Barclays PLC
1
Exhibit 99.1
Barclays PLC
This exhibit includes portions from the previously published Results Announcement of Barclays PLC relating to the three months
ended 31 March 2021, as amended in part to comply with the requirements of Regulation G and Item 10(e) of Regulation S-K
promulgated by the US Securities and Exchange Commission (SEC), including the reconciliation of certain financial information to
comparable measures prepared in accordance with International Financial Reporting Standards (IFRS). The purpose of this
document is to provide such additional disclosure as required by Regulation G and Regulation S-K item 10(e), to delete certain
information not in compliance with SEC regulations and to include reconciliations of certain non-IFRS figures to the most directly
equivalent IFRS figures for the periods presented. This document does not update or otherwise supplement the information
contained in the previously published Results Announcement. Any reference to a website in this document is made for
informational purposes only, and information found at such websites is not incorporated by reference into this document.
An audit opinion has not been rendered in respect of this document.
Notes
Barclays PLC
2
The terms Barclays or Group refer to Barclays PLC together with its subsidiaries. Unless otherwise stated, the income stat ement analysis compares the three
months ended 31 March 2021 to the corresponding three months of 2020 and balance sheet analysis as at 31 March 2021 with comparatives relating to 31
December 2020 and 31 March 2020. The abbreviations ‘£m’ and ‘£bn’ represent millions and thousands of millions of Pounds Sterling respectively; the
abbreviations ‘$m’, ‘$bn’ and ‘$trn’ represent millions, thousands of millions and thousands of billions of US Dollars respectively; and the abbreviations ‘€m’
and ‘€bn’ represent millions and thousands of millions of Euros respectively.
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 given point in time.
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 attached hitherto.
The information in this announcement, which was approved by the Board of Directors on 29 April 2021, does not comprise statutory accounts within the
meaning of Section 434 of the Companies Act 2006. Statutory accounts for the year ended 31 December 2020, which contain an unmodified audit report
under Section 495 of the Companies Act 2006 (which did not make any statements under Section 498 of the Companies Act 2006) will be delivered to the
Registrar of Companies in accordance with Section 441 of the Companies Act 2006.
Barclays is a frequent issuer in the debt capital markets and regularly meets with investors via formal road-shows and other ad hoc meetings. Consistent with
its usual practice, Barclays expects that from time to time over the coming quarter it will meet with investors globally to discuss these results and other
matters relating to the Group.
Non-IFRS performance measures
Barclays management believes that the non-IFRS performance measures included in this document provide valuable information to the readers of the
financial statements as they enable the reader to identify a more consistent basis for comparing the businesses’ performance between financial periods and
provide more detail concerning the elements of performance which the managers of these businesses are most directly able to influence or are relevant for
an assessment of the Group. They also reflect an important aspect of the way in which operating targets are defined and performance is monitored by
Barclays management. However, any non-IFRS performance measures in this document are not a substitute for IFRS measures and readers should consider
the IFRS measures as well. Refer to the appendix on pages 33 to 37 for further information and calculations of non-IFRS performance measures included
throughout this document, and the most directly comparable IFRS measures.
Key non-IFRS measures included in this document, and the most directly comparable IFRS measures, are:
– Average allocated equity represents the average shareholders’ equity that is allocated to the businesses. The comparable IFRS measure is average equity. A
reconciliation is provided on pages 35 to 36;
– Average allocated tangible equity is calculated as the average of the previous month’s period end allocated tangible equity and the current month’s period
end allocated tangible equity. The average allocated tangible equity for the period is the average of the monthly averages within that period. Period end
allocated tangible equity is calculated as 13.5% (2020: 13.0%) of RWAs for each business, adjusted for capital deductions, excluding goodwill and intangible
assets, reflecting the assumptions the Group uses for capital planning purposes. Head Office allocated tangible equity represents the difference between the
Group’s tangible shareholders’ equity and the amounts allocated to businesses. The comparable IFRS measure is average equity. A reconciliation is provided
on pages 35 to 36;
– Average tangible shareholders’ equity is calculated as the average of the previous month’s period end tangible equity and the current month’s period end
tangible equity. The average tangible shareholders’ equity for the period is the average of the monthly averages within that period. The comparable IFRS
measure is average equity. A reconciliation is provided on pages 35 to 36;
– Pre -provision profits is calculated by excluding credit impairment charges from profit before tax. The comparable IFRS measure is profit before tax. A
reconciliation is provided on page 35;
– Return on average allocated equity represents the return on shareholders’ equity that is allocated to the businesses. The comparable IFRS measure is return
on equity. A reconciliation is provided on page 37;
– Return on average allocated tangible equity is calculated as the annualised profit after tax attributable to ordinary equity holders of the parent, as a
proportion of average allocated tangible equity. The comparable IFRS measure is return on equity. A reconciliation is provided on page 37;
– Return on average tangible shareholders’ equity is calculated as the annualised profit after tax attributable to ordinary equity holders of the parent, as a
proportion of average shareholders’ equity excluding non-controlling interests and other equity instruments adjusted for the deduction of intangible assets
and goodwill. The comparable IFRS measure is return on equity. A reconciliation is provided on page 37; and
– Tangible net asset value per share is calculated by dividing shareholders’ equity, exc luding non-controlling interests and other equity instruments, less
goodwill and intangible assets, by the number of issued ordinary shares. The comparable IFRS measure is net asset value per share. A rec onciliation is
provided on page 36.
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, capital distributions
(including dividend pay -out 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. Forward -looking statements may be
affected by: changes in legislation; the development of standards and interpretations under IFRS, including evolving practices with regard to the
Notes
Barclays PLC
3
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; the Group’s ability along with government and other
stakeholders to manage and mitigate the impacts of climate change effectively; 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-19) pandemic; instability as a result of the UK’s exit from the European Union (EU), the effects of the EU-UK Trade and Cooperation Agreement and
the disruption that may subsequently result in the UK and globally; the risk of cyber-attacks, information or security breaches or technology failures on the
Group’s business or operations; 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, capital distributions, capital, leverage or other regulatory
ratios or other financial and non-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 2020), 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.
Performance Highlights
Barclays PLC
4
Barclays continues to benefit from its diversified business model, whilst supporting the economy
through the COVID -19 pandemic
Barclays delivered a record quarterly Group profit before tax in Q121 of £2.4bn
1
(Q120: £0.6bn), a return on equity (RoE) of 12.5% (Q120: 4.4%), a return on tangible equity (RoTE) of 14.7% (Q120: 5.1%) and
earnings per share (EPS) of 9.9p (Q120: 3.5p)
Income
Diversified income streams
with strong CIB income
partially offsetting challenges
in Barclays
UK and CC&P
Group income of £5.9bn down 6 % versus prior year
—
Barclays Intern ational income of £4.4bn, down 5% versus prior year
-
Corporate and Investment Bank (CIB) income of £3.6bn, down 1%
Banking up 65% and 35% respectively , whilst FICC was down 35% versus a very strong
Q120 comparative
-
Consumer, Cards and Payments (CC&P) income of £0.8bn, down 22%
card s balances and reduced payments activity
—
Barclays UK income of £1.6bn, down 8% versus prior year
compression fro m lower interest rates and lower interest earning lending (IEL) balances,
partially offset by strong mortgages performance with record quarterly organic net asset
growth of £3.6bn to £151.9bn
Credit impairment charges
Reduced impairment as
underlying asset quality
metrics remained benign
Group credit impairment charges decreas ed significantly to £0.1bn (Q120: £2.1bn)
—
The low credit impairment charge was driven by red uced unsecured lending balances, no
material single name wholesale loan charges and limited portfolio deterioration
—
Total balance sheet impairment allowance of £8.8bn (FY20: £9.4bn), resulting in broadly
stable coverage ratios for unsecured consumer lending and whole sale portfol ios of 12.2%
(FY20: 12.3%) and 1.4% (FY20: 1.5%) respectively
Costs
Cost: income ratio of 61%
Group total operating expenses of £3.6bn up 10% versus prior year
—
Total operating expenses include higher variable compensation accruals reflective of
improved returns and continued investment in businesses, partially offset by foreign exchange
movements and efficiency savings, resulting in a cost: income ratio of 61% (Q120: 52%).
COVID -19 related expenses continued in Q121
Capital / capital distributions
Strong capital position and
completed share buyback
Common equity tier 1 (CET1) ratio of 14.6% down 50bps versus FY20
—
The decrease reflects profit before tax more than offset by reversal of certain regulatory
forbearance measures applied through 2020, the impact of the share buyback announced
with FY20 results, a dividend accrual, and an increase in Risk Weighted Assets (RWAs),
principally in the CIB
—
In April, completed £0.7bn share buyback announced with FY20 results
1
Since Q308 which included material adjusting items.
Performance Highlights
Barclays PLC
5
Group outlook and targets
Outlook
Remains uncertain and
subject to change
depending on the
evolution and persistence
of the COVID -19
pandemic
Returns
—
Barclays expects to deliver meaningful year -on-year RoTE improvement in 2021
Income
—
Headwinds to income in Barclays UK are expected to persist in 2021, driven by the subdued
demand for unsecured lending and the low interest rate environment, partially offset by the
recent steepening of the yield curve
—
Within Barclays International, the CIB franchise remains well positioned for the future; CC&P
income outlook remains uncertain, despite early signs of an anticipated spending recovery in the
US and UK, with US cards balances expected to start to recover later in the year
Impairment
—
Barclays expects that the full year 2021 impairment charge will be materially below that of 2020
reflecting delinquency experience and an improved economic outlook during the latter part of
Q121. If these conditions persist, Barclays would expect to reduce the impairment provision level
Costs
—
Barclays expects full year 2021 costs to be above 2020, reflecting investment in the Group’s
franchises for future including higher variable compensation and further structural cost
��
returnsactions, with a real estate review expected to be concluded in the coming months. COVID -19
related expenses are also expected to remain in 2021
Capital
—
Barclays remains in a strong capital position, although certain headwinds are likely in 2021,
including the expected reversal of software amortisation benefit applied in 2020 and scheduled
pension deficit reduction contributions
Targets
Barclays continues to target the following over the medium term:
—
Returns: RoTE of greater than 10% over time
—
Cost efficiency: Cost: income ratio below 60% over time
—
Capital adequacy: CET1 ratio in the range of 13-14%
Performance Highlights
Barclays PLC
6
Barclays Group results
for the three months ended
31.03.21
31.03.20
£m
£m
% Change
Net interest income
1,851
2,331
(21)
Net fee, commission and other income
4,049
3,952
2
Total income
5,900
6,283
(6)
Credit impairment charges
(55)
(2,115)
97
Net operating income
5,845
4,168
40
Operating expenses
(3,545)
(3,253)
(9)
Litigation and conduct
(33)
(10)
Total operating expenses
(3,578)
(3,263)
(10)
Other net income
132
8
Profit before tax
2,399
913
Tax charge
(496)
(71)
Profit after tax
1,903
842
Non-controlling interests
(4)
(16)
75
Other equity instrument holders
(195)
(221)
12
Attributable profit
1,704
605
Performance measures
Return on average shareholders' equity
12.5%
4.4%
Return on average tangible shareholders' equity
14.7%
5.1%
Average shareholders' equity (£bn)
Average tangible shareholders' equity (£bn)
Cost: income ratio
61%
52%
Loan loss rate (bps)
6
223
Basic earnings per share
9.9p
3.5p
As at 31.03.21
As at 31.12.20
As at 31.03.20
Balance sheet and capital management
1
£bn
£bn
£bn
Loans and advances at amortised cost
345.8
342.6
374.1
Loans and advances at amortised cost impairment coverage ratio
2.2%
2.4%
2.1%
Deposits at amortised cost
498.8
481.0
470.7
Net asset value per share
312p
315p
332p
Tangible net asset value per share
267p
269p
284p
Common equity tier 1 ratio
14.6%
15.1%
13.1%
Common equity tier 1 capital
45.9
46.3
42.5
Risk weighted assets
313.4
306.2
325.6
Average UK leverage ratio
4.9%
5.0%
4.5%
UK leverage ratio
5.0%
5.3%
4.5%
Funding and liquidity
Group liquidity pool (£bn)
290
266
237
Liquidity coverage ratio
161%
162%
155%
Loan: deposit ratio
69%
71%
79%
1
Refer to pages 23 to 28 for further information on how capital, RWAs and leverage are calculated.
Group Performance Review
Barclays PLC
7
Q121 performance continued to be impacted by the COVID -19 pandemic. For comparability purposes below, Q120 income in the
consumer businesses was largely unaffected by the onset of the pandemic, while our Markets business in the CIB benefitted from
increased client activity and volatility towards the end of Q120, resulting in a very strong comparative. Impairment charges were
elevated in Q120, reflecting the outlook for the macroecon omic environment at the time.
Group performance
●
RoE was 12.5% (Q120: 4.4%), RoTE was 14.7% (Q120: 5.1%) and EPS was 9.9p (Q120: 3.5p)
●
Profit before tax was £2,399m (Q120: £913m) and attributable profit was £1,704m (Q120: £605m). The 8% depreciation of
average USD against GBP adversely impacted income and profits and positively impacted credit impairment charges and total
operating expenses
●
Pre-provision profits of £2,454m (Q120: £3,028m) was driven by headwinds in Barclays UK and CC&P, but the Group continues
to benefit from its diversified business model, which included a strong performance in CIB
●
Total income decreased to £5,900m (Q120: £6,283m). Barclays UK income decreased 8%. Barclays International income
decreased 5%, with CIB income down 1% and CC&P income down 22%
●
Credit impairment charges were £55m (Q120: £2,115m). The low credit impairment charge was driven by reduced unsecured
lending balances, no material single name wholesale loan charges and limited portfolio deterioration. The reduction in
unsecured lending balances and growth in secured balances resulted in a slight decrease in the Group’s loans and advances at
amortised cost impairment coverage ratio to 2.2% (December 2020: 2.4%) with underlying portfolio ratios broadly stable.
Management adjustments to models for impairment have been maintained at £1.2bn (December 2020: £1.4bn), including the
economic uncertainty provisions relating to the COVID -19 pandemic that were recognised over the course of 2020
●
Total operating expen ses increased 10% to £3,578m, due to higher variable compensation accruals that reflect improvement in
returns and continued investment in businesses, partially offset by efficiency savings, resulting in a cost: income ratio of 61%
(Q120: 52%). COVID -19 related expenses continued in Q121
●
The effective tax rate was 20.7% (Q120: 7.8%). The effective tax rate for Q121 was higher than Q120 which reflected the tax
benefit recognised for the re- measurement of UK deferred tax assets as a result of the UK corporati on tax rate being
maintained at 19%
●
Total assets increased to £1,380bn (December 2020: £1,350bn) primarily due to a £26bn increase in financial assets at fair value
due to an increase in secured lending, a £30bn increase in cash deposits and settlement balances, partially offset by a £32bn
decrease in derivative assets driven by an increase in major interest rate curves
●
Net asset value (NAV) per share was 312p (December 2020: 315p). Tangible net asset value (TNAV) per share decreased to
267p (December 2020: 269p) primarily reflecting negative reserve movements, partially offset by 9.9p of EPS
Barclays UK
●
Profit before tax increased 136% to £460m. RoE was 8.9% (Q120: 5.1%), RoTE was 12.0% (Q120: 6.9%) reflecting materially
lower credit impairment charges, partially offset by lower income
●
Total income decreased 8% to £1,576m. Net interest income reduced 9% to £1,281m with a net interest margin (NIM) of 2.54%
(Q120: 2.91%). Net fee, commission and other income increased 1% to £295m
–
Personal Banking income decreased 5% to £923m, reflecting deposit margin compression from lower interest rates and
lower unsecured lending balances, partially offset by balance growth in deposits and mortgages
–
Barclaycard Consumer UK income decreased 28% to £315m as reduced borrowing and spend levels by customers resulted
in a lower level of IEL balances
–
Business Banking income increased 13% to £338m due to lending and deposit balance growth from continued support for
small and medium-sized enterprises (SMEs) through £11.8bn of government scheme lending to date, partially offset by
deposit margin compression from lower intere st rates and lower transactional fee volumes
●
Credit impairment charges decreased to £77m (Q120: £481m) from reduced unsecured portfolio exposures in part driven by
lockdown measures. As at 31 March 2021, 30 and 90 day arrears rates in UK cards were 1.6% (Q120: 1.8%) and 0.8% (Q120:
0.8%) respectively
●
Total operating expenses increased 1% to £1,039m reflecting higher servicing and financial assistance costs, offset by efficiency
savings
●
Loans and advances to customers at amortised cost remained stable at £205.7bn (December 2020: £205.4bn) predominantly
from £3.6bn of mortgage growth following continued strong demand, offset by a £2.1bn decrease in the Education, Social
Housing and Local Authority (ESHLA) portfolio and £1.6bn lower unsecured lending balances
●
Customer deposits at amortised cost increased 3% to £247.5bn reflecting an increase of £6.3bn in Personal Banking, further
strengthening the liquidity position and contributing to a loan: deposit ratio of 88% (December 2020: 89%)
Group Performance Review
Barclays PLC
8
Barclays UK (continued)
●
RWAs decreased to £72.7bn (December 2020: £73.7bn) driven by a reduction in unsecured lending and ESHLA, partially offset
by growth in mortgages
Barclays International
●
Profit before tax increased 140% to £1,971m, with a RoE of 17.4% (Q120: 6.6%), reflecting a RoE of 17.9% (Q120: 12.5%) in CIB
and 14.5% (Q120: (20.7)%) in CC&P and a RoTE of 17.7% (Q120: 6.8%), reflecting a RoTE of 17.9% (Q120: 12.5%) in CIB and
16.5% (Q120: (23.5)%) in CC&P
●
The 8% depreciation of average USD against GBP adversely impacted income and profits and positively impacted credit
impairment charges and total operating expenses
●
Total income decreased to £4,399m (Q120: £4,644m)
–
CIB income decreased 1% to £3,594m
–
Markets income decreased 12% to £2,136m as Equities reported the best ever quarter on a comparable basis
1
, offset by
FICC. Equities income increased 65% to £932m driven by derivatives, reflecting strong client activity, and financing
through increased client balances. Within FICC, income decreased 35% to £1,204m as a strong performance in credit
was more than offset by a decline in macro due to tighter spreads and the non-recurrence of Q120 client activity levels
–
Banking had the best ever quarter on a comparable basis
1
, with income up 35% to £859m driven by a strong
performance in equity capital markets
reflecting an increase in the fee pool
2
–
Within Corporate, Transaction banking income decreased 12% to £393m as deposit balance growth was more than
offset by margin compression. Corporate lending income increased by 86% to £206m driven by the non- recurrence of
losses on the mark-to -market of lending and related hedge positions
–
CC&P income decreased 22% to £805m reflecting lower cards balances and reduced payments activity
●
Credit impairment charges decreased to a £22m release (Q120: £1,609m charge)
–
CIB credit impairment charge was a £43m release (Q120: £724m charge) due to no material single name wholesale loan
charges and lower exposures
–
CC&P credit impairment charges were £21m (Q120: £885m) reflecting lower unsecured lending balances, particularly in US
cards. As at 31 March 2021, 30 and 90 day arrears in US cards were 2.1% (Q120: 2.7%) and 1.2% (Q120: 1.5%) respectively
●
Total operating expenses increased 11% to £2,459m
–
CIB total operating expenses increased 12% to £1,887m due to higher variable compensation accruals that reflect
improvement in returns, partly offset by cost efficiencies and discipline in the current environment
–
CC&P total operating expenses increased 8% to £572m driven by the impact of higher investment spend and customer
remediation costs
●
RWAs increased to £230.0bn (December 2020: £222.3bn) primarily due to increased client and trading activity within CIB,
partially offset by lower CC&P balances
Head Office
●
Loss before tax was £32m (Q120: £104m)
●
Total income was an expense of £75m (Q120: £65m), which primarily reflected hedge accounting, treasury items and funding
costs on legacy capital instruments
●
Total operating expenses increased to £80m (Q120: £16m) primarily due to the non- recurrence of a provision release in Q120,
related to the previous sale of a Non-Core portfolio
●
Other net income was £123m (Q120: £2m) driven by a fair value gain in Barclays’ associate investment holding in the Business
Growth Fund (BGF)
1
Period covering Q114 – Q121. Pre 2014 financials were not restated following re-segmentation in Q116.
