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1
Exhibit 99.1
Barclays PLC
This exhibit includes portions from the previously published Results Announcement of Barclays PLC relating to the six months
ended 30 June 2020, 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.
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Table of Contents
2
Results Announcement
Page
3
Performance Highlights
5
7
Results by Business
●
Barclays UK
9
●
Barclays International
12
●
Head Office
16
17
18
Performance Management
●
24
Risk Management
●
25
●
Credit Risk
27
●
Market Risk
44
●
45
56
62
87
Shareholder Information
98
99
117
BARCLAYS PLC, 1 CHURCHILL PLACE, LONDON, E14 5HP, UNITED KINGDOM. TELEPHONE: +44 (0) 20 7116 1000. COMPANY NO. 48839.
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Notes
3
The terms Barclays or Group refer to Barclays PLC together with its subsidiaries. Unless otherwise stated, the income stat ement analysis compares the six
months ended 30 June 2020 to the corresponding six months of 2019 and balance sheet analysis as at 30 June 2020 with comparatives relating to 31
December 2019 and 30 June 2019. The abbreviations ‘£m’ and ‘£bn’ represent millions and thousands of millions of Pounds Sterling respectively; the
abbreviations ‘$m’ and ‘$bn’ represent millions and thousands of millions 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 that can be accessed at home.barclays/investor -relations/reports-and-events/latest-financial-results.
The information in this announcement, which was approved by the Board of Directors on 28 July 2020, does not comprise statutory accounts within the
meaning of Section 434 of the Companies Act 2006. Statutory accounts for the year ended 31 December 2019, which contained 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) have been 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 87 to 97 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:
– Attributable profit excluding litigation and conduct represents attributable profit excluding litigation and conduct charges. The comparable IFRS measure is
attributable profit. A reconciliation is provided on pages 89 to 96;
– 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 89 to 95;
– 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 13.0% (2019: 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 89 to 95;
– Average tangible shareholders’ equity is calc ulated 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 89 to 95;
– Basic earnings per share excluding litigation and conduct is calculated by dividing statutory profit after tax attributable to ordinary shareholders excluding
litigation and conduct charges, by the basic weighted average number of shares. The comparable IFRS measure is basic earnings per share. A reconciliation is
provided on pages 89 to 91;
– Cost: income ratio excluding litigation and conduct represents operating expenses excluding litigation and conduct charges, divided by total income. The
comparable IFRS measure is cost: income ratio. A reconciliation is provided on pages 89 to 95;
– Operating expenses excluding litigation and conduct represents operating expenses excluding litigation and conduct charges. The comparable IFRS measure
is operating expenses. A reconciliation is provided on pages 89 to 95;
– 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 pages 89 to 91;
– Pre -provision profits excluding litigation and conduct is calculated by excluding litigation and conduct, and credit impairment charges from profit before tax.
The comparable IFRS measure is profit before tax. A reconciliation is provided on pages 89 to 91;
– Profit before tax excluding litigation and conduct represents profit before tax excluding litigation and conduct charges. The comparable IFRS measure is
profit before tax. A reconciliation is provided on pages 89 to 96;
– 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 97;
– 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 97;
– Return on average allocated tangible equity excluding litigation and conduct is calculated as the annualised profit after tax attributable to ordinary equity
holders of the parent excluding litigation and conduct charges, as a proportion of average allocated tangible equity. The comparable IFRS measure is return
on equity. A reconciliation is provided on page 97;
– 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 97; and
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Notes
4
– Tangible net asset value per share is calculated by dividing shareholders’ equity, excl uding 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 96.
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 stateme nts. 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, payment of dividends
(including dividend payout 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 and such statements may be affected by
changes in legislation, the development of standards and interpretations under IFRS, including evolving practices with regard to the interpretation and
application of accounting and regulatory standards, the outcome of current and future legal proceedings and regulatory investigati ons, future levels of
conduct provisions, the policies and actions of governmental and regulatory authorities, 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 exit by the UK from the European Union and the disruption that may subsequently result in the
UK and globally; 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, dividend payments, 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 2019 and our 2020 Interim Results Announcement for
the six months ended 30 June 2020 filed on Form 6-K), 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.
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Performance Highlights
5
Open for business during the COVID -19 pandemic, helping support the economy
COVID -19 support
Supporting customers,
business, the community, and
our colleagues
●
c.600k payment holidays
1
credit cards, c.106k in UK personal loans and point of sale finance, and c.216k in US credit cards
●
Provided c.£22bn of COVID -19 support for UK businesses, including enabling c.£7.7bn of
government backed Bounce Back Loans
1
, lending c.£2.5bn under the CBILS programmes
1,2
facilitating c.£11.7bn of commercial paper issuance
1
●
Helped businesses and institutions to access the global capital markets, including raising c.£620bn
of new issuance in the second quarter
●
£45m of the £100m Community Aid Package distributed to charities and 817 branches remained
open throughout the COVID -19 pandemic, over three-quarters of the branch network
●
70k of 88k colleagues working from home
Diversified business model delivered a resilient operating performance in H120
Despite the impacts of the COVID -19 pandemic, Barclays delivered a H120 Group profit before tax of £1.3bn (H119: £3.0bn), resulting in
a return on equity (RoE) of 2.5% (H119: 7.7%), a return on tangible equity (RoTE) of 2.9% (H119: 9.1%) and earnings per share (EPS) of
4.0p (H119: 12.1p). Pre -provision profits (profit before tax excluding credit impairment charges) increased 27% to £5.0bn, while credit
impairment charges increased to £3.7bn (H119: £0.9bn)
Income
Strong CIB income offsetting
challenges in Barclays UK and
CC&P
Group income of £11.6bn up 8% versus prior year
●
Corporate and Investment Bank (CIB) income of £6.9bn up 31% versus prior year
driven by a
standout performance in Markets
●
Consumer, Cards and Payments (CC&P) income of £1.7bn down 21% versus prior year
primarily
due to lower balances and consumer spending volumes
●
Barclays UK income of £3.2bn down 11% versus prior year
reflecting lower interest rates and UK
cards balances, COVID -19 customer support actions and the removal of certain fees
Costs
Improved cost: income ratio
Group total operating expenses of £6.6bn down 4% versus prior year
●
Cost efficiencies and cost discipline contributed to positive cost: income jaws of 12% resulting in an
improved cost: income ratio of 57% (H119: 64%)
Credit impairment charges
Increased impairment
provisioning driving higher
coverage ratios across
portfolios
Credit impairment charges increased to £3.7bn
(H119: £0.9bn), including £1.6bn in Q220
●
The charge reflects £0.6bn in respect of single name wholesale loan charges in the period and
£2.4bn impact from revised IFRS 9 scenarios
●
Impairment coverage ratio for the unsecured consumer lending portfolio increased to 12.0% (FY19:
8.1%). Coverage for exposures to selected industry sectors regarded as particularly vulnerable to
the COVID -19 pandemic increased to 4.0% (FY19: 2.3%)
Capital, liquidity and TNAV
Strong capital and liquidity
position
Common equity tier 1 (CET1) ratio of 14.2%
(December 2019: 13.8%)
●
The increase over the first half of the year reflects profits, regulatory measures and cancellation of
the full year 2019 dividend payment, partially offset by higher Risk Weighted Assets (R WAs)
●
Headroom of 3.0% above revised Maximum Distributable Amount (MDA) hurdle, which has reduced
to 11.2%
3
●
Net asset value (NAV) per share was 331p (December 2019: 309p). Tangible net asset value (TNAV)
per share increased to 284p (December 2019: 262p)
Group outlook
Group outlook
Given the uncertain economic
outlook and low interest rate
environment, the second half of
the year is expected to
continue to be challenging
●
Income in Barclays UK and CC&P is expected to gradually recover from Q220 levels, but certain
headwinds, including from the low interest rate environment, are likely to persist into 2021
●
After a strong performance in H120 the CIB franchise is well positioned for the future
●
Impairment in H220 is expected to remain above the level experienced in recent years, but to be
below the H120 impairment charge assuming no change in macroeconomic forecasts
●
initiatives
●
In H220 there may be headwinds to the CET1 ratio from procyclical effects on RWAs, and reduced
benefit from transitional relief on IFRS 9 impairment
●
The Board will decide on future dividends and its capital returns policy at FY20
1 Payment holiday data as at 22 July 2020. Business lending and commercial paper issuance data as at 27 July 2020.
2 The Coronavirus Business Interruption Loan Scheme (CBILS) and the Coronavirus Large Business Interruption Loan Scheme programmes (together the CBILS programmes).
3 Barclays’ MDA hurdle reduced to 11.2% in July 2020, and will fluctuate through the cycle given recent regulatory changes.
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Performance Highlights
6
Barclays Group results
for the half year ended
30.06.20
30.06.19
£m
£m
% Change
Total income
11,621
10,790
8
Credit impairment charges
(3,738)
(928)
Net operating income
7,883
9,862
(20)
Operating expenses
(6,563)
(6,758)
3
Litigation and conduct
(30)
(114)
74
Total operating expenses
(6,593)
(6,872)
4
Other net (expenses)/income
(18)
24
Profit before tax
1,272
3,014
(58)
Tax charge
(113)
(545)
79
Profit after tax
1,159
2,469
(53)
Non-controlling interests
(37)
(34)
(9)
Other equity instrument holders
(427)
(363)
(18)
Attributable profit
695
2,072
(66)
Performance measures
Return on average shareholders' equity
2.5%
7.7%
Return on average tangible shareholders' equity
2.9%
9.1%
Average shareholders' equity (£bn)
Average tangible shareholders' equity (£bn)
Cost: income ratio
57%
64%
Loan loss rate (bps)
207
54
Basic earnings per share
4.0p
12.1p
Dividend per share
-
3.0p
Performance measures excluding litigation and conduct
1
Profit before tax
1,302
3,128
(58)
Attributable profit
710
2,158
(67)
Return on average tangible shareholders' equity
2.9%
9.4%
Cost: income ratio
56%
63%
Basic earnings per share
4.1p
12.6p
As at 30.06.20
As at 31.12.19
As at 30.06.19
Balance sheet and capital management
2
£bn
£bn
£bn
Net asset value per share
331p
309p
322p
Tangible net asset value per share
284p
262p
275p
Common equity tier 1 ratio
14.2%
13.8%
13.4%
Common equity tier 1 capital
45.4
40.8
42.9
Risk weighted assets
319.0
295.1
319.1
Average UK leverage ratio
4.7%
4.5%
4.7%
UK leverage ratio
5.2%
5.1%
5.1%
Funding and liquidity
Group liquidity pool (£bn)
298
211
238
Liquidity coverage ratio
186%
160%
156%
Loan: deposit ratio
76%
82%
82%
1
Refer to pages 87 to 96 for further information and calculations of performance measures excluding litigation and conduct.
2
Refer to pages 49 to 54 for further information on how capital, RWAs and leverage are calculated.
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Group Finance Director’s Review
7
Group performance
●
RoE was 2.5% (H119: 7.7%). Statutory RoTE was 2.9% (H119: 9.1%) and statutory EPS was 4.0p (H119: 12.1p)
●
Profit before tax was £1,272m (H119: £3,014m). Excluding litigation and conduct, profit before tax was £1,302m (H119:
£3,128m), as positive operating leverage from an 8% increase in income and 3% reduction in operating expenses was offset by
materially higher credit impairment charges
●
Pre-provision profits increased 27% to £5,010m, benefitting from the Group’s diversified business model, as strong
performance in CIB more than offset income headwinds in Barclays UK and CC&P
●
Total income increased 8% to £11,621m. Barclays UK income decreased 11% due to ongoing margin pressure, including COVID-
19 customer support actions, base rate reductions, lower UK cards interest earning lending (IEL) and overdraft balances, as well
as lower income due to the removal of certain fees in overdrafts and UK cards. Barclays International income increased 16%,
with CIB income up 31% and CC&P income down 21%. Within CIB, Markets income increased due to a strong performance
across FICC and Equities. Banking fees income increased reflecting a strong performance in debt and equity capital markets,
while there was a reduction in Corporate income driven by fair value losses, margin compression and carry costs on hedges.
CC&P income decreased primaril y as a result of lower balances on co -branded cards and a c.£100m valuation loss on Barclays’
preference shares in Visa Inc.
●
Credit impairment charges increased to £3,738m (H119: £928m). This increase primarily reflects £591m in respect of single
name wholesale loan charges and £2.4bn impact from revised IFRS 9 scenarios (the “COVID -19 scenarios”) reflecting forecast
deterioration in macroeconomic variables (including a prolonged period of heightened UK and US unemployment), partially
offset by the estimate d impact of central bank, government and other support measures
●
The Group cost: income ratio was 57% (H119: 64%). Operating expenses decreased 3% to £6,563m reflecting cost efficiencies
and continued cost discipline in the current environment. The Group delivered positive cost: income jaws of 11% which
resulted in the Group cost: income ratio, excluding litigation and conduct, reducing to 56% (H119: 63%). The Group accrued
compensation costs reflective of business performance, resulting in a compensation: income ratio of 32.2% (H119: 34.4%)
●
The effective tax rate was 8.9% (H119: 18.1%). This reflects the tax benefit recognised for a re-measurement of UK deferred tax
assets as a result of the UK corporation tax rate being maintained at 19%. The Group’s effect ive tax rate for the full year is
expected to be around 20%, excluding litigation and conduct
●
Attributable profit was £695m (H119: £2,072m). Excluding litigation and conduct, attributable profit was £710m (H119:
£2,158m), generating a RoTE of 2.9% (H119: 9.4%) and EPS of 4.1p (H119: 12.6p)
●
Total assets increased to £1,385bn (December 2019: £1,140bn), primarily due to a £78bn increase in derivative assets (with a
corresponding increase in derivative liabilities), £52bn increase in cash collateral and settlem ent balances, and £26bn increase
in financial assets at fair value through the income statement. The low interest rate environment has resulted in significant
decreases in forward interest rate curves which coupled with increased client activity and the appreciation of period end USD
against GBP has resulted in rising asset values. Loans and advances have also increased by £16bn, which reflects the £7.1bn of
lending under the government backed Bounce Back Loan Scheme (BBLS) and the CBILS which Barclays UK has provided to
support businesses through the COVID -19 pandemic
●
NAV per share was 331p (December 2019: 309p). TNAV per share increased to 284p (December 2019: 262p) reflecting 4.0p of
statutory EPS and positive reserve movements, including retirement benefit re-measurements and currency translation
reserves
Group capital and leverage
●
The CET1 ratio increased to 14.2% (December 2019: 13.8%)
–
CET1 capital increased by £4.6bn to £45.4bn reflecting resilient capital generation through £4.9bn of profits after tax,
excluding credit impairment charges and a £1.0bn increase due to the cancellation of the full year 2019 dividend
–
Impairment charges of £3.7bn before tax were partially offset by a £1.3bn increase in IFRS 9 transitional relief after tax,
which was driven by £1.2bn in Q220 due to both the new impairment charges and the implementation of new regulatory
measures which allow for 100% relief on increases in stage 1 and stage 2 impairment throughout 2020 and 2021
–
RWAs increased by £23.9bn to £319.0bn primarily due to higher market volatility and client activity within CIB as well as a
reduction in credit quality, partially offset by lower CC&P balances
●
The average UK leverage ratio increased to 4.7% (December 2019: 4.5%) primarily driven by the increase in CET1 capital. The
average leverage exposure increased to £1,149bn (December 2019: £1,143bn)
●
The UK leverage ratio increased to 5.2% (December 2019: 5.1%) primarily driven by the increase in CET1 capital, partially offset
by an increase in leverage exposure. The leverage exposure increased by £63bn to £1,071bn, primarily driven by an increase in
IFRS total assets, partially offset by the Prudentia l Regulation Authority’s (PRA) early adoption of CRR II settlement netting
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Group Finance Director’s Review
8
Group funding and liquidity
●
The liquidity pool was £298bn (December 2019: £211bn) and the liquidity coverage ratio (LCR) remained significantly above the
100% regulatory requirement at 186% (December 2019: 160%), equivalent to a surplus of £135bn (December 2019: £78bn).
The increase in the liquidity pool, LCR and surplus is driven by a 12% growth in customer deposits and actions to maintain a
prudent funding and liquidity position in the current environment
●
Wholesale funding outstanding, excluding repurchase agreements, was £181.9bn (December 2019: £147.1bn). The Group
issued £4.8bn 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, with a Barclays PLC MREL ratio of
32.4% as at 30 June 2020 (December 2019: 31.2%) relative to an estimated requirement (including requisite buffers) of c.29.7%
by 1 January 2022
Other matters
●
As at 30 June 2020, the Group held a provision of £774m relating to Payment Protection Insurance (PPI). Since the provision
increase in 2019, 70% of the items outstanding as at 30 September 2019 have been resolved (including invalid items) and
observations from these resolved complaints continue to support the provision level
Dividends and capital returns
●
In response to a request from the PRA, and to preserve additional capital for use in serving Barclays customers clients
��
andthrough the extraordinary challenges presented by the COVID -19 pandemic, the Board agreed to cancel the 6.0p per ordinary
share full year 2019 dividend. The Board also decided that for 2020 Barclays would suspend its current capital returns policy
and accordingly will not undertake any interim ordinary share dividend payments, regulatory accruals of ordinary share
dividends, or share buybacks. The Board will decide on future dividends and its capital returns policy at year-end 2020
Outlook and guidance
●
Given the uncertain economic outlook and low interest rate environment, the second half of the year is expected to continue to
be challenging
– Income in Barclays UK and CC&P is expected to gradually recover from Q220 levels, but certain headwinds including from
the low interest rate environment, are likely to persist into 2021
– The CIB performance in the first half benefitted from increased issuance activ ity and trading volumes, with the franchise
well positioned for the future
– Impairment in H220 is expected to remain above the level experienced in recent years, but to be below the H120 credit
impairment charge assuming no change in macroeconomic forecas ts
●
Continued focus on cost discipline, but short-term headwinds remain from spend on COVID -19 initiatives
●
In H220 there may be headwinds to the Group’s CET1 ratio from procyclical effects on RWAs, and reduced benefit from
transitional relief on IFRS 9 impairment. However, the Group’s CET1 ratio will continue to be managed to maintain an
appropriate headroom above the MDA hurdle
●
The Group continues to target a RoTE
1
depending on the evolution of the COVID -19 pandemic
Tushar Morzaria , Group Finance Director
1 Excluding litigation and conduct.
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Results by Business
9
Barclays UK
Half year ended
Half year ended
30.06.20
30.06.19
Income statement information
£m
£m
% Change
Net interest income
2,637
2,907
(9)
Net fee, commission and other income
534
641
(17)
Total income
3,171
3,548
(11)
Credit impairment charges
(1,064)
(421)
Net operating income
2,107
3,127
(33)
Operating expenses
(2,041)
(2,021)
(1)
Litigation and conduct
(11)
(44)
75
Total operating expenses
(2,052)
(2,065)
1
Other net income
13
-
Profit before tax
68
1,062
(94)
Attributable profit
52
750
(93)
As at 30.06.20
As at 31.12.19
As at 30.06.19
Balance sheet information
£bn
£bn
£bn
Loans and advances to customers at amortised cost
202.0
193.7
189.1
Total assets
287.6
257.8
259.0
Customer deposits at amortised cost
225.7
205.5
200.9
Loan: deposit ratio
92%
96%
97%
Risk weighted assets
77.9
74.9
76.2
Half year ended
Half year ended
Key facts
30.06.20
30.06.19
Average loan to value of mortgage portfolio
1
52%
50%
Average loan to value of new mortgage lending
1
68%
67%
Number of branches
904
972
Mobile banking active customers
8.7m
7.9m
30 day arrears rate - Barclaycard Consumer UK
2.0%
1.8%
Performance measures
Return on average allocated equity
0.8%
10.8%
Return on average allocated tangible equity
1.0%
14.5%
Average allocated equity (£bn)
13.8
13.9
Average allocated tangible equity (£bn)
10.2
10.3
Cost: income ratio
65%
58%
Loan loss rate (bps)
101
43
Net interest margin
2.69%
3.11%
Performance measures excluding litigation and conduct
2
£m
£m
% Change
Profit before tax
79
1,106
(93)
Attributable profit
60
782
(92)
Return on average allocated tangible equity
1.2%
15.1%
Cost: income ratio
64%
57%
1
Average loan to value of mortgages is balance weighted and reflects both residential and buy-to-let (BTL) mortgage portfolios within the Home Loans portfolio.
2
Refer to pages 87 to 96 for further information and calculations of performance measures excluding litigation and conduct.
![bplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000257/bplch120p2i0.gif)
Results by Business
10
Analysis of Barclays UK
Half year ended
Half year ended
30.06.20
30.06.19
Analysis of total income
£m
£m
% Change
Personal Banking
1,794
1,910
(6)
Barclaycard Consumer UK
803
987
(19)
Business Banking
574
651
(12)
Total income
3,171
3,548
(11)
Analysis of credit impairment charges
Personal Banking
(264)
(88)
Barclaycard Consumer UK
(697)
(315)
Business Banking
(103)
(18)
Total credit impairment charges
(1,064)
(421)
As at 30.06.20
As at 31.12.19
As at 30.06.19
Analysis of loans and advances to customers at amortised cost
£bn
£bn
£bn
Personal Banking
154.9
151.9
147.3
Barclaycard Consumer UK
11.5
14.7
15.1
Business Banking
35.6
27.1
26.7
Total loans and advances to customers at amortised cost
202.0
193.7
189.1
Analysis of customer deposits at amortised cost
Personal Banking
169.6
159.2
156.3
Barclaycard Consumer UK
0.1
-
-
Business Banking
56.0
46.3
44.6
Total customer deposits at amortised cost
225.7
205.5
200.9
![bplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000257/bplch120p2i0.gif)
Results by Business
11
Barclays UK continued to support customers during H120, increasing lending by £8.3bn, predominantly through £7.1bn of BBLS and
CBILS. Customer deposits grew by £20.2bn, reflecting the impact from payment holidays, lower customer spending levels and the
deposit of BBLS and CBILS loan proceeds, demonstrating franchise strength. Digital invest ment continues to transform customer
interactions, providing continuity of service and resilience through the lockdown. During H120 Barclays UK provided c.350k
payment holidays to customers across material portfolios. These comprised £0.7bn UK cards balanc es (5% of the portfolio), £0.6bn
UK personal loan balances (11% of the portfolio), and £14.9bn mortgage balances (10% of the portfolio).
Income statement – H120 compared to H119
●
Profit before tax was £68m (H119: £1,062m). Profit before tax, excluding litigation and conduct, was £79m (H119: £1,106m).
RoE was 0.8% (H119: 10.8%). RoTE was 1.2% (H119: 15.1%) reflecting a challenging operating environment
●
Total income decreased 11% to £3,171m. Net interest income reduced 9% to £2,637m (resulting in a lower net interest margin
(NIM) of 2.69% (H119: 3.11%)) reflecting COVID -19 customer support actions, the interval between Q120 base rate reductions
and deposit re-pricing, as well as ongoing lower UK cards IEL and overdraft balances. Net fee, commission and other income
decreased 17% to £534m, due to the removal of certain fees in overdrafts and UK cards, and planned lower debt sales
–
Personal Banking income decreased 6% to £1,794m, reflecting deposit margin compression, COVID -19 customer support
actions, and lower overdraft balances and fees
–
Barclaycard Consumer UK income decreased 19% to £803m as reduced borrowing and spend levels by customers resulted
in a lower level of IEL balances, as well as planned lower debt sales
–
Business Banking income decreased 12% to £574m due to deposit margin compression, lower transactional fee volumes as
a result of COVID -19 and related customer support actions, partially offset by lending and deposit balance growth
●
Credit impairment charges increased to £1,064m (H119: £421m) reflecting forecast deterioration in macroeconomic variables
in the COVID -19 scenarios, partially offset by the estimated impact of central bank, government and other support measures
●
Operating expenses increased 1% to £2,041m as efficiency savings were more than offset by COVID -19 pandemic related costs
Balance sheet – 30 June 2020 compared to 31 December 2019
●
Loans and advances to customers at amortised cost increased 4% to £202.0bn predominantly through £7.1bn of BBLS and CBILS
lending, £1.9bn of mortgage growth and the £2.2bn transfer of the Barclays Partner Finance portfolio from Barclays
International
1
●
Customer deposits at amortised cost increased 10% to £225.7bn due to lower spending levels, the impact of payment holidays,
as well as the deposit of BBLS and CBILS loan proceeds
●
RWAs increased to £77.9bn (December 2019: £74.9bn) principally driven by the transfer of the Barclays Partner Finance
portfolio
1
1 Refer to Segmental reporting note page 63 for further information. The 2019 comparative figures have not been restated .
![bplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000257/bplch120p2i0.gif)
Results by Business
12
Barclays International
Half year ended
Half year ended
30.06.20
30.06.19
Income statement information
£m
£m
% Change
Net interest income
1,845
1,917
(4)
Net trading income
4,020
2,160
86
Net fee, commission and other income
2,789
3,396
(18)
Total income
8,654
7,473
16
Credit impairment charges
(2,619)
(492)
Net operating income
6,035
6,981
(14)
Operating expenses
(4,405)
(4,641)
5
Litigation and conduct
(11)
(30)
63
Total operating expenses
(4,416)
(4,671)
5
Other net income
10
31
(68)
Profit before tax
1,629
2,341
(30)
Attributable profit
997
1,620
(38)
As at 30.06.20
As at 31.12.19
As at 30.06.19
Balance sheet information
£bn
£bn
£bn
Loans and advances at amortised cost
138.1
132.8
134.8
Trading portfolio assets
109.5
113.3
120.0
Derivative financial instrument assets
306.8
228.9
243.8
Financial assets at fair value through the income statement
154.3
128.4
154.7
Cash collateral and settlement balances
130.8
79.4
101.3
Other assets
236.3
178.6
196.8
Total assets
1,075.8
861.4
951.4
Deposits at amortised cost
241.2
210.0
212.0
Derivative financial instrument liabilities
307.6
228.9
243.0
Loan: deposit ratio
57%
63%
64%
Risk weighted assets
231.2
209.2
214.8
Half year ended
Half year ended
Performance measures
30.06.20
30.06.19
Return on average allocated equity
6.0%
10.2%
Return on average allocated tangible equity
6.2%
10.5%
Average allocated equity (£bn)
33.1
31.9
Average allocated tangible equity (£bn)
32.4
30.8
Cost: income ratio
51%
63%
Loan loss rate (bps)
368
72
Net interest margin
3.67%
3.95%
Performance measures excluding litigation and conduct
1
£m
£m
% Change
Profit before tax
1,640
2,371
(31)
Attributable profit
1,005
1,644
(39)
Return on average allocated tangible equity
6.2%
10.7%
Cost: income ratio
51%
62%
1
Refer to pages 87 to 96 for further information and calculations of performance measures excluding litigation and conduct.
![bplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000257/bplch120p2i0.gif)
Results by Business
13
Analysis of Barclays International
Corporate and Investment Bank
Half year ended
Half year ended
30.06.20
30.06.19
Income statement information
£m
£m
% Change
FICC
3,326
1,822
83
Equities
1,238
984
26
Markets
4,564
2,806
63
Advisory
239
353
(32)
Equity capital markets
247
187
32
Debt capital markets
881
727
21
Banking fees
1,367
1,267
8
Corporate lending
172
368
(53)
Transaction banking
830
859
(3)
Corporate
1,002
1,227
(18)
Total income
6,933
5,300
31
Credit impairment charges
(1,320)
(96)
Net operating income
5,613
5,204
8
Operating expenses
(3,370)
(3,479)
3
Litigation and conduct
(3)
(26)
88
Total operating expenses
(3,373)
(3,505)
4
Other net income
3
15
(80)
Profit before tax
2,243
1,714
31
Attributable profit
1,514
1,178
29
As at 30.06.20
As at 31.12.19
As at 30.06.19
Balance sheet information
£bn
£bn
£bn
Loans and advances at amortised cost
104.9
92.0
92.1
Trading portfolio assets
109.3
113.3
119.9
Derivative financial instrument assets
306.7
228.8
243.7
Financial assets at fair value through the income statement
153.7
127.7
154.1
Cash collateral and settlement balances
129.7
78.5
100.4
Other assets
205.5
155.3
168.1
Total assets
1,009.8
795.6
878.3
Deposits at amortised cost
173.9
146.2
145.4
Derivative financial instrument liabilities
307.6
228.9
242.9
Risk weighted assets
198.3
171.5
175.9
Half year ended
Half year ended
Performance measures
30.06.20
30.06.19
Return on average tangible equity
10.9%
9.2%
Return on average allocated tangible equity
11.0%
9.3%
Average allocated equity (£bn)
27.7
25.5
Average allocated tangible equity (£bn)
27.7
25.5
Cost: income ratio
49%
66%
Performance measures excluding litigation and conduct
1
£m
£m
% Change
Profit before tax
2,246
1,740
29
Attributable profit
1,516
1,199
26
Return on average allocated tangible equity
11.0%
9.4%
Cost: income ratio
49%
66%
1
Refer to pages 87 to 96 for further information and calculations of performance measures excluding litigation and conduct.
![bplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000257/bplch120p2i0.gif)
Results by Business
14
Analysis of Barclays International
Consumer, Cards and Payments
Half year ended
Half year ended
30.06.20
30.06.19
Income statement information
£m
£m
% Change
Net interest income
1,176
1,385
(15)
Net fee, commission, trading and other income
545
788
(31)
Total income
1,721
2,173
(21)
Credit impairment charges
(1,299)
(396)
Net operating income
422
1,777
(76)
Operating expenses
(1,035)
(1,162)
11
Litigation and conduct
(8)
(4)
Total operating expenses
(1,043)
(1,166)
11
Other net income
7
16
(56)
(Loss)/profit before tax
(614)
627
Attributable (loss)/profit
(517)
442
As at 30.06.20
As at 31.12.19
As at 30.06.19
Balance sheet information
£bn
£bn
£bn
Loans and advances at amortised cost
33.2
40.8
42.7
Total assets
66.0
65.8
73.1
Deposits at amortised cost
67.3
63.8
66.6
Risk weighted assets
32.9
37.7
38.9
Half year ended
Half year ended
Key facts
30.06.20
30.06.19
30 day arrears rate – Barclaycard US
2.4%
2.4%
US cards customer FICO score distribution
<660
14%
14%
>660
86%
86%
Total number of Barclaycard payments clients
c.368,000
Value of payments processed (£bn)
1
156
174
Performance measures
Return on average allocated equity
(19.2%)
13.8%
Return on average allocated tangible equity
(21.9%)
16.6%
Average allocated equity (£bn)
5.4
6.4
Average allocated tangible equity (£bn)
4.7
5.3
Cost: income ratio
61%
54%
Loan loss rate (bps)
714
176
Performance measures excluding litigation and conduct
2
£m
£m
% Change
(Loss)/profit before tax
(606)
631
Attributable (loss)/profit
(511)
445
Return on average allocated tangible equity
(21.7%)
16.7%
Cost: income ratio
60%
53%
1
Includes £124bn (H119: £135bn) of merchant acquiring payments.
2
Refer to pages 87 to 96 for further information and calculations of performance measures excluding litigation and conduct.
![bplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000257/bplch120p2i0.gif)
Results by Business
15
Barclays International continued to support its customers and clients through the COVID -19 pandemic by providing or facilitating
lending, through the range of support programmes which have been introduced, as well as enabling the raising of debt and equity
financing in the capital markets. Support actions, including over 200k payment holidays, have also been introduced to help
customers and clients through the difficulties they may be experiencing. Despite the challenging operating environment, Barclays
International delivered a RoTE of 6.2%, excluding litigation and conduct, reflecting the benefits of a diversified business model.
Income statement – H120 compared to H119
●
Profit before tax was £1,629m. RoE was 6.0% (H119: 10.2%), CIB RoE was 10.9% (H119: 9.2%) and CC&P RoE was (19.2)% (H119:
13.8%). Profit before tax, excluding litigation and conduct, decreased 31% to £1,640m with a RoTE of 6.2% (H119: 10.7%),
reflecting a RoTE of 11.0% (H119: 9.4%) in CIB and (21.7)% (H119: 16.7%) in CC&P
●
Total income increased to £8,654m (H119: £7,473m)
–
CIB income increased 31% to £6,933m
–
Markets income of £4,564m (H119: £2,806m) was the best ever first half of the year on a comparable basis
1
. FICC
income increased 83% to £3,326m driven by strong performances in macro and credit, reflecting increased client
activity and spread widening. Equ ities income increased 26% to £1,238m driven by cash and derivatives due to higher
levels of client activity and volatility. This Markets performance reflected an increase in market share in Q120
2
–
Banking fees income increased 8% to £1,367m due to a strong performance in debt and equity capital markets,
representing the best ever first half of the year on a comparable basis for these businesses
1
, partially offset by lower fee
income in advisory which was impacted by a reduced fee pool
3
–
Within Corporate, Tr ansaction banking income decreased 3% to £830m as deposit balance growth was more than offset
by margin compression. Corporate lending income decreased by 53% to £172m reflecting the impact of c.£180m of
losses on fair value lending positions and c.£50m of losses on mark -to -market and carry costs on related hedges in H120
–
CC&P income decreased 21% to £1,721m as the impacts of the COVID -19 pandemic resulted in lower balances on co-
branded cards, margin compression and reduced payments activity. Q220 included a c.£100m valuation loss on Barclays’
preference shares in Visa Inc. resulting from the Q220 Supreme Court ruling concerning charges paid by merchants
●
Credit impairment charges increased to £2,619m (H119: £492m)
–
CIB credit impairment charges increased to £1,320m (H119: £96m), reflecting £591m in respect of single name wholesale
loan charges and impacts from the COVID -19 scenarios, partially offset by the estimated impact of central bank,
government and other support measures
–
CC&P credit impairment charges increased to £1,299m (H119: £396m) reflecting forecast deterioration in macroeconomic
variables in the COVID -19 scenarios, partially offset by the estimated impact of central bank, government and other support
measures
●
Operat ing expenses decreased 5% to £4,405m
–
CIB operating expenses decreased 3% to £3,370m due to cost efficiencies and discipline in the current environment
–
CC&P operating expenses decreased 11% to £1,035m reflecting cost efficiencies and lower marketing spend due to the
impacts of the COVID -19 pandemic
Balance sheet – 30 June 2020 compared to 31 December 2019
●
Loans and advances increased £5.3bn to £138.1bn due to increased lending within CIB, partially offset by lower card balances in
CC&P
●
Derivative financial instrument assets and liabilities increased £77.9bn to £306.8bn and £78.7bn to £307.6bn respectively
driven by a decrease in major interest rate curves and increased trading volumes
●
Cash collateral and settlements increased £51.4bn to £130.8bn predominantly due to increased activity
●
Financial assets at fair value through the income statement increased £25.9bn to £154.3bn driven by increased secured lending
●
Other assets increased £57.7bn to £236.3bn predominantly due to an increase in cash at central banks and securities within the
liquidity pool
●
Deposits at amortised cost increased £31.2bn to £241.2bn due to CIB clients increasing liquidity
●
RWAs increased to £231.2bn (December 2019: £209.2bn) primarily due to increased market volatility, client activity and a
reduction in credit quality within CIB, partially offset by lower CC&P balances
1
Period covering Q114 – Q220. Pre 2014 financials were not restated following re-segmentation in Q116.
2
Data Source: Coalition, Q120 Competitor Analysis. Market share represents Barclays share of the total industry Revenue Pool. Analysis is based on Barclays internal
business structure and internal revenues.
3
Data source: Dealogic for the period covering 1 January to 30 June 2020.
![bplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000257/bplch120p2i0.gif)
Results by Business
16
Head Office
Half year ended
Half year ended
30.06.20
30.06.19
Income statement information
£m
£m
% Change
Net interest income
(259)
(206)
(26)
Net fee, commission and other income
55
(25)
Total income
(204)
(231)
12
Credit impairment charges
(55)
(15)
Net operating income
(259)
(246)
(5)
Operating expenses
(117)
(96)
(22)
Litigation and conduct
(8)
(40)
80
Total operating expenses
(125)
(136)
8
Other net expenses
(41)
(7)
Loss before tax
(425)
(389)
(9)
Attributable loss
(354)
(298)
(19)
As at 30.06.20
As at 31.12.19
As at 30.06.19
Balance sheet information
£bn
£bn
£bn
Total assets
21.7
21.0
22.4
Risk weighted assets
9.9
11.0
28.1
Half year ended
Half year ended
Performance measures
30.06.20
30.06.19
Average allocated equity (£bn)
9.9
7.9
Average allocated tangible equity (£bn)
6.0
4.6
Performance measures excluding litigation and conduct
1
£m
£m
% Change
Loss before tax
(417)
(349)
(19)
Attributable loss
(355)
(268)
(32)
Income statement – H120 compared to H119
●
Loss before tax, excluding litigation and conduct, was £417m (H119: £349m). Including litigation and conduct charges of £8m
(H119: £40m), loss before tax was £425m (H119: £389m)
●
Tot al income was an expense of £204m (H119: £231m), which included mark-to -market losses on legacy investments, treasury
items and funding costs of legacy capital instruments, partially offset by hedge accoun ting gains and recognition of dividends on
Barclays’ stake in Absa Group Limited
●
Credit impairment charges increased to £55m (H119: £15m) due to impacts from the COVID -19 scenarios on the Italian home
loan portfolio, partially offset by the estimated impact of central bank, government and other support measures
●
Operating expenses were £117 m (H119: £96m), which included £45m of charitable donations from Barclays’ COVID -19
Community Aid Package
●
Other net expenses were £41m (H119: £7m), which included a fair value loss on an investment in an associate
Balance sheet – 30 June 2020 compared to 31 December 2019
●
RWAs decreased to £9.9bn (December 2019: £11.0bn) driven by the reduction in value of Barclays’ stake in Absa Group Limited
1
Refer to pages 87 to 96 for further information and calculations of performance measures excluding litigation and conduct.
![bplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000257/bplch120p2i0.gif)
Quarterly Results Summary
17
Barclays Group
Q220
Q120
Q419
Q319
Q219
Q119
Q418
Q318
Income statement information
£m
£m
£m
£m
£m
£m
£m
£m
Net interest income
1,892
2,331
2,344
2,445
2,360
2,258
2,296
2,388
Net fee, commission and other income
3,446
3,952
2,957
3,096
3,178
2,994
2,777
2,741
Total income
5,338
6,283
5,301
5,541
5,538
5,252
5,073
5,129
Credit impairment charges
(1,623)
(2,115)
(523)
(461)
(480)
(448)
(643)
(254)
Net operating income
3,715
4,168
4,778
5,080
5,058
4,804
4,430
4,875
Operating costs
(3,310)
(3,253)
(3,308)
(3,293)
(3,501)
(3,257)
(3,624)
(3,329)
UK bank levy
-
-
(226)
-
-
-
(269)
-
Operating expenses
(3,310)
(3,253)
(3,534)
(3,293)
(3,501)
(3,257)
(3,893)
(3,329)
Guaranteed Minimum Pensions (GMP) charge
-
-
-
-
-
-
(140)
-
Litigation and conduct
(20)
(10)
(167)
(1,568)
(53)
(61)
(60)
(105)
Total operating expenses
(3,330)
(3,263)
(3,701)
(4,861)
(3,554)
(3,318)
(4,093)
(3,434)
Other net (expenses)/income
(26)
8
20
27
27
(3)
37
20
Profit before tax
359
913
1,097
246
1,531
1,483
374
1,461
Tax charge
(42)
(71)
(189)
(269)
(297)
(248)
(75)
(192)
Profit/(loss) after tax
317
842
908
(23)
1,234
1,235
299
1,269
Non-controlling interests
(21)
(16)
(42)
(4)
(17)
(17)
(83)
(43)
Other equity instrument holders
(206)
(221)
(185)
(265)
(183)
(180)
(230)
(176)
Attributable profit/(loss)
90
605
681
(292)
1,034
1,038
(14)
1,050
Performance measures
Return on average shareholders' equity
0.6%
4.4%
5.0%
(2.1%)
7.6%
7.8%
(0.1%)
8.0%
Return on average tangible shareholders' equity
0.7%
5.1%
5.9%
(2.4%)
9.0%
9.2%
(0.1%)
9.4%
Average shareholders' equity (£bn)
58.4
55.2
54.5
56.4
54.0
53.2
52.2
52.5
Average tangible shareholders' equity (£bn)
50.2
47.0
46.4
48.4
46.2
45.2
44.3
44.6
Cost: income ratio
62%
52%
70%
88%
64%
63%
81%
67%
Loan loss rate (bps)
179
223
60
52
56
54
77
30
Basic earnings/(loss) per share
0.5p
3.5p
3.9p
(1.7p)
6.0p
6.1p
(0.1p)
6.1p
Performance measures excluding
litigation and conduct
1
£m
£m
£m
£m
£m
£m
£m
£m
Profit before tax
379
923
1,264
1,814
1,584
1,544
434
1,566
Attributable profit
106
604
803
1,233
1,074
1,084
48
1,135
Return on average tangible shareholders' equity
0.8%
5.1%
6.9%
10.2%
9.3%
9.6%
0.4%
10.2%
Cost: income ratio
62%
52%
67%
59%
63%
62%
79%
65%
Basic earnings per share
0.6p
3.5p
4.7p
7.2p
6.3p
6.3p
0.3p
6.6p
Balance sheet and capital management
2
£bn
£bn
£bn
£bn
£bn
£bn
£bn
£bn
Total assets
1,385.1
1,444.3
1,140.2
1,290.4
1,232.8
1,193.5
1,133.3
1,170.8
Net asset value per share
331p
332p
309p
320p
322p
312p
309p
306p
Tangible net asset value per share
284p
284p
262p
274p
275p
266p
262p
260p
Common equity tier 1 ratio
14.2%
13.1%
13.8%
13.4%
13.4%
13.0%
13.2%
13.2%
Common equity tier 1 capital
45.4
42.5
40.8
41.9
42.9
41.4
41.1
41.7
Risk weighted assets
319.0
325.6
295.1
313.3
319.1
319.7
311.9
316.2
Average UK leverage ratio
4.7%
4.5%
4.5%
4.6%
4.7%
4.6%
4.5%
4.6%
Average UK leverage exposure
1,148.7
1,176.2
1,142.8
1,171.2
1,134.6
1,105.5
1,110.0
1,119.0
UK leverage ratio
5.2%
4.5%
5.1%
4.8%
5.1%
4.9%
5.1%
4.9%
UK leverage exposure
1,071.1
1,178.7
1,007.7
1,099.8
1,079.4
1,065.0
998.6
1,063.5
Funding and liquidity
Group liquidity (£bn)
298
237
211
226
238
232
227
213
Liquidity coverage ratio
186%
155%
160%
151%
156%
160%
169%
161%
Loan: deposit ratio
76%
79%
82%
82%
82%
80%
83%
83%
1
Re fer to pages 87 to 96 for further information and calculations of performance measures excluding litigation and conduct.
2
Refer to pages 49 to 54 for further information on how capital, RWAs and leverage are calculated.
![bplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000257/bplch120p2i0.gif)
Quarterly Results by Business
18
Barclays UK
Q220
Q120
Q419
Q319
Q219
Q119
Q418
Q318
Income statement information
£m
£m
£m
£m
£m
£m
£m
£m
Net interest income
1,225
1,412
1,478
1,503
1,438
1,469
1,513
1,529
Net fee, commission and other income
242
292
481
343
333
308
350
367
Total income
1,467
1,704
1,959
1,846
1,771
1,777
1,863
1,896
Credit impairment charges
(583)
(481)
(190)
(101)
(230)
(191)
(296)
(115)
Net operating income
884
1,223
1,769
1,745
1,541
1,586
1,567
1,781
Operating costs
(1,018)
(1,023)
(1,023)
(952)
(1,022)
(999)
(1,114)
(988)
UK bank levy
-
-
(41)
-
-
-
(46)
-
Operating expenses
(1,018)
(1,023)
(1,064)
(952)
(1,022)
(999)
(1,160)
(988)
Litigation and conduct
(6)
(5)
(58)
(1,480)
(41)
(3)
(15)
(54)
Total operating expenses
(1,024)
(1,028)
(1,122)
(2,432)
(1,063)
(1,002)
(1,175)
(1,042)
Other net income/(expenses)
13
-
-
-
(1)
1
(2)
1
(Loss)/profit before tax
(127)
195
647
(687)
477
585
390
740
Attributable (loss)/profit
(123)
175
438
(907)
328
422
241
510
Balance sheet information
£bn
£bn
£bn
£bn
£bn
£bn
£bn
£bn
Loans and advances to customers at amortised
cost
202.0
195.7
193.7
193.2
189.1
187.5
187.6
186.7
Total assets
287.6
267.5
257.8
257.9
259.0
253.1
249.7
252.0
Customer deposits at amortised cost
225.7
207.5
205.5
203.3
200.9
197.3
197.3
195.8
Loan: deposit ratio
92%
96%
96%
97%
97%
96%
96%
96%
Risk weighted assets
77.9
77.7
74.9
76.8
76.2
76.6
75.2
74.8
Performance measures
Return on average allocated equity
(3.6%)
5.1%
12.7%
(26.1%)
9.5%
12.2%
7.1%
14.9%
Return on average allocated tangible equity
1
(4.8%)
6.9%
17.0%
(34.9%)
12.7%
16.3%
9.6%
20.1%
Average allocated equity (£bn)
13.9
13.7
13.8
13.9
13.8
13.9
13.6
13.7
Average allocated tangible equity (£bn)
1
10.3
10.1
10.3
10.4
10.3
10.4
10.1
10.1
Cost: income ratio
70%
60%
57%
132%
60%
56%
63%
55%
Loan loss rate (bps)
111
96
38
20
47
40
61
24
Net interest margin
2.48%
2.91%
3.03%
3.10%
3.05%
3.18%
3.20%
3.22%
Performance measures excluding
litigation and conduct
2
£m
£m
£m
£m
£m
£m
£m
£m
(Loss)/profit before tax
(121)
200
705
793
518
588
405
794
Attributable (loss)/profit
(118)
178
481
550
358
424
253
558
Return on average allocated tangible equity
1
(4.6%)
7.0%
18.7%
21.2%
13.9%
16.4%
10.1%
22.0%
Cost: income ratio
69%
60%
54%
52%
58%
56%
62%
52%
1
Q120 has been restated to reflect allocated tangible equity being calculated as 13.0% of RWAs for each business, adjusted for capital deductions, excluding goodwill
and intangible assets.
2
Refer to pages 87 to 96 for further information and calculations of performance measures ex cluding litigation and conduct.
![bplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000257/bplch120p2i0.gif)
Quarterly Results by Business
19
Analysis of Barclays UK
Q220
Q120
Q419
Q319
Q219
Q119
Q418
Q318
Analysis of total income
£m
£m
£m
£m
£m
£m
£m
£m
Personal Banking
826
968
1,064
1,035
946
964
998
1,021
Barclaycard Consumer UK
367
436
533
472
497
490
522
551
Business Banking
274
300
362
339
328
323
343
324
Total income
1,467
1,704
1,959
1,846
1,771
1,777
1,863
1,896
Analysis of credit impairment (charges)/releases
Personal Banking
(130)
(134)
(71)
(36)
(36)
(52)
(44)
(8)
Barclaycard Consumer UK
(396)
(301)
(108)
(49)
(175)
(140)
(250)
(88)
Business Banking
(57)
(46)
(11)
(16)
(19)
1
(2)
(19)
Total credit impairment charges
(583)
(481)
(190)
(101)
(230)
(191)
(296)
(115)
Analysis of loans and advances to customers at
amortised cost
£bn
£bn
£bn
£bn
£bn
£bn
£bn
£bn
Personal Banking
154.9
153.4
151.9
150.1
147.3
145.9
146.0
145.4
Barclaycard Consumer UK
11.5
13.6
14.7
14.9
15.1
15.0
15.3
15.3
Business Banking
35.6
28.7
27.1
28.2
26.7
26.6
26.3
26.0
Total loans and advances to customers at
amortised cost
202.0
195.7
193.7
193.2
189.1
187.5
187.6
186.7
Analysis of customer deposits at amortised cost
Personal Banking
169.6
161.4
159.2
157.9
156.3
154.1
154.0
153.4
Barclaycard Consumer UK
0.1
-
-
-
-
-
-
-
Business Banking
56.0
46.1
46.3
45.4
44.6
43.2
43.3
42.4
Total customer deposits at amortised cost
225.7
207.5
205.5
203.3
200.9
197.3
197.3
195.8
![bplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000257/bplch120p2i0.gif)
Quarterly Results by Business
20
Barclays International
Q220
Q120
Q419
Q319
Q219
Q119
Q418
Q318
Income statement information
£m
£m
£m
£m
£m
£m
£m
£m
Net interest income
847
998
965
1,059
1,017
900
984
965
Net trading income
1,660
2,360
929
1,110
1,016
1,144
837
1,103
Net fee, commission and other income
1,503
1,286
1,558
1,581
1,870
1,526
1,400
1,222
Total income
4,010
4,644
3,452
3,750
3,903
3,570
3,221
3,290
Credit charges
��
impairment(1,010)
(1,609)
(329)
(352)
(247)
(245)
(354)
(143)
Net operating income
3,000
3,035
3,123
3,398
3,656
3,325
2,867
3,147
Operating costs
(2,186)
(2,219)
(2,240)
(2,282)
(2,435)
(2,206)
(2,441)
(2,277)
UK bank levy
-
-
(174)
-
-
-
(210)
-
Operating expenses
(2,186)
(2,219)
(2,414)
(2,282)
(2,435)
(2,206)
(2,651)
(2,277)
Litigation and conduct
(11)
-
(86)
-
(11)
(19)
(33)
(32)
Total operating expenses
(2,197)
(2,219)
(2,500)
(2,282)
(2,446)
(2,225)
(2,684)
(2,309)
Other net income
4
6
17
21
13
18
32
12
Profit before tax
807
822
640
1,137
1,223
1,118
215
850
Attributable profit/(loss)
468
529
397
799
832
788
(21)
687
Balance sheet information
£bn
£bn
£bn
£bn
£bn
£bn
£bn
£bn
Loans and advances at amortised cost
138.1
167.0
132.8
138.1
134.8
130.9
127.2
132.4
Trading portfolio assets
109.5
101.6
113.3
119.4
120.0
117.2
104.0
124.6
Derivative financial instrument assets
306.8
341.5
228.9
286.0
243.8
217.3
222.1
214.8
Financial assets at fair value through the income
statement
154.3
188.4
128.4
158.0
154.7
153.5
144.7
147.8
Cash collateral and settlement balances
130.8
153.2
79.4
112.5
101.3
97.8
74.3
94.3
Other assets
236.3
201.5
178.6
195.6
196.8
202.3
189.8
186.3
Total assets
1,075.8
1,153.2
861.4
1,009.6
951.4
919.0
862.1
900.2
Deposits at amortised cost
241.2
263.3
210.0
217.6
212.0
215.5
197.2
200.3
Derivative financial instrument liabilities
307.6
338.8
228.9
283.3
243.0
213.5
219.6
213.7
Loan: deposit ratio
57%
63%
63%
63%
64%
61%
65%
66%
Risk weighted assets
231.2
237.9
209.2
223.1
214.8
216.1
210.7
214.6
Performance measures
Return on average allocated equity
5.5%
6.6%
5.0%
9.6%
10.3%
10.0%
(0.3%)
8.5%
Return on average allocated tangible equity
1
5.6%
6.8%
5.1%
9.9%
10.7%
10.4%
(0.3%)
8.8%
Average allocated equity (£bn)
34.2
31.9
31.9
33.3
32.1
31.6
32.4
32.5
Average allocated tangible equity (£bn)
1
33.5
31.2
30.9
32.2
31.1
30.5
31.3
31.1
Cost: income ratio
55%
48%
72%
61%
63%
62%
83%
70%
Loan loss rate (bps)
284
377
96
99
72
73
107
41
Net interest margin
3.43%
3.93%
4.29%
4.10%
3.91%
3.99%
3.98%
3.87%
Performance measures excluding
litigation and conduct
2
£m
£m
£m
£m
£m
£m
£m
£m
Profit before tax
818
822
726
1,137
1,234
1,137
248
882
Attributable profit
476
529
461
801
840
804
13
713
Return on average allocated tangible equity
1
5.7%
6.8%
6.0%
10.0%
10.8%
10.6%
0.2%
9.2%
Cost: income ratio
55%
48%
70%
61%
62%
62%
82%
69%
1
Q120 has been restated to reflect allocated tangible equity being calculated as 13.0% of RWAs for each business, adjusted for capital deductions, excluding goodwill
and intangible assets.
2
Refer to pages 87 to 96 for further information and calculations of performance measures excluding litigation and conduct.
![bplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000257/bplch120p2i0.gif)
Quarterly Results by Business
21
Analysis of Barclays International
Corporate and Investment Bank
Q220
Q120
Q419
Q319
Q219
Q119
Q418
Q318
Income statement information
£m
£m
£m
£m
£m
£m
£m
£m
FICC
1,468
1,858
726
816
920
902
570
688
Equities
674
564
409
494
517
467
375
471
Markets
2,142
2,422
1,135
1,310
1,437
1,369
945
1,159
Advisory
84
155
202
221
221
132
242
151
Equity capital markets
185
62
56
86
104
83
53
55
Debt capital markets
463
418
322
381
373
354
330
313
Banking fees
732
635
580
688
698
569
625
519
Corporate lending
61
111
202
195
216
152
243
197
Transaction banking
381
449
397
424
444
415
412
416
Corporate
442
560
599
619
660
567
655
613
Other
-
-
-
-
-
-
(74)
(56)
Total income
3,316
3,617
2,314
2,617
2,795
2,505
2,151
2,235
Credit impairment (charges)/releases
(596)
(724)
(30)
(31)
(44)
(52)
(35)
3
Net operating income
2,720
2,893
2,284
2,586
2,751
2,453
2,116
2,238
Operating costs
(1,680)
(1,690)
(1,691)
(1,712)
(1,860)
(1,619)
(1,835)
(1,712)
UK bank levy
-
-
(156)
-
-
-
(188)
-
Operating expenses
(1,680)
(1,690)
(1,847)
(1,712)
(1,860)
(1,619)
(2,023)
(1,712)
Litigation and conduct
(3)
-
(79)
(4)
(7)
(19)
(23)
(32)
Total operating expenses
(1,683)
(1,690)
(1,926)
(1,716)
(1,867)
(1,638)
(2,046)
(1,744)
Other net income
3
-
1
12
3
12
15
4
Profit before tax
1,040
1,203
359
882
887
827
85
498
Attributable profit/(loss)
694
820
193
609
596
582
(84)
431
Balance sheet information
£bn
£bn
£bn
£bn
£bn
£bn
£bn
£bn
Loans and advances at amortised cost
104.9
128.2
92.0
95.8
92.1
90.6
86.4
93.3
Trading portfolio assets
109.3
101.5
113.3
119.3
119.9
117.2
104.0
124.5
Derivative financial instruments assets
306.7
341.4
228.8
286.0
243.7
217.3
222.1
214.8
Financial assets at fair value through the income
statement
153.7
187.8
127.7
157.3
154.1
152.9
144.2
147.3
Cash collateral and settlement balances
129.7
152.2
78.5
111.6
100.4
96.9
73.4
93.3
Other assets
205.5
171.4
155.3
171.5
168.1
163.2
160.4
153.8
Total assets
1,009.8
1,082.5
795.6
941.5
878.3
838.1
790.5
827.0
Deposits at amortised cost
173.9
198.4
146.2
152.1
145.4
151.4
136.3
137.6
Derivative financial instrument liabilities
307.6
338.7
228.9
283.2
242.9
213.5
219.6
213.7
Risk weighted assets
198.3
201.7
171.5
184.9
175.9
176.6
170.9
175.9
Performance measures
Return on average allocated equity
9.5%
12.5%
3.0%
9.1%
9.2%
9.3%
(1.3%)
6.6%
Return on average allocated tangible equity
1
9.6%
12.5%
3.0%
9.1%
9.2%
9.3%
(1.3%)
6.6%
Average allocated equity (£bn)
29.1
26.2
25.9
26.9
25.8
25.2
26.0
26.2
Average allocated tangible equity (£bn)
1
29.0
26.2
25.8
26.9
25.8
25.1
26.0
25.9
Cost: income ratio
51%
47%
83%
66%
67%
65%
95%
78%
Performance measures excluding
litigation and conduct
2
£m
£m
£m
£m
£m
£m
£m
£m
Profit before tax
1,043
1,203
438
886
894
846
108
530
Attributable profit/(loss)
696
820
251
614
601
598
(57)
456
Return on average allocated tangible equity
1
9.6%
12.5%
3.9%
9.2%
9.3%
9.5%
(0.9%)
7.0%
Cost: income ratio
51%
47%
80%
65%
67%
65%
94%
77%
1
Q120 has been restated to reflect allocated tangible equity being calculated as 13.0% of RWAs for each business, adjusted for capital deductions, excluding goodwill
and intangible assets.
2
Refer to pages 87 to 96 for further information and calculations of performance measures excluding litigation and conduct.
![bplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000257/bplch120p2i0.gif)
Quarterly Results by Business
22
Analysis of Barclays International
Consumer, Cards and Payments
Q220
Q120
Q419
Q319
Q219
Q119
Q418
Q318
Income statement information
£m
£m
£m
£m
£m
£m
£m
£m
Net interest income
513
663
717
720
720
665
664
691
Net fee, commission, trading and other income
181
364
421
413
388
400
406
364
Total income
694
1,027
1,138
1,133
1,108
1,065
1,070
1,055
Credit impairment charges
(414)
(885)
(299)
(321)
(203)
(193)
(319)
(146)
Net operating income
280
142
839
812
905
872
751
909
Operating costs
(506)
(529)
(549)
(570)
(575)
(587)
(606)
(565)
UK bank levy
-
-
(18)
-
-
-
(22)
-
Operating expenses
(506)
(529)
(567)
(570)
(575)
(587)
(628)
(565)
Litigation and conduct
(8)
-
(7)
4
(4)
-
(10)
-
Total operating expenses
(514)
(529)
(574)
(566)
(579)
(587)
(638)
(565)
Other net income
1
6
16
9
10
6
17
8
(Loss)/profit before tax
(233)
(381)
281
255
336
291
130
352
Attributable (loss)/profit
(226)
(291)
204
190
236
206
63
256
Balance sheet information
£bn
£bn
£bn
£bn
£bn
£bn
£bn
£bn
Loans and advances at amortised cost
33.2
38.8
40.8
42.3
42.7
40.3
40.8
39.1
Total assets
66.0
70.7
65.8
68.1
73.1
80.9
71.6
73.2
Deposits at amortised cost
67.3
64.9
63.8
65.5
66.6
64.1
60.9
62.7
Risk weighted assets
32.9
36.2
37.7
38.2
38.9
39.5
39.8
38.7
Performance measures
Return on average allocated equity
(17.7%)
(20.7%)
13.6%
11.8%
14.9%
12.8%
3.9%
16.3%
Return on average allocated tangible equity
1
(20.2%)
(23.5%)
15.9%
14.2%
17.8%
15.4%
4.8%
19.8%
Average allocated equity (£bn)
5.1
5.7
6.0
6.4
6.3
6.4
6.4
6.3
Average allocated tangible equity (£bn)
1
4.5
5.0
5.1
5.3
5.3
5.4
5.3
5.2
Cost: income ratio
74%
52%
50%
50%
52%
55%
60%
54%
Loan loss rate (bps)
455
846
273
283
180
182
290
138
Performance measures excluding
litigation and conduct
2
£m
£m
£m
£m
£m
£m
£m
£m
(Loss)/profit before tax
(225)
(381)
288
251
340
291
140
352
Attributable (loss)/profit
(220)
(291)
210
187
239
206
70
257
Return on average allocated tangible equity
1
(19.6%)
(23.5%)
16.3%
14.0%
18.0%
15.4%
5.4%
19.9%
Cost: income ratio
73%
52%
50%
50%
52%
55%
59%
54%
1
Q120 has been restated to reflect allocated tangible equity being calculated as 13.0% of RWAs for each business, adjusted for capital deductions, excluding goodwill
and intangible assets.
2
Refer to pages 87 to 96 for further information and calculations of performance measures excluding litigation and conduct.
![bplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000257/bplch120p2i0.gif)
Quarterly Results by Business
23
Head Office
Q220
Q120
Q419
Q319
Q219
Q119
Q418
Q318
Income statement information
£m
£m
£m
£m
£m
£m
£m
£m
Net interest income
(180)
(79)
(99)
(117)
(95)
(111)
(201)
(106)
Net fee, commission and other income
41
14
(11)
62
(41)
16
190
49
Total income
(139)
(65)
(110)
(55)
(136)
(95)
(11)
(57)
Credit impairment (charges)/releases
(30)
(25)
(4)
(8)
(3)
(12)
7
4
Net operating expenses
(169)
(90)
(114)
(63)
(139)
(107)
(4)
(53)
Operating costs
(106)
(11)
(45)
(59)
(44)
(52)
(69)
(64)
UK bank levy
-
-
(11)
-
-
-
(13)
-
Operating expenses
(106)
(11)
(56)
(59)
(44)
(52)
(82)
(64)
GMP charge
-
-
-
-
-
-
(140)
-
Litigation and conduct
(3)
(5)
(23)
(88)
(1)
(39)
(12)
(19)
Total operating expenses
(109)
(16)
(79)
(147)
(45)
(91)
(234)
(83)
Other net (expenses)/income
(43)
2
3
6
15
(22)
7
7
Loss before tax
(321)
(104)
(190)
(204)
(169)
(220)
(231)
(129)
Attributable loss
(255)
(99)
(154)
(184)
(126)
(172)
(234)
(147)
Balance sheet information
£bn
£bn
£bn
£bn
£bn
£bn
£bn
£bn
Total assets
21.7
23.6
21.0
22.9
22.4
21.4
21.5
18.6
Risk weighted assets
9.9
10.0
11.0
13.4
28.1
27.0
26.0
26.8
Performance measures
Average allocated equity (£bn)
10.3
9.6
8.8
9.2
8.1
7.7
6.2
6.4
Average allocated tangible equity (£bn)
1
6.4
5.6
5.2
5.8
4.8
4.3
2.9
3.4
Performance measures excluding
litigation and conduct
2
£m
£m
£m
£m
£m
£m
£m
£m
Loss before tax
(318)
(99)
(167)
(116)
(168)
(181)
(219)
(110)
Attributable loss
(252)
(103)
(139)
(118)
(124)
(144)
(218)
(136)
1
Q120 has been restated to reflect allocated tangible equity being calculated as 13.0% of RWAs for each business, adjusted for capital deductions, excluding goodwill
and intangible assets.
