Appendix C - Analysis of Assets
C1 - Key highlights
- The quality of Aviva’s balance sheet asset base continues to be strong, despite challenging economic and market conditions.
- Balance sheet assets have been appropriately valued with 82% of assets (including 100% of financial investments) measured at fair value.
- Except for tax asset and interests in joint ventures and associates (which are equity accounted) the remaining assets are recognised at cost/amortised cost and tested for impairment.
- The principle asset classes are Debt Securities (£124 billion), Equities (£49 billion), Other Financial Investments (£38 billion) and Loans (£37 billion).
- The majority (94%) of debt securities are investment grade (with 1% below investment grade and 5% not rated).
- The Group has very limited exposure to Sub-prime RMBS/ABS, Alt A, Wrapped Credit, CDO’s and CLO’s; with these investments representing less than 0.5% of total balance sheet assets.
- Of the group’s total asset base of £325 billion analysed in this disclosure, shareholders are only directly exposed to market and credit risk on £122 billion.
- Of this, £44 billion (36%) are debt securities, 90% of which are investment grade.
- Only 7% of shareholder assets are held in equities and other financial investments 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.
- £28 billion of shareholder assets are loans.
- £7.8 billion of these loans are secured through non-recourse borrowings in our UK Life and Dutch business whereby the risk is passed to the note holders.
- 78% of non-securitised mortgages are commercial loans rather than residential mortgages; which are typically held to back annuity liabilities.
- All our USA loan portfolio is commercial loans.
- The Group’s Loan portfolio continues to perform well with 99% of the portfolio neither past due nor impaired. However, the fall in property values has led to a deterioration in loan to value (LTV) ratios so that now £890 million loans have an LTV greater than 100% with an “at risk” element of £47 million.
