# BARCLAYS CAPITAL SECURITIES LIMITED DIRECTORS’ REPORT AND FINANCIAL STATEMENTS FOR THE YEAR ENDED 31 DECEMBER 2023 REGISTERED NUMBER: 1929333 *** # Index | | Pages | | --- | --- | | Strategic Report | 2-9 | | Directors' Report | 10-18 | | Independent Auditor’s Report to the Members of Barclays Capital Securities Limited | 19-23 | | Income Statement | 24 | | Statement of Financial Position | 25 | | Statement of Changes in Equity | 27 | | Statement of Cash Flows | 28 | | Notes to the Financial Statements | 29-75 | *** # Barclays Capital Securities Limited ## Strategic Report ### For the year ended 31 December 2023 #### Principal activities Barclays Capital Securities Limited (BCSL) is a UK incorporated legal entity. It is a subsidiary of Barclays Bank PLC (BBPLC) and operates within the financial services sector. BCSL (the ‘Company’) is a UK regulated legal entity providing clients with access to Equities and Equity Financing services across European and Asian markets. The principal activities of the Company include the provision of Prime Services, Equity Derivatives and Cash Equities to a global client base. #### Business performance The results of the Company show profit after tax of £213m (2022: £329m) and total income of £676m (2022: £766m). The Company has net assets of £2,392m (2022: £2,232m). #### Business environment This year has seen increasing political and economic tensions around the world as compared to the previous one. Geopolitical events including the ongoing war in Ukraine and the conflict in the Middle East, elections in over 70 countries in 2024 and macroeconomic factors including higher inflation and interest rates have led to higher systemic risk and volatility. Barclays Group’s Global Markets business acted as a market-maker and liquidity provider to clients across the globe, playing an important role in helping them find opportunities and manage risk during a period of mixed macroeconomic backdrop. As part of Global Markets business, the Company provides clients and the Barclays Group (‘Barclays’ or the ‘Group’) businesses with access to Equity markets in Europe and Asia through exchange memberships and clearing relationships. It also offers secured lending and prime brokerage services to its clients and manages the market risk for cash equity and equity derivative products for clients as well as the Barclays Group. The Company’s activities are authorised by the Prudential Regulation Authority (‘PRA’) and regulated by the PRA and the Financial Conduct Authority (‘FCA’). The Company remains subject to ongoing and significant levels of regulatory change. In particular, we continue to pay close attention to the changing landscape of prudential requirements, supervisory expectations and changing approaches to stress testing and leverage reporting requirements. As part of wider Group structure and operations, the Company continues to assess and strengthen the control environment that provides assurance of effective and efficient operations, internal financial controls and compliance with law and regulation. #### Strategy and future outlook The Company operates within a complex group structure where reducing the complexity of reporting and improving the accountability and transparency of business performance continues to be a key priority. Building on strong foundations, the Barclays Group has a clear plan to improve operational and financial performance, total shareholder returns and make the firm simpler, better and more balanced. The aim is to reallocate RWAs towards higher returning business and opportunities, monetize investments in technology and deepen client relationships. The Company will continue to review its strategy in line with the Barclays Group strategic objectives. The Company’s overriding objective is to provide its clients with well-constructed and appropriate solutions to their requirements. The Company will continue to focus on serving geographies and providing products where it has a competitive advantage while maintaining our client-centric approach and, in doing so, develop opportunities to grow our business and increase returns. The Company continued to invest in enhancing the Group’s Global Markets digital proposition, including our electronic trading capabilities and our digital self-service platform, as well as investing in Prime Brokerage and Financing platforms across Equities. *** #### Section 172(1) statement The Directors have acted in the way that they considered, in good faith, would be most likely to promote the success of the Company for the benefit of its sole member, BBPLC, and this section forms our Section 172 disclosure, describing how, in doing so, the Directors considered the matters set out in section 172(1)(a) to (f) of the Companies Act 2006. The Directors also took into account the views and interests of a wider set of stakeholders, including customers, regulators, the UK Government and non-governmental organization. The Directors considered, amongst other matters, the following: * the likely consequences of any decision in the long term; * the need to foster the Company’s business relationships with suppliers, customers and others; * the impact of the Company’s operations on the community and the environment; * the desirability of the Company maintaining a reputation for high standards of business conduct; and * the need to act fairly as between members of the Company. You can read more about the key activities of the Board and decisions taken during the year in the Directors’ report, in particular on how we have complied with our corporate governance principles on pages 10-13. Further relevant information regarding the Barclays Group’s key stakeholder groups and how we listen and respond to them can be found in the ‘Our stakeholders’ section of the Barclays PLC (BPLC) 2023 Annual Report. Considering this broad range of interests is an important part of the way the Board makes decisions, although in balancing those different perspectives it will not always be possible to deliver everyone’s desired outcome. #### How the Board engages with stakeholders? Depending on the decision in question, the relevance of each particular stakeholder group may differ, and equally the Board adopts a variety of methods of engagement with different stakeholder groups. The Board will sometimes engage directly with certain stakeholders on certain issues, but the size and distribution of our stakeholders and of Barclays means that stakeholder engagement often takes place at an operational level. In addition, to ensure a more efficient and effective approach, certain stakeholder engagement is led at Barclays Group level, in particular where matters are of group-wide significance or have the potential to impact the reputation of the Barclays Group. The Board considers and discusses information from across the organisation to help it understand the impact of the Company’s operations on, and the interests and views of, our key stakeholders. It also reviews strategy, financial and operational performance as well as information covering areas such as key risks, and legal and regulatory compliance. This information is provided to the Board through reports sent in advance of each Board meeting, and through in-person presentations. As a result of these activities and the information it receives, the Board has an overview of engagement with stakeholders, and other relevant factors, which enables the Directors to comply with their legal duty under section 172 of the Companies Act 2006. #### Control environment and risk management focus As reported in the BPLC 2023 Annual Report, Barclays has established a group wide cultural change programme led by our Group Chief Executive, to set a standard of consistent excellence, recognising that both the Group’s stakeholders and management want Barclays to perform at a consistently very high level, each and every day. This programme challenges Barclay’s colleagues to address five key areas – service, precision, focus, simplicity and diversity of thought – to establish a new operating standard. This programme is supported by Barclays’ existing Purpose, Values and Mindset. This cultural change programme is key to driving better outcomes for Barclays' stakeholders, including for our investors, customers, clients and colleagues. As part of its role in driving forward this cultural change programme, through regular reports from management and Barclays Internal Audit during 2023, the Board has continued to monitor and evaluate the status of significant control issues and Barclays Group remediation programmes impacting the Company, and encouraged management to continue to drive sustainable improvements in the Company’s internal control environment for the benefit of its stakeholders (including with regard to trading controls operated by the business). The Board also heard from and challenged management about how key risks impacting the Company and its stakeholders were considered and managed, as well as mitigating actions to manage exposures, including the impact of geopolitical tensions and macroeconomic factors (such as inflationary pressures, movement in interest rates and economic and financial market uncertainty) on the Company’s risk appetite and risk profile. In particular, the Board considered the risks of cyber-related attacks and their potential impact on the Company’s customers, clients and counterparties, and heard from and challenged management about actions taken to protect the integrity of platforms provided to the Company’s clients in response to such incidents. #### Principal Risks and uncertainties The Company’s risks are identified and overseen, in accordance with the Enterprise Risk Management Framework (ERMF) of the Barclays Group, as applicable to the Company, which supports the business in its aim to embed effective risk management and a strong risk management culture. The ERMF sets out the principal risks faced by the Barclays Group and the applicable risks to the Company are formally reviewed by the Board and appropriate processes are put in place to monitor and mitigate them. In 2023, the Conduct Risk Principal Risk was renamed "Compliance Risk" and now incorporates Conduct Risk as well as risks from a failure to comply with laws, rules and regulations applicable to the firm. #### Material existing and emerging risks potentially impacting more than one Principal Risk **Business conditions, general economy and geopolitical issues** The Company’s operations are subject to changes in global and local economic and market conditions, as well as geopolitical developments, which may have a material effect on the Company’s business, results of operations, financial condition and prospects. A deterioration in global or local economic and market conditions may lead to (amongst other things): (i) deteriorating business, consumer or investor confidence, which in turn may lead to lower client activity; (ii) subdued asset prices including the value of any collateral held by the Company; and (iii) mark-to-market losses in trading portfolios resulting from changes in factors such as credit ratings, share prices and solvency of counterparties. Some key risks are listed below. * Global GDP growth in 2023 was severely hampered by inflationary pressures resulting from: (a) restricted labour markets and upward pressure on employment costs;(b) high energy prices intensified by the war in Ukraine and the conflict in the Middle East. These macro-economic factors could adversely affect the client activity levels in equities markets and thus have an impact on the Company’s performance. * In response to persistent inflationary pressures, throughout 2023, central banks continued to tighten monetary policy through raising interest rates and also exercising quantitative tightening. While markets are forecasting that rates are at or near their cycle peak and inflation has begun to ease back (albeit remaining well above central banks' targets), economies in which the Group operates are vulnerable to recession risk in 2024. Such risk is heightened by the turbulent geopolitical outlook and volatile market conditions with these factors acting as a drag on potential global economic growth. * Trading arrangements between the UK and the European Union (EU), following the UK's exit from the EU, may raise costs for UK customers trading with the EU and/or otherwise adversely affect their business. * Trading disruption between the EU and the UK may have a significant impact on economic activity in the EU and the UK which, in turn, could have a material adverse effect on the Company’s business, results of operations, financial condition and prospects. Unstable economic conditions could result in (among other things) widening of credit spreads or reduced investor appetite for the Barclays Bank Group’s debt securities, which could negatively impact the Company’s cost of and/or access to funding. * An escalation in geopolitical tensions or increased use of protectionist measures (such as the US and China implementing reciprocal trade tariffs) may have an adverse effect on the Company’s business directly or indirectly in the affected regions. **Risks relating to the impact of COVID-19** The COVID-19 pandemic has had a material adverse impact on businesses around the world and the economic and social environments in which they operate. Further waves or new strains of COVID-19 could impact the Company's ability to conduct business in the jurisdictions in which it operates through disruptions to infrastructure and supply chains, business processes and technology services provided by third parties, and unavailability of staff due to illness. These interruptions to business may be detrimental to customers (who may seek reimbursement from the Company for costs and losses incurred as a result of such interruptions), and result in potential litigation costs (including regulatory fines, penalties and other sanctions), as well as reputational damage. It may also have the effect of increasing the likelihood and/or magnitude of other risks described herein (with consequential impairment charge volatility) or may pose other risks which are not presently known to the Company or not currently expected to be significant to the Company’s profitability, capital and liquidity. Any and all such events mentioned above could have a material adverse effect on the Company’s business, results of operations, financial condition, prospects, liquidity and capital position. #### Material existing and emerging risks impacting individual Principal Risks * **Market risk** Market risk is the risk of loss arising from potential adverse changes in the value of the Company’s assets and liabilities from fluctuation in market variables including, but not limited to, interest rates, foreign exchange, equity prices, dividend expectation, credit spreads, implied volatilities and asset correlations. The Company incurs market risk via trading activities with clients and via the liquid assets that the Company holds. The Company manages the risk through a range of complementary approaches to identify and evaluate market risk. These are measured, limited and monitored by market risk specialists. Economic and financial market uncertainties remain elevated, driven by elevated inflation and tightening monetary policy, both of which are exacerbated by geopolitical conflicts and idiosyncratic market events. A disruptive adjustment to higher or lower interest rate levels and deteriorating trade and geopolitical tensions could heighten market risks for the Company. In addition, the Company’s business is generally exposed to a prolonged period of elevated asset price volatility, particularly if it adversely affects market liquidity. Such a scenario could impact the Company’s ability to execute client trades and may also result in lower client flow-driven income and/or market-based losses on its existing portfolio of market risks. These can include higher hedging costs from rebalancing risks that need to be managed dynamically as market levels and their associated volatilities change. It is difficult to predict changes in market conditions, and such changes could have a material adverse effect on the Company’s business, results of operations, financial condition and prospects. * **Credit risk** Credit risk is the risk of loss to the Company from the failure of clients, customers or counterparties including sovereigns, to fully honour their obligations to the Company including the whole and timely payment of principal, interest, collateral and other receivables. Credit risk also arises through downgrading of counterparties whose credit instruments the Company may be holding, causing the value of those assets to fall. The Company employs a range of risk measurement techniques and methodologies to mitigate credit risk. * **Liquidity risk** Liquidity risk is the risk that the Company’s cash and committed facilities may be insufficient to meet its contractual or contingent obligations or that it does not have the appropriate amount, tenor and composition of funding and liquidity to support its assets. The Company maintains a mixture of long term and short term committed facilities including financial support from its parent, BBPLC, that are designed to ensure the Company has sufficient available funds for operations. The company is part of a Domestic Liquidity Sub-Group (DoLSub) for Liquidity Management requirements under the Capital Requirements Regulation (CRR) as set out in the PRA’s Prudential and Resolution Policy – Banking Index. The DoLSub arrangement constitutes BBPLC and the Company. Barclays has obtained an extension until 28 February 2027 to the waiver from the PRA to supervise both entities as a single Liquidity Sub-Group on the back of a Liquidity Credit Support agreement that allows the free movement of funds between the two entities, enabling them to meet their individual and joint obligations as they become due. As a result of the DoLSub arrangement, any risks to the liquidity position of BBPLC are also a direct risk to the Company. This agreement gives rise to potential contingent liabilities albeit not quantifiable and hence not disclosed separately. * **Operational risk** Operational risk is the risk of loss to the Company from inadequate or failed processes or systems, human factors or due to external events (e.g. fraud or cyber risk) where the root cause is not due to credit or market risk. The Company is dependent upon the operational activities managed by other Barclays Group entities including the Group Service Company. These activities are managed through various intra-group service agreements between BBPLC, the Company and the Group Service Company, in which the Company is a service beneficiary. The Company continues to be accountable for the risk arising from the actions in respect of services rendered by other group entities. Failure to adequately manage provision of services risk through control environments which remain robust to ever changing threats and challenges could result in increased losses, inability to perform critical economic functions, client detriment, potential regulatory censure and penalty, legal liability and reputational damage. The Company assesses its risk and control environment across its functions with a view to maintaining an acceptable level of residual risk. * **Climate risk** Climate risk refers to the impact on financial and operational risks arising from climate change through physical risks, risks associated with transitioning to a low carbon economy and connected risks arising as a result of second order impacts on portfolios of these two drivers. The company operates within group risk management framework (Enterprise Risk Management Framework, ERMF); climate risk controls are embedded across the financial and operational principal risk types through the Barclays Group's Frameworks, Policies and Standards, regulatory compliance and regularly reviewed by the Board. * **Compliance risk** Compliance risk replaced Conduct risk in 2023 with an expanded definition. Compliance risk is the risk of poor outcomes for, or harm to, customers, clients and markets, arising from the delivery of the company’s products and services (conduct risk) and the risk to company, its clients, customers or markets from a failure to comply with the Laws, Rules and Regulations (LRR) applicable to the firm. The company operates within Compliance Risk Management Framework (CRMF) as outlined by the group that manages and measures conduct risk profile by overseeing the development and maintenance of the relevant conduct risk policies and standards and monitoring and reporting on the consistent application and effectiveness of the implementation of controls. * **Model Risk** Model risk is the risk of potential for adverse consequences from decisions based on incorrect or misused model outputs and reports. The Company employs a wider range of controls that includes timely model identification, robust model development, testing, documentation, annual assessment, and ongoing performance monitoring. The Company is also part of Group-wide controls operated on execution of overall model risk governance covering oversight and reporting and escalation to appropriate forums and committees. * **Reputation Risk** Reputation risk is the risk that an action, transaction, investment, event, decision, or business relationship will reduce trust in the Company’s integrity and/or competence. The risk is managed by embedding our purpose and values, and maintaining a controlled culture within the Company and the Barclays Group, with the objective of acting with integrity, enabling strong and trusted relationships to be built with customers and clients, colleagues and broader society. * **Legal Risk** Legal risk is the risk of loss or imposition of penalties, damages or fines from the failure of the Company to meet applicable laws, rules and regulations or contractual requirements or to assert or defend its intellectual property rights. Legal risk is managed by the identification and management of legal risks by the Legal function and the escalation of legal risk as necessary. The Company's businesses and functions have responsibility for engagement of the Legal function in situations that have the potential for legal risk. * **Capital risk** Capital risk is the risk that the Company has an insufficient level or composition of capital to support its normal business activities and to meet its regulatory capital requirements under normal operating environments or stressed conditions. Rules dictating the measurement of capital may be tightened which would constrain the Company’s planned activities and contribute to adverse impacts on the Company’s earnings. Refer Note 33 Capital management note to know how the Company actively manages its Capital risk. #### External Regulatory Capital Requirements The Company’s capital management strategy is to continue to maximize shareholder value by prudently optimising both the level and composition of its capital resources. The Company’s capital management objectives are to: * Maintain sufficient capital resources to support the Company’s risk appetite. * Maintain sufficient capital resources to meet the PRA’s minimum regulatory capital ratios. Certain Basel III standards were implemented in EU law through the Capital Requirements Regulation (CRR) and the Capital Requirements Directive IV (CRD IV), as amended by CRR II and CRD V. These standards were retained in the UK regulatory framework via a series of onshoring instruments when the UK withdrew from the European Union. References to CRR, as amended by CRR II mean, unless otherwise specified, CRR as amended by CRR II, as it forms part of UK law pursuant to the European Union (Withdrawal) Act 2018. The Company has been granted approval by the PRA to adopt advanced approaches for computing credit, market and operational risk capital requirements. The Company uses ‘The Standardised Approach’ (TSA) for operational risk for regulatory capital purpose. Pillar 1 capital requirements are generated using the Company’s risk models together with standardised calculations. On 30 November 2022, the PRA published a consultation paper concerning the implementation of the remaining Basel III standards, which included a revised standardised approach for credit risk, the elimination of modelled approaches for certain credit risk exposure categories, a new standardised approach for operational risk, a new market risk approach and the implementation of an output floor requiring reported RWAs calculated under standardised and modelled approaches to be a minimum of 72.5% of fully standardised calculations. In December 2023 the PRA published its first collection of near-final policy proposals for implementing these measures, including those for market risk, operational risk and the Credit Valuation Adjustment (CVA) and counterparty credit risk. A further collection of policies, including those for credit risk and credit risk mitigation, are expected to be published by the PRA in Q2 2024. From 1 January 2023, as mandated by the amended SS45/15, the Company became subject to minimum requirement for UK Leverage Ratio on an individual basis. #### Capital ratios The Company is subject to a Pillar 1 minimum capital requirement of 4.5% to be met with CET1 capital entirely. The Company is also subject to a ‘combined buffer requirement’ consisting of (i) a capital conservation buffer (CCB) of 2.5%, and (ii) a countercyclical capital buffer (CCyB). The CCyB is based on rates