14 Credit risk.

(XLS:) Credit risk – shareholder 2012

As at 31 December 2012

Notes

AAA
£m

AA
£m

A
£m

BBB
£m

BB and below
£m

Unrated bespoke CDOs
£m

Unrated other
£m

Total
£m

1.

‘A’ rated cash and cash equivalents include £5m (2011: £nil) holdings in commercial paper which are short term instruments which carry a short term rating of A1+/A1 from Standard & Poor’s.

Shareholder

 

 

 

 

 

 

 

 

 

Government securities

 

1,125

223

154

26

8

1,536

Other fixed rate securities

 

485

503

1,305

789

24

21

3,127

Variable rate securities

 

417

177

335

12

4

945

Total debt securities

10(i)

2,027

903

1,640

955

54

29

5,608

Accrued interest

10(i)

16

9

14

13

9

61

Loans and receivables

10(iii)

2

6

46

54

Derivative assets

11

2

157

31

190

Cash and cash equivalents1

12

206

820

687

9

335

2,057

Financial assets

 

2,249

1,736

2,504

977

54

450

7,970

Reinsurers’ share of non-participating insurance contracts

 

88

119

103

310

Other assets

43

9

31

71

3

462

576

 

 

2,258

1,855

2,694

980

54

1,015

8,856

Non profit non-unit linked

 

 

 

 

 

 

 

 

 

1.

For risk management purposes, bespoke consolidated CDOs are considered net. For presentation in the balance sheet the components of the CDOs are shown within investments (£812m), cash equivalents (£265m) and derivative liabilities (£(102)m).

Government securities

 

3,246

44

3

286

3,579

Other fixed rate securities

 

1,089

2,574

8,459

7,638

460

992

21,212

Variable rate securities1

 

530

581

1,204

559

975

235

4,084

Total debt securities

10(i)

4,865

3,199

9,666

8,483

460

975

1,227

28,875

Accrued interest

10(i)

34

41

147

141

7

9

379

Loans and receivables

10(iii)

Derivative assets

11

315

2,598

2,913

Cash and cash equivalents

12

17

256

250

19

542

Financial assets

 

4,916

3,811

12,661

8,624

467

975

1,255

32,709

Reinsurers’ share of non-participating insurance contracts

 

1,282

508

171

1,961

Other assets

43

6

299

305

 

 

4,916

5,093

13,175

8,624

467

975

1,725

34,975

With-profits

 

 

 

 

 

 

 

 

 

At the year end, the Group held £429m (2011: £419m) of collateral in respect of non-unit linked derivative assets.

Government securities

 

2,879

373

30

3,282

Other fixed rate securities

 

2,335

1,582

1,962

2,018

125

171

8,193

Variable rate securities

 

26

27

21

3

5

82

Total debt securities

10(i)

5,240

1,982

1,983

2,051

125

176

11,557

Accrued interest

10(i)

64

29

34

44

1

1

173

Loans and receivables

10(iii)

22

22

Derivative assets

11

3

43

46

Cash and cash equivalents

12

212

651

603

3

1,469

Financial assets

 

5,516

2,665

2,663

2,098

126

199

13,267

Reinsurers’ share of participating insurance contracts

 

1

1

Reinsurers’ share of participating investment contracts

 

2

2

Other assets

43

9

191

200

 

 

5,516

2,675

2,663

2,098

126

392

13,470

(XLS:) Credit risk – shareholder 2011

As at 31 December 2011

Notes

AAA
£m

AA
£m

A
£m

BBB
£m

BB and below
£m

Unrated bespoke CDOs
£m

Unrated other
£m

Total
£m

Shareholder

 

 

 

 

 

 

 

 

 

Government securities

 

1,643

139

80

3

4

3

1,872

Other fixed rate securities

 

442

455

1,278

738

53

7

2,973

Variable rate securities

 

468

159

202

91

6

926

Total debt securities

10(i)

2,553

753

1,560

832

63

10

5,771

Accrued interest

10(i)

28

7

20

14

1

6

76

Loans and receivables

10(iii)

11

74

85

Derivative assets

11

55

244

9

308

Cash and cash equivalents

12

258

842

598

4

129

1,831

Financial assets

 

2,839

1,657

2,433

850

64

228

8,071

Reinsurers’ share of non-participating insurance contracts

 

6

91

97

117

311

Other assets

43

85

23

85

5

407

605

 

 

2,930

1,771

2,615

855

64

752

8,987

Non profit non-unit linked

 

 

 

 

 

 

 

 

 

1.