2
Data source: Dealogic for the period covering 1 January to 31 March 2021.
Group Performance Review
Barclays PLC
9
Group capital and leverage
●
The CET1 ratio decreased to 14.6% (December 2020: 15.1%)
– CET1 capital decreased by £0.4bn to £45.9bn as profit before tax of £2.4bn was more than offset by the removal of
temporary regulatory supporting measures introduced in 2020, the £0.7bn share buyback announced with FY20 results
and decreases in other qualifying reserves. The additional value adjustments (PVA) deduction increased by £0.4bn
reflecting the removal of increased diversification factors and IFRS 9 transitional relief decreased by £0.3bn primarily due
to the relief on the pre -2020 impairment charge reducing from 70% to 50% in 2021. The deduction for dividends paid and
foreseen increased by £1.0bn including the £0.7bn share buyback and a £0.1bn accrual towards FY21 dividends
– RWAs increased by £7.2bn to £313.4bn primarily due to increased client and trading activity within CIB, partially offset by
lower consumer lending
●
The average UK leverage ratio decreased to 4.9% (December 2020: 5.0%). The average leverage exposure increased by £28bn
to £1,175bn (December 2020: £1,147bn) largely driven by an increase in securities financing transactions (SFTs)
Group funding and liquidity
●
The liquidity pool was £290bn (December 2020: £266bn) and the liquidity coverage ratio remained significantly above the 100%
regulatory requirement at 161% (December 2020: 162%), equivalent to a surplus of £107bn (December 2020: £99bn). The
increase in the pool is driven by continued deposit growth, Term Funding Scheme with additional incentives for SMEs drawings
and a seasonal increase in short- term wholesale funding, which were partly offset by a seasonal increase in business funding
consumption
●
Wholesale funding outstanding, excluding repurchase agreements, was £157.8.bn (December 2020: £145.0bn). The Group
issued £2.7bn equivalent of minimum requirement for own funds and eligible liabilities (MREL) instruments from Barclays PLC
(the Parent company) during the year. The Group is well advanced in its MREL issuance plans relative to the estimated 1
January 2022 requirement
Other matters
●
In its Budget held in March 2021, the UK Government announced that the UK rate of corporation tax will increase from 19% to
25% from 1 April 2023 and that it will undertake a review of the additional 8% banking surcharge during 2021. The Budget
Report issued on 3 March 2021 outlines that “the government will set out how it intends to ensure that the combined rate of
tax on banks’ profits does not increase substantially from its current level”. The Group’s effect ive tax rate for FY21 may include
a tax benefit for the re-measurement of UK deferred tax assets upon substantive enactment of the increase in the rate of UK
corporation tax which is expected later in 2021. Any subsequent reduction in the banking surcharge arising from the
Government’s review may result in a tax charge upon enactment as UK deferred tax assets are again re-measured, the timing of
which is uncertain but is expected to occur in 2022
Capital distributions
●
Barclays understands the importance of delivering attractive total cash returns to shareholders. Barclays is therefore
committed to maintaining an appropriate balance between total cash returns to shareholders, investment in the business and
maintaining a strong capital position. Going forward, Barclays intends to pay a progressive ordinary dividend, taking into
account these objectives and the earnings outlook of the Group. It is also the Board’s intention to continue to supplement the
ordinary dividends with additional cash retur ns, including share buybacks, to shareholders as and when appropriate
●
For regulatory capital purposes, Barclays has accrued an ordinary dividend in Q121 of 0.75p based on a 3p dividend for the full
year. This regulatory accrual should not be used as a fore cast of future capital distributions. The Board will assess the
appropriate level and form of capital distributions as the year progresses
Tushar Morzaria, Group Finance Director
Quarterly Results Summary
Barclays PLC
10
Barclays Group
Q121
Q420
Q320
Q220
Q120
Q419
Q319
Q219
Income statement information
£m
£m
£m
£m
£m
£m
£m
£m
Net interest income
1,851
1,845
2,055
1,892
2,331
2,344
2,445
2,360
Net fee, commission and other income
4,049
3,096
3,149
3,446
3,952
2,957
3,096
3,178
Total income
5,900
4,941
5,204
5,338
6,283
5,301
5,541
5,538
Credit impairment charges
(55)
(492)
(608)
(1,623)
(2,115)
(523)
(461)
(480)
Net operating income
5,845
4,449
4,596
3,715
4,168
4,778
5,080
5,058
Operating costs
(3,545)
(3,480)
(3,391)
(3,310)
(3,253)
(3,308)
(3,293)
(3,501)
UK bank levy
-
(299)
-
-
-
(226)
-
-
Litigation and conduct
(33)
(47)
(76)
(20)
(10)
(167)
(1,568)
(53)
Total operating expenses
(3,578)
(3,826)
(3,467)
(3,330)
(3,263)
(3,701)
(4,861)
(3,554)
Other net income/(expenses)
132
23
18
(26)
8
20
27
27
Profit before tax
2,399
646
1,147
359
913
1,097
246
1,531
Tax charge
(496)
(163)
(328)
(42)
(71)
(189)
(269)
(297)
Profit/(loss) after tax
1,903
483
819
317
842
908
(23)
1,234
Non-controlling interests
(4)
(37)
(4)
(21)
(16)
(42)
(4)
(17)
Other equity instrument holders
(195)
(226)
(204)
(206)
(221)
(185)
(265)
(183)
Attributable profit/(loss)
1,704
220
611
90
605
681
(292)
1,034
Performance measures
Return on average shareholders' equity
12.5%
1.6%
4.3%
0.6%
4.4%
5.0%
(2.1%)
7.6%
Return on average tangible shareholders' equity
14.7%
1.8%
5.1%
0.7%
5.1%
5.9%
(2.4%)
9.0%
Average shareholders' equity (£bn)
54.4
55.7
56.4
58.4
55.2
54.5
56.4
54.0
Average tangible shareholders' equity (£bn)
46.5
47.6
48.3
50.2
47.0
46.4
48.4
46.2
Cost: income ratio
61%
77%
67%
62%
52%
70%
88%
64%
Loan loss rate (bps)
6
56
69
179
223
60
52
56
Basic earnings/(loss) per share
9.9p
1.3p
3.5p
0.5p
3.5p
3.9p
(1.7p)
6.0p
Balance sheet and capital management
1
£bn
£bn
£bn
£bn
£bn
£bn
£bn
£bn
Loans and advances at amortised cost
345.8
342.6
344.4
354.9
374.1
339.1
345.1
339.3
Loans and advances at amortised cost impairment
coverage ratio
2.2%
2.4%
2.5%
2.5%
2.1%
1.8%
1.9%
1.9%
Total assets
1,379.7
1,349.5
1,421.7
1,385.1
1,444.3
1,140.2
1,290.4
1,232.8
Deposits at amortised cost
498.8
481.0
494.6
466.9
470.7
415.8
420.6
413.6
Net asset value per share
312p
315p
322p
331p
332p
309p
320p
322p
Tangible net asset value per share
267p
269p
275p
284p
284p
262p
274p
275p
Common equity tier 1 ratio
14.6%
15.1%
14.6%
14.2%
13.1%
13.8%
13.4%
13.4%
Common equity tier 1 capital
45.9
46.3
45.5
45.4
42.5
40.8
41.9
42.9
Risk weighted assets
313.4
306.2
310.7
319.0
325.6
295.1
313.3
319.1
Average UK leverage ratio
4.9%
5.0%
5.1%
4.7%
4.5%
4.5%
4.6%
4.7%
Average UK leverage exposure
1,174.9
1,146.9
1,111.1
1,148.7
1,176.2
1,142.8
1,171.2
1,134.6
UK leverage ratio
5.0%
5.3%
5.2%
5.2%
4.5%
5.1%
4.8%
5.1%
UK leverage exposure
1,145.4
1,090.9
1,095.1
1,071.1
1,178.7
1,007.7
1,099.8
1,079.4
Funding and liquidity
Group liquidity pool (£bn)
290
266
327
298
237
211
226
238
Liquidity coverage ratio
161%
162%
181%
186%
155%
160%
151%
156%
Loan: deposit ratio
69%
71%
70%
76%
79%
82%
82%
82%
1
Refer to pages 23 to 28 for further information on how capital, RWAs and leverage are calculated.
Quarterly Results by Business
Barclays PLC
11
Barclays UK
Q121
Q420
Q320
Q220
Q120
Q419
Q319
Q219
Income statement information
£m
£m
£m
£m
£m
£m
£m
£m
Net interest income
1,281
1,317
1,280
1,225
1,412
1,478
1,503
1,438
Net fee, commission and other income
295
309
270
242
292
481
343
333
Total income
1,576
1,626
1,550
1,467
1,704
1,959
1,846
1,771
Credit impairment charges
(77)
(170)
(233)
(583)
(481)
(190)
(101)
(230)
Net operating income
1,499
1,456
1,317
884
1,223
1,769
1,745
1,541
Operating costs
(1,036)
(1,134)
(1,095)
(1,018)
(1,023)
(1,023)
(952)
(1,022)
UK bank levy
-
(50)
-
-
-
(41)
-
-
Litigation and conduct
(3)
4
(25)
(6)
(5)
(58)
(1,480)
(41)
Total operating expenses
(1,039)
(1,180)
(1,120)
(1,024)
(1,028)
(1,122)
(2,432)
(1,063)
Other net income/(expenses)
-
6
(1)
13
-
-
-
(1)
Profit/(loss) before tax
460
282
196
(127)
195
647
(687)
477
Attributable profit/(loss)
298
160
113
(123)
175
438
(907)
328
Balance sheet information
£bn
£bn
£bn
£bn
£bn
£bn
£bn
£bn
Loans and advances to customers at amortised cost
205.7
205.4
203.9
202.0
195.7
193.7
193.2
189.1
Total assets
309.1
289.1
294.5
287.6
267.5
257.8
257.9
259.0
Customer deposits at amortised cost
247.5
240.5
232.0
225.7
207.5
205.5
203.3
200.9
Loan: deposit ratio
88%
89%
91%
92%
96%
96%
97%
97%
Risk weighted assets
72.7
73.7
76.2
77.9
77.7
74.9
76.8
76.2
Performance measures
Return on average allocated equity
8.9%
4.8%
3.3%
(3.6%)
5.1%
12.7%
(26.1%)
9.5%
Return on average allocated tangible equity
12.0%
6.5%
4.5%
(4.8%)
6.9%
17.0%
(34.9%)
12.7%
Average allocated equity (£bn)
13.5
13.4
13.7
13.9
13.7
13.8
13.9
13.8
Average allocated tangible equity (£bn)
9.9
9.8
10.1
10.3
10.1
10.3
10.4
10.3
Cost: income ratio
66%
73%
72%
70%
60%
57%
132%
60%
Loan loss rate (bps)
14
31
43
111
96
38
20
47
Net interest margin
2.54%
2.56%
2.51%
2.48%
2.91%
3.03%
3.10%
3.05%
Quarterly Results by Business
Barclays PLC
12
Analysis of Barclays UK
Q121
Q420
Q320
Q220
Q120
Q419
Q319
Q219
Analysis of total income
£m
£m
£m
£m
£m
£m
£m
£m
Personal Banking
923
895
833
826
968
1,064
1,035
946
Barclaycard Consumer UK
315
354
362
367
436
533
472
497
Business Banking
338
377
355
274
300
362
339
328
Total income
1,576
1,626
1,550
1,467
1,704
1,959
1,846
1,771
Analysis of credit impairment charges
Personal Banking
(22)
(68)
(48)
(130)
(134)
(71)
(36)
(36)
Barclaycard Consumer UK
(36)
(78)
(106)
(396)
(301)
(108)
(49)
(175)
Business Banking
(19)
(24)
(79)
(57)
(46)
(11)
(16)
(19)
Total credit impairment charges
(77)
(170)
(233)
(583)
(481)
(190)
(101)
(230)
Analysis of loans and advances to customers at
amortised cost
£bn
£bn
£bn
£bn
£bn
£bn
£bn
£bn
Personal Banking
160.4
157.3
155.7
154.9
153.4
151.9
150.1
147.3
Barclaycard Consumer UK
8.7
9.9
10.7
11.5
13.6
14.7
14.9
15.1
Business Banking
36.6
38.2
37.5
35.6
28.7
27.1
28.2
26.7
Total loans and advances to customers at
amortised cost
205.7
205.4
203.9
202.0
195.7
193.7
193.2
189.1
Analysis of customer deposits at amortised cost
Personal Banking
186.0
179.7
173.2
169.6
161.4
159.2
157.9
156.3
Barclaycard Consumer UK
0.1
0.1
0.1
0.1
-
-
-
-
Business Banking
61.4
60.7
58.7
56.0
46.1
46.3
45.4
44.6
Total customer deposits at amortised cost
247.5
240.5
232.0
225.7
207.5
205.5
203.3
200.9
Quarterly Results by Business
Barclays PLC
13
Barclays International
Q121
Q420
Q320
Q220
Q120
Q419
Q319
Q219
Income statement information
£m
£m
£m
£m
£m
£m
£m
£m
Net interest income
748
614
823
847
998
965
1,059
1,017
Net trading income
1,934
1,372
1,528
1,660
2,360
929
1,110
1,016
Net fee, commission and other income
1,717
1,500
1,430
1,503
1,286
1,558
1,581
1,870
Total income
4,399
3,486
3,781
4,010
4,644
3,452
3,750
3,903
Credit impairment releases/(charges)
22
(291)
(370)
(1,010)
(1,609)
(329)
(352)
(247)
Net operating income
4,421
3,195
3,411
3,000
3,035
3,123
3,398
3,656
Operating costs
(2,438)
(2,133)
(2,227)
(2,186)
(2,219)
(2,240)
(2,282)
(2,435)
UK bank levy
-
(240)
-
-
-
(174)
-
-
Litigation and conduct
(21)
(9)
(28)
(11)
-
(86)
-
(11)
Total operating expenses
(2,459)
(2,382)
(2,255)
(2,197)
(2,219)
(2,500)
(2,282)
(2,446)
Other net income
9
9
9
4
6
17
21
13
Profit before tax
1,971
822
1,165
807
822
640
1,137
1,223
Attributable profit
1,431
441
782
468
529
397
799
832
Balance sheet information
£bn
£bn
£bn
£bn
£bn
£bn
£bn
£bn
Loans and advances at amortised cost
123.5
122.7
128.0
138.1
167.0
132.8
138.1
134.8
Trading portfolio assets
131.1
127.7
122.3
109.5
101.6
113.3
119.4
120.0
Derivative financial instrument assets
269.4
301.8
295.9
306.8
341.5
228.9
286.0
243.8
Financial assets at fair value through the income statement
197.5
170.7
178.2
154.3
188.4
128.4
158.0
154.7
Cash collateral and settlement balances
109.7
97.5
121.8
130.8
153.2
79.4
112.5
101.3
Other assets
221.7
221.4
261.7
236.3
201.5
178.6
195.6
196.8
Total assets
1,052.9
1,041.8
1,107.9
1,075.8
1,153.2
861.4
1,009.6
951.4
Deposits at amortised cost
251.2
240.5
262.4
241.2
263.3
210.0
217.6
212.0
Derivative financial instrument liabilities
260.2
300.4
293.3
307.6
338.8
228.9
283.3
243.0
Loan: deposit ratio
49%
51%
49%
57%
63%
63%
63%
64%
Risk weighted assets
230.0
222.3
224.7
231.2
237.9
209.2
223.1
214.8
Performance measures
Return on average allocated equity
17.4%
5.7%
10.0%
5.5%
6.6%
5.0%
9.6%
10.3%
Return on average allocated tangible equity
17.7%
5.8%
10.2%
5.6%
6.8%
5.1%
9.9%
10.7%
Average allocated equity (£bn)
32.8
31.1
31.2
34.2
31.9
31.9
33.3
32.1
Average allocated tangible equity (£bn)
32.3
30.5
30.6
33.5
31.2
30.9
32.2
31.1
Cost: income ratio
56%
68%
60%
55%
48%
72%
61%
63%
Loan loss rate (bps)
(7)
90
112
284
377
96
99
72
Net interest margin
3.92%
3.41%
3.79%
3.43%
3.93%
4.29%
4.10%
3.91%
Quarterly Results by Business
Barclays PLC
14
Analysis of Barclays International
Corporate and Investment Bank
Q121
Q420
Q320
Q220
Q120
Q419
Q319
Q219
Income statement information
£m
£m
£m
£m
£m
£m
£m
£m
FICC
1,204
812
1,000
1,468
1,858
726
816
920
Equities
932
542
691
674
564
409
494
517
Markets
2,136
1,354
1,691
2,142
2,422
1,135
1,310
1,437
Advisory
163
232
90
84
155
202
221
221
Equity capital markets
243
104
122
185
62
56
86
104
Debt capital markets
453
418
398
463
418
322
381
373
Banking fees
859
754
610
732
635
580
688
698
Corporate lending
206
186
232
61
111
202
195
216
Transaction banking
393
344
372
381
449
397
424
444
Corporate
599
530
604
442
560
599
619
660
Total income
1
3,594
2,638
2,905
3,316
3,617
2,314
2,617
2,795
Credit impairment releases/(charges)
43
(52)
(187)
(596)
(724)
(30)
(31)
(44)
Net operating income
3,637
2,586
2,718
2,720
2,893
2,284
2,586
2,751
Operating costs
(1,886)
(1,603)
(1,716)
(1,680)
(1,690)
(1,691)
(1,712)
(1,860)
UK bank levy
-
(226)
-
-
-
(156)
-
-
Litigation and conduct
(1)
2
(3)
(3)
-
(79)
(4)
(7)
Total operating expenses
(1,887)
(1,827)
(1,719)
(1,683)
(1,690)
(1,926)
(1,716)
(1,867)
Other net income
1
2
1
3
-
1
12
3
Profit before tax
1,751
761
1,000
1,040
1,203
359
882
887
Attributable profit
1,263
413
627
694
820
193
609
596
Balance sheet information
£bn
£bn
£bn
£bn
£bn
£bn
£bn
£bn
Loans and advances at amortised cost
94.3
92.4
96.8
104.9
128.2
92.0
95.8
92.1
Trading portfolio assets
130.9
127.5
122.2
109.3
101.5
113.3
119.3
119.9
Derivative financial instruments assets
269.4
301.7
295.9
306.7
341.4
228.8
286.0
243.7
Financial assets at fair value through the income
statement
197.3
170.4
177.9
153.7
187.8
127.7
157.3
154.1
Cash collateral and settlement balances
108.8
96.7
121.0
129.7
152.2
78.5
111.6
100.4
Other assets
190.8
194.9
228.9
205.5
171.4
155.3
171.5
168.1
Total assets
991.5
983.6
1,042.7
1,009.8
1,082.5
795.6
941.5
878.3
Deposits at amortised cost
185.2
175.2
195.6
173.9
198.4
146.2
152.1
145.4
Derivative financial instrument liabilities
260.2
300.3
293.2
307.6
338.7
228.9
283.2
242.9
Risk weighted assets
201.3
192.2
193.3
198.3
201.7
171.5
184.9
175.9
Performance measures
Return on average allocated equity
17.9%
6.3%
9.5%
9.5%
12.5%
3.0%
9.1%
9.2%
Return on average allocated tangible equity
17.9%
6.3%
9.5%
9.6%
12.5%
3.0%
9.1%
9.2%
Average allocated equity (£bn)
28.2
26.3
26.4
29.1
26.2
25.9
26.9
25.8
Average allocated tangible equity (£bn)
28.2
26.3
26.4
29.0
26.2
25.8
26.9
25.8
Cost: income ratio
53%
69%
59%
51%
47%
83%
66%
67%
1
From Q121, a change in the allocation of the net impact of treasury operations to businesses has been made to reflect changes in the business balance sheets.
