Other disclosures - Risk Management and Principal Risks (audited) (Tables) | 12 Months Ended |
Dec. 31, 2019 |
Other disclosures - Risk Management and Principal Risks | |
Maximum exposure and effects of collateral and other credit enhancements (audited) | Maximum exposure and effects of netting, collateral and risk transfer (audited) Maximum exposure Netting and set-off Cash collateral Non-cash collateral Risk transfer Net exposure As at 31 December 2019 £m £m £m £m £m £m On-balance sheet: Cash and balances at central banks 150,258 - - - - 150,258 Cash collateral and settlement balances 83,256 - - - - 83,256 Loans and advances at amortised cost: Home loans 154,479 - (294) (153,939) (70) 176 Credit cards, unsecured loans and other retail lending 55,296 - (778) (5,283) (258) 48,977 Wholesale loans 129,340 (7,636) (148) (39,981) (11,145) 70,430 Total loans and advances at amortised cost 339,115 (7,636) (1,220) (199,203) (11,473) 119,583 Of which credit-impaired (Stage 3): Home loans 1,809 - (2) (1,785) (14) 8 Credit cards, unsecured loans and other retail lending 1,074 - (12) (250) (2) 810 Wholesale loans 1,812 - (9) (909) (20) 874 Total credit-impaired loans and advances at amortised cost 4,695 - (23) (2,944) (36) 1,692 Reverse repurchase agreements and other similar secured lending 3,379 - - (3,379) - - Trading portfolio assets: Debt securities 52,739 - - (423) - 52,316 Traded loans 5,378 - - (134) - 5,244 Total trading portfolio assets 58,117 - - (557) - 57,560 Financial assets at fair value through the income statement: Loans and advances 22,692 - (14) (16,580) (57) 6,041 Debt securities 5,249 - - - - 5,249 Reverse repurchase agreements 96,887 - (1,132) (95,736) - 19 Other financial assets 763 - - - - 763 Total financial assets at fair value through the income statement 125,591 - (1,146) (112,316) (57) 12,072 Derivative financial instruments 229,236 (175,998) (33,411) (5,511) (5,564) 8,752 Financial assets at fair value through other comprehensive income 64,727 - - (305) (1,051) 63,371 Other assets 1,375 - - - - 1,375 Total on-balance sheet 1,055,054 (183,634) (35,777) (321,271) (18,145) 496,227 Off-balance sheet: Contingent liabilities 24,527 - (400) (4,412) (159) 19,556 Loan commitments 334,455 - (84) (47,008) (1,436) 285,927 Total off-balance sheet 358,982 - (484) (51,420) (1,595) 305,483 Total 1,414,036 (183,634) (36,261) (372,691) (19,740) 801,710 Maximum exposure and effects of netting, collateral and risk transfer (audited) Maximum exposure Netting and set-off Cash collateral Non-cash collateral Risk transfer Net exposure As at 31 December 2018 £m £m £m £m £m £m On-balance sheet: Cash and balances at central banks 177,069 - - - - 177,069 Cash collateral and settlement balances 77,222 - - - - 77,222 Loans and advances at amortised cost: Home loans 150,284 - (295) (149,679) (132) 178 Credit cards, unsecured loans and other retail lending 56,431 - (725) (5,608) (451) 49,647 Wholesale loans 119,691 (7,550) (65) (41,042) (4,454) 66,580 Total loans and advances at amortised cost 326,406 (7,550) (1,085) (196,329) (5,037) 116,405 Of which credit-impaired (Stage 3): Home loans 2,125 - (3) (2,083) (31) 8 Credit cards, unsecured loans and other retail lending 1,249 - (6) (232) (38) 973 Wholesale loans 1,762 - - (895) (17) 850 Total credit-impaired loans and advances at amortised cost 5,136 - (9) (3,210) (86) 1,831 Reverse repurchase agreements and other similar secured lending 2,308 - (17) (2,261) - 30 Trading portfolio assets: Debt securities 57,283 - - (451) - 56,832 Traded loans 7,234 - - (154) - 7,080 Total trading portfolio assets 64,517 - - (605) - 63,912 Financial assets at fair value through the income statement: Loans and advances 19,524 - (11) (11,782) (89) 7,642 Debt securities 4,522 - - (445) - 4,077 Reverse repurchase agreements 119,041 - (2,996) (115,601) - 444 Other financial assets 542 - - - - 542 Total financial assets at fair value through the income statement 143,629 - (3,007) (127,828) (89) 12,705 Derivative financial instruments 222,538 (172,001) (31,402) (5,502) (4,712) 8,921 Financial assets at fair value through other comprehensive income 51,694 - - - (399) 51,295 Other assets 1,006 - - - - 1,006 Total on-balance sheet 1,066,389 (179,551) (35,511) (332,525) (10,237) 508,565 Off-balance sheet: Contingent liabilities 20,303 - (399) (1,418) (190) 18,296 Loan commitments 324,223 - (124) (42,117) (1,395) 280,587 Total off-balance sheet 344,526 - (523) (43,535) (1,585) 298,883 Total 1,410,915 (179,551) (36,034) (376,060) (11,822) 807,448 |
Loans and advances at amortised cost by stage and product (audited) | Loans and advances at amortised cost by stage (audited) Gross exposure Impairment allowance Net exposure Stage 1 Stage 2 Stage 3 Total Stage 1 Stage 2 Stage 3 Total As at 31 December 2019 £m £m £m £m £m £m £m £m £m Barclays UK 143,097 23,198 2,446 168,741 198 1,277 974 2,449 166,292 Barclays International 27,886 4,026 1,875 33,787 352 774 1,359 2,485 31,302 Head Office 4,803 500 826 6,129 5 36 305 346 5,783 Total Barclays Group retail 175,786 27,724 5,147 208,657 555 2,087 2,638 5,280 203,377 Barclays UK 27,891 2,397 1,124 31,412 16 38 108 162 31,250 Barclays International a 92,615 8,113 1,615 102,343 136 248 447 831 101,512 Head Office 2,974 - 37 3,011 - - 35 35 2,976 Total Barclays Group wholesale 123,480 10,510 2,776 136,766 152 286 590 1,028 135,738 Total loans and advances at amortised cost 299,266 38,234 7,923 345,423 707 2,373 3,228 6,308 339,115 Off-balance sheet loan commitments and financial guarantee contracts b 321,140 19,185 935 341,260 97 170 55 322 340,938 Total c 620,406 57,419 8,858 686,683 804 2,543 3,283 6,630 680,053 Loan impairment charge and loan loss rate Coverage ratio Loan impairment charge Loan loss rate Stage 1 Stage 2 Stage 3 Total As at 31 December 2019 % % % % £m bps Barclays UK 0.1 5.5 39.8 1.5 661 39 Barclays International 1.3 19.2 72.5 7.4 999 296 Head Office 0.1 7.2 36.9 5.6 27 44 Total Barclays Group retail 0.3 7.5 51.3 2.5 1,687 81 Barclays UK 0.1 1.6 9.6 0.5 33 11 Barclays International a 0.1 3.1 27.7 0.8 113 11 Head Office - - 94.6 1.2 - - Total Barclays Group wholesale 0.1 2.7 21.3 0.8 146 11 Total loans and advances at amortised cost 0.2 6.2 40.7 1.8 1,833 53 Off-balance sheet loan commitments and financial guarantee contracts b - 0.9 5.9 0.1 71 Other financial assets subject to impairment c 8 Total d 0.1 4.4 37.1 1.0 1,912 Notes a Includes Wealth and Private Banking exposures measured on an individual customer exposure basis. b Excludes loan commitments and financial guarantees of £ 17.7 bn carried at fair value. c 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 £ 149.3 bn and impairment allowance of £ 24m . This comprises £ 12 m ECL on £ 148.5 bn Stage 1 assets, £ 2 m on £ 0.8 bn S tage 2 fair value through other comprehensive income asset s cash collateral and settlement assets and £10m on £10m Stage 3 other assets. d The loan loss r ate is 55bps after applying the total impairment charge of £1,912m. Loans and advances at amortised cost by stage (audited) Gross exposure Impairment allowance Net exposure Stage 1 Stage 2 Stage 3 Total Stage 1 Stage 2 Stage 3 Total As at 31 December 2018 £m £m £m £m £m £m £m £m £m Barclays UK 134,911 25,279 3,040 163,230 183 1,389 1,152 2,724 160,506 Barclays International 26,714 4,634 1,830 33,178 352 965 1,315 2,632 30,546 Head Office 6,510 636 938 8,084 9 47 306 362 7,722 Total