2
Refer to pages 87 to 96 for further information and calculations of performance measures excluding litigation and conduct.
![bplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000257/bplch120p2i0.gif)
Performance Management
24
Margins and balances
Half year ended 30.06.20
Half year ended 30.06.19
Net interest
income
Average
customer
assets
Net interest
margin
Net interest
income
Average
customer
assets
Net interest
margin
£m
£m
%
£m
£m
%
Barclays UK
2,637
197,023
2,907
188,377
Barclays International
1
1,848
101,286
1,947
99,478
Total Barclays UK and Barclays International
4,485
298,309
4,854
287,855
Other
2
(262)
(236)
Total Barclays Group
4,223
4,618
1
Barclays International margins include interest earning lending balances within the investment banking business.
2
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 30 June 2020 was £174bn, with an average duration of
2.5 to 3 years. Group net interest income includes gross structural hedge contributions of £0.9bn (H119: £0.9bn) and net structural
hedge contributions of £0.6bn (H 119: £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 represe nt the
net interest earned on the difference between the structural hedge rate and prevailing floating rates.
The Group net interest margin decreased 38bps to 3.02%. Barclays UK net interest margin decreased 42bps to 2.69% reflecting
COVID -19 customer support actions, the customer communications interval between Q120 base rate reductions and deposit re-
pricing, as well as a change in business mix due to balance growth in Mortgages and ongoing lower UK cards IEL and overdraft
balances. Barclays International net interest margin decreased 28bps to 3.67% reflecting a change in the business mix of lower
cards balances and increased lending in the CIB.
Quarterly analysis for Barclays UK and Barclays International
Net interest
income
Average
customer
assets
Net interest
margin
Three months ended 30.06.20
£m
£m
%
Barclays UK
Barclays International
1
Total Barclays UK and Barclays International
Three months ended 31.03.20
Barclays UK
1,412
195,204
2.91
Barclays International
1
980
100,171
3.93
Total Barclays UK and Barclays International
2,392
295,375
3.26
Three months ended 31.12.19
Barclays UK
1,478
193,610
3.03
Barclays International
1
1,036
95,819
4.29
Total Barclays UK and Barclays International
2,514
289,429
3.45
Three months ended 30.09.19
Barclays UK
1,503
192,262
3.10
Barclays International
1
1,038
100,589
4.10
Total Barclays UK and Barclays International
2,541
292,851
3.44
Three months ended 30.06.19
Barclays UK
1,438
189,172
3.05
Barclays International
1
980
100,645
3.91
Total Barclays UK and Barclays International
2,418
289,817
3.35
1
Barclays International margins include interest earning lending balances within the investment banking business.
![bplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000257/bplch120p2i0.gif)
Risk Management
25
Risk management and principal risks
The roles and responsibilities of the business groups, Risk and Compliance, in the management of risk in the firm are defined in the
Enterprise Risk Management Framework. The purpose of the framework is to identify the principal risks of the Group, the process
by which the Group sets its appetite for these risks in its business activities, and the consequent limits which it places on related
risk taking.
The framework identifies eight principal risks: credit risk; market risk; treasury and capital risk; operational risk; model risk; conduct
risk; reputation risk; and legal risk. Further detail on these risks and how they are managed is available in the Barclays PLC Annual
Report 2019 filed on Form 20-F (pages 90 to 107) or online at home.barclays/annualreport. There have been no significant changes
to these principal risks or previously identified material existing and emerging risks in the period, save that details of an additional
material risk identified in H120 which potentia lly impacts more than one principal risk are set out below.
The following section also gives an overview of credit risk, market risk, and treasury and capital risk for the period.
Risks relating to the impact of COVID -19
The COVID -19 pandemic has had, and continues to have, a material impact on businesses around the world and the economic
environments in which they operate. There are a number of factors associated with the pandemic and its impact on global
economies that could have a material adverse effect on (among other things) the profitability, capital and liquidity of financial
institutions such as Barclays.
The COVID -19 pandemic has caused disruption to the Group’s customers, suppliers and staff globally. Most jurisdictions in which
the Group operates have implemented severe restrictions on the movement of their respective populations, with a resultant
significant impact on economic activity in those jurisdictions. These restr ictions are being determined by the governments of
individual jurisdictions (including through the implementation of emergency powers) and impacts (including the timing of
implementation and any subsequent lifting of restrictions) may vary from jurisdiction to jurisdiction. It remains unclear how this will
evolve through 2020 (including whether there will be subsequent waves of the COVID -19 pandemic and whether and in what
manner previously lifted restrictions will be re-imposed) and the Group continues to monitor the situation closely. However,
despite the COVID -19 contingency plans established by the Group, its ability to conduct business may be adversely affected by
disruptions to its infrastructure, business processes and technology services, resulting from the unavailability of staff due to illness
or the failure of third parties to supply services. This may cause significant customer detriment, costs to reimburse losses incurred
by the Group’s customers, potential litigation costs (including regulatory fines, penalties and other sanctions), and reputational
damage.
In many of the jurisdictions in which the Group operates, schemes have been initiated by central banks, national governments and
regulators to provide financial support to parts of the econom y most impacted by the COVID -19 pandemic. These schemes have
been designed and implemented at pace, meaning lenders (including Barclays) continue to address operational issues which have
arisen in connection with the implementation of the schemes, including resolving the interaction between the schemes and
existing law and regulation. In addition, the details of how these schemes will impact the Group’s customers and therefore the
impact on the Group remains uncertain at this stage. However, certain actions (such as the introduction of payment holidays for
certain consumer lending products or the cancellation or waiver of fees associated with certain products) may negatively impact
the effective interest rate earned on certain of the Group’s portfolios and lower fee income being earned on certain products.
Lower interest rates globally will negatively impact net interest income earned on certain of the Group’s portfolios. Both of these
factors may in turn negatively impact the Group’s profitability. Furthermore, the introduction of, and participation in, central - bank
supported loan and other financing schemes introduced as a result of the COVID -19 pandemic may negatively impact the Group’s
RWAs, level of impairment and, in turn, capital position (particularly when any transitional relief applied to the calculation of RWAs
and impairment expires). This may be exacerbated if the Group is required by any government or regulator to offer forbearance or
additional financial relief to borrowers.
As these schemes and other financial support schemes provided by national governments (such as job retention and furlough
schemes) expire, are withdrawn or are no longer supported, the Group may experience a higher volume of defaults and
delinquencies in certain portfolios and may initiate collection and enforcement actions to recover defaulted debts. Where
defaulting borrowers are harmed by the Group’s conduct, this may give rise to civil legal proceedings, including class actions,
regulatory censure, potentially significant fines and other sanctions, and reputational damage. Other legal disputes may also arise
between the Group and defaulting borrowers relating to matters such as breaches or enforcement of legal rights or obligations
arising under loan and other credit agreements. Adverse findings in any such matters may result in the Group’s rights not being
enforced as intended. For further details on legal risk and legal, competition and regulatory matt ers, refer to Note 20 on page 80.
The actions taken by various governments and central banks, in particular in the United Kingdom and the United States, may
indicate a view on the potential severity of any economic downturn and post recovery environment, which from a commercial,
regulatory and risk perspective could be significantly different to past crises and persist for a prolonged period. The COVID -19
pandemic has led to a weakening in gross domestic product (GDP) in most jurisdictions in which the Group operates and an
expectation of higher unemployment and lower house prices in those same jurisdictions. These factors all have a significant impact
on the modelling of expected credit losses (ECL) by the Group. As a result, the Group has experienced higher ECLs during the first
half of 2020 compared to prior periods and this trend may continue in the second half of 2020. The economic environment remains
![bplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000257/bplch120p2i0.gif)
Risk Management
26
uncertain and future impairment charges may be subject to further volatility (including from changes to macroeconomic variable
forecasts) depending on the longevity of the COVID -19 pandemic and related containment measures, as well as the longer term
effectiveness of central bank, government and other support measures. For further details on macroeconomic variables used in the
calculation of ECLs, refer to page 34. In addition, ECLs may be adversely impacted by increased levels of default for single name
exposures in certain sectors directly impacted by the COVID -19 pandemic (such as the oil and gas, retail, airline, and hospitality and
leisure sectors).
Furthermore, the Group relies on models to support a broad range of business and risk management activities, including informing
business decisions and strategies, measuring and limiting risk, valuing exposures (including the calculation of impairment),
co nducting stress testing and assessing capital adequacy. Models are, by their nature, imperfect and incomplete representations of
reality because they rely on assumptions and inputs, and so they may be subject to errors affecting the accuracy of their outputs
and/or misused. This may be exacerbated when dealing with unprecedented scenarios, such as the COVID -19 pandemic, due to the
lack of reliable historical reference points and data. For further details on model risk, refer to page 98 of the Barclays PLC Annual
Report 2019 filed on Form 20-F.
The disruption to economic activity globally caused by the COVID -19 pandemic could adversely impact the Group’s other assets
such as goodwill and intangibles, and the value of Barclays PLC’s investments in subsidiaries. It could also impact the Group’s
income due to lower lending and transaction volumes due to volatility or weakness in the capital markets. Other potential risks
include credit rating migration which could negatively impact the Group’s RWAs and capital position, and potential liquidity stress
due to (among other things) increased customer drawdowns, notwithstanding the significant initiatives that governments and
central banks have put in place to support funding and liquidity. Furthermore, a significant increase in the utilisation of credit cards
by Barclaycard customers could have a negative impact on the Group’s RWAs and capital position.
Central bank and government actions and other support measures taken in response to the COVID -19 pandemic may also create
restrictions in relation to capital. For example, on 31 March 2020 in response to a request from the PRA and to preserve additional
capital for use in serving Barclays’ customers and clients, the Board agreed to cancel the 6.0p per ordinary share full year 2019
dividend that was due for payment on 3 April 2020. In addition, the Board decided that for 2020 Barclays PLC will not undertake
any interim ordinary share dividend payments, accrual of ordinary share dividends, or share buybacks. Restrictions imposed by
governments and/or regulators may further limit management’s flexibility in managing the business and taking action in relation to
capital distributions and capital allocation.
Any and all such events mentioned above could have a material adver se effect on the Group’s business, financial condition, results
of operations, prospects, liquidity, capital position and credit ratings (including potential credit rating agency changes of outlooks or
ratings), as well as on the Group’s customers, employe es and suppliers.
![bplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000257/bplch120p2i0.gif)
Credit Risk
27
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 30 June 2020. 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 30 June 2020.
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
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 30.06.20
£m
£m
£m
£m
£m
£m
£m
£m
£m
Barclays UK
147,369
26,022
2,613
176,004
327
1,672
1,129
3,128
172,876
Barclays International
17,714
6,200
1,838
25,752
427
1,335
1,400
3,162
22,590
Head Office
4,649
660
916
6,225
8
54
354
416
5,809
Total Barclays Group retail
169,732
32,882
5,367
207,981
762
3,061
2,883
6,706
201,275
Barclays UK
28,658
5,562
1,131
35,351
24
88
133
245
35,106
Barclays International
76,750
38,205
2,571
117,526
237
802
934
1,973
115,553
Head Office
2,977
38
3,015
37
37
2,978
Total Barclays Group
wholesale
1
108,385
43,767
3,740
155,892
261
890
1,104
2,255
153,637
Total loans and advances at
amortised cost
278,117
76,649
9,107
363,873
1,023
3,951
3,987
8,961
354,912
Off-balance sheet loan
commitments and financial
guarantee contracts
2
284,807
63,327
1,569
349,703
122
571
48
741
348,962
Total
3
562,924
139,976
10,676
713,576
1,145
4,522
4,035
9,702
703,874
As at 30.06.20
Half year ended 30.06.20
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
6.4
43.2
1.8
875
100
Barclays International
2.4
21.5
76.2
12.3
1,230
961
Head Office
0.2
8.2
38.6
6.7
55
178
Total Barclays Group retail
0.4
9.3
53.7
3.2
2,160
209
Barclays UK
0.1
1.6
11.8
0.7
102
58
Barclays International
0.3
2.1
36.3
1.7
910
156
Head Office
97.4
1.2
Total Barclays Group
wholesale
1
0.2
2.0
29.5
1.4
1,012
131
Total loans and advances at
amortised cost
0.4
5.2
43.8
2.5
3,172
175
Off-balance sheet loan
commitments and financial
guarantee contracts
2
-
0.9
2.0
0.2
409
Other financial assets subject
to impairment
3
157
Total
4
0.2
3.2
37.6
1.4
3,738
1
Includes Wealth and Private Banking exposures measured on an individual basis, and excludes Business Banking exposures that are managed on a collective basis.
The net impact is a difference in total exposure of £1,195m of balances reported as wholesale loans on page 29 in the Loans and advances at amort ised cost by
product disclosure.
2
Excludes loan commitments and financial guarantees of £7.4bn 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 £215.6bn and impairment allowance of £176m. This comprises £37m ECL on
£209.2bn stage 1 assets, £24m on £6.3bn stage 2 fair value through other comprehensive income asset s, cash collateral and settlement balances and £115m on
£115m stage 3 other assets.
4
H120 loan impairment charge represents six months of impairment charge, annualised to calculate the loan loss rate. The loan loss rate for H120 is 207bps after
applying the total impairment charge of £3,738m.
![bplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000257/bplch120p2i0.gif)
Credit Risk
28
Gross exposure
Impairment allowance
Net
exposure
Stage 1
Stage 2
Stage 3
Total
Stage 1
Stage 2
Stage 3
Total
As at 31.12.19
£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
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
1
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
2
321,140
19,185
935
341,260
97
170
55
322
340,938
Total
3
620,406
57,419
8,858
686,683
804
2,543
3,283
6,630
680,053
As at 31.12.19
Year ended 31.12.19
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
0.1
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
0.1
3.1
27.7
0.8
113
11
Head Office
-
-
94.6
1.2
-
-
Total Barclays Group
wholesale
1
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
2
-
0.9
5.9
0.1
71
Other financial assets subject
to impairment
3
8
Total
4
0.1
4.4
37.1
1.0
1,912
1
Includes Wealth and Private Banking exposures measured on an individual basis, and excludes Business Banking exposures that are managed on a collective basis.
The net impact is a difference in total exposure of £6,434m of balances reported as wholesale loans on page 29 in the Loans and advances at amort ised cost by
product disclosure.
2
Excludes loan commitments and financial guarantees of £17.7bn 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 £149.3bn and impairment allowance of £24m. This comprises £12m ECL on
£148.5bn stage 1 assets, £2m on £0.8bn stage 2 fair value through other comprehensive income assets , cash collateral and settlement balances and £10m on £10m
stage 3 other assets.
4
The loan loss rate is 55bps after applying the total impairment charge of £1,912m.
![bplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000257/bplch120p2i0.gif)
Credit Risk
29
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 30.06.20
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
134,612
17,464
1,765
1,042
20,271
2,258
157,141
Credit cards, unsecured loans and other retail lending
35,829
11,825
361
557
12,743
3,463
52,035
Wholesale loans
107,676
39,631
3,291
713
43,635
3,386
154,697
Total
278,117
68,920
5,417
2,312
76,649
9,107
363,873
Impairment allowance
Home loans
22
47
15
21
83
397
502
Credit cards, unsecured loans and other retail lending
768
2,515
146
286
2,947
2,535
6,250
Wholesale loans
233
812
80
29
921
1,055
2,209
Total
1,023
3,374
241
336
3,951
3,987
8,961
Net exposure
Home loans
134,590
17,417
1,750
1,021
20,188
1,861
156,639
Credit cards, unsecured loans and other retail lending
35,061
9,310
215
271
9,796
928
45,785
Wholesale loans
107,443
38,837
3,193
684
42,714
2,331
152,488
Total
277,094
65,564
5,158
1,976
72,698
5,120
354,912
Coverage ratio
%
%
%
%
%
%
%
Home loans
-
0.3
0.8
2.0
0.4
17.6
0.3
Credit cards, unsecured loans and other retail lending
2.1
21.3
40.4
51.3
23.1
73.2
12.0
Wholesale loans
0.2
2.0
3.0
4.1
2.1
31.2
1.4
Total
0.4
4.9
4.8
14.5
5.2
43.8
2.5
As at 31.12.19
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
Total customers on payment holidays amounted to £21.9bn in balances, of which 69% are in Stage 1. If these customers moved from
Stage 1 to Stage 2, it would result in an estimated ECL impact of £214m. Staging criteria are broadly consistent with the criteria
outlined in the Barclays PLC Annual Report 2019.
![bplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000257/bplch120p2i0.gif)
Credit Risk
30
Loans and advan ces at amortised cost by selected sectors
The table below presents a breakdown of loans and advances at amortised cost and the impairment allowance, with gross
exposure and stage allocation for selected industry sectors within the wholesale loans portfolio. The industry sectors have been
selected based upon the level of management focus they have received following the onset of the COVID -19 pandemic.
Gross exposure
Impairment allowance
Stage 1
Stage 2
Stage 3
Total
Stage 1
Stage 2
Stage 3
Total
As at 30.06.20
£m
£m
£m
£m
£m
£m
£m
£m
Air travel
1,018
462
69
1,549
-
14
25
39
Hospitality and leisure
3,567
3,600
236
7,403
18
121
75
214
Oil and gas
1,427
2,389
407
4,223
19
99
185
303
Retail
2,954
2,260
297
5,511
37
46
101
184
Shipping
355
369
6
730
1
8
3
12
Transportation
818
358
119
1,295
4
21
46
71
Total
10,139
9,438
1,134
20,711
79
309
435
823
Total of Wholesale exposures
9%
22%
33%
13%
34%
34%
41%
37%
Gross exposure
Impairment allowance
Stage 1
Stage 2
Stage 3
Total
Stage 1
Stage 2
Stage 3
Total
As at 31.12.19
£m
£m
£m
£m
£m
£m
£m
£m
Air travel
194
31
26
251
-
-
24
24
Hospitality and leisure
4,321
851
199
5,371
8
18
29
55
Oil and gas
2,539
612
136
3,287
8
24
47
79
Retail
3,395
777
207
4,379
11
24
85
120
Shipping
357
52
7
416
1
-
3
4
Transportation
873
82
89
1,044
5
5
54
64
Total
11,679
2,405
664
14,748
33
71
242
346
Total of Wholesale exposures
10%
23%
28%
11%
23%
24%
44%
35%
The coverage ratio for selected sectors has increased from 2.3% as at 31 December 2019 to 4.0% as at 30 June 2020. Exposure to UK
commercial real estate of £9.0bn, excluding government backed schemes, was in line with 31 December 2019 (£9.1bn). Coverage
increased from 0.56% to 0.85% in the period.
![bplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000257/bplch120p2i0.gif)
Credit Risk
31
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 exp osure and impairment allowance. An
explanation of the terms 12-month ECL , lifetime ECL and credit -impaired is included in the Barclays PLC Annual Report 2019 filed on
Form 20-F on page 225. Transfers between stages in the table have been reflected as if they had taken place at the beginning of the
year. The movements are measured over a 6-month period.
Loans and advances at amortised cost
Stage 1
Stage 2
Stage 3
Total
Gross
exposure
ECL
Gross
exposure
ECL
Gross
exposure
ECL
Gross
exposure
ECL
Home loans
£m
£m
£m
£m
£m
£m
£m
£m
As at 1 January 2020
135,713
22
17,043
64
2,155
346
154,911
432
Transfers from Stage 1 to Stage 2
(7,161)
(1)
7,161
1
-
-
-
-
Transfers from Stage 2 to Stage 1
2,985
7
(2,985)
(7)
-
-
-
-
Transfers to Stage 3
(99)
-
(288)
(8)
387
8
-
-
Transfers from Stage 3
24
-
112
1
(136)
(1)
-
-
Business activity in the year
9,928
1
277
1
-
-
10,205
2
Net drawdowns, repayments, net re-
measurement and movement due to exposure
and risk parameter changes
(2,752)
(6)
(355)
32
(2)
62
(3,109)
88
Final repayments
(4,026)
(1)
(694)
(1)
(137)
(9)
(4,857)
(11)
Disposals
-
-
-
-
-
-
-
-
Write -offs
1
-
-
-
-
(9)
(9)
(9)
(9)
As at 30 June 2020
2
134,612
22
20,271
83
2,258
397
157,141
502
Credit cards, unsecured loans and other retail lending
As at 1 January 2020
46,012
542
10,759
2,007
3,409
2,335
60,180
4,884
Transfers from Stage 1 to Stage 2
(6,228)
(124)
6,228
124
-
-
-
-
Transfers from Stage 2 to Stage 1
3
2,977
465
(2,977)
(465)
-
-
-
-
Transfers to Stage 3
(261)
(12)
(796)
(325)
1,057
337
-
-
Transfers from Stage 3
36
10
62
9
(98)
(19)
-
-
Business activity in the year
3,645
45
215
44
15
6
3,875
95
Net drawdowns, repayments, net re-
measurement and movement due to exposure
and risk parameter changes
3
(6,800)
(128)
(410)
1,595
136
814
(7,074)
2,281
Final repayments
(2,059)
(22)
(155)
(22)
(125)
(36)
(2,339)
(80)
Disposals
4
(1,493)
(8)
(183)
(20)
(86)
(57)
(1,762)
(85)
Write -offs
1
-
-
-
-
(845)
(845)
(845)
(845)
As at 30 June 2020
2
35,829
768
12,743
2,947
3,463
2,535
52,035
6,250
1 In H120, gross write -offs amounted to £953 m (H119: £951m) and post write -off recoveries amounted to £15m (H119: £73m). Net write -offs represent gross write-
offs less post write -off recoveries and amounted to £938m (H119: £878m).
2 Other financial assets subject to impairment excluded from the tables above include cash collateral and settlement balances, financial assets at fair value through
other compr ehensive income and other assets. These have a total gross exposure of £215.6bn (December 2019: £149.3bn) and impairment allowance of £176m
(December 2019: £24m). This comprises £37m ECL (December 2019: £12m) on £209.2 bn Stage 1 assets (December 2019: £148.5m), £24m (December 2019: £2m) on
£6.3bn Stage 2 fair value through other comprehensive income assets, cash collateral and settle ment assets (December 2019: £0.8bn) and £115m (Dece mber 2019:
£10m) on £115m Stage 3 other assets (December 2019: £10m).
3
Transfers and risk parameter changes include a £253m net release in ECL arising from a reclassification of £2.4bn gross loans and advances from Stage 2 to Stage 1
in Credit cards, unsecured loans and other retail lending resulting from a review of probability of default models in the period. Barclays continually reviews the
output of models to determine appropriateness of the ECL calculation, including reviews of model monitoring, external benchmarking and experience of model
operation over an extended period of time.
4 Disposals reported within Credit cards, unsecured loans and other retail lending portfolio include sale of motor financing business within the Barclays Partner Finance
business.
![bplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000257/bplch120p2i0.gif)
Credit Risk
32
Loans and advances at amortised cost
Stage 1
Stage 2
Stage 3
Total
Gross
exposure
ECL
Gross
exposure
ECL
Gross
exposure
ECL
Gross
exposure
ECL
Wholesale loans
£m
£m
£m
£m
£m
£m
£m
£m
As at 1 January 2020
117,541
143
10,432
302
2,359
547
130,332
992
Transfers from Stage 1 to Stage 2
(27,187)
(63)
27,187
63
-
-
-
-
Transfers from Stage 2 to Stage 1
2,076
20
(2,076)
(20)
-
-
-
-
Transfers to Stage 3
(832)
(3)
(653)
(44)
1,485
47
-
-
Transfers from Stage 3
251
9
250
7
(501)
(16)
-
-
Business activity in the year
23,797
22
4,316
213
42
12
28,155
247
Net drawdowns, repayments, net re-
measurement and movement due to exposure
and risk parameter changes
15,311
124
5,831
415
360
601
21,502
1,140
Final repayments
(23,281)
(19)
(1,643)
(15)
(260)
(37)
(25,184)
(71)
Disposals
-
-
(9)
-
-
-
(9)
-
Write -offs
1
-
-
-
-
(99)
(99)
(99)
(99)
As at 30 June 2020
2
107,676
233
43,635
921
3,386
1,055
154,697
2,209
Reconciliation of ECL movement to impairment charge/(release) for the period
£m
Home loans
79
Credit cards, unsecured loans and other retail lending
2,296
Wholesale loans
1,316
ECL movement excluding assets derecognised due to disposals and write-offs
3,691
Recoveries and reimbursements
3
(294)
Exchange and other adjustments
4
(225)
Impairment charge on loan commitments and other financial guarantees
409
Impairment charge on other financial assets
2
157
As at 30 June 2020
3,738
1 In H120, gross write -offs amounted to £953 m (H119: £951m) and post write -off recoveries amounted to £15m (H119: £73m). Net write -offs represent gross write-
offs less post write -off recoveries and amounted to £938m (H119: £878m).
2 Other financial assets subject to impairment excluded from the tables 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 £215.6bn (December 2019: £149.3bn) and impairment allowance of £176m
(December 2019: £24m). This comprises £37m ECL (December 2019: £12m) on £209.2 bn Stage 1 assets (December 2019: £148.5m), £24m (December 2019: £2m) on
£6.3bn Stage 2 fair value through other comprehensive income assets, cash collateral and settlement assets (December 2019: £0.8bn) and £115m (December 2019:
£10m) on £115m Stage 3 other assets (December 2019: £10m).
off recoveries of £15m.
4 Includes foreign exchange and interest and fees in suspense.
![bplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000257/bplch120p2i0.gif)
Credit Risk
33
Loan commitments and financial guarantees
Stage 1
Stage 2
Stage 3
Total
Gross
exposure
ECL
Gross
exposure
ECL
Gross
exposure
ECL
Gross
exposure
ECL
Home loans
£m
£m
£m
£m
£m
£m
£m
£m
As at 1 January 2020
9,542
-
500
-
4
-
10,046
-
Net transfers between stages
(93)
-
93
-
-
-
-
-
Business activity in the year
136
-
-
-
-
-
136
-
Net drawdowns, repayments, net re-
measurement and movement due to exposure
and risk parameter changes
(875)
-
(6)
-
(1)
-
(882)
-
Limit management
(117)
-
(16)
-
-
-
(133)
-
As at 30 June 2020
8,593
-
571
-
3
-
9,167
-
Credit cards, unsecured loans and other retail lending
As at 1 January 2020
125,759
35
6,238
71
250
14
132,247
120
Net transfers between stages
(4,914)
39
4,613
(38)
301
(1)
-
-
Business activity in the year
4,012
2
94
1
1
1
4,107
4
Net drawdowns, repayments, net re-
measurement and movement due to exposure
and risk parameter changes
9,357
(4)
248
123
(312)
8
9,293
127
Limit management
(5,402)
(1)
(277)
(1)
(34)
(3)
(5,713)
(5)
As at 30 June 2020
128,812
71
10,916
156
206
19
139,934
246
Wholesale loans
As at 1 January 2020
185,839
62
12,447
99
681
41
198,967
202
Net transfers between stages
(38,868)
(22)
37,836
15
1,032
7
-
-
Business activity in the year
24,882
7
3,389
30
107
-
28,378
37
Net drawdowns, repayments, net re-
measurement and movement due to exposure
and risk parameter changes
11,805
11
1,026
289
(221)
(19)
12,610
281
Limit management
(36,256)
(7)
(2,858)
(18)
(239)
-
(39,353)
(25)
As at 30 June 2020
147,402
51
51,840
415
1,360
29
200,602
495
![bplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000257/bplch120p2i0.gif)
Credit Risk
34
Measurement uncertainty
The Group uses a five -scenario model to calculate ECL. Absent the conditions surrounding the COVID -19 pandemic, a Baseline
scenario is typically generated based on an external consensus forecast assembled from key sources, including HM Treasury (short-
and medium-term forecasts), Bloomberg (based on median of economic forecasts) and the Urban Land Institute (for US House
Prices). In addition, two adverse scenarios (Downside 1 and Downside 2) and two favourable scenarios (Upside 1 and Upside 2) are
derived, with associated probability weightings. The adverse scenarios are typically calibrated to a similar severity to internal stress
tests, whilst also considering IFRS 9 specific sensitivities and non-linearity Downside 2 is typically benchmarked to the Bank of
England’s annual cyclical scenarios and to the most severe scenario from Moody’s inventory, but is not designed to be the same.
The favourable scenarios are generally calibrated to be symmetric to the adverse scenarios, subject to a ceiling calibrated to
relevant recent favourable benchmark scenarios. The scenarios include eight economic variables (GDP, unemployment, House Price
Index (HPI) and base rates in both the UK and US markets), and expanded variables using statistical models based on historical
correlations. The upside and downside shocks are designed to evolve over a five-year stress horizon, with all five scenarios
converging to a steady state after approximately eight years. To calculate ECL a probability weight is assigned to each scenario.
Following the onset of the COVID -19 pandemic, the Group generated a Baseline scenario in March 2020 that reflected the most
recent economic forecasts available in the market (combined with internal assumptions) and estimated impacts from significant
support measures taken by Barclays, central banks and governments across the Group’s key markets. This scenario assumed a
strong contraction in GDP and a sharp rise in unemployment in 2020 across both the UK and US, and required a recalibration of
probability weights. This scenario was superseded by a further revised Baseline scenario generated in June 2020, based broadly on
the latest economic forecasts which recognise some impacts from the various support measures still in place across the Group’s key
markets. Upside and downside scenarios were also regenerated in June 2020 (together with the revised Baseline scenario, the
“COVID -19 scenarios”). The downside scenarios reflect slower economic growth than the Baseline with social distancing measures
continuing to drag GDP. Economic growth begins to recover later in 2020 in Downside 1 but only in 2021 in the Downside 2
scenario. The upside scenarios reflect a faster rebound in economic growth than the Baseline with a sharp decrease in infection
rates and an almost fully reopened economy. Scenario weights were also revised in June 2020 with greater weight being applied to
the tail scenarios (Upside 2 and Downside 2). Thi s reflects the significant range of uncertainty in the economic environment
compared to previous quarters given the conditions surrounding the COVID -19 pandemic.
The economic environment remains uncertain and future impairment charges may be subject to further volatility (including from
changes to macroeconomic variable forecasts) depending on the longevity of the COVID -19 pandemic and related containment
measures, as well as the longer term effectiveness of central bank, government and other support measures.
The tables below show the key macroeconomic variables used in the COVID -19 Baseline scenario and the probability weights
applied to each respective scenario.
![bplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000257/bplch120p2i0.gif)
Credit Risk
35
Baseline average macroeconomic variables used in the calculation of ECL
2020
2021
2022
Expected Worst
Point
As at 30.06.20
%
UK GDP
1
(8.7)
6.1
2.9
(51.4)
UK unemployment
2
6.6
6.5
4.4
8.0
UK HPI
3
0.6
2.0
-
(1.5)
UK bank rate
0.2
0.1
0.1
0.1
US GDP
1
(4.2)
4.4
(0.3)
(30.4)
US unemployment
4
9.3
7.6
5.5
13.4
US HPI
5
1.1
1.8
(0.8)
(1.9)
US federal funds rate
0.5
0.3
0.3
0.3
As at 31.03.20
UK GDP
1
(8.0)
6.3
1.3
(51.5)
UK unemployment
2
6.7
4.5
3.7
8.0
UK HPI
3
(3.5)
2.6
2.7
(6.5)
UK bank rate
0.1
0.3
0.3
0.1
US GDP
1
(6.4)
4.4
3.2
(45.0)
US unemployment
4
12.9
7.5
3.8
17.0
US HPI
5
-
0.7
0.8
(0.3)
US federal funds rate
0.3
0.3
0.3
0.3
1
Average Real GDP seasonally adjusted change in year (31.03.20 based on Barclays Global Economic Forecasts); expected worst point is the minimum seasonally
adjusted quarterly annualised rate.
2
Average UK unemployment rate 16-year+.
3
Change in average yearly UK HPI = Halifax All Houses, All Buyers index , relative to pr ior year end; worst point is based on cumulative drawdown in year relative to
prior year end.
4
Average US civilian unemployment rate 16-year+.
5
Change in average yearly US HPI = FHFA house price index , relative to prior year end; worst point is based on cumulative drawdown in year relative to prior year end.
(31.03.20 based on QoQ average growth rates) .
Scenario probability weighting
Upside 2
Upside 1
Baseline
Downside 1
Downside 2
As at 30.06.20
Scenario probability weighting
20.3
22.4
25.4
17.5
14.4
As at 31.03.20
Scenario probability weighting
5.0
20.8
46.7
21.0
6.5
As at 31.12.19
Scenario probability weighting
10.1
23.1
40.8
22.7
3.3
![bplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000257/bplch120p2i0.gif)
Credit Risk
36
Macroeconomic variables (specific bases)
1
Upside 2
Upside 1
Baseline
Downside 1
Downside 2
As at 30.06.20
UK GDP
2
32.7
26.4
5.4
1.6
1.2
UK unemployment
3
3.5
3.6
4.9
9.6
10.9
UK HPI
4
45.3
27.2
2.3
(15.0)
(33.4)
UK bank rate
3
0.1
0.1
0.2
0.3
0.2
US GDP
2
19.1
13.5
3.3
2.0
(3.1)
US unemployment
3
4.1
4.4
6.3
15.4
18.7
US HPI
4
32.3
20.9
2.3
(8.8)
(19.7)
US federal funds rate
3
0.3
0.3
0.3
0.4
0.4
As at 31.12.19
UK GDP
2
4.2
2.9
1.6
0.2
(4.7)
UK unemployment
3
3.4
3.8
4.2
5.7
8.7
UK HPI
4
46.0
32.0
3.1
(8.2)
(32.4)
UK bank rate
3
0.5
0.5
0.7
2.8
4.0
US GDP
2
4.2
3.3
1.9
0.4
(3.4)
US unemployment
3
3.0
3.5
3.9
5.3
8.5
US HPI
4
37.1
23.3
3.0
0.5
(19.8)
US federal funds rate
3
1.5
1.5
1.7
3.0
3.5
As at 30.06.19
UK GDP
2
4.5
3.1
1.7
0.3
(4.1)
UK unemployment
3
3.4
3.9
4.3
5.7
8.8
UK HPI
4
46.4
32.6
3.2
(0.5)
(32.1)
UK bank rate
3
0.8
0.8
1.0
2.5
4.0
US GDP
2
4.8
3.7
2.1
0.4
(3.3)
US unemployment
3
3.0
3.4
3.7
5.2
8.4
US HPI
4
36.9
30.2
4.1
-
(17.4)
US federal funds rate
3
2.3
2.3
2.7
3.0
3.5
1
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. Forecast period based on 20
quarters from Q3 2020.
2
Upside scenario is the highest annual average growth rate based on seasonally adjusted quarterly annualised rate; 5-year average in Baseline; downside is the
lowest annual average growth rate based on seasonally adjusted quarterly annualised rate.
3
Lowest yearly average in Upside scenarios; 5-year average in Baseline; highest yearly average in Downside scenarios.
4
Cumulative growth (trough to peak) in Upside scenarios; 5-year average in Baseline; cumulative fall (peak- to-trough) in Downside scenarios.
![bplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000257/bplch120p2i0.gif)
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Macroeconomic variables (5-year averages)
1
Upside 2
Upside 1
Baseline
Downside 1
Downside 2
As at 30.06.20
UK GDP
8.9
7.2
5.4
5.2
2.8
UK unemployment
4.0
4.3
4.9
6.2
7.2
UK HPI
7.8
5.0
2.3
(1.4)
(5.5)
UK bank rate
0.4
0.3
0.2
0.1
0.1
US GDP
5.9
4.4
3.3
2.7
1.8
US unemployment
4.4
5.1
6.3
8.4
10.9
US HPI
5.8
3.9
2.3
(0.5)
(3.1)
US federal funds rate
0.6
0.5
0.3
0.3
0.3
As at 31.12.19
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 30.06.19
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
1
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. For GDP and HPI, numbers
represent average of seasonally adjusted quarterly annualised rates. Forecast period based on 20 quarters from Q3 2020.
![bplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000257/bplch120p2i0.gif)
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The following table provides a breakdown of the key drivers of the Group’s loan impairment charge.
Drivers of loan impairment charge
Q120
Q220
Total
£m
£m
£m
Impairment charge generated using scenarios before COVID -19
370
424
794
Single name wholesale loan charges
405
186
591
Loan impairment charge prior to impact of COVID -19 scenarios
775
610
1,385
Impact of COVID -19 scenarios and weights
1,190
1,163
2,353
Specific charge in respect of exposures to selected sectors
300
(150)
150
Incorporation of provision for UK economic uncertainty
(150)
-
(150)
Total loan impairment charge
2,115
1,623
3,738
The impact of the COVID -19 scenarios and weighting adjustments has resulted in a £2,353m increase in ECL from the pre -COVID
scenarios, primarily driven by forecasts for a prolonged period of UK and US unemployment.
Estimated effects from the significant support measures provided by Barclays, central banks and governments across the Group’s
key markets as a result of the COVID -19 pandemic have been factored into the calculation of the Group’s loan impairment charge.
The £300m provision taken in Q120 in respect of oil price risk has been released given the Q2 rebound in oil prices and residual risk
on the energy sector has been recognised in a Q2 charge of c.£150m under the COVID -19 scenarios and weights. A specific charge
of £150m in respect of exposures to selected sectors represents additional provisions taken in Q220 in response to the current
slowdown, in particular in the hospitality and retail sectors.
The £150m provision for UK economic uncertainty held at the year -end was incorporated within the updated scenarios in Q1.
ECL under 100% weighted scenarios for modelled portfolios
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 stage dependent 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
ave rage EAD measure is used (12 month or lifetime, 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 (£30m of ECL), non-modelled exposures and management
adjustments.
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 30 June 2020 and not on macroeconomic scenarios.
The Downside 2 scenario repre sents a global recession with substantial falls in both UK and US GDP. Unemployment in UK and US
markets rises to 11% and 19% respectively and there are substantial falls in asset prices including housing.
Under the Downside 2 scenario, model exposure moves between stages as the economic environment weakens. This ca n be seen
in the movement of £50bn 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 conditions deteriorate.
![bplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000257/bplch120p2i0.gif)
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Scenarios
As at 30.06.20
Weighted
Upside 2
Upside 1
Baseline
Downside 1
Downside 2
Stage 1 Model Exposure (£m)
Home loans
125,380
128,154
127,314
126,404
122,433
112,937
Credit cards, unsecured loans and other retail lending
58,303
63,114
62,525
61,361
58,654
55,410
Wholesale loans
122,594
144,825
145,491
140,318
115,054
93,598
Stage 1 Model ECL (£m)
Home loans
15
7
8
10
25
273
Credit cards, unsecured loans and other retail lending
592
558
612
636
665
649
Wholesale loans
293
330
317
293
283
271
Stage 1 Coverage (%)
Home loans
-
-
-
-
-
0.2
Credit cards, unsecured loans and other retail lending
1.0
0.9
1.0
1.0
1.1
1.2
Wholesale loans
0.2
0.2
0.2
0.2
0.2
0.3
Stage 2 Model Exposure (£m)
Home loans
20,058
17,284
18,124
19,034
23,005
32,501
Credit cards, unsecured loans and other retail lending
23,620
14,746
17,298
21,270
26,748
32,457
Wholesale loans
67,528
45,296
44,631
49,804
75,067
96,523
Stage 2 Model ECL (£m)
Home loans
75
48
48
55
70
194
Credit cards, unsecured loans and other retail lending
3,715
2,124
2,643
3,527
4,950
6,562
Wholesale loans
2,385
1,378
1,484
1,873
3,349
4,790
Stage 2 Coverage (%)
Home loans
0.4
0.3
0.3
0.3
0.3
0.6
Credit cards, unsecured loans and other retail lending
15.7
14.4
15.3
16.6
18.5
20.2
Wholesale loans
3.5
3.0
3.3
3.8
4.5
5.0
Stage 3 Model Exposure (£m)
Home loans
1,750
1,750
1,750
1,750
1,750
1,750
Credit cards, unsecured loans and other retail lending
2,928
2,928
2,928
2,928
2,928
2,928
Wholesale loans
1
1,864
1,864
1,864
1,864
1,864
1,864
Stage 3 Model ECL (£m)
Home loans
330
271
273
315
380
465
Credit cards, unsecured loans and other retail lending
2,346
2,277
2,309
2,345
2,392
2,449
Wholesale loans
1
91
80
83
93
96
109
Stage 3 Coverage (%)
Home loans
18.9
15.5
15.6
18.0
21.7
26.6
Credit cards, unsecured loans and other retail lending
80.1
77.8
78.9
80.1
81.7
83.6
Wholesale loans
1
4.9
4.3
4.5
5.0
5.2
5.8
Total Model ECL (£m)
Home loans
420
326
329
380
475
932
Credit cards, unsecured loans and other retail lending
6,653
4,959
5,564
6,508
8,007
9,660
Wholesale loans
1
2,769
1,788
1,884
2,259
3,728
5,170
Total Model ECL
9,842
7,073
7,777
9,147
12,210
15,762
1 Material wholesale loan defaults are individually assessed across different recovery str ategies.
Reconciliation to total ECL
£m
Total model ECL
9,842
ECL from individually assessed impairments on stage 3 loans
1,026
ECL from non-modelled and other management adjustments
1
(1,166)
Total ECL
9,702
1 Management adjustments of £1.2bn materially reflect estimated impacts from the significant support measures provided by Barclays, central banks and
governments across the Group’s key markets as a result of the COVID -19 pandemic. Some impacts from these support measures are recognised in the COVID -19
scenarios used to calculate modelled ECL. However, given the uncertain economic environment and the unprecedented policy response to the pandemic,
management have reviewed the output of the models across key portfolios to assess the appropri ateness of the total ECL and to more fully estimate the impact given
the longevity of support measures. Such assessments are inherently uncertain and actual credit losses may differ from the ECL depending on the evolution of the
COVID -19 pandemic.
![bplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000257/bplch120p2i0.gif)
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The dispersion of results around the Baseline is an indication of uncertainty around future projections. The disclosure highlights the
results of the alternative scenarios enabling the reader to understand the extent of the impact on exposure and ECL from the
upside/downside scenarios. Consequently, the use of five scenarios with associated weightings results in a total weighted ECL uplift
from the Baseline ECL of 8%.
![bplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000257/bplch120p2i0.gif)
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Scenarios
As at 31.12.19
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
1
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
1
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
1
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
1
741
558
611
679
977
1,852
Total Model ECL
5,603
4,913
5,145
5,447
6,433
9,462
1 Material wholesale loan defaults are individually assessed across different recovery strategies.
Reconciliation to total ECL
1
£m
Total model ECL
5,603
ECL from individually assessed impairments on stage 3 loans
419
ECL from non-modelled and other management adjustments
608
Total ECL
6,630
1 The table has been re-presented to separately show the impact of individually assessed impairments of £419m. This was included in the Barclays PLC Annual Report
2019 with non-modelled and other adjustments of £268m. Non-modelled and other adjustments are now disclosed within the other management adjustment s
category of £608m.
![bplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000257/bplch120p2i0.gif)
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Analysis of specific portfolios and asset types
Secured home loans
The UK home loan portfolio primarily comprises first lien mortgages and account s for 92% (December 2019: 92%) of the Group’s
total home loans balance.
Home loans principal portfolios
Barclays UK
As at
30.06.20
As at
31.12.19
Gross loans and advances (£m)
145,205
143,259
90 day arrears rate, excluding recovery book (%)
0.2
0.2
Annualised gross charge-off rate - 180 days past due (%)
0.5
0.6
Recovery book proportion of outstanding balances (%)
0.6
0.5
Recovery book impairment coverage ratio (%)
3.5
5.3
Average marked to market LTV
Balance weighted (%)
51.5
51.1
Valuation weighted (%)
37.5
37.3
New lending
Half year ended
30.06.20
Half year ended
30.06.19
New home loan completions (£m)
9,977
11,097
New home loans proportion > 90% LTV (%)
3.7
3.9
Average LTV on new home loans: balance weighted (%)
68.4
67.1
Average LTV on new home loans: valuation weighted (%)
60.0
58.9
Home loans principal portfolios – distribution of balances by LTV
1,2
Distribution of balances
Distribution of impairment allowance
Coverage ratio
Stage 1
Stage 2
Stage 3
Total
Stage 1
Stage 2
Stage 3
Total
Stage 1
Stage 2
Stage 3
Total
Barclays UK
%
%
%
%
%
%
%
%
%
%
%
%
As at 30.06.20
<=75%
73.3
12.3
0.6
86.2
10.4
22.4
32.0
64.8
-
0.1
2.5
-
>75% and <=90%
11.5
1.0
-
12.5
3.0
13.7
9.0
25.7
-
0.7
14.6
0.1
>90% and <=100%
1.1
0.1
-
1.2
0.4
1.6
2.0
4.0
-
1.0
26.5
0.2
>100%
0.1
-
-
0.1
0.1
1.3
4.1
5.5
0.1
2.8
39.6
3.0
As at 31.12.19
<=75%
76.0
10.7
0.7
87.4
4.2
15.4
28.5
48.1
-
0.1
2.2
-
>75% and <=90%
10.4
0.7
-
11.1
2.7
11.5
12.6
26.8
-
0.9
19.7
0.1
>90% and <=100%
1.3
0.1
-
1.4
0.8
2.5
4.9
8.2
-
1.8
54.4
0.3
>100%
0.1
-
-
0.1
0.2
4.1
12.6
16.9
0.2
8.7
107.4
9.0
1
Portfolio mark to market based on the most updated valuation including recovery book balances. Updated valuations reflect the application of the latest HPI
available as at 30 June 2020.
2
The average LTV of the customers taking payment holidays is 57%. Of the customers taking payment holidays, 35% of customers are in less than 60% LTV bucket,
40% in 60%-80% LTV bucket and 25% in greater than 80% LTV bucket.
The change in impairment coverage by loan to value ratio in the period is due to the impact of the change in economic assumptions
and scenario weights, reflecting the COVID-19 crisis. This has resulted in a redistribution of the impairment stock by loan to value
segment for the UK Mortgage portfolio with no change in overall impairment coverage for this portfolio.
During H120, a total of 120k payment holidays were provided to customers. At 30 June 2020, the book value of the portfolio where
payment holidays have been granted was £14.9bn, representing 10.3% of the portfolio.
Head Office:
secured on residential property with an average balance weighted mark to market LTV of 63.1% (2019: 64.4%). 90-day arrears
remained broadly stable at 1.9% (2019: 1.8%), gross charge -off rates increased slightly to 1.1% (2019: 0.8%).
![bplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000257/bplch120p2i0.gif)
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Credit cards, unsecured loans and other retail lending
The principal portfoli os listed below accounted for 86% (December 2019: 87 %) of the Group’s total credit cards, unsecured loans
and other retail lending.
Principal portfolios
Gross exposure
30 day arrears
rate, excluding
recovery book
90 day arrears
rate, excluding
recovery book
Annualised
gross write-off
rate
Annualised net
write-off rate
As at 30.06.20
£m
%
%
%
%
Barclays UK
UK cards
13,639
2.0
1.0
2.6
2.6
UK personal loans
5,526
2.4
1.4
2.9
2.7
Barclays Partner Finance
1
2,286
0.8
0.4
1.2
1.2
Barclays International
US cards
19,505
2.4
1.4
5.1
5.1
Germany consumer lending
3,570
1.6
0.8
1.0
0.9
As at 31.12.19
Barclays UK
UK cards
16,457
1.7
0.8
1.6
1.6
UK personal loans
6,139
2.1
1.0
3.2
2.9
Barclays International
US cards
22,041
2.7
1.4
4.5
4.4
Barclays Partner Finance
1
4,134
0.9
0.3
1.7
1.7
Germany consumer lending
3,558
1.7
0.7
2.1
1.3
1 On 1 April 2020, the Barclays Partner Finance business moved from Barclays International to Barclays UK. The 2019 comparative figures have not been restated.
UK cards:
reduction in balances, and prior to payment holidays being initiated, lower collections capacity in the first few weeks of the COVID-
19 related lockdown. During H120, a total of 151k payment holidays were provided to customers. At 30 June 2020, the book value
of the portfolio where payment holidays have been granted was £664m, representing 4.9% of the portfolio.
UK personal loans:
balances, coupled with lower collections capacity prior to payment holidays being initiated in the first few weeks of the COVID -19
related lockdown. During H120, a total of 74k payment holidays were provided to customers. At 30 June 2020, the book value of
the portfolio where payment holidays have been granted was £609m, representing 11.0% of the portfolio.
Barclays Partner Finance:
financing business, and since the introduction of payment holidays, lower flows into delinquency. 90 day arrears rate slightly
worsened as prior to payment holidays being initiated, there was lower collections capacity in the first few weeks of the COVID -19
related lockdown. During H120, a total of 13k payment holidays were provided to customers. At 30 June 2020, the book value of
the portfolio where payment holidays have been grant ed was £43m, representing 1.9% of the portfolio.
US cards:
delinquency entrance rate and overall flow through delinquency. During H120, a total of 213k payment holidays were provided to
customers. At 30 June 2020, the book value of the portfolio where payment holidays have been granted was £567m, representing
2.9% of the portfolio.
Germany consumer lending:
Germany in Q220. During H120, a total of 8k payment holidays were provided to customers. At 30 June 2020, the book value of the
portfolio where payment holidays have been granted was £98m, representing 2.7% of the portfolio.
![bplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000257/bplch120p2i0.gif)
Market Risk
44
Analysis of management value at risk (VaR )
The table below shows the total management VaR on a diversified basis by risk factor. Total management VaR includes all trading
positions in CIB and Treasury and it is calculated with a one- day holding period.
Limits are applied against each risk factor VaR as well as total management VaR, which are then cascaded further by risk managers
to each business.
Management VaR (95%) by asset class
Half year ended 30.06.20
Half year ended 31.12.19
Half year ended 30.06.19
Average
High
1
Low
1
Average
High
1
Low
1
Average
High
1
Low
1
£m
£m
£m
£m
£m
£m
£m
£m
£m
Credit risk
22
38
10
13
17
11
11
14
8
Interest rate risk
9
17
6
7
11
5
5
9
3
Equity risk
15
35
6
11
22
5
9
16
5
Basis risk
10
16
7
9
11
7
8
9
6
Spread risk
5
9
3
4
5
3
4
5
3
Foreign exchange risk
5
7
2
3
5
2
3
5
2
Commodity risk
1
1
-
1
2
-
1
1
-
Inflation risk
1
2
1
1
2
1
2
3
2
Diversification effect
1
(33)
n/a
n/a
(24)
n/a
n/a
(22)
n/a
n/a
Total management VaR
35
57
18
25
29
18
21
26
17
1
Diversification effects recognise that forecast losses from different assets or businesses are unlikely to occur concurrently, hence the expected aggregate loss is lower
than the sum of the expected losses from each area. Historical correlations between losses are taken into account in making these assessments. The high and low
VaR figures reported for each category did not necessarily occur on the same day as the high and low VaR reported as a whole. Consequently, a diversification effect
balance for the high and low VaR figures would not be meaningful and is therefore omitted from the above table.
Average management VaR increased 40% to £35m in H120 (H219: £25m) as elevated market volatility resulted in an increase in
credit and equity risk.
![bplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000257/bplch120p2i0.gif)
Treasury and Capital Risk
45
The Group has a comprehensive Key Risk Control Framework for managing its liquidity risk. The Liquidity Framework meets the PRA
standards and is designed to maintain liquidity resources that are sufficient in amount and quality, and a funding profile that is
appropriate to meet the Group’s Liquidity Risk Appetite (LRA). The Liquidity Framework is delivered via a combination of policy
formation, review and gove rnance, analysis, stress testing , limit setting and monitoring.
Liquidity risk stress testing
The liquidity risk stress assessment measures the potential contractual and contingent stress outflows under a range of scenarios,
which are then used to determine the size of the liquidity pool that is immediately available to meet anticipated outflows if a stress
occurs. The short-term scenarios include a 30 day Barclays - specific stress event, a 90 day market - wide stress event and a 30 day
combined scenario consisting of both a Barclays specific and market -wide stress event. The Group also runs a long-ter m liquidity
stress test, which measures the anticipated outflows over a 12 month market -wide scenario.
The CRR (as amended by CRR II) Liquidity Coverage ratio (LCR) requirement takes into account the relative stability of different
sources of funding and potential incremental funding requirements in a stress. The LCR is designed to promote short-term
resilience of a bank’s liquidity risk profile by holding sufficient high quality liquid assets to survive an acute stress scenario lasting
for 30 days.
As at 30 June 2020, the Group held eligible liquid assets in excess of 100% of net stress outflows to its internal and external
regulatory requirements.
Liquidity coverage ratio
As at 30.06.20
As at 31.12.19
£bn
£bn
Eligible liquidity buffer
291
206
Net stress outflows
(156)
(128)
Surplus
135
78
Liquidity coverage ratio
186%
160%
The Group plans to maintain its surplus to the internal and regulatory stress requirements at an efficient level, while considering
risks to market funding conditions and its liquidity position. The continuous reassessment of these risks may lead to execut ion of
appropriate actions to resize the liquidity pool. Given the heightened uncertainty in the current environment, the Group has taken
actions to maintain its liquidity surplus at an elevated level. Over time, and as risks dissipate, it is likely the liquidity surplus will fall
back from its current elevated level .
![bplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000257/bplch120p2i0.gif)
Treasury and Capital Risk
46
Composition of the Group liquidity pool
As at 30.06.20
As at 31.12.19
Liquidity pool
Liquidity pool of which CRR LCR eligible
3
Liquidity pool
Cash
Level 1
Level 2A
£bn
£bn
£bn
£bn
£bn
Cash and deposits with central banks
1
200
196
-
-
153
Government bonds
2
AAA to AA-
41
-
39
1
31
A+ to A-
23
-
17
6
2
BBB+ to BBB-
5
-
5
-
3
Total government bonds
69
-
61
7
36
Other
Government guaranteed issuers, PSEs and GSEs
11
-
9
1
9
International organisations and MDBs
9
-
9
-
7
Covered bonds
8
-
6
2
6
Other
1
-
-
-
-
Total other
29
-
24
3
22
Total as at 30 June 2020
298
196
85
10
211
Total as at 31 December 2019
211
150
50
3
1
Includes cash held at central banks and surplus cash at central banks related to payment schemes. Over 99% (December 2019: over 98%) was placed with the Bank
of England, US Federal Reserve, European Central Bank, Bank of Japan and Swiss National Bank.
2
Of which over 80% (December 2019: over 67%) comprised UK, US, French, German, Japanese, Swiss and Dutch securities.
3
The LCR eligible liquidity pool is adjusted for trapped liquidity and other regulatory deductions. It also incorporates other CRR (as amended by CRR II) qualifying
assets that are not eligible under Barclays’ internal risk appetite .
The Group liquidity pool increased to £298bn as at 30 June 2020 (December 2019: £211bn) driven by a 12% growth in customer
deposit and actions to maintain a prudent funding and liquidity position in the current environment . During H120, the month-end
liquidity pool ranged from £218 bn to £306bn (H219: £211bn to £ 256bn), and the month-end average balance was £257 bn (H219:
£235bn). The liquidity pool is held unencumbered and is not used to support payment or clearing requirements. Such requirements
are treated as part of our regular business funding. The liquidity pool is intended to offset stress outflows, and comprises the above
cash and unencumbered assets.
As at 30 June 2020, 65% (December 2019: 67%) of the liquidity pool was located in Barclays Bank PLC, 21% (December 2019: 20%)
in Barclays Bank UK PLC and 6% (December 2019: 6%) in Barclays Bank Ireland PLC. The residual portion of the liquidity pool is held
outside of these entities, predominantly in US subsidiaries, to meet entity-specific stress outflows and local regulatory
requirements. To the extent the use of this residual portion of the liquidity pool is restricted due to local regulatory requirements, it
is assumed to be unavailable to the rest of the Group in calculating the LCR.
The composition of the pool is subject to limits set by the Board and the independent liquidity risk, credit risk and market risk
functions. In addition, the investment of the liquidity pool is monitored for concentration by issuer, currency and asset type. Given
returns generated by these highly liquid assets, the risk and reward profile is continuously managed.
Deposit funding
As at 30.06.20
As at 31.12.19
Loans and
advances at
amortised cost
Deposits at
amortised cost
Loan: deposit
ratio
1
Loan: deposit
ratio
1
Funding of loans and advances
£bn
£bn
%
%
Barclays UK
208
226
92%
96%
Barclays International
138
241
57%
63%
Head Office
9
-
Barclays Group
355
467
76%
82%
1
The loan: deposit ratio is calculated as loans and advances at amortised cost divided by deposits at amortised cost.
![bplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000257/bplch120p2i0.gif)
Treasury and Capital Risk
47
Funding structure and funding relationships
The basis for liquidity risk management is a funding structure that reduces the probability of a liquidity stress leading to an inability
to meet funding obligations as they fall due. The Group’s overall funding strategy is to develop a diversified funding base
(geographically, by type and by counterparty) and maintain access to a variety of alternative funding sources, to provide protection
against unexpected fluctuations, while minimising the cost of funding.
Within this, the Group aims to align the sources and uses of funding. As such, retail and corporate loans and advances are largely
funded by deposits in the relevant entitie s, with the surplus primarily funding the liquidity pool. The majority of reverse repurchase
agreements are matched by repurchase agreements. Derivative liabilities and assets are largely matched. A substantial proportion
of balance sheet derivative positions qualify for counterparty netting and the remaining portions are largely offset when netted
against cash collateral received and paid. Wholesale debt and equity is used to fund residual assets.
These funding relationships as at 30 June 2020 are summarised below:
As at
30.06.20
As at
31.12.19
As at
30.06.20
As at
31.12.19
Assets
£bn
£bn
Liabilities and equity
£bn
£bn
Loans and advances at amortised cost
1
347
335
Deposits at amortised cost
467
416
Group liquidity pool
298
211
<1 Year wholesale funding
70
41
>1 Year wholesale funding
112
106
Reverse repurchase agreements, trading
portfolio assets, cash collateral and settlement
balances
383
298
Repurchase agreements, trading portfolio
liabilities, cash collateral and settlement
balances
306
247
Derivative financial instruments
307
229
Derivative financial instruments
308
229
Other assets
2
50
67
Other liabilities
52
35
Equity
70
66
Total assets
1,385
1,140
Total liabilities and equity
1,385
1,140
1
Adjusted for liquidity pool debt securities reported at amortised cost of £8bn (December 2019: £4bn).
2
Other assets include fair value assets that are not part of reverse repurchase agreements or trading portfolio assets, and other asset categories.
![bplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000257/bplch120p2i0.gif)
Treasury and Capital Risk
48
Composition of wholesale funding
Wholesale funding outstanding (excludin g repurchase agreements) was £181.9bn (December 2019: £147.1bn). In H120, the Group
issued £4.8bn of MREL eligible instruments from Barclays PLC (the Parent company) in a range of tenors and currencies.
Our operating companies also access wholesale funding markets to maintain their stable and diversified funding bases. Barclays
Bank PLC continued to issue in the shorter -term and medium-term notes markets, and also issued a $1.75bn two -year senior bond
in May. In addition, Barclays Bank UK PLC continued to issue in the shorter-term markets.
Wholesale funding of £69.6bn (December 2019: £40.6bn) matures in less than one year, representing 38% (December 2019: 28%)
of total wholesale funding outstanding. This includes £25.0bn (December 2019: £16.3bn) related to term funding
2
. Although not a
requirement, the liquidity pool exceeded wholesale funding maturing in less than one year by £228bn (December 2019: £170bn).
Maturity profile of wholesale funding
1,2
<1
1-3
3-6
6-12
<1
1-2
2-3
3-4
4-5
>5
month
months
months
months
year
years
years
years
years
years
Total
£bn
£bn
£bn
£bn
£bn
£bn
£bn
£bn
£bn
£bn
£bn
Barclays PLC (the Parent company)
Senior unsecured (public benchmark)
-
0.3
-
2.6
2.9
2.8
5.2
7.2
6.3
14.0
38.4
Senior unsecured (privately placed)
-
-
-
0.1
0.1
0.2
-
0.3
-
0.5
1.1
Subordinated liabilities
-
-
-
-
-
-
-
-
1.0
7.6
8.6
Barclays Bank PLC (including subsidiaries)
Certificates of deposit and commercial
paper
3.9
9.8
10.4
6.2
30.3
0.9
0.4
0.1
-
-
31.7
Asset backed commercial paper
3.2
3.9
1.6
0.3
9.0
-
-
-
-
-
9.0
Senior unsecured (public benchmark)
-
-
-
3.1
3.1
1.6
0.1
1.2
-
1.7
7.7
Senior unsecured (privately placed)
3
0.6
3.2
2.5
4.6
10.9
6.8
6.6
4.6
5.8
22.8
57.5
Asset backed securities
0.5
-
0.1
-
0.6
0.6
1.1
0.4
0.3
1.6
4.6
Subordinated liabilities
-
0.2
0.9
4.9
6.0
1.3
2.4
-
0.1
1.5
11.3
Barclays Bank UK PLC (including
subsidiaries)
Certificates of deposit and commercial
paper
3.7
1.3
0.2
0.1
5.3
-
-
-
-
-
5.3
Covered bonds
-
-
-
0.9
0.9
2.3
1.7
-
-
1.3
6.2
Asset backed securities
0.5
-
-
-
0.5
-
-
-
-
-
0.5
Total as at 30 June 2020
12.4
18.7
15.7
22.8
69.6
16.5
17.5
13.8
13.5
51.0
181.9
Of which secured
4.2
3.9
1.7
1.2
11.0
2.9
2.8
0.4
0.3
2.9
20.3
Of which unsecured
8.2
14.8
14.0
21.6
58.6
13.6
14.7
13.4
13.2
48.1
161.6
Total as at 31 December 2019
4.5
11.6
9.4
15.1
40.6
19.8
12.1
15.1
11.6
47.9
147.1
Of which secured
1.6
5.3
2.3
0.5
9.7
0.9
2.5
2.4
0.9
3.2
19.6
Of which unsecured
2.9
6.3
7.1
14.6
30.9
18.9
9.6
12.7
10.7
44.7
127.5
1
The composition of wholesale funds comprises the balance sheet reported financial liabilities at fair value, debt securities in issue and subordinated liabilities. It does
not include participation in the central bank facilities reported within repurchase agreements and other similar secured borrowing.