Quarterly Results by Business
Barclays PLC
15
Analysis of Barclays International
Consumer, Cards and Payments
Q121
Q420
Q320
Q220
Q120
Q419
Q319
Q219
Income statement information
£m
£m
£m
£m
£m
£m
£m
£m
Net interest income
478
504
518
513
663
717
720
720
Net fee, commission, trading and other income
327
344
358
181
364
421
413
388
Total income
805
848
876
694
1,027
1,138
1,133
1,108
Credit impairment charges
(21)
(239)
(183)
(414)
(885)
(299)
(321)
(203)
Net operating income
784
609
693
280
142
839
812
905
Operating costs
(552)
(530)
(511)
(506)
(529)
(549)
(570)
(575)
UK bank levy
-
(14)
-
-
-
(18)
-
-
Litigation and conduct
(20)
(11)
(25)
(8)
-
(7)
4
(4)
Total operating expenses
(572)
(555)
(536)
(514)
(529)
(574)
(566)
(579)
Other net income
8
7
8
1
6
16
9
10
Profit/(loss) before tax
220
61
165
(233)
(381)
281
255
336
Attributable profit/(loss)
168
28
155
(226)
(291)
204
190
236
Balance sheet information
£bn
£bn
£bn
£bn
£bn
£bn
£bn
£bn
Loans and advances at amortised cost
29.2
30.3
31.2
33.2
38.8
40.8
42.3
42.7
Total assets
61.4
58.2
65.2
66.0
70.7
65.8
68.1
73.1
Deposits at amortised cost
66.0
65.3
66.8
67.3
64.9
63.8
65.5
66.6
Risk weighted assets
28.8
30.1
31.4
32.9
36.2
37.7
38.2
38.9
Performance measures
Return on average allocated equity
14.5%
2.4%
12.9%
(17.7%)
(20.7%)
13.6%
11.8%
14.9%
Return on average allocated tangible equity
16.5%
2.7%
14.7%
(20.2%)
(23.5%)
15.9%
14.2%
17.8%
Average allocated equity (£bn)
4.6
4.8
4.8
5.1
5.7
6.0
6.4
6.3
Average allocated tangible equity (£bn)
4.1
4.2
4.2
4.5
5.0
5.1
5.3
5.3
Cost: income ratio
71%
65%
61%
74%
52%
50%
50%
52%
Loan loss rate (bps)
27
286
211
455
846
273
283
180
Quarterly Results by Business
Barclays PLC
16
Head Office
Q121
Q420
Q320
Q220
Q120
Q419
Q319
Q219
Income statement information
£m
£m
£m
£m
£m
£m
£m
£m
Net interest income
(178)
(86)
(48)
(180)
(79)
(99)
(117)
(95)
Net fee, commission and other income
103
(85)
(79)
41
14
(11)
62
(41)
Total income
(75)
(171)
(127)
(139)
(65)
(110)
(55)
(136)
Credit impairment charges
-
(31)
(5)
(30)
(25)
(4)
(8)
(3)
Net operating expenses
(75)
(202)
(132)
(169)
(90)
(114)
(63)
(139)
Operating costs
(71)
(213)
(69)
(106)
(11)
(45)
(59)
(44)
UK bank levy
-
(9)
-
-
-
(11)
-
-
Litigation and conduct
(9)
(42)
(23)
(3)
(5)
(23)
(88)
(1)
Total operating expenses
(80)
(264)
(92)
(109)
(16)
(79)
(147)
(45)
Other net income/(expenses)
123
8
10
(43)
2
3
6
15
Loss before tax
(32)
(458)
(214)
(321)
(104)
(190)
(204)
(169)
Attributable loss
(25)
(381)
(284)
(255)
(99)
(154)
(184)
(126)
Balance sheet information
£bn
£bn
£bn
£bn
£bn
£bn
£bn
£bn
Total assets
17.7
18.6
19.3
21.7
23.6
21.0
22.9
22.4
Risk weighted assets
10.7
10.2
9.8
9.9
10.0
11.0
13.4
28.1
Performance measures
Average allocated equity (£bn)
8.1
11.2
11.5
10.3
9.6
8.8
9.2
8.1
Average allocated tangible equity (£bn)
4.3
7.3
7.6
6.4
5.6
5.2
5.8
4.8
Performance Management
Barclays PLC
17
Margins and balances
Three months ended 31.03.21
Three months ended 31.03.20
Net interest
income
Average
customer
assets
Net interest
margin
Net interest
income
Average
customer
assets
Net interest
margin
£m
£m
%
£m
£m
%
Barclays UK
1,281
204,663
1,412
195,204
Barclays International
1,2
755
78,230
980
100,171
Total Barclays UK and Barclays International
2,036
282,893
2,392
295,375
Other
3
(185)
(61)
Total Barclays Group
1,851
2,331
1
Barclays International margins include IEL balances within the investment banking business.
2
Barclays amended the presentation of the premium paid for purchased financial guarantees which are embedded in notes it issues directly to the market in Q420
from net investment income to interest expense within net interest income. Had the equivalent Q120 interest expense been recognised in net interest income, the
Barclays International and Total Barclays UK and Barclays International NIMs would have been 3.84% and 3.22% respectively.
3
Other includes Head Office and non-lending related investment banking businesses not included in Barclays International margins.
The Group’s combined product and equity structural hedge notional as at 31 March 2021 was £192bn, with an average duration of
2.5 to 3 years. Group net interest income includes gross structural hedge contributions of £0.3bn (Q120: £0.4bn) and net struct ural
hedge contributions of £0.3bn (Q120: £0.2bn). Gross structural hedge contributions represent the absolute level of interest earned
from the fixed receipts on the basket of swaps in the structural hedge, while the net structural hedge contributions represent the
net interest earned on the difference between the structural hedge rate and prevailing floating rates
.
Quarterly analysis for Barclays UK and Barclays International
Net interest
income
Average
customer
assets
Net interest
margin
Three months ended 31.12.20
£m
£m
%
Barclays UK
Barclays International
1,2
Total Barclays UK and Barclays International
Three months ended 30.09.20
Barclays UK
Barclays International
1,2
Total Barclays UK and Barclays International
Three months ended 30.06.20
Barclays UK
1,225
199,039
2.48
Barclays International
1,2
868
101,706
3.43
Total Barclays UK and Barclays International
2,093
300,745
2.80
1
Barclays International margins include IEL balances within the investment banking business.
2
The reclassification of expense of the premium paid for purchased financial guarantees from net investment income to net interest income was recognised in full in
Q420 and resulted in a 0.48% reduction on the Q420 Barclays Inte rnational NIM and 0.14% reduction on the Q420 Total Barclays UK and Barclays International NIM.
Had the equivalent impact been reflected in the respective quarters, the Barclays International NIM would have been 3.33% in Q220, 3.68% in Q320 and 3.77% in
Q420. Total Barclays UK and Barclays International NIMs would have been 2.77% in Q220, 2.86% in Q320 and 2.91% in Q420 respectively.
Credit Risk
Barclays PLC
18
Loans and advances at amortised cost by stage
The table below presents an analysis of loans and advances at amortised cost by gross exposure, impairment allowance,
impairment charge and coverage ratio by stage allocation and business segment as at 31 March 2021. Also included are off -balance
sheet loan commitments and financial guarantee contracts by gross exposure, impairment allowance and coverage ratio by stage
allocation as at 31 March 2021.
Impairment allowance under IFRS 9 considers both the drawn and the undrawn counterparty exposure. For retail portfolios, the
total impairment allowance is allocated to the drawn exposure to the extent that the allowance does not exceed the exposure, as
expected credit loss (ECL) is not reported separately. Any excess is reported on the liability side of the balance sheet as a provision.
For wholesale portfolios, the impairment allowance on the undrawn exposure is reported on the liability side of the balance sheet
as a provision.
Gross exposure
Impairment allowance
Net
exposure
Stage 1
Stage 2
Stage 3
Total
Stage 1
Stage 2
Stage 3
Total
As at 31.03.21
£m
£m
£m
£m
£m
£m
£m
£m
£m
Barclays UK
155,477
24,114
2,833
182,424
308
1,422
1,089
2,819
179,605
Barclays International
19,955
5,219
1,858
27,032
364
1,198
1,101
2,663
24,369
Head Office
4,011
565
778
5,354
4
45
358
407
4,947
Total Barclays Group retail
179,443
29,898
5,469
214,810
676
2,665
2,548
5,889
208,921
Barclays UK
32,208
4,092
1,088
37,388
11
135
102
248
37,140
Barclays International
84,199
14,855
1,779
100,833
316
508
835
1,659
99,174
Head Office
542
32
574
31
31
543
Total Barclays Group
wholesale
1
116,949
18,947
2,899
138,795
327
643
968
1,938
136,857
Total loans and advances at
amortised cost
296,392
48,845
8,368
353,605
1,003
3,308
3,516
7,827
345,778
Off-balance sheet loan
commitments and financial
guarantee contracts
2
298,695
50,618
787
350,100
228
731
43
1,002
349,098
Total
3
595,087
99,463
9,155
703,705
1,231
4,039
3,559
8,829
694,876
As at 31.03.21
Three months ended 31.03.21
Coverage ratio
Loan impairment charge and loan loss rate
4
Stage 1
Stage 2
Stage 3
Total
Loan impairment
charge
Loan loss rate
%
%
%
%
£m
bps
Barclays UK
0.2
5.9
38.4
1.5
28
6
Barclays International
1.8
23.0
59.3
9.9
20
30
Head Office
0.1
8.0
46.0
7.6
(1)
-
Total Barclays Group retail
0.4
8.9
46.6
2.7
47
9
Barclays UK
-
3.3
9.4
0.7
14
15
Barclays International
0.4
3.4
46.9
1.6
55
22
Head Office
-
-
96.9
5.4
1
71
Total Barclays Group
wholesale
1
0.3
3.4
33.4
1.4
70
20
Total loans and advances at
amortised cost
0.3
6.8
42.0
2.2
117
13
Off-balance sheet loan
commitments and financial
guarantee contracts
2
0.1
1.4
5.5
0.3
(57)
Other financial assets subject
to impairment
3
(5)
Total
4
0.2
4.1
38.9
1.3
55
1
Includes Wealth and Private Banking exposures measured on an individual customer exposure basis, and excludes Business Banking exposures that are managed on
a collective basis. The net impact is a difference in total exposure of £8,133m of balances reported as wholesale loans on page 20 in the Loans and advances at
amortised cost by product disclosure.
2
Excludes loan commitments and financial guarantees of £18.9bn carried at fair value.
3
Other financial assets subject to impairment not included in the table above include cash collateral and settlement balances, financial assets at fair value through
other comprehensive income and other assets. These have a total gross exposure of £188.1bn and impairment allowance of £130m. This comprises £19m ECL on
£186.3bn stage 1 assets, £3m on £1.7bn stage 2 fair value through other comprehensive income assets, other assets, cash collatera l and settlement balances and
£108m on £113m stage 3 other assets.
4
Q121 loan impairment charge represents three months of impairment charge, annualised to calculate the loan loss rate. The loan loss rate is 6bps after applying the
total impairment charge of £55m.
Credit Risk
Barclays PLC
19
Gross exposure
Impairment allowance
Net
exposure
Stage 1
Stage 2
Stage 3
Total
Stage 1
Stage 2
Stage 3
Total
As at 31.12.20
£m
£m
£m
£m
£m
£m
£m
£m
£m
Barclays UK
153,250
23,896
2,732
179,878
332
1,509
1,147
2,988
176,890
Barclays International
1
21,048
5,500
1,992
28,540
396
1,329
1,205
2,930
25,610
Head Office
4,267
720
844
5,831
4
51
380
435
5,396
Total Barclays Group retail
178,565
30,116
5,568
214,249
732
2,889
2,732
6,353
207,896
Barclays UK
31,918
4,325
1,126
37,369
13
129
116
258
37,111
Barclays International
1
79,911
16,565
2,270
98,746
288
546
859
1,693
97,053
Head Office
570
33
603
31
31
572
Total Barclays Group
wholesale
2
112,399
20,890
3,429
136,718
301
675
1,006
1,982
134,736
Total loans and advances at
amortised cost
290,964
51,006
8,997
350,967
1,033
3,564
3,738
8,335
342,632
Off-balance sheet loan
commitments and financial
guarantee contracts
3
289,939
52,891
2,330
345,160
256
758
50
1,064
344,096
Total
4
580,903
103,897
11,327
696,127
1,289
4,322
3,788
9,399
686,728
As at 31.12.20
Year ended 31.12.20
Coverage ratio
Loan impairment charge and loan loss rate
4
Stage 1
Stage 2
Stage 3
Total
Loan impairment
charge
Loan loss rate
%
%
%
%
£m
bps
Barclays UK
0.2
6.3
42.0
1.7
1,070
59
Barclays International
1
1.9
24.2
60.5
10.3
1,680
589
Head Office
0.1
7.1
45.0
7.5
91
156
Total Barclays Group retail
0.4
9.6
49.1
3.0
2,841
133
Barclays UK
-
3.0
10.3
0.7
154
41
Barclays International
1
0.4
3.3
37.8
1.7
914
93
Head Office
-
-
93.9
5.1
Total Barclays Group
wholesale
2
0.3
3.2
29.3
1.4
1,068
78
Total loans and advances at
amortised cost
0.4
7.0
41.5
2.4
3,909
111
Off-balance sheet loan
commitments and financial
guarantee contracts
3
0.1
1.4
2.1
0.3
776
Other financial assets subject
to impairment
4
153
Total
5
0.2
4.2
33.4
1.4
4,838
1
Private Banking have refined the methodology to classify
£5bn of
their exposure between Wholesale and Retail during the year.
2
Includes Wealth and Private Banking exposures measured on an individual customer exposure basis, and excludes Business Banking exposures that are managed on
a collective basis. The net impact is a difference in total exposure of £7,551m of balances reporte d as wholesale loans on page 20 in the Loans and advances at
amortised cost by product disclosure.
3
Excludes loan commitments and financial guarantees of £9.5bn carried at fair value.
4
Other financial assets subject to impairment not included in the table above include cash collateral and settlement balances, financial assets at fair value through
other comprehensive income and other assets. These have a total gross exposure of £180.3bn and impairment allowance of £165m. This comprises £11m ECL on
£175.7bn stage 1 assets, £9m on £4.4bn stage 2 fair value through other comprehensive income assets, other assets, cash collateral and settlement balances and
£145m on £154m stage 3 other assets.
5
The loan loss rate is 138bps after applying the total impairment charge of £4,838m.
Credit Risk
Barclays PLC
20
Loans and advances at amortised cost by product
The table below presents a breakdown of loans and advances at amortised cost and the impairment allowance with stage
allocation by asset classification.
Stage 2
As at 31.03.21
Stage 1
Not past
due
<=30 days
past due
>30 days
past due
Total
Stage 3
Total
Gross exposure
£m
£m
£m
£m
£m
£m
£m
Home loans
141,273
16,919
1,960
1,059
19,938
2,229
163,440
Credit cards, unsecured loans and other retail lending
30,797
8,785
344
289
9,418
3,022
43,237
Wholesale loans
124,322
18,959
329
201
19,489
3,117
146,928
Total
296,392
44,663
2,633
1,549
48,845
8,368
353,605
Impairment allowance
Home loans
34
55
13
11
79
397
510
Credit cards, unsecured loans and other retail lending
624
2,228
144
177
2,549
2,091
5,264
Wholesale loans
345
672
5
3
680
1,028
2,053
Total
1,003
2,955
162
191
3,308
3,516
7,827
Net exposure
Home loans
141,239
16,864
1,947
1,048
19,859
1,832
162,930
Credit cards, unsecured loans and other retail lending
30,173
6,557
200
112
6,869
931
37,973
Wholesale loans
123,977
18,287
324
198
18,809
2,089
144,875
Total
295,389
41,708
2,471
1,358
45,537
4,852
345,778
Coverage ratio
%
%
%
%
%
%
%
Home loans
-
0.3
0.7
1.0
0.4
17.8
0.3
Credit cards, unsecured loans and other retail lending
2.0
25.4
41.9
61.2
27.1
69.2
12.2
Wholesale loans
0.3
3.5
1.5
1.5
3.5
33.0
1.4
Total
0.3
6.6
6.2
12.3
6.8
42.0
2.2
As at 31.12.20
Gross exposure
£m
£m
£m
£m
£m
£m
£m
Home loans
138,639
16,651
1,785
876
19,312
2,234
160,185
Credit cards, unsecured loans and other retail lending
33,021
9,470
544
306
10,320
3,172
46,513
Wholesale loans
119,304
19,501
1,097
776
21,374
3,591
144,269
Total
290,964
45,622
3,426
1,958
51,006
8,997
350,967
Impairment allowance
Home loans
33
57
13
14
84
421
538
Credit cards, unsecured loans and other retail lending
680
2,382
180
207
2,769
2,251
5,700
Wholesale loans
320
650
50
11
711
1,066
2,097
Total
1,033
3,089
243
232
3,564
3,738
8,335
Net exposure
Home loans
138,606
16,594
1,772
862
19,228
1,813
159,647
Credit cards, unsecured loans and other retail lending
32,341
7,088
364
99
7,551
921
40,813
Wholesale loans
118,984
18,851
1,047
765
20,663
2,525
142,172
Total
289,931
42,533
3,183
1,726
47,442
5,259
342,632
Coverage ratio
%
%
%
%
%
%
%
Home loans
-
0.3
0.7
1.6
0.4
18.8
0.3
Credit cards, unsecured loans and other retail lending
2.1
25.2
33.1
67.6
26.8
71.0
12.3
Wholesale loans
0.3
3.3
4.6
1.4
3.3
29.7
1.5
Total
0.4
6.8
7.1
11.8
7.0
41.5
2.4
Credit Risk
Barclays PLC
21
Measurement uncertainty
During the latter part of Q121, macroeconomic indicators became more positive than at Q420, particularly in the UK with improved
economic growth and lower unemployment consensus forecasts in response to the UK Budget announcement on 3 March 2021
and the progress of the COVID -19 vaccine roll out programme. In the US, new government stimulus was announced in March 2021,
including a $1.9trn Rescue Plan, and a COVID -19 vaccine programme well underway. However, global economic uncertainty
remains high as the COVID -19 pandemic continues to evolve and practical challenges remain in inoculation programmes.
In response to the changing economic environment, key baseline macroeconomic indicators were refreshed at Q121. However,
because the macroeconomic outlook remains uncertain and has only recently shown improvement, the impact from these
consensus updates has not been reflected in the Q121 ECL provision level. This has been based on the more conservative
macroeconomic indicators of the Q420 ECL scenarios, rolled forward by on e quarter, and updated to reflect changes in balances
and individually assessed impaired names during the quarter. If these favourable macroeconomic indicators persist, an adjustment
will be made to the provision level.
Sensitivity analysis has been com pleted to estimate the impact of applying the refreshed Q121 baseline to material portfolios. This
high-level analysis indicated that, all other things being equal, this change in key macroeconomic variables would result in a
reduction to the modelled ECL stock of c£0.5bn from the material portfolios, should positive macroeconomic indicators persist. The
macroeconomic variables used in the sensitivity analysis are disclosed on the following page.
Management adjustments to models for impairment
The real economic impact of the COVID -19 pandemic may only become clear once support measures put in place by governments
begin to fall away. Government support schemes are currently scheduled to run until cQ321 in the major jurisdictions in which
Barclays operates . In addition to the above ECL model sensitivity for which no adjustment has been made, management
adjustments to models for impairment were retained and amounted to £1,223m (Q420: £1,388m). These included economic
uncertainty adjustments recognised at year end 2020 which addressed the temporary nature of ongoing government support, the
uncertainty in relation to the timing of stress and the range of economic uncertainty.
The tables below show the primary consensus macroeconomic variables in the Q121 Baseline scenario and the probability weights
applied to each rolled forward scenario.
Credit Risk
Barclays PLC
22
Baseline average macroeconomic variables used in the calculation of ECL
The calculation of ECL was based on the Q420 macroeconomic variables rolled forward by one quarter.
