REG - Legal & General Grp - L&G Full Year Results 2015 Part 3 <Origin Href="QuoteRef">LGEN.L</Origin> - Part 3
15/03/2016 07:07
- Part 3: For the preceding part double click ID:nRSO0691Sb
6,967 49,420 56,387 5,703 51,492 57,195
1. Direct Investments constitute an agreement with another party and represent an exposure to untraded and often less volatile assets. Direct Investments include physical assets, bilateral loans and private equity but exclude hedge funds.
2. Traded securities are defined by exclusion. If an instrument is not a Direct Investment, then it is classed as a traded security.
(b) Analysed by segment
LGR LGC LGA Insurance Total
2015 2015 2015 2015 2015
£m £m £m £m £m
Equities - 432 - - 432
Bonds 3,336 93 293 - 3,722
Property 2,157 186 - 4 2,347
Cash, cash equivalents, loans & receivables - 115 310 - 425
Other assets - 41 - - 41
5,493 867 603 4 6,967
LGR LGC LGA Insurance Total
2014 2014 2014 2014 2014
£m £m £m £m £m
Equities - 318 - - 318
Bonds 2,586 168 229 - 2,983
Property 1,879 147 - 4 2,030
Cash, cash equivalents, loans & receivables - 54 187 - 241
Other assets 118 13 - - 131
4,583 700 416 4 5,703
(c) Movement in the period
Carrying Change in Carrying
value market value
01.01.15 Additions Disposals value 2015
£m £m £m £m £m
Equities 318 101 (31) 44 432
Bonds 2,983 1,001 (228) (34) 3,722
Property 2,030 256 (8) 69 2,347
Cash, cash equivalents, loans & receivables 241 166 (4) 22 425
Other assets 131 22 (153) 41 41
5,703 1,546 (424) 142 6,967
Capital and Investments
76
4.06 Bond portfolio summary
(a) LGR analysed by sector
BB or
AAA AA A BBB below LGR LGR
2015 2015 2015 2015 2015 2015 2015
£m £m £m £m £m £m %
Sovereigns, Supras and Sub-Sovereigns 956 4,774 64 154 30 5,978 14
Banks:
- Tier 1 17 35 - - 26 78 -
- Tier 2 and other subordinated - - 92 138 2 232 1
- Senior 49 421 859 77 1 1,407 4
Financial Services:
- Tier 1 - - - - - - -
- Tier 2 and other subordinated - 3 33 8 4 48 -
- Senior 63 396 106 140 - 705 2
Insurance:
- Tier 1 - - - 6 - 6 -
- Tier 2 and other subordinated - - 144 64 - 208 1
- Senior - 14 316 118 - 448 1
Utilities 43 8 1,847 2,593 27 4,518 11
Consumer Services and Goods
& Health Care 136 969 1,572 1,830 130 4,637 12
Technology and Telecoms 48 138 409 1,940 129 2,664 7
Industrials1 - 21 934 899 30 1,884 5
Oil and Gas 24 321 482 901 247 1,975 5
Property - 516 269 868 - 1,653 4
Asset backed securities 46 222 53 32 38 391 1
Securitisations and debentures2 335 2,587 5,603 2,391 331 11,247 28
Lifetime mortgage loans3 - - - 207 - 207 1
CDOs4 - 552 469 14 47 1,082 3
Total £m 1,717 10,977 13,252 12,380 1,042 39,368 100
Total % 4 28 34 31 3 100
1. Included within Industrials is a £455m exposure to
Basic Resources.
2. Securitisations and debentures have been reanalysed
in note 4.06(c).
3. Lifetime mortgage loans have increased in value since
inception predominantly due to the accrual of interest
on the loans.
4. The underlying reference portfolio has had no
reference entity defaults during the period ended 31
December 2015. The CDOs are termed as super senior since
default losses on the reference portfolio have to exceed
27.5%, on average across the reference portfolio, before
the CDOs incur any default losses. Assuming an average
recovery rate of 30%, then over 39% of the reference
names would have to default before the CDOs incur any
default losses. The CDOs are valued using an external
valuation which is based on observable market inputs.
This is then validated against the market valuation.
