Barclays : Pillar 3 Report

Barclays PLC

Pillar 3

31 March 2020

Table of Contents

Pillar 3	Page
Summary
-	KM1 - Key Metrics	2
-	IFRS 9 Introduction	3
- IFRS 9-FL: Comparison of with and without the IFRS9 transitional arrangements	4
Risk Weighted Assets
- Risk weighted assets (RWAs) by risk type and business	5
- Movement analysis of RWAs	5
- CR8 - RWA flow statement of credit risk exposures under the advanced IRB approach	6
- CCR7 - RWA flow statement of counterparty credit risk exposures under the IMM	7
- MR2-B - RWA flow statement of market risk exposures under the IMA	7
- OV1 - Overview of risk weighted assets and capital requirements	8
Leverage
-	Leverage Introduction	9
- Summary reconciliation of accounting assets and leverage ratio exposures	9
- Leverage ratio common disclosure	10
Minimum requirement for own funds and eligible liabilities(MREL)
-	MREL Introduction	11
- KM2 - Key metrics - TLAC requirements (at resolution group level)	11
Liquidity
- Liquidity coverage ratio (period end)	12
- LIQ1 - Liquidity coverage ratio (average)	12
Notes
-	Forward-looking statement	13

Barclays PLC

1

Summary

KM1 - Key Metrics	As at	As at	As at	As at	As at
		31.03.20	31.12.19	30.09.19	30.06.19	31.03.19
		£m	£m	£m	£m	£m
	Available capital (amounts)
1	Common Equity Tier 1 (CET1)1	42,518	40,813	41,875	42,888	41,437
1a	Fully loaded Expected Credit Loss (ECL) accounting model2	41,303	39,687	40,742	41,704	40,268
2	Tier 13	54,012	52,241	53,366	55,592	54,724
2a	Fully loaded ECL accounting model Tier 14	52,044	50,428	51,472	53,697	51,257
3	Total capital3	66,394	63,641	66,095	68,330	66,549
3a	Fully loaded ECL accounting model total capital4	63,145	60,294	62,434	64,681	63,485
	Risk-weighted assets (amounts)
4	Total risk-weighted assets (RWA)1	325,631	295,131	313,261	319,107	319,671
4a	Fully loaded ECL accounting model total risk-weighted assets (RWA)2	325,536	295,016	313,147	318,993	319,556
	Risk-based capital ratios as a percentage of RWA
5	Common Equity Tier 1 ratio (%)	13.1%	13.8%	13.4%	13.4%	13.0%
5a	Fully loaded ECL accounting model Common Equity Tier 1 (%)	12.7%	13.5%	13.0%	13.1%	12.6%
6	Tier 1 ratio (%)	16.6%	17.7%	17.0%	17.4%	17.1%
6a	Fully loaded ECL accounting model Tier 1 ratio (%)	16.0%	17.1%	16.4%	16.8%	16.0%
7	Total capital ratio (%)	20.4%	21.6%	21.1%	21.4%	20.8%
7a	Fully loaded ECL accounting model total capital ratio (%)	19.4%	20.4%	19.9%	20.3%	19.9%
	Additional CET1 buffer requirements as a percentage of RWA
8	Capital conservation buffer requirement (%)	2.5%	2.5%	2.5%	2.5%	2.5%
9	Countercyclical buffer requirement (%)	0.0%	0.6%	0.5%	0.5%	0.5%
10	Bank G-SIB and/or D-SIB additional requirements (%)	1.5%	1.5%	1.5%	1.5%	1.5%
11	Total of bank CET1 specific buffer requirements (%) (row 8 + 9 + 10)	4.0%	4.6%	4.5%	4.5%	4.5%

