Aviva 2014 Annual Report Download - page 276

Aviva plc Annual report and accounts 2014
Analysis of investments continued
272
Ratings
2014 – Shareholder assets
AAA
£m
AA
£m
A
£m
BBB
£m
Less than
BBB
£m
Non-rated
£m
Total
£m
Government
UK Government
—
5,760 51 — — 137 5,948
Non-UK Government 4,545 3,631 996 1,189 2 3 10,366
Corporate
Public utilities
—
59 2,600 1,060 11 298 4,028
Convertibles and bonds with warrants
—
—
—
— —
—
—
Other corporate bonds 1,146 1,460 5,545 3,128 154 2,174 13,607
Certificate of deposits — 8 9 — — 125 142
Structured 308 400 136 8 56 11 919
Wrapped credit — 5 295 68 38 47 453
Other 32 18 160 84 30 16 340
Total 6,031 11,341 9,792 5,537 291 2,811 35,803
Total % 16.8% 31.7% 27.3% 15.5% 0.8% 7.9% 100.0%
2013 5,551 9,633 8,842 6,074 472 2,788 33,360
2013 % 16.6% 28.9% 26.5% 18.2% 1.4% 8.4% 100.0%
We grade debt securities according to external credit ratings issued at the balance sheet date. The credit rating used for each
individual security is the median rating of the available ratings from the major credit rating agencies. If a credit rating is available
from only one of these rating agencies then this rating is used. If an individual security has not been given a credit rating by any of
the major rating agencies, the security is classified as ‘non-rated’.
For the table above we have expressed our rating using a rating scale whereby investment grade debt securities are classified
within the range of AAA (extremely strong) to BBB (good) ratings, with AAA being the highest possible rating. Debt securities
which fall outside this range are classified as less than BBB. This rating scale is analogous with that used by major rating agencies.
At 31 December 2014, the proportion of our shareholder debt securities that are investment grade increased to 91.3% (2013:
90.2%). The remaining 8.7% of shareholder debt securities that do not have an external rating of BBB or higher can be split as
follows:
• 0.8% are debt securities that are rated as below investment grade; and
• 7.9% are not rated by the major rating agencies.
Of the securities not rated by an external agency most are allocated an internal rating using a methodology largely consistent with
that adopted by an external rating agency, and are considered to be of investment grade credit quality; these include £2.5 billion
(2013: £2.4 billion) of debt securities held in our UK Life business, predominantly made up of private placements and other
corporate bonds, which have been internally rated as investment grade.
Total wrapped credit
In respect of the wrapped credit investments, the table below shows the credit rating of the securities as they are officially rated,
and an estimate of their rating 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 are based on
internal best estimates.
2014 2013
Rating with
insurance guarantee
Rating without
insurance guarantee
Rating with
insurance guarantee
Rating without
insurance guarantee
Fair value
£m % of total
Fair value
£m % of total
Fair value
£m % of total
Fair value
£m % of total
Wrapped credit
AAA
—
0.0%
—
0.0% — 0.0%
—
0.0%
AA 18 3.3%
—
0.0% 18 3.8% 18 3.8%
A 346 64.2% 269 50.0% 293 61.8% 184 38.8%
BBB 90 16.7% 135 25.0% 83 17.5% 107 22.6%
Less than BBB 38 7.1%
—
0.0% 34 7.2% 33 7.0%
Non-rated 47 8.7% 135 25.0% 46 9.7% 132 27.8%
Not available without insurance guarantee
—
0.0%
—
0.0% — 0.0%
—
0.0%
539 100.0% 539 100.0% 474 100.0% 474 100.0%
RMBS agency
AAA
—
—
—
—
— —
—
—
272 | Aviva plc Annual report and accounts 2014