Latest Share Chat

Legal & General Regulatory News (LGEN)

Legal & General Information

Buy LGEN Shares
Add LGEN to Watchlist
Add LGEN to Alert

Share Price Information for Legal & General (LGEN)

Share Price is delayed by 15 minutes

Get Live Data

Share Price: 246.60

Bid: 247.10

Ask: 247.30

Change: 0.00 (0.00%)

Spread: 0.20 (0.081%)

Open: 0.00

High: 0.00

Low: 0.00

Prev. Close: 246.60

Last checked at -

L&G Full Year Results 2021 Part 3

9 Mar 2022 07:00

RNS Number : 1044E

Legal & General Group Plc

09 March 2022

Legal & General Group Plc

Full Year Results 2021 Part 3

Asset and premium flows Page 64

4.01 LGIM total assets under management1 (AUM)

		Active	Multi		Real	Total
	Index	strategies	asset	Solutions2	assets	AUM
For the year ended 31 December 2021	£bn	£bn	£bn	£bn	£bn	£bn


As at 1 January 2021	429.9	193.6	65.7	557.2	32.5	1,278.9
External inflows	93.9	18.7	15.1	34.4	1.7	163.8
External outflows	(91.5)	(15.8)	(8.1)	(25.5)	(1.8)	(142.7)
Overlay net flows	-	-	-	11.0	-	11.0
ETF net flows	2.5	-	-	-	-	2.5


External net flows3	4.9	2.9	7.0	19.9	(0.1)	34.6
Internal net flows4	(1.0)	(1.8)	0.2	(1.5)	2.0	(2.1)


Total net flows	3.9	1.1	7.2	18.4	1.9	32.5
Cash management movements5	-	1.1	-	-	-	1.1
Market and other movements3	68.6	3.0	5.1	29.5	2.8	109.0



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


		Active	Multi		Real	Total
	Index	strategies	asset6	Solutions2,6	assets	AUM
For the year ended 31 December 2020	£bn	£bn	£bn	£bn	£bn	£bn


As at 1 January 2020	403.6	177.2	59.0	525.6	30.8	1,196.2
External inflows	76.6	17.7	10.1	25.4	1.0	130.8
External outflows	(84.7)	(17.8)	(5.8)	(36.1)	(1.4)	(145.8)
Overlay net flows	-	-	-	33.9	-	33.9
ETF net flows	1.5	-	-	-	-	1.5


External net flows3	(6.6)	(0.1)	4.3	23.2	(0.4)	20.4
Internal net flows4	(0.2)	2.6	(0.4)	(0.3)	0.4	2.1


Total net flows	(6.8)	2.5	3.9	22.9	-	22.5
Cash management movements5	-	2.4	-	-	-	2.4
Market and other movements3	33.1	11.5	2.8	8.7	1.7	57.8



As at 31 December 2020	429.9	193.6	65.7	557.2	32.5	1,278.9

Assets attributable to:
External						1,162.6
Internal						116.3


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 £383.2bn (31 December 2020: £340.1bn) of derivative notionals associated with the Solutions business.
3. 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 £71.2bn (31 December 2020: £45.8bn) and the movement in these assets is included in Market and other movements for Solutions assets.
4. Internal includes legacy assets from the Mature Savings business sold to ReAssure in 2020.
5. Cash management movements include external holdings in money market funds and other cash mandates held for clients' liquidity management purposes.
6. Multi asset AUM as at 31 December 2020 has been restated to include £2.3bn (31 December 2019: £1.0bn) of Target Date Return funds previously included within Solutions.

Legal & General Group Plc

Full Year Results 2021 Part 3

Asset and premium flows Page 65

4.02 LGIM total assets under management1 half-yearly progression

		Active	Multi		Real	Total
	Index	strategies	asset6	Solutions2,6	assets	AUM
For the year ended 31 December 2021	£bn	£bn	£bn	£bn	£bn	£bn


As at 1 January 2021	429.9	193.6	65.7	557.2	32.5	1,278.9

External inflows	44.5	10.0	7.2	17.9	0.6	80.2
External outflows	(41.9)	(7.7)	(4.0)	(7.1)	(0.8)	(61.5)
Overlay net flows	-	-	-	6.6	-	6.6
ETF net flows	2.1	-	-	-	-	2.1


External net flows3	4.7	2.3	3.2	17.4	(0.2)	27.4
Internal net flows4	(0.3)	(2.3)	0.1	(0.2)	1.0	(1.7)

Total net flows	4.4	-	3.3	17.2	0.8	25.7
Cash management movements5	-	(0.4)	-	-	-	(0.4)
Market and other movements3	37.1	(3.1)	2.8	(14.6)	0.4	22.6


As at 30 June 2021	471.4	190.1	71.8	559.8	33.7	1,326.8


External inflows	49.4	8.7	7.9	16.5	1.1	83.6
External outflows	(49.6)	(8.1)	(4.1)	(18.4)	(1.0)	(81.2)
Overlay net flows	-	-	-	4.4	-	4.4
ETF net flows	0.4	-	-	-	-	0.4


External net flows3	0.2	0.6	3.8	2.5	0.1	7.2
Internal net flows4	(0.7)	0.5	0.1	(1.3)	1.0	(0.4)


Total net flows	(0.5)	1.1	3.9	1.2	1.1	6.8
Cash management movements5	-	1.5	-	-	-	1.5
Market and other movements3	31.5	6.1	2.3	44.1	2.4	86.4


As at 31 December 2021	502.4	198.8	78.0	605.1	37.2	1,421.5

1. 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 £383.2bn (30 June 2021: £345.3bn; 31 December 2020: £340.1bn) of derivative notionals associated with the Solutions business.
3. 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 £71.2bn (30 June 2021: £51.5bn; 31 December 2020: £45.8bn) and the movement in these assets is included in Market and other movements for Solutions assets.
4. Internal includes legacy assets from the Mature Savings business sold to ReAssure in 2020.
5. Cash management movements include external holdings in money market funds and other cash mandates held for clients' liquidity management purposes.
6. Multi asset AUM as at 30 June 2021 has been restated to include £3.7bn (31 December 2020: £2.3bn) of Target Date Return funds previously included within Solutions.