Barclays Group retail 168,135 30,549 5,808 204,492 544 2,401 2,773 5,718 198,774 Barclays UK 22,824 4,144 1,272 28,240 16 70 117 203 28,037 Barclays International a 87,344 8,754 1,382 97,480 128 244 439 811 96,669 Head Office 2,923 - 41 2,964 - - 38 38 2,926 Total Barclays Group wholesale 113,091 12,898 2,695 128,684 144 314 594 1,052 127,632 Total loans and advances at amortised cost 281,226 43,447 8,503 333,176 688 2,715 3,367 6,770 326,406 Off-balance sheet loan commitments and financial guarantee contracts b 309,989 22,126 684 332,799 99 150 22 271 332,528 Total c 591,215 65,573 9,187 665,975 787 2,865 3,389 7,041 658,934 Loan impairment charge and loan loss rate Coverage ratio Loan impairment charge Loan loss rate Stage 1 Stage 2 Stage 3 Total As at 31 December 2018 % % % % £m bps Barclays UK 0.1 5.5 37.9 1.7 830 51 Barclays International 1.3 20.8 71.9 7.9 844 254 Head Office 0.1 7.4 32.6 4.5 15 19 Total Barclays Group retail 0.3 7.9 47.7 2.8 1,689 83 Barclays UK 0.1 1.7 9.2 0.7 74 26 Barclays International a 0.1 2.8 31.8 0.8 (142) - Head Office - - 92.7 1.3 (31) - Total Barclays Group wholesale 0.1 2.4 22.0 0.8 (99) - Total loans and advances at amortised cost 0.2 6.2 39.6 2.0 1,590 48 Off-balance sheet loan commitments and financial guarantee contracts b - 0.7 3.2 0.1 (125) Other financial assets subject to impairment c 3 Total d 0.1 4.4 36.9 1.1 1,468 Notes a Included in the above analysis are Wealth and Private Banking exposures measured on an individual customer exposure basis. b Excludes loan commitments a nd financial guarantees of £11.7 bn carried at fair value. c 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 £129.9 b n and impairment allowance of £12 m. This comprises £10m ECL on £129.3bn Stage 1 assets and £2m on £0.6bn Stage 2 fair value through other comprehensive income assets. d The loan loss rate is 44bps after appl ying the total impairment charge of £1,468m . Loans and advances at amortised cost by product (audited) Stage 2 As at 31 December 2019 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 135,713 14,733 1,585 725 17,043 2,155 154,911 Credit cards, unsecured loans and other retail lending 46,012 9,759 496 504 10,759 3,409 60,180 Wholesale loans 117,541 9,374 374 684 10,432 2,359 130,332 Total 299,266 33,866 2,455 1,913 38,234 7,923 345,423 Impairment allowance Home loans 22 37 14 13 64 346 432 Credit cards, unsecured loans and other retail lending 542 1,597 159 251 2,007 2,335 4,884 Wholesale loans 143 284 9 9 302 547 992 Total 707 1,918 182 273 2,373 3,228 6,308 Net exposure Home loans 135,691 14,696 1,571 712 16,979 1,809 154,479 Credit cards, unsecured loans and other retail lending 45,470 8,162 337 253 8,752 1,074 55,296 Wholesale loans 117,398 9,090 365 675 10,130 1,812 129,340 Total 298,559 31,948 2,273 1,640 35,861 4,695 339,115 Coverage ratio % % % % % % % Home loans - 0.3 0.9 1.8 0.4 16.1 0.3 Credit cards, unsecured loans and other retail lending 1.2 16.4 32.1 49.8 18.7 68.5 8.1 Wholesale loans 0.1 3.0 2.4 1.3 2.9 23.2 0.8 Total 0.2 5.7 7.4 14.3 6.2 40.7 1.8 As at 31 December 2018 Gross exposure £m £m £m £m £m £m £m Home loans 130,066 15,672 1,672 862 18,206 2,476 150,748 Credit cards, unsecured loans and other retail lending 45,785 11,262 530 437 12,229 3,760 61,774 Wholesale loans 105,375 12,177 360 475 13,012 2,267 120,654 Total 281,226 39,111 2,562 1,774 43,447 8,503 333,176 Impairment allowance Home loans 31 56 13 13 82 351 464 Credit cards, unsecured loans and other retail lending 528 1,895 169 240 2,304 2,511 5,343 Wholesale loans 129 300 16 13 329 505 963 Total 688 2,251 198 266 2,715 3,367 6,770 Net exposure Home loans 130,035 15,616 1,659 849 18,124 2,125 150,284 Credit cards, unsecured loans and other retail lending 45,257 9,367 361 197 9,925 1,249 56,431 Wholesale loans 105,246 11,877 344 462 12,683 1,762 119,691 Total 280,538 36,860 2,364 1,508 40,732 5,136 326,406 Coverage ratio % % % % % % % Home loans - 0.4 0.8 1.5 0.5 14.2 0.3 Credit cards, unsecured loans and other retail lending 1.2 16.8 31.9 54.9 18.8 66.8 8.6 Wholesale loans 0.1 2.5 4.4 2.7 2.5 22.3 0.8 Total 0.2 5.8 7.7 15.0 6.2 39.6 2.0 |
Movement in gross exposure and impairment allowance including provisions for loan commitments and financial guarantees (audited) | Movement in gross exposures and impairment allowance including provisions for loan commitments and financial guarantees The following tables present a reconciliation of the opening to the closing balance of the exposure and impairment allowance. An explanation of the terms: 12-month ECL, lifetime ECL and credit- impaired is included on page 225 . The disclosure has been enhanced in 2019 to provide furth er granularity by product. Transfers between stages in the tables have been reflected as if they had taken place at the beginning of the year. The movements are measured over a 12-month period. Loans and advances at amortised cost (audited) Stage 1 Stage 2 Stage 3 Total Gross exposure ECL Gross exposure ECL Gross exposure ECL Gross exposure ECL £m £m £m £m £m £m £m £m Home loans As at 1 January 2019 130,066 31 18,206 82 2,476 351 150,748 464 Transfers from Stage 1 to Stage 2 (9,051) (1) 9,051 1 - - - - Transfers from Stage 2 to Stage 1 8,000 28 (8,000) (28) - - - - Transfers to Stage 3 (199) - (510) (15) 709 15 - - Transfers from Stage 3 43 2 294 3 (337) (5) - - Business activity in the year 24,935 3 734 2 3 - 25,672 5 Changes to models used for calculation a - - - - - - - - Net drawdowns, repayments, net re-measurement and movements due to exposure and risk parameter changes (6,931) (38) (843) 27 (214) 24 (7,988) 13 Final repayments (10,427) (2) (1,827) (4) (454) (13) (12,708) (19) Disposals b (723) (1) (62) (4) (2) - (787) (5) Write-offs c - - - - (26) (26) (26) (26) As at 31 December 2019 d 135,713 22 17,043 64 2,155 346 154,911 432 Credit cards, unsecured loans and other retail lending As at 1 January 2019 45,785 528 12,229 2,304 3,760 2,511 61,774 5,343 Transfers from Stage 1 to Stage 2 (3,604) (72) 3,604 72 - - - - Transfers from Stage 2 to Stage 1 4,522 701 (4,522) (701) - - - - Transfers to Stage 3 (857) (21) (1,264) (448) 2,121 469 - - Transfers from Stage 3 144 103 28 14 (172) (117) - - Business activity in the year 9,664 120 704 123 89 39 10,457 282 Changes to models used for calculation a - 16 - (110) - (7) - (101) Net drawdowns, repayments, net re-measurement and movements due to exposure and risk parameter changes (5,975) (779) 351 806 373 1,836 (5,251) 1,863 Final repayments (3,667) (54) (371) (53) (290) (74) (4,328) (181) Disposals b - - - - (777) (627) (777) (627) Write-offs c - - - - (1,695) (1,695) (1,695) (1,695) As at 31 December 2019 d 46,012 542 10,759 2,007 3,409 2,335 60,180 4,884 Wholesale loans As at 1 January 2019 105,375 129 13,012 329 2,267 505 120,654 963 Transfers from Stage 1 to Stage 2 (3,419) (11) 3,419 11 - - - - Transfers from Stage 2 to Stage 1 5,213 84 (5,213) (84) - - - - Transfers to Stage 3 (501) (2) (650) (19) 1,151 21 - - Transfers from Stage 3 473 35 205 25 (678) (60) - - Business activity in the year 40,837 51 1,757 27 31 - 42,625 78 Changes to models used for calculation a - (9) - (19) - - - (28) Net drawdowns, repayments, net re-measurement and movements due to exposure and risk parameter changes 5,929 (104) 321 85 122 334 6,372 315 Final repayments (34,081) (30) (2,419) (53) (372) (91) (36,872) (174) Disposals b (2,285) - - - - - (2,285) - Write-offs c - - - - (162) (162) (162) (162) As at 31 December 2019 d 117,541 143 10,432 302 2,359 547 130,332 992 Notes a Changes to models used for calculation include a £101m movement in Credit cards, unsecured loans and other retail lending and a £28m movement in Wholesale loans. These reflect methodology changes made during the year. Barclays continually review the output of models to determine accuracy of the ECL calculation including review of model monitoring, external benchmarking and experience of model operation over an extended period of time. This ensures that the models used continue to reflect the risks inherent across the businesses. b The £787m movement of gross loans and advances disposed of across Home loans relates to the sale of a portfolio of mortgages from the Italian loan book. The £777m disposal reported within Credit cards, unsecured loans and other retail lending portfolio relates to debt sales undertaken during the year. Finally, disposals of £2,285m within Wholesale loans relate to the sale of debt securities as part of the Group’s Treasury operations. c In 2019, gross write-offs amounted to £1,883 m (2018: £1,891m) and post writ e-off recoveries amounted to £124 m (2018: £195m). Net write-offs represent gross write-offs less post write-of f recoveries and amounted to £1,759 m (2018: £1,696m). d Other financial assets subject to impairment not inc luded 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 £149.3bn (December 2018: £129.9bn) and impairment allowance o f £24m (December 2018: £12m). This comprises £12m ECL (December 2018: £10m) on £148.5bn Stage 1 assets (December 2018: £129.3bn), £2m (December 2018: £2m) on £0.8bn Stage 2 fair value through other comprehensive income assets, cash collateral and settlemen t assets (December 2018: £0.6bn) and £10m (December 2018: £nil) on £10m Stage 3 other assets (December 2018: £nil). Reconciliation of ECL movement to impairment charge/(release) for the period £m Home loans (1) Credit cards, unsecured loans and other retail lending 1,863 Wholesale loans 191 ECL movement excluding assets derecognised due to disposals and write-offs 2,053 Post write-off recoveries (124) Exchange and other adjustments a (96) Impairment charge on loan commitments and financial guarantees 71 Impairment charge on other financial assets b 8 Income statement charge for the period 1,912 Notes a Includes foreign exchange and interest and fees in suspense. b 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 £149.3bn (December 2018: £129.9bn) and impairment allowance of £24m (December 2018: £12m). This comprises £12m ECL (December 2018: £10m) on £148.5bn Stage 1 assets (December 2018: £129.3bn), £2m (December 2018: £2m) on £0.8bn Stage 2 fair value through other comprehensive income assets, cash collateral and settlement assets (December 2018: £0.6bn) and £10m (December 2018: £nil) on £10m Stage 3 other assets (December 2018: £nil Loan commitments and financial guarantees (audited) Stage 1 Stage 2 Stage 3 Total Gross exposure ECL Gross exposure ECL Gross exposure ECL Gross exposure ECL £m £m £m £m £m £m £m £m Home loans As at 1 January 2019 6,948 - 546 - 13 - 7,507 - Net transfers between stages (39) - 47 - (8) - - - Business activity in the year 2,848 - - - - - 2,848 - Net drawdowns, repayments, net re-measurement and movement due to exposure and risk parameter changes 1 - (40) - - - (39) - Final repayments (216) - (53) - (1) - (270) - As at 31 December 2019 9,542 - 500 - 4 - 10,046 - Credit cards, unsecured loans and other retail lending As at 1 January 2019 124,611 41 9,016 65 267 20 133,894 126 Net transfers between stages 117 44 (1,082) (43) 965 (1) - - Business activity in the year 14,619 2 218 1 6 6 14,843 9 Net drawdowns, repayments, net re-measurement and movement due to exposure and risk parameter changes (1,151) (48) (1,172) 54 (874) (9) (3,197) (3) Final repayments (12,437) (4) (742) (6) (114) (2) (13,293) (12) As at 31 December 2019 125,759 35 6,238 71 250 14 132,247 120 Wholesale loans As at 1 January 2019 178,430 58 12,564 85 404 2 191,398 145 Net transfers between stages (875) 7 580 (8) 295 1 - - Business activity in the year 53,685 22 2,779 22 16 - 56,480 44 Net drawdowns, repayments, net re-measurement and movement due to exposure and risk parameter changes (487) (1) 1,190 36 232 41 935 76 Final repayments (44,914) (24) (4,666) (36) (266) (3) (49,846) (63) As at 31 December 2019 185,839 62 12,447 99 681 41 198,967 202 Impairment allowance on loans and advances at amortised cost (audited) Stage 1 Stage 2 Stage 3 Total £m £m £m £m As at 1 January 2018 608 3,112 3,382 7,102 Net transfers between stages 798 (1,182) 384 - Business activity in the year 223 173 95 491 Net re-measurement and movement due to exposure and risk parameter changes (865) 638 1,918 1,691 UK economic uncertainty adjustment - 150 - 150 Final repayments (76) (176) (152) (404) Disposals - - (369) (369) Write-offs - - (1,891) (1,891) As at 31 December 2018 a 688 2,715 3,367 6,770 Reconciliation of ECL movement to impairment charge/(release) for the period ECL movement excluding assets derecognised due to disposals and write-offs 1,928 Post write-off recoveries (195) Exchange and other adjustments (143) Impairment release on loan commitments and financial guarantees b (125) Impairment charge on other financial assets 3 Income statement charge/(release) for the period 1,468 |
Management adjustments to models for impairment | Management adjustments to models for impairment (audited) Management adjustments to impairment models are applied in order to factor in certain conditions or changes in policy that are not fully incorporated into the impairment models, or to reflect additional facts and circumstances at the period end. M anagement adjustments are reviewed and incorporated into future model development where applicable . Total management adjustments to impairment allowance are presented by product below. Management adjustments to models for impairment (audited) a 2019 2018 Management adjustments to impairment allowances, including forbearance Proportion of total impairment allowances Management adjustments to impairment allowances, including forbearance Proportion of total impairment allowances As at 31 December £m % £m % Home loans 57 13.2 59 12.7 Credit cards, unsecured loans and other retail lending 308 6.3 385 7.2 Wholesale loans (25) (2.5) (6) (0.6) Total 340 5.4 438 6.5 Note a Positive values relate to an increase in impairment allowance. |
