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Financial instruments - valuation (Tables) | 6 Months Ended
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Jun. 30, 2024
Financial instruments - classification |
Schedule of financial assets and liabilities at fair value by valuation hierarchy | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | 30 June 2024 | ​ | 31 December 2023
​ |  | Level 1 |  | Level 2 |  | Level 3 | ​ | Total |  | Level 1 |  | Level 2 |  | Level 3 | ​ | Total
​ | ​ | £m | ​ | £m | ​ | £m | ​ | £m | ​ | £m | ​ | £m | ​ | £m | ​ | £m
Assets |  |  |  |  |  | ​ | ​ |  |  |  |  |  |  | ​ | ​ |
Trading assets |  | ​ |  | ​ |  | ​ | ​ | ​ |  |  |  |  |  | ​ | ​ |
Loans |  | — |  | 26,008 |  | 230 | ​ | 26,238 |  | — |  | 33,388 |  | 209 | ​ | 33,597
Securities |  | 15,097 |  | 4,639 |  | — | ​ | 19,736 |  | 8,447 |  | 3,493 |  | 14 | ​ | 11,954
Derivatives |  | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Interest rate | ​ | — | ​ | 40,364 | ​ | 561 | ​ | 40,925 | ​ | 1 | ​ | 43,912 | ​ | 650 | ​ | 44,563
Foreign exchange | ​ | — | ​ | 26,314 | ​ | 132 | ​ | 26,446 | ​ | — | ​ | 34,096 | ​ | 65 | ​ | 34,161
Other | ​ | — | ​ | 74 | ​ | 69 | ​ | 143 | ​ | — | ​ | 72 | ​ | 108 | ​ | 180
Other financial assets |  | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Loans |  | — |  | 352 |  | 416 | ​ | 768 |  | — |  | 108 |  | 657 | ​ | 765
Securities |  | 17,969 |  | 9,690 |  | 248 | ​ | 27,907 |  | 17,848 |  | 10,536 |  | 258 | ​ | 28,642
Total financial assets held at fair value |  | 33,066 |  | 107,441 |  | 1,656 | ​ | 142,163 |  | 26,296 |  | 125,605 |  | 1,961 | ​ | 153,862
As a % of total fair value assets | ​ | 23 | % | 76 | % | 1 | % | — | ​ | 17 | % | 82 | % | 1 | % | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Liabilities |  | ​ | ​ | ​ | ​ | ​ | ​ | ​ |  |  |  |  |  | ​ | ​ |
Trading liabilities |  | ​ | ​ | ​ | ​ | ​ | ​ | ​ |  |  |  |  |  | ​ | ​ |
Deposits |  | — |  | 44,151 |  | — | ​ | 44,151 |  | — |  | 43,126 |  | 1 | ​ | 43,127
Debt securities in issue |  | — |  | 307 |  | — | ​ | 307 |  | — |  | 706 |  | — | ​ | 706
Short positions |  | 7,843 |  | 1,864 |  | 2 | ​ | 9,709 |  | 7,936 |  | 1,865 |  | 2 | ​ | 9,803
Derivatives |  | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Interest rate | ​ | — | ​ | 34,698 | ​ | 440 | ​ | 35,138 | ​ | — | ​ | 38,044 | ​ | 439 | ​ | 38,483
Foreign exchange | ​ | — | ​ | 25,374 | ​ | 67 | ​ | 25,441 | ​ | — | ​ | 33,528 | ​ | 58 | ​ | 33,586
Other | ​ | — | ​ | 119 | ​ | 151 | ​ | 270 | ​ | — | ​ | 138 | ​ | 188 | ​ | 326
Other financial liabilities |  | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Debt securities in issue |  | — |  | 1,636 |  | 3 | ​ | 1,639 |  | — |  | 1,605 |  | 3 | ​ | 1,608
Other deposits |  | — |  | 1,626 |  | 23 | ​ | 1,649 |  | — |  | 1,280 |  | — | ​ | 1,280
Subordinated liabilities |  | — |  | 229 |  | — | ​ | 229 |  | — |  | 237 |  | — | ​ | 237
Total financial liabilities held at fair value | ​ | 7,843 | ​ | 110,004 | ​ | 686 | ​ | 118,533 | ​ | 7,936 | ​ | 120,529 | ​ | 691 | ​ | 129,156
As a % of total fair value liabilities |  | 7 | % | 92 | % | 1 | % | — |  | 6 | % | 93 | % | 1 | % | ​
​
(1) | Level 1 - Instruments valued using unadjusted quoted prices in active and liquid markets, for identical financial instruments. Examples include government bonds, listed equity shares and certain exchange-traded derivatives.
