Company: BCS
Filing Date: 2025-02-13
Form Type: 20-F
Source: 0000312069-25-000114
Chunk: 576

Company: BARCLAYS PLC
Filing Date: 2025-02-13
Form: 20-F
Chunk 576
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 or by using current or scenario-based mark to market as an estimate of future exposure. Probability of default and recovery rate information is generally sourced from the CDS markets. Where this information is not available, or considered unreliable, alternative approaches are taken based on mapping internal counterparty ratings onto historical or market- based default and recovery information. Derivative credit valuation adjustments decreased by £ 25m from £( 209 )m to £( 184)m as a result of a tightening in input counterparty credit spreads. Derivative debit valuation adjustments decreased by £ 36m from £ 144 m to £ 108m as a result of a tightening in input own credit spreads. Correlation between counterparty credit and underlying derivative risk factors, termed ‘wrong-way,’ or ‘right-way’ risk, is not systematically incorporated into the derivative credit valuation adjustments calculation but is adjusted where the underlying exposure is directly related to the counterparty. Barclays continues to monitor market practices and activity to ensure the approach to uncollateralised derivative valuation remains appropriate. Portfolio exemptions The Group uses the portfolio exemption in IFRS 13 Fair Value Measurement to measure the fair value of groups of financial assets and liabilities. Financial instruments are measured using the price that would be received to sell a net long position (i.e. an asset) for a particular risk exposure or to transfer a net short position (i.e. a liability) for a particular risk exposure in an orderly transaction between market participants at the balance sheet date under current market conditions. Accordingly, the Group measures the fair value of the group of financial assets and liabilities consistently with how market participants would price the net risk exposure at the measurement date. Unrecognised gains as a result of the use of valuation models using unobservable inputs The amount that has yet to be recognised in income that relates to the difference between the transaction price (the fair value at initial recognition) and the amount that would have arisen had valuation models using unobservable inputs been used on initial recognition, less amounts subsequently recognised, is £ 273m ( 2023 : £ 205m ) for financial instruments measured at fair value and £ 173m ( 2023 : £ 192m ) for financial instruments carried at amortised cost. There are additions and FX revaluation of £ 173m ( 2023 : £ 136m ), and amortisation and releases of £ 105m ( 2023 : £ 57m ) for financial instruments measured at fair value and additions of £ nil (2023: £ nil ) and