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Fair values of financial instruments carried at fair value (Tables)
 6 Months Ended
Jun. 30, 2020
Fair Value Measurement [Abstract]  
Disclosure of fair value measurement of assets
Financial instruments carried at fair value and bases of valuation
 
 
Valuation techniques
 
 
Quoted
market price
 Level 1

Using
observable
inputs
Level 2

With significant
unobservable
inputs
Level 3

Total

 
$m

$m

$m

$m

Recurring fair value measurements
 
 
 
 
At 30 Jun 2020
 
 
 
 
Assets
 
 
 
 
Trading assets
141,930

63,169

3,865

208,964

Financial assets designated and otherwise mandatorily measured at fair value through profit or loss
16,054

15,327

10,404

41,785

Derivatives
2,126

307,800

3,855

313,781

Financial investments
311,685

89,304

3,339

404,328

Liabilities
 
 
 
 
Trading liabilities
63,204

16,303

105

79,612

Financial liabilities designated at fair value
1,059

150,541

5,008

156,608

Derivatives
2,002

297,332

3,725

303,059

 
At 31 Dec 2019
 
 
 
 
Assets
 
 
 
 
Trading assets
186,653

62,639

4,979

254,271

Financial assets designated and otherwise mandatorily measured at fair value through profit or loss
18,626

15,525

9,476

43,627

Derivatives
1,728

239,131

2,136

242,995

Financial investments
261,341

93,018

3,218

357,577

Liabilities
 
 
 
 
Trading liabilities
66,925

16,192

53

83,170

Financial liabilities designated at fair value
9,549

149,901

5,016

164,466

Derivatives
1,331

235,864

2,302

239,497

Transfers between Level 1 and Level 2 fair values
 
Assets
Liabilities
 
Financial investments

Trading assets

Designated and otherwise mandatorily measured at fair value

Derivatives

Trading liabilities

Designated at fair value

Derivatives

 
$m

$m

$m

$m

$m

$m

$m

At 30 Jun 2020
 
 
 
 
 
 
 
Transfers from Level 1 to Level 2
1,342

2,132

217

—

98

7,414

—

Transfers from Level 2 to Level 1
4,353

3,025

154

1

355

—

—

 
 
 
 
 
 
 
 
At 31 Dec 2019
 
 
 
 
 
 
 
Transfers from Level 1 to Level 2
7,965

3,304

—

24

278

—

—

Transfers from Level 2 to Level 1
4,184

2,726

673

111

220

—

117

Financial instruments measured at fair value using a valuation technique with significant unobservable inputs – Level 3
 
Assets
Liabilities
 
Financial investments

Trading assets

Designated and otherwise mandatorily measured at fair value through profit or loss

Derivatives

Total

Trading liabilities

Designated at fair value

Derivatives

Total

 
$m

$m

$m

$m

$m

$m

$m

$m

$m

Private equity including strategic investments
689

3

9,756

—

10,448

3

—

—

3

Asset-backed securities
1,095

674

98

—

1,867

—

—

—

—

Loans held for securitisation
—

1

—

—

1

—

—

—

—

Structured notes
—

3

—

—

3

36

5,003

—

5,039

Derivatives with monolines
—

—

—

75

75

—

—

—

—

Other derivatives
—

—

—

3,771

3,771

—

—

3,717

3,717

Other portfolios
1,555

3,184

550

9

5,298

66

5

8

79

At 30 Jun 2020
3,339

3,865

10,404

3,855

21,463

105

5,008

3,725

8,838

Private equity including strategic investments
716

4

8,831

—

9,551

4

—

—

4

Asset-backed securities
874

934

28

—

1,836

—

—

—

—

Loans held for securitisation
—

1

39

—

40

—

—

—

—

Structured notes
—

3

—

—

3

47

5,016

—

5,063

Derivatives with monolines
—

—

—

66

66

—

—

—

—

Other derivatives
—

—

—

2,070

2,070

—

—

2,302

2,302

Other portfolios
1,628

4,037

578

—

6,243

2

—

—

2

At 31 Dec 2019
3,218

4,979

9,476

2,136

19,809

53

5,016

2,302

7,371

Movement in Level 3 financial instruments
 
 
Assets
Liabilities
 
 
Financial investments

Trading assets

Designated and otherwise mandatorily measured at fair value through profit or loss

Derivatives

Trading liabilities

Designated at fair value

Derivatives

 
Footnotes
$m

$m

$m

$m

$m

$m

$m

At 1 Jan 2020
 
3,218

4,979

9,476

2,136

53

5,016

2,302

Total gains/(losses) recognised in profit or loss
 
(13
)
(541
)
(106
)
2,237

—

(117
)
2,105

– net income from financial instruments held for trading or managed on a fair value basis
 
