JUST GROUP PLC Annual Report and Accounts 2021
NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS continued
17 FINANCIAL ASSETS AND LIABILITIES MEASURED AT FAIR VALUE continued (c) Transfers between levels
The Group’s policy is to assess pricing source changes and determine transfers between levels as of the end of each half-yearly reporting period. During the year the Group enhanced its methodology over the levelling of financial instruments, resulting in transfers of £2,820.8m from Level 2 to Level 1 (2020: nil), and £13.3m from Level 1 to Level 2 (2020: nil). Transfers from Level 2 to Level 3 in 2021 of £49.9m (2020: £62.2m) include debt securities which no longer had observable prices. (d) Level 3 assets and liabilities measured at fair value Reconciliation of the opening and closing recorded amount of Level 3 assets and liabilities held at fair value.
Debt securities and other fixed income securities £m
Loans secured by ground rents £m
Loans secured by residential mortgages £m
Loans secured by commercial mortgages £m
Deposits received from reinsurers £m
Derivative financial assets £m
Infra- structure loans £m
Investment contract liabilities £m
Derivative financial liabilities £m
Investment funds £m
Other loans £m
Year ended 31 December 2021
139.0 1,256.8 3.6 8,261.1 592.1 114.9 945.0 66.1 (42.8)
(3.3) (2,415.0)
At 1 January 2021
84.9 281.4
– 528.2 169.0 72.4
79.1 46.1
(1.1)
– (1.2)
Purchases/advances/deposits
– 49.9 – (87.9)
–
–
–
– – –
–
– – –
–
–
–
Transfers from Level 2
– (508.9) – (508.8)
(49.4)
(17.7)
11.1
– 202.9
Sales/redemptions/payments Disposal of a portfolio of LTMs1
–
–
–
–
–
–
–
Realised gains and losses recognised in profit or loss within net investment income Unrealised gains and losses recognised in profit or loss within net investment income
–
–
– 169.1
–
–
–
–
–
–
–
9.4 (37.6) – (13.1)
4.9 (722.8)
(34.6) 2.4 0.7 –
(13.4) (22.5)
– –
(5.3) 147.3
– 204.9
0.1 –
– (78.7)
Interest accrued
Change in fair value of liabilities recognised in profit or loss
–
–
–
–
–
–
–
–
(0.8)
–
–
At 31 December 2021
233.3 1,449.5 8.5 7,422.8 677.8 189.7 993.1 89.7 (33.6)
(8.6) (2,144.7)
1 In August 2021 the Group disposed of a portfolio of loans secured by residential mortgages with a fair value of £508.8m. The transaction is part of the Group’s strategy to reduce exposure and sensitivity of the balance sheet to the UK property market following changes in the regulatory environment in 2018.
Debt securities and other fixed income securities £m
Loans secured by residential mortgages £m
Loans secured by commercial mortgages £m
Loans secured by ground rents £m
Deposits received from reinsurers £m
Derivative financial assets £m
Infra- structure loans £m
Investment contract liabilities £m
Derivative financial liabilities £m
Investment funds £m
Other loans £m
Year ended 31 December 2020
At 1 January 2020
111.8 729.2 27.1 418.9
4.0 7,980.5 494.5
–
787.3 48.6 104.3 68.7
(54.0)
– (2,417.7) 5.0 (1.4)
Purchases/advances/deposits
– 511.7
97.9 113.2
(1.0)
Transfers from Level 2
– 62.2 – (29.4)
–
–
–
– – –
–
–
–
–
–
Sales/redemptions/payments Disposal of a portfolio of LTMs1
– (380.9) – (600.8)
(8.7)
(15.9) (52.3)
14.0
– 212.2
–
–
–
–
–
–
–
–
Realised gains and losses recognised in profit or loss within net investment income Unrealised gains and losses recognised in profit or loss within net investment income
(0.2)
(0.2)
– 111.6
–
–
–
–
–
–
–
0.3 80.6 (0.4)
356.3
7.6 1.7
68.0 1.1
– –
(8.3) (125.3)
Interest accrued
–
(4.5)
– 282.7
0.8
–
1.3
–
– (82.8)
Change in fair value of liabilities recognised in profit or loss
–
–
–
–
–
–
–
–
(1.8)
–
–
At 31 December 2020
139.0 1,256.8
3.6 8,261.1 592.1 114.9
945.0 66.1
(42.8)
(3.3) (2,415.0)
1 In December 2020 the Group disposed of a portfolio of loans secured by residential mortgages with a fair value of £600.8m.
For Level 1 and Level 2 assets and liabilities measured at fair value, unrealised losses during the year were £32.1m and £131.4m respectively (2020: gains of £23.2m and £241.1m respectively).
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