12 CET1 available after meeting the bank's minimum capital

	requirements (%)	8.6%	9.3%	8.9%	8.9%	8.5%
	CRR leverage ratio5, 6
13	Total CRR leverage ratio exposure measure	1,326,549	1,126,259	1,235,079	1,213,800	1,205,303
14	Fully loaded CRR leverage ratio (%)	3.9%	4.5%	4.2%	4.4%	4.3%
	Average UK leverage ratio (Transitional)7,8,9
13a	Total average UK leverage ratio exposure measure	1,176,198	1,142,819	1,171,152	1,134,589	1,105,518
14a	Transitional average UK leverage ratio (%)	4.5%	4.5%	4.6%	4.7%	4.6%
	UK leverage ratio (Transitional)6,7,8
13b	Total UK leverage ratio exposure measure	1,178,708	1,007,721	1,099,815	1,079,416	1,064,959
14b	Transitional UK leverage ratio (%)	4.5%	5.1%	4.8%	5.1%	4.9%
	Liquidity Coverage Ratio
15	Total HQLA	232,296	206,448	225,556	232,098	225,850
16	Total net cash outflows	149,946	128,901	148,895	148,669	141,515
17	LCR ratio (%)	155%	160%	151%	156%	160%

Notes:

1. CET1 capital and RWAs are calculated applying the IFRS9 transitional arrangements of the CRR as amended by CRR II applicable as at the reporting date.
2. Fully loaded CET1 capital and RWAs are calculated without applying the transitional arrangements of the CRR as amended by CRR II applicable as at the reporting date.
3. Transitional Tier 1 and Total capital include AT1 and T2 capital that is calculated applying the grandfathering of CRR and CRR IInon-compliant capital instruments.
4. Fully loaded Tier 1 and Total capital include AT1 and T2 capital that is calculated without applying the grandfathering of CRR and CRR IInon-compliant capital instruments.
5. Fully loaded CRR leverage ratio is calculated without applying the transitional arrangements of the CRR as amended by CRR II applicable as at the reporting date.
6. The difference between CRR leverage ratio and UK leverage ratio is primarily driven by the exclusion of qualifying central bank claims from the UK leverage exposure.
7. Transitional UK leverage ratios are calculated applying the IFRS 9 transitional arrangements and in line with the PRA Handbook.
8. Fully loaded average UK leverage ratio was 4.4%, with £1,175bn of leverage exposure. Fully loaded UK leverage ratio was 4.4%, with £1,177bn of leverage exposure. Fully loaded UK leverage ratios are calculated without applying the transitional arrangements of the PRA Handbook.
9. 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 CET1 ratio decreased to 13.1% (December 2019: 13.8%)

• CET1 capital increased by £1.7bn to £42.5bn driven by £0.9bn of profits, net of credit impairment charges not subject to IFRS 9 transitional capital relief, an increase in the currency translation reserve of £1.0bn (mainly driven by the appreciation of period end USD against GBP), and £1.0bn following the cancellation of the full year 2019 dividend. These increases were partially offset by a decrease of £0.8bn in the fair value through other comprehensive income reserve driven by a decrease in the Absa Group Limited share price and appreciation of period end GBP against ZAR
• RWAs increased by £30.5bn to £325.6bn primarily driven by an increase in client activity within CIB (including drawdowns on facilities) and higher market volatility as well as the appreciation of period end USD against GBP

Barclays PLC

2

Capital

IFRS 9 - Transitional capital arrangements

On 1 January 2018, IFRS 9 transitional capital arrangements were implemented by Regulation (EU) 2017/2395. Barclays elected to apply the transitional arrangements at both consolidated and individual entity levels and will disclose both transitional and fully loaded CET1 ratios until the end of the transitional period. The transitional benefit is phased out over a 5 year period with 95% applicable for 2018; 85% for 2019; 70% for 2020; 50% for 2021; 25% for 2022 and with no transitional benefit from 2023.

The transitional arrangements, implemented under a modified static approach, allow for transitional relief on the "day 1" impact on adoption of IFRS 9 (static element) and for the increase between "day 1" and the reporting date (modified element), subject to eligibility. For the static element, stage 1, stage 2 and stage 3 provisions are eligible for transition, whereas for the modified element, stage 3 provisions are excluded.

Separate calculations are performed for standardised and advanced IRB portfolios, reflecting the different ways these frameworks take account of provisions. Under the standardised approach, increases in provisions for both the static and modified elements are eligible for transition. Under the advanced approach, for both the static and modified elements, provisions are only eligible for transitional relief to the extent that they exceed regulatory expected loss.

Any increases in impairment allowances as a result of IFRS 9, net of tax, decreases shareholders' equity through retained earnings. This is somewhat mitigated by the transitional relief applied on eligible impairment.

