Appendix 1 Group Performance Slides A3-A12. Appendix 2 Capital Slides A13-A18. Appendix 3 MCEV Slides A19-A34

Transcription

1 APPENDICES

2 Index to appendices Appendix 1 Group Performance Slides A3-A12 Appendix 2 Capital Slides A13-A18 Appendix 3 MCEV Slides A19-A34 Appendix 4 Long-Term Savings, Nedbank and M&F Slides A35-A46 Appendix 5 US Asset Management Slides A47-A51 Appendix 6 Bermuda Slides A52-A54 Appendix 7 US Life Slides A55-A65 A2

3 Appendix 1 Group Performance

4 Life new business & unit trust sales 1 Life new business APE sales ( m) Unit trust sales ( m) 2 1,491m 10,305m 1,312m Wealth Management Retail Europe 7,567m 1,175 1,526 4,507 USAM Wealth Management Nordic Emerging Markets 3, , ,668 Nordic Emerging Markets Core operations 2. Retail Europe unit trust sales in 2010 were 23m (2009: 24m) A4

5 Net client cash flows 1 ( bn) 2010 H H H H1 Emerging Markets 0.2 (0.2) (0.3) (1.3) Nordic Retail Europe Wealth Management Total Long Term Savings Nedbank M&F USAM (6.5) (5.2) (4.9) 0.4 Total (3.7) (2.0) (2.4) Core operations A5

6 Operating profit analysis: IFRS AOP 1 m Long-Term Savings Nedbank Mutual & Federal US Asset Management Finance costs (128) (104) LTIR on excess assets Interest payable to non-core operations (55) (40) Interest receivable from non-core operations Other expenses (71) (85) AOP 1,481 1, AOP is pre-tax and MI and 2009 has been restated to exclude US Life (treated as non-core, discontinued) A6

7 Long-Term Savings AOP m % growth Constant currency Emerging Markets % 4% Nordic % 66% Retail Europe % 140% Wealth Management % 86% Total LTS % 26% A7

8 (Assets x Margins) Expenses = Profit Net Margin bps 2009 Net Margin bps LTS Nedbank M&F 1, ,396.0 USAM Overall BU net margin OM plc expenses/debt (6.0) (4.5) Old Mutual plc net margin Profit is AOP pre-tax, profit excludes non-core businesses and margins reflect average rates for the relevant periods. Bps are calculated on average assets over the period. A8

9 Earnings split by half year and key statistics per share 1 pence/share H H H1:H2 51%:49% 40%:60% 58%:42% 49%:51% 56%:44% bn Funds under Management pence/share IFRS book value per share and 2010 H1 and FY restated to exclude Bermuda (treated as non-core) and US Life (treated as non-core, discontinued) A9

10 LTIR ( m) 1 Old Mutual Group LTS M&F Total 2010 Long term average assets 2, ,913 LTIR credited to AOP (IFRS basis) Less: Actual investment returns incl. in IFRS profit (198) (49) (247) Short-term fluctuations (STF) in investment return Long term average assets 2, ,856 LTIR credited to AOP (IFRS basis) Less: Actual investment returns incl. in IFRS profit (172) (50) (222) Short-term fluctuations (STF) in investment return LTIR and average assets for Bermuda & US Life (non-core) have been removed from 2010 and 2009 comparatives 2. LTS includes the effects of policyholder tax smoothing in the UK in the LTIR credits A10

11 LTIR calculation: Methodology (cont) LTIR rates for 2010 & 2009 are as shown: Long-term investment rates Emerging Markets long-term business 9.4% 13.3% Nordic 1.8% 1.8% Retail Europe 2.5% 2.8% Wealth Management 2.0% 5.0% M&F 9.4% 13.3% A11

