# Barclays Capital Securities Limited Pillar 3 Report 31 December 2024

# Contents

## Introduction
- Notes on Basis of Preparation 2

## Risk and capital position review
- Analysis of treasury and capital risk 4
- Analysis of credit risk 14

## Barclays’ approach to managing risks
- Management of credit risk mitigation techniques and counterparty credit risk 25

## Appendices
- Appendix A – Countercyclical capital buffer 28
- Appendix B – Disclosure on remuneration 32
- Appendix C – Compliance to Pillar3 requirements 34

# Introduction

## Notes on Basis of Preparation
The abbreviations ‘£000’s’ represents thousands of Pounds Sterling.
There are a number of key judgement areas, for example impairment calculations, which are based on models and which are subject to ongoing adjustment and modifications. Reported numbers reflect best estimates and judgements at the given point in time.
Relevant terms that are used in this document but are not defined under applicable regulatory guidance or International Financial Reporting Standards (IFRS) are explained in the results glossary available at home.barclays/investor-relations/reports-and-events.

## Disclosure background
Barclays Capital Securities Limited (BCSL) is a large non-listed subsidiary of Barclays PLC and is required by the Prudential Regulation Authority (PRA) to provide information about its risk profile, including its regulatory capital, RWAs and leverage exposures.
For the purpose of liquidity management, BCSL and its immediate parent company Barclays Bank PLC are monitored on a combined basis by the PRA under a Domestic Liquidity Sub-Group (Barclays Bank PLC DoLSub) arrangement (‘DoLSub’). The liquidity disclosures (Liquidity Coverage Ratio (LCR) and Net Stable Funding Ratio (NSFR)) are disclosed at the DoLSub level and are published in the Barclays Bank PLC Pillar 3 report.
The Pillar 3 report is prepared in accordance with the UK Capital Requirements Regulation (UK CRR) and the Prudential Regulation Authority (PRA) Rulebook. In particular, the Disclosure (CRR) Part of the PRA Rulebook specifies the requirements of the Pillar 3 framework.
Capital, Risk Weighted Assets (RWA) and Leverage metrics presented in the document are calculated on fully loaded basis as BCSL does not apply transitional arrangements available in UK CRR.
The terms RWA and Risk Weighted Exposure Amount (RWEA) are used interchangeably throughout the document.
The disclosures included in this report reflect BCSL’s interpretation of the current rules and guidance.

## Future regulatory changes
Following its 12 December 2023 publication of ‘Implementation of the Basel 3.1 standards near-final part 1’ (PS17/23), covering Credit Valuation Adjustments, Counterparty Credit Risk, Market Risk and Operational Risk, on 12 September 2024 the PRA published its near final policy statement ‘Implementation of the Basel 3.1 standards near-final part 2’ (PS9/24) covering the remaining aspects of the Basel 3.1 standards. This covered Credit Risk, Credit Risk Mitigation, the Output Floor, and Reporting and Disclosure requirements. On 17 January 2025 the PRA announced a delay in the implementation of Basel 3.1 in the UK until 1 January 2027.

## Presentation of risk data in the Pillar 3 disclosures versus the Annual Report and Accounts
This document discloses BCSL’s assets in terms of exposures and capital requirements. For the purposes of this document:

### Credit losses
Where credit impairment or losses are disclosed within this document, BCSL has followed the IFRS definitions used in the 2024 financial statements.

### Scope of application
Where this document discloses credit exposures or capital requirements, BCSL has followed the scope and application of its Pillar 1 capital adequacy calculations (unless noted otherwise).

### Definition of credit exposures
- Credit exposure, or ‘Exposure at Default’ (EAD) is defined as the estimate of the amount at risk in the event of a default (before any recoveries) or through the decline in value of an asset. This estimate takes account of contractual commitments related to undrawn amounts
- In contrast, an asset on the BCSL’s balance sheet is reported as a drawn balance only. This is one of the reasons why exposure values in the Pillar 3 report differ from asset values as reported in the BCSL financial statements

## Policy, validation and sign-off
BCSL is committed to operating within a strong system of internal controls. Throughout the year ended 31 December 2024, and to date, BCSL has operated a framework of controls and procedures to ensure the completeness and accuracy of the Pillar 3 disclosure.
Specific governance committees are responsible for examining BCSL’s external reports and disclosures to ensure they have been subject to adequate verification and comply with applicable standards and legislation. These committees report their conclusions to the BCSL Board Audit Committee (BAC).
This governance process is in place to provide both management and the Board with sufficient opportunity to debate and challenge the BCSL’s disclosures before they are made public.