Level 2 - Instruments valued using valuation techniques that have observable inputs. Observable inputs are those that are readily available with limited adjustments required. Examples include most government agency securities, investment-grade corporate bonds, certain mortgage products - including CLOs, most bank loans, repos and reverse repos, state and municipal obligations, most notes issued, certain money market securities, loan commitments and most OTC derivatives. Level 3 - Instruments valued using a valuation technique where at least one input which could have a significant effect on the instrument’s valuation, is not based on observable market data. Examples include non-derivative instruments which trade infrequently, certain syndicated and commercial mortgage loans, private equity, and derivatives with unobservable model inputs.
(2) | Transfers between levels are deemed to have occurred at the beginning of the quarter in which the instrument was transferred.
(3) | For an analysis of debt securities held at mandatorily fair value through profit or loss by issuer as well as ratings and derivatives, by type and contract, refer to Risk and capital management – Credit risk.
Schedule of financial instruments valuation adjustments | ​
​ | ​ | ​ | ​ | ​
​ | ​ | 30 June | ​ | 31 December
​ | ​ | 2024 | ​ | 2023
​ |  | £m |  | £m
Funding - FVA |  | 125 |  | 132
Credit - CVA |  | 220 |  | 236
Bid - Offer |  | 75 |  | 86
Product and deal specific |  | 149 |  | 103
Total |  | 569 |  | 557
​
- | Valuation reserves comprising credit valuation adjustments (CVA), funding valuation adjustment (FVA), bid-offer and product and deal specific reserves, increased to £569 million at 30 June 2024 (31 December 2023 – £557 million).
- | The movements in FVA and CVA were driven by a reduction in exposure as interest rates increased. The decrease in bid-offer was driven by overall risk reduction over the period. Product and deal specific increased following valuation adjustments on specific trades.
Schedule of financial instruments carried at fair value on the balance sheet by valuation sensitivities for level 3 balances | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | 30 June 2024 | ​ | 31 December 2023
​ | ​ | Level 3 | ​ | Favourable | ​ | Unfavourable | ​ | Level 3 | ​ | Favourable | ​ | Unfavourable
​ |  | £m |  | £m |  | £m |  | £m |  | £m |  | £m
Assets | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Trading assets | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Loans |  | 230 |  | — |  | — |  | 209 |  | — |  | —
Securities |  | — |  | — |  | — |  | 14 |  | — |  | —
Derivatives |  | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Interest rate |  | 561 |  | 20 |  | (20) |  | 650 |  | 20 |  | (20)
Foreign exchange |  | 132 |  | 10 |  | (10) |  | 65 |  | — |  | —
Other |  | 69 |  | — |  | — |  | 108 |  | 10 |  | (10)
Other financial assets |  | ​ |  | ​ |  | ​ |  | ​ |  | ​ |  | ​
Loans |  | 416 |  | — |  | (10) |  | 657 |  | — |  | (40)
Securities |  | 248 |  | 20 |  | (40) |  | 258 |  | 20 |  | (50)
Total financial assets held at fair value |  | 1,656 |  | 50 |  | (80) |  | 1,961 |  | 50 |  | (120)
​ |  | ​ |  |  |  | ​ |  |  |  |  |  |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |
Trading liabilities |  |  |  |  |  |  |  |  |  |  |  |
Deposits |  | — |  | — |  | — |  | 1 |  | — |  | —
Short positions |  | 2 |  | — |  | — |  | 2 |  | — |  | —
Derivatives |  | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Interest rate |  | 440 |  | 10 |  | (10) |  | 439 |  | 10 |  | (10)
Foreign exchange |  | 67 |  | — |  | — |  | 58 |  | — |  | —