12 Equity market movements H H H FTSE 100 Dow Jones JSE All Share H Rebased to 1 Jan 09=100 A12

13 Appendix 2 Capital

14 FGD Group FGD 31 Dec Dec 2009 Capital resources 6.7bn 5.8bn Capital requirement 4.6bn 4.3bn Surplus / (Deficit) 2.1bn 1.5bn Coverage ratio % 146% 135% The FGD surplus is after allowing for the call of the 300m LT2 bond in January 2011 Capital resources have increased due to statutory profits in LTS and Nedbank and were offset by the deduction of intangible assets in Nedbank and the payment of the ordinary and preferred dividends Capital requirement has increased in Emerging Markets A14

15 Analysis of regulatory capital surplus at 31 Dec bn 4.7bn Tier 2 Capital 2.4bn Equity attributable to equity holders of the parent 9.0bn 6.7bn FGD surplus 2.1bn Capital Resource Requirement 4.6bn Total Capital Intangible/ inadmissible assets & other items Regulatory Capital Resources Regulatory Capital Requirement & Surplus A15

16 Reconciliation of AOP to change in equity holders funds (713) 1,481 (3) (203) (214) (83) 167 (456) 1,151 (364) 763 (24) Adjusted operating profit US Life Non core operations MTM of own debt Acquisition accounting Short term fluctuations Other adjusting items Income tax Profit after tax Other Transactions comprehensive with income shareholders Change in shareholders equity A16

17 Old Mutual Group company ratings (2010) Moody s Fitch Ratings AM Best Old Mutual plc Senior debt rating Baa1 BBB (RWP) bbb+ LT2 debt rating Baa3 BBB- (RWP) bbb UT2 debt rating Baa3 BB+ (RWP) bbb T1 debt rating Baa3 BB+ (RWP) bbb Short-term debt rating P2 F2 (RWP) OMFLIC: Insurance financial strength Ba1 BB (RWP) B++ OMLACSA National insurance financial strength AAA (RWP) National long-term senior debt rating National long-term subordinated debt rating AA+ (RWP) AA- (RWP) Global insurance financial strength A1 A Old Mutual Capital Funding L.P. ($750m prefs) Subordinated debt rating Baa3 BB+ (RWP) bbb Skandia Insurance / Skandia Life Insurance financial strength A2 A (RWP) A Nedbank: Foreign long term rating A3 BBB Ratings outlook stable unless modified ("Neg" = Negative, "Pos" = Positive, "RWP" = Ratings Watch Positive) A17

18 Solvency II: regulatory timelines and interdependencies Solvency II Application and Implementation Pre Application Use Test IMAP Application SII Go Live Regulatory Reporting Dry Run (2013) and mandatory (2014 onwards) QRT s, RTS s, SFCR s Regulatory Omnibus II drafted L1 Directive L1 Directive Amended L2 Implementing Measures Informal Formal Consult Consult Finalised L3 Standards & Guidance Informal Formal Consultation Consult Drafting SAM Go Live FCD/FGD Consulted Finalise National Law SAM Implementation IFRS 4 Phase 2 Implementation In Force A18

19 Appendix 3 MCEV

20 Operating MCEV earnings 1 m VNB Expected existing business contribution Experience variances 55 (83) Assumption changes - (231) Other operating variances (4) 55 Operating MCEV earnings Post-tax covered business excluding Bermuda and US Life A20

21 Reconciliation IFRS Equity to Group MCEV IFRS equity * Adjustments (1) (2) (3) (4) (5) (6) MCEV LTS 5,088 (2,053) 389 (1,010) 5,003 7,417 Emerging Markets 1, (8) 1,509 3,313 Nordic 1,243 (851) (206) 1,318 1,504 Retail Europe 632 (331) (198) Wealth Management 1,997 (1,078) (598) 1,656 1,977 US Life (723) (189) Bermuda 432 (29) (116) 287 Non-covered business 6,049 (83) (688) 1,066 6,344 Other (incl. debt) (2,892) 63 (2,829) Total 8,951 (1,822) 306 (1,010) (688) 4,164 1,129 11,030 Per share (33.4) 5.6 (18.5) (12.6) * Net of intercompany loans 1. Statutory solvency basis adjustment 2. Market value of life funds investments in Group equity and debt 3. Acquisition goodwill 4. Adjustment to remove perpetual callable securities 5. VIF 6. Other adjustments (including MV uplift of Nedbank of 715m) A21

