Barclays : Bank PLC Pillar 3 Report

Barclays Bank PLC

Q3 2022 Pillar 3 Report

30 September 2022

Table of Contents

Pillar 3	Page
Summary
KM1 - Key Metrics	3
Capital
IFRS 9/Article 468-FL - Comparison of institutions' own funds and capital and leverage ratios with and	5
without the application of transitional arrangements for IFRS 9 or analogous ECLs, and with and without
the application of the temporary treatment in accordance with Article 468 of the CRR
Risk weighted assets (RWA)
RWAs by risk type	6
OV1 - Overview of RWAs by risk type and capital requirements	7
CR8 - RWA flow statement of credit risk exposures under the advanced IRB approach	8
CCR7 - RWA flow statement of counterparty credit risk exposures under the IMM	8
MR2-B - RWA flow statement of market risk exposures under the IMA	9
Liquidity
LIQ1 - Liquidity Coverage ratio	10
Other Information	12
Notes
Forward-looking statements	13

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Summary

Table 1: KM1 - Key metrics - Part 1

This table shows key regulatory metrics and ratios as well as related components like own funds, RWAs, capital ratios, additional requirements based on Supervisory Review and Evaluation Process (SREP), capital buffer requirements, leverage ratio and liquidity coverage ratio. 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).

					Restated1
		As at	As at	As at	As at
KM1		30.09.22	30.06.22	31.03.22	31.12.21
ref		£m	£m	£m	£m
	Available own funds (amounts)
1	Common Equity Tier 1 (CET1) capital2	28,592	27,420	24,765	23,928
1a	Fully loaded common Equity Tier 1 (CET1) capital3	28,230	27,133	24,520	23,376
2	Tier 1 capital	37,026	35,088	31,310	32,395
2a	Fully loaded tier 1 capital	36,665	34,801	31,064	31,094
3	Total capital4	41,526	40,106	36,785	37,954
3a	Fully loaded total capital5	40,254	38,882	35,552	36,241
	Risk-weighted exposure amounts
4	Total risk-weighted exposure amount2	214,935	214,426	200,074	185,467
4a	Fully loaded total risk-weighted exposure amount3	214,673	214,184	199,854	184,991
	Capital ratios (as a percentage of risk-weighted exposure amount)
5	Common Equity Tier 1 ratio (%)2	13.3%	12.8%	12.4%	12.9%
5a	Fully loaded common Equity Tier 1 ratio (%)3	13.2%	12.7%	12.3%	12.6%
6	Tier 1 ratio (%)2	17.2%	16.4%	15.6%	17.5%
6a	Fully loaded tier 1 ratio (%)3	17.1%	16.2%	15.5%	16.8%
7	Total capital ratio (%)2,4	19.3%	18.7%	18.4%	20.5%
7a	Fully loaded total capital ratio (%)3,5	18.8%	18.2%	17.8%	19.6%
	Additional own funds requirements based on SREP (as a percentage
	of risk-weighted exposure amount)
UK 7a	Additional CET1 SREP requirements (%)	2.5%	2.5%	2.7%
UK 7b	Additional AT1 SREP requirements (%)	0.8%	0.8%	0.9%
UK 7c	Additional T2 SREP requirements (%)	1.1%	1.1%	1.2%
UK 7d	Total SREP own funds requirements (%)	12.5%	12.5%	12.8%
	Combined buffer requirement (as a percentage of risk-weighted
	exposure amount)
8	Capital conservation buffer (%)	2.5%	2.5%	2.5%	2.5%
9	Institution specific countercyclical capital buffer (%)	0.0%	0.0%	0.0%	0.0%
11	Combined buffer requirement (%)	2.5%	2.5%	2.5%	2.5%
UK 11a	Overall capital requirements (%)	15.0%	15.0%	15.3%
12	CET1 available after meeting the total SREP own funds requirements	6.3%	5.8%	5.2%

Notes

1. Capital metrics as at 31 December 2021 have been restated, refer to page 12 for further information.
2. CET1 capital and RWAs are calculated applying the IFRS 9 transitional arrangements of the CRR as amended by CRR II.
3. Fully loaded CET1 capital and RWAs are calculated without applying the transitional arrangements of the CRR as amended by CRR II.
4. Transitional Tier 2 and Total capital is calculated applying the grandfathering of CRR II non-compliant capital instruments. Prior year comparatives include the grandfathering of CRR non-compliant capital instruments.
5. Fully loaded Tier 2 and Total capital is calculated without applying the grandfathering of CRR II non-compliant capital instruments.

The CET1 ratio increased to 13.3% (December 2021: 12.9%)

• CET1 capital increased by £4.7bn to £28.6bn (December 2021: £23.9bn), which reflects profit of £4.3bn, an increase in the currency translation reserve of £2.2bn and a capital contribution from Barclays PLC of £0.8bn partially offset by £1.2bn of dividends paid and foreseen and a decrease in the fair value through other comprehensive income reserve of £1.2bn.
• RWAs increased £29.5bn to £214.9bn (December 2021: £185.5bn) primarily due to the appreciation of USD against GBP, increased client and trading activities within CIB, implementation of IRB roadmap changes and introduction of SA-CCR.