Legal & General Group Plc

Full Year Results 2021 Part 3

Asset and premium flows Page 66

4.02 LGIM total assets under management1 half-yearly progression (continued)

		Active	Multi		Real	Total
	Index	strategies	asset6	Solutions2,6	assets	AUM
For the year ended 31 December 2020	£bn	£bn	£bn	£bn	£bn	£bn


As at 1 January 2020	403.6	177.2	59.0	525.6	30.8	1,196.2
External inflows	27.7	9.5	4.4	10.8	0.6	53.0
External outflows	(32.3)	(9.0)	(2.7)	(22.7)	(0.4)	(67.1)
Overlay net flows	-	-	-	20.1	-	20.1
ETF net flows	0.2	-	-	-	-	0.2


External net flows3	(4.4)	0.5	1.7	8.2	0.2	6.2
Internal net flows4	-	(0.2)	(0.7)	(0.1)	0.4	(0.6)

Total net flows	(4.4)	0.3	1.0	8.1	0.6	5.6
Cash management movements5	-	2.8	-	-	-	2.8
Market and other movements3	(4.1)	9.2	(1.7)	31.9	0.7	36.0


As at 30 June 2020	395.1	189.5	58.3	565.6	32.1	1,240.6


External inflows	48.9	8.2	5.7	14.6	0.4	77.8
External outflows	(52.4)	(8.8)	(3.1)	(13.4)	(1.0)	(78.7)
Overlay net flows	-	-	-	13.8	-	13.8
ETF net flows	1.3	-	-	-	-	1.3


External net flows3	(2.2)	(0.6)	2.6	15.0	(0.6)	14.2
Internal net flows4	(0.2)	2.8	0.3	(0.2)	-	2.7


Total net flows	(2.4)	2.2	2.9	14.8	(0.6)	16.9
Cash management movements5	-	(0.4)	-	-	-	(0.4)
Market and other movements3	37.2	2.3	4.5	(23.2)	1.0	21.8


As at 31 December 2020	429.9	193.6	65.7	557.2	32.5	1,278.9

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 £340.1bn of derivative notionals associated with the Solutions business.
3. 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 as at 31 December 2020 was £45.8bn and the movement in these assets is included in Market and other movements for Solutions assets.
4. Internal net flows include flows in legacy assets from the Mature Savings business sold to ReAssure in 2020.
5. Cash management movements include external holdings in money market funds and other cash mandates held for clients' liquidity management purposes.
6. Multi asset AUM as at 31 December 2020 has been restated to include £2.3bn (30 June 2020: £1.2bn; 31 December 2019: £1.0bn) of Target Date Return funds previously included within Solutions.

Legal & General Group Plc

Full Year Results 2021 Part 3

Asset and premium flows Page 67

4.03 LGIM total external assets under management and net flows

	Assets under management at				Net flows for the six months ended2


	31 December	30 June	31 December	30 June	31 December	30 June	31 December	30 June
	2021	2021	2020	2020	2021	2021	2020	2020
	£bn	£bn	£bn	£bn	£bn	£bn	£bn	£bn


International1	377.3	344.8	303.5	289.5	14.5	15.0	(1.0)	(3.0)

UK Institutional
- Defined contribution	137.7	125.5	112.7	96.7	5.0	4.4	5.6	5.5
- Defined benefit	733.3	689.6	699.4	706.7	(13.9)	4.6	7.7	2.5

Retail3	49.1	45.5	41.6	38.5	1.2	1.3	0.6	1.0

ETF4	8.9	8.2	5.4	3.5	0.4	2.1	1.3	0.2


Total external	1,306.3	1,213.6	1,162.6	1,134.9	7.2	27.4	14.2	6.2

1. International assets are shown on the basis of client domicile. Total International AUM including assets managed internationally on behalf of UK clients amounted to £479bn as at 31 December 2021 (31 December 2020: £388bn).
2. 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.
3. Retail represents assets from the Retail Intermediary business and £0.3bn 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 £10.1bn in 2021 (£6.2bn in 2020) and Flows are £2.9bn (£1.8bn in 2020) which include internal investment from other LGIM asset classes.

4.04 Reconciliation of assets under management to Consolidated Balance Sheet

	2021	2020
	£bn	£bn

Assets under management1	1,421	1,279
Derivative notionals1,2	(383)	(340)
Third party assets1,3	(480)	(419)
Other1,4	7	33


Total financial investments, investment property and cash and cash equivalents	565	553


1. These balances are unaudited.
2. Derivative notionals are included in the assets under management measure but are not for IFRS reporting and are thus removed.
3. Third party assets are those that LGIM manage on behalf of others which are not included on the group's Consolidated Balance Sheet.
4. 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.

Legal & General Group Plc

Full Year Results 2021 Part 3

Asset and premium flows Page 68

4.05 Assets under administration



	Workplace1	Annuities2	Workplace	Annuities
	2021	2021	2020	2020
	£bn	£bn	£bn	£bn


As at 1 January	50.8	87.0	40.3	75.9
Gross inflows	11.9	8.7	10.0	10.1
Gross outflows	(3.4)	-	(2.2)	-
Payments to pensioners	-	(4.6)	-	(4.3)

Net flows	8.5	4.1	7.8	5.8
Market and other movements	6.4	(1.2)	2.7	5.3



As at 31 December	65.7	89.9	50.8	87.0

1. Workplace assets under administration as at 31 December 2021 includes £65.6bn (2020: £50.7bn) of assets under management included in Note 4.01.
2. Annuities assets under administration as at 31 December 2021 includes £80.6bn (2020: £79.4bn) of assets under management included in Note 4.01.

4.06 Assets under administration half-yearly progression

	Workplace	Annuities	Workplace	Annuities
	2021	2021	2020	2020
For the year ended 31 December 2021	£bn	£bn	£bn	£bn


As at 1 January	50.8	87.0	40.3	75.9
Gross inflows	7.5	3.7	3.3	3.8
Gross outflows	(1.5)	-	(0.9)	-
Payments to pensioners	-	(2.2)	-	(2.1)

Net flows	6.0	1.5	2.4	1.7
Market and other movements	3.4	(2.7)	(1.2)	3.1

As at 30 June	60.2	85.8	41.5	80.7


Gross inflows	4.4	5.0	6.7	6.3
Gross outflows	(1.9)	-	(1.3)	-
Payments to pensioners	-	(2.4)	-	(2.2)

Net flows	2.5	2.6	5.4	4.1
Market and other movements	3.0	1.5	3.9	2.2


As at 31 December	65.7	89.9	50.8	87.0

Legal & General Group Plc

Full Year Results 2021 Part 3

Asset and premium flows Page 69

4.07 LGR new business

		6 months	6 months		6 months	6 months
	Total	31 December	30 June	Total	31 December	30 June
	2021	2021	2021	2020	2020	2020
	£m	£m	£m	£m	£m	£m


Pension risk transfer
- UK1	6,240	3,275	2,965	7,593	4,417	3,176
- US	789	682	107	1,250	1,002	248
- Bermuda	147	147	-	-	-	-
Individual annuities	957	474	483	910	489	421
Lifetime & Retirement Interest Only mortgage advances	848	434	414	791	429	362


Total LGR new business	8,981	5,012	3,969	10,544	6,337	4,207


1. UK pension risk transfer includes a £925m (H1 21: £925m; H2 21: £nil) (H1 20: £nil; H2 20: £397m) Assured Payment Policy (APP).

