Aviva plc FY19 results - part 4 of 5

RNS Number : 0612F
Aviva PLC
05 March 2020
 

START PART 4 of 5

Page 93

 

Analysis of assets

In this section

Page

C

Analysis of assets


C1

Summary of total assets by fund

94

C2

Summary of total assets by valuation bases

95

C3

Analysis of financial investments by fund

97

C4

Analysis of debt securities

98

C5

Analysis of loans

104

C6

Analysis of equity securities

106

C7

Analysis of investment property

107

C8

Analysis of other financial investments

107

C9

Analysis of available for sale investments

108

C10

Summary of exposure to peripheral European countries

108

C11

Reinsurance assets

109

 

 

Page 94

 

As an insurance business, the Group holds a variety of assets to match the characteristics and duration of its insurance liabilities. Appropriate and effective asset liability matching (on an economic basis) is the principal way in which Aviva manages its investments. To support this, we use a variety of hedging and other risk management strategies to mitigate any residual mismatch risk that is outside of our risk appetite.

C1 - Summary of total assets by fund

2019

Policyholder assets
£m

Participating fund assets
£m

Shareholder assets
£m

Total assets analysed
£m

Less: Assets classified as held for sale
£m

Balance sheet total
£m

Goodwill and acquired value of in-force business and intangible assets

-

-

5,181

5,181

(526)

4,655

Interests in joint ventures and associates

93

895

551

1,539

(8)

1,531

Property and equipment

-

183

714

897

(8)

889

Investment property

7,050

3,466

687

11,203

-

11,203

Loans

2,111

5,231

31,238

38,580

(1)

38,579

Financial investments







Debt securities

42,350

100,574

56,557

199,481

(649)

198,832

Equity securities

83,035

14,959

1,832

99,826

(256)

99,570

Other investments

37,822

10,722

3,391

51,935

(6,919)

45,016

Reinsurance assets

4,003

437

7,991

12,431

(75)

12,356

Deferred tax assets

-

-

162

162

(11)

151

Current tax assets

-

-

132

132

-

132

Receivables and other financial assets

744

1,739

6,581

9,064

(69)

8,995

Deferred acquisition costs and other assets

229

646

5,282

6,157

(202)

5,955

Prepayments and accrued income

392

1,278

1,481

3,151

(8)

3,143

Cash and cash equivalents

8,353

6,096

5,855

20,304

(780)

19,524

Assets classified as held for sale

-

-

-

-

9,512

9,512

Total

186,182

146,226

127,635

460,043

-

460,043

Total %

40.5%

31.8%

27.7%

100.0%

-

100.0%

2018 Total1

164,858

142,609

122,054

429,521

-

429,521

2018 Total %1

38.4%

33.2%

28.4%

100.0%

-

100.0%

1  Following a review of the Group's presentation of consolidated investment funds, comparative amounts have been restated from those previously reported. The restatement has had no impact on the profit for the year or equity. See note B2(a) for further information

 

 

Page 95

 

C2 - Summary of total assets by valuation bases

Total assets - 2019

Fair value
£m

Amortised
cost
£m

Equity accounted/

tax assets1

£m

Total
£m

Goodwill and acquired value of in-force business and intangible assets

-

5,181

-

5,181

Interests in joint ventures and associates

-

-

1,539

1,539

Property and equipment

392

505

-

897

Investment property

11,203

-

-

11,203

Loans

28,319

10,261

-

38,580

Financial Investments





Debt securities

199,481

-

-

199,481

Equity securities

99,826

-

-

99,826

Other investments

51,935

-

-

51,935

Reinsurance assets

4,006

8,425

-

12,431

Deferred tax assets

-

-

162

162

Current tax assets

-

-

132

132

Receivables and other financial assets

-

9,064

-

9,064

Deferred acquisition costs and other assets

-

6,157

-

6,157

Prepayments and accrued income

-

3,151

-

3,151

Cash and cash equivalents

20,304

-

-

20,304

Total

415,466

42,744

1,833

460,043

Total %

90.3%

9.3%

0.4%

100.0%

Less: Assets classified as held for sale

(8,619)

(874)

(19)

(9,512)

Total

406,847

41,870

1,814

450,531

Total %

90.3%

9.3%

0.4%

100.0%

2018 Total2

385,133

42,609

1,779

429,521

2018 Total %2

89.7%

9.9%

0.4%

100.0%

1  Within the Group's statement of financial position, assets are recognised for deferred tax and current tax. The valuation basis of these assets does not directly fall within any of the categories outlined above. As such, these assets have been reported together with equity accounted items within the analysis of the Group's assets.

2  Following a review of the Group's presentation of consolidated investment funds, comparative amounts have been restated from those previously reported. The restatement has had no impact on the profit for the year or equity. See note B2(a) for further information.

 

Total assets - Policyholder assets 2019

Fair value
£m

Amortised
cost
£m

Equity accounted/

tax assets1

£m

Total
£m

Goodwill and acquired value of in-force business and intangible assets

-

-

-

-

Interests in joint ventures and associates

-

-

93

93

Property and equipment

-

-

-

-

Investment property

7,050

-

-

7,050

Loans

-

2,111

-

2,111

Financial Investments





Debt securities

42,350

-

-

42,350

Equity securities

83,035

-

-

83,035

Other investments

37,822

-

-

37,822

Reinsurance assets

3,995

8

-

4,003

Deferred tax assets

-

-

-

-

Current tax assets

-

-

-

-

Receivables and other financial assets

-

744

-

744

Deferred acquisition costs and other assets

-

229

-

229

Prepayments and accrued income

-

392

-

392

Cash and cash equivalents

8,353

-

-

8,353

Total

182,605

3,484

93

186,182

Total %

98.1%

1.9%

-

100.0%

Less: Assets classified as held for sale

(8,001)

(169)

-

(8,170)

Total

174,604

3,315

93

178,012

Total %

98.1%

1.9%

-

100.0%

2018 Total2

161,720

3,138

-

164,858

2018 Total %2

98.1%

1.9%

-

100.0%

1  Within the Group's statement of financial position, assets are recognised for deferred tax and current tax. The valuation basis of these assets does not directly fall within any of the categories outlined above. As such, these assets have been reported together with equity accounted items within the analysis of the Group's assets.

2  Following a review of the Group's presentation of consolidated investment funds, comparative amounts have been restated from those previously reported. The restatement has had no impact on the profit for the year or equity. See note B2(a) for further information.