Other |  | 151 |  | 10 |  | (10) |  | 188 |  | 10 |  | (10)
Other financial liabilities | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Debt securities in issue |  | 3 |  | — |  | — |  | 3 |  | — |  | —
Other deposits |  | 23 |  | — |  | (20) |  | — |  | — |  | —
Total financial liabilities held at fair value |  | 686 |  | 20 |  | (40) | ​ | 691 |  | 20 |  | (20)
Schedule of movement in level 3 assets and liabilities | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | ​ | ​ | Other | ​ | Other | ​ | ​ | ​ | ​ | ​ | Other | ​ | Other | ​ | ​
​ | ​ | Derivatives | ​ | trading | ​ | financial | ​ | Total | ​ | Derivatives | ​ | trading | ​ | financial | ​ | Total
​ | ​ | assets | ​ | assets (2) | ​ | assets (3) | ​ | assets | ​ | liabilities | ​ | liabilities (2) | ​ | liabilities | ​ | liabilities
​ |  | £m |  | £m |  | £m |  | £m |  | £m |  | £m |  | £m |  | £m
At 1 January 2024 |  | 823 |  | 223 |  | 915 |  | 1,961 |  | 685 |  | 3 |  | 3 |  | 691
Amounts recorded in the income statement (1) |  | (70) |  | 2 |  | 5 |  | (63) |  | (28) |  | — |  | — |  | (28)
Amount recorded in the statement of comprehensive income |  | — |  | — |  | (13) |  | (13) |  | — |  | — |  | — |  | —
Level 3 transfers in |  | 7 |  | — |  | — |  | 7 |  | 1 |  | — |  | 23 |  | 24
Level 3 transfers out |  | (2) |  | (14) |  | (258) |  | (274) |  | (2) |  | (1) |  | — |  | (3)
Purchases/originations | ​ | 82 | ​ | 25 | ​ | 23 | ​ | 130 | ​ | 67 | ​ | 1 | ​ | — | ​ | 68
Settlements/other decreases |  | (38) |  | (7) |  | — |  | (45) |  | (29) |  | — |  | — |  | (29)
Sales |  | (40) |  | — |  | (2) |  | (42) |  | (34) |  | (1) |  | — |  | (35)
Foreign exchange and other adjustments |  | — |  | 1 |  | (6) |  | (5) |  | (2) |  | — |  | — |  | (2)
At 30 June 2024 |  | 762 |  | 230 |  | 664 |  | 1,656 |  | 658 |  | 2 |  | 26 |  | 686
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Amounts recorded in the income statement in respect of balances held at period end - unrealised |  | 116 |  | — |  | 4 |  | 120 |  | 123 |  | — |  | — |  | 123
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
At 1 January 2023 |  | 1,007 |  | 396 |  | 930 |  | 2,333 |  | 975 |  | 1 |  | — |  | 976
Amounts recorded in the income statement (1) |  | (52) |  | (28) |  | — |  | (80) |  | (84) |  | — |  | — |  | (84)
Amount recorded in the statement of comprehensive income |  | — |  | — |  | 12 |  | 12 |  | — |  | — |  | — |  | —
Level 3 transfers in |  | 4 |  | — |  | (72) |  | (68) |  | 6 |  | 1 |  | — |  | 7
Level 3 transfers out |  | (2) |  | (32) |  | — |  | (34) |  | (5) |  | — |  | — |  | (5)
Purchases/originations | ​ | 86 | ​ | 6 | ​ | 68 | ​ | 160 | ​ | 89 | ​ | — | ​ | — | ​ | 89
Settlements/other decreases |  | (20) |  | (4) |  | — |  | (24) |  | (27) |  | — |  | — |  | (27)
Sales |  | (92) |  | (58) |  | (25) |  | (175) |  | (54) |  | — |  | — |  | (54)
Foreign exchange and other adjustments |  | (1) |  | (3) |  | (15) |  | (19) |  | (5) |  | — |  | — |  | (5)
At 30 June 2023 |  | 930 |  | 277 |  | 898 |  | 2,105 |  | 895 |  | 2 |  | — |  | 897
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Amounts recorded in the income statement in respect of balances held at period end - unrealised |  | (52) |  | (28) |  | (1) |  | (81) |  | (84) |  | — |  | — |  | (84)
​
(1) | There were £40 million net losses on trading assets and liabilities (30 June 2023 – £4 million net losses) recorded in income from trading activities. Net gains on other instruments of £5 million (30 June 2023 – nil) were recorded in other operating income and interest income as appropriate.