determined by the regulatory authorities in each jurisdiction in which BCSL maintains exposures. No systemic risk buffer (SRB) has been set to date. The PRA requires UK firms to hold additional capital to cover risks which the PRA assesses are not fully captured by the Pillar 1 capital requirement. The PRA sets this additional capital requirement (Pillar 2A) at least annually, derived from each firm's individual capital guidance. Under current PRA rules, the Pillar 2A must be met with at least 56.25% CET1 capital and no more than 25% tier 2 capital. In addition, the capital that firms use to meet their minimum requirements (Pillar 1 and Pillar 2A) cannot be counted towards meeting the combined buffer requirement. The Company’s Pillar 2A requirement as at 31 December 2023 was a static add on of 4.11%, of which 56.25% needs to be met with CET1 capital, equating to approximately 2.3% of the RWAs. All capital and RWA calculations reflect the Company’s interpretations of the current rules. As at 31 December 2023, the Company’s CET1 ratio was 19.4% (2022: 14.7%) which exceeds the 2023 minimum requirement of 9.7% including the minimum 4.5% of CET1 requirement, 2.3% of Pillar 2A requirement, a 2.5% CCB buffer and a 0.4% CCyB buffer. The table below provides details of the Company’s CRD IV transitional capital ratios, capital resources and RWAs as at 31 December 2023 and 2022. | | 2023 | 2022 | | --- | --- | --- | | Risk weighted assets (in £’000) | 9,005,755 | 10,990,325 | | Common Equity Tier 1 capital ratio | 19.4% | 14.7% | | Tier 1 capital ratio | 24.9% | 19.2% | | Total capital ratio | 28.2% | 21.9% | The Company’s Total capital ratio increased to 28.2% (2022: 21.9%) as CET1 capital increased by £132m to £1,743m and RWAs decreased by £1,985m to £9,006m. The Company is required to disclose a UK leverage ratio based on its capital and leverage exposure on the last day of the quarter. Additionally, it is also required to disclose an average UK leverage ratio based on capital on the last day of each month in the quarter and an exposure measure for each day in the quarter. The table below provides details of the Company’s UK Leverage ratio as on 31 December 2023 and 2022 and the average UK Leverage ratio for the quarter ended 31 December 2023. | | 2023 | 2022 | | --- | --- | --- | | Tier 1 capital (in £’000) | 2,242,631 | 2,110,198 | | UK Leverage Exposure (in £’000) | 49,307,010 | 52,687,321 | | UK Leverage Ratio | 4.5 % | 4.0 % | | Average Tier 1 capital (in £’000) | 2,244,890 | | | Average UK Leverage Exposure (in £’000) | 51,821,086 | | | Average UK Leverage Ratio | 4.3 % | | #### Key performance indicators The Board of Directors monitors progress on the overall strategy by reference to profit after tax as a key performance indicator. The financial performance metrics are aimed at generating long term sustainable returns. Total income decreased by 11.8% to £676m from 2022 driven by decline in the returns from the Equity Derivatives business. Total operating expenses increased by 19% to £331m from 2022 reflecting the technology investments in the business. Profit after tax decreased by 35.3% to £213m (2022: £329m). FOR AND ON BEHALF OF THE BOARD Steven Ewart Director 30 April 2024 Registered Number 1929333 1 Churchill Place, London, E14 5HP *** # Barclays Capital Securities Limited ## Directors’ Report ### For the year ended 31 December 2023 The Directors present their annual report together with the audited financial statements of Barclays Capital Securities Limited (the ‘Company’ or ‘BCSL’) for the year ended 31 December 2023. #### Results and dividends The results of the Company show profit after tax of £213m (2022: £329m) and total income of £676m (2022: £766m). The Company has net assets of £2,392m (2022: £2,232m). The Directors recommend the payment of a dividend of £35m for the financial year ended 31 December 2023 (2022: £75m). #### Directors The Directors of the Company, who served during the year 2023 and up to the date of signing the financial statements, are as shown below: **Current Directors (as at the date of these financial statements)** * Makram Fares - Chief Executive Officer (subject to regulatory approval) and Executive Director (appointed 20 February 2024) * Steven Ewart – Chief Financial Officer * Julia Wilson – Non-Executive Director (appointed 1 April 2023), Board Chair, Board Nominations Committee Chair and Board Audit Committee Chair (appointed 24 April 2023) * Robert Berry – Non-Executive Director, Board Remuneration Committee Chair and Board Risk Committee Chair * Dawn Fitzpatrick - Non-Executive Director **Former Directors** * Michael Ashley – Non-Executive Director (resigned 3 May 2023) * Paul Leech - Chief Executive Officer (resigned 7 February 2023) * Stephen Dainton - Chief Executive Officer (resigned 19 February 2024) #### Corporate Governance Statement The Board endeavors to maintain high standards of corporate governance and, as explained last year, we have chosen not to adopt and report against the 2018 UK Corporate Governance Code, as this is designed for premium listed companies. Whilst we fully supported the introduction of the Wates Corporate Governance Principles for Large Private Companies (in particular the focus on purpose, culture and employee and stakeholder engagement), we continue to feel they are less appropriate for a wholly-owned subsidiary of a premium listed company which is also a complex financial institution subject to a comprehensive regulatory regime. We therefore continue to adopt our own corporate governance principles and arrangements which we believe are most appropriate for the Company, and are designed to ensure effective decision-making to promote the Company’s success for the long term. Our primary aim, as reported last year, is that our governance arrangements: * are effective; * provide checks and balances and encourage constructive challenge; * drive informed, collaborative and accountable decision-making; and * create long-term sustainable value for our shareholder, the ultimate shareholders of Barclays and our wider stakeholders. Set out below are the principles which underpin our corporate governance arrangements and how these principles have been applied during 2023. The Barclays Group-wide governance framework is set by BPLC and has been designed to facilitate effective management of the Barclays Group. This includes the setting of Barclays Group policies in relation to matters such as Barclays’ Values, Barclays’ Remuneration Policy and the Barclays’ Charter of Expectations. Where appropriate, this Corporate Governance Statement makes reference to those Barclays Group policies which are relevant to the way in which the Company is governed. #### Our corporate governance principles and how the Company has applied them during 2023: **Principle One: Board Leadership and Company Purpose** A successful company is led by an effective and entrepreneurial board whose role is to establish the company’s purpose, values and strategy, aligned to its culture, and make decisions to promote its success for the long term benefit of its shareholder, having regard to the interests of other relevant stakeholders and factors. * The Board is responsible for the overall leadership of the Company and is also responsible for approving the Company’s strategic aims and objectives and its Medium Term Plan (within agreed parameters) and reviewing the delivery of the strategy and measuring performance against plan. * Culture remains a core area of focus with the Board actively promoting ethical leadership and accountability whilst supporting and reinforcing the Barclays’ Code of Conduct, the Barclays Way, and the Barclays’ Purpose, Values and Mindset, to achieve a dynamic and positive culture. **Principle Two: Division of Responsibilities** An effective Board requires a clear division of responsibilities with the Chair leading the Board and being responsible for its overall effectiveness, and the executive leadership of the company’s business being delegated to the Chief Executive, who is supported in this role by the Executive Committee. The Board should consist of an appropriate combination of Executive and independent Non-Executive Directors, each with a clear understanding of their accountability and responsibilities. The Board’s policies and procedures should support effective decision-making and independent challenge. * There is a clear division of responsibilities between the Chair and Chief Executive, which is documented by the Company. * Policies and protocols are in place to support effective decision-making and independent challenge including: the Barclays Group’s corporate governance manual, setting out clearly how the Barclays Group entities and their respective boards and board committees should interact, and the Company’s Charter of Expectations, setting out the role and responsibilities of each Director. * The Board’s responsibilities are executed in part through Board Committees (Board Audit Committee, Board Risk Committee, Board Remuneration Committee and Board Nominations Committee), which provide oversight and make recommendations on the matters delegated to them by the Board. * Appropriate information and support is provided to the Board to enable it to undertake its work with due care and discharge its responsibilities. **Principle Three: Composition, Succession and Evaluation** A Board with the right balance of skills, experience and diversity is critical to the sustainable delivery of value to the company’s shareholder and broader stakeholders. The size of the Board should be guided by the scale and complexity of the company and appointments should be based on merit and objective criteria and with a view to promoting diversity and subject to a formal, rigorous and transparent procedure which is underpinned by an effective succession plan for the Board and senior management. A successful Board is a cohesive board that provides informed and constructive challenge to the management team and measures its effectiveness. * The size and composition of the Board is appropriate to a large UK Investment Firm (the principal activities of which are outlined on page 2). A good balance exists between Executive and Non-Executive Directors who bring a strong combination of technical, finance (including financial services), risk and audit experience. In addition, the Chair brings independent challenge as well as insights from her other Non-Executive appointments within the Barclays Group. As at the date of signing these financial statements, the BCSL Board is composed of Julia Wilson (Chair, Non-Executive Director), Dawn Fitzpatrick (Non-Executive Director), Robert Berry (Non-Executive Director), Makram Fares (Chief Executive Officer, subject to regulatory approval) and Steven Ewart (Chief Financial Officer). In February 2024, the BCSL Board approved the appointment of Makram Fares as Chief Executive Officer (subject to regulatory approval) and an Executive Director, succeeding Stephen Dainton in these roles. * All appointments to the Board and senior management are based on merit and objective criteria with due regard for the benefits of diversity (including differences in skills, regional and industry experience, background, race, gender and other distinctions). * Accountability is driven through an annual evaluation of the effectiveness of the Board and its Committees in accordance with the Barclays Group Policy on Legal Entities and Directors, the Matters Reserved for the Board and Terms of References of the Board Committees. **Principle Four: Audit, Risk and Internal Control** The Board has established formal and transparent policies and procedures to (i) identify the nature and extent of principal risks the Company is willing to take in order to achieve its long-term strategic objectives; (ii) manage such risks effectively; (iii) oversee the internal control framework; (iv) promote the independence and effectiveness of internal and external audit functions; and (v) satisfy itself on the integrity of financial reporting. * The Board has delegated review and monitoring of certain matters to its Board Risk Committee and Board Audit Committee and receives regular reports from them on relevant matters. * Principal risks have been identified, as articulated on pages 4-7 of the Strategic Report, and are integrated with those of the Barclays Group, with robust processes in place to evaluate and manage such risks. * The BPLC Board Risk Committee reviews, on behalf of the BPLC Board, BPLC’s Risk management function’s recommendations on the principal risks set out in the Barclays Group’s Enterprise Risk Management Framework (ERMF), with the exception of Reputation risk which is a matter reserved to the Board. The BPLC Board Risk Committee recommends the ERMF to the BPLC Board for approval; and, following such approval, the BPLC Risk management function refers the ERMF to Barclays Group subsidiaries for adoption. As part of its remit, the BPLC Board Risk Committee keeps under review the effectiveness of BPLC’s risk management systems and, on an annual basis, BPLC evaluates the appropriateness of the Barclays Group’s risk measurement systems and models governance. The Barclays Group’s ERMF is, following review and recommendation by the BCSL Board Risk Committee, adopted by the BCSL Board; and thus applies to the Company also; and, as indicated above, the Company’s risk measurement systems and models governance are part of the overall Barclays Group matters, which are evaluated as to their appropriateness by BPLC’s Board Risk Committee. * The BCSL Board approves, within the parameters set by BPLC, the Company’s risk appetite, i.e. the level of risk which the Company is prepared to accept across different risk types. * Effectiveness of risk management is reviewed regularly by the BCSL Board Risk Committee (with responsibility for providing oversight on current and potential future risk exposures). * The BPLC Board Audit Committee reviews and monitors, among other matters, the effectiveness of the Barclays Group’s internal controls and the independence and effectiveness of the internal and external audit processes. As such, there are internal controls which are applied and monitored at a Barclays Group level, and thus apply to the Company also. **Principle Five: Remuneration** The remuneration policies and practices should support strategy and promote long-term sustainable success, and be developed in accordance with formal and transparent procedures, ensuring no Director is involved in deciding their own remuneration outcome. Executive remuneration should be aligned to the company’s purpose and values and the successful delivery of the strategy; with outcomes taking account of company and individual performance, and wider circumstances such as pay across the company’s workforce and Barclays’ Fair Pay agenda. * The Barclays’ Group Remuneration Policy is set by the BPLC Board Remuneration Committee and reviewed and adopted by the BCSL Board Remuneration Committee. The policy ensures that remuneration is aligned to the Barclays Group's strategy and risk management approach and is designed to promote the long-term success of the Company. * The Policy is applied in respect of all employees of the Barclays Group, including those who carry out work for the Company, given that the Company did not have any employees itself as of, or during the year ended, 31 December 2023 (nor as of the date of issue of this Report). Refer to Note 8 for details. No individual is involved in deciding their own remuneration. * The Barclays Group is committed to paying people fairly, with regards to their specific role, seniority, responsibilities, skills and experience and other factors that properly affect pay, in a way that balances the needs of the Barclays Group’s stakeholders. You can find more information on the Barclays Fair Pay Agenda which underpins all remuneration decisions in the Barclays Fair Pay Report 2023. The Barclays Group also remains focused on closing their gender and ethnicity representation gaps where they exist, and the pay gaps that result, by increasing the representation of females and employees from underrepresented minority groups at more senior levels. You can find more information in the Barclays Group’s UK Pay Gaps 2023 disclosure. **Principle Six: Stakeholder relationships and engagement** Directors should foster effective stakeholder relationships aligned to the company’s purpose. The Board should recognise the importance of listening to, and understanding the views of its stakeholders, including the workforce, and specifically the impact of the company’s behavior and business on customers and clients, colleagues, suppliers, communities and society more broadly; having regard to these views and impact when taking decisions. * Through the Company’s defined purpose and strategy, key stakeholders on whom the success of the Company depends are identified. Please see page 3 of the Strategic Report for details of our key stakeholders. * The Board seeks to understand key stakeholders’ views, and the impact of the Company’s behavior and business on them. In response to The Companies (Miscellaneous Reporting) Regulations 2018, further information on stakeholder engagement can be found in the Strategic Report. * Details on how we engaged with our stakeholders in 2023, and the link between stakeholder management and key decisions, is set out in the section 172 statement on page 3 of the Strategic Report. * The Board monitors key indicators across areas such as conduct and discusses matters such as culture on a regular and ongoing basis. #### Going concern The Directors have prepared the financial statements on a going concern basis. In preparing the Company financial statements, the Directors are required to: * assess the Company’s ability to continue as a going concern, disclosing, as applicable, matters related to going concern; and * use the going concern basis of accounting unless they either intend to liquidate the Company or to cease operations, or have no realistic alternative but to do so. After reviewing the Company's financial position, performance projections, the available banking facilities and taking into account the support available from BBPLC and the ability and intent of BBPLC to continue to provide support to the Company, the Directors are satisfied that the Company has adequate access to resources to enable it to meet its obligations and to continue in operational existence for the foreseeable future. Consequently, the Directors have adopted the going concern basis in preparing these financial statements. #### Statement of Directors’ responsibilities in respect of the Strategic Report, the Directors’ Report and the Financial Statements The Directors are responsible for preparing the Strategic Report, the Directors’ Report and the financial statements in accordance with applicable law and regulations. The Directors are required by the Companies Act 2006 (the ‘Act’) to prepare financial statements for each financial year, in accordance with UK-adopted international accounting standards. The Directors have prepared these financial statements in accordance with UK-adopted international accounting standards, and International Financial Reporting Standards (‘IFRS’) as issued by the International Accounting Standards Board (‘IASB’), including interpretations issued by the IFRS Interpretations Committee. Pursuant to the Act, the Directors must not approve the financial statements unless they are satisfied that they give a true and fair view of the state of affairs of the Company and of the profit or loss for that period. In preparing these financial statements, the Directors are required to: * use appropriate accounting policies and then apply them consistently; * make judgements and estimates that are reasonable; * state whether they have been prepared in accordance with UK adopted international accounting standards; * assess the Company’s ability to continue as a going concern, disclosing, as applicable, matters related to going concern; and * use the going concern basis of accounting unless they either intend to liquidate the Company or to cease operations, or have no realistic alternative but to do so. The Directors are responsible for keeping accounting records which disclose with reasonable accuracy at any time the financial position of the Company and enable them to ensure that the financial statements comply with the Act. The Directors consider that, in preparing the financial statements, the Company has used appropriate accounting policies, supported by reasonable judgements and estimates, and that all accounting standards which they consider to be applicable have been followed. The Directors are responsible for such internal controls as they determine are necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error, and have general responsibility for taking such steps as are reasonably open to them to safeguard the assets of the Company and to prevent and detect fraud and other irregularities. The Directors are satisfied that the Annual Report and financial statements, taken as a whole, provide the information necessary for the shareholder to assess the Company’s position and performance, business model and strategy. #### Financial Risk Management The Company’s activities are exposed to a variety of financial risks. The Company is required to follow the requirements of the Barclays Group risk management policies, which include specific guidelines on the management of foreign exchange, interest rate and credit risks, and advice on the use of financial instruments to manage them. The main financial risks that the Company is exposed to are outlined in the accompanying notes to the Financial Statements. #### Directors’ third party indemnity provisions Qualifying third-party indemnity provisions (as defined by section 234 of the Companies Act 2006) were in force during the course of the financial year ended 31 December 2023 for the benefit of the then Directors of the Company and, at the date of this report, are in force for the benefit of the Directors of the Company in relation to certain losses and liabilities which they may incur (or have incurred) in connection with their duties, powers or office. The Barclays Group also maintains Directors’ and Officers’ Liability Insurance which gives appropriate cover for legal action brought against its Directors. #### Environment The company is part of the Barclays Group-wide initiatives on Environment and ESG matters. The Barclays Group is firmly committed to enhancing its disclosures and in engaging with industry-led initiatives intended to support an effective and trusted ESG ratings market. The Barclays Group is committed to achieving its ambition to be a net zero bank by 2050. The Group is focused on reducing its financed emissions through its policies, targets and financing. This includes working with clients as they decarbonise and supporting their efforts to transition the real economy in a manner that is just, orderly and provides energy security. The Group has now set 2030 reduction targets for eight of the highest-emitting sectors in its portfolio: Energy, Power, Cement, Steel, Automotive manufacturing, Aviation, Agriculture and Commercial Real Estate; and assessed the baseline and convergence point for our UK Housing portfolio. This meets the commitment under the Net Zero Banking Alliance (NZBA) to set targets for material high-emitting sectors in its portfolio. The Group’s policies are a lever for reducing its financed emissions. In 2024, the Group updated its Climate Change Statement, to include: * No project finance, or other direct finance to energy companies, for upstream oil and gas expansion projects or related infrastructure. * Restrictions for new energy company clients engaged in expansion from January 2025. * Restrictions on non-diversified energy companies engaged in long lead expansion. * Additional restrictions on unconventional oil and gas, including Amazon and extra heavy oil. * Requirements for energy companies to have 2030 methane reduction targets, a commitment to end all routine / non-essential venting and flaring by 2030 and near-term net zero aligned Scope 1 and 2 targets from January 2026. * Expectations for energy companies to produce relevant information in relation to their transition plans or decarbonisation strategies by January 2025. Please refer to the Climate and Sustainability Report in the Barclays PLC 2023 Annual Report for full details on targets and ambitions. #### Engagement with customers, suppliers and others in a business relationship with the Company Barclays Group is committed to serving its customers' and clients' best interests. To do so it regularly engages them, building its understanding of their evolving needs and enabling it to adapt its products and services accordingly. The Group engages in a wide variety of ways, including running regular surveys, analysing customer complaints, direct interaction and drawing on data from millions of individual transactions. Barclays Group’s supply base is diverse across scale, ownership type and structure from privately-held startups to publicly-listed multinational corporations. Over the past several years, Barclays has sought to reduce the size of its supply chain while at the same time creating opportunities for diverse suppliers$^1$ which encompass micro, small or medium-sized enterprises and diverse-owned$^2$ businesses. The Company’s supply base comprises primarily of Barclays Group entities. The Directors, via management, must effectively