For regulatory Internal Ratings Based (IRB) exposures, the calculation of capital takes account of the expected loss via a comparison with the impairment allowances. Where regulatory expected losses exceed impairment allowances, the shortfall is deducted from CET1 capital. Where the impairment allowance is higher than expected loss, the excess is added back to tier 2 capital and capped at an amount of 0.6% of IRB RWAs.

The DTAs created from the increase of impairment are also accounted for in the CET1 ratio. When DTAs arising from temporary differences are above the 10% CET1 capital threshold, any excess above the threshold is deducted and those below the threshold are risk weighted at 250% up to the point they reach threshold.

Standardised RWAs decrease due to the increase in impairment being offset against the Standardised Credit Risk exposures.

Barclays PLC

3

Capital

IFRS9-FL: 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
31.03.20	31.12.19	30.09.19	30.06.19	31.03.19
£m	£m	£m	£m	£m

Available capital (amounts)

1. Common Equity Tier 1 (CET1) capital1
2. Common Equity Tier 1 (CET1) capital as if IFRS 9 or analogous ECLs transitional arrangements had not been applied
3. Tier 1 capital2
4. Tier 1 capital as if IFRS 9 or analogous ECLs transitional arrangements had not been applied
5. Total capital2
6. Total capital as if IFRS 9 or analogous ECLs transitional arrangements had not been applied

42,518		40,813		41,875		42,888		41,437
41,303	39,687	40,742	41,704	40,268
54,012	52,241	53,366	55,592	54,724
52,797	51,115	52,233	54,408	53,555
66,394	63,641	66,095	68,330	66,549
65,644	62,628	65,084	67,333	65,548

	Risk-weighted assets (amounts)	£m
7	Total risk-weighted assets1	325,631
8	Total risk-weighted assets as if IFRS 9 or analogous ECLs	325,536
	transitional arrangements had not been applied

£m		£m		£m		£m
295,131	313,261	319,107	319,671
295,016	313,147	318,993	319,556

	Capital ratios
9	Common Equity Tier 1 (as a percentage of risk exposure	13.1%	13.8%	13.4%	13.4%	13.0%
	amount)
10	Common Equity Tier 1 (as a percentage of risk exposure
	amount) as if IFRS 9 or analogous ECLs transitional	12.7%	13.5%	13.0%	13.1%	12.6%
	arrangements had not been applied
11	Tier 1 (as a percentage of risk exposure amount)	16.6%	17.7%	17.0%	17.4%	17.1%
12	Tier 1 (as a percentage of risk exposure amount) as if IFRS 9
	or analogous ECLs transitional arrangements had not been	16.2%	17.3%	16.7%	17.1%	16.8%
	applied
13	Total capital (as a percentage of risk exposure amount)	20.4%	21.6%	21.1%	21.4%	20.8%
14	Total capital (as a percentage of risk exposure amount) as if
	IFRS 9 or analogous ECLs transitional arrangements had not	20.2%	21.2%	20.8%	21.1%	20.5%
	been applied
	Leverage ratio	£m			£m		£m		£m		£m
15	Leverage ratio total exposure measure	1,326,549	1,126,259	1,235,079	1,213,800	1,205,303
16	Leverage ratio3
3.9%	4.5%	4.2%	4.4%	4.3%
17	Leverage ratio as if IFRS 9 or analogous ECLs transitional
3.9%	4.5%	4.2%	4.4%	4.3%
	arrangements had not been applied

Notes:

1. Transitional CET1 capital and RWAs are calculated applying the IFRS9 transitional arrangements of the CRR as amended by CRR II applicable as at the reporting date.
2. Transitional T1 and Total capital are calculated applying the transitional arrangements of the CRR as amended by CRR II applicable as at the reporting date. This includes the grandfathering of CRR and CRR IInon-compliant capital instruments and IFRS 9 transitional arrangements.
3. Leverage ratio is calculated applying the fully loaded treatment of the CRR as amended by CRR II applicable as at the reporting date.

