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   "value": "Notes to the consolidated financial statements for the year ended 31 December Note 1: Basis of preparation The consolidated financial statements of Lloyds Banking Group plc and its subsidiary undertakings (the Group) have been prepared in accordance with international accounting standards in conformity with the requirements of the Companies Act 2006. The financial statements have also been prepared in accordance with International Financial Reporting Standards as issued by the International Accounting Standards Board (IASB). The financial information has been prepared under the historical cost convention, as modified by the revaluation of investment properties, financial assets measured at fair value through other comprehensive income, trading securities and certain other financial assets and liabilities at fair value through profit or loss and all derivative contracts. The directors consider that it is appropriate to continue to adopt the going concern basis in preparing the financial statements. In reaching this assessment, the directors have considered the impact of climate change upon the Group\u2019s performance and projected funding and capital position. The directors have also taken into account the results from stress testing scenarios. Details of those IFRS pronouncements which will be relevant to the Group but which were not effective at 31 December 2022 and which have not been applied in preparing these financial statements are given in note 55. In April 2022, the IFRS Interpretations Committee was asked to consider whether an entity includes a demand deposit as a component of cash and cash equivalents in the statement of cash flows when the demand deposit is subject to contractual restrictions on use agreed with a third party. It concluded that such amounts should be included within cash and cash equivalents. Accordingly, the Group includes mandatory reserve deposits with central banks that are held in demand accounts within cash and cash equivalents disclosed in the cash flow statement. This change has increased the Group\u2019s cash and cash equivalents at 1 January 2020 by \u00a31,696 million (to \u00a359,507 million) and decreased the adjustment for the change in operating assets in 2020 by \u00a3982 million (to a reduction of \u00a317,668 million) resulting in an increase in the Group\u2019s cash and cash equivalents at 31 December 2020 of \u00a32,678 million (to \u00a378,145 million); and decreased the adjustment for the change in operating assets in 2021 by \u00a3137 million (to a reduction of \u00a310,365 million) and, as a result, the Group\u2019s cash and cash equivalents at 31 December 2021 increased by \u00a32,815 million (to \u00a379,194 million). The change had no impact on profit after tax, total equity or the Group\u2019s earnings per share. In 2021, the Group adopted the Interest Rate Benchmark Reform Phase 2 amendments issued by the IASB. These amendments require that changes to expected future cash flows that both arise as a direct result of IBOR Reform and are economically equivalent to the previous cash flows are accounted for as a change to the effective interest rate with no adjustment to the asset\u2019s or liability\u2019s carrying value; no immediate gain or loss is recognised. The requirements also provide relief from the requirements to discontinue hedge accounting as a result of amending hedge documentation if the changes are required solely as a result of IBOR Reform. The following change has been made to the presentation of the Group\u2019s assets on the face of the balance sheet: \u2022 Reinsurance assets are shown separately from other assets There has been no change in the basis of accounting for any of the underlying transactions. Comparatives have been presented on a consistent basis. Note 2: Accounting policies The Group\u2019s accounting policies are set out below. These accounting policies have been applied consistently. (A) Consolidation The assets, liabilities and results of Group undertakings (including structured entities) are included in the financial statements on the basis of accounts made up to the reporting date. Group undertakings include subsidiaries, associates and joint ventures. Details of the Group\u2019s subsidiaries and related undertakings are given on pages 352 to 360. (1) Subsidiaries Subsidiaries are entities controlled by the Group. The Group controls an entity when it has power over the entity, is exposed to, or has rights to, variable returns from its involvement with the entity, and has the ability to affect those returns through the exercise of its power. This generally accompanies a shareholding of more than one half of the voting rights although in certain circumstances a holding of less than one half of the voting rights may still result in the ability of the Group to exercise control. The existence and effect of potential voting rights that are currently exercisable or convertible are considered when assessing whether the Group controls another entity. The Group reassesses whether or not it controls an entity if facts and circumstances indicate that there have been changes to any of the above elements. Subsidiaries are fully consolidated from the date on which control is transferred to the Group; they are de- consolidated from the date that control ceases. The Group consolidates collective investment vehicles if its beneficial ownership interests give it substantive rights to remove the external fund manager of the investment activities of the fund. Where a subsidiary of the Group is the fund manager of a collective investment vehicle, the Group considers a number of factors in determining whether it acts as principal, and therefore controls the collective investment vehicle, including: an assessment of the scope of the Group\u2019s decision-making authority over the investment vehicle; the rights held by other parties including substantive removal rights without cause over the Group acting as fund manager; the remuneration to which the Group is entitled in its capacity as decision-maker; and the Group\u2019s exposure to variable returns from the beneficial interest that it holds in the investment vehicle. Consolidation may be appropriate in circumstances where the Group has less than a majority beneficial interest. Where a collective investment vehicle is consolidated the interests of parties other than the Group are reported in other liabilities and the movement in those interests in interest expense. Structured entities are entities that are designed so that their activities are not governed by way of voting rights. In assessing whether the Group has power over such entities in which it has an interest, the Group considers factors such as the purpose and design of the entity; its practical ability to direct the relevant activities of the entity; the nature of the relationship with the entity; and the size of its exposure to the variability of returns of the entity. The treatment of transactions with non-controlling interests depends on whether, as a result of the transaction, the Group loses control of the subsidiary. Changes in the parent\u2019s ownership interest in a subsidiary that do not result in a loss of control are accounted for as equity transactions; any difference between the amount by which the non-controlling interests are adjusted and the fair value of the consideration paid or received is recognised directly in equity and attributed to the owners of the parent entity. Where the Group loses control of the subsidiary, at the date when control is lost the amount of any non-controlling interest in that former subsidiary is derecognised and any investment retained in the former subsidiary is remeasured to its fair value; the gain or loss that is recognised in profit or loss on the partial disposal of the subsidiary includes the gain or loss on the remeasurement of the retained interest. Note 2: Accounting policies continued Intercompany transactions, balances and unrealised gains and losses on transactions between Group companies are eliminated. The acquisition method of accounting is used to account for business combinations by the Group. The consideration for the acquisition of a subsidiary is the fair value of the assets transferred, the liabilities incurred and the equity interests issued by the Group. The consideration includes the fair value of any asset or liability resulting from a contingent consideration arrangement. Acquisition- related costs are expensed as incurred except those relating to the issuance of debt instruments (see (E)(4) below) or share capital (see (P) below). Identifiable assets acquired and liabilities assumed in a business combination are measured initially at their fair value at the acquisition date. (2)  Joint ventures and associates Joint ventures are joint arrangements over which the Group has joint control with other parties and has rights to the net assets of the arrangements. Joint control is the contractually agreed sharing of control of an arrangement and only exists when decisions about the relevant activities require the unanimous consent of the parties sharing control. Associates are entities over which the Group has significant influence. Significant influence is the power to participate in the financial and operating policy decisions of the entity, but is not control or joint control of those policies, and is generally achieved through holding between 20 per cent and 50 per cent of the voting share capital of the entity. The Group utilises the venture capital exemption for investments where significant influence or joint control is present and the business unit operates as a venture capital business. These investments are designated on initial recognition at fair value through profit or loss. Otherwise, the Group\u2019s investments in joint ventures and associates are accounted for using the equity method of accounting. (B) Goodwill Goodwill arises on business combinations and represents the excess of the cost of an acquisition over the fair value of the Group\u2019s share of the identifiable assets, liabilities and contingent liabilities acquired. Where the fair value of the Group\u2019s share of the identifiable assets, liabilities and contingent liabilities of the acquired entity is greater than the cost of acquisition, the excess is recognised immediately in the income statement. Goodwill is recognised as an asset at cost and is tested at least annually for impairment. For impairment testing, goodwill is allocated to the cash generating unit (CGU) or groups of CGUs that are expected to benefit from the business combination. The Group\u2019s CGUs are largely product based for its Retail and Insurance businesses and client based for its Commercial Banking business. An impairment loss is recognised if the carrying amount of a CGU is determined to be greater than its recoverable amount. The recoverable amount of a CGU is the higher of its fair value less costs to sell and its value in use. If an impairment is identified the carrying value of the goodwill is written down immediately through the income statement and this is not subsequently reversed. At the date of disposal of a subsidiary, the carrying value of attributable goodwill is included in the calculation of the profit or loss on disposal. (C)  Other intangible assets Intangible assets which have been determined to have a finite useful life are amortised on a straight-line basis over their estimated useful life as follows: up to 7 years for capitalised software; 10 to 15 years for brands and other intangible assets. Intangible assets with finite useful lives are reviewed at each reporting date to assess whether there is any indication that they are impaired. If any such indication exists the recoverable amount of the asset is determined and in the event that the asset\u2019s carrying amount is greater than its recoverable amount, it is written down immediately. Certain brands have been determined to have an indefinite useful life and are not amortised. Such intangible assets are assessed annually to determine whether the asset is impaired and to reconfirm that an indefinite useful life remains appropriate. In the event that an indefinite life is inappropriate, a finite life is determined and a further impairment review is performed on the asset. (D)  Revenue recognition (1)  Net interest income Interest income and expense are recognised in the income statement using the effective interest method for all interest-bearing financial instruments, except for those classified at fair value through profit or loss. The effective interest method is a method of calculating the amortised cost of a financial asset or liability and of allocating the interest income or interest expense over the expected life of the financial instrument. The effective interest rate is the rate that exactly discounts the estimated future cash payments or receipts over the expected life of the financial instrument to the gross carrying amount of the financial asset (before adjusting for expected credit losses) or to the amortised cost of the financial liability, including early redemption fees, other fees, and premiums and discounts that are an integral part of the overall return. In the case of financial assets that are purchased or originated credit-impaired, the effective interest rate is the rate that discounts the estimated future cash flows to the amortised cost of the instrument. Direct incremental transaction costs related to the acquisition, issue or disposal of a financial instrument are also taken into account. Interest income from non-credit impaired financial assets is recognised by applying the effective interest rate to the gross carrying amount of the asset; for credit impaired financial assets, the effective interest rate is applied to the net carrying amount after deducting the allowance for expected credit losses. Impairment policies are set out in (H) below. (2)  Fee and commission income and expense Fees and commissions receivable which are not an integral part of the effective interest rate are recognised as income as the Group fulfils its performance obligations. The Group\u2019s principal performance obligations arising from contracts with customers are in respect of value added current accounts, credit cards and debit cards. These fees are received, and the Group provides the service, monthly; the fees are recognised in income on this basis. The Group also receives certain fees in respect of its asset finance business where the performance obligations are typically fulfilled towards the end of the customer contract; these fees are recognised in income on this basis. Where it is unlikely that the loan commitments will be drawn, loan commitment fees are recognised in fee and commission income over the life of the facility, rather than as an adjustment to the effective interest rate for the lending expected to be drawn. Incremental costs incurred to generate fee and commission income are charged to fee and commission expense as they are incurred. (3) Other Dividend income is recognised when the right to receive payment is established. Revenue recognition policies specific to trading income are set out in (E)(3) below; those relating to life insurance and general insurance business are detailed below (see (M) below); and those relating to leases are set out in (J)(1) below. Notes to the consolidated financial statements continued for the year ended 31 December Note 2: Accounting policies continued (E)  Financial assets and liabilities On initial recognition, financial assets are classified as measured at amortised cost, fair value through other comprehensive income or fair value through profit or loss, depending on the Group\u2019s business model for managing those financial assets and whether the resultant cash flows represent solely payments of principal and interest. The Group assesses its business models at a portfolio level based on its objectives for the relevant portfolio, how the performance of the portfolio is managed and reported, and the frequency of asset sales. Financial assets with embedded derivatives are considered in their entirety when considering their cash flow characteristics. The Group reclassifies financial assets only when its business model for managing those assets changes. A reclassification will only take place when the change is significant to the Group\u2019s operations and will occur at a portfolio level and not for individual instruments; reclassifications are expected to be rare. Equity investments are measured at fair value through profit or loss unless the Group elects at initial recognition to account for the instruments at fair value through other comprehensive income. For these instruments, principally strategic investments, dividends are recognised in profit or loss but fair value gains and losses are not subsequently reclassified to profit or loss following derecognition of the investment. The Group initially recognises loans and advances, deposits, debt securities in issue and subordinated liabilities when the Group becomes a party to the contractual provisions of the instrument. Regular way purchases and sales of securities and other financial assets and trading liabilities are recognised on trade date, being the date that the Group is committed to purchase or sell an asset. Financial assets are derecognised when the contractual right to receive cash flows from those assets has expired or when the Group has transferred its contractual right to receive the cash flows from the assets and either: substantially all of the risks and rewards of ownership have been transferred; or the Group has neither retained nor transferred substantially all of the risks and rewards, but has transferred control. Financial liabilities are derecognised when the obligation is discharged, cancelled or expires. (1)  Financial instruments measured at amortised cost Financial assets that are held to collect contractual cash flows where those cash flows represent solely payments of principal and interest are measured at amortised cost. A basic lending arrangement results in contractual cash flows that are solely payments of principal and interest on the principal amount outstanding. Where the contractual cash flows introduce exposure to risks or volatility unrelated to a basic lending arrangement such as changes in equity prices or commodity prices, the payments do not comprise solely principal and interest. Financial assets measured at amortised cost are predominantly loans and advances to customers and banks, reverse repurchase agreements and certain debt securities used by the Group to manage its liquidity. Loans and advances and reverse repurchase agreements are initially recognised when cash is advanced to the borrower at fair value inclusive of transaction costs. Interest income is accounted for using the effective interest method (see (D) above). Financial liabilities are measured at amortised cost, except for trading liabilities and other financial liabilities designated at fair value through profit or loss on initial recognition which are held at fair value. Where changes are made to the contractual cash flows of a financial asset or financial liability that are economically equivalent and arise as a direct consequence of interest rate benchmark reform, the Group updates the effective interest rate and does not recognise an immediate gain or loss. (2)  Financial assets measured at fair value through other comprehensive income Financial assets that are held to collect contractual cash flows and for subsequent sale, where the assets\u2019 cash flows represent solely payments of principal and interest, are recognised in the balance sheet at their fair value, inclusive of transaction costs. Interest calculated using the effective interest method and foreign exchange gains and losses on assets denominated in foreign currencies are recognised in the income statement. All other gains and losses arising from changes in fair value are recognised directly in other comprehensive income, until the financial asset is either sold or matures, at which time the cumulative gain or loss previously recognised in other comprehensive income is recognised in the income statement; other than in respect of equity shares, for which the cumulative revaluation amount is transferred directly to retained profits. The Group recognises a charge for expected credit losses in the income statement (see (H) below). As the asset is measured at fair value, the charge does not adjust the carrying value of the asset, and this is reflected in other comprehensive income. (3)  Financial instruments measured at fair value through profit or loss Financial assets are classified at fair value through profit or loss where they do not meet the criteria to be measured at amortised cost or fair value through other comprehensive income or where they are designated at fair value through profit or loss to reduce an accounting mismatch. All derivatives are carried at fair value through profit or loss, other than those in effective cash flow and net investment hedging relationships. Derivatives are carried on the balance sheet as assets when their fair value is positive and as liabilities when their fair value is negative. Refer to note 49(3) (Financial instruments: Financial assets and liabilities carried at fair value) for details of valuation techniques and significant inputs to valuation models. Derivatives embedded in a financial asset are not considered separately; the financial asset is considered in its entirety when determining whether its cash flows are solely payments of principal and interest. Derivatives embedded in financial liabilities and insurance contracts (unless the embedded derivative is itself an insurance contract) are treated as separate derivatives when their economic characteristics and risks are not closely related to those of the host contract and the host contract is not carried at fair value through profit or loss. These embedded derivatives are measured at fair value with changes in fair value recognised in the income statement. In accordance with IFRS 4 Insurance Contracts, a policyholder\u2019s option to surrender an insurance contract for a fixed amount is not treated as an embedded derivative. The assets backing the insurance and investment contracts issued by the Group do not meet the criteria to be measured at amortised cost or fair value through other comprehensive income as they are managed on a fair value basis and accordingly are measured at fair value through profit or loss. Similarly, trading securities, which are debt securities and equity shares acquired principally for the purpose of selling in the short term or which are part of a portfolio which is managed for short-term gains, do not meet these criteria and are also measured at fair value through profit or loss. Financial assets measured at fair value through profit or loss are recognised in the balance sheet at their fair value. Fair value gains and losses together with interest coupons and dividend income are recognised in the income statement within net trading income. Note 2: Accounting policies continued Financial liabilities are measured at fair value through profit or loss where they are trading liabilities or where they are designated at fair value through profit or loss in order to reduce an accounting mismatch; where the liabilities are part of a group of liabilities (or assets and liabilities) which is managed, and its performance evaluated, on a fair value basis; or where the liabilities contain one or more embedded derivatives that significantly modify the cash flows arising under the contract and would otherwise need to be separately accounted for. Financial liabilities measured at fair value through profit or loss are recognised in the balance sheet at their fair value. Fair value gains and losses are recognised in the income statement within net trading income in the period in which they occur, except in the case of financial liabilities designated at fair value through profit or loss where gains and losses attributable to changes in own credit risk are recognised in other comprehensive income. The fair values of assets and liabilities traded in active markets are based on current bid and offer prices, respectively, which include the expected effects of potential changes to laws and regulations, risks associated with climate change and other factors. If the market is not active the Group establishes a fair value by using valuation techniques. The fair values of derivative financial instruments are adjusted where appropriate to reflect credit risk (via credit valuation adjustments (CVAs), debit valuation adjustments (DVAs) and funding valuation adjustments (FVAs)), market liquidity and other risks. (4) Borrowings Borrowings (which include deposits from banks, customer deposits, repurchase agreements, debt securities in issue and subordinated liabilities) are recognised initially at fair value, being their issue proceeds net of transaction costs incurred. These instruments are subsequently stated at amortised cost using the effective interest method. Preference shares and other instruments which carry a mandatory coupon or are redeemable on a specific date are classified as financial liabilities. The coupon on these instruments is recognised in the income statement as interest expense. Securities which carry a discretionary coupon and have no fixed maturity or redemption date are classified as other equity instruments. Interest payments on these securities are recognised as distributions from equity in the period in which they are paid. An exchange of financial liabilities on substantially different terms is accounted for as an extinguishment of the original financial liability and the recognition of a new financial liability. The difference between the carrying amount of a financial liability extinguished and the new financial liability is recognised in profit or loss together with any related costs or fees incurred. When a financial liability is exchanged for an equity instrument, the new equity instrument is recognised at fair value and any difference between the carrying value of the liability and the fair value of the new equity instrument is recognised in profit or loss. (5)  Sale and repurchase agreements (including securities lending and borrowing) Securities sold subject to repurchase agreements (repos) continue to be recognised on the balance sheet where substantially all of the risks and rewards are retained. Funds received for repos carried at fair value are included within trading liabilities. Conversely, securities purchased under agreements to resell (reverse repos), where the Group does not acquire substantially all of the risks and rewards of ownership, are measured at amortised cost or at fair value. Those measured at fair value are recognised within trading securities. The difference between sale and repurchase price is treated as interest and accrued over the life of the agreements using the effective interest method. Securities borrowing and lending transactions are typically secured; collateral takes the form of securities or cash advanced or received. Securities lent to counterparties are retained on the balance sheet. Securities borrowed are not recognised on the balance sheet, unless these are sold to third parties, in which case the obligation to return them is recorded at fair value as a trading liability. Cash collateral given or received is treated as a loan and advance measured at amortised cost or customer deposit. (F)  Hedge accounting As permitted by IFRS 9, the Group continues to apply the requirements of IAS 39 to its hedging relationships. Changes in the fair value of all derivative instruments, other than those in effective cash flow and net investment hedging relationships, are recognised immediately in the income statement. As noted in (2) and (3) below, the change in fair value of a derivative in an effective cash flow or net investment hedging relationship is allocated between the income statement and other comprehensive income. Hedge accounting allows one financial instrument, generally a derivative such as a swap, to be designated as a hedge of another financial instrument such as a loan or deposit or a portfolio of such instruments. At the inception of the hedge relationship, formal documentation is drawn up specifying the hedging strategy, the hedged item, the hedging instrument and the methodology that will be used to measure the effectiveness of the hedge relationship in offsetting changes in the fair value or cash flow of the hedged risk. The effectiveness of the hedging relationship is tested both at inception and throughout its life and if at any point it is concluded that it is no longer highly effective in achieving its documented objective, hedge accounting is discontinued. Note 17 provides details of the types of derivatives held by the Group and presents separately those designated in hedge relationships. Where there is uncertainty arising from interest rate benchmark reform, the Group assumes that the interest rate benchmark on which the hedged cash flows and/or the hedged risk are based, or the interest rate benchmark on which the cash flows of the hedging instrument are based, are not altered as a result of interest rate benchmark reform. The Group does not discontinue a hedging relationship during the period of uncertainty arising from the interest rate benchmark reform solely because the actual results of the hedge are not highly effective. Where the contractual terms of a financial asset, financial liability or derivative are amended, on an economically equivalent basis, as a direct consequence of interest rate benchmark reform, the uncertainty arising from the reform is no longer present. In these circumstances, the Group amends the hedge documentation to reflect the changes required by the reform; these changes to the documentation do not in and of themselves result in the discontinuation of hedge accounting or require the designation of a new hedge relationship. (1)  Fair value hedges Changes in the fair value of derivatives that are designated and qualify as fair value hedges are recorded in the income statement, together with the changes in the fair value of the hedged asset or liability that are attributable to the hedged risk; this also applies if the hedged asset is classified as a financial asset at fair value through other comprehensive income. If the hedge no longer meets the criteria for hedge accounting, changes in the fair value of the hedged item attributable to the hedged risk are no longer recognised in the income statement. The cumulative adjustment that has been made to the carrying amount of the hedged item is amortised to the income statement using the effective interest method over the period to maturity. Notes to the consolidated financial statements continued for the year ended 31 December Note 2: Accounting policies continued (2)  Cash flow hedges The effective portion of changes in the fair value of derivatives that are designated and qualify as cash flow hedges is recognised in other comprehensive income in the cash flow hedging reserve. The gain or loss relating to the ineffective portion is recognised immediately in the income statement. Amounts accumulated in equity are reclassified to the income statement in the periods in which the hedged item affects profit or loss. When a hedging instrument expires or is sold, or when a hedge no longer meets the criteria for hedge accounting, any cumulative gain or loss existing in equity at that time remains in equity and is recognised in the income statement when the forecast transaction is ultimately recognised in the income statement. When a forecast transaction is no longer expected to occur, the cumulative gain or loss that was reported in equity is immediately transferred to the income statement. (3)  Net investment hedges Hedges of net investments in foreign operations are accounted for similarly to cash flow hedges. Any gain or loss on the hedging instrument relating to the effective portion of the hedge is recognised in other comprehensive income, the gain or loss relating to the ineffective portion is recognised immediately in the income statement. Gains and losses accumulated in equity are included in the income statement when the foreign operation is disposed of. The hedging instruments used in net investment hedges may include non-derivative liabilities as well as derivative financial instruments. (G) Offset Financial assets and liabilities are offset and the net amount reported in the balance sheet when there is a legally enforceable right of offset and there is an intention to settle on a net basis, or realise the asset and settle the liability simultaneously. Cash collateral on exchange traded derivative transactions is presented gross unless the collateral cash flows are always settled net with the derivative cash flows. In certain situations, even though master netting agreements exist, the lack of management intention to settle on a net basis results in the financial assets and liabilities being reported gross on the balance sheet. (H)  Impairment of financial assets The impairment charge in the income statement reflects the change in expected credit losses, including those arising from fraud. Expected credit losses are recognised for loans and advances to customers and banks, other financial assets held at amortised cost, financial assets (other than equity investments) measured at fair value through other comprehensive income, and certain loan commitments and financial guarantee contracts. Expected credit losses are calculated as an unbiased and probability-weighted estimate using an appropriate probability of default, adjusted to take into account a range of possible future economic scenarios, and applying this to the estimated exposure of the Group at the point of default after taking into account the value of any collateral held, repayments, or other mitigants of loss and including the impact of discounting using the effective interest rate. At initial recognition, allowance (or provision in the case of some loan commitments and financial guarantees) is made for expected credit losses resulting from default events that are possible within the next 12 months (12-month expected credit losses). In the event of a significant increase in credit risk since origination, allowance (or provision) is made for expected credit losses resulting from all possible default events over the expected life of the financial instrument (lifetime expected credit losses). Financial assets where 12-month expected credit losses are recognised are considered to be Stage 1; financial assets which are considered to have experienced a significant increase in credit risk since initial recognition are in Stage 2; and financial assets which have defaulted or are otherwise considered to be credit-impaired are allocated to Stage 3. Some Stage 3 assets, mainly in Commercial Banking, are subject to individual rather than collective assessment. Such cases are subject to a risk-based impairment sanctioning process, and these are reviewed and updated at least quarterly, or more frequently if there is a significant change in the credit profile. The collective assessment of impairment aggregates financial instruments with similar risk characteristics, such as whether the facility is revolving in nature or secured and the type of security held against financial assets. An assessment of whether credit risk has increased significantly since initial recognition considers the change in the risk of default occurring over the remaining expected life of the financial instrument. In determining whether there has been a significant increase in credit risk, the Group uses quantitative tests based on relative and absolute probability of default (PD) movements linked to internal credit ratings together with qualitative indicators such as watchlists and other indicators of historical delinquency, credit weakness or financial difficulty. The use of internal credit ratings and qualitative indicators ensures alignment between the assessment of staging and the Group\u2019s management of credit risk which utilises these internal metrics within distinct retail and commercial portfolio risk management practices. However, unless identified at an earlier stage, the credit risk of financial assets is deemed to have increased significantly when more than 30 days past due. The use of a payment holiday in and of itself has not been judged to indicate a significant increase in credit risk, with the underlying long-term credit risk deemed to be driven by economic conditions and captured through the use of forward-looking models. These portfolio-level models are capturing the anticipated volume of increased defaults and therefore an appropriate assessment of staging and expected credit loss. Where the credit risk subsequently improves such that it no longer represents a significant increase in credit risk since initial recognition, the asset is transferred back to Stage 1. Assets are transferred to Stage 3 when they have defaulted or are otherwise considered to be credit-impaired. Default is considered to have occurred when there is evidence that the customer is experiencing financial difficulty which is likely to affect significantly the ability to repay the amount due. IFRS 9 contains a rebuttable presumption that default occurs no later than when a payment is 90 days past due which the Group now uses for all its products following changes to the definition of default for UK Mortgages on 1 January 2022. In addition, other indicators of mortgage default are added including end-of-term payments on past due interest-only accounts and loans considered non-performing due to recent arrears or forbearance. The use of payment holidays is not considered to be an automatic trigger of regulatory default and therefore does not automatically trigger Stage 3. Days past due will also not accumulate on any accounts that have taken a payment holiday including those already past due. In certain circumstances, the Group will renegotiate the original terms of a customer\u2019s loan, either as part of an ongoing customer relationship or in response to adverse changes in the circumstances of the borrower. In the latter circumstances, the loan will remain classified as either Stage 2 or Stage 3 until the credit risk has improved such that it no longer represents a significant increase since origination (for a return to Stage 1), or the loan is no longer credit-impaired (for a return to Stage 2). On renegotiation the gross carrying amount of the loan is recalculated as the present value of the renegotiated or modified contractual cash flows, which are discounted at the original effective interest rate. Renegotiation may also lead to the loan and associated allowance being derecognised and a new loan being recognised initially at fair value. Purchased or originated credit-impaired financial assets (POCI) include financial assets that are purchased or originated at a deep discount that reflects incurred credit losses. At initial recognition, POCI assets do not carry an impairment allowance; instead, lifetime expected credit losses are incorporated into the calculation of the effective interest rate. All changes in lifetime expected credit losses subsequent to the assets\u2019 initial recognition are recognised as an impairment charge. Note 2: Accounting policies continued A loan or advance is normally written off, either partially or in full, against the related allowance when the proceeds from realising any available security have been received or there is no realistic prospect of recovery and the amount of the loss has been determined. Subsequent recoveries of amounts previously written off decrease the amount of impairment losses recorded in the income statement. For both secured and unsecured retail balances, the write-off takes place only once an extensive set of collections processes has been completed, or the status of the account reaches a point where policy dictates that continuing attempts to recover are no longer appropriate. For commercial lending, a write-off occurs if the loan facility with the customer is restructured, the asset is under administration and the only monies that can be received are the amounts estimated by the administrator, the underlying assets are disposed and a decision is made that no further settlement monies will be received, or external evidence (for example, third-party valuations) is available that there has been an irreversible decline in expected cash flows. (I)  Property, plant and equipment Property, plant and equipment (other than investment property) is included at cost less accumulated depreciation. The value of land (included in premises) is not depreciated. Depreciation on other assets is calculated using the straight-line method to allocate the difference between the cost and the residual value over their estimated useful lives, as follows: the shorter of 50 years and the remaining period of the lease for freehold/long and short leasehold premises; the shorter of 10 years and, if lease renewal is not likely, the remaining period of the lease for leasehold improvements; 10 to 20 years for fixtures and furnishings; and 2 to 8 years for other equipment and motor vehicles. The assets\u2019 residual values and useful lives are reviewed and, if appropriate, revised at each balance sheet date. Assets are reviewed for impairment whenever events or changes in circumstances indicate that the carrying amount may not be recoverable. In assessing the recoverable amount of assets the Group considers the effects of potential or actual changes in legislation, customer behaviour, climate-related risks and other factors on the asset\u2019s CGU. In the event that an asset\u2019s CGU carrying amount is determined to be greater than its recoverable amount the asset is written down immediately. Investment property comprises freehold and long leasehold land and buildings that are held either to earn rental income or for capital accretion or both, primarily within the life insurance funds. In accordance with the guidance published by the Royal Institution of Chartered Surveyors, investment property is carried at fair value based on current prices for similar properties, adjusted for the specific characteristics of the property (such as location or condition). If this information is not available, the Group uses alternative valuation methods such as discounted cash flow projections or recent prices in less active markets. These valuations are reviewed at least annually by independent professionally qualified valuers. Investment property being redeveloped for continuing use as investment property, or for which the market has become less active, continues to be valued at fair value. (J) Leases Under IFRS 16, a lessor is required to determine whether a lease is a finance or operating lease. A lessee is not required to make this determination. (1)  As lessor Assets leased to customers are classified as finance leases if the lease agreements transfer substantially all of the risks and rewards of ownership to the lessee but not necessarily legal title. All other leases are classified as operating leases. When assets are subject to finance leases, the present value of the lease payments, together with any unguaranteed residual value, is recognised as a receivable, net of allowances for expected credit losses and residual value impairment, within loans and advances to banks and customers. The difference between the gross receivable and the present value of the receivable is recognised as unearned finance lease income. Finance lease income is recognised in interest income over the term of the lease using the net investment method (before tax) so as to give a constant rate of return on the net investment in the lease. Unguaranteed residual values are reviewed regularly to identify any impairment. Operating lease assets are included within other assets at cost and depreciated over their estimated useful lives. The depreciation charge is based on the asset\u2019s residual value and the life of the lease. Operating lease rental income is recognised on a straight-line basis over the life of the lease. The Group evaluates non-lease arrangements such as outsourcing and similar contracts to determine if they contain a lease which is then accounted for separately. (2)  As lessee Leases are recognised as a right-of-use asset and a corresponding liability at the date at which the leased asset is available for use by the Group. Assets and liabilities arising from a lease are initially measured on a present value basis. The lease payments are discounted using the interest rate implicit in the lease, if that rate can be determined, or the Group\u2019s incremental borrowing rate appropriate for the right-of-use asset arising from the lease, and the liability recognised within other liabilities. Lease payments are allocated between the liability and finance cost. The finance cost is charged to profit or loss over the lease period so as to produce a constant periodic rate of interest on the remaining balance of the liability for each period. The right-of-use asset is depreciated over the shorter of the asset\u2019s useful life and the lease term on a straight-line basis. Payments associated with short-term leases and leases of low-value assets are recognised on a straight-line basis as an expense in profit or loss. Short-term leases are leases with a lease term of twelve months or less. Low-value assets comprise IT equipment and small items of office furniture. (K)  Employee benefits Short-term employee benefits, such as salaries, paid absences, performance-based cash awards and social security costs, are recognised over the period in which the employees provide the related services. (1)  Pension schemes The Group operates a number of post-retirement benefit schemes for its employees including both defined benefit and defined contribution pension plans. A defined benefit scheme is a pension plan that defines an amount of pension benefit that an employee will receive on retirement, dependent on one or more factors such as age, years of pensionable service and pensionable salary. A defined contribution plan is a pension plan into which the Group pays fixed contributions; there is no legal or constructive obligation to pay further contributions. Notes to the consolidated financial statements continued for the year ended 31 December Note 2: Accounting policies continued (i)  Defined benefit schemes Scheme assets are included at their fair value and scheme liabilities are measured on an actuarial basis using the projected unit credit method. The defined benefit scheme liabilities are discounted using rates equivalent to the market yields at the balance sheet date on high-quality corporate bonds that are denominated in the currency in which the benefits will be paid, and that have terms to maturity approximating to the terms of the related pension liability. The Group\u2019s income statement charge includes the current service cost of providing pension benefits, past service costs, net interest expense (income), and plan administration costs that are not deducted from the return on plan assets. Past service costs, which represents the change in the present value of the defined benefit obligation resulting from a plan amendment or curtailment, are recognised when the plan amendment or curtailment occurs. Net interest expense (income) is calculated by applying the discount rate at the beginning of the period to the net defined benefit liability or asset. Remeasurements, comprising actuarial gains and losses, the return on plan assets (excluding amounts included in net interest expense (income) and net of the cost of managing the plan assets), and the effect of changes to the asset ceiling (if applicable) are reflected immediately in the balance sheet with a charge or credit recognised in other comprehensive income in the period in which they occur. Remeasurements recognised in other comprehensive income are reflected immediately in retained profits and will not subsequently be reclassified to profit or loss. The Group\u2019s balance sheet includes the net surplus or deficit, being the difference between the fair value of scheme assets and the discounted value of scheme liabilities at the balance sheet date. Surpluses are only recognised to the extent that they are recoverable through reduced contributions in the future or through refunds from the schemes. In assessing whether a surplus is recoverable, the Group considers (i) its current right to obtain a refund or a reduction in future contributions and (ii) the rights of other parties existing at the balance sheet date. In determining the rights of third parties existing at the balance sheet date, the Group does not anticipate any future acts by other parties. (ii)  Defined contribution schemes The costs of the Group\u2019s defined contribution plans are charged to the income statement in the period in which they fall due. (2)  Share-based compensation The Group operates a number of equity-settled, share-based compensation plans in respect of services received from certain of its employees. The value of the employee services received in exchange for equity instruments granted under these plans is recognised as an expense over the vesting period of the instruments, with a corresponding increase in equity. This expense is determined by reference to the fair value of the number of equity instruments that are expected to vest. The fair value of equity instruments granted is based on market prices, if available, at the date of grant. In the absence of market prices, the fair value of the instruments at the date of grant is estimated using an appropriate valuation technique, such as a Black-Scholes option pricing model or a Monte Carlo simulation. The determination of fair values excludes the impact of any non-market vesting conditions, which are included in the assumptions used to estimate the number of options that are expected to vest. At each balance sheet date, this estimate is reassessed and if necessary revised. Any revision of the original estimate is recognised in the income statement, together with a corresponding adjustment to equity. Cancellations by employees of contributions to the Group\u2019s Save As You Earn plans are treated as non-vesting conditions and the Group recognises, in the year of cancellation, the amount of the expense that would have otherwise been recognised over the remainder of the vesting period. Modifications are assessed at the date of modification and any incremental charges are charged to the income statement. (L)  Taxation Tax expense comprises current and deferred tax. Current and deferred tax are charged or credited in the income statement except to the extent that the tax arises from a transaction or event which is recognised, in the same or a different period, outside the income statement (either in other comprehensive income, directly in equity, or through a business combination), in which case the tax appears in the same statement as the transaction that gave rise to it. The tax consequences of the Group\u2019s dividend payments (including distributions on other equity instruments), if any, are charged or credited to the statement in which the profit distributed originally arose. Current tax is the amount of corporate income taxes expected to be payable or recoverable based on the profit for the period as adjusted for items that are not taxable or not deductible, and is calculated using tax rates and laws that were enacted or substantively enacted at the balance sheet date. Current tax includes amounts provided in respect of uncertain tax positions when management expects that, upon examination of the uncertainty by His Majesty\u2019s Revenue and Customs (HMRC) or other relevant tax authority, it is more likely than not that an economic outflow will occur. Provisions reflect management\u2019s best estimate of the ultimate liability based on their interpretation of tax law, precedent and guidance, informed by external tax advice as necessary. Changes in facts and circumstances underlying these provisions are reassessed at each balance sheet date, and the provisions are remeasured as required to reflect current information. For the Group\u2019s long-term insurance businesses, the tax expense is analysed between tax that is payable in respect of policyholders\u2019 returns and tax that is payable on the shareholders\u2019 returns. This allocation is based on an assessment of the rates of tax which will be applied to the returns under the current UK tax rules. Deferred tax is recognised on temporary differences arising between the tax bases of assets and liabilities and their carrying amounts in the balance sheet. Deferred tax is calculated using tax rates and laws that have been enacted or substantively enacted at the balance sheet date, and which are expected to apply when the related deferred tax asset is realised or the deferred tax liability is settled. Deferred tax liabilities are generally recognised for all taxable temporary differences but not recognised for taxable temporary differences arising on investments in subsidiaries where the reversal of the temporary difference can be controlled and it is probable that the difference will not reverse in the foreseeable future. Deferred tax liabilities are not recognised on temporary differences that arise from goodwill which is not deductible for tax purposes. Deferred tax assets are recognised to the extent it is probable that taxable profits will be available against which the deductible temporary differences can be utilised, and are reviewed at each balance sheet date and reduced to the extent that it is no longer probable that sufficient taxable profits will be available to allow all or part of the asset to be recovered. Deferred tax assets and liabilities are not recognised in respect of temporary differences that arise on initial recognition of assets and liabilities acquired other than in a business combination. Deferred tax is not discounted. Note 2: Accounting policies continued (M) Insurance The Group undertakes both life insurance and general insurance business. Insurance and participating investment contracts are accounted for under IFRS 4 Insurance Contracts, which permits (with certain exceptions) the continuation of accounting practices for measuring insurance and participating investment contracts that applied prior to the adoption of IFRS. The Group, therefore, continues to account for these products using UK GAAP and UK established practice. Products sold by the life insurance business are classified into three categories: \u2022 Insurance contracts \u2013 these contracts transfer significant insurance risk and may also transfer financial risk. The Group defines significant insurance risk as the possibility of having to pay benefits on the occurrence of an insured event which are significantly more than the benefits payable if the insured event were not to occur. These contracts may or may not include discretionary participation features \u2022 Investment contracts containing a discretionary participation feature (participating investment contracts) \u2013 these contracts do not transfer significant insurance risk, but contain a contractual right which gives the holder the right to receive, in addition to the guaranteed benefits, further additional discretionary benefits or bonuses that are likely to be a significant proportion of the total contractual benefits and the amount and timing of which is at the discretion of the Group, within the constraints of the terms and conditions of the instrument and based upon the performance of specified assets \u2022 Non-participating investment contracts \u2013 these contracts do not transfer significant insurance risk or contain a discretionary participation feature For certain investment contracts, the contract can be partly invested in units which contain a discretionary participation feature (DPF) and partly in units without. Where switching levels for similar contracts are deemed to be significant, new investment contracts which contain an option to switch into investment contracts with DPF have been classified as participating investment contracts. Where the switching levels are not deemed to be significant, a new contract is split, with units containing a DPF being allocated as a participating investment contract and the units without a DPF as a non-participating investment contract. The general insurance business issues only insurance contracts. (1)  Life insurance business (i)  Accounting for insurance and participating investment contracts Premiums and claims Premiums received in respect of insurance and participating investment contracts are recognised as revenue when due except for unit-linked contracts on which premiums are recognised as revenue when received. Claims are recorded as an expense on the earlier of the maturity date or the date on which the claim is notified. Liabilities Changes in the value of liabilities are recognised in the income statement through insurance claims and changes in insurance and investment contract liabilities. \u2022 Insurance and participating investment contracts in the Group\u2019s with-profit funds Liabilities of the Group\u2019s with-profit funds, including guarantees and options embedded within products written by these funds, are stated at their realistic values in accordance with the Prudential Regulation Authority\u2019s realistic capital regime, except that projected transfers out of the funds into other Group funds are recorded in the unallocated surplus (see below). Further details on valuation under the realistic capital regime are included in note 31 Liabilities arising from insurance contracts and participating investment contracts. \u2022 Insurance contracts which are not unit-linked or in the Group\u2019s with-profit funds A liability for contractual benefits that are expected to be incurred in the future is recorded when the premiums are recognised. The liability is calculated by estimating the future cash flows over the duration of in-force policies and discounting them back to the valuation date allowing for probabilities of occurrence. The liability will vary with movements in interest rates and with the cost of life insurance and annuity benefits where future mortality is uncertain. Assumptions are made in respect of all material factors affecting future cash flows, including future interest rates, mortality and costs. Further details on valuation are included in note 31 Liabilities arising from insurance contracts and participating investment contracts. \u2022 Insurance and participating investment contracts which are unit-linked Liabilities for unit-linked insurance contracts and participating investment contracts are stated at the bid value of units plus an additional allowance where appropriate (such as for any excess of future expenses over charges). The liability is increased or reduced by the change in the unit prices and is reduced by policy administration fees, mortality and surrender charges and any withdrawals. Benefit claims in excess of the account balances incurred in the period are also charged through insurance claims and changes in insurance and investment contract liabilities. Revenue consists of fees deducted for mortality, policy administration and surrender charges. Unallocated surplus Any amounts in the with-profit funds not yet determined as being due to policyholders or shareholders are recognised as an unallocated surplus which is shown separately from liabilities arising from insurance contracts and participating investment contracts. (ii)  Accounting for non-participating investment contracts The Group\u2019s non-participating investment contracts are primarily unit-linked. These contracts are accounted for as financial liabilities whose value is contractually linked to the fair values of financial assets within the Group\u2019s unitised investment funds. The value of the unit-linked financial liabilities is determined using current unit prices multiplied by the number of units attributed to the contract holders at the balance sheet date. Their value is never less than the amount payable on surrender, discounted for the required notice period where applicable. Investment returns (including movements in fair value and investment income) allocated to those contracts are recognised in the income statement through insurance claims and changes in insurance and investment contract liabilities. Deposits and withdrawals are not accounted for through the income statement but are accounted for directly in the balance sheet as adjustments to the non-participating investment contract liability. The Group receives investment management fees in the form of an initial adjustment or charge to the amount invested. These fees are in respect of services rendered in conjunction with the issue and management of investment contracts where the Group actively manages the consideration received from its customers to fund a return that is based on the investment profile that the customer selected on origination of the contract. These services comprise an indeterminate number of acts over the lives of the individual contracts and, therefore, the Group defers these fees and recognises them over the estimated lives of the contracts, in line with the provision of investment management services. Notes to the consolidated financial statements continued for the year ended 31 December Note 2: Accounting policies continued Costs which are directly attributable and incremental to securing new non-participating investment contracts are deferred. This asset is subsequently amortised over the period of the provision of investment management services and its recoverability is reviewed in circumstances where its carrying amount may not be recoverable. If the asset is greater than its recoverable amount it is written down immediately through fee and commission expense in the income statement. All other costs are recognised as expenses when incurred. (iii) Value of in-force business The Group recognises as an asset the value of in-force business in respect of insurance contracts and participating investment contracts. The asset represents the present value of the shareholders\u2019 interest in the profits expected to emerge from those contracts written at the balance sheet date. This is determined after making appropriate assumptions about future economic and operating conditions such as future mortality and persistency rates and includes allowances for both non-market risk and for the realistic value of financial options and guarantees. Each cash flow is valued using the discount rate consistent with that applied to such a cash flow in the capital markets. The asset in the consolidated balance sheet is presented gross of attributable tax and movements in the asset are reflected within other operating income in the income statement. The Group\u2019s contractual rights to benefits from providing investment management services in relation to non-participating investment contracts acquired in business combinations and portfolio transfers are measured at fair value at the date of acquisition. The resulting asset is amortised over the estimated lives of the contracts. At each reporting date an assessment is made to determine if there is any indication of impairment. Where impairment exists, the carrying value of the asset is reduced to its recoverable amount and the impairment loss recognised in the income statement. (2)  General insurance business The Group both underwrites and acts as intermediary in the sale of general insurance products. Underwriting premiums are included in insurance premium income, net of refunds, in the period in which insurance cover is provided to the customer; premiums received relating to future periods are deferred in the balance sheet within liabilities arising from insurance contracts and participating investment contracts on a basis that reflects the length of time for which contracts have been in-force and the projected incidence of risk over the term of the contract and only credited to the income statement when earned. Broking commission is recognised when the underwriter accepts the risk of providing insurance cover to the customer. Where appropriate, provision is made for the effect of future policy terminations based upon past experience. The underwriting business makes provision for the estimated cost of claims notified but not settled and claims incurred but not reported at the balance sheet date. The provision for the cost of claims notified but not settled is based upon a best estimate of the cost of settling the outstanding claims after taking into account all known facts. In those cases where there is insufficient information to determine the required provision, statistical techniques are used which take into account the cost of claims that have recently been settled and make assumptions about the future development of the outstanding cases. Similar statistical techniques are used to determine the provision for claims incurred but not reported at the balance sheet date. Claims liabilities are not discounted. (3)  Liability adequacy test At each balance sheet date liability adequacy tests are performed to ensure the adequacy of insurance and participating investment contract liabilities net of related deferred cost assets and value of in-force business. In performing these tests, current best estimates of discounted future contractual cash flows and claims handling and policy administration expenses, as well as investment income from the assets backing such liabilities, are used. Any deficiency is immediately charged to the income statement, initially by writing off the relevant assets and subsequently by establishing a provision for losses arising from liability adequacy tests. (4) Reinsurance The presentation of contracts entered into by the Group with reinsurers under which the Group is compensated for amounts payable on one or more other contracts issued by the Group is dependent on whether the contract with the reinsurer transfers significant insurance risk to the reinsurer. Where the reinsurance contract transfers significant insurance risk, it is classified as an insurance contract and the asset is recognised separately on the balance sheet. Where the reinsurance contract does not transfer significant insurance risk to the reinsurer, the assets arising from contracts held with reinsurers are presented within financial assets at fair value through profit or loss. (i)  Contracts with reinsurers that transfer significant insurance risk Amounts recoverable from or due to reinsurers are measured consistently with the amounts associated with the reinsured contracts and in accordance with the terms of each reinsurance contract and are regularly reviewed for impairment. Premiums payable for reinsurance contracts are recognised as an expense when due within insurance premium income. Changes in the reinsurance recoverable assets are recognised in the income statement through insurance claims and changes in insurance and investment contract liabilities. (ii)  Contracts with reinsurers that do not transfer significant insurance risk Contracts that do not transfer significant insurance risk to the reinsurer are recognised within financial assets at fair value through profit or loss as they are within a portfolio of financial assets that is managed, and whose performance is evaluated, on a fair value basis. These contracts, while legally reinsurance contracts, do not meet the definition of a reinsurance contract under IFRS. Investment returns (including movements in fair value and investment income) allocated to these contracts are recognised in insurance claims and changes in insurance and investment contract liabilities. (N)  Foreign currency translation Items included in the financial statements of each of the Group\u2019s entities are measured using the currency of the primary economic environment in which the entity operates (the functional currency). Foreign currency transactions are translated into the appropriate functional currency using the exchange rates prevailing at the dates of the transactions. Foreign exchange gains and losses resulting from the settlement of such transactions and from the translation at year end exchange rates of monetary assets and liabilities denominated in foreign currencies are recognised in the income statement, except when recognised in other comprehensive income as qualifying cash flow or net investment hedges. Non-monetary assets that are measured at fair value are translated using the exchange rate at the date that the fair value was determined. Translation differences on equities and similar non-monetary items held at fair value through profit and loss are recognised in profit or loss as part of the fair value gain or loss. Translation differences on non- monetary financial assets measured at fair value through other comprehensive income, such as equity shares, are included in the fair value reserve in equity unless the asset is a hedged item in a fair value hedge. Note 2: Accounting policies continued The results and financial position of all Group entities that have a functional currency different from the presentation currency are translated into the presentation currency as follows: the assets and liabilities of foreign operations, including goodwill and fair value adjustments arising on the acquisition of a foreign entity, are translated into sterling at foreign exchange rates ruling at the balance sheet date; and the income and expenses of foreign operations are translated into sterling at average exchange rates unless these do not approximate to the foreign exchange rates ruling at the dates of the transactions, in which case income and expenses are translated at the dates of the transactions. Foreign exchange differences arising on the translation of a foreign operation are recognised in other comprehensive income and accumulated in a separate component of equity together with exchange differences arising from the translation of borrowings and other currency instruments designated as hedges of such investments (see (F)(3) above). On disposal or liquidation of a foreign operation, the cumulative amount of exchange differences relating to that foreign operation is reclassified from equity and included in determining the profit or loss arising on disposal or liquidation. (O)  Provisions and contingent liabilities Provisions are recognised in respect of present obligations arising from past events where it is probable that outflows of resources will be required to settle the obligations and they can be reliably estimated. Contingent liabilities are possible obligations whose existence depends on the outcome of uncertain future events or those present obligations where the outflows of resources are uncertain or cannot be measured reliably. Contingent liabilities are not recognised in the financial statements but are disclosed unless they are remote. Provision is made for expected credit losses in respect of irrevocable undrawn loan commitments and financial guarantee contracts (see (H) above). (P)  Share capital Incremental costs directly attributable to the issue of new shares or options or to the acquisition of a business are shown in equity as a deduction, net of tax, from the proceeds. Dividends paid on the Group\u2019s ordinary shares are recognised as a reduction in equity in the period in which they are paid. Where the Company or any member of the Group purchases the Company\u2019s share capital, the consideration paid is deducted from shareholders\u2019 equity as treasury shares until they are cancelled; if these shares are subsequently sold or reissued, any consideration received is included in shareholders\u2019 equity. (Q)  Cash and cash equivalents For the purposes of the cash flow statement, cash and cash equivalents comprise cash and non-mandatory deposits held with central banks, mandatory deposits held with central banks in demand accounts and amounts due from banks with an original maturity of less than three months that are available to finance the Group\u2019s day-to-day operations. Note 3: Critical accounting judgements and key sources of estimation uncertainty The preparation of the Group\u2019s financial statements in accordance with IFRS requires management to make judgements, estimates and assumptions in applying the accounting policies that affect the reported amounts of assets, liabilities, income and expenses. Due to the inherent uncertainty in making estimates, actual results reported in future periods may be based upon amounts which differ from those estimates. Estimates, judgements and assumptions are continually evaluated and are based on historical experience and other factors, including expectations of future events that are believed to be reasonable under the circumstances. In preparing the financial statements, the Group has considered the impact of climate-related risks on its financial position and performance. While the effects of climate change represent a source of uncertainty, the Group does not consider there to be a material impact on its judgements and estimates from the physical, transition and other climate-related risks in the short term. The significant judgements, apart from those involving estimation, made by management in applying the Group\u2019s accounting policies in these financial statements (critical judgements) and the key sources of estimation uncertainty that may have a significant risk of causing a material adjustment to the carrying amount of assets and liabilities within the next financial year (key sources of estimation uncertainty), which together are considered critical to the Group\u2019s results and financial position, are as follows: Allowance for expected credit losses Critical judgements: Determining an appropriate definition of default against which a probability of default, exposure at default and loss given default parameter can be evaluated Establishing the criteria for a significant increase in credit risk (SICR) The use of management judgement alongside impairment modelling processes to adjust inputs, parameters and outputs to reflect risks not captured by models Key source of estimation uncertainty: Base case and multiple economic scenarios (MES) assumptions, including the rate of unemployment and the rate of change of house prices, required for creation of MES scenarios and forward-looking credit parameters The Group recognises an allowance for expected credit losses (ECLs) for loans and advances to customers and banks, other financial assets held at amortised cost, financial assets (other than equity investments) measured at fair value through other comprehensive income and certain loan commitment and financial guarantee contracts. At 31 December 2022, the Group\u2019s expected credit loss allowance was \u00a34,903 million (2021: \u00a34,042 million), of which \u00a34,580 million (2021: \u00a33,842 million) was in respect of drawn balances. The calculation of the Group\u2019s expected credit loss allowances and provisions against loan commitments and guarantees under IFRS 9 requires the Group to make a number of judgements, assumptions and estimates. Further information on the critical accounting judgements and key sources of estimation uncertainty (see above) and other significant judgements and estimates is set out in note 19. Notes to the consolidated financial statements continued for the year ended 31 December Note 3: Critical accounting judgements and key sources of estimation uncertainty continued Valuation of assets and liabilities arising from insurance business Critical judgement: Future economic and operating conditions Key sources of estimation uncertainty: Future investment returns Future mortality rates Future expenses These judgements and estimates are subject to significant uncertainty. At 31 December 2022, the Group recognised a value of in-force business asset of \u00a35,244 million (2021: \u00a35,317 million) and an acquired value of in-force business asset of \u00a3175 million (2021: \u00a3197 million). The value of in-force business asset represents the estimated present value of future profits expected to arise from the portfolio of in- force life insurance and participating investment contracts. The valuation of this asset requires judgements to be made about future economic and operating conditions which are inherently uncertain and changes could significantly affect the value attributed to this asset. These judgements are used to determine appropriate assumptions for the asset\u2019s valuation including the appropriate risk-free rate, retail price inflation and expense inflation. The methodology used to value this asset and the key assumptions that have been made in determining the carrying value of the value of in-force business asset at 31 December 2022 are set out in note 24. At 31 December 2022, the Group carried total liabilities arising from insurance contracts and participating investment contracts of \u00a3106,893 million (2021: \u00a3123,423 million). Elements of the valuations of liabilities arising from insurance contracts and participating investment contracts require management to estimate future investment returns, future mortality rates and future expenses. These estimates are subject to significant uncertainty. The methodology used to value these liabilities and the key assumptions that have been made in determining their carrying value are set out in note 31. The effect of changes to critical estimates used by management to determine the life insurance assets and liabilities is set out in note 32, which presents the impact of changes to the estimates made on the Group\u2019s profit before tax and shareholders\u2019 equity as management believes that this analysis best presents these sensitivities in a manner that helps the user of the financial statements to understand the judgements made by management and the level of estimation uncertainty. Defined benefit pension scheme obligations Critical judgement: Determination of an appropriate yield curve Key sources of estimation uncertainty: Discount rate applied to future cash flows Expected lifetime of the schemes\u2019 members Expected rate of future inflationary increases The net asset recognised in the balance sheet at 31 December 2022 in respect of the Group\u2019s defined benefit pension scheme obligations was \u00a33,732 million comprising an asset of \u00a33,823 million and a liability of \u00a391 million (2021: a net asset of \u00a34,404 million comprising an asset of \u00a34,531 million and a liability of \u00a3127 million). The Group\u2019s accounting policy for its defined benefit pension scheme obligations is set out in note 2(K). The accounting valuation of the Group\u2019s defined benefit pension schemes\u2019 liabilities requires management to make a number of assumptions. The key sources of estimation uncertainty are the discount rate applied to future cash flows, the expected lifetime of the schemes\u2019 members and the expected rate of future inflationary increases. Income statement and balance sheet sensitivities to changes in the critical accounting estimates and other actuarial assumptions are provided in part (v) of note 35. Uncertain tax positions Critical judgement: Interpreting tax rules on the Group\u2019s open tax matters The Group has an open matter in relation to a claim for group relief of losses incurred in its former Irish banking subsidiary, which ceased trading on 31 December 2010. In 2013, HMRC informed the Group that its interpretation of the UK rules means that the group relief is not available. In 2020, HMRC concluded their enquiry into the matter and issued a closure notice. The Group\u2019s interpretation of the UK rules has not changed and hence it has appealed to the First Tier Tax Tribunal, with a hearing expected in 2023. If the final determination of the matter by the judicial process is that HMRC\u2019s position is correct, management estimate that this would result in an increase in current tax liabilities of approximately \u00a3875 million (including interest) and a reduction in the Group\u2019s deferred tax asset of approximately \u00a3295 million. The Group, having taken appropriate advice, does not consider that this is a case where additional tax will ultimately fall due. The Group makes other estimates in relation to tax which do not require significant judgements, see further discussion in note 36. Note 3: Critical accounting judgements and key sources of estimation uncertainty continued Regulatory and legal provisions Critical judgements: Determining the scope of reviews required by regulators The impact of legal decisions that may be relevant to claims received Determining whether a reliable estimate is available for obligations arising from past events Key sources of estimation uncertainty: The number of future complaints The proportion of complaints that will be upheld The average cost of redress At 31 December 2022, the Group carried provisions of \u00a3803 million (2021: \u00a31,156 million) against the cost of making redress payments to customers and the related administration costs in connection with historical regulatory breaches. Determining the amount of the provisions, which represent management\u2019s best estimate of the cost of settling these issues, requires the exercise of significant judgement and estimation. It will often be necessary to form a view on matters which are inherently uncertain, such as the scope of reviews required by regulators, and to estimate the number of future complaints, the extent to which they will be upheld, the average cost of redress and the impact of decisions reached by legal and other review processes that may be relevant to claims received. Consequently the continued appropriateness of the underlying assumptions is reviewed on a regular basis against actual experience and other relevant evidence and adjustments made to the provisions where appropriate. Management has applied significant judgement in determining the provision required for HBOS Reading; further details are provided in note 37. Fair value of financial instruments Key source of estimation uncertainty: Interest rate spreads, earnings multiples and interest rate volatility At 31 December 2022, the carrying value of the Group\u2019s financial instrument assets held at fair value was \u00a3228,516 million (2021: \u00a3256,959 million), and its financial instrument liabilities held at fair value was \u00a384,772 million (2021: \u00a386,223 million). The Group\u2019s valuation control framework and a description of level 1, 2 and 3 financial assets and liabilities is set out in note 49(2). The valuation techniques for level 3 financial instruments involve management judgement and estimates, the extent of which depends on the complexity of the instrument and the availability of market observable information. In addition, in line with market practice, the Group applies credit, debit and funding valuation adjustments in determining the fair value of its uncollateralised derivative positions. A description of these adjustments is set out in note 49. A quantitative analysis of the sensitivities to market risk arising from the Group\u2019s trading portfolios is set out in the tables marked audited on page 188. Capitalised software enhancements Critical judgement: Assessing future trading conditions that could affect the Group\u2019s business operations Key source of estimation uncertainty: Estimated useful life of internally generated capitalised software At 31 December 2022, the carrying value of the Group\u2019s capitalised software enhancements was \u00a34,060 million (2021: \u00a33,435 million). In determining the estimated useful life of capitalised software enhancements, management consider the product\u2019s lifecycle and the Group\u2019s technology strategy; assets are reviewed annually to assess whether there is any indication of impairment and to confirm that the remaining estimated useful life is still appropriate. For the year ended 31 December 2022, the amortisation charge was \u00a3833 million (2021: \u00a3892 million), and at 31 December 2022, the weighted-average remaining estimated useful life of the Group\u2019s capitalised software enhancements was 4.5 years (2021: 4.7 years). If the Group reduced by one year the estimated useful life of those assets with a remaining estimated useful life of more than two years at 31 December 2022, the 2023 amortisation charge would be approximately \u00a3200 million higher. Consideration of climate change Financial statement preparation includes the consideration of the impact of climate change on the Group\u2019s financial statements. There has been no material impact identified on the financial reporting judgement and estimates. In particular, the directors considered the impact of climate change in respect of the: \u2022 Going concern of the Group for a period of at least 12 months from the date of approval of the financial statements \u2022 Assessment of impairment of non-financial assets including goodwill \u2022 Carrying value and useful economic lives of property, plant and equipment \u2022 Fair value of financial assets and liabilities. These are generally based on market indicators which include the market\u2019s assessment of climate risk \u2022 Economic scenarios used for measurement of expected credit losses and the behavioural lifetime of assets against the expected time horizons of when climate risks may materialise \u2022 Forecasting of the Group\u2019s future UK taxable profits, which impacts deferred tax recognition Whilst there is currently no material short-term impact of climate change expected, the Group acknowledges the long-term nature of climate risk and continues to monitor and assess climate risks highlighted in the risk management section on page 156. Notes to the consolidated financial statements continued for the year ended 31 December Note 4: Segmental analysis Lloyds Banking Group provides a wide range of banking and financial services in the UK and in certain locations overseas. The Group Executive Committee (GEC) has been determined to be the chief operating decision-maker, as defined by IFRS 8 Operating Segments, for the Group. The Group\u2019s operating segments reflect its organisational and management structures. The GEC reviews the Group\u2019s internal reporting based around these segments in order to assess performance and allocate resources. They consider interest income and expense on a net basis and consequently the total interest income and expense for all reportable segments is presented net. The segments are differentiated by the type of products provided and by whether the customers are individuals or corporate entities. The segmental results and comparatives are presented on an underlying basis (pre-tax), the basis reviewed by the chief operating decision-maker. The underlying basis is derived from the recognition and measurement principles of IFRS with the effects of the following excluded in arriving at underlying profit: \u2022 Restructuring costs relating to merger, acquisition and integration activities \u2022 Volatility and other items, which includes the effects of certain asset sales, the volatility relating to the Group\u2019s hedging arrangements and that arising in the insurance businesses, the unwind of acquisition-related fair value adjustments and the amortisation of purchased intangible assets \u2022 Payment protection insurance remediation provisions, excluding litigation costs For the purposes of the underlying income statement, operating lease depreciation (net of gains on disposal of operating lease assets) is shown as an adjustment to total income. During the year ended 31 December 2022, there were changes as a result of the Group restructure effective from 1 July 2022 and other methodology changes (comparatives have been restated accordingly): \u2022 Business Banking and Commercial Cards moved from Retail to Commercial Banking. Wealth moved from Insurance and Wealth to Retail \u2022 Insurance and Wealth was renamed Insurance, Pensions and Investments \u2022 The Group reviewed and updated its methodology for liquidity transfer pricing between segments \u2022 The Group revised the treatment of restructuring costs and all such costs other than those relating to merger, acquisition and integration activities are now reported within operating costs in arriving at underlying profit \u2022 Non lending-related fraud costs, previously included within underlying impairment, are now reported as part of operating costs (this has not impacted the statutory impairment charge) Following the restructure, the Group completed a review and determined that it had three operating and reportable segments: Retail; Commercial Banking; and Insurance, Pensions and Investments: \u2022 Retail offers a broad range of financial services products to personal customers, including current accounts, savings, mortgages, credit cards, unsecured loans, motor finance and leasing solutions \u2022 Commercial Banking serves small and medium businesses as well as corporate and institutional clients, providing lending, transactional banking, working capital management, debt financing and risk management services \u2022 Insurance, Pensions and Investments offers insurance, investment and pension management products and services Other comprises income and expenditure not attributed to the Group\u2019s operating segments. These amounts include those arising from the Group\u2019s equities business, residual net interest income after transfer pricing (including the central recovery of the Group\u2019s distributions on other equity instruments) and certain gains from gilt sales. Inter-segment services are generally recharged at cost, although some attract a margin. In particular, a profit margin is charged on the internal commission arrangements between the branch network and other distribution channels and the insurance product manufacturing businesses within the Group. Inter-segment lending and deposits are generally entered into at market rates, except that non-interest bearing balances are priced at a rate that reflects the external yield that could be earned on such funds. For the majority of those derivative contracts entered into by business units for risk management purposes, the business unit recognises the net interest income or expense on an accrual accounting basis and transfers the remainder of the movement in the fair value of the derivative to the central function where the resulting accounting volatility is managed where possible through the establishment of hedge accounting relationships. Any change in fair value of the hedged instrument attributable to the hedged risk is also recorded within the central function. This allocation of the fair value of the derivative and change in fair value of the hedged instrument attributable to the hedged risk avoids accounting asymmetry in segmental results and leads to accounting volatility, which is managed centrally and reported within Other. Note 4: Segmental analysis continued Retail \u00a3m Commercial Banking \u00a3m Insurance, Pensions and Investments \u00a3m Other \u00a3m Underlying basis total \u00a3m Year ended 31 December 2022 Net interest income 9,774 3,447 (101) 52 13,172 Other income, net of insurance claims and changes in insurance and investment contract liabilities 1,731 1,565 1,576 377 5,249 Total underlying income, net of insurance claims and changes in insurance and investment contract liabilities 11,505 5,012 1,475 429 18,421 Operating lease depreciation1 (368) (5) \u2013 \u2013 (373) Net income 11,137 5,007 1,475 429 18,048 Operating costs (5,175) (2,496) (1,042) (122) (8,835) Remediation (92) (133) (30) \u2013 (255) Total costs (5,267) (2,629) (1,072) (122) (9,090) Underlying impairment (charge) credit (1,373) (517) (12) 392 (1,510) Underlying profit before tax 4,497 1,861 391 699 7,448 External income 12,055 4,330 1,526 510 18,421 Inter-segment (expense) income (550) 682 (51) (81) \u2013 Segment underlying income, net of insurance claims and changes in insurance and investment contract liabilities 11,505 5,012 1,475 429 18,421 Segment external assets 372,485 147,477 175,212 182,655 877,829 Segment customer deposits 310,765 163,828 \u2013 738 475,331 Segment external liabilities 314,091 202,070 169,182 144,965 830,308 1  Net of profits on disposal of operating lease assets of \u00a3197 million. Notes to the consolidated financial statements continued for the year ended 31 December Note 4: Segmental analysis continued Retail \u00a3m Commercial Banking \u00a3m Insurance, Pensions and Investments \u00a3m Other \u00a3m Underlying basis total \u00a3m Year ended 31 December 2022 Analysis of segment underlying other income, net of insurance claims and changes in insurance and investment contract liabilities: Fee and commission income: Current accounts 421 225 \u2013 \u2013 646 Credit and debit card fees 735 460 \u2013 \u2013 1,195 Commercial banking and treasury fees \u2013 310 1 311 Unit trust and insurance broking \u2013 \u2013 85 \u2013 85 Factoring \u2013 79 \u2013 \u2013 79 Other fees and commissions 64 169 271 15 519 Total fee and commission income 1,220 1,243 356 16 2,835 Fee and commission expense (665) (315) (334) (18) (1,332) Net fee and commission income 555 928 22 (2) 1,503 Operating lease rental income 1,065 12 \u2013 \u2013 1,077 Rental income from investment properties \u2013 \u2013 144 1 145 Gains less losses on disposal of financial assets at fair value through other comprehensive income \u2013 \u2013 \u2013 92 92 Trading income 69 (793) \u2013 1,320 596 Insurance and other, net of insurance claims and changes in insurance and investment contract liabilities 227 28 2,771 (1,190) 1,836 Other external income, net of insurance claims and changes in insurance and investment contract liabilities 1,361 (753) 2,915 223 3,746 Inter-segment other income (185) 1,390 (1,361) 156 \u2013 Segment other income, net of insurance claims and changes in insurance and investment contract liabilities 1,731 1,565 1,576 377 5,249 Other segment items reflected in income statement above: Depreciation and amortisation 1,216 207 142 831 2,396 Movement in value of in-force business \u2013 \u2013 (80) \u2013 (80) Defined benefit scheme charges 72 28 7 18 125 Non-income statement segment items: Additions to fixed assets 2,146 101 151 1,457 3,855 Investments in joint ventures and associates at end of year 4 \u2013 \u2013 381 385 Note 4: Segmental analysis continued Retail \u00a3m Commercial Banking \u00a3m Insurance, Pensions and Investments \u00a3m Other \u00a3m Underlying basis total \u00a3m Year ended 31 December 2021 1 Net interest income 8,577 2,602 (103) 87 11,163 Other income, net of insurance claims and changes in insurance and investment contract liabilities 1,597 1,442 1,406 615 5,060 Total underlying income, net of insurance claims and changes in insurance and investment contract liabilities 10,174 4,044 1,303 702 16,223 Operating lease depreciation2 (442) (18) \u2013 \u2013 (460) Net income 9,732 4,026 1,303 702 15,763 Operating costs (4,987) (2,288) (899) (138) (8,312) Remediation (360) (830) (123) 13 (1,300) Total costs (5,347) (3,118) (1,022) (125) (9,612) Underlying impairment credit 447 936 \u2013 2 1,385 Underlying profit before tax 4,832 1,844 281 579 7,536 External income 11,260 3,883 1,323 (243) 16,223 Inter-segment (expense) income (1,086) 161 (20) 945 \u2013 Segment underlying income, net of insurance claims and changes in insurance and investment contract liabilities 10,174 4,044 1,303 702 16,223 Segment external assets 364,179 144,390 195,039 182,917 886,525 Segment customer deposits 308,412 167,530 \u2013 402 476,344 Segment external liabilities 312,594 204,641 188,372 127,766 833,373 1  Restated, see page 230. 2  Net of profits on disposal of operating lease assets of \u00a3249 million. Notes to the consolidated financial statements continued for the year ended 31 December Note 4: Segmental analysis continued Retail \u00a3m Commercial Banking \u00a3m Insurance, Pensions and Investments \u00a3m Other \u00a3m Underlying basis total \u00a3m Year ended 31 December 20211 Analysis of segment underlying other income, net of insurance claims and changes in insurance and investment contract liabilities: Fee and commission income: Current accounts 425 213 \u2013 \u2013 638 Credit and debit card fees 533 350 \u2013 \u2013 883 Commercial banking and treasury fees \u2013 376 \u2013 37 413 Unit trust and insurance broking \u2013 \u2013 113 \u2013 113 Factoring \u2013 76 \u2013 \u2013 76 Other fees and commissions 65 183 213 24 485 Total fee and commission income 1,023 1,198 326 61 2,608 Fee and commission expense (571) (271) (313) (30) (1,185) Net fee and commission income 452 927 13 31 1,423 Operating lease rental income 1,046 13 \u2013 \u2013 1,059 Rental income from investment properties \u2013 \u2013 186 \u2013 186 Gains less losses on disposal of financial assets at fair value through other comprehensive income \u2013 (5) \u2013 3 (2) Trading income 52 926 \u2013 345 1,323 Insurance and other, net of insurance claims and changes in insurance and investment contract liabilities 136 119 1,766 (950) 1,071 Other external income, net of insurance claims and changes in insurance and investment contract liabilities 1,234 1,053 1,952 (602) 3,637 Inter-segment other income (89) (538) (559) 1,186 \u2013 Segment other income, net of insurance claims and changes in insurance and investment contract liabilities 1,597 1,442 1,406 615 5,060 Other segment items reflected in income statement above: Depreciation and amortisation 1,525 283 170 847 2,825 Movement in value of in-force business \u2013 \u2013 (70) \u2013 (70) Defined benefit scheme charges 91 30 9 106 236 Non-income statement segment items: Additions to fixed assets 1,921 179 117 1,011 3,228 Investments in joint ventures and associates at end of year 6 \u2013 \u2013 346 352 1  Restated, see page 230. Note 4: Segmental analysis continued Retail \u00a3m Commercial Banking \u00a3m Insurance, Pensions and Investments \u00a3m Other \u00a3m Underlying basis total \u00a3m Year ended 31 December 2020 1 Net interest income 8,380 2,528 (118) (17) 10,773 Other income, net of insurance claims and changes in insurance and investment contract liabilities 1,606 1,428 1,241 240 4,515 Total underlying income, net of insurance claims and changes in insurance and investment contract liabilities 9,986 3,956 1,123 223 15,288 Operating lease depreciation2 (856) (28) \u2013 \u2013 (884) Net income 9,130 3,928 1,123 223 14,404 Operating costs (4,967) (2,281) (832) (122) (8,202) Remediation (125) (210) (50) 6 (379) Total costs (5,092) (2,491) (882) (116) (8,581) Underlying impairment charge (2,128) (1,561) (2) (390) (4,081) Underlying profit (loss) before tax 1,910 (124) 239 (283) 1,742 External income 11,499 3,600 1,238 (1,049) 15,288 Inter-segment (expense) income (1,513) 356 (115) 1,272 \u2013 Segment underlying income, net of insurance claims and changes in insurance and investment contract liabilities 9,986 3,956 1,123 223 15,288 Segment external assets 350,779 151,093 182,284 187,113 871,269 Segment customer deposits 279,610 170,262 \u2013 779 450,651 Segment external liabilities 284,634 214,022 176,646 146,554 821,856 1  Restated, see page 230. 2  Net of profits on disposal of operating lease assets of \u00a3127 million. Notes to the consolidated financial statements continued for the year ended 31 December Note 4: Segmental analysis continued Retail \u00a3m Commercial Banking \u00a3m Insurance, Pensions and Investments \u00a3m Other \u00a3m Underlying basis total \u00a3m Year ended 31 December 2020 1 Analysis of segment underlying other income, net of insurance claims and changes in insurance and investment contract liabilities: Fee and commission income: Current accounts 429 186 \u2013 \u2013 615 Credit and debit card fees 447 301 \u2013 \u2013 748 Commercial banking and treasury fees \u2013 274 \u2013 \u2013 274 Unit trust and insurance broking \u2013 \u2013 146 \u2013 146 Factoring \u2013 76 \u2013 \u2013 76 Other fees and commissions 71 183 194 1 449 Total fee and commission income 947 1,020 340 1 2,308 Fee and commission expense (585) (234) (303) (26) (1,148) Net fee and commission income 362 786 37 (25) 1,160 Operating lease rental income 1,103 17 \u2013 \u2013 1,120 Rental income from investment properties \u2013 \u2013 191 \u2013 191 Gains less losses on disposal of financial assets at fair value through other comprehensive income \u2013 \u2013 \u2013 149 149 Lease termination income \u2013 5 \u2013 \u2013 5 Trading income 64 792 \u2013 204 1,060 Insurance and other, net of insurance claims and changes in insurance and investment contract liabilities 198 349 1,338 (1,055) 830 Other external income, net of insurance claims and changes in insurance and investment contract liabilities 1,365 1,163 1,529 (702) 3,355 Inter-segment other income (121) (521) (325) 967 \u2013 Segment other income, net of insurance claims and changes in insurance and investment contract liabilities 1,606 1,428 1,241 240 4,515 Other segment items reflected in income statement above: Depreciation and amortisation 1,760 263 159 550 2,732 Movement in value of in-force business \u2013 \u2013 76 \u2013 76 Defined benefit scheme charges 100 32 9 106 247 Non-income statement segment items: Additions to fixed assets 1,684 112 125 980 2,901 Investments in joint ventures and associates at end of year 4 \u2013 \u2013 292 296 1  Restated, see page 230. Geographical areas The Group\u2019s operations are predominantly UK-based and as a result an analysis between UK and non-UK activities is not provided. Note 4: Segmental analysis continued Reconciliation of underlying basis to statutory results The underlying basis is the basis on which financial information is presented to the chief operating decision-maker which excludes certain items included in the statutory results. The table below reconciles the statutory results to the underlying basis. Lloyds Banking Group statutory \u00a3m Removal of: Volatility, restructuring and other items1 \u00a3m Insurance gross up 2 \u00a3m PPI remediation \u00a3m Underlying basis \u00a3m Year ended 31 December 2022 Net interest income 13,957 226 (1,011) \u2013 13,172 Other income, net of insurance claims and changes in insurance and investment contract liabilities 4,252 120 877 \u2013 5,249 Operating lease depreciation3 (373) \u2013 \u2013 (373) Total income, net of insurance claims and changes in insurance and investment contract liabilities / Net income 18,209 (27) (134) \u2013 18,048 Operating expenses (9,759) 535 134 \u2013 (9,090) Impairment charge (1,522) 12 \u2013 \u2013 (1,510) Profit before tax 6,928 520 \u2013 \u2013 7,448 Lloyds Banking Group statutory \u00a3m Removal of: Volatility, restructuring and other items 4 \u00a3m Insurance gross up 2 \u00a3m PPI remediation \u00a3m Underlying basis \u00a3m Year ended 31 December 2021 Net interest income 9,366 255 1,542 \u2013 11,163 Other income, net of insurance claims and changes in insurance and investment contract liabilities 6,958 (139) (1,759) \u2013 5,060 Operating lease depreciation3 (460) \u2013 \u2013 (460) Total income, net of insurance claims and changes in insurance and investment contract liabilities / Net income 16,324 (344) (217) \u2013 15,763 Operating expenses (10,800) 971 217 \u2013 (9,612) Impairment credit 1,378 7 \u2013 \u2013 1,385 Profit before tax 6,902 634 \u2013 \u2013 7,536 Lloyds Banking Group statutory \u00a3m Removal of: Volatility, restructuring and other items 5 \u00a3m Insurance gross up 2 \u00a3m PPI remediation \u00a3m Underlying basis \u00a3m Year ended 31 December 2020 Net interest income 10,749 174 (150) \u2013 10,773 Other income, net of insurance claims and changes in insurance and investment contract liabilities 4,377 165 (27) \u2013 4,515 Operating lease depreciation3 (884) \u2013 \u2013 (884) Total income, net of insurance claims and changes in insurance and investment contract liabilities / Net income 15,126 (545) (177) \u2013 14,404 Operating expenses (9,745) 905 174 85 (8,581) Impairment (charge) credit (4,155) 71 3 \u2013 (4,081) Profit before tax 1,226 431 \u2013 85 1,742 1  In the year ended 31 December 2022 this comprises the effects of market volatility and asset sales (losses of \u00a3252 million); the amortisation of purchased intangibles (\u00a370 million); restructuring (\u00a380 million of merger, acquisition and integration costs); and the fair value unwind (losses of \u00a3118 million). 2  The Group\u2019s insurance businesses\u2019 income statements include income and expenditure which are attributable to the policyholders of the Group\u2019s long-term assurance funds. These items have no impact in total upon the profit attributable to equity shareholders and, in order to provide a clearer representation of the underlying trends within the business, these items are shown net within the underlying results. 3  Net of profits on disposal of operating lease assets of \u00a3197 million (2021: \u00a3249 million; 2020: \u00a3127 million). 4  Comprises the effects of market volatility and asset sales (gain of \u00a387 million); the amortisation of purchased intangibles (\u00a370 million); restructuring (\u00a3452 million, including a software write-off as a result of investment in new technology and systems infrastructure together with merger, acquisition and integration costs); and the fair value unwind (losses of \u00a3199 million). 5  Comprises the effects of market volatility and asset sales (losses of \u00a359 million); the amortisation of purchased intangibles (\u00a369 million); restructuring (\u00a370 million of merger, acquisition and integration costs); and the fair value unwind (losses of \u00a3233 million). Notes to the consolidated financial statements continued for the year ended 31 December Note 5: Net interest income Weighted average effective interest rate 2022 % 2021 % 2020 % 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m Interest income: Loans and advances to banks and reverse repurchase agreements 1.29 0.12 0.24 1,313 104 203 Loans and advances to customers and reverse repurchase agreements 3.00 2.51 2.72 15,217 12,633 13,704 Debt securities 1.85 1.46 1.81 168 80 97 Financial assets held at amortised cost 2.70 2.15 2.35 16,698 12,817 14,004 Financial assets at fair value through other comprehensive income 3.97 1.67 1.10 947 441 302 Total interest income1 2.75 2.13 2.30 17,645 13,258 14,306 Interest expense: Deposits from banks 1.87 0.75 0.84 (148) (74) (113) Customer deposits 0.40 0.12 0.32 (1,387) (426) (1,091) Repurchase agreements at amortised cost 1.82 0.10 0.36 (842) (22) (117) Debt securities in issue2 2.21 1.13 1.37 (1,636) (900) (1,313) Lease liabilities 2.19 2.12 2.39 (29) (32) (41) Subordinated liabilities 6.39 6.92 6.29 (681) (932) (1,057) Liabilities held at amortised cost 0.97 0.50 0.74 (4,723) (2,386) (3,732) Amounts payable to unitholders in consolidated open-ended investment vehicles 3 (9.47) 12.53 (1.58) 1,035 (1,506) 175 Total interest expense4 0.74 0.80 0.69 (3,688) (3,892) (3,557) Net interest income 13,957 9,366 10,749 1  Includes \u00a321 million (2021: \u00a310 million; 2020: \u00a310 million) of interest income on liabilities with negative interest rates, \u00a337 million (2021: \u00a347 million; 2020: \u00a347 million) in respect of interest income on finance leases and \u00a3687 million (2021: \u00a3701 million) in respect of hire purchase receivables. 2  The impact of the Group\u2019s hedging arrangements is included on this line; excluding this impact the weighted average effective interest rate in respect of debt securities in issue would be 3.67 per cent (2021: 1.77 per cent; 2020: 2.28 per cent). 3  Where a collective investment vehicle is consolidated the interests of parties other than the Group are reported in other liabilities and the movement in these interests in interest expense. 4  Includes \u00a323 million (2021: \u00a32 million; 2020: \u00a324 million) of interest expense on assets with negative interest rates. Included within interest income is \u00a3272 million (2021: \u00a3174 million; 2020: \u00a3171 million) in respect of credit-impaired financial assets. Net interest income also includes a debit of \u00a343 million (2021: credit of \u00a3621 million; 2020: credit of \u00a3496 million) transferred from the cash flow hedging reserve (see note 41). Note 6: Net fee and commission income 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m Fee and commission income: Current accounts 646 638 615 Credit and debit card fees 1,195 883 748 Commercial banking and treasury fees 311 413 274 Unit trust and insurance broking 85 113 146 Factoring 79 76 76 Other fees and commissions 519 485 449 Total fee and commission income 2,835 2,608 2,308 Fee and commission expense (1,332) (1,185) (1,148) Net fee and commission income 1,503 1,423 1,160 Fees and commissions which are an integral part of the effective interest rate form part of net interest income shown in note 5. Fees and commissions relating to instruments that are held at fair value through profit or loss are included within net trading income shown in note 7. In determining the disaggregation of fees and commissions the Group has considered how the nature, amount, timing and uncertainty of revenue and cash flows are affected by economic factors, including those that are impacted by climate-related factors. It has determined that the above disaggregation by product type provides useful information that does not aggregate items that have substantially different characteristics and is not too detailed. Note 6: Net fee and commission income continued At 31 December 2022, the Group held on its balance sheet \u00a3173 million (31 December 2021: \u00a3201 million) in respect of services provided to customers and \u00a374 million (31 December 2021: \u00a384 million) in respect of amounts received from customers for services to be provided after the balance sheet date. Current unsatisfied performance obligations amount to \u00a3149 million (31 December 2021: \u00a3157 million); the Group expects to receive substantially all of this revenue by 2024. Income recognised during the year included \u00a38 million (2021: \u00a316 million) in respect of amounts included in the contract liability balance at the start of the year and \u00a31 million (2021: \u00a32 million) in respect of amounts from performance obligations satisfied in previous years. The most significant performance obligations undertaken by the Group are in respect of current accounts, the provision of other banking services for commercial customers and credit and debit card services. In respect of current accounts, the Group receives fees for the provision of bank account and transaction services such as ATM services, fund transfers, overdraft facilities and other value-added offerings. For commercial customers, alongside its provision of current accounts, the Group provides other corporate banking services including factoring and commitments to provide loan financing. Loan commitment fees are included in fees and commissions where the loan is not expected to be drawn down by the customer. The Group receives interchange and merchant fees, together with fees for overseas use and cash advances, for provision of card services to cardholders and merchants. Note 7: Net trading income 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m Foreign exchange translation (losses) gains (1,318) 212 12 Gains on foreign exchange trading transactions 255 394 527 Total foreign exchange (1,063) 606 539 Investment property (losses) gains (note 26) (511) 575 (209) Securities and other (losses) gains (see below) (18,413) 16,019 6,890 Net trading income (19,987) 17,200 7,220 Securities and other gains comprise net gains (losses) arising on assets and liabilities held at fair value through profit or loss as follows: 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m Net income arising on assets and liabilities mandatorily held at fair value through profit or loss: Financial instruments held for trading1 (1,049) 141 724 Other financial instruments mandatorily held at fair value through profit or loss: Debt securities, loans and advances (7,677) (1,153) 3,554 Equity shares (9,533) 17,096 2,729 (18,259) 16,084 7,007 Net expense arising on assets and liabilities designated at fair value through profit or loss (154) (65) (117) Securities and other (losses) gains (18,413) 16,019 6,890 1  Includes hedge ineffectiveness in respect of fair value hedges (2022: loss of \u00a341 million, 2021: gain of \u00a3177 million; 2020: gain of \u00a3547 million) and cash flow hedges (2022: loss of \u00a310 million, 2021: loss of \u00a369 million; 2020: loss of \u00a32 million). Note 8: Insurance premium income 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m Life insurance Gross premiums: Life and pensions, excluding annuities 7,711 7,515 6,941 Annuities 1,190 531 1,378 8,901 8,046 8,319 Ceded reinsurance premiums (369) (376) (333) Net earned premiums 8,532 7,670 7,986 Non-life insurance Net earned premiums 527 613 629 Total insurance premium income 9,059 8,283 8,615 Notes to the consolidated financial statements continued for the year ended 31 December Note 9: Other operating income 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m Operating lease rental income 1,077 1,059 1,120 Rental income from investment properties (note 26) 145 186 191 Gains less losses on disposal of financial assets at fair value through other comprehensive income (note 41) 92 (2) 149 Movement in value of in-force business (note 24) (80) (70) 76 Liability management (31) (22) (145) Share of results of joint ventures and associates (note 22) 10 2 (13) Other 63 19 45 Total other operating income 1,276 1,172 1,423 Note 10: Insurance claims and changes in insurance and investment contract liabilities 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m Life insurance and participating investment contracts Claims and surrenders (8,270) (9,063) (7,670) Change in insurance and participating investment contracts (note 31) 16,624 (7,474) (4,590) 8,354 (16,537) (12,260) Non-participating investment contracts Change in non-participating investment contracts 4,166 (4,581) (1,938) 12,520 (21,118) (14,198) Reinsurers\u2019 share 1 234 285 418 12,754 (20,833) (13,780) Change in unallocated surplus 60 35 57 Total life insurance and investment contracts 12,814 (20,798) (13,723) Non-life insurance Total non-life insurance claims, net of reinsurance (413) (322) (318) Total insurance claims and changes in insurance and investment contract liabilities 12,401 (21,120) (14,041) 1  Reinsurers\u2019 share compromises a credit of \u00a3nil (2021: charge of \u00a35 million) in respect of contracts classified as financial assets at fair value through profit or loss and a credit of \u00a3234 million (2021: credit of \u00a3290 million) in respect of contracts classified as reinsurance contracts. Total non-life insurance claims, net of reinsurance, in 2022 included weather-related claims of \u00a3116 million (2021: \u00a330 million). Of this, \u00a3108 million (2021: \u00a311 million) was related to severe weather events. Life insurance and participating investment contracts gross claims and surrenders can also be analysed as follows: 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m Deaths (731) (790) (694) Maturities including surrenders (6,161) (6,915) (5,514) Annuities (1,213) (1,194) (1,171) Other (165) (164) (291) Total life insurance gross claims and surrenders (8,270) (9,063) (7,670) Note 11: Operating expenses 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m Staff costs: Salaries 2,511 2,405 2,568 Performance-based compensation (see below) 458 335 117 Social security costs 341 308 287 Pensions and other post-retirement benefit schemes (note 35) 455 538 566 Restructuring costs 50 92 166 Other staff costs 257 207 131 4,072 3,885 3,835 Premises and equipment costs: Rent and rates 100 118 117 Repairs and maintenance 137 169 174 Other1 95 (26) 176 332 261 467 Other expenses: Communications and data processing 1,438 1,181 1,013 Advertising and promotion 170 161 187 Professional fees 265 210 189 UK bank levy 148 132 211 Regulatory and legal provisions (note 37) 255 1,300 464 Other 683 845 643 2,959 3,829 2,707 Depreciation and amortisation: Depreciation of property, plant and equipment 2 1,471 1,839 2,046 Amortisation of acquired value of in-force non-participating investment contracts (note 24) 22 24 26 Amortisation of other intangible assets (note 25) 903 962 660 2,396 2,825 2,732 Goodwill impairment (note 23) \u2013 \u2013 4 Total operating expenses 9,759 10,800 9,745 1  Net of profits on disposal of operating lease assets of \u00a3197 million (2021: \u00a3249 million; 2020: \u00a3127 million). 2  Comprising depreciation in respect of premises \u00a3114 million (2021: \u00a3123 million; 2020: \u00a3127 million), equipment \u00a3561 million (2021: \u00a3779 million; 2020: \u00a3680 million), operating lease assets \u00a3570 million (2021: \u00a3709 million; 2020: \u00a31,011 million) and right-of-use assets \u00a3226 million (2021: \u00a3228 million; 2020: \u00a3228 million). Performance-based compensation The tables below analyse the Group\u2019s performance-based compensation costs between those relating to the current performance year and those relating to earlier years. 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m Performance-based compensation expense comprises: Awards made in respect of the year ended 31 December 349 313 22 Awards made in respect of earlier years 109 22 95 458 335 117 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m Performance-based compensation expense deferred until later years comprises: Awards made in respect of the year ended 31 December 128 110 30 Awards made in respect of earlier years 20 22 31 148 132 61 Performance-based awards expensed in 2022 include cash awards amounting to \u00a3144 million (2021: \u00a3134 million; 2020: \u00a312 million). Average headcount The average number of persons on a headcount basis employed by the Group during the year was as follows: 2022 2021 2020 UK 62,587 64,250 67,881 Overseas 785 826 784 Total 63,372 65,076 68,665 Notes to the consolidated financial statements continued for the year ended 31 December Note 12: Auditors\u2019 remuneration Fees payable to the Company\u2019s auditors 1 by the Group are as follows: 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m Fees payable for the: \u2013 audit of the Company\u2019s current year annual report 1.9 1.8 1.7 \u2013 audits of the Company\u2019s subsidiaries 29.5 23.7 22.4 \u2013 total audit fees in respect of the statutory audit of Group entities2 31.4 25.5 24.1 \u2013 services normally provided in connection with statutory and regulatory filings or engagements 6.3 4.8 3.7 Total audit fees 3 37.7 30.3 27.8 Other audit-related fees3 1.5 0.5 0.5 All other fees 3 5.0 1.2 0.9 Total non-audit services4 6.5 1.7 1.4 Total fees payable to the Company\u2019s auditors by the Group 44.2 32.0 29.2 1  Deloitte LLP became the Group\u2019s statutory auditor in 2021. PricewaterhouseCoopers LLP was the statutory auditor during 2020. 2  As defined by the Financial Reporting Council (FRC). 3  As defined by the Securities and Exchange Commission (SEC). 4  As defined by the SEC. Total non-audit services as defined by the FRC include all fees other than audit fees in respect of the statutory audit of Group entities. These fees totalled \u00a312.8 million in 2022 (2021: \u00a36.5 million; 2020: \u00a35.1 million). The following types of services are included in the categories listed above: Audit fees: This category includes fees in respect of the audit of the Group\u2019s annual financial statements (including work related to the adoption of new accounting standards) and other services in connection with regulatory filings. Other services supplied pursuant to legislation relate primarily to costs incurred in connection with client asset assurance and with the Sarbanes-Oxley Act requirements associated with the audit of the Group\u2019s financial statements filed on its Form 20-F. Other audit-related fees: This category includes fees in respect of services for assurance and related services that are reasonably related to the performance of the audit or review of the financial statements, for example acting as reporting accountants in respect of debt prospectuses required by the Listing Rules. All other fees: This category includes other assurance services not related to the performance of the audit or review of the financial statements, for example, the review of controls operated by the Group on behalf of a third party. The auditors are not engaged to provide tax services. It is the Group\u2019s policy to use the auditors only on assignments in cases where their knowledge of the Group means that it is neither efficient nor cost effective to employ another firm of accountants. The Group has procedures that are designed to ensure auditor independence, including prohibiting certain non-audit services. All audit and non-audit assignments must be pre-approved by the Audit Committee on an individual engagement basis; for certain types of non-audit engagements where the fee is \u2018de minimis\u2019 the Audit Committee has pre-approved all assignments subject to confirmation by management. On a quarterly basis, the Audit Committee receives and reviews a report detailing all pre-approved services and amounts paid to the auditors for such pre-approved services. During the year, the auditors 1 also earned fees payable by entities outside the consolidated Lloyds Banking Group in respect of the following: 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m Audits of Group pension schemes 0.4 0.4 0.1 Audits of the unconsolidated Open-Ended Investment Companies managed by the Group 0.2 0.3 0.4 Reviews of the financial position of corporate and other borrowers \u2013 0.3 1.4 1  Deloitte LLP became the Group\u2019s statutory auditor in 2021. PricewaterhouseCoopers LLP was the statutory auditor during 2020. Note 13: Impairment Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m Year ended 31 December 2022 Impact of transfers between stages (24) 581 357 \u2013 914 Other changes in credit quality (278) 90 663 78 553 Additions and repayments 132 113 (69) (58) 118 Methodology and model changes 2 11 (47) (29) (63) Other items \u2013 \u2013 \u2013 \u2013 \u2013 (144) 214 547 (9) 608 Total impairment (credit) charge (168) 795 904 (9) 1,522 In respect of: Loans and advances to banks 12 2 \u2013 \u2013 14 Loans and advances to customers (217) 694 883 (9) 1,351 Debt securities 7 \u2013 \u2013 \u2013 7 Financial assets at amortised cost (198) 696 883 (9) 1,372 Other assets \u2013 \u2013 22 \u2013 22 Impairment charge on drawn balances (198) 696 905 (9) 1,394 Loan commitments and financial guarantees 24 99 (1) \u2013 122 Financial assets at fair value through other comprehensive income 6 \u2013 \u2013 \u2013 6 Total impairment (credit) charge (168) 795 904 (9) 1,522 Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m Year ended 31 December 2021 Impact of transfers between stages 75 (481) 339 \u2013 (67) Other changes in credit quality (331) (320) 252 (48) (447) Additions and repayments (246) (389) (96) (87) (818) Methodology and model changes (63) 15 6 \u2013 (42) Other items 2 4 (10) \u2013 (4) (638) (690) 152 (135) (1,311) Total impairment (credit) charge (563) (1,171) 491 (135) (1,378) In respect of: Loans and advances to banks (5) \u2013 \u2013 \u2013 (5) Loans and advances to customers (454) (1,025) 498 (135) (1,116) Debt securities \u2013 \u2013 \u2013 \u2013 \u2013 Financial assets at amortised cost (459) (1,025) 498 (135) (1,121) Other assets \u2013 \u2013 2 \u2013 2 Impairment (credit) charge on drawn balances (459) (1,025) 500 (135) (1,119) Loan commitments and financial guarantees (102) (146) (9) \u2013 (257) Financial assets at fair value through other comprehensive income (2) \u2013 \u2013 \u2013 (2) Total impairment (credit) charge (563) (1,171) 491 (135) (1,378) Notes to the consolidated financial statements continued for the year ended 31 December Note 13: Impairment continued Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m Year ended 31 December 2020 Impact of transfers between stages (169) 940 698 \u2013 1,469 Other changes in credit quality 946 22 1,192 167 2,327 Additions and repayments 98 177 (48) (30) 197 Methodology and model changes (44) 170 26 \u2013 152 Other items \u2013 \u2013 10 \u2013 10 1,000 369 1,180 137 2,686 Total impairment charge 831 1,309 1,878 137 4,155 In respect of: Loans and advances to banks 5 \u2013 \u2013 \u2013 5 Loans and advances to customers 697 1,151 1,865 137 3,850 Debt securities 1 \u2013 \u2013 \u2013 1 Financial assets at amortised cost 703 1,151 1,865 137 3,856 Other assets \u2013 \u2013 5 \u2013 5 Impairment charge on drawn balances 703 1,151 1,870 137 3,861 Loan commitments and financial guarantees 123 158 8 \u2013 289 Financial assets at fair value through other comprehensive income 5 \u2013 \u2013 \u2013 5 Total impairment charge 831 1,309 1,878 137 4,155 The impairment charge contained no release (2021: release of \u00a377 million; 2020: charge of \u00a341 million) in respect of residual value impairment and voluntary terminations within the Group\u2019s UK motor finance business. The Group\u2019s impairment charge comprises the following items: Impact of transfers between stages The net impact on the impairment charge of transfers between stages. Other changes in credit quality Changes in loss allowance as a result of movements in risk parameters that reflect changes in customer quality, but which have not resulted in a transfer to a different stage. This also contains the impact on the impairment charge as a result of write-offs and recoveries, where the related loss allowances are reassessed to reflect ultimate realisable or recoverable value. Additions and repayments Expected loss allowances are recognised on origination of new loans or further drawdowns of existing facilities. Repayments relate to the reduction of loss allowances resulting from the repayments of outstanding balances that have been provided against. Methodology and model changes Increase or decrease in impairment charge as a result of adjustments to the models used for expected credit loss calculations; as changes to either the model inputs or the underlying assumptions, as well as the impact of changing the models used. Movements in the Group\u2019s impairment allowances are shown in note 18. Note 14: Tax expense (A)  Analysis of tax (expense) credit for the year 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m UK corporation tax: Current tax on profit for the year (1,152) (1,472) (480) Adjustments in respect of prior years 31 94 355 (1,121) (1,378) (125) Foreign tax: Current tax on profit for the year (74) (51) (27) Adjustments in respect of prior years (9) 21 25 (83) (30) (2) Current tax expense (1,204) (1,408) (127) Deferred tax: Current year (390) 546 611 Adjustments in respect of prior years 221 (155) (323) Deferred tax (expense) credit (169) 391 288 Tax (expense) credit (1,373) (1,017) 161 The tax (expense) credit is made up as follows: 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m Tax (expense) credit attributable to policyholders (40) (163) 4 Shareholder tax (expense) credit (1,333) (854) 157 Tax (expense) credit (1,373) (1,017) 161 (B)  Factors affecting the tax (expense) credit for the year The UK corporation tax rate for the year was 19.0 per cent (2021: 19.0 per cent; 2020: 19.0 per cent). An explanation of the relationship between tax (expense) credit and accounting profit is set out below. 