> "We confirm that Barclays Capital Securities Limited' Pillar 3 disclosures, to the best of our knowledge, comply with the updated Pillar 3 framework within the PRA Rulebook and have been prepared in compliance with Barclays’ internal control framework".

**Aunoy Banerjee**, Chief Financial Officer, BCSL
**Bevan Cowie**, Chief Risk Officer, BCSL

# Analysis of treasury and capital risk

### Table 1: KM1 - Key metrics¹
This table shows key regulatory metrics and ratios as well as related components such as own funds, RWAs, capital ratios, capital buffer requirements and leverage ratio and additional requirements based on Supervisory Review and Evaluation Process (SREP).

| KM1 ref | | As at 31.12.24 £ 000’s | As at 31.12.23 £ 000’s | As at 31.12.22 £ 000’s | As at 31.12.21 £ 000’s |
| :--- | :--- | :--- | :--- | :--- | :--- |
| | **Available own funds (amounts)** | | | | |
| 1 | Common Equity Tier 1 (CET1) capital | 1,779,454 | 1,742,631 | 1,610,198 | 1,389,531 |
| 2 | Tier 1 capital | 2,279,454 | 2,242,631 | 2,110,198 | 1,589,531 |
| 3 | Total capital | 2,568,677 | 2,542,631 | 2,410,198 | 1,889,531 |
| | **Risk-weighted exposure amounts** | | | | |
| 4 | Total risk-weighted exposure amount | 12,312,473 | 9,005,755 | 10,990,325 | 8,167,669 |
| | **Capital ratios (as a percentage of risk-weighted exposure amount)** | | | | |
| 5 | Common Equity Tier 1 ratio (%) | 14.5% | 19.4% | 14.7% | 17.0% |
| 6 | Tier 1 ratio (%) | 18.5% | 24.9% | 19.2% | 19.5% |
| 7 | Total capital ratio (%) | 20.9% | 28.2% | 21.9% | 23.1% |
| | **Additional own funds requirements based on SREP (%)** | | | | |
| UK 7a | Additional CET1 SREP requirements (%) | 2.3% | 2.3% | 1.5% | |
| UK 7b | Additional AT1 SREP requirements (%) | 0.8% | 0.8% | 0.5% | |
| UK 7c | Additional T2 SREP requirements (%) | 1.0% | 1.0% | 0.7% | |
| UK 7d | Total SREP own funds requirements (%) | 12.1% | 12.1% | 10.7% | |
| | **Combined buffer requirement (%)** | | | | |
| 8 | Capital conservation buffer (%) | 2.5% | 2.5% | 2.5% | 2.5% |
| 9 | Institution specific countercyclical capital buffer (%) | 0.6% | 0.4% | 0.3% | 0.0% |
| 11 | Combined buffer requirement (%) | 3.1% | 2.9% | 2.8% | 2.5% |
| UK 11a | Overall capital requirements (%) | 15.2% | 15.0% | 13.5% | |
| 12 | CET1 available after meeting the total SREP own funds requirements (%) | 7.7% | 12.5% | 8.6% | |

**Notes:**
1. LCR and NSFR ratios are not applicable on standalone basis as liquidity for the entity is managed as part of a single sub-group (Barclays Bank PLC DoLSub).

The CET1 ratio decreased to 14.5% (December 2023: 19.4%) as RWAs increased by £3,307m to £12,312m partially offset by increase in CET1 capital by £37m to £1,779m. The increase in RWA is primarily due to Modelled Market Risk RWAs driven by SVaR (Stressed Value at Risk) and trading activities.