Capital and Investments
77
4.06 Bond portfolio summary (continued)
(a) LGR analysed by sector (continued)
BB or
AAA AA A BBB below LGR LGR
2014 2014 2014 2014 2014 2014 2014
£m £m £m £m £m £m %
Sovereigns, Supras and Sub-Sovereigns 1,048 6,326 145 241 - 7,760 19
Banks:
- Tier 1 - - - 11 13 24 -
- Tier 2 and other subordinated - - 328 214 17 559 1
- Senior 12 416 1,105 109 25 1,667 4
Financial Services:
- Tier 1 - - - - - - -
- Tier 2 and other subordinated - - 47 49 - 96 -
- Senior 51 443 145 307 - 946 2
Insurance:
- Tier 1 - 4 19 105 - 128 -
- Tier 2 and other subordinated - - 207 156 - 363 1
- Senior - 53 429 142 - 624 2
Utilities - 47 3,283 2,184 47 5,561 14
Consumer Services and Goods
& Health Care 137 809 1,497 1,612 71 4,126 10
Technology and Telecoms 24 95 734 1,504 191 2,548 6
Industrials1 - 200 883 1,016 21 2,120 6
Oil and Gas 19 342 608 1,211 6 2,186 5
Property - 371 614 895 2 1,882 5
Asset backed securities 268 245 135 36 38 722 2
Securitisations and debentures2 377 2,032 3,969 1,714 213 8,305 20
CDOs3 - 539 477 55 49 1,120 3
Total £m 1,936 11,922 14,625 11,561 693 40,737 100
Total % 5 29 36 28 2 100
1. Included within Industrials is a £501m exposure to
Basic Resources.
2. Securitisations and debentures have been reanalysed
in note 4.06(c).
3. The underlying reference portfolio has had no
reference entity defaults during the period ended 31
December 2014. The CDOs are termed as super senior since
default losses on the reference portfolio have to exceed
27.5%, on average across the reference portfolio, before
the CDOs incur any default losses. Assuming an average
recovery rate of 30%, then over 39% of the reference
names would have to default before the CDOs incur any
default losses. The CDOs are valued using an external
valuation which is based on observable market inputs.
This is then validated against the market valuation.
Capital and Investments
78
4.06 Bond portfolio summary (continued)
(b) Total group analysed by sector
BB or
AAA AA A BBB below Other Total Total
2015 2015 2015 2015 2015 2015 2015 2015
£m £m £m £m £m £m £m %
Sovereigns, Supras and Sub-Sovereigns 1,981 5,022 112 367 62 5 7,549 16
Banks:
- Tier 1 68 139 5 10 26 - 248 1
- Tier 2 and other subordinated 22 - 100 146 3 1 272 1
- Senior 105 721 992 98 3 1 1,920 4
Financial Services:
- Tier 1 - - - - - - - -
- Tier 2 and other subordinated - 3 38 16 - 1 58 -
- Senior 65 415 172 198 7 - 857 2
Insurance:
- Tier 1 - - - 6 - - 6 -
- Tier 2 and other subordinated - 3 146 68 1 1 219 -
- Senior 1 18 326 126 - - 471 1
Utilities 42 17 1,900 2,677 42 13 4,691 11
Consumer Services and Goods
& Health Care 170 1,004 1,707 1,993 210 4 5,088 12
Technology and Telecoms 61 169 472 2,027 151 1 2,881 7
Industrials1 - 38 1,039 1,075 67 2 2,221 5
Oil and Gas 27 342 517 958 280 1 2,125 5
Property - 516 287 912 9 81 1,805 4
Asset backed securities 434 237 50 32 42 - 795 2
Securitisations and debentures2 358 2,592 5,714 2,412 334 11 11,421 27
Lifetime mortgage loans3 - - - 207 - - 207 -
CDOs4 - 552 469 14 47 - 1,082 2
Total £m 3,334 11,788 14,046 13,342 1,284 122 43,916 100
Total % 8 27 32 30 3 - 100
1. Included within Industrials is a £455m exposure to
Basic Resources.
2. Securitisations and debentures have been reanalysed
in note 4.06(d).
3. Lifetime mortgage loans have increased in value since
inception predominantly due to the accrual of interest
on the loans.
4. The underlying reference portfolio has had no
reference entity defaults during the period ended 31
December 2015. The CDOs are termed as super senior since
default losses on the reference portfolio have to exceed
27.5%, on average across the reference portfolio, before
the CDOs incur any default losses. Assuming an average
recovery rate of 30%, then over 39% of the reference
names would have to default before the CDOs incur any
default losses. The CDOs are valued using an external
valuation which is based on observable market inputs.
This is then validated against the market valuation.