Core macroeconomic variables for each scenario and the respective scenario weights | The tables below show the macroeconomic variables for each scenario and their respective scenario we ights. Macroeconomic variables are presented using the most relevant basis for each variable. 5 - year average tables and movement over time graphs provide additional transparency . Scenario probability weighting (audited) Upside 2 Upside 1 Baseline Downside 1 Downside 2 % % % % % As at 31 December 2019 Scenario probability weighting 10.1 23.1 40.8 22.7 3.3 As at 31 December 2018 Scenario probability weighting 9.0 24.0 41.0 23.0 3.0 Macroeconomic variables used in the calculation of ECL (specific bases) a (audited) Upside 2 Upside 1 Baseline Downside 1 Downside 2 % % % % % As at 31 December 2019 UK GDP b 4.2 2.9 1.6 0.2 (4.7) UK unemployment c 3.4 3.8 4.2 5.7 8.7 UK HPI d 46.0 32.0 3.1 (8.2) (32.4) UK bank rate c 0.5 0.5 0.7 2.8 4.0 US GDP b 4.2 3.3 1.9 0.4 (3.4) US unemployment c 3.0 3.5 3.9 5.3 8.5 US HPI d 37.1 23.3 3.0 0.5 (19.8) US federal funds rate c 1.5 1.5 1.7 3.0 3.5 As at 31 December 2018 UK GDP b 4.5 3.1 1.7 0.3 (4.1) UK unemployment c 3.4 3.9 4.3 5.7 8.8 UK HPI d 46.4 32.6 3.2 (0.5) (32.1) UK bank rate c 0.8 0.8 1.0 2.5 4.0 US GDP b 4.8 3.7 2.1 0.4 (3.3) US unemployment c 3.0 3.4 3.7 5.2 8.4 US HPI d 36.9 30.2 4.1 - (17.4) US federal funds rate c 2.3 2.3 2.7 3.0 3.5 Macroeconomic variables used in the calculation of ECL (5-year averages) a (audited) Upside 2 Upside 1 Baseline Downside 1 Downside 2 % % % % % As at 31 December 2019 UK GDP 3.2 2.4 1.6 0.8 (0.7) UK unemployment 3.5 3.9 4.2 5.4 7.7 UK HPI 7.9 5.7 3.1 (1.1) (6.5) UK bank rate 0.5 0.5 0.7 2.5 3.7 US GDP 3.5 2.8 1.9 1.0 (0.5) US unemployment 3.1 3.6 3.9 5.0 7.5 US HPI 6.5 4.3 3.0 1.3 (3.7) US federal funds rate 1.6 1.7 1.7 2.9 3.4 As at 31 December 2018 UK GDP 3.4 2.6 1.7 0.9 (0.6) UK unemployment 3.7 4.0 4.3 5.1 7.9 UK HPI 7.9 5.8 3.2 0.9 (6.4) UK bank rate 0.8 0.8 1.0 2.3 3.7 US GDP 3.7 3.0 2.1 1.1 (0.5) US unemployment 3.1 3.5 3.7 4.7 7.4 US HPI 6.5 5.4 4.1 2.4 (2.6) US federal funds rate 2.3 2.3 2.7 3.0 3.4 Notes a UK GDP = Real GDP growth seasonally adjusted; UK unemployment = UK unemployment rate 16-year+; UK HPI = Halifax All Houses, All Buyers Index; US GDP = Real GDP growth seasonally adjusted; US unemployment = US civilian unemployment rate 16-year+; US HPI = FHFA house price index. b Highest annual growth in Upside scenarios; 5-year average in Baseline; lowest annual growth in Downside scenarios. c Lowest yearly average in Upside scenarios; 5-year average in Baseline; highest yearly average in Downside scena rios. d Cumulative growth (trough-to- peak) in Upside scenarios; 5-year average in Baseline; cumulative fall (peak-to-trough) in Downside scenarios. |
ECL under 100% weighted scenarios for key principal portfolios | ECL under 100% weighted scenarios for modelled portfolios (audited) The table below shows the ECL assuming scenarios have been 100 % weighted. Model exposures are allocated to a stage based on the individual scenario rather than through a probability-weighted approach as required for Barclays reported impairment allowances. As a result, it is not possible to back solve to the final reported weighted ECL from the individual scenarios as a balance may be assigned to a different st age dependen t on the scenario. Model exposure uses exposure at default (EAD) values and is not directly comparable to gross exposure used in prior disclosures. For Credit cards, unsecured loans and other retail lending, an average EAD measure is used (12 month or life time, depending on stage allocation in each scenario). Therefore, the model exposure movement into Stage 2 is higher than the corresponding Stage 1 reduction. All ECL using a Model is included, with the exception of Treasury assets (£ 9 m of ECL) , providing additional coverage as compared to the 2018 year-end disclosure . Non-modelled exposures and management adjustments are excluded. Management adjustments can be found on page 120 . The prior year comparative includ es key principal portfolios amounting to circ a 80% of total impairment allowance. Model Exposures allocated to Stage 3 do not change in any of the scenarios as the transition criteria relies only on observable evidence of default as at 31 December 2019 and not on macroeconomic scenarios. The Downside 2 scenario represents a severe global recession with substantial falls in both UK and US GDP. Unemployment in both markets rises towards 9 % and there are substantial falls in asset prices including h ousing. Under the Downside 2 scenario, model exposure mo ves between stages as the economic environment weakens. This ca n be seen in the movement of £29 bn of model exposure into Stage 2 between the Weighted and Downside 2 scenario. ECL increases in Stage 2 predominantly due to unsecured portfolios as economic co nditions deteriorate. Scenarios As at 31 December 2019 Weighted Upside 2 Upside 1 Baseline Downside 1 Downside 2 Stage 1 Model Exposure (£m) Home loans 137,929 139,574 138,992 138,249 136,454 132,505 Credit cards, unsecured loans and other retail lending 68,619 69,190 69,012 68,388 68,309 67,015 Wholesale loans 160,544 162,717 162,058 161,111 157,720 143,323 Stage 1 Model ECL (£m) Home loans 6 4 5 5 7 19 Credit cards, unsecured loans and other retail lending 505 490 495 495 511 528 Wholesale loans 209 162 174 188 271 297 Stage 1 Coverage (%) Home loans - - - - - - Credit cards, unsecured loans and other retail lending 0.7 0.7 0.7 0.7 0.7 0.8 Wholesale loans 0.1 0.1 0.1 0.1 0.2 0.2 Stage 2 Model Exposure (£m) Home loans 16,889 15,245 15,826 16,570 18,364 22,314 Credit cards, unsecured loans and other retail lending 13,406 11,449 12,108 13,075 15,663 19,615 Wholesale loans 15,947 13,773 14,433 15,380 18,770 33,168 Stage 2 Model ECL (£m) Home loans 41 33 34 36 47 170 Credit cards, unsecured loans and other retail lending 1,844 1,412 1,562 1,771 2,384 4,285 Wholesale loans 414 285 323 374 579 1,427 Stage 2 Coverage (%) Home loans 0.2 0.2 0.2 0.2 0.3 0.8 Credit cards, unsecured loans and other retail lending 13.8 12.3 12.9 13.5 15.2 21.8 Wholesale loans 2.6 2.1 2.2 2.4 3.1 4.3 Stage 3 Model Exposure (£m) Home loans 1,670 1,670 1,670 1,670 1,670 1,670 Credit cards, unsecured loans and other retail lending 3,008 3,008 3,008 3,008 3,008 3,008 Wholesale loans a 1,489 1,489 1,489 1,489 1,489 1,489 Stage 3 Model ECL (£m) Home loans 268 262 264 266 272 316 Credit cards, unsecured loans and other retail lending 2,198 2,154 2,174 2,195 2,235 2,292 Wholesale loans a 118 111 114 117 127 128 Stage 3 Coverage (%) Home loans 16.0 15.7 15.8 15.9 16.3 18.9 Credit cards, unsecured loans and other retail lending 73.1 71.6 72.3 73.0 74.3 76.2 Wholesale loans a 7.9 7.4 7.6 7.9 8.5 8.6 Total Model ECL (£m) Home loans 315 299 303 307 326 505 Credit cards, unsecured loans and other retail lending 4,547 4,056 4,231 4,461 5,130 7,105 Wholesale loans a 741 558 611 679 977 1,852 Note a Material wholesale loan defaults are individually assessed across different recovery strategies. As a result, ECL of £ 419 m is reported as non-model led in the table below. Reconciliation to total ECL £m Total model ECL 5,603 ECL from non-modelled, individually assessed, and other adjustments 687 ECL from management adjustments 340 Total ECL 6,630 Scenarios As at 31 December 2018 Weighted Upside 2 Upside 1 Baseline Downside 1 Downside 2 Stage 1 Gross Exposure (£m) Home loans 115,573 116,814 116,402 115,924 114,858 109,305 Credit cards, unsecured loans and other retail lending 30,494 32,104 31,082 30,536 29,846 24,884 Wholesale loans 80,835 81,346 81,180 80,941 80,517 73,715 Stage 1 ECL (£m) Home loans 1 - - - 1 9 Credit cards, unsecured loans and other retail lending 355 304 343 351 365 388 Wholesale loans 175 161 163 162 203 242 Stage 1 Coverage (%) Home loans - - - - - - Credit cards, unsecured loans and other retail lending 1.2 0.9 1.1 1.1 1.2 1.6 Wholesale loans 0.2 0.2 0.2 0.2 0.3 0.3 Stage 2 Gross Exposure (£m) Home loans 17,455 16,214 16,627 17,105 18,170 23,724 Credit cards, unsecured loans and other retail lending 10,943 9,334 10,355 10,902 11,591 16,553 Wholesale loans 11,377 10,866 11,031 11,271 11,694 18,496 Stage 2 ECL (£m) Home loans 7 1 1 3 7 172 Credit cards, unsecured loans and other retail lending 2,013 1,569 1,779 1,969 2,331 4,366 