Barclays : 2024 Q1 Barclays PLC Pillar 3 Report

Barclays PLC

Q1 2024 Pillar 3 Report

31 March 2024

Table of Contents

Barclays PLC Pillar 3	Page
Notes
Forward-looking statements	3
Introduction
Disclosure Background	4
Summary
KM1 - Key Metrics	5
Capital
IFRS 9 - Comparison of institutions' own funds and capital and leverage ratios with and without the application of	7
transitional arrangements for IFRS 9 or analogous ECLs
Risk weighted assets (RWAs)
RWAs by risk type and business	8
OV1 - Overview of risk weighted exposure amounts	9
CR8 - RWEA flow statements of credit risk exposures under the IRB approach	10
CCR7 - RWEA flow statements of counterparty credit risk exposures under the IMM	10
MR2-B - RWA flow statements of market risk exposures under the IMA	11
Minimum Requirements for own funds and Eligible Liabilities (MREL)
KM2 - Key Metrics - TLAC Requirements	12
Liquidity
LIQ1 - Liquidity Coverage ratio	13

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Notes on basis of preparation

The terms "Barclays" or "Group" refer to Barclays PLC together with its subsidiaries. The abbreviations '£m' and '£bn' represent millions and thousands of millions of Pounds Sterling respectively.

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 the International Financial Reporting Standards (IFRS) are explained in the results glossary that can be accessed at home.barclays/investor- relations/reports-and-events/latest-financial-results.

Forward-looking statements

This document contains certain forward-looking statements within the meaning of Section 21E of the US Securities Exchange Act of 1934, as amended, and Section 27A of the US Securities Act of 1933, as amended, with respect to the Group. Barclays cautions readers that no forward-looking statement is a guarantee of future performance and that actual results or other financial condition or performance measures could differ materially from those contained in the forward- looking statements. Forward-looking statements can be identified by the fact that they do not relate only to historical or current facts. Forward-looking statements sometimes use words such as 'may', 'will', 'seek', 'continue', 'aim', 'anticipate', 'target', 'projected', 'expect', 'estimate', 'intend', 'plan', 'goal', 'believe', 'achieve' or other words of similar meaning. Forward- looking statements can be made in writing but also may be made verbally by directors, officers and employees of the Group (including during management presentations) in connection with this document. Examples of forward-looking statements include, among others, statements or guidance regarding or relating to the Group's future financial position, business strategy, income levels, costs, assets and liabilities, impairment charges, provisions, capital leverage and other regulatory ratios, capital distributions (including policy on dividends and share buybacks), return on tangible equity, projected levels of growth in banking and financial markets, industry trends, any commitments and targets (including environmental, social and governance (ESG) commitments and targets), plans and objectives for future operations, and other statements that are not historical or current facts. By their nature, forward-looking statements involve risk and uncertainty because they relate to future events and circumstances. Forward-looking statements speak only as at the date on which they are made. Forward-looking statements may be affected by a number of factors, including, without limitation: changes in legislation, regulations, governmental and regulatory policies, expectations and actions, voluntary codes of practices and the interpretation thereof, changes in IFRS and other accounting standards, including practices with regard to the interpretation and application thereof and emerging and developing ESG reporting standards; the outcome of current and future legal proceedings and regulatory investigations; the Group's ability along with governments and other stakeholders to measure, manage and mitigate the impacts of climate change effectively; environmental, social and geopolitical risks and incidents and similar events beyond the Group's control; the impact of competition in the banking and financial services industry; capital, liquidity, leverage and other regulatory rules and requirements applicable to past, current and future periods; UK, US, Eurozone and global macroeconomic and business conditions, including inflation; volatility in credit and capital markets; market related risks such as changes in interest rates and foreign exchange rates reforms to benchmark interest rates and indices; higher or lower asset valuations; changes in credit ratings of any entity within the Group or any securities issued by it; changes in counterparty risk; changes in consumer behaviour; the direct and indirect consequences of the conflicts in Ukraine and the Middle East on European and global macroeconomic conditions, political stability and financial markets; political elections; developments in the UK's relationship with the European Union ("EU"); the risk of cyberattacks, information or security breaches, technology failures or operational disruptions and any subsequent impact on the Group's reputation, business or operations; the Group's ability to access funding; and the success of acquisitions, disposals and other strategic transactions. A number of these factors are beyond the Group's control. As a result, the Group's actual financial position, results, financial and non-financial metrics or performance measures or its ability to meet commitments and targets may differ materially from the statements or guidance set forth in the Group's forward-looking statements. In setting its targets and outlook for the period 2024-2026, Barclays has made certain assumptions about the macroeconomic environment, including, without limitation, inflation, interest and unemployment rates, the different markets and competitive conditions in which Barclays operates, and its ability to grow certain businesses and achieve costs savings and other structural actions. Additional risks and factors which may impact the Group's future financial condition and performance are identified in Barclays PLC's filings with the US Securities and Exchange Commission ("SEC") (including, without limitation, Barclays PLC's Annual Report on Form 20-F for the financial year ended 31 December 2023), which are available on the SEC's website at www.sec.gov.