 

 

Page 96

 

C2 - Summary of total assets by valuation bases continued

Total assets - Participating fund assets 2019

Fair value
£m

Amortised
cost
£m

Equity accounted/

tax assets1

£m

Total
£m

Goodwill and acquired value of in-force business and intangible assets

-

-

-

-

Interests in joint ventures and associates

-

-

895

895

Property and equipment

168

15

-

183

Investment property

3,466

-

-

3,466

Loans

42

5,189

-

5,231

Financial Investments





Debt securities

100,574

-

-

100,574

Equity securities

14,959

-

-

14,959

Other investments

10,722

-

-

10,722

Reinsurance assets

-

437

-

437

Deferred tax assets

-

-

-

-

Current tax assets

-

-

-

-

Receivables and other financial assets

-

1,739

-

1,739

Deferred acquisition costs and other assets

-

646

-

646

Prepayments and accrued income

-

1,278

-

1,278

Cash and cash equivalents

6,096

-

-

6,096

Total

136,027

9,304

895

146,226

Total %

93.0%

6.4%

0.6%

100.0%

Less: Assets classified as held for sale

(206)

-

-

(206)

Total

135,821

9,304

895

146,020

Total %

93.0%

6.4%

0.6%

100.0%

2018 Total2

131,992

9,618

999

142,609

2018 Total %2

92.6%

6.7%

0.7%

100.0%

1  Within the Group's statement of financial position, assets are recognised for deferred tax and current tax. The valuation basis of these assets does not directly fall within any of the categories outlined above. As such, these assets have been reported together with equity accounted items within the analysis of the Group's assets.

2  Following a review of the Group's presentation of consolidated investment funds, comparative amounts have been restated from those previously reported. The restatement has had no impact on the profit for the year or equity. See note B2(a) for further information.

Total assets - Shareholder assets 2019

Fair value
£m

Amortised
cost
£m

Equity accounted/

tax assets1

£m

Total
£m

Goodwill and acquired value of in-force business and intangible assets

-

5,181

-

5,181

Interests in joint ventures and associates

-

-

551

551

Property and equipment

224

490

-

714

Investment property

687

-

-

687

Loans

28,277

2,961

-

31,238

Financial Investments





Debt securities

56,557

-

-

56,557

Equity securities

1,832

-

-

1,832

Other investments

3,391

-

-

3,391

Reinsurance assets

11

7,980

-

7,991

Deferred tax assets

-

-

162

162

Current tax assets

-

-

132

132

Receivables and other financial assets

-

6,581

-

6,581

Deferred acquisition costs and other assets

-

5,282

-

5,282

Prepayments and accrued income

-

1,481

-

1,481

Cash and cash equivalents

5,855

-

-

5,855

Total

96,834

29,956

845

127,635

Total %

75.8%

23.5%

0.7%

100.0%

Less: Assets classified as held for sale

(412)

(705)

(19)

(1,136)

Total

96,422

29,251

826

126,499

Total %

76.2%

23.1%

0.7%

100.0%

2018 Total2

91,421

29,853

780

122,054

2018 Total %2

74.9%

24.5%

0.6%

100.0%

1  Within the Group's statement of financial position, assets are recognised for deferred tax and current tax. The valuation basis of these assets does not directly fall within any of the categories outlined above. As such, these assets have been reported together with equity accounted items within the analysis of the Group's assets.

2  Following a review of the Group's presentation of consolidated investment funds, comparative amounts have been restated from those previously reported. The restatement has had no impact on the profit for the year or equity. See note B2(a) for further information

 

 

Page 97

 

C3 - Analysis of financial investments by fund

The asset allocation as at 31 December 2019 across the Group, split according to the type of the liability the assets are backing, is shown in the table below.


Shareholder business assets



Participating fund assets




Carrying value in the statement of financial position

General insurance &

 health & other1

£m

Annuity and non-profit
£m

Total shareholder assets
£m

Policyholder (unit-linked assets)
£m

UK style
with-profits
£m

Continental European-style participating funds
£m

Total assets analysed
£m

Less: Assets classified as held for sale £m

Carrying value in the statement of financial position
£m

Debt securities (note C4)










6,499

17,566

24,065

18,099

13,762

33,022

88,948

(125)

88,823

3,759

21,916

25,675

16,736

11,380

34,823

88,614

(525)

88,089

Other

2,096

4,721

6,817

7,515

5,039

2,548

21,919

1

21,920


12,354

44,203

56,557

42,350

30,181

70,393

199,481

(649)

198,832

Loans (note C5)










-

21,508

21,508

-

41

-

21,549

-

21,549

Other loans

1,329

8,401

9,730

2,111

4,071

1,119

17,031

(1)

17,030


1,329

29,909

31,238

2,111

4,112

1,119

38,580

(1)

38,579

Equity securities (note C6)

1,292

540

1,832

83,035

11,137

3,822

99,826

(256)

99,570

520

167

687

7,050

1,957

1,509

11,203

-

11,203

Other investments (note C8)

1,317

2,074

3,391

37,822

5,736

4,986

51,935

(6,919)

45,016

Total

16,812

76,893

93,705

172,368

53,123

81,829

401,025

(7,825)

393,200

2018 Total2

16,673

72,556

89,229

152,158

54,549

78,806

374,742

(7,251)

367,491

1  Of the £16,812 million of assets 26% relates to other shareholder business assets.

2  Following a review of the Group's presentation of consolidated investment funds, comparative amounts have been restated from those previously reported. The restatement has had no impact on the profit for the year or equity. See note B2(a) for further information

 

 

Page 98

 

C4 - Analysis of debt securities

C4.1 Fair value hierarchy

To provide further information on the valuation techniques we use to measure assets carried at fair value, we have categorised the measurement basis for assets carried at fair value into a 'fair value hierarchy' described as follows, based on the lowest level input that is significant to the valuation as a whole:

· Inputs to Level 1 fair values are quoted prices (unadjusted) in active markets for identical assets.

· Inputs to Level 2 fair values are inputs other than quoted prices included within Level 1 that are observable for the asset, either directly or indirectly. If the asset has a specified (contractual) term, a Level 2 input must be observable for substantially the full term of the asset.

· Inputs to Level 3 fair values are unobservable inputs for the asset. Unobservable inputs may have been used to measure fair value to the extent that observable inputs are not available, thereby allowing for situations in which there is little, if any, market activity for the asset at the measurement date. However, the fair value measurement objective remains the same, i.e. an exit price at the measurement date from the perspective of a market participant that holds the asset. Unobservable inputs reflect the assumptions the business unit considers that market participants would use in pricing the asset. Examples are investment property and commercial and equity release mortgage loans.