2021
2022
2023
As at 31.03.21
%
UK GDP
1
3.3
3.4
2.9
UK unemployment
2
6.0
6.6
6.0
UK HPI
3
2.4
2.3
4.2
UK bank rate
0.1
(0.1)
-
US GDP
1
1.9
3.2
2.9
US unemployment
4
7.3
5.8
5.6
US HPI
5
2.4
4.2
4.7
US federal funds rate
0.3
0.3
0.3
2021
2022
2023
As at 31.12.20
%
UK GDP
1
6.3
3.3
2.6
UK unemployment
2
6.7
6.4
5.8
UK HPI
3
2.4
2.3
5.0
UK bank rate
-
(0.1)
-
US GDP
1
3.9
3.1
2.9
US unemployment
4
6.9
5.7
5.6
US HPI
5
2.8
4.7
4.7
US federal funds rate
0.3
0.3
0.3
Baseline average macroeconomic variables refreshed for sensitivity analysis
Sensitivity analysis was performed by considering a refreshed Q121 baseline scenario relative to the rolled forward baseline
scenario against material portfolios, using the macro economic variables in the table below.
2021
2022
2023
As at 31.03.21
%
UK GDP
1
5.0
5.7
2.3
UK unemployment
2
5.8
5.6
5.1
UK HPI
3
(0.5)
0.3
3.6
UK bank rate
0.1
0.3
0.4
US GDP
1
5.5
3.8
1.6
US unemployment
4
5.7
4.5
4.5
US HPI
5
3.9
3.5
3.5
US federal funds rate
0.3
0.3
0.7
1 Average Real GDP seasonally adjusted change in year.
2 Average UK unemployment rate 16-year+.
3 Change in year-end UK HPI = Halifax All Houses, All Buyers index, relative to prior year end.
4 Average US civilian unemployment rate 16-year+.
5 Change in year-end US HPI = FHFA house price index, relative to prior year end.
Scenario probability weighting
Upside 2
Upside 1
Baseline
Downside 1
Downside 2
As at 31.03.21
Scenario probability weighting
20.2
24.2
24.7
15.5
15.4
As at 31.12.20
Scenario probability weighting
20.2
24.2
24.7
15.5
15.4
Treasury and Capital Risk
Barclays PLC
23
Capital
The Group’s Overall Capital Requirement for CET1 is 11.1% comprising a 4.5% Pillar 1 minimum, a 2.5% Capital Conservation Buffer
(CCB), a 1.5% Global Systemically Important Institution (G-SII) buffer, a 2.6% Pillar 2A requirement and a 0.0% Countercyclical
Capital Buffer (CCyB).
The Group’s CCyB is based on the buffer rate applicable for each jurisdiction in which the Group has exposures. On 11 March 2020,
the Financial Policy Committee (FPC) set the CCyB rate for UK exposures at 0% with immediate effect. The buffer rates set by other
national authorities for non-UK exposures are not currently material. Overall, this results in a 0.0% CCyB for the Group.
The Group’s Pillar 2A requirement as per the Prudential Regulation Authority’s (PRA) Individual Capital Requirement is 4.7% of
which at least 56.25% needs to be met with CET1 capita l, equating to approximately 2.6% of RWAs. The Pillar 2A require ment is
subject to at least annual review and has been set as a nominal capital amount. This is based on a point in time assessment and the
requirement (when expressed as a proportion of RWAs) will change depending on the total RWAs at each reporting period.
Following the withdrawal of the UK from the EU, any references to CRR as amended by CRR II mean, unless otherwise specified,
CRR as amended by CRR II, as it forms part of UK law pursuant to the European Union (Withdrawal) Act 2018 and subject to the
temporary transitional powers (TTP) available to UK regulators to delay or phase-in on-shoring changes to UK regulatory
requirements arising at the end of the transition period until 31 March 2022, as at the applicable reporting date. Throughout the
TTP period, the Bank of England (BoE) and PRA are expected to review the UK legislation framework and any disclosures made by
the Group will be subject to any resulting guidance.
On 12 February 2021, the PRA launched a consultation on certain items within the Basel standards that remain to be implemented
in the UK as well as setting out proposed new PRA CRR rules. The proposals include reverting to the previous treatment of 100%
CET1 capital deduction for qualifying software assets by the end of 2021, meaning the c.40 bps benefit in the CET1 ratio is likely to
be reversed in future periods.
Treasury and Capital Risk
Barclays PLC
24
Capital ratios
1,2,3
As at
As at
31.03.21
31.12.20
CET1
14.6%
15.1%
Tier 1 (T1)
18.4%
19.0%
Total regulatory capital
21.8%
22.1%
Capital resources
£m
£m
Total equity excluding non-controlling interests per the balance sheet
65,105
65,797
Less: other equity instruments (recognised as AT1 capital)
(11,179)
(11,172)
Adjustment to retained earnings for foreseeable ordinary share dividends
(303)
(174)
Adjustment to retained earnings for foreseeable repurchase of shares
(439)
-
Adjustment to retained earnings for foreseeable other equity coupons
(42)
(30)
Other regulatory adjustments and deductions
Additional value adjustments (PVA)
(1,496)
(1,146)
Goodwill and intangible assets
(6,504)
(6,914)
Deferred tax assets that rely on future profitability excluding temporary differences
(629)
(595)
Fair value reserves related to gains or losses on cash flow hedges
(850)
(1,575)
Gains or losses on liabilities at fair value resulting from own credit
1,202
870
Defined benefit pension fund assets
(1,192)
(1,326)
Direct and indirect holdings by an institution of own CET1 instruments
(50)
(50)
Adjustment under IFRS 9 transitional arrangements
2,285
2,556
Other regulatory adjustments
(4)
55
CET1 capital
45,904
46,296
AT1 capital
Capital instruments and related share premium accounts
11,179
11,172
Qualifying AT1 capital (including minority interests) issued by subsidiaries
655
646
Other regulatory adjustments and deductions
(80)
(80)
AT1 capital
11,754
11,738
T1 capital
57,658
58,034
T2 capital
Capital instruments and related share premium accounts
8,951
7,836
Qualifying T2 capital (including minority interests) issued by subsidiaries
1,641
1,893
Credit risk adjustments (excess of impairment over expected losses)
95
57
Other regulatory adjustments and deductions
(160)
(160)
Total regulatory capital
68,185
67,660
Total RWAs
313,356
306,203
1 CET1, T1 and T2 capital, and RWAs are calculated applying the transitional arrangements of the CRR as amended by CRR II. This includes IFRS 9 transitional
arrangements and the grandfathering of CRR and CRR II non-compliant capital instruments.
2 The fully loaded CET1 ratio, as is relevant for assessing against the conversion trigger in Barclays PLC AT1 securities, was 14.0%, with £43.6bn of CET1 capital and
£312.6bn of RWAs calculated without applying the transitional arrangements of the CRR as amende d by CRR II.
3 The Group’s CET1 ratio, as is relevant for assessing against the conversion trigger in Barclays Bank PLC 7.625% Contingent Capital Notes, was 14.6%. For this
calculation CET1 capital and RWAs are calculated applying the transitional arrangem ents under the CRR as amended by CRR II, including the IFRS 9 transitional
arrangements. The benefit of the Financial Services Authority (FSA) October 2012 interpretation of the transitional provisions, relating to the implementation of CRD
IV, expired in December 2017.
Treasury and Capital Risk
Barclays PLC
25
Movement in CET1 capital
Three months
ended
31.03.21
£m
Opening CET1 capital
46,296
Profit for the period attributable to equity holders
1,899
Own credit relating to derivative liabilities
14
Ordinary share dividends paid and foreseen
(129)
Purchased and foreseeable share repurchase
(700)
Other equity coupons paid and foreseen
(207)
Increase in retained regulatory capital generated from earnings
877
Net impact of share schemes
(167)
Fair value through other comprehensive income reserve
(320)
Currency translation reserve
(478)
Other reserves
(6)
Decrease in other qualifying reserves
(971)
Pension remeasurements within reserves
(186)
Defined benefit pension fund asset deduction
134
Net impact of pensions
(52)
Additional value adjustments (PVA)
(350)
Goodwill and intangible assets
410
Deferred tax assets that rely on future profitability excluding those arising from temporary differences
(34)
Adjustment under IFRS 9 transitional arrangements
(271)
Other regulatory adjustments
(1)
Decrease in regulatory capital due to adjustments and deductions
(246)
Closing CET1 capital
45,904
CET1 capital decreased £0.4bn to £45.9bn (December 2020: £46.3bn).
£1.9bn of capital generated from profits were partially offset by £1.0bn dividends paid and foreseen including £0.7bn for the share
buyback announced with FY20 results, £0.2bn of equity coupons paid and a £0.1bn accrual towards a FY21 dividend. Other
significant movements in the period were:
●
A £0.3bn reduction in the fair value through other comprehensive income reserve driven by movements in the valuation
of the liquidity pool
●
A £0.5bn decrease in the currency translation reserves due to the depreciation of period end EUR and USD against GBP
●
A £0.4bn increase in the PVA deduction due to the removal of temporary regulatory supporting measures applied to
certain additional valuation adjustments
●
A £0.4bn decrease in the goodwill and intangible deduction reflecting new qualifying software intangibles that are subject
to risk weighting rather than deduction
●
A £0.3bn decrease in IFRS 9 transitional relief, after tax, primarily due to the amount of relief applied to the pre-2020
impairment charge reducing to 50% in 2021 from 70% in 2020
Treasury and Capital Risk
Barclays PLC
26
RWAs by risk type and business
Credit risk
Counterparty credit risk
Market risk
Operational
risk
Total
RWAs
Std
IRB
Std
IRB
Settlement
risk
CVA
Std
IMA
As at 31.03.21
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
Barclays UK
7,066
53,512
431
217
64
11,381
72,671
Corporate and Investment Bank
25,832
75,854
13,781
19,218
102
2,452
16,479
24,083
23,452
201,253
Consumer, Cards and Payments
18,621
2,875
178
41
28
59
6,949
28,751
Barclays International
44,453
78,729
13,959
19,259
102
2,480
16,479
24,142
30,401
230,004
Head Office
4,424
7,065
(808)
10,681
Barclays Group
55,943
139,306
14,390
19,259
102
2,697
16,543
24,142
40,974
313,356
As at 31.12.20
Barclays UK
7,360
54,340
394
136
72
11,359
73,661
Corporate and Investment Bank
24,660
73,792
12,047
20,280
246
2,351
13,123
22,363
23,343
192,205
Consumer, Cards and Payments
19,754
3,041
177
45
31
71
6,996
30,115
Barclays International
44,414
76,833
12,224
20,325
246
2,382
13,123
22,434
30,339
222,320
Head Office
4,153
6,869
(800)
10,222
Barclays Group
55,927
138,042
12,618
20,325
246
2,518
13,195
22,434
40,898
306,203
Movement analysis of RWAs
Credit risk
Counterparty
credit risk
Market risk
Operational
risk
Total RWAs
£m
£m
£m
£m
£m
Opening RWAs (as at 31.12.20)
193,969
35,707
35,629
40,898
306,203
Book size
2,971
691
5,056
76
8,794
Acquisitions and disposals
(59)
-
-
-
(59)
Book quality
628
213
-
-
841
Model updates
(438)
(163)
-
-
(601)
Methodology and policy
(115)
-
-
-
(115)
Foreign exchange movements
1
(1,707)
-
-
-
(1,707)
Total RWA movements
1,280
741
5,056
76
7,153
Closing RWAs (as at 31.03.21)
195,249
36,448
40,685
40,974
313,356
1
Foreign exchange movements do not include foreign exchange for counterparty credit risk or market risk.
Overall RWAs increased £7.2bn to £313.4bn (December 2020: £306.2bn). Significant movements in the period were:
Credit risk RWAs increased £1.3bn:
●
A £3.0bn increase in book size primarily due to increased CIB lending, growth in mortgages within Barclays UK partially
offset by lower consumer lending and ESHLA
●
A £1.7bn decrease due to the depreciation of period end EUR and USD against GBP
Market risk RWAs increased £5.1bn:
●
A £5.1bn increase in book size primarily due to increased client and trading activity
Treasury and Capital Risk
Barclays PLC
27
Leverage ratio and exposures
The Group is subject to a leverage ratio requirement of 3.8% as at 31 March 2021. This comprises the 3.25% minimum
requirement, a G-SII additional leverage ratio buffer (G-SII ALRB) of 0.53% and a countercyclical leverage ratio buffer of 0.0%.
Although the leverage ratio is expressed in terms of T1 capital, 75% of the minimum requirement, equating to 2.4375%, needs to
be met with CET1 capital. In addition, the G-SII ALRB must be covered solely with CET1 capital. The CET1 capital held against the
0.53% G-SII ALRB was £6.2bn.
The Group is required to disclose an average UK leverage ratio which is based on capital on the last day of each mont h in the
quarter and an exposure measure for each day in the quarter. The Group is also required to disclose a UK leverage ratio based on
capital and exposure on the last day of the quarter. Both approaches exclude qualifying claims on central banks from t he leverage
exposures and include the PRA’s early adoption of CRR II settlement netting. The FPC intends to review the UK leverage framework
in 2021.
Leverage ratios
1,2
As at
31.03.21
As at
31.12.20
£m
£m
Average UK leverage ratio
4.9%
5.0%
Average T1 capital
3
57,040
57,069
Average UK leverage exposure
1,174,887
1,146,919
UK leverage ratio
5.0%
5.3%
CET1 capital
45,904
46,296
AT1 capital
11,099
11,092
T1 capital
3
57,003
57,388
UK leverage exposure
1,145,413
1,090,907
UK leverage exposure
Accounting assets
Derivative financial instruments
270,717
302,446
Derivative cash collateral
51,797
64,798
Securities financing transactions (SFTs)
189,496
164,034
Loans and advances and other assets
867,646
818,236
Total IFRS assets
1,379,656
1,349,514
Regulatory consolidation adjustments
(1,926)
(1,144)
Derivatives adjustments
Derivatives netting
(242,857)
(272,275)
Adjustments to cash collateral
(45,464)
(57,414)
Net written credit protection
16,814
14,986
Potential future exposure (PFE) on derivatives
128,454
117,010
Total derivatives adjustments
(143,053)
(197,693)
SFTs adjustments
22,294
21,114
Regulatory deductions and other adjustments
(18,111)
(17,469)
Weighted off-balance sheet commitments
118,134
113,704
Qualifying central bank claims
(167,054)
(155,890)
Settlement netting
(44,527)
(21,229)
UK leverage exposure
1,145,413
1,090,907
1
Fully loaded average UK leverage ratio was 4.7%, with £54.8bn of T1 capital and £1,173bn of leverage exposure. Fully loaded UK leverage ratio was 4.8%, with
£54.7bn of T1 capital and £1,143bn of leverage exposure.
Fully loaded UK leverage ratios are calculated without applying the transitional arrangements of the CRR
as amended by CRR II.
2
Capital and leverage measures are calculated applying the transitional arrangements of the CRR as amended by CRR II.
3
T1 capital is calculated in line with the PRA Handbook.
Treasury and Capital Risk
Barclays PLC
28
The average UK leverage ratio decreased to 4.9% (December 2020: 5.0%). The average leverage exposure increased by £28bn to
£1,175bn (December 2020: £1,147bn) largely driven by an increase in securities financing transactions (SFTs).
The UK leverage ratio decreased to 5.0% (December 2020: 5.3%) . The UK leverage exposure increase d by £54.5bn to £1,145bn
(December 2020: £1,091bn) primarily driven by:
●
A £25.5bn increase in SFTs; and
●
A £11.4bn increase in PFE on derivatives driven by increased trading activity
The Group also discloses a CRR leverage ratio
1
guidelines on disclosure under Part Eight of the CRR (see Barclays PLC Pillar 3 Report Q1 2021, due to be published on 30 April 2021
and which will be available at home.barclays/ investor -relations/reports -and-events/latest -financial -results).
1
CRR leverage ratio as amended by CRR II.
Treasury and Capital Risk
Barclays PLC
29
MREL
The Group is required to meet the higher of: (i) the requirements set by the BoE based on RWAs and the higher of average and UK
leverage exposures; and (ii) the requirements in CRR as amended by CRR II based on RWAs and CRR leverage exposures. The MREL
requirements are subject to phased implementation and will be fully implemented by 1 January 2022.
As at 31 March 2021, the Group ’s MREL requirement was to meet 7.0% of CRR leverage exposures. On 19 January 2021 the BoE
published indicative MREL requirements that show the Group’s highest requirement in 2022 will be 7.7% of CRR leverage exposure,
based on 30 September 2020 exposures. The BoE is currently reviewing the MREL calibration and intends to make any policy
changes by the end of 2021. Separately, the FPC intends to review the UK leverage framework in 2021 and this, along with any
MREL policy changes, may result in a different MREL requirement from 1 January 2022 than that which is currently proposed . CET1
capital cannot be counted towards both MREL and the capital buffers, meaning that the buffers will effectively be applied above
MREL requirements.
Own funds and eligible liabilities ratios
1,2
As a percentage of RWAs
As a percentage of CRR leverage
exposure
As at
31.03.21
As at
31.12.20
As at
31.03.21
As at
31.12.20
Total Barclays PLC (the Parent company) own funds and eligible
liabilities
32.1%
32.7%
7.6%
8.0%
Total own funds and eligible liabilities, including eligible Barclays
Bank PLC instruments
3
32.8%
33.6%
7.8%
8.2%
Own funds and eligible liabilities
1,2
As at
31.03.21
As at
31.12.20
£m
£m
CET1 capital
45,904
46,296
AT1 capital instruments and related share premium accounts
4
11,099
11,092
T2 capital instruments and related share premium accounts
4
8,886
7,733
Eligible liabilities
34,571
35,086
Total Barclays PLC (the Parent company) own funds and eligible liabilities
100,460
100,207
Qualifying AT1 capital (including minority interests) issued by subsidiaries
655
646
Qualifying T2 capital (including minority interests) issued by subsidiaries
1,641
1,893
Total own funds and eligible liabilities, including eligible Barclays Bank PLC instruments
3
102,756
102,746
Total RWAs
313,356
306,203
Total CRR leverage exposure
5
1,320,628
1,254,157
1 CET1, T1 and T2 capital, and RWAs are calculated applying the transitional arrangements of the CRR as amended by CRR II. This includes IFRS 9 transitional
arrangements and the grandfathering of CRR and CRR II non-compliant capital instruments.
2 The BoE has set external MREL based on the higher of RWAs and CRR or UK leverage exposures which could result in the binding measure changing in future periods.
The 31 March 2021 Barclays PLC (the Parent company) own funds and eligible liabilities ratio as a percentage of the UK leverage exposure was 8.8% and as a
percentage of the average UK leverage exposure was 8.6%.
3 Own funds instrum ents issued by subsidiaries will not be counted towards MREL from 1 January 2022.
4 Includes other AT1 capital regulatory adju stments and deductions of £80m (December 2020: £80m), and other T2 credit risk ad justments and deductions of £65m
(December 2020: £103m).
5 Fully loaded CRR leverage exposure is calculated without applying the transitional arrangements of the CRR as amended by CRR II.