—

(541
)
—

2,237

—

—

2,105

– changes in fair value of other financial instruments mandatorily measured at fair value through profit or loss
 
—

—

(106
)
—

—

(117
)
—

– gains less losses from financial investments at fair value through other comprehensive income
 
(13
)
—

—

—

—

—

—

Total gains/(losses) recognised in other comprehensive income
1
(29
)
(171
)
(4
)
(147
)
(2
)
(78
)
(162
)
– financial investments: fair value gains/(losses)
 
(19
)
—

—

—

—

—

—

– exchange differences
 
(10
)
(171
)
(4
)
(147
)
(2
)
(78
)
(162
)
Purchases
 
610

199

1,594

—

63

—

—

New issuances
 
—

—

—

—

2

1,091

—

Sales
 
(271
)
(577
)
(424
)
—

(1
)
—

—

Settlements
 
(401
)
(22
)
(170
)
(262
)
(12
)
(853
)
(307
)
Transfers out
 
(22
)
(797
)
(63
)
(139
)
(5
)
(275
)
(270
)
Transfers in
 
247

795

101

30

7

224

57

At 30 Jun 2020
 
3,339

3,865

10,404

3,855

105

5,008

3,725

Unrealised gains/(losses) recognised in profit or loss relating to assets and liabilities held at
30 Jun 2020
 
—

(7
)
(140
)
529

(3
)
100

1,104

– net income from financial instruments held for trading or managed on a fair value basis

 
—

(7
)
—

529

(3
)
—

1,104

– changes in fair value of other financial instruments mandatorily measured at fair value through profit or loss

 
—

—

(140
)
—

—

100

—

At 1 Jan 2019
 
2,796

6,759

7,080

2,423

58

5,328

1,756

Total gains/(losses) recognised in profit or loss
 
—

(2
)
196

(9
)
(4
)
246

591

– net income from financial instruments held for trading or managed on a fair value basis

 
—

(2
)
—

(9
)
(4
)
—

591

– changes in fair value of other financial instruments mandatorily measured at fair value through profit or loss
 
—

—

196

—

—

246

—

Total gains/(losses) recognised in other comprehensive income (‘OCI’)
1
236

(18
)
6

(6
)
(1
)
(6
)
(10
)
– financial investments: fair value gains/(losses)
 
238

—

—

—

—

—

—

– exchange differences
 
(2
)
(18
)
6

(6
)
(1
)
(6
)
(10
)
Purchases
 
336

1,145

1,214

—

5

118

—

New issuances
 
—

154

—

—

—

818

—

Sales
 
(7
)
(487
)
(87
)
—

(9
)
(180
)
—

Settlements
 
(240
)
(1,691
)
(184
)
94

—

(396
)
(136
)
Transfers out
 
(4
)
(409
)
(20
)
(622
)
(9
)
(550
)
(189
)
Transfers in
 
179

222

40

50

9

18

21

At 30 Jun 2019
 
3,296

5,673

8,245

1,930

49

5,396

2,033

Unrealised gains/(losses) recognised in profit or loss relating to assets and liabilities held at
30 Jun 2019
 
—

2

67

257

(23
)
(7
)
(320
)
– net income from financial instruments held for trading or managed on a fair value basis

 
—

2

—

257

(23
)
—

(320
)
– changes in fair value of other financial instruments mandatorily measured at fair value through profit or loss
 
—

—

67

—

—

(7
)
—

Movement in Level 3 financial instruments (continued)
 
 
Assets
Liabilities
 
 
Financial investments

Trading assets

Designated at fair value through profit or loss

Derivatives

Trading liabilities

Designated
at fair value

Derivatives

 
Footnotes
$m

$m

$m

$m

$m

$m

$m

At 1 Jul 2019
 
3,296

5,673

8,245

1,930

49

5,396

2,033

Total gains/(losses) recognised in profit or loss
 
6

(110
)
391

287

—

(51
)
339

– net income from financial instruments held for trading or managed on a fair value basis

 
—

(110
)
—

287

—

—

339

– changes in fair value of other financial instruments mandatorily measured at fair value through profit or loss
 
—

—

391

—

—

(51
)
—

– gains less losses from financial investments at fair value through other comprehensive income
 
10

—

—

—

—

—

—

– expected credit loss charges and other credit risk charges
 
(4
)
—

—

—

—

—

—

Total gains/(losses) recognised in other comprehensive income (‘OCI’)
1
73

94

(10
)
55

2

24

62

– financial investments: fair value gains/(losses)
 