 


Fair value hierarchy


Debt securities - Total 2019

Level 1
£m

Level 2
£m

Level 3
£m

Total
£m

UK Government

24,485

2,132

629

27,246

Non-UK government

36,463

20,859

4,380

61,702

Europe

35,207

7,605

3,691

46,503

North America

308

5,811

445

6,564

Asia Pacific & Other

948

7,443

244

8,635

Corporate bonds - Public utilities

686

7,965

1,615

10,266

Other corporate bonds

6,199

61,857

10,292

78,348

Other

3

20,836

1,080

21,919

Total

67,836

113,649

17,996

199,481

Total %

34.0%

57.0%

9.0%

100.0%

Less: Assets classified as held for sale

(198)

(50)

(401)

(649)

Total

67,638

113,599

17,595

198,832

Total %

34.0%

57.2%

8.8%

100.0%

2018 Total1,2

66,016

109,194

16,862

192,072

2018 Total %1,2

34.3%

56.9%

8.8%

100.0%

1  Following a review of the Group's presentation of consolidated investment funds, comparative amounts have been restated from those previously reported. The review identified amounts presented within cash and cash equivalents and other investments that are now presented as debt securities in the table above. The restatement has had no impact on the profit for the year or equity. See note B2(a) for further information.

Following a review of the classification of financial assets, comparative amounts have been amended from those previously reported. The effect of this change is to reclassify £2,201 million of assets from fixed maturity securities to other investments.


Fair value hierarchy


Debt securities - Policyholder assets 2019

Level 1
£m

Level 2
£m

Level 3
£m

Total
£m

UK Government

8,787

1

-

8,788

Non-UK government

3,318

5,986

7

9,311

Europe

3,076

1,526

-

4,602

North America

30

1,730

5

1,765

Asia Pacific & Other

212

2,730

2

2,944

Corporate bonds - Public utilities

10

1,370

1

1,381

Other corporate bonds

91

14,559

705

15,355

Other

2

7,513

-

7,515

Total

12,208

29,429

713

42,350

Total %

28.8%

69.5%

1.7%

100.0%

Less: Assets classified as held for sale

(39)

(26)

(401)

(466)

Total

12,169

29,403

312

41,884

Total %

29.1%

70.2%

0.7%

100.0%

2018 Total1,2

10,674

25,881

626

37,181

2018 Total %1,2

28.7%

69.6%

1.7%

100.0%

1  Following a review of the Group's presentation of consolidated investment funds, comparative amounts have been restated from those previously reported. The review identified amounts presented within cash and cash equivalents and other investments that are now presented as debt securities in the table above. The restatement has had no impact on the profit for the year or equity. See note B2(a) for further information.

Following a review of the classification of financial assets, comparative amounts have been amended from those previously reported. The effect of this change is to reclassify £1,444 million from other investments to fixed maturity securities.

 

 

Page 99

 

C4 - Analysis of debt securities continued

C4.1 Fair value hierarchy continued


Fair value hierarchy


Debt securities - Participating fund assets 2019

Level 1
£m

Level 2
£m

Level 3
£m

Total
£m

UK Government

6,451

810

115

7,376

Non-UK government

30,152

7,334

1,922

39,408

Europe

29,357

2,872

1,898

34,127

North America

204

407

24

635

Asia Pacific & Other

591

4,055

-

4,646

Corporate bonds - Public utilities

648

2,760

43

3,451

Other corporate bonds

5,836

30,713

6,203

42,752

Other

1

6,741

845

7,587

Total

43,088

48,358

9,128

100,574

Total %

42.8%

48.1%

9.1%

100.0%

Less: Assets classified as held for sale

-

-

-

-

Total

43,088

48,358

9,128

100,574

Total %

42.8%

48.1%

9.1%

100.0%

2018 Total1,2

42,135

47,782

9,478

99,395

2018 Total %1,2

42.4%

48.1%

9.5%

100.0%

1  Following a review of the Group's presentation of consolidated investment funds, comparative amounts have been restated from those previously reported. The review identified amounts presented within cash and cash equivalents and other investments that are now presented as debt securities in the table above. The restatement has had no impact on the profit for the year or equity. See note B2(a) for further information.

Following a review of the classification of financial assets, comparative amounts have been amended from those previously reported. The effect of this change is to reclassify £3,408 million from fixed maturity securities to other investments.


Fair value hierarchy


Debt securities - Shareholder assets 2019

Level 1
£m

Level 2
£m

Level 3
£m

Total
£m

UK Government

9,247

1,321

514

11,082

Non-UK government

2,993

7,539

2,451

12,983

Europe

2,774

3,207

1,793

7,774

North America

74

3,674

416

4,164

Asia Pacific & Other

145

658

242

1,045

Corporate bonds - Public utilities

28

3,835

1,571

5,434

Other corporate bonds

272

16,585

3,384

20,241

Other

-

6,582

235

6,817

Total

12,540

35,862

8,155

56,557

Total %

22.2%

63.4%

14.4%

100.0%

Less: Assets classified as held for sale

(159)

(24)

-

(183)

Total

12,381

35,838

8,155

56,374

Total %

22.0%

63.5%

14.5%

100.0%

2018 Total1,2

13,207

35,531

6,758

55,496

2018 Total %1,2

23.8%

64.0%

12.2%

100.0%

1  Following a review of the Group's presentation of consolidated investment funds, comparative amounts have been restated from those previously reported. The review identified amounts presented within cash and cash equivalents and other investments that are now presented as debt securities in the table above. The restatement has had no impact on the profit for the year or equity. See note B2(a) for further information.

Following a review of the classification of financial assets, comparative amounts have been amended from those previously reported. The effect of this change is to reclassify £237 million from fixed maturity securities to other investments.

 

 

Page 100

 

C4 - Analysis of debt securities continued

C4.2 External ratings continued


External ratings



Debt securities - Total 2019

AAA
£m

AA
£m

A
£m

BBB
£m

Less than BBB £m

Non-rated
£m

Total
£m

Government








UK Government

-

26,510

211

-

-

323

27,044

UK local authorities

-

145

-

-

-

57

202

Non-UK Government

13,234

23,149

6,574

14,114

3,575

1,056

61,702


13,234

49,804

6,785

14,114

3,575

1,436

88,948

Corporate








Public utilities

8

304

3,534

4,441

688

1,291

10,266

Other corporate bonds

6,353

8,585

22,311

25,197

10,732

5,170

78,348


6,361

8,889

25,845

29,638

11,420

6,461

88,614

Certificates of deposit

-

8,257

5,264

-

-

1,020

14,541

Structured








Residential Mortgage Backed Security non-agency prime

371

3

79

65

-

-

518


371

3

79

65

-

-

518

Commercial Mortgage Backed Security

565

151

81

110

-

27

934

Asset Backed Security

358

445

242

128

166

-

1,339

Collateralised Debt Obligation (including Collateralised Loan Obligation)

315

-

-

-

-

-

315

Asset Backed Commercial Paper

41

64

-

-

-

-

105


1,279

660

323

238

166

27

2,693

Wrapped credit

-

13

497

104

5

39

658

Other

122

313

526

1,768

780

-

3,509

Total

21,367

67,939

39,319

45,927

15,946

8,983

199,481

Total %

10.7%

34.1%

19.7%

23.0%

8.0%

4.5%

100.0%

Less: Assets classified as held for sale

(69)

(80)

(43)

(400)

(4)

(53)

(649)

Total

21,298

67,859

39,276

45,527

15,942

8,930

198,832

Total %

10.7%

34.1%

19.8%

22.9%

8.0%

4.5%

100.0%

2018 Total1,2

19,163

70,180

34,807

45,957

11,340

10,625

192,072

2018 Total %1,2

10.0%

36.6%

18.1%

23.9%

5.9%

5.5%

100.0%

1  Following a review of the Group's presentation of consolidated investment funds, comparative amounts have been restated from those previously reported. The review identified amounts presented within cash and cash equivalents and other investments that are now presented as debt securities in the table above. The restatement has had no impact on the profit for the year or equity. See note B2(a) for further information.

