Asset allocation
The asset allocation at the year end is shown below.
31 December 2006 |
31 December 2005 |
London |
Bermuda |
London |
Bermuda |
| Syndicate £m |
Corporate £m |
Underwriting £m |
Corporate £m |
total | Syndicate £m |
Corporate £m |
Corporate £m |
total | |
 |
|||||||||
| Equities | – | 209.3 | – | 39.0 | 248.3 | – | 116.2 | – | 116.2 |
| Bonds | 1,167.2 | 183.2 | – | 338.0 | 1,688.4 | 1,038.0 | 104.1 | – | 1,142.1 |
| Property | 43.1 | – | – | – | 43.1 | – | – | – | – |
| Other liquid investments | 58.5 | 84.9 | 111.8 | 158.4 | 413.6 | 171.9 | 130.2 | 583.4 | 885.5 |
|
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| Total | 1,268.8 | 477.4 | 111.8 | 535.4 | 2,393.4 | 1,209.9 | 350.5 | 583.4 | 2,143.8 |
|
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The analysis in this section is for investments which Amlin has direct responsibility for and does not include corporate assets of £5.1m bonds and £2.4m other liquid investments which relate to spread syndicate exposure (see note 16). The assets in the table above include £16.7 million accrued income which is shown separately in the notes to the accounts.
1 VaR is a statistical measure, which calculates the possible loss over a year, in normal market conditions. As VaR estimates are based on historical market data this should not be viewed as an absolute gauge of the level of risk to the investments.
A breakdown of the asset classes as at the 31 December 2006 is given below.
31 December 2006 |
31 December 2005 |
London |
Bermuda |
London |
Bermuda |
| Syndicate £m |
Corporate £m |
Underwriting £m |
Corporate £m |
total | Syndicate £m |
Corporate £m |
Corporate £m |
total | |
|
|||||||||
| Global equities | – | 209.3 | – | 39.0 | 248.3 | – | 116.2 | – | 116.2 |
| Bonds | |||||||||
| Government securities | 643.8 | 98.4 | – | 140.7 | 882.9 | 736.7 | 14.5 | – | 751.2 |
| Government index-linked securities | 44.2 | – | – | – | 44.2 | 5.5 | – | – | 5.5 |
| Government agencies | 7.2 | – | – | – | 7.2 | 13.9 | – | – | 13.9 |
| Supranational | 0.7 | 16.1 | – | – | 16.8 | – | – | – | – |
| Asset backed securities | 81.7 | 8.2 | – | 51.0 | 140.9 | 23.6 | – | – | 23.6 |
| Mortgage backed securities | 131.4 | 6.1 | – | 71.1 | 208.6 | 73.4 | – | – | 73.4 |
| Corporate bonds | 208.1 | 54.4 | – | 49.5 | 312.0 | 184.9 | 89.6 | – | 274.5 |
| Pooled vehicles | 50.1 | – | – | 25.7 | 75.8 | – | – | – | – |
|
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| 1,167.2 | 183.2 | – | 338.0 | 1,688.4 | 1,038.0 | 104.1 | – | 1,142.1 | |
| Property | 43.1 | – | – | – | 43.1 | – | – | – | – |
| Other liquid investments | |||||||||
| Money market instrument/CDs | – | – | – | – | – | 52.9 | 61.2 | – | 114.1 |
| Cash and cash equivalents | 1.6 | 12.6 | – | 2.3 | 16.5 | 52.4 | 13.2 | – | 65.6 |
| Money market funds | 56.9 | 72.3 | 111.8 | 156.1 | 397.1 | 66.6 | 55.8 | 583.4 | 705.8 |
|
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| 58.5 | 84.9 | 111.8 | 158.4 | 413.6 | 171.9 | 130.2 | 583.4 | 885.5 | |
|
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| 1,268.8 | 477.4 | 111.8 | 535.4 | 2,393.4 | 1,209.9 | 350.5 | 583.4 | 2,143.8 | |
|
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| % | % | % | % | % | % | % | % | ||
| Equities | – | 44 | – | 7 | 10 | – | 33 | – | 5 |
| Bonds | 92 | 38 | – | 63 | 71 | 86 | 30 | – | 53 |