2
Term funding comprises public benchmark and privately placed senior unsecured notes, covered bonds, asset -backed securities and subordinated debt where the
original maturity of the instrument is more than 1 year.
3
Includes structured notes of £48.5bn, of which £8.9bn matures within one year.
![bplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000257/bplch120p2i0.gif)
Treasury and Capital Risk
49
Capital
The Group’s Overall Capital Requirement for CET1 is 11.2% 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 2.7% 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 Poli cy Committee 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 PRA’s Individual Capital Requirement applicable from 23 July 2020 has been revised to
4.8% of which at least 56.25% needs to be met with CET1 capital, equating to approximately 2.7% of RWAs. The Pillar 2A
requirement 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.
On 27 June 2019, CRR II came into force amending CRR. As an amending regulation, the existing provisions of CRR apply unless they
are amended by CRR II. Certain aspects of CRR II are dependent on final technical standards to be issued by the European Banking
Authority (EBA) and adopted by the European Commission as well as UK implementation of the rules.
On 27 June 2020, CRR was further amended to accelerate specific CRR II measures and implement a new IFRS 9 transitional relief
calculation. Previously due to be implemented in June 2021, the accelerated measures primarily relate to the CRR leverage
calculation to include additional settlement netting and limited changes to the calculation of RWAs . For UK leverage calculations,
the PRA early adopted the CRR II settlement netting measure in April 2020.
The IFRS 9 transitional arrangements have been extended by two years and a new modified calculation has been introduced. 100%
relief will be applied to increases in stage 1 and stage 2 provisions from 1 January 2020 throughout 2020 and 2021; 75% in 2022;
50% in 2023; 25% in 2024 with no relief applied from 2025. The phasing out of transitional relief on the “day 1” impact of IFRS 9 as
well as increases in stage 1 and stage 2 provisions between 1 January 2018 and 31 December 2019 under the modified calculation
remain unchanged and continue to be subject to 70% transitional relief throughout 2020; 50% for 2021; 25% for 2022 and with no
relief applied from 2023.
Also impacting own funds from 30 June 2020 until 31 December 2020 inclusive are amendments to the regulatory technical
standards on prudential valuation which include an increase to diversification factors applied to certain additional valuation
adjustments.
The disclosures in the following section reflect Barclays’ interpretation of the current rules and guidance.
![bplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000257/bplch120p2i0.gif)
Treasury and Capital Risk
50
Capital ratios
1,2,3
As at
As at
As at
30.06.20
31.03.20
31.12.19
CET1
14.2%
13.1%
13.8%
Tier 1 (T1)
17.8%
16.6%
17.7%
Total regulatory capital
21.7%
20.4%
21.6%
Capital resources
£m
£m
£m
Total equity excluding non-controlling interests per the balance sheet
68,304
68,369
64,429
Less: other equity instruments (recognised as AT1 capital)
(10,871)
(10,871)
(10,871)
Adjustment to retained earnings for foreseeable dividends
(44)
(49)
(1,096)
Other regulatory adjustments and deductions
Additional value adjustments (PVA)
(1,517)
(1,847)
(1,746)
Goodwill and intangible assets
(8,154)
(8,197)
(8,109)
Deferred tax assets that rely on future profitability excluding temporary differences
(444)
(294)
(479)
Fair value reserves related to gains or losses on cash flow hedges
(1,914)
(1,709)
(1,002)
Gains or losses on liabilities at fair value resulting from own credit
(233)
(389)
260
Defined benefit pension fund assets
(2,094)
(3,603)
(1,594)
Direct and indirect holdings by an institution of own CET1 instruments
(50)
(50)
(50)
Adjustment under IFRS 9 transitional arrangements
2,459
1,215
1,126
Other regulatory adjustments
(62)
(57)
(55)
CET1 capital
45,380
42,518
40,813
AT1 capital
Capital instruments and related share premium accounts
10,871
10,871
10,871
Qualifying AT1 capital (including minority interests) issued by subsidiaries
691
753
687
Other regulatory adjustments and deductions
(80)
(130)
(130)
AT1 capital
11,482
11,494
11,428
T1 capital
56,862
54,012
52,241
T2 capital
Capital instruments and related share premium accounts
9,028
8,423
7,650
Qualifying T2 capital (including minority interests) issued by subsidiaries
3,396
4,013
3,984
Credit risk adjustments (excess of impairment over expected losses)
36
196
16
Other regulatory adjustments and deductions
(160)
(250)
(250)
Total regulatory capital
69,162
66,394
63,641
Total RWAs
318,987
325,631
295,131
1
CET1, T1 and T2 capital, and RWAs are calculated applying the transitional arrangements of the CRR as amended by CRR II applicable as at the reporting date . 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 13.5%, with £42.9bn of CET1 capital and
£318.0bn of RWAs calculated without applying the transitional arrangements of the CRR as amended by CRR II applicable as at the reporting date.
3
The Barclays PLC CET1 ratio, as is relevant for assessing against the conversion trigger in Barclays Bank PLC T2 Con tingent Capital Notes, was 14.2%. For this
calculation CET1 capital and RWAs are calculated applying the transitional arrangements under the CRR, 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.
![bplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000257/bplch120p2i0.gif)
Treasury and Capital Risk
51
Movement in CET1 capital
Three months
Six months
ended
ended
30.06.20
30.06.20
£m
£m
Opening CET1 capital
42,518
40,813
Profit for the period attributable to equity holders
296
1,122
Own credit relating to derivative liabilities
172
3
Dividends paid and foreseen
(201)
625
Increase in retained regulatory capital generated from earnings
267
1,750
Net impact of share schemes
344
288
Fair value through other comprehensive income reserve
399
(378)
Currency translation reserve
223
1,220
Other reserves
3
(3)
Increase in other qualifying reserves
969
1,127
Pension remeasurements within reserves
(1,345)
645
Defined benefit pension fund asset deduction
1,509
(500)
Net impact of pensions
164
145
Additional value adjustments (PVA)
330
229
Goodwill and intangible assets
43
(45)
Deferred tax assets that rely on future profitability excluding those arising from temporary differences
(150)
35
Adjustment under IFRS 9 transitional arrangements
1,244
1,333
Other regulatory adjustments
(5)
(7)
Increase in regulatory capital due to adjustments and deductions
1,462
1,545
Closing CET1 capital
45,380
45,380
CET1 capital increased £4.6bn to £45.4bn (December 2019: £40.8bn).
£1.1bn of capital generated from profits, and a £1.0bn increase due to the cancellation of the full year 2019 dividend were partially
offset by £0.4bn of AT1 coupons paid. Other movements in the period were:
●
A £0.4bn decrease in the fair value through other comprehensive income reserve driven by a decrease in the Absa Group
Limited share price
●
A £1.2bn increase in the currency translation reserve mainly driven by the appreciation of period end USD against GBP
●
A £0.1bn increase as a result of movements in pensions, largely due to an additional £250m investment by the UKRF in
non-transferrable listed senior fixed rate notes, backed by UK gilts
●
A £0.2bn increase due to a reduction in PVA which includes the temporary increase to diversification factors applied to
certain additional valuation adjustments
●
A £1.3bn increase in the IFRS 9 transitio nal relief after tax which was driven by £1.2bn in Q220 following new impairment
charges and the implementation of new regulatory measures which allow for 100% relief on increases in stage 1 and
stage 2 impairment throughout 2020 and 2021
![bplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000257/bplch120p2i0.gif)
Treasury and Capital Risk
52
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 30.06.20
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
Barclays UK
7,428
58,048
359
48
122
11,851
77,856
Corporate and Investment Bank
27,032
77,983
11,879
20,472
218
3,871
12,830
22,638
21,387
198,310
Consumer, Cards and Payments
21,901
3,168
157
46
27
95
7,539
32,933
Barclays International
48,933
81,151
12,036
20,518
218
3,898
12,830
22,733
28,926
231,243
Head Office
3,578
6,183
-
127
9,888
Barclays Group
59,939
145,382
12,395
20,518
218
3,946
12,952
22,733
40,904
318,987
As at 31.03.20
Barclays UK
5,835
59,451
311
28
202
11,851
77,678
Corporate and Investment Bank
30,620
71,993
15,611
19,756
1,022
3,309
14,036
24,010
21,390
201,747
Consumer, Cards and Payments
25,205
3,085
132
31
21
151
7,536
36,161
Barclays International
55,825
75,078
15,743
19,787
1,022
3,330
14,036
24,161
28,926
237,908
Head Office
3,706
6,212
127
10,045
Barclays Group
65,366
140,741
16,054
19,787
1,022
3,358
14,238
24,161
40,904
325,631
As at 31.12.19
Barclays UK
5,189
57,455
235
-
-
23
178
-
11,821
74,901
Corporate and Investment Bank
25,749
62,177
12,051
16,875
276
2,470
12,854
17,626
21,475
171,553
Consumer, Cards and Payments
27,209
2,706
92
37
-
11
-
103
7,532
37,690
Barclays International
52,958
64,883
12,143
16,912
276
2,481
12,854
17,729
29,007
209,243
Head Office
5,104
5,754
-
-
-
-
-
-
129
10,987
Barclays Group
63,251
128,092
12,378
16,912
276
2,504
13,032
17,729
40,957
295,131
Movement analysis of RWAs
Credit risk
Counterparty
credit risk
Market risk
Operational risk
Total RWAs
£m
£m
£m
£m
£m
Opening RWAs (as at 31.12.19)
191,343
32,070
30,761
40,957
295,131
Book size
(1,161)
3,786
10,064
(53)
12,636
Acquisitions and disposals
(33)
-
-
-
(33)
Book quality
6,502
491
-
-
6,993
Model updates
1,846
182
-
-
2,028
Methodology and policy
1,881
548
(5,140)
-
(2,711)
Foreign exchange movements
1
4,943
-
-
-
4,943
Closing RWAs (as at 30.06.20)
205,321
37,077
35,685
40,904
318,987
1
Foreign exchange movements does not include foreign exchange for counterparty credit risk or market risk.
RWA increased £23.9bn to £319. 0bn:
●
Book size increased RWAs £12.6 bn primarily due to higher market volatility and an increase in client activity compared to
year-end 2019
●
Book quality increased RWAs £7.0 bn due to a reduction in credit quality primarily within CIB
●
Model updates increased RWAs £2. 0bn primarily due to modelled risk weights recalibrations
●
Methodology and policy decreased RWAs £2.7bn primarily due to the removal of a Risk Not In VaR (RNIV) and the
reduction in capital requirements related to VaR backtesting exceptions
●
Foreign exchange movements increased RWAs £4.9bn due to the appreciatio n of period end USD agains t GBP
![bplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000257/bplch120p2i0.gif)
Treasury and Capital Risk
53
Leverage ratio and exposures
The Group is subject to a leverage ratio requirement of 3.8% as at 30 June 2020. 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 (CCLB) 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 again st the 0.53% G-SII
ALRB was £6.0bn.
The Group is required to disclose an average UK leverage ratio which is based on capital on the last day of each month 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 the leverage
exposures and include the PRA’s early adoption of CRR II settlement netting.
Leverage ratios
1,2
As at
30.06.20
As at
31.03.20
As at
31.12.19
£m
£m
£m
Average UK leverage ratio
4.7%
4.5%
4.5%
Average T1 capital
3
54,548
Average UK leverage exposure
1,148,720
UK leverage ratio
5.2%
4.5%
5.1%
CET1 capital
45,380
AT1 capital
10,791
T1 capital
3
56,171
UK leverage exposure
1,071,138
1,178,708
1,007,721
UK leverage exposure
Accounting assets
Derivative financial instruments
307,258
342,120
229,236
Derivative cash collateral
77,063
85,321
56,589
Securities financing transactions (SFTs)
160,015
185,725
111,307
Loans and advances and other assets
840,781
831,130
743,097
Total IFRS assets
1,385,117
1,444,296
1,140,229
Regulatory consolidation adjustments
(1,982)
(4,841)
(1,170)
Derivatives adjustments
Derivatives netting
(279,151)
(309,585)
(207,756)
Adjustments to cash collateral
(67,718)
(70,758)
(48,464)
Net written credit protection
14,442
19,994
13,784
Potential future exposure (PFE) on derivatives
123,468
126,503
119,118
Total derivatives adjustments
(208,959)
(233,846)
(123,318)
SFTs adjustments
21,226
34,271
18,339
Regulatory deductions and other adjustments
(18,297)
(14,615)
(11,984)
Weighted off-balance sheet commitments
108,436
102,499
105,289
Qualifying central bank claims
(173,033)
(149,056)
(119,664)
Settlement netting
(41,370)
-
-
UK leverage exposure
2
1,071,138
1,178,708
1,007,721
1
Fully loaded average UK leverage ratio was 4.6%, with £53.0bn of T1 capital and £1,147bn of leverage exposure. Fully loaded UK leverage ratio was 5.0%, with
£53.7bn of T1 capital and £1,069bn of leverage exposure.
Fully loaded UK leverage ratios are calculated without applying the transitional arrangements of the CRR
as amended by CRR II applicable as at the reporting date.
2
Capital and leverage measures are calculated applying the transitional arrangements of the CRR as amended by CRR II applicable as at the reporting date .
3
T1 capital is calculated in line with the PRA Handbook.
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Treasury and Capital Risk
54
The average UK leverage ratio increased to 4.7% (December 2019: 4.5%), driven by an increase in T1 capital. The leverage exposure
increased by £6bn to £1,149bn, primarily driven by SFTs and loans and advances and other assets, partially offset by the PRA’s early
adoption of CRR II settlement netting.
The UK leverage ratio increased to 5.2% (December 2019: 5.1%), driven by an increase in T1 capital. The UK leverage exposure
increased by £63bn to £1,071bn, primarily driven by SFTs and loans and advances and other assets , partially offset by the PRA’s
early adoption of CRR II settlement netting.
The Group also discloses a CRR leverage ratio
1
guidelines on disclosure under Part Eight of the CRR (see Barc lays PLC Pillar 3 Report H1 2020, expected to be published on 14
August 2020 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 applicable as at the reporting date.
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Treasury and Capital Risk
55
MREL
CRR II requirements relating to own funds and eligible liabilities came into effect from 27 June 2019. Eligible liabilities have been
calculated reflecting the Group’s interpretation of the current rules and guidance. Certain aspects of CRR II are dependent on final
technical standards to be issued by the EBA and adopted by the European Commission as well as UK implementation of the rules.
The Group is required to meet the higher of: (i) the MREL set by the Bank of England; and (ii) the requirements in CRR II, both of
which have RWA and leverage based requirem ents. MREL is subject to phased implementation and will be fully implemented by 1
January 2022, at which time the Group’s indicative MREL is expected to be two times the sum of its Pillar 1 and Pillar 2A
requirements, as set by the Bank of England. In addition, CET1 capital cannot be counted towards both MREL and the capital
buffers, meaning that the buffers will effectively be applied above both the Pillar 1 and Pillar 2A requirements relating to own funds
and eligible liabilities. The Bank of England will review the MREL calibration by the end of 2020, including assessing the proposal for
Pillar 2A recapitalisation, which may drive a different 1 January 2022 MREL than currently proposed.
Own funds and eligible liabilities ratios
1
As at
30.06.20
As at
31.03.20
As at
31.12.19
CET1 capital
14.2%
13.1%
13.8%
AT1 capital instruments and related share premium accounts
2
3.4%
3.3%
3.6%
T2 capital instruments and related share premium accounts
2
2.8%
2.6%
2.5%
Eligible liabilities
12.0%
10.3%
11.2%
Total Barclays PLC (the Parent company) own funds and eligible liabilities
32.4%
29.3%
31.2%
Qualifying AT1 capital (including minority interests) issued by subsidiaries
0.2%
0.2%
0.2%
Qualifying T2 capital (including minority interests) issued by subsidiaries
1.1%
1.2%
1.3%
Total own funds and eligible liabilities, including eligible Barclays Bank PLC instruments
33.7%
30.7%
32.8%
Own funds and eligible liabilities
1
£m
£m
£m
CET1 capital
45,380
42,518
40,813
AT1 capital instruments and related share premium accounts
2
10,791
10,741
10,741
T2 capital instruments and related share premium accounts
2
8,904
8,369
7,416
Eligible liabilities
38,308
33,674
33,025
Total Barclays PLC (the Parent company) own funds and eligible liabilities
103,383
95,302
91,995
Qualifying AT1 capital (including minority interests) issued by subsidiaries
691
753
687
Qualifying T2 capital (including minority interests) issued by subsidiaries
3,396
4,013
3,984
Total own funds and eligible liabilities, including eligible Barclays Bank PLC instruments
107,470
100,068
96,666
Total RWAs
1
318,987
325,631
295,131
1
CET1, T1 and T2 capital, and RWAs are calculated applying the transitional arrangements of the CRR as amended by CRR II applicable as at the reporting date. This
includes IFRS 9 transitional arrangements and the grandfathering of CRR and CRR II non-compliant capital instruments .
2
Includes other AT1 capital regulatory adjustments and deductions of £80m (December 2019: £130m), and other T2 credit risk adjustments and deductions of £124m
(December 2019: £234m).
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Condensed Consolidated Financial Statements
56
Condensed consolidated income statement (unaudited)
Half year
ended
Half year
ended
30.06.20
30.06.19
Notes
1
£m
£m
Interest and similar income
6,437
7,496
Interest and similar expense
(2,214)
(2,878)
Net interest income
4,223
4,618
Fee and commission income
3
4,399
4,484
Fee and commission expense
3
(1,090)
(1,150)
Net fee and commission income
3
3,309
3,334
Net trading income
4,198
2,124
Net investment income
(136)
662
Other income
27
52
Total income
11,621
10,790
Credit impairment charges
(3,738)
(928)
Net operating income
7,883
9,862
Staff costs
4
(4,053)
(4,264)
Infrastructure, administration and general expenses
5
(2,510)
(2,494)
Litigation and conduct
(30)
(114)
Operating expenses
(6,593)
(6,872)
Share of post-tax results of associates and joint ventures
(31)
14
Profit on disposal of subsidiaries, associates and joint ventures
13
10
Profit before tax
1,272
3,014
Tax charge
6
(113)
(545)
Profit after tax
1,159
2,469
Attributable to:
Equity holders of the parent
695
2,072
Other equity instrument holders
427
363
Total equity holders of the parent
1,122
2,435
Non-controlling interests
7
37
34
Profit after tax
1,159
2,469
Earnings per share
p
p
Basic earnings per ordinary share
8
4.0
12.1
Diluted earnings per ordinary share
8
3.9
11.9
1
For notes to the F inancial Statements see pages 62 to 86.
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Condensed Consolidated Financial Statements
57
Condensed consolidated statement of comprehensive income (unaudited)
Half year ended
Half year ended
30.06.20
30.06.19
Notes
1
£m
£m
Profit after tax
1,159
2,469
Other comprehensive income/(loss) that may be recycled to profit or loss:
2
Currency translation reserve
18
1,220
177
Fair value through other comprehensive income reserve
18
137
380
Cash flow hedging reserve
18
912
528
Other
18
(6)
-
Other comprehensive income that may be recycled to profit
2,263
1,085
Other comprehensive income/(loss) not recycled to profit or loss:
2
Retirement benefit remeasurements
15
645
(140)
Fair value through other comprehensive income reserve
18
(515)
125
Own credit
18
496
44
Other comprehensive income not recycled to profit
626
29
Other comprehensive income for the period
2,889
1,114
Total comprehensive income for the period
4,048
3,583
Attributable to:
Equity holders of the parent
4,011
3,549
Non-controlling interests
37
34
Total comprehensive income for the period
4,048
3,583
1
For notes to the Financial Statements see pages 62 to 86.
2
Reported net of tax.
![bplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000257/bplch120p2i0.gif)
Condensed Consolidated Financial Statements
58
Condensed consolidated balance sheet (unaudited)
As at
As at
30.06.20
31.12.19
Assets
Notes
1
£m
£m
Cash and balances at central banks
194,452
150,258
Cash collateral and settlement balances
134,945
83,256
Loans and advances at amortised cost
12
354,912
339,115
Reverse repurchase agreements and other similar secured lending
22,224
3,379
Trading portfolio assets
110,062
114,195
Financial assets at fair value through the income statement
158,975
133,086
Derivative financial instruments
10
307,258
229,236
Financial assets at fair value through other comprehensive income
79,764
65,750
Investments in associates and joint ventures
720
721
Goodwill and intangible assets
8,163
8,119
Property, plant and equipment
4,239
4,215
Current tax assets
556
412
Deferred tax assets
6
2,671
3,290
Retirement benefit assets
15
2,848
2,108
Other assets
3,328
3,089
Total assets
1,385,117
1,140,229
Liabilities
Deposits at amortised cost
12
466,913
415,787
Cash collateral and settlement balances
112,907
67,341
Repurchase agreements and other similar secured borrowing
19,144
14,517
Debt securities in issue
103,970
76,369
Subordinated liabilities
13
19,886
18,156
Trading portfolio liabilities
51,606
36,916
Financial liabilities designated at fair value
221,460
204,326
Derivative financial instruments
10
307,891
229,204
Current tax liabilities
322
313
Deferred tax liabilities
6
23
23
Retirement benefit liabilities
15
371
348
Other liabilities
8,471
8,505
Provisions
14
2,612
2,764
Total liabilities
1,315,576
1,074,569
Equity
Called up share capital and share premium
16
4,620
4,594
Other reserves
18
6,996
4,760
Retained earnings
45,817
44,204
Shareholders' equity attributable to ordinary shareholders of the parent
57,433
53,558
Other equity instruments
17
10,871
10,871
Total equity excluding non-controlling interests
68,304
64,429
Non-controlling interests
7
1,237
1,231
Total equity
69,541
65,660
Total liabilities and equity
1,385,117
1,140,229
1
For notes to the Financial Statements see pages 62 to 86.
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Condensed Consolidated Financial Statements
59
Condensed consolidated statement of changes in equity (unaudited)
Called up
share capital
and share
premium
1
Other equity
instruments
1
Other
reserves
1
Retained
earnings
Total
Non-
controlling
interests
2
Total
equity
Half year ended 30.06.20
£m
£m
£m
£m
£m
£m
£m
Balance as at 1 January 2020
4,594
10,871
4,760
44,204
64,429
1,231
65,660
Profit after tax
-
427
-
695
1,122
37
1,159
Currency translation movements
-
-
1,220
-
1,220
-
1,220
Fair value through other comprehensive
income reserve
-
-
(378)
-
(378)
-
(378)
Cash flow hedges
-
-
912
-
912
-
912
Retirement benefit remeasurements
-
-
-
645
645
-
645
Own credit
-
-
496
-
496
-
496
Other
-
-
-
(6)
(6)
-
(6)
Total comprehensive income for the period
-
427
2,250
1,334
4,011
37
4,048
Equity settled share schemes
26
-
-
603
629
-
629
Other equity instruments coupons paid
-
(427)
-
-
(427)
-
(427)
Vesting of shares under employee share
schemes
-
-
(14)
(327)
(341)
-
(341)
Dividends paid
-
-
-
-
-
(37)
(37)
Other movements
-
-
-
3
3
6
9
Balance as at 30 June 2020
4,620
10,871
6,996
45,817
68,304
1,237
69,541
Half year ended 31.12.19
Balance as at 1 July 2019
4,494
12,123
6,403
44,556
67,576
1,221
68,797
Profit after tax
-
450
-
389
839
46
885
Currency translation movements
-
-
(721)
-
(721)
-
(721)
Fair value through other comprehensive
income reserve
-
-
(434)
-
(434)
-
(434)
Cash flow hedges
-
-
(186)
-
(186)
-
(186)
Retirement benefit remeasurements
-
-
-
(54)
(54)
-
(54)
Own credit
-
-
(296)
-
(296)
-
(296)
Other
-
-
-
16
16
-
16
Total comprehensive income for the period
-
450
(1,637)
351
(836)
46
(790)
Issue of new ordinary shares
23
-
-
-
23
-
23
Equity settled share schemes
77
-
-
237
314
-
314
Issue and exchange of other equity
instruments
-
(1,266)
-
(406)
(1,672)
-
(1,672)
Other equity instruments coupons paid
-
(450)
-
-
(450)
-
(450)
Vesting of shares under employee share
schemes
-
-
(6)
(20)
(26)
-
(26)
Dividends paid
-
-
-
(517)
(517)
(46)
(563)
Other movements
-
14
-
3
17
10
27
Balance as at 31 December 2019
4,594
10,871
4,760
44,204
64,429
1,231
65,660
1
Details of share capital, other equity instruments and other reserves are shown on pages 77 to 79.
2
Details of non-controlling interests are shown on page 66.
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Condensed Consolidated Financial Statements
60
Condensed consolidated statement of changes in equity (unaudited)
Called up
share capital
and share
premium
1
Other equity
instruments
1
Other
reserves
1
Retained
earnings
Total
Non-
controlling
interests
2
Total
equity
Half year ended 30.06.19
£m
£m
£m
£m
£m
£m
£m
Balance as at 1 January 2019
4,311
9,632
5,153
43,460
62,556
1,223
63,779
Profit after tax
-
363
-
2,072
2,435
34
2,469
Currency translation movements
-
-
177
-
177
-
177
Fair value through other comprehensive
income reserve
-
-
505
-
505
-
505
Cash flow hedges
-
-
528
-
528
-
528
Retirement benefit remeasurements
-
-
-
(140)
(140)
-
(140)
Own credit
-
-
44
-
44
-
44
Total comprehensive income for the period
-
363
1,254
1,932
3,549
34
3,583
Issue of new ordinary shares
159
-
-
-
159
-
159
Equity settled share schemes
24
-
-
241
265
-
265
Issue and exchange of other equity
instruments
-
2,504
-
-
2,504
-
2,504
Other equity instruments coupons paid
-
(363)
-
-
(363)
-
(363)
Vesting of shares under employee share
schemes
-
-
(4)
(384)
(388)
-
(388)
Dividends paid
-
-
-
(684)
(684)
(34)
(718)
Other movements
-
(13)
-
(9)
(22)
(2)
(24)
Balance as at 30 June 2019
4,494
12,123
6,403
44,556
67,576
1,221
68,797
1
Details of share capital, other equity instruments and other reserves are shown on pages 77 to 79.
2
Details of non-controlling interests are shown on page 66.
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Condensed Consolidated Financial Statements
61
Condensed consolidated cash flow statement (unaudited)
Half year
ended
Half year
ended
30.06.20
30.06.19
£m
£m
Profit before tax
1,272
3,014
Adjustment for non-cash items
(1,112)
(297)
Net increase in loans and advances at amortised cost
(19,431)
(11,333)
Net increase in deposits at amortised cost
51,126
18,758
Net increase in debt securities in issue
24,183
8,529
Changes in other operating assets and liabilities
4,757
(15,487)
Corporate income tax paid
(351)
(260)
Net cash from operating activities
60,444
2,924
Net cash from investing activities
(11,599)
(17,075)
Net cash from financing activities
3,133
(610)
Effect of exchange rates on cash and cash equivalents
7,814
652
Net increase/(decrease) in cash and cash equivalents
59,792
(14,109)
Cash and cash equivalents at beginning of the period
183,387
211,166
Cash and cash equivalents at end of the period
243,179
197,057
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Financial Statement Notes
62
1. Basis of preparation
These condensed consolidated interim financial statements for the six months ended 30 June 2020 have been prepared in
accordance with the DTR of the UK FCA and with IAS 34, Interim Financial Reporting, as published by the International Accounting
Standards Board (IASB) and adopted by the EU. The condensed consolidated interim financial statements should be read in
conjunction with the annual financial statements for the year ended 31 December 2019, which have been prepared in accordance
with IFRSs as published by the IASB and as adopted by the EU.
The accounting policies and methods of computation used in these condensed consolidated interi m financial statements are the
same as those used in the Barclays PLC Annual Report 2019.
1.
Going concern
The financial statements are prepared on a going concern basis, as the Directors are satisfied that the Group and parent company
have the resources to continue in business for the foreseeable future. In making this assessment, the Directors have considered a
wide range of information relating to present and future conditions, including future projections of profitability, cash flows, capital
requirements and capital resources. The future conditions considered included an assessment of internally generated stress
scenarios assuming a prolonged economic stress and impact on the future operational and financial performance of the Group.
2.
Other disclosures
The Credit risk disclosures on pages 27 to 41 form part of these interim financial statements.
![bplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000257/bplch120p2i0.gif)
Financial Statement Notes
63
2. Segmental reporting
Analysis of results by business
Barclays
UK
Barclays
International
Head
Office
Barclays
Group
Half year ended 30.06.20
£m
£m
£m
£m
Total income
3,171
8,654
(204)
11,621
Credit impairment charges
(1,064)
(2,619)
(55)
(3,738)
Net operating income/(expenses)
2,107
6,035
(259)
7,883
Operating expenses
(2,041)
(4,405)
(117)
(6,563)
Litigation and conduct
(11)
(11)
(8)
(30)
Total operating expenses
(2,052)
(4,416)
(125)
(6,593)
Other net income/(expenses)
1
13
10
(41)
(18)
Profit/(loss) before tax
68
1,629
(425)
1,272
As at 30.06.20
£bn
£bn
£bn
£bn
Total assets
287.6
1,075.8
21.7
1,385.1
Barclays
UK
Barclays
International
Head
Office
Barclays
Group
Half year ended 30.06.19
£m
£m
£m
£m
Total income
3,548
7,473
(231)
10,790
Credit impairment charges
(421)
(492)
(15)
(928)
Net operating income/(expenses)
3,127
6,981
(246)
9,862
Operating expenses
(2,021)
(4,641)
(96)
(6,758)
Litigation and conduct
(44)
(30)
(40)
(114)
Total operating expenses
(2,065)
(4,671)
(136)
(6,872)
Other net income/(expenses)
1
-
31
(7)
24
Profit/(loss) before tax
1,062
2,341
(389)
3,014
As at 31.12.19
£bn
£bn
£bn
£bn
Total assets
257.8
861.4
21.0
1,140.2
1
Other net income/(expenses) represents the share of post -tax results of associates and joint ventures, profit (or loss) on disposal of subsidiaries, associates and joint
ventures and gains on acquisitions.
On 1 April 2020, assets of £2.2bn relating to the Barclays Partner Finance business were moved from Barclays International to
Barclays UK, with net operating income of £19m and loss before tax of £5m subsequently recognised in Barclays UK in Q220. In the
half year ended 30 June 2019, Barclays Partner Finance generated net operating income of £76m and profit before tax of £23m.