Following a review of the classification of financial assets, comparative amounts have been amended from those previously reported. The effect of this change is to reclassify £2,201 million of assets from fixed maturity securities to other investments.

 

 

 

Page 101

 

C4 - Analysis of debt securities continued

C4.2 External ratings continued


External ratings



Debt securities - Policyholder assets 2019

AAA
£m

AA
£m

A
£m

BBB
£m

Less than BBB £m

Non-rated
£m

Total
£m

Government








UK Government

-

8,739

4

-

-

44

8,787

UK local authorities

-

1

-

-

-

-

1

Non-UK Government

2,650

684

1,854

2,335

1,742

46

9,311


2,650

9,424

1,858

2,335

1,742

90

18,099

Corporate








Public utilities

7

35

681

479

164

15

1,381

Other corporate bonds

637

1,502

3,817

4,672

3,617

1,110

15,355


644

1,537

4,498

5,151

3,781

1,125

16,736

Certificates of deposit

-

2,738

2,478

-

-

873

6,089

Structured








Residential Mortgage Backed Security non-agency prime

104

2

-

25

-

-

131


104

2

-

25

-

-

131

Commercial Mortgage Backed Security

89

51

1

29

-

-

170

Asset Backed Security

104

42

11

-

26

-

183

Collateralised Debt Obligation (including Collateralised Loan Obligation)

-

-

-

-

-

-

-

Asset Backed Commercial Paper

12

40

-

-

-

-

52


205

133

12

29

26

-

405

Wrapped credit

-

-

-

4

-

-

4

Other

31

79

133

446

197

-

886

Total

3,634

13,913

8,979

7,990

5,746

2,088

42,350

Total %

8.6%

32.8%

21.2%

18.9%

13.6%

4.9%

100.0%

Less: Assets classified as held for sale

(14)

(15)

(10)

(384)

(4)

(39)

(466)

Total

3,620

13,898

8,969

7,606

5,742

2,049

41,884

Total %

8.6%

33.2%

21.4%

18.2%

13.7%

4.9%

100.0%

2018 Total1,2

2,096

14,121

6,534

6,772

4,495

3,163

37,181

2018 Total %1,2

5.6%

38.0%

17.6%

18.2%

12.1%

8.5%

100.0%

1  Following a review of the Group's presentation of consolidated investment funds, comparative amounts have been restated from those previously reported. The review identified amounts presented within cash and cash equivalents and other investments that are now presented as debt securities in the table above. The restatement has had no impact on the profit for the year or equity. See note B2(a) for further information.

Following a review of the classification of financial assets, comparative amounts have been amended from those previously reported. The effect of this change is to reclassify £1,444 million from other investments to fixed maturity securities.

 

 

 

Page 102

 

C4 - Analysis of debt securities continued

C4.2 External ratings continued


External ratings



Debt securities - Participating fund assets 2019

AAA
£m

AA
£m

A
£m

BBB
£m

Less than BBB £m

Non-rated
£m

Total
£m

Government








UK Government

-

7,246

2

-

-

121

7,369

UK local authorities

-

7

-

-

-

-

7

Non-UK Government

4,694

18,158

3,296

11,351

1,781

128

39,408


4,694

25,411

3,298

11,351

1,781

249

46,784

Corporate








Public utilities

1

133

984

1,754

516

63

3,451

Other corporate bonds

3,597

4,267

10,803

15,450

6,818

1,817

42,752


3,598

4,400

11,787

17,204

7,334

1,880

46,203

Certificates of deposit

-

2,497

1,346

-

-

134

3,977

Structured








Residential Mortgage Backed Security non-agency prime

126

1

17

39

-

-

183


126

1

17

39

-

-

183

Commercial Mortgage Backed Security

130

25

3

24

-

11

193

Asset Backed Security

115

59

122

13

45

-

354

Collateralised Debt Obligation (including Collateralised Loan Obligation)

315

-

-

-

-

-

315

Asset Backed Commercial Paper

13

23

-

-

-

-

36


573

107

125

37

45

11

898

Wrapped credit

-

-

33

4

-

2

39

Other

87

222

373

1,255

553

-

2,490

Total

9,078

32,638

16,979

29,890

9,713

2,276

100,574

Total %

9.0%

32.4%

16.9%

29.7%

9.7%

2.3%

100.0%

Less: Assets classified as held for sale

-

-

-

-

-

-

-

Total

9,078

32,638

16,979

29,890

9,713

2,276

100,574

Total %

9.0%

32.4%

16.9%

29.7%

9.7%

2.3%

100.0%

2018 Total1,2

8,886

34,300

16,030

30,659

6,444

3,076

99,395

2018 Total %1,2

8.9%

34.6%

16.1%

30.8%

6.5%

3.1%

100.0%

1  Following a review of the Group's presentation of consolidated investment funds, comparative amounts have been restated from those previously reported. The review identified amounts presented within cash and cash equivalents and other investments that are now presented as debt securities in the table above. The restatement has had no impact on the profit for the year or equity. See note B2(a) for further information.

Following a review of the classification of financial assets, comparative amounts have been amended from those previously reported. The effect of this change is to reclassify £3,408 million from fixed maturity securities to other investments.