Wholesale loans 323 277 290 302 397 813 Stage 2 Coverage (%) Home loans - - - - - 0.7 Credit cards, unsecured loans and other retail lending 18.4 16.8 17.2 18.1 20.1 26.4 Wholesale loans 2.8 2.5 2.6 2.7 3.4 4.4 Stage 3 Gross Exposure (£m) Home loans 1,104 1,104 1,104 1,104 1,104 1,104 Credit cards, unsecured loans and other retail lending 2,999 2,999 2,999 2,999 2,999 2,999 Wholesale loans a 1,165 n/a n/a 1,165 n/a n/a Stage 3 ECL (£m) Home loans 6 3 4 5 7 27 Credit cards, unsecured loans and other retail lending 2,200 2,154 2,174 2,199 2,234 2,297 Wholesale loans a 333 n/a n/a 323 n/a n/a Stage 3 Coverage (%) Home loans 0.5 0.3 0.4 0.5 0.7 2.4 Credit cards, unsecured loans and other retail lending 73.4 71.8 72.5 73.3 74.5 76.6 Wholesale loans a 28.6 n/a n/a 27.7 n/a n/a Total ECL (£m) Home loans 14 4 5 8 15 208 Credit cards, unsecured loans and other retail lending 4,568 4,027 4,296 4,519 4,930 7,051 Wholesale loans a 831 n/a n/a 787 n/a n/a Note a Material corporate loan defaults are individually assessed across different recovery strategies which are impacted by the macroeconomic variables. As a result, only the Baseline scenario is shown together with the weighted estimate which reflects alternative recovery paths |
Concentrations of Credit Risk by geography and industry (audited) | Credit risk concentrations by geography (audited) United Kingdom Americas Europe Asia Africa and Middle East Total £m £m £m £m £m £m As at 31 December 2019 On-balance sheet: Cash and balances at central banks 51,477 28,273 54,632 15,130 746 150,258 Cash collateral and settlement balances 27,431 23,595 26,008 5,385 837 83,256 Loans and advances at amortised cost 257,459 46,569 25,599 6,275 3,213 339,115 Reverse repurchase agreements and other similar secured lending 1,005 15 1,056 470 833 3,379 Trading portfolio assets 11,550 27,621 13,397 4,786 763 58,117 Financial assets at fair value through the income statement 29,001 70,849 11,286 12,534 1,921 125,591 Derivative financial instruments 69,844 63,344 83,165 11,189 1,694 229,236 Financial assets at fair value through other comprehensive income 9,444 23,052 24,443 7,665 123 64,727 Other assets 1,170 126 79 - - 1,375 Total on-balance sheet 458,595 283,267 239,628 63,434 10,130 1,055,054 Off-balance sheet: Contingent liabilities 7,539 10,839 3,862 1,562 726 24,528 Loan commitments 105,350 188,108 36,033 3,166 1,797 334,454 Total off-balance sheet 112,889 198,947 39,895 4,728 2,523 358,982 Total 571,484 482,214 279,523 68,162 12,653 1,414,036 As at 31 December 2018 On-balance sheet: Cash and balances at central banks 64,343 36,045 66,887 9,076 718 177,069 Cash collateral and settlement balances 27,418 22,184 22,316 4,928 376 77,222 Loans and advances at amortised cost 240,116 49,592 27,913 5,371 3,414 326,406 Reverse repurchase agreements and other similar secured lending 724 68 113 83 1,320 2,308 Trading portfolio assets 12,444 34,369 13,375 3,616 713 64,517 Financial assets at fair value through the income statement 33,842 73,489 20,984 13,556 1,758 143,629 Derivative financial instruments 69,798 58,699 80,003 12,172 1,866 222,538 Financial investments - debt securities 11,494 13,953 23,298 2,786 163 51,694 Other assets 780 100 125 - 1 1,006 Total on-balance sheet 460,959 288,499 255,014 51,588 10,329 1,066,389 Off-balance sheet: Contingent liabilities 5,910 8,996 3,572 1,289 536 20,303 Loan commitments 108,506 175,995 34,524 3,346 1,852 324,223 Total off-balance sheet 114,416 184,991 38,096 4,635 2,388 344,526 Total 575,375 473,490 293,110 56,223 12,717 1,410,915 Credit risk concentrations by industry (audited) Banks Other financial insti- tutions Manu- facturing Const- ruction and property Govern- ment and central bank Energy and water Whole- sale and retail distri- bution and leisure Business and other services Home loans Cards, unsecured loans and other personal lending Other Total £m £m £m £m £m £m £m £m £m £m £m £m As at 31 December 2019 On-balance sheet: Cash and balances at central banks 7 73 - - 150,178 - - - - - - 150,258 Cash collateral and settlement balances 16,599 55,262 516 64 9,251 536 51 642 - - 335 83,256 Loans and advances at amortised cost 8,788 20,473 8,323 24,403 23,847 5,346 10,031 17,125 154,479 55,232 11,068 339,115 Reverse repurchase agreements and other similar secured lending 1,172 2,134 - - 73 - - - - - - 3,379 Trading portfolio assets 2,872 9,049 2,787 1,053 33,092 2,996 842 3,158 - - 2,268 58,117 Financial assets at fair value through the income statement 10,747 97,849 634 6,909 5,353 45 - 3,569 358 - 127 125,591 Derivative financial instruments 125,323 83,285 2,049 2,273 7,811 3,077 562 1,520 - 2 3,334 229,236 Financial assets at fair value through other comprehensive income 18,596 4,370 - 286 40,763 - - 430 - - 282 64,727 Other assets 897 322 1 5 2 7 2 109 - 18 12 1,375 Total on-balance sheet 185,001 272,817 14,310 34,993 270,370 12,007 11,488 26,553 154,837 55,252 17,426 1,055,054 Off-balance sheet: Contingent liabilities 1,250 8,043 3,549 703 1,981 3,318 1,072 2,831 - 109 1,671 24,527 Loan commitments 1,909 47,815 42,148 14,358 1,704 29,877 14,711 22,932 10,060 124,841 24,100 334,455 Total off-balance sheet 3,159 55,858 45,697 15,061 3,685 33,195 15,783 25,763 10,060 124,950 25,771 358,982 Total 188,160 328,675 60,007 50,054 274,055 45,202 27,271 52,316 164,897 180,202 43,197 1,414,036 As at 31 December 2018 On-balance sheet: Cash and balances at central banks - - - - 177,069 - - - - - - 177,069 Cash collateral and settlement balances 17,341 48,398 498 75 9,235 386 223 717 - - 349 77,222 Loans and advances at amortised cost 9,478 18,653 8,775 23,565 12,764 5,515 11,609 19,716 150,284 55,298 10,749 326,406 Reverse repurchase agreements and other similar secured lending 1,368 865 - 37 38 - - - - - - 2,308 Trading portfolio assets 3,500 9,550 3,825 897 34,968 4,202 1,202 3,481 - - 2,892 64,517 Financial assets at fair value through the income statement 30,374 96,378 - 8,914 5,331 32 13 2,178 405 - 4 143,629 Derivative financial instruments 123,769 80,376 2,390 1,993 5,987 2,791 486 2,004 - - 2,742 222,538 Financial investments - debt securities 12,135 2,250 - 200 36,973 - - 136 - - - 51,694 Other assets 580 426 - - - - - - - - - 1,006 Total on-balance sheet 198,545 256,896 15,488 35,681 282,365 12,926 13,533 28,232 150,689 55,298 16,736 1,066,389 Off-balance sheet: Contingent liabilities 939 3,840 3,470 626 1,890 3,491 952 3,455 - 116 1,524 20,303 Loan commitments 1,267 42,890 39,978 14,362 1,629 26,519 14,566 22,142 8,900 126,640 25,330 324,223 Total off-balance sheet 2,206 46,730 43,448 14,988 3,519 30,010 15,518 25,597 8,900 126,756 26,854 344,526 Total 200,751 303,626 58,936 50,669 285,884 42,936 29,051 53,829 159,589 182,054 43,590 1,410,915 |