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m Profit before tax 6,928 6,902 1,226 UK corporation tax thereon (1,316) (1,311) (233) Impact of surcharge on banking profits (339) (439) (107) Non-deductible costs: conduct charges (5) (185) (24) Non-deductible costs: bank levy (28) (22) (38) Other non-deductible costs (72) (83) (74) Non-taxable income 134 40 59 Tax relief on coupons on other equity instruments 83 81 86 Tax-exempt gains on disposals 67 140 81 Tax losses where no deferred tax recognised 11 (1) (58) Remeasurement of deferred tax due to rate changes (53) 954 350 Differences in overseas tax rates (63) (19) 15 Policyholder tax (65) (63) (46) Policyholder deferred tax asset in respect of life assurance expenses 33 (69) 49 Adjustments in respect of prior years 243 (40) 104 Tax effect of share of results of joint ventures (3) \u2013 (3) Tax (expense) credit (1,373) (1,017) 161 On 17 November 2022 the UK Government confirmed its intention to implement the G20-OECD Inclusive Framework Pillar 2 rules in the UK, including a Qualified Domestic Minimum Top-Up Tax rule. This legislation, which is expected to be enacted in 2023, will seek to ensure that UK-headquartered multinational enterprises pay a minimum tax rate of 15 per cent on UK and overseas profits arising after 31 December 2023. As the UK rate of corporation tax in 2024 will be 25 per cent, and the Group\u2019s business is primarily in the UK, the impact of these rules on the Group is not expected to be material. Notes to the consolidated financial statements continued for the year ended 31 December Note 15: Earnings per share 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m Profit attributable to ordinary shareholders \u2013 basic and diluted 5,021 5,355 865 2022 million 2021 million 2020 million Weighted-average number of ordinary shares in issue \u2013 basic 68,847 70,937 70,606 Adjustment for share options and awards 835 848 650 Weighted-average number of ordinary shares in issue \u2013 diluted 69,682 71,785 71,256 Basic earnings per share 7.3p 7.5p 1.2p Diluted earnings per share 7.2p 7.5p 1.2p Basic earnings per share are calculated by dividing the net profit attributable to equity shareholders by the weighted-average number of ordinary shares in issue during the year, which has been calculated after deducting 198 million (2021: 19 million; 2020: 28 million) ordinary shares representing the Group\u2019s holdings of own shares in respect of employee share schemes. For the calculation of diluted earnings per share the weighted-average number of ordinary shares in issue is adjusted to assume conversion of all dilutive potential ordinary shares that arise in respect of share options and awards granted to employees. The number of shares that could have been acquired at the annual average price of the Company\u2019s shares based on the monetary value of the subscription rights attached to outstanding share options and awards is determined. This is deducted from the number of shares issuable under such options and awards to leave a residual bonus amount of shares which are added to the weighted- average number of ordinary shares in issue, but no adjustment is made to the profit attributable to equity shareholders. There were 63 million anti-dilutive share options and awards excluded from the calculation of diluted earnings per share (2021: 143 million; 2020: 647 million). Note 16: Financial assets at fair value through profit or loss These assets are comprised as follows: 2022 2021 Trading assets \u00a3m Other financial assets mandatorily at fair value through profit or loss \u00a3m Total \u00a3m Trading assets \u00a3m Other financial assets mandatorily at fair value through profit or loss \u00a3m Total \u00a3m Loans and advances to banks 16 3,329 3,345 486 3,684 4,170 Loans and advances to customers 11,766 9,761 21,527 14,435 10,933 25,368 Debt securities: Government securities 2,185 7,872 10,057 6,579 11,101 17,680 Other public sector securities \u2013 2,516 2,516 \u2013 2,731 2,731 Bank and building society certificates of deposit \u2013 7,133 7,133 \u2013 6,297 6,297 Asset-backed securities: Mortgage-backed securities 7 228 235 12 421 433 Other asset-backed securities 14 171 185 3 272 275 Corporate and other debt securities 228 17,693 17,921 245 19,557 19,802 2,434 35,613 38,047 6,839 40,379 47,218 Treasury and other bills \u2013 62 62 \u2013 19 19 Contracts held with reinsurers \u2013 10,906 10,906 \u2013 12,371 12,371 Equity shares \u2013 106,722 106,722 \u2013 117,625 117,625 Total 14,216 166,393 180,609 21,760 185,011 206,771 Other financial assets mandatorily at fair value through profit or loss include assets backing insurance contracts and investment contracts of \u00a3161,618 million (31 December 2021: \u00a3179,988 million). Included within these assets are investments in unconsolidated structured entities of \u00a368,913 million (31 December 2021: \u00a374,916 million), see note 48. For amounts included above which are subject to repurchase and reverse repurchase agreements see note 52. Note 17: Derivative financial instruments The fair values and notional amounts of derivative instruments are set out in the following table: 2022 2021 Contract/ notional amount \u00a3m Fair value assets \u00a3m Fair value liabilities \u00a3m Contract/ notional amount \u00a3m Fair value assets \u00a3m Fair value liabilities \u00a3m Trading and other Exchange rate contracts: Spot, forwards and futures 75,619 1,135 1,266 60,638 611 663 Currency swaps 373,735 7,181 7,480 319,882 3,451 3,171 Options purchased 7,820 417 \u2013 5,045 371 \u2013 Options written 7,049 \u2013 470 5,660 \u2013 428 464,223 8,733 9,216 391,225 4,433 4,262 Interest rate contracts: Interest rate swaps 6,108,594 14,073 12,308 3,582,028 14,775 10,814 Forward rate agreements 75,499 3 4 6,437 1 1 Options purchased 18,875 864 \u2013 19,145 1,907 \u2013 Options written 23,245 \u2013 986 18,483 \u2013 1,590 Futures 31,335 26 34 214,983 19 13 6,257,548 14,966 13,332 3,841,076 16,702 12,418 Credit derivatives 6,689 134 118 6,740 95 175 Equity and other contracts 16,490 845 849 12,539 735 878 Total derivative assets/liabilities \u2013 trading and other 6,744,950 24,678 23,515 4,251,580 21,965 17,733 Hedging Derivatives designated as fair value hedges: Interest rate and other swaps 152,662 10 503 172,695 46 308 Currency swaps 35 1 \u2013 34 7 \u2013 152,697 11 503 172,729 53 308 Derivatives designated as cash flow hedges: Interest rate swaps 249,703 1 3 109,093 6 1 Exchange rate forward rate agreements 1,542 63 21 1,895 27 18 251,245 64 24 110,988 33 19 Total derivative assets/liabilities \u2013 hedging 403,942 75 527 283,717 86 327 Total recognised derivative assets/liabilities 7,148,892 24,753 24,042 4,535,297 22,051 18,060 The notional amount of the contract does not represent the Group\u2019s exposure to credit risk, which is limited to the current cost of replacing contracts with a positive value to the Group should the counterparty default. To reduce credit risk the Group uses a variety of credit enhancement techniques such as netting and collateralisation, where security is provided against the exposure; a large proportion of the Group\u2019s derivatives are held through exchanges such as London Clearing House and are collateralised through those exchanges. Further details are provided in note 52 Credit risk. The Group holds derivatives as part of the following strategies: \u2022 Customer driven, where derivatives are held as part of the provision of risk management products to Group customers \u2022 To manage and hedge the Group\u2019s interest rate and foreign exchange risk arising from normal banking business. The hedge accounting strategy adopted by the Group is to utilise a combination of fair value and cash flow hedge approaches as described in note 52 \u2022 Derivatives held in policyholder funds as permitted by the investment strategies of those funds The principal derivatives used by the Group are as follows: \u2022 Interest rate related contracts include interest rate swaps, forward rate agreements and options. An interest rate swap is an agreement between two parties to exchange fixed and floating interest payments, based upon interest rates defined in the contract, without the exchange of the underlying principal amounts. Forward rate agreements are contracts for the payment of the difference between a specified rate of interest and a reference rate, applied to a notional principal amount at a specific date in the future. An interest rate option gives the buyer, on payment of a premium, the right, but not the obligation, to fix the rate of interest on a future loan or deposit, for a specified period and commencing on a specified future date \u2022 Exchange rate related contracts include forward foreign exchange contracts, currency swaps and options. A forward foreign exchange contract is an agreement to buy or sell a specified amount of foreign currency on a specified future date at an agreed rate. Currency swaps generally involve the exchange of interest payment obligations denominated in different currencies; the exchange of principal can be notional or actual. A currency option gives the buyer, on payment of a premium, the right, but not the obligation, to sell specified amounts of currency at agreed rates of exchange on or before a specified future date \u2022 Credit derivatives, principally credit default swaps, are used by the Group as part of its trading activity and to manage its own exposure to credit risk. A credit default swap is a swap in which one counterparty receives a premium at pre-set intervals in consideration for guaranteeing to make a specific payment should a negative credit event take place \u2022 Equity derivatives are also used by the Group as part of its equity-based retail product activity to eliminate the Group\u2019s exposure to fluctuations in various international stock exchange indices. Index-linked equity options are purchased which give the Group the right, but not the obligation, to buy or sell a specified amount of equities, or basket of equities, in the form of published indices on or before a specified future date Notes to the consolidated financial statements continued for the year ended 31 December Note 17: Derivative financial instruments continued Details of the Group\u2019s hedging instruments are set out below: Maturity At 31 December 2022 Up to 1 month \u00a3m 1\u20133 months \u00a3m 3\u201312 months \u00a3m 1\u20135 years \u00a3m Over 5 years \u00a3m Total \u00a3m Fair value hedges Interest rate Cross currency swap Notional \u2013 \u2013 \u2013 \u2013 35 35 Average fixed interest rate \u2013 \u2013 \u2013 \u2013 1.28% Average EUR/GBP exchange rate \u2013 \u2013 \u2013 \u2013 1.38 Interest rate swap Notional 1,904 12,765 37,488 64,307 36,198 152,662 Average fixed interest rate 1.51% 0.17% 0.72% 1.92% 1.94% Cash flow hedges Foreign exchange Currency swap Notional \u2013 \u2013 509 1,004 29 1,542 Average EUR/GBP exchange rate \u2013 \u2013 1.15 1.10 1.04 Average USD/GBP exchange rate \u2013 \u2013 1.24 1.25 \u2013 Interest rate Interest rate swap Notional 4,741 6,472 26,175 161,391 50,924 249,703 Average fixed interest rate 3.01% 1.18% 2.36% 2.40% 1.60% Maturity At 31 December 2021 Up to 1 month \u00a3m 1\u20133 months \u00a3m 3\u201312 months \u00a3m 1\u20135 years \u00a3m Over 5 years \u00a3m Total \u00a3m Fair value hedges Interest rate Cross currency swap Notional \u2013 \u2013 \u2013 \u2013 34 34 Average fixed interest rate \u2013 \u2013 \u2013 \u2013 1.28% Average EUR/GBP exchange rate \u2013 \u2013 \u2013 \u2013 1.38 Interest rate swap Notional 1,396 2,784 18,568 121,878 28,069 172,695 Average fixed interest rate 2.84% 1.31% 0.95% 0.68% 1.94% Cash flow hedges Foreign exchange Currency swap Notional 46 200 821 828 \u2013 1,895 Average USD/GBP exchange rate 1.36 1.36 1.36 1.35 1.27 Interest rate Interest rate swap Notional 1,000 625 10,428 58,896 38,144 109,093 Average fixed interest rate 0.00% 0.23% 0.55% 0.81% 0.65% Note 17: Derivative financial instruments continued The carrying amounts of the Group\u2019s hedging instruments are as follows: Carrying amount of the hedging instrument At 31 December 2022 Contract/ notional amount \u00a3m Assets \u00a3m Liabilities \u00a3m Changes in fair value used for calculating hedge ineffectiveness \u00a3m Fair value hedges Interest rate Currency swaps 35 1 \u2013 (2) Interest rate swaps 152,662 10 503 1,286 Cash flow hedges Foreign exchange Currency swaps 1,542 63 21 198 Interest rate Interest rate swaps 249,703 1 3 (6,990) Carrying amount of the hedging instrument At 31 December 2021 Contract/ notional amount \u00a3m Assets \u00a3m Liabilities \u00a3m Changes in fair value used for calculating hedge ineffectiveness \u00a3m Fair value hedges Interest rate Currency swaps 34 7 \u2013 (2) Interest rate swaps 172,695 46 308 946 Cash flow hedges Foreign exchange Currency swaps 1,895 27 18 (6) Interest rate Interest rate swaps 109,093 6 1 (2,642) All amounts are held within derivative financial instruments. Notes to the consolidated financial statements continued for the year ended 31 December Note 17: Derivative financial instruments continued The Group\u2019s hedged items are as follows: Carrying amount of the hedged item Accumulated amount of fair value adjustment on the hedged item Change in fair value of hedged item for ineffectiveness assessment \u00a3m Cash flow hedging reserve At 31 December 2022 Assets \u00a3m Liabilities \u00a3m Assets \u00a3m Liabilities \u00a3m Continuing hedges \u00a3m Discontinued hedges \u00a3m Fair value hedges Interest rate Fixed rate mortgages 1 73,282 \u2013 (2,602) \u2013 (3,198) Fixed rate issuance 2 \u2013 52,190 \u2013 2,392 4,223 Fixed rate bonds 3 19,259 \u2013 (1,549) \u2013 (2,350) Cash flow hedges Foreign exchange Foreign currency issuance 2 (198) 134 90 Customer deposits 4 \u2013 \u2013 3 Interest rate Customer loans 1 5,636 (5,587) (868) Central bank balances 5 2,703 (2,130) (965) Customer deposits 4 (1,295) 1,781 (76) Carrying amount of the hedged item Accumulated amount of fair value adjustment on the hedged item Change in fair value of hedged item for ineffectiveness assessment \u00a3m Cash flow hedging reserve At 31 December 2021 Assets \u00a3m Liabilities \u00a3m Assets \u00a3m Liabilities \u00a3m Continuing hedges \u00a3m Discontinued hedges \u00a3m Fair value hedges Interest rate Fixed rate mortgages 1 88,791 \u2013 (872) \u2013 (2,080) Fixed rate issuance 2 \u2013 58,648 \u2013 1,967 2,071 Fixed rate bonds 3 25,019 \u2013 342 \u2013 (758) Cash flow hedges Foreign exchange Foreign currency issuance 2 (15) (28) 76 Customer deposits 4 21 \u2013 \u2013 Interest rate Customer loans 1 1,873 (742) 378 Central bank balances 5 767 (212) (78) Customer deposits 4 (110) 43 (109) 1  Included within loans and advances to customers. 2  Included within debt securities in issue. 3  Included within financial assets at fair value through other comprehensive income. 4  Included within customer deposits. 5  Included within cash and balances at central banks. The accumulated amount of fair value hedge adjustments remaining in the balance sheet for hedged items that have ceased to be adjusted for hedging gains and losses is a liability of \u00a31,988 million relating to fixed rate issuances of \u00a3760 million and mortgages of \u00a31,228 million (2021: liability of \u00a31,071 million relating to fixed rate issuances of \u00a3793 million and mortgages of \u00a3278 million). Note 17: Derivative financial instruments continued Gains and losses arising from hedge accounting are summarised as follows: Gain (loss) recognised in other comprehensive income \u00a3m Hedge ineffectiveness recognised in the income statement1 \u00a3m Amounts reclassified from reserves to income statement as: At 31 December 2022 Hedged cash flows will no longer occur \u00a3m Hedged item affected income statement \u00a3m Income statement line item that includes reclassified amount Fair value hedges Interest rate Fixed rate mortgages 22 Fixed rate issuance (49) Fixed rate bonds (14) Cash flow hedges Foreign exchange Foreign currency issuance 198 \u2013 \u2013 (22) Interest expense Customer deposits 3 \u2013 \u2013 \u2013 Interest expense Interest rate Customer loans (6,145) (30) \u2013 53 Interest income Central bank balances (2,831) \u2013 \u2013 26 Interest income Customer deposits 1,785 20 \u2013 (14) Interest expense Gain (loss) recognised in other comprehensive income \u00a3m Hedge ineffectiveness recognised in the income statement1 \u00a3m Amounts reclassified from reserves to income statement as: At 31 December 2021 Hedged cash flows will no longer occur \u00a3m Hedged item affected income statement \u00a3m Income statement line item that includes reclassified amount Fair value hedges Interest rate Fixed rate mortgages 207 Fixed rate issuance (23) Fixed rate bonds (7) Cash flow hedges Foreign exchange Foreign currency issuance 16 \u2013 3 (18) Interest expense Customer deposits 28 \u2013 \u2013 \u2013 Interest expense Interest rate Customer loans (1,830) (43) \u2013 (456) Interest income Central bank balances (515) (27) \u2013 (180) Interest income Customer deposits 22 1 \u2013 30 Interest expense 1  Hedge ineffectiveness is included in the income statement within net trading income. In 2021 there was a loss of \u00a33 million (2022: \u00a3nil) reclassified from the cash flow hedging reserve for which hedge accounting had previously been used but for which the hedged future cash flows are no longer expected to occur. Notes to the consolidated financial statements continued for the year ended 31 December Note 18: Financial assets at amortised cost Year ended 31 December 2022 Gross carrying amount Allowance for expected credit losses Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m Loans and advances to banks At 1 January 2022 7,002 \u2013 \u2013 \u2013 7,002 1 \u2013 \u2013 \u2013 1 Exchange and other adjustments 558 \u2013 \u2013 \u2013 558 \u2013 \u2013 \u2013 \u2013 \u2013 Transfers to Stage 2 (3) 3 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 Impact of transfers between stages (3) 3 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 Other changes in credit quality 7 \u2013 \u2013 \u2013 7 Additions and repayments 3,063 24 \u2013 \u2013 3,087 5 2 \u2013 \u2013 7 Charge to the income statement 12 2 \u2013 \u2013 14 At 31 December 2022 10,620 27 \u2013 \u2013 10,647 13 2 \u2013 \u2013 15 Allowance for impairment losses (13) (2) \u2013 \u2013 (15) Net carrying amount 10,607 25 \u2013 \u2013 10,632 Loans and advances to customers At 1 January 2022 400,036 34,931 6,443 10,977 452,387 915 1,114 1,581 210 3,820 Exchange and other adjustments 1 (393) 15 (23) 12 (389) 2 \u2013 39 65 106 Transfers to Stage 1 8,330 (8,257) (73) \u2013 176 (167) (9) \u2013 Transfers to Stage 2 (35,046) 35,448 (402) \u2013 (66) 135 (69) \u2013 Transfers to Stage 3 (1,250) (2,528) 3,778 \u2013 (8) (158) 166 \u2013 Impact of transfers between stages (27,966) 24,663 3,303 \u2013 (120) 701 268 849 (18) 511 356 849 Other changes in credit quality (311) 74 665 78 506 Additions and repayments 9,314 1,555 (1,337) (1,354) 8,178 110 98 (91) (58) 59 Methodology and model changes 2 11 (47) (29) (63) (Credit) charge to the income statement (217) 694 883 (9) 1,351 Advances written off (928) (13) (941) (928) (13) (941) Recoveries of advances written off in previous years 182 \u2013 182 182 \u2013 182 At 31 December 2022 380,991 61,164 7,640 9,622 459,417 700 1,808 1,757 253 4,518 Allowance for impairment losses (700) (1,808) (1,757) (253) (4,518) Net carrying amount 380,291 59,356 5,883 9,369 454,899 Drawn ECL coverage 2 (%) 0.2 3.0 23.0 2.6 1.0 Reverse repurchase agreements At 31 December 2022 44,865 \u2013 \u2013 \u2013 44,865 Allowance for impairment losses \u2013 \u2013 \u2013 \u2013 \u2013 Net carrying amount 44,865 \u2013 \u2013 \u2013 44,865 1  Exchange and other adjustments includes the impact of movements in exchange rates, discount unwind, derecognising assets as a result of modifications and adjustments in respect of purchased or originated credit-impaired financial assets (POCI). Where a POCI asset\u2019s expected credit loss is less than its expected credit loss on purchase or origination, the increase in its carrying value is recognised within gross loans, rather than as a negative impairment allowance. 2  Allowance for expected credit losses on loans and advances to customers as a percentage of gross loans and advances to customers . Note 18: Financial assets at amortised cost continued Gross carrying amount Allowance for expected credit losses Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m Debt securities At 1 January 2022 6,827 9 2 \u2013 6,838 1 \u2013 2 \u2013 3 Exchange and other adjustments 408 \u2013 (1) \u2013 407 \u2013 \u2013 (1) \u2013 (1) Transfers to Stage 1 9 (9) \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 Impact of transfers between stages 9 (9) \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 Other changes in credit quality 3 \u2013 \u2013 \u2013 3 Additions and repayments 2,690 \u2013 \u2013 \u2013 2,690 4 \u2013 \u2013 \u2013 4 Charge to the income statement 7 \u2013 \u2013 \u2013 7 At 31 December 2022 9,934 \u2013 1 \u2013 9,935 8 \u2013 1 \u2013 9 Allowance for impairment losses (8) \u2013 (1) \u2013 (9) Net carrying amount 9,926 \u2013 \u2013 \u2013 9,926 Total financial assets at amortised cost 445,689 59,381 5,883 9,369 520,322 The total allowance for impairment losses includes \u00a392 million (2021: \u00a395 million) in respect of residual value impairment and voluntary terminations within the Group\u2019s UK motor finance business. Movements in Retail UK mortgage balances were as follows: Gross carrying amount Allowance for expected credit losses Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m Retail \u2013 UK mortgages At 1 January 2022 273,629 21,798 1,940 10,977 308,344 48 394 184 210 836 Exchange and other adjustments 1 \u2013 \u2013 \u2013 12 12 \u2013 \u2013 28 65 93 Transfers to Stage 1 5,107 (5,096) (11) \u2013 28 (27) (1) \u2013 Transfers to Stage 2 (26,043) 26,204 (161) \u2013 (14) 25 (11) \u2013 Transfers to Stage 3 (444) (1,793) 2,237 \u2013 \u2013 (63) 63 \u2013 Impact of transfers between stages (21,380) 19,315 2,065 \u2013 (25) 254 98 327 (11) 189 149 327 Other changes in credit quality 36 (9) 54 78 159 Additions and repayments 5,268 670 (585) (1,354) 3,999 18 (10) (45) (58) (95) Methodology and model changes \u2013 (12) (55) (29) (96) Charge (credit) to the income statement 43 158 103 (9) 295 Advances written off (28) (13) (41) (28) (13) (41) Recoveries of advances written off in previous years 24 \u2013 24 24 \u2013 24 At 31 December 2022 257,517 41,783 3,416 9,622 312,338 91 552 311 253 1,207 Allowance for impairment losses (91) (552) (311) (253) (1,207) Net carrying amount 257,426 41,231 3,105 9,369 311,131 Drawn ECL coverage (%) \u2013 1.3 9.1 2.6 0.4 1  Exchange and other adjustments includes the impact of movements in exchange rates, discount unwind, derecognising assets as a result of modifications and adjustments in respect of purchased or originated credit-impaired financial assets (POCI). Where a POCI asset\u2019s expected credit loss is less than its expected credit loss on purchase or origination, the increase in its carrying value is recognised within gross loans, rather than as a negative impairment allowance . Notes to the consolidated financial statements continued for the year ended 31 December Note 18: Financial assets at amortised cost continued Movements in Retail credit cards were as follows: Gross carrying amount Allowance for expected credit losses Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m Total \u00a3m Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m Total \u00a3m Retail \u2013 credit cards At 1 January 2022 11,918 2,077 292 14,287 96 218 128 442 Exchange and other adjustments (13) (2) \u2013 (15) 4 2 (16) (10) Transfers to Stage 1 569 (566) (3) \u2013 48 (47) (1) \u2013 Transfers to Stage 2 (1,319) 1,358 (39) \u2013 (16) 36 (20) \u2013 Transfers to Stage 3 (184) (191) 375 \u2013 (3) (43) 46 \u2013 Impact of transfers between stages (934) 601 333 \u2013 (26) 185 73 232 3 131 98 232 Other changes in credit quality 15 22 227 264 Additions and repayments 445 611 (14) 1,042 (1) 33 (5) 27 Methodology and model changes 3 27 3 33 Charge to the income statement 20 213 323 556 Advances written off (413) (413) (413) (413) Recoveries of advances written off in previous years 91 91 91 91 At 31 December 2022 11,416 3,287 289 14,992 120 433 113 666 Allowance for impairment losses (120) (433) (113) (666) Net carrying amount 11,296 2,854 176 14,326 Drawn ECL coverage (%) 1.1 13.2 39.1 4.4 Movements in Commercial Banking lending were as follows: Gross carrying amount Allowance for expected credit losses Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m Total \u00a3m Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m Total \u00a3m Commercial Banking At 1 January 2022 82,719 7,530 3,563 93,812 125 260 956 1,341 Exchange and other adjustments 748 6 (20) 734 4 (2) 41 43 Transfers to Stage 1 1,723 (1,676) (47) \u2013 55 (55) \u2013 \u2013 Transfers to Stage 2 (5,807) 5,950 (143) \u2013 (11) 19 (8) \u2013 Transfers to Stage 3 (404) (326) 730 \u2013 (2) (14) 16 \u2013 Impact of transfers between stages (4,488) 3,948 540 \u2013 (44) 131 7 94 (2) 81 15 94 Other changes in credit quality 35 36 192 263 Additions and repayments 1,530 9 (587) 952 59 57 (9) 107 Methodology and model changes (7) (18) \u2013 (25) Charge to the income statement 85 156 198 439 Advances written off (127) (127) (127) (127) Recoveries of advances written off in previous years 2 2 2 2 At 31 December 2022 80,509 11,493 3,371 95,373 214 414 1,070 1,698 Allowance for impairment losses (214) (414) (1,070) (1,698) Net carrying amount 80,295 11,079 2,301 93,675 Drawn ECL coverage (%) 0.3 3.6 31.7 1.8 Note 18: Financial assets at amortised cost continued Movements in the allowance for expected credit losses in respect of undrawn balances were as follows: Allowance for expected credit losses Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m Undrawn balances At 1 January 2022 109 86 5 \u2013 200 Exchange and other adjustments 1 \u2013 \u2013 \u2013 1 Transfers to Stage 1 19 (19) \u2013 \u2013 Transfers to Stage 2 (9) 10 (1) \u2013 Transfers to Stage 3 (1) (2) 3 \u2013 Impact of transfers between stages (15) 81 (1) 65 (6) 70 1 65 Other items taken to the income statement 30 29 (2) \u2013 57 Charge (credit) to the income statement 24 99 (1) \u2013 122 At 31 December 2022 134 185 4 \u2013 323 The Group\u2019s total impairment allowances were as follows: Allowance for expected credit losses Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m In respect of: Loans and advances to banks 13 2 \u2013 \u2013 15 UK mortgages 91 552 311 253 1,207 Credit cards 120 433 113 \u2013 666 Other 275 409 259 \u2013 943 Retail 486 1,394 683 253 2,816 Commercial Banking 214 414 1,070 \u2013 1,698 Other \u2013 \u2013 4 \u2013 4 Loans and advances to customers 700 1,808 1,757 253 4,518 Debt securities 8 \u2013 1 \u2013 9 Financial assets at amortised cost 721 1,810 1,758 253 4,542 Other assets \u2013 \u2013 38 \u2013 38 Provisions in relation to loan commitments and financial guarantees 134 185 4 \u2013 323 Total 855 1,995 1,800 253 4,903 Expected credit loss in respect of financial assets at fair value through other comprehensive income (memorandum item) 9 \u2013 \u2013 \u2013 9 Notes to the consolidated financial statements continued for the year ended 31 December Note 18: Financial assets at amortised cost continued Year ended 31 December 2021 Gross carrying amount Allowance for expected credit losses Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m Loans and advances to banks At 1 January 2021 8,066 \u2013 \u2013 \u2013 8,066 6 \u2013 \u2013 \u2013 6 Exchange and other adjustments (11) \u2013 \u2013 \u2013 (11) \u2013 \u2013 \u2013 \u2013 \u2013 Other changes in credit quality (5) \u2013 \u2013 \u2013 (5) Additions and repayments (1,053) \u2013 \u2013 \u2013 (1,053) \u2013 \u2013 \u2013 \u2013 \u2013 Credit to the income statement (5) \u2013 \u2013 \u2013 (5) At 31 December 2021 7,002 \u2013 \u2013 \u2013 7,002 1 \u2013 \u2013 \u2013 1 Allowance for impairment losses (1) \u2013 \u2013 \u2013 (1) Net carrying amount 7,001 \u2013 \u2013 \u2013 7,001 Loans and advances to customers At 1 January 2021 375,300 51,659 6,490 12,511 445,960 1,372 2,145 1,982 261 5,760 Exchange and other adjustments 1 (2,686) (39) (81) 68 (2,738) (3) (6) (1) 121 111 Transfers to Stage 1 18,705 (18,665) (40) \u2013 564 (553) (11) \u2013 Transfers to Stage 2 (12,009) 12,724 (715) \u2013 (48) 155 (107) \u2013 Transfers to Stage 3 (872) (1,822) 2,694 \u2013 (13) (220) 233 \u2013 Impact of transfers between stages 5,824 (7,763) 1,939 \u2013 (428) 195 221 (12) 75 (423) 336 (12) Other changes in credit quality (245) (271) 255 (48) (309) Additions and repayments 21,598 (8,926) (1,007) (1,565) 10,100 (221) (346) (99) (87) (753) Methodology and model changes (63) 15 6 \u2013 (42) (Credit) charge to the income statement (454) (1,025) 498 (135) (1,116) Advances written off (1,058) (37) (1,095) (1,058) (37) (1,095) Recoveries of advances written off in previous years 160 \u2013 160 160 \u2013 160 At 31 December 2021 400,036 34,931 6,443 10,977 452,387 915 1,114 1,581 210 3,820 Allowance for impairment losses (915) (1,114) (1,581) (210) (3,820) Net carrying amount 399,121 33,817 4,862 10,767 448,567 Drawn ECL coverage (%) 0.2 3.2 24.5 1.9 0.8 Reverse repurchase agreements At 31 December 2021 54,753 \u2013 \u2013 \u2013 54,753 Allowance for impairment losses \u2013 \u2013 \u2013 \u2013 \u2013 Net carrying amount 54,753 \u2013 \u2013 \u2013 54,753 1  Exchange and other adjustments includes the impact of movements in exchange rates, discount unwind, derecognising assets as a result of modifications and adjustments in respect of purchased or originated credit-impaired financial assets (POCI). Where a POCI asset\u2019s expected credit loss is less than its expected credit loss on purchase or origination, the increase in its carrying value is recognised within gross loans, rather than as a negative impairment allowance . Note 18: Financial assets at amortised cost continued Gross carrying amount Allowance for expected credit losses Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m Debt securities At 1 January 2021 5,406 \u2013 2 \u2013 5,408 1 \u2013 2 \u2013 3 Exchange and other adjustments (20) \u2013 \u2013 \u2013 (20) \u2013 \u2013 \u2013 \u2013 \u2013 Transfers to Stage 2 (6) 6 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 Impact of transfers between stages (6) 6 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 Additions and repayments 1,447 3 \u2013 \u2013 1,450 \u2013 \u2013 \u2013 \u2013 \u2013 Charge to the income statement \u2013 \u2013 \u2013 \u2013 \u2013 At 31 December 2021 6,827 9 2 \u2013 6,838 1 \u2013 2 \u2013 3 Allowance for impairment losses (1) \u2013 (2) \u2013 (3) Net carrying amount 6,826 9 \u2013 \u2013 6,835 Total financial assets at amortised cost 467,701 33,826 4,862 10,767 517,156 Movements in Retail UK mortgage balances were as follows: Gross carrying amount Allowance for expected credit losses Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m Retail \u2013 UK mortgages At 1 January 2021 251,418 29,018 1,859 12,511 294,806 104 468 191 261 1,024 Exchange and other adjustments 1 \u2013 \u2013 \u2013 68 68 \u2013 \u2013 18 121 139 Transfers to Stage 1 10,109 (10,105) (4) \u2013 66 (66) \u2013 \u2013 Transfers to Stage 2 (6,930) 7,425 (495) \u2013 (5) 37 (32) \u2013 Transfers to Stage 3 (147) (942) 1,089 \u2013 \u2013 (35) 35 \u2013 Impact of transfers between stages 3,032 (3,622) 590 \u2013 (58) 84 48 74 3 20 51 74 Other changes in credit quality (14) (32) (30) (48) (124) Additions and repayments 19,179 (3,598) (490) (1,565) 13,526 8 (52) (33) (87) (164) Methodology and model changes (53) (10) 6 \u2013 (57) Credit to the income statement (56) (74) (6) (135) (271) Advances written off (28) (37) (65) (28) (37) (65) Recoveries of advances written off in previous years 9 \u2013 9 9 \u2013 9 At 31 December 2021 273,629 21,798 1,940 10,977 308,344 48 394 184 210 836 Allowance for impairment losses (48) (394) (184) (210) (836) Net carrying amount 273,581 21,404 1,756 10,767 307,508 Drawn ECL coverage (%) \u2013 1.8 9.5 1.9 0.3 1  Exchange and other adjustments includes the impact of movements in exchange rates, discount unwind, derecognising assets as a result of modifications and adjustments in respect of purchased or originated credit-impaired financial assets (POCI). Where a POCI asset\u2019s expected credit loss is less than its expected credit loss on purchase or origination, the increase in its carrying value is recognised within gross loans, rather than as a negative impairment allowance . Notes to the consolidated financial statements continued for the year ended 31 December Note 18: Financial assets at amortised cost continued Movements in Retail credit cards were as follows: Gross carrying amount Allowance for expected credit losses Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m Total \u00a3m Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m Total \u00a3m Retail \u2013 credit cards At 1 January 2021 11,301 3,273 340 14,914 155 458 153 766 Exchange and other adjustments (29) (7) (1) (37) 7 13 (13) 7 Transfers to Stage 1 1,610 (1,605) (5) \u2013 190 (188) (2) \u2013 Transfers to Stage 2 (513) 558 (45) \u2013 (10) 34 (24) \u2013 Transfers to Stage 3 (137) (259) 396 \u2013 (4) (77) 81 \u2013 Impact of transfers between stages 960 (1,306) 346 \u2013 (115) 46 71 2 61 (185) 126 2 Other changes in credit quality (65) (50) 230 115 Additions and repayments (314) 117 (35) (232) (62) (18) (10) (90) Methodology and model changes \u2013 \u2013 \u2013 \u2013 (Credit) charge to the income statement (66) (253) 346 27 Advances written off (444) (444) (444) (444) Recoveries of advances written off in previous years 86 86 86 86 At 31 December 2021 11,918 2,077 292 14,287 96 218 128 442 Allowance for impairment losses (96) (218) (128) (442) Net carrying amount 11,822 1,859 164 13,845 Drawn ECL coverage (%) 0.8 10.5 43.8 3.1 Movements in Commercial Banking lending were as follows: Gross carrying amount Allowance for expected credit losses Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m Total \u00a3m Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m Total \u00a3m Commercial Banking At 1 January 2021 78,868 15,058 3,576 97,502 299 733 1,290 2,322 Exchange and other adjustments 151 (1) (77) 73 (3) (5) 18 10 Transfers to Stage 1 5,744 (5,729) (15) \u2013 192 (191) (1) \u2013 Transfers to Stage 2 (3,146) 3,273 (127) \u2013 (19) 48 (29) \u2013 Transfers to Stage 3 (335) (284) 619 \u2013 (2) (29) 31 \u2013 Impact of transfers between stages 2,263 (2,740) 477 \u2013 (176) 40 6 (130) (5) (132) 7 (130) Other changes in credit quality (101) (133) (159) (393) Additions and repayments 1,437 (4,787) (215) (3,565) (65) (203) (2) (270) Methodology and model changes \u2013 \u2013 \u2013 \u2013 Credit to the income statement (171) (468) (154) (793) Advances written off (200) (200) (200) (200) Recoveries of advances written off in previous years 2 2 2 2 At 31 December 2021 82,719 7,530 3,563 93,812 125 260 956 1,341 Allowance for impairment losses (125) (260) (956) (1,341) Net carrying amount 82,594 7,270 2,607 92,471 Drawn ECL coverage (%) 0.2 3.5 26.8 1.4 Note 18: Financial assets at amortised cost continued Movements in the allowance for expected credit losses in respect of undrawn balances were as follows: Allowance for expected credit losses Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m Undrawn balances At 1 January 2021 212 234 13 \u2013 459 Exchange and other adjustments (1) (2) 1 \u2013 (2) Transfers to Stage 1 78 (78) \u2013 \u2013 Transfers to Stage 2 (8) 8 \u2013 \u2013 Transfers to Stage 3 (1) (6) 7 \u2013 Impact of transfers between stages (69) 18 (4) (55) \u2013 (58) 3 (55) Other items taken to the income statement (102) (88) (12) \u2013 (202) Credit to the income statement (102) (146) (9) \u2013 (257) At 31 December 2021 109 86 5 \u2013 200 The Group\u2019s total impairment allowances were as follows: Allowance for expected credit losses Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m In respect of: Loans and advances to banks 1 \u2013 \u2013 \u2013 1 UK mortgages 48 394 184 210 836 Credit cards 96 218 128 \u2013 442 Other 246 242 307 \u2013 795 Retail 390 854 619 210 2,073 Commercial Banking 125 260 956 \u2013 1,341 Other 400 \u2013 6 \u2013 406 Loans and advances to customers 915 1,114 1,581 210 3,820 Debt securities 1 \u2013 2 \u2013 3 Financial assets at amortised cost 917 1,114 1,583 210 3,824 Other assets \u2013 \u2013 18 \u2013 18 Provisions in relation to loan commitments and financial guarantees 109 86 5 \u2013 200 Total 1,026 1,200 1,606 210 4,042 Expected credit loss in respect of financial assets at fair value through other comprehensive income (memorandum item) 3 \u2013 \u2013 \u2013 3 The movement tables are compiled by comparing the position at 31 December to that at the beginning of the year. Transfers between stages are deemed to have taken place at the start of the reporting period, with all other movements shown in the stage in which the asset is held at 31 December, with the exception of those held within purchased or originated credit-impaired, which are not transferable. Additions and repayments comprise new loans originated and repayments of outstanding balances throughout the reporting period. Loans which are written off in the period are first transferred to Stage 3 before acquiring a full allowance and subsequent write-off. Notes to the consolidated financial statements continued for the year ended 31 December Note 19: Allowance for expected credit losses The calculation of the Group\u2019s expected credit loss allowances and provisions against loan commitments and guarantees, which are set out in note 18, under IFRS 9 requires the Group to make a number of judgements, assumptions and estimates. The most significant are set out below: Definition of default The probability of default (PD) of an exposure, both over a 12-month period and over its lifetime, is a key input to the measurement of the ECL allowance. Default has occurred when there is evidence that the customer is experiencing significant financial difficulty which is likely to affect the ability to repay amounts due. The definition of default adopted by the Group is described in note 2(H) Impairment of financial assets. IFRS 9 contains a rebuttable presumption that default occurs no later than when a payment is 90 days past due which the Group now uses for all its products following changes to the definition of default for UK mortgages on 1 January 2022. In addition, other indicators of mortgage default were added including end-of-term payments on past due interest-only accounts and loans considered non-performing due to recent arrears or forbearance, aligning the definition of Stage 3 credit-impaired for IFRS 9 to the CRD IV prudential regulatory definition of default. This change in definition of default contributes to the \u00a31.5 billion increase in Stage 3 UK mortgages during the period. Lifetime of an exposure A range of approaches, segmented by product type, has been adopted by the Group to estimate a product\u2019s expected life. These include using the full contractual life and taking into account behavioural factors such as early repayments, extensions and refinancing. For non-revolving retail assets, the Group has assumed the expected life for each product to be the time taken for all significant losses to be observed. For revolving retail products, the Group has considered the losses beyond the contractual term over which the Group is exposed to credit risk. For commercial overdraft facilities, the average behavioural life has been used. Changes to the assumed expected lives of the Group\u2019s assets could impact the ECL allowance recognised by the Group. The assessment of SICR and corresponding lifetime loss, and the PD, of a financial asset designated as Stage 2, or Stage 3, is dependent on its expected life. Significant increase in credit risk Performing assets are classified as either Stage 1 or Stage 2. An ECL allowance equivalent to 12 months\u2019 expected losses is established against assets in Stage 1; assets classified as Stage 2 carry an ECL allowance equivalent to lifetime expected losses. Assets are transferred from Stage 1 to Stage 2 when there has been a significant increase in credit risk (SICR) since initial recognition. Credit- impaired assets are transferred to Stage 3 with a lifetime expected losses allowance. The Group uses both quantitative and qualitative indicators to determine whether there has been a SICR for an asset. For Retail, the following tables set out the retail master scale (RMS) grade triggers which result in a SICR for financial assets and the PD boundaries for each RMS grade. SICR triggers for key Retail portfolios Origination grade 1 2 3 4 5 6 7 Mortgages SICR grade 5 5 6 7 8 9 10 Credit cards, loans and overdrafts SICR grade 4 5 6 7 8 9 10 RMS grade 1 2 3 4 5 6 7 8 9 10 11 12 13 14 PD boundary %1 0.10 0.40 0.80 1.20 2.50 4.50 7.50 10.00 14.00 20.00 30.00 45.00 99.99 100.00 1  Probability-weighted annualised lifetime probability of default. For Commercial a doubling of PD with a minimum increase in PD of 1 per cent and a resulting change in the underlying grade is treated as a SICR. The Group uses the internal credit risk classification and watchlist as qualitative indicators to identify a SICR. The Group does not use the low credit risk exemption in its staging assessments. The use of a payment holiday in and of itself has not been judged to indicate a significant increase in credit risk, nor forbearance, with the underlying long-term credit risk deemed to be driven by economic conditions and captured through the use of forward-looking models. These portfolio level models are capturing the anticipated volume of increased defaults and therefore an appropriate assessment of staging and expected credit loss. All financial assets are assumed to have suffered a SICR if they are more than 30 days past due; credit cards, loans and overdrafts financial assets are also assumed to have suffered a SICR if they are in arrears on three or more separate occasions in a rolling 12-month period. Financial assets are classified as credit-impaired if they are 90 days past due. A Stage 3 asset that is no longer credit-impaired is transferred back to Stage 2 as no cure period is applied to Stage 3. UK mortgages is an exception to this rule where a probation period is enforced for non-performing, forborne and defaulted exposures in accordance with prudential regulation. If an exposure that is classified as Stage 2 no longer meets the SICR criteria, which in some cases capture customer behaviour in previous periods, it is moved back to Stage 1. The setting of precise trigger points combined with risk indicators requires judgement. The use of different trigger points may have a material impact upon the size of the ECL allowance. The Group monitors the effectiveness of SICR criteria on an ongoing basis. Note 19: Allowance for expected credit losses continued Generation of multiple economic scenarios The estimate of expected credit losses is required to be based on an unbiased expectation of future economic scenarios. The approach used to generate the range of future economic scenarios depends on the methodology and judgements adopted. The Group\u2019s approach is to start from a defined base case scenario, used for planning purposes, and to generate alternative economic scenarios around this base case. The base case scenario is a conditional forecast underpinned by a number of conditioning assumptions that reflect the Group\u2019s best view of key future developments. If circumstances appear likely to materially deviate from the conditioning assumptions, then the base case scenario is updated. The base case scenario is central to a range of future economic scenarios generated by simulation of an economic model, for which the same conditioning assumptions apply as in the base case scenario. These scenarios are ranked by using estimated relationships with industry-wide historical loss data. With the base case already pre-defined, three other scenarios are identified as averages of constituent scenarios located around the 15th, 75th and 95th percentiles of the distribution. The full distribution is therefore summarised by a practical number of scenarios to run through ECL models representing an upside, the base case, and a downside scenario weighted at 30 per cent each, together with a severe downside scenario weighted at 10 per cent. The scenario weights represent the distribution of economic scenarios and not subjective views on likelihood. The inclusion of a severe downside scenario with a smaller weighting ensures that the non-linearity of losses in the tail of the distribution is adequately captured. Macroeconomic projections may employ reversionary techniques to adjust the paths of economic drivers towards long-run equilibria after a reasonable forecast horizon. The Group does not use such techniques to force the MES scenarios to revert to the base case planning view. Utilising such techniques would be expected to be immaterial for expected credit losses since loss sensitivity is highest over the initial five years of the projections. Most assets are expected to have matured, or reached the end of their behavioural life before the five-year horizon. A forum under the chairmanship of the Chief Economist meets at least quarterly to review and, if appropriate, recommend changes to the method by which economic scenarios are generated, for approval by the Chief Financial Officer and Chief Risk Officer. In June 2022, the Group judged it appropriate to include an adjusted severe downside scenario to incorporate a high CPI inflation and UK Bank Rate profiles and to adopt this adjusted severe downside scenario to calculate the Group\u2019s ECL. This is because the historic macroeconomic and loan loss data upon which the scenario model is calibrated imply an association of downside economic outcomes with easier monetary policy, and therefore low interest rates. The adjustment is considered to better reflect the risks around the Group\u2019s base case view in an economic environment where supply shocks are the principal concern. The Group has continued to include a non-modelled severe downside scenario for Group ECL calculations for 31 December 2022 reporting. Base case and MES economic assumptions The Group\u2019s base case economic scenario has been revised in light of the ongoing war in Ukraine, reversals in UK fiscal policy, and a continuing global shift towards a more restrictive monetary policy stance against a backdrop of elevated inflation pressures. The Group\u2019s updated base case scenario has three conditioning assumptions: first, the war in Ukraine remains \u2018local\u2019, i.e. without overtly involving neighbouring countries, NATO or China; second, the UK labour market participation rate remains below pre-pandemic levels, impeding the economy\u2019s supply capacity; and third, the Bank of England accommodates above-target inflation in the medium term, recognising the economic costs that might arise from a rapid return to the two per cent target. Based on these assumptions and incorporating the economic data published in the fourth quarter, the Group\u2019s base case scenario is for a contraction in economic activity and a rise in the unemployment rate alongside declines in residential and commercial property prices, following increases in UK Bank Rate in response to persistent inflationary pressures. Risks around this base case economic view lie in both directions and are largely captured by the generation of alternative economic scenarios. The Group has accommodated the latest available information at the reporting date in defining its base case scenario and generating alternative economic scenarios. The scenarios include forecasts for key variables in the fourth quarter of 2022, for which actuals may have since emerged prior to publication. Scenarios by year The key UK economic assumptions made by the Group are shown in the following tables across a number of measures explained below. Annual assumptions Gross domestic product (GDP) and Consumer Price Index (CPI) inflation are presented as an annual change, house price growth and commercial real estate price growth are presented as the growth in the respective indices over each year. Unemployment rate and UK Bank Rate are averages over the year. Five-year average The five-year average reflects the average annual growth rate, or level, over the five-year period. It includes movements within the current reporting year, such that the position as of 31 December 2022 covers the five years 2022 to 2026. The inclusion of the reporting year within the five-year period reflects the need to predict variables which remain unpublished at the reporting date and recognises that credit models utilise both level and annual changes. The use of calendar years maintains a comparability between the annual assumptions presented. Five-year start to peak and trough The peak or trough for any metric may occur intra year and therefore not be identifiable from the annual assumptions, therefore they are also disclosed. For GDP, house price growth and commercial real estate price growth, the peak, or trough, reflects the highest, or lowest cumulative quarterly position reached relative to the start of the five-year period, which as of 31 December 2022 is 1 January 2022. Given these metrics may exhibit increases followed by greater falls, the start to trough movements quoted may be smaller than the equivalent \u2018peak to trough\u2019 movement (and vice versa for start to peak). Unemployment, UK Bank Rate and CPI Inflation reflect the highest, or lowest, quarterly level reached in the five-year period. Notes to the consolidated financial statements continued for the year ended 31 December Note 19: Allowance for expected credit losses continued At 31 December 2022 2022 % 2023 % 2024 % 2025 % 2026 % 2022 to 2026 average % Start to peak 1 % Start to trough 1 % Upside Gross domestic product 4.1 0.1 1.1 1.7 2.1 1.8 6.5 0.4 Unemployment rate 3.5 2.8 3.0 3.3 3.4 3.2 3.8 2.8 House price growth 2.4 (2.8) 6.5 9.0 8.0 4.5 24.8 (1.1) Commercial real estate price growth (9.4) 8.5 3.5 2.6 2.3 1.3 7.2 (9.4) UK Bank Rate 1.94 4.95 4.98 4.63 4.58 4.22 5.39 0.75 CPI inflation 9.0 8.3 4.2 3.3 3.0 5.5 10.7 2.9 Base case Gross domestic product 4.0 (1.2) 0.5 1.6 2.1 1.4 4.3 (1.1) Unemployment rate 3.7 4.5 5.1 5.3 5.1 4.8 5.3 3.6 House price growth 2.0 (6.9) (1.2) 2.9 4.4 0.2 6.4 (6.3) Commercial real estate price growth (11.8) (3.3) 0.9 2.8 3.1 (1.8) 7.2 (14.8) UK Bank Rate 1.94 4.00 3.38 3.00 3.00 3.06 4.00 0.75 CPI inflation 9.0 8.3 3.7 2.3 1.7 5.0 10.7 1.6 Downside Gross domestic product 3.9 (3.0) (0.5) 1.4 2.1 0.8 1.2 (3.6) Unemployment rate 3.8 6.3 7.5 7.6 7.2 6.5 7.7 3.6 House price growth 1.6 (11.1) (9.8) (5.6) (1.5) (5.4) 6.4 (24.3) Commercial real estate price growth (13.9) (15.0) (3.7) 0.4 1.4 (6.4) 7.2 (29.6) UK Bank Rate 1.94 2.93 1.39 0.98 1.04 1.65 3.62 0.75 CPI inflation 9.0 8.2 3.3 1.3 0.3 4.4 10.7 0.2 Severe downside Gross domestic product 3.7 (5.2) (1.0) 1.3 2.1 0.1 0.7 (6.4) Unemployment rate 4.1 9.0 10.7 10.4 9.7 8.8 10.7 3.6 House price growth 1.1 (14.8) (18.0) (11.5) (4.2) (9.8) 6.4 (40.1) Commercial real estate price growth (17.3) (28.8) (9.9) (1.3) 3.2 (11.6) 7.2 (47.8) UK Bank Rate \u2013 modelled 1.94 1.41 0.20 0.13 0.14 0.76 3.50 0.12 UK Bank Rate \u2013 adjusted 2 2.44 7.00 4.88 3.31 3.25 4.18 7.00 0.75 CPI inflation \u2013 modelled 9.0 8.2 2.6 (0.1) (1.6) 3.6 10.7 (1.7) CPI inflation \u2013 adjusted 2 9.7 14.3 9.0 4.1 1.6 7.7 14.8 1.5 Probability-weighted Gross domestic product 4.0 (1.8) 0.2 1.5 2.1 1.2 3.4 (1.8) Unemployment rate 3.7 5.0 5.8 5.9 5.7 5.2 5.9 3.6 House price growth 1.9 (7.7) (3.2) 0.7 2.9 (1.2) 6.4 (9.5) Commercial real estate price growth (12.3) (5.8) (0.8) 1.6 2.3 (3.1) 7.2 (18.6) UK Bank Rate \u2013 modelled 1.94 3.70 2.94 2.59 2.60 2.76 3.89 0.75 UK Bank Rate \u2013 adjusted 2 1.99 4.26 3.41 2.91 2.91 3.10 4.31 0.75 CPI inflation \u2013 modelled 9.0 8.3 3.6 2.1 1.4 4.9 10.7 1.3 CPI inflation \u2013 adjusted 2 9.1 8.9 4.3 2.5 1.7 5.3 11.0 1.6 1  Since the level of property prices peaked during 2022, peak to trough declines for house price growth and commercial real estate price growth are larger than the start to trough declines over the period shown. 2  The adjustment to UK Bank Rate and CPI inflation in the severe downside is considered to better reflect the risks around the Group\u2019s base case view in an economic environment where supply shocks are the principal concern. Base case scenario by quarter 1 At 31 December 2022 First quarter 2022 % Second quarter 2022 % Third quarter 2022 % Fourth quarter 2022 % First quarter 2023 % Second quarter 2023 % Third quarter 2023 % Fourth quarter 2023 % Gross domestic product 0.6 0.1 (0.3) (0.4) (0.4) (0.4) (0.2) (0.1) Unemployment rate 3.7 3.8 3.6 3.7 4.0 4.4 4.7 4.9 House price growth 11.1 12.5 9.8 2.0 (3.0) (8.4) (9.8) (6.9) Commercial real estate price growth 18.0 18.0 8.4 (11.8) (16.9) (19.8) (15.9) (3.3) UK Bank Rate 0.75 1.25 2.25 3.50 4.00 4.00 4.00 4.00 CPI inflation 6.2 9.2 10.0 10.7 10.0 8.9 8.0 6.1 1  Gross domestic product is presented quarter-on-quarter. House price growth, commercial real estate growth and CPI inflation are presented year-on-year, i.e. from the equivalent quarter in the previous year. Unemployment rate and UK Bank Rate are presented as at the end of each quarter. Note 19: Allowance for expected credit losses continued At 31 December 2021 2021 % 2022 % 2023 % 2024 % 2025 % 2021 to 2025 average % Start to peak % Start to trough % Upside Gross domestic product 7.1 4.0 1.4 1.3 1.4 3.0 12.6 (1.3) Unemployment rate 4.4 3.3 3.4 3.5 3.7 3.7 4.9 3.2 House price growth 10.1 2.6 4.9 4.7 3.6 5.1 28.5 1.2 Commercial real estate price growth 12.4 5.8 0.7 1.0 (0.6) 3.7 20.9 0.8 UK Bank Rate 0.14 1.44 1.74 1.82 2.03 1.43 2.04 0.10 CPI inflation 1 2.6 5.9 3.3 2.6 3.3 3.5 6.5 0.6 Base case Gross domestic product 7.1 3.7 1.5 1.3 1.3 2.9 12.3 (1.3) Unemployment rate 4.5 4.3 4.4 4.4 4.5 4.4 4.9 4.3 House price growth 9.8 0.0 0.0 0.5 0.7 2.1 11.0 1.2 Commercial real estate price growth 10.2 (2.2) (1.9) 0.1 0.6 1.2 10.2 0.8 UK Bank Rate 0.14 0.81 1.00 1.06 1.25 0.85 1.25 0.10 CPI inflation 1 2.6 5.9 3.0 1.6 2.0 3.0 6.5 0.6 Downside Gross domestic product 7.1 3.4 1.3 1.1 1.2 2.8 11.4 (1.3) Unemployment rate 4.7 5.6 5.9 5.8 5.7 5.6 6.0 4.3 House price growth 9.2 (4.9) (7.8) (6.6) (4.7) (3.1) 9.2 (14.8) Commercial real estate price growth 8.6 (10.1) (7.0) (3.4) (0.3) (2.6) 8.6 (12.8) UK Bank Rate 0.14 0.45 0.52 0.55 0.69 0.47 0.71 0.10 CPI inflation 1 2.6 5.8 2.8 1.3 1.6 2.8 6.4 0.6 Severe downside Gross domestic product 6.8 0.9 0.4 1.0 1.4 2.1 7.6 (1.3) Unemployment rate 4.9 7.7 8.5 8.1 7.6 7.3 8.5 4.3 House price growth 9.1 (7.3) (13.9) (12.5) (8.4) (6.9) 9.1 (30.2) Commercial real estate price growth 5.8 (19.6) (12.1) (5.3) (0.5) (6.8) 6.9 (30.0) UK Bank Rate 0.14 0.04 0.06 0.08 0.09 0.08 0.25 0.02 CPI inflation 1 2.6 5.8 2.3 0.5 0.9 2.4 6.5 0.4 Probability-weighted Gross domestic product 7.0 3.4 1.3 1.2 1.3 2.8 11.6 (1.3) Unemployment rate 4.6 4.7 5.0 5.0 4.9 4.8 5.0 4.3 House price growth 9.6 (1.4) (2.3) (1.7) (1.0) 0.6 9.6 1.2 Commercial real estate price growth 9.9 (3.9) (3.7) (1.2) (0.1) 0.1 9.9 (0.3) UK Bank Rate 0.14 0.82 0.99 1.04 1.20 0.83 1.20 0.10 CPI inflation 1 2.6 5.9 2.9 1.7 2.2 3.1 6.5 0.6 1  For 31 December 2021 scenarios, CPI numbers were translations of modelled Retail Price Index excluding mortgage interest payments (RPIX) estimates. Base case scenario by quarter 1 At 31 December 2021 First quarter 2021 % Second quarter 2021 % Third quarter 2021 % Fourth quarter 2021 % First quarter 2022 % Second quarter 2022 % Third quarter 2022 % Fourth quarter 2022 % Gross domestic product (1.3) 5.4 1.1 0.4 0.1 1.5 0.5 0.3 Unemployment rate 4.9 4.7 4.3 4.3 4.4 4.3 4.3 4.3 House price growth 6.5 8.7 7.4 9.8 8.4 6.1 3.2 0.0 Commercial real estate price growth (2.9) 3.4 7.5 10.2 8.4 5.2 0.9 (2.2) UK Bank Rate 0.10 0.10 0.10 0.25 0.50 0.75 1.00 1.00 CPI inflation 0.6 2.1 2.8 4.9 5.3 6.5 6.3 5.3 1  Gross domestic product is presented quarter-on-quarter. House price growth, commercial real estate growth and CPI inflation are presented year-on-year, i.e. from the equivalent quarter in the previous year. Unemployment rate and UK Bank Rate are presented as at the end of each quarter. Notes to the consolidated financial statements continued for the year ended 31 December Note 19: Allowance for expected credit losses continued ECL sensitivity to economic assumptions The table below shows the Group\u2019s ECL for the probability-weighted, upside, base case, downside and severe downside scenarios, with the severe downside scenario incorporating adjustments made to CPI inflation and UK Bank Rate paths. The stage allocation for an asset is based on the overall scenario probability-weighted PD and hence the staging of assets is constant across all the scenarios. In each economic scenario the ECL for individual assessments and post-model adjustments is typically held constant reflecting the basis on which they are evaluated. For 31 December 2022, however, post-model adjustments in Commercial Banking have been apportioned across the scenarios to better reflect the sensitivity of these adjustments to each scenario. Judgements applied through changes to model inputs are reflected in the scenario ECL sensitivities. The probability-weighted view shows the extent to which a higher ECL allowance has been recognised to take account of multiple economic scenarios relative to the base case; the uplift being \u00a3692 million compared to \u00a3223 million at 31 December 2021. At 31 December 2022 At 31 December 2021 1 Probability- weighted \u00a3m Upside \u00a3m Base case \u00a3m Downside \u00a3m Severe downside \u00a3m Probability- weighted \u00a3m Upside \u00a3m Base case \u00a3m Downside \u00a3m Severe downside \u00a3m UK mortgages 1,209 514 790 1,434 3,874 837 637 723 967 1,386 Credit cards 763 596 727 828 1,180 521 442 500 569 672 Other Retail 1,016 907 992 1,056 1,290 825 760 811 863 950 Commercial Banking 1,869 1,459 1,656 2,027 3,261 1,433 1,295 1,358 1,505 1,859 Other 46 46 46 47 47 426 426 427 426 424 ECL allowance 4,903 3,522 4,211 5,392 9,652 4,042 3,560 3,819 4,330 5,291 1  Reflects the new organisation structure, with Business Banking and Commercial Cards moving from Retail to Commercial Banking and Wealth moving from Insurance, Pensions and Investments (previously Insurance and Wealth) to Retail; comparatives have been presented on a consistent basis. The table below shows the Group\u2019s ECL for the upside, base case, downside and severe downside scenarios, with staging of assets based on each specific scenario probability of default. ECL applied through individual assessments and the majority of post-model adjustments are reported flat against each economic scenario, reflecting the basis on which they are evaluated. A probability- weighted scenario is not shown as this does not reflect the basis on which ECL is reported. Comparing the probability-weighted ECL in the table above to the base case ECL with base case scenario specific staging, as shown in the table below, results in an uplift of \u00a3820 million compared to \u00a3230 million at 31 December 2021. At 31 December 2022 At 31 December 20211 Upside \u00a3m Base case \u00a3m Downside \u00a3m Severe downside \u00a3m Upside \u00a3m Base case \u00a3m Downside \u00a3m Severe downside \u00a3m UK mortgages 469 734 1,344 7,848 636 722 973 1,448 Credit cards 563 719 842 1,320 434 500 583 707 Other Retail 886 984 1,059 1,449 754 808 867 972 Commercial Banking 1,425 1,600 2,142 5,190 1,290 1,357 1,518 2,116 Other 46 46 47 47 425 425 425 425 ECL allowance 3,389 4,083 5,434 15,854 3,539 3,812 4,366 5,668 1  Reflects the new organisation structure, with Business Banking and Commercial Cards moving from Retail to Commercial Banking and Wealth moving from Insurance, Pensions and Investments (previously Insurance and Wealth) to Retail; comparatives have been presented on a consistent basis. The table below shows the percentage of assets that would be recorded in Stage 2 for the upside, base case, downside and severe downside scenarios, if stage allocation was based on each specific scenario. At 31 December 2022 At 31 December 20211 Upside % Base case % Downside % Severe downside % Upside % Base case % Downside % Severe downside % UK mortgages 8.5 11.3 12.7 59.9 6.6 6.8 7.9 10.1 Credit cards 16.2 20.8 24.0 37.7 11.9 13.7 16.4 20.0 Other Retail 9.1 10.7 12.1 21.7 9.3 9.6 10.5 13.0 Commercial Banking 6.1 6.9 17.2 49.9 7.5 7.7 9.3 20.1 Percentage of assets in Stage 2 8.2 10.5 14.2 55.1 6.5 6.6 7.7 11.6 1  Reflects the new organisation structure, with Business Banking and Commercial Cards moving from Retail to Commercial Banking and Wealth moving from Insurance, Pensions and Investments (previously Insurance and Wealth) to Retail; comparatives have been presented on a consistent basis. Note 19: Allowance for expected credit losses continued The impact of changes in the UK unemployment rate and House Price Index (HPI) have been assessed. Although such changes would not be observed in isolation, as economic indicators tend to be correlated in a coherent scenario, this gives insight into the sensitivity of the Group\u2019s ECL to gradual changes in these two critical economic factors. The assessment has been made against the base case with the reported staging unchanged and is assessed through the direct impact on modelled ECL only, including management judgements applied through changes to model inputs. The change in univariate ECL sensitivity in the period is a result of the change in definition of default and associated model changes, and the deterioration in the base case on which the assessment has been performed. The table below shows the impact on the Group\u2019s ECL resulting from a 1 percentage point (pp) increase or decrease in the UK unemployment rate. The increase or decrease is presented based on the adjustment phased evenly over the first ten quarters of the base case scenario. An immediate increase or decrease would drive a more material ECL impact as it would be fully reflected in both 12-month and lifetime PDs. At 31 December 2022 At 31 December 2021 1 1pp increase in unemployment \u00a3m 1pp decrease in unemployment \u00a3m 1pp increase in unemployment \u00a3m 1pp decrease in unemployment \u00a3m UK mortgages 26 (21) 23 (18) Credit cards 41 (41) 20 (20) Other Retail 25 (25) 12 (12) Commercial Banking 100 (91) 52 (45) ECL impact 192 (178) 107 (95) 1  Reflects the new organisation structure, with Business Banking and Commercial Cards moving from Retail to Commercial Banking and Wealth moving from Insurance, Pensions and Investments (previously Insurance and Wealth) to Retail; comparatives have been presented on a consistent basis. The table below shows the impact on the Group\u2019s ECL in respect of UK mortgages of an increase or decrease in loss given default for a 10 percentage point (pp) increase or decrease in the UK House Price Index (HPI). The increase or decrease is presented based on the adjustment phased evenly over the first ten quarters of the base case scenario. At 31 December 2022 At 31 December 2021 10pp increase in HPI 10pp decrease in HPI 10pp increase in HPI 10pp decrease in HPI ECL impact, \u00a3m (225) 370 (112) 162 Individual assessments Stage 3 ECL in Commercial Banking is largely assessed on an individual basis using bespoke assessment of loss for each specific client. These assessments are carried out by the Business Support Unit based on detailed reviews and expected recovery strategies. While these assessments are based on the Group\u2019s latest economic view, the use of Group-wide multiple economic scenarios and weightings is not considered appropriate for these cases due to their individual characteristics. In place of this, a range of case- specific outcomes are considered with any alternative better or worse outcomes that carry a 25 per cent likelihood taken into account in establishing a probability-weighted ECL. At 31 December 2022, individually assessed provisions for Commercial Banking were \u00a31,008 million (2021: \u00a3905 million) which reflected a range of \u00a3908 million to \u00a31,140 million (2021: \u00a3741 million to \u00a31,024 million), based on the range of alternative outcomes considered. Application of judgement in adjustments to modelled ECL Impairment models fall within the Group\u2019s model risk framework with model monitoring, periodic validation and back testing performed on model components (i.e. probability of default, exposure at default and loss given default). Limitations in the Group\u2019s impairment models or data inputs may be identified through the ongoing assessment and validation of the output of the models. In these circumstances, management make appropriate adjustments to the Group\u2019s allowance for impairment losses to ensure that the overall provision adequately reflects all material risks. These adjustments are determined by considering the particular attributes of exposures which have not been adequately captured by the impairment models and range from changes to model inputs and parameters, at account level, through to more qualitative post-model adjustments. Post-model adjustments are not typically calculated under each distinct economic scenario used to generate ECL, but on final modelled ECL. All adjustments are reviewed quarterly and are subject to internal review and challenge, including by the Audit Committee, to ensure that amounts are appropriately calculated and that there are specific release criteria identified. The coronavirus pandemic and the various support measures resulted in an economic environment which differed significantly from the historical economic conditions upon which the impairment models had been built. As a result there was a greater need for management judgements to be applied alongside the use of models at 31 December 2021. During 2022 the direct impact of the pandemic on both economic and credit performance has reduced, resulting in the release of all material judgements required specifically to capture COVID-19 risks. Conversely, the intensifying inflationary pressures alongside rising interest rates within the Group\u2019s outlook have created further risks not deemed to be fully captured by ECL models. This has required judgements to be added to capture affordability risks from inflationary and rising interest rate pressures. At 31 December 2022 management judgement resulted in additional ECL allowances totalling \u00a3330 million (2021: \u00a31,284 million). Notes to the consolidated financial statements continued for the year ended 31 December Note 19: Allowance for expected credit losses continued The table below analyses total ECL allowance by portfolio, separately identifying the amounts that have been modelled, those that have been individually assessed and those arising through the application of management judgement. Modelled ECL \u00a3m Individually assessed \u00a3m Judgements due to: Total ECL \u00a3m COVID-191 \u00a3m Inflationary risk \u00a3m Other \u00a3m At 31 December 2022 UK mortgages 946 \u2013 \u2013 49 214 1,209 Credit cards 698 \u2013 \u2013 93 (28) 763 Other Retail 903 \u2013 1 53 59 1,016 Commercial Banking 972 1,008 \u2013 \u2013 (111) 1,869 Other 46 \u2013 \u2013 \u2013 \u2013 46 Total 3,565 1,008 1 195 134 4,903 At 31 December 2021 UK mortgages 292 \u2013 67 52 426 837 Credit cards 436 \u2013 94 \u2013 (9) 521 Other Retail2 757 \u2013 18 \u2013 50 825 Commercial Banking 2 342 905 200 \u2013 (14) 1,433 Other2 26 \u2013 400 \u2013 \u2013 426 Total 1,853 905 779 52 453 4,042 1  Judgements introduced to address the impact that COVID-19 and resulting interventions have had on the Group\u2019s economic outlook and observed loss experience, which have required additional model limitations to be addressed. In 2021, there was a \u00a3400 million other COVID-19 judgement to recognise the risk that the conditioning assumptions assumed in the base case economic scenario were invalidated by future events. 2  Reflects the new organisation structure, with Business Banking and Commercial Cards moving from Retail to Commercial Banking and Wealth moving from Insurance, Pensions and Investments (previously Insurance and Wealth) to Retail; comparatives have been presented on a consistent basis. Judgements due to inflationary risk UK mortgages: \u00a349 million (2021: \u00a352 million) These adjustments comprise: Inflationary and interest rate pressures: \u00a349 million (2021: \u00a352 million) There has been only modest evidence of credit deterioration in the UK mortgages portfolio through 2022 despite the high levels of inflation and the rising interest rate environment. Mortgage ECL models use bank base rate as a driver of predicted defaults and that has contributed to the elevated levels of ECL at 31 December 2022. However, there remains a potential risk to affordability from continued inflationary pressures combined with higher interest rates, and that this may not be fully captured by the Group\u2019s ECL models. This risk is to customers maturing from low fixed rate deals, the building impact on variable rate holders and lower levels of real household income. The level of risk is somewhat mitigated from stressed affordability assessments applied at loan origination which means most customers are anticipated to be able to absorb payment shocks. A judgemental uplift in ECL has therefore been taken in specific segments of the mortgages portfolio, either where inflation is expected to present a more material risk, or where segments within the model do not use bank base rate as a material driver of predicted defaults. At 31 December 2021 additional judgemental ECL was taken in UK mortgages to recognise the heightened risk of interest rates increasing rapidly compared to the base case outlook. This judgement quantified incremental losses from adopting an alternative severe downside scenario with a 4 per cent interest rate peak. This judgement is no longer required given the Group\u2019s base case outlook, and modelled ECL, now captures an equivalent interest rate view within the base case alongside an adjusted severe scenario with a 7 per cent interest rate peak. Credit cards: \u00a393 million (2021: \u00a3nil) and Other Retail: \u00a353 million (2021: \u00a3nil) These adjustments comprise: Inflationary risk on Retail segments: Credit Cards: \u00a393 million (2021: \u00a3nil) and Other Retail: \u00a353 million (2021: \u00a3nil) The Group\u2019s ECL models for credit cards and personal loan portfolios use predictions of wage growth to account for future affordability stress. As rapidly increasing inflation erodes nominal wage growth, adjustments have been made to the econometric models to account for real, rather than nominal, income to produce adjusted predicted defaults. These adjustments include the specific risk to affordability from increased housing costs, not captured by CPI. As these adjustments are made within predicted default models, they are calculated under each economic scenario and impact the staging of assets through increased PDs. Alongside these portfolio-wide adjustments management have also made an additional uplift to ECL for customers with lower income levels and higher indebtedness deemed most vulnerable to inflationary pressures and interest rate rises. Although this segment of customers has not exhibited any greater stress to date, uplifts have been applied to recognise continued inflation and interest rates pose a greater proportionate risk in future periods. Management believe that this is an appropriate way to account for the aggregate inflationary risk in these unsecured portfolios and will continue to monitor both actual economic and customer outcomes to ensure that this adjustment remains reasonable and appropriate. Note 19: Allowance for expected credit losses continued Other judgements UK mortgages: \u00a3214 million (2021: \u00a3426 million) These adjustments principally comprise: Increase in time to repossession: \u00a3118 million (2021: \u00a387 million) Due to the Group suspending mortgage litigation activity between late-2014 and mid-2018 due to policy changes for the treatment of arrears, and as collections strategy normalises post COVID-19 pandemic, the Group\u2019s experience of possessions data on which our models rely on is limited. This reflects an adjustment made to allow for an increase in the time assumed between default and repossession. Provision coverage is uplifted to the equivalent levels of those accounts already in repossession on an estimated shortfall of balances expected to flow to possession. A further adjustment is made to accounts which have been in default for more than 24 months, with an arrears balance increase in the last six months. These accounts have their probability of possession set to 70 per cent based on observed historical losses incurred on accounts that were of an equivalent status. The increase in the judgement reflects a lower modelled coverage that requires a larger adjustment to reach the required levels. Asset recovery values: \u00a369 million (2021: \u00a321 million) Due to low repossession volumes, sales data informing the estimated level of discount in the event of repossessions has been limited, impacting the ability to update model parameters. Despite these low volumes, since 2020 the observed asset recovery sale values have remained broadly the same on the limited volumes seen, however the indexed valuation within the model has shown an increasing trend due to HPI increases, therefore management consider it appropriate to uplift ECL to reflect expected recovery values. Adjustment for specific segments: \u00a325 million (2021: \u00a354 million) The Group monitors risks across specific segments of its portfolios which may not be fully captured through wider collective models. Judgemental increases applied to probability of default on forborne accounts (31 December 2021: \u00a318 million) have been removed as models now include forborne accounts in Stage 3 assets. The judgement for fire safety and cladding uncertainty has reduced to \u00a325 million (31 December 2021: \u00a336 million). Though experience remains limited the risk is considered sufficiently material to address through judgement, given that there is evidence of assessed cases having defective cladding, or other fire safety issues, but this risk has reduced throughout the year. Credit cards: \u00a3(28) million (2021: \u00a3(9) million) and Other Retail: \u00a359 million (2021: \u00a350 million) These adjustments principally comprise: Lifetime extension on revolving products: Credit cards: \u00a382 million (2021: \u00a341 million) and Other Retail: \u00a314 million (2021: \u00a35 million) An adjustment is required to extend the lifetime used for Stage 2 exposures on Retail revolving products from a three year modelled lifetime, which reflected the outcome data available when the model was developed. Previously this was deemed to be six years by increasing default probabilities through the extrapolation of the default trajectory observed throughout the three years and beyond. During 2022, work was undertaken to reassess the expected lifetime for these assets, which concluded in an extension of the expected lifetime from six to ten years, resulting in an increase to this adjustment. Adjustments to loss given defaults (LGDs): Credit cards: \u00a3(96) million (2021: \u00a3(37) million) and Other Retail: \u00a313 million (2021: \u00a324 million) A number of adjustments have been made to the loss given default assumptions used within unsecured and motor credit models. These include judgements held previously, notably in relation to the alignment of MBNA credit card cure rates as collection strategies harmonise. Alongside this, new adjustments have also been raised to capture recent improvements in observed cure rates offset by updates to recovery cost assumptions. These adjustments will be released once incorporated into models through future recalibration which is pending model development. Motor default suppression: Other Retail: \u00a313 million (2021: \u00a3nil) Used car prices have continued to rise through 2022 with lower actual defaults materialising than anticipated. Management consider it appropriate to uplift ECL to account for the risk that prices return back to more normalised levels. Commercial Banking: \u00a3(111) million (2021: \u00a3(14) million) These adjustments principally comprise: Adjustments to loss given defaults (LGDs): \u00a3(105) million (2021: \u00a3(25) million) The modelling approach for loss given default for commercial exposures has been reviewed. Management deem ECL should be adjusted to mitigate limitations identified in the approach which are causing loss given defaults to be inflated. These include the benefit from amortisation of exposures relative to collateral values at default and a move to an exposure-weighted approach being adopted. These temporary adjustments will be addressed through future model development. Corporate insolvency rates: \u00a3(35) million (2021: \u00a3nil) During 2022, the volume of UK corporate insolvencies showed an increasing trend to above December 2019 levels, revealing a marked dislocation between observed UK corporate insolvencies and the Group\u2019s credit performance. This dislocation gives rise to uncertainty over the drivers of observed trends and the appropriateness of the Group\u2019s Commercial Banking model response which uses observed UK corporate insolvencies data. Given the Group\u2019s asset quality remains strong with very low new defaults, a negative adjustment was deemed appropriate by management to address potential overstatement of Commercial Banking ECL. Climate risk The Group considers how climate risks are incorporated into the measurement of expected credit losses. An assessment was performed of the Group\u2019s internally generated economic scenarios used in the measurement of expected credit losses against external scenarios published by the Network for Greening the Financial System (NGFS). This was supplemented by an assessment of the behavioural lifetime of assets against the expected time horizons of when climate risks may materialise. Given the extended timelines related to climate risks compared to the tenor of the Group\u2019s lending portfolios and insights produced by the Group\u2019s climate risk experts, no adjustments have been required to the expected credit losses measured as at 31 December 2022. Notes to the consolidated financial statements continued for the year ended 31 December Note 20: Finance lease and hire purchase receivables The Group\u2019s finance lease and hire purchase receivables are classified as loans and advances to customers and accounted for at amortised cost. These balances are analysed as follows: Finance leases Hire purchase 2022 \u00a3m 2021 \u00a3m 2022 \u00a3m 2021 \u00a3m Not later than 1 year 223 346 6,339 4,752 Later than 1 year and not later than 2 years 223 143 3,896 4,541 Later than 2 years and not later than 3 years 119 230 3,725 3,998 Later than 3 years and not later than 4 years 54 118 2,975 2,828 Later than 4 years and not later than 5 years 40 54 388 816 Later than 5 years 299 337 275 374 Gross investment 958 1,228 17,598 17,309 Unearned future finance income (181) (232) (1,458) (1,359) Rentals received in advance (11) (14) (111) (89) Net investment 766 982 16,029 15,861 The net investment represents amounts recoverable as follows: Finance leases Hire purchase 2022 \u00a3m 2021 \u00a3m 2022 \u00a3m 2021 \u00a3m Not later than 1 year 177 277 5,646 4,032 Later than 1 year and not later than 2 years 192 110 3,468 4,172 Later than 2 years and not later than 3 years 96 200 3,456 3,781 Later than 3 years and not later than 4 years 38 96 2,856 2,754 Later than 4 years and not later than 5 years 27 38 358 767 Later than 5 years 236 261 245 355 Net investment 766 982 16,029 15,861 Equipment leased to customers under finance leases and hire purchase receivables relates to financing transactions to fund the purchase of aircraft, ships, motor vehicles and other items. There was an allowance for uncollectable finance lease receivables included in the allowance for impairment losses of \u00a314 million (2021: \u00a318 million) and for hire purchase receivables of \u00a3238 million (2021: \u00a3275 million). The Group\u2019s finance lease and hire purchase assets are comprised as follows: Finance leases Hire purchase 2022 \u00a3m 2021 \u00a3m 2022 \u00a3m 2021 \u00a3m Electric vehicles 8 3 578 430 Internal combustion engine vehicles 176 142 10,817 10,713 Hybrid vehicles 5 3 741 524 Other 577 834 3,893 4,194 Net investment 766 982 16,029 15,861 Note 21: Financial assets at fair value through other comprehensive income 2022 \u00a3m 2021 \u00a3m Debt securities: Government securities 11,211 14,613 Asset-backed securities 146 70 Corporate and other debt securities 11,514 13,134 22,871 27,817 Treasury and other bills \u2013 85 Equity shares 283 235 Total financial assets at fair value through other comprehensive income 23,154 28,137 All assets were assessed at Stage 1 at 31 December 2021 and 2022. Note 22: Investments in joint ventures and associates The Group\u2019s share of results of, and investments in, equity accounted joint ventures and associates comprises: Joint ventures Associates Total 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m Share of income statement amounts: Income 108 90 72 7 4 4 115 94 76 Expenses (85) (80) (78) (20) (11) (11) (105) (91) (89) Impairment \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 Profit (loss) before tax 23 10 (6) (13) (7) (7) 10 3 (13) Tax \u2013 (1) \u2013 \u2013 \u2013 \u2013 \u2013 (1) \u2013 Share of post-tax results 23 9 (6) (13) (7) (7) 10 2 (13) Share of other comprehensive income \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 Share of total comprehensive income 23 9 (6) (13) (7) (7) 10 2 (13) Share of balance sheet amounts: Current assets 324 421 58 23 382 444 Non-current assets 227 169 3 12 230 181 Current liabilities (97) (142) (11) (5) (108) (147) Non-current liabilities (119) (126) \u2013 \u2013 (119) (126) Share of net assets at 31 December 335 322 50 30 385 352 Movement in investments over the year: At 1 January 322 279 30 17 352 296 Exchange and other adjustments (17) \u2013 (6) \u2013 (23) \u2013 Additional investments 56 34 39 20 95 54 Repayment of capital (36) \u2013 \u2013 \u2013 (36) \u2013 Share of post-tax results 23 9 (13) (7) 10 2 Dividends paid (13) \u2013 \u2013 \u2013 (13) \u2013 Share of net assets at 31 December 335 322 50 30 385 352 The Group\u2019s unrecognised share of losses of associates for the year was \u00a3nil (2021: \u00a3nil; 2020: \u00a3nil). For entities making losses, subsequent profits earned are not recognised until previously unrecognised losses are extinguished. The Group\u2019s unrecognised share of losses net of unrecognised profits on a cumulative basis of associates is \u00a32 million (2021: \u00a32 million; 2020: \u00a32 million) and of joint ventures is \u00a35 million (2021: \u00a35 million; 2020: \u00a35 million). Where entities have statutory accounts drawn up to a date other than 31 December, management accounts are used for Group reporting. Included within the investment in joint ventures at 31 December 2022 is \u00a368 million (2021: \u00a373 million) of lending carried at amortised cost. Notes to the consolidated financial statements continued for the year ended 31 December Note 23: Goodwill 2022 \u00a3m 2021 \u00a3m At 1 January 2,320 2,320 Acquisition of businesses (see below) 335 \u2013 At 31 December 2,655 2,320 Cost 1 2,999 2,664 Accumulated impairment losses (344) (344) At 31 December 2,655 2,320 1  For acquisitions made prior to 1 January 2004, the date of transition to IFRS, cost is included net of amounts amortised up to 31 December 2003. On 31 January 2022, the Group completed the acquisition of 100 per cent of the share capital of Embark Group Limited (Embark), which together with its subsidiaries operates an investment and retirement platform business, enhancing the Group\u2019s Wealth business capabilities, and has been consolidated into the Group\u2019s results from that date. The total fair value of the purchase consideration was \u00a3377 million, settled in cash, and goodwill of \u00a3324 million has been recognised on the transaction. None of the goodwill recognised is deductible for tax purposes. Acquisition-related costs of \u00a34 million have been included in operating expenses for the year ended 31 December 2022. The revenue included in the consolidated statement of comprehensive income since 31 January 2022 contributed by Embark was \u00a381 million, with net loss after tax of \u00a39 million over the same period. Had Embark been consolidated from 1 January 2022, the consolidated statement of comprehensive income would have included revenue of \u00a387 million and a net loss after tax of \u00a312 million. The goodwill relating to the acquisition of Embark has been allocated to the Group\u2019s Life and pensions business as it is expected to benefit from the synergies of the acquisition. In addition, goodwill of \u00a311 million arose on the Group\u2019s acquisition of Cavendish Online during the year. The goodwill held in the Group\u2019s balance sheet is tested at least annually for impairment. For the purposes of impairment testing the goodwill is allocated to the appropriate cash generating unit; of the total balance of \u00a32,655 million (2021: \u00a32,320 million), \u00a32,171 million, or 82 per cent (2021: \u00a31,836 million, 79 per cent), including the \u00a3324 million arising on the acquisition of Embark in the year, has been allocated to the Life and pensions cash generating unit; \u00a3302 million, or 11 per cent (2021: \u00a3302 million, 13 per cent) has been allocated to the Credit card cash generating unit in the Group\u2019s Retail division; and \u00a3166 million, or 6 per cent (2021: \u00a3166 million, 7 per cent) to the Motor business cash generating unit. The recoverable amount of the goodwill relating to Scottish Widows is based on a value-in-use calculation. The calculation uses pre-tax projections of future cash flows based upon budgets and plans approved by management covering a four-year period, the related run-off of existing business in-force and a discount rate (pre-tax) of 11.2 per cent. The budgets and plans are based upon past experience adjusted to take into account anticipated changes in sales volumes, product mix and margins having regard to expected market conditions (which will reflect current and future risks, such as climate and expected economic activity conditions) and competitor activity. The discount rate is determined with reference to internal measures and available industry information. New business cash flows beyond the four-year period have been extrapolated using a reducing balance growth rate that falls from 3.5 per cent down to 2.0 percent after 20 years, which does not exceed the long-term average growth rate for the life assurance market. Management believes that any reasonably possible change in the key assumptions above would not cause the recoverable amount of the goodwill relating to Scottish Widows to fall below its balance sheet carrying value. The recoverable amount of the goodwill relating to the Motor business is based on a value-in-use calculation using post-tax cash flow projections based on financial budgets and plans approved by management covering a four-year period and a discount rate (post-tax) of 10 per cent, based on the Group\u2019s cost of equity. The cash flows beyond the four-year period are extrapolated using a growth rate of 3.5 per cent which does not exceed the long-term average growth rates for the markets in which the Motor business participates. Management believes that any reasonably possible change in the key assumptions, including from the impacts of climate change or climate-related legislation, would not cause the recoverable amount of the goodwill relating to the Motor business to fall below the balance sheet carrying value. The recoverable amount of the goodwill relating to Credit cards has been based on a value-in-use calculation using post-tax cash flow projections based on financial budgets and plans approved by management covering a four-year period and a discount rate (post-tax) of 10 per cent, based on the Group\u2019s cost of equity. The cash flows beyond the four-year period assume 3.5 per cent growth. Management believes that any reasonably possible change in the key assumptions above would not cause the recoverable amount of the goodwill relating to Credit cards to fall below the balance sheet carrying value. Note 24: Value of in-force business Key assumptions The impacts of reasonably possible changes in the key assumptions made in respect of the Group\u2019s life insurance business, which include the impact on the value of in-force business, are disclosed in note 32. The principal features of the methodology and process used for determining key assumptions used in the calculation of the value of in-force business are set out below: Economic assumptions Each cash flow is valued using the discount rate consistent with that applied to such a cash flow in the capital markets. In practice, to achieve the same result, where the cash flows are either independent of or move linearly with market movements, a method has been applied known as the \u2018certainty equivalent\u2019 approach whereby it is assumed that all assets earn a risk-free rate and all cash flows are discounted at a risk-free rate. The certainty equivalent approach covers all investment assets relating to insurance and participating investment contracts, other than the annuity business (where an illiquidity premium is included, see below). A market-consistent approach has been adopted for the valuation of financial options and guarantees, using a stochastic option pricing technique calibrated to be consistent with the market price of relevant options at each valuation date. Further information on options and guarantees can be found in note 31. Note 24: Value of in-force business continued The liabilities in respect of the Group\u2019s UK annuity business are matched by a portfolio of fixed interest securities, including a large proportion of corporate bonds and illiquid loan assets. The value of the in-force business asset for UK annuity business has been calculated after taking into account an estimate of the market premium for illiquidity in respect of corporate bond holdings and relevant illiquid loan assets. In determining the market premium for illiquidity, a range of inputs are considered which reflect actual asset allocation and relevant observable market data. The illiquidity premium is estimated to be 160 basis points at 31 December 2022 (31 December 2021: 88 basis points). The risk-free rate is derived from the relevant swap curve with a deduction for credit risk. The table below shows the resulting range of yields and other key assumptions at 31 December: 2022 % 2021 % Risk-free rate (value of in-force non-annuity business) 1 1.94 to 4.55 (0.16) to 3.60 Risk-free rate (value of in-force annuity business)1 3.54 to 6.15 0.72 to 4.49 Risk-free rate (financial options and guarantees) 1 1.94 to 4.55 (0.16) to 3.60 Retail price inflation 3.70 3.28 Expense inflation 4.00 3.58 1  All risk-free rates are quoted as the range of rates implied by the relevant forward swap curve. Non-market risk An allowance for non-market risk is made through the choice of best estimate assumptions based upon experience, which generally will give the mean expected financial outcome for shareholders and hence no further allowance for non-market risk is required. However, in the case of operational risk, reinsurer default and the with-profit funds these can be asymmetric in the range of potential outcomes for which an explicit allowance is made. Non-economic assumptions Future mortality, morbidity, expenses, lapse and paid-up rate assumptions are reviewed each year and are based on an analysis of past experience and on management\u2019s view of future experience. Further information on these assumptions is given in note 31 and the effect of changes in key assumptions is given in note 32. The value of in-force business asset in the consolidated balance sheet is comprised as follows: 2022 \u00a3m 2021 \u00a3m Acquired value of in-force non-participating investment contracts 175 197 Value of in-force insurance and participating investment contracts 5,244 5,317 Total value of in-force business 5,419 5,514 The movement in the acquired value of in-force non-participating investment contracts over the year is as follows: 2022 \u00a3m 2021 \u00a3m At 1 January 197 221 Amortisation (note 11) (22) (24) At 31 December 175 197 The acquired value of in-force non-participating investment contracts includes \u00a3106 million (2021: \u00a3119 million) in relation to OEIC business. Movement in value of in-force business The movement in the value of in-force insurance and participating investment contracts over the year is as follows: 2022 \u00a3m 2021 \u00a3m At 1 January 5,317 5,396 Exchange and other adjustments 7 (9) Movements in the year: New business 416 321 Existing business: Expected return (360) (355) Experience variances 18 84 Assumption changes 247 (465) Economic variance (401) 345 Movement in the value of in-force business (note 9) (80) (70) At 31 December 5,244 5,317 This breakdown shows the movement in the value of in-force business only, and does not represent the full contribution that each item in the breakdown makes to profit before tax. This will also contain changes in the other assets and liabilities of the relevant businesses, including the effects of changes in assumptions used to value the liabilities. The presentation of economic variance includes the impact of financial market conditions being different at the end of the year from those included in assumptions used to calculate new and existing business returns. Notes to the consolidated financial statements continued for the year ended 31 December Note 25: Other intangible assets Brands \u00a3m Core deposit intangible \u00a3m Purchased credit card relationships \u00a3m Customer- related intangibles \u00a3m Capitalised software enhancements \u00a3m Total \u00a3m Cost: At 1 January 2021 596 2,770 1,002 538 5,894 10,800 Additions and acquisitions \u2013 \u2013 \u2013 \u2013 1,017 1,017 Disposals and write-offs \u2013 \u2013 \u2013 \u2013 (460) (460) At 31 December 2021 596 2,770 1,002 538 6,451 11,357 Exchange and other adjustments \u2013 \u2013 \u2013 \u2013 (1) (1) Additions and acquisitions 5 \u2013 \u2013 34 1,452 1,491 Disposals and write-offs (12) \u2013 \u2013 \u2013 (186) (198) At 31 December 2022 589 2,770 1,002 572 7,716 12,649 Accumulated amortisation: At 1 January 2021 216 2,770 551 538 2,585 6,660 Exchange and other adjustments \u2013 \u2013 \u2013 \u2013 (1) (1) Charge for the year (note 11) \u2013 \u2013 70 \u2013 892 962 Disposals and write-offs \u2013 \u2013 \u2013 \u2013 (460) (460) At 31 December 2021 216 2,770 621 538 3,016 7,161 Exchange and other adjustments \u2013 \u2013 1 3 (7) (3) Charge for the year (note 11) \u2013 \u2013 70 \u2013 833 903 Disposals and write-offs (12) \u2013 \u2013 \u2013 (186) (198) At 31 December 2022 204 2,770 692 541 3,656 7,863 Balance sheet amount at 31 December 2022 385 \u2013 310 31 4,060 4,786 Balance sheet amount at 31 December 2021 380 \u2013 381 \u2013 3,435 4,196 Brands arising from the acquisition of Bank of Scotland in 2009 are recognised on the Group\u2019s balance sheet and have been determined to have an indefinite useful life. The carrying value at 31 December 2022 was \u00a3380 million (2021: \u00a3380 million). The Bank of Scotland name has been in existence for over 300 years and there are no indications that the brand should not have an indefinite useful life. The recoverable amount has been based on a value-in-use calculation. The calculation uses post-tax projections for a four-year period of the income generated by the Bank of Scotland cost generating unit, a discount rate of 10 per cent and a future growth rate of 3.5 per cent. Management believes that any reasonably possible change in the key assumptions would not cause the recoverable amount of the Bank of Scotland brand to fall below its balance sheet carrying value. Note 26: Other assets 2022 \u00a3m 2021 \u00a3m Property, plant and equipment: Investment properties (see below) 2,532 3,612 Premises 871 817 Equipment 1,285 1,634 Operating lease assets (see below) 4,816 4,196 Right-of-use assets (note 27) 1,156 1,318 10,660 11,577 Settlement balances 416 434 Prepayments 1,224 1,022 Deferred acquisition and origination costs 54 64 Other assets 1,483 1,593 Total other assets 13,837 14,690 Note 26: Other assets continued Investment properties The Group\u2019s investments properties are predominantly held by the Insurance, Pensions and Investments business where they back policyholder liabilities. They are valued by external Chartered Surveyors using industry standard techniques based on guidance from the Royal Institute of Chartered Surveyors. The valuation methodology includes an assessment of general market conditions and sector level transactions and takes account of expectations of occupancy rates, rental income and growth. Property valuations undergo individual scrutiny using cash flow analysis to factor in the timing of rental reviews, capital expenditure, lease incentives, dilapidation and operating expenses; these reviews utilise both observable and unobservable inputs. Within the fair value hierarchy, all of the Group\u2019s investment properties are categorised as level 3 (see note 49 for details of levels in the fair value hierarchy). The table below analyses movements in level 3 investment properties, which are carried at fair value. 2022 \u00a3m 2021 \u00a3m At 1 January 3,612 3,347 Acquisition of new properties 60 18 Additional expenditure on existing properties 50 68 Change in fair value (note 7) (511) 575 Disposals (679) (396) At 31 December 2,532 3,612 Rental income of \u00a3145 million (2021: \u00a3186 million) and direct operating expenses of \u00a332 million (2021: \u00a325 million) arising from investment properties that generate rental income have been recognised in the income statement. Capital expenditure in respect of investment properties which had been contracted for but not recognised in the financial statements was \u00a3119 million (2021: \u00a378 million). Operating lease assets where the Group is lessor Equipment leased to customers under operating leases primarily relates to vehicle contract hire arrangements. At 31 December the future minimum rentals receivable under non-cancellable operating leases were as follows: 2022 \u00a3m 2021 \u00a3m Within 1 year 912 848 1 to 2 years 620 561 2 to 3 years 322 288 3 to 4 years 102 86 4 to 5 years 11 8 Over 5 years \u2013 \u2013 Total future minimum rentals receivable 1,967 1,791 Equipment leased to customers under operating leases primarily relates to vehicle contract hire arrangements. Operating lease assets are comprised as follows: 2022 \u00a3m 2021 \u00a3m Electric vehicles 1,610 728 Internal combustion engine vehicles 2,042 2,531 Hybrid vehicles 1,159 928 Other 5 9 Total operating lease assets 4,816 4,196 Note 27: Lessee disclosures The table below sets out the movement in the Group\u2019s right-of-use assets, which are primarily in respect of premises, and are recognised within other assets (note 26). 2022 \u00a3m 2021 \u00a3m At 1 January 1,318 1,500 Exchange and other adjustments 3 (9) Additions 98 73 Disposals (37) (18) Depreciation charge for the year (226) (228) At 31 December 1,156 1,318 The Group\u2019s lease liabilities are recognised within other liabilities (note 34). The maturity analysis of the Group\u2019s lease liabilities on an undiscounted basis is set out in the liquidity risk section of note 52. The total cash outflow for leases in the year ended 31 December 2022 was \u00a3210 million (2021: \u00a3256 million). The amount recognised within interest expense in respect of lease liabilities is disclosed in note 5. Notes to the consolidated financial statements continued for the year ended 31 December Note 28: Financial liabilities at fair value through profit or loss 2022 \u00a3m 2021 \u00a3m Liabilities designated at fair value through profit or loss: Debt securities in issue 5,159 6,537 Other 19 4 5,178 6,541 Trading liabilities: Liabilities in respect of securities sold under repurchase agreements 11,037 14,962 Short positions in securities 1,540 1,620 12,577 16,582 Total financial liabilities at fair value through profit or loss 17,755 23,123 Liabilities designated at fair value through profit or loss primarily represent debt securities in issue which either contain substantive embedded derivatives which would otherwise need to be recognised and measured at fair value separately from the related debt securities, or which are accounted for at fair value to significantly reduce an accounting mismatch. The amount contractually payable on maturity of the debt securities held at fair value through profit or loss at 31 December 2022 was \u00a311,195 million, which was \u00a36,036 million higher than the balance sheet carrying value (2021: \u00a310,558 million, which was \u00a34,021 million higher than the balance sheet carrying value). At 31 December 2022 there was a cumulative \u00a3324 million decrease in the fair value of these liabilities attributable to changes in credit spread risk; this is determined by reference to the quoted credit spreads of Lloyds Bank plc, the issuing entity within the Group. Of the cumulative amount, a decrease of \u00a3519 million arose in 2022 and an increase of \u00a386 million arose in 2021. For the fair value of collateral pledged in respect of repurchase agreements see note 52. In addition to the liabilities above, the Group\u2019s non-participating investment contracts (see note 33) are held at fair value through profit or loss. Note 29: Debt securities in issue 2022 \u00a3m 2021 \u00a3m Senior unsecured notes issued 36,819 37,354 Covered bonds (note 30) 14,242 17,409 Certificates of deposit issued 7,225 4,454 Securitisation notes (note 30) 2,780 3,672 Commercial paper 12,753 8,663 Total debt securities in issue 73,819 71,552 Note 30: Securitisations and covered bonds Securitisation programmes Loans and advances to customers include loans securitised under the Group\u2019s securitisation programmes, the majority of which have been sold by subsidiary companies to bankruptcy remote structured entities. As the structured entities are funded by the issue of debt on terms whereby the majority of the risks and rewards of the portfolio are retained by the subsidiary, the structured entities are consolidated fully and all of these loans are retained on the Group\u2019s balance sheet, with the related notes in issue included within debt securities in issue. Covered bond programmes Certain loans and advances to customers have been assigned to bankruptcy remote limited liability partnerships to provide security for issues of covered bonds by the Group. The Group retains all of the risks and rewards associated with these loans and the partnerships are consolidated fully with the loans retained on the Group\u2019s balance sheet and the related covered bonds in issue included within debt securities in issue. Note 30: Securitisations and covered bonds continued The Group\u2019s principal securitisation and covered bond programmes, together with the balances of the advances subject to these arrangements and the carrying value of the externally held notes in issue at 31 December, are listed below. Notes in issue, previously reported gross of internal holdings, are presented net; comparatives have been presented on a consistent basis. The notes in issue are reported in note 29. 2022 2021 Loans and advances securitised1 \u00a3m Externally held notes  in issue \u00a3m Loans and advances securitised1 \u00a3m Externally held notes  in issue \u00a3m Securitisation programmes UK residential mortgages and commercial loans 15,805 2,035 19,129 2,543 Credit card receivables 12,776 223 11,615 595 Motor vehicle finance 401 149 235 141 Dutch residential mortgages 402 399 427 426 Total securitisation programmes (notes 28 and 29)2 29,384 2,806 31,406 3,705 Covered bond programmes Residential mortgage-backed 27,400 13,742 35,896 16,909 Social housing loan-backed 831 500 833 500 Total covered bond programmes (note 29) 28,231 14,242 36,729 17,409 Total securitisation and covered bond programmes 17,048 21,114 1  Including assets backing notes held internally within the Group. 2  Includes \u00a326 million (2021: \u00a333 million) of securitisation notes held at fair value through profit or loss. Cash deposits of \u00a33,896 million (2021: \u00a33,558 million) which support the debt securities issued by the structured entities, the term advances related to covered bonds and other legal obligations, are held by the Group. Additionally, the Group has certain contractual arrangements to provide liquidity facilities to some of these structured entities. At 31 December 2022 these obligations had not been triggered; the maximum exposure under these facilities was \u00a325 million (2021: \u00a352 million). The Group has two covered bond programmes, for which limited liability partnerships have been established to ring-fence asset pools and guarantee the covered bonds issued by the Group. At the reporting date the Group had over-collateralised these programmes as set out in the table above to meet the terms of the programmes, to secure the rating of the covered bonds and to provide operational flexibility. From time to time, the obligations of the Group to provide collateral may increase due to the formal requirements of the programmes. The Group may also voluntarily contribute collateral to support the ratings of the covered bonds. The Group recognises the full liabilities associated with its securitisation and covered bond programmes within debt securities in issue, although the obligations of the Group in respect of its securitisation issuances are limited to the cash flows generated from the underlying assets. The Group could be required to provide additional support to a number of the securitisation programmes to support the credit ratings of the debt securities issued, in the form of increased cash reserves and the holding of subordinated notes. Further, certain programmes contain contractual obligations that require the Group to repurchase assets should they become credit-impaired or as otherwise required by the transaction documents. The Group has not provided financial or other support by voluntarily offering to repurchase assets from any of its public securitisation programmes during 2022 (2021: none). Note 31: Liabilities arising from insurance contracts and participating investment contracts Insurance contract and participating investment contract liabilities are comprised as follows: 2022 2021 Gross \u00a3m Reinsurance1 \u00a3m Net \u00a3m Gross \u00a3m Reinsurance 1 \u00a3m Net \u00a3m Life insurance (see (1) below): Insurance contracts 95,745 (595) 95,150 109,200 (740) 108,460 Participating investment contracts 10,541 \u2013 10,541 13,623 \u2013 13,623 106,286 (595) 105,691 122,823 (740) 122,083 Non-life insurance contracts (see (2) below): Unearned premiums 246 (17) 229 312 (16) 296 Claims outstanding 361 (2) 359 288 \u2013 288 607 (19) 588 600 (16) 584 Total 106,893 (614) 106,279 123,423 (756) 122,667 1  Reinsurance balances are reported within assets. Notes to the consolidated financial statements continued for the year ended 31 December Note 31: Liabilities arising from insurance contracts and participating investment contracts continued (1)  Life insurance The movement in life insurance contract and participating investment contract liabilities over the year can be analysed as follows: Insurance contracts \u00a3m Participating investment contracts \u00a3m Gross \u00a3m Reinsurance \u00a3m Net \u00a3m At 1 January 2021 102,424 13,041 115,465 (820) 114,645 New business 3,427 40 3,467 (110) 3,357 Changes in existing business 3,437 570 4,007 190 4,197 Change in liabilities charged to the income statement (note 10) 6,864 610 7,474 80 7,554 Exchange and other adjustments (88) (28) (116) \u2013 (116) At 31 December 2021 109,200 13,623 122,823 (740) 122,083 New business 4,151 18 4,169 (98) 4,071 Changes in existing business (17,693) (3,100) (20,793) 243 (20,550) Change in liabilities charged to the income statement (note 10) (13,542) (3,082) (16,624) 145 (16,479) Exchange and other adjustments 87 \u2013 87 \u2013 87 At 31 December 2022 95,745 10,541 106,286 (595) 105,691 Liabilities for insurance contracts and participating investment contracts can be split into with-profit fund liabilities, accounted for using the PRA\u2019s realistic capital regime (realistic liabilities), and non-profit fund liabilities, accounted for using a prospective actuarial discounted cash flow methodology, as follows: 2022 2021 With-profit fund \u00a3m Non-profit fund \u00a3m Total \u00a3m With-profit fund \u00a3m Non-profit fund \u00a3m Total \u00a3m Insurance contracts 5,778 89,967 95,745 7,232 101,968 109,200 Participating investment contracts 5,435 5,106 10,541 6,641 6,982 13,623 Total 11,213 95,073 106,286 13,873 108,950 122,823 With-profit fund realistic liabilities (i)  Business description Scottish Widows Limited has the only with-profit funds within the Group. The primary purpose of the conventional and unitised business written in the with-profit funds is to provide a smoothed investment vehicle to policyholders, protecting them against short-term market fluctuations. Pay-outs may be subject to a guaranteed minimum pay-out if certain policy conditions are met. With-profit policyholders are entitled to at least 90 per cent of the distributed profits, with the shareholders receiving the balance. The policyholders are also usually insured against death and the policy may carry a guaranteed annuity option at retirement. (ii)  Method of calculation of liabilities With-profit liabilities are stated at their realistic value, the main components of which are: \u2022 With-profit benefit reserve, the total asset shares for with-profit policies \u2022 Cost of options and guarantees (including guaranteed annuity options) \u2022 Deductions levied against asset shares \u2022 Planned enhancements to with-profit benefit reserve \u2022 Impact of the smoothing policy (iii)  Assumptions Key assumptions used in the calculation of with-profit liabilities, which reflect the impacts of COVID-19 that has also increased the level of uncertainty (in particular in relation to persistency and mortality assumptions) and the processes for determining these, are: Investment returns and discount rates With-profit fund liabilities are valued on a market-consistent basis, achieved by the use of a valuation model which values liabilities on a basis calibrated to tradable market option contracts and other observable market data. The with-profit fund financial options and guarantees are valued using a stochastic simulation model where all assets are assumed to earn, on average, the risk-free yield and all cash flows are discounted using the risk-free yield. The risk-free yield is defined as the spot yield derived from the relevant swap curve, adjusted for credit risk. Further information on significant options and guarantees is given below. Guaranteed annuity option take-up rates Certain pension contracts contain guaranteed annuity options that allow the policyholder to take an annuity benefit on retirement at annuity rates that were guaranteed at the outset of the contract. For contracts that contain such options, key assumptions in determining the cost of options are economic conditions in which the option has value, mortality rates and take-up rates of other options. The financial impact is dependent on the value of corresponding investments, interest rates and longevity at the time of the claim. Note 31: Liabilities arising from insurance contracts and participating investment contracts continued Investment volatility The calibration of the stochastic simulation model uses implied volatilities of derivatives where possible, or historical volatility where it is not possible to observe meaningful prices. Mortality The mortality assumptions for the main classes of business are set with regard to recent Group experience and general industry trends, all of which are adjusted for smoker status and age/gender specific factors. The mortality tables used in the valuation are summarised below: 2022 2021 Annuities 94% Bespoke tables CMI2021_{M/F}_(7.25)_ {3.0/2.8}%_{0.0/0.2}A_2013 94% Bespoke tables CMI2020_{M/F}_(7.25)_ {3.0/2.8}%_{0.3/0.4}A_2013 Whole of life assurance Bespoke tables Bespoke tables Term assurance 88%\u2013111% of TxxL08 tables 88%\u2013111% of TxxL08 tables Pensions 64%\u201377% of TxxL08 tables 64%\u201377% of TxxL08 tables Savings 62%\u201374% of AxC00 tables 55%\u201380% of AxC00 tables Lapse rates (persistency) Lapse rates refer to the rate of policy termination or the rate at which policyholders stop paying regular premiums due under the contract. Historical persistency experience is analysed using statistical techniques. As experience can vary considerably between different product types and for contracts that have been in force for different periods, the data is broken down into broadly homogenous groups for the purposes of this analysis. The most recent experience is considered along with the results of previous analyses and management\u2019s views on future experience, taking into consideration potential changes in future experience that may result from guarantees and options becoming more valuable under adverse market conditions, in order to determine a \u2018best estimate\u2019 view of what persistency will be. In determining this best estimate view a number of factors are considered, including the credibility of the results (which will be affected by the volume of data available), any exceptional events that have occurred during the period under consideration, any known or expected trends in underlying data and relevant published market data. (iv)  Options and guarantees within the With-Profit Funds The most significant options and guarantees provided from within the With-Profit Funds are in respect of guaranteed minimum cash benefits on death, maturity, retirement or certain policy anniversaries, and guaranteed annuity options on retirement for certain pension policies. For those policies written in Scottish Widows pre-demutualisation containing potentially valuable options and guarantees, under the terms of the demutualisation scheme a separate memorandum account was set up, within the With-Profit Fund originally held in Scottish Widows plc and subsequently transferred into Scottish Widows Limited, called the Additional Account, which is available, inter alia, to meet any additional costs of providing guaranteed benefits in respect of those policies. The Additional Account had a value at 31 December 2022 of \u00a31.9 billion (2021: \u00a32.5 billion). The eventual cost of providing benefits on policies written both pre and post demutualisation is dependent upon a large number of variables, including future interest rates and equity values, demographic factors, such as mortality, and the proportion of policyholders who seek to exercise their options. The ultimate cost will therefore not be known for many years. As noted above, the liabilities of the With-Profit Funds are valued using a market-consistent stochastic simulation model which places a value on the options and guarantees capturing both their intrinsic value and time value. The most significant economic assumptions included in the model are risk-free yield and investment volatility. Non-profit fund liabilities (i)  Business description The Group principally writes the following types of life insurance contracts within its non-profit funds. Shareholder profits on these types of business arise from management fees and other policy charges. Unit-linked business This includes unit-linked pensions and unit-linked bonds, the primary purpose of which is to provide an investment vehicle where the policyholder is also insured against death. Life insurance The policyholder is insured against death or permanent disability, usually for predetermined amounts. Such business includes whole of life and term assurance and long-term creditor policies. Annuities The policyholder is entitled to payments for the duration of their life and is therefore insured against surviving longer than expected. (ii)  Method of calculation of liabilities The non-profit fund liabilities are determined on the basis of recognised actuarial methods and involve estimating future policy cash flows over the duration of the in-force book of policies, and discounting the cash flows back to the valuation date allowing for probabilities of occurrence. (iii)  Assumptions Generally, assumptions used to value non-profit fund liabilities are prudent in nature and therefore contain a margin for adverse deviation. This margin for adverse deviation is based on management\u2019s judgement and reflects management\u2019s views on the inherent level of uncertainty. In calculating the value of non-profit fund liabilities, the impacts of COVID-19, which have increased the level of uncertainty, have been considered, in particular in relation to persistency and mortality. The key assumptions used in the measurement of non-profit fund liabilities are: Notes to the consolidated financial statements continued for the year ended 31 December Note 31: Liabilities arising from insurance contracts and participating investment contracts continued Interest rates The rates of interest used are determined by reference to a number of factors including the redemption yields on fixed interest assets at the valuation date. Margins for risk are allowed for in the assumed interest rates, including reductions made to the available yields to allow for default risk based upon the credit rating of the securities allocated to the insurance liability. Mortality and morbidity The mortality assumptions for the main classes of business are as follows: 2022 2021 Annuities 94% Bespoke tables CMI2021_{M/F}_(7.25)_ {3.0/2.8}%_{0.0/0.2}A_2013 94% Bespoke tables CMI2020_{M/F}_(7.25)_ {3.0/2.8}%_{0.3/0.4}A_2013 Whole of life assurance Bespoke tables Bespoke tables Term assurance 88%\u2013111% of TxxL08 tables 88%\u2013111% of TxxL08 tables Pensions 64%\u201377% of TxxL08 tables 64%\u201377% of TxxL08 tables Savings 62%\u201374% of AxC00 tables 55%\u201380% of AxC00 tables Lapse rates (persistency) Lapse rates are allowed for on some non-profit fund contracts. The process for setting these rates is as described for with-profit liabilities, however a prudent scenario is assumed by the inclusion of a margin for adverse deviation within the non-profit fund liabilities. Maintenance expenses Allowance is made for future policy costs explicitly. Expenses are determined by reference to an internal analysis of current and expected future costs plus a margin for adverse deviation. Explicit allowance is made for future expense inflation. Key changes in assumptions A detailed review of the Group\u2019s demographic and expense assumptions in 2022 resulted in a net gain of \u00a3348 million (2021: net gain of \u00a343 million). The following were the key impacts on profit before tax: \u2022 Change in persistency assumptions (\u00a3229 million increase (2021: \u00a315 million decrease)) \u2022 Change in the assumption in respect of current and future mortality and morbidity rates (\u00a3112 million increase (2021: \u00a3149 million increase)) \u2022 Change in expense assumptions (\u00a39 million increase (2021: \u00a394 million decrease)) These amounts include the impacts of movements in liabilities and value of the in-force business in respect of insurance contracts and participating investment contracts. (iv)  Options and guarantees outside the With-Profit Funds A number of typical guarantees are provided outside the With-Profit Funds such as guaranteed payments on death (for example term assurance) or guaranteed income for life (for example annuities). Caps and floors on inflation-linked increases to benefits and premiums across the annuities and protection business form additional guarantees within the Group\u2019s insurance business. Key assumptions affecting the time value of these guarantees are inflation, inflation volatility and interest rates. At 31 December 2022, additional reserves of \u00a374 million were held to cover the time value of these guarantees. In addition, certain personal pension policyholders in Scottish Widows, for whom reinstatement to their occupational pension scheme was not an option, have been given a guarantee that their pension and other benefits will correspond in value to the benefits of the relevant occupational pension scheme. The key assumptions affecting the ultimate value of the guarantee are future salary growth, gilt yields at retirement, annuitant mortality at retirement, marital status at retirement and future investment returns. There is currently a provision, calculated on a deterministic basis, of \u00a330 million (2021: \u00a361 million) in respect of those guarantees. (2)  Non-life insurance For non-life insurance contracts, the methodology and assumptions used in relation to determining the bases of the earned premium and claims provisioning levels are derived for each individual underwritten product. Assumptions represent the Group\u2019s estimates of the most likely or expected outcome, with a margin added for uncertainty reserves. There has been no significant change in the assumptions and methodologies used for setting reserves. The movements in non-life insurance contract liabilities and reinsurance assets over the year have been as follows: 2022 \u00a3m 2021 \u00a3m Provisions for unearned premiums Gross provision at 1 January 312 330 Increase in the year 494 624 Release in the year (560) (642) Change in provision for unearned premiums charged (credited) to income statement (66) (18) Gross provision at 31 December 246 312 Reinsurers\u2019 share (17) (16) Net provision at 31 December 229 296 These provisions represent the liability for short-term insurance contracts for which the Group\u2019s obligations are not expired at the year end. Note 31: Liabilities arising from insurance contracts and participating investment  contracts continued 2022 \u00a3m 2021 \u00a3m Claims outstanding Gross claims outstanding at 1 January 288 265 Cash paid for claims settled in the year (342) (305) Increase in liabilities charged to the income statement1 415 328 73 23 Gross claims outstanding at 31 December 361 288 Reinsurers\u2019 share (2) \u2013 Net claims outstanding at 31 December 359 288 Notified claims 208 177 Incurred but not reported 151 111 Net claims outstanding at 31 December 359 288 1  Of which an increase of \u00a3402 million (2021: increase of \u00a3367 million) was in respect of current year claims and an increase of \u00a313 million (2021: decrease of  \u00a339 million) was in respect of prior year claims. These claims liabilities are not discounted because they are typically settled within three years. Note 32: Life insurance sensitivity analysis The following table demonstrates the effect of reasonably possible changes in key assumptions on profit before tax and equity disclosed in these financial statements assuming that the other assumptions remain unchanged. In practice this is unlikely to occur, and changes in some assumptions may be correlated. These amounts include movements in assets, liabilities and the value of the in- force business in respect of insurance contracts and participating investment contracts. The impact is shown in one direction but can be assumed to be reasonably symmetrical. 2022 2021 Change in variable Increase (reduction) in profit before tax \u00a3m Increase (reduction) in equity \u00a3m Increase (reduction) in profit before tax \u00a3m Increase (reduction) in equity \u00a3m Critical accounting estimates Annuitant mortality 1 5% reduction (188) (152) (301) (244) Future maintenance and investment expenses 2 10% reduction 309 250 355 288 Widening of credit default spreads 3 0.25% addition (284) (230) (433) (351) Increase in illiquidity premia4 0.10% addition 114 92 190 154 Other accounting estimates Non-annuitant mortality and morbidity5 5% reduction 22 18 13 11 Lapse rates 6 10% reduction 122 99 88 71 Risk-free rate 7 0.25% reduction 44 35 44 35 Guaranteed annuity option take up 8 5% addition (2) (2) (2) (2) Equity investment volatility9 1% addition (2) (1) (2) (1) 1  This sensitivity shows the impact on the annuity and deferred annuity business of reducing mortality rates to 95 per cent of the expected rate. 2  This sensitivity shows the impact of reducing maintenance expenses and investment expenses to 90 per cent of the expected rate. 3  This sensitivity shows the impact of a 25 basis point increase in credit default spreads on corporate bonds and the corresponding reduction in market values. Swap curves, the risk-free rate and illiquidity premia are all assumed to be unchanged. 4  This sensitivity shows the impact of a 10 basis point increase in the allowance for illiquidity premia. It assumes the overall spreads on assets are unchanged and hence market values are unchanged. Swap curves and the non-annuity risk-free rate are both assumed to be unchanged. The increased illiquidity premium increases the annuity risk-free rate. 5  This sensitivity shows the impact of reducing mortality and morbidity rates on non-annuity business to 95 per cent of the expected rate. 6  This sensitivity shows the impact of reducing lapse and surrender rates to 90 per cent of the expected rate. 7  This sensitivity shows the impact on the value of in-force business, financial options and guarantee costs, statutory reserves and asset values of reducing the risk-free rate by 25 basis points. 8  This sensitivity shows the impact of a flat 5 per cent addition to the expected rate. 9  This sensitivity shows the impact of a flat 1 per cent addition to the expected rate. Assumptions have been flexed on the basis used to calculate the value of in-force business and the realistic and statutory reserving bases. Notes to the consolidated financial statements continued for the year ended 31 December Note 33: Liabilities arising from non-participating investment contracts The movement in liabilities arising from non-participating investment contracts may be analysed as follows: 2022 \u00a3m 2021 \u00a3m At 1 January 45,040 38,452 New business 3,148 4,187 Changes in existing business (5,213) 2,401 At 31 December 42,975 45,040 The balances above are shown gross of reinsurance. As at 31 December 2022, related reinsurance balances were \u00a32 million (2021: \u00a33 million); reinsurance balances are reported within assets. Liabilities arising from non-participating investment contracts are categorised as level 2. See note 49 for details of levels in the fair value hierarchy. Note 34: Other liabilities 2022 \u00a3m 2021 \u00a3m Settlement balances 1,125 541 Unitholders\u2019 interest in consolidated Open-Ended Investment Companies 1 10,413 12,080 Unallocated surplus within insurance businesses 248 308 Lease liabilities 1,317 1,475 Other creditors and accruals 5,987 5,543 Total other liabilities 19,090 19,947 1  Where a collective investment vehicle is consolidated, the interests of parties other than the Group are reported at fair value in other liabilities. The maturity analysis of the Group\u2019s lease liabilities on an undiscounted basis is set out in the liquidity risk section of note 52. Note 35: Retirement benefit obligations 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m Charge to the income statement Defined benefit pension schemes 123 234 244 Other post-retirement benefit schemes 2 2 3 Total defined benefit schemes 125 236 247 Defined contribution pension schemes 330 302 319 Total charge to the income statement (note 11) 455 538 566 2022 \u00a3m 2021 \u00a3m Amounts recognised in the balance sheet Retirement benefit assets 3,823 4,531 Retirement benefit obligations (126) (230) Total amounts recognised in the balance sheet 3,697 4,301 The total amounts recognised in the balance sheet relate to: 2022 \u00a3m 2021 \u00a3m Defined benefit pension schemes 3,732 4,404 Other post-retirement benefit schemes (35) (103) Total amounts recognised in the balance sheet 3,697 4,301 Note 35: Retirement benefit obligations continued Pension schemes Defined benefit schemes (i)  Characteristics of and risks associated with the Group\u2019s schemes The Group has established a number of defined benefit pension schemes in the UK and overseas. All significant schemes are based in the UK, with the three most significant being the main sections of the Lloyds Bank Pension Scheme No. 1, the Lloyds Bank Pension Scheme No. 2 and the HBOS Final Salary Pension Scheme. At 31 December 2022, these schemes represented 94 per cent of the Group\u2019s total gross defined benefit pension assets (2021: 94 per cent). These schemes provide retirement benefits calculated as a proportion of final pensionable salary depending upon the length of pensionable service; the minimum retirement age under the rules of the schemes at 31 December 2022 is generally 55, although certain categories of member are deemed to have a protected right to retire at 50. The Group operates both funded and unfunded pension arrangements; the majority, including the three most significant schemes, are funded schemes in the UK. All of these UK funded schemes are operated as separate legal entities under trust law, are in compliance with the Pensions Act 2004 and are managed by a Trustee Board (the Trustee) whose role is to ensure that their scheme is administered in accordance with the scheme rules and relevant legislation, and to safeguard the assets in the best interests of all members and beneficiaries. The Trustee is solely responsible for setting investment policy and for agreeing funding requirements with the employer through the funding valuation process. The Board of Trustees must be composed of representatives of the scheme membership along with a combination of independent and employer appointed trustees to comply with legislation and scheme rules. A valuation to determine the funding status of each scheme is carried out at least every three years, whereby scheme assets are measured at market value and liabilities (technical provisions) are measured using prudent assumptions. If a deficit is identified a recovery plan is agreed between the employer and the scheme Trustee and sent to the Pensions Regulator for review. The Group has not provided for these deficit contributions as the future economic benefits arising from these contributions are expected to be available to the Group. The Group\u2019s overseas defined benefit pension schemes are subject to local regulatory arrangements. The most recent triennial funding valuations of the Group\u2019s three main defined benefit pension schemes showed an aggregate ongoing funding deficit of \u00a37.3 billion as at 31 December 2019 (a funding level of 85.7 per cent). Under the agreed recovery plan, \u00a30.8 billion plus a further 30 per cent of in-year capital distributions to ordinary shareholders, up to a limit on total deficit contributions of \u00a32.0 billion per annum, is payable until the 2019 deficit has been removed. These schemes continue to have a funding deficit, but are in a significantly stronger financial position than at 31 December 2021, when the deficit was c.\u00a34.0 billion. During 2022, deficit contributions of \u00a32.2 billion were paid into these schemes and the Group expects to make a further fixed contribution of \u00a30.8 billion in the first half of 2023, consistent with 2021 and 2022. The Group expects to have substantially agreed the triennial valuation with the Trustee by the end of the third quarter of 2023, along with a revised contribution schedule in respect of any remaining deficit. Trustee agreement will be conditional upon prior feedback from the Pensions Regulator. The Group also expects that future contributions will become increasingly contingent in nature, such that they are only paid into the schemes if required. The deficit contributions are in addition to the regular contributions to meet benefits accruing over the year, and to cover the expenses of running the schemes. The Group expects to pay contributions of at least \u00a31.1 billion to its defined benefit schemes in 2023. During 2009, the Group made one-off contributions to the Lloyds Bank Pension Scheme No. 1 and Lloyds Bank Pension Scheme No. 2 in the form of interests in limited liability partnerships for each of the two schemes which hold assets to provide security for the Group\u2019s obligations to the two schemes. At 31 December 2022, the limited liability partnerships held assets of \u00a36.3 billion. The limited liability partnerships are consolidated fully in the Group\u2019s balance sheet. The Group has also established three private limited companies which hold assets to provide security for the Group\u2019s obligations to the HBOS Final Salary Pension Scheme, a section of the Lloyds Bank Pension Scheme No. 1 and the Lloyds Bank Offshore Pension Scheme. At 31 December 2022 these held assets of \u00a34.5 billion in aggregate. The private limited companies are consolidated fully in the Group\u2019s balance sheet. The terms of these arrangements require the Group to maintain assets in these vehicles to agreed minimum values in order to secure obligations owed to the relevant Group pension schemes. The Group has satisfied this requirement during 2022. The last funding valuations of other Group schemes were carried out on a number of different dates. In order to report the position under IAS 19 as at 31 December 2022, the most recent valuation results for all schemes have been updated by qualified independent actuaries. The funding valuations use a more prudent approach to setting the discount rate and more conservative longevity and inflation assumptions than the IAS 19 valuations. In a judgment in 2018, the High Court confirmed the requirement to equalise the Guaranteed Minimum Pension (GMP) benefits of men and women accruing between 1990 and 1997 from contracting out of the State Earnings Related Pension Scheme. The Group recognised a past service cost of \u00a3108 million in respect of equalisation in 2018 and, following agreement of the detailed implementation approach with the Trustee, a further \u00a333 million was recognised in 2019. A further hearing was held during 2020 which confirmed the extent of the Trustee\u2019s obligation to revisit past transfers out of the schemes. The amount of any additional liability as a result of this judgment is still being reviewed but is not considered likely to be material. Notes to the consolidated financial statements continued for the year ended 31 December Note 35: Retirement benefit obligations continued (ii)  Amounts in the financial statements 2022 \u00a3m 2021 \u00a3m Amount included in the balance sheet Present value of funded obligations (28,965) (47,130) Fair value of scheme assets 32,697 51,534 Net amount recognised in the balance sheet 3,732 4,404 2022 \u00a3m 2021 \u00a3m Net amount recognised in the balance sheet At 1 January 4,404 1,578 Net defined benefit pension charge (123) (234) Actuarial gains on defined benefit obligation 17,222 1,267 Return on plan assets (20,302) 449 Employer contributions 2,530 1,344 Exchange and other adjustments 1 \u2013 At 31 December 3,732 4,404 2022 \u00a3m 2021 \u00a3m Movements in the defined benefit obligation At 1 January (47,130) (49,549) Current service cost (180) (213) Interest expense (902) (704) Remeasurements: Actuarial losses \u2013 experience (1,186) (426) Actuarial gains (losses) \u2013 demographic assumptions 288 (146) Actuarial gains \u2013 financial assumptions 18,120 1,839 Benefits paid 2,048 2,034 Past service cost (4) (11) Settlements 13 22 Exchange and other adjustments (32) 24 At 31 December (28,965) (47,130) 2022 \u00a3m 2021 \u00a3m Analysis of the defined benefit obligation Active members (3,088) (5,837) Deferred members (8,515) (16,167) Pensioners (16,013) (23,171) Dependants (1,349) (1,955) At 31 December (28,965) (47,130) 2022 \u00a3m 2021 \u00a3m Changes in the fair value of scheme assets At 1 January 51,534 51,127 Return on plan assets excluding amounts included in interest income (20,302) 449 Interest income 997 733 Employer contributions 2,530 1,344 Benefits paid (2,048) (2,034) Settlements (13) (23) Administrative costs paid (34) (38) Exchange and other adjustments 33 (24) At 31 December 32,697 51,534 Note 35: Retirement benefit obligations continued The expense recognised in the income statement for the year ended 31 December comprises: 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m Current service cost 180 213 206 Net interest amount (95) (29) (23) Settlements \u2013 1 2 Past service cost \u2013 plan amendments 4 11 5 Plan administration costs incurred during the year 34 38 54 Total defined benefit pension expense 123 234 244 (iii)  Composition of scheme assets 2022 2021 Quoted \u00a3m Unquoted \u00a3m Total \u00a3m Quoted \u00a3m Unquoted \u00a3m Total \u00a3m Equity instruments 7 47 54 617 36 653 Debt instruments 1: Fixed interest government bonds 3,007 \u2013 3,007 10,512 \u2013 10,512 Index-linked government bonds 15,497 \u2013 15,497 23,969 \u2013 23,969 Corporate and other debt securities 3,978 \u2013 3,978 13,399 \u2013 13,399 22,482 \u2013 22,482 47,880 \u2013 47,880 Property \u2013 116 116 \u2013 139 139 Pooled investment vehicles 2,730 15,863 18,593 1,192 13,346 14,538 Money market instruments, cash, derivatives and other assets and liabilities 1,069 (9,617) (8,548) 319 (11,995) (11,676) At 31 December 26,288 6,409 32,697 50,008 1,526 51,534 1  Of the total debt instruments, \u00a320,369 million (2021: \u00a342,568 million) were investment grade (credit ratings equal to or better than \u2018BBB\u2019). The assets of all of the funded plans are held independently of the Group\u2019s assets in separate trustee-administered funds. The pension schemes\u2019 pooled investment vehicles comprise: 2022 \u00a3m 2021 \u00a3m Equity funds 1,421 3,696 Hedge and mutual funds 240 1,407 Alternative credit funds 2,222 3,884 Property funds 1,604 1,541 Infrastructure funds 1,193 1,389 Liquidity funds 11,527 2,031 Bond and debt funds 354 561 Other 32 29 At 31 December 18,593 14,538 The Trustee\u2019s approach to investment is focused on acting in the members\u2019 best financial interests, with the integration of ESG (Environmental, Social and Governance) considerations into investment management processes and practices. This policy is reviewed annually (or more frequently as required) and has been shared with the schemes\u2019 investment managers for implementation. Climate change is one of the risks the schemes manage given its potential financial impact on valuation of assets. (iv)  Assumptions The principal actuarial and financial assumptions used in valuations of the defined benefit pension schemes were as follows: 2022 % 2021 % Discount rate 4.93 1.94 Rate of inflation: Retail Price Index (RPI) 3.13 3.21 Consumer Price Index (CPI) 2.69 2.92 Rate of salary increases 0.00 0.00 Weighted-average rate of increase for pensions in payment 2.84 2.88 On 25 November 2020 the Chancellor of the Exchequer announced the outcome of a consultation into a reform of the calculation of RPI. It is now expected that from 2030 RPI will be aligned with CPIH (the Consumer Price Index including owner occupiers\u2019 housing costs). To determine the RPI assumption a term-dependent inflation curve has been used adjusting for an assumed inflation risk premium. In the period to 2030 a gap of 100 basis points has been assumed between RPI and CPI; thereafter a 10 basis point gap has been assumed. Notes to the consolidated financial statements continued for the year ended 31 December Note 35: Retirement benefit obligations continued Men Women 2022 Years 2021 Years 2022 Years 2021 Years Life expectancy for member aged 60, on the valuation date 26.7 27.1 28.8 29.1 Life expectancy for member aged 60, 15 years after the valuation date 27.8 28.1 30.0 30.3 The mortality assumptions used in the UK scheme valuations are based on standard tables published by the Institute and Faculty of Actuaries which were adjusted in line with the actual experience of the relevant schemes. The table shows that a member retiring at age 60 at 31 December 2022 is assumed to live for, on average, 26.7 years for a male and 28.8 years for a female. In practice there will be much variation between individual members but these assumptions are expected to be appropriate across all members. It is assumed that younger members will live longer in retirement than those retiring now. This reflects the expectation that mortality rates will continue to fall over time as medical science and standards of living improve. To illustrate the degree of improvement assumed, the table also shows the life expectancy for members aged 45 now, when they retire in 15 years time at age 60. The Group uses the CMI mortality projections model and in line with actuarial industry recommendations has placed no weight on 2020 and 2021 mortality experience. The persistence of excess deaths during 2022 has highlighted the potential longer term impacts of COVID-19 and the Group has applied a 4 per cent scaling factor to its base mortality tables at December 2022 to allow for this impact on member mortality. This led to a c.1 per cent reduction in the defined benefit obligation. (v)  Amount, timing and uncertainty of future cash flows Risk exposure of the defined benefit schemes While the Group is not exposed to any unusual, entity-specific or scheme-specific risks in its defined benefit pension schemes, it is exposed to a number of significant risks, detailed below: Inflation rate risk: The majority of the plans\u2019 benefit obligations are linked to inflation both in deferment and once in payment. Higher inflation will lead to higher liabilities although this will be materially offset by holdings of inflation-linked gilts and, in most cases, caps on the level of inflationary increases are in place to protect against extreme inflation. Interest rate risk: The defined benefit obligation is determined using a discount rate derived from yields on AA-rated corporate bonds. A decrease in corporate bond yields will increase plan liabilities although this will be materially offset by an increase in the value of bond holdings and through the use of derivatives. Longevity risk: The majority of the schemes\u2019 obligations are to provide benefits for the life of the members so increases in life expectancy will result in an increase in the plans\u2019 liabilities. Investment risk: Scheme assets are invested in a diversified portfolio of debt securities, equities and other return-seeking assets. If the assets underperform the discount rate used to calculate the defined benefit obligation, it will reduce the surplus or increase the deficit. Volatility in asset values and the discount rate will lead to volatility in the net pension asset on the Group\u2019s balance sheet and in other comprehensive income. To a lesser extent this will also lead to volatility in the pension expense in the Group\u2019s income statement. In addition, the schemes themselves are exposed to liquidity risk with the need to ensure that liquid assets held are sufficient to meet benefit payments as they fall due and there is sufficient collateral available to support their hedging activity. The ultimate cost of the defined benefit obligations to the Group will depend upon actual future events rather than the assumptions made. The assumptions made are unlikely to be borne out in practice and as such the cost may be higher or lower than expected. Sensitivity analysis The effect of reasonably possible changes in key assumptions on the value of scheme liabilities and the resulting pension charge in the Group\u2019s income statement and on the net defined benefit pension scheme asset, for the Group\u2019s three most significant schemes, is set out below. The sensitivities provided assume that all other assumptions and the value of the schemes\u2019 assets remain unchanged, and are not intended to represent changes that are at the extremes of possibility. The calculations are approximate in nature and full detailed calculations could lead to a different result. It is unlikely that isolated changes to individual assumptions will be experienced in practice. Due to the correlation of assumptions, aggregating the effects of these isolated changes may not be a reasonable estimate of the actual effect of simultaneous changes in multiple assumptions. Effect of reasonably possible alternative assumptions Increase (decrease) in the income statement charge (Increase) decrease in the net defined benefit pension scheme surplus 2022 \u00a3m 2021 \u00a3m 2022 \u00a3m 2021 \u00a3m Inflation (including pension increases)1 : Increase of 0.1 per cent 13 12 251 481 Decrease of 0.1 per cent (13) (12) (245) (475) Discount rate2 : Increase of 0.1 per cent (25) (24) (379) (774) Decrease of 0.1 per cent 24 23 388 795 Expected life expectancy of members: Increase of one year 38 44 745 1,934 Decrease of one year (39) (42) (762) (1,852) 1  At 31 December 2022, the assumed rate of RPI inflation is 3.13 per cent and CPI inflation 2.69 per cent (2021: RPI 3.21 per cent and CPI 2.92 per cent). 