TIDMLGEN
RNS Number : 3229V
Legal & General Group Plc
09 August 2022
Legal & General Group Plc
Half Year Results 2022 Part 3
Asset and premium flows Page 73
5.01 LGIM total assets under management(1) (AUM)
Active Multi Real Total
Index strategies asset Solutions(2) assets AUM
For the six month period GBPbn GBPbn GBPbn GBPbn GBPbn GBPbn
to 30 June 2022
As at 1 January 2022 502.4 198.8 78.0 605.1 37.2 1,421.5
External inflows(3) 63.2 7.0 6.8 21.3 1.4 99.7
External outflows(3) (38.2) (4.2) (3.7) (12.5) (1.1) (59.7)
Overlay net flows - - - 25.6 - 25.6
External net flows(4) 25.0 2.8 3.1 34.4 0.3 65.6
PRT transfers(5) - - - (0.4) - (0.4)
Internal net flows(6) (0.4) 0.2 - (0.7) 0.4 (0.5)
Total net flows 24.6 3.0 3.1 33.3 0.7 64.7
Market movements (57.8) (25.2) (8.0) (102.4) (1.9) (195.3)
Other movements(7) 0.4 1.6 - (3.2) - (1.2)
As at 30 June 2022 469.6 178.2 73.1 532.8 36.0 1,289.7
Assets attributable to:
External 1,190.7
Internal 99.0
Active Multi Real Total
Index strategies asset Solutions(2) assets AUM
For the six month period GBPbn GBPbn GBPbn GBPbn GBPbn GBPbn
to 30 June 2021
As at 1 January 2021 429.9 193.6 65.7 557.2 32.5 1,278.9
External inflows(3) 47.8 10.0 4.9 20.2 0.6 83.5
External outflows(3) (43.1) (7.7) (3.1) (8.0) (0.8) (62.7)
Overlay net flows - - - 6.6 - 6.6
External net flows(4) 4.7 2.3 1.8 18.8 (0.2) 27.4
PRT transfers(5) (0.4) (0.5) - (2.8) - (3.7)
Internal net flows(6) (0.3) (2.3) 0.1 (0.2) 1.0 (1.7)
Total net flows 4.0 (0.5) 1.9 15.8 0.8 22.0
Market movements 37.9 (4.3) 4.2 (19.2) 0.4 19.0
Other movements(7) (0.4) 1.3 - 6.0 - 6.9
As at 30 June 2021 471.4 190.1 71.8 559.8 33.7 1,326.8
Assets attributable to:
External 1,213.6
Internal 113.2
1. Assets under management (AUM) includes assets on our Investment
Only Platform that are managed by third parties, on which fees are
earned.
2. Solutions include liability driven investments and GBP386.9bn
(30 June 2021: GBP345.3bn) of derivative notionals associated with
the Solutions business.
3. External inflows and outflows include GBP2.3bn (30 June 2021:
GBP3.3bn) of external investments and GBP2.0bn (30 June 2021: GBP1.2bn)
of redemptions in the ETF business.
4. External net flows exclude movements in short-term Solutions assets,
as their maturity dates are determined by client agreements and are
subject to a higher degree of variability. The total value of these
assets at 30 June 2022 was GBP68.8bn (30 June 2021: GBP51.5bn).
5. PRT transfers reflect UK defined benefit pension scheme buy-outs
to LGRI.
6. Internal net flows includes legacy assets from
the Mature Savings business sold to ReAssure in
2020.
7. Other movements include movements of external holdings in money
market funds, other cash mandates and short-term solutions assets.
Legal & General Group Plc
Half Year Results 2022 Part 3
Asset and premium flows Page 74
5.01 LGIM total assets under management(1) (AUM) (continued)
Active Multi Real Total
Index strategies asset Solutions(2) assets AUM
For the year ended 31 December GBPbn GBPbn GBPbn GBPbn GBPbn GBPbn
2021
As at 1 January 2021 429.9 193.6 65.7 557.2 32.5 1,278.9
External inflows(3) 99.4 18.7 15.1 34.4 1.7 169.3
External outflows(3) (94.5) (15.8) (8.1) (25.5) (1.8) (145.7)
Overlay net flows - - - 11.0 - 11.0
External net flows(4) 4.9 2.9 7.0 19.9 (0.1) 34.6
PRT transfers(5) (0.6) (0.7) - (2.9) - (4.2)
Internal net flows(6) (1.0) (1.8) 0.2 (1.5) 2.0 (2.1)
Total net flows 3.3 0.4 7.2 15.5 1.9 28.3
Market movements 68.7 1.8 5.1 8.6 2.8 87.0
Other movements(7) 0.5 3.0 - 23.8 - 27.3
As at 31 December 2021 502.4 198.8 78.0 605.1 37.2 1,421.5
Assets attributable to:
External 1,306.3
Internal 115.2
1. Assets under management (AUM) includes assets on our Investment
Only Platform, that are managed by third parties, on which fees
are earned.
2. Solutions include liability driven investments and GBP383.2bn
of derivative notionals associated with the Solutions business.
3. External inflows and outflows include GBP5.5bn of external investments
and GBP3.0bn of redemptions in the ETF business.
4. External net flows exclude movements in short-term Solutions
assets, as their maturity dates are determined by client agreements
and are subject to a higher degree of variability. The total value
of these assets at 31 December 2021 was GBP71.2bn.
5. PRT transfers reflect UK defined benefit pension scheme buy-outs
to LGRI.
6. Internal net flows include flows in legacy assets from the Mature
Savings business sold to ReAssure in 2020.
7. Other movements include movements of external holdings in money
market funds, other cash mandates and short-term solutions assets.
5.02 LGIM total external assets under management and net
flows
Assets under management Net flows for the
at six months ended(1)
30 Jun 30 Jun 31 Dec 30 Jun 30 Jun 31 Dec
2022 2021 2021 2022 2021 2021
GBPbn GBPbn GBPbn GBPbn GBPbn GBPbn
International(2) 377.1 344.8 377.3 34.5 15.0 14.5
UK Institutional
- Defined contribution 129.4 125.5 137.7 6.9 4.4 5.0
- Defined benefit 630.3 689.6 733.3 22.5 4.6 (13.9)
Wholesale(3) 45.5 45.5 49.1 1.4 1.3 1.2
ETF(4) 8.4 8.2 8.9 0.3 2.1 0.4
Total external 1,190.7 1,213.6 1,306.3 65.6 27.4 7.2
--------------------------- -------- -------- -------- ------- ------- ------
1. External net flows exclude movements in short-term solutions
assets, with maturity as determined by client agreements and are
subject to a higher degree of variability.
2. International assets are shown on the basis of client domicile.
Total International AUM including assets managed internationally
on behalf of UK clients amounted to GBP468bn as at 30 June 2022
(30 June 2021: GBP434bn; 31 December 2021: GBP479bn).
3. Wholesale represents assets from the Retail Intermediary business
and GBP0.3bn of assets from Personal Investing customers that did
not migrate to Fidelity International Limited.
4. ETF reflects external AUM and flows invested on the platform.
Total AUM managed on the platform is GBP9.9bn ($12.0bn) in H1 22
(H1 21: GBP9.4bn ($13.0bn); FY 21: GBP10.1bn ($13.7bn)) and flows
of GBP0.6bn ($0.8bn) in H1 22 (H1 21: GBP2.5bn ($3.4bn); FY 21:
GBP2.9bn ($3.9bn)) which include internal investment from other
LGIM asset classes.
Legal & General Group Plc
Half Year Results 2022 Part 3
Asset and premium flows Page 75
5.03 Reconciliation of assets under management to Consolidated
Balance Sheet financial investments, investment property and cash
and cash equivalents
30 Jun 30 Jun 31 Dec
2022 2021 2021
GBPbn GBPbn GBPbn
------------------------------------------------- ------- ------- ------
Assets under management 1,290 1,327 1,421
Derivative notionals (1) (387) (351) (383)
Third party assets (2) (429) (441) (480)
Other (3) 24 10 7
Financial investments, investment property
and cash and cash equivalents 498 545 565
------------------------------------------------- ------- ------- ------
1. Derivative notionals are included in the assets under management
measure but are not for IFRS reporting and are thus removed.
2. Third party assets are those that LGIM manage on behalf of others
which are not included on the group's Consolidated Balance Sheet.
3. Other includes assets that are managed by third parties on behalf
of the group, other assets and liabilities related to financial
investments, derivative assets and pooled funds.
5.04 Assets under administration
Workplace(1) Annuities(2) Workplace Annuities Workplace Annuities
30 Jun 30 Jun 30 Jun 2021 30 Jun 2021 31 Dec 2021 31 Dec 2021
2022 2022
GBPbn GBPbn GBPbn GBPbn GBPbn GBPbn
As at 1 January 65.7 89.9 50.8 87.0 50.8 87.0
Gross inflows 6.1 5.0 7.5 3.7 11.9 8.7
Gross outflows (1.8) - (1.5) - (3.4) -
Payments to pensioners - (2.4) - (2.2) - (4.6)
Net flows 4.3 2.6 6.0 1.5 8.5 4.1
Market and other
movements (6.9) (13.7) 3.4 (2.7) 6.4 (1.2)
As at 30 June/31
December 63.1 78.8 60.2 85.8 65.7 89.9
1. Workplace assets under administration as at 30 June 2022 includes
GBP63.0bn (30 June 2021: GBP60.1bn; 31 December 2021: GBP65.6bn)
of assets under management included in Note 5.01.
2. Annuities assets under administration as at 30 June 2022 includes
GBP69.9bn (30 June 2021: GBP77.3bn; 31 December 2021: GBP80.6bn)
of assets under management included in Note 5.01.