### Table 1: KM1 - Key metrics - Part 2

| KM1 ref | | As at 31.12.24 £ 000’s | As at 30.09.24 £ 000’s | As at 30.06.24 £ 000’s | As at 31.03.24 £ 000’s | As at 31.12.23 £ 000’s |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| | **Leverage ratio** | | | | | |
| 13 | Total exposure measure excluding claims on central banks | 49,775,865 | 50,092,975 | 49,705,897 | 46,796,687 | 49,307,010 |
| 14 | Leverage ratio excluding claims on central banks (%)² | 4.6% | 4.4% | 4.5% | 4.8% | 4.5% |
| | **Additional leverage ratio disclosure requirements** | | | | | |
| UK 14a | Fully loaded ECL accounting model leverage ratio excluding claims on central banks (%) | 4.6% | 4.4% | 4.5% | 4.8% | 4.5% |
| UK 14b | Leverage ratio including claims on central banks (%) | 4.6% | 4.4% | 4.5% | 4.8% | 4.5% |
| UK 14c | Average leverage ratio excluding claims on central banks (%)¹ | 4.3% | 4.5% | 4.4% | 4.4% | 4.3% |
| UK 14d | Average leverage ratio including claims on central banks (%)¹ | 4.3% | 4.5% | 4.4% | 4.4% | 4.3% |
| UK 14e | Countercyclical leverage ratio buffer (%)² | 0.2% | 0.2% | 0.2% | 0.2% | 0.1% |

**Notes:**
1. Average UK leverage ratio uses capital based on the last day of each month in the quarter and an exposure measure for each day in the quarter.
2. Although the leverage ratio is expressed in terms of T1 capital, 75% of the minimum requirement and countercyclical leverage ratio buffer (CCLB) must be covered solely with CET1 capital. The CET1 capital held against the 0.2% CCLB was £99.6m.

The UK leverage ratio increased to 4.6% (December 2023: 4.5%). This is primarily driven by a £37m increase in T1 Capital to £2,279m.

### Table 2: CC1 – Composition of regulatory own funds

| Ref† | | As at 31.12.24 £ 000’s | As at 31.12.23 £ 000’s |
| :--- | :--- | :--- | :--- |
| | **Common Equity Tier 1 (CET1) capital: instruments and reserves** | | |
| a | Capital instruments and the related share premium accounts | 571,070 | 571,070 |
| | *of which called up share capital¹* | 571,070 | 571,070 |
| b | Retained earnings | 936,334 | 909,061 |
| c | Accumulated other comprehensive income (and other reserves) | 250,000 | 250,000 |
| b | Independently reviewed interim profits net of any foreseeable charge or dividend | 186,750 | 125,409 |
| 6 | Common Equity Tier 1 (CET1) capital before regulatory adjustments | 1,944,154 | 1,855,540 |
| | **Common Equity Tier 1 (CET1) capital: regulatory adjustments** | | |
| 7 | Additional value adjustments | (160,468) | (108,530) |
| 12 | Negative amounts resulting from the calculation of expected loss amounts | (4,232) | (4,379) |
| 28 | Total regulatory adjustments to Common Equity Tier 1 (CET1) | (164,700) | (112,909) |
| 29 | Common Equity Tier 1 (CET1) capital | 1,779,454 | 1,742,631 |
| | **Additional Tier 1 (AT1) capital: instruments** | | |
| d | Capital instruments and the related share premium accounts | 500,000 | 500,000 |
| d | *of which: classified as equity under applicable accounting standards* | 500,000 | 500,000 |
| 36 | Additional Tier 1 (AT1) capital before regulatory adjustments | 500,000 | 500,000 |
| 44 | Additional Tier 1 (AT1) capital | 500,000 | 500,000 |
| 45 | Tier 1 capital (T1 = CET1 + AT1) | 2,279,454 | 2,242,631 |
| | **Tier 2 (T2) capital: instruments** | | |
| 46 | Capital instruments and the related share premium accounts | 289,239 | 300,000 |
| 51 | Tier 2 (T2) capital before regulatory adjustments | 289,239 | 300,000 |
| | **Tier 2 (T2) capital: regulatory adjustments** | | |
| 55 | Direct, indirect and synthetic holdings by the institution of the T2 instruments... | (16) | — |
| 57 | Total regulatory adjustments to Tier 2 (T2) capital | (16) | — |
| 58 | Tier 2 (T2) capital | 289,223 | 300,000 |
| 59 | Total capital (TC = T1 + T2) | 2,568,677 | 2,542,631 |
| 60 | Total Risk exposure amount | 12,312,473 | 9,005,755 |
| | **Capital ratios and buffers** | | |
| 61 | Common Equity Tier 1 (as a percentage of total risk exposure amount) | 14.5% | 19.4% |
| 62 | Tier 1 (as a percentage of total risk exposure amount) | 18.5% | 24.9% |
| 63 | Total capital (as a percentage of total risk exposure amount) | 20.9% | 28.2% |
| 64 | Institution CET1 overall capital requirement... | 9.9% | 9.7% |
| 65 | of which: capital conservation buffer requirement | 2.5% | 2.5% |
| 66 | of which: countercyclical buffer requirement | 0.6% | 0.4% |
| 68 | Common Equity Tier 1 available to meet buffers (%)² | 7.7% | 12.5% |
| | **Amounts below the thresholds for deduction (before risk weighting)** | | |
| 72 | Direct and indirect holdings of own funds... | 74,268 | 66,835 |
| 73 | Direct and indirect holdings by the institution of the CET1 instruments... | 1,350 | — |
| | **Applicable caps on the inclusions of provisions in Tier 2** | | |
| 79 | Cap for inclusion of credit risk adjustments in T2 under internal ratings-based approach | 8,227 | 8,005 |