| Property | 3 | – | – | – | 2 | – | – | – | – |
| Other liquid investments | 5 | 18 | 100 | 30 | 17 | 14 | 37 | 100 | 42 |
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| Total | 100 | 100 | 100 | 100 | 100 | 100 | 100 | 100 | 100 |
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At 31 December 2006 the industry and geographical splits were as follows:
| Equity | London | Bermuda | London | Bermuda | |||||
|---|---|---|---|---|---|---|---|---|---|
| Industry | Corp | Corp | Total | Region | Corp | Corp | Total | ||
|
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| Oil & Gas | 9.0% | 8.7% | 9.0% | United Kingdom | 22.7% | 25.4% | 23.2% | ||
| Basic Materials | 1.8% | 1.8% | 1.8% | USA and Canada | 20.0% | 19.0% | 19.8% | ||
| Industrials | 13.6% | 11.8% | 13.3% | Europe (ex UK) | 35.4% | 32.8% | 34.9% | ||
| Consumer Goods and Services | 23.3% | 25.3% | 23.6% | Far East | 21.6% | 21.3% | 21.6% | ||
| Health Care | 5.3% | 5.4% | 5.3% | Emerging markets | 0.3% | 1.5% | 0.5% | ||
| Telecommunications | 11.6% | 10.3% | 11.4% | ||||||
| Utilities | 4.8% | 4.4% | 4.7% | ||||||
| Financials | 29.6% | 31.3% | 29.9% | ||||||
| Technology | 1.0% | 1.0% | 1.0% | ||||||
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| 100.0% | 100.0% | 100.0% | 100.0% | 100.0% | 100.0% | ||||
| Bonds | London |
Bermuda |
Bonds | London |
Bermuda |
|---|
| Industry | Synd | Corp | Corp | Total | Industry | Synd | Corp | Corp | Total | ||
|---|---|---|---|---|---|---|---|---|---|---|---|
|
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| Oil & Gas | 4.1% | 6.4% | – | 3.8% | United Kingdom | 30.2% | 70.9% | 2.7% | 29.5% | ||
| Basic Materials | 0.1% | – | – | 0.1% | USA and Canada | 61.3% | 5.5% | 94.5% | 61.4% | ||
| Industrials | 8.1% | 4.6% | 41.8% | 12.8% | Europe (ex UK) | 6.4% | 23.6% | 2.0% | 7.5% | ||
| Consumer Goods and Services | 7.3% | 3.3% | – | 5.4% | Far East | 1.2% | – | – | 0.9% | ||
| Health Care | 0.2% | – | – | 0.1% | Emerging markets | 0.7% | – | 0.8% | 0.6% | ||
| Telecommunications | 5.7% | 4.2% | – | 4.5% | Other | 0.2% | – | – | 0.1% | ||
| Utilities | 4.9% | 9.7% | 7.9% | 6.3% | |||||||
| Financials | 69.6% | 71.8% | 50.3% | 67.0% | |||||||
| Technology | – | – | – | – | |||||||
|
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| 100.0% | 100.0% | 100.0% | 100.0% | 100.0% | 100.0% | 100.0% | 100.0% | ||||
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Note: The tables by industry and location exclude pooled investments.
Investment management
Specialist external investment managers are used to manage each asset class on a segregated, pooled or commingled basis2. The Overseas Deposits are managed by the Corporation of Lloyd's in commingled funds. Otherwise manager selection is based on a range of criteria that leads to the expectation that the managers will add value to the funds. Investment guidelines are set for each manager to ensure that they comply with the investment frameworks. The Managers have discretion to manage the funds on a day-to-day basis within these guidelines. The managers are monitored on an ongoing basis and are reviewed periodically using Watson Wyatt Investment Consulting.
2 Segregated funds are managed separately for Amlin. Pooled funds are collective investment vehicles in which Amlin and other investors purchase units. Commingled funds combine the assets of several clients.