Legal & General Group Plc
Half Year Results 2022 Part 3
Asset and premium flows Page 76
5.05 LGRI new business
6 months 6 months 6 months Full year
30 Jun 30 Jun 31 Dec 31 Dec
2022 2021 2021 2021
GBPm GBPm GBPm GBPm
Pension risk transfer
- UK(1) 3,715 2,965 3,275 6,240
- US 593 107 682 789
- Bermuda 141 - 147 147
Total LGRI new business 4,449 3,072 4,104 7,176
1. UK pension risk transfer includes a GBPnil (H1 21: GBP925m; H2
21: GBPnil) Assured Payment Policy (APP).
5.06 Retail new business
6 months 6 months 6 months Full year
30 Jun 30 Jun 31 Dec 31 Dec
2022 2021 2021 2021
GBPm GBPm GBPm GBPm
Individual annuities 453 483 474 957
Lifetime mortgage loans and retirement interest
only mortgages 338 414 434 848
------------------------------------------------ -------- -------- -------- ---------
Total Retail Retirement new business 791 897 908 1,805
UK Retail protection 85 105 95 200
UK Group protection 63 55 33 88
US protection(1) 48 43 48 91
Total Insurance new business 196 203 176 379
Total Retail new business 987 1,100 1,084 2,184
1. In local currency, US protection reflects new business of $62m
(H1 21: $59m; H2 21: $65m).
5.07 Gross written premiums on insurance business
6 months 6 months 6 months Full year
30 Jun 30 Jun 31 Dec 31 Dec
2022 2021 2021 2021
GBPm GBPm GBPm GBPm
UK Retail protection 740 714 730 1,444
UK Group protection 291 274 131 405
US protection(1) 574 512 541 1,053
Longevity insurance 154 152 155 307
Total gross written premiums on insurance
business 1,759 1,652 1,557 3,209
1. In local currency, US protection reflects gross written premiums
of $746m (H1 21: $712m; H2 21: $737m).
Legal & General Group Plc
Half Year Results 2022 Part 3
Capital Page 77
6.01 Group regulatory capital - Solvency II
The group complies with the requirements established by the
Solvency II Framework Directive, as adopted by the Prudential
Regulation Authority (PRA) in the UK and measures and monitors its
capital resources on this basis.
The Solvency II results are estimated and unaudited. Further
explanation of the underlying methodology and assumptions are set
out in the sections below.
The group calculates its Solvency II capital requirements using
a Partial Internal Model. The vast majority of the risk to which
the group is exposed is assessed on the Partial Internal Model
basis approved by the PRA. Capital requirements for a few smaller
entities are assessed using the Standard Formula basis on
materiality grounds. The group's US insurance businesses and Legal
& General Reinsurance Company No. 2 are valued on a local
statutory basis, following the PRA's approval to use the Deduction
and Aggregation method of including these businesses in the group
solvency calculation.
The table below shows the group Own Funds, Solvency Capital
Requirement (SCR) and Surplus Own Funds, based on the Partial
Internal Model, Matching Adjustment and Transitional Measures on
Technical Provisions (TMTP) as at 30 June 2022.
(a) Capital position
As at 30 June 2022 the group had a surplus of GBP9,181m (31 December
2021: GBP8,185m) over its Solvency Capital Requirement, corresponding
to a Solvency II capital coverage ratio of 212% (31 December 2021:
187%). The Solvency II capital position is as follows:
30 Jun 31 Dec
2022 2021
GBPm GBPm
Unrestricted Tier 1 Own Funds 13,255 13,254
Restricted Tier 1 Own Funds(1) 495 495
Tier 2 Subordinated liabilities 3,733 3,995
Eligibility restrictions (109) (183)
------------------------------------------------------------------------ ------- ---------
Solvency II Own Funds(2,3) 17,374 17,561
Solvency Capital Requirement (8,193) (9,376)
Solvency II surplus 9,181 8,185
SCR Coverage ratio 212% 187%
1. Restricted Tier 1 Own Funds represent Perpetual restricted Tier
1 contingent convertible notes.
2. Solvency II Own Funds do not include an accrual for the interim
dividend of GBP324m (31 December 2021: GBP790m) declared after
the balance sheet date.
3. Solvency II Own Funds allow for a Risk Margin of GBP3,782m (2021:
GBP5,488m) and TMTP of GBP3,291m (2021: GBP4,736m).
(b) Methodology and assumptions
The methodology, assumptions and Partial Internal Model
underlying the calculation of Solvency II Own Funds and associated
capital requirements are broadly consistent with those set out in
the group's 2021 Annual Report and Accounts and Full Year
Results.
Non-market assumptions are consistent with those underlying the
group's IFRS disclosures, but with the removal of any margins for
prudence. Future investment returns and discount rates are those
defined by the PRA, using risk-free rates based on SONIA market
swap rates for sterling denominated liabilities. For annuities that
are eligible, the liability discount rate includes a Matching
Adjustment. This Matching Adjustment varies between LGAS and LGRe
and by the currency of the relevant liabilities.
At 30 June 2022 the Matching Adjustment for UK GBP denominated
liabilities was 138 basis points (31 December 2021: 104 basis
points) after deducting an allowance for the fundamental spread
equivalent to 57 basis points (31 December 2021: 54 basis
points).
Legal & General Group Plc
Half Year Results 2022 Part 3
Capital Page 78
6.01 Group regulatory capital - Solvency II (continued)
(c) Analysis of change
The table below shows the movement (net of tax) during the six
month period ended 30 June 2022 in the group's Solvency II surplus.
6 months 6 months 6 months
30 Jun 30 Jun 30 Jun
2022 2022 2022
Own Funds SCR Surplus
GBPm GBPm GBPm
--------------------------------------------- --------- --------- ---------
Opening Position 17,561 (9,376) 8,185
Operational Surplus Generation(1) 748 198 946
New business strain 175 (296) (121)
--------------------------------------------- --------- --------- ---------
Net surplus generation 923 (98) 825
--------------------------------------------- --------- --------- ---------
Operating variances(2) (231)
Market movements(3) 1,194
M&A, portfolio and business transfers -
Subordinated liabilities -
Dividends paid(4) (792)
--------------------------------------------- --------- --------- ---------
Total surplus movement (after dividends paid
in the period) (187) 1,183 996
--------------------------------------------- --------- --------- ---------
Closing Position 17,374 (8,193) 9,181
--------------------------------------------- --------- --------- ---------
1. Operational Surplus Generation includes a GBP176m release of
Risk Margin and GBP(173)m amortisation of the TMTP.
2. Operating variances include the impact of experience variances,
changes to valuation assumptions, methodology changes and other
management actions including changes in asset mix. The net impact
of operating variances over the period was negative and predominantly
reflects timing differences which we expect to reverse in H2.
3. Market movements represent the impact of changes in investment
market conditions during the period and changes to future economic
assumptions. The movement during the period primarily reflects
the impact of rising rates on the valuation of the balance sheet,
partially offset by weaker asset markets, predominantly in equities,
credit spread dispersion in sub-investment grade assets, as well
as a number of other, smaller variances.
4. Dividends paid are the amounts from the 2021 final dividend
paid in H1 2022.
The table below shows the movement (net of tax) during the year
ended 31 December 2021 in the group's Solvency II surplus.
Full year Full year Full year
31 Dec 31 Dec 31 Dec
2021 2021 2021
Own Funds SCR Surplus
GBPm GBPm GBPm
--------------------------------------------- --------- --------- ---------
Opening Position 17,316 (9,880) 7,436
Operational Surplus Generation(1) 1,144 492 1,636
New business strain 330 (684) (354)
--------------------------------------------- --------- --------- ---------
Net surplus generation 1,474 (192) 1,282
--------------------------------------------- --------- --------- ---------
Operating variances(2) 26
Market movements(3) 727
M&A, portfolio and business transfers(4) 77
Subordinated liabilities(5) (300)
Dividends paid(6) (1,063)
--------------------------------------------- --------- --------- ---------
Total surplus movement (after dividends paid
in the period) 245 504 749
--------------------------------------------- --------- --------- ---------
Closing Position 17,561 (9,376) 8,185
--------------------------------------------- --------- --------- ---------
1. Operational Surplus Generation includes a GBP612m release of
Risk Margin and GBP(433)m amortisation of the TMTP.
2. Operating variances include the impact of experience variances,
changes to valuation assumptions, methodology changes and other
management actions including changes in asset mix.
3. Market movements represent the impact of changes in investment
market conditions over the year and changes to future economic
assumptions.
4. Includes the impact of the sale of the Personal Investment business.
5. Reflects the redemption of GBP300m debt issued in 2009.
6. Dividends paid are the amounts from the 2020 final dividend
and the 2021 interim dividend.
Legal & General Group Plc
Half Year Results 2022 Part 3
Capital Page 79
6.01 Group regulatory capital - Solvency II (continued)
(c) Analysis of change (continued)
Operational Surplus Generation is the expected surplus generated
from the assets and liabilities in-force at the start of the year.
It is based on assumed real world returns and best estimate
non-market assumptions. It includes the impact of management
actions to the extent that, at the start of the year, these were
reasonably expected to be implemented over the year.
New Business Strain is the cost of acquiring and setting up
Technical Provisions and SCR (net of any premium income) on actual
new business written over the period. It is based on economic
conditions at the point of sale.
(d) Reconciliation of IFRS Release from operations to Solvency
II Operational surplus generation
(i) The table below provides a reconciliation of the group's IFRS
Release from operations to Solvency II Operational surplus generation.
6 months Full year
2022 2021
GBPm GBPm
IFRS Release from operations 892 1,441
Expected release of IFRS prudential margins (273) (496)
Releases of IFRS specific reserves(1) (83) (162)
Solvency II investment margin(2,3) 67 213
Release of Solvency II Capital Requirement and Risk
Margin less TMTP amortisation 343 640
Solvency II Operational surplus generation(4) 946 1,636
1. Release of prudence from IFRS specific reserves which are not
included in Solvency II (e.g. long-term longevity and expense margins).
2. Release of prudence related to differences between the PRA defined
Fundamental Spread and Legal & General's best estimate default
assumption.
3. Expected market returns earned on LGR's free assets in excess
of risk-free rates over 2022.