4.08 LGI new business

		6 months	6 months		6 months	6 months
	Total	31 December	30 June	Total	31 December	30 June
	2021	2021	2021	2020	2020	2020
	£m	£m	£m	£m	£m	£m


UK Retail protection	200	95	105	175	92	83
UK Group protection	88	33	55	117	52	65
US protection1	91	48	43	80	36	44


Total LGI new business	379	176	203	372	180	192


1. In local currency, US protection reflects new business of $124m for 2021 (H1 21: $59m; H2 21: $65m), and $103m for 2020 (H1 20: $56m; H2 20: $47m)

4.09 Gross written premiums on insurance business

		6 months	6 months		6 months	6 months
	Total	31 December	30 June	Total	31 December	30 June
	2021	2021	2021	2020	2020	2020
	£m	£m	£m	£m	£m	£m


UK Retail protection	1,444	730	714	1,374	694	680
UK Group protection	405	131	274	382	137	245
US protection1	1,053	541	512	1,093	543	550
Longevity insurance	307	155	152	327	168	159


Total gross written premiums on insurance business	3,209	1,557	1,652	3,176	1,542	1,634


1. In local currency, US protection reflects gross written premiums of $1,449m for 2021 (H1 21: $712m; H2 21: $737m), and $1,403m for 2020 (H1 20: $693m; H2 20: $710m).

Legal & General Group Plc

Full Year Results 2021 Part 3

Capital Page 70

5.01 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 (L&G Re 2 - a new subsidiary incorporated in 2021) 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) (recalculated as at 31 December 2021). The TMTP incorporates impacts of 31 December 2021 economic conditions and changes during 2021 to the Internal Model and Matching Adjustment. This is in line with the group's management of the capital position on a dynamic TMTP basis.

In previous years, the capital position was shown on a "shareholder view", where the contribution from the final salary pension schemes was excluded from the group position. The impact of excluding the contribution is now less than 1% and so the results below, which are on a proforma basis, include the impact of the final salary pension schemes. The 2020 results have been adjusted to be consistent with 2021.

(a) Capital position

As at 31 December 2021, and on the above basis, the group had a surplus of £8,185m (31 December 2020: £7,436m) over its Solvency Capital Requirement, corresponding to a Solvency II capital coverage ratio of 187% (31 December 2020: 175%). The Solvency II capital position is as follows:
	2021	20201
	£m	£m


Unrestricted Tier 1 Own Funds	13,254	12,478
Restricted Tier 1 Own Funds2	495	495
Tier 2 Subordinated liabilities3	3,995	4,531
Eligibility restrictions	(183)	(188)
Solvency II Own Funds4,5	17,561	17,316
Solvency Capital Requirement	(9,376)	(9,880)


Solvency II surplus	8,185	7,436


SCR Coverage ratio	187%	175%



1. 2020 figures have been restated to include the contribution from the final salary pension schemes, replacing the "shareholder view" from prior years' disclosures.
2. Restricted Tier 1 Own Funds represent restricted Tier 1 contingent convertible notes.
3. £300m of Tier 2 subordinated liabilities were redeemed in full on 23 July 2021.
4. Solvency II Own Funds do not include an accrual for the final dividend of £790m (31 December 2020: £754m) declared after the balance sheet date.
5. Solvency II Own Funds allow for a Risk Margin of £5,488m (2020: £6,064m) and TMTP of £4,736m (2020: £5,564m).

Legal & General Group Plc

Full Year Results 2021 Part 3

Capital Page 71

5.01 Group regulatory capital - Solvency II (continued)

(b) Methodology

Own Funds comprise the excess of the value of assets over the liabilities, as valued on a Solvency II basis. Subordinated debt issued by the group is considered to be part of available capital, rather than a liability, as it is subordinate to policyholder claims. Own Funds include deductions in relation to fungibility and transferability restrictions, where the surplus Own Funds of a specific group entity cannot be freely transferred around the group due to local legal or regulatory constraints.

Assets are valued at IFRS fair value with adjustments to remove intangibles and deferred acquisition costs, and to value reassurers' share of technical provisions on a basis consistent with the liabilities on the Solvency II balance sheet.

Liabilities are valued on a best estimate market consistent basis, with the application of a Solvency II Matching Adjustment for valuing annuity liabilities. Own Funds incorporate changes to the Internal Model and Matching Adjustment during 2021 and the impacts of a recalculation of the TMTP as at end December 2021. The recalculated TMTP of £4,736m (31 December 2020: £5,564m) is net of amortisation to 31 December 2021.

The liabilities include a Risk Margin of £5,488m (31 December 2020: £6,064m) which represents an allowance for the cost of capital for a purchasing insurer to take on the portfolio of liabilities and residual risks that are deemed to be non-hedgeable under Solvency II. This is calculated using a cost of capital of 6% as prescribed by the Solvency II regulations.

The Solvency Capital Requirement is the amount of capital required to cover the 1-in-200 worst projected future outcome in the year following the valuation, allowing for realistic management and policyholder actions and the impact of the stress on the tax position of the group. This allows for diversification between the different firms within the group and between the risks to which they are exposed.

All material EEA insurance firms, including Legal and General Assurance Society Limited (LGAS) and Legal and General Assurance (Pensions Management) Limited, are incorporated into the group's Solvency II Internal Model assessment of required capital, assuming diversification of the risks between and within those firms. These firms, as well as the non-EEA insurance firm (Legal & General Reinsurance Company Limited (LGRe) based in Bermuda) contribute over 95% of the group's SCR.

Insurance firms for which the capital requirements are less material are valued on a Solvency II Standard Formula basis. Firms which are not regulated but which carry material risks to the group's solvency are modelled in the Internal Model on the basis of applying an appropriate stress to their net asset value.

Legal & General America's Banner Life and its subsidiaries (LGA) are incorporated into the calculation of group solvency using a Deduction and Aggregation basis. All risk exposure in these firms is valued on a local statutory basis, with capital requirements set to a multiple of local statutory Risk Based Capital (RBC) and further restrictions on the surplus contribution to the group. The US regulatory regime is considered to be equivalent to Solvency II by the European Commission. The contribution to group SCR is 150% of the local Company Action Level RBC (CAL RBC). The contribution to group's Own Funds is the SCR together with any surplus capital in excess of 250% of CAL RBC.

Legal & General Reinsurance No 2 Ltd (L&G Re 2) is incorporated into the calculation of group solvency using a Deduction and Aggregation basis. All risk exposure in the firm is valued on a local (Bermuda) capital basis, with capital requirements set equal to the local capital requirement and Own Funds contribution restricted by 20% of the capital. The Bermuda regulatory regime is also considered to be equivalent to Solvency II by the European Commission.

All non-insurance regulated firms are included using their current regulatory surplus.

Allowance is made within the Solvency II balance sheet for the group's defined benefit pension schemes using results on an IFRS basis. Within the SCR an allowance is made by stressing the IFRS position using the same Internal Model basis as for the insurance firms.

The calculation of the Solvency II balance sheet and associated capital requirements requires a number of assumptions, including:

(i) demographic assumptions required to project best estimate liability cash flows are consistent with those underlying the group's IFRS disclosures, but with the removal of any prudence margins.

