for the determination of the post-em-
ployment benefit obligation. Sensitivities reflect changes in the
DBO solely for the assumption changed.
Asset Liability Matching Strategies
As a significant risk, the Company considers a decline in the
plans’ funded status due to adverse developments of plan as-
sets and / or defined benefit obligations resulting from chang-
ing parameters. Accordingly, Siemens implemented a risk man-
agement concept aligned with the defined benefit obligations
(Asset Liability Matching). Risk management is based on a
worldwide defined risk threshold (value-at-risk). The concept,
the value at risk and the asset development including the in-
vestment strategy are monitored and adjusted on an ongoing
basis under consultation of senior external experts. Indepen-
dent asset managers are selected based on quantitative and
qualitative analysis, which includes their performance and risk
evaluation. Derivatives are used to reduce risks as part of risk
management.
Disaggregation of plan assets
Sep 30,
(in millions of €) 2015 2014
Equity securities 6,285 7,050
U. S. equities 1,366 1,463
European equities 1,783 2,030
Emerging markets 1,143 1,611
Global equities 1,993 1,947
Fixed income securities 15,206 14,694
Government bonds 4,718 4,216
Corporate bonds 10,488 10,479
Alternative investments 3,526 3,174
Hedge Funds 1,403 1,211
Private Equity 772 626
Real estate 1,351 1,337
Multi strategy funds 733 –
Derivatives 491 646
Interest risk 1,079 1,149
Foreign currency risk 26 (45)
Credit/Inflation/Price risks (614) (458)
Cash and cash equivalents 483 456
Other assets 572 485
Total 27,296 26,505
1 Multi strategy funds comprise absolute return funds and diversified growth funds
that invest in various asset classes within a single fund and aim to stabilize return
and reduce volatility.
Virtually all equity securities have quoted prices in active mar-
kets. The fair value of fixed income securities is based on prices
provided by price service agencies. The fixed income securities
are traded in highly liquid markets and almost all fixed income
securities are investment grade.
Future cash flows
Employer contributions expected to be paid to defined benefit
plans in fiscal  are €  million. Over the next ten fiscal
years, average annual benefit payments of € , million and
€ , million, respectively, are expected as of September ,
 and . The weighted average duration of the DBO for
Siemens defined benefit plans was  years as of September ,
 and .
DEFINED CONTRIBUTION PLANS AND STATE PLANS
The amount recognized as expense for defined contribution
plans amounts to €  million and €  million in fiscal 
and , respectively. Contributions to state plans amount to
€ , million and € , million in fiscal  and , respec-
tively.