4. Solvency II Operational Surplus Generation includes management
actions which at the start of 2022 were reasonably expected to
be implemented over the year.
(ii) The table below provides a reconciliation of the group's IFRS
New business surplus to Solvency II New business strain.
6 months Full year
2022 2021
GBPm GBPm
IFRS New business surplus 153 247
Removal of requirement to set up prudential margins
above best estimate on new business 94 280
Set up of SCR on new business (296) (684)
Set up of Risk Margin on new business (72) (197)
Solvency II New business strain(1) (121) (354)
1. UK PRT new business volume during the first
half of 2022 was GBP3.7bn (Full year 2021:
GBP6.2bn).
(e) Reconciliation of IFRS equity to Solvency II Own Funds
A reconciliation of the group's IFRS equity to Solvency II Own
Funds is given below:
30 Jun 31 Dec
2022 2021
GBPm GBPm
----------------------------------------------------------- ------- ------
IFRS equity(1) 11,679 10,981
Remove DAC, goodwill and other intangible assets
and associated liabilities (428) (406)
Add IFRS carrying value of subordinated borrowings(2) 3,813 3,700
Insurance contract valuation differences(3) 2,808 4,132
Difference in value of net deferred tax liabilities (494) (716)
Other 105 53
Eligibility restrictions (109) (183)
------------------------------------------------------------- ------- ------
Solvency II Own Funds(4) 17,374 17,561
------------------------------------------------------------- ------- ------
1. IFRS equity represents equity attributable to owners of the
parent and restricted Tier 1 convertible notes as per the Consolidated
Balance Sheet.
2. Treated as available capital on the Solvency II balance sheet
as the liabilities are subordinate to policyholder claims.
3. Differences in the measurement of technical provisions between
IFRS and Solvency II.
4. Solvency II Own Funds do not include an accrual for the interim
dividend of GBP324m (31 December 2021: GBP790m) declared after
the balance sheet date.
Legal & General Group Plc
Half Year Results 2022 Part 3
Capital Page 80
6.01 Group regulatory capital - Solvency II (continued)
(f) Sensitivity analysis
The following sensitivities are provided to give an indication of
how the group's Solvency II surplus as at 30 June 2022 would have
changed in a variety of adverse events. These are all independent
stresses to a single risk. In practice, the balance sheet is impacted
by combinations of stresses and the combined impact can be larger
than adding together the impacts of the same stresses in isolation.
It is expected that, particularly for market risks, adverse stresses
will happen together.
Impact Impact Impact Impact
on on on on
net of net of net of net of
tax tax tax tax
Solvency Solvency Solvency Solvency
II II II II
capital coverage capital coverage
surplus ratio surplus ratio
2022 2022 2021 2021
GBPbn % GBPbn %
50bps increase in risk-free rates(1) 0.3 9 0.5 10
100bps increase in risk-free rates(1) 0.5 19 0.9 19
50bps decrease in risk-free rates(1,2) (0.3) (9) (0.6) (10)
Credit spreads widen by 100bps assuming
an escalating addition to ratings(3,4) 0.4 12 0.6 13
Credit spreads narrow by 100bps assuming
an escalating deduction from ratings(3,4) (0.4) (15) (0.6) (14)
Credit spreads widen by 100bps assuming
a flat addition to ratings(3) 0.4 14 0.7 14
Credit spreads of sub investment grade assets
widen by 100bps assuming a level addition
to ratings(3,5) (0.3) (8) (0.4) (7)
Credit migration(6) (1.2) (14) (0.9) (10)
25% fall in equity markets(7) (0.4) (3) (0.5) (3)
15% fall in property markets(8) (0.9) (9) (0.8) (7)
50bps increase in future inflation expectations(1) - (3) - (2)
Substantially reduced Risk Margin(9) 0.5 7 0.6 7
1. Assuming a recalculation of the Transitional Measure on Technical
Provisions that partially offsets the impact on Risk Margin.
2. In the interest rate down stress negative rates are allowed, i.e.
there is no floor at zero rates.
3. The spread sensitivity applies to the group's corporate bond (and
similar) holdings, with no change in long-term default expectations,
post management actions. Restructured lifetime mortgages are excluded
as the underlying exposure is mostly to property.
4. The stress for AA bonds is twice that for AAA bonds, for A bonds
it is three times, for BBB four times and so on, such that the weighted
average spread stress for the portfolio is 100 basis points. To give
a 100bps increase on the total portfolio, the spread stress increases
in steps of 32bps, i.e. 32bps for AAA, 64bps for AA etc.
5. No stress for bonds rated BBB and above. For bonds rated BB and
below the stress is 100bps. The spread widening on the total portfolio
is smaller than 2bps as the group holds less than 2% in bonds rated
BB and below. The impact is primarily an increase in SCR arising
from the modelled cost of trading downgraded bonds back to a higher
rating in the stress scenarios in the SCR calculation.
6. Credit migration stress covers the cost of an immediate big letter
downgrade on 20% of all assets where the capital treatment depends
on a credit rating (including corporate bonds, and sale and leaseback
rental strips; lifetime mortgage senior notes are excluded). Downgraded
assets in our annuities portfolio are assumed to be traded to their
original credit rating, so the impact is primarily a reduction in
Own Funds from the loss of value on downgrade. The impact of the
sensitivity will depend upon the market levels of spreads at the
balance sheet date.
7. This relates primarily to equity exposure in LGC but will also
include equity-based mutual funds and other investments that receive
an equity stress (for example, certain investments in subsidiaries).
Some assets have factors that increase or decrease the stress relative
to general equity levels via a beta factor.
8. Assets stressed include residual values from sale and leaseback,
the full amount of lifetime mortgages and direct investments treated
as property.
9. Assuming a 2/3 reduction in the Risk Margin, allowing for offset
from an equivalent reduction in the Transitional Measure on Technical
Provisions.
The above sensitivity analysis does not reflect all management actions
which could be taken to reduce the impacts. In practice, the group
actively manages its asset and liability positions to respond to
market movements. Other than in the interest rate and inflation stresses,
we have not allowed for the recalculation of TMTP following a stress.
The impacts of these stresses are not linear therefore these results
should not be used to interpolate or extrapolate the impact of a
smaller or larger stress. The results of these tests are indicative
of the market conditions prevailing at the balance sheet date. The
results would be different if performed at an alternative reporting
date.
Legal & General Group Plc
Half Year Results 2022 Part 3
Capital Page 81
6.02 Estimated Solvency II new business contribution
(a) New business by product
(1)
Management estimates of the present value of new business premium
(PVNBP) and the margin for selected lines of business are provided
below:
Contribution Contribution
from from new
new
PVNBP business(2) Margin(3) PVNBP business(2) Margin(3)
6 months 6 months 6 months Full year Full year Full year
2022 2022 2022 2021 2021 2021
GBPm GBPm % GBPm GBPm %
LGRI - UK annuity business 3,715 323 8.7 6,059 574 9.5
Retail Retirement -
UK annuity business 453 32 7.1 957 61 6.4
UK protection business 870 50 5.7 1,883 149 7.9
- retail protection 578 28 4.8 1,476 120 8.1
- group protection 292 22 7.5 407 29 7.1
US protection business(4) 391 42 10.7 842 113 13.4
1. Selected lines of business only.
2. The contribution from new business is defined as the present value
at the point of sale of expected future Solvency II surplus emerging
from new business written in the year using the risk discount rate
applicable at the end of the year.
3. Margin is based on unrounded inputs.
4. In local currency, US protection business reflects PVNBP of $508m
(31 December 2021: $1,159m) and a contribution from new business
of $54m (31 December 2021: $155m).
The decrease in LGRI margin was driven by the shorter average duration
for the schemes written in the first six months of the year, compared
to the schemes written in prior year.
The increase in Retail Retirement margin is driven by pricing that
is focused on both value and volume in light of the lack of growth
in the overall retail market. There was also a benefit from the rise
in interest rates over the first half of the year.
The UK protection contribution from new business is supported by
robust volumes, particularly in the group protection business. Retail
protection business is impacted by a smaller market (2021 benefitted
from a buoyant housing market driven by stamp duty relief) and competitive
conditions in 2022.
The US protection business margin, whilst still very strong, reduced
compared to the prior full year. The decrease is driven by pricing
actions and an increase in acquisition expenses.
(b) Basis of preparation
Solvency II new business contribution reflects the portion of
Solvency II value added by new business written in the period. It
has been calculated in a manner consistent with principles and
methodologies which were set out in the group's 2021 Annual Report
and Accounts and Full Year Results.
Solvency II new business contribution has been calculated for
the group's most material insurance-related businesses, namely,
LGRI, Retail Retirement and Insurance.
Intra-group reinsurance arrangements are in place between US, UK
and Bermudan businesses and it is expected that these arrangements
will be periodically extended to cover recent new business. The US
protection new business margin assumes that the new business will
continue to be reinsured in 2022 and looks through the intra-group
arrangements.
Legal & General Group Plc
Half Year Results 2022 Part 3
Capital Page 82
6.02 Estimated Solvency II new business contribution
(continued)
(c) Assumptions
The key economic assumptions are as follows:
30 Jun 31 Dec
2022 2021
% %
Margin for Risk 4.1 4.1
Risk-free rate
- UK 2.3 0.9
- US 3.0 1.5
Risk discount rate (net of tax)
- UK 6.4 5.0
- US 7.1 5.6
Long-term rate of return on non-profit annuities 4.4 2.5
The future earnings are discounted using duration-based discount
rates, which is the sum of a duration-based risk-free rate and a
flat margin for risk. The risk-free rates have been based on a swap
curve net of the PRA-specified Credit Risk Adjustment. The
risk-free rate shown above is a weighted average based on the
projected cash flows.
