Annual Report 2021
Financial statements
6.7.3
Fair value of financial assets categorised into two groups based on business model and SPPI test results

In compliance with the deferral option IFRS 9 under IFRS 4, a.s.r. conducted a solely payments of principal and interest (SPPI) test on the financial assets.

For the purpose of this assessment, principal is defined as the fair value of the financial asset on initial recognition. However, the principal may change over time – e.g. if there are repayments of principal.

Interest is defined as consideration for the time value of money, for the credit risk associated with the principal amount outstanding during a particular period of time and for other basic lending risks (e.g. liquidity risk) and costs (e.g. administrative costs), as well as a profit margin that is consistent with a basic lending arrangement. Financial assets with embedded derivatives are considered in their entirety when determining whether their cash flows are SPPI.

In assessing whether the contractual cash flows are solely payments of principal and interest, a.s.r. considers the contractual terms of the instrument. This includes assessing whether the financial asset contains a contractual term that could change the timing or amount of contractual cash flows such that it would not meet this condition.

In making this assessment, a.s.r. considers the following:

  • Variable interest rates;

  • Prepayment features;

  • Term extension features;

  • Contingent events; and

  • Terms that limit a.s.r.’s claim to cash flows from specified assets – e.g. non-recourse asset arrangements.

Fair value of financial assets based on SPPI test results
Amounts in millionsFair value at 31 December 20211Carrying amount at 31 December 2021Fair value movement 2021Fair value at 31 December 20201Carrying amount at 31 December 2020Fair value movement 2020
Financial assets with contractual terms that give rise on specified dates to cash flows that are solely payments of principal and interest:
Government bonds14,14914,149-3,24117,39017,3901,279
Corporate bonds9,8999,899-1,02410,92310,923210
Rural property contracts2152157214314371
Asset-backed securities427427146281281-125
Due from customers12,20911,4612,7229,4878,8131,220
Due from credit institutions3,6822,971-2,1005,7824,727571
Trade and other receivables827827-283083052
Other financial assets340340-80420420-37
Cash and cash equivalents2,3062,306-5572,8632,863-93
44,05442,595-4,06448,11846,3903,149
Other financial assets2
Government bonds------22
Corporate bonds9289283589489417
Asset-backed securities103103-201231235
Preference shares311311-5316316-4
Derivatives6,2126,212-2,9569,1689,1683,209
Equities and other participating interest4,1364,1366203,5163,516350
Real estate equity funds2,2022,2021732,0292,029-50
Mortgage equity funds1,1791,179196983983144
Other financial assets249249724224211
Investments on behalf of policyholders11,57411,5741,42010,15410,154583
Investments related to investment contracts1,9521,9521,952---
Due from customers------9
28,84628,8461,42027,42627,4264,234
Total financial assets72,90071,441-2,64475,54473,8167,384
  • 1 The carrying value of the trade and other receivables is regarded as a good approximation of the fair value, as these assets have a short-term nature.
  • 2 Other financial assets include the financial assets that fall into the business model held for trading and managed on a fair value basis or those financial assets with contractual terms that do not give rise on specified dates to cash flows that are solely payments of principal and interest.

The fair value movement relates to the revaluations during the year of the financial assets; total movement less the net additions.

Credit risk exposure for financial assets with contractual terms that give rise on specified dates to cash flows that are solely payments of principal and interest
Gross carrying amount at 31 December 2021Gross carrying amount at 31 December 2020
Credit risk rating
AAA7,5977,906
AA6,5607,638
A8,71711,631
BBB5,6427,105
Lower than BBB533263
Not rated
Mortgages9,9918,253
Savings-linked mortgage loans2,4622,663
Other1,1811,004
Total financial assets with contractual terms that give rise on specified dates to cash flows that are solely payments of principal and interest42,68346,464

The credit risk of the assets not rated, mostly mortgages and savings-linked mortgage loans, is considered low. The a.s.r. portfolio consists only of Dutch mortgages with a limited counterparty default risk, as 30% (2020: 34%) are covered by the National Mortgage Guarantee (NHG), 46% (2020: 34%) have a Loan to Value (LTV) less than 75%, and only 2% (2020: 2%) have a LTV more than 100%. The counterparty default risk of the savings-linked mortgage loans (‘Spaarlossen’) is also considered low. For 32% (2020: 37%) of the portfolio, the counterparties are Special Purpose Vehicles. The risk is limited due to the robust quality of the mortgages in the Special Purpose Vehicles in combination with the tranching. For another 62% (2020: 58%) a.s.r. has a cession-retrocession agreement with the counterparty. Effectively, a.s.r. recognises the underlying receivable from the counterparty (or in the case of insolvency of the counterparty the mortgage loans transfers as collateral), mitigating the counterparty default risk of the savings-linked mortgage loans. For more detailed information about the credit risks of a.s.r., see chapter 6.8.3 and chapter 6.8.4.

Fair value of financial assets with contractual terms that give rise on specified dates to cash flows that are solely payments of principal and interest without low credit risk
Fair value at 31 December 2021Gross carrying amount at 31 December 2021Fair value at 31 December 2020Gross carrying amount at 31 December 2020
Financial assets with contractual terms that give rise on specified dates to cash flows that are solely payments of principal and interest:
Corporate bonds69695555
Rural property contracts215215143143
Other financial assets--22
Due from customers383383126125
Due from credit institutions50795082
Trade and other receivables586612553579
Total fair value of financial assets with contractual terms that give rise on specified dates to cash flows that are solely payments of principal and interest without low credit risk1,3041,359928986