manage, monitor and mitigate risks in our supply chain. The Barclays Group expects its Third Party Service Providers (TPSP) to make responsible decisions that, where relevant, take its stakeholders’ needs into account in both the short and the long term. Barclays expects the TPSPs to comply with applicable laws, regulations and standards within the geographies in which they operate. Barclays’ standard approach$^3$ to new TPSP on-boarding and renewal begins by assessing the services that are being provided and ascertaining the level of risk. TPSPs that are assessed as being above a low risk of exposure from a business risk perspective (at the point of onboarding and on an ongoing basis) are subject to Barclays’ Supplier Control obligations (SCOs). TPSPs to whom the SCOs apply become managed TPSPs and are subject to ongoing management and controls assurance during the term of service. Prior to contractual agreement and service go live, these TPSPs are required to complete a pre-contractual questionnaire which captures their adherence to the SCOs and Barclays’ TPSP Code of Conduct (TPSP CoC). The TPSP CoC encourages our TPSPs to adopt our approach to doing business and details our expectations for matters including environmental management, human rights, diversity and inclusion and also for living the Barclays Values. Managed TPSPs are subject to controls assurance on an annual basis to assess whether the controls required of them under the SCOs are maintained and operating effectively. They are also asked to complete an annual self-certification against the individual topics contained within the TPSP CoC. Where TPSPs are unable to meet our expectations under the TPSP CoC and SCOs, the issue will be escalated and we will look for options to manage the risk, which may include additional oversight, heightened Barclays controls or electing not to do business with the TPSP. The TPSP CoC and SCOs are published on the Barclays public website for all new and existing suppliers to view and are refreshed periodically. #### Payment on time Prompt payment is critical to the cash flow of every business, and especially to smaller businesses within the supply chain as cash flow issues are a major contributor to business failure. The Barclays Group aims to pay its TPSPs within clearly defined terms, and to help ensure there is a proper process for dealing with any issues that may arise. The Group measures its prompt payment globally by calculating the percentage of TPSP spend paid within 45 days following invoice date. The measurement applies against all invoices by value over a three-month rolling average period for all entities where invoices are managed centrally. Barclays is proud to be a signatory of the Prompt Payment Code in the UK and it also works closely with the Small Business Commissioner and other organisations, including Good Business Pays, to educate the public on late payments and the impact they can have on businesses and business owners, and to raise the social conscience of larger businesses who do not pay on time. #### Notes $^1$ Spending between Barclays and diverse suppliers is considered first-tier spending. Spending between Barclays’ first-tier suppliers that can trace subcontracted spend with diverse suppliers on Barclays-specific work is considered second-tier direct spending. $^2$ For Barclays, diverse suppliers are defined as either size diverse (small and medium sized enterprises) or ownership diverse (majority owned, controlled and operated by protected class groups, such as women, ethnic minorities, LGBT+, persons with disabilities, military veterans and for-profit social enterprises). $^3$ We do have relationships with financial institutions and market counterparties which, because of the nature of the services being provided (such as international account holding services), are not subject to our usual TPSP on-boarding procedures and which are therefore not subject to the TPSP CoC. For information on our engagement with customers and clients, please refer to page 24 of the Strategic report and the Customers and clients section of the BPLC Annual Report 2023. #### Pillar 3 disclosures The Company’s Pillar 3 disclosures are published as at 31 December 2023 (information available at: [https://home.barclays/investor-relations/reports-and-events/annual-reports/](https://home.barclays/investor-relations/reports-and-events/annual-reports/)). The Company’s parent, BBPLC as well as its ultimate parent BPLC have published information on its risk management objectives and policies along with its regulatory capital requirements and resources in the same site. This is in accordance with the rules of the Financial Conduct Authority and Prudential Regulation Authority. #### Creditors’ payment policy The principal activity of the Company is the provision of financial services. It does not have trade creditors and as such the disclosure of the creditor’s payment policy is not applicable. #### Independent Auditor The BPLC Board Audit Committee reviews the appointment of the statutory auditors, as well as their relationship with the Barclays Group, including monitoring the Barclays Group’s use of the statutory auditors for non-audit services and the balance of audit and non-audit fees paid to them. Pursuant to Section 487 of the Companies Act 2006, the auditor will be deemed to be reappointed and KPMG LLP will therefore continue in office. #### Non-audit services In order to safeguard the auditor’s independence and objectivity, the Barclays Group has in place a policy setting out the circumstances in which the auditor may be engaged to provide services other than those covered by the Barclays Group audit. The Barclays Group Policy on the Provision of Services by the Group Statutory Auditor (the Policy) applies to all Barclays’ subsidiaries and other material entities over which Barclays has significant influence. The core principle of the Policy is that non-audit services (other than those legally required to be carried out by the Barclays Group’s auditor) should be performed by the auditor only in certain controlled circumstances. The Policy sets out those types of services that are strictly permitted. The fees payable to KPMG LLP by the Company for the year ended 31 December 2023 amounted to £0.7m (2022: £0.7m), of which £0.5m (2022: £0.5m) was payable in respect of non-audit services, all of which related to statutory or regulatory filings. A breakdown of the fees payable to the auditor for statutory audit and non-audit work can be found in Note 8 to the financial statements. #### Statement of disclosure of information to the auditor Each Director confirms that, so far as he/she is aware, there is no relevant audit information of which the Company's Auditor is unaware and that each of the Directors have taken all the steps that he/she ought to have taken as a Director in order to make himself/herself aware of any relevant audit information and to establish that the Company's Auditor is aware of that information. This confirmation is given pursuant to section 418 of the Act and should be interpreted in accordance with and subject to those provisions. #### Post balance sheet events There were no important events affecting the Company which have occurred since 31 December 2023. FOR AND ON BEHALF OF THE BOARD Steven Ewart Director 30 April 2024 Registered Number 1929333 1 Churchill Place, London, E14 5HP *** # Independent Auditor’s Report to the members of Barclays Capital Securities Limited ### Opinion We have audited the financial statements of Barclays Capital Securities Limited (“the Company”) for the year ended 31 December 2023 which comprise the Income Statement, Statement of Financial Position, Statement of Changes in Equity, Statement of Cash Flows and related notes, including the summary of Material Accounting Policies in Note 3. In our opinion the financial statements: * give a true and fair view of the state of the Company’s affairs as at 31 December 2023 and of its profit for the year then ended; * have been properly prepared in accordance with UK-adopted international accounting standards; and * have been prepared in accordance with the requirements of the Companies Act 2006. ### Basis for opinion We conducted our audit in accordance with International Standards on Auditing (UK) (“ISAs (UK)”) and applicable law. Our responsibilities are described below. We have fulfilled our ethical responsibilities under, and are independent of the Company in accordance with, UK ethical requirements including the FRC Ethical Standard as applied to other entities of public interest. We believe that the audit evidence we have obtained is a sufficient and appropriate basis for our opinion. ### Going concern The Directors have prepared the financial statements on the going concern basis as they do not intend to liquidate the Company or to cease its operations, and as they have concluded that the Company’s financial position means that this is realistic. They have also concluded that there are no material uncertainties that could have cast significant doubt over its ability to continue as a going concern for at least a year from the date of approval of the financial statements (“the going concern period”). In our evaluation of the Directors’ conclusions, we considered the inherent risks to the Company’s business model and analysed how those risks might affect the Company’s financial resources or ability to continue operations over the going concern period. These were: * The availability of funding and liquidity in the event of a market-wide stress scenario; and * The ability and intent of Barclays Bank PLC to continue to provide support to the Company. Given the level of financial resources, and the risks inherent in the cash flows, particularly the reliance on Barclays Bank PLC, our evaluation of the Directors’ going concern assessment was of significance in our audit. We considered whether these risks could plausibly affect the liquidity in the going concern period by assessing the Directors’ sensitivities over the level of available financial resources indicated by the Company’s financial forecasts taking account of severe, but plausible adverse effects that could arise from these risks individually and collectively. Our conclusions based on this work: * we consider that the Directors’ use of the going concern basis of accounting in the preparation of the financial statements is appropriate; * we have not identified, and concur with the Directors’ assessment that there is not, a material uncertainty related to events or conditions that, individually or collectively, may cast significant doubt on the Company's ability to continue as a going concern for the going concern period. However, as we cannot predict all future events or conditions and as subsequent events may result in outcomes that are inconsistent with judgements that were reasonable at the time they were made, the above conclusions are not a guarantee that the Company will continue in operation. ### Fraud and breaches of laws and regulations – ability to detect #### Identifying and responding to risks of material misstatement due to fraud To identify risks of material misstatement due to fraud (“fraud risks”) we assessed events or conditions that could indicate an incentive or pressure to commit fraud or provide an opportunity to commit fraud. Our risk assessment procedures included: * Enquiring of Directors as to the Company’s high-level policies and procedures to prevent and detect fraud, as well as whether they have knowledge of any actual, suspected or alleged fraud. * Review of the Company’s internal audit reports, and Board Minutes of the Company; and * Using analytical procedures to identify any unusual or unexpected relationships. We communicated identified fraud risks throughout the audit team and remained alert to any indications of fraud throughout the audit. As required by auditing standards, and taking into account our overall knowledge of the control environment, we perform procedures to address the risk of management override of controls, in particular the risk that management may be in a position to make inappropriate accounting entries and the risk of bias in accounting estimates and judgements. On this audit we do not believe there is a fraud risk related to revenue recognition because revenue streams are simple in nature with respect to accounting policy choice, and are easily verifiable to external data sources or agreements with little or no requirement for estimation from management. We also identified fraud risks related to: * unobservable pricing inputs into the valuation of level 3 fair value financial instruments; and * existence and accuracy of unconfirmed over-the-counter bi-lateral derivatives. In determining the audit procedures, we took into account the results of our evaluation and testing of the operating effectiveness of some of the Barclays Group-wide fraud risk management controls. We also performed procedures including: * Identifying journal entries to test based on high risk criteria and comparing the identified entries to supporting documentation to address the fraud risk; * Evaluating the design and implementation and operating effectiveness of relevant internal controls; * Assessing significant accounting estimates relating to valuation of fair value financial instruments for bias; and * Engaging valuation specialists to independently revalue a selection of positions; #### Identifying and responding to risks of material misstatement due to non-compliance with laws and regulations We identified areas of laws and regulations that could reasonably be expected to have a material effect on the financial statements from our general commercial and sector experience, and through discussion with the Directors and other management (as required by auditing standards), and from inspection of the Company’s regulatory and legal correspondence and discussed with the Directors and other management the policies and procedures regarding compliance with laws and regulations. As the Company is regulated, our assessment of risks involved gaining an understanding of the control environment including the entity’s procedures for complying with regulatory requirements. We communicated identified laws and regulations throughout our team and remained alert to any indications of non-compliance throughout the audit. The potential effect of these laws and regulations on the financial statements varies considerably. The laws and regulations the Company is subject to that directly impact the financial statements are financial reporting legislation (including related companies’ legislation), distributable profits legislation, and taxation legislation. We have assessed the extent of compliance with these laws and regulations as part of our procedures on the related financial statement items. The Company is also subject to many other laws and regulations where the consequences of non-compliance could have a material effect on amounts or disclosures in the financial statements, for instance through the imposition of fines or litigation. We identified the following areas as those most likely to have such an effect: * Specific aspects of regulatory capital and liquidity * Customer conduct rules * Money laundering * Sanctions list and financial crime * Market abuse regulations * Certain aspects of company legislation recognising the financial and regulated nature of the Company’s activities. Auditing standards limit the required audit procedures to identify non-compliance with these laws and regulations to enquiry of the Directors and other management and inspection of regulatory and legal correspondence, if any. Therefore, if a breach of operational regulations is not disclosed to us or evident from relevant correspondence, an audit will not detect that breach. #### Context of the ability of the audit to detect fraud or breaches of law or regulation Owing to the inherent limitations of an audit, there is an unavoidable risk that we may not have detected some material misstatements in the financial statements, even though we have properly planned and performed our audit in accordance with auditing standards. For example, the further removed noncompliance with laws and regulations is from the events and transactions reflected in the financial statements, the less likely the inherently limited procedures required by auditing standards would identify it. In addition, as with any audit, there remained a higher risk of non-detection of fraud, as these may involve collusion, forgery, intentional omissions, misrepresentations, or the override of internal controls. Our audit procedures are designed to detect material misstatement. We are not responsible for preventing non-compliance or fraud and cannot be expected to detect non-compliance with all laws and regulations. ### Strategic report and Directors’ report The Directors are responsible for the strategic report and the Directors’ report. Our opinion on the financial statements does not cover those reports and we do not express an audit opinion thereon. Our responsibility is to read the strategic report and the Directors’ report and, in doing so, consider whether, based on our financial statements audit work, the information therein is materially misstated or inconsistent with the financial statements or our audit knowledge. Based solely on that work: * we have not identified material misstatements in the strategic report and the Directors’ report; * in our opinion the information given in those reports or the financial year is consistent with the financial statements; and * in our opinion those reports have been prepared in accordance with the Companies Act 2006. ### Matters on which we are required to report by exception Under the Companies Act 2006, we are required to report to you if, in our opinion: * adequate accounting records have not been kept, or returns adequate for our audit have not been received from branches not visited by us; or * the financial statements are not in agreement with the accounting records and returns; or * certain disclosures of Directors’ remuneration specified by law are not made; or * we have not received all the information and explanations we require for our audit; We have nothing to report in these respects. ### Directors’ responsibilities As explained more fully in their statement set out on page 14, the Directors are responsible for: the preparation of the financial statements and for being satisfied that they give a true and fair view; such internal control as they determine is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error; assessing the Company’s ability to continue as a going concern, disclosing, as applicable, matters related to going concern; and using the going concern basis of accounting unless they either intend to liquidate the Company or to cease operations, or have no realistic alternative but to do so. ### Auditor’s responsibilities Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue our opinion in an auditor’s report. Reasonable assurance is a high level of assurance, but does not guarantee that an audit conducted in accordance with ISAs (UK) will always detect a material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of the financial statements. A fuller description of our responsibilities is provided on the FRC’s website at [www.frc.org.uk/auditorsresponsibilities](http://www.frc.org.uk/auditorsresponsibilities). ### The purpose of our audit work and to whom we owe our responsibilities This report is made solely to the Company’s members, as a body, in accordance with Chapter 3 of Part 16 of the Companies Act 2006. Our audit work has been undertaken so that we might state to the Company’s members those matters we are required to state to them in an auditor’s report and for no other purpose. To the fullest extent permitted by law, we do not accept or assume responsibility to anyone other than the Company and the Company’s members, as a body, for our audit work, for this report, or for the opinions we have formed. Matthew Davies (Senior Statutory Auditor) for and on behalf of KPMG LLP, Statutory Auditor Chartered Accountants 15 Canada Square London E14 5GL 30 April 2024 *** # Barclays Capital Securities Limited ## Income Statement for the year ended 31 December 2023 | Figures in Pounds Sterling thousand | Note | 2023 | 2022 | | --- | --- | --- | --- | | Continuing operations: | | | | | Net interest expense | 4 | (9,711) | (8,827) | | Net fee and commission income | 5 | 71,850 | 65,743 | | Net trading income | 6 | 613,886 | 709,572 | | **Total income** | | **676,025** | **766,488** | | Credit impairment charges | 7 | (132) | (169) | | **Net operating income** | | **675,893** | **766,319** | | Operating expenses | 8 | (330,784) | (277,700) | | **Profit before tax** | | **345,109** | **488,619** | | Taxation | 9 | (132,254) | (159,190) | | **Profit after tax from continuing operations** | | **212,855** | **329,429** | | **Total comprehensive income for the year attributable to equity holders of the parent** | | **212,855** | **329,429** | All recognised gains and losses are included in the Statement of Comprehensive Income. The accompanying notes from pages 29 to 75 form an integral part of the financial statements. *** # Barclays Capital Securities Limited ## Statement of Financial Position as at 31 December 2023 | Figures in Pounds Sterling thousand | Note | 2023 | 2022 | | --- | --- | --- | --- | | **Assets** | | | | | Current assets | | | | | Cash and cash equivalents | 10 | 1,040,469 | 849,606 | | Trading portfolio assets | 11 | 26,803,692 | 28,235,245 | | Derivative financial instruments | 12 | 10,577,863 | 15,113,686 | | Financial assets mandatorily at fair value | 14 | 76,602,571 | 61,150,497 | | Loans and other receivables at amortised cost | 15 | 50,268,059 | 34,713,515 | | Other assets | 16 | 409,584 | 379,194 | | | | **165,702,238** | **140,441,743** | | Non-current assets | | | | | Financial assets mandatorily at fair value | 14 | 281,487 | 201,562 | | Loans and other receivables at amortised cost | 15 | 986,957 | 1,060,793 | | Investments in subsidiaries | 18 | — | — | | | | **1,268,444** | **1,262,355** | | **Total assets** | | **166,970,682** | **141,704,098** | | **Liabilities** | | | | | Current liabilities | | | | | Trading portfolio liabilities | 11 | 16,126,023 | 27,552,261 | | Derivative financial instruments | 12 | 12,667,530 | 15,749,979 | | Financial liabilities designated at fair value | 19 | 56,698,156 | 46,816,306 | | Borrowings | 20 | 74,399,969 | 43,154,392 | | Other liabilities | 21 | 484,051 | 521,820 | | Current tax liabilities | 22 | 38,171 | 68,645 | | | | **160,413,900** | **133,863,403** | | Non-current liabilities | | | | | Repurchase agreements at amortised cost | 13 | 2,543,951 | 4,974,494 | | Financial liabilities designated at fair value | 19 | 446,971 | 318,403 | | Borrowings | 20 | 1,173,191 | 315,762 | | Deferred tax liabilities | 17 | 264 | 329 | | | | **4,164,377** | **5,608,988** | | **Total liabilities** | | **164,578,277** | **139,472,391** | | **Shareholders’ equity** | | | | | Share capital | 23 (i) | 571,071 | 571,071 | | Other equity instruments | 23 (ii) | 500,000 | 500,000 | | Other reserves | 24 | 250,000 | 250,000 | | Retained earnings | | 1,071,334 | 910,636 | | **Total equity** | | **2,392,405** | **2,231,707** | | **Total equity and liabilities** | | **166,970,682** | **141,704,098** | The accompanying notes from pages 29 to 75 form an integral part of the financial statements. *** The financial statements were approved by the Board of Directors and authorised for issue on 30 April 2024 and were signed on its behalf by: Steven Ewart Director 30 April 2024 Registered Number 1929333 1 Churchill Place, London, E14 5HP *** # Barclays Capital Securities Limited ## Statement of Changes in Equity for the year ended 31 December 2023 | Figures in Pounds Sterling thousand | Ordinary shares | Preference shares | Other equity instruments | Capital redemption reserve | Retained earnings | Total equity | | --- | --- | --- | --- | --- | --- | --- | | Balance as at 1 January 2023 | 571,070 | 1 | 500,000 | 250,000 | 910,636 | 2,231,707 | | Profit for the year | | | | | 212,855 | 212,855 | | Other equity instruments coupons paid | | | | | (52,157) | (52,157) | | Dividends paid on ordinary shares (Refer Note 23(iii)) | | | | | — | — | | **Balance as at 31 December 2023** | **571,070** | **1** | **500,000** | **250,000** | **1,071,334** | **2,392,405** | | Balance as at 1 January 2022 | 571,070 | 1 | 200,000 | 250,000 | 671,096 | 1,692,167 | | Issue of other equity instruments (Refer Note 23(ii)) | | | 300,000 | | | 300,000 | | Profit for the year | | | | | 329,429 | 329,429 | | Other equity instruments coupons paid | | | | | (14,889) | (14,889) | | Dividends paid on ordinary shares (Refer Note 23(iii)) | | | | | (75,000) | (75,000) | | **Balance as at 31 December 2022** | **571,070** | **1** | **500,000** | **250,000** | **910,636** | **2,231,707** | The accompanying notes from pages 29 to 75 form an integral part of the financial statements. *** # Barclays Capital Securities Limited ## Statement of Cash Flows for the year ended 31 December 2023 | Figures in Pounds Sterling thousand | 2023 | 2022 | | --- | --- | --- | | **Continuing operations:** | | | | Reconciliation of profit before tax to net cash flows from operating activities | | | | Net cash flow from operating activities | | | | Profit from operations | 345,109 | 488,619 | | Adjustments for non-cash items: | | | | Impairment | 132 | 169 | | Other non-cash