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Summary

Table 1: KM1 - Key metrics - Part 2

			As at	As at	As at
KM1	LR 2		30.09.22	30.06.22	31.03.22
ref	Ref		£m	£m	£m
		Leverage ratio
13	UK 24b	Total exposure measure excluding claims on central banks1
838,344	770,695	764,848
14	25	Leverage ratio excluding claims on central banks (%)1	4.4 %	4.6 %	4.1 %
		Additional leverage ratio disclosure requirements
UK 14a	UK 25a Fully loaded ECL accounting model leverage ratio excluding claims on
4.4 %	4.5 %	4.1 %
		central banks (%)2
UK 14b	UK 25c	Leverage ratio including claims on central banks (%)1	3.7 %	3.6 %	3.4 %
		Liquidity Coverage Ratio
15		Total high-quality liquid assets (HQLA) (Weighted value)
	202,824	194,117	188,159
UK 16a		Cash outflows - Total weighted value	237,389	228,629	220,498
UK 16b		Cash inflows - Total weighted value	85,060	82,036	78,741
16		Total net cash outflows (adjusted value)	152,329	146,592	141,757
17		Liquidity coverage ratio (%)3	133 %	132 %	133 %
17a		Liquidity coverage ratio (%) (period-end)	131 %	137 %	139 %

Notes

1. Transitional UK leverage ratios are calculated applying the IFRS 9 transitional arrangements of the CRR as amended by CRR II.
2. Fully loaded UK leverage ratio is calculated without applying the transitional arrangements of the CRR as amended by CRR II.
3. Liquidity coverage ratio computed as a trailing average of 12 month-end observations to the reporting date.

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Capital

Table 2: IFRS 91/Article 468-FL - Comparison of institution's own funds and capital and leverage ratios with and without the application of transitional arrangements for IFRS 9 or analogous ECLs, and with and without the application of the temporary treatment in accordance with Article 468 of the CRR2

					Restated3
		As at	As at	As at	As at
		30.09.22	30.06.22	31.03.22	31.12.21
	Available capital (amounts)	£m	£m	£m	£m
1	CET1 capital4	28,592	27,420	24,765	23,928
2	CET1 capital as if IFRS 9 or analogous ECLs transitional arrangements	28,230	27,133	24,520	23,376
	had not been applied
3	Tier 1 capital5	37,026	35,088	31,310	32,395
4	Tier 1 capital as if IFRS 9 or analogous ECLs transitional arrangements	36,665	34,801	31,064	31,843
	had not been applied
5	Total capital5	41,526	40,106	36,785	37,954
6	Total capital as if IFRS 9 or analogous ECLs transitional arrangements	41,229	39,888	36,576	37,493
	had not been applied
	Risk-weighted assets (amounts)
7	Total risk-weighted assets4	214,935	214,426	200,074	185,467
8	Total risk-weighted assets as if IFRS 9 or analogous ECLs transitional	214,673	214,184	199,854	184,991
	arrangements had not been applied
	Capital ratios
9	CET1 (as a percentage of risk exposure amount)4	13.3%	12.8%	12.4%	12.9%
10	CET1 (as a percentage of risk exposure amount) as if IFRS 9 or	13.2%	12.7%	12.3%	12.6%
	analogous ECLs transitional arrangements had not been applied
11	Tier 1 (as a percentage of risk exposure amount)4,5	17.2%	16.4%	15.6%	17.5%
12	Tier 1 (as a percentage of risk exposure amount) as if IFRS 9 or	17.1%	16.3%	15.5%	17.2%
	analogous ECLs transitional arrangements had not been applied
13	Total capital (as a percentage of risk exposure amount)4,5	19.3%	18.7%	18.4%	20.5%
14	Total capital (as a percentage of risk exposure amount) as if IFRS 9 or	19.2%	18.6%	18.3%	20.3%
	analogous ECLs transitional arrangements had not been applied
	Leverage ratio
15	Leverage ratio total exposure measure	838,344	770,695	764,848
16	Leverage ratio4	4.4%	4.6%	4.1%
17	Leverage ratio as if IFRS 9 or analogous ECLs transitional arrangements	4.4%	4.5%	4.1%
	had not been applied

Notes

1. From 1 January 2018, Barclays Bank PLC 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 is phased out over a 5 year period with 25% applicable for 2022 and with no transitional relief from 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 with 75% applicable for 2022; 50% for 2023; 25% for 2024 and with no transitional relief from 2025.
2. As at 30 Sep 2022, Barclays Bank PLC had not elected to apply the temporary treatment specified in Article 468 of the CRR, amended by Regulation EU 2020/873, resulting in the Group's capital and leverage ratios reflecting the full impact of unrealised gains and losses measured at fair value through other comprehensive income.
3. Capital metrics as at 31 December 2021 have been restated, refer to page 12 for further information.
4. Transitional CET1 capital, RWAs and leverage ratio are calculated applying the IFRS 9 transitional arrangements of the CRR as amended by CRR II.
5. Transitional capital is calculated applying the transitional arrangements of the CRR as amended by CRR II. Prior year comparatives include the grandfathering of CRR II non-compliant capital instruments and IFRS 9 transitional arrangements.

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