BARCLAYS PLC Barclays Bank PLC
Q1 2024 Pillar 3 Report
31 March 2024
Table of Contents
Barclays Bank PLC Pillar 3 | Page |
Notes | |
Forward-looking statements | |
Introduction | |
Disclosure Background | 4 |
Summary | |
Capital | |
IFRS 9 - Comparison of institution's own funds and capital and leverage ratios with and without the | |
application of transitional arrangements for IFRS 9 or analogous ECLs | |
OV1 - Overview of risk weighted exposure amounts | |
CR8 - RWEA flow statements of credit risk exposures under the IRB approach | |
CCR7 - RWEA flow statements of counterparty credit risk exposures under the IMM | |
MR2-B - RWA flow statements of market risk exposures under the IMA | 11 |
Liquidity | |
LIQ1 - Liquidity Coverage Ratio | 12 |
Barclays Bank PLC | 2 |
Notes
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 International Financial Reporting Standards (IFRS) are explained in the results glossary available at home.barclays/investor-relations/reports-and-events.
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 Barclays Bank PLC. Barclays Bank PLC 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 Barclays Bank PLC (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 Barclays Bank PLC'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 International Financial Reporting Standards 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; Barclays Bank PLC'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, pandemics and similar events beyond Barclays Bank PLC'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 Barclays Bank PLC 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 other operational disruptions and any subsequent impacts on Barclays Bank PLC's reputation, business or operations; Barclays Bank PLC's ability to access funding; and the success of acquisitions, disposals and other strategic transactions. A number of these factors are beyond Barclays Bank PLC's control. As a result, Barclays Bank PLC'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 Barclays Bank PLC's forward-looking statements. Additional risks and factors which may impact Barclays Bank PLC's future financial condition and performance are identified in Barclays Bank PLC's filings with the US Securities and Exchange Commission ("SEC") (including without limitation Barclays Bank PLC's Annual Report on Form 20- F for financial year ended 31 December 2023), which is available on the SEC's website at sec.gov.
Subject to Barclays Bank PLC Group'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.
Barclays Bank PLC | 3 |
Introduction
Disclosure Background
Barclays Bank PLC is a wholly-owned subsidiary of Barclays PLC and is the non ring-fenced bank within the Barclays PLC Group.
Barclays Bank PLC capital requirements are set by the Prudential Regulation Authority (PRA) at a solo-consolidated level. Barclays Bank PLC solo-consolidated comprises Barclays Bank PLC, the parent, plus certain additional subsidiaries, whose inclusion within the consolidation is subject to PRA approval. The disclosures provided in this document for Barclays Bank PLC are based on this regulatory scope of consolidation. This differs from the accounting disclosures, where Barclays Bank PLC Group refers to Barclays Bank PLC, the parent, and all its subsidiaries.
For the purpose of liquidity management, Barclays Bank PLC and its subsidiary Barclays Capital Securities Limited, a UK broker dealer entity, 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 and Net Stable Funding Ratio) provided in this document for Barclays Bank PLC are based on this regulatory scope of consolidation, unless otherwise specified.
Leverage minimum requirements are set at the sub-consolidated level for Barclays Bank PLC. The sub-consolidated group represents the Barclays Bank PLC Group on a regulatory scope of consolidation per PRA approval. As a result, the Barclays Bank PLC leverage disclosures contained within this document are presented on both the Barclays Bank PLC solo- consolidated and Barclays Bank PLC sub-consolidated basis. Capital and RWA disclosure requirements remain set at the Barclays Bank PLC solo-consolidated level.
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 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.
Barclays Bank PLC | 4 |
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 and net stable funding ratio. Part 2 of this table further includes UK LR2 components which are required to be reported with a quarterly frequency as per Article 433a(4).
