Barclays : Bank UK PLC Pillar 3 Report

Barclays Bank UK PLC Q3 2022 Pillar 3 Report

30 September 2022

Table of Contents

Pillar 3	Page
Summary
UK KM1 - Key metrics	3
Risk weighted assets (RWA)
RWAs by risk type	5
OV1 - Overview of RWAs by risk type and capital requirements	6
CR8 - RWA flow statement of credit risk exposures under the advanced IRB approach	7
Liquidity
LIQ1 - Liquidity Coverage ratio	8
Notes
Forward-looking statements	10

Barclays Bank UK PLC

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Summary

Table 1: UK KM1 - Key metrics (KM1 / IFRS9-FL1/ Article 468-FL2 / UK LR 2) - 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.

Barclays Bank UK Group's capital, RWAs and leverage is calculated applying transitional relief for IFRS9, no other transitional provisions in CRR as amended by CRR II are applicable. The table below therefore represents both transitional and fully loaded capital metrics which is equal to transitional capital and capital as if IFRS9 or analogous ECLs transitional arrangements had not been applied. 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).

			As at	As at	As at	As at
KM1	IFRS9-		30.09.22	30.06.22	31.03.22	31.12.21
ref	FL ref		£m	£m	£m	£m
		Available own funds (amounts)
1	1	Common Equity Tier 1 (CET1) capital3	10,662	10,536	10,641	10,828
1a	2	Fully loaded common Equity Tier 1 (CET1) capital4	10,581	10,455	10,583	10,572
2	3	Tier 1 capital3	13,222	13,096	13,201	13,388
2a	4	Fully loaded tier 1 capital4	13,141	13,015	13,143	13,132
3	5	Total capital3	15,993	15,877	16,037	16,442
3a	6	Fully loaded total capital4	15,912	15,844	16,028	16,359
		Risk-weighted exposure amounts
4	7	Total risk-weighted exposure amount3	72,014	71,088	71,220	71,213
4a	8	Fully loaded total risk-weighted exposure amount4	71,981	71,055	71,244	71,116
		Capital ratios (as a percentage of risk-weighted exposure
		amount)
5	9	Common Equity Tier 1 ratio (%)3	14.8%	14.8%	14.9%	15.2%
5a	10	Fully loaded common Equity Tier 1 ratio (%)4	14.7%	14.7%	14.9%	14.9%
6	11	Tier 1 ratio (%)3	18.4%	18.4%	18.5%	18.8%
6a	12	Fully loaded tier 1 ratio (%)4	18.3%	18.3%	18.4%	18.5%
7	13	Total capital ratio (%)3	22.2%	22.3%	22.5%	23.1%
7a	14	Fully loaded total capital ratio (%)4	22.1%	22.3%	22.5%	23.0%
		Additional own funds requirements based on SREP (as a
		percentage of risk-weighted exposure amount)
UK 7a		Additional CET1 SREP requirements (%)	2.4%	2.4%	2.4%
UK 7b		Additional AT1 SREP requirements (%)	0.8%	0.8%	0.8%
UK 7c		Additional T2 SREP requirements (%)	1.0%	1.1%	1.1%
UK 7d		Total SREP own funds requirements (%)	12.2%	12.2%	12.2%
		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%
UK 10a		Other Systemically Important Institution buffer	1.0%	1.0%	1.0%	1.0%
11		Combined buffer requirement (%)	3.5%	3.5%	3.5%	3.5%
UK 11a		Overall capital requirements (%)	15.7%	15.7%	15.7%
12		CET1 available after meeting the total SREP own funds	7.9%	7.9%	8.0%
		requirements (%)

Notes

1. From 1 January 2018, Barclays Bank UK Group 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 September 2022, Barclays Bank UK 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 capital and leverage ratios reflecting the full impact of unrealised gains and losses measured at fair value through other comprehensive income.
3. Transitional capital and RWAs are calculated applying the IFRS 9 transitional arrangements of the CRR as amended by CRR II.
4. Fully loaded capital and RWAs are calculated without applying the IFRS 9 transitional arrangements of the CRR as amended by CRR II.

