17 Credit risk.

17 Credit risk.
(XLS:) Credit risk – Shareholder 2013

As at 31 December 2013

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 £nil (2012: £5m) 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

 

1,050

285

17

143

43

23

1,561

Other fixed rate securities

 

344

423

1,282

969

217

154

3,389

Variable rate securities

 

360

141

152

2

8

11

674

Total debt securities

12(i)

1,754

849

1,451

1,114

268

188

5,624

Accrued interest

12(i)

12

7

16

16

3

1

55

Loans and receivables

12(iii)

14

23

42

79

Derivative assets

13

10

171

26

207

Cash and cash equivalents1

14

160

469

619

6

1

307

1,562

Financial assets excluding equities

 

1,926

1,349

2,280

1,136

272

564

7,527

Reinsurers’ share of contract liabilities

 

124

102

86

312

Other assets

 

17

63

49

602

731

 

 

1,943

1,536

2,431

1,136

272

1,252

8,570

(XLS:) Credit risk – Non profit non-unit linked 2013

1.

For financial risk management purposes, bespoke consolidated CDOs are considered net. For presentation in the balance sheet the components of the CDOs are shown within non profit non-unit linked investments (2013: £616m; 2012: £812m), cash equivalents (2013: £384m; 2012: £265m) and derivative liabilities (2013: £(17)m; 2012: £(102)m).

Non profit non-unit linked

 

 

 

 

 

 

 

 

 

Government securities

 

219

3,232

4

265

3,720

Other fixed rate securities

 

914

2,746

8,544

7,224

581

1,377

21,386

Variable rate securities1

 

225

703

1,539

692

9

983

361

4,512

Total debt securities

12(i)

1,358

6,681

10,087

8,181

590

983

1,738

29,618

Accrued interest

12(i)

20

62

149

145

13

11

400

Loans and receivables

12(iii)

Derivative assets

13

167

1,933

2,100

Cash and cash equivalents

14

12

310

315

52

689

Financial assets excluding equities

 

1,390

7,220

12,484

8,326

603

983

1,801

32,807

Reinsurers’ share of contract liabilities

 

1,482

648

141

2,271

Other assets

 

338

338

 

 

1,390

8,702

13,132

8,326

603

983

2,280

35,416

At the year end, the Group held £953m (2012: £429m) of collateral in respect of non-unit linked derivative assets.

(XLS:) Credit risk – With-profits 2013

With-profits

 

 

 

 

 

 

 

 

 

Government securities

 

137

3,353

43

83

15

2

3,633

Other fixed rate securities

 

1,221

1,078

1,796

1,937

129

516

6,677

Variable rate securities

 

12

5

7

23

47

Total debt securities

12(i)

1,358

4,431

1,851

2,025

151

541

10,357

Accrued interest

12(i)

24

57

29

40

1

1

152

Loans and receivables

12(iii)

30

30

Derivative assets

13

3

45

48

Cash and cash equivalents

14

205

651

446

11

1,313

Financial assets excluding equities

 

1,587

5,142

2,371

2,065

152

583

11,900

Reinsurers’ share of contract liabilities

 

1

1

Other assets

 

32

1

156

189

 

 

1,619

5,143

2,372

2,065

152

739

12,090

(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

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

12(i)

2,027

903

1,640

955

54

29

5,608

Accrued interest

12(i)

16

9

14

13

9

61

Loans and receivables

12(iii)

2

6

46

54

Derivative assets

13

2

157

31

190

Cash and cash equivalents

14

206

820

687

9

335

2,057

Financial assets excluding equities

 

2,249

1,736

2,504

977

54

450

7,970

Reinsurers’ share of contract liabilities

 

88

119

103

310

Other assets

 

9

31

71

3

462

576

 

 

2,258

1,855

2,694

980

54

1,015

8,856

(XLS:) Credit risk – Non profit non-unit linked 2012

1.

For financial 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).

Non profit non-unit linked

 

 

 

 

 

 

 

 

 

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

12(i)

4,865

3,199

9,666

8,483

460

975

1,227

28,875

Accrued interest

12(i)

34

41

147

141

7

9

379

Loans and receivables

12(iii)

Derivative assets

13

315

2,598

2,913

Cash and cash equivalents

14

17

256

250

19

542

Financial assets excluding equities

 

4,916

3,811

12,661

8,624

467

975

1,255

32,709

Reinsurers’ share of contract liabilities

 

1,282

508

171

1,961

Other assets

 

6

299

305

 

 

4,916

5,093

13,175

8,624

467

975

1,725

34,975

(XLS:) Credit risk – With-profits 2012

With-profits

 

 

 

 

 

 

 

 

 

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

12(i)

5,240

1,982

1,983

2,051

125

176

11,557

Accrued interest

12(i)

64

29

34

44

1

1

173

Loans and receivables

12(iii)

22

22

Derivative assets

13

3

43

46

Cash and cash equivalents

14

212

651

603

3

1,469

Financial assets excluding equities

 

5,516

2,665

2,663

2,098

126

199

13,267

Reinsurers’ share of contract liabilities

 

1

2

3

Other assets

 

9

191

200

 

 

5,516

2,675

2,663

2,098

126

392

13,470

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 2013

 

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 2013

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 (£616m), cash equivalents (£384m) and derivative liabilities (£(17)m).

Shareholder

7,914

30

3

1

7,948

Non profit non-unit linked1

35,088

149

11

8

9

35,265

With-profits

11,910

20

11,930

(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

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