Strategic Report | Governance | Financial Statements | 211
34. FINANCIAL AND INSURANCE RISK MANAGEMENT continued
AAA £m
AA £m
A £m
BBB £m
BB or below £m
Unrated £m
Total £m
2022 (restated)
Units in liquidity funds
1,170
– –
– –
– –
4 –
–
1,174
Investment funds
–
421
421
Debt securities and other fixed income securities¹
698
1,889
3,260
5,105
401
– –
11,353
Deposits with credit institutions
– – –
100
773
20
15
908
Loans secured by residential mortgages Loans secured by commercial mortgages
– – 7
– –
– –
– – –
5,306
5,306
584
584 247 948 134
Long income real estate Infrastructure loans¹
139
37
64
– –
71
97
142
625
13 22
Other loans
– – – –
– –
–
–
112
Derivative financial assets
1,670
607
– – –
–
2,277
Reinsurance 2
276
195
– –
198
669
Other receivables
–
–
33
33
Total
2,078
2,369
6,077
6,421
455
6,654 24,054
1 Restated to correct the treatment of future funding commitments as explained in note 1.2.2. 2 This is the reinsurance asset position excluding CSM (2022 restated since initially disclosed).
There are no financial assets that are either past due or impaired. The new amortised cost portfolio of UK Sovereign gilts entered into during the year are investment grade and deemed low credit risk. Lifetime expected credit losses are therefore considered immaterial. The credit rating for Cash available on demand at 31 December 2023 was between a range of AA- and A (31 December 2022: between a range of AA and BB). The carrying amount of those assets subject to credit risk represents the maximum credit risk exposure. (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 2023 (2022: none). 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 £m
As reported £m
Cash collateral 2 £m
Net amount £m
2023
2,362
(1,917)
(376)
(67)
2
Derivative assets Derivative liabilities Repurchase obligation
(2,471) (2,569)
1,917
338
211
(5)
–
–
2,569
–
Related financial Instruments 1 £m
Securities collateral pledged £m
As reported £m
Cash collateral 2 £m
Net amount £m
2022 (restated)
Derivative assets Derivative liabilities
2,277
(1,766)
(491)
(5)
15
(3,023)
1,766
783
444
(30)
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 C ash 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 Statement of financial position.
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