Barclays : 2019 Global Systemically Important Institutions Disclosure

Barclays PLC

Global Systemically Important Institutions

(G-SIIs)

Disclosure

31 December 2019

Barclays G-SII Disclosure December 2019

Background

In 2011, the Financial Stability Board (FSB) published a list of banks and other financial institutions that were considered Global Systemically Important Banks (G -SIBs).G-SIBs are defined as banks or other financial institutions that could be expected to have the greatest impact on the global financial system and the global economy, should they fail. The Basel Committee on Banking Supervision (BCBS) concurrently established a framework to identify G-SIBs on an ongoing basis through an indicator based scoring methodology.

In July 2013, the BCBS published a revised G-SIB assessment methodology. The list of G-SIBs and applicable capital buffers is updated by the FSB on an annual basis. Barclays' status as a G-SIB was confirmed by the FSB in November 2019. The FSB is expected to publish an updated G-SIBs list in November 2020.

The BCBS methodology has been implemented in the European Union via article 131 of the Capital Requirements Directive, in which G-SIBs are referred to as Global Systemically Important Institutions (G-SIIs). Depending on the overall score of a G- SII a capital buffer is applied to the institution's capital requirements. Those institutions identified as G-SIIs are required to disclose, on an annual basis, the values of the indicators used for determining the G-SII status and capital requirements, in accordance with article 441 of the accompanying Capital Requirements Regulation.

Identification

G-SIIs are identified as prescribed by the BCBS methodology using a score based system dependent upon twelve indicators. The indicators are based on the following criteria:

• Size - bank size, as measured per its leverage exposures
• Interconnectedness - transactions with and securities held in other financial institutions
• Substitutability - the extent to which the banks services could be substituted by other institutions, such as payment infrastructure, underwriting transactions, custodian activities
• Complexity - the degree of complex transactions a bank is party to, including OTC derivatives, trading and AFS securities, and those assets classified as level 3 assets under IFRS (i.e. least observable market prices)
• Cross-jurisdictionalactivity - bank's activities outside its home jurisdiction

Capital buffer requirements

G-SIIs are required to hold between 1% and 3.5% of additional Common Equity Tier 1 (CET1) loss a bsorbing capital buffer . There is a two-year time lag between the data point used for G -SII score calculation and the capital applicability.

For 2020, based on 31 December 2017 indicators, Barclays falls within the 1.5% capital buffer category. The G-SII indicators as at 31 December 2019 that are included in this document will determine the capital buffer applicable to Barclays for 2022.

Basis of preparation

The disclosure of G-SII indicators is required by the EBA. In May 2016, the EBA issued Commission Delegated Regulation (EU) 2016/1608 that aligns EBA requirements with BCBS methodology and Commission Delegated Regulation (EU) 2016/818 that aligns disclosure requirements with the latest BCBS templates and instructions. The BCBS update reporting instructions on an annual basis, with instructions for the year ended 31 December 2019 issued on 17 January 2020.

The data disclosed in this document may not be directly comparable with other disclosures. Differences may also arise with other external disclosures as the G-SII indicators are based on the regulatory scope of consolidation for most data points. For further information on the difference between financial reporting and the regulatory scope of consolidation please refer to page 9 of the 2019 Barclays Pillar 3 Report.

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Barclays G-SII Disclosure December 2019

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Barclays G-SII Disclosure December 2019

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