Company: BCS
Filing Date: 2025-02-13
Form Type: 20-F
Source: 0000312069-25-000114
Chunk: 575

Company: BARCLAYS PLC
Filing Date: 2025-02-13
Form: 20-F
Chunk 575
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 generally derived from market quotes such as broker data. Less liquid instruments may not have a directly observable bid-offer level. In such instances, an exit price adjustment may be derived from an observable bid-offer level for a comparable liquid instrument, or determined by calibrating to derivative prices, or by scenario or historical analysis. Exit price adjustments derived from market bid-offer spreads have decreased by £ 27m fro m £ ( 569) m to £( 542)m . Discounting approaches for derivative instruments Collateralised In line with market practice, the methodology for discounting collateralised derivatives takes into account the nature and currency of the collateral that can be posted within the relevant credit support annex (CSA). The CSA aware discounting approach recognises the ‘cheapest to deliver’ option that reflects the ability of the party posting collateral to change the currency of the collateral. Uncollateralised A fair value adjustment of £ 19m is applied to account for the impact of incorporating the cost of funding into the valuation of uncollateralised and partially collateralised derivative portfolios and collateralised derivatives where the terms of the agreement do not allow the rehypothecation of collateral received. The derivative funding adjustment has moved by £ 23m from £ ( 4) m to £ 19m .

| Strategy                                      | Shareholderinformation | Climate andsustainability report | Governance | Riskreview | Financialreview |     | Financialstatements |     | Barclays PLC 2024Annual Reporton Form 20-F | 401 |
| Notes to the financial statements (continued) |                        |                                  |            |            |                 |     |                     |     |                                            |     |
| Assets and liabilities held at fair value     |                        |                                  |            |            |                 |     |                     |     |                                            |     |

Derivative credit and debit valuation adjustments Derivative credit valuation adjustments and derivative debit valuation adjustments are incorporated into derivative valuations to reflect the impact on fair value of counterparty credit risk and Barclays’ own credit quality respectively. These adjustments are calculated for uncollateralised and partially collateralised derivatives across all asset classes. Derivative credit valuation adjustments and derivative debit valuation adjustments are calculated using estimates of exposure at default, probability of default and recovery rates, at a counterparty level. Counterparties include (but are not limited to) corporates, Sovereigns and Sovereign agencies and Supranationals. Exposure at default is generally estimated through the simulation of underlying risk factors through approximating with a more vanilla structure,