Barclays : Bank Ireland PLC Pillar 3 Report (PDF 1.8MB)

Barclays Bank Ireland PLC

Pillar 3 Report

31 December 2021

Table of Contents

Introduction

Foreword	3
Capital position and risk management	4
Summary of risk profile	5
Notes on basis of preparation	6
Scope of application of Basel rules	9

Risk and capital position review

Analysis of treasury and capital risk	14
Analysis of credit risk	35
Analysis of counterparty credit risk	59
Analysis of securitisation	68
Analysis of market risk	73
Analysis of the interest rate risk in the banking book	78
Analysis of operational risk	80

Barclays Bank Ireland's approach to managing risks

Risk management strategy, governance and risk culture	84
Management of credit risk and the internal ratings-based approach	92
Management of credit risk mitigation techniques and counterparty credit risk	108
Management of securitisation risk	111
Management of market risk	114
Management of treasury and capital risk	121
Management of operational risk	127
Management of model risk	131
Management of conduct risk	133
Management of reputation risk	135
Management of legal risk	137

Appendices

Appendix A - Countercyclical buffer	139
Appendix B - Disclosure on asset encumbrance	141
Appendix C - Disclosures on remuneration	143
Appendix D - CRD V references	150
Appendix E - EBA and BCBS reference	158
Index of tables	163
Non applicable disclosures	165
Abbreviations used	166

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Foreword

Foreword

Section 10.1 of the Basel Committee on Banking Supervision's Basel Framework introduces disclosure requirements for banks as follows:

The provision of meaningful information about common key risk metrics to market participants is a fundamental tenet of a sound banking system. It reduces information asymmetry and helps promote comparability of banks' risk profiles within and across jurisdictions.

Pillar 3 of the Basel Framework aims to promote market discipline through regulatory disclosure requirements. These requirements enable market participants to access key information relating to a bank's regulatory capital and risk exposures in order to increase transparency and confidence about a bank's exposure to risk and the overall adequacy of its regulatory capital.

Expansion of Barclays Bank Ireland PLC

Barclays has been operating in Ireland since 1978. Based in Dublin, we have historically provided corporate banking services to corporate clients, including top-tier Irish corporations, multi-nationals and financial institutions.

Barclays is a British universal bank, diversified by different types of business. The European operations of the Barclays Group (the Group) are integral to the strategic ambitions of Barclays International, which comprises the Group's top tier Corporate and Investment Bank, Global Barclaycard business and Private Bank.

Following the UK's decision to withdraw from the European Union (EU), the Group has taken the necessary steps to preserve market access for our clients in the EU 27 countries.

• The Group delivers a broad range of products and services to clients across Europe. We value these relationships and our priority has been to minimise disruption and preserve our clients' ability to continue to transact with Barclays.

• Due to the loss of passporting from the UK, new transactions performed for EU clients under the existing UK passports are being carried out by Barclays Bank Ireland PLC (the "Bank" or "BBI"), as an EEA regulated entity. Loss of passporting also impacts the ability of entities domiciled in any of the EU 27 countries to access the UK.
• Barclays' strategy is to continue to offer its core products and services to its EU clients through BBI which encompasses the activities that the Barclays' Group undertakes today across our EU footprint.

Further client migration activity

Client and business migrations resulting from the expansion of the Bank were substantially completed at the end of 2020 in advance of the end of the Brexit transition period. Migrations during the course of 2021 were considerably lower than 2020 and included derivative financial assets of €6.9bn (2020: €10.8bn), derivative financial liabilities of €5.3bn (2020: €13.8bn) and customer loan facilities of €1.5bn (2020: €5.3bn), of which €0.1bn (2020: €0.4bn) were drawn. Some further migrations are expected during 2022.

Brexit

The EU-UK Trade and Cooperation Agreement (TCA), which provides a new economic and social partnership between the EU and UK, came into force provisionally on 1 January 2021. The TCA does not cover the provision of financial services from the EU into the UK and there is no agreement on passporting, equivalence or regulatory cooperation.

The EU and UK have agreed to establish structured regulatory cooperation on financial services, with the aim of establishing a durable and stable relationship, based on a shared commitment to preserve financial stability, market integrity, and the protection of investors and consumers.

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Barclays Bank Ireland PLC Pillar 3 report

Capital position and risk management in 2021

Our annual disclosures contain extensive information on risk as well as capital management.

The Pillar 3 report provides a detailed breakdown of BBI's regulatory capital adequacy and how this relates to the Bank's risk management.

The CET1 Ratio decreased to 15.5% (December 2020: 16.6%) due to the increase in the amount of risk weighted assets in the year. The impact of these increases was partially offset by capital issuances in the reporting period

The leverage ratio increased to 6.4% (December 2020: 6.3%) due to an increase in the leverage exposure in the year. The impact of this increase was partially offset by capital issuances in the reporting period

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Summary of risk profile

This section presents a high-level summary of BBI's risk profile.

The Board makes use of the Risk Appetite Framework to set appetite, and continuously monitors existing and emerging risks.

BBI sets its risk appetite in terms of performance metrics as well as a set of mandate and scale limits to monitor risks. The following risk metrics reflect the risk profile of BBI:

	Common Equity Tier 1 ratio				CRR leverage ratio				Common Equity Tier 1 capital
15.5%			6.4%				€5.0bn
2020: 16.6%			2020: 6.3%1				2020: €3.9bn
	(see page 15)			(see page 15)			(see page 15)
	Management Value at Risk			Liquidity pool			Liquidity coverage ratio
	€1.7m				€25.4bn			171%
	2020: €0.7m			2020: €21.0bn		2020: 218%
	(see page 74)			(see page 32)			(see page 32)
	Risk weighted assets
	€32.1bn
	2020: €23.7bn
	(see page 23)

The following is a represented high-level summary of BBI's risk profile.

Going forward BBI will report its CET1 and associated ratios inclusive of certain reserves eligible as core equity under CRR2. Ratios and amounts below are shown on a represented basis inclusive of these certain reserves which amount to €189.5m and have increased the Bank's CET1 capital by an equivalent amount.

The other risk metrics (management value at risk, liquidity pool, liquidity coverage ratio and risk weighted assets) remain unaffected by the inclusion of these certain reserves.

	Common Equity Tier 1 ratio				CRR leverage ratio				Common Equity Tier 1 capital
	16.1%				6.7%				€5.2bn
	2020: 17.4%			2020: 6.6%				2020: €4.1bn

• 2020 leverage ratio disclosed on a fully phased in basis, 2021 is disclosed on a transitional basis.

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