Subject to Barclays PLC's obligations under the applicable laws and regulations of any relevant jurisdiction (including, without limitation, the UK and the US) in relation to disclosure and ongoing information, we undertake no obligation to update publicly or revise any forward-looking statements, whether as a result of new information, future events or otherwise.

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Notes on basis of preparation

Disclosure Background

Barclays' Pillar 3 disclosures complement the Barclays Q1 2024 Results Announcement and provide additional information about Barclays' risk profile, including its regulatory capital, minimum requirements for own funds and eligible liabilities (MREL), RWAs, liquidity and leverage exposures.

The Pillar 3 report is prepared in accordance with the Capital Requirements Regulation and Capital Requirements Directive (CRR and CRD V). In particular articles 431 to 455 of CRR specify the requirements of the Pillar 3 framework. The regulations came into force on 1 January 2022, and were implemented by the Prudential Regulation Authority (PRA) via the PRA Rulebook.

References to CRR, as amended by CRR II, mean the capital regulatory requirements, as they form part of domestic law by virtue of the European Union (Withdrawal) Act 2018, as amended.

The terms risk weighted asset (RWA) and risk weighted exposure amount (RWEA) are used interchangeably throughout the document.

The disclosures included in this report reflect the Bank's interpretation of the current rules and guidance.

Large subsidiaries

The Group's disclosable large subsidiaries as at 31 March 2024 are Barclays Bank PLC, Barclays Bank UK PLC, Barclays Bank Ireland PLC (BBI) and Barclays Capital Securities Limited (BCSL). The disclosures for these entities are published in standalone documents 'Barclays Bank PLC Pillar 3 Report', 'Barclays Bank UK PLC Pillar 3 Report', 'Barclays Bank Ireland PLC Pillar 3 report' and 'Barclays Capital Securities Limited Pillar 3 Report' respectively.

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Summary

Table 1: KM1 - Key metrics - Part 1

This table shows key regulatory metrics and ratios as well as related components such as own funds, RWAs, capital ratios, additional requirements based on Supervisory Review and Evaluation Process (SREP), capital buffer requirements, leverage ratio, liquidity coverage ratio (LCR) and net stable funding ratio (NSFR). Part 2 of this table further includes all UK LR2 components which are required to be reported with a quarterly frequency as per Article 433a(4).