Condensed Consolidated Financial Statements
Barclays PLC
30
Condensed consolidated income statement
Three months
ended
Three months
ended
31.03.21
31.03.20
£m
£m
Total income
5,900
6,283
Credit impairment charges
(55)
(2,115)
Net operating income
5,845
4,168
Operating expenses excluding litigation and conduct
(3,545)
(3,253)
Litigation and conduct
(33)
(10)
Operating expenses
(3,578)
(3,263)
Other net income
132
8
Profit before tax
2,399
913
Tax charge
(496)
(71)
Profit after tax
1,903
842
Attributable to:
Equity holders of the parent
1,704
605
Other equity instrument holders
195
221
Total equity holders of the parent
1,899
826
Non-controlling interests
4
16
Profit after tax
1,903
842
Earnings per share
p
p
Basic earnings per ordinary share
9.9
3.5
Condensed Consolidated Financial Statements
Barclays PLC
31
Condensed consolidated balance sheet
As at
As at
31.03.21
31.12.20
Assets
£m
£m
Cash and balances at central banks
209,521
191,127
Cash collateral and settlement balances
112,662
101,367
Loans and advances at amortised cost
345,778
342,632
Reverse repurchase agreements and other similar secured lending
10,276
9,031
Trading portfolio assets
131,226
127,950
Financial assets at fair value through the income statement
201,610
175,151
Derivative financial instruments
270,717
302,446
Financial assets at fair value through other comprehensive income
74,680
78,688
Investments in associates and joint ventures
917
781
Goodwill and intangible assets
7,867
7,948
Current tax assets
170
477
Deferred tax assets
4,053
3,444
Other assets
10,179
8,472
Total assets
1,379,656
1,349,514
Liabilities
Deposits at amortised cost
498,752
481,036
Cash collateral and settlement balances
107,130
85,423
Repurchase agreements and other similar secured borrowing
20,949
14,174
Debt securities in issue
87,291
75,796
Subordinated liabilities
15,944
16,341
Trading portfolio liabilities
60,735
47,405
Financial liabilities designated at fair value
249,852
249,765
Derivative financial instruments
260,407
300,775
Current tax liabilities
768
645
Deferred tax liabilities
15
15
Other liabilities
11,644
11,257
Total liabilities
1,313,487
1,282,632
Equity
Called up share capital and share premium
4,619
4,637
Other reserves
2,648
4,461
Retained earnings
46,659
45,527
Shareholders' equity attributable to ordinary shareholders of the parent
53,926
54,625
Other equity instruments
11,179
11,172
Total equity excluding non-controlling interests
65,105
65,797
Non-controlling interests
1,064
1,085
Total equity
66,169
66,882
Total liabilities and equity
1,379,656
1,349,514
Condensed Consolidated Financial Statements
Barclays PLC
32
Condensed consolidated statement of changes in equity
Called up
share capital
and share
premium
Other equity
instruments
Other
reserves
Retained
earnings
Total
Non-
controlling
interests
Total
equity
Three months ended 31.03.21
£m
£m
£m
£m
£m
£m
£m
Balance as at 1 January 2021
4,637
11,172
4,461
45,527
65,797
1,085
66,882
Profit after tax
-
195
-
1,704
1,899
4
1,903
Retirement benefit remeasurements
-
-
-
(186)
(186)
-
(186)
Other
-
-
(1,842)
-
(1,842)
-
(1,842)
Total comprehensive income for the period
-
195
(1,842)
1,518
(129)
4
(125)
Equity settled share schemes and hedges
thereof
9
-
-
266
275
-
275
Other equity instruments coupons paid
-
(195)
-
-
(195)
-
(195)
Vesting of shares under employee share
schemes
-
-
2
(386)
(384)
-
(384)
Repurchase of shares
(27)
-
27
(261)
(261)
-
(261)
Dividends paid
-
-
-
-
-
(1)
(1)
Other movements
-
7
-
(5)
2
(24)
(22)
Balance as at 31 March 2021
4,619
11,179
2,648
46,659
65,105
1,064
66,169
As at
As at
31.03.21
31.12.20
Other reserves
£m
£m
Currency translation reserve
2,393
2,871
Fair value through other comprehensive income reserve
(315)
5
Cash flow hedging reserve
849
1,575
Own credit reserve
(1,272)
(954)
Other reserves and treasury shares
993
964
Total
2,648
4,461
Basis of preparation
The condensed consolidated financial statements are prepared in accordance with the recognition and measurement requirements
of UK-adopted international accounting standards (UK-adopted International Financial Reporting Standards ). Following the UK’s
departure from the European Union (EU) at the end of the Brexit transition period on 31 December 2020, all EU endorsed IFRS
became UK-adopted IFRS. On 6 January 2021, the UK endorsed the phase 2 amendments to IFRS 9 and IAS 39 in respect of interest
rate benchmark reform, which was also endorsed by the EU on 13 January 2021 and were early adopted in the Barclays PLC 2020
Annual Report. UK adopted IFRS and EU endorsed IFRS are currently the same.
Appendix: Non-IFRS Performance Measures
Barclays PLC
33
The Group’s management believes that the non-IFRS performance measures included in this document provide valuable
information to the readers of the financial statements as they enable the reader to identify a more consistent basis for comparing
the businesses’ performance between financial periods, and provide more detail concerning the elements of performance which
the managers of these businesses are most directly able to influence or are relevant for an assessment of the Group. They also
reflect an important aspect of the way in which operating targets are defined and performance is monitored by management.
However, any non-IFRS performance measures in this document are not a substitute for IFRS measures and readers should
consider the IFRS measures as well.
Non-IFRS performance measures glossary
Measure
Definition
Loan: deposit ratio
Loans and advances at amortised cost divided by deposits at amortised cost.
Period end allocated
tangible equity
Allocated tangible equity is calculated as 13.5% (2020: 13.0%) of RWAs for each business, adjusted
for capital deductions, excluding goodwill and intangible assets, reflecting the assumptions the Group
uses for capital planning purposes. Head Office alloca ted tangible equity represents the difference
between the Group’s tangible shareholders’ equity and the amounts allocated to businesses.
Average tangible
shareholders’ equity
Calculated as the average of the previous month’s period end tangible equity and the current
month’s period end tangible equity. The average tangible shareholders’ equity for the period is the
average of the monthly averages within that period.
Average allocated
tangible equity
Calculated as the average of the previous month’s period end allocated tangible equity and the
current month’s period end allocated tangible equity. The average allocated tangible equity for the
period is the average of the monthly averages within that period.
Return on average
tangible shareholders’
equity
Annualised profit after tax attributable to ordinary equity holders of the parent, as a proportion of
average shareholders’ equity excluding non-controlling interests and other equity instruments
adjusted for the deduction of intangible assets and goodwill. The components of the calculation have
been included on pages 34 to 35.
Return on average
allocated tangible equity
Annualised profit after tax attributable to ordinary equity holders of the parent, as a proportion of
average allocated tangible equity. The components of the calculation have been included on pages 34
to 36.
Cost: income ratio
Total operating expenses divided by total income.
Loan loss rate
Quoted in basis points and represents total annualised impairment charges divided by gross loans
and advances held at amortised cost at the balance sheet date. The components of the calculation
have been included on page 18.
Net interest margin
Annualised net interest income divided by the sum of average customer assets. The components of
the calculation have been included on page 17.
Tangible net asset value
per share
Calculated by dividing shareholders’ equity, excluding non-controlling interests and other equity
instruments, less goodwill and intangible assets, by the number of issued ordinary shares. The
components of the calculation have been included on page 36.
Pre -provision profits
Calculated by excluding credit impairment charges from profit before tax. The components of the
calculation have been included on page 35.
Appendix: Non-IFRS Performance Measures
Barclays PLC
34
Returns
Return on average tangible equity is calculated as profit after tax attributable to ordinary equity holders of the parent as a
proportion of average tangible equity, excluding non-controlling and other equity interests for businesses. Allocated tangible equity
has been calculated as 13.5% (2020: 13.0%) of RWAs for each business, adjusted for capital deductions, excluding goodwill and
intangible assets, reflecting the assumptions the Group uses for capital planning purposes. Head Office average allocated tangible
equity represents the differ ence between the Group’s average tangible shareholders’ equity and the amounts allocated to
businesses.
Profit/(loss)
attributable to
ordinary equity
holders of the
parent
Average
tangible equity
Return on
average
tangible equity
Three months ended 31.03.21
£m
£bn
%
Barclays UK
298
9.9
12.0
1,263
28.2
17.9
168
4.1
16.5
Barclays International
1,431
32.3
17.7
Head Office
(25)
4.3
n/m
Barclays Group
1,704
46.5
14.7
Three months ended 31.03.20
Barclays UK
175
10.1
6.9
820
26.2
12.5
(291)
5.0
(23.5)
Barclays International
529
31.2
6.8
Head Office
(99)
5.6
n/m
Barclays Group
605
47.0
5.1
Appendix: Non-IFRS Performance Measures
Barclays PLC
35
Barclays Group
Q121
Q420
Q320
Q220
Q120
Q419
Q319
Q219
Return on average tangible shareholders'
equity
£m
£m
£m
£m
£m
£m
£m
£m
Attributable profit/(loss)
1,704
220
611
90
605
681
(292)
1,034
£bn
£bn
£bn
£bn
£bn
£bn
£bn
£bn
Average shareholders' equity
54.4
55.7
56.4
58.4
55.2
54.5
56.4
54.0
Average goodwill and intangibles
(7.9)
(8.1)
(8.1)
(8.2)
(8.2)
(8.1)
(8.0)
(7.8)
Average tangible shareholders' equity
46.5
47.6
48.3
50.2
47.0
46.4
48.4
46.2
Return on average tangible shareholders'
equity
14.7%
1.8%
5.1%
0.7%
5.1%
5.9%
(2.4%)
9.0%
Pre -provision profits
Profit before tax excluding credit impairment
charges
Q121
Q420
Q320
Q220
Q120
Q419
Q319
Q219
£m
£m
£m
£m
£m
£m
£m
£m
Profit before tax
2,399
646
1,147
359
913
1,097
246
1,531
Impact of credit impairment charges
55
492
608
1,623
2,115
523
461
480
Profit before tax excluding credit impairment
charges
2,454
1,138
1,755
1,982
3,028
1,620
707
2,011
Barclays UK
Q121
Q420
Q320
Q220
Q120
Q419
Q319
Q219
Return on average allocated tangible equity
£m
£m
£m
£m
£m
£m
£m
£m
Attributable profit/(loss)
298
160
113
(123)
175
438
(907)
328
£bn
£bn
£bn
£bn
£bn
£bn
£bn
£bn
Average allocated equity
13.5
13.4
13.7
13.9
13.7
13.8
13.9
13.8
Average goodwill and intangibles
(3.6)
(3.6)
(3.6)
(3.6)
(3.6)
(3.5)
(3.5)
(3.5)
Average allocated tangible equity
9.9
9.8
10.1
10.3
10.1
10.3
10.4
10.3
Return on average allocated tangible equity
12.0%
6.5%
4.5%
(4.8%)
6.9%
17.0%
(34.9%)
12.7%
Appendix: Non-IFRS Performance Measures
Barclays PLC
36
Barclays International
Q121
Q420
Q320
Q220
Q120
Q419
Q319
Q219
Return on average allocated tangible equity
£m
£m
£m
£m
£m
£m
£m
£m
Attributable profit
1,431
441
782
468
529
397
799
832
£bn
£bn
£bn
£bn
£bn
£bn
£bn
£bn
Average allocated equity
32.8
31.1
31.2
34.2
31.9
31.9
33.3
32.1
Average goodwill and intangibles
(0.5)
(0.6)
(0.6)
(0.7)
(0.7)
(1.0)
(1.1)
(1.0)
Average allocated tangible equity
32.3
30.5
30.6
33.5
31.2
30.9
32.2
31.1
Return on average allocated tangible equity
17.7%
5.8%
10.2%
5.6%
6.8%
5.1%
9.9%
10.7%
Corporate and Investment Bank
Q121
Q420
Q320
Q220
Q120
Q419
Q319
Q219
Return on average allocated tangible equity
£m
£m
£m
£m
£m
£m
£m
£m
Attributable profit
1,263
413
627
694
820
193
609
596
£bn
£bn
£bn
£bn
£bn
£bn
£bn
£bn
Average allocated equity
28.2
26.3
26.4
29.1
26.2
25.9
26.9
25.8
Average goodwill and intangibles
-
-
-
(0.1)
-
(0.1)
-
-
Average allocated tangible equity
28.2
26.3
26.4
29.0
26.2
25.8
26.9
25.8
Return on average allocated tangible equity
17.9%
6.3%
9.5%
9.6%
12.5%
3.0%
9.1%
9.2%
Consumer, Cards and Payments
Q121
Q420
Q320
Q220
Q120
Q419
Q319
Q219
Return on average allocated tangible equity
£m
£m
£m
£m
£m
£m
£m
£m
Attributable profit/(loss)
168
28
155
(226)
(291)
204
190
236
£bn
£bn
£bn
£bn
£bn
£bn
£bn
£bn
Average allocated equity
4.6
4.8
4.8
5.1
5.7
6.0
6.4
6.3
Average goodwill and intangibles
(0.5)
(0.6)
(0.6)
(0.6)
(0.7)
(0.9)
(1.1)
(1.0)
Average allocated tangible equity
4.1
4.2
4.2
4.5
5.0
5.1
5.3
5.3
Return on average allocated tangible equity
16.5%
2.7%
14.7%
(20.2%)
(23.5%)
15.9%
14.2%
17.8%
Tangible net asset value per share
As at
As at
As at
31.03.21
31.12.20
31.03.20
£m
£m
£m
Total equity excluding non-controlling interests
65,105
65,797
68,369
Other equity instruments
(11,179)
(11,172)
(10,871)
Shareholders' equity attributable to ordinary shareholders of the parent
53,926
54,625
57,498
Goodwill and intangibles
(7,867)
(7,948)
(8,209)
Tangible shareholders' equity attributable to ordinary shareholders of the parent
46,059
46,677
49,289
m
m
m
Shares in issue
17,257
17,359
17,322
p
p
p
Net asset value per share
Tangible net asset value per share
Appendix: Non-IFRS Performance Measures
Barclays PLC
37
Profit/(loss) attributable to ordinary equity holders of the
parent
Q121
Q420
Q320
Q220
Q120
Q419
Q319
Q219
£m
£m
£m
£m
£m
£m
£m
£m
Barclays UK
298
160
113
(123)
175
438
(907)
328
Corporate and Investment Bank
1,263
413
627
694
820
193
609
596
Consumer, Cards and Payments
168
28
155
(226)
(291)
204
190
236
Barclays International
1,431
441
782
468
529
397
799
832
Head Office
(25)
(381)
(284)
(255)
(99)
(154)
(184)
(126)
Barclays Group
1,704
220
611
90
605
681
(292)
1,034
Average equity
Q121
Q420
Q320
Q220
Q120
Q419
Q319
Q219
£bn
£bn
£bn
£bn
£bn
£bn
£bn
£bn
Barclays UK
13.5
13.4
13.7
13.9
13.7
13.8
13.9
13.8
Corporate and Investment Bank
28.2
26.3
26.4
29.1
26.2
25.9
26.9
25.8
Consumer, Cards and Payments
4.6
4.8
4.8
5.1
5.7
6.0
6.4
6.3
Barclays International
32.8
31.1
31.2
34.2
31.9
31.9
33.3
32.1
Head Office
8.1
11.2
11.5
10.3
9.6
8.8
9.2
8.1
Barclays Group
54.4
55.7
56.4
58.4
55.2
54.5
56.4
54.0
Return on average equity
Q121
Q420
Q320
Q220
Q120
Q419
Q319
Q219
%
%
%
%
%
%
%
%
Barclays UK
8.9%
4.8%
3.3%
(3.6%)
5.1%
12.7%
(26.1%)
9.5%
Corporate and Investment Bank
17.9%
6.3%
9.5%
9.5%
12.5%
3.0%
9.1%
9.2%
Consumer, Cards and Payments
14.5%
2.4%
12.9%
(17.7%)
(20.7%)
13.6%
11.8%
14.9%
Barclays International
17.4%
5.7%
10.0%
5.5%
6.6%
5.0%
9.6%
10.3%
Head Office
n/m
n/m
n/m
n/m
n/m
n/m
n/m
n/m
Barclays Group
12.5%
1.6%
4.3%
0.6%
4.4%
5.0%
(2.1%)
7.6%
Shareholder Information
Barclays PLC
38
Results timetable
1
Date
2021 Interim Results Announcement
28 July 2021
% Change
3
Exchange rates
2
31.03.21
31.12.20
31.03.20
31.12.20
31.03.20
Period end - USD/GBP
1.38
1.37
1.24
1%
11%
3 month average - USD/GBP
1.38
1.32
1.28
5%
8%
Period end - EUR/GBP
1.18
1.12
1.13
5%
4%
3 month average - EUR/GBP
1.14
1.11
1.16
3%
(2%)
Share price data
Barclays PLC (p)
185.92
146.68
94.11
Barclays PLC number of shares (m)
17,223
17,359
17,332
For further information please contact
Investor relations
Media relations
Chris Manners +44 (0) 20 7773 2136
Tom Hoskin +44 (0) 20 7116 4755
More information on Barclays can be found on our website: home.barclays.
Registered office
1 Churchill Place, London, E14 5HP, United Kingdom. Tel: +44 (0) 20 7116 1000. Company number: 48839.
Registrar
Equiniti, Aspect House, Spencer Road, Lancing, West Sussex, BN99 6DA, United Kingdom.
Tel: 0371 384 2055
4
American Depositary Receipts (ADRs)
Shareowner Services
StockTransfer@equiniti.com
Tel: +1 800 990 1135 (toll free in US and Canada), +1 651 453 2128 (outside the US and Canada)
Shareowner Services, PO Box 64504, St Paul, MN 55164-0504, USA.
Delivery of ADR certificates and overnight mail
Shareowner Services, 1110 Centre Pointe Curve, Suite 101, Mendota Heights, MN 55120, USA.
1
Note that these dates are provisional and subject to change.
2
The average rates shown above are derived from daily spot rates during the year.
3
The change is the impact to GBP reported information.
4
Lines open 8.30am to 5.30pm (UK time), Monday to Friday, excluding UK public holidays in England and Wales.
Glossary of Terms
Barclays PLC
39
‘Advanced -Internal Ratings Based (A-IRB)’
‘Acceptances and endorsements’
Reimbursement of an acceptance by the customer is normally immediate. Endorsements are residual liabilities of the Barclays
Group in respect of bills of exchange which have been paid and subsequently rediscounted.
‘Additional Tier 1 (AT1) capital’
premium.
‘Additional Tier 1 (AT1) securities’
‘Advanced Measurement Approach (AMA)’
required capital for operational risk. Banks can only use this approach subject to approval from their local regulators.
‘Agencies’
‘Agency Mortgage -Backed Securities’
‘All price risk (APR)’
An estimate of all the material market risks, including rating migration and defaul t for the correlation trading
portfolio.
‘American Depository Receipts (ADR)’
A negotiable certificate that represents the ownership of shares in a non-US company (e.g.
Barclays) trading in US financial markets.
‘Americas’
‘Annual Earnings at Risk (AEaR)’
A measure of the potential change in Net Interest Income (NII) due to an interest rate movement
over a one-year period.
‘Annualised cumulative weighted average lifetime PD’
The probability of default over the remaining life of the asset, expressed as
an annual rate, reflecting a range of possible economic scenarios.
‘Application scorecards’
Algorithm based decision tools used to aid business decisions and manage credit risk based on available
customer data at the point of application for a product.
‘Arrears’
loan is unpaid or overdue. Such customers are also said to be in a state of delinquency. When a customer is in arrears, their entire
outstanding balance is said to be delinquent, meaning that delinquent balances are the total outstanding loans on which payments
are overdue.
‘Asia’
‘Asse t Backed Commercial Paper (ABCP)’
purpose entities for funding purposes.
‘Asset Backed Securities (ABS)’
can comprise any assets which attract a set of associated cash flows but are commonly pools of residential or commercial
mortgages and, in the case of a Collateralised Debt Obligation (CDO), the referenced pool may be ABS or other classes of assets.
‘Attributable profit’
capital securities classified as equity.
‘Average allocated tangible equity’
Calculate d as the average of the previous month’s period end allocated tangible equity and the
current month’s period end allocated tangible equity. The average allocated tangible equity for the period is the average of the
monthly averages within that period.
Glossary of Terms
Barclays PLC
40
‘Average tangible shareholders’ equity’
Calculated as the average of the previous month’s period end tangible equity and the
current month’s period end tangible equity. The average tangible shareholders’ equity for the period is the average of the monthly
averages within that period.
‘Average UK leverage ratio’
As per the PRA rulebook, calculated as the average capital measure based on the last day of each
month in the quarter divided by the average exposure measure for the quarter, where the average exposure is based on each day
in the quarter.
‘Back testing’
Includes a number of techniques that assess the continued statistical validity of a model by simulating how the model
would have predicted recent experience.
‘Bank of England (BoE)’
The central bank of the United Kingdom with devolved responsibility for managing monetary policy and to
oversee regulation of the UK’s financial sector. Through the Prudential Regulation Committee, the BoE exercises control over the
PRA.
‘Barclays Africa’ or ‘Absa’ or ‘Absa Group Limited’
Barclays Africa Group Limited (now Absa Group Limited), which was previously a
subsidiary of the Barclays Group. Following a sell down of shares resulting in a loss of control, the Barclays Group’s shareholding in
Absa Group Limited is now classified as a financial asset at fair value through other comprehensive income.