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 | 24,845 | 25,470 | 26,129 | 25,607 | 25,552 |
1a | Fully loaded common Equity Tier 1 (CET1) capital2 | 24,836 | 25,450 | 26,105 | 25,581 | 25,494 |
2 | Tier 1 capital1 | 33,239 | 33,864 | 33,082 | 34,546 | 34,440 |
2a | Fully loaded tier 1 capital2 | 33,230 | 33,844 | 33,058 | 34,520 | 34,381 |
3 | Total capital1,3 | 39,589 | 40,530 | 39,349 | 41,068 | 41,248 |
3a | Fully loaded total capital2,4 | 39,051 | 39,981 | 38,796 | 40,474 | 40,301 |
Risk-weighted exposure amounts | ||||||
4 | Total risk-weighted exposure amount1 | 209,219 | 211,193 | 206,569 | 204,351 | 200,088 |
4a | Fully loaded total risk-weighted exposure amount2 | 209,209 | 211,173 | 206,542 | 204,325 | 200,029 |
Capital ratios (as a percentage of risk-weighted | ||||||
exposure amount) | ||||||
5 | Common Equity Tier 1 ratio (%)1 | 11.9% | 12.1% | 12.6% | 12.5% | 12.8% |
5a | Fully loaded common Equity Tier 1 ratio (%)2 | 11.9% | 12.1% | 12.6% | 12.5% | 12.7% |
6 | Tier 1 ratio (%)1 | 15.9% | 16.0% | 16.0% | 16.9% | 17.2% |
6a | Fully loaded tier 1 ratio (%)2 | 15.9% | 16.0% | 16.0% | 16.9% | 17.2% |
7 | Total capital ratio (%)1,3 | 18.9% | 19.2% | 19.0% | 20.1% | 20.6% |
7a | Fully loaded total capital ratio (%)2,4 | 18.7% | 18.9% | 18.8% | 19.8% | 20.1% |
Additional own funds requirements based on SREP (as a | ||||||
percentage of risk-weighted exposure amount) | ||||||
UK 7a | Additional CET1 SREP requirements (%) | 2.9% | 2.9% | 2.5% | 2.5% | 2.5% |
UK 7b | Additional AT1 SREP requirements (%) | 1.0% | 1.0% | 0.8% | 0.8% | 0.8% |
UK 7c | Additional T2 SREP requirements (%) | 1.3% | 1.3% | 1.1% | 1.1% | 1.1% |
UK 7d | Total SREP own funds requirements (%) | 13.1% | 13.1% | 12.5% | 12.5% | 12.5% |
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 (%) | 0.7% | 0.7% | 0.7% | 0.4% | 0.4% |
11 | Combined buffer requirement (%) | 3.2% | 3.2% | 3.2% | 2.9% | 2.9% |
UK 11a | Overall capital requirements (%) | 16.3% | 16.3% | 15.7% | 15.4% | 15.4% |
12 | CET1 available after meeting the total SREP own funds | 4.5% | 4.7% | 5.6% | 5.5% | 5.7% |
Notes
- Transitional capital and RWAs are calculated by applying the IFRS 9 transitional arrangements of the CRR as amended by CRR II.
- Fully loaded capital and RWAs are calculated without applying the IFRS 9 transitional arrangements of the CRR as amended by CRR II.
- Total transitional capital is calculated applying the grandfathering of CRR II non-compliant capital instruments included within Tier 2 capital.
- Fully loaded total capital is calculated without applying the grandfathering of CRR II non-compliant capital instruments included within Tier 2 capital.
The CET1 ratio decreased to 11.9% (December 2023: 12.1%) as CET1 capital decreased by £0.6bn to £24.8bn (December
2023: £25.5bn) partially offset by a decrease in RWAs of £2.0bn to £209.2bn (December 2023: £211.2bn):
- c.20bps increase from attributable profit generated in the period
- c.30bps decrease due to dividends paid and foreseen
- c.20bps decrease in other qualifying reserves including a reduction in the fair value through other comprehensive reserve and vesting of shares in employee share schemes
- c.10bps increase as a result of a £2.0bn decrease in RWAs primarily driven by a reduction in SVaR partially offset by expected seasonal activity in the Investment Bank
Barclays Bank PLC | 5 |
Summary
Table 1: KM1 - Key metrics - Part 2
KM1 | LR 2 | 31.03.24 | 31.12.23 | 30.09.23 | 30.06.23 | 31.03.23 | ||
ref | Ref | £m | £m | £m | £m | £m | ||
Leverage ratio | ||||||||
Barclays Bank PLC sub-consolidated group1 | ||||||||