22 Balance sheet profile Asset basis ( m) 31 December 2010 Adjusted Group MCEV Excl. Goodwill and MTM adjustments LTS 8,574 8,395 Bermuda US Life (189) (189) Nedbank 3,275 2,107 USAM 1, Others ,859 11,331 Net Debt (2,829) (2,892) Per share (p) IFRS book value FY 2010: 151p / share FY 2009: 147p / share A22

23 VNB & Margins New business profits VNB ( m) APE Margin Emerging Markets % 16% Nordic % 19% Retail Europe 7 (5) 11% (8)% Wealth Management % 8% Total LTS % 12% A23

24 Adjusted Group MCEV per share 17.0 (2.7) 1.7 (7.1) (4.4) Dec-09 Adj op Gp MCEV earnings per share1 Economic variances & other earnings FX & other movements Dividends to shareholders Nedbank mkt value adj. M&F dilution Increase in valuation of own debt 31-Dec Adjusted operating Group MCEV earnings per share is made up of 15.0p of core continuing operations and (0.4p ) from Bermuda (non core operations) and 0.9p from US Life (non-core, discontinuing operations) A24

25 Net asset reconciliation IFRS to MCEV (covered business) ( m) (1,822) 389 4,164 (1,010) 7,515 5,794 3,351 IFRS equity Statutory solvency basis adjustment MV adjustment of life funds investments in Group equity and debt Acquisition goodwill ANW VIF MCEV A25

26 Net asset reconciliation IFRS to MCEV (covered business: LTS) ( m) 5,003 (2,053) 389 7,417 5,088 (1,010) 2,414 IFRS equity Statutory solvency basis adjustment MV adjustment of life funds investments in Group equity and debt Acquisition goodwill ANW VIF MCEV A26

27 Track record of variances and assumptions Operating variances and assumption changes m Total LTS 2007 (139) (83) 2008 (540) (331) (259) 2010 (80) 51 A27

28 LTS (VNB + Exp. Var)/MCEV and NCCF/FUM 1 6.0% 4.0% 2.0% 0.0% NCCF% opening FUM (VNB+Exp Var)/Opening MCEV 1. LTS covered business only A28

29 MCEV: Emerging Markets (covered business) ( m) (30) 162 (93) , ,881 2, Dec-09 New business Expected return Experience variances Assumption charges Other operating variances Economic variances Other nonoperating Transfers FX 31-Dec-10 A29

30 MCEV: Nordic (covered business) ( m) (55) (6) (100) 139 1,504 1,309 1, Dec-09 New business Expected return Experience variances Assumption charges Other operating variances Economic variances Other nonoperating Transfers FX 31-Dec-10 A30

31 MCEV: Retail Europe (covered business) ( m) 22 (6) (6) Dec-09 New business Expected return Experience variances Assumption charges Other operating variances Economic variances Other nonoperating Transfers FX 31-Dec-10 A31

32 MCEV: Wealth Management (covered business) ( m) (9) (184) (2) 1,979 1,977 1, Dec-09 New business Expected return Experience variances Assumption charges Other operating variances Economic variances Other nonoperating Transfers FX 31-Dec-10 A32

33 MCEV: US Life (covered business) ( m) (176) (189) (318) 180 (85) (13) 40 (63) (7) (28) Dec-09 New business Expected return Experience variances Assumption charges Other operating variances Economic variances Transfers FX 31-Dec-10 A33