**Notes:**
† The references (a) - (d) identify balance sheet components in Table 3: CC2 – Reconciliation of regulatory capital to balance sheet on page 08.
1. The 2023 comparative has been re-presented to reflect all of share capital as qualifying CET1 capital
2. The 2023 comparative has been re-presented to reflect total CET1 capital available to meet additional buffer requirements

### Table 3: CC2 – Reconciliation of regulatory own funds to balance sheet in the audited financial statements

| As at 31 December 2024 | Ref† | Balance sheet as in published financial statements £ 000’s | Under regulatory scope of consolidation £ 000’s |
| :--- | :--- | :--- | :--- |
| **Assets** | | | |
| 1 | Cash and balances at central banks¹ | | 1,141,517 | 1,141,517 |
| 2 | Trading portfolio assets | | 24,438,595 | 24,438,595 |
| 3 | Derivative financial instruments | | 8,334,221 | 8,334,221 |
| 4 | Financial assets mandatorily at fair value | | 66,463,472 | 66,463,472 |
| 5 | Loans and other receivables at amortised cost | | 39,127,764 | 39,127,764 |
| 6 | Other assets | | 682,188 | 682,188 |
| 7 | **Total assets** | | **140,187,757** | **140,187,757** |
| **Liabilities** | | | |
| 1 | Trading portfolio liabilities | | 19,065,655 | 19,065,655 |
| 2 | Derivative financial instruments | | 12,350,570 | 12,350,570 |
| 3 | Repurchase agreements at amortised cost | | 2,512,801 | 2,512,801 |
| 4 | Financial liabilities designated at fair value | | 39,898,544 | 39,898,544 |
| 5 | Borrowings | | 63,251,057 | 63,251,057 |
| 6 | Deferred tax liabilities | | 198 | 198 |
| 7 | Current tax liabilities | | 57,541 | 57,541 |
| 8 | Other liabilities | | 605,320 | 605,320 |
| 9 | **Total liabilities** | | **137,741,686** | **137,741,686** |
| **Equity** | | | |
| 1 | Called up share capital and share premium | | 571,071 | 571,071 |
| 2 | - Of which: amount eligible for CET1 | a | 571,070 | 571,070 |
| 3 | - Of which: amount eligible for AT1 | | — | — |
| 4 | Other equity instruments | d | 500,000 | 500,000 |
| 5 | Other reserves | c | 250,000 | 250,000 |
| 6 | Retained earnings | b | 1,125,000 | 1,125,000 |
| 7 | **Total equity excluding non-controlling interests** | | **2,446,071** | **2,446,071** |
| 9 | **Total equity** | | **2,446,071** | **2,446,071** |
| 10 | **Total liabilities and equity** | | **140,187,757** | **140,187,757** |