2  At 31 December 2022, the assumed discount rate is 4.93 per cent (2021: 1.94 per cent). Note 35: Retirement benefit obligations continued Sensitivity analysis method and assumptions The sensitivity analysis above reflects the impact on the liabilities of the Group\u2019s three most significant schemes which account for over 90 per cent of the Group\u2019s defined benefit obligations. While differences in the underlying liability profiles for the remainder of the Group\u2019s pension arrangements mean that they may exhibit slightly different sensitivities to variations in these assumptions, the sensitivities provided above are indicative of the impact across the Group as a whole. The inflation assumption sensitivity applies to the assumed rate of increase in both the Consumer Price Index (CPI) and the Retail Price Index (RPI), and includes the impact on the rate of increases to pensions, both before and after retirement. These pension increases are linked to inflation (either CPI or RPI) subject to certain minimum and maximum limits. The sensitivity analysis (including the inflation sensitivity) does not include the impact of any change in the rate of salary increases as pensionable salaries have been frozen since 2 April 2014. The life expectancy assumption has been applied by allowing for an increase/decrease in life expectation from age 60 of one year, based upon the approximate weighted average age for each scheme. While this is an approximate approach and will not give the same result as a one year increase in life expectancy at every age, it provides an appropriate indication of the potential impact on the schemes from changes in life expectancy. There was no change in the methods and assumptions used in preparing the sensitivity analysis from the prior year. Asset-liability matching strategies The main schemes\u2019 assets are invested in a diversified portfolio. Whilst c.50 per cent are held to generate the long-term returns required to support the funding position of the schemes, the remainder is invested in liability-driven investment (LDI) strategies which hedge the material risk exposures of the schemes. The investment strategy is not static and will evolve to reflect the structure of liabilities within the schemes. Specific strategies for each pension plan are independently determined by the responsible governance body for each scheme and in consultation with the employer. A significant goal of the strategies adopted by the schemes is to reduce volatility caused by changes in market expectations of interest rates and inflation. In the main schemes, this is achieved by investing scheme assets in bonds, primarily fixed interest gilts and index linked gilts, and by entering into interest rate and inflation swap arrangements. The assets in these LDI strategies represented 48 per cent of scheme assets at 31 December 2022. These investments are structured to take into account the profile of scheme liabilities and actively managed to reflect both changing market conditions and changes to the liability profile. At 31 December 2022 the asset-liability matching strategy mitigated around 119 per cent of the liability sensitivity to interest rate movements and around 123 per cent of the liability sensitivity to inflation movements. In addition, a small amount of interest rate sensitivity arises through holdings of corporate and other debt securities. The higher level of hedging provides greater protection to the funding position of the schemes. The schemes\u2019 funding position remained robust and did not experience any material impact from the market volatility seen in the latter part of last year. Asset prices fell in line with the broader market and hedges fell in value as interest rates rose, and a similar impact was experienced on liability valuations which also fell in value given the portfolio was almost fully hedged. The Group\u2019s schemes use LDI strategies to achieve this outcome and, as the hedging was maintained throughout the crisis, the strategy performed as expected. All collateral requirements in respect of the LDI strategies were met, with no support required from the Group beyond payment of scheduled contributions. On 28 January 2020, the main schemes entered into a \u00a310 billion longevity insurance arrangement to hedge part of the schemes\u2019 exposure to unexpected increases in life expectancy. This arrangement forms part of the schemes\u2019 investment portfolio and will provide income to the schemes in the event that pensions are paid out for longer than expected. The transaction was structured as a pass-through with Scottish Widows as the insurer, and onwards reinsurance to Pacific Life Re Limited. On 28 January 2022, the Lloyds Bank Pension Scheme No. 1 entered into an additional \u00a35.5 billion longevity insurance arrangement. The transaction is structured as a pass-through with Scottish Widows as the insurer, and onwards reinsurance to SCOR SE \u2013 UK Branch. At 31 December 2022 the value of scheme assets included \u00a3(100) million representing the value of the longevity swaps (after allowing for the impact on the IAS 19 liabilities of the revisions to the base mortality assumptions). In total the schemes have now hedged around 32 per cent of their longevity risk exposure. Maturity profile of defined benefit obligation The following table provides information on the weighted average duration of the defined benefit pension obligation and the distribution and timing of benefit payments: 2022 Years 2021 Years Duration of the defined benefit obligation 15 17 Maturity analysis of benefits expected to be paid: 2022 \u00a3m 2021 \u00a3m Within 12 months 1,409 1,352 Between 1 and 2 years 1,464 1,450 Between 2 and 5 years 4,678 4,651 Between 5 and 10 years 8,930 8,993 Between 10 and 15 years 9,296 9,668 Between 15 and 25 years 17,479 18,671 Between 25 and 35 years 12,720 13,846 Between 35 and 45 years 6,138 6,987 In more than 45 years 1,685 2,116 Notes to the consolidated financial statements continued for the year ended 31 December Note 35: Retirement benefit obligations continued Maturity analysis method and assumptions The projected benefit payments are based on the assumptions underlying the assessment of the obligations, including allowance for expected future inflation. They are shown in their undiscounted form and therefore appear large relative to the discounted assessment of the defined benefit obligations recognised in the Group\u2019s balance sheet. They are in respect of benefits that have been accrued prior to the respective year-end date only and make no allowance for any benefits that may have been accrued subsequently. Defined contribution schemes The Group operates a number of defined contribution pension schemes in the UK and overseas, principally Your Tomorrow and the defined contribution sections of the Lloyds Bank Pension Scheme No. 1. During the year ended 31 December 2022 the charge to the income statement in respect of defined contribution schemes was \u00a3330 million (2021: \u00a3302 million; 2020: \u00a3319 million), representing the contributions payable by the employer in accordance with each scheme\u2019s rules. Other post-retirement benefit schemes The Group operates a number of schemes which provide post-retirement healthcare benefits to certain employees, retired employees and their dependants. The principal scheme relates to former Lloyds Bank staff and under this scheme the Group has undertaken to meet the cost of post-retirement healthcare for all eligible former employees (and their dependants) who retired prior to 1 January 1996. The Group has entered into an insurance contract to provide these benefits and a provision has been made for the estimated cost of future insurance premiums payable. For the principal post-retirement healthcare scheme, the latest actuarial valuation of the liability was carried out at 31 December 2022 by qualified independent actuaries. The principal assumptions used were as set out above, except that the rate of increase in healthcare premiums has been assumed at 6.74 per cent (2021: 6.82 per cent). Movements in the other post-retirement benefits obligation: 2022 \u00a3m 2021 \u00a3m At 1 January (103) (109) Actuarial gains 68 4 Insurance premiums paid 3 3 Charge for the year (2) (2) Exchange and other adjustments (1) 1 At 31 December (35) (103) Note 36: Deferred tax The Group\u2019s deferred tax assets and liabilities are as follows: Statutory position 2022 \u00a3m 2021 \u00a3m Tax disclosure 2022 \u00a3m 2021 \u00a3m Deferred tax assets 5,228 3,118 Deferred tax assets 8,627 7,095 Deferred tax liabilities (216) (39) Deferred tax liabilities (3,615) (4,016) Asset at 31 December 5,012 3,079 Asset at 31 December 5,012 3,079 The statutory position reflects the deferred tax assets and liabilities as disclosed in the consolidated balance sheet and takes into account the ability of the Group to net assets and liabilities where there is a legally enforceable right of offset. The tax disclosure of deferred tax assets and liabilities ties to the amounts outlined in the tables below which splits the deferred tax assets and liabilities by type, before such netting. Movements in deferred tax assets and liabilities (before taking into consideration the offsetting of balances within the same taxing jurisdiction) can be summarised as follows: Deferred tax assets Tax losses \u00a3m Property, plant and equipment \u00a3m Provisions \u00a3m Share- based payments \u00a3m Pension liabilities \u00a3m Derivatives \u00a3m Asset revaluations \u00a3m Other temporary differences \u00a3m Total \u00a3m At 1 January 2021 4,064 668 254 29 56 159 29 268 5,527 Credit (charge) to the income statement 959 76 12 (8) 15 541 (29) (49) 1,517 Credit (charge) to other comprehensive income \u2013 \u2013 36 \u2013 (2) \u2013 \u2013 \u2013 34 Other credit to equity \u2013 \u2013 \u2013 17 \u2013 \u2013 \u2013 \u2013 17 At 31 December 2021 5,023 744 302 38 69 700 \u2013 219 7,095 Credit (charge) to the income statement 39 (238) 113 (5) (22) (205) 8 62 (248) Credit (charge) to other comprehensive income \u2013 \u2013 (155) \u2013 \u2013 1,928 \u2013 \u2013 1,773 Acquisitions 4 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 4 Other credit to equity \u2013 \u2013 \u2013 3 \u2013 \u2013 \u2013 \u2013 3 At 31 December 2022 5,066 506 260 36 47 2,423 8 281 8,627 Note 36: Deferred tax continued Deferred tax liabilities Capitalised software enhancements \u00a3m Long-term assurance business \u00a3m Acquisition fair value \u00a3m Pension assets \u00a3m Derivatives \u00a3m Asset revaluations1 \u00a3m Other temporary differences \u00a3m Total \u00a3m At 1 January 2021 (228) (843) (372) (392) (756) \u2013 (240) (2,831) (Charge) credit to the income statement (47) (319) 20 (93) (567) (27) (93) (1,126) (Charge) credit to other comprehensive income \u2013 \u2013 \u2013 (846) 814 (29) \u2013 (61) Exchange and other adjustments \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 2 2 At 31 December 2021 (275) (1,162) (352) (1,331) (509) (56) (331) (4,016) (Charge) credit to the income statement 118 107 21 29 (32) \u2013 (164) 79 Credit to other comprehensive income \u2013 \u2013 \u2013 283 \u2013 56 \u2013 339 Acquisitions (5) \u2013 (1) \u2013 \u2013 \u2013 \u2013 (6) Exchange and other adjustments \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 (11) (11) At 31 December 2022 (162) (1,055) (332) (1,019) (541) \u2013 (506) (3,615) 1  Financial assets at fair value through other comprehensive income. At 31 December 2022 the Group carried net deferred tax assets on its balance sheet of \u00a35,228 million (2021: \u00a33,118 million) principally  relating to tax losses carried forward. Estimation of income taxes includes the assessment of recoverability of deferred tax assets. Deferred tax assets are only recognised  to the extent that they are considered more likely than not to be recoverable based on existing tax laws and forecasts of future taxable  profits against which the underlying tax deductions can be utilised. The Group has recognised a deferred tax asset of \u00a35,066 million  (2021: \u00a35,023 million) in respect of trading losses carried forward. Substantially all of these losses have arisen in Bank of Scotland plc  and Lloyds Bank plc, and they will be utilised as taxable profits arise in those legal entities in future periods. The Group\u2019s expectations of future UK taxable profits require management judgement, and take into account the Group\u2019s long-term  financial and strategic plans and anticipated future tax-adjusting items. In making this assessment, account is taken of business  plans, the Board-approved operating plan and the expected future economic outlook as set out in the strategic report, as well as  the risks associated with future regulatory, climate-related and other change, in order to produce a base case forecast of future  UK taxable profits. Under current law there is no expiry date for UK trading losses not yet utilised, and given the forecast of future  profitability and the Group\u2019s commitment to the UK market, in management\u2019s judgement it is more likely than not that the value of  the losses will be recovered by the Group while still operating as a going concern. Banking tax losses that arose before 1 April 2015  can only be used against 25 per cent of taxable profits arising after 1 April 2016, and they cannot be used to reduce the surcharge on  banking profits. These restrictions in utilisation mean that the value of the deferred tax asset in respect of tax losses is only expected to  be fully recovered by 2036 (2021: 2047) in the base case forecast. The rate of recovery of the Group\u2019s tax loss asset is not a straight line,  being affected by the relative profitability of the different legal entities in future periods, and the relative size of their tax losses carried  forward. It is expected in the base case that 90 per cent of the value will be recovered by 2032, when Bank of Scotland plc will have  utilised all of its available tax losses. It is possible that future tax law changes could materially affect the timing of recovery and the  value of these losses ultimately realised by the Group. Deferred tax not recognised A deferred tax asset of \u00a346 million (2021: \u00a35 million) has been recognised in respect of the future tax benefit of certain expenses of the  life assurance business. The increase is mainly due to investment market falls in 2022, which have increased the amount of unutilised  expenses carried forward and expected to be offset against taxable investment returns in the medium term. The deferred tax asset  not recognised in respect of the remaining expenses is \u00a3125 million (2021: \u00a3226 million), and these expenses can be carried forward  indefinitely. The unrecognised deferred tax asset has decreased in 2022 mainly due to higher expected investment returns in the long  term projections for the life insurance business driven by interest rate rises. This has reduced the net amount of unutilised expenses in  the long term. Deferred tax assets of \u00a3156 million (2021: \u00a3167 million) have not been recognised in respect of \u00a3619 million of UK tax losses and other  temporary differences which can only be used to offset future capital gains. UK capital losses can be carried forward indefinitely. No deferred tax has been recognised in respect of foreign trade losses where it is not more likely than not that we will be able to utilise  them in future periods. Of the asset not recognised, \u00a353 million (2021: \u00a341 million) relates to losses that will expire if not used within 20  years, and \u00a39 million (2021: \u00a37 million) relates to losses with no expiry date. As a result of parent company exemptions on dividends from subsidiaries and on capital gains on disposal there are no significant  taxable temporary differences associated with investments in subsidiaries, branches, associates and joint arrangements. Notes to the consolidated financial statements continued for the year ended 31 December Note 37: Other provisions Provisions for financial commitments and guarantees \u00a3m Regulatory and legal provisions \u00a3m Other \u00a3m Total \u00a3m At 1 January 2022 200 1,156 736 2,092 Exchange and other adjustments 1 17 27 45 Provisions applied \u2013 (625) (413) (1,038) Charge for the year 122 255 333 710 At 31 December 2022 323 803 683 1,809 Provisions for financial commitments and guarantees Provisions are recognised for expected credit losses on undrawn loan commitments and financial guarantees. See also note 18. Regulatory and legal provisions In the course of its business, the Group is engaged in discussions with the PRA, FCA and other UK and overseas regulators and other governmental authorities on a range of matters. The Group also receives complaints in connection with its past conduct and claims brought by or on behalf of current and former employees, customers, investors and other third parties and is subject to legal proceedings and other actions. Where significant, provisions are held against the costs expected to be incurred in relation to these matters and matters arising from related internal reviews. During the year ended 31 December 2022 the Group charged a further \u00a3255 million in respect of legal actions and other regulatory matters and the unutilised balance at 31 December 2022 was \u00a3803 million (31 December 2021: \u00a31,156 million). The most significant items are as follows. HBOS Reading \u2013 review The Group continues to apply the recommendations from Sir Ross Cranston\u2019s review, issued in December 2019, including a reassessment of direct and consequential losses by an independent panel (the Foskett Panel), an extension of debt relief and a wider definition of de facto directors. The Foskett Panel\u2019s full scope and methodology was published on 7 July 2020. The Foskett Panel\u2019s stated objective is to consider cases via a non-legalistic and fair process and to make their decisions in a generous, fair and common sense manner, assessing claims against an expanded definition of the fraud and on a lower evidential basis. Following the emergence of the first outcomes of the Foskett Panel through 2021, the Group charged a further \u00a3790 million in the year ended 31 December 2021. This included operational costs in relation to Dame Linda Dobbs\u2019s review, which is considering whether the issues relating to HBOS Reading were investigated and appropriately reported by the Group during the period from January 2009 to January 2017, and other programme costs. A significant proportion of the charge related to the estimated future awards from the Foskett Panel. The Foskett Panel had shared outcomes on a limited subset of the total population which covers a wide range of businesses and different claim characteristics. The estimated awards provision recognised at 31 December 2021 was therefore materially dependent on the assumption that the limited number of awards to date were representative of the full population of cases. In June 2022, the Foskett Panel announced an alternative option, in the form of a fixed sum award which could be accepted as an alternative to participation in the full re-review process, to support earlier resolution of claims for those deemed by the Foskett Panel to be victims of the fraud. Around half the population have now had outcomes via this new process. Extrapolating the Group\u2019s experience to date resulted in an increase to the provision of \u00a350 million in the year (all in the fourth quarter). Notwithstanding the settled claims and the increase in coverage which builds confidence in the full estimated cost, uncertainties remain and the final outcome could be different from the current provision once the re-review is concluded by the Foskett Panel. There is no confirmed timeline for the completion of the Foskett Panel re-review process nor the review by Dame Linda Dobbs. The Group is committed to implementing Sir Ross\u2019s recommendations in full. Payment protection insurance The Group has incurred costs for PPI over a number of years totalling \u00a321,960 million. The Group continues to challenge PPI litigation cases, with mainly legal fees and operational costs associated with litigation activity recognised within regulatory and legal provisions, including a charge in the fourth quarter. PPI litigation remains inherently uncertain, with a number of key court judgments due to be delivered in 2023. Customer claims in relation to insurance branch business in Germany The Group continues to receive claims from customers in Germany relating to policies issued by Clerical Medical Investment Group Limited (subsequently renamed Scottish Widows Limited), with smaller numbers of claims received from customers in Austria and Italy. The total provision made to 31 December 2022, was \u00a3709 million (31 December 2021: \u00a3695 million) with \u00a311 million utilisation of the provision during the year, leaving an unutilised provision at 31 December 2022 of \u00a388 million. The ultimate financial effect, which could be significantly different from the current provision, will be known only once all relevant claims have been resolved. Other Following the sale of TSB Banking Group plc, the Group raised a provision of \u00a3665 million in relation to various ongoing commitments in respect of the divestment. At 31 December 2022, a provision of \u00a322 million remained unutilised; the Group expects the majority of the remaining provision to be utilised in the next twelve months and the provision to be fully utilised by 31 December 2024. The Group carries provisions of \u00a3112 million (2021: \u00a3114 million) in respect of dilapidations, rent reviews and other property-related matters. Provisions are also made for staff and other costs related to Group restructuring initiatives at the point at which the Group becomes committed to the expenditure; at 31 December 2022 provisions of \u00a3112 million (31 December 2021: \u00a3189 million) were held. The Group carries provisions of \u00a386 million (2021: \u00a394 million) for indemnities and other matters relating to legacy business disposals in prior years. Whilst there remains significant uncertainty as to the timing of the utilisation of the provisions, the Group expects the majority of the remaining provisions to have been utilised by 31 December 2026. Note 38: Subordinated liabilities The movement in subordinated liabilities during the year was as follows: Preference shares \u00a3m Preferred securities \u00a3m Undated \u00a3m Dated \u00a3m Total \u00a3m At 1 January 2021 962 1,743 509 11,047 14,261 Issued during the year 1: 1.985% Fixed Rate Reset Dated Subordinated Tier 2 Notes due 2031 (\u00a3500 million) \u2013 \u2013 \u2013 500 500 3.369% Fixed Rate Reset Dated Subordinated Notes due 2041 (US$1,175 million) \u2013 \u2013 \u2013 380 380 \u2013 \u2013 \u2013 880 880 Repurchases and redemptions during the year1 : 6.475% Non-cumulative Preference Shares callable 2024 (\u00a3186 million) (8) \u2013 \u2013 \u2013 (8) 6.413% Non-cumulative Fixed to Floating Rate Preference Shares callable 2035 (US$750 million) (182) \u2013 \u2013 \u2013 (182) 6.657% Non-cumulative Fixed to Floating Rate Preference Shares callable 2037 (US$750 million) (157) \u2013 \u2013 \u2013 (157) 9.25% Non-cumulative Irredeemable Preference Shares (\u00a3300 million) (79) \u2013 \u2013 \u2013 (79) 9.75% Non-cumulative Irredeemable Preference Shares (\u00a3100 million) (14) \u2013 \u2013 \u2013 (14) 7.754% Non-cumulative Perpetual Preferred Securities (Class B) (\u00a3150 million) \u2013 (156) \u2013 \u2013 (156) Series 2 (US$500 million) \u2013 \u2013 (94) \u2013 (94) Series 3 (US$600 million) \u2013 \u2013 (121) \u2013 (121) Floating Rate Primary Capital Notes (US$250 million) \u2013 \u2013 (24) \u2013 (24) Series 1 (US$750 million) \u2013 \u2013 (96) \u2013 (96) 9.375% Subordinated Bonds 2021 (\u00a3500 million) \u2013 \u2013 \u2013 (200) (200) 5.374% Subordinated Fixed Rate Notes 2021 (\u20ac160 million) \u2013 \u2013 \u2013 (145) (145) 6% Subordinated Notes 2033 (US$750 million) \u2013 \u2013 \u2013 (141) (141) (440) (156) (335) (486) (1,417) Foreign exchange movements 15 17 \u2013 (56) (24) Other movements (cash and non-cash)2 (49) 57 \u2013 (600) (592) At 31 December 2021 488 1,661 174 10,785 13,108 Issued during the year 1: 7.953% Fixed Rate Reset Dated Subordinated notes 2033 (US$1,000 million) \u2013 \u2013 \u2013 838 838 Repurchases and redemptions during the year1 : 12% Fixed to Floating Rate Perpetual Tier 1 Capital Securities callable 2024 (US$2,000 million) \u2013 (1,399) \u2013 \u2013 (1,399) 13% Sterling Step-up Perpetual Capital Securities callable 2029 (\u00a3700 million) \u2013 (221) \u2013 \u2013 (221) 7.281% Perpetual Regulatory Tier One Securities (Series B) (\u00a3150 million) \u2013 (22) \u2013 \u2013 (22) 7.881% Guaranteed Non-voting Non-cumulative Preferred Securities (\u00a3245 million) \u2013 (12) \u2013 \u2013 (12) 12% Perpetual Subordinated Bonds (\u00a3100 million) \u2013 \u2013 (22) \u2013 (22) 5.75% Undated Subordinated Step-up Notes (\u00a3600 million) \u2013 \u2013 (4) \u2013 (4) 7.625% Dated Subordinated Notes 2025 (\u00a3750 million) \u2013 \u2013 \u2013 (502) (502) \u2013 (1,654) (26) (502) (2,182) Foreign exchange movements 8 (6) \u2013 699 701 Other movements (cash and non-cash)2 (26) (1) 2 (1,710) (1,735) At 31 December 2022 470 \u2013 150 10,110 10,730 1  Issuances in the year generated cash inflows of \u00a3838 million (2021: \u00a3499 million); the repurchases and redemptions resulted in cash outflows of \u00a32,216 million (2021: \u00a31,056 million). 2  Other movements include cash payments in respect of interest on subordinated liabilities in the year amounted to \u00a3603 million (2021: \u00a31,303 million) offset by the interest expense in respect of subordinated liabilities of \u00a3681 million (2021: \u00a3932 million). Certain of the above securities were issued or redeemed under exchange offers, which did not result in an extinguishment of the original financial liability for accounting purposes. These securities will, in the event of the winding-up of the issuer, be subordinated to the claims of depositors and all other creditors of the issuer, other than creditors whose claims rank equally with, or are junior to, the claims of the holders of the subordinated liabilities. The subordination of specific subordinated liabilities is determined in respect of the issuer and any guarantors of that liability. The claims of holders of preference shares and preferred securities are generally junior to those of the holders of undated subordinated liabilities, which in turn are junior to the claims of holders of the dated subordinated liabilities. The Group has not had any defaults of principal or interest or other breaches with respect to its subordinated liabilities during 2022 (2021: none). The Company has in issue various classes of preference shares which are all classified as liabilities under accounting standards. Notes to the consolidated financial statements continued for the year ended 31 December Note 38: Subordinated liabilities continued Preference shares 2022 2022 Number of shares 2021 Number of shares 2020 Number of shares \u00a3m % of share capital 2021 \u00a3m 2020 \u00a3m 6% Non-Cumulative Redeemable Preference shares of GBP0.25 400 400 400 \u2013 \u2013 \u2013 \u2013 6.475% Non-Cumulative Preference shares of GBP0.25 47,273,816 47,273,816 56,472,211 12 0.07 12 14 9.25% Non-Cumulative Irredeemable Preference shares of GBP0.25 252,510,147 252,510,147 299,987,729 63 0.37 63 75 9.75% Non-Cumulative Irredeemable Preference shares of GBP0.25 43,630,285 43,630,285 55,740,886 11 0.06 11 14 6.413% Non-Cumulative Fixed/Floating Rate Callable Preference shares of USD0.25 48,990 48,990 374,810 \u2013 \u2013 \u2013 \u2013 6.657% Non-Cumulative Fixed/Floating Rate Callable Preference shares of USD0.25 37,627 37,627 434,350 \u2013 \u2013 \u2013 \u2013 The rights and obligations attaching to these shares are set out in the Company\u2019s articles of association, a copy of which can be obtained from Companies House or from our website (www.lloydsbankinggroup.com/who-we-are/group-overview/corporate- governance.html) and, in respect of the 6% Non-Cumulative Redeemable Preference shares, in Companies House form 128(1) filed at Companies House on 12 January 2005, a copy of which is available from Companies House (www.companieshouse.gov.uk), and, in respect of the other classes of preference shares, in the prospectus dated 20 November 2008 and published on the National Storage Mechanism on that date, a copy of which prospectus is available on the National Storage Mechanism (www.data.fca.org.uk/#/nsm/ nationalstoragemechanism). Note 39: Share capital Issued and fully paid ordinary share capital 2022 Ordinary shares of 10p (formerly 25p) each 2022 Number of shares 2021 Number of shares 2020 Number of shares \u00a3m % of share capital 2021 \u00a3m 2020 \u00a3m At 1 January 71,022,593,135 70,839,206,060 70,052,557,838 7,102 7,084 7,005 Issued under employee share schemes 793,990,660 183,387,075 786,648,222 80 18 79 Share buyback programme (note 41) (4,528,731,591) \u2013 \u2013 (453) \u2013 \u2013 At 31 December 67,287,852,204 71,022,593,135 70,839,206,060 6,729 99.50 7,102 7,084 Ordinary shares As permitted by the Companies Act 2006, the Company removed references to authorised share capital from its articles of association at the annual general meeting on 5 June 2009. This change took effect from 1 October 2009. There are no restrictions on the transfer of shares in the Company other than as set out in the articles of association and: \u2022 Certain restrictions which may from time to time be imposed by law and regulations (for example, insider trading laws) \u2022 Where directors and certain employees of the Company require the approval of the Company to deal in the Company\u2019s shares \u2022 Pursuant to the rules of some of the Company\u2019s employee share plans where certain restrictions may apply while the shares are subject to the plans Where, under an employee share plan operated by the Company, participants are the beneficial owners of shares but not the registered owners, the voting rights are normally exercised by the registered owner at the direction of the participant. Outstanding awards and options would normally vest and become exercisable on a change of control, subject to the satisfaction of any performance conditions at that time. All of the Company\u2019s issued ordinary share capital is listed and none of the shares have any multiple or unequal voting rights, each share carries one vote. In addition, the Company is not aware of any agreements between shareholders that may result in restrictions on the transfer of securities and/or voting rights. The directors have authority to allot and issue ordinary and preference shares and to make market purchases of ordinary and preference shares as granted at the annual general meeting on 12 May 2022. The authority to issue shares and the authority to make market purchases of shares will expire at the next annual general meeting. Shareholders will be asked, at the annual general meeting, to give similar authorities. Subject to any rights or restrictions attached to any shares, on a show of hands at a general meeting of the Company every holder of shares present in person or by proxy and entitled to vote has one vote and on a poll every member present and entitled to vote has one vote for every share held. The holders of ordinary shares, who held 100 per cent of the total ordinary share capital at 31 December 2022, are entitled to receive the Company\u2019s report and accounts, attend, speak and vote at general meetings and appoint proxies to exercise voting rights. Holders of ordinary shares may also receive a dividend (subject to the provisions of the Company\u2019s articles of association) and on a winding up may share in the assets of the Company. The rights and obligations attached to the Company\u2019s ordinary shares are set out in the Company\u2019s articles of association, a copy of which can be found at www.lloydsbankinggroup.com/who-we-are/group-overview/corporate-governance.html. Preference shares The Company has in issue various classes of preference shares which are all classified as liabilities under accounting standards and which are included in note 38. Note 40: Share premium account 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m At 1 January 18,479 17,863 17,751 Issued under employee share schemes 25 19 112 Redemption of preference shares 1 \u2013 597 \u2013 At 31 December 18,504 18,479 17,863 1  During the year ended 31 December 2021, the Company redeemed certain tranches of its preference shares, which had been accounted for as subordinated liabilities. On redemption an amount of \u00a317 million was transferred from the distributable merger reserve to the capital redemption reserve and \u00a3597 million was transferred from the distributable merger reserve to the share premium account, with these amounts representing the nominal value of the shares redeemed and premium upon original issuance respectively. Note 41: Other reserves 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m Merger reserve 7,149 7,149 7,763 Capital redemption reserve 4,932 4,479 4,462 Revaluation reserve in respect of debt securities held at fair value through other comprehensive income 50 207 99 Revaluation reserve in respect of equity shares held at fair value through other comprehensive income 57 9 (47) Cash flow hedging reserve (5,476) (457) 1,629 Foreign currency translation reserve (110) (198) (159) At 31 December 6,602 11,189 13,747 The merger reserve primarily comprises the premium on shares issued in January 2009 as part of the recapitalisation of the Group and the acquisition of HBOS plc. The capital redemption reserve represents transfers from distributable reserves in accordance with companies\u2019 legislation upon the redemption of ordinary and preference share capital. The revaluation reserves in respect of debt securities and equity shares held at fair value through other comprehensive income represent the cumulative after-tax unrealised change in the fair value of financial assets so classified since initial recognition; or in the case of financial assets obtained on acquisitions of businesses, since the date of acquisition. The cash flow hedging reserve represents the cumulative after-tax gains and losses on effective cash flow hedging instruments that will be reclassified to the income statement in the periods in which the hedged item affects profit or loss. The foreign currency translation reserve represents the cumulative after-tax gains and losses on the translation of foreign operations and exchange differences arising on financial instruments designated as hedges of the Group\u2019s net investment in foreign operations. Movements in other reserves were as follows: Merger reserve 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m At 1 January 7,149 7,763 7,763 Redemption of preference shares (note 40) \u2013 (614) \u2013 At 31 December 7,149 7,149 7,763 Capital redemption reserve 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m At 1 January 4,479 4,462 4,462 Redemption of preference shares (note 40) \u2013 17 \u2013 Shares cancelled under share buyback programme (see below) 453 \u2013 \u2013 At 31 December 4,932 4,479 4,462 On 25 February 2022 the Group commenced a share buyback programme to repurchase outstanding ordinary shares; the Group bought back and cancelled 4,529 million shares under the programme, which completed in October 2022, for a total consideration, including expenses, of \u00a32,013 million. Upon cancellation \u00a3453 million, being the nominal value of the shares repurchased, was transferred to the capital redemption reserve. Notes to the consolidated financial statements continued for the year ended 31 December Note 41: Other reserves continued Revaluation reserve in respect of debt securities held at fair value through other comprehensive income 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m At 1 January 207 99 123 Change in fair value (133) 133 46 Deferred tax 31 (45) 29 Current tax 8 \u2013 (2) (94) 88 73 Income statement transfers in respect of disposals (note 9) (92) 2 (149) Deferred tax 23 20 47 (69) 22 (102) Impairment recognised in the income statement 6 (2) 5 At 31 December 50 207 99 Revaluation reserve in respect of equity shares held at fair value through other comprehensive income 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m At 1 January 9 (47) 19 Change in fair value 44 61 (50) Deferred tax 3 (4) (16) 47 57 (66) Realised gains and losses transferred to retained profits \u2013 \u2013 (16) Deferred tax 1 (1) 16 1 (1) \u2013 At 31 December 57 9 (47) Cash flow hedging reserve 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m At 1 January (457) 1,629 1,504 Change in fair value of hedging derivatives (6,990) (2,279) 730 Deferred tax 1,940 646 (244) (5,050) (1,633) 486 Net income statement transfers 43 (621) (496) Deferred tax (12) 168 135 31 (453) (361) At 31 December (5,476) (457) 1,629 Foreign currency translation reserve 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m At 1 January (198) (159) (176) Currency translation differences arising in the year 119 (39) 4 Income statement transfers (31) \u2013 13 At 31 December (110) (198) (159) Note 43: Other equity instruments 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m At 1 January 5,906 5,906 5,906 Issued during the year: \u00a3750 million Fixed Rate Reset Additional Tier 1 Perpetual Subordinated Contingent Convertible Securities 750 \u2013 \u2013 750 \u2013 \u2013 Repurchases and redemptions during the year (1,359) \u2013 \u2013 Profit for the year attributable to other equity holders 438 429 453 Distributions on other equity instruments (438) (429) (453) At 31 December 5,297 5,906 5,906 During the year ended 31 December 2022 the Group issued \u00a3750 million of 8.5 per cent Fixed Rate Reset Additional Tier 1 (AT1) securities and repurchased \u00a31,359 million of 7.625 per cent Fixed Rate Reset Additional Tier 1 Perpetual Subordinated Contingent Convertible Securities. The AT1 securities are Fixed Rate Resetting Perpetual Subordinated Contingent Convertible Securities with no fixed maturity or redemption date. The principal terms of the AT1 securities are described below: \u2022 The securities rank behind the claims against Lloyds Banking Group plc of (a) unsubordinated creditors, (b) claims which are, or are expressed to be, subordinated to the claims of unsubordinated creditors of Lloyds Banking Group plc but not further or otherwise or (c) whose claims are, or are expressed to be, junior to the claims of other creditors of Lloyds Banking Group, whether subordinated or unsubordinated, other than those whose claims rank, or are expressed to rank, pari passu with, or junior to, the claims of the holders of the AT1 securities in a winding-up occurring prior to a conversion event being triggered \u2022 The securities bear a fixed rate of interest until the first reset date. After the first reset date or any reset date thereafter, in the event that they are not redeemed, the AT1 securities will bear interest at rates fixed periodically in advance for five-year periods based on market rates \u2022 Interest on the securities will be due and payable only at the sole discretion of Lloyds Banking Group plc, and Lloyds Banking Group plc may at any time elect to cancel any interest payment (or any part thereof) which would otherwise be payable on any interest payment date. There are also certain restrictions on the payment of interest as specified in the terms \u2022 The securities are undated and are repayable, at the option of Lloyds Banking Group plc, in whole at the first call date or period, or on any fifth anniversary after the first call date or period. In addition, the AT1 securities are repayable, at the option of Lloyds Banking Group plc, in whole for certain regulatory or tax reasons. Any repayments require the prior consent of the PRA \u2022 The securities convert into ordinary shares of Lloyds Banking Group plc, at a pre-determined price, should the Common Equity Tier 1 ratio of the Group fall below 7.0 per cent Note 42: Retained profits 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m At 1 January 10,241 4,584 3,246 Profit attributable to ordinary shareholders 5,021 5,355 865 Post-retirement defined benefit scheme remeasurements (2,152) 1,062 113 Gains and losses attributable to own credit risk (net of tax) 1 364 (52) (55) Dividends paid (note 44) (1,475) (877) \u2013 Share buyback programme (note 41) (2,013) \u2013 \u2013 Issue costs of other equity instruments (net of tax) (5) \u2013 \u2013 Repurchase and redemption costs of other equity instruments (36) \u2013 \u2013 Movement in treasury shares (20) (13) 293 Value of employee services: Share option schemes 41 51 48 Other employee award schemes 183 131 74 Change in non-controlling interests (3) (1) \u2013 Realised gains and losses on equity shares held at fair value through other comprehensive income (1) 1 \u2013 At 31 December 10,145 10,241 4,584 1  During 2020 the Group derecognised, on redemption, financial liabilities on which cumulative fair value movements relating to own credit of \u00a31 million net of tax (2022: \u00a3nil; 2021: \u00a3nil), had been recognised directly in retained profits. Retained profits are stated after deducting \u00a3196 million (2021: \u00a3205 million; 2020: \u00a3230 million) representing 688 million (2021: 434 million; 2020: 592 million) treasury shares held. The payment of dividends by subsidiaries and the ability of members of the Group to lend money to other members of the Group may be subject to regulatory or legal restrictions, the availability of reserves and the financial and operating performance of the entity. A number of Group subsidiaries, principally those with banking and insurance activities, are subject to regulatory capital requirements which require minimum amounts of capital to be maintained relative to their size and risk. The Group actively manages the capital of its subsidiaries, which includes monitoring the regulatory capital ratios for its banking and insurance subsidiaries and, on a consolidated basis, the Ring-Fenced Bank sub-group, against approved risk appetite levels. Notes to the consolidated financial statements continued for the year ended 31 December Note 45: Share-based payments Charge to the income statement The charge to the income statement is set out below: 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m Deferred bonus plan 289 179 81 Executive and SAYE plans: Options granted in the year 10 10 13 Options granted in prior years 42 37 62 52 47 75 Share plans: Shares granted in the year 9 18 16 Shares granted in prior years 26 24 24 35 42 40 Total charge to the income statement 376 268 196 During the year ended 31 December 2022 the Group operated the following share-based payment schemes, all of which are mainly equity settled. Group Performance Share plan The Group operates a Group Performance Share plan that is part equity settled. Bonuses in respect of employee service in 2022 have been recognised in the charge in line with the proportion of the deferral period completed. Save-As-You-Earn schemes Eligible employees may enter into contracts through the Save-As-You-Earn (SAYE) schemes to save up to \u00a3500 per month and, at the expiry of a fixed term of three years, have the option to use these savings within six months of the expiry of the fixed term to acquire shares in the Group at a discounted price of no less than 90 per cent of the market price at the start of the invitation period. Movements in the number of share options outstanding under the SAYE schemes are set out below: 2022 2021 Number of options Weighted average exercise price (pence) Number of options Weighted average exercise price (pence) Outstanding at 1 January 1,180,563,291 30.63 1,120,138,915 30.39 Granted 217,611,519 39.38 236,923,744 39.40 Exercised (23,359,526) 37.75 (6,924,434) 30.57 Forfeited (20,961,259) 29.20 (22,815,078) 28.78 Cancelled (47,687,607) 33.88 (51,479,310) 32.57 Expired (49,248,343) 46.29 (95,280,546) 49.03 Outstanding at 31 December 1,256,918,075 31.30 1,180,563,291 30.63 Exercisable at 31 December 263,302 47.92 336,561 51.03 The weighted average share price at the time that the options were exercised during 2022 was \u00a30.49 (2021: \u00a30.47). The weighted average remaining contractual life of options outstanding at the end of the year was 1.88 years (2021: 2.46 years). The weighted average fair value of SAYE options granted during 2022 was \u00a30.07 (2021: \u00a30.09). The fair values of the SAYE options have been determined using a standard Black-Scholes model. Note 44: Dividends on ordinary shares The directors have recommended a final dividend, which is subject to approval by the shareholders at the annual general meeting on 18 May 2023, of 1.60 pence per ordinary share (2021: 1.33 pence per ordinary share), equivalent to \u00a31,062 million, before the impact of any cancellations of shares under the Group\u2019s announced buyback programme (2021: \u00a3930 million, following cancellations of shares under the Group\u2019s 2022 buyback programme up to the record date), which will be paid on 23 May 2023. These financial statements do not reflect the recommended dividend. Dividends paid during the year were as follows: 2022 pence per share 2021 pence per share 2020 pence per share 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m Final dividend recommended by directors at previous year end 1.33 0.57 \u2013 930 404 \u2013 Interim dividend paid in the year 0.80 0.67 \u2013 545 473 \u2013 2.13 1.24 \u2013 1,475 877 \u2013 The trustees of the following holdings of Lloyds Banking Group plc shares in relation to employee share schemes retain the right to receive dividends but have chosen to waive their entitlement to the dividends on those shares as indicated: the Lloyds Banking Group Share Incentive Plan (holding at 31 December 2022: 32,377,089 shares, 31 December 2021: 16,514,487 shares, waived rights to all dividends) and the Lloyds Banking Group Employee Share Ownership Trust (holding at 31 December 2022: 311,540,740 shares, 31 December 2021: 9,998,474 shares, waived rights to all dividends). Note 45: Share-based payments continued Other share option plans Executive Share Plans \u2013 buyout and retention awards Share options may be granted to senior employees under the Lloyds Banking Group Executive Share Plan 2003, Lloyds Banking Group Executive Group Ownership Share Plan and the Deferred Bonus Scheme 2021 specifically to facilitate recruitment (to compensate new recruits for any lost share awards), and also to make grants to key individuals for retention purposes. In some instances, grants may be made subject to individual performance conditions. Participants are not entitled to any dividends paid during the vesting period. 2022 2021 Number of options Weighted average exercise price (pence) Number of options Weighted average exercise price (pence) Outstanding at 1 January 14,032,762 Nil 8,477,084 Nil Granted 10,278,224 Nil 13,610,204 Nil Exercised (3,333,322) Nil (7,110,663) Nil Vested \u2013 Nil \u2013 Nil Forfeited (33,409) Nil (385,184) Nil Lapsed (477,784) Nil (558,679) Nil Outstanding at 31 December 20,466,471 Nil 14,032,762 Nil Exercisable at 31 December 1,638,202 Nil 708,939 Nil The weighted average fair value of options granted in the year was \u00a30.44 (2021: \u00a30.42). The fair values of options granted have been determined using a standard Black-Scholes model. The weighted average share price at the time that the options were exercised during 2022 was \u00a30.46 (2021: \u00a30.43). The weighted average remaining contractual life of options outstanding at the end of the year was 6.0 years (2021: 6.3 years). Included in the above are awards to the Chief Financial Officer and the Group Chief Executive. William Chalmers joined the Group on 3 June 2019 and was appointed as Chief Financial Officer on 1 August 2019. He was granted deferred share awards over 4,086,632 shares, to replace unvested awards from his former employer, Morgan Stanley, that were forfeited as a result of him joining the Group. 2022 Number of shares 2021 Number of shares Outstanding at 1 January 686,085 1,810,712 Exercised (686,085) (1,124,627) Outstanding at 31 December \u2013 686,085 Charlie Nunn joined the Group on 16 August 2021 as Group Chief Executive. He was granted deferred share awards over 8,301,708 shares to replace unvested awards from his former employer, HSBC, that were forfeited as a result of him joining the Group. 2022 Number of shares 2021 Number of shares Outstanding at 1 January 7,444,787 \u2013 Granted \u2013 8,301,708 Exercised (859,340) (856,921) Outstanding at 31 December 6,585,447 7,444,787 The weighted average fair value of awards granted in 2021 was \u00a30.40. Other share plans Lloyds Banking Group Executive Group Ownership Share Plan The plan, introduced in 2006, is aimed at delivering shareholder value by linking the receipt of shares to an improvement in the performance of the Group over a three-year period. Awards are made within limits set by the rules of the plan, with the limits determining the maximum number of shares that can be awarded equating to three times annual salary. In exceptional circumstances this may increase to four times annual salary. At the end of the performance period for the 2019 grant, the targets had not been fully met and therefore these awards vested in 2022 at a rate of 41.80 per cent. 2022 Number of shares 2021 Number of shares Outstanding at 1 January 350,873,627 533,987,527 Granted \u2013 \u2013 Vested (50,703,778) (39,621,415) Forfeited (98,741,356) (144,437,243) Dividend award 966,016 944,758 Outstanding at 31 December 202,394,509 350,873,627 Notes to the consolidated financial statements continued for the year ended 31 December Note 45: Share-based payments continued Awards in respect of the 2020 grant are due to vest in 2023 at a rate of 43.70 per cent. In previous years participants were entitled to any dividends paid in the vesting period. However, following a regulatory change prohibiting the payment of dividends on such awards, the number of shares awarded has been determined by applying a discount factor to the share price on award to exclude the value of estimated future dividends. Details of the performance conditions for the plan are provided in the Directors\u2019 remuneration report. Lloyds Banking Group Long Term Share Plan The plan, introduced in 2021, replaced the Executive Group Ownership Share Plan and is intended to provide alignment to the Group\u2019s aim of delivering sustainable returns to shareholders, supported by its values and behaviours. 2022 Number of shares 2021 Number of shares Outstanding at 1 January 77,883,068 \u2013 Granted 108,513,202 83,456,304 Vested \u2013 \u2013 Forfeited (14,448,527) (5,573,236) Dividend award \u2013 \u2013 Outstanding at 31 December 171,947,743 77,883,068 The weighted average fair value of awards granted in the year was \u00a30.36 (2021: \u00a30.36). Assumptions at 31 December 2022 The fair value calculations at 31 December 2022 for grants made in the year, using Black-Scholes models and Monte Carlo simulation, are based on the following assumptions: SAYE Executive Share Plans Long Term Share Plan Weighted average risk-free interest rate 4.33% 3.20% 1.01% Weighted average expected life 3.3 years 1.2 years 3.6 years Weighted average expected volatility 28% 27% 33% Weighted average expected dividend yield 5.3% 5.3% 5.3% Weighted average share price \u00a30.42 \u00a30.47 \u00a30.43 Weighted average exercise price \u00a30.39 Nil Nil Expected volatility is a measure of the amount by which the Group\u2019s shares are expected to fluctuate during the life of an option. The expected volatility is estimated based on the historical volatility of the closing daily share price over the most recent period that is commensurate with the expected life of the option. The historical volatility is compared to the implied volatility generated from market traded options in the Group\u2019s shares to assess the reasonableness of the historical volatility and adjustments made where appropriate. Share Incentive Plans Free shares An award of shares may be made annually to employees up to a maximum of \u00a33,600. The shares awarded are held in trust for a mandatory period of three years on the employee\u2019s behalf, during which period the employee is entitled to any dividends paid on such shares. The award is subject to a non-market based condition. If an employee leaves the Group within this three-year period for other than a \u2018good\u2019 reason, all of the shares awarded will be forfeited. No award was made in 2022. On 25 March 2021, the Group made an award of 1,017 shares to all eligible employees. The number of shares awarded was 67,658,976, with an average fair value of \u00a30.42 based on the market price at the date of award. Matching shares The Group undertakes to match shares purchased by employees up to the value of \u00a345 per month; these matching shares are held in trust for a mandatory period of three years on the employee\u2019s behalf, during which period the employee is entitled to any dividends paid on such shares. The award is subject to a non-market based condition: if an employee leaves within this three-year period for other than a \u2018good\u2019 reason, all of the matching shares are forfeited. Similarly, if the employees sell their purchased shares within three years, their matching shares are forfeited. The number of shares awarded relating to matching shares in 2022 was 43,378,504 (2021: 46,621,026), with an average fair value of \u00a30.45 (2021: \u00a30.44), based on market prices at the date of award. Fixed share awards Fixed share awards were introduced in 2014 in order to ensure that total fixed remuneration is commensurate with role and to provide a competitive reward package for certain Lloyds Banking Group employees, with an appropriate balance of fixed and variable remuneration, in line with regulatory requirements. The fixed share awards are delivered in Lloyds Banking Group plc shares, and were initially released over five years with 20 per cent being released each year following the year of award. From June 2020, the fixed share awards are released over three years with one third being released each year following the year of award. The number of shares purchased in relation to fixed share awards in 2022 was 7,261,080 (2021: 8,320,948) with an average fair value of \u00a30.47 (2021: \u00a30.45) based on market prices at the date of the award. The fixed share award is not subject to any performance conditions, performance adjustment or clawback. On an employee leaving the Group, there is no change to the timeline for which shares will become unrestricted. Note 46: Related party transactions Key management personnel Key management personnel are those persons having authority and responsibility for planning, directing and controlling the activities  of an entity; the Group\u2019s key management personnel are the members of the Lloyds Banking Group plc Group Executive Committee  together with its non-executive directors. The table below details, on an aggregated basis, key management personnel compensation: 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m Compensation Salaries and other short-term benefits 12 10 13 Post-employment benefits \u2013 \u2013 \u2013 Share-based payments 16 15 13 Total compensation 28 25 26 Aggregate contributions in respect of key management personnel to defined contribution pension schemes were \u00a3nil (2021: \u00a3nil; 2020:  \u00a3nil). 2022 million 2021 million 2020 million Share option plans At 1 January \u2013 \u2013 \u2013 Granted, including certain adjustments (includes entitlements of appointed key management personnel) \u2013 \u2013 \u2013 Exercised/lapsed (includes entitlements of former key management personnel) \u2013 \u2013 \u2013 At 31 December \u2013 \u2013 \u2013 2022 million 2021 million 2020 million Share plans At 1 January 74 117 101 Granted, including certain adjustments (includes entitlements of appointed key management personnel) 29 19 46 Exercised/lapsed (includes entitlements of former key management personnel) (31) (62) (30) At 31 December 72 74 117 The tables below detail, on an aggregated basis, balances outstanding at the year end and related income and expense, together  with information relating to other transactions between the Group and its key management personnel: 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m Loans At 1 January 3 2 2 Advanced (includes loans to appointed key management personnel) 1 1 \u2013 Repayments (includes loans to former key management personnel) (2) \u2013 \u2013 At 31 December 2 3 2 The loans are on both a secured and unsecured basis and are expected to be settled in cash. The loans attracted interest rates of  between 1.01 per cent and 30.15 per cent in 2022 (2021: 0.39 per cent and 22.93 per cent; 2020: 0.39 per cent and 24.20 per cent). No provisions have been recognised in respect of loans given to key management personnel (2021 and 2020: \u00a3nil). 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m Deposits At 1 January 11 10 23 Placed (includes deposits of appointed key management personnel) 37 26 25 Withdrawn (includes deposits of former key management personnel) (38) (25) (38) At 31 December 10 11 10 Deposits placed by key management personnel attracted interest rates of up to 5.0 per cent (2021: 1.0 per cent; 2020: 2.0 per cent). Notes to the consolidated financial statements continued for the year ended 31 December Note 46: Related party transactions continued At 31 December 2022, the Group did not provide any guarantees in respect of key management personnel (2021 and 2020: none). At 31 December 2022, transactions, arrangements and agreements entered into by the Group\u2019s banking subsidiaries with directors and connected persons included amounts outstanding in respect of loans and credit card transactions of \u00a32.0 thousand with two directors and no connected persons (2021: \u00a30.9 million with two directors and one connected person; 2020: \u00a30.6 million with four directors and two connected persons). Subsidiaries Details of the Group\u2019s subsidiaries and related undertakings are given on pages 352 to 360. In accordance with IFRS 10 Consolidated Financial Statements, transactions and balances with subsidiaries have been eliminated on consolidation. Pension funds The Group provides banking and some investment management services to certain of its pension funds. At 31 December 2022, customer deposits of \u00a3155 million (2021: \u00a3480 million) related to the Group\u2019s pension funds. As disclosed in note 35, the Group\u2019s main pension funds have entered into a longevity insurance arrangement that was structured as a pass-through involving Scottish Widows. Collective investment vehicles The Group manages 125 (2021: 145) collective investment vehicles, such as Open-Ended Investment Companies (OEICs) and of these 73 (2021: 73) are consolidated. The Group invested \u00a3196 million (2021: \u00a3427 million) and redeemed \u00a3486 million (2021: \u00a3820 million) in the unconsolidated collective investment vehicles during the year and had investments, at fair value, of \u00a31,491 million (2021: \u00a31,965 million) at 31 December. The Group earned fees of \u00a380 million from the unconsolidated collective investment vehicles during 2022 (2021: \u00a396 million). Joint ventures and associates At 31 December 2022 there were loans and advances to customers of \u00a321 million (2021: \u00a314 million) outstanding and balances within customer deposits of \u00a358 million (2021: \u00a322 million) relating to joint ventures and associates. During the year the Group paid fees of \u00a35 million (2021: \u00a37 million) to its Schroders Personal Wealth joint venture and also made payments of \u00a318 million (2021: \u00a310 million) under the terms of agreements put in place on the establishment of the joint venture. In addition to the above balances, the Group has a number of other associates held by its venture capital business that it accounts for at fair value through profit or loss. At 31 December 2022, these companies had total assets of \u00a34,709 million (2021: \u00a33,889 million), total liabilities of \u00a35,557 million (2021: \u00a34,412 million) and for the year ended 31 December 2022 had turnover of \u00a34,196 million (2021: \u00a33,686 million) and made a net loss of \u00a3228 million (2021: net loss of \u00a3187 million). In addition, the Group has provided \u00a31,466 million (2021: \u00a31,265 million) of financing to these companies on which it received \u00a398 million (2021: \u00a386 million) of interest income in the year. Note 47: Contingent liabilities, commitments and guarantees Interchange fees With respect to multi-lateral interchange fees (MIFs), the Group is not a party in the ongoing or threatened litigation which involves the card schemes Visa and Mastercard (as described below). However, the Group is a member/licensee of Visa and Mastercard and other card schemes. The litigation in question is as follows: \u2022 Litigation brought by or on behalf of retailers against both Visa and Mastercard in the English Courts, in which retailers are seeking damages on grounds that Visa and Mastercard\u2019s MIFs breached competition law (this includes a judgment of the Supreme Court in June 2020 upholding the Court of Appeal\u2019s finding in 2018 that certain historic interchange arrangements of Mastercard and Visa infringed competition law) \u2022 Litigation brought on behalf of UK consumers in the English Courts against Mastercard Any impact on the Group of the litigation against Visa and Mastercard remains uncertain at this time, such that it is not practicable for the Group to provide an estimate of any potential financial effect. Insofar as Visa is required to pay damages to retailers for interchange fees set prior to June 2016, contractual arrangements to allocate liability have been agreed between various UK banks (including the Group) and Visa Inc, as part of Visa Inc\u2019s acquisition of Visa Europe in 2016. These arrangements cap the maximum amount of liability to which the Group may be subject and this cap is set at the cash consideration received by the Group for the sale of its stake in Visa Europe to Visa Inc in 2016. In 2016, the Group received Visa preference shares as part of the consideration for the sale of its shares in Visa Europe. A release assessment is carried out by Visa on certain anniversaries of the sale (in line with the Visa Europe sale documentation) and as a result, some Visa preference shares may be converted into Visa Inc Class A common stock. Any such release and any subsequent sale of Visa common stock does not impact the contingent liability. LIBOR and other trading rates Certain Group companies, together with other panel banks, have been named as defendants in ongoing private lawsuits, including purported class action suits, in the US in connection with their roles as panel banks contributing to the setting of US Dollar, Japanese Yen and Sterling London Interbank Offered Rate and the Australian BBSW reference rate. Certain Group companies are also named as defendants in (i) UK-based claims; and (ii) two Dutch class actions, raising LIBOR manipulation allegations. A number of claims against the Group in the UK relating to the alleged mis-sale of interest rate hedging products also include allegations of LIBOR manipulation. It is currently not possible to predict the scope and ultimate outcome on the Group of any private lawsuits or any related challenges to the interpretation or validity of any of the Group\u2019s contractual arrangements, including their timing and scale. As such, it is not practicable to provide an estimate of any potential financial effect. Note 47: Contingent liabilities, commitments and guarantees continued Tax authorities The Group has an open matter in relation to a claim for group relief of losses incurred in its former Irish banking subsidiary, which ceased trading on 31 December 2010. In 2013, HMRC informed the Group that its interpretation of the UK rules means that the group relief is not available. In 2020, HMRC concluded their enquiry into the matter and issued a closure notice. The Group\u2019s interpretation of the UK rules has not changed and hence it has appealed to the First Tier Tax Tribunal, with a hearing expected in 2023. If the final determination of the matter by the judicial process is that HMRC\u2019s position is correct, management estimate that this would result in an increase in current tax liabilities of approximately \u00a3875 million (including interest) and a reduction in the Group\u2019s deferred tax asset of approximately \u00a3295 million. The Group, having taken appropriate advice, does not consider that this is a case where additional tax will ultimately fall due. There are a number of other open matters on which the Group is in discussions with HMRC (including the tax treatment of certain costs arising from the divestment of TSB Banking Group plc), none of which is expected to have a material impact on the financial position of the Group. Motor commission review Following the FCA\u2019s Motor Market review, the Group has received a number of complaints, some of which are with the Financial Ombudsman Service, in respect of commission arrangements. It is currently not possible to predict the ultimate outcome of the complaints, including the financial impact or the scope or nature of remediation requirements, if any, or any related challenges to the interpretation or validity of any of the Group\u2019s historical motor commission arrangements. Other legal actions and regulatory matters In addition, in the course of its business the Group is subject to other complaints and threatened or actual legal proceedings (including class or group action claims) brought by or on behalf of current or former employees, customers, investors or other third parties, as well as legal and regulatory reviews, challenges, investigations and enforcement actions, which could relate to a number of issues, including financial, environmental or other regulatory matters, both in the UK and overseas. Where material, such matters are periodically reassessed, with the assistance of external professional advisers where appropriate, to determine the likelihood of the Group incurring a liability. In those instances where it is concluded that it is more likely than not that a payment will be made, a provision is established based on management\u2019s best estimate of the amount required at the relevant balance sheet date. In some cases it will not be possible to form a view, for example because the facts are unclear or because further time is needed to assess properly the merits of the case, and no provisions are held in relation to such matters. In these circumstances, specific disclosure in relation to a contingent liability will be made where material. However, the Group does not currently expect the final outcome of any such case to have a material adverse effect on its financial position, operations or cash flows. Where there is a contingent liability related to an existing provision the relevant disclosures are included within note 37. Contingent liabilities, commitments and guarantees arising from the banking business 2022 \u00a3m 2021 \u00a3m Contingent liabilities Acceptances and endorsements 58 191 Other: Other items serving as direct credit substitutes 781 510 Performance bonds, including letters of credit, and other transaction-related contingencies 2,147 2,043 2,928 2,553 Total contingent liabilities 2,986 2,744 The contingent liabilities of the Group arise in the normal course of its banking business and it is not practicable to quantify their future financial effect. 2022 \u00a3m 2021 \u00a3m Commitments and guarantees Forward asset purchases and forward deposits placed 39 61 Undrawn formal standby facilities, credit lines and other commitments to lend: Less than 1 year original maturity: Mortgage offers made 17,144 17,807 Other commitments and guarantees 79,925 88,454 97,069 106,261 1 year or over original maturity 46,687 36,411 Total commitments and guarantees 143,795 142,733 Of the amounts shown above in respect of undrawn formal standby facilities, credit lines and other commitments to lend, \u00a374,692 million (2021: \u00a371,158 million) was irrevocable. Capital commitments Excluding commitments in respect of investment property (note 26), capital expenditure contracted but not provided for at 31 December 2022 amounted to \u00a31,663 million (2021: \u00a31,034 million). Of this amount, \u00a31,663 million (2021: \u00a31,034 million) related to assets to be leased to customers under operating leases. The Group\u2019s management is confident that future net revenues and funding will be sufficient to cover these commitments. Notes to the consolidated financial statements continued for the year ended 31 December Note 48: Structured entities The Group\u2019s interests in structured entities are both consolidated and unconsolidated. Details of the Group\u2019s interests in consolidated structured entities are set out in note 30 for securitisations and covered bond vehicles, note 35 for structured entities associated with the Group\u2019s pension schemes, and below in part (A) and (B). Details of the Group\u2019s interests in unconsolidated structured entities are included below in part (C). (A)  Asset-backed conduits In addition to the structured entities discussed in note 30, which are used for securitisation and covered bond programmes, the Group sponsors an active asset-backed conduit, Cancara, which invests in client receivables and debt securities. The total consolidated exposure of Cancara at 31 December 2022 was \u00a32,357 million (2021: \u00a31,745 million), comprising \u00a31,464 million of loans and advances (2021: \u00a3889 million), \u00a3850 million of debt securities (2021: \u00a3780 million) and \u00a343 million of financial assets at fair value through profit or loss (2021: \u00a376 million). All lending assets and debt securities held by the Group in Cancara are restricted in use, as they are held by the collateral agent for the benefit of the commercial paper investors and the liquidity providers only. The Group provides liquidity facilities to Cancara under terms that are usual and customary for standard lending activities in the normal course of the Group\u2019s banking activities. During 2022 there have continued to be planned drawdowns on certain liquidity facilities for balance sheet management purposes, supporting the programme to provide funding alongside the proceeds of the asset-backed commercial paper issuance. The Group could be asked to provide support under the contractual terms of these arrangements including, for example, if Cancara experienced a shortfall in external funding, which may occur in the event of market disruption. The external assets in Cancara are consolidated in the Group\u2019s financial statements. (B)  Consolidated collective investment vehicles and limited partnerships The assets of the Insurance business held in consolidated collective investment vehicles, such as Open-Ended Investment Companies and limited partnerships, are not directly available for use by the Group. However, the Group\u2019s investment in the majority of these collective investment vehicles is readily realisable. As at 31 December 2022, the total carrying value of these consolidated collective investment vehicle assets and liabilities held by the Group was \u00a354,749 million (2021: \u00a360,352 million). The Group has no contractual arrangements (such as liquidity facilities) that would require it to provide financial or other support to the consolidated collective investment vehicles; the Group has not previously provided such support and has no current intentions to provide such support. (C)  Unconsolidated collective investment vehicles and limited partnerships The Group\u2019s direct interests in unconsolidated structured entities comprise investments in collective investment vehicles, such as Open-Ended Investment Companies, and limited partnerships with a total carrying value of \u00a368,913 million at 31 December 2022 (2021: \u00a374,916 million), included within financial assets designated at fair value through profit and loss (see note 16). These investments include both those entities managed by third parties and those managed by the Group. At 31 December 2022, the total asset value of these unconsolidated structured entities, including the portion in which the Group has no interest, was \u00a32,176 billion (2021: \u00a32,597 billion). Given the nature of these investments, the Group\u2019s maximum exposure to loss is equal to the carrying value of the investment. However, the Group\u2019s investments in these entities are primarily held to match policyholder liabilities in the Insurance division and the majority of the risk from a change in the value of the Group\u2019s investment is matched by a change in policyholder liabilities. The collective investment vehicles are primarily financed by investments from investors in the vehicles. During the year the Group has not provided any non-contractual financial or other support to these entities and has no current intention of providing any financial or other support. There were no transfers from/to these unconsolidated collective investment vehicles and limited partnerships. The Group considers itself the sponsor of a structured entity where it is primarily involved in the design and establishment of the structured entity and further where the Group transfers assets to the structured entity, markets products associated with the structured entity in its own name and/or provides guarantees regarding the structured entity\u2019s performance. The Group sponsors a range of diverse investment funds and limited partnerships where it acts as the fund manager or equivalent decision-maker and markets the funds under one of the Group\u2019s brands. The Group earns fees from managing the investments of these funds. The investment management fees that the Group earned from these entities, including those in which the Group held no ownership interest at 31 December 2022, are reported in note 6. Note 49: Financial instruments (1)  Measurement basis of financial assets and liabilities The accounting policies in note 2 describe how different classes of financial instruments are measured, and how income and expenses, including fair value gains and losses, are recognised. The following table analyses the carrying amounts of the financial assets and liabilities by category and by balance sheet heading. Derivatives designated as hedging instruments \u00a3m Mandatorily held at fair value through profit or loss Designated at fair value through profit or loss \u00a3m At fair value through other comprehensive income \u00a3m Held at amortised cost \u00a3m Insurance- related contracts \u00a3m Held for trading \u00a3m Other \u00a3m Total \u00a3m At 31 December 2022 Financial assets Cash and balances at central banks \u2013 \u2013 \u2013 \u2013 \u2013 91,388 \u2013 91,388 Items in the course of collection from banks \u2013 \u2013 \u2013 \u2013 \u2013 242 \u2013 242 Financial assets at fair value through profit or loss \u2013 14,216 166,393 \u2013 \u2013 \u2013 \u2013 180,609 Derivative financial instruments 75 24,678 \u2013 \u2013 \u2013 \u2013 \u2013 24,753 Loans and advances to banks \u2013 \u2013 \u2013 \u2013 \u2013 10,632 \u2013 10,632 Loans and advances to customers \u2013 \u2013 \u2013 \u2013 \u2013 454,899 \u2013 454,899 Reverse repurchase agreements \u2013 \u2013 \u2013 \u2013 \u2013 44,865 \u2013 44,865 Debt securities \u2013 \u2013 \u2013 \u2013 \u2013 9,926 \u2013 9,926 Financial assets at amortised cost \u2013 \u2013 \u2013 \u2013 \u2013 520,322 \u2013 520,322 Financial assets at fair value through other comprehensive income \u2013 \u2013 \u2013 \u2013 23,154 \u2013 \u2013 23,154 Reinsurance assets \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 616 616 Total financial assets 75 38,894 166,393 \u2013 23,154 611,952 616 841,084 Financial liabilities Deposits from banks \u2013 \u2013 \u2013 \u2013 \u2013 7,266 \u2013 7,266 Customer deposits \u2013 \u2013 \u2013 \u2013 \u2013 475,331 \u2013 475,331 Repurchase agreements at amortised cost \u2013 \u2013 \u2013 \u2013 \u2013 48,596 \u2013 48,596 Items in course of transmission to banks \u2013 \u2013 \u2013 \u2013 \u2013 372 \u2013 372 Financial liabilities at fair value through profit or loss \u2013 12,577 \u2013 5,178 \u2013 \u2013 \u2013 17,755 Derivative financial instruments 527 23,515 \u2013 \u2013 \u2013 \u2013 \u2013 24,042 Notes in circulation \u2013 \u2013 \u2013 \u2013 \u2013 1,280 \u2013 1,280 Debt securities in issue \u2013 \u2013 \u2013 \u2013 \u2013 73,819 \u2013 73,819 Liabilities arising from insurance contracts and participating investment contracts \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 106,893 106,893 Liabilities arising from non-participating investment contracts \u2013 \u2013 \u2013 42,975 \u2013 \u2013 \u2013 42,975 Other \u2013 \u2013 \u2013 \u2013 \u2013 1,317 248 1,565 Subordinated liabilities \u2013 \u2013 \u2013 \u2013 \u2013 10,730 \u2013 10,730 Total financial liabilities 527 36,092 \u2013 48,153 \u2013 618,711 107,141 810,624 Notes to the consolidated financial statements continued for the year ended 31 December Note 49: Financial instruments continued Derivatives designated as hedging instruments \u00a3m Mandatorily held at fair value through profit or loss Designated at fair value through profit or loss \u00a3m At fair value through other comprehensive income \u00a3m Held at amortised cost \u00a3m Insurance- related contracts \u00a3m Held for trading \u00a3m Other \u00a3m Total \u00a3m At 31 December 2021 Financial assets Cash and balances at central banks \u2013 \u2013 \u2013 \u2013 \u2013 76,420 \u2013 76,420 Items in the course of collection from banks \u2013 \u2013 \u2013 \u2013 \u2013 147 \u2013 147 Financial assets at fair value through profit or loss \u2013 21,760 185,011 \u2013 \u2013 \u2013 \u2013 206,771 Derivative financial instruments 86 21,965 \u2013 \u2013 \u2013 \u2013 \u2013 22,051 Loans and advances to banks \u2013 \u2013 \u2013 \u2013 \u2013 7,001 \u2013 7,001 Loans and advances to customers \u2013 \u2013 \u2013 \u2013 \u2013 448,567 \u2013 448,567 Reverse repurchase agreements \u2013 \u2013 \u2013 \u2013 \u2013 54,753 \u2013 54,753 Debt securities \u2013 \u2013 \u2013 \u2013 \u2013 6,835 \u2013 6,835 Financial assets at amortised cost \u2013 \u2013 \u2013 \u2013 \u2013 517,156 \u2013 517,156 Financial assets at fair value through other comprehensive income \u2013 \u2013 \u2013 \u2013 28,137 \u2013 \u2013 28,137 Reinsurance assets \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 759 759 Total financial assets 86 43,725 185,011 \u2013 28,137 593,723 759 851,441 Financial liabilities Deposits from banks \u2013 \u2013 \u2013 \u2013 \u2013 7,647 \u2013 7,647 Customer deposits \u2013 \u2013 \u2013 \u2013 \u2013 476,344 \u2013 476,344 Repurchase agreements at amortised cost \u2013 \u2013 \u2013 \u2013 \u2013 31,125 \u2013 31,125 Items in course of transmission to banks \u2013 \u2013 \u2013 \u2013 \u2013 316 \u2013 316 Financial liabilities at fair value through profit or loss \u2013 16,582 \u2013 6,541 \u2013 \u2013 \u2013 23,123 Derivative financial instruments 327 17,733 \u2013 \u2013 \u2013 \u2013 \u2013 18,060 Notes in circulation \u2013 \u2013 \u2013 \u2013 \u2013 1,321 \u2013 1,321 Debt securities in issue \u2013 \u2013 \u2013 \u2013 \u2013 71,552 \u2013 71,552 Liabilities arising from insurance contracts and participating investment contracts \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 123,423 123,423 Liabilities arising from non-participating investment contracts \u2013 \u2013 \u2013 45,040 \u2013 \u2013 \u2013 45,040 Other \u2013 \u2013 \u2013 \u2013 \u2013 1,475 308 1,783 Subordinated liabilities \u2013 \u2013 \u2013 \u2013 \u2013 13,108 \u2013 13,108 Total financial liabilities 327 34,315 \u2013 51,581 \u2013 602,888 123,731 812,842 Note 49: Financial instruments continued (2)  Fair value measurement Fair value is the price that would be received on sale of an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. It is a measure as at a specific date and may be significantly different from the amount which will actually be paid or received on maturity or settlement date. Wherever possible, fair values have been calculated using unadjusted quoted market prices in active markets for identical instruments to those held by the Group. Where quoted market prices are not available, or are unreliable because of poor liquidity, fair values have been determined using valuation techniques which, to the extent possible, use market observable inputs, but in some cases use non-market observable inputs. Valuation techniques used include discounted cash flow analysis and pricing models and, where appropriate, comparison to instruments with characteristics similar to those of the instruments held by the Group. The Group measures valuation adjustments for its derivative exposures on the same basis as the derivatives are managed. The carrying amount of the following financial instruments is a reasonable approximation of fair value: cash and balances at central banks, items in the course of collection from banks, items in course of transmission to banks and notes in circulation. Liabilities arising from non-participating investment contracts are carried at fair value. Fair values have not been disclosed for discretionary participating investment contracts. There is currently no agreed definition of fair valuation for discretionary participation features applied under IFRS and therefore the range of possible fair values of these contracts cannot be measured reliably. Because a variety of estimation techniques are employed and significant estimates made, comparisons of fair values between financial institutions may not be meaningful. Readers of these financial statements are thus advised to use caution when using this data to evaluate the Group\u2019s financial position. Fair value information is not provided for items that are not financial instruments or for other assets and liabilities which are not carried at fair value in the Group\u2019s consolidated balance sheet. These items include intangible assets, such as brands and acquired credit card relationships; premises and equipment; and shareholders\u2019 equity. These items are material and accordingly the Group believes that any fair value information presented would not represent the underlying value of the Group. Valuation control framework The key elements of the control framework for the valuation of financial instruments include model validation, product implementation review and independent price verification. These functions are carried out by appropriately skilled risk and finance teams, independent of the business area responsible for the products. Model validation covers both qualitative and quantitative elements relating to new models. In respect of new products, a product implementation review is conducted pre and post-trading. Pre-trade testing ensures that the new model is integrated into the Group\u2019s systems and that the profit and loss and risk reporting are consistent throughout the trade lifecycle. Post-trade testing examines the explanatory power of the implemented model, actively monitoring model parameters and comparing in-house pricing to external sources. Independent price verification procedures cover financial instruments carried at fair value. The frequency of the review is matched to the availability of independent data, monthly being the minimum. Valuation differences in breach of established thresholds are escalated to senior management. The results from independent pricing and valuation reserves are reviewed monthly by senior management. Formal committees, consisting of senior risk, finance and business management, meet at least quarterly to discuss and approve valuations in more judgemental areas, in particular for unquoted equities, structured credit, over-the-counter options and the credit valuation adjustment (CVA), funding valuation adjustment (FVA) and other valuation adjustments. Valuation of financial assets and liabilities Assets and liabilities carried at fair value or for which fair values are disclosed have been classified into three levels according to the quality and reliability of information used to determine the fair values. Level 1 Level 1 fair value measurements are those derived from unadjusted quoted prices in active markets for identical assets or liabilities. Products classified as level 1 predominantly comprise listed equity shares, treasury bills and other government securities. Level 2 Level 2 valuations are those where quoted market prices are not available, for example where the instrument is traded in a market that is not considered to be active or valuation techniques are used to determine fair value and where these techniques use inputs that are based significantly on observable market data. Examples of such financial instruments include most over-the-counter derivatives, financial institution issued securities, certificates of deposit and certain asset-backed securities. Level 3 Level 3 portfolios are those where at least one input which could have a significant effect on the instrument\u2019s valuation is not based on observable market data. Such instruments would include the Group\u2019s venture capital and unlisted equity investments which are valued using various valuation techniques that require significant management judgement in determining appropriate assumptions, including earnings multiples and estimated future cash flows. Certain of the Group\u2019s asset-backed securities, loans and advances recognised at fair value and derivatives are also classified as level 3. Transfers out of the level 3 portfolio arise when inputs that could have a significant impact on the instrument\u2019s valuation become market observable after previously having been non-market observable. In the case of asset-backed securities this can arise if more than one consistent independent source of data becomes available. Conversely, transfers into the portfolio arise when consistent sources of data cease to be available. Notes to the consolidated financial statements continued for the year ended 31 December Note 49: Financial instruments continued (3)  Financial assets and liabilities carried at fair value (A)  Financial assets, excluding derivatives Valuation hierarchy At 31 December 2022, the Group\u2019s financial assets carried at fair value, excluding derivatives, totalled \u00a3203,763 million (2021: \u00a3234,908 million). The table below analyses these financial assets by balance sheet classification, asset type and valuation methodology (level 1, 2 or 3, as described on page 303). The fair value measurement approach is recurring in nature. There were no significant transfers between level 1 and 2 during the year. Level 1 \u00a3m Level 2 \u00a3m Level 3 \u00a3m Total \u00a3m At 31 December 2022 Financial assets at fair value through profit or loss Loans and advances to banks \u2013 3,345 \u2013 3,345 Loans and advances to customers \u2013 13,644 7,883 21,527 Debt securities: Government securities 10,050 7 \u2013 10,057 Other public sector securities \u2013 2,516 \u2013 2,516 Bank and building society certificates of deposit \u2013 7,133 \u2013 7,133 Asset-backed securities: Mortgage-backed securities \u2013 235 \u2013 235 Other asset-backed securities \u2013 122 63 185 Corporate and other debt securities 77 16,105 1,739 17,921 10,127 26,118 1,802 38,047 Treasury and other bills 62 \u2013 \u2013 62 Contracts held with reinsurers \u2013 10,906 \u2013 10,906 Equity shares 105,103 \u2013 1,619 106,722 Total financial assets at fair value through profit or loss 115,292 54,013 11,304 180,609 Financial assets at fair value through other comprehensive income Debt securities: Government securities 10,854 357 \u2013 11,211 Asset-backed securities \u2013 87 59 146 Corporate and other debt securities 536 10,978 \u2013 11,514 11,390 11,422 59 22,871 Treasury and other bills \u2013 \u2013 \u2013 \u2013 Equity shares \u2013 \u2013 283 283 Total financial assets at fair value through other comprehensive income 11,390 11,422 342 23,154 Total financial assets carried at fair value, excluding derivatives 126,682 65,435 11,646 203,763 Note 49: Financial instruments continued Level 1 \u00a3m Level 2 \u00a3m Level 3 \u00a3m Total \u00a3m At 31 December 2021 Financial assets at fair value through profit or loss Loans and advances to banks \u2013 4,170 \u2013 4,170 Loans and advances to customers \u2013 15,575 9,793 25,368 Debt securities: Government securities 17,668 12 \u2013 17,680 Other public sector securities \u2013 2,731 \u2013 2,731 Bank and building society certificates of deposit \u2013 6,297 \u2013 6,297 Asset-backed securities: Mortgage-backed securities \u2013 433 \u2013 433 Other asset-backed securities \u2013 177 98 275 Corporate and other debt securities \u2013 18,123 1,679 19,802 17,668 27,773 1,777 47,218 Treasury and other bills 19 \u2013 \u2013 19 Contracts held with reinsurers \u2013 12,371 \u2013 12,371 Equity shares 115,882 \u2013 1,743 117,625 Total financial assets at fair value through profit or loss 133,569 59,889 13,313 206,771 Financial assets at fair value through other comprehensive income Debt securities: Government securities 14,613 \u2013 \u2013 14,613 Asset-backed securities \u2013 \u2013 70 70 Corporate and other debt securities 644 12,490 \u2013 13,134 15,257 12,490 70 27,817 Treasury and other bills 85 \u2013 \u2013 85 Equity shares \u2013 \u2013 235 235 Total financial assets at fair value through other comprehensive income 15,342 12,490 305 28,137 Total financial assets carried at fair value, excluding derivatives 148,911 72,379 13,618 234,908 Movements in level 3 portfolio The table below analyses movements in level 3 financial assets, excluding derivatives, carried at fair value (recurring measurement). 2022 2021 Financial assets at fair value through profit or loss \u00a3m Financial assets at fair value through other comprehensive income \u00a3m Total level 3 assets carried at fair value, excluding derivatives (recurring basis) \u00a3m Financial assets at fair value through profit or loss \u00a3m Financial assets at fair value through other comprehensive income \u00a3m Total level 3 assets carried at fair value, excluding derivatives (recurring basis) \u00a3m At 1 January 13,313 305 13,618 15,046 346 15,392 Exchange and other adjustments 15 3 18 4 (11) (7) (Losses) gains recognised in the income statement within other income (1,609) (2) (1,611) 183 \u2013 183 Gains recognised in other comprehensive income within the revaluation reserve in respect of financial assets at fair value through other comprehensive income \u2013 44 44 \u2013 69 69 Purchases/increases to customer loans 959 3 962 1,709 8 1,717 Sales/repayments of customer loans (1,320) (11) (1,331) (2,765) (107) (2,872) Transfers into the level 3 portfolio 197 \u2013 197 171 \u2013 171 Transfers out of the level 3 portfolio (251) \u2013 (251) (1,035) \u2013 (1,035) At 31 December 11,304 342 11,646 13,313 305 13,618 Losses recognised in the income statement, within other income, relating to the change in fair value of those assets held at 31 December (1,596) \u2013 (1,596) (71) \u2013 (71) Notes to the consolidated financial statements continued for the year ended 31 December Note 49: Financial instruments continued Valuation methodology for financial assets, excluding derivatives Loans and advances to customers and banks The fair value of these assets is determined using discounted cash flow techniques. The discount rates are derived from market observable interest rates, a risk margin that reflects loan credit ratings and an incremental illiquidity premium based on historical spreads at origination on similar loans. Debt securities Debt securities measured at fair value and classified as level 2 are valued by discounting expected cash flows using an observable credit spread applicable to the particular instrument. Where there is limited trading activity in debt securities, the Group uses valuation models, consensus pricing information from third- party pricing services and broker or lead manager quotes to determine an appropriate valuation. Debt securities are classified as level 3 if there is a significant valuation input that cannot be corroborated through market sources or where there are materially inconsistent values for an input. Asset classes classified as level 3 mainly comprise venture capital investments. Equity investments Unlisted equity and fund investments are valued using different techniques in accordance with the Group\u2019s valuation policy and International Private Equity and Venture Capital Guidelines. Depending on the business sector and the circumstances of the investment, unlisted equity valuations are based on earnings multiples, net asset values or discounted cash flows. \u2022 A number of earnings multiples are used in valuing the portfolio including price earnings, earnings before interest and tax and earnings before interest, tax, depreciation and amortisation. The particular multiple selected is appropriate for the size and type of business being valued and is derived by reference to the current market-based multiple. Consideration is given to the risk attributes, growth prospects and financial gearing of comparable businesses when selecting the appropriate multiple \u2022 Discounted cash flow valuations use estimated future cash flows, usually based on management forecasts, with the application of appropriate exit yields or terminal multiples and discounted using rates appropriate to the specific investment, business sector or recent economic rates of return. Recent transactions involving the sale of similar businesses may sometimes be used as a frame of reference in deriving an appropriate multiple \u2022 For fund investments the most recent capital account value calculated by the fund manager is used as the basis for the valuation and adjusted, if necessary, to align valuation techniques with the Group\u2019s valuation policy Unlisted equity investments and investments in property partnerships held in the life assurance funds are valued using third-party valuations. Management take account of any pertinent information, such as recent transactions and information received on particular investments, to adjust the third-party valuations where necessary. (B)  Financial liabilities, excluding derivatives Valuation hierarchy At 31 December 2022, the Group\u2019s financial liabilities carried at fair value, excluding derivatives, comprised its financial liabilities at fair value through profit or loss and totalled \u00a317,755 million (2021: \u00a323,123 million). The table below analyses these financial liabilities by balance sheet classification and valuation methodology (level 1, 2 or 3, as described on page 303). The fair value measurement approach is recurring in nature. There were no significant transfers between level 1 and 2 during the year. Level 1 \u00a3m Level 2 \u00a3m Level 3 \u00a3m Total \u00a3m At 31 December 2022 Financial liabilities at fair value through profit or loss Debt securities and other liabilities designated at fair value through profit or loss \u2013 5,133 45 5,178 Trading liabilities: Liabilities in respect of securities sold under repurchase agreements \u2013 11,037 \u2013 11,037 Short positions in securities 1,505 35 \u2013 1,540 1,505 11,072 \u2013 12,577 Total financial liabilities carried at fair value, excluding derivatives 1,505 16,205 45 17,755 At 31 December 2021 Financial liabilities at fair value through profit or loss Debt securities in issue designated at fair value through profit or loss \u2013 6,504 37 6,541 Trading liabilities: Liabilities in respect of securities sold under repurchase agreements \u2013 14,962 \u2013 14,962 Short positions in securities 1,569 51 \u2013 1,620 1,569 15,013 \u2013 16,582 Total financial liabilities carried at fair value, excluding derivatives 1,569 21,517 37 23,123 The Group\u2019s non-participating investment contracts (see note 33) were all categorised as level 2. Note 49: Financial instruments continued Movements in level 3 portfolio The table below analyses movements in the level 3 financial liabilities portfolio, excluding derivatives. 2022 \u00a3m 2021 \u00a3m At 1 January 37 45 Gains recognised in the income statement within other income (4) (5) Additions 33 4 Redemptions (3) (7) Transfers out of the level 3 portfolio (18) \u2013 At 31 December 45 37 Gains recognised in the income statement, within other income, relating to the change in fair value of those liabilities held at 31 December (4) (4) Valuation methodology for financial liabilities, excluding derivatives Liabilities held at fair value through profit or loss These principally comprise debt securities in issue which are classified as level 2 and their fair value is determined using techniques whose inputs are based on observable market data. The carrying amount of the securities is adjusted to reflect the effect of changes in own credit spreads and the resulting gain or loss is recognised in other comprehensive income. In the year ended 31 December 2022, the own credit adjustment arising from the fair valuation of \u00a35,178 million (2021: \u00a36,541 million) of the Group\u2019s debt securities in issue designated at fair value through profit or loss resulted in a gain of \u00a3519 million (2021: loss of \u00a386 million), before tax, recognised in other comprehensive income. Trading liabilities in respect of securities sold under repurchase agreements The fair value of these liabilities is determined using discounted cash flow techniques. The discount rates are derived from observable repurchase agreement rate curves specific to the type of security sold under the repurchase agreement. (C) Derivatives Valuation hierarchy All of the Group\u2019s derivative assets and liabilities are carried at fair value. At 31 December 2022, such assets totalled \u00a324,753 million (2021: \u00a322,051 million) and liabilities totalled \u00a324,042 million (2021: \u00a318,060 million). The table below analyses these derivative balances by valuation methodology (level 1, 2 or 3, as described on page 303). The fair value measurement approach is recurring in nature. There were no significant transfers between level 1 and level 2 during the year. 2022 2021 Level 1 \u00a3m Level 2 \u00a3m Level 3 \u00a3m Total \u00a3m Level 1 \u00a3m Level 2 \u00a3m Level 3 \u00a3m Total \u00a3m Derivative assets 78 24,122 553 24,753 44 21,114 893 22,051 Derivative liabilities (39) (23,395) (608) (24,042) (62) (17,054) (944) (18,060) Movements in level 3 portfolio The table below analyses movements in level 3 derivative assets and liabilities carried at fair value. 2022 2021 Derivative assets \u00a3m Derivative liabilities \u00a3m Derivative assets \u00a3m Derivative liabilities \u00a3m At 1 January 893 (944) 981 (1,374) Exchange and other adjustments 47 (37) (4) 4 Gains (losses) recognised in the income statement within other income 72 204 (182) 292 Purchases (additions) 48 (46) 214 (328) (Sales) redemptions (21) 38 (116) 462 Transfers out of the level 3 portfolio (486) 177 \u2013 \u2013 At 31 December 553 (608) 893 (944) Gains (losses) recognised in the income statement, within other income, relating to the change in fair value of those assets or liabilities held at 31 December 222 125 (219) 324 Valuation methodology for derivatives Where the Group\u2019s derivative assets and liabilities are not traded on an exchange, they are valued using valuation techniques, including discounted cash flow and options pricing models, as appropriate. The types of derivatives classified as level 2 and the valuation techniques used include: \u2022 Interest rate swaps which are valued using discounted cash flow models; the most significant inputs into those models are interest rate yield curves which are developed from publicly quoted rates \u2022 Foreign exchange derivatives that do not contain options which are priced using rates available from publicly quoted sources \u2022 Credit derivatives which are valued using standard models with observable inputs, except for the items classified as level 3, which are valued using publicly available yield and credit default swap (CDS) curves \u2022 Less complex interest rate and foreign exchange option products which are valued using volatility surfaces developed from publicly available interest rate cap, interest rate swaption and other option volatilities; option volatility skew information is derived from a market standard consensus pricing service. For more complex option products, the Group calibrates its models using observable at-the-money data; where necessary, the Group adjusts for out-of-the-money positions using a market standard consensus pricing service Notes to the consolidated financial statements continued for the year ended 31 December Note 49: Financial instruments continued Complex interest rate and foreign exchange products where inputs to the valuation are significant, material and unobservable are classified as level 3. Where credit protection, usually in the form of credit default swaps, has been purchased or written on asset-backed securities, the security is referred to as a negative basis asset-backed security and the resulting derivative assets or liabilities have been classified as either level 2 or level 3 according to the classification of the underlying asset-backed security. Certain unobservable inputs used to calculate CVA, FVA, and own credit adjustments, are not significant in determining the classification of the derivative and debt instruments. Consequently, these inputs do not form part of the level 3 sensitivities presented. Derivative valuation adjustments Derivative financial instruments which are carried in the balance sheet at fair value are adjusted where appropriate to reflect credit risk, market liquidity and other risks. (i)  Uncollateralised derivative valuation adjustments The following table summarises the movement on this valuation adjustment account during 2021 and 2022: 2022 \u00a3m 2021 \u00a3m At 1 January 456 474 Income statement credit (75) (18) At 31 December 381 456 Represented by: 2022 \u00a3m 2021 \u00a3m Credit Valuation Adjustment 294 306 Debit Valuation Adjustment (55) (26) Funding Valuation Adjustment 142 176 381 456 Credit and Debit Valuation Adjustments (CVA and DVA) are applied to the Group\u2019s over-the-counter derivative exposures with counterparties that are not subject to strong interbank collateral arrangements. These exposures largely relate to the provision of risk management solutions for corporate customers within the Commercial Banking division. A CVA is taken where the Group has a positive future uncollateralised exposure (asset). A DVA is taken where the Group has a negative future uncollateralised exposure (liability). These adjustments reflect interest rates and expectations of counterparty creditworthiness and the Group\u2019s own credit spread respectively. The CVA is sensitive to: \u2022 The current size of the mark-to-market position on the uncollateralised asset \u2022 Expectations of future market volatility of the underlying asset \u2022 Expectations of counterparty creditworthiness Market Credit Default Swap (CDS) spreads are used to develop the probability of default for quoted counterparties. For unquoted counterparties, internal credit ratings and market sector CDS curves and recovery rates are used. The loss given default (LGD) is based on market recovery rates and internal credit assessments. The combination of a one-notch deterioration in the credit rating of derivative counterparties and a ten per cent increase in LGD increases the CVA by \u00a373 million. Current market value is used to estimate the projected exposure for products not supported by the model, which are principally complex interest rate options that are traded in very low volumes. For these, the CVA is calculated on an add-on basis (although no such adjustment was required at 31 December 2022). The DVA is sensitive to: \u2022 The current size of the mark-to-market position on the uncollateralised liability \u2022 Expectations of future market volatility of the underlying liability \u2022 The Group\u2019s own CDS spread A one per cent rise in the CDS spread would lead to an increase in the DVA of \u00a3109 million. The risk exposures that are used for the CVA and DVA calculations are strongly influenced by interest rates. Due to the nature of the Group\u2019s business the CVA/DVA exposures tend to be on average the same way around such that the valuation adjustments fall when interest rates rise. A one per cent rise in interest rates would lead to a \u00a351 million fall in the overall valuation adjustment to \u00a3188 million. The CVA model used by the Group does not assume any correlation between the level of interest rates and default rates. The Group has also recognised a Funding Valuation Adjustment to adjust for the net cost of funding uncollateralised derivative positions. This adjustment is calculated on the expected future exposure discounted at a suitable cost of funds. A ten basis points increase in the cost of funds will increase the funding valuation adjustment by \u00a313 million. (ii)  Market liquidity The Group includes mid to bid-offer valuation adjustments against the expected cost of closing out the net market risk in the Group\u2019s trading positions within a time frame that is consistent with historical trading activity and spreads that the trading desks have accessed historically during the ordinary course of business in normal market conditions. At 31 December 2022, the Group\u2019s derivative trading business held mid to bid-offer valuation adjustments of \u00a361 million (2021: \u00a363 million). Note 49: Financial instruments continued (D)  Sensitivity of level 3 valuations 2022 2021 Effect of reasonably possible alternative assumptions1 Effect of reasonably possible alternative assumptions 1 Valuation techniques Significant unobservable inputs 2 Carrying value \u00a3m Favourable changes \u00a3m Unfavourable changes \u00a3m Carrying value \u00a3m Favourable changes \u00a3m Unfavourable changes \u00a3m Financial assets at fair value through profit or loss Loans and advances to customers Discounted cash flows Interest rate spreads (-50bps/+289bps) 4 7,883 356 (385) 9,793 502 (460) Debt securities Discounted cash flows Credit spreads (+/- 6%) 5 162 9 (9) 191 13 (13) Equity and venture capital investments Market approach Earnings multiple (1.9/15.2) 6 1,907 84 (84) 1,692 191 (191) Underlying asset/ net asset value (incl. property prices)3 n/a 771 81 (88) 892 123 (131) Unlisted equities, debt securities and property partnerships in the life funds Underlying asset/ net asset value (incl. property prices), broker quotes or discounted cash flows 3 n/a 581 2 (33) 745 22 (16) 11,304 13,313 Financial assets at fair value through other comprehensive income Asset-backed securities Lead manager or broker quote/ consensus pricing n/a 59 \u2013 \u2013 70 4 (4) Equity and venture capital investments Underlying asset/ net asset value (incl. property prices)3 n/a 283 15 (15) 235 14 (14) 342 305 Derivative financial assets Interest rate derivatives Option pricing  model Interest rate volatility (17%/105%) 7 553 9 (7) 893 10 (23) Level 3 financial assets carried at fair value 12,199 14,511 Financial liabilities at fair value through profit or loss Securitisation notes and other Discounted cash flows Interest rate spreads (+/\u2013 50bps) 8 45 1 (1) 37 1 (1) Derivative financial liabilities Interest rate derivatives Option pricing model Interest rate volatility (17%/105%) 7 608 \u2013 \u2013 944 \u2013 \u2013 Level 3 financial liabilities carried at fair value 653 981 1  Where the exposure to an unobservable input is managed on a net basis, only the net impact is shown in the table. 2  Ranges are shown where appropriate and represent the highest and lowest inputs used in the level 3 valuations. 3  Underlying asset/net asset values represent fair value. 4  2021: -50bps/213bps. 5  2021: +/-7%. 6  2021: 3.5/14.9. 7  2021: 13%/168%. 8  2021: +/-50bps. Notes to the consolidated financial statements continued for the year ended 31 December Note 49: Financial instruments continued Unobservable inputs Significant unobservable inputs affecting the valuation of debt securities, unlisted equity investments and derivatives are as follows: \u2022 Interest rates and inflation rates are referenced in some derivatives where the payoff that the holder of the derivative receives depends on the behaviour of those underlying references through time \u2022 Credit spreads represent the premium above the benchmark reference instrument required to compensate for lower credit quality; higher spreads lead to a lower fair value \u2022 Volatility parameters represent key attributes of option behaviour; higher volatilities typically denote a wider range of possible outcomes \u2022 Earnings multiples are used to value certain unlisted equity investments. The earnings multiples used are derived from those of listed entities operating in the same sector with adjustments made for factors such as the size of the company and the quality of its earnings. The majority of the Group\u2019s venture capital investments are valued using an estimate of the company\u2019s maintainable earnings before interest, tax, depreciation and amortisation and in accordance with the International Private Equity and Venture Capital Valuation Guidelines. A higher earnings multiple will result in a higher fair value Reasonably possible alternative assumptions Valuation techniques applied to many of the Group\u2019s level 3 instruments often involve the use of two or more inputs whose relationship is interdependent. The calculation of the effect of reasonably possible alternative assumptions included in the table above reflects such relationships. Debt securities Reasonably possible alternative assumptions have been determined in respect of the Group\u2019s structured credit investments by flexing credit spreads. Derivatives Reasonably possible alternative assumptions have been determined in respect of swaptions in the Group\u2019s derivative portfolios which are priced using industry standard option pricing models. Such models require interest rate volatilities which may be unobservable at longer maturities. To derive reasonably possible alternative valuations these volatilities have been flexed within a range of 17 per cent to 105 per cent (2021: 13 per cent to 168 per cent). Unlisted equity, venture capital investments and investments in property partnerships The valuation techniques used for unlisted equity and venture capital investments vary depending on the nature of the investment. Reasonably possible alternative valuations for these investments have been calculated by reference to the approach taken, as appropriate to the business sector and investment circumstances and as such the following inputs have been considered: \u2022 For valuations derived from earnings multiples, consideration is given to the risk attributes, growth prospects and financial gearing of comparable businesses when selecting an appropriate multiple \u2022 The discount rates used in discounted cash flow valuations \u2022 In line with International Private Equity and Venture Capital Guidelines, the values of underlying investments in fund investment portfolios (4)  Financial assets and liabilities carried at amortised cost (A)  Financial assets Valuation hierarchy The table below analyses the fair values of those financial assets of the Group which are carried at amortised cost by valuation methodology (level 1, 2 or 3, as described on page 303). Financial assets carried at amortised cost are mainly classified as level 3 due to significant unobservable inputs used in the valuation models. Where inputs are observable, debt securities are classified as level 1 or 2. Carrying value \u00a3m Fair value \u00a3m Valuation hierarchy Level 1 \u00a3m Level 2 \u00a3m Level 3 \u00a3m At 31 December 2022 Loans and advances to banks 10,632 10,632 \u2013 \u2013 10,632 Loans and advances to customers: Stage 1 380,291 376,056 \u2013 \u2013 376,056 Stage 2 59,356 58,672 \u2013 \u2013 58,672 Stage 3 5,883 5,974 \u2013 \u2013 5,974 Purchased or originated credit-impaired 9,369 9,369 \u2013 \u2013 9,369 454,899 450,071 \u2013 \u2013 450,071 Reverse repurchase agreements 44,865 44,865 \u2013 44,865 \u2013 Debt securities 9,926 9,930 167 9,647 116 Financial assets at amortised cost 520,322 515,498 167 54,512 460,819 Note 49: Financial instruments continued Carrying value \u00a3m Fair value \u00a3m Valuation hierarchy Level 1 \u00a3m Level 2 \u00a3m Level 3 \u00a3m At 31 December 2021 Loans and advances to banks 7,001 6,997 \u2013 \u2013 6,997 Loans and advances to customers: Stage 1 399,121 401,537 \u2013 \u2013 401,537 Stage 2 33,817 34,617 \u2013 \u2013 34,617 Stage 3 4,862 4,851 \u2013 \u2013 4,851 Purchased or originated credit-impaired 10,767 10,767 \u2013 \u2013 10,767 448,567 451,772 \u2013 \u2013 451,772 Reverse repurchase agreements 54,753 54,753 \u2013 54,753 \u2013 Debt securities 6,835 6,876 \u2013 6,739 137 Financial assets at amortised cost 517,156 520,398 \u2013 61,492 458,906 Valuation methodology Loans and advances to banks The carrying value of short-dated loans and advances to banks is assumed to be their fair value. The fair value of other loans and advances to banks is estimated by discounting the anticipated cash flows at a market discount rate adjusted for the credit spread of the obligor or, where not observable, the credit spread of borrowers of similar credit quality. Loans and advances to customers The Group provides loans and advances to commercial, corporate and personal customers at both fixed and variable rates. Due to their short-term nature, the carrying value of variable rate loans and balances relating to lease financing is assumed to be their fair value. To determine the fair value of loans and advances to customers, loans are segregated into portfolios of similar characteristics. A number of techniques are used to estimate the fair value of fixed rate lending; these take account of expected credit losses based on historic trends, prevailing market interest rates and expected future cash flows. For retail exposures, fair value is usually estimated by discounting anticipated cash flows (including interest at contractual rates) at market rates for similar loans offered by the Group and other financial institutions. Certain loans secured on residential properties are made at a fixed rate for a limited period, typically two to five years, after which the loans revert to the relevant variable rate. The fair value of such loans is estimated by reference to market rates for similar loans of maturity equal to the remaining fixed interest rate period. The fair value of commercial loans is estimated by discounting anticipated cash flows at a rate which reflects the effects of interest rate changes, adjusted for changes in credit risk. Reverse repurchase agreements The carrying amount is deemed a reasonable approximation of fair value given the short-term nature of these instruments. Debt securities The fair values of debt securities are determined predominantly from lead manager quotes and, where these are not available, by alternative techniques including reference to credit spreads on similar assets with the same obligor, market standard consensus pricing services, broker quotes and other research data. (B)  Financial liabilities Valuation hierarchy The table below analyses the fair values of those financial liabilities of the Group which are carried at amortised cost by valuation methodology (level 1, 2 or 3, as described on page 303). Carrying value \u00a3m Fair value \u00a3m Valuation hierarchy Level 1 \u00a3m Level 2 \u00a3m Level 3 \u00a3m At 31 December 2022 Deposits from banks 7,266 7,268 \u2013 7,268 \u2013 Customer deposits 475,331 475,147 \u2013 475,147 \u2013 Repurchase agreements at amortised cost 48,596 48,596 \u2013 48,596 \u2013 Debt securities in issue 73,819 71,975 \u2013 71,975 \u2013 Subordinated liabilities 10,730 10,065 \u2013 10,065 \u2013 At 31 December 2021 Deposits from banks 7,647 7,647 \u2013 7,647 \u2013 Customer deposits 476,344 476,506 \u2013 476,506 \u2013 Repurchase agreements at amortised cost 31,125 31,125 \u2013 31,125 \u2013 Debt securities in issue 71,552 74,665 \u2013 74,665 \u2013 Subordinated liabilities 13,108 14,804 \u2013 14,804 \u2013 Notes to the consolidated financial statements continued for the year ended 31 December Note 49: Financial instruments continued Valuation methodology Deposits from banks and customer deposits The fair value of bank and customer deposits repayable on demand is assumed to be equal to their carrying value. The fair value for all other deposits is estimated using discounted cash flows applying either market rates, where applicable, or current rates for deposits of similar remaining maturities. Repurchase agreements The carrying amount is deemed a reasonable approximation of fair value given the short-term nature of these instruments. Debt securities in issue The fair value of short-term debt securities in issue is approximately equal to their carrying value. Fair value for other debt securities in issue is calculated based on quoted market prices where available. Where quoted market prices are not available, fair value is estimated using discounted cash flow techniques at a rate which reflects market rates of interest and the Group\u2019s own credit spread. Subordinated liabilities The fair value of subordinated liabilities is determined by reference to quoted market prices where available or by reference to quoted market prices of similar instruments. Subordinated liabilities are classified as level 2, since the inputs used to determine their fair value are largely observable. (5)  Reclassifications of financial assets There have been no reclassifications of financial assets in 2021 or 2022. Note 50: Transfers of financial assets There were no significant transferred financial assets which were derecognised in their entirety, but with ongoing exposure. Details of transferred financial assets that continue to be recognised in full are as follows. The Group enters into repurchase and securities lending transactions in the normal course of business that do not result in derecognition of the financial assets as substantially all of the risks and rewards, including credit, interest rate, prepayment and other price risks are retained by the Group. In all cases, the transferee has the right to sell or repledge the assets concerned. As set out in note 30, included within financial assets measured at amortised cost are loans transferred under the Group\u2019s securitisation and covered bond programmes. As the Group retains all or a majority of the risks and rewards associated with these loans, including credit, interest rate, prepayment and liquidity risk, they remain on the Group\u2019s balance sheet. Assets transferred into the Group\u2019s securitisation and covered bond programmes are not available to be used by the Group while the assets are within the programmes. However, the Group retains the right to remove loans from the covered bond programmes where they are in excess of the programme\u2019s requirements. In addition, where the Group has retained some of the notes issued by securitisation and covered bond programmes, the Group has the ability to sell or pledge these retained notes. The table below sets out the carrying values of the transferred assets and the associated liabilities. For repurchase and securities lending transactions, the associated liabilities represent the Group\u2019s obligation to repurchase the transferred assets. For securitisation programmes, the associated liabilities represent the external notes in issue (note 30). The liabilities shown in the table below have recourse to the transferred assets. 2022 2021 Carrying value of transferred assets \u00a3m Carrying value of associated liabilities \u00a3m Carrying value of transferred assets \u00a3m Carrying value of associated liabilities \u00a3m Repurchase and securities lending transactions Financial assets at fair value through profit or loss 6,370 1,483 4,345 2,030 Financial assets at fair value through other comprehensive income 8,803 6,990 8,085 6,244 Securitisation programmes Financial assets at amortised cost: Loans and advances to customers1 29,384 2,806 31,406 3,705 1  The carrying value of associated liabilities excludes securitisation notes held by the Group of \u00a322,343 million (31 December 2021: \u00a324,010 million). Note 51: Offsetting of financial assets and liabilities The following information relates to financial assets and liabilities which have been offset in the balance sheet and those which have not been offset but for which the Group has enforceable master netting agreements or collateral arrangements in place with counterparties. Related amounts where  set off in the balance sheet not permitted 1 Potential net amounts if offset of related amounts permitted \u00a3m Gross amounts of assets and liabilities 2 \u00a3m Amount offset in the balance sheet 3 \u00a3m Net amounts presented in the balance sheet \u00a3m Cash collateral received/ pledged \u00a3m Non-cash collateral received/ pledged \u00a3m At 31 December 2022 Financial assets Financial assets at fair value through profit or loss: Excluding reverse repurchase agreements 168,828 \u2013 168,828 \u2013 (1,127) 167,701 Reverse repurchase agreements 32,064 (20,283) 11,781 (87) (11,694) \u2013 200,892 (20,283) 180,609 (87) (12,821) 167,701 Derivative financial instruments 76,437 (51,684) 24,753 (3,951) (15,839) 4,963 Financial assets at amortised cost: Loans and advances to banks 10,632 \u2013 10,632 (2,823) \u2013 7,809 Loans and advances to customers 458,229 (3,330) 454,899 (907) (2,171) 451,821 Reverse repurchase agreements 55,675 (10,810) 44,865 \u2013 (44,865) \u2013 Debt securities 9,926 \u2013 9,926 \u2013 \u2013 9,926 534,462 (14,140) 520,322 (3,730) (47,036) 469,556 Financial assets at fair value through other comprehensive income 23,154 \u2013 23,154 \u2013 (6,202) 16,952 Financial liabilities Deposits from banks 7,266 \u2013 7,266 (2,169) \u2013 5,097 Customer deposits 476,255 (924) 475,331 (1,869) (2,171) 471,291 Repurchase agreements at amortised cost 59,406 (10,810) 48,596 \u2013 (48,596) \u2013 Financial liabilities at fair value through profit or loss: Excluding repurchase agreements 6,718 \u2013 6,718 \u2013 \u2013 6,718 Repurchase agreements 31,320 (20,283) 11,037 \u2013 (11,037) \u2013 38,038 (20,283) 17,755 \u2013 (11,037) 6,718 Derivative financial instruments 78,132 (54,090) 24,042 (3,731) (14,490) 5,821 1  The Group enters into derivatives and repurchase and reverse repurchase agreements with various counterparties which are governed by industry standard master netting agreements. The Group holds and provides cash and securities collateral in respective of derivative transactions covered by these agreements. The right to set off balances under these master netting agreements or to set off cash and securities collateral only arises in the event of non-payment or default and, as a result, these arrangements do not qualify for offsetting under IAS 32. 2  Net of impairment allowances. 3  The amounts offset in the balance sheet as shown above mainly represent derivatives and repurchase agreements with central clearing houses which meet the criteria for offsetting under IAS 32. The effects of over-collateralisation have not been taken into account in the above table. Notes to the consolidated financial statements continued for the year ended 31 December Note 51: Offsetting of financial assets and liabilities continued Related amounts where  set off in the balance sheet not permitted1 Potential net amounts if offset of related amounts permitted \u00a3m Gross amounts of assets and liabilities 2 \u00a3m Amount offset in the balance sheet 3 \u00a3m Net amounts presented in the balance sheet \u00a3m Cash collateral received/ pledged \u00a3m Non-cash collateral received/ pledged \u00a3m At 31 December 2021 Financial assets Financial assets at fair value through profit or loss: Excluding reverse repurchase agreements 191,850 \u2013 191,850 \u2013 (2,456) 189,394 Reverse repurchase agreements 33,834 (18,913) 14,921 (20) (14,901) \u2013 225,684 (18,913) 206,771 (20) (17,357) 189,394 Derivative financial instruments 50,205 (28,154) 22,051 (5,658) (12,645) 3,748 Financial assets at amortised cost: Loans and advances to banks 7,001 \u2013 7,001 (1,731) \u2013 5,270 Loans and advances to customers 449,732 (1,165) 448,567 (798) (1,506) 446,263 Reverse repurchase agreements 64,474 (9,721) 54,753 \u2013 (54,753) \u2013 Debt securities 6,835 \u2013 6,835 \u2013 (267) 6,568 528,042 (10,886) 517,156 (2,529) (56,526) 458,101 Financial assets at fair value through other comprehensive income 28,137 \u2013 28,137 \u2013 (4,981) 23,156 Financial liabilities Deposits from banks 7,647 \u2013 7,647 (5,678) \u2013 1,969 Customer deposits 477,509 (1,165) 476,344 \u2013 (1,506) 474,838 Repurchase agreements at amortised cost 40,846 (9,721) 31,125 \u2013 (31,125) \u2013 Financial liabilities at fair value through profit or loss: Excluding repurchase agreements 8,161 \u2013 8,161 \u2013 \u2013 8,161 Repurchase agreements 33,875 (18,913) 14,962 \u2013 (14,962) \u2013 42,036 (18,913) 23,123 \u2013 (14,962) 8,161 Derivative financial instruments 46,214 (28,154) 18,060 (2,529) (15,063) 468 1  The Group enters into derivatives and repurchase and reverse repurchase agreements with various counterparties which are governed by industry standard master netting agreements. The Group holds and provides cash and securities collateral in respective of derivative transactions covered by these agreements. The right to set off balances under these master netting agreements or to set off cash and securities collateral only arises in the event of non-payment or default and, as a result, these arrangements do not qualify for offsetting under IAS 32. 2  Net of impairment allowances. 