		As at	As at	As at	As at	As at
KM1		31.03.24	31.12.23	30.09.23	30.06.23	31.03.23
ref		£m	£m	£m	£m	£m
	Available own funds (amounts)
1	Common Equity Tier 1 (CET1) capital1	47,144	47,304	47,958	46,640	45,985
1a	Fully loaded common Equity Tier 1 (CET1) capital2	47,007	47,016	47,668	46,434	45,740
2	Tier 1 capital1	60,385	60,507	59,755	60,339	59,709
2a	Fully loaded tier 1 capital2	60,248	60,219	59,465	60,133	59,464
3	Total capital1,3	68,455	68,882	68,536	69,231	68,214
3a	Fully loaded total capital2,4	68,051	68,229	67,781	68,548	67,232
	Risk-weighted exposure amounts
4	Total risk-weighted exposure amount1	349,635	342,717	341,868	336,946	338,448
4a	Fully loaded total risk-weighted exposure amount2	349,604	342,650	341,753	336,868	338,380
	Capital ratios (as a percentage of risk-weighted exposure amount)
5	Common Equity Tier 1 ratio (%)1	13.5%	13.8%	14.0%	13.8%	13.6%
5a	Fully loaded common Equity Tier 1 ratio (%)2	13.4%	13.7%	13.9%	13.8%	13.5%
6	Tier 1 ratio (%)1	17.3%	17.7%	17.5%	17.9%	17.6%
6a	Fully loaded tier 1 ratio (%)2	17.2%	17.6%	17.4%	17.9%	17.6%
7	Total capital ratio (%)1,3	19.6%	20.1%	20.0%	20.5%	20.2%
7a	Fully loaded total capital ratio (%)2,4	19.5%	19.9%	19.8%	20.3%	19.9%
	Additional own funds requirements based on SREP (as a percentage of
	risk-weighted exposure amount)
UK 7a	Additional CET1 SREP requirements (%)	2.6%	2.6%	2.4%	2.4%	2.4%
UK 7b	Additional AT1 SREP requirements (%)	0.9%	0.9%	0.8%	0.8%	0.8%
UK 7c	Additional T2 SREP requirements (%)	1.1%	1.1%	1.1%	1.1%	1.1%
UK 7d	Total SREP own funds requirements (%)	12.6%	12.6%	12.3%	12.3%	12.3%
	Combined buffer requirement (as a percentage of risk-weighted
	exposure amount)
8	Capital conservation buffer (%)	2.5%	2.5%	2.5%	2.5%	2.5%
9	Institution specific countercyclical capital buffer (%)	0.9%	0.9%	0.9%	0.5%	0.5%
10	Global Systemically Important Institution buffer (%)	1.5%	1.5%	1.5%	1.5%	1.5%
11	Combined buffer requirement (%)	4.9%	4.9%	4.9%	4.5%	4.5%
UK 11a	Overall capital requirements (%)	17.5%	17.5%	17.2%	16.8%	16.7%
12	CET1 available after meeting the total SREP own funds requirements (%)	6.4%	6.7%	7.1%	6.9%	6.7%

Notes

1. Transitional capital and RWAs are calculated applying the IFRS 9 transitional arrangements of the CRR as amended by CRR II.
2. Fully loaded capital and RWAs are calculated without applying the IFRS 9 transitional arrangements of the CRR as amended by CRR II.
3. Total transitional capital is calculated applying the grandfathering of CRR II non-compliant capital instruments included within Tier 2 capital.
4. Total fully loaded capital is calculated without applying the grandfathering of CRR II non-compliant capital instruments included within Tier 2 capital.

The CET1 ratio decreased to 13.5% (December 2023: 13.8%) as RWAs increased by £6.9bn to £349.6bn and CET1 capital decreased by £0.2bn to £47.1bn:

• c.40bps increase from attributable profit generated in the quarter
• c.40bps decrease driven by shareholder distributions including the £1.0bn share buyback announced with FY23 results and an accrual towards the FY24 dividend
• c.30bps decrease as a result of a £6.9bn increase in RWAs primarily driven by expected seasonal activity in the Investment Bank and regulatory model changes in Barclays UK which are expected to be partially offset for the full year