 

 

Page 103

 

C4 - Analysis of debt securities continued

C4.2 External ratings continued


External ratings



Debt securities - Shareholder assets 2019

AAA
£m

AA
£m

A
£m

BBB
£m

Less than BBB £m

Non-rated
£m

Total
£m

Government








UK Government

-

10,525

205

-

-

158

10,888

UK local authorities

-

137

-

-

-

57

194

Non-UK Government

5,890

4,307

1,424

428

52

882

12,983


5,890

14,969

1,629

428

52

1,097

24,065

Corporate








Public utilities

-

136

1,869

2,208

8

1,213

5,434

Other corporate bonds

2,119

2,816

7,691

5,075

297

2,243

20,241


2,119

2,952

9,560

7,283

305

3,456

25,675

Certificates of deposit

-

3,022

1,440

-

-

13

4,475

Structured








Residential Mortgage Backed Security non-agency prime

141

-

62

1

-

-

204


141

-

62

1

-

-

204

Commercial Mortgage Backed Security

346

75

77

57

-

16

571

Asset Backed Security

139

344

109

115

95

-

802

Collateralised Debt Obligation (including Collateralised Loan Obligation)

-

-

-

-

-

-

-

Asset Backed Commercial Paper

16

1

-

-

-

-

17


501

420

186

172

95

16

1,390

Wrapped credit

-

13

464

96

5

37

615

Other

4

12

20

67

30

-

133

Total

8,655

21,388

13,361

8,047

487

4,619

56,557

Total %

15.3%

37.8%

23.6%

14.2%

0.9%

8.2%

100.0%

Less: Assets classified as held for sale

(55)

(65)

(33)

(16)

-

(14)

(183)

Total

8,600

21,323

13,328

8,031

487

4,605

56,374

Total %

15.3%

37.8%

23.6%

14.2%

0.9%

8.2%

100.0%

2018 Total1,2

8,181

21,759

12,243

8,526

401

4,386

55,496

2018 Total %1,2

14.7%

39.2%

22.1%

15.4%

0.7%

7.9%

100.0%

1  Following a review of the Group's presentation of consolidated investment funds, comparative amounts have been restated from those previously reported. The review identified amounts presented within cash and cash equivalents and other investments that are now presented as debt securities in the table above. The restatement has had no impact on the profit for the year or equity. See note B2(a) for further information.

Following a review of the classification of financial assets, comparative amounts have been amended from those previously reported. The effect of this change is to reclassify £237 million from fixed maturity securities to other investments.

Within shareholder assets debt securities, 42.5 % of exposure is in government holdings (2018 restated: 41.1%). Our corporate debt securities portfolio represents 45.4 % of total shareholder debt securities (2018 restated: 47.3%). At 31 December 2019, the proportion of our shareholder debt securities that are investment grade is 90.9 % (2018 restated: 91.4%). The remaining 9.1 % of shareholder debt securities that do not have an external rating of BBB or higher can be split as follows:

·   0.9 % are debt securities that are rated as below investment grade; and

·   8.2 % are not rated by the major rating agencies.

The majority of non-rated corporate bonds are held by our businesses in the UK. Of the securities not rated by an external rating agency most are allocated an internal rating using a methodology largely consistent with that adopted by an external rating agency, and are considered to be of investment grade credit quality; these include £ 3.2   billion (2018: £3.0 billion) of debt securities held in our UK Life business, predominantly made up of private placements and other corporate bonds, which have been internally rated as investment grade.

 

 

Page 104

 

C5 - Analysis of loans

(a)  Overview

The Group's loan portfolio of £38,579 million (2018 restated: £36,184 million) is principally made up of the following:

· Policy loans of £684 million (2018: £770 million), which are generally collateralised by a lien or charge over the underlying policy;

· Loans and advances to banks of £8,830 million (2018 restated: £9,322 million), which primarily relate to loans of cash collateral received in stock lending transactions and are therefore fully collateralised by other securities. Following a review of the Group's presentation of consolidated investment funds, comparative amounts have been restated from those previously reported to reclassify certain stock lending transactions from cash and cash equivalents to loans and advances to banks. The restatement has had no impact on the profit for the year or equity. See note B2(a) for further information;

· Mortgage loans collateralised by property assets of £21,549 million (2018: £19,864 million); and

· Healthcare, infrastructure and private financial initiative (PFI) loans of £6,467 million (2018: £5,358 million).

Loans with fixed maturities, including policy loans and loans and advances to banks, are recognised when cash is advanced to borrowers. These loans are carried at their unpaid principal balances and adjusted for amortisation of premium or discount, non-refundable loan fees and related direct costs. These amounts are deferred and amortised over the life of the loan using the effective interest rate method.

For certain mortgage loans, the Group has taken advantage of the fair value option under IAS 39 Financial Instruments: Recognition Measurement to present the mortgages, associated borrowings, other liabilities and derivative financial instruments at fair value, since they are managed together on a fair value basis. These mortgage loans are not traded in active markets and are classified within level 3 of the fair value hierarchy as the significant valuation assumptions and inputs are not deemed to be market observable. Of the Group's total loan portfolio, 55.8% (2018 restated: 54.9%) is invested in mortgage loans. The shareholder risk relating to these loans is discussed further below.

Healthcare, infrastructure and PFI loans included within shareholder assets are £6,467 million (2018: £5,358 million). These loans are secured against the income from healthcare and education premises and as such are not considered further in this section.

Loans - Shareholder assets 2019

United Kingdom
£m

Canada
£m

Europe
£m

Asia
£m

Total
£m

Policy loans

5

-

2

1

8

Loans and advances to banks

3,129

-

-

-

3,129

Healthcare, Infrastructure and PFI other loans

6,248

-

219

-

6,467

Mortgage loans

21,508

-

-

-

21,508

Other loans

-

125

1

-

126

Total

30,890

125

222

1

31,238

Total %

98.9%

0.4%

0.7%

-

100.0%

Less: Assets classified as held for sale

-

-

-

-

-

Total

30,890

125

222

1

31,238

Total %

98.9%

0.4%

0.7%

-

100.0%

2018 Total1

27,901

164

252

2

28,319

2018 Total %1

98.5%

0.6%

0.9%

-

100.0%

1  Following a review of the Group's presentation of consolidated investment funds, comparative amounts have been restated from those previously reported. The review identified amounts presented within cash and cash equivalents and other investments that are now presented as loans and advances to banks in the table above. The restatement has had no impact on the profit for the year or equity. See note B2(a) for further information.

(b) Analysis of shareholder mortgage loans 

Mortgage loans included within shareholder assets are £21,508 million (2018: £19,813 million) and are almost entirely held in the UK. The narrative below focuses on explaining the risks arising as a result of these exposures.

2019

Total
£m

Non-securitised mortgage loans


- Residential (Equity release)

8,558

- Commercial

7,640

- Healthcare, Infrastructure and PFI mortgage loans

2,878


19,076

Securitised mortgage loans

2,432

Total

21,508

Less: Assets classified as held for sale

-

Total

21,508

2018 Total

19,813

Non-securitised mortgage loans

Residential

The UK non-securitised residential mortgage portfolio has a total value as at 31 December 2019 of £8,558 million (2018: £7,315 million). The movement in the year is due to £782 million of new lending and an increase in the fair value of £502 million. Additional accrued interest in the year is offset by the value of redemptions. These mortgages are all in the form of equity release, whereby homeowners mortgage their property to release cash equity. Due to the structure of equity release mortgages, whereby interest amounts due are not paid in cash but instead rolled into the amount outstanding, they predominantly have a current Loan to Value (LTV) of below 70%. The average LTV across the portfolio is 28.2% (2018: 26.8%).