63

—

—

—

—

—

—

– exchange differences
 
10

94

(10
)
55

2

24

62

Purchases
 
357

1,061

1,292

—

3

39

—

New issuances
 
—

—

—

—

6

783

—

Sales
 
(49
)
(408
)
(189
)
—

—

(13
)
—

Settlements
 
(89
)
(416
)
(250
)
(194
)
(7
)
(652
)
(26
)
Transfers out
 
(484
)
(1,149
)
(3
)
(88
)
—

(529
)
(284
)
Transfers in
 
108

234

—

146

—

19

178

At 31 Dec 2019
 
3,218

4,979

9,476

2,136

53

5,016

2,302

Unrealised gains/(losses) recognised in profit or loss relating to assets and liabilities held at 31 Dec 2019
 
(4
)
(22
)
465

279

—

57

(407
)
– net income from financial instruments held for trading or managed on a fair value basis

 
—

(22
)
—

279

—

—

(407
)
– changes in fair value of other financial instruments mandatorily measured at fair value through profit or loss

 
—

—

465

—

—

57

—

– loan impairment recoveries and other credit risk provisions

 
(4
)
—

—

—

—

—

—

1
Included in ‘Financial investments: fair value gains/(losses)’ in the current year and ‘Exchange differences’ in the consolidated statement of comprehensive income.
Fair values of financial instruments not carried at fair value on the balance sheet
 
At 30 Jun 2020
At 31 Dec 2019
 
Carrying
amount

Fair
value

Carrying
amount

Fair
value

 
$m

$m

$m

$m

Assets
 
 
 
 
Loans and advances to banks
77,015

77,122

69,203

69,247

Loans and advances to customers
1,018,681

1,018,036

1,036,743

1,037,543

Reverse repurchase agreements – non-trading
226,345

226,402

240,862

240,906

Financial investments – at amortised cost
89,781

96,434

85,735

89,061

Liabilities
 
 
 
 
Deposits by banks
82,715

82,718

59,022

58,951

Customer accounts
1,532,380

1,533,284

1,439,115

1,439,512

Repurchase agreements – non-trading
112,799

112,803

140,344

140,344

Debt securities in issue
110,114

110,474

104,555

104,936

Subordinated liabilities
23,621

26,599

24,600

29,246
Disclosure of fair value measurement of liabilities
Financial instruments carried at fair value and bases of valuation
 
 
Valuation techniques
 
 
Quoted
market price
 Level 1

Using
observable
inputs
Level 2

With significant
unobservable
inputs
Level 3

Total

 
$m

$m

$m

$m

Recurring fair value measurements
 
 
 
 
At 30 Jun 2020
 
 
 
 
Assets
 
 
 
 
Trading assets
141,930

63,169

3,865

208,964

Financial assets designated and otherwise mandatorily measured at fair value through profit or loss
16,054

15,327

10,404

41,785

Derivatives
2,126

307,800

3,855

313,781

Financial investments
311,685

89,304

3,339

404,328

Liabilities
 
 
 
 
Trading liabilities
63,204

16,303

105

79,612

Financial liabilities designated at fair value
1,059

150,541

5,008

156,608

Derivatives
2,002

297,332

3,725

303,059

 
At 31 Dec 2019
 
 
 
 
Assets
 
 
 
 
Trading assets
186,653

62,639

4,979

254,271

Financial assets designated and otherwise mandatorily measured at fair value through profit or loss
18,626

15,525

9,476

43,627

Derivatives
1,728

239,131

2,136

242,995

Financial investments
261,341

93,018

3,218

357,577

Liabilities
 
 
 
 
Trading liabilities
66,925

16,192

53

83,170

Financial liabilities designated at fair value
9,549

149,901

5,016

164,466

Derivatives
1,331

235,864

2,302

239,497

Transfers between Level 1 and Level 2 fair values
 
Assets
Liabilities
 
Financial investments

Trading assets

Designated and otherwise mandatorily measured at fair value

Derivatives

Trading liabilities

Designated at fair value

Derivatives

 
$m

$m

$m

$m

$m

$m

$m

At 30 Jun 2020
 
 
 
 
 
 
 
Transfers from Level 1 to Level 2
1,342

2,132

217

—

98

7,414

—

Transfers from Level 2 to Level 1
4,353

3,025

154

1

355

—

—

 
 
 
 
 
 
 
 
At 31 Dec 2019
 
 
 
 
 
 
 
Transfers from Level 1 to Level 2
7,965

3,304

—

24

278

—

—

Transfers from Level 2 to Level 1
4,184

2,726

673

111

220

—

117

Financial instruments measured at fair value using a valuation technique with significant unobservable inputs – Level 3
 
