Company: BCS
Filing Date: 2025-02-13
Form Type: 20-F
Source: 0000312069-25-000114
Chunk: 525

Company: BARCLAYS PLC
Filing Date: 2025-02-13
Form: 20-F
Chunk 525
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 (IPV) of certain pricing data inputs, (2) the determination or calculation of FVAs, including exit adjustments (to mark the portfolio to bid or offer prices), model shortcoming reserves to address model limitations and XVAs, and (3) the validation, completeness, implementation and usage of valuation models including assessment of the impact of model limitations and assumptions. • For a selection of collateral disputes identified by management, we challenged management’s valuation where significant fair value differences were observable with the market participant’s valuation on the other side of the trade. We also utilised collateral dispute data to identify fair value financial instruments with significant fair value differences against market counterparties and selected these to independently reprice. • We performed a retrospective review by inspecting significant gains and losses on a selection of new fair value financial instruments, historical exit prices on similar instruments and restructurings throughout the audit period and evaluated whether these data points indicated elements of fair value not incorporated in the current valuation methodologies. We also inspected movements in unobservable inputs throughout the period to challenge whether any gain or loss generated was appropriate. • We involved valuation professionals with specialised skills and knowledge, who assisted in the following: – Independently re-pricing a selection of fair value financial instruments and challenging management on the valuations where they were outside our tolerance; and – Challenging the appropriateness of significant models and methodologies used in calculating fair values, risk exposures and in calculating FVAs and XVAs, including comparison to industry practice. • We inspected trading revenue arising on level 3 positions to assess whether material gains or losses generated were in line with the accounting standards. UK Pension Scheme – Defined Benefit Obligation (DBO) assumptions As discussed in Note 32 to the consolidated financial statements, the total fair value of the Company’s defined benefit pension obligation as of December 31, 2024 was £ 20bn , of which £19bn was related to the UK Retirement Fund (UKRF). The determination of the Company’s defined benefit pension obligation with respect to these plans is dependent on certain actuarial assumptions, including the discount rate, inflation rate (or retail price index) and mortality assumptions. We identified the valuation of the defined benefit pension obligation in respect of UKRF as a critical audit matter. Subjective and complex auditor judgement, including specialised skills and knowledge, was required in evaluating the discount rates, retail price index ('RPI') and mortality assumptions used, as small changes would have a significant impact on the measurement of the defined benefit pension obligation. The following