Barclays PLC

4

Risk weighted assets

Risk weighted assets (RWAs) by risk type and business

									Operational	Total
	Credit risk		Counterparty credit risk		Market risk	risk	RWAs
					Settlement
	Std	IRB	Std	IRB	risk	CVA	Std	IMA
As at 31.03.20	£m	£m	£m	£m	£m	£m	£m	£m	£m	£m
Barclays UK	5,835	59,451	311	-	-	28	202	-	11,851	77,678
Corporate and Investment Bank	30,620	71,993	15,611	19,756	1,022	3,309	14,036	24,010	21,390	201,747
Consumer, Cards and Payments	25,205	3,085	132	31	-	21	-	151	7,536	36,161
Barclays International	55,825	75,078	15,743	19,787	1,022	3,330	14,036	24,161	28,926	237,908
Head Office	3,706	6,212	-	-	-	-	-	-	127	10,045
Barclays Group	65,366	140,741	16,054	19,787	1,022	3,358	14,238	24,161	40,904	325,631
As at 31.12.19
Barclays UK	5,189	57,455	235	-	-	23	178	-	11,821	74,901
Corporate and Investment Bank	25,749	62,177	12,051	16,875	276	2,470	12,854	17,626	21,475	171,553
Consumer, Cards and Payments	27,209	2,706	92	37	-	11	-	103	7,532	37,690
Barclays International	52,958	64,883	12,143	16,912	276	12,481	12,854	17,728	29,007	209,243
Head Office	5,104	5,754	-	-	-	-	-	-	129	10,987
Barclays Group	63,251	128,092	12,378	16,912	276	2,504	13,032	17,729	40,957	295,131

Movement analysis of risk weighted assets

		Counterparty
	Credit Risk	Credit Risk	Market Risk	Operational Risk	Total
	£m	£m	£m	£m	£m
As at 31.12.19	191,343	32,070	30,761	40,957	295,131
Book size	7,205	8,300	9,977	(53)	25,429
Acquisitions and disposals	(33)	-	-	-	(33)
Book quality	1,511	(404)	-	-	1,107
Model updates	887	-	-	-	887
Methodology and policy	1,166	255	(2,339)	-	(918)
Foreign exchange movement1	4,028	-	-	-	4,028
As at 31.03.20	206,107	40,221	38,399	40,904	325,631
Note:

1 Foreign exchange movements do not include foreign exchange for counterparty credit risk or market risk.

RWAs increased £30.5bn to £325.6bn:

• Book size increased RWAs £25.4bn primarily due to an increase in client activity compared toyear-end 2019, including drawdowns on facilities and higher market volatility
• Book quality increased RWAs £1.1bn primarily due to changes in model calibration
• Foreign exchange movements increased RWAs £4.0bn due to the appreciation of period end USD against GBP

Barclays PLC

5

Risk weighted assets

CR8 - RWA flow statement of credit exposures under the AIRB approach

		RWA amount	Capital requirements
		£m	£m
1	As at 31.12.19	128,095	10,248
2	Asset size	7,479	598
3	Asset quality	1,297	104
4	Model updates	888	71
5	Methodology and policy	736	59
6	Acquisitions and disposals	(33)	(3)
7	Foreign exchange movements	2,279	182
8	Other	-	-
9	As at 31.03.20	140,741	11,259

Advanced credit risk RWAs increased £12.7bn to £140.8bn driven by:

• Asset size increased RWAs £7.5bn primarily driven by increased lending activity
• Asset quality increased RWAs £1.3bn primarily due to changes in model calibration
• Foreign exchange movements increased RWAs £2.3bn primarily due to the appreciation of period end USD against GBP

Barclays PLC

6

Risk weighted assets

CCR7 - RWA flow statement of counterparty credit risk exposures under the IMM

The total shows the contribution of IMM exposures to CCR RWAs (under both standardised and AIRB) and will not directly reconcile to CCR AIRB RWAs.

		RWA amount	Capital requirements
		£m	£m
1	As at 31.12.19	21,872	1,750
2	Asset size	5,344	428
3	Credit quality of counterparties	(328)	(26)
4	Model updates (IMM only)	-	-
5	Methodology and policy (IMM only)	(38)	(3)
6	Acquisitions and disposals	-	-
7	Foreign exchange movements	-	-
8	Other	-	-
9	As at 31.03.20	26,850	2,148

Internal Model Method (IMM) RWAs increased by £5.0bn primarily due to increase in trading activity within modelled derivatives and SFTs.