3  The amounts offset in the balance sheet as shown above mainly represent derivatives and repurchase agreements with central clearing houses which meet the criteria for offsetting under IAS 32. The effects of over-collateralisation have not been taken into account in the above table. Note 52: Financial risk management As a bancassurer, financial instruments are fundamental to the Group\u2019s activities and, as a consequence, the risks associated with financial instruments represent a significant component of the risks faced by the Group. The primary risks affecting the Group through its use of financial instruments are: market risk, which includes interest rate risk and foreign exchange risk; credit risk; liquidity risk; capital risk; and insurance risk. The following disclosures provide quantitative and qualitative information about the Group\u2019s exposure to these risks. Market risk (A)  Interest rate risk Interest rate risk arises from the different repricing characteristics of the Group\u2019s assets and liabilities. Liabilities are generally either insensitive to interest rate movements, for example interest free or very low interest customer deposits, or are sensitive to interest rate changes but bear rates which may be varied at the Group\u2019s discretion and that for competitive reasons generally reflect changes in the UK Bank Rate, set by the Bank of England. The rates on the remaining liabilities are contractually fixed for their term to maturity. Many banking assets are sensitive to interest rate movements; there is a large volume of managed rate assets such as variable rate mortgages which may be considered as a natural offset to the interest rate risk arising from the managed rate liabilities. However, a significant proportion of the Group\u2019s lending assets, for example many personal loans and mortgages, bear interest rates which are contractually fixed. Interest rate sensitivity analysis relating to the Group\u2019s Banking activities is set out in the tables marked audited on page 188. The Group\u2019s risk management policy is to optimise reward while managing its market risk exposures within the risk appetite defined by the Board. The largest residual risk exposure arises from balances that are deemed to be insensitive to changes in market rates (including current accounts, a portion of variable rate deposits and investable equity), and is managed through the Group\u2019s structural hedge. The structural hedge consists of longer-term fixed rate assets or interest rate swaps and the amount and duration of the hedging activity is reviewed regularly by the Group Asset and Liability Committee. The Group establishes hedge accounting relationships for interest rate risk components using cash flow hedges and fair value hedges. The Group is exposed to cash flow interest rate risk on its variable rate loans and deposits together with its floating rate subordinated debt. The derivatives used to manage the structural hedge may be designated into cash flow hedges to manage income statement volatility. The economic items related to the structural hedge, for example current accounts, are not eligible hedged items under IAS 39 for inclusion into accounting hedge relationships. The Group is exposed to fair value interest rate risk on its fixed rate customer loans, its fixed rate customer deposits and the majority of its subordinated debt, and to cash flow interest rate risk on its variable rate loans and deposits together with its floating rate subordinated debt. The Group applies netting between similar risks before applying hedge accounting. Hedge ineffectiveness arises during the management of interest rate risk due to residual unhedged risk. Sources of ineffectiveness, which the Group may decide to not fully mitigate, can include basis differences, timing differences and notional amount differences. The effectiveness of accounting hedge relationships is assessed between the hedging derivatives and the documented hedged item, which can differ to the underlying economically hedged item. At 31 December 2022 the aggregate notional principal of interest rate and other swaps (predominantly interest rate) designated as fair value hedges was \u00a3152,662 million (2021: \u00a3172,695 million) with a net fair value liability of \u00a3493 million (2021: liability of \u00a3262 million) (note 17). The gains on the hedging instruments were \u00a31,284 million (2021: gains of \u00a3944 million). The losses on the hedged items attributable to the hedged risk were \u00a31,325 million (2021: losses of \u00a3767 million). The gains and losses relating to the fair value hedges are recorded in net trading income. The notional principal of the interest rate swaps designated as cash flow hedges at 31 December 2022 was \u00a3249,703 million (2021: \u00a3109,093 million) with a net fair value liability of \u00a32 million (2021: asset of \u00a35 million) (note 17). In 2022, ineffectiveness recognised in the income statement that arises from cash flow hedges was a loss of \u00a310 million (2021: loss of \u00a369 million). Interest rate benchmark reform The Group continues to manage the transition to alternative benchmark rates under its Group-wide IBOR transition programme. The Group has transitioned substantially all of its non-USD LIBOR products and continues to work with customers to transition a small number of remaining contracts that either have yet to transition or have defaulted to the relevant synthetic LIBOR benchmark in the interim. USD LIBOR transition is expected to complete by 30 June 2023. While the volume of outstanding transactions impacted by IBOR benchmark reforms continues to reduce, the Group does not expect material changes to its risk management approach. The material risks identified include the following: Conduct and litigation risk. The Group may be exposed to conduct and litigation charges as a direct result of inappropriate or negligent actions taken during IBOR transition resulting in detriment to the customer. The Group is working closely with its counterparties to avoid this outcome. Market risk. IBOR transition is expected to lead to changes in the Group\u2019s market risk profile which will continue to be monitored and managed within the appropriate risk appetites. The key change is expected to be on the management of basis risk profile during the period when alternative benchmark rates are referenced in contracts up to the cessation of the in-scope IBOR index. Credit risk. Clients may wish to renegotiate the terms of existing transactions as a consequence of IBOR reform. This could lead to a change in the credit risk exposure of the client depending on the outcome of the negotiations. The Group will continue to monitor and manage changes within the appropriate risk appetites. Accounting risk. If IBOR transition is finalised in a manner that does not permit the application of the reliefs introduced in the IFRS Phase 2 amendments, the financial instrument may be required to be derecognised and a new instrument recognised. In addition, where instruments used in hedge accounting relationships are transitioned either at different times or to different benchmarks, this may result in additional volatility to the income statement either through hedge accounting ineffectiveness or failure of the hedge accounting relationships. Operational risk. Additional operational risks may arise due to the IBOR transition programme impacting all businesses and functions within the Group and leading to the implementation of changes to technology, operations, client communication and the valuation of in-scope financial instruments. Notes to the consolidated financial statements continued for the year ended 31 December Note 52: Financial risk management continued The majority of the Group\u2019s USD LIBOR exposures are expected to transition through industry-led transition programmes managed by the London Clearing House and Futures exchanges, or through the International Swaps and Derivatives Association (ISDA) protocol. Other contracts (primarily loans) maturing after June 2023 are being managed through the Group\u2019s existing processes, either transitioning to an alternative benchmark rate or allowed to fallback under existing contract protocols or through US legislation. At 31 December 2022, the Group had the following significant exposures impacted by interest rate benchmark reform which had yet to transition to the replacement benchmark rate: At 31 December 2022 At 31 December 2021 GBP LIBOR \u00a3m USD LIBOR \u00a3m Other 1 \u00a3m Total \u00a3m GBP LIBOR \u00a3m USD LIBOR \u00a3m Other \u00a3m Total \u00a3m Non-derivative financial assets Financial assets at fair value through profit or loss 106 36 \u2013 142 1,753 268 \u2013 2,021 Loans and advances to banks \u2013 67 \u2013 67 \u2013 4,106 \u2013 4,106 Loans and advances to customers 762 1,077 43 1,882 3,542 5,975 \u2013 9,517 Debt securities \u2013 \u2013 \u2013 \u2013 126 \u2013 \u2013 126 Financial assets at amortised cost 762 1,144 43 1,949 3,668 10,081 \u2013 13,749 Financial assets at fair value through other comprehensive income \u2013 \u2013 \u2013 \u2013 16 \u2013 \u2013 16 868 1,180 43 2,091 5,437 10,349 \u2013 15,786 Non-derivative financial liabilities Customer deposits \u2013 84 \u2013 84 \u2013 74 \u2013 74 Financial liabilities at fair value through profit or loss \u2013 100 \u2013 100 \u2013 100 3 103 Debt securities in issue \u2013 52 \u2013 52 \u2013 54 26 80 \u2013 236 \u2013 236 \u2013 228 29 257 Derivative notional/contract amount Interest rate 840 193,228 1,223 195,291 12,734 286,921 \u2013 299,655 Cross currency \u2013 29,452 1,124 30,576 \u2013 42,229 \u2013 42,229 840 222,680 2,347 225,867 12,734 329,150 \u2013 341,884 1  Balances within Other include Canadian Dollar Offered Rate for which a cessation announcement, effective after 28 June 2024, was published on 16 May 2022. As at 31 December 2022, the IBOR balances in the above table relate to contracts that have not transitioned to an alternative benchmark rate. In the case of Sterling LIBOR, these are contracts that have cash flows determined on a synthetic LIBOR basis. Of the \u00a3222,680 million of USD derivative notional balances as at 31 December 2022, \u00a355,973 million relate to contracts with their final LIBOR fixing prior to LIBOR cessation and \u00a3129,442 million relate to exchange traded futures or contracts settled through the London Clearing House. Of the remaining \u00a337,265 million, \u00a336,872 million are fallback-eligible. In respect of the Group\u2019s hedge accounting relationships, for the purposes of determining whether: \u2022 A forecast transaction is highly probable \u2022 Hedged future cash flows are expected to occur \u2022 A hedge is expected to be highly effective in achieving offsetting changes in fair value or cash flows attributable to the hedged risk \u2022 An accounting hedging relationship should be discontinued because of a failure of the retrospective effectiveness test the Group considers the interest rate benchmark, on which the hedged risk or the cash flows of the hedged item or hedging instrument are based is not altered by uncertainties resulting from interest rate benchmark reform. By 31 December 2022, the Group had transitioned its Sterling, Euro, Japanese Yen and Swiss Franc LIBOR hedge accounting models to risk-free rates. The Group plans to complete the transition of its USD LIBOR hedge accounting models ahead of the 30 June 2023 cessation date. The Group\u2019s most significant remaining IBOR hedge accounting relationship in relation to benchmark reform is USD LIBOR, of which: \u2022 The notional amount of the hedged items that the Group has designated into cash flow hedge relationships that is directly affected by the interest rate benchmark reform is \u00a31,771 million (2021: \u00a33,258 million). These are principally loans and advances to customers in Commercial Banking. \u2022 The interest rate benchmark reforms also affect assets and liabilities designated in fair value hedges. At 31 December 2022, these assets had a notional value of \u00a31,864 million and liabilities had a notional value of \u00a317,540 million. At 31 December 2021, such assets had a notional value of \u00a33,370 million and liabilities had a notional value of \u00a322,437 million. These fair value hedges principally relate to debt securities in issue. \u2022 At 31 December 2022, the notional amount of the hedging instruments in hedging relationships to which these amendments apply was \u00a319,755 million, of which \u00a317,926 million relates to fair value hedges and \u00a31,829 million relates to cash flow hedges. At 31 December 2021, the notional amount of the hedging instruments in hedging relationships to which these amendments applied was \u00a327,873 million, of which \u00a324,615 million related to fair value hedges and \u00a33,258 million related to cash flow hedges. Note 52: Financial risk management continued (B)  Foreign exchange risk The corporate and retail businesses incur foreign exchange risk in the course of providing services to their customers. All non-structural foreign exchange exposures in the non-trading book are managed centrally within allocated exposure limits. Trading book exposures in the authorised trading centres are allocated exposure limits. The limits are monitored daily by the local centres and reported to the market and liquidity risk function in London. Associated VaR and the closing, average, maximum and minimum are disclosed in the tables marked audited on page 190. The Group manages foreign currency accounting exposure via cash flow hedge accounting, utilising currency swaps and forward foreign exchange trades. Risk arises from the Group\u2019s investments in its overseas operations. The Group\u2019s structural foreign currency exposure is represented by the net asset value of the foreign currency equity and subordinated debt investments in its subsidiaries and branches. Gains or losses on structural foreign currency exposures are taken to reserves. The Group ceased all hedge accounting of the currency translation risk of the net investment in foreign operations in 2018. The Group\u2019s main overseas operations are in the Americas and Europe. Details of the Group\u2019s structural foreign currency exposures are as follows: 2022 2021 Foreign currency of Group operations Euro \u00a3m US Dollar \u00a3m Other non-Sterling \u00a3m Euro \u00a3m US Dollar \u00a3m Other non-Sterling \u00a3m Exposure 1,843 209 5 115 134 7 Credit risk The Group\u2019s credit risk exposure arises in respect of the instruments below and predominantly in the United Kingdom. Credit risk appetite is set at Board level and is described and reported through a suite of metrics devised from a combination of accounting and credit portfolio performance measures, which include the use of various credit risk rating systems as inputs and assess credit risk at a counterparty level using three components: (i) the probability of default by the counterparty on its contractual obligations; (ii) the current exposures to the counterparty and their likely future development, from which the Group derives the exposure at default; and (iii) the likely loss ratio on the defaulted obligations, the loss given default. The Group uses a range of approaches to mitigate credit risk, including internal control policies, obtaining collateral, using master netting agreements and other credit risk transfers, such as asset sales and credit derivatives based transactions. (A)  Maximum credit exposure The maximum credit risk exposure of the Group in the event of other parties failing to perform their obligations is detailed below. No account is taken of any collateral held and the maximum exposure to loss, which includes amounts held to cover unit-linked and With Profits Funds liabilities, is considered to be the balance sheet carrying amount or, for non-derivative off-balance sheet transactions and financial guarantees, their contractual nominal amounts. 2022 2021 Maximum exposure \u00a3m Offset 1 \u00a3m Net exposure \u00a3m Maximum exposure \u00a3m Offset1 \u00a3m Net exposure \u00a3m Financial assets at fair value through profit or loss 2,3: Loans and advances 24,872 \u2013 24,872 29,538 \u2013 29,538 Debt securities, treasury and other bills 38,109 \u2013 38,109 47,237 \u2013 47,237 Contracts held with reinsurers 10,906 \u2013 10,906 12,371 \u2013 12,371 73,887 \u2013 73,887 89,146 \u2013 89,146 Derivative financial instruments 24,753 (12,330) 12,423 22,051 (11,600) 10,451 Financial assets at amortised cost, net4 : Loans and advances to banks, net4 10,632 \u2013 10,632 7,001 \u2013 7,001 Loans and advances to customers, net4 454,899 (2,171) 452,728 448,567 (1,506) 447,061 Reverse repurchase agreements, net4 44,865 \u2013 44,865 54,753 \u2013 54,753 Debt securities, net 4 9,926 \u2013 9,926 6,835 \u2013 6,835 520,322 (2,171) 518,151 517,156 (1,506) 515,650 Financial assets at fair value through other comprehensive income2 22,871 \u2013 22,871 27,902 \u2013 27,902 Reinsurance assets 616 \u2013 616 759 \u2013 759 Off-balance sheet items: Acceptances and endorsements 58 \u2013 58 191 \u2013 191 Other items serving as direct credit substitutes 781 \u2013 781 510 \u2013 510 Performance bonds, including letters of credit, and other transaction-related contingencies 2,147 \u2013 2,147 2,043 \u2013 2,043 Irrevocable commitments and guarantees 74,692 \u2013 74,692 71,158 \u2013 71,158 77,678 \u2013 77,678 73,902 \u2013 73,902 720,127 (14,501) 705,626 730,916 (13,106) 717,810 1  Offset items comprise deposit amounts available for offset and amounts available for offset under master netting arrangements that do not meet the criteria under IAS 32 to enable loans and advances and derivative assets respectively to be presented net of these balances in the financial statements. 2  Excluding equity shares. 3  Includes assets within the Group\u2019s unit-linked funds for which credit risk is borne by the policyholders and assets within the Group\u2019s With-Profits Funds for which credit risk is largely borne by the policyholders. Consequently, the Group has no significant exposure to credit risk for such assets which back related contract liabilities. 4  Amounts shown net of related impairment allowances. Notes to the consolidated financial statements continued for the year ended 31 December Note 52: Financial risk management continued (B)  Concentrations of exposure The Group\u2019s management of concentration risk includes portfolio controls on certain industries, sectors and products to reflect risk appetite as well as individual, customer and bank limit risk tolerances. Credit policies and appetite statements are aligned to the Group\u2019s risk appetite and restrict exposure to higher risk countries and potentially vulnerable sectors and asset classes. Exposures are monitored to prevent both an excessive concentration of risk and single name concentrations. The Group\u2019s largest credit limits are regularly monitored by the Board Risk Committee and reported in accordance with regulatory requirements. As part of its credit risk policy, the Group considers sustainability risk (which incorporates Environmental (including climate), Social and Governance) in the assessment of Commercial Banking facilities. At 31 December 2022 the most significant concentrations of exposure were in mortgages (comprising 71 per cent of total loans and advances to customers) and to financial, business and other services (comprising 8 per cent of the total). 2022 \u00a3m 2021 \u00a3m Agriculture, forestry and fishing 7,447 7,729 Energy and water supply 2,552 1,978 Manufacturing 3,619 4,110 Construction 4,066 4,440 Transport, distribution and hotels 13,170 13,463 Postal and telecommunications 2,526 2,109 Property companies 21,499 23,923 Financial, business and other services 37,666 33,533 Personal: Mortgages 1 323,923 319,655 Other 26,154 24,604 Lease financing 766 982 Hire purchase 16,029 15,861 Total loans and advances to customers before allowance for impairment losses 459,417 452,387 Allowance for impairment losses (note 18) (4,518) (3,820) Total loans and advances to customers 454,899 448,567 1  Includes both UK and overseas mortgage balances. The Group\u2019s operations are predominantly UK-based and as a result an analysis of credit risk exposures by geographical region is not provided. (C)  Credit quality of assets Loans and advances The analysis of lending has been prepared based on the division in which the asset is held; with the business segment in which the exposure is recorded reflected in the ratings system applied. The internal credit ratings systems used by the Group differ between Retail and Commercial, reflecting the characteristics of these exposures and the way that they are managed internally; these credit ratings are set out below. All probabilities of default (PDs) include forward-looking information and are based on 12-month values, with the exception of credit-impaired. Retail Commercial Quality classification IFRS 9 PD range Quality classification IFRS 9 PD range RMS 1\u20133 0.00\u20130.80% CMS 1\u20135 0.000\u20130.100% RMS 4\u20136 0.81\u20134.50% CMS 6\u201310 0.101\u20130.500% RMS 7\u20139 4.51\u201314.00% CMS 11\u201314 0.501\u20133.000% RMS 10 14.01\u201320.00% CMS 15\u201318 3.001\u201320.000% RMS 11\u201313 20.01\u201399.99% CMS 19 20.001\u201399.999% RMS 14 100.00% CMS 20\u201323 100.000% Stage 3 assets include balances of \u00a3727 million (2021: \u00a3650 million) (with outstanding amounts due of \u00a31,360 million (2021: \u00a31,279 million)) which have been subject to a partial write-off and where the Group continues to enforce recovery action. Stage 2 and Stage 3 assets with a carrying amount of \u00a3126 million (2021: \u00a31,546 million) were modified during the year. No material gain or loss was recognised by the Group. As at 31 December 2022 assets that had been previously modified while classified as Stage 2 or Stage 3 and were classified as Stage 1 amounted to \u00a35,279 million (2021: \u00a36,658 million). Note 52: Financial risk management continued Drawn exposures Expected credit loss allowance Gross drawn exposures and expected credit loss allowance Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m At 31 December 2022 Loans and advances to banks CMS 1\u20135 1,223 \u2013 \u2013 \u2013 1,223 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 6\u201310 9,366 \u2013 \u2013 \u2013 9,366 11 \u2013 \u2013 \u2013 11 CMS 11\u201314 28 27 \u2013 \u2013 55 \u2013 2 \u2013 \u2013 2 CMS 15\u201318 3 \u2013 \u2013 \u2013 3 2 \u2013 \u2013 \u2013 2 CMS 19 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 20\u201323 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 10,620 27 \u2013 \u2013 10,647 13 2 \u2013 \u2013 15 Loans and advances to customers Retail \u2013 UK mortgages RMS 1\u20133 250,937 24,844 \u2013 \u2013 275,781 81 180 \u2013 \u2013 261 RMS 4\u20136 6,557 11,388 \u2013 \u2013 17,945 10 140 \u2013 \u2013 150 RMS 7\u20139 23 2,443 \u2013 \u2013 2,466 \u2013 72 \u2013 \u2013 72 RMS 10 \u2013 734 \u2013 \u2013 734 \u2013 24 \u2013 \u2013 24 RMS 11\u201313 \u2013 2,374 \u2013 \u2013 2,374 \u2013 136 \u2013 \u2013 136 RMS 14 \u2013 \u2013 3,416 9,622 13,038 \u2013 \u2013 311 253 564 257,517 41,783 3,416 9,622 312,338 91 552 311 253 1,207 Retail \u2013 credit cards RMS 1\u20133 3,587 5 \u2013 \u2013 3,592 7 \u2013 \u2013 \u2013 7 RMS 4\u20136 6,497 1,441 \u2013 \u2013 7,938 66 70 \u2013 \u2013 136 RMS 7\u20139 1,332 1,246 \u2013 \u2013 2,578 47 167 \u2013 \u2013 214 RMS 10 \u2013 227 \u2013 \u2013 227 \u2013 52 \u2013 \u2013 52 RMS 11\u201313 \u2013 368 \u2013 \u2013 368 \u2013 144 \u2013 \u2013 144 RMS 14 \u2013 \u2013 289 \u2013 289 \u2013 \u2013 113 \u2013 113 11,416 3,287 289 \u2013 14,992 120 433 113 \u2013 666 Retail \u2013 loans and overdrafts RMS 1\u20133 659 1 \u2013 \u2013 660 2 \u2013 \u2013 \u2013 2 RMS 4\u20136 5,902 451 \u2013 \u2013 6,353 90 24 \u2013 \u2013 114 RMS 7\u20139 1,724 657 \u2013 \u2013 2,381 69 83 \u2013 \u2013 152 RMS 10 53 199 \u2013 \u2013 252 5 45 \u2013 \u2013 50 RMS 11\u201313 19 405 \u2013 \u2013 424 3 163 \u2013 \u2013 166 RMS 14 \u2013 \u2013 247 \u2013 247 \u2013 \u2013 126 \u2013 126 8,357 1,713 247 \u2013 10,317 169 315 126 \u2013 610 Retail \u2013 UK Motor Finance RMS 1\u20133 8,969 743 \u2013 \u2013 9,712 66 9 \u2013 \u2013 75 RMS 4\u20136 2,778 930 \u2013 \u2013 3,708 25 20 \u2013 \u2013 45 RMS 7\u20139 425 325 \u2013 \u2013 750 2 13 \u2013 \u2013 15 RMS 10 \u2013 99 \u2013 \u2013 99 \u2013 8 \u2013 \u2013 8 RMS 11\u201313 2 148 \u2013 \u2013 150 \u2013 26 \u2013 \u2013 26 RMS 14 \u2013 \u2013 154 \u2013 154 \u2013 \u2013 81 \u2013 81 12,174 2,245 154 \u2013 14,573 93 76 81 \u2013 250 Retail \u2013 other RMS 1\u20133 12,588 328 \u2013 \u2013 12,916 9 4 \u2013 \u2013 13 RMS 4\u20136 1,311 213 \u2013 \u2013 1,524 4 11 \u2013 \u2013 15 RMS 7\u20139 \u2013 90 \u2013 \u2013 90 \u2013 3 \u2013 \u2013 3 RMS 10 \u2013 5 \u2013 \u2013 5 \u2013 \u2013 \u2013 \u2013 \u2013 RMS 11\u201313 91 7 \u2013 \u2013 98 \u2013 \u2013 \u2013 \u2013 \u2013 RMS 14 \u2013 \u2013 157 \u2013 157 \u2013 \u2013 52 \u2013 52 13,990 643 157 \u2013 14,790 13 18 52 \u2013 83 Total Retail 303,454 49,671 4,263 9,622 367,010 486 1,394 683 253 2,816 Notes to the consolidated financial statements continued for the year ended 31 December Note 52: Financial risk management continued Gross drawn exposures and expected credit loss allowance continued Drawn exposures Expected credit loss allowance Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m At 31 December 2022 Commercial Banking CMS 1\u20135 13,573 33 \u2013 \u2013 13,606 2 \u2013 \u2013 \u2013 2 CMS 6\u201310 32,070 512 \u2013 \u2013 32,582 37 3 \u2013 \u2013 40 CMS 11\u201314 31,591 5,627 \u2013 \u2013 37,218 128 93 \u2013 \u2013 221 CMS 15\u201318 3,275 4,508 \u2013 \u2013 7,783 47 244 \u2013 \u2013 291 CMS 19 \u2013 813 \u2013 \u2013 813 \u2013 74 \u2013 \u2013 74 CMS 20\u201323 \u2013 \u2013 3,371 \u2013 3,371 \u2013 \u2013 1,070 \u2013 1,070 80,509 11,493 3,371 \u2013 95,373 214 414 1,070 \u2013 1,698 Other 1 (2,972) \u2013 6 \u2013 (2,966) \u2013 \u2013 4 \u2013 4 Total loans and advances to customers 380,991 61,164 7,640 9,622 459,417 700 1,808 1,757 253 4,518 In respect of: Retail 303,454 49,671 4,263 9,622 367,010 486 1,394 683 253 2,816 Commercial Banking 80,509 11,493 3,371 \u2013 95,373 214 414 1,070 \u2013 1,698 Other1 (2,972) \u2013 6 \u2013 (2,966) \u2013 \u2013 4 \u2013 4 Total loans and advances to customers 380,991 61,164 7,640 9,622 459,417 700 1,808 1,757 253 4,518 1  Drawn exposures include centralised fair value hedge accounting adjustments. Reverse repurchase agreements Banks CMS 1\u20135 3,292 \u2013 \u2013 \u2013 3,292 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 6\u201310 494 \u2013 \u2013 \u2013 494 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 11\u201314 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 15\u201318 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 19 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 20\u201323 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 3,786 \u2013 \u2013 \u2013 3,786 \u2013 \u2013 \u2013 \u2013 \u2013 Customers CMS 1\u20135 9,094 \u2013 \u2013 \u2013 9,094 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 6\u201310 31,985 \u2013 \u2013 \u2013 31,985 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 11\u201314 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 15\u201318 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 19 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 20\u201323 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 41,079 \u2013 \u2013 \u2013 41,079 \u2013 \u2013 \u2013 \u2013 \u2013 Total reverse repurchase agreements 44,865 \u2013 \u2013 \u2013 44,865 \u2013 \u2013 \u2013 \u2013 \u2013 Note 52: Financial risk management continued Undrawn exposures Expected credit loss allowance Gross undrawn exposures and expected credit loss allowance Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m At 31 December 2022 Retail \u2013 UK mortgages RMS 1\u20133 16,003 159 \u2013 \u2013 16,162 \u2013 \u2013 \u2013 \u2013 \u2013 RMS 4\u20136 83 62 \u2013 \u2013 145 1 \u2013 \u2013 \u2013 1 RMS 7\u20139 \u2013 25 \u2013 \u2013 25 \u2013 \u2013 \u2013 \u2013 \u2013 RMS 10 \u2013 7 \u2013 \u2013 7 \u2013 \u2013 \u2013 \u2013 \u2013 RMS 11\u201313 \u2013 21 \u2013 \u2013 21 \u2013 1 \u2013 \u2013 1 RMS 14 \u2013 \u2013 17 67 84 \u2013 \u2013 \u2013 \u2013 \u2013 16,086 274 17 67 16,444 1 1 \u2013 \u2013 2 Retail \u2013 credit cards RMS 1\u20133 39,384 30 \u2013 \u2013 39,414 16 \u2013 \u2013 \u2013 16 RMS 4\u20136 14,355 2,975 \u2013 \u2013 17,330 32 28 \u2013 \u2013 60 RMS 7\u20139 580 422 \u2013 \u2013 1,002 5 8 \u2013 \u2013 13 RMS 10 \u2013 46 \u2013 \u2013 46 \u2013 2 \u2013 \u2013 2 RMS 11\u201313 \u2013 76 \u2013 \u2013 76 \u2013 6 \u2013 \u2013 6 RMS 14 \u2013 \u2013 45 \u2013 45 \u2013 \u2013 \u2013 \u2013 \u2013 54,319 3,549 45 \u2013 57,913 53 44 \u2013 \u2013 97 Retail \u2013 loans and overdrafts RMS 1\u20133 4,174 2 \u2013 \u2013 4,176 4 \u2013 \u2013 \u2013 4 RMS 4\u20136 1,618 386 \u2013 \u2013 2,004 6 12 \u2013 \u2013 18 RMS 7\u20139 253 159 \u2013 \u2013 412 6 18 \u2013 \u2013 24 RMS 10 6 36 \u2013 \u2013 42 \u2013 7 \u2013 \u2013 7 RMS 11\u201313 \u2013 61 \u2013 \u2013 61 \u2013 15 \u2013 \u2013 15 RMS 14 \u2013 \u2013 17 \u2013 17 \u2013 \u2013 \u2013 \u2013 \u2013 6,051 644 17 \u2013 6,712 16 52 \u2013 \u2013 68 Retail \u2013 UK Motor Finance RMS 1\u20133 318 \u2013 \u2013 \u2013 318 \u2013 \u2013 \u2013 \u2013 \u2013 RMS 4\u20136 1,259 \u2013 \u2013 \u2013 1,259 2 \u2013 \u2013 \u2013 2 RMS 7\u20139 347 1 \u2013 \u2013 348 \u2013 \u2013 \u2013 \u2013 \u2013 RMS 10 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 RMS 11\u201313 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 RMS 14 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 1,924 1 \u2013 \u2013 1,925 2 \u2013 \u2013 \u2013 2 Retail \u2013 other RMS 1\u20133 702 \u2013 \u2013 \u2013 702 \u2013 \u2013 \u2013 \u2013 \u2013 RMS 4\u20136 198 \u2013 \u2013 \u2013 198 3 \u2013 \u2013 \u2013 3 RMS 7\u20139 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 RMS 10 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 RMS 11\u201313 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 RMS 14 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 900 \u2013 \u2013 \u2013 900 3 \u2013 \u2013 \u2013 3 Total Retail 79,280 4,468 79 67 83,894 75 97 \u2013 \u2013 172 Notes to the consolidated financial statements continued for the year ended 31 December Note 52: Financial risk management continued Gross undrawn exposures and expected credit loss allowance continued Undrawn exposures Expected credit loss allowance Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m At 31 December 2022 Commercial Banking CMS 1\u20135 17,047 \u2013 \u2013 \u2013 17,047 2 \u2013 \u2013 \u2013 2 CMS 6\u201310 29,141 135 \u2013 \u2013 29,276 21 2 \u2013 \u2013 23 CMS 11\u201314 9,808 1,647 \u2013 \u2013 11,455 28 33 \u2013 \u2013 61 CMS 15\u201318 779 800 \u2013 \u2013 1,579 8 43 \u2013 \u2013 51 CMS 19 \u2013 85 \u2013 \u2013 85 \u2013 10 \u2013 \u2013 10 CMS 20\u201323 \u2013 \u2013 48 \u2013 48 \u2013 \u2013 4 \u2013 4 56,775 2,667 48 \u2013 59,490 59 88 4 \u2013 151 Other CMS 1\u20135 121 \u2013 \u2013 \u2013 121 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 6\u201310 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 11\u201314 279 \u2013 \u2013 \u2013 279 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 15\u201318 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 19 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 20\u201323 \u2013 \u2013 11 \u2013 11 \u2013 \u2013 \u2013 \u2013 \u2013 400 \u2013 11 \u2013 411 \u2013 \u2013 \u2013 \u2013 \u2013 Total 136,455 7,135 138 67 143,795 134 185 4 \u2013 323 In respect of: Retail 79,280 4,468 79 67 83,894 75 97 \u2013 \u2013 172 Commercial Banking 56,775 2,667 48 \u2013 59,490 59 88 4 \u2013 151 Other 400 \u2013 11 \u2013 411 \u2013 \u2013 \u2013 \u2013 \u2013 Total 136,455 7,135 138 67 143,795 134 185 4 \u2013 323 Note 52: Financial risk management continued Drawn exposures Expected credit loss allowance Gross drawn exposures and expected credit loss allowance Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m At 31 December 2021 Loans and advances to banks CMS 1\u20135 5,161 \u2013 \u2013 \u2013 5,161 1 \u2013 \u2013 \u2013 1 CMS 6\u201310 1,780 \u2013 \u2013 \u2013 1,780 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 11\u201314 61 \u2013 \u2013 \u2013 61 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 15\u201318 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 19 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 20\u201323 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 7,002 \u2013 \u2013 \u2013 7,002 1 \u2013 \u2013 \u2013 1 Loans and advances to customers Retail \u2013 UK mortgages RMS 1\u20133 270,649 9,785 \u2013 \u2013 280,434 48 146 \u2013 \u2013 194 RMS 4\u20136 2,971 8,288 \u2013 \u2013 11,259 \u2013 104 \u2013 \u2013 104 RMS 7\u20139 9 2,258 \u2013 \u2013 2,267 \u2013 64 \u2013 \u2013 64 RMS 10 \u2013 355 \u2013 \u2013 355 \u2013 15 \u2013 \u2013 15 RMS 11\u201313 \u2013 1,112 \u2013 \u2013 1,112 \u2013 65 \u2013 \u2013 65 RMS 14 \u2013 \u2013 1,940 10,977 12,917 \u2013 \u2013 184 210 394 273,629 21,798 1,940 10,977 308,344 48 394 184 210 836 Retail \u2013 credit cards1 RMS 1\u20133 5,076 15 \u2013 \u2013 5,091 9 \u2013 \u2013 \u2013 9 RMS 4\u20136 6,023 1,092 \u2013 \u2013 7,115 58 43 \u2013 \u2013 101 RMS 7\u20139 819 623 \u2013 \u2013 1,442 29 71 \u2013 \u2013 100 RMS 10 \u2013 112 \u2013 \u2013 112 \u2013 22 \u2013 \u2013 22 RMS 11\u201313 \u2013 235 \u2013 \u2013 235 \u2013 82 \u2013 \u2013 82 RMS 14 \u2013 \u2013 292 \u2013 292 \u2013 \u2013 128 \u2013 128 11,918 2,077 292 \u2013 14,287 96 218 128 \u2013 442 Retail \u2013 loans and overdrafts RMS 1\u20133 1,426 2 \u2013 \u2013 1,428 5 \u2013 \u2013 \u2013 5 RMS 4\u20136 5,794 499 \u2013 \u2013 6,293 79 23 \u2013 \u2013 102 RMS 7\u20139 938 286 \u2013 \u2013 1,224 39 33 \u2013 \u2013 72 RMS 10 18 74 \u2013 \u2013 92 2 14 \u2013 \u2013 16 RMS 11\u201313 5 244 \u2013 \u2013 249 1 83 \u2013 \u2013 84 RMS 14 \u2013 \u2013 271 \u2013 271 \u2013 \u2013 139 \u2013 139 8,181 1,105 271 \u2013 9,557 126 153 139 \u2013 418 Retail \u2013 UK Motor Finance RMS 1\u20133 8,758 465 \u2013 \u2013 9,223 79 6 \u2013 \u2013 85 RMS 4\u20136 2,904 844 \u2013 \u2013 3,748 22 19 \u2013 \u2013 41 RMS 7\u20139 583 298 \u2013 \u2013 881 5 15 \u2013 \u2013 20 RMS 10 \u2013 69 \u2013 \u2013 69 \u2013 7 \u2013 \u2013 7 RMS 11\u201313 2 152 \u2013 \u2013 154 \u2013 27 \u2013 \u2013 27 RMS 14 \u2013 \u2013 201 \u2013 201 \u2013 \u2013 116 \u2013 116 12,247 1,828 201 \u2013 14,276 106 74 116 \u2013 296 Retail \u2013 other1 RMS 1\u20133 9,715 228 \u2013 \u2013 9,943 3 4 \u2013 \u2013 7 RMS 4\u20136 1,386 265 \u2013 \u2013 1,651 11 8 \u2013 \u2013 19 RMS 7\u20139 \u2013 88 \u2013 \u2013 88 \u2013 3 \u2013 \u2013 3 RMS 10 \u2013 2 \u2013 \u2013 2 \u2013 \u2013 \u2013 \u2013 \u2013 RMS 11\u201313 97 10 \u2013 \u2013 107 \u2013 \u2013 \u2013 \u2013 \u2013 RMS 14 \u2013 \u2013 169 \u2013 169 \u2013 \u2013 52 \u2013 52 11,198 593 169 \u2013 11,960 14 15 52 \u2013 81 Total Retail 317,173 27,401 2,873 10,977 358,424 390 854 619 210 2,073 Notes to the consolidated financial statements continued for the year ended 31 December Note 52: Financial risk management continued Drawn exposures Expected credit loss allowance Gross drawn exposures and expected credit loss allowance continued Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m At 31 December 2021 Commercial Banking1 CMS 1\u20135 21,950 39 \u2013 \u2013 21,989 4 \u2013 \u2013 \u2013 4 CMS 6\u201310 26,073 310 \u2013 \u2013 26,383 23 \u2013 \u2013 \u2013 23 CMS 11\u201314 32,512 3,466 \u2013 \u2013 35,978 84 76 \u2013 \u2013 160 CMS 15\u201318 2,184 2,858 \u2013 \u2013 5,042 14 145 \u2013 \u2013 159 CMS 19 \u2013 857 \u2013 \u2013 857 \u2013 39 \u2013 \u2013 39 CMS 20\u201323 \u2013 \u2013 3,563 \u2013 3,563 \u2013 \u2013 956 \u2013 956 82,719 7,530 3,563 \u2013 93,812 125 260 956 \u2013 1,341 Other 2 144 \u2013 7 \u2013 151 400 \u2013 6 \u2013 406 Total loans and advances to customers 400,036 34,931 6,443 10,977 452,387 915 1,114 1,581 210 3,820 In respect of: Retail 317,173 27,401 2,873 10,977 358,424 390 854 619 210 2,073 Commercial Banking 82,719 7,530 3,563 \u2013 93,812 125 260 956 \u2013 1,341 Other2 144 \u2013 7 \u2013 151 400 \u2013 6 \u2013 406 Total loans and advances to customers 400,036 34,931 6,443 10,977 452,387 915 1,114 1,581 210 3,820 1  Reflects the new organisation structure, with Business Banking and Commercial Cards moving from Retail to Commercial Banking and Wealth moving from Insurance, Pensions and Investments (previously Insurance and Wealth) to Retail; comparatives have been presented on a consistent basis. 2  Drawn exposures include centralised fair value hedge accounting adjustments and expected credit loss allowance includes a central adjustment of \u00a3400 million that was applied in respect of uncertainty in the economic outlook. Reverse repurchase agreements Banks CMS 1\u20135 2,901 \u2013 \u2013 \u2013 2,901 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 6\u201310 631 \u2013 \u2013 \u2013 631 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 11\u201314 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 15\u201318 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 19 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 20\u201323 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 3,532 \u2013 \u2013 \u2013 3,532 \u2013 \u2013 \u2013 \u2013 \u2013 Customers CMS 1\u20135 13,364 \u2013 \u2013 \u2013 13,364 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 6\u201310 37,807 \u2013 \u2013 \u2013 37,807 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 11\u201314 50 \u2013 \u2013 \u2013 50 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 15\u201318 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 19 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 20\u201323 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 51,221 \u2013 \u2013 \u2013 51,221 \u2013 \u2013 \u2013 \u2013 \u2013 Total reverse repurchase agreements 54,753 \u2013 \u2013 \u2013 54,753 \u2013 \u2013 \u2013 \u2013 \u2013 Note 52: Financial risk management continued Undrawn exposures Expected credit loss allowance Gross undrawn exposures and expected credit loss allowance Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m At 31 December 2021 Retail \u2013 UK mortgages RMS 1\u20133 16,947 67 \u2013 \u2013 17,014 1 \u2013 \u2013 \u2013 1 RMS 4\u20136 24 25 \u2013 \u2013 49 \u2013 \u2013 \u2013 \u2013 \u2013 RMS 7\u20139 \u2013 3 \u2013 \u2013 3 \u2013 \u2013 \u2013 \u2013 \u2013 RMS 10 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 RMS 11\u201313 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 RMS 14 \u2013 \u2013 13 72 85 \u2013 \u2013 \u2013 \u2013 \u2013 16,971 95 13 72 17,151 1 \u2013 \u2013 \u2013 1 Retail \u2013 credit cards1 RMS 1\u20133 47,427 81 \u2013 \u2013 47,508 23 2 \u2013 \u2013 25 RMS 4\u20136 8,811 2,160 \u2013 \u2013 10,971 22 22 \u2013 \u2013 44 RMS 7\u20139 242 172 \u2013 \u2013 414 3 3 \u2013 \u2013 6 RMS 10 \u2013 31 \u2013 \u2013 31 \u2013 1 \u2013 \u2013 1 RMS 11\u201313 \u2013 58 \u2013 \u2013 58 \u2013 3 \u2013 \u2013 3 RMS 14 \u2013 \u2013 55 \u2013 55 \u2013 \u2013 \u2013 \u2013 \u2013 56,480 2,502 55 \u2013 59,037 48 31 \u2013 \u2013 79 Retail \u2013 loans and overdrafts RMS 1\u20133 5,123 3 \u2013 \u2013 5,126 4 \u2013 \u2013 \u2013 4 RMS 4\u20136 1,180 228 \u2013 \u2013 1,408 5 4 \u2013 \u2013 9 RMS 7\u20139 97 48 \u2013 \u2013 145 1 5 \u2013 \u2013 6 RMS 10 1 11 \u2013 \u2013 12 \u2013 2 \u2013 \u2013 2 RMS 11\u201313 \u2013 29 \u2013 \u2013 29 \u2013 6 \u2013 \u2013 6 RMS 14 \u2013 \u2013 18 \u2013 18 \u2013 \u2013 \u2013 \u2013 \u2013 6,401 319 18 \u2013 6,738 10 17 \u2013 \u2013 27 Retail \u2013 UK Motor Finance RMS 1\u20133 277 \u2013 \u2013 \u2013 277 \u2013 \u2013 \u2013 \u2013 \u2013 RMS 4\u20136 1,180 \u2013 \u2013 \u2013 1,180 2 \u2013 \u2013 \u2013 2 RMS 7\u20139 527 \u2013 \u2013 \u2013 527 \u2013 \u2013 \u2013 \u2013 \u2013 RMS 10 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 RMS 11\u201313 1 \u2013 \u2013 \u2013 1 \u2013 \u2013 \u2013 \u2013 \u2013 RMS 14 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 1,985 \u2013 \u2013 \u2013 1,985 2 \u2013 \u2013 \u2013 2 Retail \u2013 other1 RMS 1\u20133 598 \u2013 \u2013 \u2013 598 \u2013 \u2013 \u2013 \u2013 \u2013 RMS 4\u20136 298 \u2013 \u2013 \u2013 298 1 \u2013 \u2013 \u2013 1 RMS 7\u20139 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 RMS 10 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 RMS 11\u201313 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 RMS 14 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 896 \u2013 \u2013 \u2013 896 1 \u2013 \u2013 \u2013 1 Total Retail 82,733 2,916 86 72 85,807 62 48 \u2013 \u2013 110 Notes to the consolidated financial statements continued for the year ended 31 December Note 52: Financial risk management continued Gross undrawn exposures and expected credit loss allowance continued Undrawn exposures Expected credit loss allowance Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m At 31 December 2021 Commercial Banking1 CMS 1\u20135 26,935 1 \u2013 \u2013 26,936 2 \u2013 \u2013 \u2013 2 CMS 6\u201310 19,455 47 \u2013 \u2013 19,502 15 \u2013 \u2013 \u2013 15 CMS 11\u201314 7,926 1,212 \u2013 \u2013 9,138 24 18 \u2013 \u2013 42 CMS 15\u201318 453 347 \u2013 \u2013 800 6 17 \u2013 \u2013 23 CMS 19 \u2013 33 \u2013 \u2013 33 \u2013 3 \u2013 \u2013 3 CMS 20\u201323 \u2013 \u2013 67 \u2013 67 \u2013 \u2013 5 \u2013 5 54,769 1,640 67 \u2013 56,476 47 38 5 \u2013 90 Other CMS 1\u20135 102 \u2013 \u2013 \u2013 102 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 6\u201310 144 \u2013 \u2013 \u2013 144 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 11\u201314 193 \u2013 \u2013 \u2013 193 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 15\u201318 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 19 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 20\u201323 \u2013 \u2013 11 \u2013 11 \u2013 \u2013 \u2013 \u2013 \u2013 439 \u2013 11 \u2013 450 \u2013 \u2013 \u2013 \u2013 \u2013 Total 137,941 4,556 164 72 142,733 109 86 5 \u2013 200 In respect of: Retail 82,733 2,916 86 72 85,807 62 48 \u2013 \u2013 110 Commercial Banking 54,769 1,640 67 \u2013 56,476 47 38 5 \u2013 90 Other 439 \u2013 11 \u2013 450 \u2013 \u2013 \u2013 \u2013 \u2013 Total 137,941 4,556 164 72 142,733 109 86 5 \u2013 200 1  Reflects the new organisation structure, with Business Banking and Commercial Cards moving from Retail to Commercial Banking and Wealth moving from Insurance, Pensions and Investments (previously Insurance and Wealth) to Retail; comparatives have been presented on a consistent basis. Average PD grade The table below shows the average PD for the major portfolios used in the calculation of ECL and therefore Stage 2 average PD reflects the lifetime value. These reflect the forward-looking view under the Group\u2019s base case scenario prior to the application of MES and post-model adjustments which further impact ECL. 2022 2021 1 Stage 1 average PD % Stage 2 average PD % Stage 1 average PD % Stage 2 average PD % Retail UK mortgages 0.26 15.48 0.17 12.44 Credit cards 2.06 20.89 1.58 17.82 Loans and overdrafts 3.36 29.75 2.42 23.57 UK Motor Finance 0.71 11.24 0.81 12.00 Commercial Banking Loans and advances to customers 0.88 18.50 0.95 22.32 1  Reflects the new organisation structure, with Business Banking and Commercial Cards moving from Retail to Commercial Banking and Wealth moving from Insurance, Pensions and Investments (previously Insurance and Wealth) to Retail; comparatives have been presented on a consistent basis. Note 52: Financial risk management continued Cash and balances at central banks Significantly all of the Group\u2019s cash and balances at central banks of \u00a391,388 million (2021: \u00a376,420 million) are due from the Bank of England, the Federal Reserve Bank of New York or the Deutsche Bundesbank. Debt securities held at amortised cost An analysis by credit rating of the Group\u2019s debt securities held at amortised cost is provided below: 2022 2021 Investment grade1 \u00a3m Other2 \u00a3m Total \u00a3m Investment grade 1 \u00a3m Other 2 \u00a3m Total \u00a3m Government securities 268 \u2013 268 202 \u2013 202 Asset-backed securities: Mortgage-backed securities 3,712 \u2013 3,712 1,457 \u2013 1,457 Other asset-backed securities 1,946 2 1,948 1,590 18 1,608 5,658 2 5,660 3,047 18 3,065 Corporate and other debt securities 3,993 14 4,007 3,558 13 3,571 Gross exposure 9,919 16 9,935 6,807 31 6,838 Allowance for impairment losses (9) (3) Total debt securities held at amortised cost 9,926 6,835 1  Credit ratings equal to or better than \u2018BBB\u2019. 2  Other comprises sub-investment grade (2022: \u00a3nil; 2021: \u00a318 million) and not rated (2022: \u00a316 million; 2021: \u00a313 million). Financial assets at fair value through other comprehensive income (excluding equity shares) An analysis of the Group\u2019s financial assets at fair value through other comprehensive income is included in note 21. The credit quality of the Group\u2019s financial assets at fair value through other comprehensive income (excluding equity shares) is set out below: 2022 2021 Investment grade1 \u00a3m Other2 \u00a3m Total \u00a3m Investment grade 1 \u00a3m Other 2 \u00a3m Total \u00a3m Debt securities: Government securities 11,196 15 11,211 14,600 13 14,613 Asset-backed securities 95 51 146 15 55 70 Corporate and other debt securities 11,470 44 11,514 13,088 46 13,134 22,761 110 22,871 27,703 114 27,817 Treasury and other bills \u2013 \u2013 \u2013 85 \u2013 85 Total financial assets at fair value through other comprehensive income 22,761 110 22,871 27,788 114 27,902 1  Credit ratings equal to or better than \u2018BBB\u2019. 2  Other comprises sub-investment grade (2022: \u00a371 million; 2021: \u00a372 million) and not rated (2022: \u00a339 million; 2021: \u00a342 million). Notes to the consolidated financial statements continued for the year ended 31 December Note 52: Financial risk management continued Debt securities, treasury and other bills, and contracts held with reinsurers held at fair value through profit or loss An analysis of the Group\u2019s financial assets at fair value through profit or loss is included in note 16. Substantially all of the loans and  advances to customers and banks recognised at fair value through profit or loss have an investment grade rating. The credit quality of  the Group\u2019s debt securities, treasury and other bills, and contracts held with reinsurers held at fair value through profit or loss is set out  below: 2022 2021 Investment grade 1 \u00a3m Other 2 \u00a3m Total \u00a3m Investment grade 1 \u00a3m Other2 \u00a3m Total \u00a3m Trading assets: Debt securities: Government securities 2,185 \u2013 2,185 6,579 \u2013 6,579 Asset-backed securities: Mortgage-backed securities 7 \u2013 7 12 \u2013 12 Other asset-backed securities 14 \u2013 14 3 \u2013 3 21 \u2013 21 15 \u2013 15 Corporate and other debt securities 216 12 228 245 \u2013 245 Total trading assets 2,422 12 2,434 6,839 \u2013 6,839 Other financial assets mandatorily at fair value through profit or loss: Debt securities: Government securities 7,871 1 7,872 11,097 4 11,101 Other public sector securities 2,510 6 2,516 2,722 9 2,731 Bank and building society certificates of deposit 7,129 4 7,133 6,294 3 6,297 Asset-backed securities: Mortgage-backed securities 228 \u2013 228 421 \u2013 421 Other asset-backed securities 171 \u2013 171 272 \u2013 272 399 \u2013 399 693 \u2013 693 Corporate and other debt securities 14,932 2,761 17,693 16,692 2,865 19,557 32,841 2,772 35,613 37,498 2,881 40,379 Treasury and other bills 62 \u2013 62 19 \u2013 19 Contracts held with reinsurers 10,822 84 10,906 12,371 \u2013 12,371 Total other financial assets mandatorily at fair value through  profit or loss 43,725 2,856 46,581 49,888 2,881 52,769 Total held at fair value through profit or loss 46,147 2,868 49,015 56,727 2,881 59,608 1  Credit ratings equal to or better than \u2018BBB\u2019. 2  Other comprises sub-investment grade (2022: \u00a31,256 million; 2021: \u00a31,491 million) and not rated (2022: \u00a31,612 million; 2021: \u00a31,390 million). Credit risk in respect of trading and other financial assets at fair value through profit or loss held within the Group\u2019s unit-linked funds is  borne by the policyholders and credit risk in respect of with-profits funds is largely borne by the policyholders. Consequently, the Group  has no significant exposure to credit risk for such assets which back those contract liabilities. Derivative assets An analysis of derivative assets is given in note 17. The Group reduces exposure to credit risk by using master netting agreements and  by obtaining collateral in the form of cash or highly liquid securities. In respect of the Group\u2019s net credit risk relating to derivative assets  of \u00a312,423 million (2021: \u00a310,451 million), cash collateral of \u00a33,951 million (2021: \u00a35,658 million) was held and a further \u00a336 million was due  from OECD banks (2021: \u00a3253 million). 2022 2021 Investment grade 1 \u00a3m Other 2 \u00a3m Total \u00a3m Investment grade 1 \u00a3m Other2 \u00a3m Total \u00a3m Trading and other 23,326 1,352 24,678 20,193 1,772 21,965 Hedging 53 22 75 81 5 86 Total derivative financial instruments 23,379 1,374 24,753 20,274 1,777 22,051 1  Credit ratings equal to or better than \u2018BBB\u2019. 2  Other comprises sub-investment grade (2022: \u00a31,031 million; 2021: \u00a31,471 million) and not rated (2022: \u00a3343 million; 2021: \u00a3306 million). Note 52: Financial risk management continued Financial guarantees and irrevocable loan commitments Financial guarantees represent undertakings that the Group will meet a customer\u2019s obligation to third parties if the customer fails to do so. Commitments to extend credit represent unused portions of authorisations to extend credit in the form of loans, guarantees or letters of credit. The Group is theoretically exposed to loss in an amount equal to the total guarantees or unused commitments, however, the likely amount of loss is expected to be significantly less. Most commitments to extend credit are contingent upon customers maintaining specific credit standards. (D)  Collateral held as security for financial assets The principal types of collateral accepted by the Group include: residential and commercial properties; charges over business assets such as premises, inventory and accounts receivable; financial instruments, cash and guarantees from third-parties. The terms and conditions associated with the use of the collateral are varied and are dependent on the type of agreement and the counterparty. The Group holds collateral against loans and advances and irrevocable loan commitments; qualitative and, where appropriate, quantitative information is provided in respect of this collateral below. Collateral held as security for financial assets at fair value through profit or loss and for derivative assets is also shown below. The Group holds collateral in respect of loans and advances to banks and customers as set out below. The Group does not hold collateral against debt securities, comprising asset-backed securities and corporate and other debt securities, which are classified as financial assets held at amortised cost. Loans and advances to banks There were reverse repurchase agreements which are accounted for as collateralised loans within loans and advances to banks with a carrying value of \u00a33,786 million (2021: \u00a33,532 million), against which the Group held collateral with a fair value of \u00a3247 million (2021: \u00a3620 million). These transactions were generally conducted under terms that are usual and customary for standard secured lending activities. Loans and advances to customers Retail lending Mortgages An analysis by loan to value ratio of the Group\u2019s residential mortgage lending is provided below. The value of collateral used in determining the loan to value ratios has been estimated based upon the last actual valuation, adjusted to take into account subsequent movements in house prices, after making allowances for indexation error and dilapidations. The market takes into account many factors, including environmental considerations such as flood risk and energy efficient additions, in arriving at the value of a home. In some circumstances, where the discounted value of the estimated net proceeds from the liquidation of collateral (i.e. net of costs, expected haircuts and anticipated changes in the value of the collateral to the point of sale) is greater than the estimated exposure at default, no credit losses are expected and no ECL allowance is recognised. Drawn balances Expected credit loss allowance Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total gross \u00a3m Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total gross \u00a3m At 31 December 2022 Less than 70 per cent 210,457 33,205 3,161 8,845 255,668 51 330 210 117 708 70 per cent to 80 per cent 31,788 5,264 170 359 37,581 25 124 55 42 246 80 per cent to 90 per cent 11,942 2,604 48 149 14,743 12 59 20 19 110 90 per cent to 100 per cent 3,319 606 13 113 4,051 3 18 7 18 46 Greater than 100 per cent 11 104 24 156 295 \u2013 21 19 57 97 Total 257,517 41,783 3,416 9,622 312,338 91 552 311 253 1,207 At 31 December 2021 Less than 70 per cent 217,830 19,766 1,717 9,872 249,185 31 247 98 110 486 70 per cent to 80 per cent 42,808 1,632 134 572 45,146 11 80 38 26 155 80 per cent to 90 per cent 12,087 253 52 184 12,576 5 28 23 16 72 90 per cent to 100 per cent 779 46 14 135 974 \u2013 10 7 16 33 Greater than 100 per cent 125 101 23 214 463 1 29 18 42 90 Total 273,629 21,798 1,940 10,977 308,344 48 394 184 210 836 Notes to the consolidated financial statements continued for the year ended 31 December Note 52: Financial risk management continued The energy performance certificate (EPC) profile of the security associated with the Group\u2019s UK mortgage portfolio is shown below: 2022 2021 EPC profile \u00a3m % \u00a3m % A 731 0.2 563 0.2 B 37,075 11.9 34,070 11.0 C 60,086 19.2 54,636 17.7 D 93,010 29.8 88,752 28.8 E 35,015 11.2 35,086 11.4 F 6,990 2.2 7,258 2.4 G 1,519 0.5 1,546 0.5 Unrated properties 77,912 25.0 86,433 28.0 Total 312,338 100.0 308,344 100.0 The above data is sourced using the latest available government EPC information as at the relevant balance sheet date. The Group has no EPC data available for 25.0 per cent (2021: 28.0 per cent) of the UK mortgage portfolio, these are classified as unrated properties. EPC ratings are not considered to be a material credit risk factor,and do not form part of the Group\u2019s credit risk calculations. Other The majority of non-mortgage retail lending is unsecured. At 31 December 2022, Stage 3 non-mortgage lending amounted to \u00a3475 million, net of an impairment allowance of \u00a3372 million (2021: \u00a3498 million, net of an impairment allowance of \u00a3435 million). Stage 1 and Stage 2 non-mortgage retail lending amounted to \u00a353,825 million (2021: \u00a349,147 million). Lending decisions are predominantly based on an obligor\u2019s ability to repay rather than reliance on the disposal of any security provided. Where the lending is secured, collateral values are rigorously assessed at the time of loan origination and are thereafter monitored in accordance with business unit credit policy. The Group\u2019s credit risk disclosures for unimpaired non-mortgage retail lending show assets gross of collateral and therefore disclose the maximum loss exposure. The Group believes that this approach is appropriate. Commercial lending Reverse repurchase transactions At 31 December 2022 there were reverse repurchase agreements which were accounted for as collateralised loans with a carrying value of \u00a341,079 million (2021: \u00a351,221 million), against which the Group held collateral with a fair value of \u00a333,468 million (2021: \u00a352,690 million), all of which the Group was able to repledge. These transactions were generally conducted under terms that are usual and customary for standard secured lending activities. Stage 3 secured lending The value of collateral is re-evaluated and its legal soundness re-assessed if there is observable evidence of distress of the borrower; this evaluation is used to determine potential loss allowances and management\u2019s strategy to try to either repair the business or recover the debt. At 31 December 2022, Stage 3 secured commercial lending amounted to \u00a3410 million, net of an impairment allowance of \u00a3160 million (2021: \u00a3636 million, net of an impairment allowance of \u00a3198 million). The fair value of the collateral held in respect of impaired secured commercial lending was \u00a3484 million (2021: \u00a3693 million). In determining the fair value of collateral, no specific amounts have been attributed to the costs of realisation. For the purposes of determining the total collateral held by the Group in respect of impaired secured commercial lending, the value of collateral for each loan has been limited to the principal amount of the outstanding advance in order to eliminate the effects of any over-collateralisation and to provide a clearer representation of the Group\u2019s exposure. Stage 3 secured commercial lending and associated collateral relates to lending to property companies and to customers in the financial, business and other services; transport, distribution and hotels; and construction industries. Stage 1 and Stage 2 secured lending For Stage 1 and Stage 2 secured commercial lending, the Group reports assets gross of collateral and therefore discloses the maximum loss exposure. The Group believes that this approach is appropriate as collateral values at origination and during a period of good performance may not be representative of the value of collateral if the obligor enters a distressed state. Stage 1 and Stage 2 secured commercial lending is predominantly managed on a cash flow basis. On occasion, it may include an assessment of underlying collateral, although, for Stage 3 lending, this will not always involve assessing it on a fair value basis. No aggregated collateral information for the entire unimpaired secured commercial lending portfolio is provided to key management personnel. Note 52: Financial risk management continued Financial assets at fair value through profit or loss (excluding equity shares) Included in financial assets at fair value through profit or loss are reverse repurchase agreements treated as collateralised loans with a carrying value of \u00a311,781 million (2021: \u00a314,921 million). Collateral is held with a fair value of \u00a39,598 million (2021: \u00a315,640 million), all of which the Group is able to repledge. At 31 December 2022, \u00a35,232 million had been repledged (2021: \u00a37,251 million). In addition, securities held as collateral in the form of stock borrowed amounted to \u00a326,368 million (2021: \u00a314,100 million). Of this amount, \u00a314,375 million (2021: \u00a36,538 million) had been resold or repledged as collateral for the Group\u2019s own transactions. These transactions were generally conducted under terms that are usual and customary for standard secured lending activities. Derivative assets, after offsetting of amounts under master netting arrangements The Group reduces exposure to credit risk by using master netting agreements and by obtaining collateral in the form of cash or highly liquid securities. In respect of the net derivative assets after offsetting of amounts under master netting arrangements of \u00a312,423 million (2021: \u00a310,451 million), cash collateral of \u00a33,951 million (2021: \u00a35,658 million) was held. Irrevocable loan commitments and other credit-related contingencies At 31 December 2022, the Group held irrevocable loan commitments and other credit-related contingencies of \u00a377,678 million (2021: \u00a373,902 million). Collateral is held as security, in the event that lending is drawn down, on \u00a316,442 million (2021: \u00a317,149 million) of these balances. Collateral repossessed During the year, \u00a3219 million of collateral was repossessed (2021: \u00a386 million), consisting primarily of residential property. In respect of retail portfolios, the Group does not take physical possession of properties or other assets held as collateral and uses external agents to realise the value as soon as practicable, generally at auction, to settle indebtedness. Any surplus funds are returned to the borrower or are otherwise dealt with in accordance with appropriate insolvency regulations. In certain circumstances the Group takes physical possession of assets held as collateral against commercial lending. In such cases, the assets are carried on the Group\u2019s balance sheet and are classified according to the Group\u2019s accounting policies. (E)  Collateral pledged as security The Group pledges assets primarily for repurchase agreements and securities lending transactions which are generally conducted under terms that are usual and customary for standard securitised borrowing contracts. Repurchase transactions Amortised cost There are balances arising from repurchase transactions with banks of \u00a333,009 million (2021: \u00a330,085 million), which include amounts due under the Bank of England\u2019s Term Funding Scheme with additional incentives for SMEs (TFSME); the fair value of the collateral provided under these agreements at 31 December 2022 was \u00a340,366 million (2021: \u00a339,918 million). There are balances arising from repurchase transactions with customers of \u00a315,587 million (2021: \u00a31,040 million); the fair value of the collateral provided under these agreements at 31 December 2022 was \u00a313,461 million (2021: \u00a3903 million). Financial liabilities at fair value through profit or loss The fair value of collateral pledged in respect of repurchase transactions, accounted for as secured borrowing, where the secured party is permitted by contract or custom to repledge was \u00a310,427 million (2021: \u00a314,350 million). Securities lending transactions The following on-balance sheet financial assets have been lent to counterparties under securities lending transactions: 2022 \u00a3m 2021 \u00a3m Financial assets at fair value through profit or loss 1,463 2,348 Financial assets at fair value through other comprehensive income 5,429 1,918 Total 6,892 4,266 Securitisations and covered bonds In addition to the assets detailed above, the Group also holds assets that are encumbered through the Group\u2019s asset-backed conduits and its securitisation and covered bond programmes. Further details of these assets are provided in note 30. Notes to the consolidated financial statements continued for the year ended 31 December Note 52: Financial risk management continued Liquidity risk Liquidity risk is defined as the risk that the Group has insufficient financial resources to meet its commitments as they fall due, or can only secure them at excessive cost. Liquidity risk is managed through a series of measures, tests and reports that are primarily based on contractual maturity. The Group carries out monthly stress testing of its liquidity position against a range of scenarios, including those prescribed by the PRA. The Group\u2019s liquidity risk appetite is also calibrated against a number of stressed liquidity metrics. The table below analyses assets and liabilities of the Group, other than liabilities arising from insurance and investment contracts, into relevant maturity groupings based on the remaining contractual period at the balance sheet date; balances with no fixed maturity are included in the over 5 years category. Liabilities arising from insurance and investment contracts are analysed on a behavioural basis. Certain balances, included in the table below on the basis of their residual maturity, are repayable on demand upon payment of a penalty. (A)  Maturities of assets and liabilities Up to 1 month \u00a3m 1\u20133 months \u00a3m 3\u20136 months \u00a3m 6\u20139 months \u00a3m 9\u201312 months \u00a3m 1\u20132 years \u00a3m 2\u20135 years \u00a3m Over 5 years \u00a3m Total \u00a3m At 31 December 2022 Assets Cash and balances at central banks 91,388 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 91,388 Financial assets at fair value through profit or loss 12,019 8,108 3,269 2,186 858 2,827 7,565 143,777 180,609 Derivative financial instruments 2,896 1,823 1,069 656 637 1,424 2,828 13,420 24,753 Loans and advances to banks 4,756 763 896 700 352 78 3,084 3 10,632 Loans and advances to customers 17,535 7,628 10,337 8,849 9,952 33,886 78,857 287,855 454,899 Reverse repurchase agreements 14,530 10,908 11,600 4,035 285 2,924 583 \u2013 44,865 Debt securities 7 219 73 275 77 874 6,475 1,926 9,926 Financial assets at amortised cost 36,828 19,518 22,906 13,859 10,666 37,762 88,999 289,784 520,322 Financial assets at fair value through other comprehensive income 310 273 391 456 665 2,324 9,334 9,401 23,154 Other assets 1,683 1,071 189 700 211 357 922 32,470 37,603 Total assets 145,124 30,793 27,824 17,857 13,037 44,694 109,648 488,852 877,829 Liabilities Deposits from banks 3,988 364 141 139 408 4 2,222 \u2013 7,266 Customer deposits 446,311 8,074 5,628 2,953 4,695 3,887 3,402 381 475,331 Repurchase agreements at amortised cost 12,203 6,183 \u2013 \u2013 \u2013 \u2013 30,210 48,596 Financial liabilities at fair value through profit or loss 5,245 2,363 1,526 1,431 665 615 1,476 4,434 17,755 Derivative financial instruments 3,197 1,647 942 739 779 2,030 3,850 10,858 24,042 Debt securities in issue 5,562 9,761 8,646 3,940 2,114 10,124 23,964 9,708 73,819 Liabilities arising from insurance and investment contracts 1,288 1,828 2,598 2,434 2,324 9,172 27,618 102,606 149,868 Other liabilities 6,137 1,246 393 1,486 521 523 753 11,842 22,901 Subordinated liabilities \u2013 \u2013 541 662 \u2013 915 3,770 4,842 10,730 Total liabilities 483,931 31,466 20,415 13,784 11,506 27,270 97,265 144,671 830,308 Note 52: Financial risk management continued Up to 1 month \u00a3m 1\u20133 months \u00a3m 3\u20136 months \u00a3m 6\u20139 months \u00a3m 9\u201312 months \u00a3m 1\u20132 years \u00a3m 2\u20135 years \u00a3m Over 5 years \u00a3m Total \u00a3m At 31 December 2021 Assets Cash and balances at central banks 76,420 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 76,420 Financial assets at fair value through profit or loss 10,706 8,280 6,093 2,840 878 1,784 7,553 168,637 206,771 Derivative financial instruments 1,607 804 633 304 309 947 1,997 15,450 22,051 Loans and advances to banks 4,350 332 327 11 32 29 1,918 2 7,001 Loans and advances to customers 15,279 8,624 9,792 10,949 11,107 32,096 77,714 283,006 448,567 Reverse repurchase agreements 13,678 15,111 16,651 5,107 2,526 762 918 \u2013 54,753 Debt securities 19 1,217 19 71 305 220 2,735 2,249 6,835 Financial assets at amortised cost 33,326 25,284 26,789 16,138 13,970 33,107 83,285 285,257 517,156 Financial assets at fair value through other comprehensive income 341 598 122 322 1,552 3,029 8,861 13,312 28,137 Other assets 1,509 1,200 185 528 147 515 948 30,958 35,990 Total assets 123,909 36,166 33,822 20,132 16,856 39,382 102,644 513,614 886,525 Liabilities Deposits from banks 2,313 376 353 177 223 353 3,774 78 7,647 Customer deposits 456,077 6,177 3,165 2,053 1,296 4,883 2,327 366 476,344 Repurchase agreements at amortised cost 1,011 92 10 3 \u2013 \u2013 30,009 \u2013 31,125 Financial liabilities at fair value through profit or loss 5,711 4,921 2,439 1,969 224 212 1,748 5,899 23,123 Derivative financial instruments 1,674 826 470 341 352 1,105 1,962 11,330 18,060 Debt securities in issue 4,020 5,555 5,476 6,320 4,129 10,152 22,496 13,404 71,552 Liabilities arising from insurance and investment contracts 1,532 2,076 2,921 2,894 3,312 10,606 30,663 114,459 168,463 Other liabilities 3,721 2,876 631 1,024 778 567 743 13,611 23,951 Subordinated liabilities 21 \u2013 96 \u2013 \u2013 1,307 6,464 5,220 13,108 Total liabilities 476,080 22,899 15,561 14,781 10,314 29,185 100,186 164,367 833,373 The above tables are provided on a contractual basis. The Group\u2019s assets and liabilities may be repaid or otherwise mature earlier or later than implied by their contractual terms and readers are, therefore, advised to use caution when using this data to evaluate the Group\u2019s liquidity position. In particular, amounts in respect of customer deposits are usually contractually payable on demand or at short notice. However, in practice, these deposits are not usually withdrawn on their contractual maturity. The table below analyses financial instrument liabilities of the Group, excluding those arising from insurance and participating investment contracts, on an undiscounted future cash flow basis according to contractual maturity, into relevant maturity groupings based on the remaining period at the balance sheet date; balances with no fixed maturity are included in the over 5 years category. Up to 1 month \u00a3m 1\u20133 months \u00a3m 3\u201312 months \u00a3m 1\u20135 years \u00a3m Over 5 years \u00a3m Total \u00a3m At 31 December 2022 Deposits from banks 3,925 369 714 2,227 135 7,370 Customer deposits 449,801 6,717 11,635 7,417 382 475,952 Repurchase agreements at amortised cost 12,501 6,188 904 33,054 38 52,685 Financial liabilities at fair value through profit or loss 5,297 2,397 3,725 2,293 4,747 18,459 Debt securities in issue 6,108 12,625 15,517 39,527 11,623 85,400 Liabilities arising from non-participating investment contracts 42,975 \u2013 \u2013 \u2013 \u2013 42,975 Lease liabilities 13 54 166 582 700 1,515 Subordinated liabilities 27 113 1,648 6,741 12,384 20,913 Total non-derivative financial liabilities 520,647 28,463 34,309 91,841 30,009 705,269 Derivative financial liabilities Gross settled derivatives \u2013 outflows 55,671 43,380 40,826 34,808 20,677 195,362 Gross settled derivatives \u2013 inflows (52,383) (41,255) (39,132) (34,015) (20,130) (186,915) Gross settled derivatives \u2013 net flows 3,288 2,125 1,694 793 547 8,447 Net settled derivative liabilities 13,078 82 130 752 1,501 15,543 Total derivative financial liabilities 16,366 2,207 1,824 1,545 2,048 23,990 Notes to the consolidated financial statements continued for the year ended 31 December Note 52: Financial risk management continued Up to 1 month \u00a3m 1\u20133 months \u00a3m 3\u201312 months \u00a3m 1\u20135 years \u00a3m Over 5 years \u00a3m Total \u00a3m At 31 December 2021 Deposits from banks 2,318 358 789 4,213 233 7,911 Customer deposits 456,306 6,161 6,540 7,255 676 476,938 Repurchase agreements at amortised cost 1,419 492 243 30,987 7 33,148 Financial liabilities at fair value through profit or loss 6,371 5,037 4,071 2,130 5,826 23,435 Debt securities in issue 5,804 5,722 16,728 34,562 10,606 73,422 Liabilities arising from non-participating investment contracts 45,040 \u2013 \u2013 \u2013 \u2013 45,040 Lease liabilities 2 64 167 605 927 1,765 Subordinated liabilities 54 78 677 9,558 9,114 19,481 Total non-derivative financial liabilities 517,314 17,912 29,215 89,310 27,389 681,140 Derivative financial liabilities Gross settled derivatives \u2013 outflows 39,184 30,271 32,267 39,429 21,709 162,860 Gross settled derivatives \u2013 inflows (38,231) (29,283) (31,453) (38,137) (19,834) (156,938) Gross settled derivatives \u2013 net flows 953 988 814 1,292 1,875 5,922 Net settled derivative liabilities 12,099 60 52 429 1,350 13,990 Total derivative financial liabilities 13,052 1,048 866 1,721 3,225 19,912 The majority of the Group\u2019s non-participating investment contract liabilities are unit-linked. These unit-linked products are invested in accordance with unit fund mandates. Clauses are included in policyholder contracts to permit the deferral of sales, where necessary, so that linked assets can be realised without being a forced seller. The principal amount for undated subordinated liabilities with no redemption option is included within the over 5 years column; interest of \u00a317 million (2021: \u00a320 million) per annum which is payable in respect of those instruments for as long as they remain in issue is not included beyond 5 years. An analysis of the Group\u2019s total wholesale funding by residual maturity and by currency is set out on page 182. Liabilities arising from insurance and participating investment contracts are analysed on a behavioural basis, as permitted by IFRS 4, as follows: Up to 1 month \u00a3m 1\u20133 months \u00a3m 3\u201312 months \u00a3m 1\u20135 years \u00a3m Over 5 years \u00a3m Total \u00a3m At 31 December 2022 826 1,288 4,967 22,967 76,845 106,893 At 31 December 2021 1,101 1,603 6,108 26,928 87,683 123,423 For insurance contracts which are neither unit-linked nor in the Group\u2019s with-profit funds, in particular annuity liabilities, the aim is to invest in assets such that the cash flows on investments match those on the projected future liabilities. The following tables set out the amounts and residual maturities of the Group\u2019s off-balance sheet contingent liabilities, commitments and guarantees. Up to 1 month \u00a3m 1\u20133 months \u00a3m 3\u20136 months \u00a3m 6\u20139 months \u00a3m 9\u201312 months \u00a3m 1\u20133 years \u00a3m 3\u20135 years \u00a3m Over 5 years \u00a3m Total \u00a3m At 31 December 2022 Acceptances and endorsements 47 11 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 58 Other contingent liabilities 355 744 263 240 144 554 181 447 2,928 Total contingent liabilities 402 755 263 240 144 554 181 447 2,986 Lending commitments and guarantees 68,984 2,419 17,641 1,586 6,439 12,787 14,329 19,571 143,756 Other commitments \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 10 29 39 Total commitments and guarantees 68,984 2,419 17,641 1,586 6,439 12,787 14,339 19,600 143,795 Total contingents, commitments and guarantees 69,386 3,174 17,904 1,826 6,583 13,341 14,520 20,047 146,781 At 31 December 2021 Acceptances and endorsements 11 180 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 191 Other contingent liabilities 219 658 328 184 154 295 258 457 2,553 Total contingent liabilities 230 838 328 184 154 295 258 457 2,744 Lending commitments and guarantees 70,437 4,269 20,021 3,662 7,872 20,060 11,595 4,756 142,672 Other commitments \u2013 \u2013 \u2013 \u2013 \u2013 17 \u2013 44 61 Total commitments and guarantees 70,437 4,269 20,021 3,662 7,872 20,077 11,595 4,800 142,733 Total contingents, commitments and guarantees 70,667 5,107 20,349 3,846 8,026 20,372 11,853 5,257 145,477 Note 52: Financial risk management continued Capital risk Capital is actively managed on an ongoing basis for both the Group and its regulated banking subsidiaries, with associated capital policies and procedures subjected to regular review. The Group assesses both its regulatory capital requirements and the quantity and quality of capital resources it holds to meet those requirements through applying the capital directives and regulations implemented in the UK by the Prudential Regulation Authority (PRA) and supplemented through additional regulation under the PRA Rulebook and associated statements of policy, supervisory statements and other regulatory guidance. Regulatory capital ratios are considered a key part of the budgeting and planning processes and forecast ratios are reviewed by the Group Asset and Liability Committee. Target capital levels take account of current and future regulatory requirements, capacity for growth and to cover uncertainties. Details of the Group\u2019s capital resources are provided in the table marked audited on page 151. Each insurance company within the Group is regulated by the PRA. The insurance businesses are required to calculate solvency capital requirements and available capital in accordance with Solvency II. The Insurance business of the Group calculates regulatory capital on the basis of an internal model, which was approved by the PRA on 5 December 2015, with the latest major change to the model approved in November 2020. The capital position of the Group\u2019s insurance businesses is reviewed on a regular basis by the Insurance, Pensions and Investments Executive Committee. Insurance risk Insurance underwriting risk is the risk of adverse developments in the timing, frequency and severity of claims for insured/underwritten events and in customer behaviour, leading to reductions in earnings and/or value and arises within the Group\u2019s Insurance business. Insurance underwriting risk is measured using a variety of techniques including stress, reverse stress and scenario testing, as well as stochastic modelling. Current and potential future insurance underwriting risk exposures are assessed and aggregated on a range of stresses including risk measures based on 1-in-200 year stresses for the Insurance business\u2019s regulatory capital assessments and other supporting measures where appropriate. The Group also mitigates insurance underwriting risk via the use of reinsurance arrangements. Note 53: Cash flow statement (A)  Change in operating assets 2022 \u00a3m 2021 1 \u00a3m 2020 1 \u00a3m Change in financial assets held at amortised cost (1,639) (2,379) (6,652) Change in financial assets at fair value through profit or loss 26,179 (15,565) (8,147) Change in derivative financial instruments (7,704) 6,132 (2,894) Change in other operating assets 201 1,447 25 Change in operating assets 17,037 (10,365) (17,668) 1  Restated, see page 218. (B)  Change in operating liabilities 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m Change in deposits from banks and repurchase agreements 2,536 6,266 3,287 Change in customer deposits and repurchase agreements 13,340 17,295 38,805 Change in financial liabilities at fair value through profit or loss (4,849) 391 1,085 Change in derivative financial instruments 5,982 (9,258) 1,534 Change in debt securities in issue 1,651 (15,896) (10,142) Change in investment contract liabilities (2,065) 6,588 993 Change in other operating liabilities1 (1,002) (432) 175 Change in operating liabilities 15,593 4,954 35,737 1  Includes a decrease of \u00a3158 million (2021: decrease of \u00a3197 million; 2020: decrease of \u00a3172 million) in respect of lease liabilities. Notes to the consolidated financial statements continued for the year ended 31 December Note 53: Cash flow statement continued (C)  Non-cash and other items 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m Depreciation and amortisation 2,396 2,825 2,732 Revaluation of investment properties 511 (575) 209 Allowance for loan losses 1,372 (1,121) 3,856 Write-off of allowance for loan losses, net of recoveries (759) (935) (1,377) Impairment charge (credit) relating to undrawn balances 122 (257) 289 Impairment of financial assets at fair value through other comprehensive income 6 (2) 5 Change in insurance contract liabilities (16,590) 7,328 4,554 Regulatory and legal provisions 255 1,300 464 Other provision movements (80) (66) 85 Net charge in respect of defined benefit schemes 125 236 247 Foreign exchange impact on balance sheet1 (291) 140 865 Interest expense on subordinated liabilities 697 1,320 1,080 Net gain on sale of financial assets at fair value through other comprehensive income (92) 2 (149) Hedging valuation adjustments on subordinated debt (1,871) (781) 280 Value of employee services 224 182 122 Transactions in own shares (20) (13) 293 Accretion of discounts and amortisation of premiums and issue costs 462 (306) (82) Share of post-tax results of associates and joint ventures (10) (2) 13 Transfers to income statement from reserves 43 (621) (496) Profit on disposal of tangible fixed assets (121) (268) (81) Other non-cash items (38) (159) (38) Total non-cash items (13,659) 8,227 12,871 Contributions to defined benefit schemes (2,533) (1,347) (1,153) Payments in respect of regulatory and legal provisions (625) (817) (2,241) Other 13 \u2013 117 Total other items (3,145) (2,164) (3,277) Non-cash and other items (16,804) 6,063 9,594 1  When considering the movement on each line of the balance sheet, the impact of foreign exchange rate movements is removed in order to show the underlying cash impact. (D)  Acquisition of Group undertakings and businesses 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m Net assets acquired: Intangible assets 68 \u2013 \u2013 Other assets 131 3 \u2013 Other liabilities (146) \u2013 \u2013 Goodwill arising on acquisition 335 \u2013 \u2013 Cash consideration 388 3 \u2013 Less cash and cash equivalents acquired (74) \u2013 \u2013 Net cash outflow arising from acquisition of subsidiaries and businesses 314 3 \u2013 Acquisition of and additional investment in joint ventures 95 54 3 Net cash outflow from acquisitions in the year 409 57 3 Note 53: Cash flow statement continued (E)  Analysis of cash and cash equivalents as shown in the balance sheet 2022 \u00a3m 2021 1 \u00a3m 2020 1 \u00a3m Cash and balances at central banks 91,388 76,420 73,257 Less mandatory reserve deposits 2 (2,111) (2,178) (1,875) 89,277 74,242 71,382 Loans and advances to banks and reverse repurchase agreements 14,418 10,533 10,746 Less amounts with a maturity of three months or more (7,866) (5,581) (3,983) 6,552 4,952 6,763 Total cash and cash equivalents 95,829 79,194 78,145 1  Restated, see page 218. 2  Mandatory reserve deposits are held with local central banks in accordance with statutory requirements. Where these deposits are not held in demand accounts and are not available to finance the Group\u2019s day-to-day operations they are excluded from cash and cash equivalents. Included within cash and cash equivalents at 31 December 2022 is \u00a337 million (2021: \u00a376 million; 2020: \u00a384 million) of restricted cash and cash equivalents is held within the Group\u2019s long-term insurance and investments operations, which is not immediately available for use in the business. Note 54: Events since the balance sheet date Acquisition of Tusker On 21 February 2023, Lloyds Bank Asset Finance Limited, a wholly-owned subsidiary of the Group, acquired 100 per cent of the ordinary share capital of Hamsard 3352 Limited (\u201cTusker\u201d), which together with its subsidiaries operates a vehicle management and leasing business. The acquisition will enable the Group to expand its salary sacrifice proposition within motor finance. Cash consideration was approximately \u00a3300 million1 . As a result of the limited time available between the acquisition and the approval of these financial statements, the Group is still in the process of finalising the fair value of the individual assets and liabilities acquired including the associated identifiable intangible assets and goodwill. 1  Subject to customary adjustments. Share buyback The Board has announced its intention to implement an ordinary share buyback of up to \u00a32.0 billion. This represents the return to shareholders of capital surplus to that required to provide capacity to grow the business, meet current and future regulatory requirements and cover uncertainties. The share buyback programme will commence as soon as is practicable and is expected to be completed, subject to continued authority from the PRA, by 31 December 2023. Note 55: Future accounting developments The following pronouncements are not applicable for the year ending 31 December 2022 and have not been applied in preparing these financial statements. Save as disclosed below, the impact of these accounting changes is still being assessed by the Group and reliable estimates cannot be made at this stage. With the exception of the minor amendments detailed below, as at 21 February 2023 these pronouncements have been endorsed for use in the United Kingdom. IFRS 17 Insurance Contracts IFRS 17 Insurance Contracts replaces IFRS 4 Insurance Contracts and is effective for annual periods beginning on or after 1 January 2023. The Group\u2019s initial application date was 1 January 2023 and its transition date was 1 January 2022. On transition, the Group will use the full retrospective approach for business written since 1 January 2016 using Solvency II modelling tools developed when Solvency II was implemented, which are only available to support the calculation of IFRS 17 results from that date. The fair value approach will be used for business written prior to 1 January 2016 and valuations supporting Solvency II at the transition date will be used to support the fair value calculation for transition for that business. Comparative information As permitted by IFRS 17, the Group\u2019s financial statements at and for the year ended 31 December 2023 will include restated comparatives for the year ended 31 December 2022 only. Comparative information for the year ended 31 December 2021 will be presented in accordance with IFRS 4. IFRS 17 recognition and measurement IFRS 17 requires insurance contracts, including reinsurance contracts, and investment contracts with discretionary participation features to be recognised on the balance sheet as the total of the fulfilment cash flows and the contractual service margin: \u2022 The fulfilment cash flows consist of the present value of future cash flows calculated using best estimate assumptions, together with an explicit risk adjustment for non-financial risk and are required to be remeasured at each reporting date \u2022 The contractual service margin (CSM) represents the unearned profit on the insurance contracts and investment contracts with discretionary participation features Changes to estimates of fulfilment cash flows which relate to future service are taken to the CSM, except where onerous contracts are identified or where the Group takes advantage of the risk mitigation options available under IFRS 17. The Group calculates the risk adjustment by applying margins to best estimate cashflows relating to non-financial risks (such as mortality or persistency). The risk adjustment will be released to the income statement as risk expires. For reinsurance contracts held, the CSM represents the net cost or net gain of purchasing reinsurance and the risk adjustment represents the amount of risk transferred from the underlying contracts held. Notes to the consolidated financial statements continued for the year ended 31 December Note 55: Future accounting developments continued Expected impact: comparison with IFRS 4 Under IFRS 4, the Group recognises a value in-force asset and the expected profit of an insurance contract at its inception. Under IFRS 17, the expected profit for providing insurance contract services will be recognised in the CSM and released to the income statement throughout the contract period over which the insurance contract services are provided. The risk adjustment is released commensurate with the expiry of non-financial risk associated with the valuation of best estimate cash flows. The value in-force asset recognised by the Group at 31 December 2021 will be derecognised on transition. IFRS 17 will impact the timing of profit recognition for the insurance contracts and investment contracts with discretionary participation features issued by the Group. However, it will not change the total profit recognised over the lifetime of these contracts as compared to IFRS 4, or the capital position or cash flows of the Group and its insurance companies. The change in the measurement basis of the Group\u2019s liabilities, the derecognition of the VIF and the recognition, within the CSM, of a proportion of the previously recognised profits from insurance contracts will result in a reduction to the Group\u2019s retained earnings on transition. Establishing cash flows within the boundary of an insurance contract IFRS 17 requires cash flows to be included within the boundary of an insurance contract if they arise from substantive rights and obligations that exist during the reporting period where the Group can compel a policyholder to pay premiums or where the Group has a substantive obligation to provide the policyholder with services. The Group has assessed the contract boundary for insurance contracts it sells and has established relevant fulfilment cash flows accordingly, and the assumption framework which applies to determining the best estimate of those cash flows on an on-going basis. In particular, this includes the assumptions around increments on pensions business which are expected within the contract boundary and the extent to which the contract boundary is substantially changed upon contact modification as a result of new product features being added. Level of aggregation of insurance contracts IFRS 17 requires identification of portfolios of insurance contracts that have similar risks and that are managed together. In determining the appropriate level of aggregation, the Group has considered the relative risks and how these are managed within the business, in addition to factors such as geography, sales channel and product taxation basis. CSM is measured on initial recognition for cohorts of insurance contracts within these portfolios that are issued not more than a year apart. These cohorts are further disaggregated into CSM groups according to a profitability assessment and other product characteristics. As a result, the Group has identified the following portfolios: individual annuities, bulk annuities, protection products and workplace and other pensions. Within these portfolios, the Group expects to have approximately 25 CSM groups during 2023, in addition to those established at transition to IFRS 17. Separating components of contracts IFRS 17 also requires certain components of insurance contracts to be separated, including investment components. Investment components reflect amounts due to policy holders, akin to deposits, so are not recognised in the income statement. Disaggregation of insurance finance income or expenses Insurance finance income or expenses comprise changes in the carrying amount of a group of insurance contracts arising from the effect of the time value of money and the effects of financial risk. IFRS 17 provides an accounting policy choice between: \u2022 including insurance finance income or expenses for the period in the income statement; or \u2022 disaggregating insurance finance income and expenses for the period to include in the income statement an amount determined by a systematic allocation, and the residual amount in other comprehensive income (OCI). The Group has elected to recognise total insurance finance income or expenses in profit or loss in the period in which they arise. This decision is based on IFRS 9 Financial Instruments. Under IFRS 9, the Group measures assets backing insurance contracts at fair value through profit or loss (FVTPL). Accounting for the Group\u2019s principal insurance businesses Annuity and protection business: The general measurement model will be used for the Group\u2019s annuity and protection business. The discount rates are locked in at the inception of the contract in determining the value of the CSM. The subsequent effects of changes in discount rates on the best estimate of the insurance contract liabilities will be recognised in the income statement in the period in which they arise, as an accounting policy choice. The Group will use discount rates based on the liquidity of the associated liabilities and, accordingly, will apply illiquidity premia to its annuity and whole of life businesses. For immediate annuity contracts, the CSM will be recognised in income over the life of the contracts based on the maximum claim payable for each period and for protection contracts, CSM will be recognised in the income statement commensurate with the sum assured. Unit-linked and with-profits business: There is an adaptation of the general measurement model for contracts with direct participation features, the variable fee approach, which results in changes in variable fees, including those arising from changes in economic assumptions, being taken to the CSM. The expected profit will be recognised within the CSM and released to the income statement over the coverage period. General insurance business: The Group has applied the option available under IFRS 17 to use the simplified approach (the premium allocation approach), mainly for short duration contracts. The insurance revenue recognised in the income statement in the period reflects the expected premium receipts allocated to the period, after adjusting for the time value of money and the effect of financial risk. The amortisation of insurance acquisition cash flows is taken to the income statement on the basis of the passage of time. Balance sheet impact at 1 January 2022 On restatement, the reduction in the Group\u2019s total equity as of 1 January 2022 was approximately \u00a31.9 billion, driven by the derecognition of the value in-force asset, the move to best estimate of contract liabilities, the creation of the new CSM liability and the establishment of the risk adjustment. The CSM of all insurance contracts issued and net of reinsurance contracts held at 1 January 2022 was approximately \u00a31.9 billion and the risk adjustment, net of reinsurance, recognised at that date was approximately \u00a31.5 billion. The Group expects that approximately \u00a3300 million of the CSM and risk adjustment, gross of reinsurance, held at 1 January 2022 will be released and recognised in the income statement during the year ended 31 December 2022. These amounts will be finalised during the first quarter of 2023 following the completion of further work being undertaken by the Group. Note 55: Future accounting developments continued Equity impact at 31 December 2022 During 2022, the Group has added a drawdown feature to its existing longstanding and workplace pension business. This is a contract modification that results in a substantially different contract boundary, and IFRS 17 requires that the contracts and associated CSM (approximately \u00a30.4 billion) at the time of the modification are derecognised and the modified contracts together with a new CSM (approximately \u00a31.7 billion) are recognised as if they were new contracts. The Group estimates these contract modifications will increase the CSM by approximately \u00a31.3 billion and reduce its equity by approximately \u00a31.3 billion (before the impact of IFRS 17 tax transitional adjustments) given the charge recognised in the income statement in 2022 on an IFRS 17 basis. The estimate has been prepared assuming these contract modifications occurred on the 1 January 2022. As these contract modifications occurred throughout 2022, the Group will undertake further work during the first quarter of 2023 to finalise the financial impact of the contract modifications using the actual dates these contract modifications occurred during 2022. Income statement impact Whilst IFRS 17 does not change the total profit recognised over the life of an insurance contract or investment contract with discretionary participation features, it does change both the phasing of profit recognition and the amounts recognised within individual income statement line items, including other income and operating expenses. Under IFRS 17, the Group is required to defer substantially all of the expected profit through the recognition of a CSM on the balance sheet (losses on groups of onerous contracts and recoveries of such losses, to the extent they are covered by reinsurance contracts held, are recognised in the income statement immediately); the CSM is subsequently released to the income statement over the coverage period of the product. The expected profit includes estimated future premiums and claims together with administration costs such as claims handling costs, costs incurred to provide contractual policyholder benefits and policy administration and maintenance costs. As a result, a reduction is expected in the amounts to be disclosed as other income, operating income and operating expenses under IFRS 17, in respect of the relevant IFRS 17 income statement line items that will be presented from 2023. The Group continues to refine and finalise the new accounting processes and models and has not, therefore, presented the impact of IFRS 17 for the year ended 31 December 2022 including impacts on financial metrics such as earnings per share. Further work will be undertaken during the first quarter of 2023 to finalise the impact of IFRS 17 on the Group\u2019s income statement and earnings per share for the year ended 31 December 2022 and on its balance sheet at 31 December 2022. Minor amendments to other accounting standards The IASB has issued a number of minor amendments to IFRSs effective 1 January 2023 (including IAS 1 Presentation of Financial Statements and IAS 8 Accounting Policies, Changes in Accounting Estimates and Errors). These amendments are not expected to have a significant impact on the Group.",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfNotesAndOtherExplanatoryInformationExplanatory",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-799": {
   "value": "Note 1: Basis of preparation The consolidated financial statements of Lloyds Banking Group plc and its subsidiary undertakings (the Group) have been prepared in accordance with international accounting standards in conformity with the requirements of the Companies Act 2006. The financial statements have also been prepared in accordance with International Financial Reporting Standards as issued by the International Accounting Standards Board (IASB). The financial information has been prepared under the historical cost convention, as modified by the revaluation of investment properties, financial assets measured at fair value through other comprehensive income, trading securities and certain other financial assets and liabilities at fair value through profit or loss and all derivative contracts. The directors consider that it is appropriate to continue to adopt the going concern basis in preparing the financial statements. In reaching this assessment, the directors have considered the impact of climate change upon the Group\u2019s performance and projected funding and capital position. The directors have also taken into account the results from stress testing scenarios. Details of those IFRS pronouncements which will be relevant to the Group but which were not effective at 31 December 2022 and which have not been applied in preparing these financial statements are given in note 55. In April 2022, the IFRS Interpretations Committee was asked to consider whether an entity includes a demand deposit as a component of cash and cash equivalents in the statement of cash flows when the demand deposit is subject to contractual restrictions on use agreed with a third party. It concluded that such amounts should be included within cash and cash equivalents. Accordingly, the Group includes mandatory reserve deposits with central banks that are held in demand accounts within cash and cash equivalents disclosed in the cash flow statement. This change has increased the Group\u2019s cash and cash equivalents at 1 January 2020 by \u00a31,696 million (to \u00a359,507 million) and decreased the adjustment for the change in operating assets in 2020 by \u00a3982 million (to a reduction of \u00a317,668 million) resulting in an increase in the Group\u2019s cash and cash equivalents at 31 December 2020 of \u00a32,678 million (to \u00a378,145 million); and decreased the adjustment for the change in operating assets in 2021 by \u00a3137 million (to a reduction of \u00a310,365 million) and, as a result, the Group\u2019s cash and cash equivalents at 31 December 2021 increased by \u00a32,815 million (to \u00a379,194 million). The change had no impact on profit after tax, total equity or the Group\u2019s earnings per share. In 2021, the Group adopted the Interest Rate Benchmark Reform Phase 2 amendments issued by the IASB. These amendments require that changes to expected future cash flows that both arise as a direct result of IBOR Reform and are economically equivalent to the previous cash flows are accounted for as a change to the effective interest rate with no adjustment to the asset\u2019s or liability\u2019s carrying value; no immediate gain or loss is recognised. The requirements also provide relief from the requirements to discontinue hedge accounting as a result of amending hedge documentation if the changes are required solely as a result of IBOR Reform. The following change has been made to the presentation of the Group\u2019s assets on the face of the balance sheet: \u2022 Reinsurance assets are shown separately from other assets There has been no change in the basis of accounting for any of the underlying transactions. Comparatives have been presented on a consistent basis. ",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfBasisOfPreparationOfFinancialStatementsExplanatory",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-870": {
   "value": "The consolidated financial statements of Lloyds Banking Group plc and its subsidiary undertakings (the Group) have been prepared in accordance with international accounting standards in conformity with the requirements of the Companies Act 2006. The financial statements have also been prepared in accordance with International Financial Reporting Standards as issued by the International Accounting Standards Board (IASB). ",
   "dimensions": {
    "concept": "ifrs-full:StatementOfIFRSCompliance",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-798": {
   "value": "Note 2: Accounting policies The Group\u2019s accounting policies are set out below. These accounting policies have been applied consistently. (A) Consolidation The assets, liabilities and results of Group undertakings (including structured entities) are included in the financial statements on the basis of accounts made up to the reporting date. Group undertakings include subsidiaries, associates and joint ventures. Details of the Group\u2019s subsidiaries and related undertakings are given on pages 352 to 360. (1) Subsidiaries Subsidiaries are entities controlled by the Group. The Group controls an entity when it has power over the entity, is exposed to, or has rights to, variable returns from its involvement with the entity, and has the ability to affect those returns through the exercise of its power. This generally accompanies a shareholding of more than one half of the voting rights although in certain circumstances a holding of less than one half of the voting rights may still result in the ability of the Group to exercise control. The existence and effect of potential voting rights that are currently exercisable or convertible are considered when assessing whether the Group controls another entity. The Group reassesses whether or not it controls an entity if facts and circumstances indicate that there have been changes to any of the above elements. Subsidiaries are fully consolidated from the date on which control is transferred to the Group; they are de- consolidated from the date that control ceases. The Group consolidates collective investment vehicles if its beneficial ownership interests give it substantive rights to remove the external fund manager of the investment activities of the fund. Where a subsidiary of the Group is the fund manager of a collective investment vehicle, the Group considers a number of factors in determining whether it acts as principal, and therefore controls the collective investment vehicle, including: an assessment of the scope of the Group\u2019s decision-making authority over the investment vehicle; the rights held by other parties including substantive removal rights without cause over the Group acting as fund manager; the remuneration to which the Group is entitled in its capacity as decision-maker; and the Group\u2019s exposure to variable returns from the beneficial interest that it holds in the investment vehicle. Consolidation may be appropriate in circumstances where the Group has less than a majority beneficial interest. Where a collective investment vehicle is consolidated the interests of parties other than the Group are reported in other liabilities and the movement in those interests in interest expense. Structured entities are entities that are designed so that their activities are not governed by way of voting rights. In assessing whether the Group has power over such entities in which it has an interest, the Group considers factors such as the purpose and design of the entity; its practical ability to direct the relevant activities of the entity; the nature of the relationship with the entity; and the size of its exposure to the variability of returns of the entity. The treatment of transactions with non-controlling interests depends on whether, as a result of the transaction, the Group loses control of the subsidiary. Changes in the parent\u2019s ownership interest in a subsidiary that do not result in a loss of control are accounted for as equity transactions; any difference between the amount by which the non-controlling interests are adjusted and the fair value of the consideration paid or received is recognised directly in equity and attributed to the owners of the parent entity. Where the Group loses control of the subsidiary, at the date when control is lost the amount of any non-controlling interest in that former subsidiary is derecognised and any investment retained in the former subsidiary is remeasured to its fair value; the gain or loss that is recognised in profit or loss on the partial disposal of the subsidiary includes the gain or loss on the remeasurement of the retained interest. Note 2: Accounting policies continued Intercompany transactions, balances and unrealised gains and losses on transactions between Group companies are eliminated. The acquisition method of accounting is used to account for business combinations by the Group. The consideration for the  acquisition of a subsidiary is the fair value of the assets transferred, the liabilities incurred and the equity interests issued by the Group.  The consideration includes the fair value of any asset or liability resulting from a contingent consideration arrangement. Acquisition- related costs are expensed as incurred except those relating to the issuance of debt instruments (see (E)(4) below) or share capital  (see (P) below). Identifiable assets acquired and liabilities assumed in a business combination are measured initially at their fair value  at the acquisition date. (2)  Joint ventures and associates Joint ventures are joint arrangements over which the Group has joint control with other parties and has rights to the net assets of the  arrangements. Joint control is the contractually agreed sharing of control of an arrangement and only exists when decisions about  the relevant activities require the unanimous consent of the parties sharing control. Associates are entities over which the Group has  significant influence. Significant influence is the power to participate in the financial and operating policy decisions of the entity, but  is not control or joint control of those policies, and is generally achieved through holding between 20 per cent and 50 per cent of the  voting share capital of the entity. The Group utilises the venture capital exemption for investments where significant influence or joint control is present and the business  unit operates as a venture capital business. These investments are designated on initial recognition at fair value through profit or loss.  Otherwise, the Group\u2019s investments in joint ventures and associates are accounted for using the equity method of accounting. (B) Goodwill Goodwill arises on business combinations and represents the excess of the cost of an acquisition over the fair value of the Group\u2019s  share of the identifiable assets, liabilities and contingent liabilities acquired. Where the fair value of the Group\u2019s share of the identifiable  assets, liabilities and contingent liabilities of the acquired entity is greater than the cost of acquisition, the excess is recognised  immediately in the income statement. Goodwill is recognised as an asset at cost and is tested at least annually for impairment. For impairment testing, goodwill is allocated  to the cash generating unit (CGU) or groups of CGUs that are expected to benefit from the business combination. The Group\u2019s CGUs  are largely product based for its Retail and Insurance businesses and client based for its Commercial Banking business. An impairment  loss is recognised if the carrying amount of a CGU is determined to be greater than its recoverable amount. The recoverable amount  of a CGU is the higher of its fair value less costs to sell and its value in use. If an impairment is identified the carrying value of the  goodwill is written down immediately through the income statement and this is not subsequently reversed. At the date of disposal of a  subsidiary, the carrying value of attributable goodwill is included in the calculation of the profit or loss on disposal. (C)  Other intangible assets Intangible assets which have been determined to have a finite useful life are amortised on a straight-line basis over their estimated  useful life as follows: up to 7 years for capitalised software; 10 to 15 years for brands and other intangible assets. Intangible assets with finite useful lives are reviewed at each reporting date to assess whether there is any indication that they are  impaired. If any such indication exists the recoverable amount of the asset is determined and in the event that the asset\u2019s carrying  amount is greater than its recoverable amount, it is written down immediately. Certain brands have been determined to have an  indefinite useful life and are not amortised. Such intangible assets are assessed annually to determine whether the asset is impaired  and to reconfirm that an indefinite useful life remains appropriate. In the event that an indefinite life is inappropriate, a finite life is  determined and a further impairment review is performed on the asset. (D)  Revenue recognition (1)  Net interest income Interest income and expense are recognised in the income statement using the effective interest method for all interest-bearing  financial instruments, except for those classified at fair value through profit or loss. The effective interest method is a method of  calculating the amortised cost of a financial asset or liability and of allocating the interest income or interest expense over the  expected life of the financial instrument. The effective interest rate is the rate that exactly discounts the estimated future cash  payments or receipts over the expected life of the financial instrument to the gross carrying amount of the financial asset (before  adjusting for expected credit losses) or to the amortised cost of the financial liability, including early redemption fees, other fees, and  premiums and discounts that are an integral part of the overall return. In the case of financial assets that are purchased or originated  credit-impaired, the effective interest rate is the rate that discounts the estimated future cash flows to the amortised cost of the  instrument. Direct incremental transaction costs related to the acquisition, issue or disposal of a financial instrument are also taken  into account. Interest income from non-credit impaired financial assets is recognised by applying the effective interest rate to the  gross carrying amount of the asset; for credit impaired financial assets, the effective interest rate is applied to the net carrying amount  after deducting the allowance for expected credit losses. Impairment policies are set out in (H) below. (2)  Fee and commission income and expense Fees and commissions receivable which are not an integral part of the effective interest rate are recognised as income as the Group  fulfils its performance obligations. The Group\u2019s principal performance obligations arising from contracts with customers are in respect  of value added current accounts, credit cards and debit cards. These fees are received, and the Group provides the service, monthly;  the fees are recognised in income on this basis. The Group also receives certain fees in respect of its asset finance business where  the performance obligations are typically fulfilled towards the end of the customer contract; these fees are recognised in income on  this basis. Where it is unlikely that the loan commitments will be drawn, loan commitment fees are recognised in fee and commission  income over the life of the facility, rather than as an adjustment to the effective interest rate for the lending expected to be drawn.  Incremental costs incurred to generate fee and commission income are charged to fee and commission expense as they are incurred. (3) Other Dividend income is recognised when the right to receive payment is established. Revenue recognition policies specific to trading income are set out in (E)(3) below; those relating to life insurance and general  insurance business are detailed below (see (M) below); and those relating to leases are set out in (J)(1) below. Note 2: Accounting policies continued (E)  Financial assets and liabilities On initial recognition, financial assets are classified as measured at amortised cost, fair value through other comprehensive income  or fair value through profit or loss, depending on the Group\u2019s business model for managing those financial assets and whether  the resultant cash flows represent solely payments of principal and interest. The Group assesses its business models at a portfolio  level based on its objectives for the relevant portfolio, how the performance of the portfolio is managed and reported, and the  frequency of asset sales. Financial assets with embedded derivatives are considered in their entirety when considering their cash  flow characteristics. The Group reclassifies financial assets only when its business model for managing those assets changes. A  reclassification will only take place when the change is significant to the Group\u2019s operations and will occur at a portfolio level and not  for individual instruments; reclassifications are expected to be rare. Equity investments are measured at fair value through profit or  loss unless the Group elects at initial recognition to account for the instruments at fair value through other comprehensive income. For  these instruments, principally strategic investments, dividends are recognised in profit or loss but fair value gains and losses are not  subsequently reclassified to profit or loss following derecognition of the investment. The Group initially recognises loans and advances, deposits, debt securities in issue and subordinated liabilities when the Group  becomes a party to the contractual provisions of the instrument. Regular way purchases and sales of securities and other financial  assets and trading liabilities are recognised on trade date, being the date that the Group is committed to purchase or sell an asset. Financial assets are derecognised when the contractual right to receive cash flows from those assets has expired or when the Group  has transferred its contractual right to receive the cash flows from the assets and either: substantially all of the risks and rewards of  ownership have been transferred; or the Group has neither retained nor transferred substantially all of the risks and rewards, but has  transferred control. Financial liabilities are derecognised when the obligation is discharged, cancelled or expires. (1)  Financial instruments measured at amortised cost Financial assets that are held to collect contractual cash flows where those cash flows represent solely payments of principal and  interest are measured at amortised cost. A basic lending arrangement results in contractual cash flows that are solely payments of  principal and interest on the principal amount outstanding. Where the contractual cash flows introduce exposure to risks or volatility  unrelated to a basic lending arrangement such as changes in equity prices or commodity prices, the payments do not comprise  solely principal and interest. Financial assets measured at amortised cost are predominantly loans and advances to customers and  banks, reverse repurchase agreements and certain debt securities used by the Group to manage its liquidity. Loans and advances and  reverse repurchase agreements are initially recognised when cash is advanced to the borrower at fair value inclusive of transaction  costs. Interest income is accounted for using the effective interest method (see (D) above). Financial liabilities are measured at amortised cost, except for trading liabilities and other financial liabilities designated at fair value  through profit or loss on initial recognition which are held at fair value. Where changes are made to the contractual cash flows of a financial asset or financial liability that are economically equivalent and  arise as a direct consequence of interest rate benchmark reform, the Group updates the effective interest rate and does not recognise  an immediate gain or loss. (2)  Financial assets measured at fair value through other comprehensive income Financial assets that are held to collect contractual cash flows and for subsequent sale, where the assets\u2019 cash flows represent solely  payments of principal and interest, are recognised in the balance sheet at their fair value, inclusive of transaction costs. Interest  calculated using the effective interest method and foreign exchange gains and losses on assets denominated in foreign currencies  are recognised in the income statement. All other gains and losses arising from changes in fair value are recognised directly in  other comprehensive income, until the financial asset is either sold or matures, at which time the cumulative gain or loss previously  recognised in other comprehensive income is recognised in the income statement; other than in respect of equity shares, for which  the cumulative revaluation amount is transferred directly to retained profits. The Group recognises a charge for expected credit losses  in the income statement (see (H) below). As the asset is measured at fair value, the charge does not adjust the carrying value of the  asset, and this is reflected in other comprehensive income. (3)  Financial instruments measured at fair value through profit or loss Financial assets are classified at fair value through profit or loss where they do not meet the criteria to be measured at amortised  cost or fair value through other comprehensive income or where they are designated at fair value through profit or loss to reduce  an accounting mismatch. All derivatives are carried at fair value through profit or loss, other than those in effective cash flow and  net investment hedging relationships. Derivatives are carried on the balance sheet as assets when their fair value is positive and as  liabilities when their fair value is negative. Refer to note 49(3) (Financial instruments: Financial assets and liabilities carried at fair value)  for details of valuation techniques and significant inputs to valuation models. Derivatives embedded in a financial asset are not considered separately; the financial asset is considered in its entirety when  determining whether its cash flows are solely payments of principal and interest. Derivatives embedded in financial liabilities and  insurance contracts (unless the embedded derivative is itself an insurance contract) are treated as separate derivatives when their  economic characteristics and risks are not closely related to those of the host contract and the host contract is not carried at fair value  through profit or loss. These embedded derivatives are measured at fair value with changes in fair value recognised in the income  statement. In accordance with IFRS 4 Insurance Contracts, a policyholder\u2019s option to surrender an insurance contract for a fixed  amount is not treated as an embedded derivative. The assets backing the insurance and investment contracts issued by the Group do not meet the criteria to be measured at amortised  cost or fair value through other comprehensive income as they are managed on a fair value basis and accordingly are measured at  fair value through profit or loss. Similarly, trading securities, which are debt securities and equity shares acquired principally for the  purpose of selling in the short term or which are part of a portfolio which is managed for short-term gains, do not meet these criteria  and are also measured at fair value through profit or loss. Financial assets measured at fair value through profit or loss are recognised  in the balance sheet at their fair value. Fair value gains and losses together with interest coupons and dividend income are recognised  in the income statement within net trading income. Note 2: Accounting policies continued Financial liabilities are measured at fair value through profit or loss where they are trading liabilities or where they are designated at fair value through profit or loss in order to reduce an accounting mismatch; where the liabilities are part of a group of liabilities (or assets and liabilities) which is managed, and its performance evaluated, on a fair value basis; or where the liabilities contain one or more embedded derivatives that significantly modify the cash flows arising under the contract and would otherwise need to be separately accounted for. Financial liabilities measured at fair value through profit or loss are recognised in the balance sheet at their fair value. Fair value gains and losses are recognised in the income statement within net trading income in the period in which they occur, except in the case of financial liabilities designated at fair value through profit or loss where gains and losses attributable to changes in own credit risk are recognised in other comprehensive income. The fair values of assets and liabilities traded in active markets are based on current bid and offer prices, respectively, which include the expected effects of potential changes to laws and regulations, risks associated with climate change and other factors. If the market is not active the Group establishes a fair value by using valuation techniques. The fair values of derivative financial instruments are adjusted where appropriate to reflect credit risk (via credit valuation adjustments (CVAs), debit valuation adjustments (DVAs) and funding valuation adjustments (FVAs)), market liquidity and other risks. (4) Borrowings Borrowings (which include deposits from banks, customer deposits, repurchase agreements, debt securities in issue and subordinated liabilities) are recognised initially at fair value, being their issue proceeds net of transaction costs incurred. These instruments are subsequently stated at amortised cost using the effective interest method. Preference shares and other instruments which carry a mandatory coupon or are redeemable on a specific date are classified as financial liabilities. The coupon on these instruments is recognised in the income statement as interest expense. Securities which carry a discretionary coupon and have no fixed maturity or redemption date are classified as other equity instruments. Interest payments on these securities are recognised as distributions from equity in the period in which they are paid. An exchange of financial liabilities on substantially different terms is accounted for as an extinguishment of the original financial liability and the recognition of a new financial liability. The difference between the carrying amount of a financial liability extinguished and the new financial liability is recognised in profit or loss together with any related costs or fees incurred. When a financial liability is exchanged for an equity instrument, the new equity instrument is recognised at fair value and any difference between the carrying value of the liability and the fair value of the new equity instrument is recognised in profit or loss. (5)  Sale and repurchase agreements (including securities lending and borrowing) Securities sold subject to repurchase agreements (repos) continue to be recognised on the balance sheet where substantially all of the risks and rewards are retained. Funds received for repos carried at fair value are included within trading liabilities. Conversely, securities purchased under agreements to resell (reverse repos), where the Group does not acquire substantially all of the risks and rewards of ownership, are measured at amortised cost or at fair value. Those measured at fair value are recognised within trading securities. The difference between sale and repurchase price is treated as interest and accrued over the life of the agreements using the effective interest method. Securities borrowing and lending transactions are typically secured; collateral takes the form of securities or cash advanced or received. Securities lent to counterparties are retained on the balance sheet. Securities borrowed are not recognised on the balance sheet, unless these are sold to third parties, in which case the obligation to return them is recorded at fair value as a trading liability. Cash collateral given or received is treated as a loan and advance measured at amortised cost or customer deposit. (F)  Hedge accounting As permitted by IFRS 9, the Group continues to apply the requirements of IAS 39 to its hedging relationships. Changes in the fair value of all derivative instruments, other than those in effective cash flow and net investment hedging relationships, are recognised immediately in the income statement. As noted in (2) and (3) below, the change in fair value of a derivative in an effective cash flow or net investment hedging relationship is allocated between the income statement and other comprehensive income. Hedge accounting allows one financial instrument, generally a derivative such as a swap, to be designated as a hedge of another financial instrument such as a loan or deposit or a portfolio of such instruments. At the inception of the hedge relationship, formal documentation is drawn up specifying the hedging strategy, the hedged item, the hedging instrument and the methodology that will be used to measure the effectiveness of the hedge relationship in offsetting changes in the fair value or cash flow of the hedged risk. The effectiveness of the hedging relationship is tested both at inception and throughout its life and if at any point it is concluded that it is no longer highly effective in achieving its documented objective, hedge accounting is discontinued. Note 17 provides details of the types of derivatives held by the Group and presents separately those designated in hedge relationships. Where there is uncertainty arising from interest rate benchmark reform, the Group assumes that the interest rate benchmark on which the hedged cash flows and/or the hedged risk are based, or the interest rate benchmark on which the cash flows of the hedging instrument are based, are not altered as a result of interest rate benchmark reform. The Group does not discontinue a hedging relationship during the period of uncertainty arising from the interest rate benchmark reform solely because the actual results of the hedge are not highly effective. Where the contractual terms of a financial asset, financial liability or derivative are amended, on an economically equivalent basis, as a direct consequence of interest rate benchmark reform, the uncertainty arising from the reform is no longer present. In these circumstances, the Group amends the hedge documentation to reflect the changes required by the reform; these changes to the documentation do not in and of themselves result in the discontinuation of hedge accounting or require the designation of a new hedge relationship. (1)  Fair value hedges Changes in the fair value of derivatives that are designated and qualify as fair value hedges are recorded in the income statement, together with the changes in the fair value of the hedged asset or liability that are attributable to the hedged risk; this also applies if the hedged asset is classified as a financial asset at fair value through other comprehensive income. If the hedge no longer meets the criteria for hedge accounting, changes in the fair value of the hedged item attributable to the hedged risk are no longer recognised in the income statement. The cumulative adjustment that has been made to the carrying amount of the hedged item is amortised to the income statement using the effective interest method over the period to maturity. Note 2: Accounting policies continued (2)  Cash flow hedges The effective portion of changes in the fair value of derivatives that are designated and qualify as cash flow hedges is recognised in other comprehensive income in the cash flow hedging reserve. The gain or loss relating to the ineffective portion is recognised immediately in the income statement. Amounts accumulated in equity are reclassified to the income statement in the periods in which the hedged item affects profit or loss. When a hedging instrument expires or is sold, or when a hedge no longer meets the criteria for hedge accounting, any cumulative gain or loss existing in equity at that time remains in equity and is recognised in the income statement when the forecast transaction is ultimately recognised in the income statement. When a forecast transaction is no longer expected to occur, the cumulative gain or loss that was reported in equity is immediately transferred to the income statement. (3)  Net investment hedges Hedges of net investments in foreign operations are accounted for similarly to cash flow hedges. Any gain or loss on the hedging instrument relating to the effective portion of the hedge is recognised in other comprehensive income, the gain or loss relating to the ineffective portion is recognised immediately in the income statement. Gains and losses accumulated in equity are included in the income statement when the foreign operation is disposed of. The hedging instruments used in net investment hedges may include non-derivative liabilities as well as derivative financial instruments. (G) Offset Financial assets and liabilities are offset and the net amount reported in the balance sheet when there is a legally enforceable right of offset and there is an intention to settle on a net basis, or realise the asset and settle the liability simultaneously. Cash collateral on exchange traded derivative transactions is presented gross unless the collateral cash flows are always settled net with the derivative cash flows. In certain situations, even though master netting agreements exist, the lack of management intention to settle on a net basis results in the financial assets and liabilities being reported gross on the balance sheet. (H)  Impairment of financial assets The impairment charge in the income statement reflects the change in expected credit losses, including those arising from fraud. Expected credit losses are recognised for loans and advances to customers and banks, other financial assets held at amortised cost, financial assets (other than equity investments) measured at fair value through other comprehensive income, and certain loan commitments and financial guarantee contracts. Expected credit losses are calculated as an unbiased and probability-weighted estimate using an appropriate probability of default, adjusted to take into account a range of possible future economic scenarios, and applying this to the estimated exposure of the Group at the point of default after taking into account the value of any collateral held, repayments, or other mitigants of loss and including the impact of discounting using the effective interest rate. At initial recognition, allowance (or provision in the case of some loan commitments and financial guarantees) is made for expected credit losses resulting from default events that are possible within the next 12 months (12-month expected credit losses). In the event of a significant increase in credit risk since origination, allowance (or provision) is made for expected credit losses resulting from all possible default events over the expected life of the financial instrument (lifetime expected credit losses). Financial assets where 12-month expected credit losses are recognised are considered to be Stage 1; financial assets which are considered to have experienced a significant increase in credit risk since initial recognition are in Stage 2; and financial assets which have defaulted or are otherwise considered to be credit-impaired are allocated to Stage 3. Some Stage 3 assets, mainly in Commercial Banking, are subject to individual rather than collective assessment. Such cases are subject to a risk-based impairment sanctioning process, and these are reviewed and updated at least quarterly, or more frequently if there is a significant change in the credit profile. The collective assessment of impairment aggregates financial instruments with similar risk characteristics, such as whether the facility is revolving in nature or secured and the type of security held against financial assets. An assessment of whether credit risk has increased significantly since initial recognition considers the change in the risk of default occurring over the remaining expected life of the financial instrument. In determining whether there has been a significant increase in credit risk, the Group uses quantitative tests based on relative and absolute probability of default (PD) movements linked to internal credit ratings together with qualitative indicators such as watchlists and other indicators of historical delinquency, credit weakness or financial difficulty. The use of internal credit ratings and qualitative indicators ensures alignment between the assessment of staging and the Group\u2019s management of credit risk which utilises these internal metrics within distinct retail and commercial portfolio risk management practices. However, unless identified at an earlier stage, the credit risk of financial assets is deemed to have increased significantly when more than 30 days past due. The use of a payment holiday in and of itself has not been judged to indicate a significant increase in credit risk, with the underlying long-term credit risk deemed to be driven by economic conditions and captured through the use of forward-looking models. These portfolio-level models are capturing the anticipated volume of increased defaults and therefore an appropriate assessment of staging and expected credit loss. Where the credit risk subsequently improves such that it no longer represents a significant increase in credit risk since initial recognition, the asset is transferred back to Stage 1. Assets are transferred to Stage 3 when they have