Fixed Income Quarterly—Insurance
Page 7
Table 6: LifeCo Spread Performance
Historical LifeCo Indicative Spread Performance
% Change % Change 5-Year Historical 31-Dec-09 31-Dec-10 30-Dec-11 31-Dec-12 31-Dec-13 Current YTD 2014 2013 Avg. (Pre-Crisis)
Life Insurers Senior(1)
Bank Deposit Notes(2)
Bank Subordinated Debt(2)
Spread Differential (Lifeco Senior vs Bank Senior)
Spread Differential (Lifeco Senior vs Bank Sub Debt)
5 Year 10 Year 30 Year
86 123 229 151 169 272 193 205 308
130 96 95 (2%) 192 148 143 (4%) 251 188 173 (8%)
(26%) 39 (23%) 63 (25%) 101
5 Year 55 81 121 95 84 77 (9%) (11%) 33 10 Year 88 122 152 136 123 119 (3%) (10%) 52
5 Year 82 125 189 116 108 97 (10%) (7%) 42 10 Year 121 172 231 170 145 141 (3%) (14%) 66
5 Year 31 43 108 35 13 18 42% (64%) 6 10 Year 62 47 120 56 25 24 (7%) (55%) 11
5 Year 4 (2) 41 14 (11) (3) nmf (182%) -3 10 Year 30 (3) 41 22 3 2 nmf (85%) -3
As at March 31, 2014
Note: December 31, 2010 onwards sub debt spreads are indicative of new sub debt (1) Avg of three lifecos; (2) Avg of five banks
Source: BMO Capital Markets
Table 7: Credit Ratings
1 Subordinated debt rating; * OpCo Ratings - Insurance Financial Strength rating As at March 31, 2014
Source: Credit Rating Agencies
DBRS S&P Moody's
Issuer
Rating
Trend
Rating
Trend
Rating
Trend
Great-West Lifeco Industrial Alliance *,1 Manulife Financial
Sun Life Financial Standard Life Assurance *
AA (low) A
A (high) A (high) nr
Stable A+ Stable A Stable A Stable A
Stable Stable Stable Stable
Aa3 * nr A1 * Aa3 * nr
Stable
Stable Stable
A1 Stable