Other than updating for recent experience, all other economic
and non-economic assumptions and methodologies that would have a
material impact on the margin for these contracts are unchanged
from those previously used by the group for its European Embedded
Value reporting, other than the cost of currency hedging which has
been updated to reflect current market conditions and hedging
activity in light of Solvency II. In particular:
-- The assumed future pre-tax returns on fixed interest and RPI
linked securities are set by reference to the portfolio yield on
the relevant backing assets held at market value at the end of the
reporting period. The calculated return takes account of
derivatives and other credit instruments in the investment
portfolio. The returns on fixed and index-linked assets are
calculated net of an allowance for default risk which takes account
of the credit rating and the outstanding term of the assets. The
allowance for corporate and other unapproved credit asset defaults
within the new business contribution is calculated explicitly for
each bulk annuity scheme written, and the weighted average
deduction for business written in 2022 equates to a level rate
deduction from the expected returns for the overall annuities
portfolio of 19 basis points.
-- Non-economic assumptions have been set at levels commensurate
with recent operating experience, including those for mortality,
morbidity, persistency and maintenance expenses (excluding
development costs). An allowance is made for future mortality
improvement. For new business, mortality assumptions may be
modified to take certain scheme specific features into account.
The profits on the new business are presented gross of tax.
Legal & General Group Plc
Half Year Results 2022 Part 3
Capital Page 83
6.02 Estimated Solvency II new business contribution
(continued)
(d) Reconciliation of PVNBP to gross written
premium
A reconciliation of PVNBP and gross written
premium is given below:
6 months Full year
2022 2021
Notes GBPbn GBPbn
6.02
PVNBP (a) 5.4 9.7
Effect of capitalisation factor (0.9) (2.1)
New business premiums from selected lines 4.5 7.6
Other(1) 0.9 1.8
Total LGRI and Retail new business 5.05,5.06 5.4 9.4
Annualisation impact of regular premium long-term
business (0.2) (0.2)
IFRS gross written premiums from existing long-term
insurance business 1.8 3.3
Deposit accounting for investment products (0.4) (2.1)
Total gross written premiums(2) 6.6 10.4
1. Other principally includes annuity sales in the US, lifetime
mortgage loans and retirement interest only mortgages, and quota
share reinsurance premiums.
2. Total gross written premiums includes GBP55m (2021: GBP109m)
of gross written premiums relating to a residual reinsurance treaty
following the
disposal of the General Insurance business in 2019.
Legal & General Group Plc
Half Year Results 2022 Part 3
Page 84
This page is intentionally left blank
Legal & General Group Plc
Half Year Results 2022 Part 3
Investments Page 85
7.01 Investment portfolio
Market Market Market
value value value
30 Jun 30 Jun 31 Dec
2022 2021 2021
GBPm GBPm GBPm
Worldwide total assets under management(1) 1,295,640 1,333,203 1,426,462
Client and policyholder assets (1,175,344) (1,218,560) (1,309,772)
Investments to which shareholders are directly
exposed 120,296 114,643 116,690
1. Worldwide total assets under management include LGIM AUM and other
group assets not managed by LGIM.
Analysed by investment class:
Other
Annuity(1) LGC(2) shareholder
investments investments investments Total Total Total
30 Jun 30 Jun 30 Jun 30 Jun 30 Jun 31 Dec
2022 2022 2022 2022 2021 2021
Notes GBPm GBPm GBPm GBPm GBPm GBPm
Equities 65 3,071 356 3,492 3,088 3,185
Bonds 7.03 73,174 947 2,693 76,814 82,699 86,803
Derivative assets (3) 24,832 239 - 25,071 14,019 13,203
Property 7.04 5,632 524 - 6,156 5,103 5,710
Loans (4) 1,346 377 79 1,802 4,301 2,332
Financial investments 4.03 (a) 105,049 5,158 3,128 113,335 109,210 111,233
Cash and cash equivalents 2,665 1,276 1,032 4,973 3,740 3,596
Other assets (5) 94 1,894 - 1,988 1,693 1,861
Total investments 107,808 8,328 4,160 120,296 114,643 116,690
1. Annuity investments includes products held within the LGRI and Retail
Retirement portfolios including lifetime mortgage loans & retirement
interest only mortgages.
2. LGC investments includes GBP60m (30 June 2021: GBP52m; 31 December
2021: GBP54m) of equities that belong to Legal & General Reinsurance
Company Limited.
3. Derivative assets are shown gross of derivative liabilities of GBP28.4bn
(30 June 2021: GBP17.7bn; 31 December 2021: GBP14.1bn). Exposures arise
from use of derivatives for efficient portfolio management, especially
the use of interest rate swaps, inflation swaps, credit default swaps
and foreign exchange forward contracts for assets and liability management.
4. Loans include reverse repurchase agreements of GBP1,701m (30 June
2021: GBP4,152m; 31 December 2021: GBP2,240m).
5. Other assets include finance leases of GBP85m (30 June 2021: GBP87m;
31 December 2021: GBP86m), associates and joint ventures of GBP387m
(30 June 2021: GBP314m; 31 December 2021: GBP375m) and the consolidated
net asset value of the group's investments in CALA Homes and other
housing businesses.
Legal & General Group Plc
Half Year Results 2022 Part 3
Investments Page 86
7.02 Direct investments
(a) Total investments analysed
by asset class
Direct(1) Traded(2) Direct(1) Traded(2) Direct(1) Traded(2)
investments securities Total investments securities Total investments securities Total
30 Jun 30 Jun 30 Jun 30 Jun 30 Jun 30 Jun 31 Dec 31 Dec 31 Dec
2022 2022 2022 2021 2021 2021 2021 2021 2021
GBPm GBPm GBPm GBPm GBPm GBPm GBPm GBPm GBPm
Equities 1,431 2,061 3,492 1,202 1,886 3,088 1,248 1,937 3,185
Bonds (3) 21,773 55,041 76,814 22,218 60,481 82,699 24,237 62,566 86,803
Derivative
assets - 25,071 25,071 - 14,019 14,019 - 13,203 13,203
Property (4) 6,156 - 6,156 5,103 - 5,103 5,710 - 5,710
Loans and other
receivables 71 1,731 1,802 119 4,182 4,301 63 2,269 2,332
Financial
investments 29,431 83,904 113,335 28,642 80,568 109,210 31,258 79,975 111,233
---------------- ----------- ---------- ------- ----------- ---------- ------- ----------- ---------- -------
Cash and cash
equivalents 116 4,857 4,973 221 3,519 3,740 114 3,482 3,596
Other assets 1,988 - 1,988 1,693 - 1,693 1,861 - 1,861
Total
investments 31,535 88,761 120,296 30,556 84,087 114,643 33,233 83,457 116,690
---------------- ----------- ---------- ------- ----------- ---------- ------- ----------- ---------- -------
1. Direct investments, which generally constitute an agreement with
another party, represent an exposure to untraded and often less volatile
asset classes. Direct investments also include physical assets, bilateral
loans and private equity, but excluded hedge funds.
2. Traded securities are defined by exclusion. If an instrument is not
a direct investment, then it is classed as a traded security.
3. Bonds include lifetime mortgage loans of GBP5,758m (30 June 2021:
GBP6,325m; 31 December 2021: GBP6,857m).
4. A further breakdown of property is provided in Note 7.04.
Legal & General Group Plc
Half Year Results 2022 Part 3
Investments Page 87
7.02 Direct investments (continued)
(b) Direct investments analysed by
asset portfolio
Annuity(1) Shareholder(2) Insurance(3) Total
30 Jun 30 Jun 30 Jun 30 Jun
2022 2022 2022 2022
GBPm GBPm GBPm GBPm
-
--------------------------------------- ---------- -------------- ------------ ------
Equities 42 1,192 197 1,431
Bonds(4) 20,498 3 1,272 21,773
Property 5,632 524 - 6,156
Loans and other receivables - 71 - 71
--------------------------------------------- ---------- -------------- ------------ ------
Financial investments 26,172 1,790 1,469 29,431
---------------------------------------------- ---------- -------------- ------------ ------
Other assets, cash and cash equivalents 94 2,010 - 2,104
--------------------------------------------- ---------- -------------- ------------ ------
Total direct investments 26,266 3,800 1,469 31,535
---------------------------------------------- ---------- -------------- ------------ ------
Annuity(1) Shareholder(2) Insurance(3) Total
30 Jun 30 Jun 30 Jun 30 Jun
2021 2021 2021 2021
GBPm GBPm GBPm GBPm
Equities 9 1,077 116 1,202
Bonds (4) 21,023 3 1,192 22,218
Property 4,639 464 - 5,103
Loans and other receivables - 119 - 119
------------------------------------------- ------- ------------ ---------- -------------- ------------ --------
Financial investments 25,671 1,663 1,308 28,642
------------------------------------------------------------------ ---------- -------------- ------------ --------
Other assets, cash and
cash equivalents 100 1,814 - 1,914
------------------------------ ----------- ------- ------------ ---------- -------------- ------------ --------
Total direct investments 25,771 3,477 1,308 30,556
------------------------------------------------------------------ ---------- -------------- ------------ --------
Annuity(1) Shareholder(2) Insurance(3) Total
31 Dec 31 Dec 31 Dec 31 Dec
2021 2021 2021 2021
GBPm GBPm GBPm GBPm
Equities 12 1,124 112 1,248
Bonds(4) 23,029 3 1,205 24,237
Property 5,286 424 - 5,710
Loans and other receivables - 63 - 63
--------------------------------------------------------- ------- ---------- -------------- ------------ ------
Financial investments 28,327 1,614 1,317 31,258
----------------------- ----------- ---------- ------- ------- ---------- -------------- ------------ ------
Other assets, cash and cash equivalents 96 1,879 - 1,975
Total direct
investments 28,423 3,493 1,317 33,233
----------------------- ----------- ---------- ------- ------- ---------- -------------- ------------ ------
1. Annuity investments includes products held within the LGRI and Retail
Retirement portfolios including lifetime mortgage loans & retirement
interest only mortgages.
