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Fair values of financial assets and liabilities (Tables)
 6 Months Ended
Jun. 30, 2024
Financial Instruments [Abstract]  
Schedule of financial assets carried at fair value by valuation hierarchy The following tables provide an analysis of the financial assets and liabilities of the Group that are carried at fair value in
the Group’s consolidated balance sheet, grouped into levels 1 to 3 based on the degree to which the fair value is
observable. There were no significant transfers between level 1 and level 2 during the period.
Financial assets
Level 1
£m
Level 2
£m
Level 3
£m
Total
£m
At 30 June 2024
Financial assets at fair value through profit or loss:
Loans and advances to banks
–
3,405
–
3,405
Loans and advances to customers
–
3,152
6,301
9,453
Reverse repurchase agreements
–
19,816
–
19,816
Debt securities
10,589
24,999
2,286
37,874
Treasury and other bills
12
–
–
12
Contracts held with reinsurers
–
11,838
–
11,838
Equity shares
125,181
–
1,560
126,741
Total financial assets at fair value through profit or loss1
135,782
63,210
10,147
209,139
Financial assets at fair value through other comprehensive income:
Debt securities
14,059
13,432
51
27,542
Equity shares
–
–
305
305
Total financial assets at fair value through other comprehensive income
14,059
13,432
356
27,847
Derivative financial instruments
28
18,603
352
18,983
Total financial assets carried at fair value
149,869
95,245
10,855
255,969
1Other financial assets mandatorily at fair value through profit or loss include assets backing insurance contracts and investment
contracts of £178,559 million.
Financial assets
Level 1
£m
Level 2
£m
Level 3
£m
Total
£m
At 31 December 2023
Financial assets at fair value through profit or loss:
Loans and advances to banks
–
3,127
–
3,127
Loans and advances to customers
–
2,015
7,890
9,905
Reverse repurchase agreements
–
17,413
–
17,413
Debt securities
11,611
28,802
2,250
42,663
Treasury and other bills
51
–
–
51
Contracts held with reinsurers
–
11,424
–
11,424
Equity shares
117,194
–
1,541
118,735
Total financial assets at fair value through profit or loss1
128,856
62,781
11,681
203,318
Financial assets at fair value through other comprehensive income:
Debt securities
15,049
12,259
52
27,360
Equity shares
–
–
232
232
Total financial assets at fair value through other comprehensive income
15,049
12,259
284
27,592
Derivative financial instruments
77
21,857
422
22,356
Total financial assets carried at fair value
143,982
96,897
12,387
253,266
1Other financial assets mandatorily at fair value through profit or loss include assets backing insurance contracts and investment
contracts of £176,475 million.
Schedule of financial liabilities carried at fair value by valuation hierarchy
Financial liabilities
Level 1
£m
Level 2
£m
Level 3
£m
Total
£m
At 30 June 2024
Financial liabilities at fair value through profit or loss:
Debt securities in issue
–
4,897
23
4,920
Liabilities in respect of securities sold under repurchase agreements
–
20,167
–
20,167
Short positions in securities
1,920
9
–
1,929
Other
–
40
–
40
Total financial liabilities at fair value through profit or loss
1,920
25,113
23
27,056
Derivative financial instruments
28
16,246
373
16,647
Liabilities arising from non-participating investment contracts
–
48,280
–
48,280
Total financial liabilities carried at fair value
1,948
89,639
396
91,983
At 31 December 2023
Financial liabilities at fair value through profit or loss:
Debt securities in issue
–
5,223
42
5,265
Liabilities in respect of securities sold under repurchase agreements
–
18,057
–
18,057
Short positions in securities
1,569
5
–
1,574
Other
–
18
–
18
Total financial liabilities at fair value through profit or loss
1,569
23,303
42
24,914
Derivative financial instruments
116
19,589
444
20,149
Liabilities arising from non-participating investment contracts
–
44,978
–
44,978
Total financial liabilities carried at fair value
1,685
87,870
486
90,041
Schedule of movements in the level 3 financial assets portfolio The tables below analyse movements in the level 3 financial assets portfolio.