Assets
Liabilities
 
Financial investments

Trading assets

Designated and otherwise mandatorily measured at fair value through profit or loss

Derivatives

Total

Trading liabilities

Designated at fair value

Derivatives

Total

 
$m

$m

$m

$m

$m

$m

$m

$m

$m

Private equity including strategic investments
689

3

9,756

—

10,448

3

—

—

3

Asset-backed securities
1,095

674

98

—

1,867

—

—

—

—

Loans held for securitisation
—

1

—

—

1

—

—

—

—

Structured notes
—

3

—

—

3

36

5,003

—

5,039

Derivatives with monolines
—

—

—

75

75

—

—

—

—

Other derivatives
—

—

—

3,771

3,771

—

—

3,717

3,717

Other portfolios
1,555

3,184

550

9

5,298

66

5

8

79

At 30 Jun 2020
3,339

3,865

10,404

3,855

21,463

105

5,008

3,725

8,838

Private equity including strategic investments
716

4

8,831

—

9,551

4

—

—

4

Asset-backed securities
874

934

28

—

1,836

—

—

—

—

Loans held for securitisation
—

1

39

—

40

—

—

—

—

Structured notes
—

3

—

—

3

47

5,016

—

5,063

Derivatives with monolines
—

—

—

66

66

—

—

—

—

Other derivatives
—

—

—

2,070

2,070

—

—

2,302

2,302

Other portfolios
1,628

4,037

578

—

6,243

2

—

—

2

At 31 Dec 2019
3,218

4,979

9,476

2,136

19,809

53

5,016

2,302

7,371

Movement in Level 3 financial instruments
 
 
Assets
Liabilities
 
 
Financial investments

Trading assets

Designated and otherwise mandatorily measured at fair value through profit or loss

Derivatives

Trading liabilities

Designated at fair value

Derivatives

 
Footnotes
$m

$m

$m

$m

$m

$m

$m

At 1 Jan 2020
 
3,218

4,979

9,476

2,136

53

5,016

2,302

Total gains/(losses) recognised in profit or loss
 
(13
)
(541
)
(106
)
2,237

—

(117
)
2,105

– net income from financial instruments held for trading or managed on a fair value basis
 
—

(541
)
—

2,237

—

—

2,105

– changes in fair value of other financial instruments mandatorily measured at fair value through profit or loss
 
—

—

(106
)
—

—

(117
)
—

– gains less losses from financial investments at fair value through other comprehensive income
 
(13
)
—

—

—

—

—

—

Total gains/(losses) recognised in other comprehensive income
1
(29
)
(171
)
(4
)
(147
)
(2
)
(78
)
(162
)
– financial investments: fair value gains/(losses)
 
(19
)
—

—

—

—

—

—

– exchange differences
 
(10
)
(171
)
(4
)
(147
)
(2
)
(78
)
(162
)
Purchases
 
610

199

1,594

—

63

—

—

New issuances
 
—

—

—

—

2

1,091

—

Sales
 
(271
)
(577
)
(424
)
—

(1
)
—

—

Settlements
 
(401
)
(22
)
(170
)
(262
)
(12
)
(853
)
(307
)
Transfers out
 
(22
)
(797
)
(63
)
(139
)
(5
)
(275
)
(270
)
Transfers in
 
247

795

101

30

7

224

57

At 30 Jun 2020
 
3,339

3,865

10,404

3,855

105

5,008

3,725

Unrealised gains/(losses) recognised in profit or loss relating to assets and liabilities held at
30 Jun 2020
 
—

(7
)
(140
)
529

(3
)
100

1,104

– net income from financial instruments held for trading or managed on a fair value basis

 
—

(7
)
—

529

(3
)
—

1,104

– changes in fair value of other financial instruments mandatorily measured at fair value through profit or loss

 
—

—

(140
)
—

—

100

—

At 1 Jan 2019
 
2,796

6,759

7,080

2,423

58

5,328

1,756

Total gains/(losses) recognised in profit or loss
 
—

(2
)
196

(9
)
(4
)
246

591

– net income from financial instruments held for trading or managed on a fair value basis

 
—

(2
)
—

(9
)
(4
)
—

591

– changes in fair value of other financial instruments mandatorily measured at fair value through profit or loss
 
—

—

196

—

—

246

—

Total gains/(losses) recognised in other comprehensive income (‘OCI’)
1
236

(18
)
6

(6
)
(1
)
(6
)
(10
)
– financial investments: fair value gains/(losses)
 