(ii) future investment returns and discount rates to derive the present value of best estimate liability cash flows are those defined by the PRA. From July 2021, the risk-free rates used to discount UK Sterling cashflows are SONIA-based market swap rates (2020: Libor-based market swap rates with a deduction of a credit risk adjustment of 11bps). For non-UK Sterling liabilities, the risk-free rates used to discount cash flows include a credit risk adjustment that varies by currency.

(iii) 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 31 December 2021 the Matching Adjustment for UK GBP was 104 basis points (31 December 2020: 103 basis points) after deducting an allowance for the fundamental spread equivalent to 54 basis points (31 December 2020: 55 basis points).

(iv) assumptions regarding management actions and policyholder behaviour across the full range of scenarios. The only management actions allowed for are those that have been approved by the Board and are in place at the balance sheet date.

(v) assumptions regarding the volatility of the risks to which the group is exposed. Assumptions have been set using a combination of historic market, demographic and operating experience data. In areas where data is not considered robust, expert judgement has been used.

(vi) assumptions on the dependencies between risks, which are calibrated using a combination of historic data and expert judgement.

Legal & General Group Plc

Full Year Results 2021 Part 3

Capital Page 72

5.01 Group regulatory capital - Solvency II (continued)

(d) Analysis of change

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 business and setting up Technical Provisions and SCR (net of any premium income), on actual new business written over the year. It is based on economic conditions at the point of sale.


The table below shows the movement (net of tax) during the year ended 31 December 2021 in the group's Solvency II surplus.

	2021	2021	2021
	Own Funds	SCR	Surplus
	£m	£m	£m
Opening Position	17,316	(9,880)	7,436
Operational Surplus Generation (Continuing Operations)	1,144	492	1,636
Operational Surplus Generation (Discontinued Operations)	-	-	-
Total operational surplus generation	1,144	492	1,636
New business strain	330	(684)	(354)
Net surplus generation	1,474	(192)	1,282
Operating variances1			26
Market movements2			727
M&A, portfolio and business transfers3			77
Subordinated liabilities4			(300)
Dividends paid5			(1,063)
Total surplus movement (after dividends paid in the period)	245	504	749
Closing Position	17,561	(9,376)	8,185
1. Operating variances include the impact of experience variances, changes to valuation assumptions, methodology changes and other management actions including changes in asset mix.
2. Market movements represent the impact of changes in investment market conditions over the year and changes to future economic assumptions.
3. Includes the impact of the sale of the Personal Investment business.
4. Reflects the redemption of £300m debt issued in 2009.
5. Dividends paid are the amounts from the 2020 final dividend and the 2021 interim dividend.

Legal & General Group Plc

Full Year Results 2021 Part 3

Capital Page 73

5.01 Group regulatory capital - Solvency II (continued)

(d) Analysis of change (continued)

The table below shows the movement (net of tax) during the year ended 31 December 2020 in the group's Solvency II surplus.



	2020	2020	2020
	Own Funds	SCR	Surplus
	£m	£m	£m
Opening Position	16,867	(9,439)	7,428
Operational Surplus Generation (Continuing Operations)	1,092	368	1,460
Operational Surplus Generation (Discontinued Operations)	(9)	41	32
Total operational surplus generation	1,083	409	1,492
New business strain	417	(719)	(302)
Net surplus generation	1,500	(310)	1,190
Operating variances1			521
Market movements2			(1,395)
M&A, portfolio and business transfers3			(255)
Subordinated liabilities4			995
Dividends paid5			(1,048)
Total surplus movement (after dividends paid in the period)	449	(441)	8
Closing Position	17,316	(9,880)	7,436
1. Operating variances include the impact of experience variances, changes to valuation assumptions, methodology changes and other management actions including changes in asset mix.
2. Market movements represent the impact of changes in investment market conditions over the year and changes to future economic assumptions.
3. Includes the impacts of the sale of the Mature Savings business, which completed in H2 2020.
4. Includes restricted Tier 1 Own Funds from Perpetual contingent convertible notes.
5. Dividends paid are the amounts from the 2019 final dividend and the 2020 interim dividend.

(e) Future Solvency II surplus generation - UK annuities

The table below shows a projection of future Operational Surplus Generation (OSG) expected from the £85.7bn UK annuity portfolio as at 31 December 2021. The projection excludes any allowance for future new business.
The table shows the Operational Surplus Generation from all of the group's divisions that are involved in the management of the annuity business, i.e. Legal & General Retirement, Legal & General Capital and Legal & General Investment Management. The impact of management actions is excluded; we expect management actions to contribute between £100m and £200m each year.

								Total
	2021	2022	2023	2024	2025	2026-2030	2031-2040	2022-2040
	£bn	£bn	£bn	£bn	£bn	£bn	£bn	£bn


Annuity back book OSG1	0.7	0.7	0.7	0.6	0.5	1.9	4.9	9.3
L&G Other	0.2	0.3	0.3	0.3	0.3	1.4	2.1	4.7
Total OSG for UK Annuity back book	0.9	1.0	1.0	0.9	0.8	3.3	7.0	14.0
1. Annuity back book Operational Surplus Generation does not include new business.

Legal & General Group Plc

Full Year Results 2021 Part 3

Capital Page 74

5.01 Group regulatory capital - Solvency II (continued)

(f) 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.
	2021	2020
	£m	£m
IFRS Release from operations	1,441	1,269
Expected release of IFRS prudential margins	(496)	(465)
Releases of IFRS specific reserves1	(162)	(163)
Solvency II investment margin2,3	213	344
Release of Solvency II Capital Requirement and Risk Margin less TMTP amortisation	640	507
Solvency II Operational surplus generation4	1,636	1,492
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 2021.
4. Solvency II Operational Surplus Generation includes management actions which at the start of 2021 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.
	2021	2020
	£m	£m
IFRS New business surplus	247	270
Removal of requirement to set up prudential margins above best estimate on new business	280	355
Set up of SCR on new business	(684)	(719)
Set up of Risk Margin on new business	(197)	(208)
Solvency II New business strain1	(354)	(302)
1. UK PRT new business volume during 2021 was £6.2bn (2020: £7.6bn).

(g) 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:
	2021	2020
	£m	£m
IFRS equity1	10,981	9,997
Remove DAC, goodwill and other intangible assets and associated liabilities	(406)	(391)
Add IFRS carrying value of subordinated borrowings2	3,700	4,000
Insurance contract valuation differences3	4,132	4,495
Difference in value of net deferred tax liabilities	(716)	(638)
Other	53	41
Eligibility restrictions	(183)	(188)
Solvency II Own Funds4	17,561	17,316
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 final dividend of £790m (31 December 2020: £754m) declared after the balance sheet date.