The 2019 comparative figures have not been restated.
Split of income by geographic region
1
Half year ended
Half year ended
30.06.20
30.06.19
£m
£m
UK
5,989
5,873
Europe
1,199
788
Americas
3,776
3,591
Africa and Middle East
20
40
Asia
637
498
Total
11,621
10,790
1
The geographical analysis is now based on the location of office where the transactions are recorded, whereas in the prior year it was based on counterparty
location. The approach was changed at year -end 2019 and is better aligned to the geographical view of the business following the implementation of structural
reform. Prior year comparatives have been restated .
![bplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000257/bplch120p2i0.gif)
Financial Statement Notes
64
3. Net fee and commission income
Fee and commission income is disaggregated below and includes a total for fees in scope of IFRS 15, Revenue from Contracts with
Customers:
Barclays UK
Barclays
International
Head Office
Total
Half year ended 30.06.20
£m
£m
£m
£m
Fee type
Transactional
386
1,157
-
1,543
Advisory
79
306
1
386
Brokerage and execution
102
685
-
787
Underwriting and syndication
-
1,468
-
1,468
Other
38
115
2
155
Total revenue from contracts with customers
605
3,731
3
4,339
Other non-contract fee income
-
60
-
60
Fee and commission income
605
3,791
3
4,399
Fee and commission expense
(148)
(940)
(2)
(1,090)
Net fee and commission income
457
2,851
1
3,309
Barclays UK
Barclays
International
Head Office
Total
Half year ended 30.06.19
£m
£m
£m
£m
Fee type
Transactional
523
1,353
-
1,876
Advisory
88
406
-
494
Brokerage and execution
101
536
-
637
Underwriting and syndication
-
1,240
-
1,240
Other
45
131
7
183
Total revenue from contracts with customers
757
3,666
7
4,430
Other non-contract fee income
-
54
-
54
Fee and commission income
757
3,720
7
4,484
Fee and commission expense
(187)
(957)
(6)
(1,150)
Net fee and commission income
570
2,763
1
3,334
Transactional fees are service charges on deposit account s, cash management services and transactional processing fees. This
includes interchange and merchant fee income generated from credit and bank card usage.
Advisory fees are generated from asset management services and advisory services related to mergers, acquisitions and financial
restructuring.
Brokerage and execution fees are earned for executing client transactions with exchanges and over -the-counter markets and
assisting clients in clearing transactions.
Underwriting and syndication fees are earned for the distribution of client equity or debt securities and the arrangement and
administration of a loan syndication. This includes commitment fees to provide loan financing.
![bplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000257/bplch120p2i0.gif)
Financial Statement Notes
65
4.
Staff costs
Half year ended
Half year ended
30.06.20
30.06.19
Compensation costs
£m
£m
Current year bonus charges
476
456
Deferred bonus charge
269
226
Commissions and other incentives
4
34
Performance costs
749
716
Salaries
2,153
2,195
Social security costs
317
315
Post -retirement benefits
268
251
Other compensation costs
254
232
Total compensation costs
3,741
3,709
Other resourcing costs
Outsourcing
175
257
Redundancy and restructuring
39
49
Temporary staff costs
58
173
Other
40
76
Total other resourcing costs
312
555
Total staff costs
4,053
4,264
Barclays Group compensation costs as a % of total income
32.2
34.4
No material awards have yet been granted in relation to the 2020 bonus pool as decisions regarding incentive awards are not taken
by the Remuneration Committee until the performance for the full year can be assessed. The current year bonus charge for the first
six months represents an accrual for estimated costs in accordance with accounting requirements.
5.
Infrastructure, administration and general expenses
Half year ended
Half year ended
30.06.20
30.06.19
Infrastructure costs
£m
£m
Property and equipment
757
691
Depreciation and amortisation
751
729
Lease payments
26
21
Impairment of property, equipment and intangible assets
32
29
Total infrastructure costs
1,566
1,470
Administration and general expenses
Consultancy, legal and professional fees
270
284
Marketing and advertising
158
212
Other administration and general expenses
516
528
Total administration and general expenses
944
1,024
Total infrastructure, administration and general expenses
2,510
2,494
![bplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000257/bplch120p2i0.gif)
Financial Statement Notes
66
6.
Tax
The tax charge for H120 was £113m (H119: £545m), representing an effective tax rate of 8.9% (H119: 18.1%). The effective tax rate
for H120 was lower than H119, reflecting the tax benefit recognised for the re-measurement of UK deferred tax assets through the
income statement as a result of the UK corporation tax rate being maintained at 19%.
Included in the tax charge is a credit of £112m (H119: £96m) in respect of payments made on AT1 instruments that are classified as
equity for accounting purposes.
As at
As at
30.06.20
31.12.19
Deferred tax assets and liabilities
£m
£m
USA
2,168
2,052
UK
-
818
Other territories
503
420
Deferred tax assets
2,671
3,290
Deferred tax liabilities
(23)
(23)
Analysis of deferred tax assets
Temporary differences
2,174
2,767
Tax losses
497
523
Deferred tax assets
2,671
3,290
7.
Non-controlling interests
Profit attributable to
non-controlling interests
Equity attributable to
non-controlling interests
Half year ended
Half year ended
As at
As at
30.06.20
30.06.19
30.06.20
31.12.19
£m
£m
£m
£m
Barclays Bank PLC issued:
- Preference shares
28
27
529
529
- Upper T2 instruments
9
7
691
691
Other non-controlling interests
-
-
17
11
Total
37
34
1,237
1,231
![bplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000257/bplch120p2i0.gif)
Financial Statement Notes
67
8.
Earnings per share
Half year
ended
Half year
ended
30.06.20
30.06.19
£m
£m
Profit attributable to ordinary equity holders of the parent
695
2,072
m
m
Basic weighted average number of shares in issue
17,294
17,178
Number of potential ordinary shares
319
200
Diluted weighted average number of shares
17,613
17,378
p
p
Basic earnings per ordinary share
4.0
12.1
Diluted earnings per ordinary share
3.9
11.9
9. Dividends on ordinary shares
In response to a request from the PRA, and to preserve additional capital for use in serving Barclays customers and clients through
the extraordinary challenges presented by the COVID -19 pandemic, the Board agreed to cancel the 6.0p per ordinary share full year
2019 dividend. The Board also decided that for 2020 Barclays would suspend its current capital returns policy and accordingly will
not undertake any interim ordinary share dividend payments, regulatory accruals of ordinary share dividends, or share buybacks.
The Board will decide on future dividends and its capital returns policy at year-end 2020.
Half year ended 30.06.20
Half year ended 30.06.19
Per share
Total
Per share
Total
Dividends paid during the period
p
£m
p
£m
Full year dividend paid during period
-
-
4.0
684
![bplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000257/bplch120p2i0.gif)
Financial Statement Notes
68
10. Derivative financial instruments
Contract
notional
amount
Fair value
Assets
Liabilities
As at 30.06.20
£m
£m
£m
Foreign exchange derivatives
5,730,348
67,755
(68,502)
Interest rate derivatives
44,652,771
199,378
(191,435)
Credit derivatives
906,573
6,739
(6,955)
Equity and stock index and commodity derivatives
1,072,400
33,186
(40,120)
Derivative assets/(liabilities) held for trading
52,362,092
307,058
(307,012)
Derivatives in hedge accounting relationships
Derivatives designated as cash flow hedges
57,497
55
(10)
Derivatives designated as fair value hedges
126,692
145
(822)
Derivatives designated as hedges of net investments
709
-
(47)
Derivative assets/(liabilities) designated in hedge accounting relationships
184,898
200
(879)
Total recognised derivative assets/(liabilities)
52,546,990
307,258
(307,891)
As at 31.12.19
Foreign exchange derivatives
4,999,865
56,576
(57,021)
Interest rate derivatives
35,098,216
142,325
(135,759)
Credit derivatives
825,516
8,215
(8,086)
Equity and stock index and commodity derivatives
1,187,513
21,947
(27,751)
Derivative assets/(liabilities) held for trading
42,111,110
229,063
(228,617)
Derivatives in hedge accounting relationships
Derivatives designated as cash flow hedges
67,773
7
(1)
Derivatives designated as fair value hedges
112,457
136
(586)
Derivatives designated as hedges of net investments
1,145
30
-
Derivative assets/(liabilities) designated in hedge accounting relationships
181,375
173
(587)
Total recognised derivative assets/(liabilities)
42,292,485
229,236
(229,204)
The IFRS netting posted against derivative assets was £67bn including £8bn of cash collateral netted (December 2019: £37 bn
including £4bn cash collateral netted) and £67bn for liabilities including £11 bn of cash collateral netted (December 2019: £37bn
including £5bn of cash collateral netted). Derivative asset exposures would be £283bn (December 2019: £209bn) lower than
reported under IFRS if netting were permitted for assets and liabilities with the same counterparty or for which the Group holds
cash collateral of £46bn (December 2019: £33bn). Similarly, derivative liabilities would be £286 bn (December 2019 : £212bn) lower
reflecting counterparty netting and cash collateral placed of £49 bn (December 2019: £36bn). In addition, non-cash collateral of
£5bn (December 2019: £6bn) was held in respect of derivative assets and £4bn (December 2019: £3bn) was placed in respect of
derivative liabilities. Collateral amounts are limited to net on balance sheet exposure so as to not include over -collaterali sation.
![bplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000257/bplch120p2i0.gif)
Financial Statement Notes
69
11. Fair value of financial instruments
This section should be read in conjunction with Note 17, Fair value of financial instruments of the Barclays PLC Annual Report 2019
and Note 1, Basis of preparation on page 62, which provides more detail about accounting policies adopted, valuation
methodologies used in calculating fair value and the valuation control framework which governs oversight of valuations. There
have been no changes in the accounting policies adopted or the valuation methodologies used.
Valuation
The following table shows the Group’s assets and liabilities that are held at fair value disaggregated by valuation technique (fair
value hierarchy) and balance sheet classification:
Valuation technique using
Quoted market
prices
Observable
inputs
Significant
unobservable
inputs
(Level 1)
(Level 2)
(Level 3)
Total
As at 30.06.20
£m
£m
£m
£m
Trading portfolio assets
49,460
57,524
3,078
110,062
Financial assets at fair value through the income statement
1,877
148,046
9,052
158,975
Derivative financial instruments
8,761
290,749
7,748
307,258
Financial assets at fair value through other comprehensive income
20,657
58,760
347
79,764
Investment property
-
-
10
10
Total assets
80,755
555,079
20,235
656,069
Trading portfolio liabilities
(32,411)
(19,195)
-
(51,606)
Financial liabilities designated at fair value
(123)
(220,968)
(369)
(221,460)
Derivative financial instruments
(8,445)
(290,514)
(8,932)
(307,891)
Total liabilities
(40,979)
(530,677)
(9,301)
(580,957)
As at 31.12.19
Trading portfolio assets
60,352
51,579
2,264
114,195
Financial assets at fair value through the income statement
10,445
114,141
8,500
133,086
Derivative financial instruments
5,439
220,642
3,155
229,236
Financial assets at fair value through other comprehensive income
18,755
46,566
429
65,750
Investment property
-
-
13
13
Total assets
94,991
432,928
14,361
542,280
Trading portfolio liabilities
(20,977)
(15,939)
-
(36,916)
Financial liabilities designated at fair value
(82)
(203,882)
(362)
(204,326)
Derivative financial instruments
(5,305)
(219,910)
(3,989)
(229,204)
Total liabilities
(26,364)
(439,731)
(4,351)
(470,446)
![bplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000257/bplch120p2i0.gif)
Financial Statement Notes
70
The following table shows the Group’s Level 3 assets and liabilities that are held at fair value disaggregated by product type:
As at 30.06.20
As at 31.12.19
Assets
Liabilities
Assets
Liabilities
£m
£m
£m
£m
Interest rate derivatives
4,153
(3,772)
605
(812)
Foreign exchange derivatives
655
(588)
291
(298)
Credit derivatives
193
(456)
539
(342)
Equity derivatives
2,730
(4,099)
1,711
(2,528)
Commodity derivatives
17
(17)
9
(9)
Corporate debt
516
-
521
-
Reverse repurchase and repurchase agreements
-
(175)
-
(167)
Non-asset backed loans
8,271
-
6,811
-
Asset backed securities
740
-
756
-
Equity cash products
1,146
-
1,228
-
Private equity investments
880
(15)
899
(19)
Other
1
934
(179)
991
(176)
Total
20,235
(9,301)
14,361
(4,351)
1
Other includes commercial real estate loans, funds and fund -linked products, asset backed loans, issued debt, commercial paper, government sponsored debt and
investment property.
Assets and liabilities reclassified between Level 1 and Level 2
During the period, there were no material transfers between Level 1 and Level 2 (period ended December 2019: no material
transfers between Level 1 and Level 2).
Level 3 movement analysis
The following table summarises the movements in the balances of Level 3 assets and liabilities during the period. The table shows
gains and losses and includes amounts for all financial assets and liabilities that are held at fair value transferred to and from Level
3 during the period. Transfers have been reflected as if they had taken place at the beginning of the year.
Asset and liability moves between Level 2 and Level 3 are primarily due to i) an increase or decrease in observable market activity
related to an input or ii) a change in the significance of the unobservable input, with assets and liabilities classified as Level 3 if an
unobservable input is deemed significant.
![bplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000257/bplch120p2i0.gif)
Financial Statement Notes
71
Level 3 movement analysis
As at
01.01.20
Purchases
Sales
Issues
Settle-
ments
Total gains and losses
in the period
recognised in the
income statement
Total gains
or losses
recognised
in OCI
Transfers
As at
30.06.20
Trading
income
Other
income
In
Out
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
Corporate debt
120
25
(26)
4
(17)
106
Non-asset backed loans
974
1,926
(740)
(4)
(111)
97
(320)
1,822
Asset backed securities
656
249
(224)
(76)
(12)
41
(11)
623
Equity cash products
392
2
(4)
(67)
28
(4)
347
Other
122
48
2
8
180
Trading portfolio assets
2,264
2,250
(968)
(80)
(214)
178
(352)
3,078
Non-asset backed loans
5,494
1,050
(270)
(410)
381
(58)
6,187
Equity cash products
835
14
(22)
(28)
799
Private equity investments
900
19
(6)
(2)
2
(44)
23
(12)
880
Other
1,271
1,870
(2,017)
(18)
(8)
64
24
1,186
Financial assets at fair value
through the income statement
8,500
2,953
(2,293)
(430)
353
(8)
47
(70)
9,052
Non-asset backed loans
343
79
(157)
(3)
262
Asset backed securities
86
(1)
1
(1)
85
Assets at fair value through
other comprehensive income
429
79
(1)
(157)
1
(4)
347
Investment property
13
(1)
(2)
2
(2)
10
Trading portfolio liabilities
Issued debt
(146)
(3)
(22)
14
(157)
Other
(216)
1
(10)
2
11
(212)
Financial liabilities designated
at fair value
(362)
1
(3)
(10)
2
(22)
25
(369)
Interest rate derivatives
(206)
18
10
268
1
300
(10)
381
Foreign exchange derivatives
(7)
(12)
89
5
(8)
67
Credit derivatives
198
(258)
11
(376)
151
1
2
8
(263)
Equity derivatives
(819)
(448)
(1)
17
(90)
(5)
(23)
(1,369)
Commodity derivatives
Net derivative financial
instruments
1
(834)
(688)
10
(361)
418
2
302
(33)
(1,184)
Total
10,010
4,594
(3,252)
(3)
(1,028)
548
(6)
(4)
507
(432)
10,934
1
Derivative financial instruments are represented on a net basis. On a gross basis, derivative financial assets were £7,748m and derivative financial liabilities were
£8,932m.
![bplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000257/bplch120p2i0.gif)
Financial Statement Notes
72
Level 3 movement analysis
As at
01.01.19
Purchases
Sales
Issues
Settle-
ments
Total gains and
losses in the period
recognised in the
income statement
Transfers
As at
30.06.19
Trading
income
Other
income
In
Out
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
Government and government
sponsored debt
14
2
(14)
2
Corporate debt
388
70
(24)
(31)
14
32
(74)
375
Non-asset backed loans
2,263
1,235
(1,260)
(19)
12
19
(90)
2,160
Asset backed securities
664
81
(127)
5
16
(29)
610
Equity cash products
136
48
(13)
(2)
116
(20)
265
Other
148
(1)
(10)
(1)
136
Trading portfolio assets
3,613
1,436
(1,424)
(51)
19
183
(228)
3,548
Non-asset backed loans
5,688
2
(295)
248
(9)
5,634
Equity cash products
559
9
(10)
4
178
740
Private equity investments
1,071
21
(73)
(1)
43
(148)
913
Other
2,064
2,334
(2,619)
(2)
17
9
24
(840)
987
Financial assets at fair value
through the income statement
9,382
2,366
(2,692)
(308)
269
230
24
(997)
8,274
Non-asset backed loans
353
48
(55)
(218)
128
Asset backed securities
40
40
Equity cash products
2
2
Financial assets at fair value
through other comprehensive
income
355
88
(55)
(218)
170
Investment property
9
(1)
8
Trading portfolio liabilities
(3)
2
(5)
(6)
Certificates of deposit, commercial
paper and other money market
instruments
(10)
1
(1)
(11)
(21)
Issued debt
(251)
(16)
1
5
(3)
1
(263)
Other
(19)
(1)
(20)
Financial liabilities designated at
fair value
(280)
(16)
2
5
(2)
(14)
1
(304)
Interest rate derivatives
22
(3)
76
116
(107)
145
249
Foreign exchange derivatives
7
(12)
(41)
(51)
17
(80)
Credit derivatives
1,050
(63)
4
(3)
86
2
3
1,079
Equity derivatives
(607)
(122)
(5)
23
89
(16)
292
(346)
Net derivative financial
instruments
1
472
(188)
(1)
84
250
(172)
457
902
Total
13,548
3,702
(4,117)
(16)
(328)
545
227
16
(985)
12,592
1
Derivative financial instruments are represented on a net basis. On a gross basis, derivative financial assets were £5,701m and derivative financial liabilities were
£4,799m.
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Financial Statement Notes
73
Unrealised gains and losses on Level 3 financial assets and liabilities
The following table discloses the unrealised gains and losses recognised in the period arising on Level 3 financial assets and
liabilities held at the period end.
Half year ended 30.06.20
Half year ended 30.06.19
Income statement
Other
compre-
hensive
income
Total
Income statement
Other
compre-
hensive
income
Total
Trading
income
Other
income
Trading
income
Other
income
£m
£m
£m
£m
£m
£m
£m
£m
Trading portfolio assets
(177)
-
-
(177)
21
-
-
21
Financial assets at fair value through the
income statement
397
(53)
-
344
253
205
-
458
Financial assets at fair value through
other comprehensive income
-
-
(2)
(2)
-
-
-
-
Investment properties
-
(2)
-
(2)
-
(1)
-
(1)
Trading portfolio liabilities
-
-
-
-
2
-
-
2
Financial liabilities designated at fair
value
(16)
(1)
-
(17)
6
-
-
6
Net derivative financial instruments
248
-
-
248
212
-
-
212
Total
452
(56)
(2)
394
494
204
-
698
Valuation techniques and sensitivity analysis
Sensitivity analysis is performed on products with significant unobservable inputs (Level 3) to generate a range of reasonably
possible alternative valuations. The sensitivity methodologies applied take account of the nature of valuation techniques used, as
well as the availability and reliab ility of observable proxy and historical data and the impact of using alternative models.
Current year valuation and sensitivity methodologies are consistent with those described within Note 17, Fair value of financial
instruments
in the Barclays PLC Annual Report 2019.
Sensitivity analysis of valuations using unobservable inputs
As at 30.06.20
As at 31.12.19
Favourable changes
Unfavourable changes
Favourable changes
Unfavourable changes
Income
statement
Equity
Income
statement
Equity
Income
statement
Equity
Income
statement
Equity
£m
£m
£m
£m
£m
£m
£m
£m
Interest rate derivatives
138
-
(255)
-
44
-
(127)
-
Foreign exchange derivatives
7
-
(11)
-
5
-
(7)
-
Credit derivatives
127
-
(109)
-
73
-
(47)
-
Equity derivatives
151
-
(158)
-
114
-
(119)
-
Commodity derivatives
-
-
-
-
-
-
-
-
Corporate debt
23
-
(23)
-
11
-
(16)
-
Non-asset backed loans
253
4
(558)
(4)
214
8
(492)
(8)
Equity cash products
164
-
(206)
-
123
-
(175)
-
Private equity investments
236
-
(269)
-
205
-
(235)
-
Other
1
2
-
(2)
-
1
-
(1)
-
Total
1,101
4
(1,591)
(4)
790
8
(1,219)
(8)
1
Other includes commercial real estate loans, funds and fund -linked products, asset backed loans, issued debt, commercial paper, government sponsored debt and
investment property.
The effect of stressing unobservable inputs to a range of reasonably possible alternatives , alongside considering the impact of using
alternative models, would be to increase fair values by up to £1,105 m (December 2019: £798m) or to decrease fair values by up to
£1,595m (December 2019: £1,227 m) with substantially all the potential effect impacting profit and loss rather than reserves.
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Financial Statement Notes
74
Significant unobservable inputs
The valuation techniques and significant unobservable inputs for assets and liabilities recognised at fair value and classified as Level
3 are consistent with Note 17, Fair value of financial instruments in the Barclays PLC Annual Report 2019. The description of the
significant unobservable inputs and the sensitivity of fair value measurement of the instruments categorised as Level 3 assets or
liabilities to increases in significant unobservable inputs is also found in Note 17, Fair value of financial instruments of the Barclays
PLC Annual Report 2019.
Fair value adjustments
Key balance sheet valuation adjustments are quantified below:
As at
As at
30.06.20
31.12.19
£m
£m
Exit price adjustments derived from market bid-offer spreads
(575)
(429)
Uncollateralised derivative funding
(181)
(57)
Derivative credit valuation adjustments
(378)
(135)
Derivative debit valuation adjustments
149
155
●
Exit price adjustments derived from market bid-offer spreads increased by £146m to £575m as a result of moveme nts in market
bid offer spreads
●
Uncollateralised derivative funding increased by £124m to £181m as a result of widening input funding spreads and an update
to methodology
●
Derivative credit valuation adjustments increased by £243m to £378m as a result of widening input counterparty credit spreads
●
Derivative debit valuation adjustments decreased by £6m to £149m as a result of widening input Barclays Bank PLC credit
sprea ds and an update to methodology
Portfolio exemption
The Group uses the portfolio exemption in IFRS 13, Fair Value Measurement to measure the fair value of groups of financial assets
and liabilities. Instruments are measured using the price that would be received to sell a net long position (i.e. an asset) for a
particular risk exposure or to transfer a net short position (i.e. a liability) for a particular risk exposure in an orderly transaction
between market participants at the balance sheet date under current market conditions. Accordingly, the Group measures the fair
value of the group of financial assets and liabilities consistently with how market participants wo uld price the net risk exposure at
the measurement date.
Unrecognised gains as a result of the use of valuation models using unobservable inputs
The amount that has yet to be recognised in income that relates to the difference between the transaction price (the fair value at
initial recognition) and the amount that would have arisen had valuation models using unobservable inputs been used on initial
recognition, less amounts subsequently recognised, is £114m (December 2019: £113m) for financial instruments measured at fair
value and £254m (December 2019: £255m) for financial instruments carried at amortised cost. There are additions of £12m
(December 2019: £41m) and amortisation and releases of £11m (December 2019: £69m) for financial instruments measured at fair
value and additions of £6m (December 2019: £7m) and amortisation and releases of £7m (December 2019: £14m) for financial
instruments carried at amortised cost.
Third party credit enhancements
Structured and brokered certificates of deposit issued by the Group are insured up to $250,000 per depositor by the Federal Deposit
Insurance Corporation (FDIC) in the United States. The FDIC is funded by premiums that Barclays and other banks pay for deposit
insurance coverage. The carrying value of these issued certificates of deposit that are designated under the IFRS 9 fair value option
includes this third party credit enhancement. The on balance sheet value of these brokered certificates of deposit amounted to
£3,162m (December 2019: £3,218m).
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Financial Statement Notes
75
Comparison of carrying amounts and fair values for assets and liabilities not held at fair value
Valuation methodologies employed in calculating the fair value of financial assets and liabilities measured at amortised cost are
consistent with the Barclays PLC Annual Report 2019 disclosure.
The following table summarises the fair value of financial assets and liabilities measured at amortised cost on the Group’s balance
sheet.
As at 30.06.20
As at 31.12.19
Carrying
amount
Fair value
Carrying
amount
Fair value
Financial assets
£m
£m
£m
£m
Loans and advances at amortised cost
354,912
353,369
339,115
337,510
Reverse repurchase agreements and other similar secured lending
22,224
22,224
3,379
3,379
Financial liabilities
Deposits at amortised cost
(466,913)
(466,986)
(415,787)
(415,807)
Repurchase agreements and other similar secured borrowing
(19,144)
(19,144)
(14,517)
(14,517)
Debt securities in issue
(103,970)
(104,576)
(76,369)
(78,512)
Subordinated liabilities
(19,886)
(21,422)
(18,156)
(18,863)
12. Loans and advances and deposits at amortised cost
As at
As at
30.06.20
31.12.19
£m
£m
Loans and advances at amortised cost to banks
10,013
9,624
Loans and advances at amortised cost to customers
320,582
311,739
Debt securities at amortised cost
24,317
17,752
Total loans and advances at amortised cost
354,912
339,115
Deposits at amortised cost from banks
17,390
15,402
Deposits at amortised cost from customers
449,523
400,385
Total deposits at amortised cost
466,913
415,787
13. Subordinated liabilities
Half year
ended
Year ended
30.06.20
31.12.19
£m
£m
Opening balance as at 1 January
18,156
20,559
Issuances
580
1,352
Redemptions
(296)
(3,248)
Other
1,446
(507)
Closing balance
19,886
18,156
Issuances of £580m comprises £500m 3.75% Fixed Rate Resetting Subordinated Callable Notes issued externally by Barclays PLC
and £80m USD Floating Rate Notes issued externally by a Barclays subsidiary.
Redemptions of £296m comprises £266m USD Floating Rate Notes and £30m USD Fixed Rate Notes issued externally by Barclays
subsidiaries.
Other movements predominantly include foreign exchange movements and fair value hedge adjustments.
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Financial Statement Notes
76
14. Provisions
As at
As at
30.06.20
31.12.19
£m
£m
PPI redress
774
1,155
Other customer redress
372
420
Legal, competition and regulatory matters
269
376
Redundancy and restructuring
104
143
Undrawn contractually committed facilities and guarantees
741
322
Onerous contracts
23
42
Sundry provisions
329
306
Total
2,612
2,764
PPI redress
As at 30 June 2020, Barclays had recognised cumulative provisions totalling £11bn (December 2019: £11bn). Utilisation of the
cumulative provisions to date is £10.2bn (December 2019: £9.8bn), leaving a residual provision of £0.8bn (December 2019: £1.2bn).
This represents Barclays best estimate as at 30 June 2020 based on the information available.
The current provision reflects the estimated cost of PPI redress attributable to claims and information requests from customers,
Claims Management Companies and the Official Receiver in relation to bankrupt individuals.
Q3 2019 saw an exceptional level of claims and information requests received in advance of the complaint deadline of 29 August
2019. All the items outstanding at Q3 2019, greater than two million in total, have now been processed into Barclays’ systems. 70%
of these have been resolved including invalid items.
It is possible that the eventual cumulative provision will differ from the current estimate. The table below shows the predicted level
of valid claims and the impact of a 1% increase or decrease in the percentage of valid volumes on the outstanding claims at 30 June
2020:
Validity assumptions
1
Total volumes
assumed valid
2
Sensitivity on the
remaining volumes
%
£m
Claims received
21%
1% = £3m
Information requests received
7%
1% = £2m
Final agreement has yet to be reached in relation to claims received from the Official Receiver, however we do not expect any
further exposure from these claims to be material in the context of the total provision .
1
Total valid claims and information requests received, excluding those for which no PPI policy exists, claims from the Official Receiver in relation to bankrupt
individuals and responses to proactive mailing. The sensitivity has been calculated to show the impact a 1% increase or decrease in the volume of unresolved valid
claims would have on the provision level.
2
Based on the observed data from September 2019 to June 2020.
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Financial Statement Notes
77
15. Retirement benefits
As at 30 June 2020, the Group’s IAS 19 pension surplus across all schemes was £2.5bn (December 2019: £1.8bn). The UK
Retirement Fund (UKRF), which is the Group’s main scheme, had an IAS 19 pension surplus of £2.8bn (December 2019: £2.1bn). The
movement for the UKRF was driven by higher than assumed asset retur ns and lower than expected long- term price inflation,
partially offset by a decrease in the discount rate.
UKRF funding valuations
The last triennial actuarial valuation of the UKRF had an effective date of 30 September 2019 and was completed in February 2020.
This valuation showed a funding deficit of £2.3bn and a funding level of 94.0%. A revised deficit recovery plan was agreed with
deficit reduction contributions required from Barclays Bank PLC of £500m in 2019, £500m in 2020, £700m in 2021, £294m in 2022
and £286m in 2023. The deficit reduction contributions are in addition to the regular contributions to meet the Group’s share of
the cost of benefits accruing over each year.
On 12 June 2020, Barclays Bank PLC paid the £500m deficit reduction contribution agreed for 2020 and at the same time the UKRF
subscribed for non-transferrable listed senior fixed rate notes for £750m, backed by UK gilts (the Senior Notes). These Senior Notes
entitle the UKRF to semi-annual coupon payments for five years, and full repayment in cash in three equal tranches in 2023, 2024,
and at final maturity in 2025. The Senior Notes were issued by Heron Issuer Number 2 Limited (Heron 2), an entity that is
consolidated within the Group under IFRS 10. As a result of the inv estment in Senior Notes, the regulatory capital impact of the
£500m deficit reduction contribution paid on 12 June 2020 takes effect in 2023, 2024 and 2025 on maturity of the notes. The
£250m additional investment by the UKRF in the Senior Notes has a positive capital impact in 2020 which is reduced equally in
2023, 2024 and 2025 on the maturity of the notes. Heron 2 acquired a total of £750m of gilts from Barclays Bank PLC for cash to
support payments on the Senior Notes.
The next triennial actuarial val uation of the UKRF is due to be completed in 2023 with an effective date of 30 September 2022.
16. Called up share capital
Called up share capital comprised 17,345m (December 2019: 17,322m) ordinary shares of 25p each. The increase was due to the
issuance of shares under employee share schemes.
Ordinary share
capital
Share premium
Total share
capital and
share premium
Half year ended 30.06.20
£m
£m
£m
Opening balance as at 1 January
4,331
263
4,594
Movement
5
21
26
Closing balance
4,336
284
4,620
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Financial Statement Notes
78
17. Other equity instruments
Half year
ended
Year ended
30.06.20
31.12.19
£m
£m
Opening balance as at 1 January
10,871
9,632
Issuances
-
3,500
Redemptions
-
(2,262)
Other
-
1
Closing balance
10,871
10,871
Other equity instruments of £10,871m (December 2019: £10,871m) include AT1 securities issued by Barclays PLC. There have been
no issuances or redemptions in the period.
