REG - Legal & General Grp - L&G Half-year Report 2017 Part 3 <Origin Href="QuoteRef">LGEN.L</Origin> - Part 4
09/08/2017 07:07
- Part 4: For the preceding part double click ID:nRSI4602Nc
Other
non profit Other
LGR insurance LGC shareholder
investments investments investments investments Total Total1 Total1
30.06.17 30.06.17 30.06.17 30.06.17 30.06.17 30.06.16 31.12.16
Notes £m £m £m £m £m £m £m
Equities2 268 - 2,473 135 2,876 2,594 2,558
Bonds 4.06 51,536 1,717 2,347 493 56,093 53,436 54,852
Derivative assets3 3,773 - 47 3 3,823 5,723 4,693
Property 4.07 2,687 - 175 25 2,887 2,457 2,604
Cash, cash equivalents, loans & receivables 1,823 458 1,286 326 3,893 2,545 3,362
Financial investments 60,087 2,175 6,328 982 69,572 66,755 68,069
Other assets4 5,859 - 364 14 6,237 510 1,915
Total investments 65,946 2,175 6,692 996 75,809 67,265 69,984
1. H1 16 and FY 16 Cash Equivalents and Financial Investments values have been restated. Refer to footnote 1 in the Consolidated Cash Flow Statement.
2. Equity investments include a total of £256m in respect of CALA Group Limited, Peel Media Holdings Limited (MediaCityUK), NTR Wind Management Ltd and Access Development Partnership (H1 16: £207m; FY 16: £237m).
3. Derivative assets are shown gross of derivative liabilities of £2.4bn (H1 16: £5.0bn; FY 16: £2.9bn). Exposures arise from the use of derivatives for efficient portfolio management, especially the use of interest rate swaps, inflation swaps, credit default swaps and foreign exchange forward contracts for asset and liability management.
4. Other assets include reverse repurchase agreements of £6,202m (H1 16: £464m; FY 16: £1,883m).
Capital and Investments
Page 84
4.05 Direct Investments
(a) Analysed by asset class
Direct1 Traded2 Direct1 Traded2,3 Direct1 Traded2,3
Investments securities Total Investments securities Total3 Investments securities Total3
30.06.17 30.06.17 30.06.17 30.06.16 30.06.16 30.06.16 31.12.16 31.12.16 31.12.16
£m £m £m £m £m £m £m £m £m
Equities 650 2,226 2,876 508 2,086 2,594 595 1,963 2,558
Bonds4 7,722 48,371 56,093 4,914 48,522 53,436 6,256 48,596 54,852
Derivative assets - 3,823 3,823 - 5,723 5,723 - 4,693 4,693
Property5 2,887 - 2,887 2,457 - 2,457 2,604 - 2,604
Cash, cash equivalents, loans & receivables 496 3,397 3,893 466 2,079 2,545 518 2,844 3,362
Other assets 35 6,202 6,237 46 464 510 32 1,883 1,915
11,790 64,019 75,809 8,391 58,874 67,265 10,005 59,979 69,984
1. Direct Investments, which generally constitute an agreement with another party, represent an exposure to untraded and often less volatile asset classes. Direct Investments also 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.
3. H1 16 and FY 16 Cash Equivalents and Financial Investments values have been restated. Refer to footnote 1 in the Consolidated Cash Flow Statement.
