Company: BCS
Filing Date: 2025-02-13
Form Type: 20-F
Source: 0000312069-25-000114
Chunk: 461

Company: BARCLAYS PLC
Filing Date: 2025-02-13
Form: 20-F
Chunk 461
---
 financial statements). The Trustee receives quarterly VaR measures on a funding basis. The pension liability is also sensitive to post-retirement mortality assumptions which are reviewed regularly (See Note 32 to the financial statements). To mitigate part of this risk the UKRF has entered into longevity reinsurance contracts approximately 70% of current pensioner liabilities. In addition, the impact of pension risk to the Group is taken into account as part of the stress testing process. Stress testing is performed internally on at least an annual basis. The UKRF exposure is also included as part of regulatory stress tests. Barclays defined benefit pension schemes affects capital in two ways: • An IAS 19 deficit is treated as a liability on the Group’s balance sheet. Movement in a deficit due to remeasurements, including actuarial losses, are recognised immediately through Other Comprehensive Income and as such reduces shareholders’ equity and CET1 capital. An IAS 19 surplus is treated as an asset on the balance sheet and increases shareholders’ equity; however, it is deducted for the purposes of determining CET1 capital. • In the Group’s statutory balance sheet an IAS 19 surplus or deficit is partially offset by a deferred tax liability or asset respectively. These may or may not be recognised for calculating CET1 capital depending on the overall deferred tax position of the Group at the particular time. Pension risk is taken into account in the Pillar 2A capital assessment undertaken by the PRA at least annually. The Pillar 2A requirement forms part of the overall capital requirement for the Group.

| Strategy                                                 | Shareholderinformation | Climate andsustainability report | Governance |     | Riskreview | Financialreview | Financialstatements |     | Barclays PLC 2024Annual Reporton Form 20-F | 302 |
| Risk performance - Treasury and Capital risk (continued) |                        |                                  |            |     |            |                 |                     |     |                                            |     |

Interest rate risk in the banking book All disclosures in this section are unaudited unless otherwise stated. Overview The treasury and capital risk framework covers interest rate sensitive exposures held in the banking book, mostly relating to amortised cost accounted and fair value through other comprehensive income (F VOCI) instruments. The potential volatility of net interest income is measured by an Annual Earnings at Risk (AEaR) metric which is monitored regularly and reported to senior management and the Barclays PLC Board Risk Committee as part of the limit monitoring framework. For further detail on the interest rate risk in the banking book governance and framework