movements | (41,046) | (22,971) | | Cash flows from operating activities: | | | | Net decrease in trading portfolio assets | 1,431,553 | 4,850,130 | | Net decrease/(increase) in derivative financial instrument assets | 4,535,823 | (3,024,167) | | Net (increase) in financial assets mandatorily at fair value | (15,531,999) | (3,349,786) | | Net (increase)/decrease in loans and receivables | (15,480,840) | 5,678,644 | | Net (increase) in other assets | (129,150) | (253,248) | | Net (decrease)/increase in trading portfolio liabilities | (11,426,238) | 9,952,909 | | Net (decrease)/increase in derivative financial instrument liabilities | (3,082,449) | 3,570,119 | | Net (decrease) in repurchase agreements | (2,430,543) | (2,382,339) | | Net increase in financial liabilities designated at fair value | 10,010,417 | 950,179 | | Net increase/(decrease) in borrowings | 32,103,006 | (16,802,026) | | Net (decrease)/increase in other liabilities | (37,767) | 182,719 | | Corporate income tax paid | (22,988) | (45,742) | | **Net cash from operating activities** | **243,020** | **(206,791)** | | **Cash flows from financing activities** | | | | Dividends paid on ordinary shares | — | (75,000) | | Issue of other equity instruments | — | 300,000 | | Other equity instruments coupons paid | (52,157) | (14,889) | | **Net cash from financing activities** | **(52,157)** | **210,111** | | Net increase in cash and cash equivalents | 190,863 | 3,320 | | Cash and cash equivalents at the beginning of the year | 849,606 | 846,286 | | **Cash and cash equivalents at the end of year** | **1,040,469** | **849,606** | The net interest paid by the Company was £9.7m (2022 - £8.8m). The accompanying notes from pages 29 to 75 form an integral part of the financial statements. *** # Barclays Capital Securities Limited ## Notes to the Financial Statements for the year ended 31 December 2023 ### 1. Reporting entity Barclays Capital Securities Limited (the ‘Company’) is a private limited company, domiciled and incorporated in the United Kingdom. The registered office of the Company is 1 Churchill Place, London, E14 5HP. These financial statements are prepared for the Company, whose principal activities include provision of Prime Services, Equity Derivatives and Cash Equities. The financial statements are separate financial statements prepared for the Company only, in line with the UK Companies Act 2006. The Company is exempt by virtue of Section 400 of the Companies Act 2006 from the requirement to prepare group financial statements. These financial statements present information about the Company as an individual undertaking and not about its Group. The parent undertaking of the smallest group that presents consolidated financial statements is BBPLC and the ultimate holding company and the parent undertaking of the largest group that presents group financial statements is BPLC, both of which prepare consolidated financial statements in accordance with international accounting standards in conformity with the requirements of the Company Act 2006 and in accordance with International Financial Reporting Standards (IFRS) and interpretations (IFRICs) as issued by the IASB and endorsed by the UK. Accordingly, consolidated financial statements have not been prepared by the Company based on the exemption provided under paragraph 4(a) of IFRS 10. ### 2. Compliance with International Financial Reporting Standards The financial statements have been prepared in accordance with UK-adopted international accounting standards. The principal accounting policies applied in the preparation of the financial statements are set out below, and in the relevant notes to the financial statements. These policies have been consistently applied with the exception of International Tax Reform—Pillar Two Model Rules (Amendments to IAS 12), which is effective from 1 January 2023 and applies retrospectively; and the Disclosure of Accounting Policies (Amendments to IAS 1 and IFRS Practice Statement 2) and Definition of an Accounting Estimate (Amendments to IAS 8) which were applied from 1 January 2023. **Basis of preparation** The financial statements have been prepared on a going concern basis under the historical cost convention modified to include the fair valuation of certain financial instruments to the extent required or permitted under IFRS 9 ’Financial Instruments’ as set out in the relevant accounting policies. They are presented in thousands of Pounds Sterling (£’000), the functional currency of the Company. **Going concern** After reviewing the Company's financial position, performance projections (including the implications from current geopolitical tensions and recent uncertain market conditions), the available banking facilities and taking into account the support available from BBPLC and the ability and intent of BBPLC to continue to provide support to the Company, the Directors are satisfied that the Company has adequate access to resources to enable it to meet its obligations and to continue in operational existence for the foreseeable future. Consequently, the Directors have adopted the going concern basis in preparing these financial statements. #### New and amended standards and interpretations The accounting policies adopted have been consistently applied, with the exception of the following: **International Tax Reform—Pillar Two Model Rules (Amendments to IAS 12)** On 23 May 2023, the IASB issued amendments to IAS 12 to provide a mandatory temporary exemption to the requirements to account for deferred taxes assets and liabilities related to Pillar Two income taxes, as published by the Organisation for Economic Co-operation and Development (OECD). The amendments are effective for accounting periods beginning on or after 1 January 2023 and the mandatory temporary exemption is applied retrospectively to prior periods. Disclosures related to the amendments are made in Note 17 on page 44. **Disclosure of Accounting Policies (Amendments to IAS 1 and IFRS Practice Statement 2)** The amendments require entities to disclose their material rather than their significant accounting policies. The Company adopted the amendments effective 1 January 2023. Whilst these amendments do not change the Company’s accounting policies, the Company has reviewed the accounting policy information disclosed in these financial statements against the new requirements. Under the amendments, accounting policy information is material if, when considered together with other information included in an entity’s financial statements, it can reasonably be expected to influence decisions that the primary users of general purpose financial statements make on the basis of those financial statements. **Definition of Accounting Estimate (Amendments to IAS 8)** Under the new definition, accounting estimates are clarified as monetary amounts in financial statements that are subject to measurement uncertainty. Where an entity's accounting policy requires an item to be measured at monetary amounts that cannot be observed directly, it should develop an accounting estimate to achieve this objective. The amendments are effective 1 January 2023 and were adopted on this date. #### Future accounting developments The following accounting standards have been issued by the IASB but are not yet effective: **Classification of Liabilities as Current or Non-current (Amendments to IAS 1)** In January 2020 the IASB issued amendments to IAS 1 to clarify the presentation of liabilities in the balance sheet, with an effective date of 1 January 2024. The amendments clarify that a liability should be classified as non-current only if the entity has the right to defer settlement of the liability for at least 12 months after the reporting period, and that (i) the right to defer settlement must exist at the end of the reporting period and (ii) management’s intentions or expectations about whether it will exercise its right to defer settlement does not affect the classification. Further clarifications include how lending conditions affect classification and classification of liabilities the entity will or may settle by issuing its own equity instruments. In October 2022, the IASB also issued further amendments to IAS 1 to improve the information an entity provides when its right to defer settlement of a liability for at least twelve months is subject to compliance with covenants, and to respond to stakeholders’ concerns about the classification of such a liability as current or non-current. ### 3. Summary of material accounting policies The principal accounting policies applied in the preparation of the financial statements are set out below. These policies have been consistently applied except as stated in Note 2 above. **(a) Foreign currency translation** Items included in the financial statements of the Company are measured using their functional currency, Pounds Sterling (GBP), the currency of the primary economic environment in which the entity operates. Foreign currency transactions are translated into Sterling using the exchange rates prevailing at the dates of the transactions. Monetary items denominated in foreign currencies are retranslated at the rate prevailing at the period end. Exchange gains and losses on such balances are taken to the income statement. The Company does not have any foreign operations. **(b) Fees and commissions and revenue recognition** The Company applies IFRS 15 Revenue from Contracts with Customers. The standard establishes a five-step model governing revenue recognition. (Refer Note 5 on Net Fee and Commission income for further details). The Company recognises fee and commission income charged for services provided on completion of the underlying transaction. **(c) Interest** Interest income or expense is recognised on all interest bearing financial assets and liabilities held at amortised cost using the effective interest rate method. The effective interest rate is the rate that exactly discounts the expected future cash payments or receipts through the expected life of the financial instrument, or when appropriate, a shorter period, to the net carrying amount of the instrument. The application of the method has the effect of recognising income (or expense) receivable (or payable) on the instrument evenly in proportion to the amount outstanding over the period to maturity or repayment. **(d) Net trading income** Net trading income is trading income arising from the margins which are achieved through market-making, customer business, and from changes in market value caused by movements in interest and foreign exchange rates, equity prices and other market variables. In accordance with IFRS 9, trading positions in financial instruments are valued on a fair value basis. The resulting income is included in trading income along with interest and dividends arising from long and short positions and funding costs relating to trading activities. **(e) Current tax & deferred income tax** The Company applies IAS 12 Income Taxes in accounting for taxes on income. Income tax payable on taxable profits (‘current tax’) is recognised as an expense in the period in which the profits arise. Withholding taxes are also treated as income taxes. Income tax recoverable on tax allowable losses is recognised as an asset only to the extent that it is regarded as recoverable by offsetting against taxable profits arising in the current or prior periods. Current tax is measured using tax rates and tax laws that have been enacted or substantively enacted at the balance sheet date. Deferred income tax is provided in full, using the liability method, on temporary differences arising from the differences between the tax basis of the assets and liabilities and their carrying amount in the Company’s financial statements. Deferred income tax is determined using tax rates and legislation enacted or substantially enacted by the Balance Sheet date and that are expected to apply when the deferred tax asset is realised or deferred tax liability is settled. Deferred tax liabilities are recognised for all taxable temporary differences. Deferred and current tax assets and liabilities are only offset where there is both the legal right to set off and intention to settle on a net basis or to realise the asset and settle the liability simultaneously with the same tax authority. The key area of judgement that impacts the reported tax position is on the level of provisioning for uncertain tax positions. The Company does not consider there to be a significant risk of a material adjustment to the carrying amount of current and deferred tax balances, including provisions for uncertain tax positions in the next financial year. The provisions for uncertain tax positions cover a diverse range of issues and reflect advice from external counsel where relevant. It should be noted that only a proportion of the total uncertain tax positions will be under audit at any point in time, and could therefore be subject to challenge by a tax authority over the next year. **(f) Financial assets and liabilities** The Company applies IFRS 9 Financial Instruments to the recognition, classification and measurement, and derecognition of financial assets, financial liabilities, and the impairment of financial assets. **Recognition** The Company recognises financial assets and liabilities when it becomes a party to the terms of the contract. Trade date or settlement date accounting is applied depending on the classification of the financial asset/liability. **Classification and measurement** Financial assets are classified on the basis of two criteria: i) The business model within which financial assets are managed; and ii) Their contractual cash flow characteristics (whether the cash flows represent ‘solely payments of principal and interest’ (SPPI)). The Company assesses the business model criteria at a portfolio level. Information that is considered in determining the applicable business model includes (i) policies and objectives for the relevant portfolio, (ii) how the performance and risks of the portfolio are managed, evaluated and reported to management, and (iii) the frequency, volume and timing of sales in prior periods, sales expectation for future periods, and the reasons for such sales. The contractual cash flow characteristics of financial assets are assessed with reference to whether the cash flows represent SPPI. In assessing whether contractual cash flows are SPPI compliant, interest is defined as consideration primarily for the time value of money and the credit risk of the principal outstanding. The time value of money is defined as the element of interest that provides consideration only for the passage of time and not consideration for other risks or costs associated with holding the financial asset. Terms that could change the contractual cash flows so that it would not meet the condition for SPPI are considered, including: (i) contingent and leverage features, (ii) non-recourse arrangements and (iii) features that could modify the time value of money. **Financial assets/liabilities at amortised cost** Financial assets will be measured at amortised cost if they are held within a business model whose objective is to hold financial assets in order to collect/pay contractual cash flows, and their contractual cash flows represent solely receipts/payments of principal and interest. Loans and receivables and other financial assets are held at amortised cost. Financial liabilities are measured at amortised cost, except for trading liabilities and liabilities designated at fair value, which are held at fair value through profit or loss. Borrowings, repurchase agreements and other financial liabilities are held at amortised cost. **Accounting for financial assets at fair value through profit and loss account** Financial assets that are held for trading/mandatorily at fair value are recognised at fair value through profit or loss. In addition, financial assets are held at fair value through profit or loss if they do not contain contractual terms that give rise on specified dates to cash flows that are SPPI, or if the financial asset is not held in a business model that is either (i) a business model to collect the contractual cash flows or (ii) a business model that is achieved by both collecting contractual cash flows and selling. Subsequent changes in fair value for these instruments are recognised in the income statement in net investment income, except if reporting it in trading income reduces an accounting mismatch. **Determining the fair value** Where the classification of a financial instrument requires it to be stated at fair value, this is determined by reference to the quoted market price in an active market wherever possible. Where no such active market exists for the particular asset, the Company uses a valuation technique to arrive at the fair value, including the use of prices obtained in recent arms' length transactions, discounted cash flow analysis, option pricing models and other valuation techniques commonly used by market participants. **Collateral** The Company obtains collateral in respect of customer liabilities where this is considered appropriate. The collateral normally takes the form of a lien over the customer’s assets and gives the Company a claim on these assets for both existing and future liabilities. The Company also receives collateral in the form of cash or securities in respect of other credit instruments, such as stock borrowing contracts, and derivative contracts in order to reduce credit risk. Collateral received in the form of securities is not recorded on the balance sheet. Collateral received in the form of cash is recorded on the balance sheet with a corresponding liability. These items are assigned to deposits received from banks or other counterparties. Any interest payable or receivable arising thereon is recorded as interest expense or interest income respectively except for funding costs relating to trading activities which are recorded in net trading income. **Impairment** The Company is required to recognise expected credit losses (ECLs) based on unbiased forward-looking information for all financial assets at amortised cost, lease receivables, debt financial assets at fair value through other comprehensive income, loan commitments and financial guarantee contracts. Intercompany exposures, including loan commitments and financial guarantee contracts, are also in scope under IFRS 9 for ECL purposes. At the reporting date, an allowance (or provision for loan commitments and financial guarantees) is required for the 12 month ECLs. If the credit risk has significantly increased since initial recognition (Stage 2), or if the financial instrument is credit impaired (Stage 3) an allowance (or provision) should be recognised for the lifetime ECLs. The measurement of expected credit loss involves increased complexity and judgement, including estimation of probabilities of default, loss given default, a range of unbiased future economic scenarios, estimation of expected lives, and estimation of exposures at default and assessing significant increases in credit risk. (Refer Note 7). **Key concepts and management judgments** The impairment requirements are complex and require management judgments, estimates and assumptions. Key concepts and management judgments include: **Definition of default, credit impaired assets, write offs, and interest income recognition** The definition of default for the purpose of determining expected credit losses has been aligned to the Regulatory Capital CRR Article 178 definition of default, which considers indicators that the debtor is unlikely to pay, includes exposures in forbearance and is no later than when the exposure is more than 90 days past due. When exposures are identified as credit impaired or purchased or originated as such, IFRS 9 requires separate disclosure and interest income is required to be calculated on the carrying value net of the impairment allowance. **Expected life** Lifetime expected credit losses must be measured over the expected life. This is restricted to the maximum contractual life and takes into account expected prepayment, extension, call and similar options. The exceptions are certain revolver financial instruments, such as credit cards and bank overdrafts, that include both a drawn and an undrawn component where the Company’s contractual ability to demand repayment and cancel the undrawn commitment does not limit the Company’s exposure to credit losses to the contractual notice period. **Discounting** Expected credit losses are discounted at the effective interest rate (EIR) at initial recognition or an approximation thereof and consistent with income recognition. For loan commitments, the EIR is that rate that is expected to apply when the loan is drawn down and a financial asset is recognised. Issued financial guarantee contracts are discounted at a risk free rate. For variable/floating rate financial assets, the spot rate at the reporting date is used and projections of changes in the variable rate over the expected life are not made to estimate future interest cash flows or for discounting. **Modeling techniques** ECLs are calculated by multiplying three main components, being the probability of default (PD), loss given default (LGD) and the exposure at default (EAD), discounted at the original effective interest rate. The regulatory Basel Committee of Banking Supervisors (BCBS) ECL calculations are leveraged for IFRS 9 modelling but adjusted for key differences which include: * BCBS requires 12 month through the economic cycle losses whereas IFRS 9 requires 12 months or lifetime point in time losses based on conditions at the reporting date and multiple forecasts of the future economic conditions over the expected lives; * IFRS 9 models do not include certain conservative BCBS model floors and downturn assessments and require discounting to the reporting date at the original EIR rather than using the cost of capital to the date of default; * Management adjustments are made to modelled output to account for situations where known or expected risk factors and information have not been considered in the modelling process, for example forecast economic scenarios for uncertain political events; and * ECL is measured at the individual financial instrument level, however a collective approach where financial instruments with similar risk characteristics are grouped together, with apportionment to individual financial instruments, is used where effects can only be seen at a collective level, for example for forward-looking information. For the IFRS 9 impairment assessment, the Company applies the Barclays Group’s risk Models to determine the PD, LGD and EAD. For stage 2 and 3, the Company applies lifetime PDs but uses 12 month PDs for stage 1. The 12 month ECL is calculated by multiplying the 12 month PD, LGD and the EAD. The 12 month and lifetime PDs represent the PD occurring over the next 12 months and the remaining maturity of the instrument respectively. The EAD represents the expected balance at default, taking into account the repayment of principal and interest from the balance sheet date to the default event together with any expected drawdowns of committed facilities. The LGD represents expected losses on the EAD given the event of default, taking into account, among other attributes, the mitigating effect of collateral value at the time it is expected to be realised and the time value of money. **Offsetting financial assets and financial liabilities** Financial assets and liabilities are offset and the net amount reported in the balance sheet if, and only if, there is a legally enforceable right to set off the recognised amounts in all circumstances and there is an intention to settle on a net basis, or to realise an asset and settle the liability simultaneously. The Company enters into master agreements with counterparties whenever possible and, when appropriate, obtains collateral. Master agreements provide that, if an event of default occurs, all outstanding transactions with the counterparty will fall due and all amounts will be settled on a net basis. **Accounting for derivatives** Derivative instruments are contracts whose value is derived from one or more underlying financial instruments or indices defined in the contract. They include swaps, forward-rate agreements, futures, options and combinations of these instruments and primarily affect the Company’s net trading income and derivative assets and liabilities. Notional amounts of the contracts are not recorded on the balance sheet. All derivative instruments are held at fair value through profit or loss. Derivatives are classified as assets when their fair value is positive or as liabilities when their fair value is negative. This includes terms included in a contract or financial liability (the host), which, had it been a standalone contract, would have met the definition of a derivative. If these are separated from the host, i.e. when the economic characteristics of the embedded derivative are not closely related with those of the host contract and the combined instrument is not measured at fair value through profit or loss, then they are accounted for in the same way as derivatives. For financial assets, the requirements are whether the financial asset contains contractual terms that give rise on specified dates to cash flows that are SPPI, and consequently the requirements for accounting for embedded derivatives are not applicable to financial assets. **(g) Securities borrowing, securities lending, repurchase