 

 

Page 105

 

C5 - Analysis of loans continued

(b)  Analysis of shareholder mortgage loans continued

Non-securitised mortgage loans continued

Commercial

Gross exposure by loan to value and arrears of UK non-securitised commercial mortgages is shown in the table below.

2019

>120%
£m

115-120% £m

110-115% £m

105-110% £m

100-105% £m

95-100% £m

90-95% £m

80-90% £m

70-80% £m

<70%
£m

Total
£m

Not in arrears

-

-

-

-

302

144

-

65

913

6,216

7,640

Total

-

-

-

-

302

144

-

65

913

6,216

7,640

Of the £7,640 million (2018: £7,232 million) of mortgage loans within shareholder assets, £6,877 million are used to back annuity liabilities and are stated on a fair value basis. The UK loan exposures are calculated on a discounted cash flow basis, and include a risk adjustment through the use of a Credit Risk Adjusted Value (CRAV).

For commercial mortgages, loan service collection ratios, a key indicator of mortgage portfolio performance, improved to 2.56x (2018: 2.43x). Loan Interest Cover (LIC), which is defined as the annual net rental income (including rental deposits less ground rent) divided by the annual loan interest service, also improved to 2.9x (2018: 2.75x). Average mortgage LTV increased from 54.9% in 2018 to 55.6%. There are no loans in arrears (2018: nil).

Commercial mortgages and Healthcare, Infrastructure and PFI loans are held at fair value on the asset side of the statement of financial position. The related insurance liabilities are valued using a discount rate derived from the gross yield on assets, with adjustments to allow for risk. £15,910 million of shareholder loan assets are backing annuity liabilities and comprise of commercial mortgage loans (£6,877 million), Healthcare, Infrastructure and PFI mortgage loans (£2,878 million) and Healthcare, Infrastructure and PFI other loans (£6,155 million).

The Group carries a valuation allowance within insurance liabilities against the risk of default of commercial mortgages of £500 million which equates to 34 bps at 31 December 2019 (2018: 41 bps). The total valuation allowance held on business transferred in from Aviva Annuity UK Limited in respect of corporate bonds and mortgages is £1,300 million (2018: £1,300 million) over the remaining term of the UK corporate bond and mortgage portfolio.

The UK portfolio remains well diversified in terms of property type, location and tenants as well as the spread of loans written over time. The risks in commercial mortgages are addressed through several layers of protection with the mortgage risk profile being primarily driven by the ability of the underlying tenant rental income to cover loan interest and amortisation. Should any single tenant default on their rental payment, rental from other tenants backing the same loan often ensures the loan interest cover does not fall below 1.0x. Where there are multiple loans to a single borrower further protection may be achieved through cross-charging (or pooling) such that any single loan is also supported by rents received within other pool loans. Additionally, there may be support provided by the borrower of the loan itself and further loss mitigation from any general floating charge held over assets within the borrower companies.

If the LIC cover falls below 1.0x and the borrower defaults then Aviva retains the option of selling the security or restructuring the loans and benefiting from the protection of the collateral. A combination of these benefits and the high recovery levels afforded by property collateral (compared to corporate debt or other uncollateralised credit exposures) results in the economic exposure being significantly lower than the gross exposure reported above. The Group continues to actively manage this position.

Healthcare, Infrastructure and PFI

Healthcare, Infrastructure and PFI mortgage loans included within shareholder assets of £2,878 million (2018: £2,829 million) are secured against healthcare premises, education, social housing and emergency services related premises. For all such loans, Government support is provided through either direct funding or reimbursement of rental payments to the tenants to meet income service and provide for the debt to be reduced substantially over the term of the loan. Although the loan principal is not Government guaranteed, the nature of these businesses provides considerable comfort of an ongoing business model and low risk of default.

On a market value basis, we estimate the average LTV of these mortgages to be 72.6% (2018: 72.3%), although this is not considered to be a key risk indicator due to the Government support noted above and the social need for these premises. The Group therefore consider these loans to be lower risk relative to other mortgage loans.

Securitised mortgage loans

As at 31 December 2019, the Group has £2,432 million (2018: £2,437 million) of securitised mortgage loans within shareholder assets. Funding for the securitised residential mortgage assets was obtained by issuing loan note securities. Of these loan notes approximately £224 million (2018: £239 million) are held by Group companies. The remainder is held by third parties external to Aviva. As any cash shortfall arising once all mortgages have been redeemed is borne by the loan note holders, the majority of the credit risk of these mortgages is borne by third parties rather than by shareholders. The average LTV across the securitised mortgage loans is 49.0% (2018: 45.2%).

 

 

Page 106

 

C6 - Analysis of equity securities





2019




Restated1

2018


Fair value hierarchy


Fair value hierarchy


Equity securities - Total assets

Level 1
£m

Level 2
£m

Level 3
£m

Total
£m

Level 1
£m

Level 2
£m

Level 3
£m

Total
£m

Public utilities

2,883

-

-

2,883

2,369

-

-

2,369

Banks, trusts and insurance companies

20,476

-

160

20,636

19,571

-

172

19,743

Industrial miscellaneous and all other

75,496

-

600

76,096

65,860

-

269

66,129

Non-redeemable preferred shares

211

-

-

211

196

-

-

196

Total

99,066

-

760

99,826

87,996

-

441

88,437

Total %

99.2%

-

0.8%

100.0%

99.5%

-

0.5%

100.0%

Less: Assets classified as held for sale

(216)

-

(40)

(256)

(183)

-

(27)

(210)

Total

98,850

-

720

99,570

87,813

-

414

88,227

Total %

99.3%

-

0.7%

100.0%

99.5%

-

0.5%

100.0%

1  Following a review of the Group's presentation of consolidated investment funds, comparative amounts have been restated from those previously reported. The review identified amounts presented within cash and cash equivalents and other investments that are now presented as equity securities in the table above. The restatement has had no impact on the profit for the year or equity. See note B2(a) for further information.





2019




Restated1

2018


Fair value hierarchy


Fair value hierarchy


Equity securities - Policyholder assets

Level 1
£m

Level 2
£m

Level 3
£m

Total
£m

Level 1
£m

Level 2
£m

Level 3
£m

Total
£m

Public utilities

2,549

-

-

2,549

2,072

-

-

2,072

Banks, trusts and insurance companies

17,070

-

6

17,076

15,897

-

6

15,903

Industrial miscellaneous and all other

63,210

-

189

63,399

55,068

-

167

55,235

Non-redeemable preferred shares

11

-

-

11

19

-

-

19

Total

82,840

-

195

83,035

73,056

-

173

73,229

Total %

99.8%

-

0.2%

100.0%

99.8%

-

0.2%

100.0%

Less: Assets classified as held for sale

(216)

-

(40)

(256)

(183)

-

(26)

(209)

Total

82,624

-

155

82,779

72,873

-

147

73,020

Total %

99.8%

-

0.2%

100.0%

99.8%

-

0.2%

100.0%

1  Following a review of the Group's presentation of consolidated investment funds, comparative amounts have been restated from those previously reported. The review identified amounts presented within cash and cash equivalents and other investments that are now presented as equity securities in the table above. The restatement has had no impact on the profit for the year or equity. See note B2(a) for further information.