‘Balance weighted Loan to Value (LTV) ratio’
calculating marked to market LTVs derived by calculating individual LTVs at account level and weighting it by the balances to arrive
at the average position. Balance weighted Loan to Value ratio is calculated using the following formula: LTV = ((loan 1 balance x
Marked to market (MTM) LTV% for loan 1) + (loan 2 balance x Marked to market (MTM) LTV% for loan 2) + ...) / total outstandings
in portfolio.
‘Barclaycard Consumer UK’
‘Barclays’ or ’Barclays Group’
‘Barclays Bank Group’
‘Barclays Bank UK Group’
‘Barclays Operating businesses’
The core Barclays businesses operated by Barclays UK (which include the UK Personal Banking; UK
Business Banking and the Barclaycard Consumer UK businesses) and Barclays International (the large UK Corporate business; the
International Corporate and Private Bank businesses; the Investment Bank; the Barclaycard International business; and Paymen ts).
‘Barclays Execution Services’ or ‘BX’ or ‘Group Service Company’
Barclays Execution Services Limited, the Group services company
set up to provide services to Barclays UK and Barclays International to deliver operational continuity.
‘Barclays International’
The segment of Barclays held by Barclays Bank PLC. The division includes the large UK Corporate business;
the International Corporate and Private Bank businesses; the Investment Bank; the Barclaycard International business; and
Payments.
‘Barclays UK’
The segment of Barclays held by Barclays Bank UK PLC. The division includes the UK Personal Banking; UK Business
Banking and the Barclaycard Consumer UK businesses. Following a transfer from Barclays International in Q2 2020, this also
includes Barclays Partner Finance (BPF).
‘Basel 3’
Basel 3 is a set of measures developed by the Basel Committee on Banking Supervision aiming to strengthen the regulation,
supervision and risk management of banks.
‘Basel Committee on Banking Supervision (BCBS)’ or ‘The Basel Committee’
matters which develops global supervisory standar ds for the banking industry. Its 45 members are officials from central banks or
prudential supervisors from 28 jurisdictions.
‘Basic Indicator Approach (BIA)’
Under the BIA, banks are required to hold regulatory capital for operational risk equal to 15% of the
annual average, calculated over a rolling three-year period, of the relevant income indicator for the bank as whole.
Glossary of Terms
Barclays PLC
41
‘Basis point(s)’ or ‘bp(s)’
interest rates, yields on securities and for other purposes.
‘Basis risk’
imperfectly correlated, especially under stressed market conditio ns.
‘Behavioural scorecards’
Algorithm based decision tools used to aid business decisions and manage credit risk based on existing
customer data derived from account usage.
‘Book quality’
In the context of the Capital Risk section of the Barclays PLC Annual Report, changes in RWAs caused by factors such
as underlying customer behaviour or demographics leading to changes in risk profile.
‘Book size’
In the context of the Capital Risk section of the Barclays PLC Annual Report
,
including net originations or repayments .
‘Bounce Back Loan Scheme (BBLS)’
A UK Government (British Business Bank) backed loan scheme which allows small and medium-
sized businesses to borrow between £2,000 and £50,000. The UK Government guarantees 100% of the loan and pays the first 12
months of interest on behalf of the borrowers, subject to terms and conditions.
‘Business Banking’
Business Banking in Barclays UK
offers specialist advice, products and services to small and medium enterprises
in the UK.
exposures of the Investment Bank.
‘Buy to let mortgage’
A mortgage where the intention of the customer is to let the property at origination.
‘Capital Conservation Buffer (CCB)’
A capital buffer of 2.5% of a bank’s total exposures that needs to be met with an additional
amount of Common Equity Tier 1 capital above the 4.5% minimum requirement for Common Equity Tier 1 set out in CRR. Its
objective is to conserve a bank’s capital by ensuring that banks build up surplus capital outside periods of stress which can be
drawn down if losses are incurred.
‘Capital ratios’
‘Capital Requirements Directive (CRD)’
Directive 2013/36/EU, a component of the CRD IV package which accompanies the Capital
Requirements Regulation and sets out macroprudential standards including the countercyclical capital buffer and capital buffers for
systemically important institutions. Directive (EU) 2019/878, published as part of the EU Risk Reduction Measure package amends
CRD. These amendments entered into force from 27 June 2019, with EU member states required to adopt the measures within the
Directive by 28 December 2020. CRD forms part of UK law pursuant to the European Union (Withdrawal) Act 2018, as amended
and is subject to the temporary transitional powers available to UK regulators to delay or phase-in on- shoring changes to UK
regulatory requirements arising at the end of the transition period until 31 March 2022.
‘Capital Requirements Regulation (CRR)’
Regulation (EU) No 575/2013, a component of the CRD IV package which accompanies the
Capital Requirements Directive and sets out detailed rules for capital eligibility, the calculation of RWAs, the measurement of
leverage, the management of large exposures and minimum standards for liquidity. Between 27 June 2019 and 28 June 2023, this
regulation will be amended in line with the requirements of amending Regulation (EU) 2019/876 (CRR II). CRR, as amended by CRR
II, forms part of UK law pursuant to the European Union (Withdrawal) Act 2018, as amended and is subject to the temporary
transitional powers available to UK regulators to delay or phase-in on-shoring changes to UK regulatory requirements arising at the
end of the transition period until 31 March 2022.
‘Capital Requirement s Regulation II (CRR II)’
Regulation (EU) 2019/876, amending Regulation (EU) No 575/2013 (CRR). This is a
component of the EU Risk Reduction Measure package. The requirements set out in CRR II will be introduced between 27 June
2019 and 28 June 2023. CRR, as amended by CRR II, forms part of UK law pursuant to the European Union (Withdrawal) Act 2018,
as amended and is subject to the temporary transitional powers available to UK regulators to delay or phase-in on-shoring changes
to UK regulatory requirement s arising at the end of the transition period until 31 March 2022.
‘Capital requirements on the underlying exposures (KIRB)’
An approach available to banks when calculating RWAs for securitisation
exposures. This is based upon the RWA amounts that would be calculated under the IRB approach for the underlying pool of
securitised exposures in the program, had such exposures not been securitised.
Glossary of Terms
Barclays PLC
42
‘Capital resources’
under CRD. Referred to as ‘own funds’ within EU regulatory texts.
‘Capital risk’
activities and to meet its regulatory capital requirements under normal operating environments or stressed conditions (both actual
and as defined for internal planning or regulatory testing purposes). This includes the risk from the Barclays Group’s pension plans.
‘Central Counterpar ty’ or ‘Central Clearing Counterparties (CCPs)’
financial transaction, such as a derivative contract or repurchase agreement (repo). Where a central counterparty is used, a single
bi-lateral contract between the buyer and seller is replaced with two contracts, one between the buyer and the CCP and one
between the CCP and the seller. The use of CCPs allows for greater oversight and improved credit risk mitigation in over -the-
counter (OTC) marke ts.
‘Charge -off’
the recovery of the full balance. This is normally when six payments are in arrears.
‘Client Assets’
Assets manage d or administered by the Barclays Group on behalf of clients including assets under management
(AUM), custody assets, assets under administration and client deposits.
‘CLOs and Other insured assets’
assets wrapped with Credit Support Annex (CSA) protection.
‘Collateralised Debt Obligation (CDO)’
other related assets purchased by the issuer. CDOs may feature exposure to sub-prime mortgage assets through the underlying
assets.
‘Collateralised Loan Obligation (CLO)’
��
poolmade to differe nt classes of owners (in tranches).
‘Collateralised Mortgage Obligation (CMO)’
mortgages and passes them on to investors in the security.
‘Combined Buffer Requirement (CBR)’
In the context of the CRD capital obligations, the total Common Equity Tier 1 capital required
to meet the combined requirements of the Capital Conservation Buffer, the GSII Buffer or the OSII buffer as applicable, the
Systemic Risk buffer and an institution specific counter -cyclical buffer.
‘Commercial paper (CP)’
‘Commercial real estate (CRE)’
Commercial real estate includes office buildings, industrial property, medical centres, hotels, retail
stores, shopping centres, farm land, multifamily housing buildings, warehouses, garages, industrial properties and other similar
properties. Commercial real estate loans are loans backed by a package of commercial real estate. Note: for the purposes of the
Credit Risk section, the UK CRE portfolio includes property investment, development, trading and housebuilders but excludes social
housing contractors.
‘Commissions and other incentives’
awards.
‘Committee of Sponsoring Orga nisations of the Treadway Commission Framework (COSO)’
A joint initiative of five private sector
organisations dedicated to the development of frameworks and providing guidance on enterprise risk management, internal
control and fraud deterrence.
‘Commodity derivatives’
precious metals, oil and oil related products, power and natural gas).
‘Commodity risk’
commodities (e.g. Brent vs. WTI crude prices).
‘Common Equity Tier 1 (CET1) capital’
issued and related share premium, retained earnings and other reserves, less specified regulatory adjustments.
Glossary of Terms
Barclays PLC
43
‘Common Equity Tier 1 (CET1) ratio’
‘Compensation: income ratio’
The ratio of compensation expense over total income. Compensation represents total staff costs less
non-compensation items consisting of outsourcing, staff training, redundancy costs and retirement costs.
‘
Comprehensive Capital Analysis and Review (CCAR)’
An annual exercise, required by and evaluated by the Federal Reserve,
through which the largest bank holding companies operating in the US assess whether they have sufficient capital to continue
operations through periods of economic and financial stress and have robust capital -planning processes that account for their
unique risks.
‘Comprehensive Risk Capital Charge (CRCC)’
An estimate of all the mate rial market risks, including rating migration and default for
the correlation trading portfolio.
‘Comprehensive Risk Measure (CRM)’
An estimate of all the material market risks, including rating migration and default for the
correlation trading portfolio. Also referred to as All Price Risk (APR) and Comprehensive Risk Capital Charge (CRCC).
‘Conduct risk’
of financial services, including instances of wilful or negligent misconduct.
‘Constant Currency Basis’
Excluding the impact of foreign currency conversion to GBP when comparing financial results in two
different financial periods.
‘Consumer, Cards and Payments’
Barclays US Consumer Bank, Pay ments (including merchant acquiring and commercial payments),
Barclaycard Germany and the Private Bank.
‘Contingent Capital Notes (CCNs)’
permanently written off or converted into an equity instrument from the issuer's perspective in the event of the Common Equity
Tier 1 (CET1) ratio of the relevant Barclays Group entity falling below a specific level, or at the direction of regulators.
‘Conversion Trigger’
Used in the context of Contingent Capital Notes and AT1 securities. A capital adequacy trigger event occurs
when the CET1 ratio of the bank falls below a certain level (the trigger) as defined in the Terms & Conditions of the instruments
issued. See ‘Contingent Capital Notes (CCNs)’.
‘Coronavirus Business Interruption Loan Scheme (CBILS)’
A loan scheme by the British Business Bank (BBB) to support UK based
small and medium-sized businesses (turnover of up to £45 million) adversely impacted by COVID -19. The CBILS scheme provides
loans up to £5 million which are backed by an 80% UK Government (BBB) guarantee. The UK Government will pay inte rest and fees
for the first 12 months on behalf of the borrowers, subject to terms and conditions.
Coronavirus Large Business Interruption Loan Scheme (CLBILS)’
A loan scheme by the British Business Bank (BBB) to support UK
based medium-sized businesses (turnover above £45 million, but with no access to CCFF) adversely impacted by COVID -19, The
CBILS scheme provides loans of up to £200 million which are backed by an 80% UK Government (BBB) guarantee.
‘Corporate and Investment Bank (CIB)’
Barclays Corpora te and Investment Bank businesses which form part of Barclays
International.
‘Correlation risk’
changes over time.
‘Cost of Equity’
‘Cost: income jaws’
‘Cost: income ratio’
‘Co untercyclical Capital Buffer (CCyB)’
An additional buffer introduced as part of the CRD IV package that requires banks to have an
additional cushion of CET 1 capital with which to absorb potential losses, enhancing their resilience and contributing to a stable
financial system.
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‘Countercyclical leverage ratio buffer (CCLB)’
A macroprudential buffer that has applied to specific PRA regulated institutions since
2018 and is calculated at 35% of any risk weighted countercyclical capital buffer set by the Financial Policy Committee (FPC). The
CCLB applies in addition to the minimum of 3.25% and any G-SII additional leverage ratio buffer that applies.
‘Counterparty credit risk (CCR)’
transaction’s cash flows. In the context of RWAs, a component of RWAs that represents the risk of loss from derivatives, repurchase
agreements and similar transactions as a result of the default of the counterparty.
‘Coverage ratio’
‘Covered bonds’
benefit of the holders of the covered bonds.
‘Covid Corporate Finance Facility (CCFF)’:
which make a material UK contribution, helping to bridge coronavirus disruption to their cash flows. The Bank of England provides
liquidity by purchasing short-term debt in the form of commercial paper from corporates. Barclays acts as dealer.
‘CRD IV’
The Fourth Capital Requirements Directive, comprising an EU Directive and an accompanying Regulation (CRR) that
together prescribe EU capital adequacy and liquidity requirements, and which implements Basel 3 in the European Union.
‘CRD V’
The Fifth Capital Requirements Directive, comprising an EU amending Directive and an accompanying amending Regulation
(CRR II) that together prescribe EU capital adequacy and liquidity requirements, and which implements enhanced Basel 3 proposals
in the European Union.
‘Credit conversion factor (CCF)’ A f
actor used to estimate the risk from off -balance sheet commitments for the purpose of
calculating the total Exposure at Default (EAD) used to calculate RWAs.
‘Credit default swaps (CDS)’
for contracting to make payments to the protection buyer in the event of a defined credit event. Credit events normally include
bankruptcy, payment default on a reference asset or assets, or downgrades by a rating agency.
‘Credit derivatives (CDs)’
the seller of the protection.
‘Credit impairment charges’
and impairment charges on fair value through other comprehensive income assets and reverse repurchase agreements.
‘Credit market exposures’
have been significantly impacted by the deterioration in the global credit markets. The exposures include positions subject to fair
value movements in the Income Statement, positions that are classified as loans and advances, and available fo r sale and other
assets.
‘Credit quality step’
maps the credit assessments of a recognised credit rating agency or export credit agency to credit quality steps that determine the
risk weight to be applied to an exposure.
‘Credit rating’
An evaluation of the creditworthiness of an entity seeking to enter into a credit agreement.
‘Credit risk’
their obligations to Barclays, including the whole and timely payment of principal, interest, collateral and other receivables. In the
context of RWAs, it is the component of RWAs that represents the risk of loss in loans and advances and similar transactions
resulting from the default of the counterparty.
‘Credit risk mitigation’
be broadly divided into three types: collateral, netting and set-off, and risk transfer.
‘Credit spread’
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‘Credit Valuation Adjustment (CVA)’
takes into account the counterparty’s risk of default. The CVA therefore represents an estimate of the adjustment to fair value that
a market participant would make to incorporate the credit risk of the counterparty due to any failure to perform on contractual
agreements.
‘CRR leverage exposure’
‘CRR leverage ratio’
Calculated using the CRR definition of “Tier 1 capital” for the numerator and the CRR definition of “leverage
exposure” as the denominator.
‘Customer assets’
the year to date divided by numb er of days in the year to date.
‘Customer deposits’
credit institutions. Such funds are recorded as liabilities in the Barclays Group’s balance sheet under “deposits at amortised cost”.
‘Customer liabilities’
‘Daily Value at Risk (DVaR)’
conditions, if the current positions were to be held unchanged for one business day, measured to a specified confidence level.
‘DBRS’
‘Debit Valuation Adjustment (DVA)’
value of a portfolio of trades and the market value which takes into account the Barclays Group’s risk of default. The DVA,
therefore, represents an estimate of the adjustment to fair value that a market participant would make to incorporate the credit
risk of the Barclays Group due to any failure to perform on contra ctual obligations. The DVA decreases the value of a liability to
take into account a reduction in the remaining balance that would be settled should the Barclays Group default or not perform any
contractual obligations.
‘Debt buybacks’
de-recognition from the balance sheet.
‘Debt securities in issue’
Group and include certificates of deposit and commercial paper.
‘Default grades’
to distinguish differences in the probability of default risk.
‘Default fund contributions’
required to contribute to this fund in advance of using a CCP. The default fund can be used by the CCP to cover losses incurred by
the CCP where losses are greate r than the margins provided by a defaulting member.
‘Derivatives netting’
enforceable bilateral netting agreements and eligible cash collateral received in derivative transactions that meet the requirements
of BCBS 270 (Basel III leverage ratio framework and disclosure requirements).
‘Diversification effect’
It is measured as the sum of the individual asset class DVaR estimates less the total DVaR.
‘Dodd-Frank Act (DFA)’
‘Economic Value of Equity (EVE)’
interest rate movement, based on existing balance sheet run-off profile.
'Effective Expected Positive Exposure (EEPE)'
The weighted average over time of effective expected exposure. The weights are the
proportion that an individual exposure represents of the entire exposure horizon time interval.
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‘Effective interest rate (EIR)’
As defined in IFRS 9
Financial Instruments
, effective interest rate is the rate that exact ly discounts
estimated future cash payments or receipts through the expected life of the financial asset or financial liability to the gross carrying
amount of a financial asset or to the amortised cost of a financial liability.
‘Eligible liabilities’
Liabilities and capital instruments that are eligible to meet MREL that do not already qualify as own funds.
‘Encumbrance’
The use of assets to secure liabilities, such as by way of a lien or charge.
‘Enterprise Risk Management Fra mework (ERMF)’
Enterprise Risk Management Framework, which describes how Barclays identifies and manages risk. The framework identifies the
principal risks faced by the Barclays Group; sets out risk appetite requirements; sets out roles and responsibilities for risk
management; and sets out risk committee structure.
‘Equities’
‘Equity and stock index derivatives’
stock index swaps and options (including warrants, which are equity options listed on an exchange). The Barclays Group also enters
into fund-linked derivatives, being swaps and options whose underlyings include mutual funds, hedge funds, indices and multi-
asset portfolios. An equity swap is an agreement between two parties to exchange periodic payments, based upon a notional
principal amount, with one side paying fixed or floating interest and the other side paying based on the actual return of the stock or
stock index. An equity option provides the buyer with the right, but not the obligation, either to purchase or sell a specified stock,
basket of stocks or stock index at a specified price or level on or before a specified date.
‘Equity risk’
‘Equity structural hedge’
investment and to smoothen the income over a medium/long term.
‘EU Risk Reduction Measure package’
A collection of amending Regulations and Directives that update core EU regulatory texts and
which came into force on 27 June 2019.
‘Euro Interbank Offered Rate (EURIBOR)’
European interbank market.
‘Europe’
Continental and Eastern Europe.
‘European Banking Authority (EBA)’
The European Banking Authority (EBA) is an independent EU Authority which wor ks to ensure
effective and consistent prudential regulation and supervision across the European banking sector. Its overall objectives are to
maintain financial stability in the EU and to safeguard the integrity, efficiency and orderly functioning of the banking sector.
‘European Securities and Markets Authority (ESMA)’
An independent European Supervisory Authority with the remit of enhancing
the protection of investors and reinforcing stable and well-functioning financial markets in the European Union.
‘Eurozone’
Represents the 19 European Union countries that have adopted the Euro as their common currency. The 19 countries
are Austria, Belgium, Cyprus, Estonia, Finland, France, Germany, Greece, Ireland, Italy, Latvia, Lithuania, Luxembourg, Malta,
Netherlands, Portugal, Slovakia, Slovenia and Spain.
‘Expected Credit Losses (ECL)’
during a specified period of time. ECLs must reflect the present value of cash shortfalls, and the unbiased and probability weighted
assessment of a range of outcomes.
‘Expected Losses’
approach for capital adequacy ca lculations. It is measured as the Barclays Group's modelled view of anticipated losses based on
Probability of Default (PD), Loss Given Default (LGD) and Exposure at Default (EAD), with a one-year time horizon.
’Expert lender models’
particular counterparty, but where there is insufficient data to support the construction of a statistical model. These models utilise
the knowledge of credit experts that have in depth experience of the specific customer type being modelled.