and reverse repurchase agreements** Securities may be lent or sold subject to a commitment to repurchase them (stock lending arrangement). Such securities are retained on the balance sheet when substantially all the risks and rewards of ownership remain with the Company, and the counterparty liability is included separately on the balance sheet when cash consideration is received. Similarly, where the Company borrows or purchases securities subject to a commitment to resell them (stock borrowing arrangement) but does not acquire the risks and rewards of ownership, the transactions are treated as collateralised loans when cash consideration is paid, and the securities are not included in the balance sheet. These secured financing transactions are mandatorily or designated (as applicable) at fair value, and presented in the financial assets/liabilities at fair value through income statement unless accounted for at amortised cost. **(h) Investments in subsidiaries** Investments in subsidiaries are carried at cost less any accumulated impairment, if any. **(i) Cash and cash equivalents** For the purposes of the statement of cash flows, cash comprises on demand deposits and cash equivalents. Cash equivalents comprise highly liquid investments that are convertible into cash with an insignificant risk of changes in value with original maturities of three months or less. Trading balances are not considered to be part of cash equivalents. **Client Money** Segregated client funds are excluded from the balance sheet of the Company in line with Financial Conduct Authority (FCA) Client Money Rules set out in the Client Assets Sourcebook Handbook (“CASS”) CASS 7 Client Money Rules. For further details, please refer to Note 10. **(j) Issued financial instruments** Issued financial instruments or their components are classified as liabilities where the contractual arrangement results in the Company having a present obligation to either deliver cash or another financial asset to the holder, to exchange financial instruments on terms that are potentially unfavourable or to satisfy the obligation otherwise than by the exchange of a fixed amount of cash or another financial asset for a fixed number of equity shares. Issued financial instruments, or their components, are classified as equity where they meet the definition of equity and confer on the holder a residual interest in the assets of the Company. The components of issued financial instruments that contain both liability and equity elements are accounted for separately with the equity component being assigned the residual amount after deducting from the instrument as a whole the amount separately determined as the fair value of the liability component. **(k) Share capital and dividends** **Share issue costs** Incremental costs directly attributable to the issue of new shares or options or the acquisition of a business are shown in equity as a deduction, net of tax, from the proceeds. **Dividends on ordinary shares** Dividends on ordinary shares are recognised in equity in the period in which they are paid or, if earlier, approved by the Company’s shareholders. **(l) Provisions and contingent liabilities** Provisions are recognised for present obligations arising as consequences of past events where it is more likely than not that a transfer of economic benefits will be necessary to settle the obligation, and these can be reliably estimated. Contingent liabilities are possible obligations whose existence will be confirmed only by uncertain future events or present obligations where the transfer of economic benefit is uncertain or cannot be reliably measured. Contingent liabilities are not recognised on the balance sheet but are disclosed unless the likelihood of an outflow of economic resources is remote. **(m) Critical accounting estimates and judgments** The preparation of financial statements in accordance with IFRS requires the use of estimates. It also requires management to exercise judgement in applying the accounting policies. The key areas involving a higher degree of judgement or complexity, or areas where assumptions are significant to the financial statements are disclosed in Fair Value of Financial Instruments in Note 26 and Taxation in Note 9. There are no other areas involving critical accounting estimates and judgements. ### 4. Interest expense | | 2023 | 2022 | | --- | --- | --- | | Net interest expense | (9,711) | (8,827) | | | (9,711) | (8,827) | Net interest expense majorly relates to interest on Subordinated Debt funding of £300m (2022: £300m) held at amortised cost. ### 5. Net fee and commission income The Company applies IFRS 15 Revenue from Contracts with Customers. The standard establishes a five-step model governing revenue recognition. The five-step model requires the Company to (i) identify the contract with the customer, (ii) identify each of the performance obligations included in the contract, (iii) determine the amount of consideration in the contract, (iv) allocate the consideration to each of the identified performance obligations and (v) recognise revenue as each performance obligation is satisfied. The Company recognises fee and commission income charged for services provided by the Company on completion of the underlying transaction. Fee and commission income is disaggregated by fee types that reflect the nature of the services offered by the Company in accordance with IFRS 15. All fee and commission income is accounted for in scope of IFRS 15. Information on the services provided and fee types is detailed below. | | 2023 | 2022 | | --- | --- | --- | | **Fee Type** | | | | Markets Execution | 246,740 | 177,126 | | Management and Advisory | 38,466 | 30,821 | | Service fees from Affiliates | 9,826 | 6,970 | | **Total revenue from contracts with customers** | **295,032** | **214,917** | | Transfer pricing and revenue share | (57,892) | (31,738) | | **Fee and commission income** | **237,140** | **183,179** | | Non Affiliates | (63,027) | (33,174) | | Affiliates | (102,263) | (84,262) | | **Fee and commission expense** | **(165,290)** | **(117,436)** | | **Net fee and commission income** | **71,850** | **65,743** | **Fee types** **Markets Execution** Markets Execution fees are earned for executing client transactions with various exchanges and over-the-counter markets and assisting clients with clearing transactions. Markets Execution fees are recognised at the point in time the associated service has been completed which is generally the trade date of the transaction. Markets Execution fees are earned by the Company as part of a collaborative arrangement with affiliated entities. Collaborative arrangements are outside the scope of IFRS15 however are recognised following the revenue recognition pattern of the underlying activity in accordance with IFRS15 principles. The amounts reported in Markets Execution fees are the Company’s gross revenues prior to the allocation to the affiliates under transfer pricing and revenue sharing agreements. **Management and Advisory Fees** Advisory fees relate to research services to deliver differentiated market insight, actionable ideas and collaborative services. The fees are recognised at the point in time when the services related to the transaction have been completed under the terms of engagement and the related cost is recognised as incurred in fee and commission expense. **Service fees from Affiliates** Fee and commission income includes Sales credits revenues which are compensation for services provided by the Company to an affiliate entity. Sales credits are in scope of IFRS 15 and are generally recognised at point in time when the services related to the transaction have been completed and the Company is entitled to the compensation. **Transfer pricing and revenue share** Transfer pricing expenses relate to a revenue allocation process (revenue sharing) between affiliate entities for transactions where the affiliate entities mutually provide services to a customer. Profit sharing revenues relate to a global profit split used to allocate net revenue for certain businesses when multiple affiliated entities participate in delivering the service to customers, but it is not possible to determine an arm’s length remuneration amount through a sales credit or transfer pricing process. Both transfer pricing and profit sharing revenues are collaborative arrangements outside the scope of IFRS15 however are recognised following the revenue recognition pattern of the underlying activity in accordance with IFRS15 principles. **Fee and Commission Expense - Non Affiliates** There are no significant costs incurred to obtain the performance/execution contracts. Costs to fulfil the contracts include the execution fees and clearing fees charged by third parties, agents fees, brokerage paid and the registry/messaging services fees, which are recognised as incurred. There are no other costs that are incurred to generate or enhance resources to satisfy future performance obligations on a continuous basis. **Fee and Commission Expense - Affiliates** Fee and commission expenses paid to affiliates include Sales credits paid to affiliates for sales services provided to the Company. These sales services are directly incremental to the Company generating income, which include both fee and commission income and net trading income. **Remaining performance obligations** The Company applies the practical expedient of IFRS 15 and does not disclose information about remaining performance obligations that have original expected durations of one year or less or because the Company has a right to consideration that corresponds directly with the value of the service provided to the client or customer. Upon review, the Company determined that no material remaining performance obligations are in scope of the remaining performance obligations disclosure. **Contract assets and contract liabilities** The Company has no material contract assets or contract liabilities as at 31 December 2023. ### 6. Net trading income | | 2023 | 2022 | | --- | --- | --- | | Net trading income | 613,886 | 709,572 | | | 613,886 | 709,572 | The amounts presented in the above table are net of transfer pricing arrangements and profit sharing agreements with affiliates. ### 7. Credit impairment | | Impairment | Recoveries and Reimbursements | Total 2023 | Impairment | Recoveries and Reimbursements | Total 2022 | | --- | --- | --- | --- | --- | --- | --- | | Loans and other receivables at amortised cost | (132) | — | (132) | (5,076) | 4,907 | (169) | | **Total Impairment Charges** | **(132)** | **—** | **(132)** | **(5,076)** | **4,907** | **(169)** | Refer Note 30 for more details on impairment movements during the year. ### 8. Operating expenses | | 2023 | 2022 | | --- | --- | --- | | **Operating expenses type:** | | | | Recharges | (317,079) | (276,576) | | Auditor’s remuneration | | | | - Audit of the Company's financial statements$^a$ | (154) | (154) | | - Other audit related services$^b$ | (500) | (491) | | Others$^c$ | (13,051) | (479) | | **Total** | **(330,784)** | **(277,700)** | The majority of operating expenses of the Company, including staff costs and administrative costs, have been incurred by parent/fellow subsidiary undertakings and recharged by way of management charges. **Notes** $^a$ Comprises the fees for the statutory audit of the Company. $^b$ Comprises services in relation to statutory and regulatory filings. These include audit services for the review of interim financial information. $^c$ Comprises guarantee fees charged by BBPLC for provision of contractual guarantees to cover the Company’s credit exposures arising from counterparty credit risk. Refer Note 33 on Capital management for more details. #### Employees and key management personnel, including Directors emoluments The Company had no direct employees during 2023 and 2022. All staff employed in the business were contracted to Barclays Bank Plc (BBPLC) or Barclays Execution Services Limited. These costs are included in the recharges above. Disclosures of the Directors’ remuneration as required by the Companies Act 2006 are as follows: | | 2023 | 2022 | | --- | --- | --- | | Aggregate remuneration in respect of qualifying services | (62) | (53) | | Aggregate amounts receivable under long-term incentive schemes | — | — | | Aggregate contributions due to Barclays Group Pension scheme | — | — | | **Total** | **(62)** | **(53)** | **Key management personnel compensation** Key management personnel are those persons having authority and responsibility for planning, directing and controlling the activities of the Company, including the Directors of the Company listed on page 10. The Directors are employed by another Group company and their services to this Company are considered incidental to other services provided. The Directors did not receive any emoluments; were not entitled to any benefits under Long term Incentive Schemes or the Share Value Plan and did not accrue any retirement benefits in respect of their services to the Company during the year (2022: Nil). No Directors exercised options under Long Term Incentive Schemes during the year (2022: Nil). The Company has made no loans, guarantees or other such dealings to its Directors during the year (2022: Nil). ### 9. Taxation | | 2023 | 2022 | | --- | --- | --- | | **Major components of the tax expense** | | | | **Current tax charge:** | | | | Current year | (112,959) | (159,310) | | Adjustments for prior years | (19,360) | — | | | (132,319) | (159,310) | | **Deferred tax credit:** | | | | Current year | 65 | 64 | | Adjustments for prior years | — | — | | Rate change adjustment | — | 56 | | | 65 | 120 | | **Tax charge** | **(132,254)** | **(159,190)** | The Finance Act 2021 passed into legislation in May 2021 and increased the main rate of UK corporation tax from 19% to 25% effective from 1 April 2023. The Company used a blended UK Corporation Tax rate of 23.52% to calculate the current tax balances for the year ended 31 December 2023. In addition, a blended surcharge of 4.23% has been applied which made the total corporation tax rate as 27.75%. The table below shows the reconciliation between the actual tax charge and the tax charge that would result from applying the standard UK corporation tax rate to the Company’s profit before tax. | | 2023 | 2022 | | --- | --- | --- | | Profit before taxation | 345,109 | 488,619 | | Tax charge based on the standard UK corporation tax rate of 27.75% (2022: 27% ) | (95,780) | (131,927) | | **Tax effect of adjustments on taxable income** | | | | Adjustments in respect of prior years | (19,360) | — | | Non-creditable taxes including withholding taxes | (40,874) | (22,971) | | Non–taxable income | (70) | (46) | | AT1 tax credit | 14,475 | 4,020 | | Impact of change in tax rates | — | 56 | | Provision on withholding tax reclaims | 9,355 | (8,322) | | | (132,254) | (159,190) | | **Effective tax rate** | **38.32 %** | **32.58 %** | The effective tax rate of 38.32% (2022: 32.58%) is greater than the UK statutory tax rate of 27.75% (being the aggregate of the 23.52% corporation tax rate and the 4.23% banking surcharge rate) due to (a) the fact that a portion of the withholding tax suffered on foreign dividends has been treated as non-creditable for UK tax purposes and has been charged to the tax line in the year and (b) an adjustment in respect of prior years related to ongoing enquiries by European tax authorities into withholding taxes. ### 10. Cash and cash equivalents Cash and cash equivalents consist of: | | 2023 | 2022 | | --- | --- | --- | | Bank Balances | 1,040,469 | 849,606 | The Company holds monies on behalf of some clients in accordance with the Client Money Rules issued by the FCA. These client monies are separated from the Company’s funds and are held in segregated bank accounts, and are excluded from the Balance Sheet of the Company as stated in Note 3(i). As at 31 December 2023, the Company’s client monies amounted to £148,547,293 (2022: £131,582,292). ### 11. Trading portfolio | | 2023 | 2022 | | --- | --- | --- | | **Trading portfolio assets** | | | | Equity securities | 26,418,290 | 27,979,889 | | Debt securities | 385,402 | 255,356 | | **Total** | **26,803,692** | **28,235,245** | | **Trading portfolio liabilities** | | | | Equity securities | 16,109,874 | 27,512,338 | | Debt securities | 16,149 | 39,923 | | **Total** | **16,126,023** | **27,552,261** | Refer Note 26 for analysis of the fair values of these securities and the valuation methodology, Note 30 for credit risk and Note 31 for maturity disclosures. ### 12. Derivative financial instruments | As at 31 December 2023 | Fair value assets | Fair value liabilities | | --- | --- | --- | | Foreign exchange derivatives | | | | Foreign exchange forwards | 316,718 | 348,153 | | Foreign exchange options | 21,755 | 2 | | Currency swaps | 131,030 | 152,285 | | Interest rate derivatives | | | | Interest rate swaps | 634,267 | 747,237 | | Equity and stock index derivatives | | | | Options bought and sold | 2,222,679 | 3,370,597 | | Swaps and forwards | 4,283,960 | 4,765,816 | | Exchange traded futures/options (bought/sold) | 2,967,454 | 3,282,308 | | Credit derivatives | | | | OTC swaps | — | 1,132 | | **Total derivatives held for trading** | **10,577,863** | **12,667,530** | | As at 31 December 2022 | Fair value assets | Fair value liabilities | | --- | --- | --- | | Foreign exchange derivatives | | | | Foreign exchange forwards | 2,750,195 | 2,659,945 | | Foreign exchange options | 35,661 | 3,824 | | Currency swaps | 394,713 | 485,226 | | Interest rate derivatives | | | | Interest rate swaps | 897,953 | 1,145,112 | | Equity and stock index derivatives | | | | Options bought and sold | 4,761,362 | 4,444,398 | | Swaps and forwards | 1,940,606 | 2,360,930 | | Exchange traded futures/options (bought/sold) | 4,333,196 | 4,649,966 | | Credit derivatives | | | | OTC swaps | — | 578 | | **Total derivatives held for trading** | **15,113,686** | **15,749,979** | Refer Note 26 for analysis of the fair values of these derivatives and the valuation methodology, Note 30 for credit risk and Note 31 for maturity disclosures. ### 13. Securities borrowing, securities lending, repurchase and reverse repurchase agreements Reverse repurchase agreements (and stock borrowing or similar transactions) are a form of secured lending whereby the Company provides a loan or cash collateral in exchange for the transfer of collateral, generally in the form of marketable securities subject to an agreement to transfer the securities back at a fixed price in the future. Repurchase agreements are where the Company obtains such loans or cash collateral, in exchange for the transfer of collateral. The securities are retained on the balance sheet as the Company retains substantially all the risks and rewards of ownership. **Repurchase agreements at amortised cost** | | 2023 | 2022 | | --- | --- | --- | | Non-current liabilities | 2,543,951 | 4,974,494 | | **Total** | **2,543,951** | **4,974,494** | The Company’s repurchase agreements at amortised cost are transactions with a fellow subsidiary of the Company’s parent BBPLC. ### 14. Financial assets mandatorily at fair value | | 2023 | 2022 | | --- | --- | --- | | **Current assets:** | | | | Debt securities | 10,045 | 119,043 | | Loans and Advances | 10,454,671 | 7,042,103 | | Reverse Repurchase agreements | 66,137,855 | 53,989,351 | | **Total** | **76,602,571** | **61,150,497** | | **Non-current assets:** | | | | Debt securities | 210,448 | 108,801 | | Loans and Advances | 71,039 | 92,761 | | Reverse Repurchase agreements | — | — | | **Total** | **281,487** | **201,562** | Debt securities are mainly Notes issued by BBPLC and its subsidiaries, which the Company buys in the secondary market in its capacity as market maker for the Notes. Refer Note 26 for analysis of the fair values of these instruments and the valuation methodology, Note 30 for credit risk, Note 31 for maturity disclosures and Note 34 for balances with related parties consisting of the Company’s parent BBPLC and its subsidiaries. ### 15. Loans and other receivables at amortised cost | | 2023 | 2022 | | --- | --- | --- | | **Current assets:** | | | | Settlement balances | 13,145,927 | 10,368,546 | | Other loans and receivables | 37,122,132 | 24,344,969 | | **Total** | **50,268,059** | **34,713,515** | | **Non-current assets:** | | | | Other loans and receivables | 986,957 | 1,060,793 | | **Total** | **986,957** | **1,060,793** | The majority of the Company’s loans and other receivables are transactions with related parties consisting of the Company’s parent BBPLC and its subsidiaries (Note 34). ### 16. Other assets | | 2023 | 2022 | | --- | --- | --- | | Trade and other receivables - Financial | 323,983 | 294,986 | | Trade and other receivables - Non Financial | 85,601 | 84,208 | | **Total** | **409,584** | **379,194** | ### 17. Deferred tax liabilities The following table shows the movement on deferred tax assets and liabilities during the year. | Assets | As at 1-Jan-23 | Transitional Adjustment | Prior year adjustment to income statement | (Charge)/Credited to Income Statement | As at 31-Dec-23 | | --- | --- | --- | --- | --- | --- | | Other provisions | (329) | - | - | 65 | (264) | | **Deferred tax assets/ (liabilities)** | **(329)** | **—** | **—** | **65** | **(264)** | | Falling due in one year | | | | | - | | Falling due after one year | | | | | (264) | | Assets | As at 1-Jan-22 | Transitional Adjustment | Prior year adjustment to income statement | (Charge)/Credited to Income Statement | As at 31-Dec-22 | | --- | --- | --- | --- | --- | --- | | Other provisions | (449) | - | - | 120 | (329) | | **Deferred tax assets/ (liabilities)** | **(449)** | **—** | **—** | **120** | **(329)** | | Falling due in one year | | | | | - | | Falling due after one year | | | | | (329) | Deferred tax balances as at 31 December 2023 have been measured at the tax rate to be applied when temporary differences are expected to reverse. The UK Government enacted legislation in 2023 to implement the OECD Inclusive Framework on Base Erosion and Profit Shifting Pillar Two Framework to introduce a global minimum tax rate of 15% and a UK domestic minimum tax which will apply for accounting periods beginning on or after 31 December 2023. The Company has adopted the International Tax Reform - Pillar Two Model Rules amendments to IAS 12, which were issued on 23 May 2023 and approved by the UK Endorsement Board on 19 July 2023, and has applied the exception set out in paragraph 4A in respect of recognising and disclosing information about deferred tax assets and liabilities related to Pillar Two income taxes. The Company has reviewed the published UK legislation alongside the OECD model rules and guidance and has performed an assessment of the expected impact of the new regime. No additional taxes resulting from the implementation of Pillar Two are expected to arise in the Company. There are no deferred income tax assets as of 31 December 2023 (2022: Nil) which had not been recognised on unused foreign tax credits to the extent that they are not regarded as recoverable in the foreseeable future. ### 18. Investment in subsidiary | Name of Subsidiary | Registered Office Address | Class of Shares/ Units | Name of immediate parent | Total proportion of Nominal value held by immediate parent (%) | | --- | --- | --- | --- | --- | | Barclays Capital Nominees (No. 2) Limited | 1 Churchill Place, London, E14 5HP, England | Ordinary | Barclays Capital Securities Limited | 100 | As at 31 December 2023, the carrying value of investment in subsidiary is £100 (2022: £100). Consolidated financial statements have not been prepared. See Note 1. ### 19. Financial liabilities designated at fair value | Current liabilities | Fair Value 2023 | Contractual amount due on maturity 2023 | Fair Value 2022 | Contractual amount due on maturity 2022 | | --- | --- | --- | --- | --- | | Deposits | 2,344,994 | 2,347,163 | 2,969,278 | 2,973,260 | | Repurchase agreements | 54,137,846 | 54,199,363 | 43,710,076 | 43,776,477 | | Other financial liabilities | 215,316 | 223,746 | 136,952 | 138,812 | | **Total** | **56,698,156** | **56,770,272** | **46,816,306** | **46,888,549** | | Non-current liabilities | Fair Value 2023 | Contractual amount due on maturity 2023 | Fair Value 2022 | Contractual amount due on maturity 2022 | | --- | --- | --- | --- | --- | | Other financial liabilities | 446,971 | 509,153 | 318,403 | 378,343 | | **Total** | **446,971** | **509,153** | **318,403** | **378,343** | Financial liabilities designated at fair value are primarily made up of deposits, repurchase agreements and fully funded derivatives with affiliates. Refer Note 26 for analysis of the fair values of these instruments and the valuation methodology and Note 31 for maturity disclosures. ### 20. Borrowings | | 2023 | 2022 | | --- | --- | --- | | **Current liabilities:** | | | | Bank loans and overdrafts | 60,823,901 | 31,991,898 | | Other borrowings | 1,030,627 | 230,030 | | Settlement balances | 12,545,441 | 10,932,464 | | **Total** | **74,399,969** | **43,154,392** | | **Non-current liabilities:** | | | | Bank loans and overdrafts | 873,191 | 15,762 | | Other borrowings | 300,000 | 300,000 | | **Total** | **1,173,191** | **315,762** | The majority of the Company’s borrowings have a contractual maturity of not more than three months (Note 31). Other borrowings include subordinated callable notes issued to BBPLC in two tranches of £150m each with a contractual maturity of five to ten years (Note 31 and 33). These are redeemable by the Company on providing