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Summary

Table 1: KM1 - Key metrics - Part 2

			As at	As at	As at	As at	As at
	LR 2		31.03.24	31.12.23	30.09.23	30.06.23	31.03.23
KM1 ref	Ref		£m	£m	£m	£m	£m
		Leverage ratio
13	UK 24b	Total exposure measure excluding claims on central banks1	1,226,450	1,168,275	1,202,417	1,183,703	1,168,899
14	25	Leverage ratio excluding claims on central banks (%)1,4	4.9%	5.2%	5.0%	5.1%	5.1%
		Additional leverage ratio disclosure requirements
UK 14a	UK 25a	Fully loaded ECL accounting model leverage ratio excluding	4.9%	5.2%	4.9%	5.1%	5.1%
		claims on central banks (%)2
UK 14b	UK 25c	Leverage ratio including claims on central banks (%)1	4.0%	4.3%	4.0%	4.2%	4.1%
UK 14c	UK 33	Average leverage ratio excluding claims on central banks (%)1,3	4.7%	4.8%	4.6%	4.8%	4.8%
UK 14d	UK 34	Average leverage ratio including claims on central banks (%)1,3	3.9%	4.0%	3.9%	4.0%	3.9%
UK 14e	UK 27b	Countercyclical leverage ratio buffer (%)	0.3%	0.3%	0.3%	0.2%	0.2%
UK 14f	UK 27	Leverage ratio buffer (%)	0.8%	0.8%	0.8%	0.7%	0.7%
		Liquidity Coverage Ratio
15		Total high-quality liquid assets (HQLA) (Weighted value)	305,413	310,328	313,477	319,310	322,981
UK 16a		Cash outflows - Total weighted value	286,082	283,268	284,150	286,577	287,558
UK 16b		Cash inflows - Total weighted value	98,464	90,627	86,316	83,251	81,048
16		Total net cash outflows (adjusted value)	187,618	192,641	197,835	203,326	206,510
17		Liquidity coverage ratio (%)5	163 %	161%	159%	157%	157%
		Net Stable Funding Ratio6
18		Total available stable funding	610,739	606,785	599,820	596,469	591,303
19		Total required stable funding	450,337	439,651	434,055	429,846	424,617
20		NSFR ratio (%)	136%	138%	138%	139%	139%

Notes

1. Transitional UK leverage ratios are calculated applying the IFRS 9 transitional arrangements of the CRR as amended by CRR II.
2. Fully loaded UK leverage ratio is calculated without applying the IFRS 9 transitional arrangements of the CRR as amended by CRR II.
3. Average UK leverage ratios use capital based on the last day of each month in the quarter and an exposure measure for each day in the quarter.
4. Although the leverage ratio is expressed in terms of T1 capital, the leverage ratio buffers and 75% of the minimum requirement must be covered solely with CET1 capital. The CET1 capital held against the 0.53% G-SII ALRB was £6.4bn and against the 0.3% CCLB was £3.7bn.
5. LCR is computed as a trailing average of the last 12 month-end ratios.
6. NSFR is computed as a trailing average of the last four spot quarter end positions.

The UK leverage ratio decreased to 4.9% (December 2023: 5.2%) primarily due to a £58.2bn increase in leverage exposure to £1,226.5bn, largely driven by an increase in trading securities and secured lending in Global Markets.

The average LCR for the 12 months to 31 March 2024 increased to 163% (December 2023: 161%), with average HQLA decreasing by £4.9bn and average net cash outflows decreasing by £5.0bn.

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Capital

Table 2: IFRS 91 - Comparison of institutions' own funds and capital and leverage ratios with and without the application of transitional arrangements for IFRS 9 or analogous ECLs

		As at	As at	As at	As at	As at
		31.03.24	31.12.23	30.09.23	30.06.23	31.03.23
	Available capital (amounts)	£m	£m	£m	£m	£m
1	CET1 capital2	47,144	47,304	47,958	46,640	45,985
2	CET1 capital as if IFRS 9 or analogous ECLs transitional	47,007	47,016	47,668	46,434	45,740
	arrangements had not been applied
3	Tier 1 capital2	60,385	60,507	59,755	60,339	59,709
4	Tier 1 capital as if IFRS 9 or analogous ECLs transitional	60,248	60,219	59,465	60,133	59,464
	arrangements had not been applied
5	Total capital2,3	68,455	68,882	68,536	69,231	68,214
6	Total capital as if IFRS 9 or analogous ECLs transitional	68,318	68,594	68,246	69,025	67,969
	arrangements had not been applied
	Risk-weighted assets (amounts)
7	Total risk-weighted assets2	349,635	342,717	341,868	336,946	338,448
8	Total risk-weighted assets as if IFRS 9 or analogous ECLs	349,604	342,650	341,753	336,868	338,380
	transitional arrangements had not been applied
	Capital ratios
9	CET1 (as a percentage of risk exposure amount)2	13.5%	13.8%	14.0%	13.8%	13.6%
10	CET1 (as a percentage of risk exposure amount) as if IFRS 9 or	13.4%	13.7%	13.9%	13.8%	13.5%
	analogous ECLs transitional arrangements had not been applied
11	Tier 1 (as a percentage of risk exposure amount)2	17.3%	17.7%	17.5%	17.9%	17.6%
12	Tier 1 (as a percentage of risk exposure amount) as if IFRS 9 or	17.2%	17.6%	17.4%	17.9%	17.6%
	analogous ECLs transitional arrangements had not been applied
13	Total capital (as a percentage of risk exposure amount)2,3	19.6%	20.1%	20.0%	20.5%	20.2%
14	Total capital (as a percentage of risk exposure amount) as if IFRS 9	19.5%	20.0%	20.0%	20.5%	20.1%
	or analogous ECLs transitional arrangements had not been applied
	Leverage ratio
15	Leverage ratio total exposure measure	1,226,450	1,168,275	1,202,417	1,183,703	1,168,899
16	Leverage ratio2	4.9%	5.2%	5.0%	5.1%	5.1%
17	Leverage ratio as if IFRS 9 or analogous ECLs transitional	4.9%	5.2%	4.9%	5.1%	5.1%
	arrangements had not been applied