Financial
assets at
fair value
through profit
or loss
£m
Financial
assets at
fair value
through other
comprehensive
income
£m
Derivative
assets
£m
Total
financial
assets
carried at
fair value
£m
At 1 January 2024
11,681
284
422
12,387
Exchange and other adjustments
2
(1)
–
1
Gains (losses) recognised in the income statement
within other income
55
–
(54)
1
Gains recognised in other comprehensive income within
the revaluation reserve in respect of financial assets at
fair value through other comprehensive income
–
74
–
74
Purchases/increases to customer loans
335
–
6
341
Sales/repayments of customer loans
(1,923)
(1)
(22)
(1,946)
Transfers into the level 3 portfolio
32
–
–
32
Transfers out of the level 3 portfolio
(35)
–
–
(35)
At 30 June 2024
10,147
356
352
10,855
Gains (losses) recognised in the income statement,
within other income, relating to the change in fair
value of those assets held at 30 June 2024
54
–
(41)
13
At 1 January 2023
11,304
342
553
12,199
Exchange and other adjustments
(1)
(2)
(13)
(16)
Gains (losses) recognised in the income statement
within other income
104
4
(53)
55
Losses recognised in other comprehensive income
within the revaluation reserve in respect of financial
assets at fair value through other comprehensive
income
–
(48)
–
(48)
Purchases/increases to customer loans
347
–
40
387
Sales/repayments of customer loans
(475)
(4)
(17)
(496)
Transfers into the level 3 portfolio
139
–
–
139
Transfers out of the level 3 portfolio
(4)
–
(3)
(7)
At 30 June 2023
11,414
292
507
12,213
Gains (losses) recognised in the income statement,
within other income, relating to the change in fair
value of those assets held at 30 June 2023
79
2
(58)
23
Schedule of movements in the level 3 financial liabilities portfolio The tables below analyse movements in the level 3 financial liabilities portfolio.
Financial
liabilities
at fair value
through
profit or loss
£m
Derivative
liabilities
£m
Total
financial
liabilities
carried at
fair value
£m
At 1 January 2024
42
444
486
Exchange and other adjustments
–
–
–
Losses (gains) recognised in the income statement within other income
2
(43)
(41)
Additions
–
5
5
Redemptions
(2)
(33)
(35)
Transfers into the level 3 portfolio
–
–
–
Transfers out of the level 3 portfolio
(19)
–
(19)
At 30 June 2024
23
373
396
Losses (gains) recognised in the income statement, within other income,
relating to the change in fair value of those liabilities held at 30 June 2024
2
(31)
(29)
At 1 January 2023
45
608
653
Exchange and other adjustments
–
(8)
(8)
Losses (gains) recognised in the income statement within other income
1
(57)
(56)
Additions
–
31
31
Redemptions
(1)
(36)
(37)
Transfers into the level 3 portfolio
2
–
2
Transfers out of the level 3 portfolio
(1)
–
(1)
At 30 June 2023
46
538
584
Losses (gains) recognised in the income statement, within other income,
relating to the change in fair value of those liabilities held at 30 June 2023
1
(58)
(57)
Schedule of sensitivity of level 3 valuations The tables below set out the effects of reasonably possible alternative assumptions for categories of level 3 financial
assets and financial liabilities.
Effect of reasonably
possible alternative
assumptions1
At 30 June 2024
Valuation
techniques
Significant
unobservable inputs2
Carrying
value
£m
Favourable
changes
£m
Unfavourable
changes
£m
Financial assets at fair value through profit or loss
Loans and advances to
customers
Discounted cash flows
Interest rate spreads
(-127bps/+238bps)
6,301
277
(245)
Equity and venture capital
investments
Market approach
Earnings multiple
(1.6/17.8)
2,293
163
(163)
Underlying asset/net
asset value (incl.
property prices)3
n/a
853
80
(95)
Unlisted equities, debt
securities and property
partnerships in the life funds
Underlying asset/net
asset value (incl.
