Strategic Report Governance
Financial Statements
195
25. PAYABLES AND OTHER FINANCIAL LIABILITIES
31 December 2024 £m
31 December 2023 £m
Derivative financial liabilities
3,015 3,878
2,487 2,569
Repurchase obligation
Obligations for repayment of cash collateral received
662 307
532
Outstanding investment purchases
–
20
11
Other payables 1 Lease liability 1
7
9
Total
7,889
5,608
1 Other payables and lease liability have been aggregated with other financial liabilities in all periods presented. Derivative financial liabilities are classified as mandatorily FVTPL and are analysed in note 26 below.
As described in note 15, the Group has entered into a number of repurchase agreements whereby a fixed amount is repayable at a certain date. At the inception of these agreements they had durations of between 7 and 24 months. The repurchase agreements are measured at amortised cost in the financial statements. The fair value of these agreements is £3,878m (2023: £2,569m). Additional repurchase agreements have been entered into during the period to fund increases in the amortised cost portfolio of gilts. The Group has received cash collateral of £662m (2023: £532m). Obligations to pay cash collateral is measured at amortised cost and there is no material difference between the fair value and amortised cost of the instruments. As at 31 December 2024, the Group had pledged collateral in respect of repurchase agreements and derivatives. Collateral pledged of £5,416m (2023: £4,016m) includes £3,604m of the Group’s amortised cost gilt portfolio (2023: £2,614m), £1,004m of corporate bonds (2023: £696m) and £808m deposits (2023: £706m), which continue to be recognised in financial investments in the statement of financial position as the Group retains the significant risks and rewards of ownership. 26. DERIVATIVE FINANCIAL INSTRUMENTS The Group uses various derivative financial instruments to manage its exposure to interest rates, counterparty credit risk, inflation and foreign exchange risk.
31 December 2024
31 December 2023
Asset fair value £m
Liability fair value £m
Notional amount £m 22,631 46,157
Asset Fair value £m
Liability fair value £m
Notional amount £m 16,607 26,995
Derivatives
Foreign currency swaps
475
1,070 1,811
515
857
Interest rate swaps Inflation swaps Forward swaps Total return swaps
1,762
1,435
1,512
382
106
8,527
409
102
5,681
8
10
692
4 – – –
1 –
630
123
–
1,393
–
Put options on property index (NNEG hedges)
– – 6
14
380 115 401
14
380 100 210
Interest rate options
– 4
1 –
Investment asset derivatives
14
Total
2,756
3,015
80,296
2,377
2,487
50,603
The Group’s derivative financial instruments are not designated as hedging instruments and changes in their fair value are included in profit or loss. All over-the-counter derivative transactions are conducted under standardised International Swaps and Derivatives Association Inc. master agreements, and the Group has collateral agreements between the individual Group entities and relevant counterparties in place under each of these market master agreements. 27. COMMITMENTS At 31 December 2024, the Group had £401m unfunded commitments (2023: £210m) primarily related to investments and commitments associated with property leases and associated capital commitments. The Group has pledged a letter of credit in relation to its Protected Cell Company as explained in note 31.
Powered by FlippingBook