13 | UK 24b | Total exposure measure excluding claims on central | 980,494 | 924,826 | 955,650 | 937,242 | 925,303 | |
banks2 | ||||||||
14 | 25 | Leverage ratio excluding claims on central banks | 5.6% | 6.0% | 5.6% | 5.9% | 6.0% | |
(%)2,4 | ||||||||
Additional leverage ratio disclosure requirements | ||||||||
UK 14a | UK 25a | Fully loaded ECL accounting model leverage ratio | 5.6% | 6.0% | 5.6% | 5.9% | 6.0% | |
excluding claims on central banks (%)3 | ||||||||
UK 14b | UK 25c | Leverage ratio including claims on central banks (%)2 | 4.6% | 4.9% | 4.5% | 4.8% | 4.8% | |
UK 14c | UK 33 | Average leverage ratio excluding claims on central | 5.3% | 5.4% | 5.2% | 5.4% | 5.5% | |
banks (%)2,5 | ||||||||
UK 14d | UK 34 | Average leverage ratio including claims on central | 4.4% | 4.5% | 4.3% | 4.6% | 4.5% | |
banks (%)2,5 | ||||||||
UK 14e | UK 27b | Countercyclical leverage ratio buffer (%)4 | 0.2% | 0.2% | 0.2% | 0.1% | 0.1% | |
UK 14f | UK 27 | Leverage ratio buffer (%) | 0.2% | 0.2% | 0.2% | 0.1% | 0.1% | |
Barclays Bank PLC solo-consolidated | ||||||||
13 | UK 24b | Total exposure measure excluding claims on central | 834,464 | 785,494 | 802,919 | 790,000 | 780,630 | |
banks2 | ||||||||
14 | 25 | Leverage ratio excluding claims on central banks (%)2 | 4.0% | 4.3% | 4.1% | 4.4% | 4.4% | |
Additional leverage ratio disclosure requirements | ||||||||
UK 14a | UK 25a | Fully loaded ECL accounting model leverage ratio | 4.0% | 4.3% | 4.1% | 4.4% | 4.4% | |
excluding claims on central banks (%)3 | ||||||||
UK 14b | UK 25c | Leverage ratio including claims on central banks (%)2 | 3.2% | 3.6% | 3.3% | 3.5% | 3.5% | |
Liquidity Coverage Ratio | ||||||||
15 | Total high-quality liquid assets (HQLA) (Weighted | 206,432 | 210,787 | 211,673 | 212,767 | 211,630 | ||
value) | ||||||||
UK 16a | Cash outflows - Total weighted value | 251,894 | 245,582 | 244,891 | 245,648 | 247,108 | ||
UK 16b | Cash inflows - Total weighted value | 115,706 | 105,530 | 101,268 | 96,466 | 93,170 | ||
16 | Total net cash outflows (adjusted value) | 136,188 | 140,053 | 143,623 | 149,182 | 153,938 | ||
17 | Liquidity coverage ratio (%)6 | 152 % | 151 % | 148 % | 143 % | 138 % | ||
Net Stable Funding Ratio7 | ||||||||
18 | Total available stable funding | 345,884 | 338,765 | 329,589 | 322,872 | 316,651 | ||
19 | Total required stable funding | 317,952 | 307,648 | 301,474 | 297,393 | 291,982 | ||
20 | NSFR ratio (%) | 109 % | 110 % | 109 % | 109 % | 108 % |
Notes
- The fully loaded Barclays Bank PLC solo-consolidated and Barclays Bank PLC sub-consolidated CET1 ratios, as are relevant for assessing against the conversion triggers in Barclays Bank PLC AT1 securities (all of which are held by Barclays PLC), were 11.9% and 16.1% respectively calculated without applying the transitional arrangements of the CRR as amended by CRR II.
- Transitional UK leverage ratios are calculated by applying the IFRS 9 transitional arrangements of the CRR as amended by CRR II.
- Fully loaded UK leverage ratio is calculated without applying the transitional arrangements of the CRR as amended by CRR II.
- 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 £2.0bn
- 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.
- Liquidity coverage ratio computed as a trailing average of the last 12 month-end ratios.
- Net Stable Funding Ratio is computed as a trailing average of the last four spot quarter end positions.
The Barclays Bank PLC sub-consolidated group UK leverage ratio decreased to 5.6% (December 2023: 6.0%). This was
driven by a £55.7bn increase in exposures to £980.5bn (December 2023: £924.8bn) largely driven by an increase in trading securities and secured lending in Global Markets.
