Barclays Capital Securities Limited

These are conditions the FCA places on the firm itself, covering things like capital it must hold and what it must report. They do not change what the firm may do for you.

• Requirement to the IMM Permission 1713271

  Capital buffer requirement 1. The IMM Permission is subject to the requirement that, in relation to exposures to power and gas products: 1.1. The firm must hold a capital buffer as an adjustment to its capital resources requirement corresponding to at least 10% of the risk weighted exposure amount calculated under the IMM Permission; 1.2. This capital buffer must be held until the firm extends its simulation methodology to account for seasonal volatility; and 1.3. The firm must continuously monitor the impact of seasonal volatility on its material risk factors. Repurchase transactions 2. The IMM Permission is subject to the requirement that if the firm's exposures to repurchase transactions which are committed become material in size and risk, it must either treat them as fully drawn for exposure measurement and capital purposes or demonstrate to the PRA that the relevant model covered by the IMM Permission appropriately reflects the risks inherent in their contractual terms. Reporting requirements 3. The firm must collect, record, and report to the PRA the following information on a quarterly basis in each calendar year: 3.1. its counterparty credit risk (CCR) EAD and CCR RWAs at aggregate level, and divided by exposure type (OTC derivatives, listed derivatives, repurchase transactions, securities or commodities lending or borrowing transactions and margin lending transactions); 3.2. its exposures divided by exposure type, counterparty sector and by counterparty credit rating, showing both level and trend; 3.3. the composition of collateral for OTC derivatives, showing both average level of collateral types and trend by collateral type; 3.4. backtesting results on representative (actual or hypothetical) counterparty portfolios, including the results on the following: * 10, 20 or 40-day backtesting for collateralised transactions of OTC derivatives; * 5, 10 or 20-day backtesting for repurchase transactions, securities or commodities lending or borrowing transactions and margin lending transactions; and * backtesting over at least a year for representative uncollateralised transactions; 3.5. where the model relies on mapping to proxy transactions, or on proxy market data, a list of the affected products showing both the level and trend of these products and the results of the analysis to estimate the appropriateness of proxies for counterparty credit risk exposure calculation. 3.6. the results and analysis performed to calculate all capital adjustments held where there are identified limitations in the firm's CCR models and processes. 4. The firm must inform the PRA of any event that may have a significant impact on its IMM permission, including in particular: 4.1. changes to the list of asset classes, products or counterparties listed in Table 2 of Annex 1; 4.2. use of a different model for exposure calculations under the IMM permission; 4.3. changes to governance or senior management arrangements in relation to the IMM permission; 4.4. changes to the volumes or trends of trading for assets classes, products or counterparties listed in Table 2 of Annex 1; and 4.5. changes to the volumes or trends of trading for legal entities in the scope of the IMM permission. 5. For power and gas products: * the proportion of products using proxies; * the proportion of exposure attributable to proxied products. Maintenance of the group 6. This permission applies to each firm for as long as they remain part of the group headed by Barclays PLC.

• Requirements added to Art 325 Permission (2227407)

  1. This Market Risk Consolidation Permission applies to an institution or undertaking listed in Table 1 only for as long as it remains part of the Barclays Group. The firm must notify the PRA promptly if any of those institutions or undertakings ceases to be part of the Barclays Group. 2. The firm must, no later than 23 business days after the end of each quarter, ending March, June, September and December submit, in respect of that quarter, a report to the PRA highlighting the capital impact of market risk consolidation for each of the institutions listed in Table 1. 3. The firm must: 1. ensure that any existing legal agreements or arrangements necessary for fulfilment of the conditions of Article 325(2) of the CRR as between any of the institutions in Table 1 are maintained; and 2. notify the PRA of any variation in the terms of such agreements, or of any change in the relevant legal or regulatory framework of which it becomes aware and which may have an impact on the ability of any of the institutions listed in Table 1 to meet the conditions of Article 325(2) of the CRR.