### Table 4: RWAs by risk type

| As at 31 December 2024 | Credit risk Std £ 000’s | Credit risk AIRB £ 000’s | Counterparty credit risk Std £ 000’s | Counterparty credit risk AIRB £ 000’s | Settlement risk £ 000’s | CVA £ 000’s | Market risk Std £ 000’s | Market risk IMA £ 000’s | Operational risk £ 000’s | Total RWAs £ 000’s |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| Barclays Capital Securities Limited | 70,952 | 367,530 | 958,731 | 1,003,690 | 13,822 | 2,561 | 1,723,145 | 6,661,091 | 1,510,951 | 12,312,473 |

### Table 5: OV1 – Overview of risk weighted exposure amounts

| | | RWEAs 31.12.24 £ 000’s | RWEAs 31.12.23 £ 000’s | Total own funds requirements 31.12.24 £ 000’s |
| :--- | :--- | :--- | :--- | :--- |
| 1 | Credit risk (excluding CCR) | 438,482 | 371,699 | 35,078 |
| 2 | Of which the standardised approach | 70,952 | 61,692 | 5,676 |
| 5 | Of which the advanced IRB (AIRB) approach | 367,530 | 310,007 | 29,402 |
| 6 | Counterparty credit risk - CCR | 1,964,982 | 2,053,289 | 157,199 |
| 7 | Of which the standardised approach | 49,823 | 10,170 | 3,986 |
| 8 | Of which internal model method (IMM) | 1,467,770 | 1,481,742 | 117,422 |
| 9 | Of which other CCR | 412,544 | 529,027 | 33,003 |
| 15 | Settlement risk | 13,822 | 58,117 | 1,106 |
| 20 | Position, foreign exchange and commodities risks (Market risk) | 8,384,236 | 5,013,376 | 670,739 |
| 21 | Of which the standardised approach | 1,723,145 | 1,479,273 | 137,852 |
| 22 | Of which IMA | 6,661,091 | 3,534,103 | 532,887 |
| 23 | Operational risk | 1,510,951 | 1,509,274 | 120,876 |
| 29 | Total | 12,312,473 | 9,005,755 | 984,998 |

### Table 6: CR8 – RWEA flow statements of credit risk exposures under the advanced IRB approach

| | Twelve months ended 31.12.2024 £ 000’s |
| :--- | :--- |
| 1 | Risk weighted exposure amount as at the end of the previous reporting period | 189,509 |
| 2 | Asset size | 73,193 |
| 3 | Asset quality | (17,202) |
| 5 | Methodology and policy | 6,907 |
| 7 | Foreign exchange movements | (2,144) |
| 9 | Risk weighted exposure amount as at the end of the reporting period | 250,263 |

### Table 7: CCR7– RWEA flow statements of CCR exposures under the IMM

| | Twelve months ended 31.12.2024 £ 000’s |
| :--- | :--- |
| 1 | Risk weighted exposure amount as at the end of the previous reporting period | 1,481,742 |
| 2 | Asset size | 83,245 |
| 3 | Credit quality of counterparties | (42,173) |
| 7 | Foreign exchange movements | (55,044) |
| 9 | Risk weighted exposure amount as at the end of the reporting period | 1,467,770 |

### Table 8: MR2-B – RWA flow statements of market risk exposures under the IMA

| | VaR £ 000’s | SVaR £ 000’s | IRC £ 000’s | Other £ 000’s | Total RWEAs £ 000’s | Total own funds req. £ 000’s |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| 1 | RWAs at previous period end | 651,382 | 2,329,710 | 8,436 | 544,575 | 3,534,103 | 282,728 |
| 1a | Regulatory adjustment¹ | (231,680) | (369,508) | — | — | (601,187) | (48,095) |
| 1b | RWAs at the end of previous reporting period | 419,702 | 1,960,202 | 8,436 | 544,575 | 2,932,916 | 234,633 |
| 2 | Movement in risk levels | 106,918 | 2,424,065 | (4,859) | 252,349 | 2,778,472 | 222,278 |
| 8a | RWAs at the end of the reporting period (end of day) | 526,620 | 4,384,267 | 3,577 | 796,924 | 5,711,388 | 456,911 |
| 8b | Regulatory adjustment² | 267,118 | 681,830 | 755 | — | 949,703 | 75,976 |
| 8 | RWAs at the end of the disclosure period | 793,738 | 5,066,097 | 4,332 | 796,924 | 6,661,091 | 532,887 |

