Aviva 2009 Annual Report Download - page 57

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Performance review
Aviva plc Analysis of investments continued
Corporate responsibility
Annual Report and Accounts 2009
Governance
Shareholder information
Financial statements IFRS
Financial statements MCEV
Other information
Debt securities, for which shareholders carry the exposure to investment losses, analysed by credit rating and product type are set
out in the table below. Government and corporate debt securities are further analysed by type of issuer.
Debt securities – shareholder assets
Ratings
Less than
AAA AA A BBB BBB Non-rated Total
2009 £m £m £m £m £m £m £m
Government
UK government 2,666 — — — — — 2,666
UK local authorities — 16 — — — — 16
Non-UK government 8,030 2,194 2,277 1,004 125 611 14,241
10,696 2,210 2,277 1,004 125 611 16,923
Corporate
Public Utilities 38 143 710 395 9 61 1,356
Convertibles and bonds with warrants — — 103 93 27 33 256
Other corporate bonds 2,834 3,901 10,294 8,676 1,261 1,656 28,622
2,872 4,044 11,107 9,164 1,297 1,750 30,234
Certificates of deposits — 497 498 3 — 8 1,006
Structured
RMBS non-agency sub-prime 2 — — — — — 2
RMBS non-agency ALT A 18 97 16 20 79 — 230
RMBS non-agency prime 696 7 41 58 6 4 812
RMBS agency 2,254 — — — — 1 2,255
2,970 104 57 78 85 5 3,299
CMBS 1,200 207 227 84 80 4 1,802
ABS 994 203 229 92 16 274 1,808
CDO (including CLO) 67 18 15 10 71 56 237
ABCP — 20 — — — — 20
ABFRN — — — — — — —
2,261 448 471 186 167 334 3,867
Wrapped credit 142 49 106 92 29 39 457
Other 18 37 266 1 8 334 664
Total 18,959 7,389 14,782 10,528 1,711 3,081 56,450
Total % 33.6% 13.1% 26.1% 18.7% 3.0% 5.5%
2008 19,106 7,451 13,616 6,536 1,185 3,678 51,572
2008 % 37.0% 14.4% 26.5% 12.7% 2.3% 7.1%
In respect of the wrapped credit investments, the table below shows the credit rating of the underlying securities, ie without
the guarantee. As rating agencies do not provide credit ratings for individual wrapped credit securities without consideration of
the insurance guarantee, the credit ratings disclosed in the table below for wrapped credit without the benefit of the insurance
guarantee is based on the long-term issuer credit ratings for unsecured corporate debt of the issuer, where this information
is available.
Total assets
Rating with Rating without
insurance guarantee insurance guarantee
Fair value Fair value
£m % of total £m % of total
Wrapped Credit
AAA 157 26.4% — —
AA 93 15.7% 35 5.9%
A 121 20.4% 111 18.7%
BBB 129 21.7% 141 23.8%
Less than BBB 40 6.7% 20 3.3%
Non-rated 54 9.1% 54 9.1%
Not available without insurance guarantee — — 233 39.2%
594 100.0% 594 100.0%
RMBS Agency
AAA 2,535 100.0% 2,535 100.0%
2,535 100.0% 2,535 100.0%
Performance review