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‘Exposure’
Generally refers to positions or actions taken by a bank, or consequences thereof, that may put a certain amount of a
bank’s resources at risk.
‘Exposure at Default (EAD)’
counterparty in the event of, and at the time of, that counterparty’s default. At default, the customer may not have drawn the loan
fully or may already have repaid some of the principal, so that exposure may be less than the approved loan limit.
‘External Credit Assessment Institutions (ECAI)’
Institutions whose credit assessments may be used by credit institutions for the
determination of risk weight exposures accordin g to CRR.
‘External ratings based approach / internal assessment approach (Sec ERBA / IAA)’
capital is assigned to securitisation tranches on the basis of their external credit rating. SEC-ERBA approach can also be used for
unrated ABCP exposures where the institution has the regulatory permission to use t he Internal Assessment approach (IAA) to
assign a credit rating to the unrated ABCP exposure.
‘Federal Reserve Board (FRB)’
The Board of Governors of the Federal Reserve System, commonly known as the Federal Reserve
Board, is responsible for - amongst other things – setting monetary policy in the US.
'FICC'
Represents Macro (including rates and currency), Credit and Securitised products.
'Financial Policy Committee (FPC)'
or reduce systemic risks with a view to protecting and enhancing the resilience of the UK financial system. The FPC also has a
secondary objective to support the economic policy of the UK Government.
'Foundation Internal Ratings Based (F-IRB)’
‘Financial Conduct Authority (FCA)’
authorised firms. The FCA also has responsibility for the prudential regulation of firms that do not fall within the PRA’s scope.
‘Financial Services Compensation Scheme (FSCS)’
unable to pay claims.
‘Financial collateral comprehensive method (FCCM)’
A counterparty credit risk exposure calculation approach which applies
volatility adjustments to the market value of exposure and collateral when calculating RWA values.
‘Financial Stability Board (FSB)’
An international body that monitors and makes recommendations about the global financial
system. It promotes international financial stability by coordinating national financial authorities and international standard - setting
bodies as they work toward developing strong regulatory, supervisory and other financial sector policies. It fosters a level playing
field by encouraging coherent implementa tion of these policies across sectors and jurisdictions.
‘Fitch’
‘Forbearance Programmes’
than contractual amounts due where financial distress would otherwise prevent satisfactory repayment within the original terms
and conditions of the contr act. These agreements may be initiated by the customer, Barclays or a third party and include approved
debt counselling plans, minimum due reductions, interest rate concessions and switches from capital and interest repayments to
interest -only payments.
‘Foreclosures in Progress’
The process by which the bank initiates legal action against a customer with the intention of terminating
a loan agreement whereby the bank may repossess the property subject to local law and recover amounts it is owed.
‘Foreign exchange derivatives’
contracts, currency swaps and currency options. Forward foreign exchange contracts are agreements to buy or sell a specified
quantity of foreign currency, usually on a specified future date at an agreed rate. Currency swaps generally involve the exchange, or
notional exchange, of equivalent amounts of two currencies and a commitment to exchange interest periodically until the principal
amounts are re-exchanged on a future date. Currency options provide the buyer with the right, but not the obligation, either to
purchase or sell a fixed amount of a currency at a specified exchange rate on or before a future date. As compensation for
assuming the option risk, the option writer generally receives a premium at the start of the option period.
‘Foreign exchange risk’
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‘Full time equivalent’
Full time equivalent units are the on-job hours paid for employee services divided by the number of ordinary-
time hours normally paid for a full-time staff member when on the job (or contract employees where applicable).
‘Fully loaded’
When a measure is presented or described as being on a fully loaded basis, it is calculated without applying the
transitional provisions set out in Part Ten of CRR.
‘Funded credit protection’
institution derives from the right of that institution, in the event of the default of the counterparty or on the occurrence of other
specified credit event s relating to the counterparty, to liquidate, or to obtain transfer or appropriation of, or to retain certain assets
or amounts, or to reduce the amount of the exposure to, or to replace it with, the amount of the difference between the amount of
the expos ure and the amount of a claim on the institution.
‘Gains on acquisitions’
contingent liabilities, recognised in a business combination, exceeds the cost of the combination.
‘General Data Protection Regulation (GDPR)’
GDPR (Regulation (EU) 2016/679) is a regulation by which the European Parliament,
the Council of the European Union and the European Commission intend to strengthen and unify data protection for all individuals
within the European Union. GDPR forms part of UK law pursuant to the European Union (Withdrawal) Act 2018, as amended.
‘General market risk’
broad equity market movement unrelated to any specific attributes of individual securities.
‘Global -Systemically Important Banks (G-SIBs or G-SIIs)’
interconnectedness, mean that their distress or failure would cause significant disruption to the wider financial system and
economic activity. The Financial Stability Board and the Basel Committee on Banking Supervision publish a list of global systemically
important banks.
‘G -SII additional leverage ratio buffer (G-SII ALRB)’
A macroprudential buffer that applies to G-SIBs and other major domestic UK
banks and building societies, including banks that are subject to ring-fencing requirements. The G- SII ALRB will be calibrated as 35%
(on a phased basis) of the combined Systemic Risk Buffers that apply to the bank.
‘GSII Buffer’
Common Equity Tier 1 capital required to be held under CRD to ensure that G- SIBs build up surplus capital to
compensate for the systemic risk that such institutions represent to the financial system.
’Grandfathering’
and CRR II non-compliant capital instruments to be included in regulatory capital subject to certain thresholds which decrease over
the transitional period.
‘Gross charge-off rates’
average outstanding balances excluding balances in recoveries. Charge-off to recoveries generally occurs when the collections focus
switches from the collection of arrears to the recovery of the entire outstan ding balance, and represents a fundamental change in
the relationship between the bank and the customer. This is a measure of the proportion of customers that have gone into default
during the period.
‘Gross write-off rates’
and advances held at amortised cost at the balance sheet date.
‘Gross new lending’
‘Guarantee’
of credit substitution.
‘Head Office’
‘High-Net-Worth’
worth customers.
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‘High quality liquidity assets (HQLA)’
or no loss of value in private markets, to meet liquidity needs arising from a liquidity stress scenario or event. Please refer to ‘Level
1 assets’ and ‘Level 2 assets’.
‘High Risk’
In retail banking, ‘High Risk’ is defined as the subset of up-to -date customers who, either through an event or observed
behaviour exhibit potential financial difficulty. Where appropriate, these customers are proactively contacted to assess whether
assistance is required.
‘Home loan’
The borrower gives the lender a lien against the property and the lender can foreclose on the property if the borrower does not
repay the loan per the agreed terms. Also known as a residential mortgage.
‘IHC’ or ‘US IHC’
Barclays US LLC, the intermediate holding company established by Barclays in July 2016, which holds most of
Barclays’ subsidiaries and assets in the US.
'Internal Model Approach (IMA)’
In the context of RWAs, RWAs for which the exposure amount has been derived via the use of a
PRA approved internal market risk model.
'Internal Model Method (IMM)’
In the context of RWAs, RWAs for which the exposure amount has been derived via the use of a
PRA approved internal counterparty credit risk model.
‘Identified Impairment (II)’
‘IFRS 9 transitional arrangements’
Following the application of IFRS 9 as of 1 January 2018, Article 473a of CRR permits institutions
to phase-in the impact on capital and leverage ratios of the impairment requirements under the new accounting standard.
‘Impairment Allowances’
losses in the lending book. An impairment allowance may either be identified or unidentified and individual or collective.
‘Income’
‘Incremental Risk Charge (IRC)’
An estimate of the incremental risk arising from rating migrations and defaults for traded debt
instruments beyond what is already captured in specific market risk VaR for the non-correlation trading portfolio.
‘Independent Validation Unit (IVU)’
The function within the bank responsible for independent review, challenge and approval of all
models.
‘Individual liquidity guidance (ILG)’
that the PRA has asked the bank to maintain.
‘Inflation risk’
‘Insurance Risk’
The risk of the Barclays Group’s aggregate insurance premiums received from policyholders under a portfolio of
insurance contracts being inadequate to cover the claims arising from those policies.
‘Interchange’
‘Interest -only home loans’
Under the terms of these loans, the customer makes payments of interest only for the entire term of the
mortgage, although customers may make early repayments of the principal within the terms of their agreement. The customer is
responsible for repaying the entire outstanding principal on maturity, which may require the sale of the mortgaged property.
‘Inter est rate derivatives’
swaptions. An interest rate swap is an agreement between two parties to exchange fixed rate and floating rate interest by means of
periodic payments based upon a notional principal amount and the interest rates defined in the contract. Certain agreements
combine interest rate and foreign currency swap transactions, which may or may not include the exchange of principal amounts. A
basis swap is a form of interest rate swap, in which both parties exchange interest payments based on floating rates, where the
floating rates are based upon different underlying reference indices. In a forward rate agreement, two parties agree a future
settlement of the difference between an agreed rate and a future interest rate, applied to a notional principal amount. The
settlement, which generally occurs at the start of the contract period, is the discounted present value of the payment that would
otherwise be made at the end of that period.
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‘Interest rate risk’
the calculation of market risk DVaR, measures the impact of changes in interest (swap) rates and volatilities on cash instruments
and derivatives.
‘Interest rate risk in the banking book (IRRBB)’
The risk that the Barclays Group is exposed to capital or income volatility because of
a mismatch between the interest rate exposures of its (non-traded) assets and liabilities.
‘Internal Assessment Approach (IAA)’
One of three types of calculation that a bank with permission to use the Internal Ratings
Based (IRB) approach may apply to securitisation exposures. It consists of mapping a bank's internal rating methodology for credi t
exposures to those of an External Credit Assessment Institution (ECAI) to determine the appropriate risk weight based on the
ratings based approach. Its applicability is limited to ABCP programmes related to liquidity facilities and credit enhancement.
‘Internal Capital Adequacy Assessment Process (ICAAP)’
It describes how the Group identifies, manages and qualifies the risks it is
exposed to, in pursuit of its business strategy. It assesses whether the quality and quantity of capital is available to abso rb capital
losses for the risks the firm undertakes. The capital adequacy is assessed on a point of time basis and on a forward looking basis
taking into account baseline and stressed economic capital conditions.
‘Internal Ratings Based (IRB)’
weights. The IRB approach is divided into two alternative applications, Advanced and Foundation:
–
Advanced IRB (A-IRB): the bank uses its own estimates of Pro bability of Default (PD), Loss Given Default (LGD) and credit
conversion factor to model a given risk exposure.
–
Foundation IRB (F-IRB): the bank applies its own PD as for Advanced, but it uses standard parameters for the LGD and the
credit conversion fact or. The Foundation IRB approach is specifically designed for wholesale credit exposures. Hence
retail, equity, securitisation positions and non-credit obligations asset exposures are treated under standardised or A-IRB.
‘Internal Ratings Based approach (SEC -IRBA)’
This is a
method to calculate risk-weighted exposure amounts for securitisation
positions. Under this method, an institution must be able to model regulatory capital requirements for underlying exposures in the
securitisation as if these had not been securitised (‘K
IRB
’), subject to certain other inputs and criteria.
‘Investment Bank’
The Barclays Group’s investment bank which
consists of origination led and returns focused markets and banking
business, and which forms part of the Corporate and Investment Bank segment of Barclays International .
‘Investment Banking Fees’
businesses – including financial advisory, debt and equity underwriting.
‘Investment grade’
credit rating agencies.
‘ISDA Master Agreement’
framework of documents, designed to enable OTC derivatives to be documented fully and flexibly. The framework consists of a
master agreement, a schedule, confirmations, definitions booklets, and a credit support annex. The ISDA Master Agreement is
published by the International Swaps and Derivatives Association, commonly known as “ISDA”.
‘Key Risk Scenarios (KRS)’
Key Risk Scenarios are a summary of the extreme potential risk exposure for each Key Risk in each
business and function, including an assessment of the potential frequency of risk events, the aver age size of losses and three
extreme scenarios. The Key Risk Scenario assessments are a key input to the Advanced Measurement Approach calculation of
regulatory and economic capital requirements.
‘Large exposure’
A large exposure is defined as the total ex posure of a bank to a counterparty or group of connected clients,
whether in the banking book or trading book or both, which in aggregate equals or exceeds 10% of the bank's eligible capital.
‘Legal risk’
obligations including regulatory or contractual requirements.
‘Lending’
In the context of Investment Bank analysis of Total Income, lending income includes Net Interest Income (NII), gains or
losses on loan sale activity, and risk management activity relating to the loan portfolio.
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‘Letters of credit’
will be made on time and in full. In the event that the debtor is unable to make payment, the bank will be required to cover the full
or remaining amount of the purchase.
‘Level 1 assets’
High quality liquid assets under the Basel Committee’s Liquidity Coverage Ratio (LCR), including cash, central bank
reserves and higher quality government securities.
‘Level 2 assets’
lower quality government securities, co vered bonds and corporate debt securities, and Level 2B assets, including, e.g. lower rated
corporate bonds, residential mortgage backed securities and equities that meet certain conditions.
‘Lifetime expected credit losses’
an exposure, reflecting the present value of cash shortfalls over the remaining expected life of the asset.
‘Lifetime Probability’
‘Liquidity Coverage Ratio (LCR)’
days. High- quality liquid assets should be unencumbered, liquid in markets during a time of stress and, ideally, be central bank
eligible. These include, e.g. cash and claims on central governments and central banks.
‘Liquidity Pool’
Barclays Group as a contingency to enable the bank to meet cash outflows in the event of stressed market conditions.
‘Liquidity Risk’
The risk that the Barclays Group is unable to meet its contractual or contingent obligations or that it does not have
the appropriate amount, tenor and composition of funding and liquidity to support its assets.
‘Liquidity risk appetite (LRA)’
and in meeting its regulatory obligations.
‘Liquidity Risk Management Framework (the Liquidity Framework)’
The Liquidity Risk Management Framework, which is sanctioned
by the Board Risk Committee, incorporates liquidity policies, systems and controls that the Barclays Group has implemented to
manage liquidity risk within tolerances approved by the Board and regulatory agencies.
‘Litigation and conduct charges’ or ‘Litigation and conduct’
Litigation and conduct charges include regulatory fines, litigation
settlements and conduct -related customer redress.
‘Loan loss rate’
amortised cost at the balance sheet date.
‘Loan to deposit ratio’ or ‘Loan: deposit ratio’
‘Loan to value (LTV) ratio’
of the asset. The ratios are used in determining the appropriate level of risk for the loan and are generally reported as an average
for new mortgages or an entire portfolio. Also see ‘Marked to market (MTM) LTV ratio’.
‘London Interbank Offered Rate (LIBOR)’
London interbank market.
‘Loss Given Default (LGD)’
the actual loss (the part that is not expected to be recovered), together with the economic costs associated with the recovery
process.
‘Management VaR’
level, if current positions were to be held unchanged for predefined period. Corporate and Investment Bank uses Management VaR
with a two -year equally weighted historical period, at a 95% confidence level, with a one day holding period.
‘Mandatory break clause’
In the context of counterparty credit risk, a contract clause that means a trade will be ended on a
particular date.
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‘Marked to market approach’
value of derivative positions as well as a potential future exposure add-on to calculate an exposure to which a risk weight can be
applied. This is also known as t he Current Exposure Method.
‘Marked to market (MTM) LTV ratio’
Also see ‘Balance weighted Loan to Value (LTV) ratio’ and ‘Valuation weighted Loan to Value (LTV) rati o.’
‘Market risk’
fluctuation in market variables including, but not limited to, interest rates, foreign exchange, equity prices, commo dity prices,
credit spreads, implied volatilities and asset correlations.
‘Master netting agreement’
covered by the agreement in the event of the counterpar ty’s default or bankruptcy or insolvency, resulting in a reduced exposure.
‘Master trust securitisation programme’
receivables. The trust issues multiple series of securities backed by these receivables.
‘Material Risk Takers (MRTs)’
Categories of staff whose professional activities have or are deemed to have a material impact on
Barclays’ risk profile, as determined in accordance with the European Banking Authority regulatory technical standard on the
identification of such staff.
‘Maximum Distributable Amount (MDA)’
The MDA is a factor representing the available distributable profit whilst remaining in
excess of its combined buffer requirement. CRD IV places restrictions on a bank’s dividend decisions depending on its proximity to
meeting the buffer.
‘Medium-Term Notes’
Investors can choose from differing maturities, ranging from nine months to 30 years. They can be issued on a fixed or floating
coupon basis or with an exotic coupon; with a fixed maturity date (non-callable) or with embedded call or put options or early
repayment triggers. MTNs are most general ly issued as senior, unsecured debt.
‘Methodology and policy’
In the context of the Capital Risk section of the Barclays PLC Annual Report, the effect on RWAs of
methodology changes driven by regulatory policy changes.
‘MiFID II’
The Markets in Financial Instruments Directive 2004/39/EC (known as "MiFID I”) as subsequently amended to MiFID II is a
European Union law that provides harmonised regulation for investment services across the member states of the European
Economic Area.
‘Minimum require ment for own funds and eligible liabilities (MREL)’
A European Union wide requirement under the Bank Recovery
and Resolution Directive for all European banks and investment banks to hold a minimum level of equity and/or loss absorbing
eligible liabilities to ensure the operation of the bail-in tool to absorb losses and recapitalise an institution in resolution. An
institution’s MREL requirement is set by its resolution authority. Amendments in the EU Risk Reduction Measure package are
designed to align MREL and TLAC for EU G-SIBs.
‘Model risk’
The risk of the potential adverse consequences from financial assessments or decisions based on incorrect or misused
model outputs and reports.
‘Model updates’
In the context of the Capital Risk section of the Barclays PLC Annual Report, changes in RWAs caused by model
implementation, changes in model scope or any changes required to address model malfunctions.
‘Model validation’
Process through which models are independently challenged, tested and verified to prove that they have been
built, implemented and used correctly, and that they continue to be fit-for -purpose.
‘ModelledVaR’
the PRA.
‘Money market funds’
‘Monoline derivatives’
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‘Moody’s’
‘Mortgage Servicing Rights (MSR)’
A contractual agreement in which the right to service an existing mortgage is sold by the original
lender to another party that specialises in the various functions involved with servicing mortgages.
‘Multilateral development banks’
national boundaries.
‘National discretion’
certain CRD rules in its jurisdiction.
‘Net asset value per share’
instruments, by the number of issued ordinary shares.
‘Net Interest Income (NII)’
‘Net Interest Margin (NIM)’
‘Net investment income’
result on disposal of available for sale assets.
‘Net Stable Funding Ratio (NSFR)’
assuming a stressed scenario. The ratio is required to be over 100%. Available stable funding would include such items as equity
capital, preferred stock with a maturity of over one year, or liabilities with a maturity of over one year. The required amount of
stable funding is calculated as the sum of the value of the assets held and funded by the institution, multiplied by a specific
required stable funding fact or assigned to each particular asset type, added to the amount of potential liquidity exposure
multiplied by its associated required stable funding factor.
‘Net trading income’
and customer business, together with interest, dividends and funding costs relating to trading activities.
‘Net write-off rate’
recoveries divided by gross loans and advances held at amortised cost at the balance sheet date.
‘Net written credit protection’
credit derivatives protection bought.
‘New bookings’
The total of the original balance on accounts opened in the reporting period, including any applicable fees and
charges included in the loan amount.
‘Non-asset backed debt instruments’
corporate bonds; commercial paper; certificates of deposit; convertible bonds; corporate bonds and issued notes.
‘Non-Model Method (NMM)’
through the use of CRR norms, as opposed to an internal model.
‘Non-Traded Market Risk’
The risk that the current or future exposure in the banking book (i.e. non-traded book) will impact the
bank's capital and/or earnings due to adverse movements in Interest or foreign exchange rates.
‘Non-Traded VaR’
Reflects the volatility in the value of the fair value through other comprehensive income (FVOCI) investments in
the liquidity pool which flow directly through capital via the FVOCI reserve. The underlying methodology to calculate non-traded
VaR is similar to Traded Management VaR, but the two measures are not directly comparable. The Non-Traded VaR represents the
volatility to capital driven by the FVOCI exposures. These exposures are in the banking book and do not meet the criteria for trading
book treatment.