a notice of not less than 30 days to BBPLC. Any repayments prior to maturity will require the prior consent of the PRA. The fair value of borrowings is set out in Note 26. ### 21. Other liabilities | | 2023 | 2022 | | --- | --- | --- | | Trade & other payables - Financial | 469,259 | 507,194 | | Trade & other payables - Non Financial | 14,792 | 14,626 | | **Total** | **484,051** | **521,820** | ### 22. Current tax liabilities | | 2023 | 2022 | | --- | --- | --- | | Current tax liabilities are as follows: | | | | UK corporation tax payable | 38,171 | 68,645 | ### 23. Shareholders’ equity **(i) Share capital** BCSL is a Company limited by shares. Particulars of the Company’s share capital were as follows: | | 2023 | 2022 | | --- | --- | --- | | **Authorized** | | | | 650,000,000.00 Ordinary shares | 650,000 | 650,000 | | 1,000 non-cumulative preference shares | 1 | 1 | | 661,499,000 Redeemable non-cumulative preference shares | 661,499 | 661,499 | | **As at 31 December** | **1,311,500** | **1,311,500** | | **Allotted and fully paid** | | | | 571,070,000 Ordinary shares | 571,070 | 571,070 | | 1,000 non-cumulative preference shares | 1 | 1 | | **As at 31 December** | **571,071** | **571,071** | The par value of the ordinary shares is £1 each. The par value of the preference shares is £1 each. All issued shares are fully paid. Preference shares have priority over ordinary shares in the payment of dividends or in the event of a winding up. The ordinary shareholders are entitled to vote at any general meeting of the Company, whereas the preference shareholders have no voting rights. **(ii) Other equity instruments** Other equity instruments issued by the Company comprise floating rate perpetual subordinated write down securities (AT1 securities). The AT1 securities are perpetual securities with no fixed maturity and are structured to qualify as AT1 instruments under prevailing capital rules applicable as at the relevant issue date. | | Initial call date | 2023 | 2022 | | --- | --- | --- | --- | | Additional Tier 1 (AT1) securities issuance | 2027 | 300,000 | 300,000 | | | 2024 | 200,000 | 200,000 | | **As at 31 December** | | **500,000** | **500,000** | The principal terms of the AT1 securities are described below: * AT1 securities rank behind the claims against the Company of 1) unsubordinated creditors; 2) claims which are expressed to be subordinated to the claims of unsubordinated creditors of the Company but no further or otherwise; 3) claims which are in respect of any secondary non preferential debts; 4) claims which are, or are expressed to be, junior to the claims of other creditors of the Company, whether subordinated or unsubordinated, other than those whose claims rank, or are expressed to rank, pari passu with, or junior to, the claims of the Holders of the AT1 securities. * Should the CET1 ratio of the Company fall below 7%, the AT1 securities are irrevocably written down by an amount equal to the lower of 1) the amount necessary to generate sufficient CET1 capital to restore the Company’s CET1 ratio to at least 7%; or 2) the amount that would reduce the principal amount of the AT1 securities to zero. * If the Company is wound-up (except for a solvent winding-up solely for the purpose of a merger, reconstruction or amalgamation) or an administrator of the Company gives notice that it intends to declare and distribute a dividend, and if any of those two events occurs before the Company’s CET1 ratio falls below 7% then the holders of AT1 instruments would be the most senior class of preference shares and would rank ahead of the holders of all other classes of issued shares for the time being in the capital of the Company. * AT1 securities bear a floating rate of interest. Interest on the AT1 securities is due and payable only at the sole discretion of the Company, and the Company shall have sole and absolute discretion at all times and for any reason to cancel (in whole or in part) any interest payment that would otherwise be payable on any interest payment date. * AT1 securities are undated and are redeemable, at the option of the Company, in whole or in part five years from the date of issue and every three months thereafter. In addition, the AT1 securities are redeemable, at the option of the Company, in whole in the event of certain changes in the tax or regulatory treatment of the AT1 securities. Any redemptions require the prior consent of the PRA. The Company’s parent BBPLC has the 100% ownership of all the other equity instruments issued by the company. **(iii) Dividends** No dividends were paid out during the financial year ended 31 December 2023 (2022: Interim dividends of £75m were paid out) on ordinary shares. The Directors recommend the payment of a final dividend of £35m for the year (2022: Nil). ### 24. Other reserves | | 2023 | 2022 | | --- | --- | --- | | Capital redemption reserve | 250,000 | 250,000 | | **Total** | **250,000** | **250,000** | **Capital redemption reserve** The capital redemption reserve was created in relation to the redemption of preference shares during the year 2019. ### 25. Interest in structured entities A structured entity is an entity in which voting or similar rights are not the dominant factor in deciding who controls it. Structured entities are generally created to achieve a narrow and well defined objective and there are specific restrictions around their ongoing activities. **Unconsolidated structured entities** The Company may hold interests in structured entities it would not have to consolidate even if consolidated financial statements were prepared; and where it holds no interests in structured entities, it may have sponsored the entity. The nature and extent of its interests in unconsolidated structured entities, and the risks associated with its interest in those entities are set out below. **Unconsolidated structured entities in which the Company has an interest** An interest in a structured entity is any form of contractual or non-contractual involvement which creates variability in returns arising from the performance of the structured entity for the Company but which it is not able to influence or is insufficient to lead to the consolidation of the structured entity. Such interests include but are not limited to holdings of debt or equity securities, derivatives that transfer financial risks to the Company, and in some cases financial guarantees and investment management fee agreements. At market, plain-vanilla interest rate swaps and derivatives that are determined to introduce risk to a structured entity are not considered to be an interest in an entity. The level of risk that the Company is exposed to is determined by the nature and purpose of it holding an interest in the entity. Summary of interests in unconsolidated structured entities: | Balance Sheet line item | 2023 | 2022 | | --- | --- | --- | | Financial assets mandatorily at fair value (Secured financing balances) | 1,933,631 | 1,425,492 | **Secured financing** The Company routinely enters into reverse repurchase contracts, margin lending, stock borrowing and similar arrangements on normal commercial terms where the counterparty to the arrangement is a structured entity. Due to the nature of these arrangements, especially the transfer of collateral and on-going margining, the Company is able to manage its variable exposure to the performance of the structured entity counterparty. ### 26. Fair value of financial instruments Wherever possible, fair value is determined by reference to a quoted market price for that instrument. For many of the Company’s financial assets and liabilities, especially derivatives, quoted prices are not available, and valuation models are used to estimate fair value. The models calculate the expected cash flows under the terms of each specific contract, and then discount these values back to a present value. These models use as their basis independently sourced market parameters including, for example, interest rate yield curves, equities and commodities prices, option volatilities and currency rates. For financial liabilities held at fair value, the carrying amount reflects the effect on fair value of changes in own credit spreads derived from observable market data, such as spreads on Barclays issued bonds or credit default swaps (CDS). Most market parameters are either directly observable or are implied from instrument prices. The model may perform numerical procedures in the pricing such as interpolation when input values do not directly correspond to the most actively traded market trade parameters. On initial recognition, it is presumed that the transaction price is the fair value unless there is observable information available in an active market to the contrary. For valuations that have made use of unobservable inputs, the difference between the model valuation and the initial transaction price (‘Day One profit’) is recognised in profit or loss either: * on a straight-line basis over the term of the transaction; or over the period until all model inputs will become observable where appropriate; or * released in full when previously unobservable inputs become observable. In case of ‘Day one loss’ the same is recognised upfront in the profit or loss. Various factors influence the availability of observable inputs and these may vary from product to product and change over time. Factors include the depth of activity in the relevant market, the type of product, whether the product is new and not widely traded in the marketplace, the maturity of market modelling and the nature of the transaction (bespoke or generic). To the extent that valuation is based on models or inputs that are not observable in the market, the determination of fair value can be more subjective, dependent on the significance of the unobservable input to the overall valuation. Unobservable inputs are determined based on the best information available, for example by reference to similar assets, similar maturities or other analytical techniques. The sensitivity of valuations used in the financial statements to possible changes in significant unobservable inputs is shown on page 54. **Critical accounting estimates and judgements** The valuation of financial instruments often involves a significant degree of judgement and complexity, in particular where valuation models make use of unobservable inputs (‘Level 3’ assets and liabilities). This note provides information on these instruments, including the related unrealised gains and losses recognised in the period, a description of significant valuation techniques and unobservable inputs, and a sensitivity analysis. **Valuation** IFRS 13 Fair Value Measurement requires an entity to classify its assets and liabilities according to a hierarchy that reflects the observability of significant market inputs. The three levels of the fair value hierarchy are defined below. **Quoted market prices – Level 1** Assets and liabilities are classified as Level 1 if their value is observable in an active market. Such instruments are valued by reference to unadjusted quoted prices for identical assets or liabilities in active markets where the quoted price is readily available, and the price represents actual and regularly occurring market transactions. An active market is one in which transactions occur with sufficient volume and frequency to provide pricing information on an ongoing basis. **Valuation technique using observable inputs – Level 2** Assets and liabilities classified as Level 2 have been valued using models whose inputs are observable in an active market. Valuations based on observable inputs include assets and liabilities such as swaps and forwards which are valued using market standard pricing techniques, and options that are commonly traded in markets where all the inputs to the market standard pricing models are observable. Level 2 valuation techniques can also include unobservable inputs that are not significant of the fair value measurement in its entirety. **Valuation technique using significant unobservable inputs – Level 3** Assets and liabilities are classified as Level 3 if their valuation incorporates significant inputs that are not based on observable market data (unobservable inputs). A valuation input is considered observable if it can be directly observed from transactions in an active market, or if there is compelling external evidence demonstrating an executable exit price. Unobservable input levels are generally determined via reference to observable inputs, historical observations or using other analytical techniques. The following table shows the Company’s assets and liabilities that are held at fair value disaggregated by valuation technique (fair value hierarchy) and balance sheet classification: | As at 31 December 2023 | Quoted market prices (Level 1) | Observable inputs (Level 2) | Significant unobservable inputs (Level 3) | Total | | --- | --- | --- | --- | --- | | **Financial assets** | | | | | | Trading portfolio assets | 26,276,227 | 400,170 | 127,295 | 26,803,692 | | Derivative financial assets | — | 10,512,835 | 65,028 | 10,577,863 | | Financial assets at fair value | — | 76,884,058 | — | 76,884,058 | | **Total assets** | **26,276,227** | **87,797,063** | **192,323** | **114,265,613** | | | Quoted market prices (Level 1) | Observable inputs (Level 2) | Significant unobservable inputs (Level 3) | Total | | --- | --- | --- | --- | --- | | **Financial liabilities** | | | | | | Trading portfolio liabilities | (16,108,104) | (17,179) | (740) | (16,126,023) | | Derivative financial liabilities | — | (12,400,747) | (266,783) | (12,667,530) | | Financial liabilities at fair value | — | (57,145,127) | — | (57,145,127) | | **Total liabilities** | **(16,108,104)** | **(69,563,053)** | **(267,523)** | **(85,938,680)** | | As at 31 December 2022 | Quoted market prices (Level 1) | Observable inputs (Level 2) | Significant unobservable inputs (Level 3) | Total | | --- | --- | --- | --- | --- | | **Financial assets** | | | | | | Trading portfolio assets | 27,189,061 | 935,703 | 110,481 | 28,235,245 | | Derivative financial assets | — | 14,984,291 | 129,395 | 15,113,686 | | Financial assets at fair value | — | 61,352,059 | — | 61,352,059 | | **Total assets** | **27,189,061** | **77,272,053** | **239,876** | **104,700,990** | | | Quoted market prices (Level 1) | Observable inputs (Level 2) | Significant unobservable inputs (Level 3) | Total | | --- | --- | --- | --- | --- | | **Financial liabilities** | | | | | | Trading portfolio liabilities | (27,119,284) | (432,977) | — | (27,552,261) | | Derivative financial liabilities | — | (15,592,609) | (157,370) | (15,749,979) | | Financial liabilities at fair value | — | (47,134,709) | — | (47,134,709) | | **Total liabilities** | **(27,119,284)** | **(63,160,295)** | **(157,370)** | **(90,436,949)** | **Assets and liabilities reclassified between Level 1 and Level 2** During the period, there were no transfers between Level 1 and Level 2 (2022: there were no transfers between Level 1 and Level 2). **Level 3 movement analysis** The following table summarises the movements in the level 3 balances during the year. The table shows gains and losses and includes amounts for all assets and liabilities transferred to and from level 3 during the year. Trading portfolio is disclosed on net basis as the Trading portfolio liabilities balance is immaterial. Transfers have been reflected as if they have taken place at the beginning of the year. | As at 1 January 2023 | Purchases | Sales | Settlements | Issues | Total gains and losses in the year recognised in the income statement | Transfers In/(out)$^a$ | As at 31 December 2023 | | --- | --- | --- | --- | --- | --- | --- | --- | | Net trading portfolio assets (Cash Products) | 110,481 | 6,784 | | (15,765) | | 12,595 | 12,460 | 126,555 | | Net derivative financial instruments (Equity derivatives) | (27,975) | (136,466) | | (38,331) | | (1,608) | 2,625 | (201,755) | | **Total** | **82,506** | **(129,682)** | **—** | **(54,096)** | **—** | **10,987** | **15,085** | **(75,200)** | | As at 1 January 2022 | Purchases | Sales | Settlements | Issues | Total gains and losses in the year recognised in the income statement | Transfers In/(out)$^a$ | As at 31 December 2022 | | --- | --- | --- | --- | --- | --- | --- | --- | | Net trading portfolio assets (Cash Products) | 145,553 | 4,141 | | (733) | | (38,480) | | 110,481 | | Net derivative financial instruments (Equity derivatives) | 19,133 | 3,753 | | 85 | | 1,525 | (52,471) | (27,975) | | **Total** | **164,686** | **7,894** | **—** | **(648)** | **—** | **(36,955)** | **(52,471)** | **82,506** | $^a$ Transfers out for the year £0.5m (2022: £56.2m) **Valuation techniques and sensitivity analysis** Sensitivity analysis is performed on products with significant unobservable inputs (Level 3) to generate a range of reasonably possible alternative valuations. The sensitivity methodologies applied take account of the nature of valuation techniques used, as well as the availability and reliability of observable proxy and historical data and the impact of using alternative models. Sensitivities are dynamically calculated on a monthly basis. The calculation is based on range or spread data of a reliable reference source or a scenario based on relevant market analysis alongside the impact of using alternative models. Sensitivities are calculated without reflecting the impact of any diversification in the portfolio. The valuation techniques used, observability and sensitivity analysis for material products within Level 3, are described below. **Equity derivatives** Description: Exchange traded or OTC derivatives linked to equity indices and single names. The category includes vanilla and exotic equity products. Valuation: Equity derivatives are valued using industry standard models. Valuation inputs include stock prices, dividends, volatilities, interest rates, equity repurchase curves and for multi-asset products, correlations. Observability: In general, valuation inputs are observable up to liquid maturities which are determined separately for each input and underlying. Unobservable inputs are set by referencing liquid market instruments and applying extrapolation techniques, or inferred via another reasonable method. **Cash products** Description: Includes listed equities, listed debt securities, Exchange Traded Funds (ETF) and preference shares. Valuation: Valuation of equity cash products is primarily determined through market observable prices. Observability: Prices for actively traded equity cash products are considered observable. Unobservable equity prices are generally determined by reference to actively traded instruments that are similar in nature, or inferred via another reasonable method. **Unrealised gains and losses on Level 3 financial assets and liabilities** The following table discloses the unrealised gains and losses recognised in income statement within net trading income for the year, arising on Level 3 financial assets and liabilities held at year end. | As at 31 December | 2023 | 2022 | | --- | --- | --- | | Net trading portfolio assets | 12,595 | (38,480) | | Net derivative financial instruments | (1,608) | 1,525 | | **Total (loss)/gain** | **10,987** | **(36,955)** | **Significant unobservable inputs** The following table discloses the valuation techniques and significant unobservable inputs for Derivative Financial Instruments at fair value and classified as Level 3 along with the range of values used for those significant unobservable inputs: | Valuation technique(s)$^a$ | Significant unobservable inputs | 2023 Range Min | 2023 Range Max | 2022 Range Min | 2022 Range Max | Units | | --- | --- | --- | --- | --- | --- | --- | | Option model | Equity volatility | 14 | 91 | 29 | 42 | % | | | Equity-equity correlation | 40 | 95 | 80 | 89 | % | | Discounted cash flow | Discounted margin | (117) | 110 | (70) | (51) | Bps | $^a$ A range has not been provided for Net Asset Value as there would be a wide range reflecting the diverse nature of the positions. The following section describes the significant unobservable inputs identified in the table above, and the sensitivity of fair value measurement of the instruments categorised as Level 3 assets or liabilities to increases in significant unobservable inputs. Where sensitivities are described, the inverse relationship will also generally apply. Where reliable interrelationships can be identified between significant unobservable inputs used in fair value measurement, a description of those interrelationships is included below. **Forwards** A price or rate that is applicable to a financial transaction that will take place in the future. In general, a significant increase in a forward in isolation will result in a fair value increase for the contracted receiver of the underlying (currency, bond, commodity, etc.), but the sensitivity is dependent on the specific terms of the instrument. **Volatility** Volatility is a measure of the variability or uncertainty in return for a given derivative underlying. It is an estimate of how much a particular underlying instrument input or index will change in value over time. In general, volatilities are implied from observed option prices. For unobservable options the implied volatility may reflect additional assumptions about the nature of the underlying risk, and the strike/maturity profile of a specific contract. In general, a significant increase in volatility in isolation will result in a fair value increase for the holder of a simple option, but the sensitivity is dependent on the specific terms of the instrument. There may be interrelationships between unobservable volatilities and other unobservable inputs (e.g. when equity prices fall, implied equity volatilities generally rise) but these are generally specific to individual markets and may vary over time. **Correlation** Correlation is a measure of the relationship between the movements of two variables. Correlation can be a significant input into valuation of derivative contracts with more than one underlying instrument. A significant increase in correlation in isolation can result in a fair value increase or decrease depending on the specific terms of the instrument. **Sensitivity of valuations using unobservable inputs** Level 3 sensitivity: Sensitivity is estimated based on the dispersion of consensus data services either directly or through proxies. As part of risk management processes, an analysis is performed on products with significant unobservable parameters (Level 3) to generate a range of reasonably possible alternative valuations. The outcome of such analysis, alongside considering the impact of using alternative models, would be to increase fair values by up to £32,551,524 (2022: £58,734,620) or to decrease fair values by up to £51,609,759 (2022: £61,491,917) with substantially all the potential effect impacting the income statement rather than reserves. The analysis takes account of the nature of valuation techniques used, as well as the availability and reliability of observable proxy and historic data. **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, i.e. 