REG - Legal & General Grp - L&G H1 2014 Results Part 3 <Origin Href="QuoteRef">LGEN.L</Origin> - Part 3
29/10/2014 10:33
- Part 3: For the preceding part double click ID:nRSF3773Ob
Analysed by segment
LGR LGC LGA LGAS Total
At At At At At
30.06.14 30.06.14 30.06.14 30.06.14 30.06.14
£m £m £m £m £m
Equities - 298 - - 298
Bonds 1,885 - 151 - 2,036
Property 1,692 324 - 4 2,020
Cash (including cash
equivalents), loans & receivables - - 75 - 75
Other assets 155 - - - 155
3,732 622 226 4 4,584
LGR LGC LGA LGAS Total
At At At At At
31.12.13 31.12.13 31.12.13 31.12.13 31.12.13
£m £m £m £m £m
Equities - 202 - - 202
Bonds 997 - 51 - 1,048
Property 1,294 149 - 4 1,447
Cash (including cash
equivalents), loans & receivables - - 6 - 6
Other assets 176 - - - 176
2,467 351 57 4 2,879
Capital and Investments
83
4.05 Bond portfolio summary
(a) Analysed by sector
LGR LGR Total Total
At At At At
30.06.14 30.06.14 30.06.14 30.06.14
Note £m % £m %
Sovereigns, Supras and Sub-Sovereigns 4.05(b) 6,578 19 8,257 21
Banks:
- Tier 1 60 - 66 -
- Tier 2 and other subordinated 590 2 649 2
- Senior 1,359 4 1,901 5
Financial Services:
- Tier 1 4 - 6 -
- Tier 2 and other subordinated 136 - 174 1
- Senior 882 3 1,153 3
Insurance:
- Tier 1 146 - 156 -
- Tier 2 and other subordinated 544 2 581 2
- Senior 493 2 565 2
Utilities 4,456 13 4,764 12
Consumer Services and Goods & Health Care 3,246 10 3,795 10
Technology and Telecoms 2,099 6 2,382 6
Industrials & Oil and Gas 3,333 10 3,879 10
Property 998 3 1,073 3
Asset backed securities:1
- Traditional 703 2 1,222 3
- Securitisations and debentures 7,337 21 7,521 18
CDOs2 1,098 3 1,098 2
Total 34,062 100 39,242 100
1. Traditional asset backed securities are securities,
often with variable expected redemption profiles issued
by Special Purpose Vehicles and typically backed by
pools of receivables from loans or personal credit.
Securitisations are securities with fixed redemption
profiles that are issued by Special Purpose Vehicles and
secured on revenues from specific assets or operating
companies and Debentures are securities with fixed
redemption profiles issued by firms typically secured on
property.
2. The underlying reference portfolio has had no
reference entity defaults during the period ended 30
June 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
84
4.05 Bond portfolio summary (continued)
(a) Analysed by sector (continued)
LGR LGR Total Total
At At At At
30.06.13 30.06.13 30.06.13 30.06.13
Note £m % £m %
Sovereigns, Supras and Sub-Sovereigns 4.05(b) 4,292 15 6,573 19
Banks:
- Tier 1 180 1 189 1
- Tier 2 and other subordinated 482 2 549 2
- Senior 1,508 5 2,304 7
Financial Services:
- Tier 1 1 - 2 -
- Tier 2 and other subordinated 40 - 69 -
- Senior 925 3 1,137 3
Insurance:
- Tier 1 128 - 132 1
- Tier 2 and other subordinated 319 1 345 1
- Senior 726 3 804 2
Utilities 3,902 14 4,155 12
Consumer Services and Goods & Health Care 3,177 11 3,674 10
Technology and Telecoms 1,961 7 2,301 6
Industrials & Oil and Gas 3,160 11 3,659 11
Property 636 2 703 2
Asset backed securities:1
- Traditional 754 3 1,451 4
- Securitisations and debentures 5,325 18 5,481 16
CDOs2 1,119 4 1,119 3
Total 28,635 100 34,647 100
1. Traditional asset backed securities are securities,
often with variable expected redemption profiles issued
by Special Purpose Vehicles and typically backed by
pools of receivables from loans or personal credit.
Securitisations are securities with fixed redemption
profiles that are issued by Special Purpose Vehicles and
secured on revenues from specific assets or operating
companies and Debentures are securities with fixed
redemption profiles issued by firms typically secured on
property.
2. The underlying reference portfolio has had no
reference entity defaults during the period ended 30
June 2013. 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 CDO's are valued using an external
valuation which is based on observable market inputs.
This is then validated against the market valuation.
Capital and Investments
85
4.05 Bond portfolio summary (continued)
(a) Analysed by sector (continued)
LGR LGR Total Total
At At At At
31.12.13 31.12.13 31.12.13 31.12.13
Note £m % £m %
Sovereigns, Supras and Sub-Sovereigns 4.05(b) 4,772 16 6,502 18
Banks:
- Tier 1 100 - 105 -
- Tier 2 and other subordinated 637 2 698 2
- Senior 1,406 5 2,169 6
Financial Services:
- Tier 1 2 - 5 -
- Tier 2 and other subordinated 206 1 251 1
- Senior 800 3 1,041 3
Insurance:
- Tier 1 144 1 152 -
- Tier 2 and other subordinated 579 2 625 2
- Senior 481 2 552 2
Utilities 4,013 13 4,329 12
Consumer Services and Goods & Health Care 3,128 10 3,716 10
Technology and Telecoms 1,995 7 2,333 7
Industrials & Oil and Gas 3,074 10 3,626 10
Property 981 3 1,053 3
Asset backed securities:1
- Traditional 763 3 1,395 4
- Securitisations and debentures 5,839 19 6,047 17
CDOs2 1,098 3 1,098 3
Total 30,018 100 35,697 100
1. Traditional asset backed securities are securities,
often with variable expected redemption profiles issued
by Special Purpose Vehicles and typically backed by
pools of receivables from loans or personal credit.