defaulted or are otherwise considered to be credit-impaired. Default is considered to have occurred when there is evidence that the customer is experiencing financial difficulty which is likely to affect significantly the ability to repay the amount due. IFRS 9 contains a rebuttable presumption that default occurs no later than when a payment is 90 days past due which the Group now uses for all its products following changes to the definition of default for UK Mortgages on 1 January 2022. In addition, other indicators of mortgage default are added including end-of-term payments on past due interest-only accounts and loans considered non-performing due to recent arrears or forbearance. The use of payment holidays is not considered to be an automatic trigger of regulatory default and therefore does not automatically trigger Stage 3. Days past due will also not accumulate on any accounts that have taken a payment holiday including those already past due. In certain circumstances, the Group will renegotiate the original terms of a customer\u2019s loan, either as part of an ongoing customer relationship or in response to adverse changes in the circumstances of the borrower. In the latter circumstances, the loan will remain classified as either Stage 2 or Stage 3 until the credit risk has improved such that it no longer represents a significant increase since origination (for a return to Stage 1), or the loan is no longer credit-impaired (for a return to Stage 2). On renegotiation the gross carrying amount of the loan is recalculated as the present value of the renegotiated or modified contractual cash flows, which are discounted at the original effective interest rate. Renegotiation may also lead to the loan and associated allowance being derecognised and a new loan being recognised initially at fair value. Purchased or originated credit-impaired financial assets (POCI) include financial assets that are purchased or originated at a deep discount that reflects incurred credit losses. At initial recognition, POCI assets do not carry an impairment allowance; instead, lifetime expected credit losses are incorporated into the calculation of the effective interest rate. All changes in lifetime expected credit losses subsequent to the assets\u2019 initial recognition are recognised as an impairment charge. Note 2: Accounting policies continued A loan or advance is normally written off, either partially or in full, against the related allowance when the proceeds from realising any available security have been received or there is no realistic prospect of recovery and the amount of the loss has been determined. Subsequent recoveries of amounts previously written off decrease the amount of impairment losses recorded in the income statement. For both secured and unsecured retail balances, the write-off takes place only once an extensive set of collections processes has been completed, or the status of the account reaches a point where policy dictates that continuing attempts to recover are no longer appropriate. For commercial lending, a write-off occurs if the loan facility with the customer is restructured, the asset is under administration and the only monies that can be received are the amounts estimated by the administrator, the underlying assets are disposed and a decision is made that no further settlement monies will be received, or external evidence (for example, third-party valuations) is available that there has been an irreversible decline in expected cash flows. (I)  Property, plant and equipment Property, plant and equipment (other than investment property) is included at cost less accumulated depreciation. The value of land (included in premises) is not depreciated. Depreciation on other assets is calculated using the straight-line method to allocate the difference between the cost and the residual value over their estimated useful lives, as follows: the shorter of 50 years and the remaining period of the lease for freehold/long and short leasehold premises; the shorter of 10 years and, if lease renewal is not likely, the remaining period of the lease for leasehold improvements; 10 to 20 years for fixtures and furnishings; and 2 to 8 years for other equipment and motor vehicles. The assets\u2019 residual values and useful lives are reviewed and, if appropriate, revised at each balance sheet date. Assets are reviewed for impairment whenever events or changes in circumstances indicate that the carrying amount may not be recoverable. In assessing the recoverable amount of assets the Group considers the effects of potential or actual changes in legislation, customer behaviour, climate-related risks and other factors on the asset\u2019s CGU. In the event that an asset\u2019s CGU carrying amount is determined to be greater than its recoverable amount the asset is written down immediately. Investment property comprises freehold and long leasehold land and buildings that are held either to earn rental income or for capital accretion or both, primarily within the life insurance funds. In accordance with the guidance published by the Royal Institution of Chartered Surveyors, investment property is carried at fair value based on current prices for similar properties, adjusted for the specific characteristics of the property (such as location or condition). If this information is not available, the Group uses alternative valuation methods such as discounted cash flow projections or recent prices in less active markets. These valuations are reviewed at least annually by independent professionally qualified valuers. Investment property being redeveloped for continuing use as investment property, or for which the market has become less active, continues to be valued at fair value. (J) Leases Under IFRS 16, a lessor is required to determine whether a lease is a finance or operating lease. A lessee is not required to make this determination. (1)  As lessor Assets leased to customers are classified as finance leases if the lease agreements transfer substantially all of the risks and rewards of ownership to the lessee but not necessarily legal title. All other leases are classified as operating leases. When assets are subject to finance leases, the present value of the lease payments, together with any unguaranteed residual value, is recognised as a receivable, net of allowances for expected credit losses and residual value impairment, within loans and advances to banks and customers. The difference between the gross receivable and the present value of the receivable is recognised as unearned finance lease income. Finance lease income is recognised in interest income over the term of the lease using the net investment method (before tax) so as to give a constant rate of return on the net investment in the lease. Unguaranteed residual values are reviewed regularly to identify any impairment. Operating lease assets are included within other assets at cost and depreciated over their estimated useful lives. The depreciation charge is based on the asset\u2019s residual value and the life of the lease. Operating lease rental income is recognised on a straight-line basis over the life of the lease. The Group evaluates non-lease arrangements such as outsourcing and similar contracts to determine if they contain a lease which is then accounted for separately. (2)  As lessee Leases are recognised as a right-of-use asset and a corresponding liability at the date at which the leased asset is available for use by the Group. Assets and liabilities arising from a lease are initially measured on a present value basis. The lease payments are discounted using the interest rate implicit in the lease, if that rate can be determined, or the Group\u2019s incremental borrowing rate appropriate for the right-of-use asset arising from the lease, and the liability recognised within other liabilities. Lease payments are allocated between the liability and finance cost. The finance cost is charged to profit or loss over the lease period so as to produce a constant periodic rate of interest on the remaining balance of the liability for each period. The right-of-use asset is depreciated over the shorter of the asset\u2019s useful life and the lease term on a straight-line basis. Payments associated with short-term leases and leases of low-value assets are recognised on a straight-line basis as an expense in profit or loss. Short-term leases are leases with a lease term of twelve months or less. Low-value assets comprise IT equipment and small items of office furniture. (K)  Employee benefits Short-term employee benefits, such as salaries, paid absences, performance-based cash awards and social security costs, are recognised over the period in which the employees provide the related services. (1)  Pension schemes The Group operates a number of post-retirement benefit schemes for its employees including both defined benefit and defined contribution pension plans. A defined benefit scheme is a pension plan that defines an amount of pension benefit that an employee will receive on retirement, dependent on one or more factors such as age, years of pensionable service and pensionable salary. A defined contribution plan is a pension plan into which the Group pays fixed contributions; there is no legal or constructive obligation to pay further contributions. Note 2: Accounting policies continued (i)  Defined benefit schemes Scheme assets are included at their fair value and scheme liabilities are measured on an actuarial basis using the projected unit credit method. The defined benefit scheme liabilities are discounted using rates equivalent to the market yields at the balance sheet date on high-quality corporate bonds that are denominated in the currency in which the benefits will be paid, and that have terms to maturity approximating to the terms of the related pension liability. The Group\u2019s income statement charge includes the current service cost of providing pension benefits, past service costs, net interest expense (income), and plan administration costs that are not deducted from the return on plan assets. Past service costs, which represents the change in the present value of the defined benefit obligation resulting from a plan amendment or curtailment, are recognised when the plan amendment or curtailment occurs. Net interest expense (income) is calculated by applying the discount rate at the beginning of the period to the net defined benefit liability or asset. Remeasurements, comprising actuarial gains and losses, the return on plan assets (excluding amounts included in net interest expense (income) and net of the cost of managing the plan assets), and the effect of changes to the asset ceiling (if applicable) are reflected immediately in the balance sheet with a charge or credit recognised in other comprehensive income in the period in which they occur. Remeasurements recognised in other comprehensive income are reflected immediately in retained profits and will not subsequently be reclassified to profit or loss. The Group\u2019s balance sheet includes the net surplus or deficit, being the difference between the fair value of scheme assets and the discounted value of scheme liabilities at the balance sheet date. Surpluses are only recognised to the extent that they are recoverable through reduced contributions in the future or through refunds from the schemes. In assessing whether a surplus is recoverable, the Group considers (i) its current right to obtain a refund or a reduction in future contributions and (ii) the rights of other parties existing at the balance sheet date. In determining the rights of third parties existing at the balance sheet date, the Group does not anticipate any future acts by other parties. (ii)  Defined contribution schemes The costs of the Group\u2019s defined contribution plans are charged to the income statement in the period in which they fall due. (2)  Share-based compensation The Group operates a number of equity-settled, share-based compensation plans in respect of services received from certain of its employees. The value of the employee services received in exchange for equity instruments granted under these plans is recognised as an expense over the vesting period of the instruments, with a corresponding increase in equity. This expense is determined by reference to the fair value of the number of equity instruments that are expected to vest. The fair value of equity instruments granted is based on market prices, if available, at the date of grant. In the absence of market prices, the fair value of the instruments at the date of grant is estimated using an appropriate valuation technique, such as a Black-Scholes option pricing model or a Monte Carlo simulation. The determination of fair values excludes the impact of any non-market vesting conditions, which are included in the assumptions used to estimate the number of options that are expected to vest. At each balance sheet date, this estimate is reassessed and if necessary revised. Any revision of the original estimate is recognised in the income statement, together with a corresponding adjustment to equity. Cancellations by employees of contributions to the Group\u2019s Save As You Earn plans are treated as non-vesting conditions and the Group recognises, in the year of cancellation, the amount of the expense that would have otherwise been recognised over the remainder of the vesting period. Modifications are assessed at the date of modification and any incremental charges are charged to the income statement. (L)  Taxation Tax expense comprises current and deferred tax. Current and deferred tax are charged or credited in the income statement except to the extent that the tax arises from a transaction or event which is recognised, in the same or a different period, outside the income statement (either in other comprehensive income, directly in equity, or through a business combination), in which case the tax appears in the same statement as the transaction that gave rise to it. The tax consequences of the Group\u2019s dividend payments (including distributions on other equity instruments), if any, are charged or credited to the statement in which the profit distributed originally arose. Current tax is the amount of corporate income taxes expected to be payable or recoverable based on the profit for the period as adjusted for items that are not taxable or not deductible, and is calculated using tax rates and laws that were enacted or substantively enacted at the balance sheet date. Current tax includes amounts provided in respect of uncertain tax positions when management expects that, upon examination of the uncertainty by His Majesty\u2019s Revenue and Customs (HMRC) or other relevant tax authority, it is more likely than not that an economic outflow will occur. Provisions reflect management\u2019s best estimate of the ultimate liability based on their interpretation of tax law, precedent and guidance, informed by external tax advice as necessary. Changes in facts and circumstances underlying these provisions are reassessed at each balance sheet date, and the provisions are remeasured as required to reflect current information. For the Group\u2019s long-term insurance businesses, the tax expense is analysed between tax that is payable in respect of policyholders\u2019 returns and tax that is payable on the shareholders\u2019 returns. This allocation is based on an assessment of the rates of tax which will be applied to the returns under the current UK tax rules. Deferred tax is recognised on temporary differences arising between the tax bases of assets and liabilities and their carrying amounts in the balance sheet. Deferred tax is calculated using tax rates and laws that have been enacted or substantively enacted at the balance sheet date, and which are expected to apply when the related deferred tax asset is realised or the deferred tax liability is settled. Deferred tax liabilities are generally recognised for all taxable temporary differences but not recognised for taxable temporary differences arising on investments in subsidiaries where the reversal of the temporary difference can be controlled and it is probable that the difference will not reverse in the foreseeable future. Deferred tax liabilities are not recognised on temporary differences that arise from goodwill which is not deductible for tax purposes. Deferred tax assets are recognised to the extent it is probable that taxable profits will be available against which the deductible temporary differences can be utilised, and are reviewed at each balance sheet date and reduced to the extent that it is no longer probable that sufficient taxable profits will be available to allow all or part of the asset to be recovered. Deferred tax assets and liabilities are not recognised in respect of temporary differences that arise on initial recognition of assets and liabilities acquired other than in a business combination. Deferred tax is not discounted. Note 2: Accounting policies continued (M) Insurance The Group undertakes both life insurance and general insurance business. Insurance and participating investment contracts are accounted for under IFRS 4 Insurance Contracts, which permits (with certain exceptions) the continuation of accounting practices for measuring insurance and participating investment contracts that applied prior to the adoption of IFRS. The Group, therefore, continues to account for these products using UK GAAP and UK established practice. Products sold by the life insurance business are classified into three categories: \u2022 Insurance contracts \u2013 these contracts transfer significant insurance risk and may also transfer financial risk. The Group defines significant insurance risk as the possibility of having to pay benefits on the occurrence of an insured event which are significantly more than the benefits payable if the insured event were not to occur. These contracts may or may not include discretionary participation features \u2022 Investment contracts containing a discretionary participation feature (participating investment contracts) \u2013 these contracts do not transfer significant insurance risk, but contain a contractual right which gives the holder the right to receive, in addition to the guaranteed benefits, further additional discretionary benefits or bonuses that are likely to be a significant proportion of the total contractual benefits and the amount and timing of which is at the discretion of the Group, within the constraints of the terms and conditions of the instrument and based upon the performance of specified assets \u2022 Non-participating investment contracts \u2013 these contracts do not transfer significant insurance risk or contain a discretionary participation feature For certain investment contracts, the contract can be partly invested in units which contain a discretionary participation feature (DPF) and partly in units without. Where switching levels for similar contracts are deemed to be significant, new investment contracts which contain an option to switch into investment contracts with DPF have been classified as participating investment contracts. Where the switching levels are not deemed to be significant, a new contract is split, with units containing a DPF being allocated as a participating investment contract and the units without a DPF as a non-participating investment contract. The general insurance business issues only insurance contracts. (1)  Life insurance business (i)  Accounting for insurance and participating investment contracts Premiums and claims Premiums received in respect of insurance and participating investment contracts are recognised as revenue when due except for unit-linked contracts on which premiums are recognised as revenue when received. Claims are recorded as an expense on the earlier of the maturity date or the date on which the claim is notified. Liabilities Changes in the value of liabilities are recognised in the income statement through insurance claims and changes in insurance and investment contract liabilities. \u2022 Insurance and participating investment contracts in the Group\u2019s with-profit funds Liabilities of the Group\u2019s with-profit funds, including guarantees and options embedded within products written by these funds, are stated at their realistic values in accordance with the Prudential Regulation Authority\u2019s realistic capital regime, except that projected transfers out of the funds into other Group funds are recorded in the unallocated surplus (see below). Further details on valuation under the realistic capital regime are included in note 31 Liabilities arising from insurance contracts and participating investment contracts. \u2022 Insurance contracts which are not unit-linked or in the Group\u2019s with-profit funds A liability for contractual benefits that are expected to be incurred in the future is recorded when the premiums are recognised. The liability is calculated by estimating the future cash flows over the duration of in-force policies and discounting them back to the valuation date allowing for probabilities of occurrence. The liability will vary with movements in interest rates and with the cost of life insurance and annuity benefits where future mortality is uncertain. Assumptions are made in respect of all material factors affecting future cash flows, including future interest rates, mortality and costs. Further details on valuation are included in note 31 Liabilities arising from insurance contracts and participating investment contracts. \u2022 Insurance and participating investment contracts which are unit-linked Liabilities for unit-linked insurance contracts and participating investment contracts are stated at the bid value of units plus an additional allowance where appropriate (such as for any excess of future expenses over charges). The liability is increased or reduced by the change in the unit prices and is reduced by policy administration fees, mortality and surrender charges and any withdrawals. Benefit claims in excess of the account balances incurred in the period are also charged through insurance claims and changes in insurance and investment contract liabilities. Revenue consists of fees deducted for mortality, policy administration and surrender charges. Unallocated surplus Any amounts in the with-profit funds not yet determined as being due to policyholders or shareholders are recognised as an unallocated surplus which is shown separately from liabilities arising from insurance contracts and participating investment contracts. (ii)  Accounting for non-participating investment contracts The Group\u2019s non-participating investment contracts are primarily unit-linked. These contracts are accounted for as financial liabilities whose value is contractually linked to the fair values of financial assets within the Group\u2019s unitised investment funds. The value of the unit-linked financial liabilities is determined using current unit prices multiplied by the number of units attributed to the contract holders at the balance sheet date. Their value is never less than the amount payable on surrender, discounted for the required notice period where applicable. Investment returns (including movements in fair value and investment income) allocated to those contracts are recognised in the income statement through insurance claims and changes in insurance and investment contract liabilities. Deposits and withdrawals are not accounted for through the income statement but are accounted for directly in the balance sheet as adjustments to the non-participating investment contract liability. The Group receives investment management fees in the form of an initial adjustment or charge to the amount invested. These fees are in respect of services rendered in conjunction with the issue and management of investment contracts where the Group actively manages the consideration received from its customers to fund a return that is based on the investment profile that the customer selected on origination of the contract. These services comprise an indeterminate number of acts over the lives of the individual contracts and, therefore, the Group defers these fees and recognises them over the estimated lives of the contracts, in line with the provision of investment management services. Note 2: Accounting policies continued Costs which are directly attributable and incremental to securing new non-participating investment contracts are deferred. This asset is subsequently amortised over the period of the provision of investment management services and its recoverability is reviewed in circumstances where its carrying amount may not be recoverable. If the asset is greater than its recoverable amount it is written down immediately through fee and commission expense in the income statement. All other costs are recognised as expenses when incurred. (iii) Value of in-force business The Group recognises as an asset the value of in-force business in respect of insurance contracts and participating investment contracts. The asset represents the present value of the shareholders\u2019 interest in the profits expected to emerge from those contracts written at the balance sheet date. This is determined after making appropriate assumptions about future economic and operating conditions such as future mortality and persistency rates and includes allowances for both non-market risk and for the realistic value of financial options and guarantees. Each cash flow is valued using the discount rate consistent with that applied to such a cash flow in the capital markets. The asset in the consolidated balance sheet is presented gross of attributable tax and movements in the asset are reflected within other operating income in the income statement. The Group\u2019s contractual rights to benefits from providing investment management services in relation to non-participating investment contracts acquired in business combinations and portfolio transfers are measured at fair value at the date of acquisition. The resulting asset is amortised over the estimated lives of the contracts. At each reporting date an assessment is made to determine if there is any indication of impairment. Where impairment exists, the carrying value of the asset is reduced to its recoverable amount and the impairment loss recognised in the income statement. (2)  General insurance business The Group both underwrites and acts as intermediary in the sale of general insurance products. Underwriting premiums are included in insurance premium income, net of refunds, in the period in which insurance cover is provided to the customer; premiums received relating to future periods are deferred in the balance sheet within liabilities arising from insurance contracts and participating investment contracts on a basis that reflects the length of time for which contracts have been in-force and the projected incidence of risk over the term of the contract and only credited to the income statement when earned. Broking commission is recognised when the underwriter accepts the risk of providing insurance cover to the customer. Where appropriate, provision is made for the effect of future policy terminations based upon past experience. The underwriting business makes provision for the estimated cost of claims notified but not settled and claims incurred but not reported at the balance sheet date. The provision for the cost of claims notified but not settled is based upon a best estimate of the cost of settling the outstanding claims after taking into account all known facts. In those cases where there is insufficient information to determine the required provision, statistical techniques are used which take into account the cost of claims that have recently been settled and make assumptions about the future development of the outstanding cases. Similar statistical techniques are used to determine the provision for claims incurred but not reported at the balance sheet date. Claims liabilities are not discounted. (3)  Liability adequacy test At each balance sheet date liability adequacy tests are performed to ensure the adequacy of insurance and participating investment contract liabilities net of related deferred cost assets and value of in-force business. In performing these tests, current best estimates of discounted future contractual cash flows and claims handling and policy administration expenses, as well as investment income from the assets backing such liabilities, are used. Any deficiency is immediately charged to the income statement, initially by writing off the relevant assets and subsequently by establishing a provision for losses arising from liability adequacy tests. (4) Reinsurance The presentation of contracts entered into by the Group with reinsurers under which the Group is compensated for amounts payable on one or more other contracts issued by the Group is dependent on whether the contract with the reinsurer transfers significant insurance risk to the reinsurer. Where the reinsurance contract transfers significant insurance risk, it is classified as an insurance contract and the asset is recognised separately on the balance sheet. Where the reinsurance contract does not transfer significant insurance risk to the reinsurer, the assets arising from contracts held with reinsurers are presented within financial assets at fair value through profit or loss. (i)  Contracts with reinsurers that transfer significant insurance risk Amounts recoverable from or due to reinsurers are measured consistently with the amounts associated with the reinsured contracts and in accordance with the terms of each reinsurance contract and are regularly reviewed for impairment. Premiums payable for reinsurance contracts are recognised as an expense when due within insurance premium income. Changes in the reinsurance recoverable assets are recognised in the income statement through insurance claims and changes in insurance and investment contract liabilities. (ii)  Contracts with reinsurers that do not transfer significant insurance risk Contracts that do not transfer significant insurance risk to the reinsurer are recognised within financial assets at fair value through profit or loss as they are within a portfolio of financial assets that is managed, and whose performance is evaluated, on a fair value basis. These contracts, while legally reinsurance contracts, do not meet the definition of a reinsurance contract under IFRS. Investment returns (including movements in fair value and investment income) allocated to these contracts are recognised in insurance claims and changes in insurance and investment contract liabilities. (N)  Foreign currency translation Items included in the financial statements of each of the Group\u2019s entities are measured using the currency of the primary economic environment in which the entity operates (the functional currency). Foreign currency transactions are translated into the appropriate functional currency using the exchange rates prevailing at the dates of the transactions. Foreign exchange gains and losses resulting from the settlement of such transactions and from the translation at year end exchange rates of monetary assets and liabilities denominated in foreign currencies are recognised in the income statement, except when recognised in other comprehensive income as qualifying cash flow or net investment hedges. Non-monetary assets that are measured at fair value are translated using the exchange rate at the date that the fair value was determined. Translation differences on equities and similar non-monetary items held at fair value through profit and loss are recognised in profit or loss as part of the fair value gain or loss. Translation differences on non- monetary financial assets measured at fair value through other comprehensive income, such as equity shares, are included in the fair value reserve in equity unless the asset is a hedged item in a fair value hedge. Note 2: Accounting policies continued The results and financial position of all Group entities that have a functional currency different from the presentation currency are translated into the presentation currency as follows: the assets and liabilities of foreign operations, including goodwill and fair value adjustments arising on the acquisition of a foreign entity, are translated into sterling at foreign exchange rates ruling at the balance sheet date; and the income and expenses of foreign operations are translated into sterling at average exchange rates unless these do not approximate to the foreign exchange rates ruling at the dates of the transactions, in which case income and expenses are translated at the dates of the transactions. Foreign exchange differences arising on the translation of a foreign operation are recognised in other comprehensive income and accumulated in a separate component of equity together with exchange differences arising from the translation of borrowings and other currency instruments designated as hedges of such investments (see (F)(3) above). On disposal or liquidation of a foreign operation, the cumulative amount of exchange differences relating to that foreign operation is reclassified from equity and included in determining the profit or loss arising on disposal or liquidation. (O)  Provisions and contingent liabilities Provisions are recognised in respect of present obligations arising from past events where it is probable that outflows of resources will be required to settle the obligations and they can be reliably estimated. Contingent liabilities are possible obligations whose existence depends on the outcome of uncertain future events or those present obligations where the outflows of resources are uncertain or cannot be measured reliably. Contingent liabilities are not recognised in the financial statements but are disclosed unless they are remote. Provision is made for expected credit losses in respect of irrevocable undrawn loan commitments and financial guarantee contracts (see (H) above). (P)  Share capital Incremental costs directly attributable to the issue of new shares or options or to the acquisition of a business are shown in equity as a deduction, net of tax, from the proceeds. Dividends paid on the Group\u2019s ordinary shares are recognised as a reduction in equity in the period in which they are paid. Where the Company or any member of the Group purchases the Company\u2019s share capital, the consideration paid is deducted from shareholders\u2019 equity as treasury shares until they are cancelled; if these shares are subsequently sold or reissued, any consideration received is included in shareholders\u2019 equity. (Q)  Cash and cash equivalents For the purposes of the cash flow statement, cash and cash equivalents comprise cash and non-mandatory deposits held with central banks, mandatory deposits held with central banks in demand accounts and amounts due from banks with an original maturity of less than three months that are available to finance the Group\u2019s day-to-day operations. ",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfSummaryOfSignificantAccountingPoliciesExplanatory",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-800": {
   "value": "(A) Consolidation The assets, liabilities and results of Group undertakings (including structured entities) are included in the financial statements on the basis of accounts made up to the reporting date. Group undertakings include subsidiaries, associates and joint ventures. Details of the Group\u2019s subsidiaries and related undertakings are given on pages 352 to 360. (1) Subsidiaries Subsidiaries are entities controlled by the Group. The Group controls an entity when it has power over the entity, is exposed to, or has rights to, variable returns from its involvement with the entity, and has the ability to affect those returns through the exercise of its power. This generally accompanies a shareholding of more than one half of the voting rights although in certain circumstances a holding of less than one half of the voting rights may still result in the ability of the Group to exercise control. The existence and effect of potential voting rights that are currently exercisable or convertible are considered when assessing whether the Group controls another entity. The Group reassesses whether or not it controls an entity if facts and circumstances indicate that there have been changes to any of the above elements. Subsidiaries are fully consolidated from the date on which control is transferred to the Group; they are de- consolidated from the date that control ceases. The Group consolidates collective investment vehicles if its beneficial ownership interests give it substantive rights to remove the external fund manager of the investment activities of the fund. Where a subsidiary of the Group is the fund manager of a collective investment vehicle, the Group considers a number of factors in determining whether it acts as principal, and therefore controls the collective investment vehicle, including: an assessment of the scope of the Group\u2019s decision-making authority over the investment vehicle; the rights held by other parties including substantive removal rights without cause over the Group acting as fund manager; the remuneration to which the Group is entitled in its capacity as decision-maker; and the Group\u2019s exposure to variable returns from the beneficial interest that it holds in the investment vehicle. Consolidation may be appropriate in circumstances where the Group has less than a majority beneficial interest. Where a collective investment vehicle is consolidated the interests of parties other than the Group are reported in other liabilities and the movement in those interests in interest expense. Structured entities are entities that are designed so that their activities are not governed by way of voting rights. In assessing whether the Group has power over such entities in which it has an interest, the Group considers factors such as the purpose and design of the entity; its practical ability to direct the relevant activities of the entity; the nature of the relationship with the entity; and the size of its exposure to the variability of returns of the entity. The treatment of transactions with non-controlling interests depends on whether, as a result of the transaction, the Group loses control of the subsidiary. Changes in the parent\u2019s ownership interest in a subsidiary that do not result in a loss of control are accounted for as equity transactions; any difference between the amount by which the non-controlling interests are adjusted and the fair value of the consideration paid or received is recognised directly in equity and attributed to the owners of the parent entity. Where the Group loses control of the subsidiary, at the date when control is lost the amount of any non-controlling interest in that former subsidiary is derecognised and any investment retained in the former subsidiary is remeasured to its fair value; the gain or loss that is recognised in profit or loss on the partial disposal of the subsidiary includes the gain or loss on the remeasurement of the retained interest. Intercompany transactions, balances and unrealised gains and losses on transactions between Group companies are eliminated. The acquisition method of accounting is used to account for business combinations by the Group. The consideration for the  acquisition of a subsidiary is the fair value of the assets transferred, the liabilities incurred and the equity interests issued by the Group.  The consideration includes the fair value of any asset or liability resulting from a contingent consideration arrangement. Acquisition- related costs are expensed as incurred except those relating to the issuance of debt instruments (see (E)(4) below) or share capital  (see (P) below). Identifiable assets acquired and liabilities assumed in a business combination are measured initially at their fair value  at the acquisition date. (2)  Joint ventures and associates Joint ventures are joint arrangements over which the Group has joint control with other parties and has rights to the net assets of the  arrangements. Joint control is the contractually agreed sharing of control of an arrangement and only exists when decisions about  the relevant activities require the unanimous consent of the parties sharing control. Associates are entities over which the Group has  significant influence. Significant influence is the power to participate in the financial and operating policy decisions of the entity, but  is not control or joint control of those policies, and is generally achieved through holding between 20 per cent and 50 per cent of the  voting share capital of the entity. The Group utilises the venture capital exemption for investments where significant influence or joint control is present and the business  unit operates as a venture capital business. These investments are designated on initial recognition at fair value through profit or loss.  Otherwise, the Group\u2019s investments in joint ventures and associates are accounted for using the equity method of accounting. ",
   "dimensions": {
    "concept": "lloydsbankinggroup:DescriptionOfAccountingPolicyForConsolidation",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-801": {
   "value": "(B) Goodwill Goodwill arises on business combinations and represents the excess of the cost of an acquisition over the fair value of the Group\u2019s  share of the identifiable assets, liabilities and contingent liabilities acquired. Where the fair value of the Group\u2019s share of the identifiable  assets, liabilities and contingent liabilities of the acquired entity is greater than the cost of acquisition, the excess is recognised  immediately in the income statement. Goodwill is recognised as an asset at cost and is tested at least annually for impairment. For impairment testing, goodwill is allocated  to the cash generating unit (CGU) or groups of CGUs that are expected to benefit from the business combination. The Group\u2019s CGUs  are largely product based for its Retail and Insurance businesses and client based for its Commercial Banking business. An impairment  loss is recognised if the carrying amount of a CGU is determined to be greater than its recoverable amount. The recoverable amount  of a CGU is the higher of its fair value less costs to sell and its value in use. If an impairment is identified the carrying value of the  goodwill is written down immediately through the income statement and this is not subsequently reversed. At the date of disposal of a  subsidiary, the carrying value of attributable goodwill is included in the calculation of the profit or loss on disposal. ",
   "dimensions": {
    "concept": "ifrs-full:DescriptionOfAccountingPolicyForGoodwillExplanatory",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-802": {
   "value": "(C)  Other intangible assets Intangible assets which have been determined to have a finite useful life are amortised on a straight-line basis over their estimated  useful life as follows: up to 7 years for capitalised software; 10 to 15 years for brands and other intangible assets. Intangible assets with finite useful lives are reviewed at each reporting date to assess whether there is any indication that they are  impaired. If any such indication exists the recoverable amount of the asset is determined and in the event that the asset\u2019s carrying  amount is greater than its recoverable amount, it is written down immediately. Certain brands have been determined to have an  indefinite useful life and are not amortised. Such intangible assets are assessed annually to determine whether the asset is impaired  and to reconfirm that an indefinite useful life remains appropriate. In the event that an indefinite life is inappropriate, a finite life is  determined and a further impairment review is performed on the asset. ",
   "dimensions": {
    "concept": "ifrs-full:DescriptionOfAccountingPolicyForIntangibleAssetsOtherThanGoodwillExplanatory",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-803": {
   "value": "(D)  Revenue recognition (1)  Net interest income Interest income and expense are recognised in the income statement using the effective interest method for all interest-bearing  financial instruments, except for those classified at fair value through profit or loss. The effective interest method is a method of  calculating the amortised cost of a financial asset or liability and of allocating the interest income or interest expense over the  expected life of the financial instrument. The effective interest rate is the rate that exactly discounts the estimated future cash  payments or receipts over the expected life of the financial instrument to the gross carrying amount of the financial asset (before  adjusting for expected credit losses) or to the amortised cost of the financial liability, including early redemption fees, other fees, and  premiums and discounts that are an integral part of the overall return. In the case of financial assets that are purchased or originated  credit-impaired, the effective interest rate is the rate that discounts the estimated future cash flows to the amortised cost of the  instrument. Direct incremental transaction costs related to the acquisition, issue or disposal of a financial instrument are also taken  into account. Interest income from non-credit impaired financial assets is recognised by applying the effective interest rate to the  gross carrying amount of the asset; for credit impaired financial assets, the effective interest rate is applied to the net carrying amount  after deducting the allowance for expected credit losses. Impairment policies are set out in (H) below. (2)  Fee and commission income and expense Fees and commissions receivable which are not an integral part of the effective interest rate are recognised as income as the Group  fulfils its performance obligations. The Group\u2019s principal performance obligations arising from contracts with customers are in respect  of value added current accounts, credit cards and debit cards. These fees are received, and the Group provides the service, monthly;  the fees are recognised in income on this basis. The Group also receives certain fees in respect of its asset finance business where  the performance obligations are typically fulfilled towards the end of the customer contract; these fees are recognised in income on  this basis. Where it is unlikely that the loan commitments will be drawn, loan commitment fees are recognised in fee and commission  income over the life of the facility, rather than as an adjustment to the effective interest rate for the lending expected to be drawn.  Incremental costs incurred to generate fee and commission income are charged to fee and commission expense as they are incurred. (3) Other Dividend income is recognised when the right to receive payment is established. Revenue recognition policies specific to trading income are set out in (E)(3) below; those relating to life insurance and general  insurance business are detailed below (see (M) below); and those relating to leases are set out in (J)(1) below. ",
   "dimensions": {
    "concept": "ifrs-full:DescriptionOfAccountingPolicyForRecognitionOfRevenue",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-804": {
   "value": "(E)  Financial assets and liabilities On initial recognition, financial assets are classified as measured at amortised cost, fair value through other comprehensive income  or fair value through profit or loss, depending on the Group\u2019s business model for managing those financial assets and whether  the resultant cash flows represent solely payments of principal and interest. The Group assesses its business models at a portfolio  level based on its objectives for the relevant portfolio, how the performance of the portfolio is managed and reported, and the  frequency of asset sales. Financial assets with embedded derivatives are considered in their entirety when considering their cash  flow characteristics. The Group reclassifies financial assets only when its business model for managing those assets changes. A  reclassification will only take place when the change is significant to the Group\u2019s operations and will occur at a portfolio level and not  for individual instruments; reclassifications are expected to be rare. Equity investments are measured at fair value through profit or  loss unless the Group elects at initial recognition to account for the instruments at fair value through other comprehensive income. For  these instruments, principally strategic investments, dividends are recognised in profit or loss but fair value gains and losses are not  subsequently reclassified to profit or loss following derecognition of the investment. The Group initially recognises loans and advances, deposits, debt securities in issue and subordinated liabilities when the Group  becomes a party to the contractual provisions of the instrument. Regular way purchases and sales of securities and other financial  assets and trading liabilities are recognised on trade date, being the date that the Group is committed to purchase or sell an asset. Financial assets are derecognised when the contractual right to receive cash flows from those assets has expired or when the Group  has transferred its contractual right to receive the cash flows from the assets and either: substantially all of the risks and rewards of  ownership have been transferred; or the Group has neither retained nor transferred substantially all of the risks and rewards, but has  transferred control. Financial liabilities are derecognised when the obligation is discharged, cancelled or expires. (1)  Financial instruments measured at amortised cost Financial assets that are held to collect contractual cash flows where those cash flows represent solely payments of principal and  interest are measured at amortised cost. A basic lending arrangement results in contractual cash flows that are solely payments of  principal and interest on the principal amount outstanding. Where the contractual cash flows introduce exposure to risks or volatility  unrelated to a basic lending arrangement such as changes in equity prices or commodity prices, the payments do not comprise  solely principal and interest. Financial assets measured at amortised cost are predominantly loans and advances to customers and  banks, reverse repurchase agreements and certain debt securities used by the Group to manage its liquidity. Loans and advances and  reverse repurchase agreements are initially recognised when cash is advanced to the borrower at fair value inclusive of transaction  costs. Interest income is accounted for using the effective interest method (see (D) above). Financial liabilities are measured at amortised cost, except for trading liabilities and other financial liabilities designated at fair value  through profit or loss on initial recognition which are held at fair value. Where changes are made to the contractual cash flows of a financial asset or financial liability that are economically equivalent and  arise as a direct consequence of interest rate benchmark reform, the Group updates the effective interest rate and does not recognise  an immediate gain or loss. (2)  Financial assets measured at fair value through other comprehensive income Financial assets that are held to collect contractual cash flows and for subsequent sale, where the assets\u2019 cash flows represent solely  payments of principal and interest, are recognised in the balance sheet at their fair value, inclusive of transaction costs. Interest  calculated using the effective interest method and foreign exchange gains and losses on assets denominated in foreign currencies  are recognised in the income statement. All other gains and losses arising from changes in fair value are recognised directly in  other comprehensive income, until the financial asset is either sold or matures, at which time the cumulative gain or loss previously  recognised in other comprehensive income is recognised in the income statement; other than in respect of equity shares, for which  the cumulative revaluation amount is transferred directly to retained profits. The Group recognises a charge for expected credit losses  in the income statement (see (H) below). As the asset is measured at fair value, the charge does not adjust the carrying value of the  asset, and this is reflected in other comprehensive income. (3)  Financial instruments measured at fair value through profit or loss Financial assets are classified at fair value through profit or loss where they do not meet the criteria to be measured at amortised  cost or fair value through other comprehensive income or where they are designated at fair value through profit or loss to reduce  an accounting mismatch. All derivatives are carried at fair value through profit or loss, other than those in effective cash flow and  net investment hedging relationships. Derivatives are carried on the balance sheet as assets when their fair value is positive and as  liabilities when their fair value is negative. Refer to note 49(3) (Financial instruments: Financial assets and liabilities carried at fair value)  for details of valuation techniques and significant inputs to valuation models. Derivatives embedded in a financial asset are not considered separately; the financial asset is considered in its entirety when  determining whether its cash flows are solely payments of principal and interest. Derivatives embedded in financial liabilities and  insurance contracts (unless the embedded derivative is itself an insurance contract) are treated as separate derivatives when their  economic characteristics and risks are not closely related to those of the host contract and the host contract is not carried at fair value  through profit or loss. These embedded derivatives are measured at fair value with changes in fair value recognised in the income  statement. In accordance with IFRS 4 Insurance Contracts, a policyholder\u2019s option to surrender an insurance contract for a fixed  amount is not treated as an embedded derivative. The assets backing the insurance and investment contracts issued by the Group do not meet the criteria to be measured at amortised  cost or fair value through other comprehensive income as they are managed on a fair value basis and accordingly are measured at  fair value through profit or loss. Similarly, trading securities, which are debt securities and equity shares acquired principally for the  purpose of selling in the short term or which are part of a portfolio which is managed for short-term gains, do not meet these criteria  and are also measured at fair value through profit or loss. Financial assets measured at fair value through profit or loss are recognised  in the balance sheet at their fair value. Fair value gains and losses together with interest coupons and dividend income are recognised  in the income statement within net trading income. Financial liabilities are measured at fair value through profit or loss where they are trading liabilities or where they are designated at fair value through profit or loss in order to reduce an accounting mismatch; where the liabilities are part of a group of liabilities (or assets and liabilities) which is managed, and its performance evaluated, on a fair value basis; or where the liabilities contain one or more embedded derivatives that significantly modify the cash flows arising under the contract and would otherwise need to be separately accounted for. Financial liabilities measured at fair value through profit or loss are recognised in the balance sheet at their fair value. Fair value gains and losses are recognised in the income statement within net trading income in the period in which they occur, except in the case of financial liabilities designated at fair value through profit or loss where gains and losses attributable to changes in own credit risk are recognised in other comprehensive income. The fair values of assets and liabilities traded in active markets are based on current bid and offer prices, respectively, which include the expected effects of potential changes to laws and regulations, risks associated with climate change and other factors. If the market is not active the Group establishes a fair value by using valuation techniques. The fair values of derivative financial instruments are adjusted where appropriate to reflect credit risk (via credit valuation adjustments (CVAs), debit valuation adjustments (DVAs) and funding valuation adjustments (FVAs)), market liquidity and other risks. (4) Borrowings Borrowings (which include deposits from banks, customer deposits, repurchase agreements, debt securities in issue and subordinated liabilities) are recognised initially at fair value, being their issue proceeds net of transaction costs incurred. These instruments are subsequently stated at amortised cost using the effective interest method. Preference shares and other instruments which carry a mandatory coupon or are redeemable on a specific date are classified as financial liabilities. The coupon on these instruments is recognised in the income statement as interest expense. Securities which carry a discretionary coupon and have no fixed maturity or redemption date are classified as other equity instruments. Interest payments on these securities are recognised as distributions from equity in the period in which they are paid. An exchange of financial liabilities on substantially different terms is accounted for as an extinguishment of the original financial liability and the recognition of a new financial liability. The difference between the carrying amount of a financial liability extinguished and the new financial liability is recognised in profit or loss together with any related costs or fees incurred. When a financial liability is exchanged for an equity instrument, the new equity instrument is recognised at fair value and any difference between the carrying value of the liability and the fair value of the new equity instrument is recognised in profit or loss. (5)  Sale and repurchase agreements (including securities lending and borrowing) Securities sold subject to repurchase agreements (repos) continue to be recognised on the balance sheet where substantially all of the risks and rewards are retained. Funds received for repos carried at fair value are included within trading liabilities. Conversely, securities purchased under agreements to resell (reverse repos), where the Group does not acquire substantially all of the risks and rewards of ownership, are measured at amortised cost or at fair value. Those measured at fair value are recognised within trading securities. The difference between sale and repurchase price is treated as interest and accrued over the life of the agreements using the effective interest method. Securities borrowing and lending transactions are typically secured; collateral takes the form of securities or cash advanced or received. Securities lent to counterparties are retained on the balance sheet. Securities borrowed are not recognised on the balance sheet, unless these are sold to third parties, in which case the obligation to return them is recorded at fair value as a trading liability. Cash collateral given or received is treated as a loan and advance measured at amortised cost or customer deposit. ",
   "dimensions": {
    "concept": "lloydsbankinggroup:DescriptionOfAccountingPolicyForFinancialAssetsAndLiabilities",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-805": {
   "value": "(F)  Hedge accounting As permitted by IFRS 9, the Group continues to apply the requirements of IAS 39 to its hedging relationships. Changes in the fair value of all derivative instruments, other than those in effective cash flow and net investment hedging relationships, are recognised immediately in the income statement. As noted in (2) and (3) below, the change in fair value of a derivative in an effective cash flow or net investment hedging relationship is allocated between the income statement and other comprehensive income. Hedge accounting allows one financial instrument, generally a derivative such as a swap, to be designated as a hedge of another financial instrument such as a loan or deposit or a portfolio of such instruments. At the inception of the hedge relationship, formal documentation is drawn up specifying the hedging strategy, the hedged item, the hedging instrument and the methodology that will be used to measure the effectiveness of the hedge relationship in offsetting changes in the fair value or cash flow of the hedged risk. The effectiveness of the hedging relationship is tested both at inception and throughout its life and if at any point it is concluded that it is no longer highly effective in achieving its documented objective, hedge accounting is discontinued. Note 17 provides details of the types of derivatives held by the Group and presents separately those designated in hedge relationships. Where there is uncertainty arising from interest rate benchmark reform, the Group assumes that the interest rate benchmark on which the hedged cash flows and/or the hedged risk are based, or the interest rate benchmark on which the cash flows of the hedging instrument are based, are not altered as a result of interest rate benchmark reform. The Group does not discontinue a hedging relationship during the period of uncertainty arising from the interest rate benchmark reform solely because the actual results of the hedge are not highly effective. Where the contractual terms of a financial asset, financial liability or derivative are amended, on an economically equivalent basis, as a direct consequence of interest rate benchmark reform, the uncertainty arising from the reform is no longer present. In these circumstances, the Group amends the hedge documentation to reflect the changes required by the reform; these changes to the documentation do not in and of themselves result in the discontinuation of hedge accounting or require the designation of a new hedge relationship. (1)  Fair value hedges Changes in the fair value of derivatives that are designated and qualify as fair value hedges are recorded in the income statement, together with the changes in the fair value of the hedged asset or liability that are attributable to the hedged risk; this also applies if the hedged asset is classified as a financial asset at fair value through other comprehensive income. If the hedge no longer meets the criteria for hedge accounting, changes in the fair value of the hedged item attributable to the hedged risk are no longer recognised in the income statement. The cumulative adjustment that has been made to the carrying amount of the hedged item is amortised to the income statement using the effective interest method over the period to maturity. (2)  Cash flow hedges The effective portion of changes in the fair value of derivatives that are designated and qualify as cash flow hedges is recognised in other comprehensive income in the cash flow hedging reserve. The gain or loss relating to the ineffective portion is recognised immediately in the income statement. Amounts accumulated in equity are reclassified to the income statement in the periods in which the hedged item affects profit or loss. When a hedging instrument expires or is sold, or when a hedge no longer meets the criteria for hedge accounting, any cumulative gain or loss existing in equity at that time remains in equity and is recognised in the income statement when the forecast transaction is ultimately recognised in the income statement. When a forecast transaction is no longer expected to occur, the cumulative gain or loss that was reported in equity is immediately transferred to the income statement. (3)  Net investment hedges Hedges of net investments in foreign operations are accounted for similarly to cash flow hedges. Any gain or loss on the hedging instrument relating to the effective portion of the hedge is recognised in other comprehensive income, the gain or loss relating to the ineffective portion is recognised immediately in the income statement. Gains and losses accumulated in equity are included in the income statement when the foreign operation is disposed of. The hedging instruments used in net investment hedges may include non-derivative liabilities as well as derivative financial instruments. ",
   "dimensions": {
    "concept": "ifrs-full:DescriptionOfAccountingPolicyForDerivativeFinancialInstrumentsAndHedgingExplanatory",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-806": {
   "value": "(G) Offset Financial assets and liabilities are offset and the net amount reported in the balance sheet when there is a legally enforceable right of offset and there is an intention to settle on a net basis, or realise the asset and settle the liability simultaneously. Cash collateral on exchange traded derivative transactions is presented gross unless the collateral cash flows are always settled net with the derivative cash flows. In certain situations, even though master netting agreements exist, the lack of management intention to settle on a net basis results in the financial assets and liabilities being reported gross on the balance sheet. ",
   "dimensions": {
    "concept": "ifrs-full:DescriptionOfAccountingPolicyForOffsettingOfFinancialInstrumentsExplanatory",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-807": {
   "value": "(H)  Impairment of financial assets The impairment charge in the income statement reflects the change in expected credit losses, including those arising from fraud. Expected credit losses are recognised for loans and advances to customers and banks, other financial assets held at amortised cost, financial assets (other than equity investments) measured at fair value through other comprehensive income, and certain loan commitments and financial guarantee contracts. Expected credit losses are calculated as an unbiased and probability-weighted estimate using an appropriate probability of default, adjusted to take into account a range of possible future economic scenarios, and applying this to the estimated exposure of the Group at the point of default after taking into account the value of any collateral held, repayments, or other mitigants of loss and including the impact of discounting using the effective interest rate. At initial recognition, allowance (or provision in the case of some loan commitments and financial guarantees) is made for expected credit losses resulting from default events that are possible within the next 12 months (12-month expected credit losses). In the event of a significant increase in credit risk since origination, allowance (or provision) is made for expected credit losses resulting from all possible default events over the expected life of the financial instrument (lifetime expected credit losses). Financial assets where 12-month expected credit losses are recognised are considered to be Stage 1; financial assets which are considered to have experienced a significant increase in credit risk since initial recognition are in Stage 2; and financial assets which have defaulted or are otherwise considered to be credit-impaired are allocated to Stage 3. Some Stage 3 assets, mainly in Commercial Banking, are subject to individual rather than collective assessment. Such cases are subject to a risk-based impairment sanctioning process, and these are reviewed and updated at least quarterly, or more frequently if there is a significant change in the credit profile. The collective assessment of impairment aggregates financial instruments with similar risk characteristics, such as whether the facility is revolving in nature or secured and the type of security held against financial assets. An assessment of whether credit risk has increased significantly since initial recognition considers the change in the risk of default occurring over the remaining expected life of the financial instrument. In determining whether there has been a significant increase in credit risk, the Group uses quantitative tests based on relative and absolute probability of default (PD) movements linked to internal credit ratings together with qualitative indicators such as watchlists and other indicators of historical delinquency, credit weakness or financial difficulty. The use of internal credit ratings and qualitative indicators ensures alignment between the assessment of staging and the Group\u2019s management of credit risk which utilises these internal metrics within distinct retail and commercial portfolio risk management practices. However, unless identified at an earlier stage, the credit risk of financial assets is deemed to have increased significantly when more than 30 days past due. The use of a payment holiday in and of itself has not been judged to indicate a significant increase in credit risk, with the underlying long-term credit risk deemed to be driven by economic conditions and captured through the use of forward-looking models. These portfolio-level models are capturing the anticipated volume of increased defaults and therefore an appropriate assessment of staging and expected credit loss. Where the credit risk subsequently improves such that it no longer represents a significant increase in credit risk since initial recognition, the asset is transferred back to Stage 1. Assets are transferred to Stage 3 when they have defaulted or are otherwise considered to be credit-impaired. Default is considered to have occurred when there is evidence that the customer is experiencing financial difficulty which is likely to affect significantly the ability to repay the amount due. IFRS 9 contains a rebuttable presumption that default occurs no later than when a payment is 90 days past due which the Group now uses for all its products following changes to the definition of default for UK Mortgages on 1 January 2022. In addition, other indicators of mortgage default are added including end-of-term payments on past due interest-only accounts and loans considered non-performing due to recent arrears or forbearance. The use of payment holidays is not considered to be an automatic trigger of regulatory default and therefore does not automatically trigger Stage 3. Days past due will also not accumulate on any accounts that have taken a payment holiday including those already past due. In certain circumstances, the Group will renegotiate the original terms of a customer\u2019s loan, either as part of an ongoing customer relationship or in response to adverse changes in the circumstances of the borrower. In the latter circumstances, the loan will remain classified as either Stage 2 or Stage 3 until the credit risk has improved such that it no longer represents a significant increase since origination (for a return to Stage 1), or the loan is no longer credit-impaired (for a return to Stage 2). On renegotiation the gross carrying amount of the loan is recalculated as the present value of the renegotiated or modified contractual cash flows, which are discounted at the original effective interest rate. Renegotiation may also lead to the loan and associated allowance being derecognised and a new loan being recognised initially at fair value. Purchased or originated credit-impaired financial assets (POCI) include financial assets that are purchased or originated at a deep discount that reflects incurred credit losses. At initial recognition, POCI assets do not carry an impairment allowance; instead, lifetime expected credit losses are incorporated into the calculation of the effective interest rate. All changes in lifetime expected credit losses subsequent to the assets\u2019 initial recognition are recognised as an impairment charge. A loan or advance is normally written off, either partially or in full, against the related allowance when the proceeds from realising any available security have been received or there is no realistic prospect of recovery and the amount of the loss has been determined. Subsequent recoveries of amounts previously written off decrease the amount of impairment losses recorded in the income statement. For both secured and unsecured retail balances, the write-off takes place only once an extensive set of collections processes has been completed, or the status of the account reaches a point where policy dictates that continuing attempts to recover are no longer appropriate. For commercial lending, a write-off occurs if the loan facility with the customer is restructured, the asset is under administration and the only monies that can be received are the amounts estimated by the administrator, the underlying assets are disposed and a decision is made that no further settlement monies will be received, or external evidence (for example, third-party valuations) is available that there has been an irreversible decline in expected cash flows. ",
   "dimensions": {
    "concept": "ifrs-full:DescriptionOfAccountingPolicyForImpairmentOfFinancialAssetsExplanatory",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-808": {
   "value": "(I)  Property, plant and equipment Property, plant and equipment (other than investment property) is included at cost less accumulated depreciation. The value of land (included in premises) is not depreciated. Depreciation on other assets is calculated using the straight-line method to allocate the difference between the cost and the residual value over their estimated useful lives, as follows: the shorter of 50 years and the remaining period of the lease for freehold/long and short leasehold premises; the shorter of 10 years and, if lease renewal is not likely, the remaining period of the lease for leasehold improvements; 10 to 20 years for fixtures and furnishings; and 2 to 8 years for other equipment and motor vehicles. The assets\u2019 residual values and useful lives are reviewed and, if appropriate, revised at each balance sheet date. Assets are reviewed for impairment whenever events or changes in circumstances indicate that the carrying amount may not be recoverable. In assessing the recoverable amount of assets the Group considers the effects of potential or actual changes in legislation, customer behaviour, climate-related risks and other factors on the asset\u2019s CGU. In the event that an asset\u2019s CGU carrying amount is determined to be greater than its recoverable amount the asset is written down immediately. Investment property comprises freehold and long leasehold land and buildings that are held either to earn rental income or for capital accretion or both, primarily within the life insurance funds. In accordance with the guidance published by the Royal Institution of Chartered Surveyors, investment property is carried at fair value based on current prices for similar properties, adjusted for the specific characteristics of the property (such as location or condition). If this information is not available, the Group uses alternative valuation methods such as discounted cash flow projections or recent prices in less active markets. These valuations are reviewed at least annually by independent professionally qualified valuers. Investment property being redeveloped for continuing use as investment property, or for which the market has become less active, continues to be valued at fair value. ",
   "dimensions": {
    "concept": "ifrs-full:DescriptionOfAccountingPolicyForPropertyPlantAndEquipmentExplanatory",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-809": {
   "value": "(J) Leases Under IFRS 16, a lessor is required to determine whether a lease is a finance or operating lease. A lessee is not required to make this determination. (1)  As lessor Assets leased to customers are classified as finance leases if the lease agreements transfer substantially all of the risks and rewards of ownership to the lessee but not necessarily legal title. All other leases are classified as operating leases. When assets are subject to finance leases, the present value of the lease payments, together with any unguaranteed residual value, is recognised as a receivable, net of allowances for expected credit losses and residual value impairment, within loans and advances to banks and customers. The difference between the gross receivable and the present value of the receivable is recognised as unearned finance lease income. Finance lease income is recognised in interest income over the term of the lease using the net investment method (before tax) so as to give a constant rate of return on the net investment in the lease. Unguaranteed residual values are reviewed regularly to identify any impairment. Operating lease assets are included within other assets at cost and depreciated over their estimated useful lives. The depreciation charge is based on the asset\u2019s residual value and the life of the lease. Operating lease rental income is recognised on a straight-line basis over the life of the lease. The Group evaluates non-lease arrangements such as outsourcing and similar contracts to determine if they contain a lease which is then accounted for separately. (2)  As lessee Leases are recognised as a right-of-use asset and a corresponding liability at the date at which the leased asset is available for use by the Group. Assets and liabilities arising from a lease are initially measured on a present value basis. The lease payments are discounted using the interest rate implicit in the lease, if that rate can be determined, or the Group\u2019s incremental borrowing rate appropriate for the right-of-use asset arising from the lease, and the liability recognised within other liabilities. Lease payments are allocated between the liability and finance cost. The finance cost is charged to profit or loss over the lease period so as to produce a constant periodic rate of interest on the remaining balance of the liability for each period. The right-of-use asset is depreciated over the shorter of the asset\u2019s useful life and the lease term on a straight-line basis. Payments associated with short-term leases and leases of low-value assets are recognised on a straight-line basis as an expense in profit or loss. Short-term leases are leases with a lease term of twelve months or less. Low-value assets comprise IT equipment and small items of office furniture. ",
   "dimensions": {
    "concept": "ifrs-full:DescriptionOfAccountingPolicyForLeasesExplanatory",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-810": {
   "value": "(K)  Employee benefits Short-term employee benefits, such as salaries, paid absences, performance-based cash awards and social security costs, are recognised over the period in which the employees provide the related services. (1)  Pension schemes The Group operates a number of post-retirement benefit schemes for its employees including both defined benefit and defined contribution pension plans. A defined benefit scheme is a pension plan that defines an amount of pension benefit that an employee will receive on retirement, dependent on one or more factors such as age, years of pensionable service and pensionable salary. A defined contribution plan is a pension plan into which the Group pays fixed contributions; there is no legal or constructive obligation to pay further contributions. (i)  Defined benefit schemes Scheme assets are included at their fair value and scheme liabilities are measured on an actuarial basis using the projected unit credit method. The defined benefit scheme liabilities are discounted using rates equivalent to the market yields at the balance sheet date on high-quality corporate bonds that are denominated in the currency in which the benefits will be paid, and that have terms to maturity approximating to the terms of the related pension liability. The Group\u2019s income statement charge includes the current service cost of providing pension benefits, past service costs, net interest expense (income), and plan administration costs that are not deducted from the return on plan assets. Past service costs, which represents the change in the present value of the defined benefit obligation resulting from a plan amendment or curtailment, are recognised when the plan amendment or curtailment occurs. Net interest expense (income) is calculated by applying the discount rate at the beginning of the period to the net defined benefit liability or asset. Remeasurements, comprising actuarial gains and losses, the return on plan assets (excluding amounts included in net interest expense (income) and net of the cost of managing the plan assets), and the effect of changes to the asset ceiling (if applicable) are reflected immediately in the balance sheet with a charge or credit recognised in other comprehensive income in the period in which they occur. Remeasurements recognised in other comprehensive income are reflected immediately in retained profits and will not subsequently be reclassified to profit or loss. The Group\u2019s balance sheet includes the net surplus or deficit, being the difference between the fair value of scheme assets and the discounted value of scheme liabilities at the balance sheet date. Surpluses are only recognised to the extent that they are recoverable through reduced contributions in the future or through refunds from the schemes. In assessing whether a surplus is recoverable, the Group considers (i) its current right to obtain a refund or a reduction in future contributions and (ii) the rights of other parties existing at the balance sheet date. In determining the rights of third parties existing at the balance sheet date, the Group does not anticipate any future acts by other parties. (ii)  Defined contribution schemes The costs of the Group\u2019s defined contribution plans are charged to the income statement in the period in which they fall due. (2)  Share-based compensation The Group operates a number of equity-settled, share-based compensation plans in respect of services received from certain of its employees. The value of the employee services received in exchange for equity instruments granted under these plans is recognised as an expense over the vesting period of the instruments, with a corresponding increase in equity. This expense is determined by reference to the fair value of the number of equity instruments that are expected to vest. The fair value of equity instruments granted is based on market prices, if available, at the date of grant. In the absence of market prices, the fair value of the instruments at the date of grant is estimated using an appropriate valuation technique, such as a Black-Scholes option pricing model or a Monte Carlo simulation. The determination of fair values excludes the impact of any non-market vesting conditions, which are included in the assumptions used to estimate the number of options that are expected to vest. At each balance sheet date, this estimate is reassessed and if necessary revised. Any revision of the original estimate is recognised in the income statement, together with a corresponding adjustment to equity. Cancellations by employees of contributions to the Group\u2019s Save As You Earn plans are treated as non-vesting conditions and the Group recognises, in the year of cancellation, the amount of the expense that would have otherwise been recognised over the remainder of the vesting period. Modifications are assessed at the date of modification and any incremental charges are charged to the income statement. ",
   "dimensions": {
    "concept": "ifrs-full:DescriptionOfAccountingPolicyForEmployeeBenefitsExplanatory",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-811": {
   "value": "(L)  Taxation Tax expense comprises current and deferred tax. Current and deferred tax are charged or credited in the income statement except to the extent that the tax arises from a transaction or event which is recognised, in the same or a different period, outside the income statement (either in other comprehensive income, directly in equity, or through a business combination), in which case the tax appears in the same statement as the transaction that gave rise to it. The tax consequences of the Group\u2019s dividend payments (including distributions on other equity instruments), if any, are charged or credited to the statement in which the profit distributed originally arose. Current tax is the amount of corporate income taxes expected to be payable or recoverable based on the profit for the period as adjusted for items that are not taxable or not deductible, and is calculated using tax rates and laws that were enacted or substantively enacted at the balance sheet date. Current tax includes amounts provided in respect of uncertain tax positions when management expects that, upon examination of the uncertainty by His Majesty\u2019s Revenue and Customs (HMRC) or other relevant tax authority, it is more likely than not that an economic outflow will occur. Provisions reflect management\u2019s best estimate of the ultimate liability based on their interpretation of tax law, precedent and guidance, informed by external tax advice as necessary. Changes in facts and circumstances underlying these provisions are reassessed at each balance sheet date, and the provisions are remeasured as required to reflect current information. For the Group\u2019s long-term insurance businesses, the tax expense is analysed between tax that is payable in respect of policyholders\u2019 returns and tax that is payable on the shareholders\u2019 returns. This allocation is based on an assessment of the rates of tax which will be applied to the returns under the current UK tax rules. Deferred tax is recognised on temporary differences arising between the tax bases of assets and liabilities and their carrying amounts in the balance sheet. Deferred tax is calculated using tax rates and laws that have been enacted or substantively enacted at the balance sheet date, and which are expected to apply when the related deferred tax asset is realised or the deferred tax liability is settled. Deferred tax liabilities are generally recognised for all taxable temporary differences but not recognised for taxable temporary differences arising on investments in subsidiaries where the reversal of the temporary difference can be controlled and it is probable that the difference will not reverse in the foreseeable future. Deferred tax liabilities are not recognised on temporary differences that arise from goodwill which is not deductible for tax purposes. Deferred tax assets are recognised to the extent it is probable that taxable profits will be available against which the deductible temporary differences can be utilised, and are reviewed at each balance sheet date and reduced to the extent that it is no longer probable that sufficient taxable profits will be available to allow all or part of the asset to be recovered. Deferred tax assets and liabilities are not recognised in respect of temporary differences that arise on initial recognition of assets and liabilities acquired other than in a business combination. Deferred tax is not discounted. ",
   "dimensions": {
    "concept": "ifrs-full:DescriptionOfAccountingPolicyForIncomeTaxExplanatory",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-812": {
   "value": "(M) Insurance The Group undertakes both life insurance and general insurance business. Insurance and participating investment contracts are accounted for under IFRS 4 Insurance Contracts, which permits (with certain exceptions) the continuation of accounting practices for measuring insurance and participating investment contracts that applied prior to the adoption of IFRS. The Group, therefore, continues to account for these products using UK GAAP and UK established practice. Products sold by the life insurance business are classified into three categories: \u2022 Insurance contracts \u2013 these contracts transfer significant insurance risk and may also transfer financial risk. The Group defines significant insurance risk as the possibility of having to pay benefits on the occurrence of an insured event which are significantly more than the benefits payable if the insured event were not to occur. These contracts may or may not include discretionary participation features \u2022 Investment contracts containing a discretionary participation feature (participating investment contracts) \u2013 these contracts do not transfer significant insurance risk, but contain a contractual right which gives the holder the right to receive, in addition to the guaranteed benefits, further additional discretionary benefits or bonuses that are likely to be a significant proportion of the total contractual benefits and the amount and timing of which is at the discretion of the Group, within the constraints of the terms and conditions of the instrument and based upon the performance of specified assets \u2022 Non-participating investment contracts \u2013 these contracts do not transfer significant insurance risk or contain a discretionary participation feature For certain investment contracts, the contract can be partly invested in units which contain a discretionary participation feature (DPF) and partly in units without. Where switching levels for similar contracts are deemed to be significant, new investment contracts which contain an option to switch into investment contracts with DPF have been classified as participating investment contracts. Where the switching levels are not deemed to be significant, a new contract is split, with units containing a DPF being allocated as a participating investment contract and the units without a DPF as a non-participating investment contract. The general insurance business issues only insurance contracts. (1)  Life insurance business (i)  Accounting for insurance and participating investment contracts Premiums and claims Premiums received in respect of insurance and participating investment contracts are recognised as revenue when due except for unit-linked contracts on which premiums are recognised as revenue when received. Claims are recorded as an expense on the earlier of the maturity date or the date on which the claim is notified. Liabilities Changes in the value of liabilities are recognised in the income statement through insurance claims and changes in insurance and investment contract liabilities. \u2022 Insurance and participating investment contracts in the Group\u2019s with-profit funds Liabilities of the Group\u2019s with-profit funds, including guarantees and options embedded within products written by these funds, are stated at their realistic values in accordance with the Prudential Regulation Authority\u2019s realistic capital regime, except that projected transfers out of the funds into other Group funds are recorded in the unallocated surplus (see below). Further details on valuation under the realistic capital regime are included in note 31 Liabilities arising from insurance contracts and participating investment contracts. \u2022 Insurance contracts which are not unit-linked or in the Group\u2019s with-profit funds A liability for contractual benefits that are expected to be incurred in the future is recorded when the premiums are recognised. The liability is calculated by estimating the future cash flows over the duration of in-force policies and discounting them back to the valuation date allowing for probabilities of occurrence. The liability will vary with movements in interest rates and with the cost of life insurance and annuity benefits where future mortality is uncertain. Assumptions are made in respect of all material factors affecting future cash flows, including future interest rates, mortality and costs. Further details on valuation are included in note 31 Liabilities arising from insurance contracts and participating investment contracts. \u2022 Insurance and participating investment contracts which are unit-linked Liabilities for unit-linked insurance contracts and participating investment contracts are stated at the bid value of units plus an additional allowance where appropriate (such as for any excess of future expenses over charges). The liability is increased or reduced by the change in the unit prices and is reduced by policy administration fees, mortality and surrender charges and any withdrawals. Benefit claims in excess of the account balances incurred in the period are also charged through insurance claims and changes in insurance and investment contract liabilities. Revenue consists of fees deducted for mortality, policy administration and surrender charges. Unallocated surplus Any amounts in the with-profit funds not yet determined as being due to policyholders or shareholders are recognised as an unallocated surplus which is shown separately from liabilities arising from insurance contracts and participating investment contracts. (ii)  Accounting for non-participating investment contracts The Group\u2019s non-participating investment contracts are primarily unit-linked. These contracts are accounted for as financial liabilities whose value is contractually linked to the fair values of financial assets within the Group\u2019s unitised investment funds. The value of the unit-linked financial liabilities is determined using current unit prices multiplied by the number of units attributed to the contract holders at the balance sheet date. Their value is never less than the amount payable on surrender, discounted for the required notice period where applicable. Investment returns (including movements in fair value and investment income) allocated to those contracts are recognised in the income statement through insurance claims and changes in insurance and investment contract liabilities. Deposits and withdrawals are not accounted for through the income statement but are accounted for directly in the balance sheet as adjustments to the non-participating investment contract liability. The Group receives investment management fees in the form of an initial adjustment or charge to the amount invested. These fees are in respect of services rendered in conjunction with the issue and management of investment contracts where the Group actively manages the consideration received from its customers to fund a return that is based on the investment profile that the customer selected on origination of the contract. These services comprise an indeterminate number of acts over the lives of the individual contracts and, therefore, the Group defers these fees and recognises them over the estimated lives of the contracts, in line with the provision of investment management services. Costs which are directly attributable and incremental to securing new non-participating investment contracts are deferred. This asset is subsequently amortised over the period of the provision of investment management services and its recoverability is reviewed in circumstances where its carrying amount may not be recoverable. If the asset is greater than its recoverable amount it is written down immediately through fee and commission expense in the income statement. All other costs are recognised as expenses when incurred. (iii) Value of in-force business The Group recognises as an asset the value of in-force business in respect of insurance contracts and participating investment contracts. The asset represents the present value of the shareholders\u2019 interest in the profits expected to emerge from those contracts written at the balance sheet date. This is determined after making appropriate assumptions about future economic and operating conditions such as future mortality and persistency rates and includes allowances for both non-market risk and for the realistic value of financial options and guarantees. Each cash flow is valued using the discount rate consistent with that applied to such a cash flow in the capital markets. The asset in the consolidated balance sheet is presented gross of attributable tax and movements in the asset are reflected within other operating income in the income statement. The Group\u2019s contractual rights to benefits from providing investment management services in relation to non-participating investment contracts acquired in business combinations and portfolio transfers are measured at fair value at the date of acquisition. The resulting asset is amortised over the estimated lives of the contracts. At each reporting date an assessment is made to determine if there is any indication of impairment. Where impairment exists, the carrying value of the asset is reduced to its recoverable amount and the impairment loss recognised in the income statement. (2)  General insurance business The Group both underwrites and acts as intermediary in the sale of general insurance products. Underwriting premiums are included in insurance premium income, net of refunds, in the period in which insurance cover is provided to the customer; premiums received relating to future periods are deferred in the balance sheet within liabilities arising from insurance contracts and participating investment contracts on a basis that reflects the length of time for which contracts have been in-force and the projected incidence of risk over the term of the contract and only credited to the income statement when earned. Broking commission is recognised when the underwriter accepts the risk of providing insurance cover to the customer. Where appropriate, provision is made for the effect of future policy terminations based upon past experience. The underwriting business makes provision for the estimated cost of claims notified but not settled and claims incurred but not reported at the balance sheet date. The provision for the cost of claims notified but not settled is based upon a best estimate of the cost of settling the outstanding claims after taking into account all known facts. In those cases where there is insufficient information to determine the required provision, statistical techniques are used which take into account the cost of claims that have recently been settled and make assumptions about the future development of the outstanding cases. Similar statistical techniques are used to determine the provision for claims incurred but not reported at the balance sheet date. Claims liabilities are not discounted. (3)  Liability adequacy test At each balance sheet date liability adequacy tests are performed to ensure the adequacy of insurance and participating investment contract liabilities net of related deferred cost assets and value of in-force business. In performing these tests, current best estimates of discounted future contractual cash flows and claims handling and policy administration expenses, as well as investment income from the assets backing such liabilities, are used. Any deficiency is immediately charged to the income statement, initially by writing off the relevant assets and subsequently by establishing a provision for losses arising from liability adequacy tests. (4) Reinsurance The presentation of contracts entered into by the Group with reinsurers under which the Group is compensated for amounts payable on one or more other contracts issued by the Group is dependent on whether the contract with the reinsurer transfers significant insurance risk to the reinsurer. Where the reinsurance contract transfers significant insurance risk, it is classified as an insurance contract and the asset is recognised separately on the balance sheet. Where the reinsurance contract does not transfer significant insurance risk to the reinsurer, the assets arising from contracts held with reinsurers are presented within financial assets at fair value through profit or loss. (i)  Contracts with reinsurers that transfer significant insurance risk Amounts recoverable from or due to reinsurers are measured consistently with the amounts associated with the reinsured contracts and in accordance with the terms of each reinsurance contract and are regularly reviewed for impairment. Premiums payable for reinsurance contracts are recognised as an expense when due within insurance premium income. Changes in the reinsurance recoverable assets are recognised in the income statement through insurance claims and changes in insurance and investment contract liabilities. (ii)  Contracts with reinsurers that do not transfer significant insurance risk Contracts that do not transfer significant insurance risk to the reinsurer are recognised within financial assets at fair value through profit or loss as they are within a portfolio of financial assets that is managed, and whose performance is evaluated, on a fair value basis. These contracts, while legally reinsurance contracts, do not meet the definition of a reinsurance contract under IFRS. Investment returns (including movements in fair value and investment income) allocated to these contracts are recognised in insurance claims and changes in insurance and investment contract liabilities. ",
   "dimensions": {
    "concept": "ifrs-full:DescriptionOfAccountingPolicyForInsuranceContracts",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-813": {
   "value": "(N)  Foreign currency translation Items included in the financial statements of each of the Group\u2019s entities are measured using the currency of the primary economic environment in which the entity operates (the functional currency). Foreign currency transactions are translated into the appropriate functional currency using the exchange rates prevailing at the dates of the transactions. Foreign exchange gains and losses resulting from the settlement of such transactions and from the translation at year end exchange rates of monetary assets and liabilities denominated in foreign currencies are recognised in the income statement, except when recognised in other comprehensive income as qualifying cash flow or net investment hedges. Non-monetary assets that are measured at fair value are translated using the exchange rate at the date that the fair value was determined. Translation differences on equities and similar non-monetary items held at fair value through profit and loss are recognised in profit or loss as part of the fair value gain or loss. Translation differences on non- monetary financial assets measured at fair value through other comprehensive income, such as equity shares, are included in the fair value reserve in equity unless the asset is a hedged item in a fair value hedge. The results and financial position of all Group entities that have a functional currency different from the presentation currency are translated into the presentation currency as follows: the assets and liabilities of foreign operations, including goodwill and fair value adjustments arising on the acquisition of a foreign entity, are translated into sterling at foreign exchange rates ruling at the balance sheet date; and the income and expenses of foreign operations are translated into sterling at average exchange rates unless these do not approximate to the foreign exchange rates ruling at the dates of the transactions, in which case income and expenses are translated at the dates of the transactions. Foreign exchange differences arising on the translation of a foreign operation are recognised in other comprehensive income and accumulated in a separate component of equity together with exchange differences arising from the translation of borrowings and other currency instruments designated as hedges of such investments (see (F)(3) above). On disposal or liquidation of a foreign operation, the cumulative amount of exchange differences relating to that foreign operation is reclassified from equity and included in determining the profit or loss arising on disposal or liquidation. ",
   "dimensions": {
    "concept": "ifrs-full:DescriptionOfAccountingPolicyForForeignCurrencyTranslationExplanatory",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-814": {
   "value": "(O)  Provisions and contingent liabilities Provisions are recognised in respect of present obligations arising from past events where it is probable that outflows of resources will be required to settle the obligations and they can be reliably estimated. Contingent liabilities are possible obligations whose existence depends on the outcome of uncertain future events or those present obligations where the outflows of resources are uncertain or cannot be measured reliably. Contingent liabilities are not recognised in the financial statements but are disclosed unless they are remote. Provision is made for expected credit losses in respect of irrevocable undrawn loan commitments and financial guarantee contracts (see (H) above). ",
   "dimensions": {
    "concept": "ifrs-full:DescriptionOfAccountingPolicyForProvisionsExplanatory",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-815": {
   "value": "(P)  Share capital Incremental costs directly attributable to the issue of new shares or options or to the acquisition of a business are shown in equity as a deduction, net of tax, from the proceeds. Dividends paid on the Group\u2019s ordinary shares are recognised as a reduction in equity in the period in which they are paid. Where the Company or any member of the Group purchases the Company\u2019s share capital, the consideration paid is deducted from shareholders\u2019 equity as treasury shares until they are cancelled; if these shares are subsequently sold or reissued, any consideration received is included in shareholders\u2019 equity. ",
   "dimensions": {
    "concept": "ifrs-full:DescriptionOfAccountingPolicyForIssuedCapitalExplanatory",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-816": {
   "value": "(Q)  Cash and cash equivalents For the purposes of the cash flow statement, cash and cash equivalents comprise cash and non-mandatory deposits held with central banks, mandatory deposits held with central banks in demand accounts and amounts due from banks with an original maturity of less than three months that are available to finance the Group\u2019s day-to-day operations. ",
   "dimensions": {
    "concept": "ifrs-full:DescriptionOfAccountingPolicyToDetermineComponentsOfCashAndCashEquivalents",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-817": {
   "value": "Note 3: Critical accounting judgements and key sources of estimation uncertainty The preparation of the Group\u2019s financial statements in accordance with IFRS requires management to make judgements, estimates and assumptions in applying the accounting policies that affect the reported amounts of assets, liabilities, income and expenses. Due to the inherent uncertainty in making estimates, actual results reported in future periods may be based upon amounts which differ from those estimates. Estimates, judgements and assumptions are continually evaluated and are based on historical experience and other factors, including expectations of future events that are believed to be reasonable under the circumstances. In preparing the financial statements, the Group has considered the impact of climate-related risks on its financial position and performance. While the effects of climate change represent a source of uncertainty, the Group does not consider there to be a material impact on its judgements and estimates from the physical, transition and other climate-related risks in the short term. The significant judgements, apart from those involving estimation, made by management in applying the Group\u2019s accounting policies in these financial statements (critical judgements) and the key sources of estimation uncertainty that may have a significant risk of causing a material adjustment to the carrying amount of assets and liabilities within the next financial year (key sources of estimation uncertainty), which together are considered critical to the Group\u2019s results and financial position, are as follows: Allowance for expected credit losses Critical judgements: Determining an appropriate definition of default against which a probability of default, exposure at default and loss given default parameter can be evaluated Establishing the criteria for a significant increase in credit risk (SICR) The use of management judgement alongside impairment modelling processes to adjust inputs, parameters and outputs to reflect risks not captured by models Key source of estimation uncertainty: Base case and multiple economic scenarios (MES) assumptions, including the rate of unemployment and the rate of change of house prices, required for creation of MES scenarios and forward-looking credit parameters The Group recognises an allowance for expected credit losses (ECLs) for loans and advances to customers and banks, other financial assets held at amortised cost, financial assets (other than equity investments) measured at fair value through other comprehensive income and certain loan commitment and financial guarantee contracts. At 31 December 2022, the Group\u2019s expected credit loss allowance was \u00a34,903 million (2021: \u00a34,042 million), of which \u00a34,580 million (2021: \u00a33,842 million) was in respect of drawn balances. The calculation of the Group\u2019s expected credit loss allowances and provisions against loan commitments and guarantees under IFRS 9 requires the Group to make a number of judgements, assumptions and estimates. Further information on the critical accounting judgements and key sources of estimation uncertainty (see above) and other significant judgements and estimates is set out in note 19. Note 3: Critical accounting judgements and key sources of estimation uncertainty continued Valuation of assets and liabilities arising from insurance business Critical judgement: Future economic and operating conditions Key sources of estimation uncertainty: Future investment returns Future mortality rates Future expenses These judgements and estimates are subject to significant uncertainty. At 31 December 2022, the Group recognised a value of in-force business asset of \u00a35,244 million (2021: \u00a35,317 million) and an acquired value of in-force business asset of \u00a3175 million (2021: \u00a3197 million). The value of in-force business asset represents the estimated present value of future profits expected to arise from the portfolio of in- force life insurance and participating investment contracts. The valuation of this asset requires judgements to be made about future economic and operating conditions which are inherently uncertain and changes could significantly affect the value attributed to this asset. These judgements are used to determine appropriate assumptions for the asset\u2019s valuation including the appropriate risk-free rate, retail price inflation and expense inflation. The methodology used to value this asset and the key assumptions that have been made in determining the carrying value of the value of in-force business asset at 31 December 2022 are set out in note 24. At 31 December 2022, the Group carried total liabilities arising from insurance contracts and participating investment contracts of \u00a3106,893 million (2021: \u00a3123,423 million). Elements of the valuations of liabilities arising from insurance contracts and participating investment contracts require management to estimate future investment returns, future mortality rates and future expenses. These estimates are subject to significant uncertainty. The methodology used to value these liabilities and the key assumptions that have been made in determining their carrying value are set out in note 31. The effect of changes to critical estimates used by management to determine the life insurance assets and liabilities is set out in note 32, which presents the impact of changes to the estimates made on the Group\u2019s profit before tax and shareholders\u2019 equity as management believes that this analysis best presents these sensitivities in a manner that helps the user of the financial statements to understand the judgements made by management and the level of estimation uncertainty. Defined benefit pension scheme obligations Critical judgement: Determination of an appropriate yield curve Key sources of estimation uncertainty: Discount rate applied to future cash flows Expected lifetime of the schemes\u2019 members Expected rate of future inflationary increases The net asset recognised in the balance sheet at 31 December 2022 in respect of the Group\u2019s defined benefit pension scheme obligations was \u00a33,732 million comprising an asset of \u00a33,823 million and a liability of \u00a391 million (2021: a net asset of \u00a34,404 million comprising an asset of \u00a34,531 million and a liability of \u00a3127 million). The Group\u2019s accounting policy for its defined benefit pension scheme obligations is set out in note 2(K). The accounting valuation of the Group\u2019s defined benefit pension schemes\u2019 liabilities requires management to make a number of assumptions. The key sources of estimation uncertainty are the discount rate applied to future cash flows, the expected lifetime of the schemes\u2019 members and the expected rate of future inflationary increases. Income statement and balance sheet sensitivities to changes in the critical accounting estimates and other actuarial assumptions are provided in part (v) of note 35. Uncertain tax positions Critical judgement: Interpreting tax rules on the Group\u2019s open tax matters The Group has an open matter in relation to a claim for group relief of losses incurred in its former Irish banking subsidiary, which ceased trading on 31 December 2010. In 2013, HMRC informed the Group that its interpretation of the UK rules means that the group relief is not available. In 2020, HMRC concluded their enquiry into the matter and issued a closure notice. The Group\u2019s interpretation of the UK rules has not changed and hence it has appealed to the First Tier Tax Tribunal, with a hearing expected in 2023. If the final determination of the matter by the judicial process is that HMRC\u2019s position is correct, management estimate that this would result in an increase in current tax liabilities of approximately \u00a3875 million (including interest) and a reduction in the Group\u2019s deferred tax asset of approximately \u00a3295 million. The Group, having taken appropriate advice, does not consider that this is a case where additional tax will ultimately fall due. The Group makes other estimates in relation to tax which do not require significant judgements, see further discussion in note 36. Note 3: Critical accounting judgements and key sources of estimation uncertainty continued Regulatory and legal provisions Critical judgements: Determining the scope of reviews required by regulators The impact of legal decisions that may be relevant to claims received Determining whether a reliable estimate is available for obligations arising from past events Key sources of estimation uncertainty: The number of future complaints The proportion of complaints that will be upheld The average cost of redress At 31 December 2022, the Group carried provisions of \u00a3803 million (2021: \u00a31,156 million) against the cost of making redress payments to customers and the related administration costs in connection with historical regulatory breaches. Determining the amount of the provisions, which represent management\u2019s best estimate of the cost of settling these issues, requires the exercise of significant judgement and estimation. It will often be necessary to form a view on matters which are inherently uncertain, such as the scope of reviews required by regulators, and to estimate the number of future complaints, the extent to which they will be upheld, the average cost of redress and the impact of decisions reached by legal and other review processes that may be relevant to claims received. Consequently the continued appropriateness of the underlying assumptions is reviewed on a regular basis against actual experience and other relevant evidence and adjustments made to the provisions where appropriate. Management has applied significant judgement in determining the provision required for HBOS Reading; further details are provided in note 37. Fair value of financial instruments Key source of estimation uncertainty: Interest rate spreads, earnings multiples and interest rate volatility At 31 December 2022, the carrying value of the Group\u2019s financial instrument assets held at fair value was \u00a3228,516 million (2021: \u00a3256,959 million), and its financial instrument liabilities held at fair value was \u00a384,772 million (2021: \u00a386,223 million). The Group\u2019s valuation control framework and a description of level 1, 2 and 3 financial assets and liabilities is set out in note 49(2). The valuation techniques for level 3 financial instruments involve management judgement and estimates, the extent of which depends on the complexity of the instrument and the availability of market observable information. In addition, in line with market practice, the Group applies credit, debit and funding valuation adjustments in determining the fair value of its uncollateralised derivative positions. A description of these adjustments is set out in note 49. A quantitative analysis of the sensitivities to market risk arising from the Group\u2019s trading portfolios is set out in the tables marked audited on page 188. Capitalised software enhancements Critical judgement: Assessing future trading conditions that could affect the Group\u2019s business operations Key source of estimation uncertainty: Estimated useful life of internally generated capitalised software At 31 December 2022, the carrying value of the Group\u2019s capitalised software enhancements was \u00a34,060 million (2021: \u00a33,435 million). In determining the estimated useful life of capitalised software enhancements, management consider the product\u2019s lifecycle and the Group\u2019s technology strategy; assets are reviewed annually to assess whether there is any indication of impairment and to confirm that the remaining estimated useful life is still appropriate. For the year ended 31 December 2022, the amortisation charge was \u00a3833 million (2021: \u00a3892 million), and at 31 December 2022, the weighted-average remaining estimated useful life of the Group\u2019s capitalised software enhancements was 4.5 years (2021: 4.7 years). If the Group reduced by one year the estimated useful life of those assets with a remaining estimated useful life of more than two years at 31 December 2022, the 2023 amortisation charge would be approximately \u00a3200 million higher. Consideration of climate change Financial statement preparation includes the consideration of the impact of climate change on the Group\u2019s financial statements. There has been no material impact identified on the financial reporting judgement and estimates. In particular, the directors considered the impact of climate change in respect of the: \u2022 Going concern of the Group for a period of at least 12 months from the date of approval of the financial statements \u2022 Assessment of impairment of non-financial assets including goodwill \u2022 Carrying value and useful economic lives of property, plant and equipment \u2022 Fair value of financial assets and liabilities. These are generally based on market indicators which include the market\u2019s assessment of climate risk \u2022 Economic scenarios used for measurement of expected credit losses and the behavioural lifetime of assets against the expected time horizons of when climate risks may materialise \u2022 Forecasting of the Group\u2019s future UK taxable profits, which impacts deferred tax recognition Whilst there is currently no material short-term impact of climate change expected, the Group acknowledges the long-term nature of climate risk and continues to monitor and assess climate risks highlighted in the risk management section on page 156. ",
   "dimensions": {
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    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
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  "fact-818": {
   "value": "Note 4: Segmental analysis Lloyds Banking Group provides a wide range of banking and financial services in the UK and in certain locations overseas. The Group Executive Committee (GEC) has been determined to be the chief operating decision-maker, as defined by IFRS 8 Operating Segments, for the Group. The Group\u2019s operating segments reflect its organisational and management structures. The GEC reviews the Group\u2019s internal reporting based around these segments in order to assess performance and allocate resources. They consider interest income and expense on a net basis and consequently the total interest income and expense for all reportable segments is presented net. The segments are differentiated by the type of products provided and by whether the customers are individuals or corporate entities. The segmental results and comparatives are presented on an underlying basis (pre-tax), the basis reviewed by the chief operating decision-maker. The underlying basis is derived from the recognition and measurement principles of IFRS with the effects of the following excluded in arriving at underlying profit: \u2022 Restructuring costs relating to merger, acquisition and integration activities \u2022 Volatility and other items, which includes the effects of certain asset sales, the volatility relating to the Group\u2019s hedging arrangements and that arising in the insurance businesses, the unwind of acquisition-related fair value adjustments and the amortisation of purchased intangible assets \u2022 Payment protection insurance remediation provisions, excluding litigation costs For the purposes of the underlying income statement, operating lease depreciation (net of gains on disposal of operating lease assets) is shown as an adjustment to total income. During the year ended 31 December 2022, there were changes as a result of the Group restructure effective from 1 July 2022 and other methodology changes (comparatives have been restated accordingly): \u2022 Business Banking and Commercial Cards moved from Retail to Commercial Banking. Wealth moved from Insurance and Wealth to Retail \u2022 Insurance and Wealth was renamed Insurance, Pensions and Investments \u2022 The Group reviewed and updated its methodology for liquidity transfer pricing between segments \u2022 The Group revised the treatment of restructuring costs and all such costs other than those relating to merger, acquisition and integration activities are now reported within operating costs in arriving at underlying profit \u2022 Non lending-related fraud costs, previously included within underlying impairment, are now reported as part of operating costs (this has not impacted the statutory impairment charge) Following the restructure, the Group completed a review and determined that it had three operating and reportable segments: Retail; Commercial Banking; and Insurance, Pensions and Investments: \u2022 Retail offers a broad range of financial services products to personal customers, including current accounts, savings, mortgages, credit cards, unsecured loans, motor finance and leasing solutions \u2022 Commercial Banking serves small and medium businesses as well as corporate and institutional clients, providing lending, transactional banking, working capital management, debt financing and risk management services \u2022 Insurance, Pensions and Investments offers insurance, investment and pension management products and services Other comprises income and expenditure not attributed to the Group\u2019s operating segments. These amounts include those arising from the Group\u2019s equities business, residual net interest income after transfer pricing (including the central recovery of the Group\u2019s distributions on other equity instruments) and certain gains from gilt sales. Inter-segment services are generally recharged at cost, although some attract a margin. In particular, a profit margin is charged on the internal commission arrangements between the branch network and other distribution channels and the insurance product manufacturing businesses within the Group. Inter-segment lending and deposits are generally entered into at market rates, except that non-interest bearing balances are priced at a rate that reflects the external yield that could be earned on such funds. For the majority of those derivative contracts entered into by business units for risk management purposes, the business unit recognises the net interest income or expense on an accrual accounting basis and transfers the remainder of the movement in the fair value of the derivative to the central function where the resulting accounting volatility is managed where possible through the establishment of hedge accounting relationships. Any change in fair value of the hedged instrument attributable to the hedged risk is also recorded within the central function. This allocation of the fair value of the derivative and change in fair value of the hedged instrument attributable to the hedged risk avoids accounting asymmetry in segmental results and leads to accounting volatility, which is managed centrally and reported within Other. Note 4: Segmental analysis continued Retail \u00a3m Commercial Banking \u00a3m Insurance, Pensions and Investments \u00a3m Other \u00a3m Underlying basis total \u00a3m Year ended 31 December 2022 Net interest income 9,774 3,447 (101) 52 13,172 Other income, net of insurance claims and changes in insurance and investment contract liabilities 1,731 1,565 1,576 377 5,249 Total underlying income, net of insurance claims and changes in insurance and investment contract liabilities 11,505 5,012 1,475 429 18,421 Operating lease depreciation1 (368) (5) \u2013 \u2013 (373) Net income 11,137 5,007 1,475 429 18,048 Operating costs (5,175) (2,496) (1,042) (122) (8,835) Remediation (92) (133) (30) \u2013 (255) Total costs (5,267) (2,629) (1,072) (122) (9,090) Underlying impairment (charge) credit (1,373) (517) (12) 392 (1,510) Underlying profit before tax 4,497 1,861 391 699 7,448 External income 12,055 4,330 1,526 510 18,421 Inter-segment (expense) income (550) 682 (51) (81) \u2013 Segment underlying income, net of insurance claims and changes in insurance and investment contract liabilities 11,505 5,012 1,475 429 18,421 Segment external assets 372,485 147,477 175,212 182,655 877,829 Segment customer deposits 310,765 163,828 \u2013 738 475,331 Segment external liabilities 314,091 202,070 169,182 144,965 830,308 1  Net of profits on disposal of operating lease assets of \u00a3197 million. Note 4: Segmental analysis continued Retail \u00a3m Commercial Banking \u00a3m Insurance, Pensions and Investments \u00a3m Other \u00a3m Underlying basis total \u00a3m Year ended 31 December 2022 Analysis of segment underlying other income, net of insurance claims and changes in insurance and investment contract liabilities: Fee and commission income: Current accounts 421 225 \u2013 \u2013 646 Credit and debit card fees 735 460 \u2013 \u2013 1,195 Commercial banking and treasury fees \u2013 310 1 311 Unit trust and insurance broking \u2013 \u2013 85 \u2013 85 Factoring \u2013 79 \u2013 \u2013 79 Other fees and commissions 64 169 271 15 519 Total fee and commission income 1,220 1,243 356 16 2,835 Fee and commission expense (665) (315) (334) (18) (1,332) Net fee and commission income 555 928 22 (2) 1,503 Operating lease rental income 1,065 12 \u2013 \u2013 1,077 Rental income from investment properties \u2013 \u2013 144 1 145 Gains less losses on disposal of financial assets at fair value through other comprehensive income \u2013 \u2013 \u2013 92 92 Trading income 69 (793) \u2013 1,320 596 Insurance and other, net of insurance claims and changes in insurance and investment contract liabilities 227 28 2,771 (1,190) 1,836 Other external income, net of insurance claims and changes in insurance and investment contract liabilities 1,361 (753) 2,915 223 3,746 Inter-segment other income (185) 1,390 (1,361) 156 \u2013 Segment other income, net of insurance claims and changes in insurance and investment contract liabilities 1,731 1,565 1,576 377 5,249 Other segment items reflected in income statement above: Depreciation and amortisation 1,216 207 142 831 2,396 Movement in value of in-force business \u2013 \u2013 (80) \u2013 (80) Defined benefit scheme charges 72 28 7 18 125 Non-income statement segment items: Additions to fixed assets 2,146 101 151 1,457 3,855 Investments in joint ventures and associates at end of year 4 \u2013 \u2013 381 385 Note 4: Segmental analysis continued Retail \u00a3m Commercial Banking \u00a3m Insurance, Pensions and Investments \u00a3m Other \u00a3m Underlying basis total \u00a3m Year ended 31 December 2021 1 Net interest income 8,577 2,602 (103) 87 11,163 Other income, net of insurance claims and changes in insurance and investment contract liabilities 1,597 1,442 1,406 615 5,060 Total underlying income, net of insurance claims and changes in insurance and investment contract liabilities 10,174 4,044 1,303 702 16,223 Operating lease depreciation2 (442) (18) \u2013 \u2013 (460) Net income 9,732 4,026 1,303 702 15,763 Operating costs (4,987) (2,288) (899) (138) (8,312) Remediation (360) (830) (123) 13 (1,300) Total costs (5,347) (3,118) (1,022) (125) (9,612) Underlying impairment credit 447 936 \u2013 2 1,385 Underlying profit before tax 4,832 1,844 281 579 7,536 External income 11,260 3,883 1,323 (243) 16,223 Inter-segment (expense) income (1,086) 161 (20) 945 \u2013 Segment underlying income, net of insurance claims and changes in insurance and investment contract liabilities 10,174 4,044 1,303 702 16,223 Segment external assets 364,179 144,390 195,039 182,917 886,525 Segment customer deposits 308,412 167,530 \u2013 402 476,344 Segment external liabilities 312,594 204,641 188,372 127,766 833,373 1  Restated, see page 230. 2  Net of profits on disposal of operating lease assets of \u00a3249 million. Note 4: Segmental analysis continued Retail \u00a3m Commercial Banking \u00a3m Insurance, Pensions and Investments \u00a3m Other \u00a3m Underlying basis total \u00a3m Year ended 31 December 20211 Analysis of segment underlying other income, net of insurance claims and changes in insurance and investment contract liabilities: Fee and commission income: Current accounts 425 213 \u2013 \u2013 638 Credit and debit card fees 533 350 \u2013 \u2013 883 Commercial banking and treasury fees \u2013 376 \u2013 37 413 Unit trust and insurance broking \u2013 \u2013 113 \u2013 113 Factoring \u2013 76 \u2013 \u2013 76 Other fees and commissions 65 183 213 24 485 Total fee and commission income 1,023 1,198 326 61 2,608 Fee and commission expense (571) (271) (313) (30) (1,185) Net fee and commission income 452 927 13 31 1,423 Operating lease rental income 1,046 13 \u2013 \u2013 1,059 Rental income from investment properties \u2013 \u2013 186 \u2013 186 Gains less losses on disposal of financial assets at fair value through other comprehensive income \u2013 (5) \u2013 3 (2) Trading income 52 926 \u2013 345 1,323 Insurance and other, net of insurance claims and changes in insurance and investment contract liabilities 136 119 1,766 (950) 1,071 Other external income, net of insurance claims and changes in insurance and investment contract liabilities 1,234 1,053 1,952 (602) 3,637 Inter-segment other income (89) (538) (559) 1,186 \u2013 Segment other income, net of insurance claims and changes in insurance and investment contract liabilities 1,597 1,442 1,406 615 5,060 Other segment items reflected in income statement above: Depreciation and amortisation 1,525 283 170 847 2,825 Movement in value of in-force business \u2013 \u2013 (70) \u2013 (70) Defined benefit scheme charges 91 30 9 106 236 Non-income statement segment items: Additions to fixed assets 1,921 179 117 1,011 3,228 Investments in joint ventures and associates at end of year 6 \u2013 \u2013 346 352 1  Restated, see page 230. Note 4: Segmental analysis continued Retail \u00a3m Commercial Banking \u00a3m Insurance, Pensions and Investments \u00a3m Other \u00a3m Underlying basis total \u00a3m Year ended 31 December 2020 1 Net interest income 8,380 2,528 (118) (17) 10,773 Other income, net of insurance claims and changes in insurance and investment contract liabilities 1,606 1,428 1,241 240 4,515 Total underlying income, net of insurance claims and changes in insurance and investment contract liabilities 9,986 3,956 1,123 223 15,288 Operating lease depreciation2 (856) (28) \u2013 \u2013 (884) Net income 9,130 3,928 1,123 223 14,404 Operating costs (4,967) (2,281) (832) (122) (8,202) Remediation (125) (210) (50) 6 (379) Total costs (5,092) (2,491) (882) (116) (8,581) Underlying impairment charge (2,128) (1,561) (2) (390) (4,081) Underlying profit (loss) before tax 1,910 (124) 239 (283) 1,742 External income 11,499 3,600 1,238 (1,049) 15,288 Inter-segment (expense) income (1,513) 356 (115) 1,272 \u2013 Segment underlying income, net of insurance claims and changes in insurance and investment contract liabilities 9,986 3,956 1,123 223 15,288 Segment external assets 350,779 151,093 182,284 187,113 871,269 Segment customer deposits 279,610 170,262 \u2013 779 450,651 Segment external liabilities 284,634 214,022 176,646 146,554 821,856 1  Restated, see page 230. 2  Net of profits on disposal of operating lease assets of \u00a3127 million. Note 4: Segmental analysis continued Retail \u00a3m Commercial Banking \u00a3m Insurance, Pensions and Investments \u00a3m Other \u00a3m Underlying basis total \u00a3m Year ended 31 December 2020 1 Analysis of segment underlying other income, net of insurance claims and changes in insurance and investment contract liabilities: Fee and commission income: Current accounts 429 186 \u2013 \u2013 615 Credit and debit card fees 447 301 \u2013 \u2013 748 Commercial banking and treasury fees \u2013 274 \u2013 \u2013 274 Unit trust and insurance broking \u2013 \u2013 146 \u2013 146 Factoring \u2013 76 \u2013 \u2013 76 Other fees and commissions 71 183 194 1 449 Total fee and commission income 947 1,020 340 1 2,308 Fee and commission expense (585) (234) (303) (26) (1,148) Net fee and commission income 362 786 37 (25) 1,160 Operating lease rental income 1,103 17 \u2013 \u2013 1,120 Rental income from investment properties \u2013 \u2013 191 \u2013 191 Gains less losses on disposal of financial assets at fair value through other comprehensive income \u2013 \u2013 \u2013 149 149 Lease termination income \u2013 5 \u2013 \u2013 5 Trading income 64 792 \u2013 204 1,060 Insurance and other, net of insurance claims and changes in insurance and investment contract liabilities 198 349 1,338 (1,055) 830 Other external income, net of insurance claims and changes in insurance and investment contract liabilities 1,365 1,163 1,529 (702) 3,355 Inter-segment other income (121) (521) (325) 967 \u2013 Segment other income, net of insurance claims and changes in insurance and investment contract liabilities 1,606 1,428 1,241 240 4,515 Other segment items reflected in income statement above: Depreciation and amortisation 1,760 263 159 550 2,732 Movement in value of in-force business \u2013 \u2013 76 \u2013 76 Defined benefit scheme charges 100 32 9 106 247 Non-income statement segment items: Additions to fixed assets 1,684 112 125 980 2,901 Investments in joint ventures and associates at end of year 4 \u2013 \u2013 292 296 1  Restated, see page 230. Geographical areas The Group\u2019s operations are predominantly UK-based and as a result an analysis between UK and non-UK activities is not provided. Note 4: Segmental analysis continued Reconciliation of underlying basis to statutory results The underlying basis is the basis on which financial information is presented to the chief operating decision-maker which excludes certain items included in the statutory results. The table below reconciles the statutory results to the underlying basis. Lloyds Banking Group statutory \u00a3m Removal of: Volatility, restructuring and other items1 \u00a3m Insurance gross up 2 \u00a3m PPI remediation \u00a3m Underlying basis \u00a3m Year ended 31 December 2022 Net interest income 13,957 226 (1,011) \u2013 13,172 Other income, net of insurance claims and changes in insurance and investment contract liabilities 4,252 120 877 \u2013 5,249 Operating lease depreciation3 (373) \u2013 \u2013 (373) Total income, net of insurance claims and changes in insurance and investment contract liabilities / Net income 18,209 (27) (134) \u2013 18,048 Operating expenses (9,759) 535 134 \u2013 (9,090) Impairment charge (1,522) 12 \u2013 \u2013 (1,510) Profit before tax 6,928 520 \u2013 \u2013 7,448 Lloyds Banking Group statutory \u00a3m Removal of: Volatility, restructuring and other items 4 \u00a3m Insurance gross up 2 \u00a3m PPI remediation \u00a3m Underlying basis \u00a3m Year ended 31 December 2021 Net interest income 9,366 255 1,542 \u2013 11,163 Other income, net of insurance claims and changes in insurance and investment contract liabilities 6,958 (139) (1,759) \u2013 5,060 Operating lease depreciation3 (460) \u2013 \u2013 (460) Total income, net of insurance claims and changes in insurance and investment contract liabilities / Net income 16,324 (344) (217) \u2013 15,763 Operating expenses (10,800) 971 217 \u2013 (9,612) Impairment credit 1,378 7 \u2013 \u2013 1,385 Profit before tax 6,902 634 \u2013 \u2013 7,536 Lloyds Banking Group statutory \u00a3m Removal of: Volatility, restructuring and other items 5 \u00a3m Insurance gross up 2 \u00a3m PPI remediation \u00a3m Underlying basis \u00a3m Year ended 31 December 2020 Net interest income 10,749 174 (150) \u2013 10,773 Other income, net of insurance claims and changes in insurance and investment contract liabilities 4,377 165 (27) \u2013 4,515 Operating lease depreciation3 (884) \u2013 \u2013 (884) Total income, net of insurance claims and changes in insurance and investment contract liabilities / Net income 15,126 (545) (177) \u2013 14,404 Operating expenses (9,745) 905 174 85 (8,581) Impairment (charge) credit (4,155) 71 3 \u2013 (4,081) Profit before tax 1,226 431 \u2013 85 1,742 1  In the year ended 31 December 2022 this comprises the effects of market volatility and asset sales (losses of \u00a3252 million); the amortisation of purchased intangibles (\u00a370 million); restructuring (\u00a380 million of merger, acquisition and integration costs); and the fair value unwind (losses of \u00a3118 million). 2  The Group\u2019s insurance businesses\u2019 income statements include income and expenditure which are attributable to the policyholders of the Group\u2019s long-term assurance funds. These items have no impact in total upon the profit attributable to equity shareholders and, in order to provide a clearer representation of the underlying trends within the business, these items are shown net within the underlying results. 3  Net of profits on disposal of operating lease assets of \u00a3197 million (2021: \u00a3249 million; 2020: \u00a3127 million). 4  Comprises the effects of market volatility and asset sales (gain of \u00a387 million); the amortisation of purchased intangibles (\u00a370 million); restructuring (\u00a3452 million, including a software write-off as a result of investment in new technology and systems infrastructure together with merger, acquisition and integration costs); and the fair value unwind (losses of \u00a3199 million). 5  Comprises the effects of market volatility and asset sales (losses of \u00a359 million); the amortisation of purchased intangibles (\u00a369 million); restructuring (\u00a370 million of merger, acquisition and integration costs); and the fair value unwind (losses of \u00a3233 million). ",
