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Fair values of financial assets and liabilities (Tables)
12 Months Ended
Dec. 31, 2024
Disclosure of detailed information about financial instruments [abstract]  
Schedule of Financial Assets Excluding Derivatives The table below analyses these financial assets by balance sheet classification, asset type and valuation methodology
(level 1, 2 or 3, as described above). The fair value measurement approach is recurring in nature. There were no significant transfers between
level 1 and 2 during the year. For amounts included below which are subject to repurchase and reverse repurchase agreements see
page 180.
Level 1
£m
Level 2
£m
Level 3
£m
Total
£m
At 31 December 2024
Trading assets
Loans and advances to customers
–
621
–
621
Reverse repurchase agreements
–
20,466
–
20,466
Debt securities:
Government securities
3,473
–
–
3,473
Asset-backed securities
–
149
–
149
Corporate and other debt securities
–
741
–
741
3,473
890
–
4,363
Total trading assets
3,473
21,977
–
25,450
Other financial assets mandatorily held at fair value through profit or loss
Loans and advances to banks
–
2,787
–
2,787
Loans and advances to customers
–
2,418
6,010
8,428
Debt securities:
Government securities
7,091
2
–
7,093
Other public sector securities
–
2,288
–
2,288
Bank and building society certificates of deposit
–
8,667
–
8,667
Asset-backed securities
–
285
367
652
Corporate and other debt securities
–
14,722
2,161
16,883
7,091
25,964
2,528
35,583
Treasury and other bills
32
–
–
32
Equity shares
131,767
–
1,351
133,118
Contracts held with reinsurers
–
10,527
–
10,527
Total other financial assets mandatorily held at fair value through profit or loss1
138,890
41,696
9,889
190,475
Total financial assets at fair value through profit or loss
142,363
63,673
9,889
215,925
Financial assets at fair value through other comprehensive income
Debt securities:
Government securities
15,146
115
–
15,261
Asset-backed securities
–
149
48
197
Corporate and other debt securities
1,152
13,755
–
14,907
16,298
14,019
48
30,365
Equity shares
–
–
325
325
Total financial assets at fair value through other comprehensive income
16,298
14,019
373
30,690
Total financial assets (excluding derivatives) at fair value
158,661
77,692
10,262
246,615
1Other financial assets mandatorily at fair value through profit or loss include assets backing insurance contracts and investment contracts of £185,201 million. Included within these
assets are investments in unconsolidated structured entities of £86,630 million; see note 39.
Note 17: Fair values of financial assets and liabilities continued
Level 1
£m
Level 2
£m
Level 3
£m
Total
£m
At 31 December 2023
Trading assets
Loans and advances to customers
–
23
–
23
Reverse repurchase agreements
–
17,413
–
17,413
Debt securities:
Government securities
3,596
–
–
3,596
Asset-backed securities
–
77
–
77
Corporate and other debt securities
–
529
–
529
3,596
606
–
4,202
Total trading assets
3,596
18,042
–
21,638
Other financial assets mandatorily held at fair value through profit or loss
Loans and advances to banks
–
3,127
–
3,127
Loans and advances to customers
–
1,992
7,890
9,882
Debt securities:
Government securities
8,005
4
–
8,009
Other public sector securities
10
2,300
–
2,310
Bank and building society certificates of deposit
–
7,504
–
7,504
Asset-backed securities
–
327
186
513
Corporate and other debt securities
–
18,061
2,064
20,125
8,015
28,196
2,250
38,461
Treasury and other bills
51
–
–
51
Equity shares
117,194
–
1,541
118,735
Contracts held with reinsurers
–
11,424
–
11,424
Total other financial assets mandatorily held at fair value through profit or loss1
125,260
44,739
11,681
181,680
Total financial assets at fair value through profit or loss
128,856
62,781
11,681
203,318
Financial assets at fair value through other comprehensive income
Debt securities:
Government securities
14,093
48
–
14,141
Asset-backed securities
–
121
52
173
Corporate and other debt securities
956
12,090
–
13,046
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
Total financial assets (excluding derivatives) at fair value
143,905
75,040
11,965
230,910
1Other financial assets mandatorily at fair value through profit or loss include assets backing insurance contracts and investment contracts of £176,475 million. Included within these
assets are investments in unconsolidated structured entities of £76,426 million; see note 39.