Balance Sheet credit quality (audited) | Balance sheet credit quality (audited) PD range Total PD range Total 0.0 to <0.60% 0.60 to <11.35% 11.35 to 100% 0.0 to <0.60% 0.60 to <11.35% 11.35 to 100% £m £m £m £m % % % % As at 31 December 2019 Cash and balances at central banks 150,258 - - 150,258 100 - - 100 Cash collateral and settlement balances 73,122 10,134 - 83,256 88 12 - 100 Loans and advances at amortised cost: Home loans 146,269 5,775 2,435 154,479 94 4 2 100 Credit cards, unsecured and other retail lending 20,750 31,425 3,121 55,296 38 56 6 100 Wholesale loans 97,854 28,150 3,336 129,340 75 22 3 100 Total loans and advances at amortised cost 264,873 65,350 8,892 339,115 78 19 3 100 Reverse repurchase agreements and other similar secured lending 3,290 89 - 3,379 97 3 - 100 Trading portfolio assets: Debt securities 49,117 3,479 143 52,739 93 7 - 100 Traded loans 864 3,219 1,295 5,378 16 60 24 100 Total trading portfolio assets 49,981 6,698 1,438 58,117 86 12 2 100 Financial assets at fair value through the income statement: Loans and advances 14,467 7,993 232 22,692 64 35 1 100 Debt securities 4,806 413 30 5,249 91 8 1 100 Reverse repurchase agreements 62,475 34,232 180 96,887 65 35 - 100 Other financial assets 757 6 - 763 99 1 - 100 Total financial assets at fair value through the income statement 82,505 42,644 442 125,591 66 34 - 100 Derivative financial instruments 216,103 13,012 121 229,236 94 6 - 100 Financial assets at fair value through other comprehensive income 64,727 - - 64,727 100 - - 100 Other assets 1,242 133 - 1,375 90 10 - 100 Total on-balance sheet 906,101 138,060 10,893 1,055,054 86 13 1 100 As at 31 December 2018 Cash and balances at central banks 177,069 - - 177,069 100 - - 100 Cash collateral and settlement balances 70,455 6,763 4 77,222 91 9 - 100 Loans and advances at amortised cost: Home loans 137,449 9,701 3,134 150,284 92 6 2 100 Credit cards, unsecured and other retail lending 21,786 31,664 2,981 56,431 39 56 5 100 Wholesale loans 86,271 30,108 3,312 119,691 72 25 3 100 Total loans and advances at amortised cost 245,506 71,473 9,427 326,406 75 22 3 100 Reverse repurchase agreements and other similar secured lending 1,820 444 44 2,308 79 19 2 100 Trading portfolio assets: Debt securities 51,896 4,998 389 57,283 90 9 1 100 Traded loans 1,903 4,368 963 7,234 27 60 13 100 Total trading portfolio assets 53,799 9,366 1,352 64,517 83 15 2 100 Financial assets at fair value through the income statement: Loans and advances 13,177 6,295 52 19,524 68 32 - 100 Debt securities 4,380 81 61 4,522 97 2 1 100 Reverse repurchase agreements 85,887 31,813 1,341 119,041 72 27 1 100 Other financial assets 524 18 - 542 97 3 - 100 Total financial assets at fair value through the income statement 103,968 38,207 1,454 143,629 72 27 1 100 Derivative financial instruments 211,695 10,791 52 222,538 95 5 - 100 Financial assets at fair value through other comprehensive income 51,546 148 - 51,694 100 - - 100 Other assets 723 283 - 1,006 72 28 - 100 Total on-balance sheet 916,581 137,475 12,333 1,066,389 86 13 1 100 |
Credit risk profile by internal PD band for loans and advances at amortised cost, contingent liabilities and loan commitments (audited) | Credit risk profile by internal PD grade for loans and advances at amortised cost (audited) Gross carrying amount Allowance for ECL Net exposure Coverage ratio Grading PD range Credit quality description Stage 1 Stage 2 Stage 3 Total Stage 1 Stage 2 Stage 3 Total % £m £m £m £m £m £m £m £m £m % As at 31 December 2019 1-3 0.0 to <0.05% Strong 91,993 1,615 - 93,608 13 13 - 26 93,582 - 4-5 0.05 to <0.15% Strong 92,668 7,704 - 100,372 12 12 - 24 100,348 - 6-8 0.15 to <0.30% Strong 29,187 4,444 - 33,631 23 5 - 28 33,603 0.1 9-11 0.30 to <0.60% Strong 34,515 2,932 - 37,447 91 16 - 107 37,340 0.3 12-14 0.60 to <2.15% Satisfactory 35,690 4,341 - 40,031 210 187 - 397 39,634 1.0 15-19 2.15 to <10% Satisfactory 9,041 9,190 - 18,231 232 981 - 1,213 17,018 6.7 19 10 to <11.35% Satisfactory 5,235 3,629 - 8,864 62 104 - 166 8,698 1.9 20-21 11.35 to <100% Higher Risk 937 4,379 - 5,316 64 1,055 - 1,119 4,197 21.0 22 100% Credit Impaired - - 7,923 7,923 - - 3,228 3,228 4,695 40.7 Total 299,266 38,234 7,923 345,423 707 2,373 3,228 6,308 339,115 1.8 As at 31 December 2018 1-3 0.0 to <0.05% Strong 69,216 1,413 - 70,629 26 21 - 47 70,582 0.1 4-5 0.05 to <0.15% Strong 72,460 3,142 - 75,602 6 13 - 19 75,583 - 6-8 0.15 to <0.30% Strong 47,172 4,728 - 51,900 37 13 - 50 51,850 0.1 9-11 0.30 to <0.60% Strong 43,315 4,273 - 47,588 77 20 - 97 47,491 0.2 12-14 0.60 to <2.15% Satisfactory 38,831 9,561 - 48,392 255 339 - 594 47,798 1.2 15-19 2.15 to <10% Satisfactory 6,920 8,806 - 15,726 202 992 - 1,194 14,532 7.6 19 10 to <11.35% Satisfactory 2,979 6,401 - 9,380 51 186 - 237 9,143 2.5 20-21 11.35 to <100% Higher Risk 333 5,123 - 5,456 34 1,131 - 1,165 4,291 21.4 22 100% Credit Impaired - - 8,503 8,503 - - 3,367 3,367 5,136 39.6 Total 281,226 43,447 8,503 333,176 688 2,715 3,367 6,770 326,406 2.0 Credit risk profile by internal PD grade for contingent liabilities (audited) a Gross carrying amount Allowance for ECL Net exposure Coverage ratio Grading PD range Credit quality description Stage 1 Stage 2 Stage 3 Total Stage 1 Stage 2 Stage 3 Total % £m £m £m £m £m £m £m £m £m % As at 31 December 2019 1-3 0.0 to <0.05% Strong 6,947 118 - 7,065 3 - - 3 7,062 - 4-5 0.05 to <0.15% Strong 4,199 40 - 4,239 1 - - 1 4,238 - 6-8 0.15 to <0.30% Strong 2,953 103 - 3,056 1 - - 1 3,055 - 9-11 0.30 to <0.60% Strong 4,551 136 - 4,687 2 2 - 4 4,683 0.1 12-14 0.60 to <2.15% Satisfactory 2,529 654 - 3,183 7 8 - 15 3,168 0.5 15-19 2.15 to <10% Satisfactory 663 244 - 907 4 8 - 12 895 1.3 19 10 to <11.35% Satisfactory 421 172 - 593 9 9 - 18 575 3.0 20-21 11.35 to <100% Higher Risk 117 282 - 399 - 30 - 30 369 7.5 22 100% Credit Impaired - - 355 355 - - 5 5 350 1.4 Total 22,380 1,749 355 24,484 27 57 5 89 24,395 0.4 As at 31 December 2018 1-3 0.0 to <0.05% Strong 6,674 37 - 6,711 3 - - 3 6,708 - 4-5 0.05 to <0.15% Strong 3,687 129 - 3,816 1 - - 1 3,815 - 6-8 0.15 to <0.30% Strong 1,433 55 - 1,488 1 - - 1 1,487 0.1 9-11 0.30 to <0.60% Strong 3,206 222 - 3,428 1 3 - 4 3,424 0.1 12-14 0.60 to <2.15% Satisfactory 2,543 509 - 3,052 3 6 - 9 3,043 0.3 15-19 2.15 to <10% Satisfactory 464 252 - 716 1 3 - 4 712 0.6 19 10 to <11.35% Satisfactory 534 203 - 737 6 5 - 11 726 1.5 20-21 11.35 to <100% Higher Risk 49 228 - 277 - 10 - 10 267 3.6 22 100% Credit Impaired - - 74 74 - - 2 2 72 2.7 Total 18,590 1,635 74 20,299 16 27 2 45 20,254 0.2 Credit risk profile by internal PD grade for loan commitments (audited) a Gross carrying amount Allowance for ECL Net exposure Coverage ratio Grading PD range Credit quality description Stage 1 Stage 2 Stage 3 Total Stage 1 Stage 2 Stage 3 Total % £m £m £m £m £m £m £m £m £m % As at 31 December 2019 1-3 0.0 to <0.05% Strong 85,908 1,025 - 86,933 2 1 - 3 86,930 - 4-5 0.05 to <0.15% Strong 70,112 1,889 - 72,001 5 1 - 6 71,995 - 6-8 0.15 to <0.30% Strong 53,340 1,019 - 54,359 8 1 - 9 54,350 - 9-11 0.30 to <0.60% Strong 44,097 1,592 - 45,689 13 1 - 14 45,675 - 12-14 0.60 to <2.15% Satisfactory 36,112 3,955 - 40,067 30 26 - 56 40,011 0.1 15-19 2.15 to <10% Satisfactory 4,913 3,857 - 8,770 8 55 - 63 8,707 0.7 19 10 to <11.35% Satisfactory 3,662 2,106 - 5,768 4 7 - 11 5,757 0.2 20-21 11.35 to <100% Higher Risk 616 1,993 - 2,609 - 21 - 21 2,588 0.8 22 100% Credit Impaired - - 580 580 - - 50 50 530 8.6 Total 298,760 17,436 580 316,776 70 113 50 233 316,543 0.1 As at 31 December 2018 1-3 0.0 to <0.05% Strong 80,971 1,636 - 82,607 3 2 - 5 82,602 - 4-5 0.05 to <0.15% Strong 54,239 1,498 - 55,737 3 1 - 4 55,733 - 6-8 0.15 to <0.30% Strong 36,714 823 - 37,537 4 1 - 5 37,532 - 9-11 0.30 to <0.60% Strong 34,587 1,483 - 36,070 11 1 - 12 36,058 - 12-14 0.60 to <2.15% Satisfactory 62,217 4,142 - 66,359 32 12 - 44 66,315 0.1 15-19 2.15 to <10% Satisfactory 20,824 6,645 - 27,469 26 44 - 70 27,399 0.3 19 10 to <11.35% Satisfactory 1,100 1,019 - 2,119 1 24 - 25 2,094 1.2 20-21 11.35 to <100% Higher Risk 747 3,245 - 3,992 3 38 - 41 3,951 1.0 22 100% Credit Impaired - - 610 610 - - 20 20 590 3.3 Total 291,399 20,491 610 312,500 83 123 20 226 312,274 0.1 Note a E xcludes loan commitments and financial guarantees of £ 17.7 bn (2018: £ 11.7 bn ) carried at fair value . |