Barclays Bank PLC | 6 |
Capital
Table 2: IFRS 91 - Comparison of institution's own funds and capital and leverage ratios with and without the application of transitional arrangements for IFRS 9 or analogous ECLs
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 | 24,845 | 25,470 | 26,129 | 25,607 | 25,552 |
2 | CET1 capital as if IFRS 9 or analogous ECLs transitional | 24,836 | 25,450 | 26,105 | 25,581 | 25,494 |
arrangements had not been applied | ||||||
3 | Tier 1 capital2 | 33,239 | 33,864 | 33,082 | 34,546 | 34,440 |
4 | Tier 1 capital as if IFRS 9 or analogous ECLs transitional | 33,230 | 33,844 | 33,058 | 34,520 | 34,381 |
arrangements had not been applied | ||||||
5 | Total capital1,3 | 39,589 | 40,530 | 39,349 | 41,068 | 41,248 |
6 | Total capital as if IFRS 9 or analogous ECLs transitional | 39,579 | 40,510 | 39,325 | 41,042 | 41,190 |
arrangements had not been applied | ||||||
Risk-weighted assets (amounts) | ||||||
7 | Total risk-weighted assets2 | 209,219 | 211,193 | 206,569 | 204,351 | 200,088 |
8 | Total risk-weighted assets as if IFRS 9 or analogous ECLs | 209,209 | 211,173 | 206,542 | 204,325 | 200,029 |
transitional arrangements had not been applied | ||||||
Capital ratios | ||||||
9 | CET1 (as a percentage of risk exposure amount)2 | 11.9% | 12.1% | 12.6% | 12.5% | 12.8% |
10 | CET1 (as a percentage of risk exposure amount) as if IFRS 9 or | 11.9% | 12.1% | 12.6% | 12.5% | 12.7% |
analogous ECLs transitional arrangements had not been applied | ||||||
11 | Tier 1 (as a percentage of risk exposure amount)2 | 15.9% | 16.0% | 16.0% | 16.9% | 17.2% |
12 | Tier 1 (as a percentage of risk exposure amount) as if IFRS 9 or | 15.9% | 16.0% | 16.0% | 16.9% | 17.2% |
analogous ECLs transitional arrangements had not been applied | ||||||
13 | Total capital (as a percentage of risk exposure amount)2,3 | 18.9% | 19.2% | 19.0% | 20.1% | 20.6% |
14 | Total capital (as a percentage of risk exposure amount) as if IFRS | 18.9% | 19.2% | 19.0% | 20.1% | 20.6% |
9 or analogous ECLs transitional arrangements had not been | ||||||
applied | ||||||
Leverage ratio | ||||||
Barclays Bank PLC sub-consolidated group | ||||||
15 | Leverage ratio total exposure measure | 980,494 | 924,826 | 955,650 | 937,242 | 925,303 |
16 | Leverage ratio2 | 5.6% | 6.0% | 5.6% | 5.9% | 6.0% |
17 | Leverage ratio as if IFRS 9 or analogous ECLs transitional | 5.6% | 6.0% | 5.6% | 5.9% | 6.0% |
arrangements had not been applied | ||||||
Barclays Bank PLC solo-consolidated | ||||||
15 | Leverage ratio total exposure measure | 834,464 | 785,494 | 802,919 | 790,000 | 780,630 |
16 | Leverage ratio2 | 4.0% | 4.3% | 4.1% | 4.4% | 4.4% |
17 | Leverage ratio as if IFRS 9 or analogous ECLs transitional | 4.0% | 4.3% | 4.1% | 4.4% | 4.4% |
arrangements had not been applied |
Notes
- From 1 January 2018, Barclays Bank PLC 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% for 2023; 25% for 2024 and with no transitional relief from 2025.
- Transitional CET1 capital, RWAs and leverage ratios are calculated applying the IFRS 9 transitional arrangements of the CRR as amended by CRR II.
- Total capital is calculated applying the grandfathering of CRR II non-compliant capital instruments included within Tier 2 capital.
Barclays Bank PLC | 7 |
Risk weighted assets
Table 3: RWAs by risk type
This table shows RWAs by risk type.