2. Shareholder primarily includes the LGC direct investment portfolio
along with GBP60m (30 June 2021: GBP52m; 31 December 2021: GBP54m)
of equities that belong to other shareholder funds.
3. Insurance primarily includes assets backing the group's US
protection business.
4. Bonds include lifetime mortgage loans of GBP5,758m (30 June 2021:
GBP6,325m; 31 December 2021: GBP6,857m).
Legal & General Group Plc
Half Year Results 2022 Part 3
Investments Page 88
7.03 Bond portfolio summary
(a) Sectors analysed by credit rating
BB or
AAA AA A BBB below Other Total(2) Total(2)
As at 30 June 2022 GBPm GBPm GBPm GBPm GBPm GBPm GBPm %
Sovereigns, Supras and
Sub-Sovereigns 1,696 8,049 1,169 294 11 1 11,220 15
Banks:
- Tier 2 and other subordinated - - 68 52 3 1 124 -
- Senior - 1,336 2,336 942 1 - 4,615 6
- Covered 120 - - - - - 120 -
Financial Services:
- Tier 2 and other subordinated - 118 50 32 - 17 217 -
- Senior 51 307 439 368 - - 1,165 2
Insurance:
- Tier 2 and other subordinated 59 175 32 51 - - 317 -
- Senior 5 166 416 462 - - 1,049 1
Consumer Services and
Goods:
- Cyclical - 39 1,360 1,877 159 3 3,438 4
- Non-cyclical 323 880 2,531 3,732 247 - 7,713 10
- Health care - 608 808 761 4 - 2,181 3
Infrastructure:
- Social 184 891 3,660 882 79 - 5,696 7
- Economic 273 173 891 3,744 180 - 5,261 7
Technology and Telecoms 141 325 1,546 2,801 20 1 4,834 6
Industrials - 52 613 659 29 - 1,353 2
Utilities 386 628 4,711 5,523 28 - 11,276 15
Energy - - 331 765 16 - 1,112 1
Commodities - - 337 781 25 8 1,151 2
Oil and Gas - 505 873 316 226 24 1,944 3
Real estate - 23 1,906 1,677 107 - 3,713 5
Structured finance ABS
/ RMBS / CMBS / Other 539 771 463 695 30 - 2,498 3
Lifetime mortgage loans(1) 3,721 1,146 497 381 - 13 5,758 8
CDOs - 47 - 12 - - 59 -
Total GBPm 7,498 16,239 25,037 26,807 1,165 68 76,814 100
Total % 10 21 33 35 1 - 100
1. The credit ratings attributed to lifetime mortgage loans are
allocated in accordance with the internal Matching Adjustment structuring.
2. The group's bond portfolio is dominated by investments backing
LGRI's and Retail Retirement's annuity business. These account for
GBP73,174m, representing 95% of the total group portfolio.
Legal & General Group Plc
Half Year Results 2022 Part 3
Investments Page 89
7.03 Bond portfolio summary (continued)
(a) Sectors analysed by credit rating
(continued)
BB or
AAA AA A BBB below Other Total(2) Total(2)
As at 30 June 2021 GBPm GBPm GBPm GBPm GBPm GBPm GBPm %
Sovereigns, Supras and
Sub-Sovereigns 1,925 10,091 1,249 335 10 - 13,610 17
Banks:
- Tier 2 and other subordinated - - 58 39 4 - 101 -
- Senior - 1,024 3,490 790 2 - 5,306 6
- Covered 151 - - - - - 151 -
Financial Services:
- Tier 2 and other subordinated - 113 57 21 - - 191 -
- Senior 55 443 406 393 9 - 1,306 2
Insurance:
- Tier 2 and other subordinated 64 196 31 58 - - 349 -
- Senior - 221 405 542 - - 1,168 1
Consumer Services and - - -
Goods:
- Cyclical - 84 1,135 1,772 193 - 3,184 4
- Non-cyclical 338 1,052 2,658 3,936 344 - 8,328 10
- Health care - 605 851 690 5 - 2,151 3
Infrastructure:
- Social 208 746 4,669 916 77 - 6,616 8
- Economic 311 51 766 4,053 183 - 5,364 6
Technology and Telecoms 174 209 1,462 3,085 22 1 4,953 6
Industrials - 31 672 694 22 - 1,419 2
Utilities - 207 5,629 5,861 27 - 11,724 14
Energy - - 468 589 16 - 1,073 1
Commodities - - 365 910 8 - 1,283 2
Oil and Gas - 560 1,047 389 274 - 2,270 3
Real estate - 11 1,728 1,591 177 - 3,507 4
Structured finance ABS
/ RMBS / CMBS / Other 423 798 403 603 24 1 2,252 3
Lifetime mortgage loans(1) 3,852 1,509 524 427 - 13 6,325 8
CDOs - 55 - 13 - - 68 -
Total GBPm 7,501 18,006 28,073 27,707 1,397 15 82,699 100
Total % 9 22 34 33 2 - 100
1. The credit ratings attributed to lifetime mortgage loans are
allocated in accordance with the internal Matching Adjustment structuring.
2. The group's bond portfolio is dominated by investments backing
LGRI's and Retail Retirement's annuity business. These account for
GBP78,226m, representing 95% of the total group portfolio.
Legal & General Group Plc
Half Year Results 2022 Part 3
Investments Page 90
7.03 Bond portfolio summary (continued)
(a) Sectors analysed by credit rating
(continued)
BB or
AAA AA A BBB below Other Total(2) Total(2)
As at 31 December 2021 GBPm GBPm GBPm GBPm GBPm GBPm GBPm %
Sovereigns, Supras and
Sub-Sovereigns 2,008 10,348 1,302 360 9 - 14,027 16
Banks:
- Tier 2 and other subordinated - - 56 36 3 - 95 -
- Senior 95 1,858 3,998 738 1 - 6,690 8
- Covered 138 - - - - - 138 -
Financial Services:
- Tier 2 and other subordinated - 111 60 72 - 8 251 -
- Senior 57 416 422 315 - - 1,210 1
Insurance:
- Tier 2 and other subordinated 61 192 32 62 - - 347 -
- Senior 4 196 460 535 - - 1,195 1
Consumer Services and
Goods:
- Cyclical - 33 1,399 1,760 206 - 3,398 4
- Non-cyclical 350 1,003 2,737 3,836 346 - 8,272 10
- Health care - 690 837 889 5 - 2,421 3
Infrastructure:
- Social 215 780 5,001 900 79 - 6,975 8
- Economic 303 50 1,121 4,294 191 - 5,959 7
Technology and Telecoms 177 307 1,530 3,024 22 2 5,062 6
Industrials - 31 688 558 30 - 1,307 2
Utilities 27 206 5,666 5,947 30 - 11,876 14
Energy - - 385 840 16 - 1,241 1
Commodities - - 365 889 8 - 1,262 1
Oil and Gas - 546 971 387 271 - 2,175 3
Real estate - 16 1,802 1,587 122 - 3,527 4
Structured finance ABS
/ RMBS / CMBS / Other 450 860 445 668 28 - 2,451 3
Lifetime mortgage loans(1) 4,238 1,550 584 470 - 15 6,857 8
CDOs - - 54 13 - - 67 -
Total GBPm 8,123 19,193 29,915 28,180 1,367 25 86,803 100
Total % 9 22 35 32 2 - 100
1. The credit ratings attributed to lifetime mortgage loans are
allocated in accordance with the internal Matching Adjustment structuring.
2. The group's bond portfolio is dominated by investments backing
LGRI's and Retail Retirement's annuity business. These account for
GBP81,812m, representing 94% of the total group portfolio.
