Appendix D
Analysis of asset disclosure
Analysis of assets
1. Key messages
- The quality of Aviva's balance sheet asset base is strong, as detailed and evidenced in this comprehensive disclosure
- Balance sheet assets have been appropriately valued with 83% of assets (including 100% of financial investments) measured at fair value
- Except for tax assets and investments in joint ventures and associates (which are equity accounted) the remaining assets are recognised at cost/amortised cost and tested for impairment
- Asset valuations have been arrived at using external market parameters
- 68% of fair values are calculated based on quoted market prices
- a further 31% of fair values are valued using models applying observable market parameters
- where applicable fair values have been adjusted for any assets that operate in an illiquid market
- The principal asset classes are Debt Securities (£119 billion), Equities (£56 billion), Other Financial Investments (£40 billion) and Loans (£36 billion)
- The majority (95%) of debt securities are investment grade (with 1% below investment grade and 4% not rated)
- The Group has very limited exposure to Sub-prime RMBS/ABS, Alt A, Wrapped Credit, CDOs and CLOs; these investments represent less than 1% of total balance sheet assets and are typically AAA rated
- The Groups Loan portfolio continues to perform well with 99.3% of the portfolio neither past due nor impaired
- Of the assets specifically attributable to shareholders (as compared to Policyholder and Participating Fund risks), only 5% is held in equities), reflecting the equity de-risking programme in the second half of 2007
- Equities and other financial investments are principally held to back Policyholder liabilities (in unit linked and participating funds) and as such reflect policyholder investment mandates