MR2-B - RWA flow statement of market risk exposures under the IMA

								Total Capital
		VaR	SVaR	IRC	CRM	Other	Total RWA	requirements
		£m	£m	£m	£m	£m	£m	£m
1	As at 31.12.19	4,120	8,237	3,704	-	1,668	17,729	1,418
2	Movement in risk levels	1,491	5,126	(416)	-	3,154	9,355	748
3	Model updates/changes	-	-	-	-	-	-	-
4	Methodology and policy	(114)	(1,474)	(369)	-	(966)	(2,923)	(233)
5	Acquisitions and disposals	-	-	-	-	-	-	-
6	Other	-	-	-	-	-	-	-
7	As at 31.03.20	5,497	11,889	2,919	-	3,856	24,161	1,933

Internal Model Approach RWAs increased by £6.5bn primarily due to increase in trading activities and higher market volatility.

Barclays PLC

7

Risk weighted assets

OV1 - Overview of risk weighted assets by risk type and capital requirements

	RWA
	As at	As at
	31.03.20	31.12.19
	£m	£m

1	Credit risk (excluding CCR)	187,673	174,321
2	Of which standardised approach	64,137	60,482
3	Of which the foundation IRB (FIRB) approach	-	-
4	Of which the advanced IRB (AIRB) approach	123,536	113,839
	Of which Equity IRB under the Simple risk-weight or the internal models
5	approach	-	-
6	CCR	38,954	31,630
7	Of which mark to market	2,947	1,697
8	Of which original exposure	-	-
9	Of which standardised approach	-	-
9a	Of which financial collateral comprehensive method	5,216	4,723
10	Of which internal model method	26,605	21,708
11	Of which risk exposure amount for contributions to the default fund of a CCP	828	998
12	Of which CVA	3,358	2,504
13	Settlement risk	1,022	276
14	Securitisation exposures in banking book (after cap)	9,445	6,899
14a	Of which capital deduction approach (CAPD)	128	147
14b	Of which look through approach (KIRB)	-	76
15	Of which IRB approach	-	2,737
16	Of which IRB supervisory formula approach (SFA)	-	-
17	Of which internal assessment approach (IAA)	-	106
18	Of which standardised approach	-	-
14c	Of which Sec-ERBA	972	161
14d	Of which Sec-IAA	1,711	931
14e	Of which Sec-SA	974	669
14f	Of which Sec-IRBA	5,660	2,072
19	Market risk	38,399	30,761
20	Of which the standardised approach	14,238	13,032
21	Of which IMA	24,161	17,729
22	Large exposures	-	-
23	Operational risk	40,904	40,957
24	Of which basic indicator approach	-	-
25	Of which standardised approach	40,904	40,957
26	Of which advanced measurement approach	-	-
27	Amounts below the thresholds for deduction (subject to 250% risk weight)	9,234	10,287
28	Floor Adjustments	-	-
29	Total	325,631	295,131

Minimum capital

requirements

As at

As at

31.03.20 31.12.19

£m £m

15,014 13,946

5,131 4,839

--

9,883 9,107

--

3,116 2,530

236 136

-	-
	-
-

417 378

2,128 1,736

66 80

269 200

82 22

756 552

10 12

• 6
• 219
• -
• 8
• -

78 13

137 74

1. 54

1. 166

3,072	2,461
	1,043
1,139
	1,418
1,933
	-
-
	3,277
3,272
	-
-
	3,277
3,272
	-
-

739 823

--

26,050 23,611

Barclays PLC

8

Leverage

Leverage ratio and exposure

The following leverage tables show the components of the leverage ratio using the CRR definition for the leverage exposure and the tier 1 capital on a fully loaded basis as at 31 March 2020.1

Summary reconciliation of accounting assets and leverage ratio exposures

This table is a summary of the total leverage exposure and comprises of total IFRS assets used for statutory purposes, regulatory consolidation and other leverage adjustments.