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    "concept": "ifrs-full:DisclosureOfEntitysReportableSegmentsExplanatory",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
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  },
  "fact-819": {
   "value": "Note 5: Net interest income Weighted average effective interest rate 2022 % 2021 % 2020 % 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m Interest income: Loans and advances to banks and reverse repurchase agreements 1.29 0.12 0.24 1,313 104 203 Loans and advances to customers and reverse repurchase agreements 3.00 2.51 2.72 15,217 12,633 13,704 Debt securities 1.85 1.46 1.81 168 80 97 Financial assets held at amortised cost 2.70 2.15 2.35 16,698 12,817 14,004 Financial assets at fair value through other comprehensive income 3.97 1.67 1.10 947 441 302 Total interest income1 2.75 2.13 2.30 17,645 13,258 14,306 Interest expense: Deposits from banks 1.87 0.75 0.84 (148) (74) (113) Customer deposits 0.40 0.12 0.32 (1,387) (426) (1,091) Repurchase agreements at amortised cost 1.82 0.10 0.36 (842) (22) (117) Debt securities in issue2 2.21 1.13 1.37 (1,636) (900) (1,313) Lease liabilities 2.19 2.12 2.39 (29) (32) (41) Subordinated liabilities 6.39 6.92 6.29 (681) (932) (1,057) Liabilities held at amortised cost 0.97 0.50 0.74 (4,723) (2,386) (3,732) Amounts payable to unitholders in consolidated open-ended investment vehicles 3 (9.47) 12.53 (1.58) 1,035 (1,506) 175 Total interest expense4 0.74 0.80 0.69 (3,688) (3,892) (3,557) Net interest income 13,957 9,366 10,749 1  Includes \u00a321 million (2021: \u00a310 million; 2020: \u00a310 million) of interest income on liabilities with negative interest rates, \u00a337 million (2021: \u00a347 million; 2020: \u00a347 million) in respect of interest income on finance leases and \u00a3687 million (2021: \u00a3701 million) in respect of hire purchase receivables. 2  The impact of the Group\u2019s hedging arrangements is included on this line; excluding this impact the weighted average effective interest rate in respect of debt securities in issue would be 3.67 per cent (2021: 1.77 per cent; 2020: 2.28 per cent). 3  Where a collective investment vehicle is consolidated the interests of parties other than the Group are reported in other liabilities and the movement in these interests in interest expense. 4  Includes \u00a323 million (2021: \u00a32 million; 2020: \u00a324 million) of interest expense on assets with negative interest rates. Included within interest income is \u00a3272 million (2021: \u00a3174 million; 2020: \u00a3171 million) in respect of credit-impaired financial assets. Net interest income also includes a debit of \u00a343 million (2021: credit of \u00a3621 million; 2020: credit of \u00a3496 million) transferred from the cash flow hedging reserve (see note 41). ",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfInterestIncomeExpenseExplanatory",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-820": {
   "value": "Note 6: Net fee and commission income 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m Fee and commission income: Current accounts 646 638 615 Credit and debit card fees 1,195 883 748 Commercial banking and treasury fees 311 413 274 Unit trust and insurance broking 85 113 146 Factoring 79 76 76 Other fees and commissions 519 485 449 Total fee and commission income 2,835 2,608 2,308 Fee and commission expense (1,332) (1,185) (1,148) Net fee and commission income 1,503 1,423 1,160 Fees and commissions which are an integral part of the effective interest rate form part of net interest income shown in note 5. Fees and commissions relating to instruments that are held at fair value through profit or loss are included within net trading income shown in note 7. In determining the disaggregation of fees and commissions the Group has considered how the nature, amount, timing and uncertainty of revenue and cash flows are affected by economic factors, including those that are impacted by climate-related factors. It has determined that the above disaggregation by product type provides useful information that does not aggregate items that have substantially different characteristics and is not too detailed. Note 6: Net fee and commission income continued At 31 December 2022, the Group held on its balance sheet \u00a3173 million (31 December 2021: \u00a3201 million) in respect of services provided to customers and \u00a374 million (31 December 2021: \u00a384 million) in respect of amounts received from customers for services to be provided after the balance sheet date. Current unsatisfied performance obligations amount to \u00a3149 million (31 December 2021: \u00a3157 million); the Group expects to receive substantially all of this revenue by 2024. Income recognised during the year included \u00a38 million (2021: \u00a316 million) in respect of amounts included in the contract liability balance at the start of the year and \u00a31 million (2021: \u00a32 million) in respect of amounts from performance obligations satisfied in previous years. The most significant performance obligations undertaken by the Group are in respect of current accounts, the provision of other banking services for commercial customers and credit and debit card services. In respect of current accounts, the Group receives fees for the provision of bank account and transaction services such as ATM services, fund transfers, overdraft facilities and other value-added offerings. For commercial customers, alongside its provision of current accounts, the Group provides other corporate banking services including factoring and commitments to provide loan financing. Loan commitment fees are included in fees and commissions where the loan is not expected to be drawn down by the customer. The Group receives interchange and merchant fees, together with fees for overseas use and cash advances, for provision of card services to cardholders and merchants. ",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfFeeAndCommissionIncomeExpenseExplanatory",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-821": {
   "value": "Note 7: Net trading income 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m Foreign exchange translation (losses) gains (1,318) 212 12 Gains on foreign exchange trading transactions 255 394 527 Total foreign exchange (1,063) 606 539 Investment property (losses) gains (note 26) (511) 575 (209) Securities and other (losses) gains (see below) (18,413) 16,019 6,890 Net trading income (19,987) 17,200 7,220 Securities and other gains comprise net gains (losses) arising on assets and liabilities held at fair value through profit or loss as follows: 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m Net income arising on assets and liabilities mandatorily held at fair value through profit or loss: Financial instruments held for trading1 (1,049) 141 724 Other financial instruments mandatorily held at fair value through profit or loss: Debt securities, loans and advances (7,677) (1,153) 3,554 Equity shares (9,533) 17,096 2,729 (18,259) 16,084 7,007 Net expense arising on assets and liabilities designated at fair value through profit or loss (154) (65) (117) Securities and other (losses) gains (18,413) 16,019 6,890 1  Includes hedge ineffectiveness in respect of fair value hedges (2022: loss of \u00a341 million, 2021: gain of \u00a3177 million; 2020: gain of \u00a3547 million) and cash flow hedges (2022: loss of \u00a310 million, 2021: loss of \u00a369 million; 2020: loss of \u00a32 million). ",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfTradingIncomeExpenseExplanatory",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-822": {
   "value": "Note 8: Insurance premium income 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m Life insurance Gross premiums: Life and pensions, excluding annuities 7,711 7,515 6,941 Annuities 1,190 531 1,378 8,901 8,046 8,319 Ceded reinsurance premiums (369) (376) (333) Net earned premiums 8,532 7,670 7,986 Non-life insurance Net earned premiums 527 613 629 Total insurance premium income 9,059 8,283 8,615 ",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfInsurancePremiumRevenueExplanatory",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-823": {
   "value": "Note 9: Other operating income 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m Operating lease rental income 1,077 1,059 1,120 Rental income from investment properties (note 26) 145 186 191 Gains less losses on disposal of financial assets at fair value through other comprehensive income (note 41) 92 (2) 149 Movement in value of in-force business (note 24) (80) (70) 76 Liability management (31) (22) (145) Share of results of joint ventures and associates (note 22) 10 2 (13) Other 63 19 45 Total other operating income 1,276 1,172 1,423 ",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfOtherOperatingIncomeExplanatory",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-824": {
   "value": "Note 10: Insurance claims and changes in insurance and investment contract liabilities 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m Life insurance and participating investment contracts Claims and surrenders (8,270) (9,063) (7,670) Change in insurance and participating investment contracts (note 31) 16,624 (7,474) (4,590) 8,354 (16,537) (12,260) Non-participating investment contracts Change in non-participating investment contracts 4,166 (4,581) (1,938) 12,520 (21,118) (14,198) Reinsurers\u2019 share 1 234 285 418 12,754 (20,833) (13,780) Change in unallocated surplus 60 35 57 Total life insurance and investment contracts 12,814 (20,798) (13,723) Non-life insurance Total non-life insurance claims, net of reinsurance (413) (322) (318) Total insurance claims and changes in insurance and investment contract liabilities 12,401 (21,120) (14,041) 1  Reinsurers\u2019 share compromises a credit of \u00a3nil (2021: charge of \u00a35 million) in respect of contracts classified as financial assets at fair value through profit or loss and a credit of \u00a3234 million (2021: credit of \u00a3290 million) in respect of contracts classified as reinsurance contracts. Total non-life insurance claims, net of reinsurance, in 2022 included weather-related claims of \u00a3116 million (2021: \u00a330 million). Of this, \u00a3108 million (2021: \u00a311 million) was related to severe weather events. Life insurance and participating investment contracts gross claims and surrenders can also be analysed as follows: 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m Deaths (731) (790) (694) Maturities including surrenders (6,161) (6,915) (5,514) Annuities (1,213) (1,194) (1,171) Other (165) (164) (291) Total life insurance gross claims and surrenders (8,270) (9,063) (7,670) ",
   "dimensions": {
    "concept": "lloydsbankinggroup:DisclosureOfInsuranceClaimsAndChangesInInsuranceClaimsAndChangesInInsuranceAndInvestmentContractlLiabilities",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-825": {
   "value": "Note 11: Operating expenses 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m Staff costs: Salaries 2,511 2,405 2,568 Performance-based compensation (see below) 458 335 117 Social security costs 341 308 287 Pensions and other post-retirement benefit schemes (note 35) 455 538 566 Restructuring costs 50 92 166 Other staff costs 257 207 131 4,072 3,885 3,835 Premises and equipment costs: Rent and rates 100 118 117 Repairs and maintenance 137 169 174 Other1 95 (26) 176 332 261 467 Other expenses: Communications and data processing 1,438 1,181 1,013 Advertising and promotion 170 161 187 Professional fees 265 210 189 UK bank levy 148 132 211 Regulatory and legal provisions (note 37) 255 1,300 464 Other 683 845 643 2,959 3,829 2,707 Depreciation and amortisation: Depreciation of property, plant and equipment 2 1,471 1,839 2,046 Amortisation of acquired value of in-force non-participating investment contracts (note 24) 22 24 26 Amortisation of other intangible assets (note 25) 903 962 660 2,396 2,825 2,732 Goodwill impairment (note 23) \u2013 \u2013 4 Total operating expenses 9,759 10,800 9,745 1  Net of profits on disposal of operating lease assets of \u00a3197 million (2021: \u00a3249 million; 2020: \u00a3127 million). 2  Comprising depreciation in respect of premises \u00a3114 million (2021: \u00a3123 million; 2020: \u00a3127 million), equipment \u00a3561 million (2021: \u00a3779 million; 2020: \u00a3680 million), operating lease assets \u00a3570 million (2021: \u00a3709 million; 2020: \u00a31,011 million) and right-of-use assets \u00a3226 million (2021: \u00a3228 million; 2020: \u00a3228 million). Performance-based compensation The tables below analyse the Group\u2019s performance-based compensation costs between those relating to the current performance year and those relating to earlier years. 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m Performance-based compensation expense comprises: Awards made in respect of the year ended 31 December 349 313 22 Awards made in respect of earlier years 109 22 95 458 335 117 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m Performance-based compensation expense deferred until later years comprises: Awards made in respect of the year ended 31 December 128 110 30 Awards made in respect of earlier years 20 22 31 148 132 61 Performance-based awards expensed in 2022 include cash awards amounting to \u00a3144 million (2021: \u00a3134 million; 2020: \u00a312 million). Average headcount The average number of persons on a headcount basis employed by the Group during the year was as follows: 2022 2021 2020 UK 62,587 64,250 67,881 Overseas 785 826 784 Total 63,372 65,076 68,665 ",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfExpensesExplanatory",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-826": {
   "value": "Note 12: Auditors\u2019 remuneration Fees payable to the Company\u2019s auditors 1 by the Group are as follows: 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m Fees payable for the: \u2013 audit of the Company\u2019s current year annual report 1.9 1.8 1.7 \u2013 audits of the Company\u2019s subsidiaries 29.5 23.7 22.4 \u2013 total audit fees in respect of the statutory audit of Group entities2 31.4 25.5 24.1 \u2013 services normally provided in connection with statutory and regulatory filings or engagements 6.3 4.8 3.7 Total audit fees 3 37.7 30.3 27.8 Other audit-related fees3 1.5 0.5 0.5 All other fees 3 5.0 1.2 0.9 Total non-audit services4 6.5 1.7 1.4 Total fees payable to the Company\u2019s auditors by the Group 44.2 32.0 29.2 1  Deloitte LLP became the Group\u2019s statutory auditor in 2021. PricewaterhouseCoopers LLP was the statutory auditor during 2020. 2  As defined by the Financial Reporting Council (FRC). 3  As defined by the Securities and Exchange Commission (SEC). 4  As defined by the SEC. Total non-audit services as defined by the FRC include all fees other than audit fees in respect of the statutory audit of Group entities. These fees totalled \u00a312.8 million in 2022 (2021: \u00a36.5 million; 2020: \u00a35.1 million). The following types of services are included in the categories listed above: Audit fees: This category includes fees in respect of the audit of the Group\u2019s annual financial statements (including work related to the adoption of new accounting standards) and other services in connection with regulatory filings. Other services supplied pursuant to legislation relate primarily to costs incurred in connection with client asset assurance and with the Sarbanes-Oxley Act requirements associated with the audit of the Group\u2019s financial statements filed on its Form 20-F. Other audit-related fees: This category includes fees in respect of services for assurance and related services that are reasonably related to the performance of the audit or review of the financial statements, for example acting as reporting accountants in respect of debt prospectuses required by the Listing Rules. All other fees: This category includes other assurance services not related to the performance of the audit or review of the financial statements, for example, the review of controls operated by the Group on behalf of a third party. The auditors are not engaged to provide tax services. It is the Group\u2019s policy to use the auditors only on assignments in cases where their knowledge of the Group means that it is neither efficient nor cost effective to employ another firm of accountants. The Group has procedures that are designed to ensure auditor independence, including prohibiting certain non-audit services. All audit and non-audit assignments must be pre-approved by the Audit Committee on an individual engagement basis; for certain types of non-audit engagements where the fee is \u2018de minimis\u2019 the Audit Committee has pre-approved all assignments subject to confirmation by management. On a quarterly basis, the Audit Committee receives and reviews a report detailing all pre-approved services and amounts paid to the auditors for such pre-approved services. During the year, the auditors 1 also earned fees payable by entities outside the consolidated Lloyds Banking Group in respect of the following: 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m Audits of Group pension schemes 0.4 0.4 0.1 Audits of the unconsolidated Open-Ended Investment Companies managed by the Group 0.2 0.3 0.4 Reviews of the financial position of corporate and other borrowers \u2013 0.3 1.4 1  Deloitte LLP became the Group\u2019s statutory auditor in 2021. PricewaterhouseCoopers LLP was the statutory auditor during 2020. ",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfAuditorsRemunerationExplanatory",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-827": {
   "value": "Note 13: Impairment Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m Year ended 31 December 2022 Impact of transfers between stages (24) 581 357 \u2013 914 Other changes in credit quality (278) 90 663 78 553 Additions and repayments 132 113 (69) (58) 118 Methodology and model changes 2 11 (47) (29) (63) Other items \u2013 \u2013 \u2013 \u2013 \u2013 (144) 214 547 (9) 608 Total impairment (credit) charge (168) 795 904 (9) 1,522 In respect of: Loans and advances to banks 12 2 \u2013 \u2013 14 Loans and advances to customers (217) 694 883 (9) 1,351 Debt securities 7 \u2013 \u2013 \u2013 7 Financial assets at amortised cost (198) 696 883 (9) 1,372 Other assets \u2013 \u2013 22 \u2013 22 Impairment charge on drawn balances (198) 696 905 (9) 1,394 Loan commitments and financial guarantees 24 99 (1) \u2013 122 Financial assets at fair value through other comprehensive income 6 \u2013 \u2013 \u2013 6 Total impairment (credit) charge (168) 795 904 (9) 1,522 Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m Year ended 31 December 2021 Impact of transfers between stages 75 (481) 339 \u2013 (67) Other changes in credit quality (331) (320) 252 (48) (447) Additions and repayments (246) (389) (96) (87) (818) Methodology and model changes (63) 15 6 \u2013 (42) Other items 2 4 (10) \u2013 (4) (638) (690) 152 (135) (1,311) Total impairment (credit) charge (563) (1,171) 491 (135) (1,378) In respect of: Loans and advances to banks (5) \u2013 \u2013 \u2013 (5) Loans and advances to customers (454) (1,025) 498 (135) (1,116) Debt securities \u2013 \u2013 \u2013 \u2013 \u2013 Financial assets at amortised cost (459) (1,025) 498 (135) (1,121) Other assets \u2013 \u2013 2 \u2013 2 Impairment (credit) charge on drawn balances (459) (1,025) 500 (135) (1,119) Loan commitments and financial guarantees (102) (146) (9) \u2013 (257) Financial assets at fair value through other comprehensive income (2) \u2013 \u2013 \u2013 (2) Total impairment (credit) charge (563) (1,171) 491 (135) (1,378) Note 13: Impairment continued Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m Year ended 31 December 2020 Impact of transfers between stages (169) 940 698 \u2013 1,469 Other changes in credit quality 946 22 1,192 167 2,327 Additions and repayments 98 177 (48) (30) 197 Methodology and model changes (44) 170 26 \u2013 152 Other items \u2013 \u2013 10 \u2013 10 1,000 369 1,180 137 2,686 Total impairment charge 831 1,309 1,878 137 4,155 In respect of: Loans and advances to banks 5 \u2013 \u2013 \u2013 5 Loans and advances to customers 697 1,151 1,865 137 3,850 Debt securities 1 \u2013 \u2013 \u2013 1 Financial assets at amortised cost 703 1,151 1,865 137 3,856 Other assets \u2013 \u2013 5 \u2013 5 Impairment charge on drawn balances 703 1,151 1,870 137 3,861 Loan commitments and financial guarantees 123 158 8 \u2013 289 Financial assets at fair value through other comprehensive income 5 \u2013 \u2013 \u2013 5 Total impairment charge 831 1,309 1,878 137 4,155 The impairment charge contained no release (2021: release of \u00a377 million; 2020: charge of \u00a341 million) in respect of residual value impairment and voluntary terminations within the Group\u2019s UK motor finance business. The Group\u2019s impairment charge comprises the following items: Impact of transfers between stages The net impact on the impairment charge of transfers between stages. Other changes in credit quality Changes in loss allowance as a result of movements in risk parameters that reflect changes in customer quality, but which have not resulted in a transfer to a different stage. This also contains the impact on the impairment charge as a result of write-offs and recoveries, where the related loss allowances are reassessed to reflect ultimate realisable or recoverable value. Additions and repayments Expected loss allowances are recognised on origination of new loans or further drawdowns of existing facilities. Repayments relate to the reduction of loss allowances resulting from the repayments of outstanding balances that have been provided against. Methodology and model changes Increase or decrease in impairment charge as a result of adjustments to the models used for expected credit loss calculations; as changes to either the model inputs or the underlying assumptions, as well as the impact of changing the models used. Movements in the Group\u2019s impairment allowances are shown in note 18. ",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfImpairmentOfAssetsExplanatory",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-828": {
   "value": "Note 14: Tax expense (A)  Analysis of tax (expense) credit for the year 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m UK corporation tax: Current tax on profit for the year (1,152) (1,472) (480) Adjustments in respect of prior years 31 94 355 (1,121) (1,378) (125) Foreign tax: Current tax on profit for the year (74) (51) (27) Adjustments in respect of prior years (9) 21 25 (83) (30) (2) Current tax expense (1,204) (1,408) (127) Deferred tax: Current year (390) 546 611 Adjustments in respect of prior years 221 (155) (323) Deferred tax (expense) credit (169) 391 288 Tax (expense) credit (1,373) (1,017) 161 The tax (expense) credit is made up as follows: 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m Tax (expense) credit attributable to policyholders (40) (163) 4 Shareholder tax (expense) credit (1,333) (854) 157 Tax (expense) credit (1,373) (1,017) 161 (B)  Factors affecting the tax (expense) credit for the year The UK corporation tax rate for the year was 19.0 per cent (2021: 19.0 per cent; 2020: 19.0 per cent). An explanation of the relationship between tax (expense) credit and accounting profit is set out below. 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m Profit before tax 6,928 6,902 1,226 UK corporation tax thereon (1,316) (1,311) (233) Impact of surcharge on banking profits (339) (439) (107) Non-deductible costs: conduct charges (5) (185) (24) Non-deductible costs: bank levy (28) (22) (38) Other non-deductible costs (72) (83) (74) Non-taxable income 134 40 59 Tax relief on coupons on other equity instruments 83 81 86 Tax-exempt gains on disposals 67 140 81 Tax losses where no deferred tax recognised 11 (1) (58) Remeasurement of deferred tax due to rate changes (53) 954 350 Differences in overseas tax rates (63) (19) 15 Policyholder tax (65) (63) (46) Policyholder deferred tax asset in respect of life assurance expenses 33 (69) 49 Adjustments in respect of prior years 243 (40) 104 Tax effect of share of results of joint ventures (3) \u2013 (3) Tax (expense) credit (1,373) (1,017) 161 On 17 November 2022 the UK Government confirmed its intention to implement the G20-OECD Inclusive Framework Pillar 2 rules in the UK, including a Qualified Domestic Minimum Top-Up Tax rule. This legislation, which is expected to be enacted in 2023, will seek to ensure that UK-headquartered multinational enterprises pay a minimum tax rate of 15 per cent on UK and overseas profits arising after 31 December 2023. As the UK rate of corporation tax in 2024 will be 25 per cent, and the Group\u2019s business is primarily in the UK, the impact of these rules on the Group is not expected to be material. ",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfIncomeTaxExplanatory",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-829": {
   "value": "Note 15: Earnings per share 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m Profit attributable to ordinary shareholders \u2013 basic and diluted 5,021 5,355 865 2022 million 2021 million 2020 million Weighted-average number of ordinary shares in issue \u2013 basic 68,847 70,937 70,606 Adjustment for share options and awards 835 848 650 Weighted-average number of ordinary shares in issue \u2013 diluted 69,682 71,785 71,256 Basic earnings per share 7.3p 7.5p 1.2p Diluted earnings per share 7.2p 7.5p 1.2p Basic earnings per share are calculated by dividing the net profit attributable to equity shareholders by the weighted-average number of ordinary shares in issue during the year, which has been calculated after deducting 198 million (2021: 19 million; 2020: 28 million) ordinary shares representing the Group\u2019s holdings of own shares in respect of employee share schemes. For the calculation of diluted earnings per share the weighted-average number of ordinary shares in issue is adjusted to assume conversion of all dilutive potential ordinary shares that arise in respect of share options and awards granted to employees. The number of shares that could have been acquired at the annual average price of the Company\u2019s shares based on the monetary value of the subscription rights attached to outstanding share options and awards is determined. This is deducted from the number of shares issuable under such options and awards to leave a residual bonus amount of shares which are added to the weighted- average number of ordinary shares in issue, but no adjustment is made to the profit attributable to equity shareholders. There were 63 million anti-dilutive share options and awards excluded from the calculation of diluted earnings per share (2021: 143 million; 2020: 647 million). ",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfEarningsPerShareExplanatory",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-830": {
   "value": "Note 16: Financial assets at fair value through profit or loss These assets are comprised as follows: 2022 2021 Trading assets \u00a3m Other financial assets mandatorily at fair value through profit or loss \u00a3m Total \u00a3m Trading assets \u00a3m Other financial assets mandatorily at fair value through profit or loss \u00a3m Total \u00a3m Loans and advances to banks 16 3,329 3,345 486 3,684 4,170 Loans and advances to customers 11,766 9,761 21,527 14,435 10,933 25,368 Debt securities: Government securities 2,185 7,872 10,057 6,579 11,101 17,680 Other public sector securities \u2013 2,516 2,516 \u2013 2,731 2,731 Bank and building society certificates of deposit \u2013 7,133 7,133 \u2013 6,297 6,297 Asset-backed securities: Mortgage-backed securities 7 228 235 12 421 433 Other asset-backed securities 14 171 185 3 272 275 Corporate and other debt securities 228 17,693 17,921 245 19,557 19,802 2,434 35,613 38,047 6,839 40,379 47,218 Treasury and other bills \u2013 62 62 \u2013 19 19 Contracts held with reinsurers \u2013 10,906 10,906 \u2013 12,371 12,371 Equity shares \u2013 106,722 106,722 \u2013 117,625 117,625 Total 14,216 166,393 180,609 21,760 185,011 206,771 Other financial assets mandatorily at fair value through profit or loss include assets backing insurance contracts and investment contracts of \u00a3161,618 million (31 December 2021: \u00a3179,988 million). Included within these assets are investments in unconsolidated structured entities of \u00a368,913 million (31 December 2021: \u00a374,916 million), see note 48. For amounts included above which are subject to repurchase and reverse repurchase agreements see note 52. ",
   "dimensions": {
    "concept": "lloydsbankinggroup:DisclosureOfFinancialAssetsAtFairValueThoughProfitOrLoss",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-831": {
   "value": "Note 17: Derivative financial instruments The fair values and notional amounts of derivative instruments are set out in the following table: 2022 2021 Contract/ notional amount \u00a3m Fair value assets \u00a3m Fair value liabilities \u00a3m Contract/ notional amount \u00a3m Fair value assets \u00a3m Fair value liabilities \u00a3m Trading and other Exchange rate contracts: Spot, forwards and futures 75,619 1,135 1,266 60,638 611 663 Currency swaps 373,735 7,181 7,480 319,882 3,451 3,171 Options purchased 7,820 417 \u2013 5,045 371 \u2013 Options written 7,049 \u2013 470 5,660 \u2013 428 464,223 8,733 9,216 391,225 4,433 4,262 Interest rate contracts: Interest rate swaps 6,108,594 14,073 12,308 3,582,028 14,775 10,814 Forward rate agreements 75,499 3 4 6,437 1 1 Options purchased 18,875 864 \u2013 19,145 1,907 \u2013 Options written 23,245 \u2013 986 18,483 \u2013 1,590 Futures 31,335 26 34 214,983 19 13 6,257,548 14,966 13,332 3,841,076 16,702 12,418 Credit derivatives 6,689 134 118 6,740 95 175 Equity and other contracts 16,490 845 849 12,539 735 878 Total derivative assets/liabilities \u2013 trading and other 6,744,950 24,678 23,515 4,251,580 21,965 17,733 Hedging Derivatives designated as fair value hedges: Interest rate and other swaps 152,662 10 503 172,695 46 308 Currency swaps 35 1 \u2013 34 7 \u2013 152,697 11 503 172,729 53 308 Derivatives designated as cash flow hedges: Interest rate swaps 249,703 1 3 109,093 6 1 Exchange rate forward rate agreements 1,542 63 21 1,895 27 18 251,245 64 24 110,988 33 19 Total derivative assets/liabilities \u2013 hedging 403,942 75 527 283,717 86 327 Total recognised derivative assets/liabilities 7,148,892 24,753 24,042 4,535,297 22,051 18,060 The notional amount of the contract does not represent the Group\u2019s exposure to credit risk, which is limited to the current cost of replacing contracts with a positive value to the Group should the counterparty default. To reduce credit risk the Group uses a variety of credit enhancement techniques such as netting and collateralisation, where security is provided against the exposure; a large proportion of the Group\u2019s derivatives are held through exchanges such as London Clearing House and are collateralised through those exchanges. Further details are provided in note 52 Credit risk. The Group holds derivatives as part of the following strategies: \u2022 Customer driven, where derivatives are held as part of the provision of risk management products to Group customers \u2022 To manage and hedge the Group\u2019s interest rate and foreign exchange risk arising from normal banking business. The hedge accounting strategy adopted by the Group is to utilise a combination of fair value and cash flow hedge approaches as described in note 52 \u2022 Derivatives held in policyholder funds as permitted by the investment strategies of those funds The principal derivatives used by the Group are as follows: \u2022 Interest rate related contracts include interest rate swaps, forward rate agreements and options. An interest rate swap is an agreement between two parties to exchange fixed and floating interest payments, based upon interest rates defined in the contract, without the exchange of the underlying principal amounts. Forward rate agreements are contracts for the payment of the difference between a specified rate of interest and a reference rate, applied to a notional principal amount at a specific date in the future. An interest rate option gives the buyer, on payment of a premium, the right, but not the obligation, to fix the rate of interest on a future loan or deposit, for a specified period and commencing on a specified future date \u2022 Exchange rate related contracts include forward foreign exchange contracts, currency swaps and options. A forward foreign exchange contract is an agreement to buy or sell a specified amount of foreign currency on a specified future date at an agreed rate. Currency swaps generally involve the exchange of interest payment obligations denominated in different currencies; the exchange of principal can be notional or actual. A currency option gives the buyer, on payment of a premium, the right, but not the obligation, to sell specified amounts of currency at agreed rates of exchange on or before a specified future date \u2022 Credit derivatives, principally credit default swaps, are used by the Group as part of its trading activity and to manage its own exposure to credit risk. A credit default swap is a swap in which one counterparty receives a premium at pre-set intervals in consideration for guaranteeing to make a specific payment should a negative credit event take place \u2022 Equity derivatives are also used by the Group as part of its equity-based retail product activity to eliminate the Group\u2019s exposure to fluctuations in various international stock exchange indices. Index-linked equity options are purchased which give the Group the right, but not the obligation, to buy or sell a specified amount of equities, or basket of equities, in the form of published indices on or before a specified future date Note 17: Derivative financial instruments continued Details of the Group\u2019s hedging instruments are set out below: Maturity At 31 December 2022 Up to 1 month \u00a3m 1\u20133 months \u00a3m 3\u201312 months \u00a3m 1\u20135 years \u00a3m Over 5 years \u00a3m Total \u00a3m Fair value hedges Interest rate Cross currency swap Notional \u2013 \u2013 \u2013 \u2013 35 35 Average fixed interest rate \u2013 \u2013 \u2013 \u2013 1.28% Average EUR/GBP exchange rate \u2013 \u2013 \u2013 \u2013 1.38 Interest rate swap Notional 1,904 12,765 37,488 64,307 36,198 152,662 Average fixed interest rate 1.51% 0.17% 0.72% 1.92% 1.94% Cash flow hedges Foreign exchange Currency swap Notional \u2013 \u2013 509 1,004 29 1,542 Average EUR/GBP exchange rate \u2013 \u2013 1.15 1.10 1.04 Average USD/GBP exchange rate \u2013 \u2013 1.24 1.25 \u2013 Interest rate Interest rate swap Notional 4,741 6,472 26,175 161,391 50,924 249,703 Average fixed interest rate 3.01% 1.18% 2.36% 2.40% 1.60% Maturity At 31 December 2021 Up to 1 month \u00a3m 1\u20133 months \u00a3m 3\u201312 months \u00a3m 1\u20135 years \u00a3m Over 5 years \u00a3m Total \u00a3m Fair value hedges Interest rate Cross currency swap Notional \u2013 \u2013 \u2013 \u2013 34 34 Average fixed interest rate \u2013 \u2013 \u2013 \u2013 1.28% Average EUR/GBP exchange rate \u2013 \u2013 \u2013 \u2013 1.38 Interest rate swap Notional 1,396 2,784 18,568 121,878 28,069 172,695 Average fixed interest rate 2.84% 1.31% 0.95% 0.68% 1.94% Cash flow hedges Foreign exchange Currency swap Notional 46 200 821 828 \u2013 1,895 Average USD/GBP exchange rate 1.36 1.36 1.36 1.35 1.27 Interest rate Interest rate swap Notional 1,000 625 10,428 58,896 38,144 109,093 Average fixed interest rate 0.00% 0.23% 0.55% 0.81% 0.65% Note 17: Derivative financial instruments continued The carrying amounts of the Group\u2019s hedging instruments are as follows: Carrying amount of the hedging instrument At 31 December 2022 Contract/ notional amount \u00a3m Assets \u00a3m Liabilities \u00a3m Changes in fair value used for calculating hedge ineffectiveness \u00a3m Fair value hedges Interest rate Currency swaps 35 1 \u2013 (2) Interest rate swaps 152,662 10 503 1,286 Cash flow hedges Foreign exchange Currency swaps 1,542 63 21 198 Interest rate Interest rate swaps 249,703 1 3 (6,990) Carrying amount of the hedging instrument At 31 December 2021 Contract/ notional amount \u00a3m Assets \u00a3m Liabilities \u00a3m Changes in fair value used for calculating hedge ineffectiveness \u00a3m Fair value hedges Interest rate Currency swaps 34 7 \u2013 (2) Interest rate swaps 172,695 46 308 946 Cash flow hedges Foreign exchange Currency swaps 1,895 27 18 (6) Interest rate Interest rate swaps 109,093 6 1 (2,642) All amounts are held within derivative financial instruments. Note 17: Derivative financial instruments continued The Group\u2019s hedged items are as follows: Carrying amount of the hedged item Accumulated amount of fair value adjustment on the hedged item Change in fair value of hedged item for ineffectiveness assessment \u00a3m Cash flow hedging reserve At 31 December 2022 Assets \u00a3m Liabilities \u00a3m Assets \u00a3m Liabilities \u00a3m Continuing hedges \u00a3m Discontinued hedges \u00a3m Fair value hedges Interest rate Fixed rate mortgages 1 73,282 \u2013 (2,602) \u2013 (3,198) Fixed rate issuance 2 \u2013 52,190 \u2013 2,392 4,223 Fixed rate bonds 3 19,259 \u2013 (1,549) \u2013 (2,350) Cash flow hedges Foreign exchange Foreign currency issuance 2 (198) 134 90 Customer deposits 4 \u2013 \u2013 3 Interest rate Customer loans 1 5,636 (5,587) (868) Central bank balances 5 2,703 (2,130) (965) Customer deposits 4 (1,295) 1,781 (76) Carrying amount of the hedged item Accumulated amount of fair value adjustment on the hedged item Change in fair value of hedged item for ineffectiveness assessment \u00a3m Cash flow hedging reserve At 31 December 2021 Assets \u00a3m Liabilities \u00a3m Assets \u00a3m Liabilities \u00a3m Continuing hedges \u00a3m Discontinued hedges \u00a3m Fair value hedges Interest rate Fixed rate mortgages 1 88,791 \u2013 (872) \u2013 (2,080) Fixed rate issuance 2 \u2013 58,648 \u2013 1,967 2,071 Fixed rate bonds 3 25,019 \u2013 342 \u2013 (758) Cash flow hedges Foreign exchange Foreign currency issuance 2 (15) (28) 76 Customer deposits 4 21 \u2013 \u2013 Interest rate Customer loans 1 1,873 (742) 378 Central bank balances 5 767 (212) (78) Customer deposits 4 (110) 43 (109) 1  Included within loans and advances to customers. 2  Included within debt securities in issue. 3  Included within financial assets at fair value through other comprehensive income. 4  Included within customer deposits. 5  Included within cash and balances at central banks. The accumulated amount of fair value hedge adjustments remaining in the balance sheet for hedged items that have ceased to be adjusted for hedging gains and losses is a liability of \u00a31,988 million relating to fixed rate issuances of \u00a3760 million and mortgages of \u00a31,228 million (2021: liability of \u00a31,071 million relating to fixed rate issuances of \u00a3793 million and mortgages of \u00a3278 million). Note 17: Derivative financial instruments continued Gains and losses arising from hedge accounting are summarised as follows: Gain (loss) recognised in other comprehensive income \u00a3m Hedge ineffectiveness recognised in the income statement1 \u00a3m Amounts reclassified from reserves to income statement as: At 31 December 2022 Hedged cash flows will no longer occur \u00a3m Hedged item affected income statement \u00a3m Income statement line item that includes reclassified amount Fair value hedges Interest rate Fixed rate mortgages 22 Fixed rate issuance (49) Fixed rate bonds (14) Cash flow hedges Foreign exchange Foreign currency issuance 198 \u2013 \u2013 (22) Interest expense Customer deposits 3 \u2013 \u2013 \u2013 Interest expense Interest rate Customer loans (6,145) (30) \u2013 53 Interest income Central bank balances (2,831) \u2013 \u2013 26 Interest income Customer deposits 1,785 20 \u2013 (14) Interest expense Gain (loss) recognised in other comprehensive income \u00a3m Hedge ineffectiveness recognised in the income statement1 \u00a3m Amounts reclassified from reserves to income statement as: At 31 December 2021 Hedged cash flows will no longer occur \u00a3m Hedged item affected income statement \u00a3m Income statement line item that includes reclassified amount Fair value hedges Interest rate Fixed rate mortgages 207 Fixed rate issuance (23) Fixed rate bonds (7) Cash flow hedges Foreign exchange Foreign currency issuance 16 \u2013 3 (18) Interest expense Customer deposits 28 \u2013 \u2013 \u2013 Interest expense Interest rate Customer loans (1,830) (43) \u2013 (456) Interest income Central bank balances (515) (27) \u2013 (180) Interest income Customer deposits 22 1 \u2013 30 Interest expense 1  Hedge ineffectiveness is included in the income statement within net trading income. In 2021 there was a loss of \u00a33 million (2022: \u00a3nil) reclassified from the cash flow hedging reserve for which hedge accounting had previously been used but for which the hedged future cash flows are no longer expected to occur. ",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfDerivativeFinancialInstrumentsExplanatory",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-832": {
   "value": "Note 18: Financial assets at amortised cost Year ended 31 December 2022 Gross carrying amount Allowance for expected credit losses Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m Loans and advances to banks At 1 January 2022 7,002 \u2013 \u2013 \u2013 7,002 1 \u2013 \u2013 \u2013 1 Exchange and other adjustments 558 \u2013 \u2013 \u2013 558 \u2013 \u2013 \u2013 \u2013 \u2013 Transfers to Stage 2 (3) 3 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 Impact of transfers between stages (3) 3 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 Other changes in credit quality 7 \u2013 \u2013 \u2013 7 Additions and repayments 3,063 24 \u2013 \u2013 3,087 5 2 \u2013 \u2013 7 Charge to the income statement 12 2 \u2013 \u2013 14 At 31 December 2022 10,620 27 \u2013 \u2013 10,647 13 2 \u2013 \u2013 15 Allowance for impairment losses (13) (2) \u2013 \u2013 (15) Net carrying amount 10,607 25 \u2013 \u2013 10,632 Loans and advances to customers At 1 January 2022 400,036 34,931 6,443 10,977 452,387 915 1,114 1,581 210 3,820 Exchange and other adjustments 1 (393) 15 (23) 12 (389) 2 \u2013 39 65 106 Transfers to Stage 1 8,330 (8,257) (73) \u2013 176 (167) (9) \u2013 Transfers to Stage 2 (35,046) 35,448 (402) \u2013 (66) 135 (69) \u2013 Transfers to Stage 3 (1,250) (2,528) 3,778 \u2013 (8) (158) 166 \u2013 Impact of transfers between stages (27,966) 24,663 3,303 \u2013 (120) 701 268 849 (18) 511 356 849 Other changes in credit quality (311) 74 665 78 506 Additions and repayments 9,314 1,555 (1,337) (1,354) 8,178 110 98 (91) (58) 59 Methodology and model changes 2 11 (47) (29) (63) (Credit) charge to the income statement (217) 694 883 (9) 1,351 Advances written off (928) (13) (941) (928) (13) (941) Recoveries of advances written off in previous years 182 \u2013 182 182 \u2013 182 At 31 December 2022 380,991 61,164 7,640 9,622 459,417 700 1,808 1,757 253 4,518 Allowance for impairment losses (700) (1,808) (1,757) (253) (4,518) Net carrying amount 380,291 59,356 5,883 9,369 454,899 Drawn ECL coverage 2 (%) 0.2 3.0 23.0 2.6 1.0 Reverse repurchase agreements At 31 December 2022 44,865 \u2013 \u2013 \u2013 44,865 Allowance for impairment losses \u2013 \u2013 \u2013 \u2013 \u2013 Net carrying amount 44,865 \u2013 \u2013 \u2013 44,865 1  Exchange and other adjustments includes the impact of movements in exchange rates, discount unwind, derecognising assets as a result of modifications and adjustments in respect of purchased or originated credit-impaired financial assets (POCI). Where a POCI asset\u2019s expected credit loss is less than its expected credit loss on purchase or origination, the increase in its carrying value is recognised within gross loans, rather than as a negative impairment allowance. 2  Allowance for expected credit losses on loans and advances to customers as a percentage of gross loans and advances to customers Note 18: Financial assets at amortised cost continued Gross carrying amount Allowance for expected credit losses Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m Debt securities At 1 January 2022 6,827 9 2 \u2013 6,838 1 \u2013 2 \u2013 3 Exchange and other adjustments 408 \u2013 (1) \u2013 407 \u2013 \u2013 (1) \u2013 (1) Transfers to Stage 1 9 (9) \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 Impact of transfers between stages 9 (9) \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 Other changes in credit quality 3 \u2013 \u2013 \u2013 3 Additions and repayments 2,690 \u2013 \u2013 \u2013 2,690 4 \u2013 \u2013 \u2013 4 Charge to the income statement 7 \u2013 \u2013 \u2013 7 At 31 December 2022 9,934 \u2013 1 \u2013 9,935 8 \u2013 1 \u2013 9 Allowance for impairment losses (8) \u2013 (1) \u2013 (9) Net carrying amount 9,926 \u2013 \u2013 \u2013 9,926 Total financial assets at amortised cost 445,689 59,381 5,883 9,369 520,322 The total allowance for impairment losses includes \u00a392 million (2021: \u00a395 million) in respect of residual value impairment and voluntary terminations within the Group\u2019s UK motor finance business. Movements in Retail UK mortgage balances were as follows: Gross carrying amount Allowance for expected credit losses Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m Retail \u2013 UK mortgages At 1 January 2022 273,629 21,798 1,940 10,977 308,344 48 394 184 210 836 Exchange and other adjustments 1 \u2013 \u2013 \u2013 12 12 \u2013 \u2013 28 65 93 Transfers to Stage 1 5,107 (5,096) (11) \u2013 28 (27) (1) \u2013 Transfers to Stage 2 (26,043) 26,204 (161) \u2013 (14) 25 (11) \u2013 Transfers to Stage 3 (444) (1,793) 2,237 \u2013 \u2013 (63) 63 \u2013 Impact of transfers between stages (21,380) 19,315 2,065 \u2013 (25) 254 98 327 (11) 189 149 327 Other changes in credit quality 36 (9) 54 78 159 Additions and repayments 5,268 670 (585) (1,354) 3,999 18 (10) (45) (58) (95) Methodology and model changes \u2013 (12) (55) (29) (96) Charge (credit) to the income statement 43 158 103 (9) 295 Advances written off (28) (13) (41) (28) (13) (41) Recoveries of advances written off in previous years 24 \u2013 24 24 \u2013 24 At 31 December 2022 257,517 41,783 3,416 9,622 312,338 91 552 311 253 1,207 Allowance for impairment losses (91) (552) (311) (253) (1,207) Net carrying amount 257,426 41,231 3,105 9,369 311,131 Drawn ECL coverage (%) \u2013 1.3 9.1 2.6 0.4 1  Exchange and other adjustments includes the impact of movements in exchange rates, discount unwind, derecognising assets as a result of modifications and adjustments in respect of purchased or originated credit-impaired financial assets (POCI). Where a POCI asset\u2019s expected credit loss is less than its expected credit loss on purchase or origination, the increase in its carrying value is recognised within gross loans, rather than as a negative impairment allowance Note 18: Financial assets at amortised cost continued Movements in Retail credit cards were as follows: Gross carrying amount Allowance for expected credit losses Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m Total \u00a3m Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m Total \u00a3m Retail \u2013 credit cards At 1 January 2022 11,918 2,077 292 14,287 96 218 128 442 Exchange and other adjustments (13) (2) \u2013 (15) 4 2 (16) (10) Transfers to Stage 1 569 (566) (3) \u2013 48 (47) (1) \u2013 Transfers to Stage 2 (1,319) 1,358 (39) \u2013 (16) 36 (20) \u2013 Transfers to Stage 3 (184) (191) 375 \u2013 (3) (43) 46 \u2013 Impact of transfers between stages (934) 601 333 \u2013 (26) 185 73 232 3 131 98 232 Other changes in credit quality 15 22 227 264 Additions and repayments 445 611 (14) 1,042 (1) 33 (5) 27 Methodology and model changes 3 27 3 33 Charge to the income statement 20 213 323 556 Advances written off (413) (413) (413) (413) Recoveries of advances written off in previous years 91 91 91 91 At 31 December 2022 11,416 3,287 289 14,992 120 433 113 666 Allowance for impairment losses (120) (433) (113) (666) Net carrying amount 11,296 2,854 176 14,326 Drawn ECL coverage (%) 1.1 13.2 39.1 4.4 Movements in Commercial Banking lending were as follows: Gross carrying amount Allowance for expected credit losses Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m Total \u00a3m Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m Total \u00a3m Commercial Banking At 1 January 2022 82,719 7,530 3,563 93,812 125 260 956 1,341 Exchange and other adjustments 748 6 (20) 734 4 (2) 41 43 Transfers to Stage 1 1,723 (1,676) (47) \u2013 55 (55) \u2013 \u2013 Transfers to Stage 2 (5,807) 5,950 (143) \u2013 (11) 19 (8) \u2013 Transfers to Stage 3 (404) (326) 730 \u2013 (2) (14) 16 \u2013 Impact of transfers between stages (4,488) 3,948 540 \u2013 (44) 131 7 94 (2) 81 15 94 Other changes in credit quality 35 36 192 263 Additions and repayments 1,530 9 (587) 952 59 57 (9) 107 Methodology and model changes (7) (18) \u2013 (25) Charge to the income statement 85 156 198 439 Advances written off (127) (127) (127) (127) Recoveries of advances written off in previous years 2 2 2 2 At 31 December 2022 80,509 11,493 3,371 95,373 214 414 1,070 1,698 Allowance for impairment losses (214) (414) (1,070) (1,698) Net carrying amount 80,295 11,079 2,301 93,675 Drawn ECL coverage (%) 0.3 3.6 31.7 1.8 Note 18: Financial assets at amortised cost continued Movements in the allowance for expected credit losses in respect of undrawn balances were as follows: Allowance for expected credit losses Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m Undrawn balances At 1 January 2022 109 86 5 \u2013 200 Exchange and other adjustments 1 \u2013 \u2013 \u2013 1 Transfers to Stage 1 19 (19) \u2013 \u2013 Transfers to Stage 2 (9) 10 (1) \u2013 Transfers to Stage 3 (1) (2) 3 \u2013 Impact of transfers between stages (15) 81 (1) 65 (6) 70 1 65 Other items taken to the income statement 30 29 (2) \u2013 57 Charge (credit) to the income statement 24 99 (1) \u2013 122 At 31 December 2022 134 185 4 \u2013 323 The Group\u2019s total impairment allowances were as follows: Allowance for expected credit losses Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m In respect of: Loans and advances to banks 13 2 \u2013 \u2013 15 UK mortgages 91 552 311 253 1,207 Credit cards 120 433 113 \u2013 666 Other 275 409 259 \u2013 943 Retail 486 1,394 683 253 2,816 Commercial Banking 214 414 1,070 \u2013 1,698 Other \u2013 \u2013 4 \u2013 4 Loans and advances to customers 700 1,808 1,757 253 4,518 Debt securities 8 \u2013 1 \u2013 9 Financial assets at amortised cost 721 1,810 1,758 253 4,542 Other assets \u2013 \u2013 38 \u2013 38 Provisions in relation to loan commitments and financial guarantees 134 185 4 \u2013 323 Total 855 1,995 1,800 253 4,903 Expected credit loss in respect of financial assets at fair value through other comprehensive income (memorandum item) 9 \u2013 \u2013 \u2013 9 Note 18: Financial assets at amortised cost continued Year ended 31 December 2021 Gross carrying amount Allowance for expected credit losses Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m Loans and advances to banks At 1 January 2021 8,066 \u2013 \u2013 \u2013 8,066 6 \u2013 \u2013 \u2013 6 Exchange and other adjustments (11) \u2013 \u2013 \u2013 (11) \u2013 \u2013 \u2013 \u2013 \u2013 Other changes in credit quality (5) \u2013 \u2013 \u2013 (5) Additions and repayments (1,053) \u2013 \u2013 \u2013 (1,053) \u2013 \u2013 \u2013 \u2013 \u2013 Credit to the income statement (5) \u2013 \u2013 \u2013 (5) At 31 December 2021 7,002 \u2013 \u2013 \u2013 7,002 1 \u2013 \u2013 \u2013 1 Allowance for impairment losses (1) \u2013 \u2013 \u2013 (1) Net carrying amount 7,001 \u2013 \u2013 \u2013 7,001 Loans and advances to customers At 1 January 2021 375,300 51,659 6,490 12,511 445,960 1,372 2,145 1,982 261 5,760 Exchange and other adjustments 1 (2,686) (39) (81) 68 (2,738) (3) (6) (1) 121 111 Transfers to Stage 1 18,705 (18,665) (40) \u2013 564 (553) (11) \u2013 Transfers to Stage 2 (12,009) 12,724 (715) \u2013 (48) 155 (107) \u2013 Transfers to Stage 3 (872) (1,822) 2,694 \u2013 (13) (220) 233 \u2013 Impact of transfers between stages 5,824 (7,763) 1,939 \u2013 (428) 195 221 (12) 75 (423) 336 (12) Other changes in credit quality (245) (271) 255 (48) (309) Additions and repayments 21,598 (8,926) (1,007) (1,565) 10,100 (221) (346) (99) (87) (753) Methodology and model changes (63) 15 6 \u2013 (42) (Credit) charge to the income statement (454) (1,025) 498 (135) (1,116) Advances written off (1,058) (37) (1,095) (1,058) (37) (1,095) Recoveries of advances written off in previous years 160 \u2013 160 160 \u2013 160 At 31 December 2021 400,036 34,931 6,443 10,977 452,387 915 1,114 1,581 210 3,820 Allowance for impairment losses (915) (1,114) (1,581) (210) (3,820) Net carrying amount 399,121 33,817 4,862 10,767 448,567 Drawn ECL coverage (%) 0.2 3.2 24.5 1.9 0.8 Reverse repurchase agreements At 31 December 2021 54,753 \u2013 \u2013 \u2013 54,753 Allowance for impairment losses \u2013 \u2013 \u2013 \u2013 \u2013 Net carrying amount 54,753 \u2013 \u2013 \u2013 54,753 1  Exchange and other adjustments includes the impact of movements in exchange rates, discount unwind, derecognising assets as a result of modifications and adjustments in respect of purchased or originated credit-impaired financial assets (POCI). Where a POCI asset\u2019s expected credit loss is less than its expected credit loss on purchase or origination, the increase in its carrying value is recognised within gross loans, rather than as a negative impairment allowance Note 18: Financial assets at amortised cost continued Gross carrying amount Allowance for expected credit losses Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m Debt securities At 1 January 2021 5,406 \u2013 2 \u2013 5,408 1 \u2013 2 \u2013 3 Exchange and other adjustments (20) \u2013 \u2013 \u2013 (20) \u2013 \u2013 \u2013 \u2013 \u2013 Transfers to Stage 2 (6) 6 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 Impact of transfers between stages (6) 6 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 Additions and repayments 1,447 3 \u2013 \u2013 1,450 \u2013 \u2013 \u2013 \u2013 \u2013 Charge to the income statement \u2013 \u2013 \u2013 \u2013 \u2013 At 31 December 2021 6,827 9 2 \u2013 6,838 1 \u2013 2 \u2013 3 Allowance for impairment losses (1) \u2013 (2) \u2013 (3) Net carrying amount 6,826 9 \u2013 \u2013 6,835 Total financial assets at amortised cost 467,701 33,826 4,862 10,767 517,156 Movements in Retail UK mortgage balances were as follows: Gross carrying amount Allowance for expected credit losses Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m Retail \u2013 UK mortgages At 1 January 2021 251,418 29,018 1,859 12,511 294,806 104 468 191 261 1,024 Exchange and other adjustments 1 \u2013 \u2013 \u2013 68 68 \u2013 \u2013 18 121 139 Transfers to Stage 1 10,109 (10,105) (4) \u2013 66 (66) \u2013 \u2013 Transfers to Stage 2 (6,930) 7,425 (495) \u2013 (5) 37 (32) \u2013 Transfers to Stage 3 (147) (942) 1,089 \u2013 \u2013 (35) 35 \u2013 Impact of transfers between stages 3,032 (3,622) 590 \u2013 (58) 84 48 74 3 20 51 74 Other changes in credit quality (14) (32) (30) (48) (124) Additions and repayments 19,179 (3,598) (490) (1,565) 13,526 8 (52) (33) (87) (164) Methodology and model changes (53) (10) 6 \u2013 (57) Credit to the income statement (56) (74) (6) (135) (271) Advances written off (28) (37) (65) (28) (37) (65) Recoveries of advances written off in previous years 9 \u2013 9 9 \u2013 9 At 31 December 2021 273,629 21,798 1,940 10,977 308,344 48 394 184 210 836 Allowance for impairment losses (48) (394) (184) (210) (836) Net carrying amount 273,581 21,404 1,756 10,767 307,508 Drawn ECL coverage (%) \u2013 1.8 9.5 1.9 0.3 1  Exchange and other adjustments includes the impact of movements in exchange rates, discount unwind, derecognising assets as a result of modifications and adjustments in respect of purchased or originated credit-impaired financial assets (POCI). Where a POCI asset\u2019s expected credit loss is less than its expected credit loss on purchase or origination, the increase in its carrying value is recognised within gross loans, rather than as a negative impairment allowance Note 18: Financial assets at amortised cost continued Movements in Retail credit cards were as follows: Gross carrying amount Allowance for expected credit losses Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m Total \u00a3m Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m Total \u00a3m Retail \u2013 credit cards At 1 January 2021 11,301 3,273 340 14,914 155 458 153 766 Exchange and other adjustments (29) (7) (1) (37) 7 13 (13) 7 Transfers to Stage 1 1,610 (1,605) (5) \u2013 190 (188) (2) \u2013 Transfers to Stage 2 (513) 558 (45) \u2013 (10) 34 (24) \u2013 Transfers to Stage 3 (137) (259) 396 \u2013 (4) (77) 81 \u2013 Impact of transfers between stages 960 (1,306) 346 \u2013 (115) 46 71 2 61 (185) 126 2 Other changes in credit quality (65) (50) 230 115 Additions and repayments (314) 117 (35) (232) (62) (18) (10) (90) Methodology and model changes \u2013 \u2013 \u2013 \u2013 (Credit) charge to the income statement (66) (253) 346 27 Advances written off (444) (444) (444) (444) Recoveries of advances written off in previous years 86 86 86 86 At 31 December 2021 11,918 2,077 292 14,287 96 218 128 442 Allowance for impairment losses (96) (218) (128) (442) Net carrying amount 11,822 1,859 164 13,845 Drawn ECL coverage (%) 0.8 10.5 43.8 3.1 Movements in Commercial Banking lending were as follows: Gross carrying amount Allowance for expected credit losses Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m Total \u00a3m Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m Total \u00a3m Commercial Banking At 1 January 2021 78,868 15,058 3,576 97,502 299 733 1,290 2,322 Exchange and other adjustments 151 (1) (77) 73 (3) (5) 18 10 Transfers to Stage 1 5,744 (5,729) (15) \u2013 192 (191) (1) \u2013 Transfers to Stage 2 (3,146) 3,273 (127) \u2013 (19) 48 (29) \u2013 Transfers to Stage 3 (335) (284) 619 \u2013 (2) (29) 31 \u2013 Impact of transfers between stages 2,263 (2,740) 477 \u2013 (176) 40 6 (130) (5) (132) 7 (130) Other changes in credit quality (101) (133) (159) (393) Additions and repayments 1,437 (4,787) (215) (3,565) (65) (203) (2) (270) Methodology and model changes \u2013 \u2013 \u2013 \u2013 Credit to the income statement (171) (468) (154) (793) Advances written off (200) (200) (200) (200) Recoveries of advances written off in previous years 2 2 2 2 At 31 December 2021 82,719 7,530 3,563 93,812 125 260 956 1,341 Allowance for impairment losses (125) (260) (956) (1,341) Net carrying amount 82,594 7,270 2,607 92,471 Drawn ECL coverage (%) 0.2 3.5 26.8 1.4 Note 18: Financial assets at amortised cost continued Movements in the allowance for expected credit losses in respect of undrawn balances were as follows: Allowance for expected credit losses Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m Undrawn balances At 1 January 2021 212 234 13 \u2013 459 Exchange and other adjustments (1) (2) 1 \u2013 (2) Transfers to Stage 1 78 (78) \u2013 \u2013 Transfers to Stage 2 (8) 8 \u2013 \u2013 Transfers to Stage 3 (1) (6) 7 \u2013 Impact of transfers between stages (69) 18 (4) (55) \u2013 (58) 3 (55) Other items taken to the income statement (102) (88) (12) \u2013 (202) Credit to the income statement (102) (146) (9) \u2013 (257) At 31 December 2021 109 86 5 \u2013 200 The Group\u2019s total impairment allowances were as follows: Allowance for expected credit losses Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m In respect of: Loans and advances to banks 1 \u2013 \u2013 \u2013 1 UK mortgages 48 394 184 210 836 Credit cards 96 218 128 \u2013 442 Other 246 242 307 \u2013 795 Retail 390 854 619 210 2,073 Commercial Banking 125 260 956 \u2013 1,341 Other 400 \u2013 6 \u2013 406 Loans and advances to customers 915 1,114 1,581 210 3,820 Debt securities 1 \u2013 2 \u2013 3 Financial assets at amortised cost 917 1,114 1,583 210 3,824 Other assets \u2013 \u2013 18 \u2013 18 Provisions in relation to loan commitments and financial guarantees 109 86 5 \u2013 200 Total 1,026 1,200 1,606 210 4,042 Expected credit loss in respect of financial assets at fair value through other comprehensive income (memorandum item) 3 \u2013 \u2013 \u2013 3 The movement tables are compiled by comparing the position at 31 December to that at the beginning of the year. Transfers between stages are deemed to have taken place at the start of the reporting period, with all other movements shown in the stage in which the asset is held at 31 December, with the exception of those held within purchased or originated credit-impaired, which are not transferable. Additions and repayments comprise new loans originated and repayments of outstanding balances throughout the reporting period. Loans which are written off in the period are first transferred to Stage 3 before acquiring a full allowance and subsequent write-off. ",
   "dimensions": {
    "concept": "lloydsbankinggroup:DisclosureOfFinancialAssetsAtAmortisedCost",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-833": {
   "value": "Note 19: Allowance for expected credit losses The calculation of the Group\u2019s expected credit loss allowances and provisions against loan commitments and guarantees, which are set out in note 18, under IFRS 9 requires the Group to make a number of judgements, assumptions and estimates. The most significant are set out below: Definition of default The probability of default (PD) of an exposure, both over a 12-month period and over its lifetime, is a key input to the measurement of the ECL allowance. Default has occurred when there is evidence that the customer is experiencing significant financial difficulty which is likely to affect the ability to repay amounts due. The definition of default adopted by the Group is described in note 2(H) Impairment of financial assets. IFRS 9 contains a rebuttable presumption that default occurs no later than when a payment is 90 days past due which the Group now uses for all its products following changes to the definition of default for UK mortgages on 1 January 2022. In addition, other indicators of mortgage default were added including end-of-term payments on past due interest-only accounts and loans considered non-performing due to recent arrears or forbearance, aligning the definition of Stage 3 credit-impaired for IFRS 9 to the CRD IV prudential regulatory definition of default. This change in definition of default contributes to the \u00a31.5 billion increase in Stage 3 UK mortgages during the period. Lifetime of an exposure A range of approaches, segmented by product type, has been adopted by the Group to estimate a product\u2019s expected life. These include using the full contractual life and taking into account behavioural factors such as early repayments, extensions and refinancing. For non-revolving retail assets, the Group has assumed the expected life for each product to be the time taken for all significant losses to be observed. For revolving retail products, the Group has considered the losses beyond the contractual term over which the Group is exposed to credit risk. For commercial overdraft facilities, the average behavioural life has been used. Changes to the assumed expected lives of the Group\u2019s assets could impact the ECL allowance recognised by the Group. The assessment of SICR and corresponding lifetime loss, and the PD, of a financial asset designated as Stage 2, or Stage 3, is dependent on its expected life. Significant increase in credit risk Performing assets are classified as either Stage 1 or Stage 2. An ECL allowance equivalent to 12 months\u2019 expected losses is established against assets in Stage 1; assets classified as Stage 2 carry an ECL allowance equivalent to lifetime expected losses. Assets are transferred from Stage 1 to Stage 2 when there has been a significant increase in credit risk (SICR) since initial recognition. Credit- impaired assets are transferred to Stage 3 with a lifetime expected losses allowance. The Group uses both quantitative and qualitative indicators to determine whether there has been a SICR for an asset. For Retail, the following tables set out the retail master scale (RMS) grade triggers which result in a SICR for financial assets and the PD boundaries for each RMS grade. SICR triggers for key Retail portfolios Origination grade 1 2 3 4 5 6 7 Mortgages SICR grade 5 5 6 7 8 9 10 Credit cards, loans and overdrafts SICR grade 4 5 6 7 8 9 10 RMS grade 1 2 3 4 5 6 7 8 9 10 11 12 13 14 PD boundary %1 0.10 0.40 0.80 1.20 2.50 4.50 7.50 10.00 14.00 20.00 30.00 45.00 99.99 100.00 1  Probability-weighted annualised lifetime probability of default. For Commercial a doubling of PD with a minimum increase in PD of 1 per cent and a resulting change in the underlying grade is treated as a SICR. The Group uses the internal credit risk classification and watchlist as qualitative indicators to identify a SICR. The Group does not use the low credit risk exemption in its staging assessments. The use of a payment holiday in and of itself has not been judged to indicate a significant increase in credit risk, nor forbearance, with the underlying long-term credit risk deemed to be driven by economic conditions and captured through the use of forward-looking models. These portfolio level models are capturing the anticipated volume of increased defaults and therefore an appropriate assessment of staging and expected credit loss. All financial assets are assumed to have suffered a SICR if they are more than 30 days past due; credit cards, loans and overdrafts financial assets are also assumed to have suffered a SICR if they are in arrears on three or more separate occasions in a rolling 12-month period. Financial assets are classified as credit-impaired if they are 90 days past due. A Stage 3 asset that is no longer credit-impaired is transferred back to Stage 2 as no cure period is applied to Stage 3. UK mortgages is an exception to this rule where a probation period is enforced for non-performing, forborne and defaulted exposures in accordance with prudential regulation. If an exposure that is classified as Stage 2 no longer meets the SICR criteria, which in some cases capture customer behaviour in previous periods, it is moved back to Stage 1. The setting of precise trigger points combined with risk indicators requires judgement. The use of different trigger points may have a material impact upon the size of the ECL allowance. The Group monitors the effectiveness of SICR criteria on an ongoing basis. Note 19: Allowance for expected credit losses continued Generation of multiple economic scenarios The estimate of expected credit losses is required to be based on an unbiased expectation of future economic scenarios. The approach used to generate the range of future economic scenarios depends on the methodology and judgements adopted. The Group\u2019s approach is to start from a defined base case scenario, used for planning purposes, and to generate alternative economic scenarios around this base case. The base case scenario is a conditional forecast underpinned by a number of conditioning assumptions that reflect the Group\u2019s best view of key future developments. If circumstances appear likely to materially deviate from the conditioning assumptions, then the base case scenario is updated. The base case scenario is central to a range of future economic scenarios generated by simulation of an economic model, for which the same conditioning assumptions apply as in the base case scenario. These scenarios are ranked by using estimated relationships with industry-wide historical loss data. With the base case already pre-defined, three other scenarios are identified as averages of constituent scenarios located around the 15th, 75th and 95th percentiles of the distribution. The full distribution is therefore summarised by a practical number of scenarios to run through ECL models representing an upside, the base case, and a downside scenario weighted at 30 per cent each, together with a severe downside scenario weighted at 10 per cent. The scenario weights represent the distribution of economic scenarios and not subjective views on likelihood. The inclusion of a severe downside scenario with a smaller weighting ensures that the non-linearity of losses in the tail of the distribution is adequately captured. Macroeconomic projections may employ reversionary techniques to adjust the paths of economic drivers towards long-run equilibria after a reasonable forecast horizon. The Group does not use such techniques to force the MES scenarios to revert to the base case planning view. Utilising such techniques would be expected to be immaterial for expected credit losses since loss sensitivity is highest over the initial five years of the projections. Most assets are expected to have matured, or reached the end of their behavioural life before the five-year horizon. A forum under the chairmanship of the Chief Economist meets at least quarterly to review and, if appropriate, recommend changes to the method by which economic scenarios are generated, for approval by the Chief Financial Officer and Chief Risk Officer. In June 2022, the Group judged it appropriate to include an adjusted severe downside scenario to incorporate a high CPI inflation and UK Bank Rate profiles and to adopt this adjusted severe downside scenario to calculate the Group\u2019s ECL. This is because the historic macroeconomic and loan loss data upon which the scenario model is calibrated imply an association of downside economic outcomes with easier monetary policy, and therefore low interest rates. The adjustment is considered to better reflect the risks around the Group\u2019s base case view in an economic environment where supply shocks are the principal concern. The Group has continued to include a non-modelled severe downside scenario for Group ECL calculations for 31 December 2022 reporting. Base case and MES economic assumptions The Group\u2019s base case economic scenario has been revised in light of the ongoing war in Ukraine, reversals in UK fiscal policy, and a continuing global shift towards a more restrictive monetary policy stance against a backdrop of elevated inflation pressures. The Group\u2019s updated base case scenario has three conditioning assumptions: first, the war in Ukraine remains \u2018local\u2019, i.e. without overtly involving neighbouring countries, NATO or China; second, the UK labour market participation rate remains below pre-pandemic levels, impeding the economy\u2019s supply capacity; and third, the Bank of England accommodates above-target inflation in the medium term, recognising the economic costs that might arise from a rapid return to the two per cent target. Based on these assumptions and incorporating the economic data published in the fourth quarter, the Group\u2019s base case scenario is for a contraction in economic activity and a rise in the unemployment rate alongside declines in residential and commercial property prices, following increases in UK Bank Rate in response to persistent inflationary pressures. Risks around this base case economic view lie in both directions and are largely captured by the generation of alternative economic scenarios. The Group has accommodated the latest available information at the reporting date in defining its base case scenario and generating alternative economic scenarios. The scenarios include forecasts for key variables in the fourth quarter of 2022, for which actuals may have since emerged prior to publication. Scenarios by year The key UK economic assumptions made by the Group are shown in the following tables across a number of measures explained below. Annual assumptions Gross domestic product (GDP) and Consumer Price Index (CPI) inflation are presented as an annual change, house price growth and commercial real estate price growth are presented as the growth in the respective indices over each year. Unemployment rate and UK Bank Rate are averages over the year. Five-year average The five-year average reflects the average annual growth rate, or level, over the five-year period. It includes movements within the current reporting year, such that the position as of 31 December 2022 covers the five years 2022 to 2026. The inclusion of the reporting year within the five-year period reflects the need to predict variables which remain unpublished at the reporting date and recognises that credit models utilise both level and annual changes. The use of calendar years maintains a comparability between the annual assumptions presented. Five-year start to peak and trough The peak or trough for any metric may occur intra year and therefore not be identifiable from the annual assumptions, therefore they are also disclosed. For GDP, house price growth and commercial real estate price growth, the peak, or trough, reflects the highest, or lowest cumulative quarterly position reached relative to the start of the five-year period, which as of 31 December 2022 is 1 January 2022. Given these metrics may exhibit increases followed by greater falls, the start to trough movements quoted may be smaller than the equivalent \u2018peak to trough\u2019 movement (and vice versa for start to peak). Unemployment, UK Bank Rate and CPI Inflation reflect the highest, or lowest, quarterly level reached in the five-year period. Note 19: Allowance for expected credit losses continued At 31 December 2022 2022 % 2023 % 2024 % 2025 % 2026 % 2022 to 2026 average % Start to peak 1 % Start to trough 1 % Upside Gross domestic product 4.1 0.1 1.1 1.7 2.1 1.8 6.5 0.4 Unemployment rate 3.5 2.8 3.0 3.3 3.4 3.2 3.8 2.8 House price growth 2.4 (2.8) 6.5 9.0 8.0 4.5 24.8 (1.1) Commercial real estate price growth (9.4) 8.5 3.5 2.6 2.3 1.3 7.2 (9.4) UK Bank Rate 1.94 4.95 4.98 4.63 4.58 4.22 5.39 0.75 CPI inflation 9.0 8.3 4.2 3.3 3.0 5.5 10.7 2.9 Base case Gross domestic product 4.0 (1.2) 0.5 1.6 2.1 1.4 4.3 (1.1) Unemployment rate 3.7 4.5 5.1 5.3 5.1 4.8 5.3 3.6 House price growth 2.0 (6.9) (1.2) 2.9 4.4 0.2 6.4 (6.3) Commercial real estate price growth (11.8) (3.3) 0.9 2.8 3.1 (1.8) 7.2 (14.8) UK Bank Rate 1.94 4.00 3.38 3.00 3.00 3.06 4.00 0.75 CPI inflation 9.0 8.3 3.7 2.3 1.7 5.0 10.7 1.6 Downside Gross domestic product 3.9 (3.0) (0.5) 1.4 2.1 0.8 1.2 (3.6) Unemployment rate 3.8 6.3 7.5 7.6 7.2 6.5 7.7 3.6 House price growth 1.6 (11.1) (9.8) (5.6) (1.5) (5.4) 6.4 (24.3) Commercial real estate price growth (13.9) (15.0) (3.7) 0.4 1.4 (6.4) 7.2 (29.6) UK Bank Rate 1.94 2.93 1.39 0.98 1.04 1.65 3.62 0.75 CPI inflation 9.0 8.2 3.3 1.3 0.3 4.4 10.7 0.2 Severe downside Gross domestic product 3.7 (5.2) (1.0) 1.3 2.1 0.1 0.7 (6.4) Unemployment rate 4.1 9.0 10.7 10.4 9.7 8.8 10.7 3.6 House price growth 1.1 (14.8) (18.0) (11.5) (4.2) (9.8) 6.4 (40.1) Commercial real estate price growth (17.3) (28.8) (9.9) (1.3) 3.2 (11.6) 7.2 (47.8) UK Bank Rate \u2013 modelled 1.94 1.41 0.20 0.13 0.14 0.76 3.50 0.12 UK Bank Rate \u2013 adjusted 2 2.44 7.00 4.88 3.31 3.25 4.18 7.00 0.75 CPI inflation \u2013 modelled 9.0 8.2 2.6 (0.1) (1.6) 3.6 10.7 (1.7) CPI inflation \u2013 adjusted 2 9.7 14.3 9.0 4.1 1.6 7.7 14.8 1.5 Probability-weighted Gross domestic product 4.0 (1.8) 0.2 1.5 2.1 1.2 3.4 (1.8) Unemployment rate 3.7 5.0 5.8 5.9 5.7 5.2 5.9 3.6 House price growth 1.9 (7.7) (3.2) 0.7 2.9 (1.2) 6.4 (9.5) Commercial real estate price growth (12.3) (5.8) (0.8) 1.6 2.3 (3.1) 7.2 (18.6) UK Bank Rate \u2013 modelled 1.94 3.70 2.94 2.59 2.60 2.76 3.89 0.75 UK Bank Rate \u2013 adjusted 2 1.99 4.26 3.41 2.91 2.91 3.10 4.31 0.75 CPI inflation \u2013 modelled 9.0 8.3 3.6 2.1 1.4 4.9 10.7 1.3 CPI inflation \u2013 adjusted 2 9.1 8.9 4.3 2.5 1.7 5.3 11.0 1.6 1  Since the level of property prices peaked during 2022, peak to trough declines for house price growth and commercial real estate price growth are larger than the start to trough declines over the period shown. 2  The adjustment to UK Bank Rate and CPI inflation in the severe downside is considered to better reflect the risks around the Group\u2019s base case view in an economic environment where supply shocks are the principal concern. Base case scenario by quarter 1 At 31 December 2022 First quarter 2022 % Second quarter 2022 % Third quarter 2022 % Fourth quarter 2022 % First quarter 2023 % Second quarter 2023 % Third quarter 2023 % Fourth quarter 2023 % Gross domestic product 0.6 0.1 (0.3) (0.4) (0.4) (0.4) (0.2) (0.1) Unemployment rate 3.7 3.8 3.6 3.7 4.0 4.4 4.7 4.9 House price growth 11.1 12.5 9.8 2.0 (3.0) (8.4) (9.8) (6.9) Commercial real estate price growth 18.0 18.0 8.4 (11.8) (16.9) (19.8) (15.9) (3.3) UK Bank Rate 0.75 1.25 2.25 3.50 4.00 4.00 4.00 4.00 CPI inflation 6.2 9.2 10.0 10.7 10.0 8.9 8.0 6.1 1  Gross domestic product is presented quarter-on-quarter. House price growth, commercial real estate growth and CPI inflation are presented year-on-year, i.e. from the equivalent quarter in the previous year. Unemployment rate and UK Bank Rate are presented as at the end of each quarter. Note 19: Allowance for expected credit losses continued At 31 December 2021 2021 % 2022 % 2023 % 2024 % 2025 % 2021 to 2025 average % Start to peak % Start to trough % Upside Gross domestic product 7.1 4.0 1.4 1.3 1.4 3.0 12.6 (1.3) Unemployment rate 4.4 3.3 3.4 3.5 3.7 3.7 4.9 3.2 House price growth 10.1 2.6 4.9 4.7 3.6 5.1 28.5 1.2 Commercial real estate price growth 12.4 5.8 0.7 1.0 (0.6) 3.7 20.9 0.8 UK Bank Rate 0.14 1.44 1.74 1.82 2.03 1.43 2.04 0.10 CPI inflation 1 2.6 5.9 3.3 2.6 3.3 3.5 6.5 0.6 Base case Gross domestic product 7.1 3.7 1.5 1.3 1.3 2.9 12.3 (1.3) Unemployment rate 4.5 4.3 4.4 4.4 4.5 4.4 4.9 4.3 House price growth 9.8 0.0 0.0 0.5 0.7 2.1 11.0 1.2 Commercial real estate price growth 10.2 (2.2) (1.9) 0.1 0.6 1.2 10.2 0.8 UK Bank Rate 0.14 0.81 1.00 1.06 1.25 0.85 1.25 0.10 CPI inflation 1 2.6 5.9 3.0 1.6 2.0 3.0 6.5 0.6 Downside Gross domestic product 7.1 3.4 1.3 1.1 1.2 2.8 11.4 (1.3) Unemployment rate 4.7 5.6 5.9 5.8 5.7 5.6 6.0 4.3 House price growth 9.2 (4.9) (7.8) (6.6) (4.7) (3.1) 9.2 (14.8) Commercial real estate price growth 8.6 (10.1) (7.0) (3.4) (0.3) (2.6) 8.6 (12.8) UK Bank Rate 0.14 0.45 0.52 0.55 0.69 0.47 0.71 0.10 CPI inflation 1 2.6 5.8 2.8 1.3 1.6 2.8 6.4 0.6 Severe downside Gross domestic product 6.8 0.9 0.4 1.0 1.4 2.1 7.6 (1.3) Unemployment rate 4.9 7.7 8.5 8.1 7.6 7.3 8.5 4.3 House price growth 9.1 (7.3) (13.9) (12.5) (8.4) (6.9) 9.1 (30.2) Commercial real estate price growth 5.8 (19.6) (12.1) (5.3) (0.5) (6.8) 6.9 (30.0) UK Bank Rate 0.14 0.04 0.06 0.08 0.09 0.08 0.25 0.02 CPI inflation 1 2.6 5.8 2.3 0.5 0.9 2.4 6.5 0.4 Probability-weighted Gross domestic product 7.0 3.4 1.3 1.2 1.3 2.8 11.6 (1.3) Unemployment rate 4.6 4.7 5.0 5.0 4.9 4.8 5.0 4.3 House price growth 9.6 (1.4) (2.3) (1.7) (1.0) 0.6 9.6 1.2 Commercial real estate price growth 9.9 (3.9) (3.7) (1.2) (0.1) 0.1 9.9 (0.3) UK Bank Rate 0.14 0.82 0.99 1.04 1.20 0.83 1.20 0.10 CPI inflation 1 2.6 5.9 2.9 1.7 2.2 3.1 6.5 0.6 1  For 31 December 2021 scenarios, CPI numbers were translations of modelled Retail Price Index excluding mortgage interest payments (RPIX) estimates. Base case scenario by quarter 1 At 31 December 2021 First quarter 2021 % Second quarter 2021 % Third quarter 2021 % Fourth quarter 2021 % First quarter 2022 % Second quarter 2022 % Third quarter 2022 % Fourth quarter 2022 % Gross domestic product (1.3) 5.4 1.1 0.4 0.1 1.5 0.5 0.3 Unemployment rate 4.9 4.7 4.3 4.3 4.4 4.3 4.3 4.3 House price growth 6.5 8.7 7.4 9.8 8.4 6.1 3.2 0.0 Commercial real estate price growth (2.9) 3.4 7.5 10.2 8.4 5.2 0.9 (2.2) UK Bank Rate 0.10 0.10 0.10 0.25 0.50 0.75 1.00 1.00 CPI inflation 0.6 2.1 2.8 4.9 5.3 6.5 6.3 5.3 1  Gross domestic product is presented quarter-on-quarter. House price growth, commercial real estate growth and CPI inflation are presented year-on-year, i.e. from the equivalent quarter in the previous year. Unemployment rate and UK Bank Rate are presented as at the end of each quarter. Note 19: Allowance for expected credit losses continued ECL sensitivity to economic assumptions The table below shows the Group\u2019s ECL for the probability-weighted, upside, base case, downside and severe downside scenarios, with the severe downside scenario incorporating adjustments made to CPI inflation and UK Bank Rate paths. The stage allocation for an asset is based on the overall scenario probability-weighted PD and hence the staging of assets is constant across all the scenarios. In each economic scenario the ECL for individual assessments and post-model adjustments is typically held constant reflecting the basis on which they are evaluated. For 31 December 2022, however, post-model adjustments in Commercial Banking have been apportioned across the scenarios to better reflect the sensitivity of these adjustments to each scenario. Judgements applied through changes to model inputs are reflected in the scenario ECL sensitivities. The probability-weighted view shows the extent to which a higher ECL allowance has been recognised to take account of multiple economic scenarios relative to the base case; the uplift being \u00a3692 million compared to \u00a3223 million at 31 December 2021. At 31 December 2022 At 31 December 2021 1 Probability- weighted \u00a3m Upside \u00a3m Base case \u00a3m Downside \u00a3m Severe downside \u00a3m Probability- weighted \u00a3m Upside \u00a3m Base case \u00a3m Downside \u00a3m Severe downside \u00a3m UK mortgages 1,209 514 790 1,434 3,874 837 637 723 967 1,386 Credit cards 763 596 727 828 1,180 521 442 500 569 672 Other Retail 1,016 907 992 1,056 1,290 825 760 811 863 950 Commercial Banking 1,869 1,459 1,656 2,027 3,261 1,433 1,295 1,358 1,505 1,859 Other 46 46 46 47 47 426 426 427 426 424 ECL allowance 4,903 3,522 4,211 5,392 9,652 4,042 3,560 3,819 4,330 5,291 1  Reflects the new organisation structure, with Business Banking and Commercial Cards moving from Retail to Commercial Banking and Wealth moving from Insurance, Pensions and Investments (previously Insurance and Wealth) to Retail; comparatives have been presented on a consistent basis. The table below shows the Group\u2019s ECL for the upside, base case, downside and severe downside scenarios, with staging of assets based on each specific scenario probability of default. ECL applied through individual assessments and the majority of post-model adjustments are reported flat against each economic scenario, reflecting the basis on which they are evaluated. A probability- weighted scenario is not shown as this does not reflect the basis on which ECL is reported. Comparing the probability-weighted ECL in the table above to the base case ECL with base case scenario specific staging, as shown in the table below, results in an uplift of \u00a3820 million compared to \u00a3230 million at 31 December 2021. At 31 December 2022 At 31 December 20211 Upside \u00a3m Base case \u00a3m Downside \u00a3m Severe downside \u00a3m Upside \u00a3m Base case \u00a3m Downside \u00a3m Severe downside \u00a3m UK mortgages 469 734 1,344 7,848 636 722 973 1,448 Credit cards 563 719 842 1,320 434 500 583 707 Other Retail 886 984 1,059 1,449 754 808 867 972 Commercial Banking 1,425 1,600 2,142 5,190 1,290 1,357 1,518 2,116 Other 46 46 47 47 425 425 425 425 ECL allowance 3,389 4,083 5,434 15,854 3,539 3,812 4,366 5,668 1  Reflects the new organisation structure, with Business Banking and Commercial Cards moving from Retail to Commercial Banking and Wealth moving from Insurance, Pensions and Investments (previously Insurance and Wealth) to Retail; comparatives have been presented on a consistent basis. The table below shows the percentage of assets that would be recorded in Stage 2 for the upside, base case, downside and severe downside scenarios, if stage allocation was based on each specific scenario. At 31 December 2022 At 31 December 20211 Upside % Base case % Downside % Severe downside % Upside % Base case % Downside % Severe downside % UK mortgages 8.5 11.3 12.7 59.9 6.6 6.8 7.9 10.1 Credit cards 16.2 20.8 24.0 37.7 11.9 13.7 16.4 20.0 Other Retail 9.1 10.7 12.1 21.7 9.3 9.6 10.5 13.0 Commercial Banking 6.1 6.9 17.2 49.9 7.5 7.7 9.3 20.1 Percentage of assets in Stage 2 8.2 10.5 14.2 55.1 6.5 6.6 7.7 11.6 1  Reflects the new organisation structure, with Business Banking and Commercial Cards moving from Retail to Commercial Banking and Wealth moving from Insurance, Pensions and Investments (previously Insurance and Wealth) to Retail; comparatives have been presented on a consistent basis. Note 19: Allowance for expected credit losses continued The impact of changes in the UK unemployment rate and House Price Index (HPI) have been assessed. Although such changes would not be observed in isolation, as economic indicators tend to be correlated in a coherent scenario, this gives insight into the sensitivity of the Group\u2019s ECL to gradual changes in these two critical economic factors. The assessment has been made against the base case with the reported staging unchanged and is assessed through the direct impact on modelled ECL only, including management judgements applied through changes to model inputs. The change in univariate ECL sensitivity in the period is a result of the change in definition of default and associated model changes, and the deterioration in the base case on which the assessment has been performed. The table below shows the impact on the Group\u2019s ECL resulting from a 1 percentage point (pp) increase or decrease in the UK unemployment rate. The increase or decrease is presented based on the adjustment phased evenly over the first ten quarters of the base case scenario. An immediate increase or decrease would drive a more material ECL impact as it would be fully reflected in both 12-month and lifetime PDs. At 31 December 2022 At 31 December 2021 1 1pp increase in unemployment \u00a3m 1pp decrease in unemployment \u00a3m 1pp increase in unemployment \u00a3m 1pp decrease in unemployment \u00a3m UK mortgages 26 (21) 23 (18) Credit cards 41 (41) 20 (20) Other Retail 25 (25) 12 (12) Commercial Banking 100 (91) 52 (45) ECL impact 192 (178) 107 (95) 1  Reflects the new organisation structure, with Business Banking and Commercial Cards moving from Retail to Commercial Banking and Wealth moving from Insurance, Pensions and Investments (previously Insurance and Wealth) to Retail; comparatives have been presented on a consistent basis. The table below shows the impact on the Group\u2019s ECL in respect of UK mortgages of an increase or decrease in loss given default for a 10 percentage point (pp) increase or decrease in the UK House Price Index (HPI). The increase or decrease is presented based on the adjustment phased evenly over the first ten quarters of the base case scenario. At 31 December 2022 At 31 December 2021 10pp increase in HPI 10pp decrease in HPI 10pp increase in HPI 10pp decrease in HPI ECL impact, \u00a3m (225) 370 (112) 162 Individual assessments Stage 3 ECL in Commercial Banking is largely assessed on an individual basis using bespoke assessment of loss for each specific client. These assessments are carried out by the Business Support Unit based on detailed reviews and expected recovery strategies. While these assessments are based on the Group\u2019s latest economic view, the use of Group-wide multiple economic scenarios and weightings is not considered appropriate for these cases due to their individual characteristics. In place of this, a range of case- specific outcomes are considered with any alternative better or worse outcomes that carry a 25 per cent likelihood taken into account in establishing a probability-weighted ECL. At 31 December 2022, individually assessed provisions for Commercial Banking were \u00a31,008 million (2021: \u00a3905 million) which reflected a range of \u00a3908 million to \u00a31,140 million (2021: \u00a3741 million to \u00a31,024 million), based on the range of alternative outcomes considered. Application of judgement in adjustments to modelled ECL Impairment models fall within the Group\u2019s model risk framework with model monitoring, periodic validation and back testing performed on model components (i.e. probability of default, exposure at default and loss given default). Limitations in the Group\u2019s impairment models or data inputs may be identified through the ongoing assessment and validation of the output of the models. In these circumstances, management make appropriate adjustments to the Group\u2019s allowance for impairment losses to ensure that the overall provision adequately reflects all material risks. These adjustments are determined by considering the particular attributes of exposures which have not been adequately captured by the impairment models and range from changes to model inputs and parameters, at account level, through to more qualitative post-model adjustments. Post-model adjustments are not typically calculated under each distinct economic scenario used to generate ECL, but on final modelled ECL. All adjustments are reviewed quarterly and are subject to internal review and challenge, including by the Audit Committee, to ensure that amounts are appropriately calculated and that there are specific release criteria identified. The coronavirus pandemic and the various support measures resulted in an economic environment which differed significantly from the historical economic conditions upon which the impairment models had been built. As a result there was a greater need for management judgements to be applied alongside the use of models at 31 December 2021. During 2022 the direct impact of the pandemic on both economic and credit performance has reduced, resulting in the release of all material judgements required specifically to capture COVID-19 risks. Conversely, the intensifying inflationary pressures alongside rising interest rates within the Group\u2019s outlook have created further risks not deemed to be fully captured by ECL models. This has required judgements to be added to capture affordability risks from inflationary and rising interest rate pressures. At 31 December 2022 management judgement resulted in additional ECL allowances totalling \u00a3330 million (2021: \u00a31,284 million). Note 19: Allowance for expected credit losses continued The table below analyses total ECL allowance by portfolio, separately identifying the amounts that have been modelled, those that have been individually assessed and those arising through the application of management judgement. Modelled ECL \u00a3m Individually assessed \u00a3m Judgements due to: Total ECL \u00a3m COVID-191 \u00a3m Inflationary risk \u00a3m Other \u00a3m At 31 December 2022 UK mortgages 946 \u2013 \u2013 49 214 1,209 Credit cards 698 \u2013 \u2013 93 (28) 763 Other Retail 903 \u2013 1 53 59 1,016 Commercial Banking 972 1,008 \u2013 \u2013 (111) 1,869 Other 46 \u2013 \u2013 \u2013 \u2013 46 Total 3,565 1,008 1 195 134 4,903 At 31 December 2021 UK mortgages 292 \u2013 67 52 426 837 Credit cards 436 \u2013 94 \u2013 (9) 521 Other Retail2 757 \u2013 18 \u2013 50 825 Commercial Banking 2 342 905 200 \u2013 (14) 1,433 Other2 26 \u2013 400 \u2013 \u2013 426 Total 1,853 905 779 52 453 4,042 1  Judgements introduced to address the impact that COVID-19 and resulting interventions have had on the Group\u2019s economic outlook and observed loss experience, which have required additional model limitations to be addressed. In 2021, there was a \u00a3400 million other COVID-19 judgement to recognise the risk that the conditioning assumptions assumed in the base case economic scenario were invalidated by future events. 2  Reflects the new organisation structure, with Business Banking and Commercial Cards moving from Retail to Commercial Banking and Wealth moving from Insurance, Pensions and Investments (previously Insurance and Wealth) to Retail; comparatives have been presented on a consistent basis. Judgements due to inflationary risk UK mortgages: \u00a349 million (2021: \u00a352 million) These adjustments comprise: Inflationary and interest rate pressures: \u00a349 million (2021: \u00a352 million) There has been only modest evidence of credit deterioration in the UK mortgages portfolio through 2022 despite the high levels of inflation and the rising interest rate environment. Mortgage ECL models use bank base rate as a driver of predicted defaults and that has contributed to the elevated levels of ECL at 31 December 2022. However, there remains a potential risk to affordability from continued inflationary pressures combined with higher interest rates, and that this may not be fully captured by the Group\u2019s ECL models. This risk is to customers maturing from low fixed rate deals, the building impact on variable rate holders and lower levels of real household income. The level of risk is somewhat mitigated from stressed affordability assessments applied at loan origination which means most customers are anticipated to be able to absorb payment shocks. A judgemental uplift in ECL has therefore been taken in specific segments of the mortgages portfolio, either where inflation is expected to present a more material risk, or where segments within the model do not use bank base rate as a material driver of predicted defaults. At 31 December 2021 additional judgemental ECL was taken in UK mortgages to recognise the heightened risk of interest rates increasing rapidly compared to the base case outlook. This judgement quantified incremental losses from adopting an alternative severe downside scenario with a 4 per cent interest rate peak. This judgement is no longer required given the Group\u2019s base case outlook, and modelled ECL, now captures an equivalent interest rate view within the base case alongside an adjusted severe scenario with a 7 per cent interest rate peak. Credit cards: \u00a393 million (2021: \u00a3nil) and Other Retail: \u00a353 million (2021: \u00a3nil) These adjustments comprise: Inflationary risk on Retail segments: Credit Cards: \u00a393 million (2021: \u00a3nil) and Other Retail: \u00a353 million (2021: \u00a3nil) The Group\u2019s ECL models for credit cards and personal loan portfolios use predictions of wage growth to account for future affordability stress. As rapidly increasing inflation erodes nominal wage growth, adjustments have been made to the econometric models to account for real, rather than nominal, income to produce adjusted predicted defaults. These adjustments include the specific risk to affordability from increased housing costs, not captured by CPI. As these adjustments are made within predicted default models, they are calculated under each economic scenario and impact the staging of assets through increased PDs. Alongside these portfolio-wide adjustments management have also made an additional uplift to ECL for customers with lower income levels and higher indebtedness deemed most vulnerable to inflationary pressures and interest rate rises. Although this segment of customers has not exhibited any greater stress to date, uplifts have been applied to recognise continued inflation and interest rates pose a greater proportionate risk in future periods. Management believe that this is an appropriate way to account for the aggregate inflationary risk in these unsecured portfolios and will continue to monitor both actual economic and customer outcomes to ensure that this adjustment remains reasonable and appropriate. Note 19: Allowance for expected credit losses continued Other judgements UK mortgages: \u00a3214 million (2021: \u00a3426 million) These adjustments principally comprise: Increase in time to repossession: \u00a3118 million (2021: \u00a387 million) Due to the Group suspending mortgage litigation activity between late-2014 and mid-2018 due to policy changes for the treatment of arrears, and as collections strategy normalises post COVID-19 pandemic, the Group\u2019s experience of possessions data on which our models rely on is limited. This reflects an adjustment made to allow for an increase in the time assumed between default and repossession. Provision coverage is uplifted to the equivalent levels of those accounts already in repossession on an estimated shortfall of balances expected to flow to possession. A further adjustment is made to accounts which have been in default for more than 24 months, with an arrears balance increase in the last six months. These accounts have their probability of possession set to 70 per cent based on observed historical losses incurred on accounts that were of an equivalent status. The increase in the judgement reflects a lower modelled coverage that requires a larger adjustment to reach the required levels. Asset recovery values: \u00a369 million (2021: \u00a321 million) Due to low repossession volumes, sales data informing the estimated level of discount in the event of repossessions has been limited, impacting the ability to update model parameters. Despite these low volumes, since 2020 the observed asset recovery sale values have remained broadly the same on the limited volumes seen, however the indexed valuation within the model has shown an increasing trend due to HPI increases, therefore management consider it appropriate to uplift ECL to reflect expected recovery values. Adjustment for specific segments: \u00a325 million (2021: \u00a354 million) The Group monitors risks across specific segments of its portfolios which may not be fully captured through wider collective models. Judgemental increases applied to probability of default on forborne accounts (31 December 2021: \u00a318 million) have been removed as models now include forborne accounts in Stage 3 assets. The judgement for fire safety and cladding uncertainty has reduced to \u00a325 million (31 December 2021: \u00a336 million). Though experience remains limited the risk is considered sufficiently material to address through judgement, given that there is evidence of assessed cases having defective cladding, or other fire safety issues, but this risk has reduced throughout the year. Credit cards: \u00a3(28) million (2021: \u00a3(9) million) and Other Retail: \u00a359 million (2021: \u00a350 million) These adjustments principally comprise: Lifetime extension on revolving products: Credit cards: \u00a382 million (2021: \u00a341 million) and Other Retail: \u00a314 million (2021: \u00a35 million) An adjustment is required to extend the lifetime used for Stage 2 exposures on Retail revolving products from a three year modelled lifetime, which reflected the outcome data available when the model was developed. Previously this was deemed to be six years by increasing default probabilities through the extrapolation of the default trajectory observed throughout the three years and beyond. During 2022, work was undertaken to reassess the expected lifetime for these assets, which concluded in an extension of the expected lifetime from six to ten years, resulting in an increase to this adjustment. Adjustments to loss given defaults (LGDs): Credit cards: \u00a3(96) million (2021: \u00a3(37) million) and Other Retail: \u00a313 million (2021: \u00a324 million) A number of adjustments have been made to the loss given default assumptions used within unsecured and motor credit models. These include judgements held previously, notably in relation to the alignment of MBNA credit card cure rates as collection strategies harmonise. Alongside this, new adjustments have also been raised to capture recent improvements in observed cure rates offset by updates to recovery cost assumptions. These adjustments will be released once incorporated into models through future recalibration which is pending model development. Motor default suppression: Other Retail: \u00a313 million (2021: \u00a3nil) Used car prices have continued to rise through 2022 with lower actual defaults materialising than anticipated. Management consider it appropriate to uplift ECL to account for the risk that prices return back to more normalised levels. Commercial Banking: \u00a3(111) million (2021: \u00a3(14) million) These adjustments principally comprise: Adjustments to loss given defaults (LGDs): \u00a3(105) million (2021: \u00a3(25) million) The modelling approach for loss given default for commercial exposures has been reviewed. Management deem ECL should be adjusted to mitigate limitations identified in the approach which are causing loss given defaults to be inflated. These include the benefit from amortisation of exposures relative to collateral values at default and a move to an exposure-weighted approach being adopted. These temporary adjustments will be addressed through future model development. Corporate insolvency rates: \u00a3(35) million (2021: \u00a3nil) During 2022, the volume of UK corporate insolvencies showed an increasing trend to above December 2019 levels, revealing a marked dislocation between observed UK corporate insolvencies and the Group\u2019s credit performance. This dislocation gives rise to uncertainty over the drivers of observed trends and the appropriateness of the Group\u2019s Commercial Banking model response which uses observed UK corporate insolvencies data. Given the Group\u2019s asset quality remains strong with very low new defaults, a negative adjustment was deemed appropriate by management to address potential overstatement of Commercial Banking ECL. Climate risk The Group considers how climate risks are incorporated into the measurement of expected credit losses. An assessment was performed of the Group\u2019s internally generated economic scenarios used in the measurement of expected credit losses against external scenarios published by the Network for Greening the Financial System (NGFS). This was supplemented by an assessment of the behavioural lifetime of assets against the expected time horizons of when climate risks may materialise. Given the extended timelines related to climate risks compared to the tenor of the Group\u2019s lending portfolios and insights produced by the Group\u2019s climate risk experts, no adjustments have been required to the expected credit losses measured as at 31 December 2022. ",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfAllowanceForCreditLossesExplanatory",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-834": {
   "value": "Note 20: Finance lease and hire purchase receivables The Group\u2019s finance lease and hire purchase receivables are classified as loans and advances to customers and accounted for at amortised cost. These balances are analysed as follows: Finance leases Hire purchase 2022 \u00a3m 2021 \u00a3m 2022 \u00a3m 2021 \u00a3m Not later than 1 year 223 346 6,339 4,752 Later than 1 year and not later than 2 years 223 143 3,896 4,541 Later than 2 years and not later than 3 years 119 230 3,725 3,998 Later than 3 years and not later than 4 years 54 118 2,975 2,828 Later than 4 years and not later than 5 years 40 54 388 816 Later than 5 years 299 337 275 374 Gross investment 958 1,228 17,598 17,309 Unearned future finance income (181) (232) (1,458) (1,359) Rentals received in advance (11) (14) (111) (89) Net investment 766 982 16,029 15,861 The net investment represents amounts recoverable as follows: Finance leases Hire purchase 2022 \u00a3m 2021 \u00a3m 2022 \u00a3m 2021 \u00a3m Not later than 1 year 177 277 5,646 4,032 Later than 1 year and not later than 2 years 192 110 3,468 4,172 Later than 2 years and not later than 3 years 96 200 3,456 3,781 Later than 3 years and not later than 4 years 38 96 2,856 2,754 Later than 4 years and not later than 5 years 27 38 358 767 Later than 5 years 236 261 245 355 Net investment 766 982 16,029 15,861 Equipment leased to customers under finance leases and hire purchase receivables relates to financing transactions to fund the purchase of aircraft, ships, motor vehicles and other items. There was an allowance for uncollectable finance lease receivables included in the allowance for impairment losses of \u00a314 million (2021: \u00a318 million) and for hire purchase receivables of \u00a3238 million (2021: \u00a3275 million). The Group\u2019s finance lease and hire purchase assets are comprised as follows: Finance leases Hire purchase 2022 \u00a3m 2021 \u00a3m 2022 \u00a3m 2021 \u00a3m Electric vehicles 8 3 578 430 Internal combustion engine vehicles 176 142 10,817 10,713 Hybrid vehicles 5 3 741 524 Other 577 834 3,893 4,194 Net investment 766 982 16,029 15,861 ",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfMaturityAnalysisOfFinanceLeasePaymentsReceivableExplanatory",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-835": {
   "value": "Note 21: Financial assets at fair value through other comprehensive income 2022 \u00a3m 2021 \u00a3m Debt securities: Government securities 11,211 14,613 Asset-backed securities 146 70 Corporate and other debt securities 11,514 13,134 22,871 27,817 Treasury and other bills \u2013 85 Equity shares 283 235 Total financial assets at fair value through other comprehensive income 23,154 28,137 All assets were assessed at Stage 1 at 31 December 2021 and 2022. ",
   "dimensions": {
    "concept": "lloydsbankinggroup:DisclosureOfFinancialAssetsAtFairValueThroughOtherComprehensiveIncome",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-836": {
   "value": "Note 22: Investments in joint ventures and associates The Group\u2019s share of results of, and investments in, equity accounted joint ventures and associates comprises: Joint ventures Associates Total 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m Share of income statement amounts: Income 108 90 72 7 4 4 115 94 76 Expenses (85) (80) (78) (20) (11) (11) (105) (91) (89) Impairment \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 Profit (loss) before tax 23 10 (6) (13) (7) (7) 10 3 (13) Tax \u2013 (1) \u2013 \u2013 \u2013 \u2013 \u2013 (1) \u2013 Share of post-tax results 23 9 (6) (13) (7) (7) 10 2 (13) Share of other comprehensive income \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 Share of total comprehensive income 23 9 (6) (13) (7) (7) 10 2 (13) Share of balance sheet amounts: Current assets 324 421 58 23 382 444 Non-current assets 227 169 3 12 230 181 Current liabilities (97) (142) (11) (5) (108) (147) Non-current liabilities (119) (126) \u2013 \u2013 (119) (126) Share of net assets at 31 December 335 322 50 30 385 352 Movement in investments over the year: At 1 January 322 279 30 17 352 296 Exchange and other adjustments (17) \u2013 (6) \u2013 (23) \u2013 Additional investments 56 34 39 20 95 54 Repayment of capital (36) \u2013 \u2013 \u2013 (36) \u2013 Share of post-tax results 23 9 (13) (7) 10 2 Dividends paid (13) \u2013 \u2013 \u2013 (13) \u2013 Share of net assets at 31 December 335 322 50 30 385 352 The Group\u2019s unrecognised share of losses of associates for the year was \u00a3nil (2021: \u00a3nil; 2020: \u00a3nil). For entities making losses, subsequent profits earned are not recognised until previously unrecognised losses are extinguished. The Group\u2019s unrecognised share of losses net of unrecognised profits on a cumulative basis of associates is \u00a32 million (2021: \u00a32 million; 2020: \u00a32 million) and of joint ventures is \u00a35 million (2021: \u00a35 million; 2020: \u00a35 million). Where entities have statutory accounts drawn up to a date other than 31 December, management accounts are used for Group reporting. Included within the investment in joint ventures at 31 December 2022 is \u00a368 million (2021: \u00a373 million) of lending carried at amortised cost. ",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfInterestsInOtherEntitiesExplanatory",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-837": {
   "value": "Note 23: Goodwill 2022 \u00a3m 2021 \u00a3m At 1 January 2,320 2,320 Acquisition of businesses (see below) 335 \u2013 At 31 December 2,655 2,320 Cost 1 2,999 2,664 Accumulated impairment losses (344) (344) At 31 December 2,655 2,320 1  For acquisitions made prior to 1 January 2004, the date of transition to IFRS, cost is included net of amounts amortised up to 31 December 2003. On 31 January 2022, the Group completed the acquisition of 100 per cent of the share capital of Embark Group Limited (Embark), which together with its subsidiaries operates an investment and retirement platform business, enhancing the Group\u2019s Wealth business capabilities, and has been consolidated into the Group\u2019s results from that date. The total fair value of the purchase consideration was \u00a3377 million, settled in cash, and goodwill of \u00a3324 million has been recognised on the transaction. None of the goodwill recognised is deductible for tax purposes. Acquisition-related costs of \u00a34 million have been included in operating expenses for the year ended 31 December 2022. The revenue included in the consolidated statement of comprehensive income since 31 January 2022 contributed by Embark was \u00a381 million, with net loss after tax of \u00a39 million over the same period. Had Embark been consolidated from 1 January 2022, the consolidated statement of comprehensive income would have included revenue of \u00a387 million and a net loss after tax of \u00a312 million. The goodwill relating to the acquisition of Embark has been allocated to the Group\u2019s Life and pensions business as it is expected to benefit from the synergies of the acquisition. In addition, goodwill of \u00a311 million arose on the Group\u2019s acquisition of Cavendish Online during the year. The goodwill held in the Group\u2019s balance sheet is tested at least annually for impairment. For the purposes of impairment testing the goodwill is allocated to the appropriate cash generating unit; of the total balance of \u00a32,655 million (2021: \u00a32,320 million), \u00a32,171 million, or 82 per cent (2021: \u00a31,836 million, 79 per cent), including the \u00a3324 million arising on the acquisition of Embark in the year, has been allocated to the Life and pensions cash generating unit; \u00a3302 million, or 11 per cent (2021: \u00a3302 million, 13 per cent) has been allocated to the Credit card cash generating unit in the Group\u2019s Retail division; and \u00a3166 million, or 6 per cent (2021: \u00a3166 million, 7 per cent) to the Motor business cash generating unit. The recoverable amount of the goodwill relating to Scottish Widows is based on a value-in-use calculation. The calculation uses pre-tax projections of future cash flows based upon budgets and plans approved by management covering a four-year period, the related run-off of existing business in-force and a discount rate (pre-tax) of 11.2 per cent. The budgets and plans are based upon past experience adjusted to take into account anticipated changes in sales volumes, product mix and margins having regard to expected market conditions (which will reflect current and future risks, such as climate and expected economic activity conditions) and competitor activity. The discount rate is determined with reference to internal measures and available industry information. New business cash flows beyond the four-year period have been extrapolated using a reducing balance growth rate that falls from 3.5 per cent down to 2.0 percent after 20 years, which does not exceed the long-term average growth rate for the life assurance market. Management believes that any reasonably possible change in the key assumptions above would not cause the recoverable amount of the goodwill relating to Scottish Widows to fall below its balance sheet carrying value. The recoverable amount of the goodwill relating to the Motor business is based on a value-in-use calculation using post-tax cash flow projections based on financial budgets and plans approved by management covering a four-year period and a discount rate (post-tax) of 10 per cent, based on the Group\u2019s cost of equity. The cash flows beyond the four-year period are extrapolated using a growth rate of 3.5 per cent which does not exceed the long-term average growth rates for the markets in which the Motor business participates. Management believes that any reasonably possible change in the key assumptions, including from the impacts of climate change or climate-related legislation, would not cause the recoverable amount of the goodwill relating to the Motor business to fall below the balance sheet carrying value. The recoverable amount of the goodwill relating to Credit cards has been based on a value-in-use calculation using post-tax cash flow projections based on financial budgets and plans approved by management covering a four-year period and a discount rate (post-tax) of 10 per cent, based on the Group\u2019s cost of equity. The cash flows beyond the four-year period assume 3.5 per cent growth. Management believes that any reasonably possible change in the key assumptions above would not cause the recoverable amount of the goodwill relating to Credit cards to fall below the balance sheet carrying value. ",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfGoodwillExplanatory",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-838": {
   "value": "Note 24: Value of in-force business Key assumptions The impacts of reasonably possible changes in the key assumptions made in respect of the Group\u2019s life insurance business, which include the impact on the value of in-force business, are disclosed in note 32. The principal features of the methodology and process used for determining key assumptions used in the calculation of the value of in-force business are set out below: Economic assumptions Each cash flow is valued using the discount rate consistent with that applied to such a cash flow in the capital markets. In practice, to achieve the same result, where the cash flows are either independent of or move linearly with market movements, a method has been applied known as the \u2018certainty equivalent\u2019 approach whereby it is assumed that all assets earn a risk-free rate and all cash flows are discounted at a risk-free rate. The certainty equivalent approach covers all investment assets relating to insurance and participating investment contracts, other than the annuity business (where an illiquidity premium is included, see below). A market-consistent approach has been adopted for the valuation of financial options and guarantees, using a stochastic option pricing technique calibrated to be consistent with the market price of relevant options at each valuation date. Further information on options and guarantees can be found in note 31. Note 24: Value of in-force business continued The liabilities in respect of the Group\u2019s UK annuity business are matched by a portfolio of fixed interest securities, including a large proportion of corporate bonds and illiquid loan assets. The value of the in-force business asset for UK annuity business has been calculated after taking into account an estimate of the market premium for illiquidity in respect of corporate bond holdings and relevant illiquid loan assets. In determining the market premium for illiquidity, a range of inputs are considered which reflect actual asset allocation and relevant observable market data. The illiquidity premium is estimated to be 160 basis points at 31 December 2022 (31 December 2021: 88 basis points). The risk-free rate is derived from the relevant swap curve with a deduction for credit risk. The table below shows the resulting range of yields and other key assumptions at 31 December: 2022 % 2021 % Risk-free rate (value of in-force non-annuity business) 1 1.94 to 4.55 (0.16) to 3.60 Risk-free rate (value of in-force annuity business)1 3.54 to 6.15 0.72 to 4.49 Risk-free rate (financial options and guarantees) 1 1.94 to 4.55 (0.16) to 3.60 Retail price inflation 3.70 3.28 Expense inflation 4.00 3.58 1  All risk-free rates are quoted as the range of rates implied by the relevant forward swap curve. Non-market risk An allowance for non-market risk is made through the choice of best estimate assumptions based upon experience, which generally will give the mean expected financial outcome for shareholders and hence no further allowance for non-market risk is required. However, in the case of operational risk, reinsurer default and the with-profit funds these can be asymmetric in the range of potential outcomes for which an explicit allowance is made. Non-economic assumptions Future mortality, morbidity, expenses, lapse and paid-up rate assumptions are reviewed each year and are based on an analysis of past experience and on management\u2019s view of future experience. Further information on these assumptions is given in note 31 and the effect of changes in key assumptions is given in note 32. The value of in-force business asset in the consolidated balance sheet is comprised as follows: 2022 \u00a3m 2021 \u00a3m Acquired value of in-force non-participating investment contracts 175 197 Value of in-force insurance and participating investment contracts 5,244 5,317 Total value of in-force business 5,419 5,514 The movement in the acquired value of in-force non-participating investment contracts over the year is as follows: 2022 \u00a3m 2021 \u00a3m At 1 January 197 221 Amortisation (note 11) (22) (24) At 31 December 175 197 The acquired value of in-force non-participating investment contracts includes \u00a3106 million (2021: \u00a3119 million) in relation to OEIC business. Movement in value of in-force business The movement in the value of in-force insurance and participating investment contracts over the year is as follows: 2022 \u00a3m 2021 \u00a3m At 1 January 5,317 5,396 Exchange and other adjustments 7 (9) Movements in the year: New business 416 321 Existing business: Expected return (360) (355) Experience variances 18 84 Assumption changes 247 (465) Economic variance (401) 345 Movement in the value of in-force business (note 9) (80) (70) At 31 December 5,244 5,317 This breakdown shows the movement in the value of in-force business only, and does not represent the full contribution that each item in the breakdown makes to profit before tax. This will also contain changes in the other assets and liabilities of the relevant businesses, including the effects of changes in assumptions used to value the liabilities. The presentation of economic variance includes the impact of financial market conditions being different at the end of the year from those included in assumptions used to calculate new and existing business returns. ",
   "dimensions": {
    "concept": "lloydsbankinggroup:DisclosureOfValueInForceBusiness",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-839": {
   "value": "Note 25: Other intangible assets Brands \u00a3m Core deposit intangible \u00a3m Purchased credit card relationships \u00a3m Customer- related intangibles \u00a3m Capitalised software enhancements \u00a3m Total \u00a3m Cost: At 1 January 2021 596 2,770 1,002 538 5,894 10,800 Additions and acquisitions \u2013 \u2013 \u2013 \u2013 1,017 1,017 Disposals and write-offs \u2013 \u2013 \u2013 \u2013 (460) (460) At 31 December 2021 596 2,770 1,002 538 6,451 11,357 Exchange and other adjustments \u2013 \u2013 \u2013 \u2013 (1) (1) Additions and acquisitions 5 \u2013 \u2013 34 1,452 1,491 Disposals and write-offs (12) \u2013 \u2013 \u2013 (186) (198) At 31 December 2022 589 2,770 1,002 572 7,716 12,649 Accumulated amortisation: At 1 January 2021 216 2,770 551 538 2,585 6,660 Exchange and other adjustments \u2013 \u2013 \u2013 \u2013 (1) (1) Charge for the year (note 11) \u2013 \u2013 70 \u2013 892 962 Disposals and write-offs \u2013 \u2013 \u2013 \u2013 (460) (460) At 31 December 2021 216 2,770 621 538 3,016 7,161 Exchange and other adjustments \u2013 \u2013 1 3 (7) (3) Charge for the year (note 11) \u2013 \u2013 70 \u2013 833 903 Disposals and write-offs (12) \u2013 \u2013 \u2013 (186) (198) At 31 December 2022 204 2,770 692 541 3,656 7,863 Balance sheet amount at 31 December 2022 385 \u2013 310 31 4,060 4,786 Balance sheet amount at 31 December 2021 380 \u2013 381 \u2013 3,435 4,196 Brands arising from the acquisition of Bank of Scotland in 2009 are recognised on the Group\u2019s balance sheet and have been determined to have an indefinite useful life. The carrying value at 31 December 2022 was \u00a3380 million (2021: \u00a3380 million). The Bank of Scotland name has been in existence for over 300 years and there are no indications that the brand should not have an indefinite useful life. The recoverable amount has been based on a value-in-use calculation. The calculation uses post-tax projections for a four-year period of the income generated by the Bank of Scotland cost generating unit, a discount rate of 10 per cent and a future growth rate of 3.5 per cent. Management believes that any reasonably possible change in the key assumptions would not cause the recoverable amount of the Bank of Scotland brand to fall below its balance sheet carrying value. ",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfIntangibleAssetsExplanatory",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-840": {
   "value": "Note 26: Other assets 2022 \u00a3m 2021 \u00a3m Property, plant and equipment: Investment properties (see below) 2,532 3,612 Premises 871 817 Equipment 1,285 1,634 Operating lease assets (see below) 4,816 4,196 Right-of-use assets (note 27) 1,156 1,318 10,660 11,577 Settlement balances 416 434 Prepayments 1,224 1,022 Deferred acquisition and origination costs 54 64 Other assets 1,483 1,593 Total other assets 13,837 14,690 Note 26: Other assets continued Investment properties The Group\u2019s investments properties are predominantly held by the Insurance, Pensions and Investments business where they back policyholder liabilities. They are valued by external Chartered Surveyors using industry standard techniques based on guidance from the Royal Institute of Chartered Surveyors. The valuation methodology includes an assessment of general market conditions and sector level transactions and takes account of expectations of occupancy rates, rental income and growth. Property valuations undergo individual scrutiny using cash flow analysis to factor in the timing of rental reviews, capital expenditure, lease incentives, dilapidation and operating expenses; these reviews utilise both observable and unobservable inputs. Within the fair value hierarchy, all of the Group\u2019s investment properties are categorised as level 3 (see note 49 for details of levels in the fair value hierarchy). The table below analyses movements in level 3 investment properties, which are carried at fair value. 2022 \u00a3m 2021 \u00a3m At 1 January 3,612 3,347 Acquisition of new properties 60 18 Additional expenditure on existing properties 50 68 Change in fair value (note 7) (511) 575 Disposals (679) (396) At 31 December 2,532 3,612 Rental income of \u00a3145 million (2021: \u00a3186 million) and direct operating expenses of \u00a332 million (2021: \u00a325 million) arising from investment properties that generate rental income have been recognised in the income statement. Capital expenditure in respect of investment properties which had been contracted for but not recognised in the financial statements was \u00a3119 million (2021: \u00a378 million). Operating lease assets where the Group is lessor Equipment leased to customers under operating leases primarily relates to vehicle contract hire arrangements. At 31 December the future minimum rentals receivable under non-cancellable operating leases were as follows: 2022 \u00a3m 2021 \u00a3m Within 1 year 912 848 1 to 2 years 620 561 2 to 3 years 322 288 3 to 4 years 102 86 4 to 5 years 11 8 Over 5 years \u2013 \u2013 Total future minimum rentals receivable 1,967 1,791 Equipment leased to customers under operating leases primarily relates to vehicle contract hire arrangements. Operating lease assets are comprised as follows: 2022 \u00a3m 2021 \u00a3m Electric vehicles 1,610 728 Internal combustion engine vehicles 2,042 2,531 Hybrid vehicles 1,159 928 Other 5 9 Total operating lease assets 4,816 4,196 ",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfOtherAssetsExplanatory",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-841": {
   "value": "Note 27: Lessee disclosures The table below sets out the movement in the Group\u2019s right-of-use assets, which are primarily in respect of premises, and are recognised within other assets (note 26). 2022 \u00a3m 2021 \u00a3m At 1 January 1,318 1,500 Exchange and other adjustments 3 (9) Additions 98 73 Disposals (37) (18) Depreciation charge for the year (226) (228) At 31 December 1,156 1,318 The Group\u2019s lease liabilities are recognised within other liabilities (note 34). The maturity analysis of the Group\u2019s lease liabilities on an undiscounted basis is set out in the liquidity risk section of note 52. The total cash outflow for leases in the year ended 31 December 2022 was \u00a3210 million (2021: \u00a3256 million). The amount recognised within interest expense in respect of lease liabilities is disclosed in note 5. ",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfLeasesExplanatory",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-842": {
   "value": "Note 28: Financial liabilities at fair value through profit or loss 2022 \u00a3m 2021 \u00a3m Liabilities designated at fair value through profit or loss: Debt securities in issue 5,159 6,537 Other 19 4 5,178 6,541 Trading liabilities: Liabilities in respect of securities sold under repurchase agreements 11,037 14,962 Short positions in securities 1,540 1,620 12,577 16,582 Total financial liabilities at fair value through profit or loss 17,755 23,123 Liabilities designated at fair value through profit or loss primarily represent debt securities in issue which either contain substantive embedded derivatives which would otherwise need to be recognised and measured at fair value separately from the related debt securities, or which are accounted for at fair value to significantly reduce an accounting mismatch. The amount contractually payable on maturity of the debt securities held at fair value through profit or loss at 31 December 2022 was \u00a311,195 million, which was \u00a36,036 million higher than the balance sheet carrying value (2021: \u00a310,558 million, which was \u00a34,021 million higher than the balance sheet carrying value). At 31 December 2022 there was a cumulative \u00a3324 million decrease in the fair value of these liabilities attributable to changes in credit spread risk; this is determined by reference to the quoted credit spreads of Lloyds Bank plc, the issuing entity within the Group. Of the cumulative amount, a decrease of \u00a3519 million arose in 2022 and an increase of \u00a386 million arose in 2021. For the fair value of collateral pledged in respect of repurchase agreements see note 52. In addition to the liabilities above, the Group\u2019s non-participating investment contracts (see note 33) are held at fair value through profit or loss. ",
   "dimensions": {
    "concept": "lloydsbankinggroup:DisclosureOfFinancialLiabilitiesAtFairValueThoughProfitOrLoss",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-843": {
   "value": "Note 29: Debt securities in issue 2022 \u00a3m 2021 \u00a3m Senior unsecured notes issued 36,819 37,354 Covered bonds (note 30) 14,242 17,409 Certificates of deposit issued 7,225 4,454 Securitisation notes (note 30) 2,780 3,672 Commercial paper 12,753 8,663 Total debt securities in issue 73,819 71,552 ",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfDebtSecuritiesExplanatory",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-844": {
