172 | Just Group PLC | Annual Report and Accounts 2024
NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS continued
16. FAIR VALUE OF FINANCIAL ASSETS AND LIABILITIES continued Assessment of the observability of pricing information
All assets classified as Level 1 and 2 are valued using observable market data from standard market pricing sources such as Bloomberg. Debt securities and financial derivatives categorised as Level 1 and Level 2 are valued using observable data, either directly (as prices) or indirectly (derived from prices). The pricing data for the Level 2 instruments undergoes expert review to determine its quality. For instance, the pricing data is sourced from multiple external sources (such as Bloomberg and Thomson Reuters) and is subject to several monitoring controls, such as monthly price variances, stale price reviews and variance analysis. If the data quality is not sufficiently high, the instrument is reassigned to Level 3. If Bloomberg’s pricing service (BVAL) assigns a low score to the pricing data provided by brokers/asset managers, the instruments are then classified as Level 3. The Group’s assets and liabilities held at fair value, which are valued using valuation techniques for which observable market data are not available and classified as Level 3, include loans secured by mortgages, long income real estate, infrastructure loans, private placement debt securities, investment funds, other loans and also the Group’s investment contract liabilities. (b) Analysis of assets and liabilities held at fair value according to fair value hierarchy 31 December 2024 31 December 2023 Level 1 £m Level 2 £m Level 3 £m Total £m Level 1 £m Level 2 £m Level 3 £m Total £m Assets held at fair value through profit or loss Units in liquidity funds 1,792 – – 1,792 1,135 6 – 1,141 Investment funds – 110 289 399 – 97 398 495 Debt securities and other fixed income securities 6,291 4,964 4,755 16,010 4,941 5,799 2,914 13,654 Deposits with credit institutions 808 – – 808 706 – – 706 Loans secured by commercial mortgages – – 809 809 – – 764 764 Long income real estate – – 787 787 – – 779 779 Infrastructure loans – – 1,246 1,246 – – 1,113 1,113 Other loans – 61 134 195 – 41 123 164 Lifetime mortgages – – 5,637 5,637 – – 5,681 5,681 Derivative financial assets – 2,750 6 2,756 – 2,377 – 2,377 Financial investments 8,891 7,885 13,663 30,439 6,782 8,320 11,772 26,874
Investment property
–
–
27
27
–
–
32
32
Fair value of financial assets held at amortised cost Gilts – subject to repurchase agreements (fair value) Total financial assets and investment property
3,604
–
–
3,604 2,614
–
–
2,614
12,495 7,885 13,690 34,070 9,396 8,320 11,804 29,520
Liabilities held at fair value Investment contract liabilities Derivative financial liabilities
– –
37
5
42
– –
–
35
35
2,997
18 3,015
2,473
14 2,487
Fair value of financial liabilities at amortised cost Obligations for repayment of cash collateral received (fair value) Loans and borrowings at amortised cost (fair value)
662
–
– – –
662 862
511
21
– – –
532 694
– –
862
– –
694
Repurchase obligation (fair value)
3,878
3,878
2,569
2,569
Total financial liabilities
662 7,774
23 8,459
511 5,757
49 6,317
There are no non-recurring fair value measurements in either period.
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