34 MCEV: Bermuda (covered business) ( m) 8 (19) 77 (35) 105 (47) Dec-09 Expected return Experience variances Assumption charges Other operating variances Economic variances FX 31-Dec-10 A34

35 Appendix 4 Long-Term Savings, Nedbank and M&F

36 Long-Term Savings 1 m IFRS adjusted operating profit Life new business APE 1,491 1,312 Life VNB New business APE margin 13% 12% Unit trust/mutual fund sales 8,779 6,392 Net client cash flow ( bn) Return on equity 18.5% 14.8% LTS AOP up 41%, improvement in all Business Units Sales momentum driven by Emerging Markets and Wealth Management Improvements in persistency Excellent NCCF, particularly in Retail businesses ROE performance strong driven mainly by FUM 1. LTS includes Emerging Markets, Nordic, Retail Europe and Wealth Management A36

37 Emerging Markets 1 Rm IFRS adjusted operating profit 6,099 5,879 Life new business APE 5,505 5,178 Life VNB New business APE margin 18% 16% Unit trust/mutual fund sales 41,488 36,421 Net client cash flow (Rbn) 0.2 (20.5) Funds under management (Rbn) Return on equity 25% 25% Return on allocated capital 2 25% 26% Life AOP grew 2%, LTIR rate reduction (2010: 9.4%; 2009: 13.3%) Asset Management contribution to AOP remained strong at 25%, benefiting from performance and FUM based fees Strong regular premium sales, double-digit APE sales growth in Mexico and China Positive NCCF 1. Emerging Markets business unit includes South Africa, Namibia, India, China, Colombia and Mexico 2. OMSA only A37

38 Emerging Markets Adjusted operating profit Life 3,131 3,114 LTIR * 1,128 1,522 Long term business 4,259 4,636 Asset management 1, OMSA - Rm 5,587 5,538 Life LTIR Long term business Asset management 27 9 Rest of Africa - Rm Long term business (23) (60) Asset management New markets - Rm 172 (12) Total Emerging Markets (Rm) 6,099 5,879 A38

39 Emerging Markets APE sales by segment and product (Rm) 2,500 2,000 1,500 1, Combined Annuity Protection Savings South Africa sales Strong sales growth in Mass Foundation cluster New Markets sales Double digit growth in Mexico and China Positive NCCF Strong APE margin performance 2009 Total R5,178m ( 393m) 2010 Total R5,505m ( 487m) 1. Segments are Mass Foundation, Retail Affluent, Institutional (comprising Corporate and OMIGSA), Rest of Africa and New Markets (Colombia, Mexico, India and China) A39

40 Nordic SEKm IFRS adjusted operating profit 1, Life new business APE 2,238 2,819 Life VNB New business APE margin 21% 19% Unit trust/mutual fund sales 6,466 4,708 Net client cash flow (SEKbn) Funds under management (SEKbn) Return on equity 11% 12% Strong AOP growth driven by market recovery, management actions, and private equity gains (SEK126m) Earnings from the bank were suppressed reflecting the low base rate in Sweden New business (APE) volumes lower in Link Regular as anticipated, but margins increased reflecting product strategy A40

41 Retail Europe m IFRS adjusted operating profit Life new business APE Life VNB 9 (6) New business APE margin 11% (8%) Unit trust/mutual fund sales Net client cash flow ( bn) Funds under management ( bn) Return on equity 20% 9% Record level of AOP driven by FUM growth and impact of management actions including expense discipline NCCF remained stable, driven by regular premium inflow partially offset by higher surrender values A41

42 Wealth Management m IFRS adjusted operating profit Life new business APE Life VNB New business APE margin 9% 8% Unit trust/mutual fund sales 4,507 3,210 Net client cash flow ( bn) Funds under management ( bn) Return on equity 14% 8% Strong growth in profitability due to higher FUM Good growth in UK platform and Italian sales Increase in FUM driven by positive NCCF and favourable market movements A42