Derivative assets (audited) | Derivative assets (audited) 2019 2018 Balance sheet assets Counterparty netting Net exposure Balance sheet assets Counterparty netting Net exposure As at 31 December £m £m £m £m £m £m Foreign exchange 56,606 44,284 12,322 64,188 50,189 13,999 Interest rate 142,468 106,589 35,879 125,272 95,572 29,700 Credit derivatives 8,215 6,589 1,626 10,755 8,450 2,305 Equity and stock index 20,806 17,517 3,289 20,882 16,653 4,229 Commodity derivatives 1,141 1,019 122 1,441 1,137 304 Total derivative assets 229,236 175,998 53,238 222,538 172,001 50,537 Cash collateral held 33,411 31,402 Net exposure less collateral 19,827 19,135 |
Management Value at Risk (audited) | Management VaR (95%, one day) (audited) 2019 2018 Average High b Low b Average High b Low b For the year ended 31 December a £m £m £m £m £m £m Credit risk 12 17 8 11 16 8 Interest rate risk 6 11 3 8 19 3 Equity risk 10 22 5 7 14 4 Basis risk 8 11 6 6 8 4 Spread risk 4 5 3 6 9 3 Foreign exchange risk 3 5 2 3 7 2 Commodity risk 1 2 - 1 2 - Inflation risk 2 3 1 3 4 2 Diversification effect b (23) n/a n/a (24) n/a n/a Total management VaR 23 29 17 21 27 15 |
Deposit funding (audited) | Deposit funding (audited) 2019 2018 Funding of loans and advances Loans and advances at amortised cost Deposits at amortised cost Loan: deposit ratio a Loan: deposit ratio As at 31 December 2019 £bn £bn % % Barclays UK 198 206 96% 96% Barclays International 133 210 63% 65% Head Office 8 - Barclays Group 339 416 82% 83% Note a The loan: deposit ratio is calculated as loans and advances at amortised cost divided by deposits at amortised cost. |
Contractual maturity of financial assets and liabilities (audited) | Contractual maturity of financial assets and liabilities (audited) As at 31 December 2019 On demand Not more than three months Over three months but not more than six months Over six months but not more than nine months Over nine months but not more than one year Over one year but not more than two years Over two years but not more than three years Over three years but not more than five years Over five years but not more than ten years Over ten years Total £m £m £m £m £m £m £m £m £m £m £m Assets Cash and balances at central banks 149,383 766 109 - - - - - - - 150,258 Cash collateral and settlement balances 2,022 81,231 3 - - - - - - - 83,256 Loans and advances at amortised cost 14,824 10,944 13,108 7,738 7,031 21,771 22,478 37,408 40,702 163,111 339,115 Reverse repurchase agreements and other similar secured lending 13 3,097 - - - 77 190 - - 2 3,379 Trading portfolio assets 114,195 - - - - - - - - - 114,195 Financial assets at fair value through the income statement 14,279 89,355 13,979 3,443 1,317 1,664 512 953 2,302 5,282 133,086 Derivative financial instruments 229,063 30 - - - 7 24 9 79 24 229,236 Financial assets at fair value through other comprehensive income - 6,694 3,241 1,164 1,159 7,711 6,521 11,896 21,195 6,169 65,750 Other financial assets 895 441 25 - 14 - - - - - 1,375 Total financial assets 524,674 192,558 30,465 12,345 9,521 31,230 29,725 50,266 64,278 174,588 1,119,650 Other assets 20,579 Total assets 1,140,229 Liabilities Deposits at amortised cost 348,337 42,357 10,671 3,861 4,067 3,935 930 530 545 554 415,787 Cash collateral and settlement balances 3,053 64,275 13 - - - - - - - 67,341 Repurchase agreements and other similar secured borrowing 7 2,755 10 - - 10,007 1,201 470 - 67 14,517 Debt securities in issue - 12,795 6,560 4,147 3,123 8,387 3,325 18,189 14,342 5,501 76,369 Subordinated liabilities - 207 78 75 832 4,979 3,266 1,075 5,979 1,665 18,156 Trading portfolio liabilities 36,916 - - - - - - - - - 36,916 Financial liabilities designated at fair value 13,952 127,939 10,890 6,519 3,798 6,981 6,235 7,706 7,127 13,179 204,326 Derivative financial instruments 228,617 1 - 8 - 36 42 42 88 370 229,204 Other financial liabilities 251 2,361 55 52 50 1,110 138 242 351 409 5,019 Total financial liabilities 631,133 252,690 28,277 14,662 11,870 35,435 15,137 28,254 28,432 21,745 1,067,635 Other liabilities 6,934 Total liabilities 1,074,569 Cumulative liquidity gap (106,459) (166,591) (164,403) (166,720) (169,069) (173,274) (158,686) (136,674) (100,828) 52,015 65,660 Contractual maturity of financial assets and liabilities (audited) As at 31 December 2018 On demand Not more than three months Over three months but not more than six months Over six months but not more than nine months Over nine months but not more than one year Over one year but not more than two years Over two years but not more than three years Over three years but not more than five years Over five years but not more than ten years Over ten years Total £m £m £m £m £m £m £m £m £m £m £m Assets Cash and balances at central banks 175,534 1,353 118 - 64 - - - - - 177,069 Cash collateral and settlement balances 2,389 74,786 19 - 22 2 - 4 - - 77,222 Loans and advances at amortised cost 12,506 11,171 7,938 5,416 7,072 26,336 25,559 39,604 48,606 142,198 326,406 Reverse repurchase agreements and other similar secured lending 31 1,245 - - - 586 446 - - - 2,308 Trading portfolio assets 104,187 - - - - - - - - - 104,187 Financial assets at fair value through the income statement 13,606 112,297 7,174 3,124 2,312 4,677 165 311 829 5,153 149,648 Derivative financial instruments 222,384 - 6 1 4 14 11 11 86 21 222,538 Financial assets at fair value through other comprehensive income 11 3,120 2,784 1,696 2,719 6,080 2,765 7,818 18,659 7,164 52,816 Other financial assets 761 182 56 - 7 - - - - - 1,006 Total financial assets 531,409 204,154 18,095 10,237 12,200 37,695 28,946 47,748 68,180 154,536 1,113,200 Other assets 20,083 Total assets 1,133,283 Liabilities Deposits at amortised cost 342,967 30,029 7,282 3,672 3,237 3,983 2,053 520 349 746 394,838 Cash collateral and settlement balances 3,542 63,973 5 2 - - - - - - 67,522 Repurchase agreements and other similar secured borrowing 1,331 5,542 - - - 3 10,017 1,201 484 - 18,578 Debt securities in issue 26 14,779 5,937 5,159 7,686 6,984 6,248 12,988 15,812 6,667 82,286 Subordinated liabilities - 306 - 78 45 860 5,156 3,387 6,968 3,759 20,559 Trading portfolio liabilities 37,882 - - - - - - - - - 37,882 Financial liabilities designated at fair value 14,280 143,635 6,809 9,051 3,577 10,383 5,689 7,116 4,415 11,879 216,834 Derivative financial instruments 219,578 9 - - - 3 3 3 3 44 219,643 Other financial liabilities 277 2,984 - - - 554 - - - - 3,815 Total financial liabilities 619,883 261,257 20,033 17,962 14,545 22,770 29,166 25,215 28,031 23,095 1,061,957 Other liabilities 7,547 Total liabilities 1,069,504 Cumulative liquidity gap (88,474) (145,577) (147,515) (155,240) (157,585) (142,660) (142,880) (120,347) (80,198) 51,243 63,779 |