Schedule of Movements in Level 3 - Portfolio, Financial Liabilities, Derivative Assets and Liabilities The table below analyses movements in level 3 financial assets (excluding derivatives) at fair value, recurring basis.
2024
2023
Financial
assets at
fair value
through
profit or loss
£m
Financial
assets at
fair value
through other
comprehensive
income
£m
Total level 3
financial assets
(excluding
derivatives)
at fair value,
recurring basis
£m
Financial
assets at
fair value
through
profit or loss
£m
Financial
assets at
fair value
through other
comprehensive
income
£m
Total level 3
financial assets
(excluding
derivatives)
at fair value,
recurring basis
£m
At 1 January
11,681
284
11,965
11,304
342
11,646
Exchange and other adjustments
1
(3)
(2)
(4)
(1)
(5)
Gains (losses) recognised in the income statement
within other income
352
3
355
723
6
729
Gains (losses) recognised in other comprehensive
income within the revaluation reserve in respect of
financial assets at fair value through other
comprehensive income
–
92
92
–
(54)
(54)
Purchases/increases to customer loans
1,080
–
1,080
744
3
747
Sales/repayments of customer loans
(3,266)
(3)
(3,269)
(1,140)
(12)
(1,152)
Transfers into the level 3 portfolio
84
–
84
136
–
136
Transfers out of the level 3 portfolio
(43)
–
(43)
(82)
–
(82)
At 31 December
9,889
373
10,262
11,681
284
11,965
Gains (losses) recognised in the income statement,
within other income, relating to the change in fair
value of those assets held at 31 December
186
(1)
185
654
–
654
The table below analyses movements in the level 3 financial liabilities (excluding derivatives) at fair value portfolio.
2024
£m
2023
£m
At 1 January
42
45
Gains recognised in the income statement within other income
2
(1)
Redemptions
(3)
(1)
Transfers out of the level 3 portfolio
(19)
(1)
At 31 December
22
42
Gains recognised in the income statement, within other income, relating to the change in fair value of those liabilities held
at 31 December
3
(1)
Schedule of Financial Liabilities Excluding Derivatives The table below analyses these financial liabilities by
balance sheet classification and valuation methodology (level 1, 2 or 3, as described on page 260). The fair value measurement approach is
recurring in nature. There were no significant transfers between level 1 and 2 during the year.
Level 1
£m
Level 2
£m
Level 3
£m
Total
£m
At 31 December 2024
Trading liabilities
Liabilities in respect of securities sold under repurchase agreements
–
20,564
–
20,564
Short positions in securities
2,400
17
–
2,417
Total trading liabilities
2,400
20,581
–
22,981
Liabilities designated at fair value through profit or loss
Debt securities in issue
–
4,608
22
4,630
Other
–
–
–
–
Total liabilities designated at fair value through profit or loss
–
4,608
22
4,630
Total financial liabilities (excluding derivatives) at fair value
2,400
25,189
22
27,611
At 31 December 2023
Trading liabilities
Liabilities in respect of securities sold under repurchase agreements
–
18,057
–
18,057
Short positions in securities
1,569
5
–
1,574
Total trading liabilities
1,569
18,062
–
19,631
Liabilities designated at fair value through profit or loss
Debt securities in issue
–
5,223
42
5,265
Other
–
18
–
18
Total liabilities designated at fair value through profit or loss
–
5,241
42
5,283
Total financial liabilities (excluding derivatives) at fair value
1,569
23,303
42
24,914
Schedule of Derivatives The table below analyses these derivative balances by
valuation methodology (level 1, 2 or 3, as described on page 260). The fair value measurement approach is recurring in nature. There were
no significant transfers between level 1 and level 2 during the year.
2024
2023
Level 1
£m
Level 2
£m
Level 3
£m
Total
£m
Level 1
£m
Level 2
£m
Level 3
£m
Total
£m
Derivative assets
103
23,221
741
24,065
77
21,857
422
22,356
Derivative liabilities
(79)
(21,175)
(422)
(21,676)
(116)
(19,589)
(444)
(20,149)
Schedudle Of Level 3 Derivative Assets and Liability Movements The table below analyses movements in level 3 derivative assets and liabilities carried at fair value.