‘Notch’
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‘Notional amount’
The nominal or face amount of a financial instrument, such as a loan or a derivative, that is used to calculate
payments made on that instrument.
‘Open Banking’
The Payment Services Directive (PSD2) and the Open API standards and data sharing remedy imposed by the UK
Competition and Markets Authority following its Retail Banking Market Investigation Order.
‘Operating leverage’
‘Operational risk’
events (e.g. fraud) where the root cause is not due to credit or market risks.
‘Operational Riskdata eXchange Association (ORX)’
association dedicated to advancing the measurement and management of operational risk in the global financial services industry.
Barclays is a member of ORX.
‘Origination led’
‘Other systemically important institutions (OSII)’
Other systemically important institutions are institutions that are deemed to
create risk to financial stability due to their systemic importance.
‘Over -the-counter (OTC) derivatives’
They offer flexibility because, unlike standardised exchange -traded products, they can be tailored to fit specific needs.
‘Overall capital requirement’
The overall capital requirement is the sum of capital required to meet the total of a Pillar 1
requirement, a Pillar 2A requirement, a Global Systemically Important Institution (G- SII) buffer, a Capital Conservation Buffer (CCB)
and a Countercyclical Capital Buffer (CCyB).
‘Own credit’
‘Owner occupied mortgag e’
A mortgage where the intention of the customer was to occupy the property at origination.
‘Own funds’
The sum of Tier 1 and Tier 2 capital.
‘Own funds and eligible liabilities ratio’
expressed as a percentage of total RWAs.
‘Past due items’
Refers to loans where the borrower has failed to make a payment when due under the terms of the loan contract.
‘Payment Protection Insurance (PPI) redress’
costs.
‘Pension Risk’
The risk of the Barclays Group’s earnings and capital being adversely impacted by the Barclays Group’s defined
benefit obligations increasing or the value of the assets backing these defined benefit obligations decreasing due to changes in both
the level and volatility of prices.
‘Performance costs’
term incentives, the accounting charge is spread over the relevant periods in which the employee delivers service.
‘Personal Banking’
offers retail solutions to help customers with their day -to-day banking needs.
‘Period end allocated tangible equity’
adjusted for capital deductions, excluding goodwill and intangible assets, reflecting assumptions the Barclays Group uses for capital
planning purposes. Head Office allocated tangible equity represents the difference between the Barclays Group’s tangible
shareholders’ equity and the amounts allocated to businesses.
‘Pillar 1 requirements’
The minimum regulatory capital requirements to meet the sum of credit (including counterparty credit),
market risk and operational risk.
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‘Pillar 2A requirements’
The additional regulatory capital requirement to meet risks not captured under Pillar 1 requirements.
These requirements are the outcome of the bank’s Internal Capital Adequacy Assessment Process (ICAAP) and the complementary
supervisory review and evaluation carried out by the PRA.
‘Post -Model Adjustment (PMA)’
portfolio level to account for model input data deficiencies, inadequate model performance or changes to regulatory definitions
(e.g. definition of default) to ensure the model output is accurate, complete and appropriate.
‘Potential Future Exposure (PFE) on derivatives’
exposure on both exchange traded and OTC derivative contrac ts, calculated by assigning a standardised percentage (based on the
underlying risk category and residual trade maturity) to the gross notional value of each contract.
‘PRA waivers’
specific to an organisation and require applications being submitted to and approved by the PRA.
‘Primary securitisations’
The issuance of securities (bonds and commercial papers) for fund-raising.
‘Primary Stress Tests’
losses that might arise from extreme market moves or scenarios. Primary Stress Tests apply stress moves to key liquid risk factors
for each of the major trading asset classes.
‘Prime Services’
business also provides brokerage facilitation services for hedge fund clients off ering execution and clearance facilities for a variety
of asset classes.
‘Principal’
interest).
in private equity often involves the investment of capital in private companies or the acquisition of a public company that re sults in
the delisting of public equity. Capital for private equity investment is raised by retail or institutional investors and used to fund
investment strategies such as leveraged buyouts, venture capital, growth capital, distressed investments and mezz anine capital.
‘Principal Risks’
Report.
‘Pro -cyclicality’
cycle, where the subsequent impact on lending or other market behaviours acts as an amplification of the economic cycle by the
financial sector.
‘Probability of Default (PD)’
The likelihood that a loan will not be repaid and will fall into default. PD may be calculated for each
client who has a loan (normally applicable to wholesale customers/clients) or for a portfolio of clients with similar attributes
(normally applicable to retail customers). To calculate PD, Barclays assesses the credit quality of borrowers and other
counterparties and assigns them an internal risk rating. Multiple rating methodologies may be used to inform the rating decision on
individual large credits, such as internal and external models, ra ting agency ratings, and for wholesale assets market information
such as credit spreads. For smaller credits, a single source may suffice such as the result from an internal rating model.
‘Product structural hedge’
(such as non-interest bearing current accounts and managed rate deposits) and to smoothen the income over a medium/long term.
‘Properties in Possession held as ‘Loans and Advances to Custome rs’’
Properties in the UK and Italy where the customer continues
to retain legal title but where the bank has enforced the possession order as part of the foreclosure process to allow for the
disposal of the asset or the court has ordered the auction of the property.
‘Properties in Possession held as ‘Other Real Estate Owned’’
Properties in South Africa where the bank has taken legal ownership of
the title as a result of purchase at an auction or similar and treated as ‘Other Real Estate Owned’ within other assets on the bank’s
balance sheet.
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‘Proprietary trading’
behalf of customers, so as to make a profit for itself.
‘Prudential Regulation Authority (PRA)’
insurers and a small number of significant investment banks in the UK. The PRA is a subsidiary of the Bank of England.
‘Prudential Valuation Adjustment (PVA)’
value to comply with regulatory valuation standards, which place greater emphasis on the inherent uncertainty around the value at
which a trading book position could be exited.
‘Public benchmark’
‘Qualifying central bank claims’
An amount calculated in line with the PRA policy statement allowing banks to exclude claims on the
central bank from the calculation of the leverage exposure measure, as long as these are matched by deposits denominated in the
same currency and of identical or longer maturity.
‘Qualifying Revolving Retail Exposure (QRRE)’
In the context of the IRB approach to credit risk RWA calculations, an exposure
meeting the criteria set out in Capital Requirements Regulation (CRR Article 154.4). It includes most types of credit card exposure.
‘Rates’
derivatives.
‘Re -aging’
The returning of a delinquent account to up-to -date status without collecting the full arrears (principal, interest and
fees).
‘Real Estate Mortgage Investment Conduits (REMICs)’
An entity that holds a fixed pool of mortgages and that is
separated into
multiple classes of interests for issuance to investors.
‘Recovery book’
strategies to recover the Group’s exposure.
‘Recovery book Impairment Coverage Ratio’
balance in recoveries.
‘Recovery book proportion of outstanding balances’
all accounts that have charged -off) as at the period end compared to total outstanding balances. The size of the recoveries book
would ultimately have an impact on the overall impairment requirement on the portfolio. Balances in recovery will decrease if:
assets are written -off; amounts are collected; or assets are sold to a third party (i.e. debt sale).
‘Regulatory capital’
‘Renegotiated loans’
adverse change in the circumstances of the borrower. In the latter case, renegotiation can result in an extension of the due date of
payment or repayment plans under which the Barclays Group offers a concessionary rate of interest to genuinely distressed
borrowers. This will result in the asset continuing to be overdue, and individually impaired if the renegotiated payments of interest
and principal will not recover the original carrying amount of the asset. In other cases, renegotiation will lead to a new agreement,
which is treated as a new loan.
‘Repurchase agreement (Repo)’ or ‘Reverse repurchase agreement (Reverse repo)’
financial securities as collateral for an interest bearing cash loan. The borrower agrees to sell a security to the lender subject to a
commitment to repurchase the asset at a specified price on a given date. For the party selling the security (and agreeing to
repurchase it in the future), it is a Repurchase agreement or Repo; for the counterparty to the transaction (buying the security and
agreeing to sell in the future), it is a Reverse repurchase agreement or Reverse repo.
‘Reputation risk’
competence by clients, counterparties, investors, regulator s, employees or the public.
‘Re -securitisations’
positions where the underlying assets are also predominantly securitisation positions.
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‘Reserve Capital Instruments (RCIs)’
terms.
‘Residential Mortgage -Backed Securities (RMBS)’
these securities have the right to cash received from future mortgage payments (interest and/or principal).
‘Residual maturity’
The remaining contractual term of a credit obligation associated with a credit exposure.
‘Restructured loans’
has been granted to the debtor that would not otherwise be considered. Where the concession results in the expected cash flows
discounted at the original effective interest rate being less than the loan’s carrying value, an impairment allowance will be raised.
‘Retail Loans’
It includes both secured and unsecured loans such as mortgages and credit card balances, as well as loans to certain smaller
business customers, typically with exposures up to £3m or with a turnover of up to £5m.
‘Return on average Risk Weighted Assets’
‘Return on average tangible shareholders’ equity (RoTE)’ P
rofit after tax attributable to ordinary equity holders of the parent, as a
proportion of average shareholders’ equity excluding non-controlling interests and other equity instruments adjusted for the
deduction of intangible assets and goodwill.
‘Return on average allocated tangible equity’
Profit after tax attributable to ordinary equity holders of the parent, as a proportion
of average allocated tangible equity.
‘Risk appetite’
possible outcomes as business plans are implemented.
‘Risk weighted assets (RWAs)’
accordance with the Basel rules as implemented by CRR and local regulators.
‘Risks not in VaR (RNIVS)’
framework.
‘Sarbanes-Oxley requirements’
against corporate govern ance scandals such as Enron, WorldCom and Tyco. All US-listed companies must comply with SOX.
‘Second Lien’
compensation for this debt will only be received after the first lien has been repaid and thus represents a riskier investment than
the first lien.
‘Secondary Stress Tests’
be hedged or reduced within the time period covered in Primary Stress Tests.
‘Secured Overnight Financing Rate (SOFR)’
A broad measure of the cost of borrowing cash overnight collateralized by U.S. Treasury
securities in the repurchase agreement (repo) market.
‘Securities Financing Transactions (SFT)’
securities or commodities lending or borrowing transaction, or a margin lending transaction whereby cash collateral is received or
paid in respect of the transfer of a related asset.
‘Securities Financing Transactions adjustments’
collateral, taking into account master netting agreements.
‘Securities lending arrangements’
to return them at a future date. The counterparty generally provides collateral against non-performance in the form of cash or
other assets.
‘Securitisation’
pool, which is used to back new securities. A company sells assets to a special purpose vehicle (SPV) which then issues securities
Glossary of Terms
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backed by the assets. This allows the credit quality of the assets to be separated from the credit rating of the original borrower and
transfers risk to external investors.
‘Set-off clauses’
In the context of counterparty credit risk, contract clauses that allow Barclays to set off amounts owed to us by a
counterparty against amounts owed by us to the counterparty.
‘Settlement balances’
sold, purchased or otherwise closed out, and the date the asset is delivered by or to the entity (the settlement date) and cash
��
isreceived or paid.
‘Settlement Netting’
exposure value of regular way purchases and sales awaiting settlement in accordance with Article 429g of CRR, as amended by
Regulation (EU) 2019/876 (CRR 2).
‘Settlement risk’
one or more settlement obligations.
‘Significant Increase in Credit Risk (SICR)’
quantitative and qualitative assessments.
‘Small and Medium-Sized Enterprises (SME)’
turnover which does not exceed EUR 50 million, and / or an annual balance sheet total not exceeding EUR 43 million. Within the
SME category, a small enterprise is defined as an enterprise which employs fewer than 50 persons and whose annual turnover
and/or annual balance sheet total does not exceed EUR 10 million. This is defined in accordance with Commission
Recommendation 2003/361/EC of 6 May 2003 concerning the definition of micro, small and medium sized enterprises.
‘Slotting’
Capital Requirements Regulation (CRR Article 147.8). A standard set of rules are required to be used in credit risk RWA calculations,
based upon an assessment of factors such as the financial strength of the counterparty. The requirements for the application of the
Specialised Lending approach are detailed in CRR Article 153.5.
‘Sovereign exposure(s)’
‘Specific market risk’
change in an investment due to factors related to the issuer or, in the case of a derivative, the issuer of the underlying investment.
‘Spread risk’
yields.
‘SRB ALRB’
The Systemic Risk Buffer (SRB) Additional Leverage Ratio Buffer is firm specific requirement set by the PRA using its
powers under section 55M of the Financial Services and Markets Act 2000. Barclays is required to hold an amount of CET1 capital
that is equal to or greater than its Additional Leverage Ratio Buffer.
‘Stage 1’
initial recognition. Stage 1 financial instruments are required to recognise a 12 month expected credit loss allowance.
‘Stage 2’
initial recognition. Stage 2 financial instruments are required to recognise a lifetime expected credit loss allowance.
‘Stage 3’
are required to recognise a lifetime expected credit loss allowance.
‘Standard & Poor’s’
‘Standardised approach (SEC -SA)’
this method, an institution must be able calculate regulatory capital requirements per standardized approach for underlying
exposures in the securitisation as if these had not been securitised (‘K
SA
’), subject to certain other inputs and criteria.
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‘Standby facilities, credit lines and other commitments’
conditions. Such commitments are either made for a fixed period, or have no specific maturity but are cancellable by the lender
subject to notice requirements.
‘Statutory’
the UK Companies Act 2006 and the requirements of International Financial Reporting Standards (IFRS).
‘Statutory return on average shareholders’ equity’
average shareholders’ equity.
‘STD’ / ‘Standardised Approach’
risk weights based on counterparty type and a credit rating provided by an External Credit Assessment Institute.
‘Sterling Over Night Index Average (SONIA)’
unsecured market administrated and calculated by the Bank of England.
‘Stress Testing’
have unfavourable effects on the Barclays Group (either financial or non-financial), assessing the Barclays Group’s ability to
withstand such changes, and identifying management actions to mitigate the impact.
‘Stressed Value at Risk (SVaR)’
An estimate of the potential loss arising from a 12-month period of significant financial stress
calibrated to 99% confidence level over a 10-day holding period.
‘Structured entity’
generally created to achieve a narrow and well defined objective with restrictions around their ongoing activities.
‘Structural hedge’ or ‘hedging’
medium/long term on positions that exist within the balance sheet and do not re- price in line with market rates. See also ‘Equity
structural hedge’ and ‘Product structural hedge’.
‘Structural model of default’
A model based on the assumption that an obligor will default when its assets are insufficient to co ver
its liabilities.
‘Structured credit’
to structured credit vehicles.
‘Structured finance or structured notes’
specified asset or index and sometimes offers capital protection if the value declines. Structured notes can be linked to equities,
interest rates, funds, commodities and foreign currency .
‘Sub-prime’
delinquencies and potentially more severe problems such as court judgments and bankruptcies. They may also display reduced
repayment capacity as measured by credit scores, high debt-to -income ratios, or other criteria indicating heightened risk of default.
‘Subordinated liabilities’
depositors and other creditors of the issuer.
‘Supranational bonds’
Bonds issued by an international organisation, where membership transcends national boundaries (e.g. the
European Union or World Trade Organisation).
‘Synthetic Securitisation Transactions’
Securitisation transactions effected through the use of derivatives.
‘Systemic Risk Buffer’
CET1 capital that may be required to be held as part of the Combined Buffer Requirement increasing the
capacity of UK banks to absorb stress and limiting the damage to the economy as a result of restricted lending.
‘Tangible Net Asset Value (TNAV)’
assets and goodwill.
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‘Tangible Net Asset Value per share’
equity instruments, less goodwill and intangible assets, by the number of issued ordinary shares.
‘Tangible shareholders’ equity’
the deduction of intangible assets and goodwill.
‘Term premium’
‘The Fundamental Review of the Trading Book (FRTB)’
Banking Supervision as part of Basel III and applicable to banks’ wholesale trading activities.
‘The Standardised Approach (TSA)’
Under TSA, banks are required to hold regulatory capital for operational risk equal to the annual
average, calculated over a rolling three-year period, of the relevant income indicator (across all business lines), multiplied by a
supervisory defined percentage factor by business lines.
‘The three lines of defence’
The three lines of defence operating model enables Barclays to separate risk management activities
between those client facing areas of the Barclays Group and associated support functions responsible for identifying risk, operating
within applicable limits and escalating risk events (first line); colleagues in Risk and Compliance who establish the limits, rules and
constraints under which the first line operates and monitor their performance against those limits and constraints (second line);
and, colleagues in Internal Audit who provide assurance to the Board and Executive Management over the effectiveness of
governance, risk management and control over risks (third line). The Legal function does not sit in any of the three lines, but
supports them all. The Legal function is, however, subject to oversight from Risk and Compliance with respect to operational and
conduct risks.
‘Tier 1 capital’
‘Tier 1 capital ratio’
‘Tier 2 (T2) capita
l’
share premium accounts where qualifying conditions have been met.
‘Tier 2 (T2) securities’
‘Total balances on forbearance programmes coverage ratio’
a percentage of balance in forbearance.
‘Total capital ratio’
Total regulatory capital as a percentage of RWAs.
‘Total Loss Absorbing Capacity (TLAC)’
A standard published by the FSB which is applicable to G-SIBs and requires a G-SIB to hold a
prescriptive minimum level of instruments and liabilities that should be readily available for bail-in within resolution to absorb
losses and recapitalise the institution.
‘Total outstanding balance’
In retail banking, total outstanding balance is defined as the gross month-end customer balances on all
accounts including accounts charged off to recoveries.
‘Total return swap’
and change in the capital value of the asset. The buyer of the protection in return receives a predetermined amount.
The risk of a reduction to earnings or capital due to volatility of trading book positions.
‘Trading book’
All positions in financial instruments and commodities held by an institution either with trading intent, or in order to
hedge positions held with trading intent.
‘Traditional Securitisation Transactions’
Securitisation transactions in which an underlying pool of assets generates cash flows to
service payments to investors.
‘Transitional’
transitional provisions set out in Part Ten of CRR.
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‘Treasury and Capital Risk’
‘Twelve month expected credit losses’
date (or shorter period if the expected life is less than 12 months), weighted by the probability of said default occurring.
‘Twelve month PD’
‘Unencumbered’
‘United Kingdom (UK)’
‘UK Bank Levy’
on a percentage of the chargeable equity and liabilities of the bank on its balance sheet date.
‘UK leverage ex posure’
Calculated as per the PRA rulebook, where the exposure calculation also includes the FPC’s
recommendation to allow banks to exclude claims on the central bank from the calculation of the leverage exposure measure, as
long as these are matched by deposits denominated in the same currency and of identical or longer maturity.
‘UK leverage ratio’
As per the PRA rulebook, means a bank’s Tier 1 capital divided by its total exposure measure, with this ratio
expressed as a percentage.
‘Unfunded credit protection’
institution derives from the obligation of a third party to pay an amount in the event of the default of the borrower or the
occurrence of other specified credit events.
‘US Partner Portfolio’
retail.
‘US Residential Mortgages’
‘Valuation weighted Loan to Value (LTV) ratio’
calculating marked to market LTVs derived by comparing total outstanding balance and the value of total collateral we hold against
these balances. Valuation weighted Loan to Value ratio is calculated using the following formula: LTV = total outstandings in
portfolio/total property values of total outstandings in portfolio.
‘Value at Risk (VaR)’
level and within a specific timeframe.
‘Weighted off balance sheet commitments’
factors used in the Standardised Approach to credit risk.
‘Wholesale loans’ or ‘wholesale lending’
‘Write -off (gross)’
to try to recover the asset or it is deemed immaterial or full and final settlement is reached and the shortfall written off. In the
event of write-off, the customer balance is removed from the balance sheet and the impairment allowance held against the asset is
released. Net write-offs represent gross write-offs less post write - off recoveries.
‘Wrong -way risk’
Arises in a trading exposure when there is significant correlation between the underlying asset and the
counterparty, which in the event of default would lead to a significant mark to market loss. When assessing the credit exposure of a
wrong -way trade, analysts take into account the correlation between the counterparty and the underlying asset as part of the
sanctioning process.