2019




Restated1

2018


Fair value hierarchy


Fair value hierarchy


Equity securities - Participating fund assets

Level 1
£m

Level 2
£m

Level 3
£m

Total
£m

Level 1
£m

Level 2
£m

Level 3
£m

Total
£m

Public utilities

319

-

-

319

283

-

-

283

Banks, trusts and insurance companies

3,239

-

48

3,287

3,525

-

65

3,590

Industrial miscellaneous and all other

10,973

-

380

11,353

9,724

-

95

9,819

Non-redeemable preferred shares

-

-

-

-

-

-

-

-

Total

14,531

-

428

14,959

13,532

-

160

13,692

Total %

97.1%

-

2.9%

100.0%

98.8%

-

1.2%

100.0%

Less: Assets classified as held for sale

-

-

-

-

-

-

-

-

Total

14,531

-

428

14,959

13,532

-

160

13,692

Total %

97.1%

-

2.9%

100.0%

98.8%

-

1.2%

100.0%

1  Following a review of the Group's presentation of consolidated investment funds, comparative amounts have been restated from those previously reported. The review identified amounts presented within cash and cash equivalents and other investments that are now presented as equity securities in the table above. The restatement has had no impact on the profit for the year or equity. See note B2(a) for further information.





2019




Restated1

2018


Fair value hierarchy


Fair value hierarchy


Equity securities - Shareholder assets

Level 1
£m

Level 2
£m

Level 3
£m

Total
£m

Level 1
£m

Level 2
£m

Level 3
£m

Total
£m

Public utilities

15

-

-

15

14

-

-

14

Banks, trusts and insurance companies

167

-

106

273

149

-

101

250

Industrial miscellaneous and all other

1,313

-

31

1,344

1,068

-

7

1,075

Non-redeemable preferred shares

200

-

-

200

177

-

-

177

Total

1,695

-

137

1,832

1,408

-

108

1,516

Total %

92.5%

-

7.5%

100.0%

92.9%

-

7.1%

100.0%

Less: Assets classified as held for sale

-

-

-

-

-

-

(1)

(1)

Total

1,695

-

137

1,832

1,408

-

107

1,515

Total %

92.5%

-

7.5%

100.0%

92.9%

-

7.1%

100.0%

1  Following a review of the Group's presentation of consolidated investment funds, comparative amounts have been restated from those previously reported. The review identified amounts presented within cash and cash equivalents and other investments that are now presented as equity securities in the table above. The restatement has had no impact on the profit for the year or equity. See note B2(a) for further information.

 

 

Page 107

 

C7 - Analysis of investment property

The Group's total investment property value is £11,203 million (2018: £11,482 million).

Within total investment properties by value 93.9% (2018: 93.6%) are held in policyholder or participating fund assets. Shareholder exposure to investment properties is principally through investments in UK and French commercial property.

Investment properties are stated at their market values as assessed by qualified external independent valuers. The properties are valued on an income basis that is based on current rental income plus anticipated uplifts at the next rent review, lease expiry, or break option taking into consideration lease incentives and assuming no further growth in the estimated rental value of the property. This uplift and the discount rate are derived from rates implied by recent market transactions on similar property. These inputs are deemed unobservable.

Within total investment properties by value 97.6% (2018: 97.3%) are leased to third parties under operating leases, with the remainder either being vacant or held for capital appreciation.

Within shareholder investment properties by value 100% (2018: 100%) are leased to third parties under operating leases.

C8 - Analysis of other financial investments





2019




Restated 1,2

2018


Fair value hierarchy


Fair value hierarchy


Other investments - Total

Level 1
£m

Level 2
£m

Level 3
£m

Total
£m

Level 1
£m

Level 2
£m

Level 3
£m

Total
£m

Unit trusts and other investment vehicles

37,004

438

4,394

41,836

33,930

365

4,309

38,604

Derivative financial instruments

240

6,365

492

7,097

448

4,377

532

5,357

Deposits with credit institutions

156

13

-

169

155

-

-

155

Minority holdings in property management undertakings

1

62

2,332

2,395

-

28

1,947

1,975

Other

438

-

-

438

476

-

-

476

Total

37,839

6,878

7,218

51,935

35,009

4,770

6,788

46,567

Total %

72.9%

13.2%

13.9%

100.0%

75.2%

10.2%

14.6%

100.0%

Less: Assets classified as held for sale

(5,374)

-

(1,545)

(6,919)

(5,038)

-

(1,606)

(6,644)

Total

32,465

6,878

5,673

45,016

29,971

4,770

5,182

39,923

Total %

72.1%

15.3%

12.6%

100.0%

75.1%

11.9%

13.0%

100.0%

1  Following a review of the Group's presentation of consolidated investment funds, comparative amounts have been restated from those previously reported. The review identified amounts presented within cash and cash equivalents and other investments that are now presented as loans, equity securities and fixed maturity securities. The restatement has had no impact on the profit for the year or equity. See note B2(a) for further information.

2  Following a review of the classification of financial assets, comparative amounts have been amended from those previously reported. The effect of this change is to reclassify £2,201 million of assets from fixed maturity securities to other investments.





2019




Restated 1,2

2018


Fair value hierarchy


Fair value hierarchy


Other investments - Policyholder assets

Level 1
£m

Level 2
£m

Level 3
£m

Total
£m

Level 1
£m

Level 2
£m

Level 3
£m

Total
£m

Unit trusts and other investment vehicles

33,698

390

1,549

35,637

29,382

259

1,611

31,252

Derivative financial instruments

17

828

-

845

44

619

2

665

Deposits with credit institutions

125

13

-

138

125

-

-

125

Minority holdings in property management undertakings

1

-

775

776

-

-

370

370

Other

426

-

-

426

460

-

-

460

Total

34,267

1,231

2,324

37,822

30,011

878

1,983

32,872

Total %

90.6%

3.3%

6.1%

100.0%

91.3%

2.7%

6.0%

100.0%

Less: Assets classified as held for sale

(5,166)

-

(1,545)

(6,711)

(5,022)

-

(1,606)

(6,628)

Total

29,101

1,231

779

31,111

24,989

878

377

26,244

Total %

93.5%

4.0%

2.5%

100.0%

95.3%

3.3%

1.4%

100.0%

1  Following a review of the Group's presentation of consolidated investment funds, comparative amounts have been restated from those previously reported. The review identified amounts presented within cash and cash equivalents and other investments that are now presented as loans, equity securities and fixed maturity securities. The restatement has had no impact on the profit for the year or equity. See note B2(a) for further information.