The AT1 securities are perpetual securities with no fixed maturity and are structured to qualify as AT1 instruments under prevailing
capital rules applicable as at the relevant issue date. AT1 securities are undated and are redeemable , at the option of Barclays PLC,
in whole at the initial call date, or on any fifth anniversary after the initial call date. In addition, the AT1 securities are redeemable,
at the option of Barclays PLC, in whole in the event of certain changes in the tax or regulatory treatment of the securities. Any
redemptions require the prior consent of the PRA.
All Barc lays PLC AT1 securities will be converted into ordinary shares of Barclays PLC, at a pre-determined price, should the fully
loaded CET1 ratio of the Group fall below 7%.
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Financial Statement Notes
79
18. Other reserves
As at
As at
30.06.20
31.12.19
£m
£m
Currency translation reserve
4,564
3,344
Fair value through other comprehensive income reserve
(565)
(187)
Cash flow hedging reserve
1,914
1,002
Own credit reserve
123
(373)
Other reserves and treasury shares
960
974
Total
6,996
4,760
Currency translation reserve
The currency translation reserve represents the cumulative gains and losses on the retranslation of the Group’s net investment in
foreign operations, net of the effects of hedging.
As at 30 June 2020, there was a credit balance of £4,564m (December 2019: £3,344m credit) in the currency translation reserve.
The £1,220m credit movement principally reflects the strengthening of period end USD exchange rate against GBP.
Fair value through other comprehensive income reserve
The fair value through other comprehensive income reserve represents the unrealised change in the fair value through other
comprehensive income investments since initial recognition.
As at 30 June 2020, there was a debit balance of £565m (December 2019: £187m debit) in the fair value through other
compre hensive income reserve. The loss of £378m is principally driven by a loss of £515m due to a decrease in the Absa Group
Limited share price and £150m of net gains transferred to the income statement . This is partially offset by a gain of £307m from the
increase in fair value of bonds due to decreasing bond yields.
Cash flow hedging reserve
The cash flow hedging reserve represents the cumulative gains and losses on effective cash flow hedging instruments that will be
recycled to the income statement when the hedged transactions affect profit or loss.
As at 30 June 2020, there was a credit balance of £1,914m (December 2019: £1,002m credit) in the cash flow hedging reserve. The
increase of £912m principally reflect s a £1,458m increase in the fair value of interest rate swaps held for hedging purposes as major
interest rate forward curves decreased. This is partially offset by £197m of gains transferred to the income statement and a tax
charge of £358m.
Own credit reserve
The own credit reserve reflects the cumulative own credit gains and losses on financial liabilities at fair value. Amounts in the own
credit reserve are not recycled to profit or loss in future periods.
As at 30 June 2020, there was a credit balance of £123m (December 2019: £373m debit) in the own credit reserve. The movement
of £496m principally reflect s a £845m gain from the widening of Barclays’ funding spreads. This is partially offset by other activity
of £209m and a tax charge of £144m.
Other reserves and treasury shares
Other reserves relate to redeemed ordinary and preference shares issued by the Group. Treasury shares relate to Barclays PLC
shares held principally in relation to the Group’s various share schemes.
As at 30 June 2020, there was a credit balance of £960m (December 2019: £974m credit) in other reserves and treasury shares. The
decrease of £14m is due to an increase in treasury shares held in relation to employee share schemes.
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Financial Statement Notes
80
19. Contingent liabilities and commitments
As at
As at
30.06.20
31.12.19
Contingent liabilities
£m
£m
Guarantees and letters of credit pledged as collateral security
16,225
17,606
Performance guarantees, acceptances and endorsements
6,739
6,921
Total
22,964
24,527
Commitments
Documentary credits and other short-term trade related transactions
1,162
1,291
Standby facilities, credit lines and other commitments
332,969
333,164
Total
334,131
334,455
In addition to the above, Note 20
,
Legal , competition and regulatory matters details out further contingent liabilities where it is not
practicable to disclose an estimate of the potential financial effect on Barclays.
20. Legal, competition and regulatory matters
Members of the Group face legal, competition and regulatory challenges, many of which are beyond our control. The extent of the
impact of these matters cannot always be predicted but may materially impact our operations, financial results, condition and
prospects. Matters arising from a set of similar circumstances can give rise to either a contingent liability or a provision, or both,
depending on the relevant facts and circumstances.
The recognition of provisions in relation to such matters involves critical accounting estimates and judgments in acco rdance with
the relevant accounting policies as described in Note 14, Provisions. We have not disclosed an estimate of the potential financial
impact or effect on the Group of contingent liabilities where it is not currently practicable to do so. Various matters detailed in this
note seek damages of an unspecified amount. While certain matters specify the damages claimed, such claimed amounts do not
necessarily reflect the Group’s potential financial exposure in respect of those matters.
Matters are ordered under headings corresponding to the financial statements in which they are disclosed.
1.
Barclays PLC and Barclays Bank PLC
Investigations into certain advisory services agreements and other matters and civil action
FCA proceedings
In 2008, Barclays Bank PLC and Qatar Holdings LLC entered into two advisory service agreements (the Agreements). The Financial
Conduct Authority (FCA) conducted an investigation into whether the Agreements may have related to Barclays PLC’s capital
raising s in June and November 2008 (the Capital Raisings) and therefore should have been disclosed in the announcements or
public documents relating to the Capital Raisings. In 2013, the FCA issued warning notices (the Notices) finding that Barclays PLC
and Barcl ays Bank PLC acted recklessly and in breach of certain disclosure-related listing rules, and that Barclays PLC was also in
breach of Listing Principle 3. The financial penalty provided in the Notices is £50m. Barclays PLC and Barclays Bank PLC continue to
contest the findings. Following the conclusion of the Serious Fraud Office (SFO) proceedings against certain former Barclays
executives resulting in their acquittals, the FCA proceedings, which were stayed, have resumed. All charges brought by the SFO
agai nst Barclays PLC and Barclays Bank PLC in relation to the Agreements were dismissed in 2018.
Civil action
PCP Capital Partners LLP and PCP International Finance Limited (PCP) are seeking damages of approximately £1.6bn from Barclays
Bank PLC for fraudulent misrepresentation and deceit, arising from alleged statements made by Barclays Bank PLC to PCP in
relation to the terms on which securities were to be issued to potential investors, allegedly including PCP, in the November 2008
capital raising. Barclays Bank PLC is defending the claim and trial commenced in June 2020.
Investigations into LIBOR and other benchmarks and related civil actions
Regulators and law enforcement agencies, including certain competition authorities, from a number of governments have
conducted investigations relating to Barclays Bank PLC’s involvement in allegedly manipulating certain financial benchmarks, such
as LIBOR. The SFO has closed its investigation with no action to be taken against the Group. Various individuals and corporates in a
range of jurisdictions have threatened or brought civil actions against the Group and other banks in relation to the alleged
manipulation of LIBOR and/or other benchmarks. Certain actions remain pending.
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Financial Statement Notes
81
USD LIBOR civil actions
The majority of the USD LIBOR cases, which have been filed in various US jurisdictions, have been consolidated for pre-trial
purposes in the US District Court in the Southern District of New York (SDNY). The complaints are substantially similar and allege,
among other things, that Barclays PLC, Barclays Bank PLC, Barclays Capital Inc. (BCI) and other financial institutions individually and
collectively violated provisions of the US Sherman Antitrust Act (Antitrust Act), the US Commodity Exchange Act (CEA), the US
Racketeer Influenced and Corrupt Organizations Act (RICO), the Securities Exchange Act of 1934 and various state laws by
manipulating USD LIBOR rates.
Putative class actions and individual actions seek unspecified damages with the exception of three lawsuits, in which the plaintiffs
are seeking a combined total of approximately $900m in actual damages and additional punitive damages against all defendants,
including Barclays Bank PLC. Some of the lawsuits also seek trebling of damages under the Anti trust Act and RICO. Barclays has
previously settled certain claims. Two of the class action settlements where Barclays has paid $20m and $7.1m, respectively,
remain subject to final court approval and/or the right of class members to opt out of the settlem ent to file their own claims.
Sterling LIBOR civil actions
In 2016, two putative class actions filed in the SDNY against Barclays Bank PLC, BCI and other Sterling LIBOR panel banks alleging,
among other things, that the defendants manipulated the Sterling LIBOR rate in violation of the Antitrust Act, CEA and RICO, were
consolidated. The defendants’ motion to dismiss the claims was granted in December 2018. The plaintiffs have appealed the
dismissal.
Japanese Yen LIBOR civil actions
In 2012, a putative class action was filed in the SDNY against Barclays Bank PLC and other Japanese Yen LIBOR panel banks by a lead
plaintiff involved in exchange -traded derivatives and members of the Japanese Bankers Association’s Euroyen Tokyo Interbank
Offered Rate (Euroyen TIBOR) panel. The complaint alleges, among other things, manipulation of the Euroyen TIBOR and Yen LIBOR
rates and breaches of the CEA and the Antitrust Act. In 2014, the court dismissed the plaintiff’s antitrust claims in full, but the
plaintiff’s CEA claims remain pending.
In 2015, a second putative class action, making similar allegations to the above class action, was filed in the SDNY against Barclays
PLC, Barclays Bank PLC and BCI. In 2017, this action was dismissed in full and the plaintiffs appealed the dismissal. The appellate
court reversed the dismissal and the matter has been remanded to the lower court.
SIBOR/SOR civil action
In 2016, a putative class action was filed in the SDNY against Barclays PLC, Barclays Bank PLC, BCI and other defendants, alleging
manipulation of the Singapore Interbank Offered Rate (SIBOR) and Singapore Swap Offer Rate (SOR). In October 2018, the court
dismissed all claims against Barclays PLC, Barclays Bank PLC and BCI. The plaintiffs have appealed the dismissal.
ICE LIBOR civil actions
In 2019, several putative class actions have been filed in the SDNY against Barclays PLC, Barclays Bank PLC, BCI, other financial
institution defendants and Intercontinental Exchange Inc. and certain of its affiliates (ICE), asserting antitrust claims that
defendants manipulated USD LIBOR through defendants’ submissions to ICE. These actions have been consolidated. The
defendants’ motion to dismiss was granted in March 2020. The plaintiffs have appealed the dismissal.
Non -US benchmarks civil actions
Legal proceedings (which include the claims referred to below in ‘Local authority civil actions concerning LIBOR’) have been brought
or threatened against Barclays Bank PLC (and, in certain cases, Barclays Bank UK PLC) in the UK in connection with alleged
manipulation of LIBOR, EURIBOR and other benchmarks. Proceedings have also been brought in a number of other jurisdictions in
Europe and Israel. Additional proceedings in other jurisdictions may be brought in the future.
Foreign Exchange investigations and related civil actions
In 2015, the Group reached settlements totalling approximately $2.38bn with various US federal and state authorities and the FCA
in relation to investigations into certain sales and trading practices in the Foreign Exchange market. Under the related plea
agreement with the US Department of Justice (DoJ), which received final court approval in January 2017, the Group agreed to a
term of probation of three years, which expired in January 2020. The Group also continues to provide relevant information to
certain authorities.
The European Commission is one of a number of authorities still conducting an investigation into certain trading practices in
Foreign Exchange markets. The European Commission announced two settlements in May 2019 and the Group paid penalties
totalling approximately €210m. In June 2019, the Swiss Competition Commission announced two settlements and the Group paid
penalties totalling approximately CHF 27m. The financial impact of the ongoing matters is not expected to be material to the
Group’s operating res ults, cash flows or financial position.
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Financial Statement Notes
82
A number of individuals and corporates in a range of jurisdictions have also threatened or brought civil actions against the Group
and other banks in relation to alleged manipulation of Foreign Exchange markets, and may do so in the future. Certain actions
remain pending.
FX opt out civil action
In 2018, Barclays Bank PLC and BCI settled a consolidated action filed in the SDNY, alleging manipulation of Foreign Exchange
markets (Consolidated FX Action), for a total amount of $384m. Also in 2018, a group of plaintiffs who opted out of the
Consolidated FX Action filed a complaint in the SDNY against Barclays PLC, Barclays Bank PLC, BCI and other defendants. Some of
the plaintiff’s claims were dismissed in May 2020.
Retail basis civil action
In 2015, a putative class action was filed against several international banks, including Barclays PLC and BCI, on behalf of a
proposed class of individuals who exchanged currencies on a retail basis at bank branches (Retail Basis Claims). The SDNY has ruled
that the Retail Basis Claims are not covered by the settlement agreement in the Consolidated FX Action. The Court subsequently
dismissed all Retail Basis Claims against the Group and all other defendants. The plaintiffs have filed an amended complaint.
State law FX civil action
In 2017, the SDNY dismissed consolidated putative class actions brought under federal and various state laws on behalf of proposed
classes of (i) stoc kholders of Exchange Traded Funds and others who purportedly were indirect investors in FX instruments, and (ii)
investors who traded FX instruments through FX dealers or brokers not alleged to have manipulated Foreign Exchange Rates.
Barclays Bank PLC and BCI have settled the claim, which is subject to court approval.
Non -US FX civil actions
In addition to the actions described above, legal proceedings have been brought or are threatened against Barclays PLC, Barclays
Bank PLC, BCI and Barclays Execution Services Limited (BX) in connection with alleged manipulation of Foreign Exchange in the UK,
a number of other jurisdictions in Europe, Israel and Australia and additional proceedings may be brought in the future.
Metals investigations and related civil actions
Barclays Bank PLC previously provided information to the DoJ, the US Commodity Futures Trading Commission and other
authorities in connection with investigations into metals and metals -based financial instruments.
A number of US civil complaints, each on behalf of a proposed class of plaintiffs, have been consolidated and transferred to the
SDNY. The complaints allege that Barclays Bank PLC and other members of The London Gold Market Fixing Ltd. manipulated the
prices of gold and gold derivative contracts in violation of US antitrust and other federal laws. This consolidated putative class
action remains pending. A separate US civil complaint by a proposed class of plaintiffs against a number of banks, including Barclays
Bank PLC, BCI and BX, alleging manipulation of the price of silver in violation of the CEA, the Antitrust Act and state antitrust and
consumer protection laws, has been dismissed as against the Barclays entities. The plaintiffs have the option to seek the court’s
permission to appeal.
Civil actions have also been filed in Canadian courts against Barclays PLC, Barclays Bank PLC, Barclays Capital Canada Inc. and BCI on
behalf of proposed classes of plaintiffs alleging manipulation of gold and silver prices.
US residential mortgage related civil actions
There are various pending civil actions relating to US Residential Mortgage -Backed Securities (RMBS), including four actions arising
from unresolved repurchase requests submitted by Trustees for certain RMBS, alleging breaches of various loan-level
representations and warranties (R&Ws) made by Barclays Bank PLC and/or a subsidiary acquired in 2007 (the Acquired Subsidiary).
The unresolved repurchase requests received as at 31 December 2019 had an original unpaid principal balance of approximately
$2.1bn. The Trustees have also alleged that the relevant R&Ws may have been breached with respect to a greater (but unspecified)
amount of loans than previously stated in the unresolved repurchase requests.
These repurchase actions are ongoing. In one repurchase action, the New York Court of Appeals held that claims related to certain
R&Ws are time-barred. Barclays Bank PLC has reached a settlement to resolve two of the repurchase actions, which is subject to
final court approval. The financial impact of the settlement is not expected to be material to the Group’s operating results, cash
flows or financial position. The remaining two repurchase actions are pending.
Government and agency securities civil actions and related matters
Certain governmental authorities are conducting investigations into activities relating to the trading of certain government and
agency securities in various markets. The Group provided information in cooperation with such investigations. Civil actions have
also been filed on the basis of similar allegations, as described below.
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Financial Statement Notes
83
Treasury auction securities civil actions
Consolidated putative class action complaints filed in US federal court against Barclays Bank PLC, BCI and other financial institutions
under the Antitrust Act and state common law allege that the defendants (i) conspired to manipulate the US Treasury securities
market and/or (ii) conspired to prevent the creation of certain platforms by boycotting or threatening to boycott such trading
platforms. The defendants have filed a motion to dismiss.
In addition, certain plaintiffs have filed a related, direct action against BCI and certain other financial institutions, alleging that
defendants conspired to fix and manipulate the US Treasury securities market in violation of the Antitrust Act, the CEA and state
common law.
Supranational, Sovereign and Agency bonds civil actions
Civil antitrust actions have been filed in the SDNY and Federal Court of Canada in Toronto against Barclays Bank PLC, BCI, BX,
Barclays Capital Securities Limited and, with respect to the civil action filed in Canada only, Barclays Capital Canada, Inc. and other
financial institutions alleging that the defendants conspired to fix prices and restrain competition in the market for US dollar-
denominated Supranational, Sovereign and Agency bonds.
In one of the actions filed in the SDNY, the court granted the defendants’ motion to dismiss the plaintiffs’ complaint, which the
plaintiffs have appealed. The plaintiffs have voluntarily dismissed the other SDNY action.
Variable Rate Demand Obligations civil actions
Civil actions have been filed against Barclays Bank PLC and BCI and other financial institutions alleging the defendants conspired or
colluded to artificially inflate interest rates set for Variable Rate Demand Obligations (VRDOs). VRDOs are municipal bonds with
interest rates that reset on a periodic basis, most commonly weekly. Two actions in state court have been filed by private plaintiffs
on behalf of the states of Illinois and California. Two putative class action complaints, which have been consolidated, have been
filed in the SDNY.
Government bond civil actions
In a putative class action filed in the SDNY in 2019, plaintiffs alleged that BCI and certain other bond dealers conspired to fix the
prices of US government sponsored entity bonds in violation of US antitrust law. BCI agreed to a settlement of $87m, which
received final court approval in June 2020. Separately, various entities in Louisiana, including the Louisiana Attorney General and
the City of Baton Rouge, have filed complaints against Barclays Bank PLC and other financial institutions making similar allegations
as the class action plaintiffs .
In 2018, a separate putative class action against various financial institutions including Barclays PLC, Barclays Bank PLC, BCI,
Barclays Bank Mexico, S.A., and certain other subsidiaries of the Group was consolidated in the SDNY. The plaintiffs asserted
antitrust and state law claims arising out of an alleged conspiracy to fix the prices of Mexican Government bonds. Barclays PLC has
settled the claim for $5.7m, which is subject to court approval.
BDC Finance L.L.C.
In 2008, BDC Finance L.L.C. (BDC) filed a complaint in the NY Supreme Court, demanding damages of $298m, alleging that Barclays
Bank PLC had breached a contract in connection with a portfolio of total return swaps governed by an ISDA Master Agreement
(collectively, the Agreement). Following a trial on certain liability issues, the court ruled in December 2018 that Barclays Bank PLC
was not a defaulting party, which was affirmed on appeal. Barclays Bank PLC’s counterclaim against BDC remains pending.
In 2011, BDC’s investment advisor, BDCM Fund Adviser, L.L.C. and its parent company, Black Diamond Capital Holdings, L.L.C. also
sued Barclays Bank PLC and BCI in Connecticut State Court for unspecified damages allegedly resulting from Barclays Bank PLC’s
conduct relating to the Agreement, asserting claims for violation of the Connecticut Unfair Trade Practices Act and tortious
interference with business and prospective business relations. This case is currently stayed.
Civil actions in respect of the US Anti-Terrorism Act
There are a number of civil actions, on behalf of more than 4,000 plaintiffs, filed in US federal courts in the US District Court in the
Eastern District of New York (EDNY) and SDNY against Barclays Bank PLC and a number of other banks. The complaints gene rally
allege that Barclays Bank PLC and those banks engaged in a conspiracy to facilitate US dollar- denominated transactions for the
Government of Iran and various Iranian banks, which in turn funded acts of terrorism that injured or killed plaintiffs or plaintiffs’
family members. The plaintiffs seek to recover damages for pain, suffering and mental anguish under the provisions of the US Anti-
Terrorism Act, which allow for the trebling of any proven damages.
The court granted the defendants’ motion to dismiss three actions in the EDNY. Plaintiffs have appealed in one action. The court
also granted the defendants’ motion to dismiss another action in the SDNY. The remaining actions are stayed pending decisions in
these cases.
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Financial Statement Notes
84
Interest rate swap and credit default swap US civil actions
Barclays PLC, Barclays Bank PLC and BCI, together with other financial institutions that act as market makers for interest rate swaps
(IRS) are named as defendants in several antitrust class actions which were consolidated in the SDNY in 2016. The complaints allege
the defendants conspired to prevent the development of excha nges for IRS and demand unspecified money damages.
In 2018, trueEX LLC filed an antitrust class action in the SDNY against a number of financial institutions including Barclays PLC,
Barclays Bank PLC and BCI based on similar allegations with respect to trueEX LLC’s development of an IRS platform. In 2017, Tera
Group Inc. filed a separate civil antitrust action in the SDNY claiming that certain conduct alleged in the IRS cases also caused the
plaintiff to suffer harm with respect to the Credit Default Swaps market. In November 2018 and July 2019, respectivel y, the court
dismissed certain claims in both cases for unjust enrichment and tortious interference but denied motions to dismiss the federal
and state antitrust claims, which remain pending.
Odd-lot corporate bonds antitrust class action
In 2020, BCI, together with other financial institutions, were named as defendants in a putative class action. The complaint alleges a
conspiracy to boycott developing electronic trading platforms for odd-lots and price fixing. Plaintiffs demand unspecified money
damages.
2.
Barclays PLC, Barclays Bank PLC and Barclays Bank UK PLC
Investigation into collections and recoveries relating to unsecured lending
Since February 2018, the FCA has been investigating whether the Group implemented effective systems and controls with respect
to collections and recoveries and whether it paid due consideration to the interests of customers in default and arrears. The FCA
investigation is at an advanced stage.
HM Revenue & Customs (HMRC) assessments concerning UK Value Added Tax
In 2018, HMRC issued notices that have the effect of removing certain overseas subsidiaries that have operations in the UK from
Barclays’ UK VAT group, in which group supplies between members are generally free from VAT. The notices have retrospective
effect and correspond to assessments of £181m (inclusive of interest), of which Barclays would expect to attribute an amount of
approximately £128m to Barclays Bank UK PLC and £53m to Barcl ays Bank PLC. HMRC’s decision has been appealed to the First Tier
Tribunal (Tax Chamber).
Local authority civil actions concerning LIBOR
Following settlement by Barclays Bank PLC of various governmental investigations concerning certain benchmark interest rate
submissions referred to above in ‘Investigations into LIBOR and other benchmarks and related civil actions’, in the UK, certain local
authorities have brought claims against Barclays Bank PLC (and, in certain cases, Barclays Bank UK PLC) asserting that they entered
into loans in reliance on misrepresentations made by Barclays Bank PLC in respect of its conduct in relation to LIBOR. Barclays has
applied to strike out the claims.
General
The Group is engaged in various other legal, competition and regulatory matters in the UK, the US and a number of other overseas
jurisdictions. It is subject to legal proceedings brought by and against the Group which arise in the ordinary course of business from
time to time, including (but not limited to) disputes in relation to contracts, securities, debt collection, consumer credit, fraud,
trusts, client assets, competition, data management and protection, money laundering, financial crime, employment,
environmental and other statutory and common law issues.
The Group is also subject to enquiries and examinations, requests for information, audits, investigations and legal and other
proceedings by regulators, governmental and other public bodies in connection with (but not limited to) consumer protection
measures, compliance with legislation and regulation, wholesale trading activity and other areas of banking and business activities
in which the Group is or has been engaged. The Group is cooperating with the relevant authorities and keeping all relevant
agencies briefed as appropriate in relation to these matters and others described in this note on an ongoing basis.
At the present time, Barclays PLC does not expect the ultimate resolution of any of these other matters to have a material adverse
effect on the Group’s financial position. However, in light of the uncertainties involved in such matters and the matters specifically
described in this note, there can be no assurance that the outcome of a particular matter or matters (including formerly active
matters or those matters arising after the date of this note) will not be material to Barclays PLC’s results, operations or cash flow
for a particular period, depending on, among other things, the amount of the loss resulting from the matter(s) and the amount of
profit otherwise reported for the reporting period.
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Financial Statement Notes
85
21. Related party transactions
Related party transactions in the half year ended 30 June 2020 were similar in nature to those disclosed in the Barclays PLC Annual
Report 2019. No related party transactions that have taken place in the half year ended 30 June 2020 have materially affecte d the
financial position or the performance of the Group during this period.
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Financial Statement Notes
86
22. Barclays PLC parent company balance sheet
As at
As at
30.06.20
31.12.19
Assets
£m
£m
Investment in subsidiaries
61,488
59,546
Loans and advances to subsidiaries
28,254
28,850
Financial assets at fair value through the income statement
16,246
10,348
Derivative financial instruments
116
58
Other assets
37
2
Total assets
106,141
98,804
Liabilities
Deposits at amortised cost
534
500
Debt securities in issue
31,417
30,564
Subordinated liabilities
8,669
7,656
Financial liabilities designated at fair value
8,206
3,498
Other liabilities
112
119
Total liabilities
48,938
42,337
Equity
Called up share capital
4,336
4,331
Share premium account
284
263
Other equity instruments
10,865
10,865
Other reserves
394
394
Retained earnings
41,324
40,614
Total equity
57,203
56,467
Total liabilities and equity
106,141
98,804
Investment in subsidiaries
The investment in subsidiaries of £61,488m (December 2019: £59,546 m) predominantly relates to investments in Barclays Bank PLC
and Barclays Bank UK PLC, as well as holdings of their AT1 securities of £10,843m (December 2019 : £10,843m). The increase of
£1,942m during the period was predominantly driven by capital contributions into Barclays Bank PLC totalling £1,500m and
Barclays Bank UK PLC totalling £220m. Barclays PLC considers the carrying value of its investment in subsidiaries to be fully
recoverable .
Financial assets and liabilities designated at fair value
Financial liabilities designated at fair value of £8,206m (December 2019: £3,498m) comprises issuances during the period of $300m
Zero Coupon Callable Notes, $1,750m Fixed -to -Floating Rate Senior Notes, $1,000m Fixed Rate Resetting Senior Callable Notes and
€2,000m Reset Notes. The proceeds raised through these transactions were used to invest in subsidiaries of Barclays PLC which are
included within the financial assets designated at fair value through the income statement balance of £16,246m (December 2019:
£10,348m).
Subordinated liabilities
During H120, Barclays PLC issued £500m of Fixed Rate Resetting Subordinated Callable Note s, which is included within the
subordinated liabilities balance of £8,669m (December 2019: £7,656m).
Other equity instruments
Other equity instruments comprises AT1 securities issued by Barclays PLC. There have been no new issuances or redemptions
during the period.
Management of internal investments, loans and advances
Barclays PLC retains the discretion to manage the nature of its internal investments in subsidiaries according to their regulatory and
business needs. Barclays PLC may invest capital and funding into Barclays Bank PLC, Barclays Bank UK PLC and other Group
subsidiaries such as Barclays Execution Services Limited and the US Inte rmediate Holding Company (IHC).
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Appendix: Non-IFRS Performance Measures
87
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’ perfor mance 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. The components of the
calculation have been included on page 44.
Period end allocated
tangible equity
Allocated tangible equity is calculated as 13.0% (2019: 13.0%) of RWAs for each business, adjusted
for capital deductions, excluding goodwill and intangible assets, reflecting assumptions the Group
��
theuses for capital planning purposes. Head Office allocated tangible equity represents the difference
between the Group’s tangible share holders’ 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 compo nents of the calculation have
been included on page 88.
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 page 88 .
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 27.
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 24.
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 96.
Performance measures
excluding litigation and
conduct
Calculated by excluding litigation and conduct charges from performance measures. The components
of the calculations have been included on pages 89 to 96.
Pre -provision profits
Calculated by excluding credit impairment charges from profit before tax. The components of the
calculation have been included on pages 89 to 91.
Pre -provision profits
excluding litigation and
conduct
Calculated by excluding credit impairment charges, and litigation and conduct charges from profit
before tax. The components of the calculation have been included on pages 89 to 91.