property prices), broker
quotes or discounted
cash flows3
n/a
297
2
(9)
Other
403
33
(33)
10,147
Financial assets at fair value through other comprehensive income
Asset-backed securities
Lead manager or
broker quote/
consensus pricing
n/a
51
2
(2)
Equity and venture capital
investments
Underlying asset/net
asset value (incl.
property prices)3
n/a
305
29
(29)
356
Derivative financial assets
Interest rate derivatives
Option pricing model
Interest rate volatility
(13%/200%)
352
6
(3)
Level 3 financial assets carried at fair value
10,855
Financial liabilities at fair value through profit or loss
23
1
(1)
Derivative financial liabilities
Interest rate derivatives
Option pricing model
Interest rate volatility
(13%/200%)
373
17
(18)
Level 3 financial liabilities carried at fair value
396
1Where the exposure to an unobservable input is managed on a net basis, only the net impact is shown in the table.
2Ranges are shown where appropriate and represent the highest and lowest inputs used in the level 3 valuations.
3Underlying asset/net asset values represent fair value.
Effect of reasonably
possible alternative
assumptions1
At 31 December 2023
Valuation
techniques
Significant
unobservable inputs2
Carrying
value
£m
Favourable
changes
£m
Unfavourable
changes
£m
Financial assets at fair value through profit or loss
Loans and advances to
customers
Discounted cash flows
Interest rate spreads
(-50bps/+272bps)
7,890
369
(351)
Equity and venture capital
investments
Market approach
Earnings multiple
(1.6/17.8)
2,228
131
(131)
Underlying asset/net
asset value (incl.
property prices)3
n/a
809
77
(99)
Unlisted equities, debt
securities and property
partnerships in the life funds
Underlying asset/net
asset value (incl.
property prices), broker
quotes or discounted
cash flows3
n/a
309
7
(6)
Other
445
39
(41)
11,681
Financial assets at fair value through other comprehensive income
Asset-backed securities
Lead manager or
broker quote/
consensus pricing
n/a
52
2
(2)
Equity and venture capital
investments
Underlying asset/net
asset value (incl.
property prices)3
n/a
232
22
(22)
284
Derivative financial assets
Interest rate derivatives
Option pricing model
Interest rate volatility
(13%/200%)
422
6
(3)
Level 3 financial assets carried at fair value
12,387
Financial liabilities at fair value through profit or loss
42
1
(1)
Derivative financial liabilities
Interest rate derivatives
Option pricing model
Interest rate volatility
(13%/200%)
444
10
(7)
Level 3 financial liabilities carried at fair value
486
1Where the exposure to an unobservable input is managed on a net basis, only the net impact is shown in the table.
2Ranges are shown where appropriate and represent the highest and lowest inputs used in the level 3 valuations.
3Underlying asset/net asset values represent fair value.
Schedule of carrying values and fair values of financial assets and liabilities The table below summarises the carrying values of financial assets and liabilities measured at amortised cost in the
Group’s consolidated balance sheet. The fair values presented in the table are at a specific date and may be significantly
different from the amounts which will actually be paid or received on the maturity or settlement date.
At 30 June 2024
At 31 December 2023
Carrying
value
£m
Fair
value
£m
Carrying
value
£m
Fair
value
£m
Financial assets
Loans and advances to banks
8,454
8,454
10,764
10,764
Loans and advances to customers
452,408
445,987
449,745
439,449
Reverse repurchase agreements
49,404
49,404
38,771
38,771
Debt securities
15,432
14,753
15,355
15,139
Financial assets at amortised cost
525,698
518,598
514,635
504,123
Financial liabilities
Deposits from banks
5,584
5,578
6,153
6,153
Customer deposits
474,693
475,358
471,396
471,857
Repurchase agreements at amortised cost
37,914
37,914
37,703
37,703
Debt securities in issue
74,760
75,226
75,592
75,021
Subordinated liabilities
10,448
10,988
10,253
10,345