		As at	As at
		31.03.20	31.12.19
		£m	£m
1	Total assets as per published financial statements	1,444,296	1,140,229
2	Adjustment for entities which are consolidated for accounting purposes but are outside the	(4,841)	(1,170)
	scope of regulatory consolidation
4	Adjustments for derivative financial instruments	(233,846)	(123,318)
5	Adjustments for securities financing transactions (SFTs)	34,271	18,339
6	Adjustment for off-balance sheet items (i.e. conversion to credit equivalent amounts of off-	102,499	105,289
	balance sheet exposures)
EU-6a	(Adjustment for intragroup exposures excluded from the leverage ratio exposure measure in	-	-
	accordance with Article 429 (7) of Regulation (EU) No 575/2013)
7	Other adjustments	(15,830)	(13,110)
8	Total leverage ratio exposure	1,326,549	1,126,259

Note:

1 Capital and leverage measures are calculated applying CRR as amended by CRR II applicable as at the reporting date.

Barclays PLC

9

Leverage

Leverage ratio common disclosure

This table shows the leverage ratio calculation and includes additional breakdowns for the leverage exposure measure.
		As at	As at
		31.03.20	31.12.19
		£m	£m
On-balance sheet exposures (excluding derivatives and SFTs)
1	On-balance sheet items (excluding derivatives, SFTs and fiduciary assets, but including collateral)1	911,610	798,516
2	(Asset amounts deducted in determining tier 1 capital)	(15,830)	(13,110)
3	Total on-balance sheet exposures (excluding derivatives, SFTs and fiduciary assets)1	895,780	785,406
Derivative exposures
4	Replacement cost associated with allderivatives transactions (ie net of eligible cash variation margin)	35,395	22,806
5	Add-on amounts for PFE associated with allderivatives transactions (mark-to-market method)	150,545	142,143
7	Deductions of receivables assets for cash variation margin provided in derivatives transactions	(56,083)	(38,753)
8	Exempted CCP leg of client-cleared trade exposures	(41,577)	(34,061)
9	Adjusted effective notional amount of written credit derivatives	348,854	293,935
10	Adjusted effective notional offsets and add-on deductions for written credit derivatives	(328,860)	(280,152)
11	Total derivative exposures	108,274	105,918
Securities financing transaction exposures
12	Gross SFT assets (with no recognition of netting), after adjusting for sales accounting transactions1	505,641	387,328
13	Netted amounts of cash payables and cash receivables of gross SFT assets	(319,916)	(276,021)
14	Counterparty credit risk exposure for SFT assets	34,271	18,339
16	Total securities financing transaction exposures1	219,996	129,646
Other off-balance sheet exposures
17	Off-balance sheet exposures at gross notional amount	328,855	331,390
18	Adjustments for conversion to credit equivalent amounts	(226,356)	(226,101)
19	Other off-balance sheet exposures	102,499	105,289
Capital and total exposures
20	Tier 1 capital	52,044	50,428
21	Total leverage ratio exposures	1,326,549	1,126,259
Leverage ratio
22	Leverage ratio
		3.9%	4.5%
Choice on transitional arrangements and amount of derecognised fiduciary items
EU-23	Choice on transitional arrangements for the definition of the capital measure
Fully phased in

The CRR leverage ratio decreased to 3.9%. The CRR leverage exposure increased £200bn to £1,327bn primarily driven by SFTs and Loans and advances and other assets, partially offset by an increase in Tier 1 capital.

Barclays PLC

10

Minimum requirements for own funds and eligible liabilities

Minimum requirement for own funds and eligible liabilities (MREL)

CRR II requirements relating to own funds and eligible liabilities came into force from 27 June 2019, which amended CRR. As an amending regulation, the existing provisions of CRR apply unless they are amended by CRR II. Eligible liabilities have been calculated reflecting the Group's interpretation of the current rules and guidance. Certain aspects of CRR II are dependent on final technical standards to be issued by the EBA and adopted by the European Commission as well as UK implementation of the rules.

KM2 has been prepared in accordance with CRR as amended by CRR II, using the uniform format set out in the BCBS Standard on Pillar 3 disclosure requirements, as the EU format for disclosure is yet to be agreed.

KM2 - Key metrics - TLAC requirements (at resolution group level)

This table shows the key metrics for the Group's own funds and eligible liabilities.