Legal & General Group Plc

Full Year Results 2021 Part 3

Capital Page 75

5.01 Group regulatory capital - Solvency II (continued)

(h) Sensitivity analysis

The following sensitivities are provided to give an indication of how the group's Solvency II surplus as at 31 December 2021 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 on	Impact on	Impact on	Impact on
	net of tax	net of tax	net of tax	net of tax
	Solvency II	Solvency II	Solvency II	Solvency II
	capital	coverage	capital	coverage
	surplus	ratio	surplus1	ratio1
	2021	2021	2020	2020
	£bn	%	£bn	%


50bps increase in risk-free rates1	0.5	10	0.6	11
100bps increase in risk-free rates1	0.9	19	1.0	20
50bps decrease in risk-free rates1,2	(0.6)	(10)	(0.7)	(11)
Credit spreads widen by 100bps assuming an escalating addition to ratings3,4	0.6	13	0.5	11
Credit spreads narrow by 100bps assuming an escalating deduction from ratings3,4	(0.6)	(14)	(0.7)	(12)
Credit spreads widen by 100bps assuming a level addition to ratings3	0.7	14	0.7	13
Credit spreads of sub investment grade assets widen by 100bps assuming a level addition to ratings3,5	(0.4)	(7)	(0.4)	(5)
Credit migration6	(0.9)	(10)	(1.2)	(12)
25% fall in equity markets7	(0.5)	(3)	(0.5)	(4)
15% fall in property markets8	(0.8)	(7)	(0.6)	(5)
50bps increase in future inflation expectations	-	(2)	-	(2)
10% increase in maintenance expenses9	(0.3)	(3)	(0.3)	(3)
Substantially reduced Risk Margin10	0.6	7	0.5	5

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 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 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. A 10% increase in the assumed unit costs and future costs of investment management across all long-term insurance business
10. 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.
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

Full Year Results 2021 Part 3

Capital Page 76

5.01 Group regulatory capital - Solvency II (continued)

(i) Analysis of Group Solvency Capital Requirement

The table below shows a breakdown of the group's SCR by risk type. The split is shown before the effects of diversification and tax.

	2021	20201
	%	%


Interest rate	4	2
Equity	5	6
Property	8	8
Credit2	25	30
Currency	2	3
Inflation	7	7
Total Market risk3	51	56
Counterparty risk	4	1
Life mortality	2	3
Life longevity4	27	22
Life mass lapse	2	2
Life non-mass lapse	2	2
Life catastrophe	4	4
Expense	2	3
Total Insurance risk	39	36
Non-life underwriting	-	1
Operational risk	4	4
Miscellaneous5	2	2

Total SCR	100	100

1. The 2020 SCR by risk type has been restated to include the contribution from the final salary pension schemes, replacing the "shareholder view" from prior years' disclosures.
2. Credit risk is one of the group's most significant exposures, arising predominantly from the portfolio of bonds and bond-like assets backing the group's annuity business.
3. In addition to credit risk the group also has significant exposure to other market risks, primarily due to the investment holdings within the shareholder funds but also the risk to fee income from assets backing unit-linked business.
4. Longevity risk is the group's most significant insurance risk exposure, arising from the annuity book on which the majority of the longevity risk on the back book is retained.
5. Miscellaneous includes LGA and L&G Re 2 on a Deduction and Aggregation basis and the sectoral capital requirements for non-insurance regulated firms.

Legal & General Group Plc

Full Year Results 2021 Part 3

Capital Page 77

5.02 Estimated Solvency II new business contribution

(a) New business by product1

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 new			from new
	PVNBP2	business3	Margin4	PVNBP2	business3	Margin4
	2021	2021	2021	2020	2020	2020
	£m	£m	%	£m	£m	%


LGR - UK annuity business	7,016	635	9.1	8,503	901	10.6

UK Protection Total	1,883	149	7.9	1,887	160	8.5
- Retail Protection	1,476	120	8.1	1,359	123	9.1
- Group Protection	407	29	7.1	528	37	7.0

US Protection5	842	113	13.4	829	94	11.2


1. Selected lines of business only.
2. PVNBP excludes quota share reinsurance single premium of £181m relating to LGR new business.
3. 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.
4. Margin is based on unrounded inputs.
5. In local currency, US Protection reflects PVNBP of $1,159m (31 December 2020: $1,064m) and a contribution from new business of $155m (31 December 2020: $120m).

The decrease in LGR margin was driven by the shorter average duration for the schemes written in 2021, compared to the schemes written in 2020. For UK Protection the contribution from new business is supported by increased Retail Protection volumes; the reduction in margin is largely due to pricing action, movements in product mix and changes in market conditions in 2021. The US Protection margin improved compared to the prior full year. The increase is driven by business mix and modified reinsurance terms on digital products.

Legal & General Group Plc

Full Year Results 2021 Part 3

Capital Page 78

5.02 Estimated Solvency II new business contribution (continued)

(b) Assumptions

The key economic assumptions are as follows:

	2021	2020
	%	%


Margin for Risk	4.1	3.9

Risk-free rate
- UK	0.9	0.5
- US	1.5	0.9
Risk discount rate (net of tax)
- UK	5.0	4.4
- US	5.6	4.8

Long-term rate of return on non-profit annuities in LGR	2.5	2.1

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 UK risk-free rates have been based on a SONIA-based swap curve (2020: Libor-based 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 2021 equates to a level rate deduction from the expected returns for the overall annuities portfolio of 16.9 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

Full Year Results 2021 Part 3

Capital Page 79

5.02 Estimated Solvency II new business contribution (continued)

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 as set out in the group's 2021 Annual Report and Accounts.

Solvency II new business contribution has been calculated for the group's most material insurance-related businesses, namely, LGR, LGI and LGA.

Description of methodology

The objective of the Solvency II new business contribution is to provide shareholders with information on the long-term contribution of new business written in 2021.

The Solvency II new business contribution has been calculated as the present value of future shareholder profits arising from business written in 2021. Cash flow projections are determined using best estimate assumptions for each component of cash flow and for each policy group. Best estimate assumptions including mortality, morbidity, persistency and expenses reflect recent operating experience.

The 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 calculation of the new business contribution for the financial period.

The new business margin is defined as new business contribution divided by the PVNBP. The premium volumes used to calculate the PVNBP are the same as those used to calculate new business contribution.

LGA is consolidated into the group solvency balance sheet on a US Statutory solvency basis. 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 future new business. The LGA new business margin looks through the intra-group arrangements.

Projection assumptions

Cash flow projections are determined using best estimate assumptions for each component of cash flow for each line of business. Future economic and investment return assumptions are based on conditions at the end of the financial period.

Detailed projection assumptions including mortality, morbidity, persistency and expenses reflect recent operating experience and are normally reviewed annually. Allowance is made for future improvements in annuitant mortality based on experience and externally published data. Favourable changes in operating experience are not anticipated until the improvement in experience has been observed.

All costs relating to new business, even if incurred elsewhere in the group, are allocated to the new business. The expense assumptions used for the cash flow projections therefore include the full cost of servicing this business.

Tax

The projections take into account all tax which is expected to be paid, based on best estimate assumptions, applying current legislation and practice together with substantively enacted future changes.