For risk management purposes, bespoke consolidated CDOs are considered net. For presentation in the balance sheet the components of the CDOs are shown within investments (£897m), cash equivalents (£178m) and derivative liabilities (£(203)m).

Government securities

 

2,795

3

200

39

3,037

Other fixed rate securities

 

1,301

2,565

8,007

6,372

412

616

19,273

Variable rate securities1

 

614

286

1,341

331

1

872

238

3,683

Total debt securities

10(i)

4,710

2,854

9,548

6,742

413

872

854

25,993

Accrued interest

10(i)

36

43

162

133

5

9

388

Loans and receivables

10(iii)

Derivative assets

11

1

438

2,667

1

3,107

Cash and cash equivalents

12

20

140

140

40

340

Financial assets

 

4,767

3,475

12,517

6,875

419

872

903

29,828

Reinsurers’ share of non-participating insurance contracts

 

1,244

393

151

1,788

Other assets

43

14

259

273

 

 

4,767

4,733

12,910

6,875

419

872

1,313

31,889

With-profits

 

 

 

 

 

 

 

 

 

Government securities

 

2,251

24

30

17

1

2,323

Other fixed rate securities

 

3,717

1,334

2,260

1,851

127

203

9,492

Variable rate securities

 

33

9

45

14

3

5

109

Total debt securities

10(i)

6,001

1,367

2,335

1,865

147

209

11,924

Accrued interest

10(i)

92

26

51

45

2

2

218

Loans and receivables

10(iii)

1

1

Derivative assets

11

10

155

2

167

Cash and cash equivalents

12

474

490

163

3

1,130

Financial assets

 

6,567

1,893

2,704

1,910

152

214

13,440

Reinsurers’ share of participating insurance contracts

 

1

1

Reinsurers’ share of participating investment contracts

 

Other assets

43

169

169

 

 

6,567

1,894

2,704

1,910

152

391

13,618

Impairment

The Group reviews the carrying value of its financial assets (other than those held at FVTPL) at each balance sheet date. If the carrying value of a financial asset is impaired, the carrying value is reduced through a charge to the income statement. There must be objective evidence of impairment as a result of one or more events which have occurred after the initial recognition of the asset. Impairment is only recognised if the loss event has an impact on the estimated future cash flows of assets held at amortised cost or fair value of assets classified as AFS.

Assets which are subject to amortisation are reviewed for impairment whenever events or changes in circumstances indicate that the carrying amount may not be recoverable. The recoverable amount is the higher of an asset’s fair value less costs to sell and value in use.

The table below provides information regarding the carrying value of financial assets which have been impaired and the ageing analysis of financial assets which are past due but not impaired. Unit linked assets have not been included as shareholders are not exposed to the risks from unit linked policies.

Ageing of financial assets that are past due but not impaired

(XLS:) Credit risk – ageing of financial assets that are past due but not impaired 2012

 

Neither past due nor impaired
£m

Financial assets that are past due but not impaired

Financial assets that have been impaired
£m

Carrying value
£m

As at 31 December 2012

0-3 months
£m

3-6 months
£m

6 months-
1 year
£m

Over 1 year
£m

1.

For risk management purposes, bespoke consolidated CDOs are considered net. For presentation in the balance sheet the components of the CDOs are shown within investments (£812m), cash equivalents (£265m) and derivative liabilities (£(102)m).

Shareholder

8,104

22

1

1

8,128

Non profit non-unit linked1

34,574

207

1

6

9

34,797

With-profits

13,350

12

1

13,363

(XLS:) Credit risk – ageing of financial assets that are past due but not impaired 2011

 

Neither past due nor impaired
£m

Financial assets that are past due but not impaired

Financial assets that have been impaired
£m

Carrying value
£m

As at 31 December 2011

0-3 months
£m

3-6 months
£m

6 months-
1 year
£m

Over 1 year
£m

1.

For risk management purposes, bespoke consolidated CDOs are considered net. For presentation in the balance sheet the components of the CDOs are shown within investments (£897m), cash equivalents (£178m) and derivative liabilities (£(203)m).

Shareholder

8,475

22

1

8,498

Non profit non-unit linked1

31,518

107

8

2

9

31,644

With-profits

13,535

19

1

13,555