43 UK product sales UK product sales m Life APE % Pensions % Bonds % Protection % Savings % Total % Unit trusts Institutional % Mutual funds 1,607 1,125 43% ISA s 1, % Total 3,256 2,090 56% UK NCCF up 8% to 2.3bn UK FUM up 20% to 33.9bn 6bn gross sales UK PVNBP sales up 32% to 3,023m, major UK player IFRS AOP up 56% to 140m A43

44 Nedbank Rm IFRS adjusted operating profit 6,799 6,192 Net Interest Income 16,608 16,306 Non Interest Revenue 13,215 11,906 Impairments 6,188 6,634 Net Interest Margin 3.35% 3.39% Credit loss Ratio 1.36% 1.52% Core Tier 1 Ratio 10.1% 9.9% Return on Equity 11.8% 11.8% Solid earnings growth Strong improvement in Non Interest Revenue Net interest margins held up well considering 150bps decline in prime rate during 2010 Impairment levels improving slowly, positive move in credit loss ratio A44

45 Nedbank targets Metric ROE (excl goodwill) Improving, Impairments charge Growth in diluted headline earnings per share (EPS) 2010 Performance 13.4% 8.7% Impairments Charge (credit loss ratio) 1.36% Medium to long-term target 5% above monthly weighted average cost of ordinary shareholders' equity At least consumer price Index + GDP growth + 5% Between 0,6% and 1,0% of average banking advances NIR:expenses ratio 79.6% > 85% Efficiency ratio 55.7% 1 < 50.0% Basel II core Tier 1 capital adequacy ratio 10.1% 7,5% to 9,0% Basel II Tier 1 capital adequacy ratio 11.7% 8.5% to 10.0% Basel II total capital adequacy ratio 15.0% 11.5% to 13.0% Economic capital Capitalised to 99.93% confidence interval on economic capital basis (target debt rating A including 10% buffer) 2011 Outlook Improving, remaining below target Forecast to exceed target Improving, remaining above target Improving, remaining below target Improving, remaining above target Improving, remaining above top end of target range Improving, remaining above top end of target range Improving, remaining above top end of target range Dividend cover policy 2.30% 2.25 to 2.75 times 2.25 to 2.75 times 1. Actual efficiency ratio is 55.7% including BEE costs A45

46 Mutual & Federal Rm IFRS adjusted operating profit 1, Gross premiums 8,442 8,456 Claims ratio 63.8% 68.7% Underwriting result Solvency ratio 73% 56% Return on Equity 19.0% 21.2% Strong AOP growth in 2010 Premiums flat on 2009 levels Lower claims recorded, resulting in a large uplift in the underwriting result Solvency ratio improved strongly and M&F now have a strong balance sheet A46

47 Appendix 5 US Asset Management

48 US Asset Management: adjusted operating profit Income Statement ($m) % change Management fees % Performance & transaction fees (25%) Other revenues % Total revenues % Operating expenses (431) (413) (4%) Variable compensation expenses (199) (169) (18%) Total expenses (630) (582) (8%) Adjusted operating profit % Operating margin 18% 18% A48

49 US Asset Management: funds under management $bn 31 Dec Dec 09 Beginning of period FUM Transfers to other Group companies (7) (9) Net fund (outflows)/inflows (18) (7) Market movements Net acquisitions/(disposals) - (2) End of period FUM Average FUM A49

50 US Asset Management: Fund mix Fund mix $bn 2010 est. mgt fee rate (bps) Indicative benchmarks FUM 31 Dec 10 FUM 31 Dec 09 Equity US value Russell 1000 Value US growth Russell 1000/2000 Growth 6 7 US core S&P Non-US MSCI EAFE Fixed income Barclays Capital Aggregate / Non-US Govt Bond Stable value Alternative/ real estate/ cash collateral month T-Bill/ Wilshire RE Total A50