Risk discount rate

The risk discount rate (RDR) is duration-based and is a combination of the risk-free curve and a flat Margin for Risk.

The GBP risk-free rates have been based on a SONIA-based swap curve with no Credit Risk Adjustment (2020: Libor-based swap curve with a credit risk adjustment of 11 basis points). The USD swap curve includes a credit risk adjustment of 13 basis points (2020: credit risk adjustment of 13 basis points)

The Margin for Risk has been determined based on an assessment of the group's Weighted Average Cost of Capital (WACC). This assessment incorporates a beta for the group, which measures the correlation of movements in the group's share price to movements in a relevant index. Beta values therefore allow for the market's assessment of the risks inherent in the business relative to other companies in the chosen index.

Legal & General Group Plc

Full Year Results 2021 Part 3

Capital Page 80

5.02 Estimated Solvency II new business contribution (continued)

The WACC is derived from the group's cost of equity, cost of debt, and the proportion of equity to debt in the group's capital structure measured using market values. Each of these three parameters is forward looking, although informed by historic information and appropriate judgements where necessary. The cost of equity is calculated as the risk-free rate plus the equity risk premium for the chosen index multiplied by the company's beta.

The cost of debt used in the WACC calculations takes account of the actual locked-in rates for our senior and subordinated long-term debt. All debt interest attracts tax relief at a time adjusted rate of 24% (31 December 2020: 19%).

Whilst the WACC approach is a relatively simple and transparent calculation to apply, subjectivity remains within a number of the assumptions. Management believes that the chosen margin, together with the levels of required capital and the inherent strength of the group's regulatory reserves, is appropriate to reflect the risks within the covered business.

(d) Reconciliation of PVNBP to gross written premium

A reconciliation of PVNBP and gross written premium is given below:
		2021	2020
	Notes	£bn	£bn


PVNBP	5.02 (a)	9.7	11.2
Effect of capitalisation factor		(2.1)	(2.3)


New business premiums from selected lines		7.6	8.9
Other1		1.8	2.0


Total LGR and LGI new business	4.07,4.08	9.4	10.9
Annualisation impact of regular premium long-term business		(0.2)	(0.2)
IFRS gross written premiums from existing long-term insurance business		3.3	3.0
Deposit accounting for investment products		(2.1)	(1.2)


Total gross written premiums2		10.4	12.5


1. Other principally includes annuity sales in the US, lifetime and retirement interest only mortgage advances and £0.2bn quota share reinsurance premiums.
2. Total gross written premiums includes £109m (2020: £114m) of gross written premiums relating to a residual reinsurance treaty following the disposal of the General Insurance business in 2019.

Legal & General Group Plc

Full Year Results 2021 Part 3

Page 81

This page is intentionally left blank

Legal & General Group Plc

Full Year Results 2021 Part 3

Investments Page 82

6.01 Investment portfolio

	Market	Market
	value	value
	2021	2020
	£m	£m


Worldwide total assets under management1	1,426,462	1,285,489
Client and policyholder assets	(1,309,772)	(1,161,631)


Investments to which shareholders are directly exposed	116,690	123,858


1. Worldwide total assets under management include LGIM AUM and other group assets not managed by LGIM.

Analysed by investment class:


				Other
		LGR	LGC	shareholder
		investments	investments	investments	Total	Total
		2021	2021	2021	2021	2020
	Notes	£m	£m	£m	£m	£m


Equities		80	2,845	260	3,185	3,086
Bonds	6.03	81,812	2,157	2,834	86,803	85,502
Derivative assets2		13,135	68	-	13,203	20,936
Property	6.04	5,286	424	-	5,710	4,672
Loans3		1,899	372	61	2,332	4,248


Financial investments		102,212	5,866	3,155	111,233	118,444


Cash and cash equivalents		1,983	984	629	3,596	3,616
Other assets4		96	1,765	-	1,861	1,798


Total investments		104,291	8,615	3,784	116,690	123,858


2. Derivative assets are shown gross of derivative liabilities of £14.1bn (31 December 2020: £21.2bn). 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.
3. Loans include reverse repurchase agreements of £2,240m (31 December 2020: £4,117m).
4. Other assets include finance leases of £86m (31 December 2020: £88m), associates and joint ventures of £375m (31 December 2020: £288m) and the consolidated net asset value of the group's investments in CALA Homes and other housing businesses.

Legal & General Group Plc

Full Year Results 2021 Part 3

Investments Page 83

6.02 Direct investments

(a) Analysed by asset class

	Direct1	Traded2		Direct1	Traded2
	investments	securities	Total	investments	securities	Total
	2021	2021	2021	2020	2020	2020
	£m	£m	£m	£m	£m	£m


Equities	1,248	1,937	3,185	1,145	1,941	3,086
Bonds3	24,237	62,566	86,803	21,555	63,947	85,502
Derivative assets	-	13,203	13,203	-	20,936	20,936
Property4	5,710	-	5,710	4,672	-	4,672
Loans	63	2,269	2,332	99	4,149	4,248

Financial investments	31,258	79,975	111,233	27,471	90,973	118,444

Cash and cash equivalents	114	3,482	3,596	42	3,574	3,616
Other assets	1,861	-	1,861	1,798	-	1,798


Total investments	33,233	83,457	116,690	29,311	94,547	123,858
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 £6,857m (31 December 2020: £6,036m).
4. A further breakdown of property is provided in Note 6.04.

Legal & General Group Plc

Full Year Results 2021 Part 3

Investments Page 84

6.02 Direct investments (continued)

(b) Analysed by segment

	LGR	LGC1	LGI	Total
	2021	2021	2021	2021
	£m	£m	£m	£m


Equities	12	1,124	112	1,248
Bonds2	23,029	3	1,205	24,237
Property	5,286	424	-	5,710
Loans	-	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

	LGR	LGC1	LGI	Total
	2020	2020	2020	2020
	£m	£m	£m	£m


Equities	-	1,043	102	1,145
Bonds2	20,306	3	1,246	21,555
Property	4,319	353	-	4,672
Loans	-	99	-	99
Financial investments	24,625	1,498	1,348	27,471
Other assets, cash and cash equivalents	106	1,730	4	1,840
Total direct investments	24,731	3,228	1,352	29,311

1. LGC includes £54m (2020: £47m) of equities that belong to other shareholder funds.
2. Bonds include lifetime mortgage loans of £6,857m (2020: £6,036m).

Legal & General Group Plc

Full Year Results 2021 Part 3

Investments Page 85

6.03 Bond portfolio summary

(a) Sectors analysed by credit rating

					BB or
	AAA	AA	A	BBB	below	Other	Total2	Total2
As at 31 December 2021	£m	£m	£m	£m	£m	£m	£m	%


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
- Healthcare	-	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 loans1	4,238	1,550	584	470	-	15	6,857	8
CDOs	-	-	54	13	-	-	67	-


Total £m	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 LGR investments. These account for £81,812m, representing 94% of the total group portfolio.