Notes

1. From 1 January 2018, Barclays Group elected to apply the IFRS 9 transitional arrangements of the CRR. The transitional relief on the "day 1" impact on adoption of IFRS 9 and on increases in non-defaulted provisions between "day 1" and 31 December 2019 was phased out over a 5 year period ending on 1 January 2023. On 27 June 2020, CRR was amended to extend the transitional period by two years and to introduce a new modified calculation. The transitional relief for increases in non-defaulted provisions between 1 January 2020 and the reporting date is also phased out over a 5 year period ; 50% applicable for 2023; 25% for 2024 and with no transitional relief from 2025.
2. Transitional CET1 capital, RWAs and leverage ratio are calculated applying the IFRS 9 transitional arrangements of the CRR as amended by CRR II.
3. Total capital is calculated applying the grandfathering of CRR II non-compliant capital instruments included within Tier 2 capital.

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Risk weighted assets

Table 3: RWAs by risk type and business

This table shows RWAs by business and risk type.

	Credit risk	Counterparty credit risk	Market risk	Operational	Total
					Settlement
								risk	RWAs
	Std	A-IRB	Std	A-IRB	risk	CVA	Std	IMA
As at 31 March 2024	£m	£m	£m	£m	£m	£m	£m	£m	£m	£m
Barclays UK	10,220	54,103	184	-	-	109	190	-	11,715	76,521
Barclays UK Corporate Bank	3,453	13,966	105	364	-	34	2	484	3,024	21,432
Barclays Private Bank & Wealth	4,678	452	173	28	-	19	-	292	1,546	7,188
Management
Barclays Investment Bank	39,230	53,204	20,182	23,437	48	2,789	13,727	23,631	24,179	200,427
Barclays US Consumer Bank	18,817	1,001	-	-	-	-	-	-	4,051	23,869
Head Office	6,409	12,535	1	18	-	4	1	187	1,043	20,198
Barclays Group	82,807	135,261	20,645	23,847	48	2,955	13,920	24,594	45,558	349,635
As at 31 December 2023
Barclays UK	10,472	50,761	178	-	-	94	274	-	11,715	73,494
Barclays UK Corporate Bank	3,458	13,415	262	167	-	14	2	541	3,024	20,883
Barclays Private Bank & Wealth	4,611	455	182	27	-	30	1	322	1,546	7,174
Management
Barclays Investment Bank	37,749	52,190	18,512	21,873	159	3,248	14,623	24,749	24,179	197,282
Barclays US Consumer Bank	19,824	966	-	-	-	-	-	-	4,051	24,841
Head Office	6,772	10,951	1	21	-	6	1	248	1,043	19,043
Barclays Group	82,886	128,738	19,135	22,088	159	3,392	14,901	25,860	45,558	342,717