2024
2023
Derivative
assets
£m
Derivative
liabilities
£m
Derivative
assets
£m
Derivative
liabilities
£m
At 1 January
422
(444)
553
(608)
Exchange and other adjustments
(15)
7
(8)
5
Gains (losses) recognised in the income statement within other income
11
(7)
(104)
111
Purchases (additions)
5
(4)
19
(15)
(Sales) redemptions
(29)
53
(38)
63
Transfers into the level 3 portfolio
347
(27)
–
–
At 31 December
741
(422)
422
(444)
Gains (losses) recognised in the income statement, within other income, relating to the
change in fair value of those assets or liabilities held at 31 December
12
(7)
(72)
76
Schedule of Sensitivity of Level 3 Valuations
2024
2023
Effect of reasonably possible
alternative assumptions1
Effect of reasonably possible
alternative assumptions1
Valuation techniques
Significant
unobservable inputs2
Carrying
value
£m
Favourable
changes
£m
Unfavourable
changes
£m
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
(-241bps/
+131bps)4
6,022
245
(231)
7,890
369
(351)
Debt securities
Discounted cash flows
Credit spreads
(+/- 17%)5
621
35
(55)
445
39
(41)
Equity and
venture capital
investments
Market approach
Earnings multiple
(3.5/15.0)6
2,267
150
(150)
2,228
131
(131)
Underlying asset/net
asset value (incl.
property prices)3
n/a
773
80
(84)
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
206
–
(7)
309
7
(6)
9,889
11,681
Financial assets at fair value through other comprehensive income
Asset-backed
securities
Lead manager or
broker quote/
consensus pricing
n/a
48
2
(2)
52
2
(2)
Equity and
venture capital
investments
Underlying asset/net
asset value (incl.
property prices)3
n/a
325
33
(33)
232
22
(22)
373
284
Derivative financial assets
Interest rate
options
Option pricing
model
Interest rate
volatility
(11%/183%)7
394
4
(6)
422
6
(3)
Interest rate
derivatives
Discounted cash flows
(+/- 8%)
uncertainty of
recovery rates
347
21
(21)
–
–
–
741
422
Level 3 financial assets carried at fair value
11,003
12,387
Financial liabilities at fair value through profit or loss
Securitisation
notes and other
Discounted cash flows
Interest rate
spreads
(+/– 50bps)8
22
1
(1)
42
1
(1)
Derivative financial liabilities
Interest rate
derivatives
Option pricing model
Interest rate
volatility
(11%/183%)7
422
17
(15)
444
10
(7)
Level 3 financial liabilities carried at fair value
444
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.
42023: -50bps/+272bps.
52023: +/- 6%.
62023: 1.6/17.8.
72023: 13%/200%.
82023: +/- 50bps.
Schedule of Valuation Hierarchy for Financial Assets
Carrying
value
£m
Fair
value
£m
Valuation hierarchy
Level 1
£m
Level 2
£m
Level 3
£m
At 31 December 2024
Loans and advances to banks
7,900
7,892
–
–
7,892
Loans and advances to customers
459,857
455,846
–
–
455,846
Reverse repurchase agreements
49,476
49,476
–
49,476
–
Debt securities
14,544
14,380
–
11,980
2,400
At 31 December 2023
Loans and advances to banks
10,764
10,764
–
–
10,764
Loans and advances to customers
449,745
439,449
–
–
439,449
Reverse repurchase agreements
38,771
38,771
–
38,771
–
Debt securities
15,355
15,139
–
10,939
4,200
Schedule of Valuation Hierarchy for Financial Liabilities The table below analyses the fair values of those financial liabilities of the Group which are carried at amortised cost by valuation
methodology (level 1, 2 or 3, as described on page 260).
Carrying
value
£m
Fair
value
£m
Valuation hierarchy
Level 1
£m
Level 2
£m
Level 3
£m
At 31 December 2024
Deposits from banks
6,158
6,158
–
6,158
–
Customer deposits
482,745
483,568
–
483,568
–
Repurchase agreements at amortised cost
37,760
37,760
–
37,760
–
Debt securities in issue at amortised cost
70,834
70,894
–
70,894
–
Subordinated liabilities
10,089
10,419
–
10,419
–
At 31 December 2023
Deposits from banks
6,153
6,153
–
6,153
–
Customer deposits
471,396
471,857
–
471,857
–
Repurchase agreements at amortised cost
37,703
37,703
–
37,703
–
Debt securities in issue at amortised cost
75,592
75,021
–
75,021
–
Subordinated liabilities
10,253
10,345
–
10,345
–