238

—

—

—

—

—

—

– exchange differences
 
(2
)
(18
)
6

(6
)
(1
)
(6
)
(10
)
Purchases
 
336

1,145

1,214

—

5

118

—

New issuances
 
—

154

—

—

—

818

—

Sales
 
(7
)
(487
)
(87
)
—

(9
)
(180
)
—

Settlements
 
(240
)
(1,691
)
(184
)
94

—

(396
)
(136
)
Transfers out
 
(4
)
(409
)
(20
)
(622
)
(9
)
(550
)
(189
)
Transfers in
 
179

222

40

50

9

18

21

At 30 Jun 2019
 
3,296

5,673

8,245

1,930

49

5,396

2,033

Unrealised gains/(losses) recognised in profit or loss relating to assets and liabilities held at
30 Jun 2019
 
—

2

67

257

(23
)
(7
)
(320
)
– net income from financial instruments held for trading or managed on a fair value basis

 
—

2

—

257

(23
)
—

(320
)
– changes in fair value of other financial instruments mandatorily measured at fair value through profit or loss
 
—

—

67

—

—

(7
)
—

Movement in Level 3 financial instruments (continued)
 
 
Assets
Liabilities
 
 
Financial investments

Trading assets

Designated at fair value through profit or loss

Derivatives

Trading liabilities

Designated
at fair value

Derivatives

 
Footnotes
$m

$m

$m

$m

$m

$m

$m

At 1 Jul 2019
 
3,296

5,673

8,245

1,930

49

5,396

2,033

Total gains/(losses) recognised in profit or loss
 
6

(110
)
391

287

—

(51
)
339

– net income from financial instruments held for trading or managed on a fair value basis

 
—

(110
)
—

287

—

—

339

– changes in fair value of other financial instruments mandatorily measured at fair value through profit or loss
 
—

—

391

—

—

(51
)
—

– gains less losses from financial investments at fair value through other comprehensive income
 
10

—

—

—

—

—

—

– expected credit loss charges and other credit risk charges
 
(4
)
—

—

—

—

—

—

Total gains/(losses) recognised in other comprehensive income (‘OCI’)
1
73

94

(10
)
55

2

24

62

– financial investments: fair value gains/(losses)
 
63

—

—

—

—

—

—

– exchange differences
 
10

94

(10
)
55

2

24

62

Purchases
 
357

1,061

1,292

—

3

39

—

New issuances
 
—

—

—

—

6

783

—

Sales
 
(49
)
(408
)
(189
)
—

—

(13
)
—

Settlements
 
(89
)
(416
)
(250
)
(194
)
(7
)
(652
)
(26
)
Transfers out
 
(484
)
(1,149
)
(3
)
(88
)
—

(529
)
(284
)
Transfers in
 
108

234

—

146

—

19

178

At 31 Dec 2019
 
3,218

4,979

9,476

2,136

53

5,016

2,302

Unrealised gains/(losses) recognised in profit or loss relating to assets and liabilities held at 31 Dec 2019
 
(4
)
(22
)
465

279

—

57

(407
)
– net income from financial instruments held for trading or managed on a fair value basis

 
—

(22
)
—

279

—

—

(407
)
– changes in fair value of other financial instruments mandatorily measured at fair value through profit or loss

 
—

—

465

—

—

57

—

– loan impairment recoveries and other credit risk provisions

 
(4
)
—

—

—

—

—

—

1
Included in ‘Financial investments: fair value gains/(losses)’ in the current year and ‘Exchange differences’ in the consolidated statement of comprehensive income.
Fair values of financial instruments not carried at fair value on the balance sheet
 
At 30 Jun 2020
At 31 Dec 2019
 
Carrying
amount

Fair
value

Carrying
amount

Fair
value

 
$m

$m

$m

$m

Assets
 
 
 
 
Loans and advances to banks
77,015

77,122

69,203

69,247

Loans and advances to customers
1,018,681

1,018,036

1,036,743

1,037,543

Reverse repurchase agreements – non-trading
226,345

226,402

240,862

240,906

Financial investments – at amortised cost
89,781

96,434

85,735

89,061

Liabilities
 
 
 
 
Deposits by banks
82,715

82,718

59,022

58,951

Customer accounts
1,532,380

1,533,284

1,439,115

1,439,512

Repurchase agreements – non-trading
112,799

112,803

140,344

140,344

Debt securities in issue
110,114

110,474

104,555

104,936

Subordinated liabilities
23,621

26,599

24,600

29,246
Disclosure of fair value adjustments on financial instruments
Global Banking and Markets fair value adjustments
 
 
At
 
 
30 Jun 2020
31 Dec 2019
 
 
GBM

Corporate Centre

GBM

Corporate Centre

 
Footnotes
$m

$m

$m

$m

Type of adjustment
 
 
 
 
 