		As at	As at	As at	As at
		31.03.20	31.12.19	30.09.19	30.06.19
		£m	£m	£m	£m
1	Total loss-absorbing capacity (TLAC) available	100,068	96,666	100,615	102,013
2	Total RWA at the level of the resolution group	325,631	295,131	313,261	319,107
3	TLAC as a percentage of RWA (row 1 / row 2) (%)	30.7%	32.8%	32.1%	32.0%
4	Leverage ratio exposure measure at the level of the resolution group¹	1,326,549	1,126,259	1,235,079	1,213,800
5	TLAC as a percentage of leverage ratio exposure measure (row 1 / row 4)	7.5%	8.6%	8.1%	8.4%
(%)
6a
Does the subordination exemption in the antepenultimate paragraph of	No	No	No	No
	Section 11 of the FSB TLAC Term Sheet apply?
6b
Does the subordination exemption in the penultimate paragraph of Section	No	No	No	No
	11 of the FSB TLAC Term Sheet apply?
6c
If the capped subordination exemption applies, the amount of funding
	issued that ranks pari passu with Excluded Liabilities and that is recognised
	as external TLAC, divided by funding issued that ranks pari passu with	N/A	N/A	N/A	N/A
	Excluded Liabilities and that would be recognised as external TLAC if no
	cap was applied (%)

Note:

1 CRR leverage exposure as amended by CRR II applicable as at the reporting date.

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Liquidity

LIQ1 - Liquidity Coverage Ratio

This table shows the level and components of the Liquidity Coverage Ratio. This disclosure has been prepared in accordance with the requirements set out in the 'Guidelines on LCR disclosure to complement the disclosure of liquidity risk management under Article 435 of Regulation (EU) No 575/2013' as specified in Annexure II which complements Article 435(1)(f) of Regulation (EU) No 575/2013.

Liquidity coverage ratio (period end)

			Total period end value
		31.03.20	31.12.19	30.09.19	30.06.19	31.03.19
		£m	£m	£m	£m	£m
Liquidity buffer		232,296	206,448	225,556	232,098	225,850
Total net cash outflows		149,946	128,901	148,895	148,669	141,515
Liquidity coverage ratio (%) (period end)	155%	160%	151%	156%	160%

LIQ1 - Liquidity coverage ratio (average)

Total unweighted value (average)

31.03.2031.12.19 30.09.19 30.06.19 31.03.19

Total weighted value (average)

31.03.2031.12.19 30.09.19 30.06.19 31.03.19

Number of data points used in calculation of
averages¹	12	12	12	12	12	12	12	12	12	12
High-quality liquid assets		£m	£m	£m	£m	£m	£m	£m	£m	£m	£m
1 Total high-quality liquid assets (HQLA)						230,568	232,008	233,702	228,910	223,998

Cash outflows
2	Retail deposits and deposits from small
	business customers, of which:	204,385	201,969	199,916	198,142	196,505	18,224	17,961	17,676	17,420	17,178
3	Stable deposits	112,156	111,319	111,028	110,858	110,736	5,608	5,566	5,551	5,543	5,537
4	Less stable deposits	92,221	90,642	88,880	87,275	85,760	12,608	12,387	12,117	11,869	11,633
5	Unsecured wholesale funding, of which:	174,578	170,453	169,354	165,612	161,449	89,155	88,247	89,112	87,232	84,565
6	Operational deposits (all counterparties) and
	deposits in networks of cooperative banks	38,908	34,908	32,653	31,518	30,675	9,555	8,582	8,030	7,747	7,535
7	Non-operational deposits (all counterparties)	130,740	130,513	131,751	129,483	126,545	74,670	74,633	76,132	74,874	72,801
8	Unsecured debt	4,930	5,032	4,950	4,611	4,229	4,930	5,032	4,950	4,611	4,229
9	Secured wholesale funding						59,679	59,782	58,953	56,419	55,036
10	Additional requirements, of which:	178,204	177,769	178,845	175,345	175,335	51,530	50,402	51,292	50,422	52,089
11	Outflows related to derivative exposures and
	other collateral requirements	19,931	18,740	19,131	18,917	19,977	17,760	16,734	17,239	17,205	18,503
12	Outflows related to loss of funding on debt
	products	9,113	8,576	8,421	7,498	7,440	9,113	8,576	8,421	7,498	7,440
13	Credit and liquidity facilities	149,160	150,453	151,293	148,930	147,918	24,657	25,092	25,632	25,719	26,146
14	Other contractual funding obligations	2,382	2,410	5,047	13,666	16,668	1,637	1,654	1,590	1,426	1,241
15	Other contingent funding obligations	162,494	159,506	156,966	152,837	149,866	6,136	5,371	4,486	4,017	3,657
16	Total cash outflows						226,361	223,417	223,109	216,936	213,766
Cash inflows
17	Secured lending (e.g. reverse repos)	443,300	418,571	406,338	389,512	376,448	58,964	58,649	57,633	56,042	54,564
18	Inflows from fully performing exposures	13,346	12,750	12,714	12,641	12,642	8,518	8,129	8,220	8,305	8,412
19	Other cash inflows²	13,648	12,057	12,182	12,042	11,556	8,840	6,926	6,965	6,956	6,763
EU-	(Difference between total weighted inflows and
19a	total weighted outflows arising from
	transactions in third countries where there are
	transfer restrictions or which are denominated
	in non-convertible currencies)
EU-	(Excess inflows from a related specialised credit
19b	institution)
20	Total cash inflows	470,294	443,378	431,234	414,195	400,646	76,322	73,704	72,818	71,303	69,739
	Fully exempt inflows	-	-	-	-	-		-	-	-	-
	Inflows subject to 90% cap	-	-	-	-	-		-	-	-	-
	Inflows subject to 75% cap	381,164	359,897	351,480	336,018	318,874	76,322	73,704	72,818	71,303	69,739
21	Liquidity buffer						230,568	232,008	233,702	228,910	223,998
22	Total net cash outflows						150,039	149,713	150,291	145,633	144,027
23	Liquidity coverage ratio (%) (average)						154%	155%	155%	157%	156%
Notes:

1. Trailing average of 12month-end observations to the reporting date
2. Difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated innon-convertible currencies

As at 31 March 2020, the Barclays Group LCR was 155% (December 2019: 160%), equivalent to a surplus of £82bn (December 2019: £78bn) to 100% regulatory requirement. The change in the liquidity pool, LCR and surplus is driven by deposit growth net of client and business funding requirements, and reflects actions to maintain a prudent funding and liquidity position in the current environment. The 12 month- end average LCR to 31 March 2020 is 154% (December 2019: 155%).

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Notes

The terms Barclays or Barclays Group refer to Barclays PLC together with its subsidiaries. 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 date these interim results were approved.

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 that can be accessed at home.barclays/investor-relations/reports-and-events/annual-reports.

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. These 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 members of the management of the Group (including, without limitation, during management presentations to financial analysts) 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, income growth, assets, impairment charges, provisions, business strategy, capital, leverage and other regulatory ratios, payment of dividends (including dividend payout ratios and expected payment strategies), projected levels of growth in the banking and financial markets, projected costs or savings, any commitments and targets, estimates of capital expenditures, plans and objectives for future operations, projected employee numbers, IFRS impacts and other statements that are not historical fact. By their nature, forward- looking statements involve risk and uncertainty because they relate to future events and circumstances. The forward-looking statements speak only as at the date on which they are made and such statements may be affected by changes in legislation, the development of standards and interpretations under IFRS, including evolving practices with regard to the interpretation and application of accounting and regulatory standards, the outcome of current and future legal proceedings and regulatory investigations, future levels of conduct provisions, the policies and actions of governmental and regulatory authorities, geopolitical risks and the impact of competition. In addition, factors including (but not limited to) the following may have an effect: capital, leverage and other regulatory rules applicable to past, current and future periods; UK, US, Eurozone and global macroeconomic and business conditions; the effects of any volatility in credit markets; market related risks such as changes in interest rates and foreign exchange rates; effects of changes in valuation of credit market exposures; changes in valuation of issued securities; volatility in capital markets; changes in credit ratings of any entity within the Group or any securities issued by such entities; direct and indirect impacts of the coronavirus (COVID-

1. pandemic; instability as a result of the exit by the UK from the European Union and the disruption that may subsequently result in the UK and globally; and the success of future acquisitions, disposals and other strategic transactions. A number of these influences and factors are beyond the Group's control. As a result, the Group's actual financial position, future results, dividend payments, capital, leverage or other regulatory ratios or other financial andnon-financial metrics or performance measures may differ materially from the statements or guidance set forth in the Group's forward- looking statements. Additional risks and factors which may impact the Group's future financial condition and performance are identified in our filings with the SEC (including, without limitation, our Annual Report on Form 20-F for the fiscal year ended 31 December 2019 and our Q1 2020 Results Announcement for the three months ended 31 March 2020 filed on Form 6-K), which are available on the SEC's website at www.sec.gov.

Subject to our 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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