Barclays Capital Securities Limited
Q1 2024 Pillar 3 Report
31 March 2024
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Table of Contents
Pillar 3 | Page |
Summary | |
KM1 - Key Metrics (Leverage) |
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, risk weighted assets (RWA) and leverage exposures.
From 1 January 2023, as mandated by the amended SS45/15, BCSL became subject to UK Leverage Ratio disclosure requirements on an individual basis. As a result, BCSL is required to disclose key metrics pertaining to Leverage on a quarterly basis in addition to the existing annual disclosure requirements.
The abbreviations '£m' represent millions 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
The disclosures included in this report reflect BCSL's interpretation of the current rules and guidance.
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Summary
Table 1: KM1 - Key metrics - Leverage
As at | As at | As at | As at | As at | |||
KM1 | LR 2 | 31.03.24 | 31.12.23 | 30.09.23 | 30.06.23 | 31.03.23 | |
ref | Ref | £000's | £000's | £000's | £000's | £000's | |
Leverage ratio1 | |||||||
13 | UK 24b | Total exposure measure excluding claims on central banks | 46,796,687 | 49,307,010 | 49,771,049 | 49,457,252 | 49,600,928 |
14 | 25 | Leverage ratio excluding claims on central banks (%) | 4.8% | 4.5% | 4.5% | 4.5% | 4.2% |
Additional leverage ratio disclosure requirements | |||||||
UK 14a | UK 25a | Fully loaded ECL accounting model leverage ratio excluding | 4.8% | 4.5% | 4.5% | 4.5% | 4.2% |
claims on central banks (%) | |||||||
UK 14b | UK 25c | Leverage ratio including claims on central banks (%) | 4.8% | 4.5% | 4.5% | 4.5% | 4.2% |
UK 14c | UK 33 | Average leverage ratio excluding claims on central banks (%)2 | 4.4% | 4.3% | 4.3% | 4.4% | 3.9% |
UK 14d | UK 34 | Average leverage ratio including claims on central banks (%)2 | 4.4% | 4.3% | 4.3% | 4.4% | 3.9% |
UK 14e | UK 27b | Countercyclical leverage ratio buffer (%) | 0.2% | 0.1% | 0.1% | 0.1% | 0.1% |
UK 14f | UK 27 | Leverage ratio buffer (%) | 0.2% | 0.1% | 0.1% | 0.1% | 0.1% |
Notes:
- BCSL does not apply any transitional arrangements of the Capital Requirement Regulation (CRR) as amended by CRR II.
- 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.
The BCSL UK leverage ratio increased to 4.8% (December 2023: 4.5%). This is driven by a £2,510m decrease in exposures to
£46,797m (December 2023: £49,307m) driven by a reduction in trading portfolio assets partially offset by an increase in secured lending.
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Disclaimer
Barclays plc published this content on 13 May 2024 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 13 May 2024 09:57:06 UTC.