Risk-related
 
1,230

149

1,040

125

– bid-offer
 
486

92

428

79

– uncertainty
 
101

1

115

1

– credit valuation adjustment
 
558

48

355

38

– debt valuation adjustment
 
(184
)
—

(126
)
—

– funding fair value adjustment
 
239

8

241

7

– other
 
30

—

27

—

Model-related
 
99

5

71

3

– model limitation
 
96

5

68

3

– other
 
3

—

3

—

Inception profit (Day 1 P&L reserves)
1
89

—

72

—

 
 
1,418

154

1,183

128

1
See Note 8 on the interim condensed financial statements on page 112.
Disclosure of the effect of changes in significant unobservable assumptions to reasonably possible alternatives, assets
The following table shows the sensitivity of Level 3 fair values to reasonably possible alternative assumptions:
Sensitivity of fair values to reasonably possible alternative assumptions
 
 
Reflected in
profit or loss
Reflected in other
comprehensive income
 
 
Favourable
changes

Unfavourable
changes

Favourable
changes

Unfavourable
changes

 
Footnotes
$m

$m

$m

$m

Derivatives, trading assets and trading liabilities
1
271

(268
)
—

—

Financial assets and liabilities designated and otherwise mandatorily measured at fair value
 
625

(625
)
—

—

Financial investments
 
28

(28
)
101

(104
)
At 30 Jun 2020
 
924

(921
)
101

(104
)
 
Derivatives, trading assets and trading liabilities
1
298

(303
)
—

—

Financial assets and liabilities designated and otherwise mandatorily measured at fair value
 
545

(439
)
—

—

Financial investments
 
43

(46
)
74

(74
)
At 30 Jun 2019
 
886

(788
)
74

(74
)
 
Derivatives, trading assets and trading liabilities
1
255

(230
)
—

—

Financial assets and liabilities designated and otherwise mandatorily measured at fair value through profit or loss
 
618

(503
)
—

—

Financial investments
 
48

(53
)
81

(81
)
At 31 Dec 2019
 
921

(786
)
81

(81
)
1
‘Derivatives, trading assets and trading liabilities’ is presented as one category to reflect the manner in which these financial instruments are risk-managed.
Disclosure of the effect of changes in significant unobservable assumptions to reasonably possible alternatives, liabilities
The following table shows the sensitivity of Level 3 fair values to reasonably possible alternative assumptions:
Sensitivity of fair values to reasonably possible alternative assumptions
 
 
Reflected in
profit or loss
Reflected in other
comprehensive income
 
 
Favourable
changes

Unfavourable
changes

Favourable
changes

Unfavourable
changes

 
Footnotes
$m

$m

$m

$m

Derivatives, trading assets and trading liabilities
1
271

(268
)
—

—

Financial assets and liabilities designated and otherwise mandatorily measured at fair value
 
625

(625
)
—

—

Financial investments
 
28

(28
)
101

(104
)
At 30 Jun 2020
 
924

(921
)
101

(104
)
 
Derivatives, trading assets and trading liabilities
1
298

(303
)
—

—

Financial assets and liabilities designated and otherwise mandatorily measured at fair value
 
545

(439
)
—

—

Financial investments
 
43

(46
)
74

(74
)
At 30 Jun 2019
 
886

(788
)
74

(74
)
 
Derivatives, trading assets and trading liabilities
1
255

(230
)
—

—

Financial assets and liabilities designated and otherwise mandatorily measured at fair value through profit or loss
 
618

(503
)
—

—

Financial investments
 
48

(53
)
81

(81
)
At 31 Dec 2019
 
921

(786
)
81

(81
)
1
‘Derivatives, trading assets and trading liabilities’ is presented as one category to reflect the manner in which these financial instruments are risk-managed.
Disclosure of significant unobservable inputs used in fair value measurement of assets
The following table lists key unobservable inputs to Level 3 financial instruments and provides the range of those inputs at 30 June 2020. There has been no change to the key unobservable inputs to Level 3 financial instruments and inter-relationships therein, which are detailed on pages 271 and 272 of the Annual Report and Accounts 2019.
Quantitative information about significant unobservable inputs in Level 3 valuations
 
 
Fair value
Valuation technique
Key unobservable inputs
 
 
 
Assets

Liabilities

Full range of inputs
 
Footnotes
$m

$m

Lower
Higher

Private equity including strategic investments
 
10,448

3

See footnote 1
See footnote 1
 
 
Asset-backed securities
 
1,867

—

 
 
 
 
– CLO/CDO
2
113

—

Market proxy
Prepayment rate
0%
9%

 
 