Capital and Investments
79
4.06 Bond portfolio summary (continued)
(b) Total group analysed by sector (continued)
BB or
AAA AA A BBB below Other Total Total
2014 2014 2014 2014 2014 2014 2014 2014
£m £m £m £m £m £m £m %
Sovereigns, Supras and Sub-Sovereigns 1,930 6,592 198 457 60 12 9,249 20
Banks:
- Tier 1 - - - 13 13 - 26 -
- Tier 2 and other subordinated 13 - 344 245 19 - 621 1
- Senior 102 658 1,305 128 27 1 2,221 5
Financial Services:
- Tier 1 - - - - - - - -
- Tier 2 and other subordinated - - 62 56 2 12 132 -
- Senior 62 490 222 353 3 8 1,138 3
Insurance:
- Tier 1 - 4 19 106 - - 129 -
- Tier 2 and other subordinated - 4 206 164 1 - 375 1
- Senior 1 76 447 154 - 26 704 2
Utilities - 65 3,407 2,291 61 - 5,824 13
Consumer Services and Goods
& Health Care 160 893 1,753 1,786 130 4 4,726 10
Technology and Telecoms 42 137 838 1,607 211 1 2,836 6
Industrials1 - 214 1,045 1,199 55 1 2,514 6
Oil and Gas 25 376 675 1,317 21 - 2,414 5
Property - 373 630 947 8 168 2,126 5
Asset backed securities 710 297 142 43 42 - 1,234 3
Securitisations and debentures2 406 2,037 4,044 1,721 214 - 8,422 18
CDOs3 - 539 477 55 49 - 1,120 2
Total £m 3,451 12,755 15,814 12,642 916 233 45,811 100
Total % 8 28 34 27 2 1 100
1. Included within Industrials is a £501m exposure to
Basic Resources.
2. Securitisations and debentures have been reanalysed
in note 4.06(d).
3. The underlying reference portfolio has had no
reference entity defaults during the period ended 31
December 2014. The CDOs are termed as super senior since
default losses on the reference portfolio have to exceed
27.5%, on average across the reference portfolio, before
the CDOs incur any default losses. Assuming an average
recovery rate of 30%, then over 39% of the reference
names would have to default before the CDOs incur any
default losses. The CDOs are valued using an external
valuation which is based on observable market inputs.
This is then validated against the market valuation.
Capital and Investments
80
4.06 Bond portfolio summary (continued)
(c) Analysis of LGR securitisations and debentures
BB or
AAA AA A BBB below LGR LGR
2015 2015 2015 2015 2015 2015 2014
£m £m £m £m £m £m £m
Sovereigns, Supras and Sub-Sovereigns - 678 4 - - 682 151
Financial Services - 449 1,263 341 113 2,166 1,348
Insurance - 28 102 - - 130 27
Utilities - 83 1,569 113 - 1,765 826
Consumer Services and Goods
& Health Care - - 257 82 16 355 297
Technology and Telecoms - - - - 1 1 -
Industrials - 38 390 283 - 711 591
Oil and Gas - - 14 32 19 65 64
Property - 73 328 1 - 402 408
Infrastructure / PFI / Social housing - 299 448 465 20 1,232 1,279
Covered Bonds1 258 - - 15 - 273 328
Whole Business Securitised - 65 209 241 109 624 569
Residential Mortgage Backed Securities 77 435 114 42 - 668 670
Commercial Mortgage Backed Securities - 333 321 438 - 1,092 577
Secured Bonds2 - 106 560 230 53 949 950
Other - - 24 108 - 132 220
Total 335 2,587 5,603 2,391 331 11,247 8,305
1. Covered bonds are typically issued by banks and are secured on pools of residential mortgages.
2. Secured bonds are typically issued by Special Purpose Vehicles and are secured on various assets and/or cashflows within the issuer's business.
