18 Credit risk

As at 31 December 2014

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

 

839

237

22

213

55

5

1,371

Other fixed rate securities

 

319

466

1,031

841

159

228

3,044

Variable rate securities

 

350

124

125

13

6

618

Total debt securities

13(i)

1,508

827

1,178

1,067

220

233

5,033

Accrued interest

13(i)

7

6

11

14

3

41

Loans and receivables

13(iii)

39

113

53

22

59

286

Derivative assets

14

6

93

14

113

Cash and cash equivalents

15

348

936

314

106

11

360

2,075

Financial assets excluding equities

 

1,863

1,814

1,709

1,240

256

666

7,548

Reinsurers’ share of contract liabilities

 

139

100

93

332

Other assets

 

12

83

76

1

666

838

 

 

1,875

2,036

1,885

1,241

256

1,425

8,718

1.

For financial risk management purposes, bespoke consolidated CDOs are considered net. For presentation in the Consolidated Balance Sheet the components of the CDOs are shown within non profit non-unit linked investments (2014: £971m), cash equivalents (2014: £nil) and derivative assets/(liabilities) (2014: £23m).

Non profit non-unit linked

 

 

 

 

 

 

 

 

 

Government securities

 

191

5,263

234

5,688

Other fixed rate securities

 

1,242

3,564

10,979

9,206

614

2,193

27,798

Variable rate securities1

 

479

1,449

2,074

752

5

994

1,022

6,775

Total debt securities1

13(i)

1,912

10,276

13,053

10,192

619

994

3,215

40,261

Accrued interest

13(i)

24

81

178

168

11

14

476

Loans and receivables

13(iii)

Derivative assets1

14

357

2,760

644

66

3,827

Cash and cash equivalents

15

89

336

182

50

657

Financial assets excluding equities

 

2,025

11,050

16,173

11,004

630

994

3,345

45,221

Reinsurers’ share of contract liabilities

 

1,372

765

101

2,238

Other assets

 

11

38

2

327

378

 

 

2,025

12,433

16,976

11,006

630

994

3,773

47,837

At the year end, the group held £1,358m (2013: £953m) of collateral in respect of non-unit linked derivative assets.

With-profits

 

 

 

 

 

 

 

 

 

Government securities

 

142

3,416

55

88

5

2

3,708

Other fixed rate securities

 

1,227

929

1,323

1,346

124

181

5,130

Variable rate securities

 

7

10

5

22

Total debt securities

13(i)

1,369

4,345

1,385

1,444

129

188

8,860

Accrued interest

13(i)

21

44

20

25

1

111

Loans and receivables

13(iii)

1

28

29

Derivative assets

14

9

47

5

61

Cash and cash equivalents

15

70

419

164

429

1,082

Financial assets excluding equities

 

1,460

4,817

1,617

1,474

130

645

10,143

Reinsurers’ share of contract liabilities

 

1

(14)

(13)

Other assets

 

1

219

220

 

 

1,460

4,818

1,618

1,474

130

850

10,350

As at 31 December 20131

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

 

1,050

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

13(i)

1,754

849

1,451

1,114

268

188

5,624

Accrued interest

13(i)

12

7

16

16

3

1

55

Loans and receivables

13(iii)

14

23

42

79

Derivative assets

14

10

171

26

207

Cash and cash equivalents

15

160

469

620

6

1

307

1,563

Financial assets excluding equities

 

1,926

1,349

2,281

1,136

272

564

7,528

Reinsurers’ share of contract liabilities

 

124

102

86

312

Other assets

 

17

63

49

602

731

 

 

1,943

1,536

2,432

1,136

272

1,252

8,571

1.

For financial risk management purposes, bespoke consolidated CDOs are considered net. For presentation in the Consolidated Balance Sheet the components of the CDOs are shown within investments (£616m), cash equivalents (£384m) and derivative liabilities (£(17)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

13(i)

1,358

6,681

10,087

8,181

590

983

1,738

29,618

Accrued interest

13(i)

20

62

149

145

13

11

400

Loans and receivables

13(iii)

Derivative assets

14

167

1,933

2,100

Cash and cash equivalents

15

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

1.

This has been restated to reflect the adoption by the group of IFRS 10, ‘Consolidated Financial Statements’. Further details are contained in Note 1.

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

13(i)

1,358

4,431

1,851

2,025

151

541

10,357

Accrued interest

13(i)

24

57

29

40

1

1

152

Loans and receivables

13(iii)

30

30

Derivative assets

14

3

45

48

Cash and cash equivalents

15

205

651

452

11

1,319

Financial assets excluding equities

 

1,587

5,142

2,377

2,065

152

583

11,906

Reinsurers’ share of contract liabilities

 

1

1

Other assets

 

32

1

156

189

 

 

1,619

5,143

2,378

2,065

152

739

12,096

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

 

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 2014

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 Consolidated Balance Sheet the components of the CDOs are shown within investments (£971m), cash equivalents (£nil) and derivative assets (£23m).

Shareholder

8,100

28

8

3

1

8,140

Non profit non-unit linked1

47,444

152

10

10

13

47,629

With-profits

10,125

50

1

2

2

10,180

 

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 20132

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 Consolidated Balance Sheet the components of the CDOs are shown within investments (£616m), cash equivalents (£384m) and derivative liabilities (£(17)m).

2.

This has been restated to reflect the adoption by the group of IFRS 10, ‘Consolidated Financial Statements’. Further details are contained in Note 1.

Shareholder

7,914

30

3

1

7,948

Non profit non-unit linked1

35,088

149

11

8

9

35,265

With-profits

11,915

20

11,935