200 | Just Group PLC | Annual Report and Accounts 2024
NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS continued
28. FINANCIAL AND INSURANCE RISK MANAGEMENT continued (ii) Offsetting financial assets and liabilities
The Group has no financial assets and financial liabilities that have been offset in the Consolidated statement of financial position as at 31 December 2024 (2023: none). In accordance with IFRS 7, disclosure is included below regarding recognised financial instruments subject to enforceable master netting arrangements irrespective of whether they are set off in the Consolidated statement of financial position. In the tables below, the amounts of assets or liabilities presented in the Consolidated statement of financial position are offset first by financial instruments that have the right of offset under master netting arrangement or similar arrangements with any remaining amount reduced by cash and securities collateral.
Related financial instruments 1 £m
Securities collateral pledged 2 £m
As reported £m
Cash collateral 2 £m
Net amount £m
31 December 2024
Derivative assets Derivative liabilities Repurchase obligation
2,756
(2,317)
(421)
(18)
– – –
(3,015) (3,878)
2,317
243
455
–
–
3,878
Related financial instruments 1 £m
Securities collateral pledged 2 £m
As reported £m
Cash collateral 2 £m
Net amount £m
31 December 2023
Derivative assets Derivative liabilities Repurchase obligation
2,362
(1,917)
(376)
(67)
2
(2,471) (2,569)
1,917
338
211
(5)
–
–
2,569
–
1 R elated financial instruments represent outstanding amounts with the same counterparty which, under agreements such as the ISDA Master Agreement, could be offset and settled net following certain predetermined events. 2 Cash and securities held may exceed target levels due to the complexities of operational collateral management, timing and agreements in place with individual counterparties. This may result in over/under-collateralisation of derivative positions. The amount of collateral reported in the table above is restricted to the value of the associated derivatives recognised in the Consolidated statement of financial position. Securities collateral pledged against the repurchase obligation include the Group’s portfolio of amortised cost Gilts. (iii) Significant reinsurance collateral arrangements The quota share reinsurance treaties have deposit back or other collateral arrangements to remove the majority of the reinsurer credit risk, as described below. The majority of longevity swaps also have collateral arrangements, for the same purpose. The Group has received deposits from reinsurers that are recognised as part of the cash flows from the reinsurance contract and are included in the measurement of reinsurance balances within note 22. Whereas certain reinsurance arrangements give rise to deposits from reinsurers that are not included in the Consolidated statement of financial position of the Group as described below: • The Group has an agreement with reinsurers, including funded reinsurance partners, whereby financial assets arising from the payment of reinsurance premiums, less the repayment of claims, in relation to specific treaties, are legally and physically deposited back with the Group. Although the funds are controlled by the Group, no future benefits accrue to the Group as any returns on the deposits are paid to reinsurers. Consequently, the deposits are not recognised as assets of the Group and the investment income they produce does not accrue to the Group. • The Group has an agreement with one reinsurer whereby assets equal to the reinsurer’s full obligation under the treaty are deposited into a ring-fenced collateral account. The Group has first claim over these assets should the reinsurer default, but as the Group has no control over these funds and does not accrue any future benefit, this fund is not recognised as an asset of the Group. • The Group has agreements with reinsurers, including funded reinsurance treaties, whereby assets equal to the reinsurers’ full obligation under the treaties are deposited into ring-fenced collateral accounts of notes/shares issued through the dedicated Investment vehicles. The investments in these vehicles are restricted only for the purpose of these reinsurance agreements. Consequently, the collateralised assets are not recognised as assets of the Group and the investment income they produce does not accrue to the Group. The reinsurers also deposit cash into a bank account held legally by the Group to fund reinsurance claims but as this cash is ring-fenced for the reinsurers purpose, it is also not recognised as an asset by the Group. • The Group has an agreement with one funded reinsurance partner whereby assets equal to the reinsurer’s full obligation under the treaty are either deposited into a ring-fenced collateral account of corporate bonds, or held under a funds withheld structure of Lifetime Mortgages. The latter are legally and physically held by the Group. Although the funds are managed by the Group (as the Group controls the investment of the asset), no future benefits accrue to the Group as returns on the assets are paid to reinsurers. Consequently, the lifetime mortgages are not recognised as assets of the Group and the investment income they produce does not accrue to the Group. The reinsurer also deposits cash into a bank account held legally by the Group to fund future lifetime mortgages but as this cash is ring-fenced for issued lifetime mortgage quotes agreed by the reinsurer, it is also not recognised as an asset by the Group.
2024 £m
2023 Restated 1 £m
2,133²
992
Deposits held in trust
1 Deposits held in trust have been restated to include amounts incorrectly excluded in the previously reported figure of £787m 2 The increase in 2024 relates to the addition of £1bn related to the DB partner (funded-re) transaction entered into during year.
The collateral that is not recognised in the Consolidated statement of financial position does not represent a cash flow within the IFRS 17 contract boundaries. The Group is exposed to a minimal amount of reinsurance counterparty default risk in respect of reinsurance arrangements and calculates an allowance for counterparty default in the reinsurance future cash flows accordingly. At 31 December 2024, this liability totalled £16m (2023: £8m).
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