4. Direct Investment bonds include lifetime mortgages of £1,433m (H1 16: £440m; FY 16: £852m).
5. A further breakdown of property is provided in note 4.07.
(b) Analysed by segment
LGI
LGI (UK and
LGR LGC (US) Other) Total
30.06.17 30.06.17 30.06.17 30.06.17 30.06.17
£m £m £m £m £m
-
Equities - 650 - - 650
Bonds1 7,094 267 361 - 7,722
Property2 2,687 2003 - - 2,887
Cash, cash equivalents, loans & receivables4 31 123 342 - 496
Other assets - 35 - - 35
9,812 1,275 703 - 11,790
1. Direct Investment bonds include lifetime mortgages of £1,433m (H1 16: £440m; FY 16: £852m).
2. A further breakdown of property is provided in note 4.07.
3. Included in LGC property is £25m of shareholder investment property as noted in note 4.04.
4. Cash, cash equivalents, loans & receivables only include loans and receivables.
LGI
LGI (UK and
LGR LGC (US) Other) Total
30.06.16 30.06.16 30.06.16 30.06.16 30.06.16
£m £m £m £m £m
Equities - 508 - - 508
Bonds1 4,372 197 345 - 4,914
Property2 2,257 196 - 4 2,457
Cash, cash equivalents, loans & receivables3 20 117 329 - 466
Other assets - 46 - - 46
6,649 1,064 674 4 8,391
1. Direct Investments bonds include lifetime mortgages of £440m.
2. A further breakdown of property is provided in note 4.07.
3. Cash, cash equivalents, loans & receivables only include loans and receivables.
Capital and Investments
Page 85
4.05 Direct Investments (continued)
(b) Analysed by segment (continued)
LGI
LGI (UK and
LGR LGC (US) Other) Total
31.12.16 31.12.16 31.12.16 31.12.16 31.12.16
£m £m £m £m £m
Equities - 595 - - 595
Bonds1 5,655 228 373 - 6,256
Property2 2,442 162 - - 2,604
Cash, cash equivalents, loans & receivables3 33 120 365 - 518
Other assets - 32 - - 32
8,130 1,137 738 - 10,005
1. Direct Investments bonds include lifetime mortgages of £852m.
2. A further breakdown of property is provided in note 4.07.
3. Cash, cash equivalents, loans & receivables only include loans and receivables.
(c) Movement in the period
Carrying Change in Carrying
value market value
01.01.17 Additions Disposals value 30.06.17
£m £m £m £m £m
Equities 595 35 - 20 650
Bonds1 6,256 1,345 (15) 136 7,722
Property 2,604 377 (198) 104 2,887
Cash, cash equivalents, loans & receivables2 518 - (6) (16) 496
Other assets 32 2 - 1 35
10,005 1,759 (219) 245 11,790
1. Direct Investment bonds include lifetime mortgages of £1,433m (H1 16: £440m; FY 16: £852m).
2. Cash, cash equivalents, loans & receivables only include loans and receivables.
Capital and Investments
Page 86
4.06 Bond portfolio summary
(a) LGR analysed by sector
Sectors analysed by credit rating
BB or
AAA AA A BBB below LGR LGR
30.06.17 30.06.17 30.06.17 30.06.17 30.06.17 30.06.17 30.06.17
£m £m £m £m £m £m %
Sovereigns, Supras and Sub-Sovereigns 1,058 9,718 297 230 31 11,334 23
Banks:
- Tier 1 - - - - - - -
- Tier 2 and other subordinated 211 49 58 35 - 353 1
- Senior 3 363 1,227 34 - 1,627 3
- Covered 254 - - - - 254 -
Financial Services:
- Tier 1 - - - - - - -
- Tier 2 and other subordinated - 129 109 58 - 296 1
- Senior - 580 66 114 - 760 1
Insurance:
- Tier 1 - - - - - - -
- Tier 2 and other subordinated - 110 - 52 - 162 -
- Senior - 55 487 76 - 618 1
Consumer Services and Goods:
- Cyclical - 335 1,071 1,676 160 3,242 6
- Non-cyclical 177 558 1,329 2,050 97 4,211 8
- Health care 3 32 195 155 - 385 1
Infrastructure:
- Social 86 841 3,380 1,005 20 5,332 10
- Economic - 29 913 1,402 43 2,387 5
Technology and Telecoms 56 139 724 2,014 86 3,019 6
Industrials - 148 705 381 12 1,246 2
Utilities - 80 4,867 3,370 16 8,333 16
Energy - - 102 482 16 600 1
Commodities - - 302 523 20 845 2
Oil and Gas - 278 481 670 163 1,592 3
Property - - - - - - -
Real estate - 369 482 1,199 53 2,103 4
Structured finance ABS / RMBS / CMBS / Other 134 588 485 47 55 1,309 3
Lifetime mortgage loans1 721 522 99 91 - 1,433 3
CDOs - 21 60 14 - 95 -
Total £m 2,703 14,944 17,439 15,678 772 51,536 100
Total % 5 30 34 30 1 100
1. The credit ratings attributed to lifetime mortgages are allocated in accordance with the internal matching adjustment structuring.