(2) | Other trading assets and other trading liabilities comprise assets and liabilities held at fair value in trading portfolios.
(3) | Other financial assets comprise fair value through other comprehensive income, designated as at fair value through profit or loss and other fair value through profit or loss.
Schedule of carrying value and fair value of financial instruments carried at amortised cost on the balance sheet | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ |  | ​ |  | ​ |  | ​ |  | ​ |  | ​ | ​ | Items where fair value
​ | ​ | Carrying | ​ | ​ | ​ | Fair value hierarchy level | ​ | approximates
​ | ​ | value | ​ | Fair value | ​ | Level 1 | ​ | Level 2 | ​ | Level 3 | ​ | carrying value
30 June 2024 | ​ | £bn | ​ | £bn | ​ | £bn | ​ | £bn | ​ | £bn | ​ | £bn
Financial assets |  | ​ |  | ​ |  | ​ |  | ​ |  | ​ | ​ | ​
Cash and balances at central banks |  | 115.8 | ​ | 115.8 | ​ | — | ​ | — | ​ | — | ​ | 115.8
Settlement balances | ​ | 6.3 | ​ | 6.3 | ​ | — | ​ | — | ​ | — | ​ | 6.3
Loans to banks |  | 6.0 | ​ | 6.0 | ​ | — | ​ | 1.3 | ​ | 0.8 | ​ | 3.9
Loans to customers | ​ | 379.3 | ​ | 372.4 | ​ | — | ​ | 25.2 | ​ | 347.2 | ​ | —
Other financial assets - securities |  | 23.9 | ​ | 23.9 | ​ | 4.9 | ​ | 10.7 | ​ | 8.3 | ​ | —
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
31 December 2023 | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Financial assets |  | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Cash and balances at central banks |  | 104.3 | ​ | 104.3 | ​ | — | ​ | — | ​ | — | ​ | 104.3
Settlement balances |  | 7.2 | ​ | 7.2 | ​ | — | ​ | — | ​ | — | ​ | 7.2
Loans to banks | ​ | 6.9 | ​ | 7.0 | ​ | — | ​ | 2.2 | ​ | 0.6 | ​ | 4.2
Loans to customers |  | 381.4 | ​ | 373.2 | ​ | — | ​ | 27.5 | ​ | 345.7 | ​ | —
Other financial assets - securities | ​ | 21.7 | ​ | 21.6 | ​ | 4.0 | ​ | 6.6 | ​ | 11.0 | ​ | —
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
30 June 2024 |  | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Financial liabilities |  | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Bank deposits |  | 25.6 |  | 25.6 |  | — |  | 17.5 |  | 3.7 | ​ | 4.4
Customer deposits |  | 433.0 |  | 432.6 |  | — |  | 29.9 |  | 49.8 | ​ | 352.9
Settlement balances |  | 7.1 |  | 7.1 |  | — |  | — |  | — | ​ | 7.1
Other financial liabilities | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
- debt securities in issue | ​ | 55.0 | ​ | 55.0 | ​ | — | ​ | 45.0 | ​ | 10.0 | ​ | —
Subordinated liabilities |  | 5.8 |  | 5.8 |  | — |  | 5.8 | ​ | — | ​ | —
Notes in circulation | ​ | 3.3 | ​ | 3.3 | ​ | — | ​ | — | ​ | — | ​ | 3.3
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
31 December 2023 | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Financial liabilities |  | ​ |  | ​ |  | ​ |  | ​ |  | ​ | ​ | ​
Bank deposits | ​ | 22.2 |  | 22.3 |  | — |  | 15.4 |  | 2.7 | ​ | 4.2
Customer deposits |  | 431.4 |  | 431.0 |  | — |  | 30.7 |  | 48.8 | ​ | 351.5
Settlement balances |  | 6.6 |  | 6.6 |  | — |  | — |  | — | ​ | 6.6
Other financial liabilities |  | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
- debt securities in issue | ​ | 52.2 |  | 52.2 | ​ | — | ​ | 41.7 | ​ | 10.5 | ​ | —
Subordinated liabilities | ​ | 5.5 | ​ | 5.4 | ​ | — | ​ | 5.4 | ​ | — | ​ | —
Notes in circulation |  | 3.2 | ​ | 3.2 | ​ | — | ​ | — | ​ | — | ​ | 3.2

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