51 USAM: Investment performance At 31 Dec 2010 Outperformance vs benchmark Outperformance vs peer group 1 year 51% 30% 3 years 38% 15% 5 years 67% 19% At 31 Dec 2009 Outperformance vs benchmark Outperformance vs peer group 1 year 51% 34% 3 years 58% 50% 5 years 61% 52% A51

52 Appendix 6 Bermuda

53 Bermuda bond portfolio 1 quality Rating 31 Dec Jun Dec Jun 09 Aaa 23% 23% 29% 30% Aa 8% 6% 7% 6% A 22% 23% 21% 21% Baa 38% 39% 38% 37% <Baa 9% 9% 5% 6% Total 100% 100% 100% 100% 1. Portfolio on a statutory basis; table includes CMBS / RMBS / ABS in relevant rating category A53

54 Opening cash: $404m Closing cash: $272m Bermuda: 2010 cash flow Premiums received/capital Injections Cash income from investment transactions Surrenders/ Withdrawals / Death Claims Admin expenses / Other Net premiums: $0m (2009: $23m) Fees: $137m (2009: $84m) Capital injections: $0m (2009: $0m) Corporate: $(34)m (2009: $185m) Fixed: $58m (2009: $140m) Futures: $(123)m (2009: $(503)m) Fixed maturities / sales: $247m (2009: $495m) Fixed purch: $(100)m (2009: $(258)m) OM plc Notes: $(7)m (2009: $(272)m) Surrenders / Withdrawals: $(982)m (2009: $(919)m) Death claims: $(40)m (2009: $(38)m) Separate Account: $775m (2009: $553m) Commissions: $(24)m (2009: $(20)m) Other (OM Re, Breakage: $(0)m (2009: $(153)m) Admin costs: $(39)m (2009: $(29)m) Inflows: $1,217m Outflows: $(1,349)m A54

55 Appendix 7 US Life

56 US Life: bond portfolio features Total unrealised gain of $309m (excluding gains of $84m on IAS 39 reclassified securities) at 31 December Total unrealised loss of $497m at 31 December Total 2010 impairments were $50m on a total of 42 securities, and there were revaluations of $54m on a total of 11 previously impaired securities. Of the 42 securities written down in 2010, 21 were impaired due to direct sub-prime exposure. Impairments in 2009 and 2008 were $389m and $711m respectively No corporate bond defaults in 2010 (2009: $14m) 4.3% of the portfolio is in high yield corporate bonds. 71% of these holdings have a BB rating from either Moody's, S&P or Fitch 2.0% of US Life's investment portfolio has direct exposure to sub-prime debt, 94% of which is rated BBB or better with consistent improvements in fair value to book value ratios since 2009 Whilst the business may experience mark-to-market losses on certain holdings, it is well matched to its liabilities even under adverse policyholder behaviour and has substantial flexibility to meet policyholder obligations Liquidity premium for MCEV was 75bps (2009: 100bps) A56

57 US Life: net investment income $m Income from investments Less impairment charges (50) (375) Plus impairment revaluations 53 - Less default charges - (14) 3 (389) Less loss of investments sold (146) (64) Plus gains on investments sold (355) Fair value movements Net investment income 1, A57

58 US Life: Composition of the portfolio 1 $m (Fair value) 31 Dec Jun Dec 09 Treasury / Agency CMBS / RMBS / ABS 2,133 2,804 2,900 Corporate bonds 13,708 13,297 11,947 Cash / Short Term Total Investments & Securities 16,871 16,832 16,191 Market value to Book value 2 102% 101% 97% 1. IFRS basis 2. Fixed income portfolio, excluding cash/short term A58

59 US Life: Top 10 corporate bond holdings 31 Dec 2010 Book value $m % of portfolio Market value $m % of portfolio PNC % % Wells Fargo Inc % % Citigroup Inc % % Prudential Financial Inc % % Lloyds % % Century Telephone Inc % % Morgan Stanley % % Simon Property Group Inc % % Goldman Sachs % % Philip Morris Intl. Inc % % Total 1, % 1, % 2009: top 10 holdings (at book value) accounted for 8.09% of the portfolio A59

