STRATEGIC REPORT
GOVERNANCE
financial statements
26 LEASE LIABILITIES continued Lease liabilities are payable as follows:
2022 £m
2021 £m
At 31 December Less than one year
1.1 6.8 0.8 8.7
3.0 1.0
Between one and five years
More than five years
–
4.0
(0.1)
Interest
(0.1)
8.6
Total lease liability
3.9
27 OTHER FINANCIAL LIABILITIES The Group has the following other financial liabilities which are measured at fair value through profit or loss:
2022 £m
2021 £m
Note
3,023.2
Derivative financial liabilities
(a) (a) (b)
394.7 326.2
623.1
Obligations for repayment of cash collateral received
1,603.9 5,250.2
Deposits received from reinsurers
2,144.7 2,865.6
Total other liabilities
(a) Derivative financial liabilities and obligations for repayment of cash collateral received Derivative financial liabilities and obligations for repayment of cash collateral received are classified at fair value through profit or loss. All financial liabilities at fair value through profit or loss are designated as such on initial recognition or, in the case of derivative financial liabilities, are classified as held for trading. (b) Deposits received from reinsurers Deposits received from reinsurers are unbundled from their reinsurance contract and recognised at fair value through profit or loss in accordance with IAS 39, Financial instruments: recognition and measurement. Deposits received from reinsurers are measured in accordance with the reinsurance contract, taking into account an appropriate discount rate for the timing of expected cash flows of the liabilities. The amount of deposits received from reinsurers and reinsurance funds withheld that is expected to be settled more than one year after the Consolidated statement of financial position date is £1,421.9m (2021: £1,952.7m). 28 DERIVATIVE FINANCIAL INSTRUMENTS The Group uses various derivative financial instruments to manage its exposure to interest rates, counterparty credit risk, inflation and foreign exchange risk (see note 33). 2022 2021
Notional amount £m
Liability fair value £m
Asset fair value £m
Notional amount £m 8,069.4 9,117.7
Liability fair value £m
Asset fair value £m
Derivatives
412.9 1,320.3 12,662.5 1,407.6 1,580.0 13,647.9
Foreign currency swaps
243.4 169.9 261.8
247.2 44.9
Interest rate swaps Inflation swaps Forward swaps Total return swaps
437.5
79.7 4,293.4
92.5 4,580.0
5.0
10.5 13.5 19.2
546.3
1.8 5.8 8.5
3.4 5.8 0.9
213.9
13.6
–
–
–
705.0
Put options on property index (NNEG hedges)
705.0
Total
2,276.6 3,023.2 31,855.1
691.2
394.7 22,686.0
The Group’s derivative financial instruments are not designated as hedging instruments and changes in their fair value are included in profit or loss. The significant increase in the interest rate swaps is due to changes in the hedging position. All over-the-counter derivative transactions are conducted under standardised International Swaps and Derivatives Association Inc. master agreements, and the Group has collateral agreements between the individual Group entities and relevant counterparties in place under each of these market master agreements. As at 31 December 2022, the Group had pledged collateral of £1,286.2m (2021: £61.3m), of which £393.8m were corporate bonds and European Investment Bank bonds (2021: £11m) and had received cash collateral of £623.1m (2021: £326.2m).
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