—

Market proxy
Bid quotes
0
99

– other ABSs
 
1,754

—

Market proxy
Bid quotes
0
100

Loans held for securitisation
 
1

—

 
 
 
 
Structured notes
 
3

5,039

 
 
 
 
– equity-linked notes
 
—

3,988

Model – option model
Equity volatility
6%
161%

 
 
 
Model – option model
Equity correlation
22%
92%

– FX-linked notes
 
—

579

Model – option model
FX volatility
1%
34%

– other
 
3

472

 
 
 
 
Derivatives with monolines
 
75

—

Model – discounted cash flow
Credit spread
1.6%
2.1%

Other derivatives
 
3,771

3,717

 
 
 
 
– interest rate derivatives
 
 
 
 
 
 
 
securitisation swaps
 
283

869

Model – discounted
cash flow
Prepayment rate
6%
7%

long-dated swaptions
 
1,778

735

Model – option model
IR volatility
7%
33%

other
 
412

335

 
 
 
 
– FX derivatives
 
 
 
 
 
 
 
FX options
 
109

191

Model – option model
FX volatility
1%
49%

other
 
142

139

 
 
 
 
– equity derivatives
 
 
 
 
 
 
 
long-dated single stock options
 
750

821

Model – option model
Equity volatility
0%
131%

other
 
192

551

 
 
 
 
– credit derivatives
 
 
 
 
 
 
 
other
 
105

76

 
 
 
 
Other portfolios
 
5,298

79

 
 
 
 
– structured certificates
 
1,488

—

Model – discounted
cash flow
Credit volatility
11%
11%

– repurchase agreements
 
778

63

 
 
 
 
– other
3
3,032

16

 
 
 
 
At 30 Jun 2020
 
21,463

8,838

 
 
 
 
Quantitative information about significant unobservable inputs in Level 3 valuations (continued)
 
 
Fair value
Valuation technique
 
 
 
 
Assets

Liabilities

Key unobservable inputs
Full range of inputs
 
Footnotes
$m

$m

Lower
Higher
Private equity including strategic investments
 
9,551

4

See footnote 1
See footnote 1
n/a
n/a
Asset-backed securities
 
1,836

—

 
 
 
 
– CLO/CDO
2
373

—

Market proxy
Prepayment rate
0%
9%
 
 
 
Market proxy
Bid quotes
0
100
– other ABSs
 
1,463

—

Market proxy
Bid quotes
0
101
Loans held for securitisation
 
40

—

 
 
 
 
Structured notes
 
3

5,063

 
 
 
 
– equity-linked notes
 
—

3,768

Model – option model
Equity volatility
5%
90%
 
 
 
Model – option model
Equity correlation
9%
93%
– FX-linked notes
 
—

1,046

Model – option model
FX volatility
1%
23%
– other
 
3

249

 
 
 
 
Derivatives with monolines
 
66

—

Model – discounted
cash flow
Credit spread
0.4%
2%
Other derivatives
 
2,070

2,302

 
 
 
 
– interest rate derivatives
 
 
 
 
 
 
 
securitisation swaps
 
314

640

Model – discounted
cash flow
Prepayment rate
6%
7%
long-dated swaptions
 
838

51

Model – option model
IR volatility
8%
22%
other
 
255

155

 
 
 
 
– FX derivatives
 
 
 
 
 
 
 
FX options
 
93

218

Model – option model
FX volatility
1%
25%
other
 
119

104

 
 
 
 
– equity derivatives
 
 
 
 
 
 
 
long-dated single stock options
 
230

293

Model – option model
Equity volatility
0%
89%
other
 
78

712

 
 
 
 
– Credit derivatives
 
 
 
 
 
 
 
Other
 
143

129

 
 
 
 
Other portfolios
 
6,243

2

 
 
 
 
– structured certificates
 
1,515

—

Model – discounted
cash flow
Credit volatility
4%
4%
– repurchase agreements
 
1,604

—

 
 
 
 
– other
3
3,124

2

 
 
 
 
At 31 Dec 2019
 
19,809

7,371

 
 
 
 
1
See notes on page 271 of the Annual Report and Accounts 2019.
2
Collateralised loan obligation/collateralised debt obligation.
3
’Other’ includes a range of smaller asset holdings.
Disclosure of significant unobservable inputs used in fair value measurement of liabilities
The following table lists key unobservable inputs to Level 3 financial instruments and provides the range of those inputs at 30 June 2020. There has been no change to the key unobservable inputs to Level 3 financial instruments and inter-relationships therein, which are detailed on pages 271 and 272 of the Annual Report and Accounts 2019.
Quantitative information about significant unobservable inputs in Level 3 valuations
 