Legal & General Group Plc
Half Year Results 2022 Part 3
Investments Page 91
7.03 Bond portfolio summary (continued)
(b) Sectors analysed by domicile
Rest
of
UK US EU the World Total
As at 30 June 2022 GBPm GBPm GBPm GBPm GBPm
Sovereigns, Supras and Sub-Sovereigns 7,685 1,774 768 993 11,220
Banks 1,514 1,849 812 684 4,859
Financial Services 341 403 380 258 1,382
Insurance 101 1,131 19 115 1,366
Consumer Services and Goods:
- Cyclical 473 2,299 395 271 3,438
- Non-cyclical 1,888 5,311 354 160 7,713
- Health care 275 1,842 63 1 2,181
Infrastructure:
- Social 4,965 524 158 49 5,696
- Economic 3,711 881 264 405 5,261
Technology and Telecoms 403 3,080 699 652 4,834
Industrials 189 799 313 52 1,353
Utilities 6,303 2,583 1,877 513 11,276
Energy 312 633 1 166 1,112
Commodities 37 449 151 514 1,151
Oil and Gas 167 567 686 524 1,944
Real estate 1,938 934 544 297 3,713
Structured Finance ABS / RMBS /
CMBS / Other 704 1,503 11 280 2,498
Lifetime mortgage loans 5,758 - - - 5,758
CDOs - - - 59 59
Total 36,764 26,562 7,495 5,993 76,814
Legal & General Group Plc
Half Year Results 2022 Part 3
Investments Page 92
7.03 Bond portfolio summary (continued)
(b) Sectors analysed by domicile
(continued)
Rest of
UK US EU the World Total
As at 30 June 2021 GBPm GBPm GBPm GBPm GBPm
Sovereigns, Supras and Sub-Sovereigns 9,937 1,900 861 912 13,610
Banks 1,807 1,828 1,241 682 5,558
Financial Services 532 344 555 66 1,497
Insurance 103 1,239 60 115 1,517
Consumer Services and Goods:
- Cyclical 446 2,088 503 147 3,184
- Non-cyclical 1,952 5,822 382 172 8,328
- Health care 285 1,785 80 1 2,151
Infrastructure:
- Social 5,826 582 160 48 6,616
- Economic 3,941 847 226 350 5,364
Technology and Telecoms 407 2,981 707 858 4,953
Industrials 186 815 351 67 1,419
Utilities 6,834 2,230 2,075 585 11,724
Energy 229 622 96 126 1,073
Commodities 6 564 183 530 1,283
Oil and Gas 213 634 792 631 2,270
Real estate 2,089 562 620 236 3,507
Structured Finance ABS / RMBS /
CMBS / Other 919 1,237 11 85 2,252
Lifetime mortgage loans 6,325 - - - 6,325
CDOs - - - 68 68
Total 42,037 26,080 8,903 5,679 82,699
Legal & General Group Plc
Half Year Results 2022 Part 3
Investments Page 93
7.03 Bond portfolio summary (continued)
(b) Sectors analysed by domicile
(continued)
Rest of
UK US EU the World Total
As at 31 December 2021 GBPm GBPm GBPm GBPm GBPm
Sovereigns, Supras and Sub-Sovereigns 9,829 1,892 1,244 1,062 14,027
Banks 2,253 1,799 1,956 915 6,923
Financial Services 425 429 517 90 1,461
Insurance 113 1,291 15 123 1,542
Consumer Services and Goods
- Cyclical 473 2,213 442 270 3,398
- Non-cyclical 1,879 5,828 391 174 8,272
- Health care 284 2,054 82 1 2,421
Infrastructure
- Social 6,141 628 154 52 6,975
- Economic 4,348 902 309 400 5,959
Technology and Telecoms 412 3,025 782 843 5,062
Industrials 190 681 354 82 1,307
Utilities 6,963 2,158 2,217 538 11,876
Energy 415 667 1 158 1,241
Commodities 20 537 175 530 1,262
Oil and Gas 196 626 785 568 2,175
Real estate 1,895 734 602 296 3,527
Structured finance ABS / RMBS / CMBS
/ Other 861 1,395 10 185 2,451
Lifetime mortgage loans 6,857 - - - 6,857
CDOs - - - 67 67
Total 43,554 26,859 10,036 6,354 86,803
Legal & General Group Plc
Half Year Results 2022 Part 3
Investments Page 94
7.03 Bond portfolio summary (continued)
(c) Bond portfolio analysed by credit
rating
Externally Internally
rated rated(1) Total
As at 30 June 2022 GBPm GBPm GBPm
AAA 3,449 4,049 7,498
AA 13,439 2,800 16,239
A 17,049 7,988 25,037
BBB 19,723 7,084 26,807
BB or below 777 388 1,165
Other 19 49 68
Total 54,456 22,358 76,814
Externally Internally
rated rated(1) Total
As at 30 June 2021 GBPm GBPm GBPm
AAA 3,254 4,247 7,501
AA 14,732 3,274 18,006
A 20,595 7,478 28,073
BBB 21,462 6,245 27,707
BB or below 970 427 1,397
Other 1 14 15
Total 61,014 21,685 82,699
Externally Internally
rated rated(1) Total
As at 31 December 2021 GBPm GBPm GBPm
AAA 3,506 4,617 8,123
AA 15,544 3,649 19,193
A 21,240 8,675 29,915
BBB 20,715 7,465 28,180
BB or below 950 417 1,367
Other 10 15 25
Total 61,965 24,838 86,803
1. Where external ratings are not available an internal rating
has been used where practicable to do so.
Legal & General Group Plc
Half Year Results 2022 Part 3
Investments Page 95
7.03 Bond portfolio summary (continued)
(d) Sectors analysed by Direct investments and Traded
securities
Direct Traded
investments securities Total
As at 30 June 2022 GBPm GBPm GBPm
Sovereigns, Supras and Sub-Sovereigns 747 10,473 11,220
Banks 742 4,117 4,859
Financial Services 507 875 1,382
Insurance 116 1,250 1,366
Consumer Services and Goods:
- Cyclical 579 2,859 3,438
- Non-cyclical 489 7,224 7,713
- Health care 283 1,898 2,181
Infrastructure:
- Social 2,953 2,743 5,696
- Economic 3,762 1,499 5,261
Technology and Telecoms 192 4,642 4,834
Industrials 99 1,254 1,353
Utilities 1,679 9,597 11,276
Energy 368 744 1,112
Commodities 70 1,081 1,151
Oil and Gas 61 1,883 1,944
Real estate 2,287 1,426 3,713
Structured Finance ABS / RMBS / CMBS
/ Other 1,081 1,417 2,498
Lifetime mortgage loans 5,758 - 5,758
CDOs - 59 59
Total 21,773 55,041 76,814
Legal & General Group Plc
Half Year Results 2022 Part 3
Investments Page 96
7.03 Bond portfolio summary (continued)
(d) Sectors analysed by Direct investments and Traded securities
(continued)
Direct Traded
investments securities Total
As at 30 June 2021 GBPm GBPm GBPm
Sovereigns, Supras and Sub-Sovereigns 991 12,619 13,610
Banks 628 4,930 5,558
Financial Services 396 1,101 1,497
Insurance 162 1,355 1,517
Consumer Services and Goods:
- Cyclical 469 2,715 3,184
- Non-cyclical 386 7,942 8,328
- Health care 339 1,812 2,151
Infrastructure:
- Social 3,507 3,109 6,616
- Economic 3,696 1,668 5,364
Technology and Telecoms 129 4,824 4,953
Industrials 58 1,361 1,419
Utilities 1,656 10,068 11,724
Energy 331 742 1,073
Commodities 57 1,226 1,283
Oil and Gas 57 2,213 2,270
Real estate 2,109 1,398 3,507
Structured Finance ABS / RMBS /
CMBS / Other 925 1,327 2,252
Lifetime mortgage loans 6,325 - 6,325
CDOs - 68 68
Total 22,221 60,478 82,699
Legal & General Group Plc
Half Year Results 2022 Part 3
Investments Page 97
7.03 Bond portfolio summary (continued)
(d) Sectors analysed by Direct investments and Traded securities
(continued)
Direct Traded
investments securities Total
As at 31 December 2021 GBPm GBPm GBPm
Sovereigns, Supras and Sub-Sovereigns 1,037 12,990 14,027
Banks 665 6,258 6,923
Financial Services 432 1,029 1,461
Insurance 119 1,423 1,542
Consumer Services and Goods:
- Cyclical 498 2,900 3,398
- Non-cyclical 512 7,760 8,272
- Health care 357 2,064 2,421
Infrastructure:
- Social 3,699 3,276 6,975
- Economic 4,267 1,692 5,959
Technology and Telecoms 153 4,909 5,062
Industrials 60 1,247 1,307
Utilities 1,883 9,993 11,876
Energy 475 766 1,241
Commodities 55 1,207 1,262
Oil and Gas 56 2,119 2,175
Real estate 2,091 1,436 3,527
Structured Finance ABS / RMBS /
CMBS / Other 1,021 1,430 2,451
Lifetime mortgage loans 6,857 - 6,857
CDOs - 67 67
Total 24,237 62,566 86,803
Legal & General Group Plc
Half Year Results 2022 Part 3
Investments Page 98
7.04 Property analysis
Property exposure within Direct investments
by status
Annuity(1) Shareholder(2) Total
As at 30 June 2022 GBPm GBPm GBPm %
Fully let 5,190 - 5,190 84
Development 442 403 845 14
Land - 121 121 2
Total 5,632 524 6,156 100
Annuity(1) Shareholder(2) Total
As at 30 June 2021 GBPm GBPm GBPm %
Fully let 4,035 - 4,035 79
Development 604 323 927 18
Land - 141 141 3
Total 4,639 464 5,103 100
Annuity(1) Shareholder(2) Total
As at 31 December 2021 GBPm GBPm GBPm %
Fully let 4,746 - 4,746 83
Development 540 293 833 15
Land - 131 131 2
Total 5,286 424 5,710 100
1. The fully let annuity property exposure includes GBP4.9bn (30
June 2021: GBP4.0bn; 31 December 2021: GBP4.5bn) let to investment
grade tenants.
2. The above analysis does not include assets related to the group's
investments in CALA Homes and other housing businesses, which are
accounted for as inventory within Receivables and other assets on
the group's Consolidated Balance Sheet and measured at the lower
of cost and net realisable value. At 30 June 2022 the group held
a total of GBP2,072m (30 June 2021: GBP2,190m; 31 December 2021:
GBP2,044m) of such assets.
Legal & General Group Plc
Half Year Results 2022 Part 3
Alternative Performance Measures Page 99
An alternative performance measure (APM) is a financial measure
of historic or future financial performance, financial position, or
cash flows, other than a financial measure defined under IFRS or
the regulations of Solvency II. APMs offer investors and
stakeholders additional information on the company's performance
and the financial effect of 'one-off' events, and the group uses a
range of these metrics to enhance understanding of the group's
performance. However, APMs should be viewed as complementary to,
rather than as a substitute for, the figures determined according
to other regulations. The APMs used by the group are listed in this
section, along with their definition/explanation, their closest
IFRS measure and reference to the reconciliations to those IFRS
measures.
The APMs used by the group may not be the same as, or comparable
to, those used by other companies, both in similar and different
industries. The calculation of APMs is consistent with previous
periods, unless otherwise stated.
Adjusted operating profit
Definition
Adjusted operating profit is an APM that supports the internal
performance management and decision making of the group's operating
businesses, and accordingly underpins the remuneration outcomes of
the executive directors and senior management. The group considers
this measure meaningful to stakeholders as it enhances the
understanding of the group's operating performance over time by
separately identifying non-operating items.
Adjusted operating profit measures the pre-tax result excluding
the impact of investment volatility, economic assumption changes
caused by changes in market conditions or expectations and
exceptional items. It therefore reflects longer-term economic
assumptions for the group's insurance businesses and shareholder
funds, including the traded portfolio in LGC. For direct
investments, operating profit reflects the expected long-term
economic return for those assets which are developed with the
intention of sale, or the IFRS profit before tax for the early
stage and mature businesses. Variances between actual and long-term
expected investment return on traded and real assets (including
direct investments) are excluded from adjusted operating profit, as
well as economic assumption changes caused by changes in market
conditions or expectations (e.g. credit default and inflation) and
any difference between the actual allocated asset mix and the
target long-term asset mix on new pension risk transfer business.
