Strategic Report | Governance | Financial Statements | 181
20. FAIR VALUE OF FINANCIAL ASSETS AND LIABILITIES continued (b) Analysis of assets and liabilities held at fair value according to fair value hierarchy 2023
2022 (restated)
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
1,135
6
– 1,141
1,170
4
–
1,174
–
97
398
495
Investment funds
–
83
338
421
4,941 5,799 2,914 13,654
Debt securities and other fixed income securities
3,844 5,904 1,605 11,353
706
–
–
706
Deposits with credit institutions
892
16
–
908
– – – – –
– 5,681 5,681
Loans secured by residential mortgages Loans secured by commercial mortgages
– – – – – –
– – – –
5,306 5,306
– –
764 779
764 779
584 247 948 112
584 247 948 134
Long income real estate
– 1,113 1,113
Infrastructure loans
41
123
164
Other loans
22
– 2,377
– 2,377
Derivative financial assets Financial investments
2,277
–
2,277
6,782 8,320 11,772 26,874
5,906 8,306 9,140 23,352
–
–
32
32
Investment property
–
–
40
40
Fair value of financial assets held at amortised cost Gilts – subject to repurchase agreements (fair value) Total financial assets and investment property
2,614
–
– 2,614
–
–
–
–
9,396 8,320 11,804 29,520
5,906 8,306 9,180 23,392
Liabilities held at fair value Investment contract liabilities Derivative financial liabilities
–
–
35
35
– –
–
33
33
– 2,473
14 2,487
3,004
42 3,046
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)
511
21
– –
532 694
593
30
– – –
623 704
–
694
– –
704
– 2,569
– 2,569 49 6,317
Repurchase obligation (fair value)
–
–
Total financial liabilities
511 5,757
593 3,738
75 4,406
Other than freehold land and buildings disposed of in 2022, there are no non-recurring fair value measurements in either period. (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. Transfers between levels arise from changes in the pricing sources. During the year there were the following transfers between levels: • Transfers from Level 2 to Level 1 as a result of improved pricing sources £1,492m (2022: £1,422m) • Transfer from Level 1 to Level 2 due to a fall in pricing quality £279m (2022: £368m) • Transfers from Level 3 to Level 2 as a result of improved pricing sources £15m (2022: £123m) • Transfer from Level 2 to Level 3 due to a fall in pricing quality £157m (2022: nil)
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