There are two schools of thought on this one.
The traditional view (i.e. the that my parents, and others of their generation, would have subscribed to) is that many financial matters become 'dead' after 6 years, so that's how long you should keep all of your financial records.
A more modern view is that, to prevent identity theft if anyone gets hold of your financial documents, you should shred them at the earliest opportunity. I usually shred things like credit card statements as soon as I've made the payment on the next statement. I keep pay slips until the end of the financial year and then, once I'm satisfied that HMRC hasn't made any errors, I shred them. I used to keep bank statements for decades. Now I just read them and (unless anything needs to be queried) immediately shred them.
Chris