Legal & General Group Plc

Full Year Results 2021 Part 3

Investments Page 86

6.03 Bond portfolio summary (continued)

(a) Sectors analysed by credit rating (continued)

	AAA	AA	A	BBB	below	Other	Total2	Total2
As at 31 December 2020	£m	£m	£m	£m	£m	£m	£m	%


Sovereigns, Supras and Sub-Sovereigns	2,747	12,187	903	398	9	-	16,244	19
Banks:
- Tier 2 and other subordinated	-	-	61	43	3	-	107	-
- Senior	-	1,182	3,314	678	1	-	5,175	6
- Covered	158	-	-	-	-	-	158	-
Financial Services:
- Tier 2 and other subordinated	-	120	71	10	-	3	204	-
- Senior	55	488	202	323	9	-	1,077	1
Insurance:
- Tier 2 and other subordinated	65	161	8	59	-	-	293	-
- Senior	-	273	492	401	-	-	1,166	1
Consumer Services and Goods:
- Cyclical	-	24	1,158	1,771	288	-	3,241	4
- Non-cyclical	366	1,153	2,849	4,057	324	-	8,749	10
- Healthcare	-	437	886	669	5	-	1,997	2
Infrastructure:
- Social	217	766	4,579	814	79	-	6,455	8
- Economic	328	61	784	4,006	290	-	5,469	7
Technology and Telecoms	193	229	1,633	3,080	31	1	5,167	6
Industrials	-	16	709	759	26	-	1,510	2
Utilities	-	207	6,034	5,526	27	-	11,794	14
Energy	-	-	429	784	19	-	1,232	1
Commodities	-	-	351	919	7	-	1,277	2
Oil and Gas	-	773	958	467	276	-	2,474	3
Real estate	-	8	1,622	1,675	93	-	3,398	4
Structured finance ABS / RMBS / CMBS / Other	429	772	400	578	27	1	2,207	3
Lifetime mortgage loans1	3,611	1,533	494	385	-	13	6,036	7
CDOs	-	58	-	14	-	-	72	-


Total £m	8,169	20,448	27,937	27,416	1,514	18	85,502	100


Total %	9	24	33	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 LGR investments. These account for £80,438m, representing 94% of the total group portfolio.

Legal & General Group Plc

Full Year Results 2021 Part 3

Investments Page 87

6.03 Bond portfolio summary (continued)

(b) Sectors analysed by domicile

				Rest of
	UK	US	EU	the World	Total
As at 31 December 2021	£m	£m	£m	£m	£m


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
- Healthcare	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

Full Year Results 2021 Part 3

Investments Page 88

6.03 Bond portfolio summary (continued)

(b) Sectors analysed by domicile (continued)

				Rest of
	UK	US	EU	the World	Total
As at 31 December 2020	£m	£m	£m	£m	£m


Sovereigns, Supras and Sub-Sovereigns	11,797	2,425	1,176	846	16,244
Banks	1,687	1,907	1,463	383	5,440
Financial Services	391	298	525	67	1,281
Insurance	109	1,049	181	120	1,459
Consumer Services and Goods
- Cyclical	543	2,201	360	137	3,241
- Non-cyclical	1,789	6,403	389	168	8,749
- Healthcare	209	1,694	94	-	1,997
Infrastructure
- Social	5,809	487	112	47	6,455
- Economic	4,071	853	231	314	5,469
Technology and Telecoms	485	3,098	754	830	5,167
Industrials	191	927	330	62	1,510
Utilities	6,886	2,236	2,097	575	11,794
Energy	244	758	105	125	1,232
Commodities	3	596	165	513	1,277
Oil and Gas	232	642	832	768	2,474
Real estate	2,168	384	634	212	3,398
Structured finance ABS / RMBS / CMBS / Other	944	1,207	11	45	2,207
Lifetime mortgage loans	6,036	-	-	-	6,036
CDOs	-	-	-	72	72


Total	43,594	27,165	9,459	5,284	85,502

Legal & General Group Plc

Full Year Results 2021 Part 3

Investments Page 89

6.03 Bond portfolio summary (continued)

	Externally	Internally
	rated	rated1	Total
As at 31 December 2021	£m	£m	£m


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



	Externally	Internally
	rated	rated1	Total
As at 31 December 2020	£m	£m	£m


AAA	4,101	4,068	8,169
AA	17,101	3,347	20,448
A	21,235	6,702	27,937
BBB	21,307	6,109	27,416
BB or below	1,049	465	1,514
Other	4	14	18


Total	64,797	20,705	85,502


1. Where external ratings are not available an internal rating has been used where practicable to do so.

Legal & General Group Plc

Full Year Results 2021 Part 3

Investments Page 90

6.03 Bond portfolio summary (continued)

(d) Sectors analysed by Direct investments and Traded

	Direct
	investments	Traded	Total
As at 31 December 2021	£m	£m	£m


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
- Healthcare	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

Full Year Results 2021 Part 3

Investments Page 91

6.03 Bond portfolio summary (continued)

(d) Sectors analysed by Direct investments and Traded (continued)

	Direct
	investments	Traded	Total
As at 31 December 2020	£m	£m	£m


Sovereigns, Supras and Sub-Sovereigns	889	15,355	16,244
Banks	644	4,796	5,440
Financial Services	310	971	1,281
Insurance	282	1,177	1,459
Consumer Services and Goods:
- Cyclical	351	2,890	3,241
- Non-cyclical	396	8,353	8,749
- Healthcare	363	1,634	1,997
Infrastructure:
- Social	3,283	3,172	6,455
- Economic	3,726	1,743	5,469
Technology and Telecoms	93	5,074	5,167
Industrials	64	1,446	1,510
Utilities	1,475	10,319	11,794
Energy	355	877	1,232
Commodities	59	1,218	1,277
Oil and Gas	58	2,416	2,474
Real estate	2,301	1,097	3,398
Structured finance ABS / RMBS / CMBS / Other	870	1,337	2,207
Lifetime mortgage loans	6,036	-	6,036
CDOs	-	72	72


Total	21,555	63,947	85,502

Legal & General Group Plc

Full Year Results 2021 Part 3

Investments Page 92

6.04 Property analysis

Property exposure within Direct investments by status

	LGR1	LGC2	Total
As at 31 December 2021	£m	£m	£m	%


Fully let	4,746	-	4,746	83
Development	540	293	833	15
Land	-	131	131	2

Total	5,286	424	5,710	100





	LGR1	LGC2	Total
As at 31 December 2020	£m	£m	£m	%

Fully let	3,974	-	3,974	85
Development	345	224	569	12
Land	-	129	129	3

Total	4,319	353	4,672	100

1. The fully let LGR property includes £4.5bn (31 December 2020: £3.8bn) 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 31 December 2021 the group held a total of £2,044m (31 December 2020: £2,179m) of such assets.