   "value": "Note 30: Securitisations and covered bonds Securitisation programmes Loans and advances to customers include loans securitised under the Group\u2019s securitisation programmes, the majority of which have been sold by subsidiary companies to bankruptcy remote structured entities. As the structured entities are funded by the issue of debt on terms whereby the majority of the risks and rewards of the portfolio are retained by the subsidiary, the structured entities are consolidated fully and all of these loans are retained on the Group\u2019s balance sheet, with the related notes in issue included within debt securities in issue. Covered bond programmes Certain loans and advances to customers have been assigned to bankruptcy remote limited liability partnerships to provide security for issues of covered bonds by the Group. The Group retains all of the risks and rewards associated with these loans and the partnerships are consolidated fully with the loans retained on the Group\u2019s balance sheet and the related covered bonds in issue included within debt securities in issue. Note 30: Securitisations and covered bonds continued The Group\u2019s principal securitisation and covered bond programmes, together with the balances of the advances subject to these arrangements and the carrying value of the externally held notes in issue at 31 December, are listed below. Notes in issue, previously reported gross of internal holdings, are presented net; comparatives have been presented on a consistent basis. The notes in issue are reported in note 29. 2022 2021 Loans and advances securitised1 \u00a3m Externally held notes  in issue \u00a3m Loans and advances securitised1 \u00a3m Externally held notes  in issue \u00a3m Securitisation programmes UK residential mortgages and commercial loans 15,805 2,035 19,129 2,543 Credit card receivables 12,776 223 11,615 595 Motor vehicle finance 401 149 235 141 Dutch residential mortgages 402 399 427 426 Total securitisation programmes (notes 28 and 29)2 29,384 2,806 31,406 3,705 Covered bond programmes Residential mortgage-backed 27,400 13,742 35,896 16,909 Social housing loan-backed 831 500 833 500 Total covered bond programmes (note 29) 28,231 14,242 36,729 17,409 Total securitisation and covered bond programmes 17,048 21,114 1  Including assets backing notes held internally within the Group. 2  Includes \u00a326 million (2021: \u00a333 million) of securitisation notes held at fair value through profit or loss. Cash deposits of \u00a33,896 million (2021: \u00a33,558 million) which support the debt securities issued by the structured entities, the term advances related to covered bonds and other legal obligations, are held by the Group. Additionally, the Group has certain contractual arrangements to provide liquidity facilities to some of these structured entities. At 31 December 2022 these obligations had not been triggered; the maximum exposure under these facilities was \u00a325 million (2021: \u00a352 million). The Group has two covered bond programmes, for which limited liability partnerships have been established to ring-fence asset pools and guarantee the covered bonds issued by the Group. At the reporting date the Group had over-collateralised these programmes as set out in the table above to meet the terms of the programmes, to secure the rating of the covered bonds and to provide operational flexibility. From time to time, the obligations of the Group to provide collateral may increase due to the formal requirements of the programmes. The Group may also voluntarily contribute collateral to support the ratings of the covered bonds. The Group recognises the full liabilities associated with its securitisation and covered bond programmes within debt securities in issue, although the obligations of the Group in respect of its securitisation issuances are limited to the cash flows generated from the underlying assets. The Group could be required to provide additional support to a number of the securitisation programmes to support the credit ratings of the debt securities issued, in the form of increased cash reserves and the holding of subordinated notes. Further, certain programmes contain contractual obligations that require the Group to repurchase assets should they become credit-impaired or as otherwise required by the transaction documents. The Group has not provided financial or other support by voluntarily offering to repurchase assets from any of its public securitisation programmes during 2022 (2021: none). ",
   "dimensions": {
    "concept": "lloydsbankinggroup:DisclosureOfSecuritisationsAndCoveredBonds",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-845": {
   "value": "Note 31: Liabilities arising from insurance contracts and participating investment contracts Insurance contract and participating investment contract liabilities are comprised as follows: 2022 2021 Gross \u00a3m Reinsurance1 \u00a3m Net \u00a3m Gross \u00a3m Reinsurance 1 \u00a3m Net \u00a3m Life insurance (see (1) below): Insurance contracts 95,745 (595) 95,150 109,200 (740) 108,460 Participating investment contracts 10,541 \u2013 10,541 13,623 \u2013 13,623 106,286 (595) 105,691 122,823 (740) 122,083 Non-life insurance contracts (see (2) below): Unearned premiums 246 (17) 229 312 (16) 296 Claims outstanding 361 (2) 359 288 \u2013 288 607 (19) 588 600 (16) 584 Total 106,893 (614) 106,279 123,423 (756) 122,667 1  Reinsurance balances are reported within assets. Note 31: Liabilities arising from insurance contracts and participating investment contracts continued (1)  Life insurance The movement in life insurance contract and participating investment contract liabilities over the year can be analysed as follows: Insurance contracts \u00a3m Participating investment contracts \u00a3m Gross \u00a3m Reinsurance \u00a3m Net \u00a3m At 1 January 2021 102,424 13,041 115,465 (820) 114,645 New business 3,427 40 3,467 (110) 3,357 Changes in existing business 3,437 570 4,007 190 4,197 Change in liabilities charged to the income statement (note 10) 6,864 610 7,474 80 7,554 Exchange and other adjustments (88) (28) (116) \u2013 (116) At 31 December 2021 109,200 13,623 122,823 (740) 122,083 New business 4,151 18 4,169 (98) 4,071 Changes in existing business (17,693) (3,100) (20,793) 243 (20,550) Change in liabilities charged to the income statement (note 10) (13,542) (3,082) (16,624) 145 (16,479) Exchange and other adjustments 87 \u2013 87 \u2013 87 At 31 December 2022 95,745 10,541 106,286 (595) 105,691 Liabilities for insurance contracts and participating investment contracts can be split into with-profit fund liabilities, accounted for using the PRA\u2019s realistic capital regime (realistic liabilities), and non-profit fund liabilities, accounted for using a prospective actuarial discounted cash flow methodology, as follows: 2022 2021 With-profit fund \u00a3m Non-profit fund \u00a3m Total \u00a3m With-profit fund \u00a3m Non-profit fund \u00a3m Total \u00a3m Insurance contracts 5,778 89,967 95,745 7,232 101,968 109,200 Participating investment contracts 5,435 5,106 10,541 6,641 6,982 13,623 Total 11,213 95,073 106,286 13,873 108,950 122,823 With-profit fund realistic liabilities (i)  Business description Scottish Widows Limited has the only with-profit funds within the Group. The primary purpose of the conventional and unitised business written in the with-profit funds is to provide a smoothed investment vehicle to policyholders, protecting them against short-term market fluctuations. Pay-outs may be subject to a guaranteed minimum pay-out if certain policy conditions are met. With-profit policyholders are entitled to at least 90 per cent of the distributed profits, with the shareholders receiving the balance. The policyholders are also usually insured against death and the policy may carry a guaranteed annuity option at retirement. (ii)  Method of calculation of liabilities With-profit liabilities are stated at their realistic value, the main components of which are: \u2022 With-profit benefit reserve, the total asset shares for with-profit policies \u2022 Cost of options and guarantees (including guaranteed annuity options) \u2022 Deductions levied against asset shares \u2022 Planned enhancements to with-profit benefit reserve \u2022 Impact of the smoothing policy (iii)  Assumptions Key assumptions used in the calculation of with-profit liabilities, which reflect the impacts of COVID-19 that has also increased the level of uncertainty (in particular in relation to persistency and mortality assumptions) and the processes for determining these, are: Investment returns and discount rates With-profit fund liabilities are valued on a market-consistent basis, achieved by the use of a valuation model which values liabilities on a basis calibrated to tradable market option contracts and other observable market data. The with-profit fund financial options and guarantees are valued using a stochastic simulation model where all assets are assumed to earn, on average, the risk-free yield and all cash flows are discounted using the risk-free yield. The risk-free yield is defined as the spot yield derived from the relevant swap curve, adjusted for credit risk. Further information on significant options and guarantees is given below. Guaranteed annuity option take-up rates Certain pension contracts contain guaranteed annuity options that allow the policyholder to take an annuity benefit on retirement at annuity rates that were guaranteed at the outset of the contract. For contracts that contain such options, key assumptions in determining the cost of options are economic conditions in which the option has value, mortality rates and take-up rates of other options. The financial impact is dependent on the value of corresponding investments, interest rates and longevity at the time of the claim. Note 31: Liabilities arising from insurance contracts and participating investment contracts continued Investment volatility The calibration of the stochastic simulation model uses implied volatilities of derivatives where possible, or historical volatility where it is not possible to observe meaningful prices. Mortality The mortality assumptions for the main classes of business are set with regard to recent Group experience and general industry trends, all of which are adjusted for smoker status and age/gender specific factors. The mortality tables used in the valuation are summarised below: 2022 2021 Annuities 94% Bespoke tables CMI2021_{M/F}_(7.25)_ {3.0/2.8}%_{0.0/0.2}A_2013 94% Bespoke tables CMI2020_{M/F}_(7.25)_ {3.0/2.8}%_{0.3/0.4}A_2013 Whole of life assurance Bespoke tables Bespoke tables Term assurance 88%\u2013111% of TxxL08 tables 88%\u2013111% of TxxL08 tables Pensions 64%\u201377% of TxxL08 tables 64%\u201377% of TxxL08 tables Savings 62%\u201374% of AxC00 tables 55%\u201380% of AxC00 tables Lapse rates (persistency) Lapse rates refer to the rate of policy termination or the rate at which policyholders stop paying regular premiums due under the contract. Historical persistency experience is analysed using statistical techniques. As experience can vary considerably between different product types and for contracts that have been in force for different periods, the data is broken down into broadly homogenous groups for the purposes of this analysis. The most recent experience is considered along with the results of previous analyses and management\u2019s views on future experience, taking into consideration potential changes in future experience that may result from guarantees and options becoming more valuable under adverse market conditions, in order to determine a \u2018best estimate\u2019 view of what persistency will be. In determining this best estimate view a number of factors are considered, including the credibility of the results (which will be affected by the volume of data available), any exceptional events that have occurred during the period under consideration, any known or expected trends in underlying data and relevant published market data. (iv)  Options and guarantees within the With-Profit Funds The most significant options and guarantees provided from within the With-Profit Funds are in respect of guaranteed minimum cash benefits on death, maturity, retirement or certain policy anniversaries, and guaranteed annuity options on retirement for certain pension policies. For those policies written in Scottish Widows pre-demutualisation containing potentially valuable options and guarantees, under the terms of the demutualisation scheme a separate memorandum account was set up, within the With-Profit Fund originally held in Scottish Widows plc and subsequently transferred into Scottish Widows Limited, called the Additional Account, which is available, inter alia, to meet any additional costs of providing guaranteed benefits in respect of those policies. The Additional Account had a value at 31 December 2022 of \u00a31.9 billion (2021: \u00a32.5 billion). The eventual cost of providing benefits on policies written both pre and post demutualisation is dependent upon a large number of variables, including future interest rates and equity values, demographic factors, such as mortality, and the proportion of policyholders who seek to exercise their options. The ultimate cost will therefore not be known for many years. As noted above, the liabilities of the With-Profit Funds are valued using a market-consistent stochastic simulation model which places a value on the options and guarantees capturing both their intrinsic value and time value. The most significant economic assumptions included in the model are risk-free yield and investment volatility. Non-profit fund liabilities (i)  Business description The Group principally writes the following types of life insurance contracts within its non-profit funds. Shareholder profits on these types of business arise from management fees and other policy charges. Unit-linked business This includes unit-linked pensions and unit-linked bonds, the primary purpose of which is to provide an investment vehicle where the policyholder is also insured against death. Life insurance The policyholder is insured against death or permanent disability, usually for predetermined amounts. Such business includes whole of life and term assurance and long-term creditor policies. Annuities The policyholder is entitled to payments for the duration of their life and is therefore insured against surviving longer than expected. (ii)  Method of calculation of liabilities The non-profit fund liabilities are determined on the basis of recognised actuarial methods and involve estimating future policy cash flows over the duration of the in-force book of policies, and discounting the cash flows back to the valuation date allowing for probabilities of occurrence. (iii)  Assumptions Generally, assumptions used to value non-profit fund liabilities are prudent in nature and therefore contain a margin for adverse deviation. This margin for adverse deviation is based on management\u2019s judgement and reflects management\u2019s views on the inherent level of uncertainty. In calculating the value of non-profit fund liabilities, the impacts of COVID-19, which have increased the level of uncertainty, have been considered, in particular in relation to persistency and mortality. The key assumptions used in the measurement of non-profit fund liabilities are: Note 31: Liabilities arising from insurance contracts and participating investment contracts continued Interest rates The rates of interest used are determined by reference to a number of factors including the redemption yields on fixed interest assets at the valuation date. Margins for risk are allowed for in the assumed interest rates, including reductions made to the available yields to allow for default risk based upon the credit rating of the securities allocated to the insurance liability. Mortality and morbidity The mortality assumptions for the main classes of business are as follows: 2022 2021 Annuities 94% Bespoke tables CMI2021_{M/F}_(7.25)_ {3.0/2.8}%_{0.0/0.2}A_2013 94% Bespoke tables CMI2020_{M/F}_(7.25)_ {3.0/2.8}%_{0.3/0.4}A_2013 Whole of life assurance Bespoke tables Bespoke tables Term assurance 88%\u2013111% of TxxL08 tables 88%\u2013111% of TxxL08 tables Pensions 64%\u201377% of TxxL08 tables 64%\u201377% of TxxL08 tables Savings 62%\u201374% of AxC00 tables 55%\u201380% of AxC00 tables Lapse rates (persistency) Lapse rates are allowed for on some non-profit fund contracts. The process for setting these rates is as described for with-profit liabilities, however a prudent scenario is assumed by the inclusion of a margin for adverse deviation within the non-profit fund liabilities. Maintenance expenses Allowance is made for future policy costs explicitly. Expenses are determined by reference to an internal analysis of current and expected future costs plus a margin for adverse deviation. Explicit allowance is made for future expense inflation. Key changes in assumptions A detailed review of the Group\u2019s demographic and expense assumptions in 2022 resulted in a net gain of \u00a3348 million (2021: net gain of \u00a343 million). The following were the key impacts on profit before tax: \u2022 Change in persistency assumptions (\u00a3229 million increase (2021: \u00a315 million decrease)) \u2022 Change in the assumption in respect of current and future mortality and morbidity rates (\u00a3112 million increase (2021: \u00a3149 million increase)) \u2022 Change in expense assumptions (\u00a39 million increase (2021: \u00a394 million decrease)) These amounts include the impacts of movements in liabilities and value of the in-force business in respect of insurance contracts and participating investment contracts. (iv)  Options and guarantees outside the With-Profit Funds A number of typical guarantees are provided outside the With-Profit Funds such as guaranteed payments on death (for example term assurance) or guaranteed income for life (for example annuities). Caps and floors on inflation-linked increases to benefits and premiums across the annuities and protection business form additional guarantees within the Group\u2019s insurance business. Key assumptions affecting the time value of these guarantees are inflation, inflation volatility and interest rates. At 31 December 2022, additional reserves of \u00a374 million were held to cover the time value of these guarantees. In addition, certain personal pension policyholders in Scottish Widows, for whom reinstatement to their occupational pension scheme was not an option, have been given a guarantee that their pension and other benefits will correspond in value to the benefits of the relevant occupational pension scheme. The key assumptions affecting the ultimate value of the guarantee are future salary growth, gilt yields at retirement, annuitant mortality at retirement, marital status at retirement and future investment returns. There is currently a provision, calculated on a deterministic basis, of \u00a330 million (2021: \u00a361 million) in respect of those guarantees. (2)  Non-life insurance For non-life insurance contracts, the methodology and assumptions used in relation to determining the bases of the earned premium and claims provisioning levels are derived for each individual underwritten product. Assumptions represent the Group\u2019s estimates of the most likely or expected outcome, with a margin added for uncertainty reserves. There has been no significant change in the assumptions and methodologies used for setting reserves. The movements in non-life insurance contract liabilities and reinsurance assets over the year have been as follows: 2022 \u00a3m 2021 \u00a3m Provisions for unearned premiums Gross provision at 1 January 312 330 Increase in the year 494 624 Release in the year (560) (642) Change in provision for unearned premiums charged (credited) to income statement (66) (18) Gross provision at 31 December 246 312 Reinsurers\u2019 share (17) (16) Net provision at 31 December 229 296 These provisions represent the liability for short-term insurance contracts for which the Group\u2019s obligations are not expired at the year end. Note 31: Liabilities arising from insurance contracts and participating investment contracts continued 2022 \u00a3m 2021 \u00a3m Claims outstanding Gross claims outstanding at 1 January 288 265 Cash paid for claims settled in the year (342) (305) Increase in liabilities charged to the income statement1 415 328 73 23 Gross claims outstanding at 31 December 361 288 Reinsurers\u2019 share (2) \u2013 Net claims outstanding at 31 December 359 288 Notified claims 208 177 Incurred but not reported 151 111 Net claims outstanding at 31 December 359 288 1  Of which an increase of \u00a3402 million (2021: increase of \u00a3367 million) was in respect of current year claims and an increase of \u00a313 million (2021: decrease of \u00a339 million) was in respect of prior year claims. These claims liabilities are not discounted because they are typically settled within three years. ",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfInsuranceContractsExplanatory",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-846": {
   "value": "Note 32: Life insurance sensitivity analysis The following table demonstrates the effect of reasonably possible changes in key assumptions on profit before tax and equity disclosed in these financial statements assuming that the other assumptions remain unchanged. In practice this is unlikely to occur, and changes in some assumptions may be correlated. These amounts include movements in assets, liabilities and the value of the in- force business in respect of insurance contracts and participating investment contracts. The impact is shown in one direction but can be assumed to be reasonably symmetrical. 2022 2021 Change in variable Increase (reduction) in profit before tax \u00a3m Increase (reduction) in equity \u00a3m Increase (reduction) in profit before tax \u00a3m Increase (reduction) in equity \u00a3m Critical accounting estimates Annuitant mortality 1 5% reduction (188) (152) (301) (244) Future maintenance and investment expenses 2 10% reduction 309 250 355 288 Widening of credit default spreads 3 0.25% addition (284) (230) (433) (351) Increase in illiquidity premia4 0.10% addition 114 92 190 154 Other accounting estimates Non-annuitant mortality and morbidity5 5% reduction 22 18 13 11 Lapse rates 6 10% reduction 122 99 88 71 Risk-free rate 7 0.25% reduction 44 35 44 35 Guaranteed annuity option take up 8 5% addition (2) (2) (2) (2) Equity investment volatility9 1% addition (2) (1) (2) (1) 1  This sensitivity shows the impact on the annuity and deferred annuity business of reducing mortality rates to 95 per cent of the expected rate. 2  This sensitivity shows the impact of reducing maintenance expenses and investment expenses to 90 per cent of the expected rate. 3  This sensitivity shows the impact of a 25 basis point increase in credit default spreads on corporate bonds and the corresponding reduction in market values. Swap curves, the risk-free rate and illiquidity premia are all assumed to be unchanged. 4  This sensitivity shows the impact of a 10 basis point increase in the allowance for illiquidity premia. It assumes the overall spreads on assets are unchanged and hence market values are unchanged. Swap curves and the non-annuity risk-free rate are both assumed to be unchanged. The increased illiquidity premium increases the annuity risk-free rate. 5  This sensitivity shows the impact of reducing mortality and morbidity rates on non-annuity business to 95 per cent of the expected rate. 6  This sensitivity shows the impact of reducing lapse and surrender rates to 90 per cent of the expected rate. 7  This sensitivity shows the impact on the value of in-force business, financial options and guarantee costs, statutory reserves and asset values of reducing the risk-free rate by 25 basis points. 8  This sensitivity shows the impact of a flat 5 per cent addition to the expected rate. 9  This sensitivity shows the impact of a flat 1 per cent addition to the expected rate. Assumptions have been flexed on the basis used to calculate the value of in-force business and the realistic and statutory reserving bases. ",
   "dimensions": {
    "concept": "lloydsbankinggroup:DisclosureOfLifeInsuranceSensitivityAnalysis",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-847": {
   "value": "Note 33: Liabilities arising from non-participating investment contracts The movement in liabilities arising from non-participating investment contracts may be analysed as follows: 2022 \u00a3m 2021 \u00a3m At 1 January 45,040 38,452 New business 3,148 4,187 Changes in existing business (5,213) 2,401 At 31 December 42,975 45,040 The balances above are shown gross of reinsurance. As at 31 December 2022, related reinsurance balances were \u00a32 million (2021: \u00a33 million); reinsurance balances are reported within assets. Liabilities arising from non-participating investment contracts are categorised as level 2. See note 49 for details of levels in the fair value hierarchy. ",
   "dimensions": {
    "concept": "lloydsbankinggroup:DisclosureOfLiabilitiesArisingFromNonParticipatingInvestmentContracts",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-848": {
   "value": "Note 34: Other liabilities 2022 \u00a3m 2021 \u00a3m Settlement balances 1,125 541 Unitholders\u2019 interest in consolidated Open-Ended Investment Companies 1 10,413 12,080 Unallocated surplus within insurance businesses 248 308 Lease liabilities 1,317 1,475 Other creditors and accruals 5,987 5,543 Total other liabilities 19,090 19,947 1  Where a collective investment vehicle is consolidated, the interests of parties other than the Group are reported at fair value in other liabilities. The maturity analysis of the Group\u2019s lease liabilities on an undiscounted basis is set out in the liquidity risk section of note 52. ",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfOtherLiabilitiesExplanatory",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-849": {
   "value": "Note 35: Retirement benefit obligations 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m Charge to the income statement Defined benefit pension schemes 123 234 244 Other post-retirement benefit schemes 2 2 3 Total defined benefit schemes 125 236 247 Defined contribution pension schemes 330 302 319 Total charge to the income statement (note 11) 455 538 566 2022 \u00a3m 2021 \u00a3m Amounts recognised in the balance sheet Retirement benefit assets 3,823 4,531 Retirement benefit obligations (126) (230) Total amounts recognised in the balance sheet 3,697 4,301 The total amounts recognised in the balance sheet relate to: 2022 \u00a3m 2021 \u00a3m Defined benefit pension schemes 3,732 4,404 Other post-retirement benefit schemes (35) (103) Total amounts recognised in the balance sheet 3,697 4,301 Note 35: Retirement benefit obligations continued Pension schemes Defined benefit schemes (i)  Characteristics of and risks associated with the Group\u2019s schemes The Group has established a number of defined benefit pension schemes in the UK and overseas. All significant schemes are based in the UK, with the three most significant being the main sections of the Lloyds Bank Pension Scheme No. 1, the Lloyds Bank Pension Scheme No. 2 and the HBOS Final Salary Pension Scheme. At 31 December 2022, these schemes represented 94 per cent of the Group\u2019s total gross defined benefit pension assets (2021: 94 per cent). These schemes provide retirement benefits calculated as a proportion of final pensionable salary depending upon the length of pensionable service; the minimum retirement age under the rules of the schemes at 31 December 2022 is generally 55, although certain categories of member are deemed to have a protected right to retire at 50. The Group operates both funded and unfunded pension arrangements; the majority, including the three most significant schemes, are funded schemes in the UK. All of these UK funded schemes are operated as separate legal entities under trust law, are in compliance with the Pensions Act 2004 and are managed by a Trustee Board (the Trustee) whose role is to ensure that their scheme is administered in accordance with the scheme rules and relevant legislation, and to safeguard the assets in the best interests of all members and beneficiaries. The Trustee is solely responsible for setting investment policy and for agreeing funding requirements with the employer through the funding valuation process. The Board of Trustees must be composed of representatives of the scheme membership along with a combination of independent and employer appointed trustees to comply with legislation and scheme rules. A valuation to determine the funding status of each scheme is carried out at least every three years, whereby scheme assets are measured at market value and liabilities (technical provisions) are measured using prudent assumptions. If a deficit is identified a recovery plan is agreed between the employer and the scheme Trustee and sent to the Pensions Regulator for review. The Group has not provided for these deficit contributions as the future economic benefits arising from these contributions are expected to be available to the Group. The Group\u2019s overseas defined benefit pension schemes are subject to local regulatory arrangements. The most recent triennial funding valuations of the Group\u2019s three main defined benefit pension schemes showed an aggregate ongoing funding deficit of \u00a37.3 billion as at 31 December 2019 (a funding level of 85.7 per cent). Under the agreed recovery plan, \u00a30.8 billion plus a further 30 per cent of in-year capital distributions to ordinary shareholders, up to a limit on total deficit contributions of \u00a32.0 billion per annum, is payable until the 2019 deficit has been removed. These schemes continue to have a funding deficit, but are in a significantly stronger financial position than at 31 December 2021, when the deficit was c.\u00a34.0 billion. During 2022, deficit contributions of \u00a32.2 billion were paid into these schemes and the Group expects to make a further fixed contribution of \u00a30.8 billion in the first half of 2023, consistent with 2021 and 2022. The Group expects to have substantially agreed the triennial valuation with the Trustee by the end of the third quarter of 2023, along with a revised contribution schedule in respect of any remaining deficit. Trustee agreement will be conditional upon prior feedback from the Pensions Regulator. The Group also expects that future contributions will become increasingly contingent in nature, such that they are only paid into the schemes if required. The deficit contributions are in addition to the regular contributions to meet benefits accruing over the year, and to cover the expenses of running the schemes. The Group expects to pay contributions of at least \u00a31.1 billion to its defined benefit schemes in 2023. During 2009, the Group made one-off contributions to the Lloyds Bank Pension Scheme No. 1 and Lloyds Bank Pension Scheme No. 2 in the form of interests in limited liability partnerships for each of the two schemes which hold assets to provide security for the Group\u2019s obligations to the two schemes. At 31 December 2022, the limited liability partnerships held assets of \u00a36.3 billion. The limited liability partnerships are consolidated fully in the Group\u2019s balance sheet. The Group has also established three private limited companies which hold assets to provide security for the Group\u2019s obligations to the HBOS Final Salary Pension Scheme, a section of the Lloyds Bank Pension Scheme No. 1 and the Lloyds Bank Offshore Pension Scheme. At 31 December 2022 these held assets of \u00a34.5 billion in aggregate. The private limited companies are consolidated fully in the Group\u2019s balance sheet. The terms of these arrangements require the Group to maintain assets in these vehicles to agreed minimum values in order to secure obligations owed to the relevant Group pension schemes. The Group has satisfied this requirement during 2022. The last funding valuations of other Group schemes were carried out on a number of different dates. In order to report the position under IAS 19 as at 31 December 2022, the most recent valuation results for all schemes have been updated by qualified independent actuaries. The funding valuations use a more prudent approach to setting the discount rate and more conservative longevity and inflation assumptions than the IAS 19 valuations. In a judgment in 2018, the High Court confirmed the requirement to equalise the Guaranteed Minimum Pension (GMP) benefits of men and women accruing between 1990 and 1997 from contracting out of the State Earnings Related Pension Scheme. The Group recognised a past service cost of \u00a3108 million in respect of equalisation in 2018 and, following agreement of the detailed implementation approach with the Trustee, a further \u00a333 million was recognised in 2019. A further hearing was held during 2020 which confirmed the extent of the Trustee\u2019s obligation to revisit past transfers out of the schemes. The amount of any additional liability as a result of this judgment is still being reviewed but is not considered likely to be material. Note 35: Retirement benefit obligations continued (ii)  Amounts in the financial statements 2022 \u00a3m 2021 \u00a3m Amount included in the balance sheet Present value of funded obligations (28,965) (47,130) Fair value of scheme assets 32,697 51,534 Net amount recognised in the balance sheet 3,732 4,404 2022 \u00a3m 2021 \u00a3m Net amount recognised in the balance sheet At 1 January 4,404 1,578 Net defined benefit pension charge (123) (234) Actuarial gains on defined benefit obligation 17,222 1,267 Return on plan assets (20,302) 449 Employer contributions 2,530 1,344 Exchange and other adjustments 1 \u2013 At 31 December 3,732 4,404 2022 \u00a3m 2021 \u00a3m Movements in the defined benefit obligation At 1 January (47,130) (49,549) Current service cost (180) (213) Interest expense (902) (704) Remeasurements: Actuarial losses \u2013 experience (1,186) (426) Actuarial gains (losses) \u2013 demographic assumptions 288 (146) Actuarial gains \u2013 financial assumptions 18,120 1,839 Benefits paid 2,048 2,034 Past service cost (4) (11) Settlements 13 22 Exchange and other adjustments (32) 24 At 31 December (28,965) (47,130) 2022 \u00a3m 2021 \u00a3m Analysis of the defined benefit obligation Active members (3,088) (5,837) Deferred members (8,515) (16,167) Pensioners (16,013) (23,171) Dependants (1,349) (1,955) At 31 December (28,965) (47,130) 2022 \u00a3m 2021 \u00a3m Changes in the fair value of scheme assets At 1 January 51,534 51,127 Return on plan assets excluding amounts included in interest income (20,302) 449 Interest income 997 733 Employer contributions 2,530 1,344 Benefits paid (2,048) (2,034) Settlements (13) (23) Administrative costs paid (34) (38) Exchange and other adjustments 33 (24) At 31 December 32,697 51,534 Note 35: Retirement benefit obligations continued The expense recognised in the income statement for the year ended 31 December comprises: 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m Current service cost 180 213 206 Net interest amount (95) (29) (23) Settlements \u2013 1 2 Past service cost \u2013 plan amendments 4 11 5 Plan administration costs incurred during the year 34 38 54 Total defined benefit pension expense 123 234 244 (iii)  Composition of scheme assets 2022 2021 Quoted \u00a3m Unquoted \u00a3m Total \u00a3m Quoted \u00a3m Unquoted \u00a3m Total \u00a3m Equity instruments 7 47 54 617 36 653 Debt instruments 1: Fixed interest government bonds 3,007 \u2013 3,007 10,512 \u2013 10,512 Index-linked government bonds 15,497 \u2013 15,497 23,969 \u2013 23,969 Corporate and other debt securities 3,978 \u2013 3,978 13,399 \u2013 13,399 22,482 \u2013 22,482 47,880 \u2013 47,880 Property \u2013 116 116 \u2013 139 139 Pooled investment vehicles 2,730 15,863 18,593 1,192 13,346 14,538 Money market instruments, cash, derivatives and other assets and liabilities 1,069 (9,617) (8,548) 319 (11,995) (11,676) At 31 December 26,288 6,409 32,697 50,008 1,526 51,534 1  Of the total debt instruments, \u00a320,369 million (2021: \u00a342,568 million) were investment grade (credit ratings equal to or better than \u2018BBB\u2019). The assets of all of the funded plans are held independently of the Group\u2019s assets in separate trustee-administered funds. The pension schemes\u2019 pooled investment vehicles comprise: 2022 \u00a3m 2021 \u00a3m Equity funds 1,421 3,696 Hedge and mutual funds 240 1,407 Alternative credit funds 2,222 3,884 Property funds 1,604 1,541 Infrastructure funds 1,193 1,389 Liquidity funds 11,527 2,031 Bond and debt funds 354 561 Other 32 29 At 31 December 18,593 14,538 The Trustee\u2019s approach to investment is focused on acting in the members\u2019 best financial interests, with the integration of ESG (Environmental, Social and Governance) considerations into investment management processes and practices. This policy is reviewed annually (or more frequently as required) and has been shared with the schemes\u2019 investment managers for implementation. Climate change is one of the risks the schemes manage given its potential financial impact on valuation of assets. (iv)  Assumptions The principal actuarial and financial assumptions used in valuations of the defined benefit pension schemes were as follows: 2022 % 2021 % Discount rate 4.93 1.94 Rate of inflation: Retail Price Index (RPI) 3.13 3.21 Consumer Price Index (CPI) 2.69 2.92 Rate of salary increases 0.00 0.00 Weighted-average rate of increase for pensions in payment 2.84 2.88 On 25 November 2020 the Chancellor of the Exchequer announced the outcome of a consultation into a reform of the calculation of RPI. It is now expected that from 2030 RPI will be aligned with CPIH (the Consumer Price Index including owner occupiers\u2019 housing costs). To determine the RPI assumption a term-dependent inflation curve has been used adjusting for an assumed inflation risk premium. In the period to 2030 a gap of 100 basis points has been assumed between RPI and CPI; thereafter a 10 basis point gap has been assumed. Note 35: Retirement benefit obligations continued Men Women 2022 Years 2021 Years 2022 Years 2021 Years Life expectancy for member aged 60, on the valuation date 26.7 27.1 28.8 29.1 Life expectancy for member aged 60, 15 years after the valuation date 27.8 28.1 30.0 30.3 The mortality assumptions used in the UK scheme valuations are based on standard tables published by the Institute and Faculty of Actuaries which were adjusted in line with the actual experience of the relevant schemes. The table shows that a member retiring at age 60 at 31 December 2022 is assumed to live for, on average, 26.7 years for a male and 28.8 years for a female. In practice there will be much variation between individual members but these assumptions are expected to be appropriate across all members. It is assumed that younger members will live longer in retirement than those retiring now. This reflects the expectation that mortality rates will continue to fall over time as medical science and standards of living improve. To illustrate the degree of improvement assumed, the table also shows the life expectancy for members aged 45 now, when they retire in 15 years time at age 60. The Group uses the CMI mortality projections model and in line with actuarial industry recommendations has placed no weight on 2020 and 2021 mortality experience. The persistence of excess deaths during 2022 has highlighted the potential longer term impacts of COVID-19 and the Group has applied a 4 per cent scaling factor to its base mortality tables at December 2022 to allow for this impact on member mortality. This led to a c.1 per cent reduction in the defined benefit obligation. (v)  Amount, timing and uncertainty of future cash flows Risk exposure of the defined benefit schemes While the Group is not exposed to any unusual, entity-specific or scheme-specific risks in its defined benefit pension schemes, it is exposed to a number of significant risks, detailed below: Inflation rate risk: The majority of the plans\u2019 benefit obligations are linked to inflation both in deferment and once in payment. Higher inflation will lead to higher liabilities although this will be materially offset by holdings of inflation-linked gilts and, in most cases, caps on the level of inflationary increases are in place to protect against extreme inflation. Interest rate risk: The defined benefit obligation is determined using a discount rate derived from yields on AA-rated corporate bonds. A decrease in corporate bond yields will increase plan liabilities although this will be materially offset by an increase in the value of bond holdings and through the use of derivatives. Longevity risk: The majority of the schemes\u2019 obligations are to provide benefits for the life of the members so increases in life expectancy will result in an increase in the plans\u2019 liabilities. Investment risk: Scheme assets are invested in a diversified portfolio of debt securities, equities and other return-seeking assets. If the assets underperform the discount rate used to calculate the defined benefit obligation, it will reduce the surplus or increase the deficit. Volatility in asset values and the discount rate will lead to volatility in the net pension asset on the Group\u2019s balance sheet and in other comprehensive income. To a lesser extent this will also lead to volatility in the pension expense in the Group\u2019s income statement. In addition, the schemes themselves are exposed to liquidity risk with the need to ensure that liquid assets held are sufficient to meet benefit payments as they fall due and there is sufficient collateral available to support their hedging activity. The ultimate cost of the defined benefit obligations to the Group will depend upon actual future events rather than the assumptions made. The assumptions made are unlikely to be borne out in practice and as such the cost may be higher or lower than expected. Sensitivity analysis The effect of reasonably possible changes in key assumptions on the value of scheme liabilities and the resulting pension charge in the Group\u2019s income statement and on the net defined benefit pension scheme asset, for the Group\u2019s three most significant schemes, is set out below. The sensitivities provided assume that all other assumptions and the value of the schemes\u2019 assets remain unchanged, and are not intended to represent changes that are at the extremes of possibility. The calculations are approximate in nature and full detailed calculations could lead to a different result. It is unlikely that isolated changes to individual assumptions will be experienced in practice. Due to the correlation of assumptions, aggregating the effects of these isolated changes may not be a reasonable estimate of the actual effect of simultaneous changes in multiple assumptions. Effect of reasonably possible alternative assumptions Increase (decrease) in the income statement charge (Increase) decrease in the net defined benefit pension scheme surplus 2022 \u00a3m 2021 \u00a3m 2022 \u00a3m 2021 \u00a3m Inflation (including pension increases)1 : Increase of 0.1 per cent 13 12 251 481 Decrease of 0.1 per cent (13) (12) (245) (475) Discount rate2 : Increase of 0.1 per cent (25) (24) (379) (774) Decrease of 0.1 per cent 24 23 388 795 Expected life expectancy of members: Increase of one year 38 44 745 1,934 Decrease of one year (39) (42) (762) (1,852) 1  At 31 December 2022, the assumed rate of RPI inflation is 3.13 per cent and CPI inflation 2.69 per cent (2021: RPI 3.21 per cent and CPI 2.92 per cent). 2  At 31 December 2022, the assumed discount rate is 4.93 per cent (2021: 1.94 per cent). Note 35: Retirement benefit obligations continued Sensitivity analysis method and assumptions The sensitivity analysis above reflects the impact on the liabilities of the Group\u2019s three most significant schemes which account for over 90 per cent of the Group\u2019s defined benefit obligations. While differences in the underlying liability profiles for the remainder of the Group\u2019s pension arrangements mean that they may exhibit slightly different sensitivities to variations in these assumptions, the sensitivities provided above are indicative of the impact across the Group as a whole. The inflation assumption sensitivity applies to the assumed rate of increase in both the Consumer Price Index (CPI) and the Retail Price Index (RPI), and includes the impact on the rate of increases to pensions, both before and after retirement. These pension increases are linked to inflation (either CPI or RPI) subject to certain minimum and maximum limits. The sensitivity analysis (including the inflation sensitivity) does not include the impact of any change in the rate of salary increases as pensionable salaries have been frozen since 2 April 2014. The life expectancy assumption has been applied by allowing for an increase/decrease in life expectation from age 60 of one year, based upon the approximate weighted average age for each scheme. While this is an approximate approach and will not give the same result as a one year increase in life expectancy at every age, it provides an appropriate indication of the potential impact on the schemes from changes in life expectancy. There was no change in the methods and assumptions used in preparing the sensitivity analysis from the prior year. Asset-liability matching strategies The main schemes\u2019 assets are invested in a diversified portfolio. Whilst c.50 per cent are held to generate the long-term returns required to support the funding position of the schemes, the remainder is invested in liability-driven investment (LDI) strategies which hedge the material risk exposures of the schemes. The investment strategy is not static and will evolve to reflect the structure of liabilities within the schemes. Specific strategies for each pension plan are independently determined by the responsible governance body for each scheme and in consultation with the employer. A significant goal of the strategies adopted by the schemes is to reduce volatility caused by changes in market expectations of interest rates and inflation. In the main schemes, this is achieved by investing scheme assets in bonds, primarily fixed interest gilts and index linked gilts, and by entering into interest rate and inflation swap arrangements. The assets in these LDI strategies represented 48 per cent of scheme assets at 31 December 2022. These investments are structured to take into account the profile of scheme liabilities and actively managed to reflect both changing market conditions and changes to the liability profile. At 31 December 2022 the asset-liability matching strategy mitigated around 119 per cent of the liability sensitivity to interest rate movements and around 123 per cent of the liability sensitivity to inflation movements. In addition, a small amount of interest rate sensitivity arises through holdings of corporate and other debt securities. The higher level of hedging provides greater protection to the funding position of the schemes. The schemes\u2019 funding position remained robust and did not experience any material impact from the market volatility seen in the latter part of last year. Asset prices fell in line with the broader market and hedges fell in value as interest rates rose, and a similar impact was experienced on liability valuations which also fell in value given the portfolio was almost fully hedged. The Group\u2019s schemes use LDI strategies to achieve this outcome and, as the hedging was maintained throughout the crisis, the strategy performed as expected. All collateral requirements in respect of the LDI strategies were met, with no support required from the Group beyond payment of scheduled contributions. On 28 January 2020, the main schemes entered into a \u00a310 billion longevity insurance arrangement to hedge part of the schemes\u2019 exposure to unexpected increases in life expectancy. This arrangement forms part of the schemes\u2019 investment portfolio and will provide income to the schemes in the event that pensions are paid out for longer than expected. The transaction was structured as a pass-through with Scottish Widows as the insurer, and onwards reinsurance to Pacific Life Re Limited. On 28 January 2022, the Lloyds Bank Pension Scheme No. 1 entered into an additional \u00a35.5 billion longevity insurance arrangement. The transaction is structured as a pass-through with Scottish Widows as the insurer, and onwards reinsurance to SCOR SE \u2013 UK Branch. At 31 December 2022 the value of scheme assets included \u00a3(100) million representing the value of the longevity swaps (after allowing for the impact on the IAS 19 liabilities of the revisions to the base mortality assumptions). In total the schemes have now hedged around 32 per cent of their longevity risk exposure. Maturity profile of defined benefit obligation The following table provides information on the weighted average duration of the defined benefit pension obligation and the distribution and timing of benefit payments: 2022 Years 2021 Years Duration of the defined benefit obligation 15 17 Maturity analysis of benefits expected to be paid: 2022 \u00a3m 2021 \u00a3m Within 12 months 1,409 1,352 Between 1 and 2 years 1,464 1,450 Between 2 and 5 years 4,678 4,651 Between 5 and 10 years 8,930 8,993 Between 10 and 15 years 9,296 9,668 Between 15 and 25 years 17,479 18,671 Between 25 and 35 years 12,720 13,846 Between 35 and 45 years 6,138 6,987 In more than 45 years 1,685 2,116 Note 35: Retirement benefit obligations continued Maturity analysis method and assumptions The projected benefit payments are based on the assumptions underlying the assessment of the obligations, including allowance for expected future inflation. They are shown in their undiscounted form and therefore appear large relative to the discounted assessment of the defined benefit obligations recognised in the Group\u2019s balance sheet. They are in respect of benefits that have been accrued prior to the respective year-end date only and make no allowance for any benefits that may have been accrued subsequently. Defined contribution schemes The Group operates a number of defined contribution pension schemes in the UK and overseas, principally Your Tomorrow and the defined contribution sections of the Lloyds Bank Pension Scheme No. 1. During the year ended 31 December 2022 the charge to the income statement in respect of defined contribution schemes was \u00a3330 million (2021: \u00a3302 million; 2020: \u00a3319 million), representing the contributions payable by the employer in accordance with each scheme\u2019s rules. Other post-retirement benefit schemes The Group operates a number of schemes which provide post-retirement healthcare benefits to certain employees, retired employees and their dependants. The principal scheme relates to former Lloyds Bank staff and under this scheme the Group has undertaken to meet the cost of post-retirement healthcare for all eligible former employees (and their dependants) who retired prior to 1 January 1996. The Group has entered into an insurance contract to provide these benefits and a provision has been made for the estimated cost of future insurance premiums payable. For the principal post-retirement healthcare scheme, the latest actuarial valuation of the liability was carried out at 31 December 2022 by qualified independent actuaries. The principal assumptions used were as set out above, except that the rate of increase in healthcare premiums has been assumed at 6.74 per cent (2021: 6.82 per cent). Movements in the other post-retirement benefits obligation: 2022 \u00a3m 2021 \u00a3m At 1 January (103) (109) Actuarial gains 68 4 Insurance premiums paid 3 3 Charge for the year (2) (2) Exchange and other adjustments (1) 1 At 31 December (35) (103) ",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfEmployeeBenefitsExplanatory",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-850": {
   "value": "Note 36: Deferred tax The Group\u2019s deferred tax assets and liabilities are as follows: Statutory position 2022 \u00a3m 2021 \u00a3m Tax disclosure 2022 \u00a3m 2021 \u00a3m Deferred tax assets 5,228 3,118 Deferred tax assets 8,627 7,095 Deferred tax liabilities (216) (39) Deferred tax liabilities (3,615) (4,016) Asset at 31 December 5,012 3,079 Asset at 31 December 5,012 3,079 The statutory position reflects the deferred tax assets and liabilities as disclosed in the consolidated balance sheet and takes into account the ability of the Group to net assets and liabilities where there is a legally enforceable right of offset. The tax disclosure of deferred tax assets and liabilities ties to the amounts outlined in the tables below which splits the deferred tax assets and liabilities by type, before such netting. Movements in deferred tax assets and liabilities (before taking into consideration the offsetting of balances within the same taxing jurisdiction) can be summarised as follows: Deferred tax assets Tax losses \u00a3m Property, plant and equipment \u00a3m Provisions \u00a3m Share- based payments \u00a3m Pension liabilities \u00a3m Derivatives \u00a3m Asset revaluations \u00a3m Other temporary differences \u00a3m Total \u00a3m At 1 January 2021 4,064 668 254 29 56 159 29 268 5,527 Credit (charge) to the income statement 959 76 12 (8) 15 541 (29) (49) 1,517 Credit (charge) to other comprehensive income \u2013 \u2013 36 \u2013 (2) \u2013 \u2013 \u2013 34 Other credit to equity \u2013 \u2013 \u2013 17 \u2013 \u2013 \u2013 \u2013 17 At 31 December 2021 5,023 744 302 38 69 700 \u2013 219 7,095 Credit (charge) to the income statement 39 (238) 113 (5) (22) (205) 8 62 (248) Credit (charge) to other comprehensive income \u2013 \u2013 (155) \u2013 \u2013 1,928 \u2013 \u2013 1,773 Acquisitions 4 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 4 Other credit to equity \u2013 \u2013 \u2013 3 \u2013 \u2013 \u2013 \u2013 3 At 31 December 2022 5,066 506 260 36 47 2,423 8 281 8,627 Note 36: Deferred tax continued Deferred tax liabilities Capitalised software enhancements \u00a3m Long-term assurance business \u00a3m Acquisition fair value \u00a3m Pension assets \u00a3m Derivatives \u00a3m Asset revaluations1 \u00a3m Other temporary differences \u00a3m Total \u00a3m At 1 January 2021 (228) (843) (372) (392) (756) \u2013 (240) (2,831) (Charge) credit to the income statement (47) (319) 20 (93) (567) (27) (93) (1,126) (Charge) credit to other comprehensive income \u2013 \u2013 \u2013 (846) 814 (29) \u2013 (61) Exchange and other adjustments \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 2 2 At 31 December 2021 (275) (1,162) (352) (1,331) (509) (56) (331) (4,016) (Charge) credit to the income statement 118 107 21 29 (32) \u2013 (164) 79 Credit to other comprehensive income \u2013 \u2013 \u2013 283 \u2013 56 \u2013 339 Acquisitions (5) \u2013 (1) \u2013 \u2013 \u2013 \u2013 (6) Exchange and other adjustments \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 (11) (11) At 31 December 2022 (162) (1,055) (332) (1,019) (541) \u2013 (506) (3,615) 1  Financial assets at fair value through other comprehensive income. At 31 December 2022 the Group carried net deferred tax assets on its balance sheet of \u00a35,228 million (2021: \u00a33,118 million) principally relating to tax losses carried forward. Estimation of income taxes includes the assessment of recoverability of deferred tax assets. Deferred tax assets are only recognised to the extent that they are considered more likely than not to be recoverable based on existing tax laws and forecasts of future taxable profits against which the underlying tax deductions can be utilised. The Group has recognised a deferred tax asset of \u00a35,066 million (2021: \u00a35,023 million) in respect of trading losses carried forward. Substantially all of these losses have arisen in Bank of Scotland plc and Lloyds Bank plc, and they will be utilised as taxable profits arise in those legal entities in future periods. The Group\u2019s expectations of future UK taxable profits require management judgement, and take into account the Group\u2019s long-term financial and strategic plans and anticipated future tax-adjusting items. In making this assessment, account is taken of business plans, the Board-approved operating plan and the expected future economic outlook as set out in the strategic report, as well as the risks associated with future regulatory, climate-related and other change, in order to produce a base case forecast of future UK taxable profits. Under current law there is no expiry date for UK trading losses not yet utilised, and given the forecast of future profitability and the Group\u2019s commitment to the UK market, in management\u2019s judgement it is more likely than not that the value of the losses will be recovered by the Group while still operating as a going concern. Banking tax losses that arose before 1 April 2015 can only be used against 25 per cent of taxable profits arising after 1 April 2016, and they cannot be used to reduce the surcharge on banking profits. These restrictions in utilisation mean that the value of the deferred tax asset in respect of tax losses is only expected to be fully recovered by 2036 (2021: 2047) in the base case forecast. The rate of recovery of the Group\u2019s tax loss asset is not a straight line, being affected by the relative profitability of the different legal entities in future periods, and the relative size of their tax losses carried forward. It is expected in the base case that 90 per cent of the value will be recovered by 2032, when Bank of Scotland plc will have utilised all of its available tax losses. It is possible that future tax law changes could materially affect the timing of recovery and the value of these losses ultimately realised by the Group. Deferred tax not recognised A deferred tax asset of \u00a346 million (2021: \u00a35 million) has been recognised in respect of the future tax benefit of certain expenses of the life assurance business. The increase is mainly due to investment market falls in 2022, which have increased the amount of unutilised expenses carried forward and expected to be offset against taxable investment returns in the medium term. The deferred tax asset not recognised in respect of the remaining expenses is \u00a3125 million (2021: \u00a3226 million), and these expenses can be carried forward indefinitely. The unrecognised deferred tax asset has decreased in 2022 mainly due to higher expected investment returns in the long term projections for the life insurance business driven by interest rate rises. This has reduced the net amount of unutilised expenses in the long term. Deferred tax assets of \u00a3156 million (2021: \u00a3167 million) have not been recognised in respect of \u00a3619 million of UK tax losses and other temporary differences which can only be used to offset future capital gains. UK capital losses can be carried forward indefinitely. No deferred tax has been recognised in respect of foreign trade losses where it is not more likely than not that we will be able to utilise them in future periods. Of the asset not recognised, \u00a353 million (2021: \u00a341 million) relates to losses that will expire if not used within 20 years, and \u00a39 million (2021: \u00a37 million) relates to losses with no expiry date. As a result of parent company exemptions on dividends from subsidiaries and on capital gains on disposal there are no significant taxable temporary differences associated with investments in subsidiaries, branches, associates and joint arrangements. ",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfDeferredTaxesExplanatory",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-851": {
   "value": "Note 37: Other provisions Provisions for financial commitments and guarantees \u00a3m Regulatory and legal provisions \u00a3m Other \u00a3m Total \u00a3m At 1 January 2022 200 1,156 736 2,092 Exchange and other adjustments 1 17 27 45 Provisions applied \u2013 (625) (413) (1,038) Charge for the year 122 255 333 710 At 31 December 2022 323 803 683 1,809 Provisions for financial commitments and guarantees Provisions are recognised for expected credit losses on undrawn loan commitments and financial guarantees. See also note 18. Regulatory and legal provisions In the course of its business, the Group is engaged in discussions with the PRA, FCA and other UK and overseas regulators and other governmental authorities on a range of matters. The Group also receives complaints in connection with its past conduct and claims brought by or on behalf of current and former employees, customers, investors and other third parties and is subject to legal proceedings and other actions. Where significant, provisions are held against the costs expected to be incurred in relation to these matters and matters arising from related internal reviews. During the year ended 31 December 2022 the Group charged a further \u00a3255 million in respect of legal actions and other regulatory matters and the unutilised balance at 31 December 2022 was \u00a3803 million (31 December 2021: \u00a31,156 million). The most significant items are as follows. HBOS Reading \u2013 review The Group continues to apply the recommendations from Sir Ross Cranston\u2019s review, issued in December 2019, including a reassessment of direct and consequential losses by an independent panel (the Foskett Panel), an extension of debt relief and a wider definition of de facto directors. The Foskett Panel\u2019s full scope and methodology was published on 7 July 2020. The Foskett Panel\u2019s stated objective is to consider cases via a non-legalistic and fair process and to make their decisions in a generous, fair and common sense manner, assessing claims against an expanded definition of the fraud and on a lower evidential basis. Following the emergence of the first outcomes of the Foskett Panel through 2021, the Group charged a further \u00a3790 million in the year ended 31 December 2021. This included operational costs in relation to Dame Linda Dobbs\u2019s review, which is considering whether the issues relating to HBOS Reading were investigated and appropriately reported by the Group during the period from January 2009 to January 2017, and other programme costs. A significant proportion of the charge related to the estimated future awards from the Foskett Panel. The Foskett Panel had shared outcomes on a limited subset of the total population which covers a wide range of businesses and different claim characteristics. The estimated awards provision recognised at 31 December 2021 was therefore materially dependent on the assumption that the limited number of awards to date were representative of the full population of cases. In June 2022, the Foskett Panel announced an alternative option, in the form of a fixed sum award which could be accepted as an alternative to participation in the full re-review process, to support earlier resolution of claims for those deemed by the Foskett Panel to be victims of the fraud. Around half the population have now had outcomes via this new process. Extrapolating the Group\u2019s experience to date resulted in an increase to the provision of \u00a350 million in the year (all in the fourth quarter). Notwithstanding the settled claims and the increase in coverage which builds confidence in the full estimated cost, uncertainties remain and the final outcome could be different from the current provision once the re-review is concluded by the Foskett Panel. There is no confirmed timeline for the completion of the Foskett Panel re-review process nor the review by Dame Linda Dobbs. The Group is committed to implementing Sir Ross\u2019s recommendations in full. Payment protection insurance The Group has incurred costs for PPI over a number of years totalling \u00a321,960 million. The Group continues to challenge PPI litigation cases, with mainly legal fees and operational costs associated with litigation activity recognised within regulatory and legal provisions, including a charge in the fourth quarter. PPI litigation remains inherently uncertain, with a number of key court judgments due to be delivered in 2023. Customer claims in relation to insurance branch business in Germany The Group continues to receive claims from customers in Germany relating to policies issued by Clerical Medical Investment Group Limited (subsequently renamed Scottish Widows Limited), with smaller numbers of claims received from customers in Austria and Italy. The total provision made to 31 December 2022, was \u00a3709 million (31 December 2021: \u00a3695 million) with \u00a311 million utilisation of the provision during the year, leaving an unutilised provision at 31 December 2022 of \u00a388 million. The ultimate financial effect, which could be significantly different from the current provision, will be known only once all relevant claims have been resolved. Other Following the sale of TSB Banking Group plc, the Group raised a provision of \u00a3665 million in relation to various ongoing commitments in respect of the divestment. At 31 December 2022, a provision of \u00a322 million remained unutilised; the Group expects the majority of the remaining provision to be utilised in the next twelve months and the provision to be fully utilised by 31 December 2024. The Group carries provisions of \u00a3112 million (2021: \u00a3114 million) in respect of dilapidations, rent reviews and other property-related matters. Provisions are also made for staff and other costs related to Group restructuring initiatives at the point at which the Group becomes committed to the expenditure; at 31 December 2022 provisions of \u00a3112 million (31 December 2021: \u00a3189 million) were held. The Group carries provisions of \u00a386 million (2021: \u00a394 million) for indemnities and other matters relating to legacy business disposals in prior years. Whilst there remains significant uncertainty as to the timing of the utilisation of the provisions, the Group expects the majority of the remaining provisions to have been utilised by 31 December 2026. ",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfProvisionsExplanatory",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-852": {
   "value": "Note 38: Subordinated liabilities The movement in subordinated liabilities during the year was as follows: Preference shares \u00a3m Preferred securities \u00a3m Undated \u00a3m Dated \u00a3m Total \u00a3m At 1 January 2021 962 1,743 509 11,047 14,261 Issued during the year 1: 1.985% Fixed Rate Reset Dated Subordinated Tier 2 Notes due 2031 (\u00a3500 million) \u2013 \u2013 \u2013 500 500 3.369% Fixed Rate Reset Dated Subordinated Notes due 2041 (US$1,175 million) \u2013 \u2013 \u2013 380 380 \u2013 \u2013 \u2013 880 880 Repurchases and redemptions during the year1 : 6.475% Non-cumulative Preference Shares callable 2024 (\u00a3186 million) (8) \u2013 \u2013 \u2013 (8) 6.413% Non-cumulative Fixed to Floating Rate Preference Shares callable 2035 (US$750 million) (182) \u2013 \u2013 \u2013 (182) 6.657% Non-cumulative Fixed to Floating Rate Preference Shares callable 2037 (US$750 million) (157) \u2013 \u2013 \u2013 (157) 9.25% Non-cumulative Irredeemable Preference Shares (\u00a3300 million) (79) \u2013 \u2013 \u2013 (79) 9.75% Non-cumulative Irredeemable Preference Shares (\u00a3100 million) (14) \u2013 \u2013 \u2013 (14) 7.754% Non-cumulative Perpetual Preferred Securities (Class B) (\u00a3150 million) \u2013 (156) \u2013 \u2013 (156) Series 2 (US$500 million) \u2013 \u2013 (94) \u2013 (94) Series 3 (US$600 million) \u2013 \u2013 (121) \u2013 (121) Floating Rate Primary Capital Notes (US$250 million) \u2013 \u2013 (24) \u2013 (24) Series 1 (US$750 million) \u2013 \u2013 (96) \u2013 (96) 9.375% Subordinated Bonds 2021 (\u00a3500 million) \u2013 \u2013 \u2013 (200) (200) 5.374% Subordinated Fixed Rate Notes 2021 (\u20ac160 million) \u2013 \u2013 \u2013 (145) (145) 6% Subordinated Notes 2033 (US$750 million) \u2013 \u2013 \u2013 (141) (141) (440) (156) (335) (486) (1,417) Foreign exchange movements 15 17 \u2013 (56) (24) Other movements (cash and non-cash)2 (49) 57 \u2013 (600) (592) At 31 December 2021 488 1,661 174 10,785 13,108 Issued during the year 1: 7.953% Fixed Rate Reset Dated Subordinated notes 2033 (US$1,000 million) \u2013 \u2013 \u2013 838 838 Repurchases and redemptions during the year1 : 12% Fixed to Floating Rate Perpetual Tier 1 Capital Securities callable 2024 (US$2,000 million) \u2013 (1,399) \u2013 \u2013 (1,399) 13% Sterling Step-up Perpetual Capital Securities callable 2029 (\u00a3700 million) \u2013 (221) \u2013 \u2013 (221) 7.281% Perpetual Regulatory Tier One Securities (Series B) (\u00a3150 million) \u2013 (22) \u2013 \u2013 (22) 7.881% Guaranteed Non-voting Non-cumulative Preferred Securities (\u00a3245 million) \u2013 (12) \u2013 \u2013 (12) 12% Perpetual Subordinated Bonds (\u00a3100 million) \u2013 \u2013 (22) \u2013 (22) 5.75% Undated Subordinated Step-up Notes (\u00a3600 million) \u2013 \u2013 (4) \u2013 (4) 7.625% Dated Subordinated Notes 2025 (\u00a3750 million) \u2013 \u2013 \u2013 (502) (502) \u2013 (1,654) (26) (502) (2,182) Foreign exchange movements 8 (6) \u2013 699 701 Other movements (cash and non-cash)2 (26) (1) 2 (1,710) (1,735) At 31 December 2022 470 \u2013 150 10,110 10,730 1  Issuances in the year generated cash inflows of \u00a3838 million (2021: \u00a3499 million); the repurchases and redemptions resulted in cash outflows of \u00a32,216 million (2021: \u00a31,056 million). 2  Other movements include cash payments in respect of interest on subordinated liabilities in the year amounted to \u00a3603 million (2021: \u00a31,303 million) offset by the interest expense in respect of subordinated liabilities of \u00a3681 million (2021: \u00a3932 million). Certain of the above securities were issued or redeemed under exchange offers, which did not result in an extinguishment of the original financial liability for accounting purposes. These securities will, in the event of the winding-up of the issuer, be subordinated to the claims of depositors and all other creditors of the issuer, other than creditors whose claims rank equally with, or are junior to, the claims of the holders of the subordinated liabilities. The subordination of specific subordinated liabilities is determined in respect of the issuer and any guarantors of that liability. The claims of holders of preference shares and preferred securities are generally junior to those of the holders of undated subordinated liabilities, which in turn are junior to the claims of holders of the dated subordinated liabilities. The Group has not had any defaults of principal or interest or other breaches with respect to its subordinated liabilities during 2022 (2021: none). The Company has in issue various classes of preference shares which are all classified as liabilities under accounting standards. Note 38: Subordinated liabilities continued Preference shares 2022 2022 Number of shares 2021 Number of shares 2020 Number of shares \u00a3m % of share capital 2021 \u00a3m 2020 \u00a3m 6% Non-Cumulative Redeemable Preference shares of GBP0.25 400 400 400 \u2013 \u2013 \u2013 \u2013 6.475% Non-Cumulative Preference shares of GBP0.25 47,273,816 47,273,816 56,472,211 12 0.07 12 14 9.25% Non-Cumulative Irredeemable Preference shares of GBP0.25 252,510,147 252,510,147 299,987,729 63 0.37 63 75 9.75% Non-Cumulative Irredeemable Preference shares of GBP0.25 43,630,285 43,630,285 55,740,886 11 0.06 11 14 6.413% Non-Cumulative Fixed/Floating Rate Callable Preference shares of USD0.25 48,990 48,990 374,810 \u2013 \u2013 \u2013 \u2013 6.657% Non-Cumulative Fixed/Floating Rate Callable Preference shares of USD0.25 37,627 37,627 434,350 \u2013 \u2013 \u2013 \u2013 The rights and obligations attaching to these shares are set out in the Company\u2019s articles of association, a copy of which can be obtained from Companies House or from our website (www.lloydsbankinggroup.com/who-we-are/group-overview/corporate- governance.html) and, in respect of the 6% Non-Cumulative Redeemable Preference shares, in Companies House form 128(1) filed at Companies House on 12 January 2005, a copy of which is available from Companies House (www.companieshouse.gov.uk), and, in respect of the other classes of preference shares, in the prospectus dated 20 November 2008 and published on the National Storage Mechanism on that date, a copy of which prospectus is available on the National Storage Mechanism (www.data.fca.org.uk/#/nsm/ nationalstoragemechanism). ",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfSubordinatedLiabilitiesExplanatory",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-853": {
   "value": "Note 39: Share capital Issued and fully paid ordinary share capital 2022 Ordinary shares of 10p (formerly 25p) each 2022 Number of shares 2021 Number of shares 2020 Number of shares \u00a3m % of share capital 2021 \u00a3m 2020 \u00a3m At 1 January 71,022,593,135 70,839,206,060 70,052,557,838 7,102 7,084 7,005 Issued under employee share schemes 793,990,660 183,387,075 786,648,222 80 18 79 Share buyback programme (note 41) (4,528,731,591) \u2013 \u2013 (453) \u2013 \u2013 At 31 December 67,287,852,204 71,022,593,135 70,839,206,060 6,729 99.50 7,102 7,084 Ordinary shares As permitted by the Companies Act 2006, the Company removed references to authorised share capital from its articles of association at the annual general meeting on 5 June 2009. This change took effect from 1 October 2009. There are no restrictions on the transfer of shares in the Company other than as set out in the articles of association and: \u2022 Certain restrictions which may from time to time be imposed by law and regulations (for example, insider trading laws) \u2022 Where directors and certain employees of the Company require the approval of the Company to deal in the Company\u2019s shares \u2022 Pursuant to the rules of some of the Company\u2019s employee share plans where certain restrictions may apply while the shares are subject to the plans Where, under an employee share plan operated by the Company, participants are the beneficial owners of shares but not the registered owners, the voting rights are normally exercised by the registered owner at the direction of the participant. Outstanding awards and options would normally vest and become exercisable on a change of control, subject to the satisfaction of any performance conditions at that time. All of the Company\u2019s issued ordinary share capital is listed and none of the shares have any multiple or unequal voting rights, each share carries one vote. In addition, the Company is not aware of any agreements between shareholders that may result in restrictions on the transfer of securities and/or voting rights. The directors have authority to allot and issue ordinary and preference shares and to make market purchases of ordinary and preference shares as granted at the annual general meeting on 12 May 2022. The authority to issue shares and the authority to make market purchases of shares will expire at the next annual general meeting. Shareholders will be asked, at the annual general meeting, to give similar authorities. Subject to any rights or restrictions attached to any shares, on a show of hands at a general meeting of the Company every holder of shares present in person or by proxy and entitled to vote has one vote and on a poll every member present and entitled to vote has one vote for every share held. The holders of ordinary shares, who held 100 per cent of the total ordinary share capital at 31 December 2022, are entitled to receive the Company\u2019s report and accounts, attend, speak and vote at general meetings and appoint proxies to exercise voting rights. Holders of ordinary shares may also receive a dividend (subject to the provisions of the Company\u2019s articles of association) and on a winding up may share in the assets of the Company. The rights and obligations attached to the Company\u2019s ordinary shares are set out in the Company\u2019s articles of association, a copy of which can be found at www.lloydsbankinggroup.com/who-we-are/group-overview/corporate-governance.html. Preference shares The Company has in issue various classes of preference shares which are all classified as liabilities under accounting standards and which are included in note 38. ",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfIssuedCapitalExplanatory",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-854": {
   "value": "Note 40: Share premium account 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m At 1 January 18,479 17,863 17,751 Issued under employee share schemes 25 19 112 Redemption of preference shares 1 \u2013 597 \u2013 At 31 December 18,504 18,479 17,863 1  During the year ended 31 December 2021, the Company redeemed certain tranches of its preference shares, which had been accounted for as subordinated liabilities. On redemption an amount of \u00a317 million was transferred from the distributable merger reserve to the capital redemption reserve and \u00a3597 million was transferred from the distributable merger reserve to the share premium account, with these amounts representing the nominal value of the shares redeemed and premium upon original issuance respectively. ",
   "dimensions": {
    "concept": "lloydsbankinggroup:DisclosureOfSharePremiumAccount",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-855": {
   "value": "Note 41: Other reserves 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m Merger reserve 7,149 7,149 7,763 Capital redemption reserve 4,932 4,479 4,462 Revaluation reserve in respect of debt securities held at fair value through other comprehensive income 50 207 99 Revaluation reserve in respect of equity shares held at fair value through other comprehensive income 57 9 (47) Cash flow hedging reserve (5,476) (457) 1,629 Foreign currency translation reserve (110) (198) (159) At 31 December 6,602 11,189 13,747 The merger reserve primarily comprises the premium on shares issued in January 2009 as part of the recapitalisation of the Group and the acquisition of HBOS plc. The capital redemption reserve represents transfers from distributable reserves in accordance with companies\u2019 legislation upon the redemption of ordinary and preference share capital. The revaluation reserves in respect of debt securities and equity shares held at fair value through other comprehensive income represent the cumulative after-tax unrealised change in the fair value of financial assets so classified since initial recognition; or in the case of financial assets obtained on acquisitions of businesses, since the date of acquisition. The cash flow hedging reserve represents the cumulative after-tax gains and losses on effective cash flow hedging instruments that will be reclassified to the income statement in the periods in which the hedged item affects profit or loss. The foreign currency translation reserve represents the cumulative after-tax gains and losses on the translation of foreign operations and exchange differences arising on financial instruments designated as hedges of the Group\u2019s net investment in foreign operations. Movements in other reserves were as follows: Merger reserve 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m At 1 January 7,149 7,763 7,763 Redemption of preference shares (note 40) \u2013 (614) \u2013 At 31 December 7,149 7,149 7,763 Capital redemption reserve 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m At 1 January 4,479 4,462 4,462 Redemption of preference shares (note 40) \u2013 17 \u2013 Shares cancelled under share buyback programme (see below) 453 \u2013 \u2013 At 31 December 4,932 4,479 4,462 On 25 February 2022 the Group commenced a share buyback programme to repurchase outstanding ordinary shares; the Group bought back and cancelled 4,529 million shares under the programme, which completed in October 2022, for a total consideration, including expenses, of \u00a32,013 million. Upon cancellation \u00a3453 million, being the nominal value of the shares repurchased, was transferred to the capital redemption reserve. Note 41: Other reserves continued Revaluation reserve in respect of debt securities held at fair value through other comprehensive income 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m At 1 January 207 99 123 Change in fair value (133) 133 46 Deferred tax 31 (45) 29 Current tax 8 \u2013 (2) (94) 88 73 Income statement transfers in respect of disposals (note 9) (92) 2 (149) Deferred tax 23 20 47 (69) 22 (102) Impairment recognised in the income statement 6 (2) 5 At 31 December 50 207 99 Revaluation reserve in respect of equity shares held at fair value through other comprehensive income 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m At 1 January 9 (47) 19 Change in fair value 44 61 (50) Deferred tax 3 (4) (16) 47 57 (66) Realised gains and losses transferred to retained profits \u2013 \u2013 (16) Deferred tax 1 (1) 16 1 (1) \u2013 At 31 December 57 9 (47) Cash flow hedging reserve 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m At 1 January (457) 1,629 1,504 Change in fair value of hedging derivatives (6,990) (2,279) 730 Deferred tax 1,940 646 (244) (5,050) (1,633) 486 Net income statement transfers 43 (621) (496) Deferred tax (12) 168 135 31 (453) (361) At 31 December (5,476) (457) 1,629 Foreign currency translation reserve 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m At 1 January (198) (159) (176) Currency translation differences arising in the year 119 (39) 4 Income statement transfers (31) \u2013 13 At 31 December (110) (198) (159) ",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfReservesAndOtherEquityInterestExplanatory",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-857": {
   "value": "Note 43: Other equity instruments 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m At 1 January 5,906 5,906 5,906 Issued during the year: \u00a3750 million Fixed Rate Reset Additional Tier 1 Perpetual Subordinated Contingent Convertible Securities 750 \u2013 \u2013 750 \u2013 \u2013 Repurchases and redemptions during the year (1,359) \u2013 \u2013 Profit for the year attributable to other equity holders 438 429 453 Distributions on other equity instruments (438) (429) (453) At 31 December 5,297 5,906 5,906 During the year ended 31 December 2022 the Group issued \u00a3750 million of 8.5 per cent Fixed Rate Reset Additional Tier 1 (AT1) securities  and repurchased \u00a31,359 million of 7.625 per cent Fixed Rate Reset Additional Tier 1 Perpetual Subordinated Contingent Convertible  Securities. The AT1 securities are Fixed Rate Resetting Perpetual Subordinated Contingent Convertible Securities with no fixed maturity or  redemption date. The principal terms of the AT1 securities are described below:  \u2022 The securities rank behind the claims against Lloyds Banking Group plc of (a) unsubordinated creditors, (b) claims which are, or are  expressed to be, subordinated to the claims of unsubordinated creditors of Lloyds Banking Group plc but not further or otherwise or  (c) whose claims are, or are expressed to be, junior to the claims of other creditors of Lloyds Banking Group, whether subordinated or  unsubordinated, other than those whose claims rank, or are expressed to rank, pari passu with, or junior to, the claims of the holders  of the AT1 securities in a winding-up occurring prior to a conversion event being triggered  \u2022 The securities bear a fixed rate of interest until the first reset date. After the first reset date or any reset date thereafter, in the event  that they are not redeemed, the AT1 securities will bear interest at rates fixed periodically in advance for five-year periods based on  market rates  \u2022 Interest on the securities will be due and payable only at the sole discretion of Lloyds Banking Group plc, and Lloyds Banking Group  plc may at any time elect to cancel any interest payment (or any part thereof) which would otherwise be payable on any interest  payment date. There are also certain restrictions on the payment of interest as specified in the terms  \u2022 The securities are undated and are repayable, at the option of Lloyds Banking Group plc, in whole at the first call date or period, or  on any fifth anniversary after the first call date or period. In addition, the AT1 securities are repayable, at the option of Lloyds Banking  Group plc, in whole for certain regulatory or tax reasons. Any repayments require the prior consent of the PRA  \u2022 The securities convert into ordinary shares of Lloyds Banking Group plc, at a pre-determined price, should the Common Equity Tier 1  ratio of the Group fall below 7.0 per cent ",
   "dimensions": {
    "concept": "lloydsbankinggroup:DisclosureOfOtherEquityInstruments",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-856": {
   "value": "Note 42: Retained profits 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m At 1 January 10,241 4,584 3,246 Profit attributable to ordinary shareholders 5,021 5,355 865 Post-retirement defined benefit scheme remeasurements (2,152) 1,062 113 Gains and losses attributable to own credit risk (net of tax) 1 364 (52) (55) Dividends paid (note 44) (1,475) (877) \u2013 Share buyback programme (note 41) (2,013) \u2013 \u2013 Issue costs of other equity instruments (net of tax) (5) \u2013 \u2013 Repurchase and redemption costs of other equity instruments (36) \u2013 \u2013 Movement in treasury shares (20) (13) 293 Value of employee services: Share option schemes 41 51 48 Other employee award schemes 183 131 74 Change in non-controlling interests (3) (1) \u2013 Realised gains and losses on equity shares held at fair value through other comprehensive income (1) 1 \u2013 At 31 December 10,145 10,241 4,584 1  During 2020 the Group derecognised, on redemption, financial liabilities on which cumulative fair value movements relating to own credit of \u00a31 million net of tax  (2022: \u00a3nil; 2021: \u00a3nil), had been recognised directly in retained profits. Retained profits are stated after deducting \u00a3196 million (2021: \u00a3205 million; 2020: \u00a3230 million) representing 688 million (2021: 434 million;  2020: 592 million) treasury shares held. The payment of dividends by subsidiaries and the ability of members of the Group to lend money to other members of the Group may  be subject to regulatory or legal restrictions, the availability of reserves and the financial and operating performance of the entity. A  number of Group subsidiaries, principally those with banking and insurance activities, are subject to regulatory capital requirements  which require minimum amounts of capital to be maintained relative to their size and risk. The Group actively manages the capital  of its subsidiaries, which includes monitoring the regulatory capital ratios for its banking and insurance subsidiaries and, on a  consolidated basis, the Ring-Fenced Bank sub-group, against approved risk appetite levels. ",
   "dimensions": {
    "concept": "lloydsbankinggroup:DisclosureOfRetainedProfits",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-859": {
   "value": "Note 45: Share-based payments Charge to the income statement The charge to the income statement is set out below: 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m Deferred bonus plan 289 179 81 Executive and SAYE plans: Options granted in the year 10 10 13 Options granted in prior years 42 37 62 52 47 75 Share plans: Shares granted in the year 9 18 16 Shares granted in prior years 26 24 24 35 42 40 Total charge to the income statement 376 268 196 During the year ended 31 December 2022 the Group operated the following share-based payment schemes, all of which are mainly equity settled. Group Performance Share plan The Group operates a Group Performance Share plan that is part equity settled. Bonuses in respect of employee service in 2022 have been recognised in the charge in line with the proportion of the deferral period completed. Save-As-You-Earn schemes Eligible employees may enter into contracts through the Save-As-You-Earn (SAYE) schemes to save up to \u00a3500 per month and, at the expiry of a fixed term of three years, have the option to use these savings within six months of the expiry of the fixed term to acquire shares in the Group at a discounted price of no less than 90 per cent of the market price at the start of the invitation period. Movements in the number of share options outstanding under the SAYE schemes are set out below: 2022 2021 Number of options Weighted average exercise price (pence) Number of options Weighted average exercise price (pence) Outstanding at 1 January 1,180,563,291 30.63 1,120,138,915 30.39 Granted 217,611,519 39.38 236,923,744 39.40 Exercised (23,359,526) 37.75 (6,924,434) 30.57 Forfeited (20,961,259) 29.20 (22,815,078) 28.78 Cancelled (47,687,607) 33.88 (51,479,310) 32.57 Expired (49,248,343) 46.29 (95,280,546) 49.03 Outstanding at 31 December 1,256,918,075 31.30 1,180,563,291 30.63 Exercisable at 31 December 263,302 47.92 336,561 51.03 The weighted average share price at the time that the options were exercised during 2022 was \u00a30.49 (2021: \u00a30.47). The weighted average remaining contractual life of options outstanding at the end of the year was 1.88 years (2021: 2.46 years). The weighted average fair value of SAYE options granted during 2022 was \u00a30.07 (2021: \u00a30.09). The fair values of the SAYE options have been determined using a standard Black-Scholes model. Note 45: Share-based payments continued Other share option plans Executive Share Plans \u2013 buyout and retention awards Share options may be granted to senior employees under the Lloyds Banking Group Executive Share Plan 2003, Lloyds Banking Group Executive Group Ownership Share Plan and the Deferred Bonus Scheme 2021 specifically to facilitate recruitment (to compensate new recruits for any lost share awards), and also to make grants to key individuals for retention purposes. In some instances, grants may be made subject to individual performance conditions. Participants are not entitled to any dividends paid during the vesting period. 2022 2021 Number of options Weighted average exercise price (pence) Number of options Weighted average exercise price (pence) Outstanding at 1 January 14,032,762 Nil 8,477,084 Nil Granted 10,278,224 Nil 13,610,204 Nil Exercised (3,333,322) Nil (7,110,663) Nil Vested \u2013 Nil \u2013 Nil Forfeited (33,409) Nil (385,184) Nil Lapsed (477,784) Nil (558,679) Nil Outstanding at 31 December 20,466,471 Nil 14,032,762 Nil Exercisable at 31 December 1,638,202 Nil 708,939 Nil The weighted average fair value of options granted in the year was \u00a30.44 (2021: \u00a30.42). The fair values of options granted have been determined using a standard Black-Scholes model. The weighted average share price at the time that the options were exercised during 2022 was \u00a30.46 (2021: \u00a30.43). The weighted average remaining contractual life of options outstanding at the end of the year was 6.0 years (2021: 6.3 years). Included in the above are awards to the Chief Financial Officer and the Group Chief Executive. William Chalmers joined the Group on 3 June 2019 and was appointed as Chief Financial Officer on 1 August 2019. He was granted deferred share awards over 4,086,632 shares, to replace unvested awards from his former employer, Morgan Stanley, that were forfeited as a result of him joining the Group. 2022 Number of shares 2021 Number of shares Outstanding at 1 January 686,085 1,810,712 Exercised (686,085) (1,124,627) Outstanding at 31 December \u2013 686,085 Charlie Nunn joined the Group on 16 August 2021 as Group Chief Executive. He was granted deferred share awards over 8,301,708 shares to replace unvested awards from his former employer, HSBC, that were forfeited as a result of him joining the Group. 2022 Number of shares 2021 Number of shares Outstanding at 1 January 7,444,787 \u2013 Granted \u2013 8,301,708 Exercised (859,340) (856,921) Outstanding at 31 December 6,585,447 7,444,787 The weighted average fair value of awards granted in 2021 was \u00a30.40. Other share plans Lloyds Banking Group Executive Group Ownership Share Plan The plan, introduced in 2006, is aimed at delivering shareholder value by linking the receipt of shares to an improvement in the performance of the Group over a three-year period. Awards are made within limits set by the rules of the plan, with the limits determining the maximum number of shares that can be awarded equating to three times annual salary. In exceptional circumstances this may increase to four times annual salary. At the end of the performance period for the 2019 grant, the targets had not been fully met and therefore these awards vested in 2022 at a rate of 41.80 per cent. 2022 Number of shares 2021 Number of shares Outstanding at 1 January 350,873,627 533,987,527 Granted \u2013 \u2013 Vested (50,703,778) (39,621,415) Forfeited (98,741,356) (144,437,243) Dividend award 966,016 944,758 Outstanding at 31 December 202,394,509 350,873,627 Note 45: Share-based payments continued Awards in respect of the 2020 grant are due to vest in 2023 at a rate of 43.70 per cent. In previous years participants were entitled to any dividends paid in the vesting period. However, following a regulatory change prohibiting the payment of dividends on such awards, the number of shares awarded has been determined by applying a discount factor to the share price on award to exclude the value of estimated future dividends. Details of the performance conditions for the plan are provided in the Directors\u2019 remuneration report. Lloyds Banking Group Long Term Share Plan The plan, introduced in 2021, replaced the Executive Group Ownership Share Plan and is intended to provide alignment to the Group\u2019s aim of delivering sustainable returns to shareholders, supported by its values and behaviours. 2022 Number of shares 2021 Number of shares Outstanding at 1 January 77,883,068 \u2013 Granted 108,513,202 83,456,304 Vested \u2013 \u2013 Forfeited (14,448,527) (5,573,236) Dividend award \u2013 \u2013 Outstanding at 31 December 171,947,743 77,883,068 The weighted average fair value of awards granted in the year was \u00a30.36 (2021: \u00a30.36). Assumptions at 31 December 2022 The fair value calculations at 31 December 2022 for grants made in the year, using Black-Scholes models and Monte Carlo simulation, are based on the following assumptions: SAYE Executive Share Plans Long Term Share Plan Weighted average risk-free interest rate 4.33% 3.20% 1.01% Weighted average expected life 3.3 years 1.2 years 3.6 years Weighted average expected volatility 28% 27% 33% Weighted average expected dividend yield 5.3% 5.3% 5.3% Weighted average share price \u00a30.42 \u00a30.47 \u00a30.43 Weighted average exercise price \u00a30.39 Nil Nil Expected volatility is a measure of the amount by which the Group\u2019s shares are expected to fluctuate during the life of an option. The expected volatility is estimated based on the historical volatility of the closing daily share price over the most recent period that is commensurate with the expected life of the option. The historical volatility is compared to the implied volatility generated from market traded options in the Group\u2019s shares to assess the reasonableness of the historical volatility and adjustments made where appropriate. Share Incentive Plans Free shares An award of shares may be made annually to employees up to a maximum of \u00a33,600. The shares awarded are held in trust for a mandatory period of three years on the employee\u2019s behalf, during which period the employee is entitled to any dividends paid on such shares. The award is subject to a non-market based condition. If an employee leaves the Group within this three-year period for other than a \u2018good\u2019 reason, all of the shares awarded will be forfeited. No award was made in 2022. On 25 March 2021, the Group made an award of 1,017 shares to all eligible employees. The number of shares awarded was 67,658,976, with an average fair value of \u00a30.42 based on the market price at the date of award. Matching shares The Group undertakes to match shares purchased by employees up to the value of \u00a345 per month; these matching shares are held in trust for a mandatory period of three years on the employee\u2019s behalf, during which period the employee is entitled to any dividends paid on such shares. The award is subject to a non-market based condition: if an employee leaves within this three-year period for other than a \u2018good\u2019 reason, all of the matching shares are forfeited. Similarly, if the employees sell their purchased shares within three years, their matching shares are forfeited. The number of shares awarded relating to matching shares in 2022 was 43,378,504 (2021: 46,621,026), with an average fair value of \u00a30.45 (2021: \u00a30.44), based on market prices at the date of award. Fixed share awards Fixed share awards were introduced in 2014 in order to ensure that total fixed remuneration is commensurate with role and to provide a competitive reward package for certain Lloyds Banking Group employees, with an appropriate balance of fixed and variable remuneration, in line with regulatory requirements. The fixed share awards are delivered in Lloyds Banking Group plc shares, and were initially released over five years with 20 per cent being released each year following the year of award. From June 2020, the fixed share awards are released over three years with one third being released each year following the year of award. The number of shares purchased in relation to fixed share awards in 2022 was 7,261,080 (2021: 8,320,948) with an average fair value of \u00a30.47 (2021: \u00a30.45) based on market prices at the date of the award. The fixed share award is not subject to any performance conditions, performance adjustment or clawback. On an employee leaving the Group, there is no change to the timeline for which shares will become unrestricted. ",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfSharebasedPaymentArrangementsExplanatory",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-858": {
   "value": "Note 44: Dividends on ordinary shares The directors have recommended a final dividend, which is subject to approval by the shareholders at the annual general meeting on 18 May 2023, of 1.60 pence per ordinary share (2021: 1.33 pence per ordinary share), equivalent to \u00a31,062 million, before the impact of any cancellations of shares under the Group\u2019s announced buyback programme (2021: \u00a3930 million, following cancellations of shares under the Group\u2019s 2022 buyback programme up to the record date), which will be paid on 23 May 2023. These financial statements do not reflect the recommended dividend. Dividends paid during the year were as follows: 2022 pence per share 2021 pence per share 2020 pence per share 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m Final dividend recommended by directors at previous year end 1.33 0.57 \u2013 930 404 \u2013 Interim dividend paid in the year 0.80 0.67 \u2013 545 473 \u2013 2.13 1.24 \u2013 1,475 877 \u2013 The trustees of the following holdings of Lloyds Banking Group plc shares in relation to employee share schemes retain the right to receive dividends but have chosen to waive their entitlement to the dividends on those shares as indicated: the Lloyds Banking Group Share Incentive Plan (holding at 31 December 2022: 32,377,089 shares, 31 December 2021: 16,514,487 shares, waived rights to all dividends) and the Lloyds Banking Group Employee Share Ownership Trust (holding at 31 December 2022: 311,540,740 shares, 31 December 2021: 9,998,474 shares, waived rights to all dividends). ",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfDividendsExplanatory",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-860": {
   "value": "Note 46: Related party transactions Key management personnel Key management personnel are those persons having authority and responsibility for planning, directing and controlling the activities of an entity; the Group\u2019s key management personnel are the members of the Lloyds Banking Group plc Group Executive Committee together with its non-executive directors. The table below details, on an aggregated basis, key management personnel compensation: 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m Compensation Salaries and other short-term benefits 12 10 13 Post-employment benefits \u2013 \u2013 \u2013 Share-based payments 16 15 13 Total compensation 28 25 26 Aggregate contributions in respect of key management personnel to defined contribution pension schemes were \u00a3nil (2021: \u00a3nil; 2020: \u00a3nil). 2022 million 2021 million 2020 million Share option plans At 1 January \u2013 \u2013 \u2013 Granted, including certain adjustments (includes entitlements of appointed key management personnel) \u2013 \u2013 \u2013 Exercised/lapsed (includes entitlements of former key management personnel) \u2013 \u2013 \u2013 At 31 December \u2013 \u2013 \u2013 2022 million 2021 million 2020 million Share plans At 1 January 74 117 101 Granted, including certain adjustments (includes entitlements of appointed key management personnel) 29 19 46 Exercised/lapsed (includes entitlements of former key management personnel) (31) (62) (30) At 31 December 72 74 117 The tables below detail, on an aggregated basis, balances outstanding at the year end and related income and expense, together with information relating to other transactions between the Group and its key management personnel: 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m Loans At 1 January 3 2 2 Advanced (includes loans to appointed key management personnel) 1 1 \u2013 Repayments (includes loans to former key management personnel) (2) \u2013 \u2013 At 31 December 2 3 2 The loans are on both a secured and unsecured basis and are expected to be settled in cash. The loans attracted interest rates of between 1.01 per cent and 30.15 per cent in 2022 (2021: 0.39 per cent and 22.93 per cent; 2020: 0.39 per cent and 24.20 per cent). No provisions have been recognised in respect of loans given to key management personnel (2021 and 2020: \u00a3nil). 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m Deposits At 1 January 11 10 23 Placed (includes deposits of appointed key management personnel) 37 26 25 Withdrawn (includes deposits of former key management personnel) (38) (25) (38) At 31 December 10 11 10 Deposits placed by key management personnel attracted interest rates of up to 5.0 per cent (2021: 1.0 per cent; 2020: 2.0 per cent). Note 46: Related party transactions continued At 31 December 2022, the Group did not provide any guarantees in respect of key management personnel (2021 and 2020: none). At 31 December 2022, transactions, arrangements and agreements entered into by the Group\u2019s banking subsidiaries with directors and connected persons included amounts outstanding in respect of loans and credit card transactions of \u00a32.0 thousand with two directors and no connected persons (2021: \u00a30.9 million with two directors and one connected person; 2020: \u00a30.6 million with four directors and two connected persons). Subsidiaries Details of the Group\u2019s subsidiaries and related undertakings are given on pages 352 to 360. In accordance with IFRS 10 Consolidated Financial Statements, transactions and balances with subsidiaries have been eliminated on consolidation. Pension funds The Group provides banking and some investment management services to certain of its pension funds. At 31 December 2022, customer deposits of \u00a3155 million (2021: \u00a3480 million) related to the Group\u2019s pension funds. As disclosed in note 35, the Group\u2019s main pension funds have entered into a longevity insurance arrangement that was structured as a pass-through involving Scottish Widows. Collective investment vehicles The Group manages 125 (2021: 145) collective investment vehicles, such as Open-Ended Investment Companies (OEICs) and of these 73 (2021: 73) are consolidated. The Group invested \u00a3196 million (2021: \u00a3427 million) and redeemed \u00a3486 million (2021: \u00a3820 million) in the unconsolidated collective investment vehicles during the year and had investments, at fair value, of \u00a31,491 million (2021: \u00a31,965 million) at 31 December. The Group earned fees of \u00a380 million from the unconsolidated collective investment vehicles during 2022 (2021: \u00a396 million). Joint ventures and associates At 31 December 2022 there were loans and advances to customers of \u00a321 million (2021: \u00a314 million) outstanding and balances within customer deposits of \u00a358 million (2021: \u00a322 million) relating to joint ventures and associates. During the year the Group paid fees of \u00a35 million (2021: \u00a37 million) to its Schroders Personal Wealth joint venture and also made payments of \u00a318 million (2021: \u00a310 million) under the terms of agreements put in place on the establishment of the joint venture. In addition to the above balances, the Group has a number of other associates held by its venture capital business that it accounts for at fair value through profit or loss. At 31 December 2022, these companies had total assets of \u00a34,709 million (2021: \u00a33,889 million), total liabilities of \u00a35,557 million (2021: \u00a34,412 million) and for the year ended 31 December 2022 had turnover of \u00a34,196 million (2021: \u00a33,686 million) and made a net loss of \u00a3228 million (2021: net loss of \u00a3187 million). In addition, the Group has provided \u00a31,466 million (2021: \u00a31,265 million) of financing to these companies on which it received \u00a398 million (2021: \u00a386 million) of interest income in the year. ",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfRelatedPartyExplanatory",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-861": {
   "value": "Note 47: Contingent liabilities, commitments and guarantees Interchange fees With respect to multi-lateral interchange fees (MIFs), the Group is not a party in the ongoing or threatened litigation which involves the card schemes Visa and Mastercard (as described below). However, the Group is a member/licensee of Visa and Mastercard and other card schemes. The litigation in question is as follows: \u2022 Litigation brought by or on behalf of retailers against both Visa and Mastercard in the English Courts, in which retailers are seeking damages on grounds that Visa and Mastercard\u2019s MIFs breached competition law (this includes a judgment of the Supreme Court in June 2020 upholding the Court of Appeal\u2019s finding in 2018 that certain historic interchange arrangements of Mastercard and Visa infringed competition law) \u2022 Litigation brought on behalf of UK consumers in the English Courts against Mastercard Any impact on the Group of the litigation against Visa and Mastercard remains uncertain at this time, such that it is not practicable for the Group to provide an estimate of any potential financial effect. Insofar as Visa is required to pay damages to retailers for interchange fees set prior to June 2016, contractual arrangements to allocate liability have been agreed between various UK banks (including the Group) and Visa Inc, as part of Visa Inc\u2019s acquisition of Visa Europe in 2016. These arrangements cap the maximum amount of liability to which the Group may be subject and this cap is set at the cash consideration received by the Group for the sale of its stake in Visa Europe to Visa Inc in 2016. In 2016, the Group received Visa preference shares as part of the consideration for the sale of its shares in Visa Europe. A release assessment is carried out by Visa on certain anniversaries of the sale (in line with the Visa Europe sale documentation) and as a result, some Visa preference shares may be converted into Visa Inc Class A common stock. Any such release and any subsequent sale of Visa common stock does not impact the contingent liability. LIBOR and other trading rates Certain Group companies, together with other panel banks, have been named as defendants in ongoing private lawsuits, including purported class action suits, in the US in connection with their roles as panel banks contributing to the setting of US Dollar, Japanese Yen and Sterling London Interbank Offered Rate and the Australian BBSW reference rate. Certain Group companies are also named as defendants in (i) UK-based claims; and (ii) two Dutch class actions, raising LIBOR manipulation allegations. A number of claims against the Group in the UK relating to the alleged mis-sale of interest rate hedging products also include allegations of LIBOR manipulation. It is currently not possible to predict the scope and ultimate outcome on the Group of any private lawsuits or any related challenges to the interpretation or validity of any of the Group\u2019s contractual arrangements, including their timing and scale. As such, it is not practicable to provide an estimate of any potential financial effect. Note 47: Contingent liabilities, commitments and guarantees continued Tax authorities The Group has an open matter in relation to a claim for group relief of losses incurred in its former Irish banking subsidiary, which ceased trading on 31 December 2010. In 2013, HMRC informed the Group that its interpretation of the UK rules means that the group relief is not available. In 2020, HMRC concluded their enquiry into the matter and issued a closure notice. The Group\u2019s interpretation of the UK rules has not changed and hence it has appealed to the First Tier Tax Tribunal, with a hearing expected in 2023. If the final determination of the matter by the judicial process is that HMRC\u2019s position is correct, management estimate that this would result in an increase in current tax liabilities of approximately \u00a3875 million (including interest) and a reduction in the Group\u2019s deferred tax asset of approximately \u00a3295 million. The Group, having taken appropriate advice, does not consider that this is a case where additional tax will ultimately fall due. There are a number of other open matters on which the Group is in discussions with HMRC (including the tax treatment of certain costs arising from the divestment of TSB Banking Group plc), none of which is expected to have a material impact on the financial position of the Group. Motor commission review Following the FCA\u2019s Motor Market review, the Group has received a number of complaints, some of which are with the Financial Ombudsman Service, in respect of commission arrangements. It is currently not possible to predict the ultimate outcome of the complaints, including the financial impact or the scope or nature of remediation requirements, if any, or any related challenges to the interpretation or validity of any of the Group\u2019s historical motor commission arrangements. Other legal actions and regulatory matters In addition, in the course of its business the Group is subject to other complaints and threatened or actual legal proceedings (including class or group action claims) brought by or on behalf of current or former employees, customers, investors or other third parties, as well as legal and regulatory reviews, challenges, investigations and enforcement actions, which could relate to a number of issues, including financial, environmental or other regulatory matters, both in the UK and overseas. Where material, such matters are periodically reassessed, with the assistance of external professional advisers where appropriate, to determine the likelihood of the Group incurring a liability. In those instances where it is concluded that it is more likely than not that a payment will be made, a provision is established based on management\u2019s best estimate of the amount required at the relevant balance sheet date. In some cases it will not be possible to form a view, for example because the facts are unclear or because further time is needed to assess properly the merits of the case, and no provisions are held in relation to such matters. In these circumstances, specific disclosure in relation to a contingent liability will be made where material. However, the Group does not currently expect the final outcome of any such case to have a material adverse effect on its financial position, operations or cash flows. Where there is a contingent liability related to an existing provision the relevant disclosures are included within note 37. Contingent liabilities, commitments and guarantees arising from the banking business 2022 \u00a3m 2021 \u00a3m Contingent liabilities Acceptances and endorsements 58 191 Other: Other items serving as direct credit substitutes 781 510 Performance bonds, including letters of credit, and other transaction-related contingencies 2,147 2,043 2,928 2,553 Total contingent liabilities 2,986 2,744 The contingent liabilities of the Group arise in the normal course of its banking business and it is not practicable to quantify their future financial effect. 2022 \u00a3m 2021 \u00a3m Commitments and guarantees Forward asset purchases and forward deposits placed 39 61 Undrawn formal standby facilities, credit lines and other commitments to lend: Less than 1 year original maturity: Mortgage offers made 17,144 17,807 Other commitments and guarantees 79,925 88,454 97,069 106,261 1 year or over original maturity 46,687 36,411 Total commitments and guarantees 143,795 142,733 Of the amounts shown above in respect of undrawn formal standby facilities, credit lines and other commitments to lend, \u00a374,692 million (2021: \u00a371,158 million) was irrevocable. Capital commitments Excluding commitments in respect of investment property (note 26), capital expenditure contracted but not provided for at 31 December 2022 amounted to \u00a31,663 million (2021: \u00a31,034 million). Of this amount, \u00a31,663 million (2021: \u00a31,034 million) related to assets to be leased to customers under operating leases. The Group\u2019s management is confident that future net revenues and funding will be sufficient to cover these commitments. ",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfCommitmentsAndContingentLiabilitiesExplanatory",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-862": {
   "value": "Note 48: Structured entities The Group\u2019s interests in structured entities are both consolidated and unconsolidated. Details of the Group\u2019s interests in consolidated structured entities are set out in note 30 for securitisations and covered bond vehicles, note 35 for structured entities associated with the Group\u2019s pension schemes, and below in part (A) and (B). Details of the Group\u2019s interests in unconsolidated structured entities are included below in part (C). (A)  Asset-backed conduits In addition to the structured entities discussed in note 30, which are used for securitisation and covered bond programmes, the Group sponsors an active asset-backed conduit, Cancara, which invests in client receivables and debt securities. The total consolidated exposure of Cancara at 31 December 2022 was \u00a32,357 million (2021: \u00a31,745 million), comprising \u00a31,464 million of loans and advances (2021: \u00a3889 million), \u00a3850 million of debt securities (2021: \u00a3780 million) and \u00a343 million of financial assets at fair value through profit or loss (2021: \u00a376 million). All lending assets and debt securities held by the Group in Cancara are restricted in use, as they are held by the collateral agent for the benefit of the commercial paper investors and the liquidity providers only. The Group provides liquidity facilities to Cancara under terms that are usual and customary for standard lending activities in the normal course of the Group\u2019s banking activities. During 2022 there have continued to be planned drawdowns on certain liquidity facilities for balance sheet management purposes, supporting the programme to provide funding alongside the proceeds of the asset-backed commercial paper issuance. The Group could be asked to provide support under the contractual terms of these arrangements including, for example, if Cancara experienced a shortfall in external funding, which may occur in the event of market disruption. The external assets in Cancara are consolidated in the Group\u2019s financial statements. (B)  Consolidated collective investment vehicles and limited partnerships The assets of the Insurance business held in consolidated collective investment vehicles, such as Open-Ended Investment Companies and limited partnerships, are not directly available for use by the Group. However, the Group\u2019s investment in the majority of these collective investment vehicles is readily realisable. As at 31 December 2022, the total carrying value of these consolidated collective investment vehicle assets and liabilities held by the Group was \u00a354,749 million (2021: \u00a360,352 million). The Group has no contractual arrangements (such as liquidity facilities) that would require it to provide financial or other support to the consolidated collective investment vehicles; the Group has not previously provided such support and has no current intentions to provide such support. (C)  Unconsolidated collective investment vehicles and limited partnerships The Group\u2019s direct interests in unconsolidated structured entities comprise investments in collective investment vehicles, such as Open-Ended Investment Companies, and limited partnerships with a total carrying value of \u00a368,913 million at 31 December 2022 (2021: \u00a374,916 million), included within financial assets designated at fair value through profit and loss (see note 16). These investments include both those entities managed by third parties and those managed by the Group. At 31 December 2022, the total asset value of these unconsolidated structured entities, including the portion in which the Group has no interest, was \u00a32,176 billion (2021: \u00a32,597 billion). Given the nature of these investments, the Group\u2019s maximum exposure to loss is equal to the carrying value of the investment. However, the Group\u2019s investments in these entities are primarily held to match policyholder liabilities in the Insurance division and the majority of the risk from a change in the value of the Group\u2019s investment is matched by a change in policyholder liabilities. The collective investment vehicles are primarily financed by investments from investors in the vehicles. During the year the Group has not provided any non-contractual financial or other support to these entities and has no current intention of providing any financial or other support. There were no transfers from/to these unconsolidated collective investment vehicles and limited partnerships. The Group considers itself the sponsor of a structured entity where it is primarily involved in the design and establishment of the structured entity and further where the Group transfers assets to the structured entity, markets products associated with the structured entity in its own name and/or provides guarantees regarding the structured entity\u2019s performance. The Group sponsors a range of diverse investment funds and limited partnerships where it acts as the fund manager or equivalent decision-maker and markets the funds under one of the Group\u2019s brands. The Group earns fees from managing the investments of these funds. The investment management fees that the Group earned from these entities, including those in which the Group held no ownership interest at 31 December 2022, are reported in note 6. ",
   "dimensions": {
    "concept": "lloydsbankinggroup:DisclosureOfStructuredEntities",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-863": {