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Appendix: Non-IFRS Performance Measures
88
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 13.0% (2019: 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 tan gible
equity represents the difference 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
Half year ended 30.06.20
£m
£bn
%
Barclays UK
52
10.2
1.0
1,514
27.7
11.0
(517)
4.7
(21.9)
Barclays International
997
32.4
6.2
Head Office
(354)
6.0
n/m
Barclays Group
695
48.6
2.9
Half year ended 30.06.19
Barclays UK
750
10.3
14.5
1,178
25.5
9.3
442
5.3
16.6
Barclays International
1,620
30.8
10.5
Head Office
(298)
4.6
n/m
Barclays Group
2,072
45.7
9.1
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Appendix: Non-IFRS Performance Measures
89
Performance measures excluding litigation and conduct
Half year ended 30.06.20
Barclays UK
Corporate and
Investment
Bank
Consumer,
Cards and
Payments
Barclays
International
Head Office
Barclays
Group
Cost: income ratio
£m
£m
£m
£m
£m
£m
Total operating expenses
(2,052)
(3,373)
(1,043)
(4,416)
(125)
(6,593)
Impact of litigation and conduct
11
3
8
11
8
30
Operating expenses
(2,041)
(3,370)
(1,035)
(4,405)
(117)
(6,563)
Total income
3,171
6,933
1,721
8,654
(204)
11,621
Cost: income ratio excluding litigation and
conduct
64%
49%
60%
51%
n/m
56%
Profit before tax
Profit/(loss) before tax
68
2,243
(614)
1,629
(425)
1,272
Impact of litigation and conduct
11
3
8
11
8
30
Profit/(loss) before tax excluding litigation and
conduct
79
2,246
(606)
1,640
(417)
1,302
Profit attributable to ordinary equity holders of
the parent
Attributable profit/(loss)
52
1,514
(517)
997
(354)
695
Post -tax impact of litigation and conduct
8
2
6
8
(1)
15
Profit/(loss) attributable to ordinary equity
holders of the parent excluding litigation and
conduct
60
1,516
(511)
1,005
(355)
710
Return on average tangible shareholders'
equity
£bn
£bn
£bn
£bn
£bn
£bn
Average shareholders' equity
13.8
27.7
5.4
33.1
9.9
56.8
Average goodwill and intangibles
(3.6)
-
(0.7)
(0.7)
(3.9)
(8.2)
Average tangible shareholders' equity
10.2
27.7
4.7
32.4
6.0
48.6
Return on average tangible shareholders'
equity excluding litigation and conduct
1.2%
11.0%
(21.7%)
6.2%
n/m
2.9%
Basic earnings per ordinary share
Basic weighted average number of shares (m)
17,294
Basic earnings per ordinary share excluding
litigation and conduct
4.1p
Pre -provision profits
Profit before tax excluding credit impairment
charges and litigation and conduct
£m
Profit before tax
1,272
Impact of credit impairment charges
3,738
Profit before tax excluding credit impairment
charges
5,010
Impact of litigation and conduct
30
Profit before tax excluding credit impairment
charges and litigation and conduct
5,040
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Appendix: Non-IFRS Performance Measures
90
Half year 30.06.19
Barclays UK
Corporate and
Investment
Bank
Consumer,
Cards and
Payments
Barclays
International
Head Office
Barclays
Group
Cost: income ratio
£m
£m
£m
£m
£m
£m
Total operating expenses
(2,065)
(3,505)
(1,166)
(4,671)
(136)
(6,872)
Impact of litigation and conduct
44
26
4
30
40
114
Operating expenses
(2,021)
(3,479)
(1,162)
(4,641)
(96)
(6,758)
Total income
3,548
5,300
2,173
7,473
(231)
10,790
Cost: income ratio excluding litigation and
conduct
57%
66%
53%
62%
n/m
63%
Profit before tax
Profit/(loss) before tax
1,062
1,714
627
2,341
(389)
3,014
Impact of litigation and conduct
44
26
4
30
40
114
Profit/(loss) before tax excluding litigation and
conduct
1,106
1,740
631
2,371
(349)
3,128
Profit attributable to ordinary equity holders of
the parent
Attributable profit/(loss)
750
1,178
442
1,620
(298)
2,072
Post -tax impact of litigation and conduct
32
21
3
24
30
86
Profit/(loss) attributable to ordinary equity
holders of the parent excluding litigation and
conduct
782
1,199
445
1,644
(268)
2,158
Return on average tangible shareholders'
equity
£bn
£bn
£bn
£bn
£bn
£bn
Average shareholders' equity
13.9
25.5
6.4
31.9
7.9
53.7
Average goodwill and intangibles
(3.6)
-
(1.1)
(1.1)
(3.3)
(8.0)
Average tangible shareholders' equity
10.3
25.5
5.3
30.8
4.6
45.7
Return on average tangible shareholders'
equity excluding litigation and conduct
15.1%
9.4%
16.7%
10.7%
n/m
9.4%
Basic earnings per ordinary share
Basic weighted average number of shares (m)
17,178
Basic earnings per ordinary share excluding
litigation and conduct
12.6p
Pre -provision profits
Profit before tax excluding credit impairment
charges and litigation and conduct
£m
Profit before tax
3,014
Impact of credit impairment charges
928
Profit before tax excluding credit impairment
charges
3,942
Impact of litigation and conduct
114
Profit before tax excluding credit impairment
charges and litigation and conduct
4,056
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Appendix: Non-IFRS Performance Measures
91
Barclays Group
Q220
Q120
Q419
Q319
Q219
Q119
Q418
Q318
Cost: income ratio
£m
£m
£m
£m
£m
£m
£m
£m
Total operating expenses
(3,330)
(3,263)
(3,701)
(4,861)
(3,554)
(3,318)
(4,093)
(3,434)
Impact of litigation and conduct
20
10
167
1,568
53
61
60
105
Operating expenses
(3,310)
(3,253)
(3,534)
(3,293)
(3,501)
(3,257)
(4,033)
(3,329)
Total income
5,338
6,283
5,301
5,541
5,538
5,252
5,073
5,129
Cost: income ratio excluding litigation and
conduct
62%
52%
67%
59%
63%
62%
79%
65%
Profit before tax
Profit before tax
359
913
1,097
246
1,531
1,483
374
1,461
Impact of litigation and conduct
20
10
167
1,568
53
61
60
105
Profit before tax excluding litigation and
conduct
379
923
1,264
1,814
1,584
1,544
434
1,566
Profit attributable to ordinary equity holders
of the parent
Attributable profit/(loss)
90
605
681
(292)
1,034
1,038
(14)
1,050
Post -tax impact of litigation and conduct
16
(1)
122
1,525
40
46
62
85
Profit attributable to ordinary equity holders
of the parent excluding litigation and conduct
106
604
803
1,233
1,074
1,084
48
1,135
Return on average tangible shareholders'
equity
£bn
£bn
£bn
£bn
£bn
£bn
£bn
£bn
Average shareholders' equity
58.4
55.2
54.5
56.4
54.0
53.2
52.2
52.5
Average goodwill and intangibles
(8.2)
(8.2)
(8.1)
(8.0)
(7.8)
(8.0)
(7.9)
(7.9)
Average tangible shareholders' equity
50.2
47.0
46.4
48.4
46.2
45.2
44.3
44.6
Return on average tangible shareholders'
equity excluding litigation and conduct
0.8%
5.1%
6.9%
10.2%
9.3%
9.6%
0.4%
10.2%
Basic earnings per ordinary share
Basic weighted average number of shares (m)
17,294
17,278
17,200
17,192
17,178
17,111
17,075
17,074
Basic earnings per ordinary share excluding
litigation and conduct
0.6p
3.5p
4.7p
7.2p
6.3p
6.3p
0.3p
6.6p
Pre -provision profits
Profit before tax excluding credit impairment
charges and litigation and conduct
Q220
Q120
Q419
Q319
Q219
Q119
Q418
Q318
£m
£m
£m
£m
£m
£m
£m
£m
Profit before tax
359
913
1,097
246
1,531
1,483
374
1,461
Impact of credit impairment charges
1,623
2,115
523
461
480
448
643
254
Profit before tax excluding credit impairment
charges
1,982
3,028
1,620
707
2,011
1,931
1,017
1,715
Impact of litigation and conduct
20
10
167
1,568
53
61
60
105
Profit before tax excluding credit impairment
charges and litigation and conduct
2,002
3,038
1,787
2,275
2,064
1,992
1,077
1,820
![bplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000257/bplch120p2i0.gif)
Appendix: Non-IFRS Performance Measures
92
Barclays UK
Q220
Q120
Q419
Q319
Q219
Q119
Q418
Q318
Cost: income ratio
£m
£m
£m
£m
£m
£m
£m
£m
Total operating expenses
(1,024)
(1,028)
(1,122)
(2,432)
(1,063)
(1,002)
(1,175)
(1,042)
Impact of litigation and conduct
6
5
58
1,480
41
3
15
54
Operating expenses
(1,018)
(1,023)
(1,064)
(952)
(1,022)
(999)
(1,160)
(988)
Total income
1,467
1,704
1,959
1,846
1,771
1,777
1,863
1,896
Cost: income ratio excluding litigation and
conduct
69%
60%
54%
52%
58%
56%
62%
52%
Profit before tax
(Loss)/profit before tax
(127)
195
647
(687)
477
585
390
740
Impact of litigation and conduct
6
5
58
1,480
41
3
15
54
(Loss)/profit before tax excluding litigation and
conduct
(121)
200
705
793
518
588
405
794
Profit attributable to ordinary equity holders
of the parent
Attributable (loss)/profit
(123)
175
438
(907)
328
422
241
510
Post -tax impact of litigation and conduct
5
3
43
1,457
30
2
12
48
(Loss)/profit attributable to ordinary equity
holders of the parent excluding litigation and
conduct
(118)
178
481
550
358
424
253
558
Return on average allocated tangible equity
£bn
£bn
£bn
£bn
£bn
£bn
£bn
£bn
Average allocated equity
13.9
13.7
13.8
13.9
13.8
13.9
13.6
13.7
Average goodwill and intangibles
(3.6)
(3.6)
(3.5)
(3.5)
(3.5)
(3.5)
(3.5)
(3.6)
Average allocated tangible equity
10.3
10.1
10.3
10.4
10.3
10.4
10.1
10.1
Return on average allocated tangible equity
excluding litigation and conduct
(4.6%)
7.0%
18.7%
21.2%
13.9%
16.4%
10.1%
22.0%
![bplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000257/bplch120p2i0.gif)
Appendix: Non-IFRS Performance Measures
93
Barclays International
Q220
Q120
Q419
Q319
Q219
Q119
Q418
Q318
Cost: income ratio
£m
£m
£m
£m
£m
£m
£m
£m
Total operating expenses
(2,197)
(2,219)
(2,500)
(2,282)
(2,446)
(2,225)
(2,684)
(2,309)
Impact of litigation and conduct
11
-
86
-
11
19
33
32
Operating expenses
(2,186)
(2,219)
(2,414)
(2,282)
(2,435)
(2,206)
(2,651)
(2,277)
Total income
4,010
4,644
3,452
3,750
3,903
3,570
3,221
3,290
Cost: income ratio excluding litigation and
conduct
55%
48%
70%
61%
62%
62%
82%
69%
Profit before tax
Profit before tax
807
822
640
1,137
1,223
1,118
215
850
Impact of litigation and conduct
11
-
86
-
11
19
33
32
Profit before tax excluding litigation and conduct
818
822
726
1,137
1,234
1,137
248
882
Profit attributable to ordinary equity holders of
the parent
Attributable profit/(loss)
468
529
397
799
832
788
(21)
687
Post -tax impact of litigation and conduct
8
-
64
2
8
16
34
26
Profit attributable to ordinary equity holders of
the parent excluding litigation and conduct
476
529
461
801
840
804
13
713
Return on average allocated tangible equity
£bn
£bn
£bn
£bn
£bn
£bn
£bn
£bn
Average allocated equity
34.2
31.9
31.9
33.3
32.1
31.6
32.4
32.5
Average goodwill and intangibles
(0.7)
(0.7)
(1.0)
(1.1)
(1.0)
(1.1)
(1.1)
(1.3)
Average allocated tangible equity
33.5
31.2
30.9
32.2
31.1
30.5
31.3
31.1
Return on average allocated tangible equity
excluding litigation and conduct
5.7%
6.8%
6.0%
10.0%
10.8%
10.6%
0.2%
9.2%
![bplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000257/bplch120p2i0.gif)
Appendix: Non-IFRS Performance Measures
94
Corporate and Investment Bank
Q220
Q120
Q419
Q319
Q219
Q119
Q418
Q318
Cost: income ratio
£m
£m
£m
£m
£m
£m
£m
£m
Total operating expenses
(1,683)
(1,690)
(1,926)
(1,716)
(1,867)
(1,638)
(2,046)
(1,744)
Impact of litigation and conduct
3
-
79
4
7
19
23
32
Operating expenses
(1,680)
(1,690)
(1,847)
(1,712)
(1,860)
(1,619)
(2,023)
(1,712)
Total income
3,316
3,617
2,314
2,617
2,795
2,505
2,151
2,235
Cost: income ratio excluding litigation and
conduct
51%
47%
80%
65%
67%
65%
94%
77%
Profit before tax
Profit before tax
1,040
1,203
359
882
887
827
85
498
Impact of litigation and conduct
3
-
79
4
7
19
23
32
Profit before tax excluding litigation and conduct
1,043
1,203
438
886
894
846
108
530
Profit attributable to ordinary equity holders of
the parent
Attributable profit/(loss)
694
820
193
609
596
582
(84)
431
Post -tax impact of litigation and conduct
2
-
58
5
5
16
27
25
Profit/(loss) attributable to ordinary equity
holders of the parent excluding litigation and
conduct
696
820
251
614
601
598
(57)
456
Return on average allocated tangible equity
£bn
£bn
£bn
£bn
£bn
£bn
£bn
£bn
Average allocated equity
29.1
26.2
25.9
26.9
25.8
25.2
26.0
26.2
Average goodwill and intangibles
(0.1)
-
(0.1)
-
-
(0.1)
-
(0.2)
Average allocated tangible equity
29.0
26.2
25.8
26.9
25.8
25.1
26.0
25.9
Return on average allocated tangible equity
excluding litigation and conduct
9.6%
12.5%
3.9%
9.2%
9.3%
9.5%
(0.9%)
7.0%
![bplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000257/bplch120p2i0.gif)
Appendix: Non-IFRS Performance Measures
95
Consumer, Cards and Payments
Q220
Q120
Q419
Q319
Q219
Q119
Q418
Q318
Cost: income ratio
£m
£m
£m
£m
£m
£m
£m
£m
Total operating expenses
(514)
(529)
(574)
(566)
(579)
(587)
(638)
(565)
Impact of litigation and conduct
8
-
7
(4)
4
-
10
-
Operating expenses
(506)
(529)
(567)
(570)
(575)
(587)
(628)
(565)
Total income
694
1,027
1,138
1,133
1,108
1,065
1,070
1,055
Cost: income ratio excluding litigation and
conduct
73%
52%
50%
50%
52%
55%
59%
54%
Profit before tax
(Loss)/profit before tax
(233)
(381)
281
255
336
291
130
352
Impact of litigation and conduct
8
-
7
(4)
4
-
10
-
(Loss)/profit before tax excluding litigation and
conduct
(225)
(381)
288
251
340
291
140
352
Profit attributable to ordinary equity holders of
the parent
Attributable (loss)/profit
(226)
(291)
204
190
236
206
63
256
Post -tax impact of litigation and conduct
6
-
6
(3)
3
-
7
1
(Loss)/profit attributable to ordinary equity
holders of the parent excluding litigation and
conduct
(220)
(291)
210
187
239
206
70
257
Return on average allocated tangible equity
£bn
£bn
£bn
£bn
£bn
£bn
£bn
£bn
Average allocated equity
5.1
5.7
6.0
6.4
6.3
6.4
6.4
6.3
Average goodwill and intangibles
(0.6)
(0.7)
(0.9)
(1.1)
(1.0)
(1.0)
(1.1)
(1.1)
Average allocated tangible equity
4.5
5.0
5.1
5.3
5.3
5.4
5.3
5.2
Return on average allocated tangible equity
excluding litigation and conduct
(19.6%)
(23.5%)
16.3%
14.0%
18.0%
15.4%
5.4%
19.9%
![bplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000257/bplch120p2i0.gif)
Appendix: Non-IFRS Performance Measures
96
Head Office
Q220
Q120
Q419
Q319
Q219
Q119
Q418
Q318
Profit before tax
£m
£m
£m
£m
£m
£m
£m
£m
Loss before tax
(321)
(104)
(190)
(204)
(169)
(220)
(231)
(129)
Impact of litigation and conduct
3
5
23
88
1
39
12
19
Loss before tax excluding litigation and conduct
(318)
(99)
(167)
(116)
(168)
(181)
(219)
(110)
Profit attributable to ordinary equity holders of
the parent
Attributable loss
(255)
(99)
(154)
(184)
(126)
(172)
(234)
(147)
Post -tax impact of litigation and conduct
3
(4)
15
66
2
28
16
11
Attributable loss excluding litigation and conduct
(252)
(103)
(139)
(118)
(124)
(144)
(218)
(136)
Tangible net asset value per share
As at
As at
As at
30.06.20
31.12.19
31.06.19
£m
£m
£m
Total equity excluding non-controlling interests
68,304
64,429
67,576
Other equity instruments
(10,871)
(10,871)
(12,123)
Shareholders' equity attributable to ordinary shareholders of the parent
57,433
53,558
55,453
Goodwill and intangibles
(8,163)
(8,119)
(7,993)
Tangible shareholders' equity attributable to ordinary shareholders of the parent
49,270
45,439
47,460
m
m
m
Shares in issue
17,345
17,322
17,245
p
p
p
Net asset value per share
Tangible net asset value per share
![bplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000257/bplch120p2i0.gif)
Appendix: Non-IFRS Performance Measures
97
Profit/(loss) attributable to ordinary
equity holders of the parent
H120
H119
Q220
Q120
Q419
Q319
Q219
Q119
Q418
Q318
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
Barclays UK
52
750
(123)
175
438
(907)
328
422
241
510
Corporate and Investment Bank
1,514
1,178
694
820
193
609
596
582
(84)
431
Consumer, Cards and Payments
(517)
442
(226)
(291)
204
190
236
206
63
256
Barclays International
997
1,620
468
529
397
799
832
788
(21)
687
Head Office
(354)
(298)
(255)
(99)
(154)
(184)
(126)
(172)
(234)
(147)
Barclays Group
695
2,072
90
605
681
(292)
1,034
1,038
(14)
1,050
Average equity
H120
H119
Q220
Q120
Q419
Q319
Q219
Q119
Q418
Q318
£bn
£bn
£bn
£bn
£bn
£bn
£bn
£bn
£bn
£bn
Barclays UK
13.8
13.9
13.9
13.7
13.8
13.9
13.8
13.9
13.6
13.7
Corporate and Investment Bank
27.7
25.5
29.1
26.2
25.9
26.9
25.8
25.2
26.0
26.2
Consumer, Cards and Payments
5.4
6.4
5.1
5.7
6.0
6.4
6.3
6.4
6.4
6.3
Barclays International
33.1
31.9
34.2
31.9
31.9
33.3
32.1
31.6
32.4
32.5
Head Office
9.9
7.9
10.3
9.6
8.8
9.2
8.1
7.7
6.2
6.4
Barclays Group
56.8
53.7
58.4
55.2
54.5
56.4
54.0
53.2
52.2
52.5
Return on average equity
H120
H119
Q220
Q120
Q419
Q319
Q219
Q119
Q418
Q318
%
%
%
%
%
%
%
%
%
%
Barclays UK
0.8%
10.8%
(3.6%)
5.1%
12.7%
(26.1%)
9.5%
12.2%
7.1%
14.9%
Corporate and Investment Bank
10.9%
9.2%
9.5%
12.5%
3.0%
9.1%
9.2%
9.3%
(1.3%)
6.6%
Consumer, Cards and Payments
(19.2%)
13.8%
(17.7%)
(20.7%)
13.6%
11.8%
14.9%
12.8%
3.9%
16.3%
Barclays International
6.0%
10.2%
5.5%
6.6%
5.0%
9.6%
10.3%
10.0%
(0.3%)
8.5%
Head Office
n/m
n/m
n/m
n/m
n/m
n/m
n/m
n/m
n/m
n/m
Barclays Group
2.5%
7.7%
0.6%
4.4%
5.0%
(2.1%)
7.6%
7.8%
(0.1%)
8.0%
![bplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000257/bplch120p2i0.gif)
Shareholder Information
98
Results timetable
1
Date
Q320 Results Announcement
23 October 2020
% Change
3
Exchange rates
2
30.06.20
31.12.19
30.06.19
31.12.19
30.06.19
Period end - USD/GBP
1.24
1.33
1.27
(7%)
(2%)
6 month average - USD/GBP
1.26
1.26
1.29
-
(2%)
3 month average - USD/GBP
1.24
1.29
1.29
(4%)
(4%)
Period end - EUR/GBP
1.10
1.18
1.12
(7%)
(2%)
6 month average - USD/GBP
1.14
1.14
1.15
-
(1%)
3 month average - EUR/GBP
1.13
1.16
1.14
(3%)
(1%)
Share price data
Barclays PLC (p)
114.42
179.64
149.80
Barclays PLC number of shares (m)
17,345
17,322
17,245
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)
J.P.Morgan Chase Bank, N.A
StockTransfer@equiniti.com
Tel: +1 800 990 1135 (toll free in US and Canada), +1 651 453 2128 (outside the US and Canada) or +1 866 700 1652 (for the hearing
impaired).
J.P.Morgan Chase Bank N.A., Shareowner Services, PO Box 64504, St Paul, MN 55164-0504, USA.
Delivery of ADR certificates and overnight mail
J.P.Morgan Chase Bank N.A., 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.
![bplch120p2i0.gif](https://capedge.com/proxy/6-K/0001562762-20-000257/bplch120p2i0.gif)
Glossary of Terms
99
‘A -IRB’ / ‘Advanced -Internal Ratings Based’
‘Acceptances and endorsements’
Barclays Group expects most acceptances to be presented, but reimbursement 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 (for
example 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’
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 Collateralised Debt Obligations (CDOs), the referenced pool may be ABS or other classes of assets.
‘Attributable profit’
capital securities classified as equity.
‘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.
‘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, is 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.
‘Barclays Africa’ or ‘Absa’
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 comprehensiv e 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
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at the average position. Balance weighted loan to value is calculated using the following formula: LTV = ((loan balance 1 x MTM
LTV% for loan 1) + (loan balance 2 x MTM LTV% for loan 2) + ...) / total outstandings in portfolio.
‘Barclaycard’
consumer lending, merchant acquiring, commercial cards and point of sale finance. Barclaycard has scaled operations in the UK, US,
Germany and Scandinavia.
‘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 Barcl ays International (the large UK Corporate business; the
international Corporate and Private Bank businesses; the Investment Bank; the international Barclaycard business; and payments).
‘Barclays Execution Services’ or ‘BX’ or ‘BSerL’ 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 international Barclaycard 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.
‘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 of Banking Supervision (BCBS or The Basel Committee)’
matters which develops global supervisory standards 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.
‘Basis point(s)’ / ‘bp(s)’
interest rates, yields on securities and for other purposes.
‘Basis risk’
imperfectly correlated, especially under stressed market conditions.
‘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, changes in RWAs caused by factors such as underlying customer behaviour
or demographics leading to changes in risk profile.
‘Book size’
In the con text of the Capital Risk section
,
repayments .
‘Bounce Back Loan Scheme (BBLS)’
A 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’
Offers specialist advice, products and services to small and medium enterprises in the UK.
‘Business Lending’
Business Lending in Barclays UK that primarily relates to small and medium enterprises typically with a turnover
up to £16m.
‘Business scenario stresses’
exposures of the Investment Bank.
‘Buy to let mortgage’
A mortgage where the intention of the customer (investor) was 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.
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‘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 enter into force from 27 June 2019, with EU member states required to adopt the measures within the
Directive by 28 December 2020.
‘Capital Requirements Regulation (CRR)’
Regulation (EU) No 575/2013, a component of the CRD IV package which acco mpanies 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).
‘Capital Requirements 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.
‘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.
‘Capital resources’
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 Counterparty’ / ‘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) markets.
‘Charge -off’
the recovery of the full balance. This is normally when six payments are in arrears.
‘Client Assets’
Assets managed or administered by 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)’
above) and/or certain other related assets purchased by the issuer. CDOs may feature exposure to sub-prime mortgage assets
through the underlying assets.
‘Collateralised Loan Obligation (CLO)’
made to different classes of owners (in tranches).
‘Collateralised Mortgage Obligation (CMO)’
the mortgages and passes them on to investors of the security.
‘Combined Buffer Requirement’
In the context of the CRD capital obligations, the combined requirements of the Capital
Conservation Buffer, the GSII Buffer, the OSII buffer, the Systemic Risk buffer and an institution specific counter -cyclical buffer.
‘Commercial paper (CP)’
‘Commercia l 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, and 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 Organisations 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.
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‘Commodity derivatives’
precious metals, oil and oil related, 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.
‘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 ex ercise, 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 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, Barclaycard Germany, Barclays Par tner Finance, Barclaycard
Commercial Payments, Barclaycard Payment Solutions (including merchant acquiring) and the international Wealth business.
‘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’.
‘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% government (BBB) guarantee. The UK government will pay interest 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 CO VID-19, The
CBILS scheme provides loans up to £50 million which are backed by an 80% government (BBB) guarantee.
‘Corporate and
Investment Bank (CIB)’
Barclays Corporate and Investment Bank businesses which form part of Barclays International.
‘Correlatio n risk’
changes over time.
‘Cost: income ratio’
‘Cost of Equity’
‘Cost: income jaws’
‘Countercyclical 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.
‘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’
the context of RWAs, a component of RWAs that represents the risk of loss in derivatives, repurchase agreements and similar
transactions resulting from the default of the counterparty.
‘Coverage ratio’
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‘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 corpor ates. Barclays acts as dealer.
‘CRD IV’
The Fourth Capital Requirements Directive, an EU Directive and an accompanying Regulation (CRR) that together prescribe
EU capital adequacy and liquidity requirements and 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 implements enhanced Basel 3 proposals in the
European Union.
‘Credit conversion factor (CCF)’
Factor 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 age ncy.
‘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 for 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 advanc es and similar transactions
resulting from the default of the counterparty.
‘Credit risk mitigation’
be broadly divided into three types; collate ral, netting and set-off, and risk transfer.
‘Credit spread’
‘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 counterpa rty due to any failure to perform on contractual
agreements.
‘CRR leverage exposure’
‘CRR leverage ratio’
Is 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 number 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’
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 val ue which takes into account the Barclays Group’s risk of default. The DVA,
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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 contractual 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’
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 that member.
‘Derivatives netting’
enforceable bilateral netting agreements and eligible cash collateral received in derivative transactions that meet the requirements
of BCBS 270.
‘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.
‘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 Framework (ERMF)’
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’
and East ern Europe.
‘European Banking Authority (EBA)’
The European Banking Authority (EBA) is an independent EU Authority which works 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.
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‘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 must reflect the unbiased and
probability weighted assessment of a range of outcomes.
‘Expected Losses’
approach for capital adequacy calculations. 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 counterpa rty, 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.
‘Exposure’
Generally refers to positions or actions taken by the bank, or consequences thereof, that may put a certain amount of a
bank’s resources at risk.
‘Exposure at Default (EAD)’
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 according to CRR.
‘Federal Reserve Board (FRB)’
Is the governing board of the Federal Reserve System of the US, in charge of making the
country's monetary policy.
'FICC'
Represents Macro (including rates and currency), Credit and Securitised products.
'Financial Policy Committee (FPC)'
remove 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 Gove rnment.
‘F-IRB’/ 'Foundation-Internal Ratings Based’
‘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 implementation 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 cont ract. 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 swa ps generally involves 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.
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‘Foreign exchange risk’
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 t he
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 events 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 exposure 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.
‘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 globally
systemically important banks.
‘G -SII additional leverage ratio buffer (G-SII ALRB)’
A macroprudential buffer that applies to globally systemically important banks
(G-SIBs) and other major domestic UK banks and building societies, including banks that are subject to ring-fencing require ments.
The G-SII ALRB will be calibrated as 35% (on a phased basis) of the combined systemic risk buffers that applies 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 outstanding 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’
Compliance, Risk, Treasury and Tax and other operations.
‘High-Net-Worth’
worth customers.
‘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.
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‘IMA’ / 'Internal Model Approach’
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.
‘IMM’ / 'Internal Model Method’
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.
‘Interest 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 swa p, 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.
‘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)’
Companies are required to perform a formal Internal Capital Adequacy
Assessment Process (ICAAP) as part of the Pillar 2 requirements (BIPRU) and to provide this document to the PRA on a yearly basis.
The ICAAP document summarises the Barclays Group’s risk management framework, including approach to managing all risks (i.e.
Pillar 1 and non-Pillar 1 risks); and, the Barclays Group’s risk appetite, economic capital and stress testing frameworks.
‘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 probability of default (PD), loss given default (LGD) and credit
conversion factor to model a given risk exposure.
–
Foundation IRB: the bank applies its own PD as for Advanced, but it uses standard parameters for the LGD and the credit
conversion factor. 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.
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‘Investment Bank’
The Barclays Group’s investment bank which
consists of origination led and returns focused markets and banking
business 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, definition booklets, and a credit support annex. The ISDA master agreement is
published by the International Swaps and Derivatives Association (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 average 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 exposure 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, gains or losses
on loan sale activity, and risk management activity relating to the loan portfolio.
‘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’
Level 2 assets, with the latter comprised of Level 2A and Level 2B assets. Level 2A assets include, for example, lower quality
government securities, covered bonds and corporate debt securities. Level 2B assets include, for example, 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, for example, 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 is 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 (the Liquidity
Framework), which is sanctioned by the Board Risk Committee (BRC) and which 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’
held at amortised cost at the balance sheet date.
‘Loan to deposit ratio’
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‘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)’
default. LGD comprises 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.
‘Marked to market approach’
va lue 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 the 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) ratio.’
‘Market risk’
fluctuation in market variables including, but not limited to, interest rates, foreign exchange, equity prices, commodity prices,
credit spreads, implied volatilities and asset correlations.
‘Master netting agreements’
covered by the agreement in the event of the counterparty’s default or bankruptcy or insolvency, resulting in a reduced exposure.
‘Master trust securitisation programmes’
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 generally issued as senior, unsecured debt.
‘Methodology and policy’
In the context of the Capital Risk section, 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 31 member states of the European
Economic Area.
‘Minimum requirement 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, 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.
‘Modelled—VaR’
the PRA.
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‘Money market funds’
‘Monoline derivatives’
‘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 1 year, or liabilities with a maturity of over 1 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 (RSF) factor assigned to each particular asset type, added to the amount of potential liquidity exposure multiplied by
its associated RSF 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 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 repre sents 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’
‘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 (for example, fraud) where the root cause is not due to credit or market risks.
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‘Operational Riskdata eXchange (ORX)’
dedicated to advancing the measurement and management of operational risk in the global financial services industry. Barclays is a
member of ORX.
‘Origination led’
‘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 mortgage’
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.
‘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 advice, products and services to community and premier customers in the UK.
‘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 and operational risk.
‘Pillar 2A requirements’
The additional regulatory capital requirement to meet risks not captured under Pillar 1 requirements. This
requirement is the outc ome 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 contracts, 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 organisat ion 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 offering execution and clearance facilities for a variety
of asset classes.
‘Principal’
interest).
‘Principal Investments’ / ‘Private equity investments’
public exchange. Investment in private equity often involves the investment of capital in private companies or the acquisition of a
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public company that results in the delisting of public equity. Capital for private equity investment is rais ed by retail or institutional
investors and used to fund investment strategies such as leveraged buyouts, venture capital, growth capital, distressed investments
and mezzanine 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, rating 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 Customers’’
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 pro perty.
‘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.
‘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 BIPRU 4.6.42 R (2). 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 recoveries 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
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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 will be individually impaired where 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)’ / ‘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, regulators, employees or the public.
‘Re -securitisations’
positions where the underlying assets are also predominantly securitisation positions.
‘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 up to £5m.
‘Return on average Risk Weighted Assets’
‘Return on average tangible shareholders’ equity’ (RoTE) 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.
‘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.
‘Risk appetite’
possible outcomes as business plans are implemented.
‘Risk weighted assets (RWAs)’
accordance with the Basel rules as implemented by CRR and local regula tors.
‘Risks not in VaR (RNIVS)’
framework.
‘Sarbanes-Oxley requirements’
against corporate governance 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.
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‘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
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’
bond) is sold, purchased or otherwise closed out, and the date the asset is delivered by or to the entity (the sett lement date) and
cash is received or paid.
‘Settlement risk’
one or more settlement obligations.
‘Significant Increase in Credit Risk (SICR)’
quantitative and qualitative assessments.
‘Slotting’
assessment of factors such as the financial strength of the counterparty. The requirements for the application of the Slotting
approach are detailed in BIPRU 4.5.
‘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 (ALRB) 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 ALRB.
‘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’
‘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.
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‘Structured entity’
generally created to achieve a narrow and well defined objective with restrictions around their ongoing activities.
‘Structural hedge’ / ‘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 cover
its liabilities.
‘Structured credit’
structured credit vehicles.
‘Structured finance/notes’
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.
‘Suprana tional 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 econom y as a result of restricted lending.
‘Tangible net asset value (TNAV)’
assets and goodwill.
‘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)’
on Banking Supervision as part of Basel III applicable to banks’ wholesale trading activities.
‘The Standardised Approach (TSA)’
Under the 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 monitors their performance against those limits and constr aints (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 thre e 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 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.
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‘Total outstanding balance’
In retail banking, total outstanding balance is defined as the gross month-end custome r balances all
��
onaccounts 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.
‘Total balances on forbearance programmes coverage ratio’
a percentage of balance in forbearance.
‘Traded Market Risk’
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 trad ing 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.
‘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 exposure’
Is 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 exp osure 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 and financial sectors.
‘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 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’ / ‘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 writte n 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.