Legal & General Group Plc

Full Year Results 2021 Part 3

Page 93

This page is intentionally left blank

Legal & General Group Plc

Full Year Results 2021 Part 3

Alternative Performance Measures Page 94

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 1.01 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 proﬁt 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 year).

Closest IFRS measure

Calculated using:

- Profit attributable to equity holders

- Equity attributable to owners of the parent

Reconciliation

Calculated using profit attributable to equity holders for the year of £2,050m (31 December 2020: £1,607m) and average equity attributable to the owners of the parent of £9,994m (31 December 2020: £9,270m), based on an opening balance of £9,502m and a closing balance of £10,486m (2020: based on an opening balance of £9,038m and a closing balance of £9,502m).

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 4.04 Reconciliation of assets under management to Consolidated Balance Sheet.

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 1.01 Operating profit and 1.02 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 1.01 Operating profit.

Legal & General Group Plc

Full Year Results 2021 Part 3

Glossary Page 95

* 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 beneﬁcially 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 as well as 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.

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.

Legal & General Group Plc

Full Year Results 2021 Part 3

Glossary Page 96

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 ﬁnancial metric which can be used to measure the proﬁtability and strength of a company over time. It is the total shareholder proﬁt 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.

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.

LGI

Legal & General Insurance.

LGI new business

New business arising from new policies written on retail protection products and new deals and incremental business on group protection products.

LGIA

Legal & General Insurance America.

LGIM

Legal & General Investment Management

LGR

Legal & General Retirement, which includes Legal & General Retirement Institutional (LGRI) and Legal & General Retirement Retail (LGRR).LGR new business

Single premiums arising from annuity sales and back book acquisitions (including individual annuity and pension risk transfer), the volume of lifetime and retirement interest only mortgage lending 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

Full Year Results 2021 Part 3

Glossary Page 97

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 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, protection and savings, 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, inﬂation 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 2°C, preferably to 1.5°C, compared to pre-industrial levels.

Pension risk transfer (PRT)

PRT represents bulk annuities bought by entities that run ﬁnal 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.

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.

Legal & General Group Plc

Full Year Results 2021 Part 3

Glossary Page 98

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 LGR and UK Insurance businesses, the post-tax adjusted operating profit on other UK businesses, including the medium term expected investment return on LGC invested assets, and dividends remitted from LGIA.

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 ﬁrms 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 (SCR)

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.

Solvency II capital coverage ratio (proforma basis)

The proforma basis Solvency II SCR coverage ratio incorporates the impacts of a recalculation of the Transitional Measures for Technical Provisions and the contributions of the group's defined benefit pension schemes in both Own Funds and the SCR in the calculation of the SCR coverage ratio.

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.

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

FR BKFBDCBKDPNK

Date		Source	Headline
7th May 2024	5:00 pm	RNS	Director Declaration
2nd May 2024	5:00 pm	RNS	Director/PDMR Shareholding
1st May 2024	5:22 pm	RNS	Total Voting Rights
1st May 2024	5:22 pm	RNS	Director/PDMR Shareholding
1st May 2024	5:20 pm	RNS	Director/PDMR Shareholding
18th Apr 2024	5:00 pm	RNS	Director/PDMR Shareholding
17th Apr 2024	5:00 pm	RNS	Director/PDMR Shareholding
11th Apr 2024	3:00 pm	RNS	Publication of a Prospectus
11th Apr 2024	10:00 am	RNS	Notice of AGM
9th Apr 2024	5:07 pm	RNS	Director/PDMR Shareholding
3rd Apr 2024	5:00 pm	RNS	Director/PDMR Shareholding
2nd Apr 2024	5:00 pm	RNS	Director/PDMR Shareholding
2nd Apr 2024	5:00 pm	RNS	Director/PDMR Shareholding
2nd Apr 2024	5:00 pm	RNS	Director/PDMR Shareholding
2nd Apr 2024	5:00 pm	RNS	Total Voting Rights
21st Mar 2024	9:00 am	RNS	Director/PDMR Shareholding
13th Mar 2024	10:30 am	RNS	Annual Financial Report
6th Mar 2024	7:00 am	RNS	L&G Full Year Results 2023 Part 2
6th Mar 2024	7:00 am	RNS	L&G Full Year Results 2023 Part 1
4th Mar 2024	5:00 pm	RNS	Director/PDMR Shareholding
1st Mar 2024	5:00 pm	RNS	Director/PDMR Shareholding
1st Mar 2024	5:00 pm	RNS	Director/PDMR Shareholding
1st Mar 2024	5:00 pm	RNS	Total Voting Rights
27th Feb 2024	9:00 am	RNS	Change of Group Remuneration Committee Chair
23rd Feb 2024	7:00 am	RNS	Holding(s) in Company
22nd Feb 2024	5:00 pm	RNS	Director Declaration
2nd Feb 2024	5:00 pm	RNS	Director/PDMR Shareholding
1st Feb 2024	5:00 pm	RNS	Director/PDMR Shareholding
1st Feb 2024	5:00 pm	RNS	Director/PDMR Shareholding
1st Feb 2024	5:00 pm	RNS	Total Voting Rights
5th Jan 2024	5:00 pm	RNS	Block listing Interim Review
3rd Jan 2024	5:00 pm	RNS	Director/PDMR Shareholding
4th Dec 2023	5:00 pm	RNS	Director/PDMR Shareholding
1st Dec 2023	5:00 pm	RNS	Director/PDMR Shareholding
1st Dec 2023	5:00 pm	RNS	Director/PDMR Shareholding
1st Dec 2023	5:00 pm	RNS	Total Voting Rights
24th Nov 2023	7:00 am	RNS	L&G agrees full buy-in for Boots Pension Scheme
9th Nov 2023	9:00 am	RNS	Director Declaration
2nd Nov 2023	5:00 pm	RNS	Director/PDMR Shareholding
1st Nov 2023	5:00 pm	RNS	Director/PDMR Shareholding
1st Nov 2023	5:00 pm	RNS	Director/PDMR Shareholding
1st Nov 2023	5:00 pm	RNS	Total Voting Rights
3rd Oct 2023	5:00 pm	RNS	Director/PDMR Shareholding
2nd Oct 2023	5:00 pm	RNS	Director/PDMR Shareholding
2nd Oct 2023	5:00 pm	RNS	Director/PDMR Shareholding
2nd Oct 2023	5:00 pm	RNS	Total Voting Rights
28th Sep 2023	5:00 pm	RNS	Director/PDMR Shareholding
28th Sep 2023	5:00 pm	RNS	Director Declaration
28th Sep 2023	5:00 pm	RNS	Director/PDMR Shareholding
22nd Sep 2023	9:00 am	RNS	Change of Senior Independent Director

Latest Share Chat

Legal & General Regulatory News (LGEN)

Share Price Information for Legal & General (LGEN)

Watchlists are a member only feature

Login to your account

Alerts are a premium feature

Login to your account

L&G Full Year Results 2021 Part 3

Login to your account

Quickpicks are a member only feature

Login to your account