Capital and Investments
81
4.06 Bond portfolio summary (continued)
(d) Analysis of total group securitisations and debentures
BB or
AAA AA A BBB below Other Total Total
2015 2015 2015 2015 2015 2015 2015 2014
£m £m £m £m £m £m £m £m
Sovereigns, Supras and Sub-Sovereigns - 678 4 - - - 682 151
Banks - - - - - - 11
Financial Services - 449 1,263 341 113 2,166 1,356
Insurance - 29 103 - - 132 27
Utilities - 83 1,571 114 - - 1,768 835
Consumer Services and Goods
& Health Care - - 300 97 19 - 416 297
Technology and Telecoms - - - - 1 - 1 -
Industrials - 38 390 283 - - 711 592
Oil and Gas - - 14 32 19 - 65 64
Property - 73 329 1 - - 403 408
Infrastructure / PFI / Social housing - 299 448 465 20 2 1,234 1,280
Covered Bonds1 264 - - 15 - 279 328
Whole Business Securitised - 65 210 242 109 626 569
Residential Mortgage Backed Securities 77 435 114 42 - - 668 670
Commercial Mortgage Backed Securities - 333 321 438 - 1,092 577
Secured Bonds2 - 107 560 230 53 9 959 961
Other 17 3 87 112 - - 219 296
Total 358 2,592 5,714 2,412 334 11 11,421 8,422
1. Covered bonds are typically issued by banks and are secured on pools of residential mortgages.
2. Secured bonds are typically issued by Special Purpose Vehicles and are secured on various assets and/or cashflows within the issuer's business.
Capital and Investments
82
4.06 Bond portfolio summary (continued)
(e) Analysed by domicile
The tables below are based on the legal domicile of the security:
LGR Total LGR Total
2015 2015 2014 2014
£m £m £m £m
Market value by region:
United Kingdom 20,387 21,073 20,055 21,021
USA 9,543 11,721 9,515 11,839
Netherlands 1,663 1,941 1,910 2,182
France 1,284 1,507 1,412 1,726
Germany 284 600 378 682
Greece - 1 - -
Ireland 334 360 276 303
Italy 172 286 301 429
Portugal - 7 1 11
Spain 126 187 212 260
Russia - 8 19 37
Rest of Europe 1,695 1,942 1,857 2,164
Brazil 91 102 139 157
Rest of World 2,707 3,099 3,542 3,880
CDOs 1,082 1,082 1,120 1,120
Total 39,368 43,916 40,737 45,811
1. £1,047m (2014: £1,043m) of the CDOs are domiciled in Ireland and £35m (2014: £77m) are domiciled in the rest of the world.
Additional analysis of sovereign debt exposures:
Sovereigns, Supras and Sub-Sovereigns
LGR Total LGR Total
2015 2015 2014 2014
£m £m £m £m
Market value by region:
United Kingdom 4,305 4,665 5,946 6,267
USA 459 792 536 772
Netherlands 34 237 5 153
France 6 90 1 138
Germany 144 322 204 417
Greece - 1 - -
Ireland - 7 - 8
Italy 1 97 2 96
Portugal - 7 - 9
Spain - 31 - 10
Russia - 8 19 28
Rest of Europe 609 739 765 922
Brazil 30 36 55 64
Rest of World 390 517 227 365
Total 5,978 7,549 7,760 9,249
Capital and Investments
83
4.06 Bond portfolio summary (continued)
(f) Analysed by credit rating
Externally Internally Externally Internally
rated rated1 LGR rated rated1 Total
2015 2015 2015 2015 2015 2015
£m £m £m £m £m £m
AAA 1,711 6 1,717 3,328 6 3,334
AA 9,426 1,551 10,977 10,237 1,551 11,788
A 11,349 1,903 13,252 12,143 1,903 14,046
BBB 10,721 1,659 12,380 11,683 1,659 13,342
BB or below 1,022 20 1,042 1,264 20 1,284
Other - - - - 122 122
34,229 5,139 39,368 38,655 5,261 43,916
1. Where external ratings are not available LGR bonds have been rated using an internal rating.
Externally Internally Externally Internally
rated rated1 LGR rated rated1 Total
2014 2014 2014 2014 2014 2014
£m £m £m £m £m £m
AAA 1,936 - 1,936 3,451 - 3,451
AA 10,357 1,565 11,922 11,190 1,565 12,755
A 13,231 1,394 14,625 14,420 1,394 15,814
BBB 10,360 1,201 11,561 11,441 1,201 12,642
BB or below 630 63 693 853 63 916
Other - - - - 233 233
36,514 4,223 40,737 41,355 4,456 45,811
- More to follow, for following part double click ID:nRSO0691SdRecent news on Legal & General
See all newsREG - Legal & General Grp - Transaction in Own Shares
AnnouncementREG - Legal & General Grp Morgan Stanley - Holding(s) in Company
AnnouncementREG - Orbit Capital plc - Directorate Change
AnnouncementREG - Legal & General Grp Morgan Stanley - Holding(s) in Company
AnnouncementREG - Legal & General Grp - Transaction in Own Shares
Announcement