 
Fair value
Valuation technique
Key unobservable inputs
 
 
 
Assets

Liabilities

Full range of inputs
 
Footnotes
$m

$m

Lower
Higher

Private equity including strategic investments
 
10,448

3

See footnote 1
See footnote 1
 
 
Asset-backed securities
 
1,867

—

 
 
 
 
– CLO/CDO
2
113

—

Market proxy
Prepayment rate
0%
9%

 
 
—

Market proxy
Bid quotes
0
99

– other ABSs
 
1,754

—

Market proxy
Bid quotes
0
100

Loans held for securitisation
 
1

—

 
 
 
 
Structured notes
 
3

5,039

 
 
 
 
– equity-linked notes
 
—

3,988

Model – option model
Equity volatility
6%
161%

 
 
 
Model – option model
Equity correlation
22%
92%

– FX-linked notes
 
—

579

Model – option model
FX volatility
1%
34%

– other
 
3

472

 
 
 
 
Derivatives with monolines
 
75

—

Model – discounted cash flow
Credit spread
1.6%
2.1%

Other derivatives
 
3,771

3,717

 
 
 
 
– interest rate derivatives
 
 
 
 
 
 
 
securitisation swaps
 
283

869

Model – discounted
cash flow
Prepayment rate
6%
7%

long-dated swaptions
 
1,778

735

Model – option model
IR volatility
7%
33%

other
 
412

335

 
 
 
 
– FX derivatives
 
 
 
 
 
 
 
FX options
 
109

191

Model – option model
FX volatility
1%
49%

other
 
142

139

 
 
 
 
– equity derivatives
 
 
 
 
 
 
 
long-dated single stock options
 
750

821

Model – option model
Equity volatility
0%
131%

other
 
192

551

 
 
 
 
– credit derivatives
 
 
 
 
 
 
 
other
 
105

76

 
 
 
 
Other portfolios
 
5,298

79

 
 
 
 
– structured certificates
 
1,488

—

Model – discounted
cash flow
Credit volatility
11%
11%

– repurchase agreements
 
778

63

 
 
 
 
– other
3
3,032

16

 
 
 
 
At 30 Jun 2020
 
21,463

8,838

 
 
 
 
Quantitative information about significant unobservable inputs in Level 3 valuations (continued)
 
 
Fair value
Valuation technique
 
 
 
 
Assets

Liabilities

Key unobservable inputs
Full range of inputs
 
Footnotes
$m

$m

Lower
Higher
Private equity including strategic investments
 
9,551

4

See footnote 1
See footnote 1
n/a
n/a
Asset-backed securities
 
1,836

—

 
 
 
 
– CLO/CDO
2
373

—

Market proxy
Prepayment rate
0%
9%
 
 
 
Market proxy
Bid quotes
0
100
– other ABSs
 
1,463

—

Market proxy
Bid quotes
0
101
Loans held for securitisation
 
40

—

 
 
 
 
Structured notes
 
3

5,063

 
 
 
 
– equity-linked notes
 
—

3,768

Model – option model
Equity volatility
5%
90%
 
 
 
Model – option model
Equity correlation
9%
93%
– FX-linked notes
 
—

1,046

Model – option model
FX volatility
1%
23%
– other
 
3

249

 
 
 
 
Derivatives with monolines
 
66

—

Model – discounted
cash flow
Credit spread
0.4%
2%
Other derivatives
 
2,070

2,302

 
 
 
 
– interest rate derivatives
 
 
 
 
 
 
 
securitisation swaps
 
314

640

Model – discounted
cash flow
Prepayment rate
6%
7%
long-dated swaptions
 
838

51

Model – option model
IR volatility
8%
22%
other
 
255

155

 
 
 
 
– FX derivatives
 
 
 
 
 
 
 
FX options
 
93

218

Model – option model
FX volatility
1%
25%
other
 
119

104

 
 
 
 
– equity derivatives
 
 
 
 
 
 
 
long-dated single stock options
 
230

293

Model – option model
Equity volatility
0%
89%
other
 
78

712

 
 
 
 
– Credit derivatives
 
 
 
 
 
 
 
Other
 
143

129

 
 
 
 
Other portfolios
 
6,243

2

 
 
 
 
– structured certificates
 
1,515

—

Model – discounted
cash flow
Credit volatility
4%
4%
– repurchase agreements
 
1,604

—

 
 
 
 
– other
3
3,124

2

 
 
 
 
At 31 Dec 2019
 
19,809

7,371

 
 
 
 
1
See notes on page 271 of the Annual Report and Accounts 2019.
2
Collateralised loan obligation/collateralised debt obligation.
3
’Other’ includes a range of smaller asset holdings.