Just Annual Report and Accounts 2023

182 | Just Group PLC | Annual Report and Accounts 2023

NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS continued

20. FAIR VALUE OF FINANCIAL ASSETS AND LIABILITIES continued (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. The sensitivities disclosed in this note only consider the impact of the change in these assumptions on the fair value of the investment assets. Some of these sensitivities would also impact the yield on assets and hence the valuation discount rate used to determine the insurance contract liabilities. For some of these sensitivities, the impact on the value of insurance liabilities and hence profit before tax is included in note 26(h).

Debt securities and other fixed income securities £m

Loans secured by residential mortgages £m

Loans secured by commercial mortgages £m

Long income real estate £m

Infra- structure loans £m

Derivative financial assets £m

Investment contract liabilities £m

Derivative financial liabilities £m

Investment funds £m

Other loans £m

Year ended 31 December 2023

338

1,605 5,306

584 256

247 529

948 138

112

– – – – – – – – –

(33) (12)

(42)

At 1 January 2023

56

1,195

186

17

– –

Purchases/advances/deposits

– 4

142

–

–

–

–

– –

– 1

Transfers to Level 2

(116)

(342)

(110)

(4)

(50)

23

Sales/redemptions/payments Recognised in profit or loss in Investment return – Realised gains and losses – Unrealised gains and losses

– – –

–

122 164 245

–

– 7 –

–

–

– – –

– 5 –

93

32

72

(16)

(5)

2

5

10

Interest accrued

Change in fair value of liabilities recognised in profit or loss

–

–

–

–

–

–

–

9

–

At 31 December 2023

398

2,914 5,681

764

779 1,113

123

(35)

(14)

Debt securities and other fixed income securities £m

Loans secured by residential mortgages £m

Loans secured by commercial mortgages £m

Long income real estate £m

Infra- structure loans £m

Derivative financial assets £m

Investment contract liabilities £m

Derivative financial liabilities £m

Investment funds £m

Other loans £m

Year ended 31 December 2022 (restated)

At 1 January 2022

233 107

1,450 7,423

678

190 217

993 233

90

8 – – – –

(34) (14)

(9)

Purchases/advances/deposits

699

539

92

– –

– – – –

Transfers to Level 2

–

(123) (101)

–

–

–

–

–

Sales/redemptions/payments Disposal of a portfolio of LTMs 1 Recognised in profit or loss in Investment return – Realised gains and losses – Unrealised gains and losses

(18)

(543) (751)

(135)

(11)

(22)

(14)

12

–

–

–

–

–

–

–

–

–

(87)

(2)

–

–

–

–

– – –

–

16

(304)

(1,434)

(49)

(149)

(258)

36

(8)

(33)

Interest accrued

–

(16)

159

–

–

2

–

–

–

Change in fair value of liabilities recognised in profit or loss

–

–

–

–

–

–

–

– –

3

–

At 31 December 2022

338

1,605 5,306

584

247

948

112

(33)

(42)

1 In February 2022 the Group disposed of a portfolio of loans secured by residential mortgages with a fair value of £751m. The transaction was 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. (i) Investment funds Investment funds classified as Level 3 are structured entities that operate under contractual arrangements which allow a group of investors to invest in a pool of corporate loans without any one investor having overall control of the entity. Principal assumptions underlying the calculation of investment funds classified as Level 3 Discount rate Discount rates are the most significant assumption applied in calculating the fair value of investment funds. The average discount rate used is 10% (2022: 7.0%).

Powered by FlippingBook