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, was as follows: | | 2023 | 2022$^a$ | | --- | --- | --- | | As at 1 January | 9,156 | 13,924 | | Additions in year | 1,124 | 7,796 | | Releases in year | — | (2,907) | | Amortisations in year | (5,299) | (9,657) | | **As at 31 December** | **4,981** | **9,156** | $^a$ Unrecognised gains for 2022 have been restated to reflect the impact of inclusion of additional trades of £7.8m as of 31 December 2022. This restatement had no impact on the net assets and profit before tax of the Company. **Fair value adjustments** The value of fair value adjustments made related to Exit price adjustments derived from market bid-offer spreads are £(31,397,900) (2022: £(40,123,600)). The Company uses mid-market pricing where it is a market maker and has the ability to transact at, or better than, mid price (which is the case for certain equity, bond and vanilla derivative markets). For other financial assets and liabilities, bid-offer adjustments are recorded to reflect the exit level for the expected close out strategy. The methodology for determining the bid-offer adjustment for a derivative portfolio involves calculating the net risk exposure by offsetting long and short positions by strike and term in accordance with the risk management and hedging strategy. Bid-offer levels are 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. **Financial assets and liabilities not held at fair value** The fair value is an estimate of the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. As a wide range of valuation techniques are often available, it may not be appropriate to directly compare this fair value information to independent market or other financial institutions. Different valuation methodologies and assumptions can have a significant impact on fair values which are based on unobservable inputs. There is minimal difference between the fair value and carrying amount for assets and liabilities not held at fair value, since the exposures are either short term in nature or have interest rates that reprice frequently and counterparties with high credit quality. The following tables show the fair value of financial assets and liabilities measured at amortised cost analysed by fair value hierarchy and balance sheet classification: | As at 31 December 2023 | Fair Value | Quoted market prices (Level 1) | Observable inputs (Level 2) | Significant unobservable inputs (Level 3) | | --- | --- | --- | --- | --- | | Loans and other receivables | 51,255,016 | | 51,255,016 | | | Other financial assets | 323,983 | | 323,983 | | | **Total Assets** | **51,578,999** | **—** | **51,578,999** | **—** | | | | | | | | Borrowings | 75,573,160 | 143,848 | 75,429,312 | | | Repurchase agreements | 2,543,951 | — | 2,543,951 | | | Other financial liabilities | 469,259 | — | 469,259 | | | **Total Liabilities** | **78,586,370** | **143,848** | **78,442,522** | **—** | | As at 31 December 2022 | Fair Value | Quoted market prices (Level 1) | Observable inputs (Level 2) | Significant unobservable inputs (Level 3) | | --- | --- | --- | --- | --- | | Loans and other receivables | 35,774,308 | — | 35,774,308 | — | | Other financial assets | 294,986 | — | 294,986 | — | | **Total Assets** | **36,069,294** | **—** | **36,069,294** | **—** | | | | | | | | Borrowings | 43,470,154 | 261,693 | 43,208,461 | — | | Repurchase agreements | 4,974,494 | — | 4,974,494 | — | | Other financial liabilities | 507,194 | — | 507,194 | — | | **Total Liabilities** | **48,951,842** | **261,693** | **48,690,149** | **—** | **Financial assets** **Loans and other receivables** There is minimal difference between the fair value and carrying amount due to the short term nature of the lending and the high credit quality of counterparties. The fair value of loans and advances approximates the carrying value since the exposures are short dated and are with counterparties with high credit quality. These balances are classified as level 2. Settlement balances and cash collateral are also classified as level 2. **Financial liabilities** **Repurchase agreements** The Company has also entered into financing arrangements with other companies in the Barclays Group. These arrangements contain a break clause and hence the fair value approximates their carrying amount which represent the amount that the arrangements can be terminated at. These balances are therefore classified as level 2. **Borrowings** The fair value hierarchy for borrowings is determined by reference to the observability of inputs into the fair value models. Inputs into the fair value models are considered observable, for example the Bank of England base rate, and hence the balances are classified as level 2. Settlement Balances and Bank Loans are classified as level 2. Nostro Liabilities are classified as level 1. ### 27. Offsetting financial assets and financial liabilities In accordance with IAS 32 Financial Instruments: Presentation, the Company reports financial assets and financial liabilities on a net basis on the balance sheet only if there is a legally enforceable right to set off the recognised amounts and there is intention to settle on a net basis, or to realise the asset and settle the liability simultaneously. The following table shows the impact of netting arrangements on: * all financial assets and liabilities that are reported net on the balance sheet * all derivative financial instruments and reverse repurchase and repurchase agreements and other similar secured lending and borrowing agreements that are subject to enforceable master netting arrangements or similar agreements, but do not qualify for balance sheet netting. The table identifies those amounts that are covered by enforceable netting arrangements (offsetting arrangements and financial collateral) but do not qualify for netting under the requirements of IAS32 described above. The ‘Net amounts’ presented below are not intended to represent the Company’s actual exposure to credit risk, as a variety of credit mitigation strategies are employed in addition to netting and collateral arrangements. | As at 31 December 2023 | Balance sheet total$^1$ | Amounts available for netting on the balance sheet | Related amounts not offset$^2$ Financial instruments | Financial collateral | Net amount | Amounts not subject to enforceable netting arrangements$^3$ | | --- | --- | --- | --- | --- | --- | --- | | | (a) | (b) | (c) | (d) | (e)=(b)+(c)+(d) | (f)=(a)–(b) | | Derivative financial assets | 10,577,863 | 10,561,055 | (10,560,676) | — | 379 | 16,808 | | Reverse repurchase agreements | 66,137,855 | 66,060,083 | — | (66,055,135) | 4,948 | 77,772 | | **Total Assets** | **76,715,718** | **76,621,138** | **(10,560,676)** | **(66,055,135)** | **5,327** | **94,580** | | Derivative financial liabilities | (12,667,530) | (12,631,587) | 10,560,676 | — | (2,070,911) | (35,943) | | Repurchase agreements | (56,681,798) | (56,242,473) | — | 56,228,129 | (14,344) | (439,325) | | **Total Liabilities** | **(69,349,328)** | **(68,874,060)** | **10,560,676** | **56,228,129** | **(2,085,255)** | **(475,268)** | | As at 31 December 2022 | Balance sheet total$^1$ | Amounts available for netting on the balance sheet | Related amounts not offset$^2$ Financial instruments | Financial collateral | Net amount | Amounts not subject to enforceable netting arrangements$^3$ | | --- | --- | --- | --- | --- | --- | --- | | | (a) | (b) | (c) | (d) | (e)=(b)+(c)+(d) | (f)=(a)–(b) | | Derivative financial assets | 15,113,686 | 15,086,690 | (15,068,996) | — | 17,694 | 26,996 | | Reverse repurchase agreements | 53,989,351 | 53,904,943 | — | (53,891,163) | 13,780 | 84,408 | | **Total Assets** | **69,103,037** | **68,991,633** | **(15,068,996)** | **(53,891,163)** | **31,474** | **111,404** | | Derivative financial liabilities | (15,749,979) | (15,699,439) | 15,068,996 | — | (630,443) | (50,540) | | Repurchase agreements | (48,684,570) | (48,606,857) | — | 48,584,170 | (22,687) | (77,713) | | **Total Liabilities** | **(64,434,549)** | **(64,306,296)** | **15,068,996** | **48,584,170** | **(653,130)** | **(128,253)** | $^1$ The balance sheet total is the sum of ‘Amounts available for netting on the balance sheet’ that are subject to enforceable netting arrangements and ‘Amounts not subject to enforceable netting arrangements. $^2$ Financial collateral is reflected at its fair value, but has been limited to the net balance sheet exposure so as not to include any over-collateralisation. $^3$ This column includes contractual rights of set-off that are subject to uncertainty under the laws of the relevant jurisdiction. $^4$ Settlement assets and liabilities have been offset amounting to £1,975m (2022: £2,742m). **Derivative assets and liabilities** The ‘Financial instruments’ column identifies financial assets and liabilities that are subject to set off under netting agreements, such as the ISDA master agreement or derivative exchange or clearing counterparty agreements, whereby all outstanding transactions with the same counterparty can be offset and close-out netting applied across all outstanding transaction covered by the agreements if an event of default or other predetermined events occur. **Repurchase and reverse repurchase agreements** Financial collateral generally comprises highly liquid securities which are legally transferred and can be liquidated in the event of counterparty default. ### 28. Financial risks The Company’s activities are exposed to a variety of financial risks. These are credit risk, liquidity risk, capital risk and market risk (which includes foreign currency risk, interest rate risk and price risk). Consequently, the Company devotes considerable resources to maintaining effective controls to manage, measure and mitigate each of these risks, and regularly reviews its risk management procedures and systems to ensure that they continue to meet the needs of the business. The Company uses derivative financial instruments to hedge certain risk exposures. The Board of Directors monitors the Company’s financial risks and has responsibility for ensuring effective risk management and control. * **Credit** Risk of the Company suffering financial loss if any of its customers, clients or market counterparties fail to fulfill their contractual obligations to the Company. See Note 30 (Credit risk). * **Liquidity** Risk that the Company, although solvent, either does not have sufficient financial resources available to meet its obligation as they fall due, or can secure such resources only at excessive cost. This also results in a firm’s inability to meet regulatory liquidity requirements. See Note 31 (Liquidity risk). * **Capital** Risk that the Company has insufficient capital resources, which could lead to (i) a failure to meet regulatory requirements; or (ii) an inability to support business activity and growth. * **Market** Risk of loss arising from potential adverse changes in the value of the Company’s assets and liabilities from fluctuation in market variables including, but not limited to, interest rates, foreign exchange, equity prices, dividend expectation, implied volatility and asset correlations. See Note 29 (Market risk management). **Further Market Risk Factors** | Risk factor | Description | | --- | --- | | Foreign exchange | Impact of changes in foreign exchange rates and volatilities. | | Interest rate | Changes in the level or shape of interest rate expectations can impact prices of interest rate sensitive assets, such as bonds and derivatives instruments like interest rate swaps. | | Equity | Risk due to changes in equity prices, volatilities and dividend yields, for example as part of trading activities. | | Spread | Difference between bond yields and swaps rates that arises when a business has positions in both bonds and interest rate/inflation derivatives instruments. Both assets may trade at different levels but are fundamentally exposed to similar risk. | | Basis | The impact of changes in interest rate tenor basis and cross currency basis and is primarily generated as a result of trading activities. | ### 29. Market risk **Market risk management** Market risk is the risk of loss arising from potential adverse changes in the value of the Company’s assets and liabilities from fluctuation in market variables including, but not limited to, interest rates, foreign exchange, equity prices, dividend expectation, implied volatility and asset correlations. The Company has exposure to market risk through traded and non-traded market risk and can be impacted by changes in both the level and volatility of prices e.g. interest rates, credit spreads, equity prices and foreign exchange rates. The Company has implemented a range of risk management methods to mitigate and control these and other market risks to which the Company is exposed. However, it is difficult to predict with accuracy the changes in economic or market conditions and to anticipate the effects that such changes could have on the Company’s financial performance. **Regulatory Value at Risk (‘Regulatory VaR’)** Regulatory VaR is an estimate of the potential loss arising from unfavourable market movements calibrated to a 99% confidence level over a 10-day holding period. **Model review and Regulatory Back - testing** This section on Model review and back testing is unaudited. Value at Risk is an important market risk measurement and control tool for the Company and is regularly assessed and reviewed internally by Group Executive and dedicated Model Risk Management (MRM) function. Barclays Group’s VaR model has been approved by the PRA to calculate regulatory capital for designated trading book portfolios. There are a number of regulatory measures which the Company has permission to use in calculating regulatory capital (internal models approval). These include Regulatory VaR, Stressed VaR (“SVaR”) and Incremental Risk Charge (“IRC”). Regulatory back-testing counts the number of days when a loss (as defined by the PRA) exceeds the corresponding VaR estimate, measured at the 99% regulatory confidence level. During 2023, the Company experienced no back-testing exceptions. The table below shows the regulatory VaR statistics for the Company’s trading activities: | Regulatory VaR (99%) | 2023 Average | 2023 High | 2023 Low | 2022 Average | 2022 High | 2022 Low | | --- | --- | --- | --- | --- | --- | --- | | Interest rate risk | 1,371 | 5,532 | 615 | 2,082 | 5,624 | 500 | | Spread risk | — | 30 | — | 1 | 198 | — | | Equities risk | 5,816 | 15,383 | 2,486 | 9,945 | 17,031 | 4,694 | | Foreign exchange risk | 1,633 | 3,656 | 170 | 2,905 | 5,517 | 710 | | Basis risk | 2,138 | 3,596 | 1,080 | 1,788 | 3,363 | 693 | | Diversification effect | (2,029) | n/a | n/a | (4,761) | n/a | n/a | | **Total Regulatory VaR** | **8,929** | **17,699** | **4,673** | **11,960** | **18,045** | **7,442** | Note: The high and low regulatory VaR figures reported for each category did not necessarily occur on the same day as the high and low regulatory VaR reported as a whole. Consequently, a diversification effect balance for the high and low regulatory VaR figures would not be meaningful and is therefore omitted from the above table. **Stressed Value at Risk (‘SVaR’)** SVaR is an estimate of the potential loss arising from unfavourable market movements in a stressed environment and is identical to Regulatory VaR, but calibrated over a one-year stressed period. For regulatory capital calculation purposes the Company computes a market risk capital requirement based on a ten-day, 99% VaR metric calibrated to a period of significant financial stress. This Stressed VaR (‘SVaR’) capital requirement is added to the market risk capital requirement arising from regulatory VaR and the Incremental Risk Charge on an undiversified basis. **Incremental Risk Charge (‘IRC’)** This section on Incremental Risk Charge is unaudited. IRC is an estimate of the incremental risk arising from rating migrations and defaults beyond what is already captured in Regulatory VaR and SVaR for the non-correlation trading portfolio. IRC measures this risk at a 99.9% confidence level with a one year holding period and applies to all positions in scope for specific risk including sovereign exposure. | £’000 | 2023 Average | 2023 High | 2023 Low | 2022 Average | 2022 High | 2022 Low | | --- | --- | --- | --- | --- | --- | --- | | SVaR (99%) | 17,958 | 27,010 | 12,133 | 17,526 | 33,192 | 8,916 | | IRC (99.9%) | 642 | 3,467 | 231 | 675 | 1,809 | 361 | **Management of risks not fully captured in models, including Risks not in VaR (RNIVs)** In some instances, the Regulatory VaR model may not appropriately measure some market risks, especially where market moves are not directly observable via prices, the Company has policies to ensure that add-ons are applied where risks are not captured by the model. RNIVs refer to those key risks that are not captured, or not adequately captured, in Regulatory VaR and SVaR. ### 30. Credit risk Credit risk is the risk of suffering financial loss, should any of the Company’s customers or market counterparties fail to fulfill their contractual obligations to the Company. Collateral can be an important mitigant of credit risk and the Company commonly obtains security for the funds advanced. When collateral is deemed appropriate, the Company takes a specific, agreed class of collateral. Alternatively, the Company may put in place other forms of credit risk mitigation, such as the use of credit derivatives. Credit risk also arises through downgrading of counterparties whose credit instruments the Company may be holding, causing the value of those assets to fall. Furthermore, credit risk is manifested as country risk where difficulties experienced by the country in which the exposure is domiciled may impede payment or reduce the value of the asset or where the counterparty may be the country itself. Settlement risk is another special form of credit risk which is the possibility that the Company may pay a counterparty, for example - a bank in a foreign exchange transaction, and fail to receive the corresponding settlement in return. The Company employs a range of risk measurement techniques and methodologies to mitigate credit risk. The majority of the Company’s loans and other receivables are secured by collateral in the form of securities or are with other Barclays entities. The Company has master netting agreements in place which reduces the exposure in respect of derivative balances. This analysis and all subsequent analyses of credit risk include only financial assets subject to credit risk. They exclude other financial assets, mainly equity securities held in the trading portfolio as well as non-financial assets. **Credit risk concentrations by geographical sector** The geographical analysis is based on the location of the customer to which the lending is made. | As at 31 December 2023 | United Kingdom | Europe | Americas | Asia | Africa & Middle East | Total | | --- | --- | --- | --- | --- | --- | --- | | Cash and cash equivalents | 227,404 | 150,742 | 318,359 | 337,231 | 6,733 | 1,040,469 | | Trading portfolio assets (debt) | 30,245 | 268,372 | 40,823 | 1,016 | 44,946 | 385,402 | | Derivative financial assets | 10,256,652 | 260,941 | 32 | 60,238 | — | 10,577,863 | | Financial assets mandatorily at fair value | 67,392,629 | 1,021,198 | 6,156,460 | 2,284,907 | 28,864 | 76,884,058 | | Loans and other receivables | 42,375,319 | 360,277 | 574,925 | 7,889,165 | 55,330 | 51,255,016 | | Other financial assets | 305,717 | 1,496 | 11,904 | 4,866 | — | 323,983 | | **Total Assets** | **120,587,966** | **2,063,026** | **7,102,503** | **10,577,423** | **135,873** | **140,466,791** | | As at 31 December 2022 | United Kingdom | Europe | Americas | Asia | Africa & Middle East | Total | | --- | --- | --- | --- | --- | --- | --- | | Cash and cash equivalents | 230,716 | 123,995 | 127,923 | 338,724 | 28,248 | 849,606 | | Trading portfolio assets (debt) | 23,123 | 153,489 | 15,324 | 5,532 | 57,888 | 255,356 | | Derivative financial assets | 14,736,832 | 319,041 | 3,138 | 54,675 | — | 15,113,686 | | Financial assets mandatorily at fair value | 48,058,878 | 1,706,701 | 7,783,009 | 3,659,706 | 143,765 | 61,352,059 | | Loans and other receivables | 28,607,080 | 721,926 | 537,593 | 5,714,337 | 193,372 | 35,774,308 | | Other financial assets | 244,030 | 36,341 | 10,239 | 4,125 | 251 | 294,986 | | **Total Assets** | **91,900,659** | **3,061,493** | **8,477,226** | **9,777,099** | **423,524** | **113,640,001** | **Credit risk concentration by industrial sector** | As at 31 December 2023 | Central Banks | Government | Financial institutions-Bank$^a$ | Financial institutions-others$^a$ | Manufacturing | Mining & Quarrying | Property | Energy & water | Wholesale & retail distribution | Transport | Postal & communication | Business & other services | Total | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | Cash and cash equivalents | — | — | 1,040,469 | — | — | — | — | — | — | — | — | — | 1,040,469 | | Trading portfolio assets (debt) | — | 1,574 | 34,032 | 22,219 | 126,370 | 16,103 | 13,159 | 15,608 | 43,742 | 7,216 | 55,423 | 49,956 | 385,402 | | Derivative financial assets | — | — | 10,545,359 | 32,477 | — | — | — | — | — | — | — | 27 | 10,577,863 | | Financial assets mandatorily at fair value | 201 | — | 62,063,151 | 14,819,362 | — | — | — | — | — | — | — | 1,344 | 76,884,058 | | Loans and other receivables | 353 | — | 39,671,611 | 11,581,518 | 18 | 12 | — | — | — | — | 56 | 1,448 | 51,255,016 | | Other financial assets | — | — | 43,815 | 280,168 | — | — | — | — | — | — | — | — | 323,983 | | **Total Assets** | **554** | **1,574** | **113,398,437** | **26,735,744** | **126,388** | **16,115** | **13,159** | **15,608** | **43,742** | **7,216** | **55,479** | **52,775** | **140,466,791** | $^a$ Of above, balances from affiliates amount to - Financial institutions-Bank £111,184m, Financial institutions-others £8,842m. | As at 31 December 2022 | Central Banks | Government | Financial institutions-Bank$^b$ | Financial institutions-others$^b$ | Manufacturing | Mining & Quarrying | Property | Energy & water | Wholesale & retail distribution | Transport | Postal & communication | Business & other services | Total | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | Cash and cash equivalents | — | — | 849,606 | — | — | — | — | — | — | — | — | — | 849,606 | | Trading portfolio assets (debt) | — | 1,520 | 7,225 | 17,844 | 69,041 | 7,131 | 2,299 | 17,902 | 56,223 | 11,194 | 12,618 | 52,359 | 255,356 | | Derivative financial assets | — | — | 15,074,283 | 39,403 | — | — | — | — | — | — | — | — | 15,113,686 | | Financial assets mandatorily at fair value | 131,507 | — | 45,316,579 | 15,883,354 | — | — | — | — | — | — | — | 20,619 | 61,352,059 | | Loans and other receivables | 2,017 | — | 27,310,702 | 8,437,480 | 4,747 | 9 | — | — | 5,228 | — | 62 | 14,063 | 35,774,308 | | Other financial assets | — | — | 10,031 | 284,955 | — | — | — | — | — | — | — | — | 294,986 | | **Total Assets** | **133,524** | **1,520** | **88,568,426** | **24,663,036** | **73,788** | **7,140** | **2,299** | **17,902** | **61,451** | **11,194** | **12,680** | **87,041** | **113,640,001** | $^b$ Of above, balances from affiliates amount to - Financial institutions-Bank £86,483m, Financial institutions-others £9,493m. Trading portfolio assets/financial assets designated at fair value – The Company’s practice is to take into account credit risk when valuing these assets. The Company therefore expects little additional credit risk on these instruments, other than the credit risk component of trading market risk on these instruments. The trading market risk is monitored through the Daily Value at Risk (‘DVaR’) methodology. In addition, many of the trading portfolios held are of very high quality, and include, for example, treasury bills and government bonds. Derivative financial instruments – In addition to including the credit risk on these instruments in the DVaR methodology, the Company also uses a number of other techniques to reduce its exposure to credit risk on these instruments. These techniques include master netting agreements, which do not qualify for offset under IAS 32 but which give a legally enforceable right to net receivables and payables with the same counterparty, and the obtaining of cash collateral from counterparties who have a net exposure to the Company through Collateral Service Agreements. Loans and other receivables – Loans and other receivables are spread across both geographical regions, maturity and individual counterparties. Analysis by geography, industry, staging analysis, L&A and impairment movement over time and maturity, based on counterparties details, may be found on Note 30 on pages 62 to 66. Financial assets at fair value mainly include Reverse repurchase agreements largely secured by obtaining collateral from counterparties. The level of collateral is monitored daily for the collateral calls made or required. The Company has in place a guarantee from its parent company BBPLC, to cover exposures arising from counterparty credit risk. The limit is currently a nominal value of £1 (2022: £1bn) and can be amended from time to time with agreement from both parties. The guarantee would be applied against all exposures covered under Article 389 of the CRR, except in cases where the eligible counterparty is a direct or indirect subsidiary of BPLC, and is not a sovereign which would receive a 0% risk weighting under the standardised approach in each case as determined by the Company. The exposures include the effects of netting where there is a master netting agreement in place or where the Company holds cash collateral. The guarantee does not expire unless mutually agreed between the Company and BBPLC to terminate this guarantee arrangement. If the guarantee is terminated by the guarantor, the guarantee shall terminate on the date on which the last of the Guaranteed agreements remaining in effect is terminated. **Financial assets at amortised cost staging analysis** | As at 31 December 2023 | Stage 1 | Stage 2 (Not past due) | Stage 2 (<=30 days past due) | Stage 2 (>30 days past due) | Stage 2 (Total) | Stage 3 | Total | | --- | --- | --- | --- | --- | --- | --- | --- | | **Gross exposure** | | | | | | | | | Cash and cash equivalents | 1,039,910 | — | — | — | — | 5,196 | 1,045,106 | | Loans and other receivables | 51,255,328 | — | — | — | — | — | 51,255,328 | | Other financial assets | 323,983 | — | — | — | — | — | 323,983 | | **Total** | **52,619,221** | **—** | **—** | **—** | **—** | **5,196** | **52,624,417** | | **Impairment Allowance** | | | | | | | | | Cash and cash equivalents | — | — | — | — | — | (4,637) | (4,637) | | Loans and other receivables | (312) | — | — | — | — | — | (312) | | **Total** | **(312)** | **—** | **—** | **—** | **—** | **(4,637)** | **(4,949)** | | **Net exposure** | | | | | | | | | Cash and cash equivalents | 1,039,910 | — | — | — | — | 559 | 1,040,469 | | Loans and other receivables | 51,255,016 | — | — | — | — | — | 51,255,016 | | Other financial assets | 323,983 | — | — | — | — | — | 323,983 | | **Total** | **52,618,909** | **—** | **—** | **—** | **—** | **559** | **52,619,468** | | As at 31 December 2022 | Stage 1 | Stage 2 (Not past due) | Stage 2 (<=30 days past due) | Stage 2 (>30 days past due) | Stage 2 (Total) | Stage 3 | Total | | --- | --- | --- | --- | --- | --- | --- | --- | | **Gross exposure** | | | | | | | | | Cash and cash equivalents | 849,014 | — | — | — | — | 5,499 | 854,513 | | Loans and other receivables | 35,774,493 | — | — | — | — | — | 35,774,493 | | Other financial assets | 294,986 | — | — | — | — | — | 294,986 | | **Total** | **36,918,493** | **—** | **—** | **—** | **—** | **5,499** | **36,923,992** | | **Impairment Allowance** | | | | | | | | | Cash and cash equivalents | — | — | — | — | — | (4,907) | (4,907) | | Loans and other receivables | (185) | — | — | — | — | — | (185) | | **Total** | **(185)** | **—** | **—** | **—** | **—** | **(4,907)** | **(5,092)** | | **Net exposure** | | | | | | | | | Cash