Capital and Investments
Page 87
4.06 Bond portfolio summary (continued)
(a) LGR analysed by sector (continued)
Sectors analysed by credit rating (continued)
BB or
AAA1 AA1 A1 BBB1 below1 LGR1 LGR1
30.06.16 30.06.16 30.06.16 30.06.16 30.06.16 30.06.16 30.06.16
£m £m £m £m £m £m %
Sovereigns, Supras and Sub-Sovereigns 1,032 8,618 329 233 29 10,241 21
Banks:
- Tier 1 - - - - 6 6 -
- Tier 2 and other subordinated - - 159 242 15 416 1
- Senior 2 496 1,155 82 - 1,735 4
- Covered 250 2 - 16 - 268 1
Financial Services:
- Tier 1 - - - - - - -
- Tier 2 and other subordinated - 86 49 64 3 202 -
- Senior 6 363 144 128 11 652 1
Insurance:
- Tier 1 - - - 1 - 1 -
- Tier 2 and other subordinated - 32 136 78 26 272 1
- Senior 8 44 538 136 - 726 2
Consumer Services and Goods
- Cyclical - 337 912 1,788 148 3,185 7
- Non-cyclical 149 423 1,371 1,069 101 3,113 6
- Health care 3 - 175 138 - 316 1
Infrastructure:
- Social 96 971 3,102 679 240 5,088 11
- Economic - 28 806 1,037 30 1,901 4
Technology and Telecoms 46 156 535 2,269 92 3,098 6
Industrials - 94 685 373 53 1,205 3
Utilities - 99 4,746 2,957 24 7,826 15
Energy - - 107 544 31 682 1
Commodities - - 294 454 91 839 2
Oil and Gas - 169 578 612 261 1,620 3
Property - - - - - - -
Real estate - 436 349 689 435 1,909 4
Structured finance ABS / RMBS / CMBS / Other 135 761 271 89 48 1,304 3
Lifetime mortgage loans2 - - - 440 - 440 1
CDOs3 - 722 366 14 - 1,102 2
Total £m1 1,727 13,837 16,807 14,132 1,644 48,147 100
Total % 4 29 35 29 3 100
1. H1 16 and FY 16 Cash Equivalents and Financial
Investments values have been restated. Refer to
footnote 1 in the Consolidated Cash Flow Statement.
2. Lifetime mortgage loans have increased in value
since inception predominantly due to the accrual of
interest on the loans.
3. The underlying reference portfolio has had no
reference entity defaults during the period. 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
Page 88
4.06 Bond portfolio summary (continued)
(a) LGR analysed by sector (continued)
Sectors analysed by credit rating (continued)
BB or
AAA1 AA1 A1 BBB1 below1 LGR1 LGR1
31.12.16 31.12.16 31.12.16 31.12.16 31.12.16 31.12.16 31.12.16
£m £m £m £m £m £m %
Sovereigns, Supras and Sub-Sovereigns 912 9,961 285 229 34 11,421 24
Banks:
- Tier 1 - - - - 12 12 -
- Tier 2 and other subordinated 211 49 62 41 - 363 1
- Senior 8 436 1,201 59 - 1,704 3
- Covered 259 - 16 - - 275 1
Financial Services:
- Tier 1 - - - - - - -
- Tier 2 and other subordinated - 87 59 56 - 202 -
- Senior - 371 125 110 - 606 1
Insurance:
- Tier 1 - - - 1 - 1 -
- Tier 2 and other subordinated - 45 3 68 - 116 -
- Senior 8 88 485 76 - 657 1
Consumer Services and Goods:
- Cyclical - 389 1,088 1,755 165 3,397 7
- Non-cyclical 260 647 1,380 1,373 115 3,775 8
- Health care 3 13 15 10 1 42 -
Infrastructure:
- Social - 624 3,259 926 148 4,957 10
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