60 US Life: Mortgage Backed Securities (MBS) & municipal exposure $m Book value LTV 1 MBS exposure by LTV (31 Dec 2010) Residential MBS Of which, Sub-Prime Commercial MBS Total MBS 1, $m % of portfolio Municipal bond exposure % 1. Loan-to-value ratio A60

61 US Life: exposure to Mortgage Backed Securities $m (Book values) 31 Dec Jun Dec 09 Total mortgage backed securities exposure Residential (excluding Sub-prime) ,112 Commercial 775 1,280 1,380 Percentage of total portfolio 10.1% 13.7% 15.7% Sub-prime exposure Percentage of total portfolio 2.0% 2.5% 2.7% AAA or better 78% 88% 66% AA or better 78% 89% 83% A or better 79% 89% 85% BBB or better 94% 93% 90% CCC or better 100% 100% 100% Market to Book Value 94% 88% 81% A61

62 US Life: exposure to sub-prime lending Sub-prime exposure of $359 million (2.0% of overall portfolio) (fair value $338 million) as at 31 Dec 10 94% of sub-prime holdings remain investment grade Concentration in first mortgages; all investments are fixed rate and owner occupied so without rate-reset risk and exposure to investment properties $29.6 million of impairments recorded on sub-prime investments in 2010, compared to $71.4 million recognised during the prior year, offset by $1.4 million of impairment revaluations Decrease in impairments due to lower sub-prime exposure as well as improvement in default rates as home prices stabilise Market value at 94% of book value vintages: 94% BBB or better: concentrated in refinance mortgages (rather than purchase mortgage) Alt-A fair value to book value ratio of 93% Prime mortgage-backed securities fair value to book value ratio of 98% Total residential and commercial mortgage backed securities of $1,612 million (approximately 9.5%) of US Life's portfolio at 31 Dec Includes $254 million of US government sponsored enterprises (GSEs) and Agency securities with unrealised gains of $11.6 million A62

63 US Life: rating and vintage split of sub-prime Vintage AGY AAA AA A BBB BB or below Total % 9% 0% 0% 0% 3% 12% % 5% 0% 0% 5% 2% 12% % 36% 0% 0% 10% 0% 46% % 22% 0% 0% 0% 0% 22% 2003 & prior 2% 4% 0% 1% 0% 1% 8% Total 2% 76% 0% 1% 15% 6% 100% Total $m (book value) A63

64 US Life: exposure to monolines $m (Book values) 31 Dec Jun Dec 09 Total monoline exposure Percentage of total portfolio 1.9% 2.5% 2.9% Of which, indirect (wrapped) exposure Trading at Market to Book Value 91% 86% 81% And direct exposure Trading at Market to Book Value 90% 89% 95% A64

65 US Life Group: 2010 cash flow Premiums received/capital Injections Cash income from portfolio/ investment transactions Surrenders/ Claims Paid Admin expenses paid Opening cash: $846m (2009 $924m) Net premiums: $1,699m (2009: $977m) Cash: $0m (2009: $3m) Bonds/other: $973m (2009: $982m) Maturities/sales: $4,175m Purchases $(4,305)m (2009:$(3,245)m) Surrenders & Lapses paid out: $(1,231)m (2009: $(1,508)m) Capital injections: $30m (2009: $225m) (2009: $3,659m) Claims paid: Capital returns: $(109)m 1 (2009:$(30)m) $(1,272)m (2009: $(944)m) Commissions: $(107)m (2009: $(98)m) Office costs: $(86)m (2009: $(99)m) Closing cash: $613m (2009 $846m) Inflows: $6,877m Outflows: $(7,110)m 1. Includes $25m principal and interest on debt A65