Contractual maturity of financial liabilities - undiscounted (audited) | Contractual maturity of financial liabilities - undiscounted (audited) On demand Not more than three months Over three months but not more than six months Over six months but not more than one year Over one year but not more than three years Over three years but not more than five years Over five years but not more than ten years Over ten years Total £m £m £m £m £m £m £m £m £m As at 31 December 2019 Deposits at amortised cost 348,337 42,369 10,682 7,946 4,869 532 554 595 415,884 Cash collateral and settlement balances 3,053 64,297 13 - - - - - 67,363 Repurchase agreements and other similar secured borrowing 7 2,758 10 - 11,300 485 - 149 14,709 Debt securities in issue - 12,850 6,589 7,305 12,330 19,132 16,657 9,398 84,261 Subordinated liabilities - 207 78 950 9,822 1,286 7,192 3,025 22,560 Trading portfolio liabilities 36,916 - - - - - - - 36,916 Financial liabilities designated at fair value 13,952 128,064 11,020 10,609 13,507 8,054 7,519 19,392 212,117 Derivative financial instruments 228,617 2 - 8 80 45 99 378 229,229 Other financial liabilities 251 2,372 65 126 1,337 351 565 448 5,515 Total financial liabilities 631,133 252,919 28,457 26,944 53,245 29,885 32,586 33,385 1,088,554 As at 31 December 2018 Deposits at amortised cost 342,967 30,047 7,295 6,924 6,069 546 412 816 395,076 Cash collateral and settlement balances 3,542 63,985 5 2 - - - - 67,534 Repurchase agreements and other similar secured borrowing 1,331 5,542 - - 10,238 1,243 486 - 18,840 Debt securities in issue 26 14,810 5,976 12,914 13,849 13,351 17,639 10,254 88,819 Subordinated liabilities - 306 - 123 6,147 3,568 7,917 4,413 22,474 Trading portfolio liabilities 37,882 - - - - - - - 37,882 Financial liabilities designated at fair value 14,280 143,766 6,948 12,732 16,546 7,679 5,008 17,621 224,580 Derivative financial instruments 219,578 12 - - 6 3 4 59 219,662 Other financial liabilities 277 2,984 - - 554 - - - 3,815 Total financial liabilities 619,883 261,452 20,224 32,695 53,409 26,390 31,466 33,163 1,078,682 |
Maturity analysis of off-balance sheet commitments received (audited) | Maturity analysis of off-balance sheet commitments received (audited) On demand Not more than three months Over three months but not more than six months Over six months but not more than nine months Over nine months but not more than one year Over one year but not more than two years Over two years but not more than three years Over three years but not more than five years Over five years but not more than ten years Over ten years Total £m £m £m £m £m £m £m £m £m £m £m As at 31 December 2019 Guarantees, letters of credit and credit insurance 13,091 106 22 81 - 11 12 21 12 34 13,390 Other commitments received 91 - - - - - - - - - 91 Total off-balance sheet commitments received 13,182 106 22 81 - 11 12 21 12 34 13,481 As at 31 December 2018 Guarantees, letters of credit and credit insurance 6,288 110 20 13 16 65 10 33 10 5 6,570 Other commitments received 93 42 - - - - - - - - 135 Total off-balance sheet commitments received 6,381 152 20 13 16 65 10 33 10 5 6,705 |
Maturity analysis of off-balance sheet commitments given (audited) | Maturity analysis of off-balance sheet commitments given (audited) On demand Not more than three months Over three months but not more than six months Over six months but not more than nine months Over nine months but not more than one year Over one year but not more than two years Over two years but not more than three years Over three years but not more than five years Over five years but not more than ten years Over ten years Total £m £m £m £m £m £m £m £m £m £m £m As at 31 December 2019 Contingent liabilities 23,586 366 86 125 140 143 42 28 3 8 24,527 Documentary credits and other short-term trade related transactions 1,287 3 1 - - - - - - - 1,291 Standby facilities, credit lines and other commitments 328,623 1,133 792 973 639 269 98 273 139 225 333,164 Total off-balance sheet commitments given 353,496 1,502 879 1,098 779 412 140 301 142 233 358,982 As at 31 December 2018 Contingent liabilities 16,344 1,102 553 145 170 415 435 641 319 179 20,303 Documentary credits and other short-term trade related transactions 70 1,263 325 55 14 11 3 - - - 1,741 Standby facilities, credit lines and other commitments 317,257 1,734 1,311 397 667 311 257 424 19 105 322,482 Total off-balance sheet commitments given 333,671 4,099 2,189 597 851 737 695 1,065 338 284 344,526 |
Captial resources (audited) | Capital ratios a,b,c As at 31 December 2019 2018 CET1 13.8% 13.2% Tier 1 (T1) 17.7% 17.0% Total regulatory capital 21.6% 20.7% Capital resources (audited) 2019 2018 As at 31 December £bn £bn Total equity excluding non-controlling interests per the balance sheet 64.4 62.6 Less: other equity instruments (recognised as AT1 capital) (10.9) (9.6) Adjustment to retained earnings for foreseeable dividends (1.1) (0.7) Other regulatory adjustments and deductions Additional value adjustments (PVA) (1.7) (1.7) Goodwill and intangible assets (8.1) (8.0) Deferred tax assets that rely on future profitability excluding temporary differences (0.5) (0.5) Fair value reserves related to gains or losses on cash flow hedges (1.0) (0.7) Gains or losses on liabilities at fair value resulting from own credit 0.3 (0.1) Defined benefit pension fund assets (1.6) (1.3) Direct and indirect holdings by an institution of own CET1 instruments (0.1) (0.1) Adjustment under IFRS 9 transitional arrangements 1.1 1.3 Other regulatory adjustments (0.1) - CET1 capital 40.8 41.1 AT1 capital Capital instruments and related share premium accounts 10.9 9.6 Qualifying AT1 capital (including minority interests) issued by subsidiaries 0.7 2.4 Other regulatory adjustments and deductions (0.1) (0.1) AT1 capital 11.4 11.9 T1 capital 52.2 53.0 T2 capital Capital instruments and related share premium accounts 7.7 6.6 Qualifying T2 capital (including minority interests) issued by subsidiaries 4.0 5.3 Other regulatory adjustments and deductions (0.3) (0.3) Total regulatory capital 63.6 64.6 |
Functional currency of the operation (audited) | Functional currency of operations (audited) Foreign currency net investments Borrowings which hedge the net investments Derivatives which hedge the net investments Structural currency exposures pre-economic hedges Economic hedges Remaining structural currency exposures £m £m £m £m £m £m As at 31 December 2019 USD 25,607 (10,048) (1,111) 14,448 (5,339) 9,109 EUR 3,068 (3) - 3,065 (1,122) 1,943 JPY 533 - - 533 - 533 Other currencies 2,001 - (34) 1,967 - 1,967 Total 31,209 (10,051) (1,145) 20,013 (6,461) 13,552 As at 31 December 2018 USD 28,857 (12,322) (2,931) 13,604 (4,827) 8,777 EUR 2,672 (3) - 2,669 (2,146) 523 JPY 489 - - 489 - 489 Other currencies 2,026 - (37) 1,989 - 1,989 Total 34,044 (12,325) (2,968) 18,751 (6,973) 11,778 |
Net interest income sensitivity (AEaR) by business unit and Analysis of equity sensivity (audited) | Net interest income sensitivity (AEaR) by business unit a,b,c,d (audited) Barclays UK Barclays International Head Office Total £m £m £m £m As at 31 December 2019 +25bps 16 25 4 45 -25bps (57) (74) (4) (135) As at 31 December 2018 +25bps 28 55 5 88 -25bps (71) (73) (5) (149) Analysis of equity sensitivity a (audited) 2019 2018 +25 basis points -25 basis points +25 basis points -25 basis points As at 31 December £m £m £m £m Net interest income 45 (135) 88 (149) Taxation effects on the above (11) 34 (22) 37 Effect on profit for the year 34 (101) 66 (112) As percentage of net profit after tax 1.0% (3.0%) 2.6% (4.4%) Effect on profit for the year (per above) 34 (101) 66 (112) Fair value through other comprehensive income reserve (321) 329 (253) 260 Cash flow hedge reserve (534) 534 (574) 574 Taxation effects on the above 214 (216) 207 (209) Effect on equity (607) 546 (554) 513 As percentage of equity (0.9%) 0.8% (0.9%) 0.8% |