and cash equivalents | 849,014 | — | — | — | — | 592 | 849,606 | | Loans and other receivables | 35,774,308 | — | — | — | — | — | 35,774,308 | | Other financial assets | 294,986 | — | — | — | — | — | 294,986 | | **Total** | **36,918,308** | **—** | **—** | **—** | **—** | **592** | **36,918,900** | **Financial assets at amortised cost - (a) Movement in gross exposure and impairment allowance** | £'000 | STAGE 1 (Exposure) | STAGE 1 (Impairment allowance) | STAGE 2 (Exposure) | STAGE 2 (Impairment allowance) | STAGE 3 (Exposure) | STAGE 3 (Impairment allowance) | Total (Exposure) | Total (Impairment allowance) | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | Balance as at 1 January 2023 | 36,918,493 | (185) | — | — | 5,499 | (4,907) | 36,923,992 | (5,092) | | New financial assets originated or purchased | 28,293,419 | (404) | — | — | — | — | 28,293,419 | (404) | | Net drawdowns/repayments/risk parameter changes | (12,592,691) | 272 | — | — | — | — | (12,592,691) | 272 | | Other movements | — | 5 | — | — | (303) | 270 | (303) | 275 | | Asset derecognised due to disposals | — | — | — | — | — | — | — | — | | **Balance as at 31 December 2023** | **52,619,221** | **(312)** | **—** | **—** | **5,196** | **(4,637)** | **52,624,417** | **(4,949)** | | **Reconciliation of ECL movement to impairment charge for the period** | | | | | | | | | | ECL movement excluding assets derecognised due to disposals and write-off | — | (132) | — | — | — | — | — | (132) | | Recoveries and Reimbursements$^a$ | | | | | | | | | | **Income statement charge for the period** | | (132) | | | | | | (132) | | £'000 | STAGE 1 (Exposure) | STAGE 1 (Impairment allowance) | STAGE 2 (Exposure) | STAGE 2 (Impairment allowance) | STAGE 3 (Exposure) | STAGE 3 (Impairment allowance) | Total (Exposure) | Total (Impairment allowance) | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | Balance as at 1 January 2022 | 42,463,453 | (10) | — | — | — | — | 42,463,453 | (10) | | New financial assets originated or purchased | 12,587,194 | (179) | — | — | — | — | 12,587,194 | (179) | | Net drawdowns/repayments/risk parameter changes | (18,132,154) | 10 | — | — | — | — | (18,132,154) | 10 | | Other movements | — | (6) | — | — | 5,499 | (4,907) | 5,499 | (4,913) | | Asset derecognised due to disposals | — | — | — | — | — | — | — | — | | **Balance as at 31 December 2022** | **36,918,493** | **(185)** | **—** | **—** | **5,499** | **(4,907)** | **36,923,992** | **(5,092)** | | **Reconciliation of ECL movement to impairment charge for the period** | | | | | | | | | | ECL movement excluding assets derecognised due to disposals and write-off | | (169) | — | — | (4,907) | | | (5,076) | | Recoveries and Reimbursements$^a$ | | — | — | | 4,907 | | | 4,907 | | **Income statement charge for the period** | | (169) | — | | | | | (169) | $^a$ Recoveries and Reimbursements include amount recoverable of Nil (2022: £4.9m) from contractual guarantee provided by BBPLC to cover the Company’s credit exposures arising from counterparty credit risk ranked by risk weighted amount. For more details on guarantee, refer to Note 33 Capital management. **(b) Financial assets that are neither past due nor impaired** | As at 31 December 2023 | Strong | Satisfactory | Higher risk | Total | | --- | --- | --- | --- | --- | | Cash and cash equivalents | 1,019,253 | 20,627 | 589 | 1,040,469 | | Trading portfolio assets (debt) | 190,513 | 184,279 | 10,610 | 385,402 | | Derivative financial assets | 10,556,572 | 21,291 | — | 10,577,863 | | Financial assets mandatorily at fair value | 73,580,419 | 3,303,526 | 113 | 76,884,058 | | Loans and other receivables | 50,849,116 | 405,879 | 21 | 51,255,016 | | Other financial assets | 323,983 | — | — | 323,983 | | **Total Assets** | **136,519,856** | **3,935,602** | **11,333** | **140,466,791** | | As at 31 December 2022 | Strong | Satisfactory | Higher risk | Total | | --- | --- | --- | --- | --- | | Cash and cash equivalents | 825,406 | 23,577 | 623 | 849,606 | | Trading portfolio assets (debt) | 83,668 | 171,401 | 287 | 255,356 | | Derivative financial assets | 15,097,101 | 16,585 | — | 15,113,686 | | Financial assets mandatorily at fair value | 54,770,891 | 6,581,168 | — | 61,352,059 | | Loans and other receivables | 35,163,812 | 469,092 | 141,404 | 35,774,308 | | Other financial assets | 293,250 | 1,659 | 77 | 294,986 | | **Total Assets** | **106,234,128** | **7,263,482** | **142,391** | **113,640,001** | Strong – there is a very high likelihood of the asset being recovered in full. Satisfactory – whilst there is a high likelihood that the asset will be recovered and therefore of no cause for concern to the Company, the asset may not be collateralized or may relate to unsecured loans. Higher risk – there is concern over the obligor’s ability to make payments when due. However, these have not yet converted to actual delinquency. The borrower or counterparty is continuing to make payment when due and is expected to settle all outstanding principal and interest. **Maximum Exposure to Credit risk** Whilst the Company’s maximum exposure to credit risk is the carrying value of the assets, in most cases the likely exposure is far less due to offsetting collateral, other netting and set off to mitigate the Company’s exposure. | As at 31 December 2023 | Maximum Exposure | Netting and set-off | Collateral | Net Exposure | | --- | --- | --- | --- | --- | | Cash and cash equivalents | 1,040,469 | — | — | 1,040,469 | | Trading portfolio assets (debt) | 385,402 | — | — | 385,402 | | Derivative financial instruments | 10,577,863 | (10,560,676) | — | 17,187 | | Financial assets mandatorily at fair value | 76,884,058 | (51,180) | (76,471,111) | 361,767 | | Loans and other receivables | 51,255,016 | (32,324,309) | — | 18,930,707 | | Other financial assets | 323,983 | — | — | 323,983 | | **Total on-balance sheet** | **140,466,791** | **(42,936,165)** | **(76,471,111)** | **21,059,515** | | Off-balance sheet: | | | | | | Undrawn commitments | 974,746 | — | — | 974,746 | | **Total** | **141,441,537** | **(42,936,165)** | **(76,471,111)** | **22,034,261** | | As at 31 December 2022 | Maximum Exposure | Netting and set-off | Collateral | Net Exposure | | --- | --- | --- | --- | --- | | Cash and cash equivalents | 849,606 | — | — | 849,606 | | Trading portfolio assets (debt) | 255,356 | — | — | 255,356 | | Derivative financial instruments | 15,113,686 | (15,068,996) | — | 44,690 | | Financial assets mandatorily at fair value | 61,352,059 | (35,379) | (60,895,467) | 421,213 | | Loans and other receivables | 35,774,308 | (22,036,533) | — | 13,737,775 | | Other financial assets | 294,986 | — | — | 294,986 | | **Total on-balance sheet** | **113,640,001** | **(37,140,908)** | **(60,895,467)** | **15,603,626** | | Off-balance sheet: | | | | | | Undrawn commitments | 945,856 | — | — | 945,856 | | **Total** | **114,585,857** | **(37,140,908)** | **(60,895,467)** | **16,549,482** | ### 31. Liquidity risk **Liquidity Risk Management** Liquidity risk is the risk that the Company’s cash and committed facilities may be insufficient to meet its debts as they fall due. The Company has the financial support of the parent undertaking BBPLC, it also maintains banking facilities with BBPLC. These facilities are designed to ensure the Company has sufficient available resources to meet its payments obligations as they fall due or, although solvent, only being able to meet these obligations at excessive cost. Additionally, resulting in the risk of the Company not meeting its regulatory liquidity requirements. BPLC has a comprehensive Liquidity Risk Management Framework (the Liquidity Framework) for managing the Barclays Group’s liquidity risk. The Liquidity Framework is delivered via a combination of policy formation, review and governance, analysis, stress testing, limit setting and monitoring. The Company maintains a mixture of long term and short term committed facilities, including financial support from the parent, BBPLC, that are designed to ensure the Company has sufficient available funds for operations. **Contractual maturity of financial assets and liabilities** | As at 31 December 2023 | On demand | Not more than three months | Over three months but not more than six months | Over six months but not more than one year | Over one year but not more than three years | Over three years but not more than five years | Over five years but not more than ten years | Over ten years | Total | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | **Assets** | | | | | | | | | | | Cash and cash equivalents | 1,040,469 | — | — | — | — | — | — | — | 1,040,469 | | Trading portfolio assets | 26,803,692 | — | — | — | — | — | — | — | 26,803,692 | | Derivative financial assets | 10,577,863 | — | — | — | — | — | — | — | 10,577,863 | | Financial assets mandatorily at fair value | — | 76,558,048 | 34,479 | 10,044 | 68,467 | 207,030 | 5,990 | — | 76,884,058 | | Loans and other receivables | — | 50,048,408 | 11,339 | 208,312 | 985,919 | 1,038 | — | — | 51,255,016 | | Other financial assets | — | 323,983 | — | — | — | — | — | — | 323,983 | | **Total Assets** | **38,422,024** | **126,930,439** | **45,818** | **218,356** | **1,054,386** | **208,068** | **5,990** | **—** | **166,885,081** | | As at 31 December 2023 | On demand | Not more than three months | Over three months but not more than six months | Over six months but not more than one year | Over one year but not more than three years | Over three years but not more than five years | Over five years but not more than ten years | Over ten years | Total | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | **Liabilities** | | | | | | | | | | | Trading portfolio liabilities | (16,126,023) | — | — | — | — | — | — | — | (16,126,023) | | Derivative financial liabilities | (12,667,530) | — | — | — | — | — | — | — | (12,667,530) | | Repurchase agreements | — | — | — | — | (2,543,951) | — | — | — | (2,543,951) | | Financial liabilities designated at fair value | — | (55,961,564) | (588,496) | (148,096) | (198,704) | (193,335) | (54,932) | — | (57,145,127) | | Borrowings | (26,316,781) | (38,450,949) | (6,414,862) | (3,217,377) | (872,593) | (598) | (300,000) | — | (75,573,160) | | Other financial liabilities | — | (469,259) | — | — | — | — | — | — | (469,259) | | **Total Liabilities** | **(55,110,334)** | **(94,881,772)** | **(7,003,358)** | **(3,365,473)** | **(3,615,248)** | **(193,933)** | **(354,932)** | **—** | **(164,525,050)** | | As at 31 December 2022 | On demand | Not more than three months | Over three months but not more than six months | Over six months but not more than one year | Over one year but not more than three years | Over three years but not more than five years | Over five years but not more than ten years | Over ten years | Total | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | **Assets** | | | | | | | | | | | Cash and cash equivalents | 849,606 | — | — | — | — | — | — | — | 849,606 | | Trading portfolio assets | 28,235,245 | — | — | — | — | — | — | — | 28,235,245 | | Derivative financial assets | 15,113,686 | — | — | — | — | — | — | — | 15,113,686 | | Financial assets mandatorily at fair value | — | 60,992,437 | 137,479 | 20,580 | 92,891 | 93,737 | 14,935 | — | 61,352,059 | | Loans and other receivables | — | 34,514,390 | 117,370 | 81,755 | 1,060,793 | — | — | — | 35,774,308 | | Other financial assets | — | 294,986 | — | — | — | — | — | — | 294,986 | | **Total Assets** | **44,198,537** | **95,801,813** | **254,849** | **102,335** | **1,153,684** | **93,737** | **14,935** | **—** | **141,619,890** | | As at 31 December 2022 | On demand | Not more than three months | Over three months but not more than six months | Over six months but not more than one year | Over one year but not more than three years | Over three years but not more than five years | Over five years but not more than ten years | Over ten years | Total | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | **Liabilities** | | | | | | | | | | | Trading portfolio liabilities | (27,552,261) | — | — | — | — | — | — | — | (27,552,261) | | Derivative financial liabilities | (15,749,979) | — | — | — | — | — | — | — | (15,749,979) | | Repurchase agreements | — | — | — | — | (4,974,494) | — | — | — | (4,974,494) | | Financial liabilities designated at fair value | — | (46,126,539) | (652,201) | (37,566) | (107,450) | (168,777) | (42,176) | — | (47,134,709) | | Borrowings | (627,562) | (33,080,866) | (648,390) | (8,797,574) | (13,863) | (1,899) | (300,000) | — | (43,470,154) | | Other financial liabilities | — | (507,194) | — | — | — | — | — | — | (507,194) | | **Total Liabilities** | **(43,929,802)** | **(79,714,599)** | **(1,300,591)** | **(8,835,140)** | **(5,095,807)** | **(170,676)** | **(342,176)** | **—** | **(139,388,791)** | The table below presents the cash flows payable by the Company under financial liabilities by remaining contractual maturities at the balance sheet date. The amounts disclosed in the table are the contractual undiscounted cash flows of all financial liabilities (i.e. nominal values); whereas the Company manages the inherent liquidity risk based on discounted expected cash inflows. The balance in the below table does not agree directly to the balances in the balance sheet as the table incorporates all cash flows, on an undiscounted basis, related to both principal as well as those associated with all future coupon payments. Derivative financial instruments held for trading and trading portfolio liabilities are included in the on demand column at their fair value. **Contractual undiscounted cash flows** | As at 31 December 2023 | On demand | Not more than three months | Over three months but not more than six months | Over six months but not more than one year | Over one year but not more than three years | Over three years but not more than five years | Over five years but not more than ten years | Over ten years | Total | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | **Liabilities** | | | | | | | | | | | Trading portfolio liabilities | (16,126,023) | — | — | — | — | — | — | — | (16,126,023) | | Derivative financial liabilities | (12,667,530) | — | — | — | — | — | — | — | (12,667,530) | | Repurchase agreements | — | — | — | — | (2,752,758) | — | — | — | (2,752,758) | | Financial liabilities designated at fair value | — | (56,015,280) | (600,146) | (154,846) | (218,840) | (222,993) | (67,320) | — | (57,279,425) | | Borrowings | (26,316,781) | (38,612,317) | (6,503,380) | (3,279,383) | (918,686) | (690) | (369,718) | — | (76,000,955) | | Other financial liabilities | — | (475,350) | — | — | — | — | — | — | (475,350) | | **Total Liabilities** | **(55,110,334)** | **(95,102,947)** | **(7,103,526)** | **(3,434,229)** | **(3,890,284)** | **(223,683)** | **(437,038)** | **—** | **(165,302,041)** | | As at 31 December 2022 | On demand | Not more than three months | Over three months but not more than six months | Over six months but not more than one year | Over one year but not more than three years | Over three years but not more than five years | Over five years but not more than ten years | Over ten years | Total | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | **Liabilities** | | | | | | | | | | | Trading portfolio liabilities | (27,552,261) | — | — | — | — | — | — | — | (27,552,261) | | Derivative financial liabilities | (15,749,979) | — | — | — | — | — | — | — | (15,749,979) | | Repurchase agreements | — | — | — | — | (5,441,162) | — | — | — | (5,441,162) | | Financial liabilities designated at fair value | — | (46,188,195) | (661,547) | (38,807) | (121,435) | (203,674) | (53,234) | — | (47,266,892) | | Borrowings | (627,562) | (33,201,629) | (662,904) | (9,072,299) | (14,834) | (2,278) | (401,146) | — | (43,982,652) | | Other financial liabilities | — | (512,025) | — | — | — | — | — | — | (512,025) | | **Total liabilities** | **(43,929,802)** | **(79,901,849)** | **(1,324,451)** | **(9,111,106)** | **(5,577,431)** | **(205,952)** | **(454,380)** | **—** | **(140,504,971)** | ### 32. Assets pledged Assets are pledged as collateral to secure liabilities under repurchase agreements, securitisations and stock lending arrangements or as collateral posted against derivative margin requirements. The carrying amount of financial assets pledged as collateral for liabilities as at 31 December 2023 is £17,536m (2022: £17,373m). **Collateral held as security for assets** Under certain transactions, including reverse repurchase agreements and stock borrowing transactions, the Company is allowed to resell or re-pledge the collateral held. The fair value at the balance sheet date of collateral accepted and re-pledged to others was as follows: | | 2023 | 2022 | | --- | --- | --- | | Fair value of securities accepted as collateral | 157,835,251 | 155,983,901 | | Of which fair value of securities re-pledged/transferred to others | 118,566,094 | 132,036,419 | ### 33. Capital management The below table provides details of the regulatory capital resources managed by the Company. | | 2023 | 2022 | | --- | --- | --- | | Common Equity Tier 1 capital instruments | 1,855,540 | 1,730,131 | | Common Equity Tier 1 deductions | (112,909) | (119,933) | | Common Equity Tier 1 capital | 1,742,631 | 1,610,198 | | Additional Tier 1 capital | 500,000 | 500,000 | | Tier 1 capital | 2,242,631 | 2,110,198 | | Tier 2 capital | 300,000 | 300,000 | | **Total Own Funds** | **2,542,631** | **2,410,198** | To help meet regulatory provisions as prescribed by the PRA affecting capital adequacy and large exposures reporting, the Company has the following in place as at 31 December 2023: * A contractual guarantee of £2 bn (2022: £1.5 bn) from BBPLC to cover credit exposures arising from counterparty credit risk. The guarantee covers large exposures which are in excess of 23% of the Company’s eligible capital relevant for limits to large exposures. This guarantee may be terminated either by the beneficiary or guarantor by providing 30 business days’ notice in writing to the other party. * A contractual guarantee from BBPLC to cover credit exposures arising from counterparty credit risk ranked by exposure at default amount. The guarantee limit is set to £1 (2022: £1bn) and can be amended from time to time with agreement from both parties. This guarantee may be terminated either by the beneficiary or guarantor by providing 30 business days’ notice in writing to the other party. * A contractual guarantee from BBPLC to cover securities financing transactions to non-Core internal large exposures which are in excess of the Company’s eligible capital relevant for limits to large exposures in accordance with Article 4(I)(71) (b) and Article 494 of the CRR. The guarantee limit is set to £1 and can be amended from time to time with agreement from both parties. The main exposures to which this guarantee relates to are Barclays Capital Inc, Barclays Securities Japan Limited and Barclays Bank Ireland PLC. This guarantee will remain in effect until terminated either by the beneficiary or guarantor by providing 30 business days’ notice in writing to the other party. * A contractual guarantee of £1.5bn (2022: £1.5bn) from BBPLC to cover exposure with Barclays Capital Luxembourg Sarl for stock loan transactions. This guarantee will remain in effect until terminated by the guarantor by providing 30 business days’ notice in writing to the beneficiary. * Floating rate perpetual subordinated write down securities (AT1 securities) issued for £200m on 22 August 2019 and £300m on 15 December 2022, which are included within AT1 capital. * Subordinated callable notes of £150m issued on 22 August 2019 and £150m issued on 19 December 2019, which are included within Tier 2 capital. Also, the Company employs a range of Early Warning Indicators (EWIs) which enable proactive risk management on capital adequacy. The Company adopts various management actions including parental support and tailored business actions to address the risk of capital inadequacy. ### 34. Related party transactions Parties are considered to be related if one party has the ability to control the other party or exercise significant influence over the party in making financial or operational decisions, or one party controls both. The definition of related parties includes parent company, ultimate parent company, subsidiary, associated and joint venture companies, as well as the Company’s key management which includes its Directors. Particulars of transactions, and the balances outstanding at the year end, are disclosed in the tables below. The Company’s related party transactions disclosed in the tables below are with the parent company BBPLC and fellow subsidiaries of BPLC Group. | Statement of Comprehensive Income for the year ended 31 December 2023 | Parent | Fellow Subsidiaries | Total | | --- | --- | --- | --- | | Net Income | (399,807) | (69,165) | (468,972) | | Operating expense | (114,182) | (223,743) | (337,925) | | Impairment | (190) | 1 | (189) | | **Total Comprehensive Income** | **(514,179)** | **(292,907)** | **(807,086)** | | Statement of Financial Position as of 31 December 2023 | Parent | Fellow Subsidiaries | Total | | --- | --- | --- | --- | | Assets | 110,424,397 | 9,549,977 | 119,974,374 | | Liabilities | (121,093,866) | (14,095,578) | (135,189,444) | | Statement of Comprehensive Income for the year ended 31 December 2022 | Parent | Fellow Subsidiaries | Total | | --- | --- | --- | --- | | Net Income$^a$ | (402,511) | (40,545) | (443,056) | | Operating expense | (75,701) | (209,858) | (285,559) | | Impairment | (169) | — | (169) | | **Total Comprehensive Income** | **(478,381)** | **(250,403)** | **(728,784)** | | Statement of Financial Position as of 31 December 2022 | Parent | Fellow Subsidiaries | Total | | --- | --- | --- | --- | | Assets | 85,441,276 | 10,543,836 | 95,985,112 | | Liabilities | (82,796,482) | (16,402,114) | (99,198,596) | $^a$ Total income disclosures for 2022 have been restated by inclusion of £56m payout in Fellow subsidiaries and exclusion of £56m payout to Parent. This restatement had no impact on the net assets and profit before tax of the Company. Operating expenses to fellow subsidiaries above includes cost of services of £169.7m (2022: £144.7m) provided by Barclays Execution Services Limited, the BPLC Group-wide service company. BBPLC has provided to a limited number of third parties, guarantees on the performance of the Company in relation to obligations associated with prime brokerage and stock lending business activities. Refer Note 8 for details on remuneration of Key Management Personnel. ### 35. Legal and regulatory matters The financial reporting of legal and regulatory challenges involves a significant degree of judgement and is complex. Identifying whether a present obligation exists and estimating the probability, timing, nature and quantum of the outflows that may arise from past events requires judgements to be made based on the specific facts and circumstances relating to individual events and often requires specialist professional advice. When matters are at an early stage, accounting judgements and estimates can be difficult because of the high degree of uncertainty involved. Management continues to monitor matters as they develop to re-evaluate on an ongoing basis whether provisions should be recognised, however there can remain a wide range of possible outcomes and uncertainties, particularly in relation to legal, competition and regulatory matters, and as a result it is often not practicable to make meaningful estimates even when matters are at a more advanced stage. The Company has not disclosed an estimate of the potential financial effect of contingent liabilities where it is not currently practicable to do so. ### 36. Contingents and commitments Contingent liabilities are possible obligations whose existence will be confirmed only by uncertain future events, and present obligations where the transfer of economic resources is uncertain or cannot be reliably measured. Contingent liabilities are not recognised on the balance sheet but are disclosed unless the outflow of economic resources is remote. The following table summarises the nominal principal amount of contingent liabilities and commitments which are not recorded on balance sheet. | | 2023 | 2022 | | --- | --- | --- | | Undrawn commitments | 974,746 | 945,856 | Undrawn Commitments for the year include a Committed Margin Agreement with Prime Brokerage clients for £975m (2022: £946m). Apart from this the Company is also part of a DoLSub agreement with BBPLC which may give rise to contingent liabilities albeit not quantifiable. ### 37. Parent undertaking and ultimate holding company The Company is a subsidiary undertaking of BPLC, which is the ultimate parent company incorporated in the United Kingdom, which is also the ultimate controlling party. The largest group in which the results of the Company are consolidated is that headed by BPLC. The smallest group in which they are consolidated is that headed by BBPLC. Both companies are incorporated in the United Kingdom and registered in England. The consolidated financial statements of these groups are available to the public from Barclays Corporate Secretariat, 1 Churchill Place London E14 5HP. This information is available at: [https://home.barclays/investor-relations/reports-and-events/annual-reports/](https://home.barclays/investor-relations/reports-and-events/annual-reports/) ### 38. Events after the Balance Sheet Date There are no material events after 31 December 2023 and before adoption of the financial statements which need to be disclosed in the financial statements.