Following a review of the classification of financial assets, comparative amounts have been amended from those previously reported. The effect of this change is to reclassify £1,444 million from other investments to fixed maturity securities.

 

 

Page 108

 

C8 - Analysis of other financial investments continued





2019




Restated 1,2

2018


Fair value hierarchy


Fair value hierarchy


Other investments - Participating fund assets

Level 1
£m

Level 2
£m

Level 3
£m

Total
£m

Level 1
£m

Level 2
£m

Level 3
£m

Total
£m

Unit trusts and other investment vehicles

2,767

47

2,661

5,475

3,729

105

2,585

6,419

Derivative financial instruments

183

3,656

42

3,881

248

2,408

69

2,725

Deposits with credit institutions

26

-

-

26

17

-

-

17

Minority holdings in property management undertakings

-

28

1,312

1,340

-

-

1,366

1,366

Other

-

-

-

-

-

-

-

-

Total

2,976

3,731

4,015

10,722

3,994

2,513

4,020

10,527

Total %

27.8%

34.8%

37.4%

100.0%

37.9%

23.9%

38.2%

100.0%

Less: Assets classified as held for sale

(206)

-

-

(206)

-

-

-

-

Total

2,770

3,731

4,015

10,516

3,994

2,513

4,020

10,527

Total %

26.3%

35.5%

38.2%

100.0%

37.9%

23.9%

38.2%

100.0%

1  Following a review of the Group's presentation of consolidated investment funds, comparative amounts have been restated from those previously reported. The review identified amounts presented within cash and cash equivalents and other investments that are now presented as loans, equity securities and fixed maturity securities. The restatement has had no impact on the profit for the year or equity. See note B2(a) for further information.

Following a review of the classification of financial assets, comparative amounts have been amended from those previously reported. The effect of this change is to reclassify £3,408 million from fixed maturity securities to other investments.





2019




Restated 1,2

2018


Fair value hierarchy


Fair value hierarchy


Other investments - Shareholder assets

Level 1
£m

Level 2
£m

Level 3
£m

Total
£m

Level 1
£m

Level 2
£m

Level 3
£m

Total
£m

Unit trusts and other investment vehicles

539

1

184

724

819

1

113

933

Derivative financial instruments

40

1,881

450

2,371

156

1,350

461

1,967

Deposits with credit institutions

5

-

-

5

13

-

-

13

Minority holdings in property management undertakings

-

34

245

279

-

28

211

239

Other

12

-

-

12

16

-

-

16

Total

596

1,916

879

3,391

1,004

1,379

785

3,168

Total %

17.6%

56.5%

25.9%

100.0%

31.7%

43.5%

24.8%

100.0%

Less: Assets classified as held for sale

(2)

-

-

(2)

(16)

-

-

(16)

Total

594

1,916

879

3,389

988

1,379

785

3,152

Total %

17.5%

56.6%

25.9%

100.0%

31.3%

43.8%

24.9%

100.0%

1  Following a review of the Group's presentation of consolidated investment funds, comparative amounts have been restated from those previously reported. The review identified amounts presented within cash and cash equivalents and other investments that are now presented as loans, equity securities and fixed maturity securities. The restatement has had no impact on the profit for the year or equity. See note B2(a) for further information.

Following a review of the classification of financial assets, comparative amounts have been amended from those previously reported. The effect of this change is to reclassify £237 million from fixed maturity securities to other investments.

C9 - Analysis of available for sale investments

There were no impairment expenses during 2019 relating to AFS debt securities and other investments.

Total unrealised losses on AFS debt securities at 31 December 2019 were £2 million (2018: £5 million). There were no other unrealised losses on AFS investments.

C10 - Summary of exposure to peripheral European countries

The Group's direct sovereign exposures to Greece, Ireland, Portugal, Italy and Spain (net of non-controlling interests, excluding policyholder assets) is summarised below:



Participating


Shareholder


Total


2019
£bn

Restated1

2018
£bn

2019
bn

Restated1

2018
£bn

2019
£bn

Restated 1

2018

£bn

Greece

-

-

-

-

-

-

Ireland

0.8

0.9

0.3

0.2

1.1

1.1

Portugal

0.2

0.2

0.1

-

0.3

0.2

Italy

7.7

7.1

0.2

0.6

7.9

7.7

Spain

0.6

0.8

0.2

0.1

0.8

0.9

Total

9.3

9.0

0.8

0.9

10.1

9.9

1  Following a review of the Group's presentation of consolidated investment funds, comparative amounts have been restated from those previously reported. The review identified amounts presented within cash and cash equivalents and other investments that are now presented as sovereign exposures in the table above. The restatement has had no impact on the profit for the year or equity. See note B2(a) for further information.

Included in our debt securities and other financial assets are exposures to peripheral European countries. All of these assets are valued on a mark-to-market basis under IAS 39, and therefore our statement of financial position and income statement already reflect any reduction in value between the date of purchase and the balance sheet date.

 

 

Page 109

 

C11 - Reinsurance assets

The Group assumes and cedes reinsurance in the normal course of business, with retention limits varying by line of business. Reinsurance assets primarily include balances due from both insurance and reinsurance companies for ceded insurance liabilities. Amounts recoverable from reinsurers are estimated in a manner consistent with the outstanding claims provisions or settled claims associated with the reinsured policies and in accordance with the relevant reinsurance contract.

If a reinsurance asset is impaired, the Group reduces the carrying amount accordingly and recognises that impairment loss in the income statement. A reinsurance asset is impaired if there is objective evidence, as a result of an event that occurred after initial recognition of the reinsurance asset, that the Group may not receive all amounts due to it under the terms of the contract, and the event has a reliably measurable impact on the amounts that the Group will receive from the reinsurer.

For the table below, reinsurance asset credit ratings are stated in accordance with information from leading rating agencies.






Ratings



2019

AAA
£m

AA
£m

A
£m

BBB
£m

Less than BBB £m

Not rated
£m

Total
£m

Policyholder assets

-

3,054

149

449

-

351

4,003

Participating fund assets

-

180

255

2

-

-

437

Shareholder assets

412

6,194

735

521

-

129

7,991

Total

412

9,428

1,139

972

-

480

12,431

Total %

3.3%

75.8%

9.2%

7.8%

-

3.9%

100.0%

Less: Assets classified as held for sale

-

(54)

(14)

-

-

(7)

(75)

Total

412

9,374

1,125

972

-

473

12,356

Total %

3.3%

75.9%

9.1%

7.9%

-

3.8%

100.0%

2018 Total

-

9,796

1,183

322

1

498

11,800

2018 Total %

-

83.1%

10.0%

2.7%

-

4.2%

100.0%

 

END PART 4 of 5

 


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