Barclays PLC
Q1 2024 Pillar 3 Report
31 March 2024
Table of Contents
Barclays PLC Pillar 3 | Page |
Notes | |
Introduction | |
Summary | |
Capital | |
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 | |
Minimum Requirements for own funds and Eligible Liabilities (MREL) | |
KM2 - Key Metrics - TLAC Requirements | 12 |
Liquidity | |
LIQ1 - Liquidity Coverage ratio | 13 |
Barclays PLC | 2 |
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.
Barclays PLC | 3 |
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.
Barclays 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 (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
- Transitional capital and RWAs are calculated 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.
- 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
Barclays PLC | 5 |
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
- Transitional UK leverage ratios are calculated applying the IFRS 9 transitional arrangements of the CRR as amended by CRR II.
- Fully loaded UK leverage ratio is calculated without applying the IFRS 9 transitional arrangements of the CRR as amended by CRR II.
- 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.
- 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.
- LCR is computed as a trailing average of the last 12 month-end ratios.
- 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.
Barclays PLC | 6 |
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
- 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.
- Transitional CET1 capital, RWAs and leverage ratio 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 PLC | 7 |
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 |
Barclays 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 | 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
Barclays PLC | 9 |
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.
Barclays 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.