### Table 9: LR1 - Summary of reconciliation of accounting assets and leverage ratio exposures

| | As at 31 December 2024 £ 000’s | As at 31 December 2023 £ 000’s |
| :--- | :--- | :--- |
| 1 | Total assets as per published financial statements | 140,187,757 | 166,970,682 |
| 6 | Adjustment for regular-way purchases and sales of financial assets... | (13,495,368) | (12,774,034) |
| 8 | Adjustments for derivative financial instruments | (4,225,793) | 2,268,307 |
| 9 | Adjustment for securities financing transactions (SFTs) | 5,166,494 | 4,640,580 |
| 10 | Adjustment for off-balance sheet items... | 110,790 | 194,949 |
| 11 | Adjustment for prudent valuation adjustments... | (160,467) | (108,530) |
| UK-11a | (Adjustment for exposures excluded from the total exposure measure...) | (76,865,434) | (111,828,268) |
| 12 | Other adjustments | (942,114) | (56,676) |
| 13 | **Total exposure measure** | **49,775,865** | **49,307,010** |

### Table 10: LR2 - Leverage ratio common disclosure

| | As at 31 December 2024 £ 000’s | As at 31 December 2023 £ 000’s |
| :--- | :--- | :--- |
| 7 | Total on-balance sheet exposures (excluding derivatives and SFTs) | 51,068,665 | 66,895,531 |
| 13 | Total derivatives exposures | 4,108,428 | 12,846,170 |
| 18 | Total securities financing transaction exposures | 71,353,416 | 81,198,628 |
| 22 | Off-balance sheet exposures | 110,790 | 194,949 |
| UK-22k | (Total exempted exposures) | (76,865,434) | (111,828,268) |
| 24 | Total exposure measure including claims on central banks | 49,775,865 | 49,307,010 |
| UK-24b | Total exposure measure excluding claims on central banks | 49,775,865 | 49,307,010 |
| 25 | Leverage ratio excluding claims on central banks (%) | 4.6% | 4.5% |

### Table 11: LR3 - Split-up of on balance sheet exposures (excluding derivatives, SFTs and exempted exposures)

| | As at 31 December 2024 £ 000’s | As at 31 December 2023 £ 000’s |
| :--- | :--- | :--- |
| UK-1 | Total on-balance sheet exposures... of which: | 27,153,897 | 28,777,274 |
| UK-2 | Trading book exposures | 26,193,298 | 27,817,912 |
| UK-3 | Banking book exposures, of which: | 960,599 | 959,362 |
| UK-5 | Exposures treated as sovereigns | 69,252 | 64,238 |
| UK-7 | Institutions | 679,389 | 709,167 |
| UK-10 | Corporates | 94,691 | 64,900 |

## Management of Treasury and Capital Risk

### Capital Risk Management
Capital risk is managed through ongoing monitoring and management of the capital and leverage position, regular stress testing and a robust capital governance framework. The objectives of the framework are to maintain adequate capital for BCSL to withstand the impact of the risks that may arise under normal and stressed conditions, and maintain adequate capital to cover current and forecast business needs and associated risks to provide a viable and sustainable business offering. BCSL aims to prudently manage its overall leverage position (including risk of excessive leverage) by utilising plausible stress scenarios, reviewing and deploying management actions in response to deteriorating economic and commercial positions. In order to manage contingent leverage risk, BCSL considers the context from which the business consumption arises, the impact of client utilisation on leverage and the available actions to manage.

## Analysis of credit risk

### Table 12: CR4 - Standardised approach - Credit risk exposure and CRM effects

| As at 31 December 2024 | Exposures before CCF and CRM On-balance sheet amount £ 000’s | Exposures post-CCF and CRM On-balance sheet amount £ 000’s | Exposures post-CCF and CRM Off-balance sheet amount £ 000’s | RWA £ 000’s | RWA density % |
| :--- | :--- | :--- | :--- | :--- | :--- |
| 1 Central governments or central banks | 69,252 | 69,252 | — | 69,252 | 100% |
| 6 Institutions | 24,940,710 | 24,948,328 | 13,706 | 21 | 0% |
| 7 Corporates | 1,677 | 1,677 | — | 1,679 | 100% |
| 17 Total | 25,011,639 | 25,019,257 | 13,706 | 70,952 | 0.3% |