Credit risk | Counterparty credit risk | Market risk | Operational | |||||||||||
Total RWAs | ||||||||||||||
Settlement | ||||||||||||||
risk | ||||||||||||||
Std | A-IRB | Std | A-IRB | risk | CVA | Std | IMA | |||||||
As at 31.03.24 | £m | £m | £m | £m | £m | £m | £m | £m | £m | £m | ||||
Barclays Bank PLC | 52,451 | 67,032 | 18,060 | 18,123 | 61 | 2,162 | 5,854 | 24,617 | 20,859 | 209,219 | ||||
As at 31.12.23 | ||||||||||||||
Barclays Bank PLC | 50,854 | 65,173 | 17,976 | 16,743 | 67 | 2,510 | 7,979 | 29,031 | 20,860 | 211,193 |
Barclays Bank PLC | 8 |
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 amounts | Total own funds | ||||
(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) | 101,330 | 99,934 | 8,106 | 7,994 |
2 | Of which the standardised approach | 44,480 | 43,812 | 3,558 | 3,505 |
4 | Of which: slotting approach | 3,977 | 3,580 | 318 | 286 |
5 | Of which the advanced IRB (AIRB) approach | 52,873 | 52,542 | 4,230 | 4,203 |
6 | Counterparty credit risk - CCR | 38,300 | 37,163 | 3,064 | 2,973 |
7 | Of which the standardised approach | 3,642 | 3,322 | 291 | 266 |
8 | Of which internal model method | 23,730 | 23,212 | 1,899 | 1,857 |
UK 8a | Of which exposures to a CCP | 1,078 | 942 | 86 | 75 |
UK 8b | Of which credit valuation adjustment - CVA | 2,162 | 2,510 | 173 | 201 |
9 | Of which other CCR | 7,688 | 7,177 | 615 | 574 |
15 | Settlement risk | 61 | 67 | 5 | 5 |
16 | Securitisation exposures in the non-trading book (after the cap) | 18,198 | 16,159 | 1,456 | 1,293 |
17 | Of which SEC-IRBA approach | 10,184 | 9,051 | 815 | 724 |
18 | Of which SEC-ERBA (including IAA) | 1,917 | 1,956 | 153 | 157 |
19 | Of which SEC-SA approach | 6,058 | 5,101 | 485 | 408 |
UK 19a | Of which 1250%/ deduction | 39 | 51 | 3 | 4 |
20 | Position, foreign exchange and commodities risks (Market risk) | 30,471 | 37,010 | 2,438 | 2,961 |
21 | Of which the standardised approach | 5,854 | 7,979 | 469 | 639 |
22 | Of which IMA | 24,617 | 29,031 | 1,969 | 2,322 |
23 | Operational risk | 20,859 | 20,860 | 1,669 | 1,669 |
UK 23b | Of which standardised approach | 20,859 | 20,860 | 1,669 | 1,669 |
24 | Amounts below the thresholds for deduction (subject to 250% risk weight) (For | 9,320 | 9,553 | 746 | 764 |
information only) | |||||
29 | Total | 209,219 | 211,193 | 16,738 | 16,895 |
Total RWAs decreased by £2.0bn to £209.2bn (December 2023: £211.2bn) primarily due to:
- Credit risk and Counterparty Credit Risk RWAs increased by £1.4bn to £101.3bn and by £1.1bn to £38.3bn respectively primarily driven by expected seasonal activity in the Investment Bank
- Securitisation RWAs increased by £2.0bn to £18.2bn primarily driven by an increase in business activities
- Market risk RWAs decreased by £6.5bn to £30.5bn primarily driven by a reduction of the Stressed Value at Risk (SVaR)
Barclays Bank PLC | 9 |
Risk weighted assets
Table 5: CR8 - RWEA flow statements of credit risk exposures under the IRB approach
The total in this table shows the contribution of credit risk RWAs under the AIRB approach and 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 | 53,229 |
2 | Asset size | (1,469) |
3 | Asset quality | (194) |
4 | Model updates | - |
5 | Methodology and policy | 695 |
6 | Acquisitions and disposals | - |
7 | Foreign exchange movements | 65 |
8 | Other | - |
9 | Risk weighted exposure amount as at the end of the reporting period | 52,326 |
Advanced credit risk RWAs decreased by £0.9bn to £52.3bn (December 2023: £53.2bn) driven by a reduction in asset size within the Investment Bank.
Table 6: CCR7 - RWEA flow statements of CCR exposures under the IMM
The total in this table shows the contribution of Internal Model Method (IMM) exposures to CCR RWAs (under both standardised and AIRB) and will not directly reconcile to the CCR 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 | 23,212 |
2 | Asset size | 298 |
3 | Credit quality of counterparties | 307 |
4 | Model updates (IMM only) | - |
5 | Methodology and policy (IMM only) | - |
6 | Acquisitions and disposals | - |
7 | Foreign exchange movements | (87) |
8 | Other | - |
9 | Risk weighted exposure amount as at the end of the reporting period | 23,730 |
Barclays Bank PLC | 10 |
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Barclays plc published this content on 25 April 2024 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 25 April 2024 07:14:23 UTC.
