Aviva 2009 Annual Report Download - page 243

Aviva plc Notes to the consolidated financial statements continued
Annual Report and Accounts 2009
48 – Borrowings continued
Performance review
Corporate responsibility
Governance
Shareholder information
Financial statements IFRS
Financial statements MCEV
Other information
241
2007
Maturity dates of undiscounted cash flows
Carrying Denominated Within 1 1–5 5–10 10–15 Over 15
value currency year years years years years Total
£m £m £m £m £m £m £m £m
Amounts owed to credit institutions
Bank loans 1,064 various 375 306 314 9 60 1,064
Securitised mortgage loan notes
UK lifetime mortgage business 1,674 £ — 14 125 — 1,613 1,752
Dutch domestic mortgage business 5,620 € — — — — 5,890 5,890
7,294 — 14 125 — 7,503 7,642
Total 8,358 375 320 439 9 7,563 8,706
Contractual undiscounted interest payments 374 1,392 1,705 1,652 8,452 13,575
Total contractual undiscounted cash flows 749 1,712 2,144 1,661 16,015 22,281
Contractual undiscounted interest payments are calculated based on underlying fixed interest rates or prevailing market floating
rates as applicable. The reduction in future contractual undiscounted interest payments mainly reflects lower average interest
payable at 31 December 2009 on floating rate securitised loan notes issued by our Dutch business, compared to 31 December
2008. Year end exchange rates have been used for interest projections on loans in foreign currencies.
The securitised mortgage loan notes are at various fixed, floating and index-linked rates. Further details about these notes
are given in note 23.
All the above borrowings are stated at amortised cost, except for the loan notes issued in connection with the UK lifetime
mortgage business £1,444 million
(2008: £1,590 million, 2007: £1,674 million) and £3,664 million (2008: £3,842 million, 2007:
£3,337 million)
of the loan notes issued in connection with the Dutch domestic mortgage business, which are carried at fair value.
Fair values are modelled on risk-adjusted cash flows for defaults discounted at a risk-free rate plus a market-determined liquidity
premium, and are therefore classified as “Level 2” in the fair value hierarchy. These have been designated at fair value through
profit and loss in order to present the relevant mortgages, borrowings and derivative financial instruments at fair value, since they
are managed as a portfolio on a fair value basis. This presentation provides more relevant information and eliminates any
accounting mismatch.
(d) Description and features
(i) Subordinated debt
A description of each of the subordinated notes is set out in the table below:
Callable at par at option In the event the Company does not call the notes,
Notional amount Issue date Redemption date of the Company from the coupon will reset at each applicable reset date to
£700 million 14 Nov 2001 14 Nov 2036 16 Nov 2026 5 year Benchmark Gilt + 2.85%
€800 million 14 Nov 2001 14 Nov 2021 14 Nov 2011 3 month Euribor + 2.12%
€650 million 29 Sep 2003 02 Oct 2023 02 Oct 2013 3 month Euribor + 2.08%
€500 million 29 Sep 2003 Undated 29 Sep 2015 3 month Euribor + 2.35%
£800 million 29 Sep 2003 Undated 29 Sep 2022 5 year Benchmark Gilt + 2.40%
US$300 million 19 Dec 2007 19 Jun 2017 19 Jun 2012 3 month US LIBOR + 0.84%
£400 million 20 May 2008 20 May 2058 20 May 2038 3 month LIBOR + 3.26%
£200 million 8 Aug 2008 20 May 2058 20 May 2038 3 month LIBOR + 3.26%
€500 million 22 May 2008 22 May 2038 22 May 2018 3 month Euribor + 3.35%
£200 million 31 Mar 2009 31 Mar 2019 31 Mar 2014 3 month LIBOR + 8.10%
€50 million 30 Apr 2009 30 Apr 2019 30 Apr 2014 3 month Euribor + 8.25%
Financial statements IFRS
The subordinated notes were issued by the Company. They rank below its senior obligations and ahead of its preference
shares and ordinary share capital. The dated subordinated notes rank ahead of the undated subordinated notes. The fair value
of these notes at 31 December 2009 was £4,372 million (2008
: £2,979 million, 2007: £3,006 million) , calculated with reference
to quoted prices.