### Table 13: CR7 – IRB approach – Effect on the RWEAs of credit derivatives used as CRM techniques

| | Pre-credit derivatives RWEA (31.12.24) £ 000’s | Pre-credit derivatives RWEA (31.12.23) £ 000’s | Actual RWEA (31.12.24) £ 000’s | Actual RWEA (31.12.23) £ 000’s |
| :--- | :--- | :--- | :--- | :--- |
| 5 Exposures under AIRB | 250,263 | 189,509 | 250,263 | 189,509 |
| 7 Institutions | 166,502 | 159,942 | 166,502 | 159,942 |
| 8 Corporates | 83,761 | 29,567 | 83,761 | 29,567 |
| 10 TOTAL | 250,263 | 189,509 | 250,263 | 189,509 |

### Table 14: CR7-A – IRB approach – Disclosure of the extent of the use of CRM techniques

| As at 31 December 2024 | Total exposures £ 000’s | RWEA post all CRM assigned to obligor exposure class £ 000’s |
| :--- | :--- | :--- |
| 1 Central gov. and central banks | — | — |
| 2 Institutions | 760,891 | 166,502 |
| 3 Corporates | 99,437 | 83,761 |
| 5 Total | 860,328 | 250,263 |

### Table 15: CR1 - Performing and non-performing exposures and related provisions

| As at 31 December 2024 | Gross carrying amount/nominal Performing exposures Stage 1 £ 000’s | Non-performing exposures Stage 3 £ 000’s | Accumulated impairment (Performing) Stage 1 £ 000’s | Accumulated impairment (Non-performing) Stage 3 £ 000’s | Collateral and financial guarantees received (On performing) £ 000’s |
| :--- | :--- | :--- | :--- | :--- | :--- |
| 005 Cash balances at central banks... | 1,141,517 | 4,471 | — | (4,471) | — |
| 010 Loans and advances | 39,127,991 | — | (227) | — | 66,186,921 |
| 220 Total | 40,823,455 | 4,471 | (227) | (4,471) | 66,186,921 |

### Table 16: CR1-A - Maturity of exposures

| As at 31 December 2024 | On demand £ 000’s | <= 1 year £ 000’s | > 1 year <= 5 years £ 000’s | Total £ 000’s |
| :--- | :--- | :--- | :--- | :--- |
| 1 Loans and advances | 553,947 | 102,830,953 | 2,521,836 | 105,906,736 |
| 2 Debt securities | — | 23,280 | 215,167 | 238,447 |
| 3 Total | 553,947 | 102,854,233 | 2,737,003 | 106,145,183 |

### Table 17: CR3 – CRM techniques overview

| As at 31 December 2024 | Unsecured carrying amount £ 000’s | Secured carrying amount £ 000’s | Of which secured by collateral £ 000’s |
| :--- | :--- | :--- | :--- |
| 1 Loans and advances | 40,312,082 | 66,186,921 | 66,186,921 |
| 2 Debt securities | 238,448 | — | — |
| 3 Total | 40,550,530 | 66,186,921 | 66,186,921 |

### Table 18: CQ3 - Credit quality of performing and non-performing exposures by past due days

| As at 31 December 2024 | Gross carrying/Nominal amount | Performing exposures Not past due or <= 30 days £ 000’s | Non-performing exposures Unlikely to pay <= 90 days £ 000’s | Non-performing exposures > 2 year <= 5 years £ 000’s | Of which defaulted £ 000’s |
| :--- | :--- | :--- | :--- | :--- | :--- |
| 220 Total | 107,286,927 | 106,732,980 | 4,471 | 4,471 | 4,471 |

### Table 19: CQ4 - Quality of non-performing exposures by geography

| As at 31 December 2024 | Gross carrying/Nominal amount £ 000’s | of which: non-performing £ 000’s | of which: subject to impairment £ 000’s | Accumulated impairment £ 000’s |
| :--- | :--- | :--- | :--- | :--- |
| On balance sheet exposures | 106,737,451 | 4,471 | 40,273,980 | (4,698) |
| Off balance sheet exposures | 553,947 | — | — | — |
| TOTAL | 107,291,397 | 4,471 | 40,273,979 | (4,698) |

