Company: BCS
Filing Date: 2025-02-13
Form Type: 20-F
Source: 0000312069-25-000114
Chunk: 439

Company: BARCLAYS PLC
Filing Date: 2025-02-13
Form: 20-F
Chunk 439
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 andsustainability report | Governance |     | Riskreview | Financialreview | Financialstatements |     | Barclays PLC 2024Annual Reporton Form 20-F | 251 |
| Risk performance - Credit risk (continued) |                        |                                  |            |     |            |                 |                     |     |                                            |     |

Climate Risk ECL assessment Barclays performed a credit risk assessment of physical and transition risk due to climate change. This was delivered through a combination of a scenario approach and targeted reviews on specific portfolios identified as more susceptible to climate risk. Scenario Approach: The IFRS 9 Downside 2 scenario has been updated and aligned to the 2024 Internal Stress Test scenario which is climate aware, ensuring that climate is being considered within the modelled ECL output via existing macroeconomic variables. Specific Approach: The approach reviewed portfolios previously identified from both internal and external stress tests as more susceptible to climate risks. In particular, new climate modelling techniques were utilised to inform customer level PD and LGD spreads of physical and transition risk due to climate change for i) the UK Mortgages portfolio (both PD and LGD) and ii) certain elevated risk sectors (predominantly Oil & Gas, Aviation, Automotive and Power sectors) within the Wholesale portfolio (PD only). The output of this review did not provide variances in ECL deemed sufficiently certain to warrant raising an additional climate-related charge in 2024. Barclays acknowledges that impairment could increase over time as risks become more tangible and impact consumers and clients through physical risks or via impacts from the transition to a low carbon economy. Therefore, Barclays continues to review credit risk outputs to determine if any additional physical or transition climate risks are identified that are not sufficiently captured via model output. Refer to the Barclays resilience to climate scenarios on page 57 for further details.

| Strategy                                   | Shareholderinformation | Climate andsustainability report | Governance |     | Riskreview | Financialreview | Financialstatements |     | Barclays PLC 2024Annual Reporton Form 20-F | 252 |
| Risk performance - Credit risk (continued) |                        |                                  |            |     |            |                 |                     |     |                                            |     |

Measurement uncertainty and sensitivity analysis The measurement of modelled ECL involves complexity and judgement, including estimation of probabilities of default (PD), loss given default (LGD), a range of unbiased future economic scenarios, estimation of expected lives, estimation of exposures at default (EAD) and assessing significant increases in credit risk. The Group uses a five -scenario