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Risk weighted assets

Table 4: OV1 - Overview of risk weighted exposure amounts

The table shows RWAs and minimum capital requirement by risk type and approach

		Risk weighted exposure	Total own funds
		amounts (RWEAs)	requirements
		As at	As at	As at	As at
		31.03.24	31.12.23	31.03.24	31.12.23
		£m	£m	£m	£m
1	Credit risk (excluding CCR)	198,338	194,004	15,867	15,520
2	Of which the standardised approach	73,682	74,723	5,895	5,978
4	Of which: slotting approach	4,737	4,296	379	344
5	Of which the advanced IRB (AIRB) approach	119,919	114,985	9,593	9,198
6	Counterparty credit risk - CCR	47,403	44,549	3,792	3,563
7	Of which the standardised approach	4,181	3,753	335	300
8	Of which internal model method	28,201	26,673	2,256	2,134
UK 8a	Of which exposures to a CCP	1,952	1,701	156	136
UK 8b	Of which credit valuation adjustment - CVA	2,955	3,392	236	271
9	Of which other CCR	10,114	9,030	809	722
15	Settlement risk	48	159	4	13
16	Securitisation exposures in the non-trading book (after the cap)	19,774	17,686	1,582	1,415
17	Of which SEC-IRBA approach	10,605	9,460	848	757
18	Of which SEC-ERBA (including IAA)	2,173	2,006	174	160
19	Of which SEC-SA approach	6,957	6,169	557	494
UK 19a	Of which 1250%/ deduction	39	51	3	4
20	Position, foreign exchange and commodities risks (Market risk)	38,514	40,761	3,081	3,261
21	Of which the standardised approach	13,920	14,901	1,114	1,192
22	Of which IMA	24,594	25,860	1,967	2,069
UK 22a	Large exposures	-	-	-	-
23	Operational risk	45,558	45,558	3,645	3,645
UK 23b	Of which standardised approach	45,558	45,558	3,645	3,645
24	Amounts below the thresholds for deduction (subject to 250% risk	9,903	9,708	792	777
	weight) (For information)
29	Total	349,635	342,717	27,971	27,417

Total RWAs increased by £6.9bn to £349.6bn (December 2023: £342.7bn) primarily due to:

• Credit risk RWAs increased by £4.3bn to £198.3bn primarily driven by regulatory model changes in BUK which are expected to be partially offset for the full year and increase in non-credit obligation exposures
• Counterparty credit risk RWAs increased by £2.9bn to £47.4bn primarily due to seasonal activity in Global Markets
• Securitisation RWAs increased by £2.1bn to £19.8bn primarily driven by an increase in business activities
• Market risk RWAs decreased by £2.2bn to £38.5bn primarily driven by book size including a reduction of the Stressed Value at Risk (SVaR) model adjustment as a result of changes in portfolio composition

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Risk weighted assets

Tables 5, 6 and 7 below show a subset of the information included in table 3, focused on positions captured under modelled treatment

Table 5: CR8 - RWEA flow statements of credit risk exposures under the advanced IRB approach

The total in this table shows the contribution of credit risk RWAs under the AIRB approach excluding Securitisation and non-credit obligation assets and hence will not directly reconcile to the credit risk AIRB RWAs in table 3.

		Three months ended
		31 March 2024
		£m
1	Risk weighted exposure amount as at the end of the previous reporting period	109,868
2	Asset size	(110)
3	Asset quality	(596)
4	Model updates	-
5	Methodology and policy	3,903
6	Acquisitions and disposals	-
7	Foreign exchange movements	(27)
8	Other	-
9	Risk weighted exposure amount as at the end of the reporting period	113,038

Advanced credit risk RWAs increased by £3.2bn to £113.0bn (December 2023: £109.9bn) primarily driven by an increase in methodology and policy due to regulatory model changes in Barclays UK.

Table 6: CCR7 - RWEA flow statements of CCR exposures under the IMM

The total in this table shows the contribution of IMM exposures to CCR RWAs (under both STD and AIRB) in table 3.

		Three months ended
		31 March 2024
		£m
1	Risk weighted exposure amount as at the end of the previous reporting period	26,673
2	Asset size	1,251
3	Credit quality of counterparties	388
4	Model updates (IMM only)	-
5	Methodology and policy (IMM only)	-
6	Acquisitions and disposals	-
7	Foreign exchange movements	(111)
8	Other	-
9	Risk weighted exposure amount as at the end of the reporting period	28,201

IMM RWAs increased by £1.5bn to £28.2bn (December 2023: £26.7bn) primarily driven by increased trading activity within securities financing transactions.

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