CET1 ratio decreased by c140bps to 14.8% (December 2021: 15.2%) as CET1 capital decreased by £0.2bn and RWA increased by £0.8bn

The CET1 capital decrease reflects profits for the period which were more than offset by regulatory foreseeable dividends, decreases in the fair value through other comprehensive income reserve and a decrease in IFRS9 transitional relief

RWAs increased by £0.8bn to £72.0bn (December 2021: £71.2bn) primarily driven by mortgage growth and implementation of IRB roadmap changes. This was partially offset by the benefit in mortgages from an increase in the House Price Index (HPI) and maturity of reverse repo trades

Barclays Bank UK PLC

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Summary

Table 1: UK KM1 - Key metrics (KM1 / IFRS9-FL/ Article 468-FL / UK LR 2) - Part 2

	IFRS9 -	LR 2		As at	As at	As at	As at
KM1 ref		30.09.22	30.06.22	31.03.22	31.12.21
FL ref	Ref		£m	£m	£m	£m
			Leverage ratio
13	15	UK 24b	Total exposure measure excluding claims on central	249,298	248,241	241,491	241,173
14	16	25	Leverage ratio excluding claims on central banks	5.3%	5.3%	5.5%	5.6%
			Additional leverage ratio disclosure requirements
UK 14a	17	UK 25a	Fully loaded ECL accounting model leverage ratio	5.3%	5.2%	5.4%
			excluding claims on central banks (%)3
UK 14b		UK 25c	Leverage ratio including claims on central banks (%)2	4.2%	4.2%	4.1%
UK 14c		UK 33	Average leverage ratio excluding claims on central	5.3%	5.3%	5.5%	5.5%
UK 14d		UK 34	Average leverage ratio including claims on central	4.2%	4.2%	4.2%
UK 14e		UK 27b	Countercyclical leverage ratio buffer (%)	0.0%	0.0%	0.0%
UK 14f		UK 27	Leverage ratio buffer (%)	0.4%	0.4%	0.4%
			Liquidity Coverage Ratio
15			Total high-quality liquid assets (HQLA) (Weighted	82,528	81,548	80,530	77,863
			value)5
UK 16a			Cash outflows - Total weighted value	44,584	43,766	42,837	42,339
UK 16b			Cash inflows - Total weighted value	1,401	1,432	1,472	1,371
16			Total net cash outflows (adjusted value)4	43,183	42,334	41,365	40,968
17			Liquidity coverage ratio (%)5	191%	193%	195%	190%
17a			Liquidity coverage ratio (%) (period end)	182%	185%	187%	204%

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 IFRS9 transitional arrangements of the CRR as amended by CRR II.
3. 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.
4. Prior period comparatives have been updated to reflect the average measures as amended by CRR II.
5. Liquidity Coverage Ratio computed as a trailing average of 12 month-end observations to the reporting date

The leverage ratio decreased to 5.3% (December 2021: 5.6%) primarily due to an increase in the leverage exposure of £8.1bn largely as a result of an increase in loans and advances and other assets.

Barclays Bank UK PLC

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Risk weighted assets

Table 2: RWAs by risk type

This table shows RWAs by risk type.

	Credit risk		Counterparty credit risk		Market risk		Operational	Total
						Settlement
										risk	RWAs
	Std	A-IRB		Std	A-IRB	risk	CVA	Std	IMA
As at 30 September 2022	£m	£m		£m	£m	£m	£m	£m	£m		£m	£m
Barclays Bank UK PLC	5,313	55,038		272	-	0	203	256	-		10,932	72,014
As at 31 December 2021
Barclays Bank UK PLC	5,326	53,687	829	-	-	379	100	-	10,892	71,213

Barclays Bank UK PLC

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