Adjusted operating profit also excludes the yield associated with
assets held for future new pension risk transfer business from the
valuation discount rate on insurance contract liabilities.
Exceptional income and expenses which arise outside the normal
course of business in the year, such as merger and acquisition and
start-up costs, are also excluded from adjusted operating
profit.
In certain disclosures, the group may use the term 'operating
profit' as a substitute for adjusted operating profit, but in all
circumstances it carries the same definition and meaning.
Closest IFRS measure
Profit before tax attributable to equity holders.
Reconciliation
Note 2.01 Operating profit.
Return on Equity (ROE)
Definition
ROE measures the return earned by shareholders on shareholder
capital retained within the business.
ROE is calculated as IFRS pro t after tax divided by average
IFRS shareholders' funds (by reference to opening and closing
shareholders' funds as provided in the IFRS consolidated statement
of changes in equity for the period).
Closest IFRS measure
Calculated using:
- Profit attributable to equity holders
- Equity attributable to owners of the parent
Reconciliation
Calculated using annualised profit attributable to equity
holders for the period of GBP2,306m (30 June 2021: GBP2,130m; 31
December 2021: GBP2,050m) and average equity attributable to the
owners of the parent of GBP10,835m (30 June 2021: GBP9,677m; 31
December 2021: GBP9,994m), based on an opening balance of
GBP10,486m and a closing balance of GBP11,184m (30 June 2021: based
on an opening balance of GBP9,502m and a closing balance of
GBP9,852m; 31 December 2021: based on an opening balance of
GBP9,502m and a closing balance of GBP10,486m).
Assets under Management
Definition
Funds which are managed by our fund managers on behalf of
investors. It represents the total amount of money investors have
trusted with our fund managers to invest across our investment
products.
Closest IFRS measures
- Financial investments
- Investment property
- Cash and cash equivalents
Reconciliation
Note 5.03 Reconciliation of assets under management to
Consolidated Balance Sheet financial investments, investment
property and cash and cash equivalents.
Legal & General Group Plc
Half Year Results 2022 Part 3
Alternative Performance Measures Page 100
Net release from operations
Definition
Release from operations plus new business surplus/(strain). Net
release from operations is also referred to as cash generation, and
includes the release of prudent margins from the back book,
together with the premium received less the setup of prudent
reserves and associated acquisition costs for new business. Net
release from operations is a component of adjusted operating profit
(after tax), and excludes predominantly the impact of experience
variances and changes in valuation assumptions.
Closest IFRS measure
Profit before tax attributable to equity holders.
Reconciliation
Notes 2.01 Operating profit and 2.02 Reconciliation of release
from operations to operating profit before tax.
Adjusted profit before tax attributable to equity holders
Definition
The APM measures profit before tax attributable to shareholders
incorporating actual investment returns experienced during the year
and the pre-tax results of discontinued operations.
Closest IFRS measure
Profit before tax attributable to equity holders.
Reconciliation
Note 2.01 Operating profit.
Legal & General Group Plc
Half Year Results 2022 Part 3
Glossary Page 101
* These items represent an alternative performance measure
(APM)
Adjusted operating profit*
Refer to the alternative performance measures section.
Adjusted profit before tax attributable to equity holders*
Refer to the alternative performance measures section.
Alternative performance measures (APMs)
An alternative performance measure is a financial measure of
historic or future financial performance, financial position, or
cash flows, other than a financial measure defined under IFRS or
the regulations of Solvency II.
Annual premium
Premiums that are paid regularly over the duration of the
contract such as protection policies.
Annuity
Regular payments from an insurance company made for an agreed
period of time (usually up to the death of the recipient) in return
for either a cash lump sum or a series of premiums which the
policyholder has paid to the insurance company during their working
lifetime.
Assets under administration (AUA)
Assets administered by Legal & General which are bene cially
owned by clients and are therefore not reported on the Consolidated
Balance Sheet. Services provided in respect of assets under
administration are of an administrative nature, including
safekeeping, collecting investment income, settling purchase and
sales transactions and record keeping.
Assets under management (AUM)*
Refer to the alternative performance measures section.
Assured Payment Policy (APP)
An Assured Payment Policy (APP) is a long-term contract under
which the policyholder (a registered UK pension scheme) pays a
day-one premium and in return receives a contractually fixed and/or
inflation-linked set of payments over time from the insurer.
Back book acquisition
New business transacted with an insurance company which allows
the business to continue to utilise Solvency II transitional
measures associated with the business.
CAGR
Compound annual growth rate.
Cash generation
Cash generation is an alternative term for net release from
operations.
CCF - Common Contractual Fund
An Irish regulated asset pooling fund structure. It enables
institutional investors to pool assets into a single fund vehicle
with the aim of achieving cost savings, enhanced returns and
operational efficiency through economies of scale. A CCF is an
unincorporated body established under a deed where investors are
"co-owners" of underlying assets which are held pro rata with their
investment. The CCF is authorised and regulated by the Central Bank
of Ireland.
Credit rating
A measure of the ability of an individual, organisation or
country to repay debt. The highest rating is usually AAA and the
lowest Unrated. Ratings are usually issued by a credit rating
agency (e.g. Moody's or Standard & Poor's) or a credit
bureau.
Deduction and aggregation (D&A)
A method of calculating group solvency on a Solvency II basis,
whereby the assets and liabilities of certain entities are excluded
from the group consolidation. The net contribution from those
entities to group Own Funds is included as an asset on the group's
Solvency II balance sheet. Regulatory approval has been provided to
recognise the (re)insurance subsidiaries in the US and Bermuda on
this basis.
Defined benefit pension scheme (DB scheme)
A type of pension plan in which an employer/sponsor promises a
specified monthly benefit on retirement that is predetermined by a
formula based on the employee's earnings history, tenure of service
and age, rather than depending directly on individual investment
returns.
Defined contribution pension scheme (DC scheme)
A type of pension plan where the pension benefits at retirement
are determined by agreed levels of contributions paid into the fund
by the member and employer. They provide benefits based upon the
money held in each individual's plan specifically on behalf of each
member. The amount in each plan at retirement will depend upon the
investment returns achieved and on the member and employer
contributions.
Derivatives
Derivatives are not a separate asset class but are contracts
usually giving a commitment or right to buy or sell assets on
specified conditions, for example on a set date in the future and
at a set price. The value of a derivative contract can vary.
Derivatives can generally be used with the aim of enhancing the
overall investment returns of a fund by taking on an increased
risk, or they can be used with the aim of reducing the amount of
risk to which a fund is exposed.
Direct investments
Direct investments, which generally constitute an agreement with
another party, represent an exposure to untraded and often less
volatile asset classes. Direct investments also include physical
assets, bilateral loans and private equity, but exclude hedge
funds.
Legal & General Group Plc
Half Year Results 2022 Part 3
Glossary Page 102
Dividend cover
Dividend cover measures how many times over the net release from
operations in the year could have paid the full year dividend. For
example, if the dividend cover is 3, this means that the net
release from operations was three times the amount of dividend paid
out.
Early stage business
A recently created company in the early stage of its life cycle
(typically up to 18 to 24 months since establishment), which has
not broken even yet. This usually means the entity is not fully
operational yet, and the management team is still being
developed.
Earnings per share (EPS)
EPS is a common nancial metric which can be used to measure the
pro tability and strength of a company over time. It is the total
shareholder pro t after tax divided by the number of shares
outstanding. EPS uses a weighted average number of shares
outstanding during the year.
Eligible Own Funds
Eligible Own Funds represents the capital available to cover the
group's Solvency II Capital Requirement. Eligible Own Funds
comprise the excess of the value of assets over liabilities, as
valued on a Solvency II basis, plus high quality hybrid capital
instruments, which are freely available (fungible and transferable)
to absorb losses wherever they occur across the group.
Employee satisfaction index
The Employee satisfaction index measures the extent to which
employees report that they are happy working at Legal &
General. It is measured as part of our Voice surveys, which also
include questions on commitment to the goals of Legal & General
and the overall success of the company.
ETF
LGIM's European Exchange Traded Fund platform.
Euro Commercial paper
Short term borrowings with maturities of up to 1 year typically
issued for working capital purposes.
Full year dividend
Full year dividend is the total dividend per share declared for
the year (including interim dividend but excluding, where
appropriate, any special dividend).
FVTPL
Fair value through profit or loss. A financial asset or
financial liability that is measured at fair value in the
Consolidated Balance Sheet reports gains and losses arising from
movements in fair value within the Consolidated Income Statement as
part of the profit or loss for the year.
Generally accepted accounting principles (GAAP)
These are a widely accepted collection of guidelines and
principles, established by accounting standard setters and used
by the accounting community to report financial information.
Gross written premiums (GWP)
GWP is an industry measure of the life insurance premiums due
and the general insurance premiums underwritten in the reporting
period, before any deductions for reinsurance.
ICAV - Irish Collective Asset-Management Vehicle
A legal structure investment fund, based in Ireland and aimed at
European investment funds looking for a simple, tax-efficient
investment vehicle.
Insurance new business
New business arising from new policies written on retail
protection products and new deals and incremental business on group
protection products.
International financial reporting standards (IFRS)
These are accounting guidelines and rules that companies and
organisations follow when completing financial statements. They are
designed to enable comparable reporting between companies, and they
are the standards that all publicly listed groups in the UK are
required to use.
Key performance indicators (KPIs)
These are measures by which the development, performance or
position of the business can be measured effectively. The group
Board reviews the KPIs annually and updates them where
appropriate.
LGA
Legal & General America.
LGAS
Legal and General Assurance Society Limited.
LGC
Legal & General Capital.
LGIM
Legal & General Investment Management.
LGRI
Legal & General Retirement Institutional.
LGRI new business
Single premiums arising from pension risk transfers and the
notional size of longevity insurance transactions, based on the
present value of the fixed leg cash flows discounted at the SONIA
curve.