### Table 20: CQ5 - Credit quality of loans and advances to non-financial corporations by industry

| As at 31 December 2024 | Gross carrying amount £ 000’s | of which: loans subject to impairment £ 000’s |
| :--- | :--- | :--- |
| 100 Information and communication | 1,205 | 1,205 |
| 110 Financial and insurance activities | 145 | 145 |
| 140 Admin. and support service activities | 5,409 | 5,297 |
| 160 Education | 3,083 | — |
| 200 Total | 9,842 | 6,647 |

## Management of credit risk mitigation techniques and counterparty credit risk

### Credit risk mitigation
BCSL employs a range of techniques and strategies to actively mitigate credit risks. These can broadly be divided into three types:
- netting and set-off
- collateral
- risk transfer

### Netting and set-off
In most jurisdictions in which BCSL operates, credit risk exposures can be reduced by applying netting and set-off. In exposure terms, this credit risk mitigation technique has the largest overall impact on net exposure to derivative transactions, compared with other risk mitigation techniques. For derivative transactions, BCSL’s normal practice is to enter into standard master agreements with counterparties (e.g. ISDAs).

### Collateral
BCSL has the ability to call on collateral in the event of default of the counterparty, comprising wholesale lending (fixed charge over commercial property), derivatives (margin agreement such as Credit Support Annex), reverse repurchase agreements, and financial guarantees.

### Risk transfer
A range of instruments including guarantees can be used to transfer credit risk. In order to transfer risk, BCSL has contractual guarantees in place with the parent entity Barclays Bank PLC.

### Counterparty credit risk
BCSL enters into financial instruments that are traded or cleared on an exchange. A Monte Carlo simulation engine is used to estimate the Potential Future Exposure (PFE) to derivative and securities financing counterparties.

## Appendix A – Countercyclical Capital Buffer

### Table 21: CCyB1 - Geographical distribution of credit exposures

| Breakdown by country (As at 31.12.24) | Total exposure value £ 000’s | Total own fund requirements £ 000’s | Risk-weighted exposure amounts £ 000’s |
| :--- | :--- | :--- | :--- |
| NORWAY | 3,980 | 208 | 2,592 |
| UNITED KINGDOM | 1,277,961 | 28,913 | 361,411 |
| UNITED STATES | 1,051,953 | 39,550 | 494,383 |
| TOTAL | 5,968,834 | 174,714 | 2,183,924 |

### Table 22: CCyB2 - Amount of institution-specific countercyclical capital buffer

| | As at 31 December 2024 £ 000’s | As at 31 December 2023 £ 000’s |
| :--- | :--- | :--- |
| 1 Total risk exposure amount | 12,312,473 | 9,005,755 |
| 2 Institution specific countercyclical capital buffer rate | 0.57% | 0.41% |
| 3 Institution specific countercyclical capital buffer requirement | 69,703 | 36,642 |

## Appendix B – Disclosure on remuneration

### Remuneration governance
Barclays Bank PLC (‘BBPLC’) is the parent company of BCSL. BCSL does not employ any individuals. Remuneration of MRTs in respect of the financial year: As BCSL has no employees, BCSL MRTs are limited to the Non-Executive Directors on the Board of BCSL.

### Table 27: UK REM1 - Remuneration awarded for the financial year

| Fixed remuneration | MB Supervisory function £ 000’s |
| :--- | :--- |
| 1 Number of identified staff | 3 |
| 2 Total fixed remuneration | 80.0 |
| 3 Of which: cash-based | 80.0 |
| 17 Total remuneration (2+10) | 80.0 |

## Appendix C – Compliance to Pillar 3 requirements

| CRR ref. | High-level summary | Compliance reference |
| :--- | :--- | :--- |
| 431 (1) | Requirement to publish Pillar 3 disclosures | Barclays publishes Pillar 3 disclosures |
| 437 | Requirements regarding capital resources table | Page 6 / Table 2; Page 7 / Table 3 |
| 440 (a) | Geographical distribution of credit exposures | Page 28 / Table 21 |
| 451 (1)(a) | Leverage ratio reconciliation | Pages 11-13 / Table 9, 10, 11 |