Securitisations are securities with fixed redemption
profiles that are issued by Special Purpose Vehicles and
secured on revenues from specific assets or operating
companies and Debentures are securities with fixed
redemption profiles issued by firms typically secured on
property.
2. The underlying reference portfolio has had no
reference entity defaults in 2013. 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 CDO's are
valued using an external valuation which is based on
observable market inputs. This is then validated against
the market valuation.
Capital and Investments
86
4.05 Bond portfolio summary (continued)
(b) Analysed by domicile
The tables below are based on the legal domicile of the security.
LGR Total LGR Total LGR Total
30.06.14 30.06.14 30.06.13 30.06.13 31.12.13 31.12.13
£m £m £m £m £m £m
Market value by region:
United Kingdom 16,299 17,224 11,696 12,708 13,099 14,178
USA 7,747 10,034 7,834 10,555 7,237 9,779
Netherlands 1,778 2,119 1,671 2,289 1,736 2,164
France 1,289 1,642 1,190 1,581 1,382 1,681
Germany 378 737 337 650 411 791
GIIPS:
- Greece - 5 - 3 - -
- Ireland1 225 264 249 287 234 271
- Italy 485 636 644 792 636 786
- Portugal 3 14 15 28 15 31
- Spain 158 224 195 290 178 263
Rest of Europe 1,643 2,013 1,175 1,583 1,299 1,721
Rest of World 2,959 3,232 2,510 2,762 2,693 2,934
CDOs 1,098 1,098 1,119 1,119 1,098 1,098
Total 34,062 39,242 28,635 34,647 30,018 35,697
1. Within LGR, out of the £225m of bonds domiciled in Ireland, £223m relate to financing vehicles where the underlying exposure lies outside Ireland.
Additional analysis of sovereign debt exposures
Sovereigns, Supras and Sub-Sovereigns
LGR Total LGR Total LGR Total
30.06.14 30.06.14 30.06.13 30.06.13 31.12.13 31.12.13
£m £m £m £m £m £m
Market value by region:
United Kingdom 4,768 5,102 2,884 3,279 3,340 3,725
USA 407 830 325 889 282 664
Netherlands 13 167 1 387 10 194
France 118 246 89 312 90 220
Germany 195 437 189 382 212 472
GIIPS:
- Greece - 5 - 3 - -
- Ireland - 12 - 14 - 7
- Italy 109 192 253 368 236 323
- Portugal - 6 - 12 - 16
- Spain - 6 1 58 - 14
Rest of Europe 793 989 453 691 474 661
Rest of World 175 265 97 178 128 206
Total 6,578 8,257 4,292 6,573 4,772 6,502
Capital and Investments
87
4.05 Bond portfolio summary (continued)
(c) Analysed by credit rating
LGR LGR Total Total
At At At At
30.06.14 30.06.14 30.06.14 30.06.14
£m % £m %
AAA 1,711 5 3,376 9
AA 8,471 25 9,217 23
A 11,082 32 12,333 31
BBB 8,716 26 9,891 25
BB or below 566 2 761 2
Unrated: Bespoke CDOs2 983 3 983 3
Other3 2,533 7 2,681 7
34,062 100 39,242 100
LGR LGR Total Total
At At At At
30.06.13 30.06.13 30.06.13 30.06.13
£m % £m %
AAA1 1,235 4 3,502 10
AA 6,263 22 7,373 21
A 10,080 35 11,507 33
BBB 8,321 29 9,422 27
BB or below 448 2 528 2
Unrated: Bespoke CDOs2 991 3 991 3
Other3 1,297 5 1,324 4
28,635 100 34,647 100
LGR LGR Total Total
At At At At
31.12.13 31.12.13 31.12.13 31.12.13
£m % £m %
AAA1 1,378 5 3,144 9
AA 6,743 22 7,599 21
A 10,236 34 11,703 34
BBB 8,326 28 9,456 26
BB or below 603 2 874 2
Unrated: Bespoke CDOs2 983 3 983 3
Other3 1,749 6 1,938 5
30,018 100 35,697 100
1. During 2013, UK sovereign debt was downgraded from AAA to AA+.
2. The CDOs are termed as super senior since default losses have to exceed 27.5%, on average across the reference portfolio, before the CDOs incur any default losses. The underlying reference portfolio has had no reference entity defaults in 2013 or 2014. Losses are limited under the terms off the CDOs to assets and collateral invested.
3. Other unrated bonds have been assessed and rated internally. Over £1.5bn at H1 14 (H1 13: £0.6bn; FY 13: £0.7bn) relates to secured asset backed securities.
4.06 Value of policyholder assets held in Society and LGPL
At At At
30.06.14 30.06.13 31.12.13
£m £m £m
With-profits business 23,475 24,027 23,959
Non profit business 54,272 47,150 49,949
77,747 71,177 73,908
Capital and Investments
88
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European Embedded Value
89
Group embedded value - summary
Covered business
LGAS Non-
UK overseas covered
business business LGA business Total
For the six months ended 30 June 2014 £m £m £m £m £m
At 1 January 2014
Value of in-force business (VIF) 4,693 197 699 - 5,589
Shareholder net worth (SNW)
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