Liability driven investment (LDI)
A form of investing in which the main goal is to gain sufficient
assets to meet all liabilities, both current and future. This form
of investing is most prominent in final salary pension plans, whose
liabilities can often reach into billions of pounds for the largest
of plans.
Legal & General Group Plc
Half Year Results 2022 Part 3
Glossary Page 103
Lifetime mortgages
An equity release product aimed at people aged 55 years and
over. It is a mortgage loan secured against the customer's house.
Customers do not make any monthly payments and continue to own and
live in their house until they move into long-term care or on
death. A no negative equity guarantee exists such that if the house
value on repayment is insufficient to cover the outstanding loan,
any shortfall is borne by the lender.
Longevity
Measure of how long policyholders will live, which affects the
risk profile of pension risk transfer, annuity and protection
businesses.
Matching adjustment
An adjustment to the discount rate used for annuity liabilities
in Solvency II balance sheets. This adjustment reflects the fact
that the profile of assets held is sufficiently well-matched to the
profile of the liabilities, that those assets can be held to
maturity, and that any excess return over risk-free (that is not
related to defaults) can be earned regardless of asset value
fluctuations after purchase.
Mature business
A company which has been operative for more than three to five
years. It generates regular revenue streams but the growth rate in
its earnings is expected to remain broadly flat in the future. At
this point in its life cycle, a complete and experienced management
team is in place.
Morbidity rate
Rate of illness, influenced by age, gender and health, used in
pricing and calculating liabilities for policyholders of life
products, which contain morbidity risk.
Mortality rate
Rate of death, influenced by age, gender and health, used in
pricing and calculating liabilities for future policyholders of
life and annuity products, which contain mortality risks.
Net release from operations*
Refer to the alternative performance measures section.
Net zero carbon
Achieving an overall balance between anthropogenic carbon
emissions produced and carbon emissions removed from the
atmosphere.
New business surplus/strain
The net impact of writing new business on the IFRS position,
including the benefit/cost of acquiring new business and the
setting up of reserves, for UK non profit annuities, workplace
savings and protection, net of tax. This metric provides an
understanding of the impact of new contracts on the IFRS profit for
the year.
OEIC - Open Ended Investment Company
A type of investment fund domiciled in the United Kingdom that
is structured to invest in stocks and other securities, authorised
and regulated by the Financial Conduct Authority (FCA).
Overlay assets
Overlay assets are derivative assets that are managed alongside
the physical assets held by LGIM. These instruments include
interest rate swaps, in ation swaps, equity futures and options.
These are typically used to hedge risks associated with pension
scheme assets during the derisking stage of the pension life
cycle.
Paris Agreement
The Paris Agreement is an agreement within the United Nations
Framework Convention on Climate Change effective 4 November 2016.
The Agreement aims to limit the increase in average global
temperatures to well below 2degC, preferably to 1.5degC, compared
to pre-industrial levels.
Pension risk transfer (PRT)
PRT represents bulk annuities bought by entities that run nal
salary pension schemes to reduce their responsibilities by closing
the schemes to new members and passing the assets and obligations
to insurance providers.
Persistency
Persistency is a measure of LGIM client asset retention,
calculated as a function of net flows and closing AUM.
Platform
Online services used by intermediaries and consumers to view and
administer their investment portfolios. Platforms usually provide
facilities for buying and selling investments (including, in the UK
products such as Individual Savings Accounts (ISAs), Self-Invested
Personal Pensions (SIPPs) and life insurance) and for viewing an
individual's entire portfolio to assess asset allocation and risk
exposure.
Present value of future new business premiums (PVNBP)
PVNBP is equivalent to total single premiums plus the discounted
value of annual premiums expected to be received over the term of
the contracts using the same economic and operating assumptions
used for the new business value at the end of the financial period.
The discounted value of longevity insurance regular premiums and
quota share reinsurance single premiums are calculated on a net of
reinsurance basis to enable a more representative margin figure.
PVNBP therefore provides an estimate of the present value of the
premiums associated with new business written in the year.
Proprietary assets
Total investments to which shareholders are directly exposed,
minus derivative assets, loans, and cash and cash equivalents.
QIAIF - Qualifying Investor Alternative Investment Fund
An alternative investment fund regulated in Ireland targeted at
sophisticated and institutional investors, with minimum
subscription and eligibility requirements. Due to not being subject
to many investment or borrowing restrictions, QIAIFs present a high
level of flexibility in their investment strategy.
Legal & General Group Plc
Half Year Results 2022 Part 3
Glossary Page 104
Real assets
Real assets encompass a wide variety of tangible debt and equity
investments, primarily real estate, infrastructure, and energy.
They have the ability to serve as stable sources of long-term
income in weak markets, while also providing capital appreciation
opportunities in strong markets.
Release from operations
The expected IFRS surplus generated in the period from the
difference between IFRS prudent assumptions and our best estimate
of future experience for in-force LGRI, Retail Retirement and UK
Insurance businesses, the post-tax operating profit on other UK
businesses, including the medium term expected investment return on
LGC invested assets, and dividends remitted from US Insurance.
Retail Retirement new business
Single premiums arising from annuity sales and individual
annuity back book acquisitions and the volume of lifetime and
retirement interest only mortgage lending.
Retirement interest only mortgage (RIO)
A Retirement Interest Only (RIO) mortgage is a standard
retirement mortgage available for non-commercial borrowers above 55
years old. A RIO mortgage is very similar to a standard
interest-only mortgage, with two key differences:
- The loan is usually only paid off on death, move into
long-term care or sale of the house.
- The borrowers only have to prove they can afford the monthly
interest repayments and not the capital remaining at the end of the
mortgage term.
No repayment solution is required as repayment defaults to sale
of property.
Return on Equity (ROE)*
Refer to the alternative performance measures section.
Risk appetite
The aggregate level and types of risk a company is willing to
assume in its exposures and business activities in order
to achieve its business objectives.
SICAV - Société d'Investissement à Capital Variable
A publicly traded open-end investment fund structure offered in
Europe and regulated under European law.
SIF - Specialised Investment Fund
An investment vehicle regulated in Luxembourg targeted to
well-informed investors, providing a great degree of flexibility in
organization, investment policy and types of underlying assets in
which it can invest.
Single premiums
Single premiums arise on the sale of new contracts where the
terms of the policy do not anticipate more than one premium being
paid over its lifetime, such as in individual and bulk annuity
deals.
Solvency II
The Solvency II regulatory regime is a harmonised prudential
framework for insurance rms in the EEA. This single market approach
is based on economic principles that measure assets and liabilities
to appropriately align insurers' risk with the capital they hold to
safeguard the policyholders' interest.
Solvency II capital coverage ratio
The Eligible Own Funds on a regulatory basis divided by the
group solvency capital requirement. This represents the number of
times the SCR is covered by Eligible Own Funds.
The Solvency II coverage ratio incorporates the impacts of a
recalculation of the Transitional Measures for Technical Provisions
and the contribution of our defined benefit pension schemes in both
Own Funds and the SCR.
Solvency II new business contribution
Reflects present value at the point of sale of expected future
Solvency II surplus emerging from new business written in the
period using the risk discount rate applicable at the end of the
reporting period.
Solvency II Operational Surplus Generation
The expected surplus generated from the assets and liabilities
in-force at the start of the year. It is based on assumed real
world returns and best estimate non-market assumptions. It includes
the impact of management actions to the extent that, at the start
of the year, these were reasonably expected to be implemented over
the year.
Solvency II risk margin
An additional liability required in the Solvency II balance
sheet, to ensure the total value of technical provisions is equal
to the current amount a (re)insurer would have to pay if it were to
transfer its insurance and reinsurance obligations immediately to
another (re)insurer. The value of the risk margin represents the
cost of providing an amount of Eligible Own Funds equal to the
Solvency Capital Requirement (relating to non-market risks)
necessary to support the insurance and reinsurance obligations over
the lifetime thereof.
Solvency II surplus
The excess of Eligible Own Funds on a regulatory basis over the
SCR. This represents the amount of capital available to the company
in excess of that required to sustain it in a 1-in-200 year risk
event.
Solvency Capital Requirement (SCR)
The amount of Solvency II capital required to cover the losses
occurring in a 1-in-200 year risk event.
Total shareholder return (TSR)
TSR is a measure used to compare the performance of different
companies' stocks and shares over time. It combines the share price
appreciation and dividends paid to show the total return to the
shareholder.
Legal & General Group Plc
Half Year Results 2022 Part 3
Glossary Page 105
Transitional Measures on Technical Provisions (TMTP)
This is an adjustment to Solvency II technical provisions to
bring them into line with the pre-Solvency II equivalent as at 1
January 2016 when the regulatory basis switched over, to smooth the
introduction of the new regime. This will decrease linearly over
the 16 years following Solvency II implementation but may be
recalculated to allow for changes impacting the relevant business,
subject to agreement with the PRA.
Yield
A measure of the income received from an investment compared to
the price paid for the investment. It is usually expressed as a
percentage.
This information is provided by RNS, the news service of the
London Stock Exchange. RNS is approved by the Financial Conduct
Authority to act as a Primary Information Provider in the United
Kingdom. Terms and conditions relating to the use and distribution
of this information may apply. For further information, please
contact rns@lseg.com or visit www.rns.com.
RNS may use your IP address to confirm compliance with the terms
and conditions, to analyse how you engage with the information
contained in this communication, and to share such analysis on an
anonymised basis with others as part of our commercial services.
For further information about how RNS and the London Stock Exchange
use the personal data you provide us, please see our Privacy
Policy.
END
IR BKFBQOBKDDFK
(END) Dow Jones Newswires
August 09, 2022 02:00 ET (06:00 GMT)
Legal & General (LSE:LGEN)
Historical Stock Chart
Von Jun 2024 bis Jul 2024
Legal & General (LSE:LGEN)
Historical Stock Chart
Von Jul 2023 bis Jul 2024