   "value": "Note 49: Financial instruments (1)  Measurement basis of financial assets and liabilities The accounting policies in note 2 describe how different classes of financial instruments are measured, and how income and expenses, including fair value gains and losses, are recognised. The following table analyses the carrying amounts of the financial assets and liabilities by category and by balance sheet heading. Derivatives designated as hedging instruments \u00a3m Mandatorily held at fair value through profit or loss Designated at fair value through profit or loss \u00a3m At fair value through other comprehensive income \u00a3m Held at amortised cost \u00a3m Insurance- related contracts \u00a3m Held for trading \u00a3m Other \u00a3m Total \u00a3m At 31 December 2022 Financial assets Cash and balances at central banks \u2013 \u2013 \u2013 \u2013 \u2013 91,388 \u2013 91,388 Items in the course of collection from banks \u2013 \u2013 \u2013 \u2013 \u2013 242 \u2013 242 Financial assets at fair value through profit or loss \u2013 14,216 166,393 \u2013 \u2013 \u2013 \u2013 180,609 Derivative financial instruments 75 24,678 \u2013 \u2013 \u2013 \u2013 \u2013 24,753 Loans and advances to banks \u2013 \u2013 \u2013 \u2013 \u2013 10,632 \u2013 10,632 Loans and advances to customers \u2013 \u2013 \u2013 \u2013 \u2013 454,899 \u2013 454,899 Reverse repurchase agreements \u2013 \u2013 \u2013 \u2013 \u2013 44,865 \u2013 44,865 Debt securities \u2013 \u2013 \u2013 \u2013 \u2013 9,926 \u2013 9,926 Financial assets at amortised cost \u2013 \u2013 \u2013 \u2013 \u2013 520,322 \u2013 520,322 Financial assets at fair value through other comprehensive income \u2013 \u2013 \u2013 \u2013 23,154 \u2013 \u2013 23,154 Reinsurance assets \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 616 616 Total financial assets 75 38,894 166,393 \u2013 23,154 611,952 616 841,084 Financial liabilities Deposits from banks \u2013 \u2013 \u2013 \u2013 \u2013 7,266 \u2013 7,266 Customer deposits \u2013 \u2013 \u2013 \u2013 \u2013 475,331 \u2013 475,331 Repurchase agreements at amortised cost \u2013 \u2013 \u2013 \u2013 \u2013 48,596 \u2013 48,596 Items in course of transmission to banks \u2013 \u2013 \u2013 \u2013 \u2013 372 \u2013 372 Financial liabilities at fair value through profit or loss \u2013 12,577 \u2013 5,178 \u2013 \u2013 \u2013 17,755 Derivative financial instruments 527 23,515 \u2013 \u2013 \u2013 \u2013 \u2013 24,042 Notes in circulation \u2013 \u2013 \u2013 \u2013 \u2013 1,280 \u2013 1,280 Debt securities in issue \u2013 \u2013 \u2013 \u2013 \u2013 73,819 \u2013 73,819 Liabilities arising from insurance contracts and participating investment contracts \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 106,893 106,893 Liabilities arising from non-participating investment contracts \u2013 \u2013 \u2013 42,975 \u2013 \u2013 \u2013 42,975 Other \u2013 \u2013 \u2013 \u2013 \u2013 1,317 248 1,565 Subordinated liabilities \u2013 \u2013 \u2013 \u2013 \u2013 10,730 \u2013 10,730 Total financial liabilities 527 36,092 \u2013 48,153 \u2013 618,711 107,141 810,624 Note 49: Financial instruments continued Derivatives designated as hedging instruments \u00a3m Mandatorily held at fair value through profit or loss Designated at fair value through profit or loss \u00a3m At fair value through other comprehensive income \u00a3m Held at amortised cost \u00a3m Insurance- related contracts \u00a3m Held for trading \u00a3m Other \u00a3m Total \u00a3m At 31 December 2021 Financial assets Cash and balances at central banks \u2013 \u2013 \u2013 \u2013 \u2013 76,420 \u2013 76,420 Items in the course of collection from banks \u2013 \u2013 \u2013 \u2013 \u2013 147 \u2013 147 Financial assets at fair value through profit or loss \u2013 21,760 185,011 \u2013 \u2013 \u2013 \u2013 206,771 Derivative financial instruments 86 21,965 \u2013 \u2013 \u2013 \u2013 \u2013 22,051 Loans and advances to banks \u2013 \u2013 \u2013 \u2013 \u2013 7,001 \u2013 7,001 Loans and advances to customers \u2013 \u2013 \u2013 \u2013 \u2013 448,567 \u2013 448,567 Reverse repurchase agreements \u2013 \u2013 \u2013 \u2013 \u2013 54,753 \u2013 54,753 Debt securities \u2013 \u2013 \u2013 \u2013 \u2013 6,835 \u2013 6,835 Financial assets at amortised cost \u2013 \u2013 \u2013 \u2013 \u2013 517,156 \u2013 517,156 Financial assets at fair value through other comprehensive income \u2013 \u2013 \u2013 \u2013 28,137 \u2013 \u2013 28,137 Reinsurance assets \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 759 759 Total financial assets 86 43,725 185,011 \u2013 28,137 593,723 759 851,441 Financial liabilities Deposits from banks \u2013 \u2013 \u2013 \u2013 \u2013 7,647 \u2013 7,647 Customer deposits \u2013 \u2013 \u2013 \u2013 \u2013 476,344 \u2013 476,344 Repurchase agreements at amortised cost \u2013 \u2013 \u2013 \u2013 \u2013 31,125 \u2013 31,125 Items in course of transmission to banks \u2013 \u2013 \u2013 \u2013 \u2013 316 \u2013 316 Financial liabilities at fair value through profit or loss \u2013 16,582 \u2013 6,541 \u2013 \u2013 \u2013 23,123 Derivative financial instruments 327 17,733 \u2013 \u2013 \u2013 \u2013 \u2013 18,060 Notes in circulation \u2013 \u2013 \u2013 \u2013 \u2013 1,321 \u2013 1,321 Debt securities in issue \u2013 \u2013 \u2013 \u2013 \u2013 71,552 \u2013 71,552 Liabilities arising from insurance contracts and participating investment contracts \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 123,423 123,423 Liabilities arising from non-participating investment contracts \u2013 \u2013 \u2013 45,040 \u2013 \u2013 \u2013 45,040 Other \u2013 \u2013 \u2013 \u2013 \u2013 1,475 308 1,783 Subordinated liabilities \u2013 \u2013 \u2013 \u2013 \u2013 13,108 \u2013 13,108 Total financial liabilities 327 34,315 \u2013 51,581 \u2013 602,888 123,731 812,842 Note 49: Financial instruments continued (2)  Fair value measurement Fair value is the price that would be received on sale of an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. It is a measure as at a specific date and may be significantly different from the amount which will actually be paid or received on maturity or settlement date. Wherever possible, fair values have been calculated using unadjusted quoted market prices in active markets for identical instruments to those held by the Group. Where quoted market prices are not available, or are unreliable because of poor liquidity, fair values have been determined using valuation techniques which, to the extent possible, use market observable inputs, but in some cases use non-market observable inputs. Valuation techniques used include discounted cash flow analysis and pricing models and, where appropriate, comparison to instruments with characteristics similar to those of the instruments held by the Group. The Group measures valuation adjustments for its derivative exposures on the same basis as the derivatives are managed. The carrying amount of the following financial instruments is a reasonable approximation of fair value: cash and balances at central banks, items in the course of collection from banks, items in course of transmission to banks and notes in circulation. Liabilities arising from non-participating investment contracts are carried at fair value. Fair values have not been disclosed for discretionary participating investment contracts. There is currently no agreed definition of fair valuation for discretionary participation features applied under IFRS and therefore the range of possible fair values of these contracts cannot be measured reliably. Because a variety of estimation techniques are employed and significant estimates made, comparisons of fair values between financial institutions may not be meaningful. Readers of these financial statements are thus advised to use caution when using this data to evaluate the Group\u2019s financial position. Fair value information is not provided for items that are not financial instruments or for other assets and liabilities which are not carried at fair value in the Group\u2019s consolidated balance sheet. These items include intangible assets, such as brands and acquired credit card relationships; premises and equipment; and shareholders\u2019 equity. These items are material and accordingly the Group believes that any fair value information presented would not represent the underlying value of the Group. Valuation control framework The key elements of the control framework for the valuation of financial instruments include model validation, product implementation review and independent price verification. These functions are carried out by appropriately skilled risk and finance teams, independent of the business area responsible for the products. Model validation covers both qualitative and quantitative elements relating to new models. In respect of new products, a product implementation review is conducted pre and post-trading. Pre-trade testing ensures that the new model is integrated into the Group\u2019s systems and that the profit and loss and risk reporting are consistent throughout the trade lifecycle. Post-trade testing examines the explanatory power of the implemented model, actively monitoring model parameters and comparing in-house pricing to external sources. Independent price verification procedures cover financial instruments carried at fair value. The frequency of the review is matched to the availability of independent data, monthly being the minimum. Valuation differences in breach of established thresholds are escalated to senior management. The results from independent pricing and valuation reserves are reviewed monthly by senior management. Formal committees, consisting of senior risk, finance and business management, meet at least quarterly to discuss and approve valuations in more judgemental areas, in particular for unquoted equities, structured credit, over-the-counter options and the credit valuation adjustment (CVA), funding valuation adjustment (FVA) and other valuation adjustments. Valuation of financial assets and liabilities Assets and liabilities carried at fair value or for which fair values are disclosed have been classified into three levels according to the quality and reliability of information used to determine the fair values. Level 1 Level 1 fair value measurements are those derived from unadjusted quoted prices in active markets for identical assets or liabilities. Products classified as level 1 predominantly comprise listed equity shares, treasury bills and other government securities. Level 2 Level 2 valuations are those where quoted market prices are not available, for example where the instrument is traded in a market that is not considered to be active or valuation techniques are used to determine fair value and where these techniques use inputs that are based significantly on observable market data. Examples of such financial instruments include most over-the-counter derivatives, financial institution issued securities, certificates of deposit and certain asset-backed securities. Level 3 Level 3 portfolios are those where at least one input which could have a significant effect on the instrument\u2019s valuation is not based on observable market data. Such instruments would include the Group\u2019s venture capital and unlisted equity investments which are valued using various valuation techniques that require significant management judgement in determining appropriate assumptions, including earnings multiples and estimated future cash flows. Certain of the Group\u2019s asset-backed securities, loans and advances recognised at fair value and derivatives are also classified as level 3. Transfers out of the level 3 portfolio arise when inputs that could have a significant impact on the instrument\u2019s valuation become market observable after previously having been non-market observable. In the case of asset-backed securities this can arise if more than one consistent independent source of data becomes available. Conversely, transfers into the portfolio arise when consistent sources of data cease to be available. Note 49: Financial instruments continued (3)  Financial assets and liabilities carried at fair value (A)  Financial assets, excluding derivatives Valuation hierarchy At 31 December 2022, the Group\u2019s financial assets carried at fair value, excluding derivatives, totalled \u00a3203,763 million (2021: \u00a3234,908 million). The table below analyses these financial assets by balance sheet classification, asset type and valuation methodology (level 1, 2 or 3, as described on page 303). The fair value measurement approach is recurring in nature. There were no significant transfers between level 1 and 2 during the year. Level 1 \u00a3m Level 2 \u00a3m Level 3 \u00a3m Total \u00a3m At 31 December 2022 Financial assets at fair value through profit or loss Loans and advances to banks \u2013 3,345 \u2013 3,345 Loans and advances to customers \u2013 13,644 7,883 21,527 Debt securities: Government securities 10,050 7 \u2013 10,057 Other public sector securities \u2013 2,516 \u2013 2,516 Bank and building society certificates of deposit \u2013 7,133 \u2013 7,133 Asset-backed securities: Mortgage-backed securities \u2013 235 \u2013 235 Other asset-backed securities \u2013 122 63 185 Corporate and other debt securities 77 16,105 1,739 17,921 10,127 26,118 1,802 38,047 Treasury and other bills 62 \u2013 \u2013 62 Contracts held with reinsurers \u2013 10,906 \u2013 10,906 Equity shares 105,103 \u2013 1,619 106,722 Total financial assets at fair value through profit or loss 115,292 54,013 11,304 180,609 Financial assets at fair value through other comprehensive income Debt securities: Government securities 10,854 357 \u2013 11,211 Asset-backed securities \u2013 87 59 146 Corporate and other debt securities 536 10,978 \u2013 11,514 11,390 11,422 59 22,871 Treasury and other bills \u2013 \u2013 \u2013 \u2013 Equity shares \u2013 \u2013 283 283 Total financial assets at fair value through other comprehensive income 11,390 11,422 342 23,154 Total financial assets carried at fair value, excluding derivatives 126,682 65,435 11,646 203,763 Note 49: Financial instruments continued Level 1 \u00a3m Level 2 \u00a3m Level 3 \u00a3m Total \u00a3m At 31 December 2021 Financial assets at fair value through profit or loss Loans and advances to banks \u2013 4,170 \u2013 4,170 Loans and advances to customers \u2013 15,575 9,793 25,368 Debt securities: Government securities 17,668 12 \u2013 17,680 Other public sector securities \u2013 2,731 \u2013 2,731 Bank and building society certificates of deposit \u2013 6,297 \u2013 6,297 Asset-backed securities: Mortgage-backed securities \u2013 433 \u2013 433 Other asset-backed securities \u2013 177 98 275 Corporate and other debt securities \u2013 18,123 1,679 19,802 17,668 27,773 1,777 47,218 Treasury and other bills 19 \u2013 \u2013 19 Contracts held with reinsurers \u2013 12,371 \u2013 12,371 Equity shares 115,882 \u2013 1,743 117,625 Total financial assets at fair value through profit or loss 133,569 59,889 13,313 206,771 Financial assets at fair value through other comprehensive income Debt securities: Government securities 14,613 \u2013 \u2013 14,613 Asset-backed securities \u2013 \u2013 70 70 Corporate and other debt securities 644 12,490 \u2013 13,134 15,257 12,490 70 27,817 Treasury and other bills 85 \u2013 \u2013 85 Equity shares \u2013 \u2013 235 235 Total financial assets at fair value through other comprehensive income 15,342 12,490 305 28,137 Total financial assets carried at fair value, excluding derivatives 148,911 72,379 13,618 234,908 Movements in level 3 portfolio The table below analyses movements in level 3 financial assets, excluding derivatives, carried at fair value (recurring measurement). 2022 2021 Financial assets at fair value through profit or loss \u00a3m Financial assets at fair value through other comprehensive income \u00a3m Total level 3 assets carried at fair value, excluding derivatives (recurring basis) \u00a3m Financial assets at fair value through profit or loss \u00a3m Financial assets at fair value through other comprehensive income \u00a3m Total level 3 assets carried at fair value, excluding derivatives (recurring basis) \u00a3m At 1 January 13,313 305 13,618 15,046 346 15,392 Exchange and other adjustments 15 3 18 4 (11) (7) (Losses) gains recognised in the income statement within other income (1,609) (2) (1,611) 183 \u2013 183 Gains recognised in other comprehensive income within the revaluation reserve in respect of financial assets at fair value through other comprehensive income \u2013 44 44 \u2013 69 69 Purchases/increases to customer loans 959 3 962 1,709 8 1,717 Sales/repayments of customer loans (1,320) (11) (1,331) (2,765) (107) (2,872) Transfers into the level 3 portfolio 197 \u2013 197 171 \u2013 171 Transfers out of the level 3 portfolio (251) \u2013 (251) (1,035) \u2013 (1,035) At 31 December 11,304 342 11,646 13,313 305 13,618 Losses recognised in the income statement, within other income, relating to the change in fair value of those assets held at 31 December (1,596) \u2013 (1,596) (71) \u2013 (71) Note 49: Financial instruments continued Valuation methodology for financial assets, excluding derivatives Loans and advances to customers and banks The fair value of these assets is determined using discounted cash flow techniques. The discount rates are derived from market observable interest rates, a risk margin that reflects loan credit ratings and an incremental illiquidity premium based on historical spreads at origination on similar loans. Debt securities Debt securities measured at fair value and classified as level 2 are valued by discounting expected cash flows using an observable credit spread applicable to the particular instrument. Where there is limited trading activity in debt securities, the Group uses valuation models, consensus pricing information from third- party pricing services and broker or lead manager quotes to determine an appropriate valuation. Debt securities are classified as level 3 if there is a significant valuation input that cannot be corroborated through market sources or where there are materially inconsistent values for an input. Asset classes classified as level 3 mainly comprise venture capital investments. Equity investments Unlisted equity and fund investments are valued using different techniques in accordance with the Group\u2019s valuation policy and International Private Equity and Venture Capital Guidelines. Depending on the business sector and the circumstances of the investment, unlisted equity valuations are based on earnings multiples, net asset values or discounted cash flows. \u2022 A number of earnings multiples are used in valuing the portfolio including price earnings, earnings before interest and tax and earnings before interest, tax, depreciation and amortisation. The particular multiple selected is appropriate for the size and type of business being valued and is derived by reference to the current market-based multiple. Consideration is given to the risk attributes, growth prospects and financial gearing of comparable businesses when selecting the appropriate multiple \u2022 Discounted cash flow valuations use estimated future cash flows, usually based on management forecasts, with the application of appropriate exit yields or terminal multiples and discounted using rates appropriate to the specific investment, business sector or recent economic rates of return. Recent transactions involving the sale of similar businesses may sometimes be used as a frame of reference in deriving an appropriate multiple \u2022 For fund investments the most recent capital account value calculated by the fund manager is used as the basis for the valuation and adjusted, if necessary, to align valuation techniques with the Group\u2019s valuation policy Unlisted equity investments and investments in property partnerships held in the life assurance funds are valued using third-party valuations. Management take account of any pertinent information, such as recent transactions and information received on particular investments, to adjust the third-party valuations where necessary. (B)  Financial liabilities, excluding derivatives Valuation hierarchy At 31 December 2022, the Group\u2019s financial liabilities carried at fair value, excluding derivatives, comprised its financial liabilities at fair value through profit or loss and totalled \u00a317,755 million (2021: \u00a323,123 million). The table below analyses these financial liabilities by balance sheet classification and valuation methodology (level 1, 2 or 3, as described on page 303). The fair value measurement approach is recurring in nature. There were no significant transfers between level 1 and 2 during the year. Level 1 \u00a3m Level 2 \u00a3m Level 3 \u00a3m Total \u00a3m At 31 December 2022 Financial liabilities at fair value through profit or loss Debt securities and other liabilities designated at fair value through profit or loss \u2013 5,133 45 5,178 Trading liabilities: Liabilities in respect of securities sold under repurchase agreements \u2013 11,037 \u2013 11,037 Short positions in securities 1,505 35 \u2013 1,540 1,505 11,072 \u2013 12,577 Total financial liabilities carried at fair value, excluding derivatives 1,505 16,205 45 17,755 At 31 December 2021 Financial liabilities at fair value through profit or loss Debt securities in issue designated at fair value through profit or loss \u2013 6,504 37 6,541 Trading liabilities: Liabilities in respect of securities sold under repurchase agreements \u2013 14,962 \u2013 14,962 Short positions in securities 1,569 51 \u2013 1,620 1,569 15,013 \u2013 16,582 Total financial liabilities carried at fair value, excluding derivatives 1,569 21,517 37 23,123 The Group\u2019s non-participating investment contracts (see note 33) were all categorised as level 2. Note 49: Financial instruments continued Movements in level 3 portfolio The table below analyses movements in the level 3 financial liabilities portfolio, excluding derivatives. 2022 \u00a3m 2021 \u00a3m At 1 January 37 45 Gains recognised in the income statement within other income (4) (5) Additions 33 4 Redemptions (3) (7) Transfers out of the level 3 portfolio (18) \u2013 At 31 December 45 37 Gains recognised in the income statement, within other income, relating to the change in fair value of those liabilities held at 31 December (4) (4) Valuation methodology for financial liabilities, excluding derivatives Liabilities held at fair value through profit or loss These principally comprise debt securities in issue which are classified as level 2 and their fair value is determined using techniques whose inputs are based on observable market data. The carrying amount of the securities is adjusted to reflect the effect of changes in own credit spreads and the resulting gain or loss is recognised in other comprehensive income. In the year ended 31 December 2022, the own credit adjustment arising from the fair valuation of \u00a35,178 million (2021: \u00a36,541 million) of the Group\u2019s debt securities in issue designated at fair value through profit or loss resulted in a gain of \u00a3519 million (2021: loss of \u00a386 million), before tax, recognised in other comprehensive income. Trading liabilities in respect of securities sold under repurchase agreements The fair value of these liabilities is determined using discounted cash flow techniques. The discount rates are derived from observable repurchase agreement rate curves specific to the type of security sold under the repurchase agreement. (C) Derivatives Valuation hierarchy All of the Group\u2019s derivative assets and liabilities are carried at fair value. At 31 December 2022, such assets totalled \u00a324,753 million (2021: \u00a322,051 million) and liabilities totalled \u00a324,042 million (2021: \u00a318,060 million). The table below analyses these derivative balances by valuation methodology (level 1, 2 or 3, as described on page 303). The fair value measurement approach is recurring in nature. There were no significant transfers between level 1 and level 2 during the year. 2022 2021 Level 1 \u00a3m Level 2 \u00a3m Level 3 \u00a3m Total \u00a3m Level 1 \u00a3m Level 2 \u00a3m Level 3 \u00a3m Total \u00a3m Derivative assets 78 24,122 553 24,753 44 21,114 893 22,051 Derivative liabilities (39) (23,395) (608) (24,042) (62) (17,054) (944) (18,060) Movements in level 3 portfolio The table below analyses movements in level 3 derivative assets and liabilities carried at fair value. 2022 2021 Derivative assets \u00a3m Derivative liabilities \u00a3m Derivative assets \u00a3m Derivative liabilities \u00a3m At 1 January 893 (944) 981 (1,374) Exchange and other adjustments 47 (37) (4) 4 Gains (losses) recognised in the income statement within other income 72 204 (182) 292 Purchases (additions) 48 (46) 214 (328) (Sales) redemptions (21) 38 (116) 462 Transfers out of the level 3 portfolio (486) 177 \u2013 \u2013 At 31 December 553 (608) 893 (944) Gains (losses) recognised in the income statement, within other income, relating to the change in fair value of those assets or liabilities held at 31 December 222 125 (219) 324 Valuation methodology for derivatives Where the Group\u2019s derivative assets and liabilities are not traded on an exchange, they are valued using valuation techniques, including discounted cash flow and options pricing models, as appropriate. The types of derivatives classified as level 2 and the valuation techniques used include: \u2022 Interest rate swaps which are valued using discounted cash flow models; the most significant inputs into those models are interest rate yield curves which are developed from publicly quoted rates \u2022 Foreign exchange derivatives that do not contain options which are priced using rates available from publicly quoted sources \u2022 Credit derivatives which are valued using standard models with observable inputs, except for the items classified as level 3, which are valued using publicly available yield and credit default swap (CDS) curves \u2022 Less complex interest rate and foreign exchange option products which are valued using volatility surfaces developed from publicly available interest rate cap, interest rate swaption and other option volatilities; option volatility skew information is derived from a market standard consensus pricing service. For more complex option products, the Group calibrates its models using observable at-the-money data; where necessary, the Group adjusts for out-of-the-money positions using a market standard consensus pricing service Note 49: Financial instruments continued Complex interest rate and foreign exchange products where inputs to the valuation are significant, material and unobservable are classified as level 3. Where credit protection, usually in the form of credit default swaps, has been purchased or written on asset-backed securities, the security is referred to as a negative basis asset-backed security and the resulting derivative assets or liabilities have been classified as either level 2 or level 3 according to the classification of the underlying asset-backed security. Certain unobservable inputs used to calculate CVA, FVA, and own credit adjustments, are not significant in determining the classification of the derivative and debt instruments. Consequently, these inputs do not form part of the level 3 sensitivities presented. Derivative valuation adjustments Derivative financial instruments which are carried in the balance sheet at fair value are adjusted where appropriate to reflect credit risk, market liquidity and other risks. (i)  Uncollateralised derivative valuation adjustments The following table summarises the movement on this valuation adjustment account during 2021 and 2022: 2022 \u00a3m 2021 \u00a3m At 1 January 456 474 Income statement credit (75) (18) At 31 December 381 456 Represented by: 2022 \u00a3m 2021 \u00a3m Credit Valuation Adjustment 294 306 Debit Valuation Adjustment (55) (26) Funding Valuation Adjustment 142 176 381 456 Credit and Debit Valuation Adjustments (CVA and DVA) are applied to the Group\u2019s over-the-counter derivative exposures with counterparties that are not subject to strong interbank collateral arrangements. These exposures largely relate to the provision of risk management solutions for corporate customers within the Commercial Banking division. A CVA is taken where the Group has a positive future uncollateralised exposure (asset). A DVA is taken where the Group has a negative future uncollateralised exposure (liability). These adjustments reflect interest rates and expectations of counterparty creditworthiness and the Group\u2019s own credit spread respectively. The CVA is sensitive to: \u2022 The current size of the mark-to-market position on the uncollateralised asset \u2022 Expectations of future market volatility of the underlying asset \u2022 Expectations of counterparty creditworthiness Market Credit Default Swap (CDS) spreads are used to develop the probability of default for quoted counterparties. For unquoted counterparties, internal credit ratings and market sector CDS curves and recovery rates are used. The loss given default (LGD) is based on market recovery rates and internal credit assessments. The combination of a one-notch deterioration in the credit rating of derivative counterparties and a ten per cent increase in LGD increases the CVA by \u00a373 million. Current market value is used to estimate the projected exposure for products not supported by the model, which are principally complex interest rate options that are traded in very low volumes. For these, the CVA is calculated on an add-on basis (although no such adjustment was required at 31 December 2022). The DVA is sensitive to: \u2022 The current size of the mark-to-market position on the uncollateralised liability \u2022 Expectations of future market volatility of the underlying liability \u2022 The Group\u2019s own CDS spread A one per cent rise in the CDS spread would lead to an increase in the DVA of \u00a3109 million. The risk exposures that are used for the CVA and DVA calculations are strongly influenced by interest rates. Due to the nature of the Group\u2019s business the CVA/DVA exposures tend to be on average the same way around such that the valuation adjustments fall when interest rates rise. A one per cent rise in interest rates would lead to a \u00a351 million fall in the overall valuation adjustment to \u00a3188 million. The CVA model used by the Group does not assume any correlation between the level of interest rates and default rates. The Group has also recognised a Funding Valuation Adjustment to adjust for the net cost of funding uncollateralised derivative positions. This adjustment is calculated on the expected future exposure discounted at a suitable cost of funds. A ten basis points increase in the cost of funds will increase the funding valuation adjustment by \u00a313 million. (ii)  Market liquidity The Group includes mid to bid-offer valuation adjustments against the expected cost of closing out the net market risk in the Group\u2019s trading positions within a time frame that is consistent with historical trading activity and spreads that the trading desks have accessed historically during the ordinary course of business in normal market conditions. At 31 December 2022, the Group\u2019s derivative trading business held mid to bid-offer valuation adjustments of \u00a361 million (2021: \u00a363 million). Note 49: Financial instruments continued (D)  Sensitivity of level 3 valuations 2022 2021 Effect of reasonably possible alternative assumptions1 Effect of reasonably possible alternative assumptions 1 Valuation techniques Significant unobservable inputs 2 Carrying value \u00a3m Favourable changes \u00a3m Unfavourable changes \u00a3m Carrying value \u00a3m Favourable changes \u00a3m Unfavourable changes \u00a3m Financial assets at fair value through profit or loss Loans and advances to customers Discounted cash flows Interest rate spreads (-50bps/+289bps) 4 7,883 356 (385) 9,793 502 (460) Debt securities Discounted cash flows Credit spreads (+/- 6%) 5 162 9 (9) 191 13 (13) Equity and venture capital investments Market approach Earnings multiple (1.9/15.2) 6 1,907 84 (84) 1,692 191 (191) Underlying asset/ net asset value (incl. property prices)3 n/a 771 81 (88) 892 123 (131) Unlisted equities, debt securities and property partnerships in the life funds Underlying asset/ net asset value (incl. property prices), broker quotes or discounted cash flows 3 n/a 581 2 (33) 745 22 (16) 11,304 13,313 Financial assets at fair value through other comprehensive income Asset-backed securities Lead manager or broker quote/ consensus pricing n/a 59 \u2013 \u2013 70 4 (4) Equity and venture capital investments Underlying asset/ net asset value (incl. property prices)3 n/a 283 15 (15) 235 14 (14) 342 305 Derivative financial assets Interest rate derivatives Option pricing  model Interest rate volatility (17%/105%) 7 553 9 (7) 893 10 (23) Level 3 financial assets carried at fair value 12,199 14,511 Financial liabilities at fair value through profit or loss Securitisation notes and other Discounted cash flows Interest rate spreads (+/\u2013 50bps) 8 45 1 (1) 37 1 (1) Derivative financial liabilities Interest rate derivatives Option pricing model Interest rate volatility (17%/105%) 7 608 \u2013 \u2013 944 \u2013 \u2013 Level 3 financial liabilities carried at fair value 653 981 1  Where the exposure to an unobservable input is managed on a net basis, only the net impact is shown in the table. 2  Ranges are shown where appropriate and represent the highest and lowest inputs used in the level 3 valuations. 3  Underlying asset/net asset values represent fair value. 4  2021: -50bps/213bps. 5  2021: +/-7%. 6  2021: 3.5/14.9. 7  2021: 13%/168%. 8  2021: +/-50bps. Note 49: Financial instruments continued Unobservable inputs Significant unobservable inputs affecting the valuation of debt securities, unlisted equity investments and derivatives are as follows: \u2022 Interest rates and inflation rates are referenced in some derivatives where the payoff that the holder of the derivative receives depends on the behaviour of those underlying references through time \u2022 Credit spreads represent the premium above the benchmark reference instrument required to compensate for lower credit quality; higher spreads lead to a lower fair value \u2022 Volatility parameters represent key attributes of option behaviour; higher volatilities typically denote a wider range of possible outcomes \u2022 Earnings multiples are used to value certain unlisted equity investments. The earnings multiples used are derived from those of listed entities operating in the same sector with adjustments made for factors such as the size of the company and the quality of its earnings. The majority of the Group\u2019s venture capital investments are valued using an estimate of the company\u2019s maintainable earnings before interest, tax, depreciation and amortisation and in accordance with the International Private Equity and Venture Capital Valuation Guidelines. A higher earnings multiple will result in a higher fair value Reasonably possible alternative assumptions Valuation techniques applied to many of the Group\u2019s level 3 instruments often involve the use of two or more inputs whose relationship is interdependent. The calculation of the effect of reasonably possible alternative assumptions included in the table above reflects such relationships. Debt securities Reasonably possible alternative assumptions have been determined in respect of the Group\u2019s structured credit investments by flexing credit spreads. Derivatives Reasonably possible alternative assumptions have been determined in respect of swaptions in the Group\u2019s derivative portfolios which are priced using industry standard option pricing models. Such models require interest rate volatilities which may be unobservable at longer maturities. To derive reasonably possible alternative valuations these volatilities have been flexed within a range of 17 per cent to 105 per cent (2021: 13 per cent to 168 per cent). Unlisted equity, venture capital investments and investments in property partnerships The valuation techniques used for unlisted equity and venture capital investments vary depending on the nature of the investment. Reasonably possible alternative valuations for these investments have been calculated by reference to the approach taken, as appropriate to the business sector and investment circumstances and as such the following inputs have been considered: \u2022 For valuations derived from earnings multiples, consideration is given to the risk attributes, growth prospects and financial gearing of comparable businesses when selecting an appropriate multiple \u2022 The discount rates used in discounted cash flow valuations \u2022 In line with International Private Equity and Venture Capital Guidelines, the values of underlying investments in fund investment portfolios (4)  Financial assets and liabilities carried at amortised cost (A)  Financial assets Valuation hierarchy The table below analyses the fair values of those financial assets of the Group which are carried at amortised cost by valuation methodology (level 1, 2 or 3, as described on page 303). Financial assets carried at amortised cost are mainly classified as level 3 due to significant unobservable inputs used in the valuation models. Where inputs are observable, debt securities are classified as level 1 or 2. Carrying value \u00a3m Fair value \u00a3m Valuation hierarchy Level 1 \u00a3m Level 2 \u00a3m Level 3 \u00a3m At 31 December 2022 Loans and advances to banks 10,632 10,632 \u2013 \u2013 10,632 Loans and advances to customers: Stage 1 380,291 376,056 \u2013 \u2013 376,056 Stage 2 59,356 58,672 \u2013 \u2013 58,672 Stage 3 5,883 5,974 \u2013 \u2013 5,974 Purchased or originated credit-impaired 9,369 9,369 \u2013 \u2013 9,369 454,899 450,071 \u2013 \u2013 450,071 Reverse repurchase agreements 44,865 44,865 \u2013 44,865 \u2013 Debt securities 9,926 9,930 167 9,647 116 Financial assets at amortised cost 520,322 515,498 167 54,512 460,819 Note 49: Financial instruments continued Carrying value \u00a3m Fair value \u00a3m Valuation hierarchy Level 1 \u00a3m Level 2 \u00a3m Level 3 \u00a3m At 31 December 2021 Loans and advances to banks 7,001 6,997 \u2013 \u2013 6,997 Loans and advances to customers: Stage 1 399,121 401,537 \u2013 \u2013 401,537 Stage 2 33,817 34,617 \u2013 \u2013 34,617 Stage 3 4,862 4,851 \u2013 \u2013 4,851 Purchased or originated credit-impaired 10,767 10,767 \u2013 \u2013 10,767 448,567 451,772 \u2013 \u2013 451,772 Reverse repurchase agreements 54,753 54,753 \u2013 54,753 \u2013 Debt securities 6,835 6,876 \u2013 6,739 137 Financial assets at amortised cost 517,156 520,398 \u2013 61,492 458,906 Valuation methodology Loans and advances to banks The carrying value of short-dated loans and advances to banks is assumed to be their fair value. The fair value of other loans and advances to banks is estimated by discounting the anticipated cash flows at a market discount rate adjusted for the credit spread of the obligor or, where not observable, the credit spread of borrowers of similar credit quality. Loans and advances to customers The Group provides loans and advances to commercial, corporate and personal customers at both fixed and variable rates. Due to their short-term nature, the carrying value of variable rate loans and balances relating to lease financing is assumed to be their fair value. To determine the fair value of loans and advances to customers, loans are segregated into portfolios of similar characteristics. A number of techniques are used to estimate the fair value of fixed rate lending; these take account of expected credit losses based on historic trends, prevailing market interest rates and expected future cash flows. For retail exposures, fair value is usually estimated by discounting anticipated cash flows (including interest at contractual rates) at market rates for similar loans offered by the Group and other financial institutions. Certain loans secured on residential properties are made at a fixed rate for a limited period, typically two to five years, after which the loans revert to the relevant variable rate. The fair value of such loans is estimated by reference to market rates for similar loans of maturity equal to the remaining fixed interest rate period. The fair value of commercial loans is estimated by discounting anticipated cash flows at a rate which reflects the effects of interest rate changes, adjusted for changes in credit risk. Reverse repurchase agreements The carrying amount is deemed a reasonable approximation of fair value given the short-term nature of these instruments. Debt securities The fair values of debt securities are determined predominantly from lead manager quotes and, where these are not available, by alternative techniques including reference to credit spreads on similar assets with the same obligor, market standard consensus pricing services, broker quotes and other research data. (B)  Financial liabilities Valuation hierarchy The table below analyses the fair values of those financial liabilities of the Group which are carried at amortised cost by valuation methodology (level 1, 2 or 3, as described on page 303). Carrying value \u00a3m Fair value \u00a3m Valuation hierarchy Level 1 \u00a3m Level 2 \u00a3m Level 3 \u00a3m At 31 December 2022 Deposits from banks 7,266 7,268 \u2013 7,268 \u2013 Customer deposits 475,331 475,147 \u2013 475,147 \u2013 Repurchase agreements at amortised cost 48,596 48,596 \u2013 48,596 \u2013 Debt securities in issue 73,819 71,975 \u2013 71,975 \u2013 Subordinated liabilities 10,730 10,065 \u2013 10,065 \u2013 At 31 December 2021 Deposits from banks 7,647 7,647 \u2013 7,647 \u2013 Customer deposits 476,344 476,506 \u2013 476,506 \u2013 Repurchase agreements at amortised cost 31,125 31,125 \u2013 31,125 \u2013 Debt securities in issue 71,552 74,665 \u2013 74,665 \u2013 Subordinated liabilities 13,108 14,804 \u2013 14,804 \u2013 Note 49: Financial instruments continued Valuation methodology Deposits from banks and customer deposits The fair value of bank and customer deposits repayable on demand is assumed to be equal to their carrying value. The fair value for all other deposits is estimated using discounted cash flows applying either market rates, where applicable, or current rates for deposits of similar remaining maturities. Repurchase agreements The carrying amount is deemed a reasonable approximation of fair value given the short-term nature of these instruments. Debt securities in issue The fair value of short-term debt securities in issue is approximately equal to their carrying value. Fair value for other debt securities in issue is calculated based on quoted market prices where available. Where quoted market prices are not available, fair value is estimated using discounted cash flow techniques at a rate which reflects market rates of interest and the Group\u2019s own credit spread. Subordinated liabilities The fair value of subordinated liabilities is determined by reference to quoted market prices where available or by reference to quoted market prices of similar instruments. Subordinated liabilities are classified as level 2, since the inputs used to determine their fair value are largely observable. (5)  Reclassifications of financial assets There have been no reclassifications of financial assets in 2021 or 2022. ",
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  },
  "fact-864": {
   "value": "Note 50: Transfers of financial assets There were no significant transferred financial assets which were derecognised in their entirety, but with ongoing exposure. Details of transferred financial assets that continue to be recognised in full are as follows. The Group enters into repurchase and securities lending transactions in the normal course of business that do not result in derecognition of the financial assets as substantially all of the risks and rewards, including credit, interest rate, prepayment and other price risks are retained by the Group. In all cases, the transferee has the right to sell or repledge the assets concerned. As set out in note 30, included within financial assets measured at amortised cost are loans transferred under the Group\u2019s securitisation and covered bond programmes. As the Group retains all or a majority of the risks and rewards associated with these loans, including credit, interest rate, prepayment and liquidity risk, they remain on the Group\u2019s balance sheet. Assets transferred into the Group\u2019s securitisation and covered bond programmes are not available to be used by the Group while the assets are within the programmes. However, the Group retains the right to remove loans from the covered bond programmes where they are in excess of the programme\u2019s requirements. In addition, where the Group has retained some of the notes issued by securitisation and covered bond programmes, the Group has the ability to sell or pledge these retained notes. The table below sets out the carrying values of the transferred assets and the associated liabilities. For repurchase and securities lending transactions, the associated liabilities represent the Group\u2019s obligation to repurchase the transferred assets. For securitisation programmes, the associated liabilities represent the external notes in issue (note 30). The liabilities shown in the table below have recourse to the transferred assets. 2022 2021 Carrying value of transferred assets \u00a3m Carrying value of associated liabilities \u00a3m Carrying value of transferred assets \u00a3m Carrying value of associated liabilities \u00a3m Repurchase and securities lending transactions Financial assets at fair value through profit or loss 6,370 1,483 4,345 2,030 Financial assets at fair value through other comprehensive income 8,803 6,990 8,085 6,244 Securitisation programmes Financial assets at amortised cost: Loans and advances to customers1 29,384 2,806 31,406 3,705 1  The carrying value of associated liabilities excludes securitisation notes held by the Group of \u00a322,343 million (31 December 2021: \u00a324,010 million). ",
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   }
  },
  "fact-865": {
   "value": "Note 51: Offsetting of financial assets and liabilities The following information relates to financial assets and liabilities which have been offset in the balance sheet and those which have not been offset but for which the Group has enforceable master netting agreements or collateral arrangements in place with counterparties. Related amounts where  set off in the balance sheet not permitted 1 Potential net amounts if offset of related amounts permitted \u00a3m Gross amounts of assets and liabilities 2 \u00a3m Amount offset in the balance sheet 3 \u00a3m Net amounts presented in the balance sheet \u00a3m Cash collateral received/ pledged \u00a3m Non-cash collateral received/ pledged \u00a3m At 31 December 2022 Financial assets Financial assets at fair value through profit or loss: Excluding reverse repurchase agreements 168,828 \u2013 168,828 \u2013 (1,127) 167,701 Reverse repurchase agreements 32,064 (20,283) 11,781 (87) (11,694) \u2013 200,892 (20,283) 180,609 (87) (12,821) 167,701 Derivative financial instruments 76,437 (51,684) 24,753 (3,951) (15,839) 4,963 Financial assets at amortised cost: Loans and advances to banks 10,632 \u2013 10,632 (2,823) \u2013 7,809 Loans and advances to customers 458,229 (3,330) 454,899 (907) (2,171) 451,821 Reverse repurchase agreements 55,675 (10,810) 44,865 \u2013 (44,865) \u2013 Debt securities 9,926 \u2013 9,926 \u2013 \u2013 9,926 534,462 (14,140) 520,322 (3,730) (47,036) 469,556 Financial assets at fair value through other comprehensive income 23,154 \u2013 23,154 \u2013 (6,202) 16,952 Financial liabilities Deposits from banks 7,266 \u2013 7,266 (2,169) \u2013 5,097 Customer deposits 476,255 (924) 475,331 (1,869) (2,171) 471,291 Repurchase agreements at amortised cost 59,406 (10,810) 48,596 \u2013 (48,596) \u2013 Financial liabilities at fair value through profit or loss: Excluding repurchase agreements 6,718 \u2013 6,718 \u2013 \u2013 6,718 Repurchase agreements 31,320 (20,283) 11,037 \u2013 (11,037) \u2013 38,038 (20,283) 17,755 \u2013 (11,037) 6,718 Derivative financial instruments 78,132 (54,090) 24,042 (3,731) (14,490) 5,821 1  The Group enters into derivatives and repurchase and reverse repurchase agreements with various counterparties which are governed by industry standard master netting agreements. The Group holds and provides cash and securities collateral in respective of derivative transactions covered by these agreements. The right to set off balances under these master netting agreements or to set off cash and securities collateral only arises in the event of non-payment or default and, as a result, these arrangements do not qualify for offsetting under IAS 32. 2  Net of impairment allowances. 3  The amounts offset in the balance sheet as shown above mainly represent derivatives and repurchase agreements with central clearing houses which meet the criteria for offsetting under IAS 32. The effects of over-collateralisation have not been taken into account in the above table. Note 51: Offsetting of financial assets and liabilities continued Related amounts where  set off in the balance sheet not permitted1 Potential net amounts if offset of related amounts permitted \u00a3m Gross amounts of assets and liabilities 2 \u00a3m Amount offset in the balance sheet 3 \u00a3m Net amounts presented in the balance sheet \u00a3m Cash collateral received/ pledged \u00a3m Non-cash collateral received/ pledged \u00a3m At 31 December 2021 Financial assets Financial assets at fair value through profit or loss: Excluding reverse repurchase agreements 191,850 \u2013 191,850 \u2013 (2,456) 189,394 Reverse repurchase agreements 33,834 (18,913) 14,921 (20) (14,901) \u2013 225,684 (18,913) 206,771 (20) (17,357) 189,394 Derivative financial instruments 50,205 (28,154) 22,051 (5,658) (12,645) 3,748 Financial assets at amortised cost: Loans and advances to banks 7,001 \u2013 7,001 (1,731) \u2013 5,270 Loans and advances to customers 449,732 (1,165) 448,567 (798) (1,506) 446,263 Reverse repurchase agreements 64,474 (9,721) 54,753 \u2013 (54,753) \u2013 Debt securities 6,835 \u2013 6,835 \u2013 (267) 6,568 528,042 (10,886) 517,156 (2,529) (56,526) 458,101 Financial assets at fair value through other comprehensive income 28,137 \u2013 28,137 \u2013 (4,981) 23,156 Financial liabilities Deposits from banks 7,647 \u2013 7,647 (5,678) \u2013 1,969 Customer deposits 477,509 (1,165) 476,344 \u2013 (1,506) 474,838 Repurchase agreements at amortised cost 40,846 (9,721) 31,125 \u2013 (31,125) \u2013 Financial liabilities at fair value through profit or loss: Excluding repurchase agreements 8,161 \u2013 8,161 \u2013 \u2013 8,161 Repurchase agreements 33,875 (18,913) 14,962 \u2013 (14,962) \u2013 42,036 (18,913) 23,123 \u2013 (14,962) 8,161 Derivative financial instruments 46,214 (28,154) 18,060 (2,529) (15,063) 468 1  The Group enters into derivatives and repurchase and reverse repurchase agreements with various counterparties which are governed by industry standard master netting agreements. The Group holds and provides cash and securities collateral in respective of derivative transactions covered by these agreements. The right to set off balances under these master netting agreements or to set off cash and securities collateral only arises in the event of non-payment or default and, as a result, these arrangements do not qualify for offsetting under IAS 32. 2  Net of impairment allowances. 3  The amounts offset in the balance sheet as shown above mainly represent derivatives and repurchase agreements with central clearing houses which meet the criteria for offsetting under IAS 32. The effects of over-collateralisation have not been taken into account in the above table. ",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfOffsettingOfFinancialAssetsAndFinancialLiabilitiesExplanatory",
    "language": "en",
    "entity": "scheme:549300PPXHEU2JF0AM85",
    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
   }
  },
  "fact-866": {
   "value": "Note 52: Financial risk management As a bancassurer, financial instruments are fundamental to the Group\u2019s activities and, as a consequence, the risks associated with financial instruments represent a significant component of the risks faced by the Group. The primary risks affecting the Group through its use of financial instruments are: market risk, which includes interest rate risk and foreign exchange risk; credit risk; liquidity risk; capital risk; and insurance risk. The following disclosures provide quantitative and qualitative information about the Group\u2019s exposure to these risks. Market risk (A)  Interest rate risk Interest rate risk arises from the different repricing characteristics of the Group\u2019s assets and liabilities. Liabilities are generally either insensitive to interest rate movements, for example interest free or very low interest customer deposits, or are sensitive to interest rate changes but bear rates which may be varied at the Group\u2019s discretion and that for competitive reasons generally reflect changes in the UK Bank Rate, set by the Bank of England. The rates on the remaining liabilities are contractually fixed for their term to maturity. Many banking assets are sensitive to interest rate movements; there is a large volume of managed rate assets such as variable rate mortgages which may be considered as a natural offset to the interest rate risk arising from the managed rate liabilities. However, a significant proportion of the Group\u2019s lending assets, for example many personal loans and mortgages, bear interest rates which are contractually fixed. Interest rate sensitivity analysis relating to the Group\u2019s Banking activities is set out in the tables marked audited on page 188. The Group\u2019s risk management policy is to optimise reward while managing its market risk exposures within the risk appetite defined by the Board. The largest residual risk exposure arises from balances that are deemed to be insensitive to changes in market rates (including current accounts, a portion of variable rate deposits and investable equity), and is managed through the Group\u2019s structural hedge. The structural hedge consists of longer-term fixed rate assets or interest rate swaps and the amount and duration of the hedging activity is reviewed regularly by the Group Asset and Liability Committee. The Group establishes hedge accounting relationships for interest rate risk components using cash flow hedges and fair value hedges. The Group is exposed to cash flow interest rate risk on its variable rate loans and deposits together with its floating rate subordinated debt. The derivatives used to manage the structural hedge may be designated into cash flow hedges to manage income statement volatility. The economic items related to the structural hedge, for example current accounts, are not eligible hedged items under IAS 39 for inclusion into accounting hedge relationships. The Group is exposed to fair value interest rate risk on its fixed rate customer loans, its fixed rate customer deposits and the majority of its subordinated debt, and to cash flow interest rate risk on its variable rate loans and deposits together with its floating rate subordinated debt. The Group applies netting between similar risks before applying hedge accounting. Hedge ineffectiveness arises during the management of interest rate risk due to residual unhedged risk. Sources of ineffectiveness, which the Group may decide to not fully mitigate, can include basis differences, timing differences and notional amount differences. The effectiveness of accounting hedge relationships is assessed between the hedging derivatives and the documented hedged item, which can differ to the underlying economically hedged item. At 31 December 2022 the aggregate notional principal of interest rate and other swaps (predominantly interest rate) designated as fair value hedges was \u00a3152,662 million (2021: \u00a3172,695 million) with a net fair value liability of \u00a3493 million (2021: liability of \u00a3262 million) (note 17). The gains on the hedging instruments were \u00a31,284 million (2021: gains of \u00a3944 million). The losses on the hedged items attributable to the hedged risk were \u00a31,325 million (2021: losses of \u00a3767 million). The gains and losses relating to the fair value hedges are recorded in net trading income. The notional principal of the interest rate swaps designated as cash flow hedges at 31 December 2022 was \u00a3249,703 million (2021: \u00a3109,093 million) with a net fair value liability of \u00a32 million (2021: asset of \u00a35 million) (note 17). In 2022, ineffectiveness recognised in the income statement that arises from cash flow hedges was a loss of \u00a310 million (2021: loss of \u00a369 million). Interest rate benchmark reform The Group continues to manage the transition to alternative benchmark rates under its Group-wide IBOR transition programme. The Group has transitioned substantially all of its non-USD LIBOR products and continues to work with customers to transition a small number of remaining contracts that either have yet to transition or have defaulted to the relevant synthetic LIBOR benchmark in the interim. USD LIBOR transition is expected to complete by 30 June 2023. While the volume of outstanding transactions impacted by IBOR benchmark reforms continues to reduce, the Group does not expect material changes to its risk management approach. The material risks identified include the following: Conduct and litigation risk. The Group may be exposed to conduct and litigation charges as a direct result of inappropriate or negligent actions taken during IBOR transition resulting in detriment to the customer. The Group is working closely with its counterparties to avoid this outcome. Market risk. IBOR transition is expected to lead to changes in the Group\u2019s market risk profile which will continue to be monitored and managed within the appropriate risk appetites. The key change is expected to be on the management of basis risk profile during the period when alternative benchmark rates are referenced in contracts up to the cessation of the in-scope IBOR index. Credit risk. Clients may wish to renegotiate the terms of existing transactions as a consequence of IBOR reform. This could lead to a change in the credit risk exposure of the client depending on the outcome of the negotiations. The Group will continue to monitor and manage changes within the appropriate risk appetites. Accounting risk. If IBOR transition is finalised in a manner that does not permit the application of the reliefs introduced in the IFRS Phase 2 amendments, the financial instrument may be required to be derecognised and a new instrument recognised. In addition, where instruments used in hedge accounting relationships are transitioned either at different times or to different benchmarks, this may result in additional volatility to the income statement either through hedge accounting ineffectiveness or failure of the hedge accounting relationships. Operational risk. Additional operational risks may arise due to the IBOR transition programme impacting all businesses and functions within the Group and leading to the implementation of changes to technology, operations, client communication and the valuation of in-scope financial instruments. Note 52: Financial risk management continued The majority of the Group\u2019s USD LIBOR exposures are expected to transition through industry-led transition programmes managed by the London Clearing House and Futures exchanges, or through the International Swaps and Derivatives Association (ISDA) protocol. Other contracts (primarily loans) maturing after June 2023 are being managed through the Group\u2019s existing processes, either transitioning to an alternative benchmark rate or allowed to fallback under existing contract protocols or through US legislation. At 31 December 2022, the Group had the following significant exposures impacted by interest rate benchmark reform which had yet to transition to the replacement benchmark rate: At 31 December 2022 At 31 December 2021 GBP LIBOR \u00a3m USD LIBOR \u00a3m Other 1 \u00a3m Total \u00a3m GBP LIBOR \u00a3m USD LIBOR \u00a3m Other \u00a3m Total \u00a3m Non-derivative financial assets Financial assets at fair value through profit or loss 106 36 \u2013 142 1,753 268 \u2013 2,021 Loans and advances to banks \u2013 67 \u2013 67 \u2013 4,106 \u2013 4,106 Loans and advances to customers 762 1,077 43 1,882 3,542 5,975 \u2013 9,517 Debt securities \u2013 \u2013 \u2013 \u2013 126 \u2013 \u2013 126 Financial assets at amortised cost 762 1,144 43 1,949 3,668 10,081 \u2013 13,749 Financial assets at fair value through other comprehensive income \u2013 \u2013 \u2013 \u2013 16 \u2013 \u2013 16 868 1,180 43 2,091 5,437 10,349 \u2013 15,786 Non-derivative financial liabilities Customer deposits \u2013 84 \u2013 84 \u2013 74 \u2013 74 Financial liabilities at fair value through profit or loss \u2013 100 \u2013 100 \u2013 100 3 103 Debt securities in issue \u2013 52 \u2013 52 \u2013 54 26 80 \u2013 236 \u2013 236 \u2013 228 29 257 Derivative notional/contract amount Interest rate 840 193,228 1,223 195,291 12,734 286,921 \u2013 299,655 Cross currency \u2013 29,452 1,124 30,576 \u2013 42,229 \u2013 42,229 840 222,680 2,347 225,867 12,734 329,150 \u2013 341,884 1  Balances within Other include Canadian Dollar Offered Rate for which a cessation announcement, effective after 28 June 2024, was published on 16 May 2022. As at 31 December 2022, the IBOR balances in the above table relate to contracts that have not transitioned to an alternative benchmark rate. In the case of Sterling LIBOR, these are contracts that have cash flows determined on a synthetic LIBOR basis. Of the \u00a3222,680 million of USD derivative notional balances as at 31 December 2022, \u00a355,973 million relate to contracts with their final LIBOR fixing prior to LIBOR cessation and \u00a3129,442 million relate to exchange traded futures or contracts settled through the London Clearing House. Of the remaining \u00a337,265 million, \u00a336,872 million are fallback-eligible. In respect of the Group\u2019s hedge accounting relationships, for the purposes of determining whether: \u2022 A forecast transaction is highly probable \u2022 Hedged future cash flows are expected to occur \u2022 A hedge is expected to be highly effective in achieving offsetting changes in fair value or cash flows attributable to the hedged risk \u2022 An accounting hedging relationship should be discontinued because of a failure of the retrospective effectiveness test the Group considers the interest rate benchmark, on which the hedged risk or the cash flows of the hedged item or hedging instrument are based is not altered by uncertainties resulting from interest rate benchmark reform. By 31 December 2022, the Group had transitioned its Sterling, Euro, Japanese Yen and Swiss Franc LIBOR hedge accounting models to risk-free rates. The Group plans to complete the transition of its USD LIBOR hedge accounting models ahead of the 30 June 2023 cessation date. The Group\u2019s most significant remaining IBOR hedge accounting relationship in relation to benchmark reform is USD LIBOR, of which: \u2022 The notional amount of the hedged items that the Group has designated into cash flow hedge relationships that is directly affected by the interest rate benchmark reform is \u00a31,771 million (2021: \u00a33,258 million). These are principally loans and advances to customers in Commercial Banking. \u2022 The interest rate benchmark reforms also affect assets and liabilities designated in fair value hedges. At 31 December 2022, these assets had a notional value of \u00a31,864 million and liabilities had a notional value of \u00a317,540 million. At 31 December 2021, such assets had a notional value of \u00a33,370 million and liabilities had a notional value of \u00a322,437 million. These fair value hedges principally relate to debt securities in issue. \u2022 At 31 December 2022, the notional amount of the hedging instruments in hedging relationships to which these amendments apply was \u00a319,755 million, of which \u00a317,926 million relates to fair value hedges and \u00a31,829 million relates to cash flow hedges. At 31 December 2021, the notional amount of the hedging instruments in hedging relationships to which these amendments applied was \u00a327,873 million, of which \u00a324,615 million related to fair value hedges and \u00a33,258 million related to cash flow hedges. Note 52: Financial risk management continued (B)  Foreign exchange risk The corporate and retail businesses incur foreign exchange risk in the course of providing services to their customers. All non-structural foreign exchange exposures in the non-trading book are managed centrally within allocated exposure limits. Trading book exposures in the authorised trading centres are allocated exposure limits. The limits are monitored daily by the local centres and reported to the market and liquidity risk function in London. Associated VaR and the closing, average, maximum and minimum are disclosed in the tables marked audited on page 190. The Group manages foreign currency accounting exposure via cash flow hedge accounting, utilising currency swaps and forward foreign exchange trades. Risk arises from the Group\u2019s investments in its overseas operations. The Group\u2019s structural foreign currency exposure is represented by the net asset value of the foreign currency equity and subordinated debt investments in its subsidiaries and branches. Gains or losses on structural foreign currency exposures are taken to reserves. The Group ceased all hedge accounting of the currency translation risk of the net investment in foreign operations in 2018. The Group\u2019s main overseas operations are in the Americas and Europe. Details of the Group\u2019s structural foreign currency exposures are as follows: 2022 2021 Foreign currency of Group operations Euro \u00a3m US Dollar \u00a3m Other non-Sterling \u00a3m Euro \u00a3m US Dollar \u00a3m Other non-Sterling \u00a3m Exposure 1,843 209 5 115 134 7 Credit risk The Group\u2019s credit risk exposure arises in respect of the instruments below and predominantly in the United Kingdom. Credit risk appetite is set at Board level and is described and reported through a suite of metrics devised from a combination of accounting and credit portfolio performance measures, which include the use of various credit risk rating systems as inputs and assess credit risk at a counterparty level using three components: (i) the probability of default by the counterparty on its contractual obligations; (ii) the current exposures to the counterparty and their likely future development, from which the Group derives the exposure at default; and (iii) the likely loss ratio on the defaulted obligations, the loss given default. The Group uses a range of approaches to mitigate credit risk, including internal control policies, obtaining collateral, using master netting agreements and other credit risk transfers, such as asset sales and credit derivatives based transactions. (A)  Maximum credit exposure The maximum credit risk exposure of the Group in the event of other parties failing to perform their obligations is detailed below. No account is taken of any collateral held and the maximum exposure to loss, which includes amounts held to cover unit-linked and With Profits Funds liabilities, is considered to be the balance sheet carrying amount or, for non-derivative off-balance sheet transactions and financial guarantees, their contractual nominal amounts. 2022 2021 Maximum exposure \u00a3m Offset 1 \u00a3m Net exposure \u00a3m Maximum exposure \u00a3m Offset1 \u00a3m Net exposure \u00a3m Financial assets at fair value through profit or loss 2,3: Loans and advances 24,872 \u2013 24,872 29,538 \u2013 29,538 Debt securities, treasury and other bills 38,109 \u2013 38,109 47,237 \u2013 47,237 Contracts held with reinsurers 10,906 \u2013 10,906 12,371 \u2013 12,371 73,887 \u2013 73,887 89,146 \u2013 89,146 Derivative financial instruments 24,753 (12,330) 12,423 22,051 (11,600) 10,451 Financial assets at amortised cost, net4 : Loans and advances to banks, net4 10,632 \u2013 10,632 7,001 \u2013 7,001 Loans and advances to customers, net4 454,899 (2,171) 452,728 448,567 (1,506) 447,061 Reverse repurchase agreements, net4 44,865 \u2013 44,865 54,753 \u2013 54,753 Debt securities, net 4 9,926 \u2013 9,926 6,835 \u2013 6,835 520,322 (2,171) 518,151 517,156 (1,506) 515,650 Financial assets at fair value through other comprehensive income2 22,871 \u2013 22,871 27,902 \u2013 27,902 Reinsurance assets 616 \u2013 616 759 \u2013 759 Off-balance sheet items: Acceptances and endorsements 58 \u2013 58 191 \u2013 191 Other items serving as direct credit substitutes 781 \u2013 781 510 \u2013 510 Performance bonds, including letters of credit, and other transaction-related contingencies 2,147 \u2013 2,147 2,043 \u2013 2,043 Irrevocable commitments and guarantees 74,692 \u2013 74,692 71,158 \u2013 71,158 77,678 \u2013 77,678 73,902 \u2013 73,902 720,127 (14,501) 705,626 730,916 (13,106) 717,810 1  Offset items comprise deposit amounts available for offset and amounts available for offset under master netting arrangements that do not meet the criteria under IAS 32 to enable loans and advances and derivative assets respectively to be presented net of these balances in the financial statements. 2  Excluding equity shares. 3  Includes assets within the Group\u2019s unit-linked funds for which credit risk is borne by the policyholders and assets within the Group\u2019s With-Profits Funds for which credit risk is largely borne by the policyholders. Consequently, the Group has no significant exposure to credit risk for such assets which back related contract liabilities. 4  Amounts shown net of related impairment allowances. Note 52: Financial risk management continued (B)  Concentrations of exposure The Group\u2019s management of concentration risk includes portfolio controls on certain industries, sectors and products to reflect risk appetite as well as individual, customer and bank limit risk tolerances. Credit policies and appetite statements are aligned to the Group\u2019s risk appetite and restrict exposure to higher risk countries and potentially vulnerable sectors and asset classes. Exposures are monitored to prevent both an excessive concentration of risk and single name concentrations. The Group\u2019s largest credit limits are regularly monitored by the Board Risk Committee and reported in accordance with regulatory requirements. As part of its credit risk policy, the Group considers sustainability risk (which incorporates Environmental (including climate), Social and Governance) in the assessment of Commercial Banking facilities. At 31 December 2022 the most significant concentrations of exposure were in mortgages (comprising 71 per cent of total loans and advances to customers) and to financial, business and other services (comprising 8 per cent of the total). 2022 \u00a3m 2021 \u00a3m Agriculture, forestry and fishing 7,447 7,729 Energy and water supply 2,552 1,978 Manufacturing 3,619 4,110 Construction 4,066 4,440 Transport, distribution and hotels 13,170 13,463 Postal and telecommunications 2,526 2,109 Property companies 21,499 23,923 Financial, business and other services 37,666 33,533 Personal: Mortgages 1 323,923 319,655 Other 26,154 24,604 Lease financing 766 982 Hire purchase 16,029 15,861 Total loans and advances to customers before allowance for impairment losses 459,417 452,387 Allowance for impairment losses (note 18) (4,518) (3,820) Total loans and advances to customers 454,899 448,567 1  Includes both UK and overseas mortgage balances. The Group\u2019s operations are predominantly UK-based and as a result an analysis of credit risk exposures by geographical region is not provided. (C)  Credit quality of assets Loans and advances The analysis of lending has been prepared based on the division in which the asset is held; with the business segment in which the exposure is recorded reflected in the ratings system applied. The internal credit ratings systems used by the Group differ between Retail and Commercial, reflecting the characteristics of these exposures and the way that they are managed internally; these credit ratings are set out below. All probabilities of default (PDs) include forward-looking information and are based on 12-month values, with the exception of credit-impaired. Retail Commercial Quality classification IFRS 9 PD range Quality classification IFRS 9 PD range RMS 1\u20133 0.00\u20130.80% CMS 1\u20135 0.000\u20130.100% RMS 4\u20136 0.81\u20134.50% CMS 6\u201310 0.101\u20130.500% RMS 7\u20139 4.51\u201314.00% CMS 11\u201314 0.501\u20133.000% RMS 10 14.01\u201320.00% CMS 15\u201318 3.001\u201320.000% RMS 11\u201313 20.01\u201399.99% CMS 19 20.001\u201399.999% RMS 14 100.00% CMS 20\u201323 100.000% Stage 3 assets include balances of \u00a3727 million (2021: \u00a3650 million) (with outstanding amounts due of \u00a31,360 million (2021: \u00a31,279 million)) which have been subject to a partial write-off and where the Group continues to enforce recovery action. Stage 2 and Stage 3 assets with a carrying amount of \u00a3126 million (2021: \u00a31,546 million) were modified during the year. No material gain or loss was recognised by the Group. As at 31 December 2022 assets that had been previously modified while classified as Stage 2 or Stage 3 and were classified as Stage 1 amounted to \u00a35,279 million (2021: \u00a36,658 million). Note 52: Financial risk management continued Drawn exposures Expected credit loss allowance Gross drawn exposures and expected credit loss allowance Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m At 31 December 2022 Loans and advances to banks CMS 1\u20135 1,223 \u2013 \u2013 \u2013 1,223 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 6\u201310 9,366 \u2013 \u2013 \u2013 9,366 11 \u2013 \u2013 \u2013 11 CMS 11\u201314 28 27 \u2013 \u2013 55 \u2013 2 \u2013 \u2013 2 CMS 15\u201318 3 \u2013 \u2013 \u2013 3 2 \u2013 \u2013 \u2013 2 CMS 19 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 20\u201323 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 10,620 27 \u2013 \u2013 10,647 13 2 \u2013 \u2013 15 Loans and advances to customers Retail \u2013 UK mortgages RMS 1\u20133 250,937 24,844 \u2013 \u2013 275,781 81 180 \u2013 \u2013 261 RMS 4\u20136 6,557 11,388 \u2013 \u2013 17,945 10 140 \u2013 \u2013 150 RMS 7\u20139 23 2,443 \u2013 \u2013 2,466 \u2013 72 \u2013 \u2013 72 RMS 10 \u2013 734 \u2013 \u2013 734 \u2013 24 \u2013 \u2013 24 RMS 11\u201313 \u2013 2,374 \u2013 \u2013 2,374 \u2013 136 \u2013 \u2013 136 RMS 14 \u2013 \u2013 3,416 9,622 13,038 \u2013 \u2013 311 253 564 257,517 41,783 3,416 9,622 312,338 91 552 311 253 1,207 Retail \u2013 credit cards RMS 1\u20133 3,587 5 \u2013 \u2013 3,592 7 \u2013 \u2013 \u2013 7 RMS 4\u20136 6,497 1,441 \u2013 \u2013 7,938 66 70 \u2013 \u2013 136 RMS 7\u20139 1,332 1,246 \u2013 \u2013 2,578 47 167 \u2013 \u2013 214 RMS 10 \u2013 227 \u2013 \u2013 227 \u2013 52 \u2013 \u2013 52 RMS 11\u201313 \u2013 368 \u2013 \u2013 368 \u2013 144 \u2013 \u2013 144 RMS 14 \u2013 \u2013 289 \u2013 289 \u2013 \u2013 113 \u2013 113 11,416 3,287 289 \u2013 14,992 120 433 113 \u2013 666 Retail \u2013 loans and overdrafts RMS 1\u20133 659 1 \u2013 \u2013 660 2 \u2013 \u2013 \u2013 2 RMS 4\u20136 5,902 451 \u2013 \u2013 6,353 90 24 \u2013 \u2013 114 RMS 7\u20139 1,724 657 \u2013 \u2013 2,381 69 83 \u2013 \u2013 152 RMS 10 53 199 \u2013 \u2013 252 5 45 \u2013 \u2013 50 RMS 11\u201313 19 405 \u2013 \u2013 424 3 163 \u2013 \u2013 166 RMS 14 \u2013 \u2013 247 \u2013 247 \u2013 \u2013 126 \u2013 126 8,357 1,713 247 \u2013 10,317 169 315 126 \u2013 610 Retail \u2013 UK Motor Finance RMS 1\u20133 8,969 743 \u2013 \u2013 9,712 66 9 \u2013 \u2013 75 RMS 4\u20136 2,778 930 \u2013 \u2013 3,708 25 20 \u2013 \u2013 45 RMS 7\u20139 425 325 \u2013 \u2013 750 2 13 \u2013 \u2013 15 RMS 10 \u2013 99 \u2013 \u2013 99 \u2013 8 \u2013 \u2013 8 RMS 11\u201313 2 148 \u2013 \u2013 150 \u2013 26 \u2013 \u2013 26 RMS 14 \u2013 \u2013 154 \u2013 154 \u2013 \u2013 81 \u2013 81 12,174 2,245 154 \u2013 14,573 93 76 81 \u2013 250 Retail \u2013 other RMS 1\u20133 12,588 328 \u2013 \u2013 12,916 9 4 \u2013 \u2013 13 RMS 4\u20136 1,311 213 \u2013 \u2013 1,524 4 11 \u2013 \u2013 15 RMS 7\u20139 \u2013 90 \u2013 \u2013 90 \u2013 3 \u2013 \u2013 3 RMS 10 \u2013 5 \u2013 \u2013 5 \u2013 \u2013 \u2013 \u2013 \u2013 RMS 11\u201313 91 7 \u2013 \u2013 98 \u2013 \u2013 \u2013 \u2013 \u2013 RMS 14 \u2013 \u2013 157 \u2013 157 \u2013 \u2013 52 \u2013 52 13,990 643 157 \u2013 14,790 13 18 52 \u2013 83 Total Retail 303,454 49,671 4,263 9,622 367,010 486 1,394 683 253 2,816 Notes to the consolidated financial statements continued for the year ended 31 December Note 52: Financial risk management continued Gross drawn exposures and expected credit loss allowance continued Drawn exposures Expected credit loss allowance Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m At 31 December 2022 Commercial Banking CMS 1\u20135 13,573 33 \u2013 \u2013 13,606 2 \u2013 \u2013 \u2013 2 CMS 6\u201310 32,070 512 \u2013 \u2013 32,582 37 3 \u2013 \u2013 40 CMS 11\u201314 31,591 5,627 \u2013 \u2013 37,218 128 93 \u2013 \u2013 221 CMS 15\u201318 3,275 4,508 \u2013 \u2013 7,783 47 244 \u2013 \u2013 291 CMS 19 \u2013 813 \u2013 \u2013 813 \u2013 74 \u2013 \u2013 74 CMS 20\u201323 \u2013 \u2013 3,371 \u2013 3,371 \u2013 \u2013 1,070 \u2013 1,070 80,509 11,493 3,371 \u2013 95,373 214 414 1,070 \u2013 1,698 Other 1 (2,972) \u2013 6 \u2013 (2,966) \u2013 \u2013 4 \u2013 4 Total loans and advances to customers 380,991 61,164 7,640 9,622 459,417 700 1,808 1,757 253 4,518 In respect of: Retail 303,454 49,671 4,263 9,622 367,010 486 1,394 683 253 2,816 Commercial Banking 80,509 11,493 3,371 \u2013 95,373 214 414 1,070 \u2013 1,698 Other1 (2,972) \u2013 6 \u2013 (2,966) \u2013 \u2013 4 \u2013 4 Total loans and advances to customers 380,991 61,164 7,640 9,622 459,417 700 1,808 1,757 253 4,518 1  Drawn exposures include centralised fair value hedge accounting adjustments. Reverse repurchase agreements Banks CMS 1\u20135 3,292 \u2013 \u2013 \u2013 3,292 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 6\u201310 494 \u2013 \u2013 \u2013 494 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 11\u201314 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 15\u201318 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 19 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 20\u201323 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 3,786 \u2013 \u2013 \u2013 3,786 \u2013 \u2013 \u2013 \u2013 \u2013 Customers CMS 1\u20135 9,094 \u2013 \u2013 \u2013 9,094 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 6\u201310 31,985 \u2013 \u2013 \u2013 31,985 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 11\u201314 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 15\u201318 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 19 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 20\u201323 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 41,079 \u2013 \u2013 \u2013 41,079 \u2013 \u2013 \u2013 \u2013 \u2013 Total reverse repurchase agreements 44,865 \u2013 \u2013 \u2013 44,865 \u2013 \u2013 \u2013 \u2013 \u2013 Note 52: Financial risk management continued Undrawn exposures Expected credit loss allowance Gross undrawn exposures and expected credit loss allowance Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m At 31 December 2022 Retail \u2013 UK mortgages RMS 1\u20133 16,003 159 \u2013 \u2013 16,162 \u2013 \u2013 \u2013 \u2013 \u2013 RMS 4\u20136 83 62 \u2013 \u2013 145 1 \u2013 \u2013 \u2013 1 RMS 7\u20139 \u2013 25 \u2013 \u2013 25 \u2013 \u2013 \u2013 \u2013 \u2013 RMS 10 \u2013 7 \u2013 \u2013 7 \u2013 \u2013 \u2013 \u2013 \u2013 RMS 11\u201313 \u2013 21 \u2013 \u2013 21 \u2013 1 \u2013 \u2013 1 RMS 14 \u2013 \u2013 17 67 84 \u2013 \u2013 \u2013 \u2013 \u2013 16,086 274 17 67 16,444 1 1 \u2013 \u2013 2 Retail \u2013 credit cards RMS 1\u20133 39,384 30 \u2013 \u2013 39,414 16 \u2013 \u2013 \u2013 16 RMS 4\u20136 14,355 2,975 \u2013 \u2013 17,330 32 28 \u2013 \u2013 60 RMS 7\u20139 580 422 \u2013 \u2013 1,002 5 8 \u2013 \u2013 13 RMS 10 \u2013 46 \u2013 \u2013 46 \u2013 2 \u2013 \u2013 2 RMS 11\u201313 \u2013 76 \u2013 \u2013 76 \u2013 6 \u2013 \u2013 6 RMS 14 \u2013 \u2013 45 \u2013 45 \u2013 \u2013 \u2013 \u2013 \u2013 54,319 3,549 45 \u2013 57,913 53 44 \u2013 \u2013 97 Retail \u2013 loans and overdrafts RMS 1\u20133 4,174 2 \u2013 \u2013 4,176 4 \u2013 \u2013 \u2013 4 RMS 4\u20136 1,618 386 \u2013 \u2013 2,004 6 12 \u2013 \u2013 18 RMS 7\u20139 253 159 \u2013 \u2013 412 6 18 \u2013 \u2013 24 RMS 10 6 36 \u2013 \u2013 42 \u2013 7 \u2013 \u2013 7 RMS 11\u201313 \u2013 61 \u2013 \u2013 61 \u2013 15 \u2013 \u2013 15 RMS 14 \u2013 \u2013 17 \u2013 17 \u2013 \u2013 \u2013 \u2013 \u2013 6,051 644 17 \u2013 6,712 16 52 \u2013 \u2013 68 Retail \u2013 UK Motor Finance RMS 1\u20133 318 \u2013 \u2013 \u2013 318 \u2013 \u2013 \u2013 \u2013 \u2013 RMS 4\u20136 1,259 \u2013 \u2013 \u2013 1,259 2 \u2013 \u2013 \u2013 2 RMS 7\u20139 347 1 \u2013 \u2013 348 \u2013 \u2013 \u2013 \u2013 \u2013 RMS 10 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 RMS 11\u201313 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 RMS 14 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 1,924 1 \u2013 \u2013 1,925 2 \u2013 \u2013 \u2013 2 Retail \u2013 other RMS 1\u20133 702 \u2013 \u2013 \u2013 702 \u2013 \u2013 \u2013 \u2013 \u2013 RMS 4\u20136 198 \u2013 \u2013 \u2013 198 3 \u2013 \u2013 \u2013 3 RMS 7\u20139 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 RMS 10 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 RMS 11\u201313 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 RMS 14 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 900 \u2013 \u2013 \u2013 900 3 \u2013 \u2013 \u2013 3 Total Retail 79,280 4,468 79 67 83,894 75 97 \u2013 \u2013 172 Note 52: Financial risk management continued Gross undrawn exposures and expected credit loss allowance continued Undrawn exposures Expected credit loss allowance Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m At 31 December 2022 Commercial Banking CMS 1\u20135 17,047 \u2013 \u2013 \u2013 17,047 2 \u2013 \u2013 \u2013 2 CMS 6\u201310 29,141 135 \u2013 \u2013 29,276 21 2 \u2013 \u2013 23 CMS 11\u201314 9,808 1,647 \u2013 \u2013 11,455 28 33 \u2013 \u2013 61 CMS 15\u201318 779 800 \u2013 \u2013 1,579 8 43 \u2013 \u2013 51 CMS 19 \u2013 85 \u2013 \u2013 85 \u2013 10 \u2013 \u2013 10 CMS 20\u201323 \u2013 \u2013 48 \u2013 48 \u2013 \u2013 4 \u2013 4 56,775 2,667 48 \u2013 59,490 59 88 4 \u2013 151 Other CMS 1\u20135 121 \u2013 \u2013 \u2013 121 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 6\u201310 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 11\u201314 279 \u2013 \u2013 \u2013 279 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 15\u201318 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 19 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 20\u201323 \u2013 \u2013 11 \u2013 11 \u2013 \u2013 \u2013 \u2013 \u2013 400 \u2013 11 \u2013 411 \u2013 \u2013 \u2013 \u2013 \u2013 Total 136,455 7,135 138 67 143,795 134 185 4 \u2013 323 In respect of: Retail 79,280 4,468 79 67 83,894 75 97 \u2013 \u2013 172 Commercial Banking 56,775 2,667 48 \u2013 59,490 59 88 4 \u2013 151 Other 400 \u2013 11 \u2013 411 \u2013 \u2013 \u2013 \u2013 \u2013 Total 136,455 7,135 138 67 143,795 134 185 4 \u2013 323 Note 52: Financial risk management continued Drawn exposures Expected credit loss allowance Gross drawn exposures and expected credit loss allowance Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m At 31 December 2021 Loans and advances to banks CMS 1\u20135 5,161 \u2013 \u2013 \u2013 5,161 1 \u2013 \u2013 \u2013 1 CMS 6\u201310 1,780 \u2013 \u2013 \u2013 1,780 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 11\u201314 61 \u2013 \u2013 \u2013 61 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 15\u201318 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 19 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 20\u201323 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 7,002 \u2013 \u2013 \u2013 7,002 1 \u2013 \u2013 \u2013 1 Loans and advances to customers Retail \u2013 UK mortgages RMS 1\u20133 270,649 9,785 \u2013 \u2013 280,434 48 146 \u2013 \u2013 194 RMS 4\u20136 2,971 8,288 \u2013 \u2013 11,259 \u2013 104 \u2013 \u2013 104 RMS 7\u20139 9 2,258 \u2013 \u2013 2,267 \u2013 64 \u2013 \u2013 64 RMS 10 \u2013 355 \u2013 \u2013 355 \u2013 15 \u2013 \u2013 15 RMS 11\u201313 \u2013 1,112 \u2013 \u2013 1,112 \u2013 65 \u2013 \u2013 65 RMS 14 \u2013 \u2013 1,940 10,977 12,917 \u2013 \u2013 184 210 394 273,629 21,798 1,940 10,977 308,344 48 394 184 210 836 Retail \u2013 credit cards1 RMS 1\u20133 5,076 15 \u2013 \u2013 5,091 9 \u2013 \u2013 \u2013 9 RMS 4\u20136 6,023 1,092 \u2013 \u2013 7,115 58 43 \u2013 \u2013 101 RMS 7\u20139 819 623 \u2013 \u2013 1,442 29 71 \u2013 \u2013 100 RMS 10 \u2013 112 \u2013 \u2013 112 \u2013 22 \u2013 \u2013 22 RMS 11\u201313 \u2013 235 \u2013 \u2013 235 \u2013 82 \u2013 \u2013 82 RMS 14 \u2013 \u2013 292 \u2013 292 \u2013 \u2013 128 \u2013 128 11,918 2,077 292 \u2013 14,287 96 218 128 \u2013 442 Retail \u2013 loans and overdrafts RMS 1\u20133 1,426 2 \u2013 \u2013 1,428 5 \u2013 \u2013 \u2013 5 RMS 4\u20136 5,794 499 \u2013 \u2013 6,293 79 23 \u2013 \u2013 102 RMS 7\u20139 938 286 \u2013 \u2013 1,224 39 33 \u2013 \u2013 72 RMS 10 18 74 \u2013 \u2013 92 2 14 \u2013 \u2013 16 RMS 11\u201313 5 244 \u2013 \u2013 249 1 83 \u2013 \u2013 84 RMS 14 \u2013 \u2013 271 \u2013 271 \u2013 \u2013 139 \u2013 139 8,181 1,105 271 \u2013 9,557 126 153 139 \u2013 418 Retail \u2013 UK Motor Finance RMS 1\u20133 8,758 465 \u2013 \u2013 9,223 79 6 \u2013 \u2013 85 RMS 4\u20136 2,904 844 \u2013 \u2013 3,748 22 19 \u2013 \u2013 41 RMS 7\u20139 583 298 \u2013 \u2013 881 5 15 \u2013 \u2013 20 RMS 10 \u2013 69 \u2013 \u2013 69 \u2013 7 \u2013 \u2013 7 RMS 11\u201313 2 152 \u2013 \u2013 154 \u2013 27 \u2013 \u2013 27 RMS 14 \u2013 \u2013 201 \u2013 201 \u2013 \u2013 116 \u2013 116 12,247 1,828 201 \u2013 14,276 106 74 116 \u2013 296 Retail \u2013 other1 RMS 1\u20133 9,715 228 \u2013 \u2013 9,943 3 4 \u2013 \u2013 7 RMS 4\u20136 1,386 265 \u2013 \u2013 1,651 11 8 \u2013 \u2013 19 RMS 7\u20139 \u2013 88 \u2013 \u2013 88 \u2013 3 \u2013 \u2013 3 RMS 10 \u2013 2 \u2013 \u2013 2 \u2013 \u2013 \u2013 \u2013 \u2013 RMS 11\u201313 97 10 \u2013 \u2013 107 \u2013 \u2013 \u2013 \u2013 \u2013 RMS 14 \u2013 \u2013 169 \u2013 169 \u2013 \u2013 52 \u2013 52 11,198 593 169 \u2013 11,960 14 15 52 \u2013 81 Total Retail 317,173 27,401 2,873 10,977 358,424 390 854 619 210 2,073 Note 52: Financial risk management continued Drawn exposures Expected credit loss allowance Gross drawn exposures and expected credit loss allowance continued Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m At 31 December 2021 Commercial Banking1 CMS 1\u20135 21,950 39 \u2013 \u2013 21,989 4 \u2013 \u2013 \u2013 4 CMS 6\u201310 26,073 310 \u2013 \u2013 26,383 23 \u2013 \u2013 \u2013 23 CMS 11\u201314 32,512 3,466 \u2013 \u2013 35,978 84 76 \u2013 \u2013 160 CMS 15\u201318 2,184 2,858 \u2013 \u2013 5,042 14 145 \u2013 \u2013 159 CMS 19 \u2013 857 \u2013 \u2013 857 \u2013 39 \u2013 \u2013 39 CMS 20\u201323 \u2013 \u2013 3,563 \u2013 3,563 \u2013 \u2013 956 \u2013 956 82,719 7,530 3,563 \u2013 93,812 125 260 956 \u2013 1,341 Other 2 144 \u2013 7 \u2013 151 400 \u2013 6 \u2013 406 Total loans and advances to customers 400,036 34,931 6,443 10,977 452,387 915 1,114 1,581 210 3,820 In respect of: Retail 317,173 27,401 2,873 10,977 358,424 390 854 619 210 2,073 Commercial Banking 82,719 7,530 3,563 \u2013 93,812 125 260 956 \u2013 1,341 Other2 144 \u2013 7 \u2013 151 400 \u2013 6 \u2013 406 Total loans and advances to customers 400,036 34,931 6,443 10,977 452,387 915 1,114 1,581 210 3,820 1  Reflects the new organisation structure, with Business Banking and Commercial Cards moving from Retail to Commercial Banking and Wealth moving from Insurance, Pensions and Investments (previously Insurance and Wealth) to Retail; comparatives have been presented on a consistent basis. 2  Drawn exposures include centralised fair value hedge accounting adjustments and expected credit loss allowance includes a central adjustment of \u00a3400 million that was applied in respect of uncertainty in the economic outlook. Reverse repurchase agreements Banks CMS 1\u20135 2,901 \u2013 \u2013 \u2013 2,901 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 6\u201310 631 \u2013 \u2013 \u2013 631 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 11\u201314 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 15\u201318 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 19 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 20\u201323 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 3,532 \u2013 \u2013 \u2013 3,532 \u2013 \u2013 \u2013 \u2013 \u2013 Customers CMS 1\u20135 13,364 \u2013 \u2013 \u2013 13,364 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 6\u201310 37,807 \u2013 \u2013 \u2013 37,807 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 11\u201314 50 \u2013 \u2013 \u2013 50 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 15\u201318 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 19 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 20\u201323 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 51,221 \u2013 \u2013 \u2013 51,221 \u2013 \u2013 \u2013 \u2013 \u2013 Total reverse repurchase agreements 54,753 \u2013 \u2013 \u2013 54,753 \u2013 \u2013 \u2013 \u2013 \u2013 Note 52: Financial risk management continued Undrawn exposures Expected credit loss allowance Gross undrawn exposures and expected credit loss allowance Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m At 31 December 2021 Retail \u2013 UK mortgages RMS 1\u20133 16,947 67 \u2013 \u2013 17,014 1 \u2013 \u2013 \u2013 1 RMS 4\u20136 24 25 \u2013 \u2013 49 \u2013 \u2013 \u2013 \u2013 \u2013 RMS 7\u20139 \u2013 3 \u2013 \u2013 3 \u2013 \u2013 \u2013 \u2013 \u2013 RMS 10 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 RMS 11\u201313 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 RMS 14 \u2013 \u2013 13 72 85 \u2013 \u2013 \u2013 \u2013 \u2013 16,971 95 13 72 17,151 1 \u2013 \u2013 \u2013 1 Retail \u2013 credit cards1 RMS 1\u20133 47,427 81 \u2013 \u2013 47,508 23 2 \u2013 \u2013 25 RMS 4\u20136 8,811 2,160 \u2013 \u2013 10,971 22 22 \u2013 \u2013 44 RMS 7\u20139 242 172 \u2013 \u2013 414 3 3 \u2013 \u2013 6 RMS 10 \u2013 31 \u2013 \u2013 31 \u2013 1 \u2013 \u2013 1 RMS 11\u201313 \u2013 58 \u2013 \u2013 58 \u2013 3 \u2013 \u2013 3 RMS 14 \u2013 \u2013 55 \u2013 55 \u2013 \u2013 \u2013 \u2013 \u2013 56,480 2,502 55 \u2013 59,037 48 31 \u2013 \u2013 79 Retail \u2013 loans and overdrafts RMS 1\u20133 5,123 3 \u2013 \u2013 5,126 4 \u2013 \u2013 \u2013 4 RMS 4\u20136 1,180 228 \u2013 \u2013 1,408 5 4 \u2013 \u2013 9 RMS 7\u20139 97 48 \u2013 \u2013 145 1 5 \u2013 \u2013 6 RMS 10 1 11 \u2013 \u2013 12 \u2013 2 \u2013 \u2013 2 RMS 11\u201313 \u2013 29 \u2013 \u2013 29 \u2013 6 \u2013 \u2013 6 RMS 14 \u2013 \u2013 18 \u2013 18 \u2013 \u2013 \u2013 \u2013 \u2013 6,401 319 18 \u2013 6,738 10 17 \u2013 \u2013 27 Retail \u2013 UK Motor Finance RMS 1\u20133 277 \u2013 \u2013 \u2013 277 \u2013 \u2013 \u2013 \u2013 \u2013 RMS 4\u20136 1,180 \u2013 \u2013 \u2013 1,180 2 \u2013 \u2013 \u2013 2 RMS 7\u20139 527 \u2013 \u2013 \u2013 527 \u2013 \u2013 \u2013 \u2013 \u2013 RMS 10 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 RMS 11\u201313 1 \u2013 \u2013 \u2013 1 \u2013 \u2013 \u2013 \u2013 \u2013 RMS 14 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 1,985 \u2013 \u2013 \u2013 1,985 2 \u2013 \u2013 \u2013 2 Retail \u2013 other1 RMS 1\u20133 598 \u2013 \u2013 \u2013 598 \u2013 \u2013 \u2013 \u2013 \u2013 RMS 4\u20136 298 \u2013 \u2013 \u2013 298 1 \u2013 \u2013 \u2013 1 RMS 7\u20139 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 RMS 10 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 RMS 11\u201313 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 RMS 14 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 896 \u2013 \u2013 \u2013 896 1 \u2013 \u2013 \u2013 1 Total Retail 82,733 2,916 86 72 85,807 62 48 \u2013 \u2013 110 Note 52: Financial risk management continued Gross undrawn exposures and expected credit loss allowance continued Undrawn exposures Expected credit loss allowance Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total \u00a3m At 31 December 2021 Commercial Banking1 CMS 1\u20135 26,935 1 \u2013 \u2013 26,936 2 \u2013 \u2013 \u2013 2 CMS 6\u201310 19,455 47 \u2013 \u2013 19,502 15 \u2013 \u2013 \u2013 15 CMS 11\u201314 7,926 1,212 \u2013 \u2013 9,138 24 18 \u2013 \u2013 42 CMS 15\u201318 453 347 \u2013 \u2013 800 6 17 \u2013 \u2013 23 CMS 19 \u2013 33 \u2013 \u2013 33 \u2013 3 \u2013 \u2013 3 CMS 20\u201323 \u2013 \u2013 67 \u2013 67 \u2013 \u2013 5 \u2013 5 54,769 1,640 67 \u2013 56,476 47 38 5 \u2013 90 Other CMS 1\u20135 102 \u2013 \u2013 \u2013 102 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 6\u201310 144 \u2013 \u2013 \u2013 144 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 11\u201314 193 \u2013 \u2013 \u2013 193 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 15\u201318 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 19 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 CMS 20\u201323 \u2013 \u2013 11 \u2013 11 \u2013 \u2013 \u2013 \u2013 \u2013 439 \u2013 11 \u2013 450 \u2013 \u2013 \u2013 \u2013 \u2013 Total 137,941 4,556 164 72 142,733 109 86 5 \u2013 200 In respect of: Retail 82,733 2,916 86 72 85,807 62 48 \u2013 \u2013 110 Commercial Banking 54,769 1,640 67 \u2013 56,476 47 38 5 \u2013 90 Other 439 \u2013 11 \u2013 450 \u2013 \u2013 \u2013 \u2013 \u2013 Total 137,941 4,556 164 72 142,733 109 86 5 \u2013 200 1  Reflects the new organisation structure, with Business Banking and Commercial Cards moving from Retail to Commercial Banking and Wealth moving from Insurance, Pensions and Investments (previously Insurance and Wealth) to Retail; comparatives have been presented on a consistent basis. Average PD grade The table below shows the average PD for the major portfolios used in the calculation of ECL and therefore Stage 2 average PD reflects the lifetime value. These reflect the forward-looking view under the Group\u2019s base case scenario prior to the application of MES and post-model adjustments which further impact ECL. 2022 2021 1 Stage 1 average PD % Stage 2 average PD % Stage 1 average PD % Stage 2 average PD % Retail UK mortgages 0.26 15.48 0.17 12.44 Credit cards 2.06 20.89 1.58 17.82 Loans and overdrafts 3.36 29.75 2.42 23.57 UK Motor Finance 0.71 11.24 0.81 12.00 Commercial Banking Loans and advances to customers 0.88 18.50 0.95 22.32 1  Reflects the new organisation structure, with Business Banking and Commercial Cards moving from Retail to Commercial Banking and Wealth moving from Insurance, Pensions and Investments (previously Insurance and Wealth) to Retail; comparatives have been presented on a consistent basis. Note 52: Financial risk management continued Cash and balances at central banks Significantly all of the Group\u2019s cash and balances at central banks of \u00a391,388 million (2021: \u00a376,420 million) are due from the Bank of England, the Federal Reserve Bank of New York or the Deutsche Bundesbank. Debt securities held at amortised cost An analysis by credit rating of the Group\u2019s debt securities held at amortised cost is provided below: 2022 2021 Investment grade1 \u00a3m Other2 \u00a3m Total \u00a3m Investment grade 1 \u00a3m Other 2 \u00a3m Total \u00a3m Government securities 268 \u2013 268 202 \u2013 202 Asset-backed securities: Mortgage-backed securities 3,712 \u2013 3,712 1,457 \u2013 1,457 Other asset-backed securities 1,946 2 1,948 1,590 18 1,608 5,658 2 5,660 3,047 18 3,065 Corporate and other debt securities 3,993 14 4,007 3,558 13 3,571 Gross exposure 9,919 16 9,935 6,807 31 6,838 Allowance for impairment losses (9) (3) Total debt securities held at amortised cost 9,926 6,835 1  Credit ratings equal to or better than \u2018BBB\u2019. 2  Other comprises sub-investment grade (2022: \u00a3nil; 2021: \u00a318 million) and not rated (2022: \u00a316 million; 2021: \u00a313 million). Financial assets at fair value through other comprehensive income (excluding equity shares) An analysis of the Group\u2019s financial assets at fair value through other comprehensive income is included in note 21. The credit quality of the Group\u2019s financial assets at fair value through other comprehensive income (excluding equity shares) is set out below: 2022 2021 Investment grade1 \u00a3m Other2 \u00a3m Total \u00a3m Investment grade 1 \u00a3m Other 2 \u00a3m Total \u00a3m Debt securities: Government securities 11,196 15 11,211 14,600 13 14,613 Asset-backed securities 95 51 146 15 55 70 Corporate and other debt securities 11,470 44 11,514 13,088 46 13,134 22,761 110 22,871 27,703 114 27,817 Treasury and other bills \u2013 \u2013 \u2013 85 \u2013 85 Total financial assets at fair value through other comprehensive income 22,761 110 22,871 27,788 114 27,902 1  Credit ratings equal to or better than \u2018BBB\u2019. 2  Other comprises sub-investment grade (2022: \u00a371 million; 2021: \u00a372 million) and not rated (2022: \u00a339 million; 2021: \u00a342 million). Note 52: Financial risk management continued Debt securities, treasury and other bills, and contracts held with reinsurers held at fair value through profit or loss An analysis of the Group\u2019s financial assets at fair value through profit or loss is included in note 16. Substantially all of the loans and advances to customers and banks recognised at fair value through profit or loss have an investment grade rating. The credit quality of the Group\u2019s debt securities, treasury and other bills, and contracts held with reinsurers held at fair value through profit or loss is set out below: 2022 2021 Investment grade 1 \u00a3m Other 2 \u00a3m Total \u00a3m Investment grade 1 \u00a3m Other2 \u00a3m Total \u00a3m Trading assets: Debt securities: Government securities 2,185 \u2013 2,185 6,579 \u2013 6,579 Asset-backed securities: Mortgage-backed securities 7 \u2013 7 12 \u2013 12 Other asset-backed securities 14 \u2013 14 3 \u2013 3 21 \u2013 21 15 \u2013 15 Corporate and other debt securities 216 12 228 245 \u2013 245 Total trading assets 2,422 12 2,434 6,839 \u2013 6,839 Other financial assets mandatorily at fair value through profit or loss: Debt securities: Government securities 7,871 1 7,872 11,097 4 11,101 Other public sector securities 2,510 6 2,516 2,722 9 2,731 Bank and building society certificates of deposit 7,129 4 7,133 6,294 3 6,297 Asset-backed securities: Mortgage-backed securities 228 \u2013 228 421 \u2013 421 Other asset-backed securities 171 \u2013 171 272 \u2013 272 399 \u2013 399 693 \u2013 693 Corporate and other debt securities 14,932 2,761 17,693 16,692 2,865 19,557 32,841 2,772 35,613 37,498 2,881 40,379 Treasury and other bills 62 \u2013 62 19 \u2013 19 Contracts held with reinsurers 10,822 84 10,906 12,371 \u2013 12,371 Total other financial assets mandatorily at fair value through profit or loss 43,725 2,856 46,581 49,888 2,881 52,769 Total held at fair value through profit or loss 46,147 2,868 49,015 56,727 2,881 59,608 1  Credit ratings equal to or better than \u2018BBB\u2019. 2  Other comprises sub-investment grade (2022: \u00a31,256 million; 2021: \u00a31,491 million) and not rated (2022: \u00a31,612 million; 2021: \u00a31,390 million). Credit risk in respect of trading and other financial assets at fair value through profit or loss held within the Group\u2019s unit-linked funds is borne by the policyholders and credit risk in respect of with-profits funds is largely borne by the policyholders. Consequently, the Group has no significant exposure to credit risk for such assets which back those contract liabilities. Derivative assets An analysis of derivative assets is given in note 17. The Group reduces exposure to credit risk by using master netting agreements and by obtaining collateral in the form of cash or highly liquid securities. In respect of the Group\u2019s net credit risk relating to derivative assets of \u00a312,423 million (2021: \u00a310,451 million), cash collateral of \u00a33,951 million (2021: \u00a35,658 million) was held and a further \u00a336 million was due from OECD banks (2021: \u00a3253 million). 2022 2021 Investment grade 1 \u00a3m Other 2 \u00a3m Total \u00a3m Investment grade 1 \u00a3m Other2 \u00a3m Total \u00a3m Trading and other 23,326 1,352 24,678 20,193 1,772 21,965 Hedging 53 22 75 81 5 86 Total derivative financial instruments 23,379 1,374 24,753 20,274 1,777 22,051 1  Credit ratings equal to or better than \u2018BBB\u2019. 2  Other comprises sub-investment grade (2022: \u00a31,031 million; 2021: \u00a31,471 million) and not rated (2022: \u00a3343 million; 2021: \u00a3306 million). Note 52: Financial risk management continued Financial guarantees and irrevocable loan commitments Financial guarantees represent undertakings that the Group will meet a customer\u2019s obligation to third parties if the customer fails to do so. Commitments to extend credit represent unused portions of authorisations to extend credit in the form of loans, guarantees or letters of credit. The Group is theoretically exposed to loss in an amount equal to the total guarantees or unused commitments, however, the likely amount of loss is expected to be significantly less. Most commitments to extend credit are contingent upon customers maintaining specific credit standards. (D)  Collateral held as security for financial assets The principal types of collateral accepted by the Group include: residential and commercial properties; charges over business assets such as premises, inventory and accounts receivable; financial instruments, cash and guarantees from third-parties. The terms and conditions associated with the use of the collateral are varied and are dependent on the type of agreement and the counterparty. The Group holds collateral against loans and advances and irrevocable loan commitments; qualitative and, where appropriate, quantitative information is provided in respect of this collateral below. Collateral held as security for financial assets at fair value through profit or loss and for derivative assets is also shown below. The Group holds collateral in respect of loans and advances to banks and customers as set out below. The Group does not hold collateral against debt securities, comprising asset-backed securities and corporate and other debt securities, which are classified as financial assets held at amortised cost. Loans and advances to banks There were reverse repurchase agreements which are accounted for as collateralised loans within loans and advances to banks with a carrying value of \u00a33,786 million (2021: \u00a33,532 million), against which the Group held collateral with a fair value of \u00a3247 million (2021: \u00a3620 million). These transactions were generally conducted under terms that are usual and customary for standard secured lending activities. Loans and advances to customers Retail lending Mortgages An analysis by loan to value ratio of the Group\u2019s residential mortgage lending is provided below. The value of collateral used in determining the loan to value ratios has been estimated based upon the last actual valuation, adjusted to take into account subsequent movements in house prices, after making allowances for indexation error and dilapidations. The market takes into account many factors, including environmental considerations such as flood risk and energy efficient additions, in arriving at the value of a home. In some circumstances, where the discounted value of the estimated net proceeds from the liquidation of collateral (i.e. net of costs, expected haircuts and anticipated changes in the value of the collateral to the point of sale) is greater than the estimated exposure at default, no credit losses are expected and no ECL allowance is recognised. Drawn balances Expected credit loss allowance Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total gross \u00a3m Stage 1 \u00a3m Stage 2 \u00a3m Stage 3 \u00a3m POCI \u00a3m Total gross \u00a3m At 31 December 2022 Less than 70 per cent 210,457 33,205 3,161 8,845 255,668 51 330 210 117 708 70 per cent to 80 per cent 31,788 5,264 170 359 37,581 25 124 55 42 246 80 per cent to 90 per cent 11,942 2,604 48 149 14,743 12 59 20 19 110 90 per cent to 100 per cent 3,319 606 13 113 4,051 3 18 7 18 46 Greater than 100 per cent 11 104 24 156 295 \u2013 21 19 57 97 Total 257,517 41,783 3,416 9,622 312,338 91 552 311 253 1,207 At 31 December 2021 Less than 70 per cent 217,830 19,766 1,717 9,872 249,185 31 247 98 110 486 70 per cent to 80 per cent 42,808 1,632 134 572 45,146 11 80 38 26 155 80 per cent to 90 per cent 12,087 253 52 184 12,576 5 28 23 16 72 90 per cent to 100 per cent 779 46 14 135 974 \u2013 10 7 16 33 Greater than 100 per cent 125 101 23 214 463 1 29 18 42 90 Total 273,629 21,798 1,940 10,977 308,344 48 394 184 210 836 Note 52: Financial risk management continued The energy performance certificate (EPC) profile of the security associated with the Group\u2019s UK mortgage portfolio is shown below: 2022 2021 EPC profile \u00a3m % \u00a3m % A 731 0.2 563 0.2 B 37,075 11.9 34,070 11.0 C 60,086 19.2 54,636 17.7 D 93,010 29.8 88,752 28.8 E 35,015 11.2 35,086 11.4 F 6,990 2.2 7,258 2.4 G 1,519 0.5 1,546 0.5 Unrated properties 77,912 25.0 86,433 28.0 Total 312,338 100.0 308,344 100.0 The above data is sourced using the latest available government EPC information as at the relevant balance sheet date. The Group has no EPC data available for 25.0 per cent (2021: 28.0 per cent) of the UK mortgage portfolio, these are classified as unrated properties. EPC ratings are not considered to be a material credit risk factor,and do not form part of the Group\u2019s credit risk calculations. Other The majority of non-mortgage retail lending is unsecured. At 31 December 2022, Stage 3 non-mortgage lending amounted to \u00a3475 million, net of an impairment allowance of \u00a3372 million (2021: \u00a3498 million, net of an impairment allowance of \u00a3435 million). Stage 1 and Stage 2 non-mortgage retail lending amounted to \u00a353,825 million (2021: \u00a349,147 million). Lending decisions are predominantly based on an obligor\u2019s ability to repay rather than reliance on the disposal of any security provided. Where the lending is secured, collateral values are rigorously assessed at the time of loan origination and are thereafter monitored in accordance with business unit credit policy. The Group\u2019s credit risk disclosures for unimpaired non-mortgage retail lending show assets gross of collateral and therefore disclose the maximum loss exposure. The Group believes that this approach is appropriate. Commercial lending Reverse repurchase transactions At 31 December 2022 there were reverse repurchase agreements which were accounted for as collateralised loans with a carrying value of \u00a341,079 million (2021: \u00a351,221 million), against which the Group held collateral with a fair value of \u00a333,468 million (2021: \u00a352,690 million), all of which the Group was able to repledge. These transactions were generally conducted under terms that are usual and customary for standard secured lending activities. Stage 3 secured lending The value of collateral is re-evaluated and its legal soundness re-assessed if there is observable evidence of distress of the borrower; this evaluation is used to determine potential loss allowances and management\u2019s strategy to try to either repair the business or recover the debt. At 31 December 2022, Stage 3 secured commercial lending amounted to \u00a3410 million, net of an impairment allowance of \u00a3160 million (2021: \u00a3636 million, net of an impairment allowance of \u00a3198 million). The fair value of the collateral held in respect of impaired secured commercial lending was \u00a3484 million (2021: \u00a3693 million). In determining the fair value of collateral, no specific amounts have been attributed to the costs of realisation. For the purposes of determining the total collateral held by the Group in respect of impaired secured commercial lending, the value of collateral for each loan has been limited to the principal amount of the outstanding advance in order to eliminate the effects of any over-collateralisation and to provide a clearer representation of the Group\u2019s exposure. Stage 3 secured commercial lending and associated collateral relates to lending to property companies and to customers in the financial, business and other services; transport, distribution and hotels; and construction industries. Stage 1 and Stage 2 secured lending For Stage 1 and Stage 2 secured commercial lending, the Group reports assets gross of collateral and therefore discloses the maximum loss exposure. The Group believes that this approach is appropriate as collateral values at origination and during a period of good performance may not be representative of the value of collateral if the obligor enters a distressed state. Stage 1 and Stage 2 secured commercial lending is predominantly managed on a cash flow basis. On occasion, it may include an assessment of underlying collateral, although, for Stage 3 lending, this will not always involve assessing it on a fair value basis. No aggregated collateral information for the entire unimpaired secured commercial lending portfolio is provided to key management personnel. Note 52: Financial risk management continued Financial assets at fair value through profit or loss (excluding equity shares) Included in financial assets at fair value through profit or loss are reverse repurchase agreements treated as collateralised loans with a carrying value of \u00a311,781 million (2021: \u00a314,921 million). Collateral is held with a fair value of \u00a39,598 million (2021: \u00a315,640 million), all of which the Group is able to repledge. At 31 December 2022, \u00a35,232 million had been repledged (2021: \u00a37,251 million). In addition, securities held as collateral in the form of stock borrowed amounted to \u00a326,368 million (2021: \u00a314,100 million). Of this amount, \u00a314,375 million (2021: \u00a36,538 million) had been resold or repledged as collateral for the Group\u2019s own transactions. These transactions were generally conducted under terms that are usual and customary for standard secured lending activities. Derivative assets, after offsetting of amounts under master netting arrangements The Group reduces exposure to credit risk by using master netting agreements and by obtaining collateral in the form of cash or highly liquid securities. In respect of the net derivative assets after offsetting of amounts under master netting arrangements of \u00a312,423 million (2021: \u00a310,451 million), cash collateral of \u00a33,951 million (2021: \u00a35,658 million) was held. Irrevocable loan commitments and other credit-related contingencies At 31 December 2022, the Group held irrevocable loan commitments and other credit-related contingencies of \u00a377,678 million (2021: \u00a373,902 million). Collateral is held as security, in the event that lending is drawn down, on \u00a316,442 million (2021: \u00a317,149 million) of these balances. Collateral repossessed During the year, \u00a3219 million of collateral was repossessed (2021: \u00a386 million), consisting primarily of residential property. In respect of retail portfolios, the Group does not take physical possession of properties or other assets held as collateral and uses external agents to realise the value as soon as practicable, generally at auction, to settle indebtedness. Any surplus funds are returned to the borrower or are otherwise dealt with in accordance with appropriate insolvency regulations. In certain circumstances the Group takes physical possession of assets held as collateral against commercial lending. In such cases, the assets are carried on the Group\u2019s balance sheet and are classified according to the Group\u2019s accounting policies. (E)  Collateral pledged as security The Group pledges assets primarily for repurchase agreements and securities lending transactions which are generally conducted under terms that are usual and customary for standard securitised borrowing contracts. Repurchase transactions Amortised cost There are balances arising from repurchase transactions with banks of \u00a333,009 million (2021: \u00a330,085 million), which include amounts due under the Bank of England\u2019s Term Funding Scheme with additional incentives for SMEs (TFSME); the fair value of the collateral provided under these agreements at 31 December 2022 was \u00a340,366 million (2021: \u00a339,918 million). There are balances arising from repurchase transactions with customers of \u00a315,587 million (2021: \u00a31,040 million); the fair value of the collateral provided under these agreements at 31 December 2022 was \u00a313,461 million (2021: \u00a3903 million). Financial liabilities at fair value through profit or loss The fair value of collateral pledged in respect of repurchase transactions, accounted for as secured borrowing, where the secured party is permitted by contract or custom to repledge was \u00a310,427 million (2021: \u00a314,350 million). Securities lending transactions The following on-balance sheet financial assets have been lent to counterparties under securities lending transactions: 2022 \u00a3m 2021 \u00a3m Financial assets at fair value through profit or loss 1,463 2,348 Financial assets at fair value through other comprehensive income 5,429 1,918 Total 6,892 4,266 Securitisations and covered bonds In addition to the assets detailed above, the Group also holds assets that are encumbered through the Group\u2019s asset-backed conduits and its securitisation and covered bond programmes. Further details of these assets are provided in note 30. Note 52: Financial risk management continued Liquidity risk Liquidity risk is defined as the risk that the Group has insufficient financial resources to meet its commitments as they fall due, or can only secure them at excessive cost. Liquidity risk is managed through a series of measures, tests and reports that are primarily based on contractual maturity. The Group carries out monthly stress testing of its liquidity position against a range of scenarios, including those prescribed by the PRA. The Group\u2019s liquidity risk appetite is also calibrated against a number of stressed liquidity metrics. The table below analyses assets and liabilities of the Group, other than liabilities arising from insurance and investment contracts, into relevant maturity groupings based on the remaining contractual period at the balance sheet date; balances with no fixed maturity are included in the over 5 years category. Liabilities arising from insurance and investment contracts are analysed on a behavioural basis. Certain balances, included in the table below on the basis of their residual maturity, are repayable on demand upon payment of a penalty. (A)  Maturities of assets and liabilities Up to 1 month \u00a3m 1\u20133 months \u00a3m 3\u20136 months \u00a3m 6\u20139 months \u00a3m 9\u201312 months \u00a3m 1\u20132 years \u00a3m 2\u20135 years \u00a3m Over 5 years \u00a3m Total \u00a3m At 31 December 2022 Assets Cash and balances at central banks 91,388 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 91,388 Financial assets at fair value through profit or loss 12,019 8,108 3,269 2,186 858 2,827 7,565 143,777 180,609 Derivative financial instruments 2,896 1,823 1,069 656 637 1,424 2,828 13,420 24,753 Loans and advances to banks 4,756 763 896 700 352 78 3,084 3 10,632 Loans and advances to customers 17,535 7,628 10,337 8,849 9,952 33,886 78,857 287,855 454,899 Reverse repurchase agreements 14,530 10,908 11,600 4,035 285 2,924 583 \u2013 44,865 Debt securities 7 219 73 275 77 874 6,475 1,926 9,926 Financial assets at amortised cost 36,828 19,518 22,906 13,859 10,666 37,762 88,999 289,784 520,322 Financial assets at fair value through other comprehensive income 310 273 391 456 665 2,324 9,334 9,401 23,154 Other assets 1,683 1,071 189 700 211 357 922 32,470 37,603 Total assets 145,124 30,793 27,824 17,857 13,037 44,694 109,648 488,852 877,829 Liabilities Deposits from banks 3,988 364 141 139 408 4 2,222 \u2013 7,266 Customer deposits 446,311 8,074 5,628 2,953 4,695 3,887 3,402 381 475,331 Repurchase agreements at amortised cost 12,203 6,183 \u2013 \u2013 \u2013 \u2013 30,210 48,596 Financial liabilities at fair value through profit or loss 5,245 2,363 1,526 1,431 665 615 1,476 4,434 17,755 Derivative financial instruments 3,197 1,647 942 739 779 2,030 3,850 10,858 24,042 Debt securities in issue 5,562 9,761 8,646 3,940 2,114 10,124 23,964 9,708 73,819 Liabilities arising from insurance and investment contracts 1,288 1,828 2,598 2,434 2,324 9,172 27,618 102,606 149,868 Other liabilities 6,137 1,246 393 1,486 521 523 753 11,842 22,901 Subordinated liabilities \u2013 \u2013 541 662 \u2013 915 3,770 4,842 10,730 Total liabilities 483,931 31,466 20,415 13,784 11,506 27,270 97,265 144,671 830,308 Note 52: Financial risk management continued Up to 1 month \u00a3m 1\u20133 months \u00a3m 3\u20136 months \u00a3m 6\u20139 months \u00a3m 9\u201312 months \u00a3m 1\u20132 years \u00a3m 2\u20135 years \u00a3m Over 5 years \u00a3m Total \u00a3m At 31 December 2021 Assets Cash and balances at central banks 76,420 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 76,420 Financial assets at fair value through profit or loss 10,706 8,280 6,093 2,840 878 1,784 7,553 168,637 206,771 Derivative financial instruments 1,607 804 633 304 309 947 1,997 15,450 22,051 Loans and advances to banks 4,350 332 327 11 32 29 1,918 2 7,001 Loans and advances to customers 15,279 8,624 9,792 10,949 11,107 32,096 77,714 283,006 448,567 Reverse repurchase agreements 13,678 15,111 16,651 5,107 2,526 762 918 \u2013 54,753 Debt securities 19 1,217 19 71 305 220 2,735 2,249 6,835 Financial assets at amortised cost 33,326 25,284 26,789 16,138 13,970 33,107 83,285 285,257 517,156 Financial assets at fair value through other comprehensive income 341 598 122 322 1,552 3,029 8,861 13,312 28,137 Other assets 1,509 1,200 185 528 147 515 948 30,958 35,990 Total assets 123,909 36,166 33,822 20,132 16,856 39,382 102,644 513,614 886,525 Liabilities Deposits from banks 2,313 376 353 177 223 353 3,774 78 7,647 Customer deposits 456,077 6,177 3,165 2,053 1,296 4,883 2,327 366 476,344 Repurchase agreements at amortised cost 1,011 92 10 3 \u2013 \u2013 30,009 \u2013 31,125 Financial liabilities at fair value through profit or loss 5,711 4,921 2,439 1,969 224 212 1,748 5,899 23,123 Derivative financial instruments 1,674 826 470 341 352 1,105 1,962 11,330 18,060 Debt securities in issue 4,020 5,555 5,476 6,320 4,129 10,152 22,496 13,404 71,552 Liabilities arising from insurance and investment contracts 1,532 2,076 2,921 2,894 3,312 10,606 30,663 114,459 168,463 Other liabilities 3,721 2,876 631 1,024 778 567 743 13,611 23,951 Subordinated liabilities 21 \u2013 96 \u2013 \u2013 1,307 6,464 5,220 13,108 Total liabilities 476,080 22,899 15,561 14,781 10,314 29,185 100,186 164,367 833,373 The above tables are provided on a contractual basis. The Group\u2019s assets and liabilities may be repaid or otherwise mature earlier or later than implied by their contractual terms and readers are, therefore, advised to use caution when using this data to evaluate the Group\u2019s liquidity position. In particular, amounts in respect of customer deposits are usually contractually payable on demand or at short notice. However, in practice, these deposits are not usually withdrawn on their contractual maturity. The table below analyses financial instrument liabilities of the Group, excluding those arising from insurance and participating investment contracts, on an undiscounted future cash flow basis according to contractual maturity, into relevant maturity groupings based on the remaining period at the balance sheet date; balances with no fixed maturity are included in the over 5 years category. Up to 1 month \u00a3m 1\u20133 months \u00a3m 3\u201312 months \u00a3m 1\u20135 years \u00a3m Over 5 years \u00a3m Total \u00a3m At 31 December 2022 Deposits from banks 3,925 369 714 2,227 135 7,370 Customer deposits 449,801 6,717 11,635 7,417 382 475,952 Repurchase agreements at amortised cost 12,501 6,188 904 33,054 38 52,685 Financial liabilities at fair value through profit or loss 5,297 2,397 3,725 2,293 4,747 18,459 Debt securities in issue 6,108 12,625 15,517 39,527 11,623 85,400 Liabilities arising from non-participating investment contracts 42,975 \u2013 \u2013 \u2013 \u2013 42,975 Lease liabilities 13 54 166 582 700 1,515 Subordinated liabilities 27 113 1,648 6,741 12,384 20,913 Total non-derivative financial liabilities 520,647 28,463 34,309 91,841 30,009 705,269 Derivative financial liabilities Gross settled derivatives \u2013 outflows 55,671 43,380 40,826 34,808 20,677 195,362 Gross settled derivatives \u2013 inflows (52,383) (41,255) (39,132) (34,015) (20,130) (186,915) Gross settled derivatives \u2013 net flows 3,288 2,125 1,694 793 547 8,447 Net settled derivative liabilities 13,078 82 130 752 1,501 15,543 Total derivative financial liabilities 16,366 2,207 1,824 1,545 2,048 23,990 Note 52: Financial risk management continued Up to 1 month \u00a3m 1\u20133 months \u00a3m 3\u201312 months \u00a3m 1\u20135 years \u00a3m Over 5 years \u00a3m Total \u00a3m At 31 December 2021 Deposits from banks 2,318 358 789 4,213 233 7,911 Customer deposits 456,306 6,161 6,540 7,255 676 476,938 Repurchase agreements at amortised cost 1,419 492 243 30,987 7 33,148 Financial liabilities at fair value through profit or loss 6,371 5,037 4,071 2,130 5,826 23,435 Debt securities in issue 5,804 5,722 16,728 34,562 10,606 73,422 Liabilities arising from non-participating investment contracts 45,040 \u2013 \u2013 \u2013 \u2013 45,040 Lease liabilities 2 64 167 605 927 1,765 Subordinated liabilities 54 78 677 9,558 9,114 19,481 Total non-derivative financial liabilities 517,314 17,912 29,215 89,310 27,389 681,140 Derivative financial liabilities Gross settled derivatives \u2013 outflows 39,184 30,271 32,267 39,429 21,709 162,860 Gross settled derivatives \u2013 inflows (38,231) (29,283) (31,453) (38,137) (19,834) (156,938) Gross settled derivatives \u2013 net flows 953 988 814 1,292 1,875 5,922 Net settled derivative liabilities 12,099 60 52 429 1,350 13,990 Total derivative financial liabilities 13,052 1,048 866 1,721 3,225 19,912 The majority of the Group\u2019s non-participating investment contract liabilities are unit-linked. These unit-linked products are invested in accordance with unit fund mandates. Clauses are included in policyholder contracts to permit the deferral of sales, where necessary, so that linked assets can be realised without being a forced seller. The principal amount for undated subordinated liabilities with no redemption option is included within the over 5 years column; interest of \u00a317 million (2021: \u00a320 million) per annum which is payable in respect of those instruments for as long as they remain in issue is not included beyond 5 years. An analysis of the Group\u2019s total wholesale funding by residual maturity and by currency is set out on page 182. Liabilities arising from insurance and participating investment contracts are analysed on a behavioural basis, as permitted by IFRS 4, as follows: Up to 1 month \u00a3m 1\u20133 months \u00a3m 3\u201312 months \u00a3m 1\u20135 years \u00a3m Over 5 years \u00a3m Total \u00a3m At 31 December 2022 826 1,288 4,967 22,967 76,845 106,893 At 31 December 2021 1,101 1,603 6,108 26,928 87,683 123,423 For insurance contracts which are neither unit-linked nor in the Group\u2019s with-profit funds, in particular annuity liabilities, the aim is to invest in assets such that the cash flows on investments match those on the projected future liabilities. The following tables set out the amounts and residual maturities of the Group\u2019s off-balance sheet contingent liabilities, commitments and guarantees. Up to 1 month \u00a3m 1\u20133 months \u00a3m 3\u20136 months \u00a3m 6\u20139 months \u00a3m 9\u201312 months \u00a3m 1\u20133 years \u00a3m 3\u20135 years \u00a3m Over 5 years \u00a3m Total \u00a3m At 31 December 2022 Acceptances and endorsements 47 11 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 58 Other contingent liabilities 355 744 263 240 144 554 181 447 2,928 Total contingent liabilities 402 755 263 240 144 554 181 447 2,986 Lending commitments and guarantees 68,984 2,419 17,641 1,586 6,439 12,787 14,329 19,571 143,756 Other commitments \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 10 29 39 Total commitments and guarantees 68,984 2,419 17,641 1,586 6,439 12,787 14,339 19,600 143,795 Total contingents, commitments and guarantees 69,386 3,174 17,904 1,826 6,583 13,341 14,520 20,047 146,781 At 31 December 2021 Acceptances and endorsements 11 180 \u2013 \u2013 \u2013 \u2013 \u2013 \u2013 191 Other contingent liabilities 219 658 328 184 154 295 258 457 2,553 Total contingent liabilities 230 838 328 184 154 295 258 457 2,744 Lending commitments and guarantees 70,437 4,269 20,021 3,662 7,872 20,060 11,595 4,756 142,672 Other commitments \u2013 \u2013 \u2013 \u2013 \u2013 17 \u2013 44 61 Total commitments and guarantees 70,437 4,269 20,021 3,662 7,872 20,077 11,595 4,800 142,733 Total contingents, commitments and guarantees 70,667 5,107 20,349 3,846 8,026 20,372 11,853 5,257 145,477 Capital risk Capital is actively managed on an ongoing basis for both the Group and its regulated banking subsidiaries, with associated capital policies and procedures subjected to regular review. The Group assesses both its regulatory capital requirements and the quantity and quality of capital resources it holds to meet those requirements through applying the capital directives and regulations implemented in the UK by the Prudential Regulation Authority (PRA) and supplemented through additional regulation under the PRA Rulebook and associated statements of policy, supervisory statements and other regulatory guidance. Regulatory capital ratios are considered a key part of the budgeting and planning processes and forecast ratios are reviewed by the Group Asset and Liability Committee. Target capital levels take account of current and future regulatory requirements, capacity for growth and to cover uncertainties. Details of the Group\u2019s capital resources are provided in the table marked audited on page 151. Each insurance company within the Group is regulated by the PRA. The insurance businesses are required to calculate solvency capital requirements and available capital in accordance with Solvency II. The Insurance business of the Group calculates regulatory capital on the basis of an internal model, which was approved by the PRA on 5 December 2015, with the latest major change to the model approved in November 2020. The capital position of the Group\u2019s insurance businesses is reviewed on a regular basis by the Insurance, Pensions and Investments Executive Committee. Insurance risk Insurance underwriting risk is the risk of adverse developments in the timing, frequency and severity of claims for insured/underwritten events and in customer behaviour, leading to reductions in earnings and/or value and arises within the Group\u2019s Insurance business. Insurance underwriting risk is measured using a variety of techniques including stress, reverse stress and scenario testing, as well as stochastic modelling. Current and potential future insurance underwriting risk exposures are assessed and aggregated on a range of stresses including risk measures based on 1-in-200 year stresses for the Insurance business\u2019s regulatory capital assessments and other supporting measures where appropriate. The Group also mitigates insurance underwriting risk via the use of reinsurance arrangements. ",
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    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
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  },
  "fact-867": {
   "value": "Note 53: Cash flow statement (A)  Change in operating assets 2022 \u00a3m 2021 1 \u00a3m 2020 1 \u00a3m Change in financial assets held at amortised cost (1,639) (2,379) (6,652) Change in financial assets at fair value through profit or loss 26,179 (15,565) (8,147) Change in derivative financial instruments (7,704) 6,132 (2,894) Change in other operating assets 201 1,447 25 Change in operating assets 17,037 (10,365) (17,668) 1  Restated, see page 218. (B)  Change in operating liabilities 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m Change in deposits from banks and repurchase agreements 2,536 6,266 3,287 Change in customer deposits and repurchase agreements 13,340 17,295 38,805 Change in financial liabilities at fair value through profit or loss (4,849) 391 1,085 Change in derivative financial instruments 5,982 (9,258) 1,534 Change in debt securities in issue 1,651 (15,896) (10,142) Change in investment contract liabilities (2,065) 6,588 993 Change in other operating liabilities1 (1,002) (432) 175 Change in operating liabilities 15,593 4,954 35,737 1  Includes a decrease of \u00a3158 million (2021: decrease of \u00a3197 million; 2020: decrease of \u00a3172 million) in respect of lease liabilities. Note 53: Cash flow statement continued (C)  Non-cash and other items 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m Depreciation and amortisation 2,396 2,825 2,732 Revaluation of investment properties 511 (575) 209 Allowance for loan losses 1,372 (1,121) 3,856 Write-off of allowance for loan losses, net of recoveries (759) (935) (1,377) Impairment charge (credit) relating to undrawn balances 122 (257) 289 Impairment of financial assets at fair value through other comprehensive income 6 (2) 5 Change in insurance contract liabilities (16,590) 7,328 4,554 Regulatory and legal provisions 255 1,300 464 Other provision movements (80) (66) 85 Net charge in respect of defined benefit schemes 125 236 247 Foreign exchange impact on balance sheet1 (291) 140 865 Interest expense on subordinated liabilities 697 1,320 1,080 Net gain on sale of financial assets at fair value through other comprehensive income (92) 2 (149) Hedging valuation adjustments on subordinated debt (1,871) (781) 280 Value of employee services 224 182 122 Transactions in own shares (20) (13) 293 Accretion of discounts and amortisation of premiums and issue costs 462 (306) (82) Share of post-tax results of associates and joint ventures (10) (2) 13 Transfers to income statement from reserves 43 (621) (496) Profit on disposal of tangible fixed assets (121) (268) (81) Other non-cash items (38) (159) (38) Total non-cash items (13,659) 8,227 12,871 Contributions to defined benefit schemes (2,533) (1,347) (1,153) Payments in respect of regulatory and legal provisions (625) (817) (2,241) Other 13 \u2013 117 Total other items (3,145) (2,164) (3,277) Non-cash and other items (16,804) 6,063 9,594 1  When considering the movement on each line of the balance sheet, the impact of foreign exchange rate movements is removed in order to show the underlying cash impact. (D)  Acquisition of Group undertakings and businesses 2022 \u00a3m 2021 \u00a3m 2020 \u00a3m Net assets acquired: Intangible assets 68 \u2013 \u2013 Other assets 131 3 \u2013 Other liabilities (146) \u2013 \u2013 Goodwill arising on acquisition 335 \u2013 \u2013 Cash consideration 388 3 \u2013 Less cash and cash equivalents acquired (74) \u2013 \u2013 Net cash outflow arising from acquisition of subsidiaries and businesses 314 3 \u2013 Acquisition of and additional investment in joint ventures 95 54 3 Net cash outflow from acquisitions in the year 409 57 3 Note 53: Cash flow statement continued (E)  Analysis of cash and cash equivalents as shown in the balance sheet 2022 \u00a3m 2021 1 \u00a3m 2020 1 \u00a3m Cash and balances at central banks 91,388 76,420 73,257 Less mandatory reserve deposits 2 (2,111) (2,178) (1,875) 89,277 74,242 71,382 Loans and advances to banks and reverse repurchase agreements 14,418 10,533 10,746 Less amounts with a maturity of three months or more (7,866) (5,581) (3,983) 6,552 4,952 6,763 Total cash and cash equivalents 95,829 79,194 78,145 1  Restated, see page 218. 2  Mandatory reserve deposits are held with local central banks in accordance with statutory requirements. Where these deposits are not held in demand accounts and are not available to finance the Group\u2019s day-to-day operations they are excluded from cash and cash equivalents. Included within cash and cash equivalents at 31 December 2022 is \u00a337 million (2021: \u00a376 million; 2020: \u00a384 million) of restricted cash and cash equivalents is held within the Group\u2019s long-term insurance and investments operations, which is not immediately available for use in the business. ",
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  "fact-868": {
   "value": "Note 54: Events since the balance sheet date Acquisition of Tusker On 21 February 2023, Lloyds Bank Asset Finance Limited, a wholly-owned subsidiary of the Group, acquired 100 per cent of the ordinary share capital of Hamsard 3352 Limited (\u201cTusker\u201d), which together with its subsidiaries operates a vehicle management and leasing business. The acquisition will enable the Group to expand its salary sacrifice proposition within motor finance. Cash consideration was approximately \u00a3300 million1 . As a result of the limited time available between the acquisition and the approval of these financial statements, the Group is still in the process of finalising the fair value of the individual assets and liabilities acquired including the associated identifiable intangible assets and goodwill. 1  Subject to customary adjustments. Share buyback The Board has announced its intention to implement an ordinary share buyback of up to \u00a32.0 billion. This represents the return to shareholders of capital surplus to that required to provide capacity to grow the business, meet current and future regulatory requirements and cover uncertainties. The share buyback programme will commence as soon as is practicable and is expected to be completed, subject to continued authority from the PRA, by 31 December 2023. ",
   "dimensions": {
    "concept": "ifrs-full:DisclosureOfEventsAfterReportingPeriodExplanatory",
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    "period": "2022-01-01T00:00:00/2023-01-01T00:00:00"
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  "fact-869": {
   "value": "Note 55: Future accounting developments The following pronouncements are not applicable for the year ending 31 December 2022 and have not been applied in preparing these financial statements. Save as disclosed below, the impact of these accounting changes is still being assessed by the Group and reliable estimates cannot be made at this stage. With the exception of the minor amendments detailed below, as at 21 February 2023 these pronouncements have been endorsed for use in the United Kingdom. IFRS 17 Insurance Contracts IFRS 17 Insurance Contracts replaces IFRS 4 Insurance Contracts and is effective for annual periods beginning on or after 1 January 2023. The Group\u2019s initial application date was 1 January 2023 and its transition date was 1 January 2022. On transition, the Group will use the full retrospective approach for business written since 1 January 2016 using Solvency II modelling tools developed when Solvency II was implemented, which are only available to support the calculation of IFRS 17 results from that date. The fair value approach will be used for business written prior to 1 January 2016 and valuations supporting Solvency II at the transition date will be used to support the fair value calculation for transition for that business. Comparative information As permitted by IFRS 17, the Group\u2019s financial statements at and for the year ended 31 December 2023 will include restated comparatives for the year ended 31 December 2022 only. Comparative information for the year ended 31 December 2021 will be presented in accordance with IFRS 4. IFRS 17 recognition and measurement IFRS 17 requires insurance contracts, including reinsurance contracts, and investment contracts with discretionary participation features to be recognised on the balance sheet as the total of the fulfilment cash flows and the contractual service margin: \u2022 The fulfilment cash flows consist of the present value of future cash flows calculated using best estimate assumptions, together with an explicit risk adjustment for non-financial risk and are required to be remeasured at each reporting date \u2022 The contractual service margin (CSM) represents the unearned profit on the insurance contracts and investment contracts with discretionary participation features Changes to estimates of fulfilment cash flows which relate to future service are taken to the CSM, except where onerous contracts are identified or where the Group takes advantage of the risk mitigation options available under IFRS 17. The Group calculates the risk adjustment by applying margins to best estimate cashflows relating to non-financial risks (such as mortality or persistency). The risk adjustment will be released to the income statement as risk expires. For reinsurance contracts held, the CSM represents the net cost or net gain of purchasing reinsurance and the risk adjustment represents the amount of risk transferred from the underlying contracts held. Note 55: Future accounting developments continued Expected impact: comparison with IFRS 4 Under IFRS 4, the Group recognises a value in-force asset and the expected profit of an insurance contract at its inception. Under IFRS 17, the expected profit for providing insurance contract services will be recognised in the CSM and released to the income statement throughout the contract period over which the insurance contract services are provided. The risk adjustment is released commensurate with the expiry of non-financial risk associated with the valuation of best estimate cash flows. The value in-force asset recognised by the Group at 31 December 2021 will be derecognised on transition. IFRS 17 will impact the timing of profit recognition for the insurance contracts and investment contracts with discretionary participation features issued by the Group. However, it will not change the total profit recognised over the lifetime of these contracts as compared to IFRS 4, or the capital position or cash flows of the Group and its insurance companies. The change in the measurement basis of the Group\u2019s liabilities, the derecognition of the VIF and the recognition, within the CSM, of a proportion of the previously recognised profits from insurance contracts will result in a reduction to the Group\u2019s retained earnings on transition. Establishing cash flows within the boundary of an insurance contract IFRS 17 requires cash flows to be included within the boundary of an insurance contract if they arise from substantive rights and obligations that exist during the reporting period where the Group can compel a policyholder to pay premiums or where the Group has a substantive obligation to provide the policyholder with services. The Group has assessed the contract boundary for insurance contracts it sells and has established relevant fulfilment cash flows accordingly, and the assumption framework which applies to determining the best estimate of those cash flows on an on-going basis. In particular, this includes the assumptions around increments on pensions business which are expected within the contract boundary and the extent to which the contract boundary is substantially changed upon contact modification as a result of new product features being added. Level of aggregation of insurance contracts IFRS 17 requires identification of portfolios of insurance contracts that have similar risks and that are managed together. In determining the appropriate level of aggregation, the Group has considered the relative risks and how these are managed within the business, in addition to factors such as geography, sales channel and product taxation basis. CSM is measured on initial recognition for cohorts of insurance contracts within these portfolios that are issued not more than a year apart. These cohorts are further disaggregated into CSM groups according to a profitability assessment and other product characteristics. As a result, the Group has identified the following portfolios: individual annuities, bulk annuities, protection products and workplace and other pensions. Within these portfolios, the Group expects to have approximately 25 CSM groups during 2023, in addition to those established at transition to IFRS 17. Separating components of contracts IFRS 17 also requires certain components of insurance contracts to be separated, including investment components. Investment components reflect amounts due to policy holders, akin to deposits, so are not recognised in the income statement. Disaggregation of insurance finance income or expenses Insurance finance income or expenses comprise changes in the carrying amount of a group of insurance contracts arising from the effect of the time value of money and the effects of financial risk. IFRS 17 provides an accounting policy choice between: \u2022 including insurance finance income or expenses for the period in the income statement; or \u2022 disaggregating insurance finance income and expenses for the period to include in the income statement an amount determined by a systematic allocation, and the residual amount in other comprehensive income (OCI). The Group has elected to recognise total insurance finance income or expenses in profit or loss in the period in which they arise. This decision is based on IFRS 9 Financial Instruments. Under IFRS 9, the Group measures assets backing insurance contracts at fair value through profit or loss (FVTPL). Accounting for the Group\u2019s principal insurance businesses Annuity and protection business: The general measurement model will be used for the Group\u2019s annuity and protection business. The discount rates are locked in at the inception of the contract in determining the value of the CSM. The subsequent effects of changes in discount rates on the best estimate of the insurance contract liabilities will be recognised in the income statement in the period in which they arise, as an accounting policy choice. The Group will use discount rates based on the liquidity of the associated liabilities and, accordingly, will apply illiquidity premia to its annuity and whole of life businesses. For immediate annuity contracts, the CSM will be recognised in income over the life of the contracts based on the maximum claim payable for each period and for protection contracts, CSM will be recognised in the income statement commensurate with the sum assured. Unit-linked and with-profits business: There is an adaptation of the general measurement model for contracts with direct participation features, the variable fee approach, which results in changes in variable fees, including those arising from changes in economic assumptions, being taken to the CSM. The expected profit will be recognised within the CSM and released to the income statement over the coverage period. General insurance business: The Group has applied the option available under IFRS 17 to use the simplified approach (the premium allocation approach), mainly for short duration contracts. The insurance revenue recognised in the income statement in the period reflects the expected premium receipts allocated to the period, after adjusting for the time value of money and the effect of financial risk. The amortisation of insurance acquisition cash flows is taken to the income statement on the basis of the passage of time. Balance sheet impact at 1 January 2022 On restatement, the reduction in the Group\u2019s total equity as of 1 January 2022 was approximately \u00a31.9 billion, driven by the derecognition of the value in-force asset, the move to best estimate of contract liabilities, the creation of the new CSM liability and the establishment of the risk adjustment. The CSM of all insurance contracts issued and net of reinsurance contracts held at 1 January 2022 was approximately \u00a31.9 billion and the risk adjustment, net of reinsurance, recognised at that date was approximately \u00a31.5 billion. The Group expects that approximately \u00a3300 million of the CSM and risk adjustment, gross of reinsurance, held at 1 January 2022 will be released and recognised in the income statement during the year ended 31 December 2022. These amounts will be finalised during the first quarter of 2023 following the completion of further work being undertaken by the Group. Note 55: Future accounting developments continued Equity impact at 31 December 2022 During 2022, the Group has added a drawdown feature to its existing longstanding and workplace pension business. This is a contract modification that results in a substantially different contract boundary, and IFRS 17 requires that the contracts and associated CSM (approximately \u00a30.4 billion) at the time of the modification are derecognised and the modified contracts together with a new CSM (approximately \u00a31.7 billion) are recognised as if they were new contracts. The Group estimates these contract modifications will increase the CSM by approximately \u00a31.3 billion and reduce its equity by approximately \u00a31.3 billion (before the impact of IFRS 17 tax transitional adjustments) given the charge recognised in the income statement in 2022 on an IFRS 17 basis. The estimate has been prepared assuming these contract modifications occurred on the 1 January 2022. As these contract modifications occurred throughout 2022, the Group will undertake further work during the first quarter of 2023 to finalise the financial impact of the contract modifications using the actual dates these contract modifications occurred during 2022. Income statement impact Whilst IFRS 17 does not change the total profit recognised over the life of an insurance contract or investment contract with discretionary participation features, it does change both the phasing of profit recognition and the amounts recognised within individual income statement line items, including other income and operating expenses. Under IFRS 17, the Group is required to defer substantially all of the expected profit through the recognition of a CSM on the balance sheet (losses on groups of onerous contracts and recoveries of such losses, to the extent they are covered by reinsurance contracts held, are recognised in the income statement immediately); the CSM is subsequently released to the income statement over the coverage period of the product. The expected profit includes estimated future premiums and claims together with administration costs such as claims handling costs, costs incurred to provide contractual policyholder benefits and policy administration and maintenance costs. As a result, a reduction is expected in the amounts to be disclosed as other income, operating income and operating expenses under IFRS 17, in respect of the relevant IFRS 17 income statement line items that will be presented from 2023. The Group continues to refine and finalise the new accounting processes and models and has not, therefore, presented the impact of IFRS 17 for the year ended 31 December 2022 including impacts on financial metrics such as earnings per share. Further work will be undertaken during the first quarter of 2023 to finalise the impact of IFRS 17 on the Group\u2019s income statement and earnings per share for the year ended 31 December 2022 and on its balance sheet at 31 December 2022. Minor amendments to other accounting standards The IASB has issued a number of minor amendments to IFRSs effective 1 January 2023 (including IAS 1 Presentation of Financial Statements and IAS 8 Accounting Policies, Changes in Accounting Estimates and Errors). These amendments are not expected to have a significant impact on the Group.",
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