Other disclosures - Risk Management and Principal Risks (audited) (Tables) | 12 Months Ended |
Dec. 31, 2020 |
Other disclosures - Risk Management and Principal Risks | |
Maximum exposure and effects of collateral and other credit enhancements (audited) | Maximum exposure and effects of netting, collateral and risk transfer (audited) Maximum exposure Netting and set-off Cash collateral Non-cash collateral Risk transfer Net exposure As at 31 December 2020 £m £m £m £m £m £m On-balance sheet: Cash and balances at central banks 191,127 - - - - 191,127 Cash collateral and settlement balances 101,367 - - - - 101,367 Loans and advances at amortised cost: Home loans 159,647 - (284) (159,203) (85) 75 Credit cards, unsecured loans and other retail lending 40,813 - (967) (3,825) (195) 35,826 Wholesale loans 142,172 (6,988) (62) (37,103) (23,963) 74,056 Total loans and advances at amortised cost 342,632 (6,988) (1,313) (200,131) (24,243) 109,957 Of which credit-impaired (Stage 3): Home loans 1,813 - (14) (1,796) - 3 Credit cards, unsecured loans and other retail lending 921 - (14) (237) (2) 668 Wholesale loans 2,525 - (4) (872) (232) 1,417 Total credit-impaired loans and advances at amortised cost 5,259 - (32) (2,905) (234) 2,088 Reverse repurchase agreements and other similar secured lending 9,031 - - (9,031) - - Trading portfolio assets: Debt securities 56,482 - - (391) - 56,091 Traded loans 8,348 - - (374) - 7,974 Total trading portfolio assets 64,830 - - (765) - 64,065 Financial assets at fair value through the income statement: Loans and advances 30,879 - (9) (23,677) - 7,193 Debt securities 1,693 - - (292) - 1,401 Reverse repurchase agreements 137,616 - (672) (136,537) - 407 Other financial assets 343 - - - - 343 Total financial assets at fair value through the income statement 170,531 - (681) (160,506) - 9,344 Derivative financial instruments 302,446 (233,080) (43,291) (4,773) (6,409) 14,893 Financial assets at fair value through other comprehensive income 77,927 - - (106) (1,385) 76,436 Other assets 850 - - - - 850 Total on-balance sheet 1,260,741 (240,068) (45,285) (375,312) (32,037) 568,039 Off-balance sheet: Contingent liabilities 21,609 - (1,095) (2,135) (282) 18,097 Loan commitments 333,049 - (128) (40,714) (1,520) 290,687 Total off-balance sheet 354,658 - (1,223) (42,849) (1,802) 308,784 Total 1,615,399 (240,068) (46,508) (418,161) (33,839) 876,823 Maximum exposure and effects of netting, collateral and risk transfer (audited) Maximum exposure Netting and set-off Cash collateral Non-cash collateral Risk transfer Net exposure As at 31 December 2019 £m £m £m £m £m £m On-balance sheet: Cash and balances at central banks 150,258 - - - - 150,258 Cash collateral and settlement balances 83,256 - - - - 83,256 Loans and advances at amortised cost: Home loans 154,479 - (294) (153,939) (70) 176 Credit cards, unsecured loans and other retail lending 55,296 - (778) (5,283) (258) 48,977 Wholesale loans 129,340 (7,636) (148) (39,981) (12,071) 69,504 Total loans and advances at amortised cost 339,115 (7,636) (1,220) (199,203) (12,399) 118,657 Of which credit-impaired (Stage 3): Home loans 1,809 - (2) (1,785) (14) 8 Credit cards, unsecured loans and other retail lending 1,074 - (12) (250) (2) 810 Wholesale loans 1,812 - (9) (909) (20) 874 Total credit-impaired loans and advances at amortised cost 4,695 - (23) (2,944) (36) 1,692 Reverse repurchase agreements and other similar secured lending 3,379 - - (3,379) - - Trading portfolio assets: Debt securities 52,739 - - (423) - 52,316 Traded loans 5,378 - - (134) - 5,244 Total trading portfolio assets 58,117 - - (557) - 57,560 Financial assets at fair value through the income statement: Loans and advances 22,692 - (14) (16,580) (57) 6,041 Debt securities 5,249 - - - - 5,249 Reverse repurchase agreements 96,887 - (1,132) (95,736) - 19 Other financial assets 763 - - - - 763 Total financial assets at fair value through the income statement 125,591 - (1,146) (112,316) (57) 12,072 Derivative financial instruments 229,236 (175,998) (33,411) (5,511) (5,564) 8,752 Financial assets at fair value through other comprehensive income 64,727 - - (305) (1,051) 63,371 Other assets 1,375 - - - - 1,375 Total on-balance sheet 1,055,054 (183,634) (35,777) (321,271) (19,071) 495,301 Off-balance sheet: Contingent liabilities 24,527 - (400) (4,412) (159) 19,556 Loan commitments 334,455 - (84) (47,008) (1,950) 285,413 Total off-balance sheet 358,982 - (484) (51,420) (2,109) 304,969 Total 1,414,036 (183,634) (36,261) (372,691) (21,180) 800,270 |
Loans and advances at amortised cost by stage and product (audited) | Loans and advances at amortised cost by stage (audited) Gross exposure Impairment allowance Net exposure Stage 1 Stage 2 Stage 3 Total Stage 1 Stage 2 Stage 3 Total As at 31 December 2020 £m £m £m £m £m £m £m £m £m Barclays UK 153,250 23,896 2,732 179,878 332 1,509 1,147 2,988 176,890 Barclays International a 21,048 5,500 1,992 28,540 396 1,329 1,205 2,930 25,610 Head Office 4,267 720 844 5,831 4 51 380 435 5,396 Total Barclays Group retail 178,565 30,116 5,568 214,249 732 2,889 2,732 6,353 207,896 Barclays UK 31,918 4,325 1,126 37,369 13 129 116 258 37,111 Barclays International a 79,911 16,565 2,270 98,746 288 546 859 1,693 97,053 Head Office 570 - 33 603 - - 31 31 572 Total Barclays Group wholesale b 112,399 20,890 3,429 136,718 301 675 1,006 1,982 134,736 Total loans and advances at amortised cost 290,964 51,006 8,997 350,967 1,033 3,564 3,738 8,335 342,632 Off-balance sheet loan commitments and financial guarantee contracts c 289,939 52,891 2,330 345,160 256 758 50 1,064 344,096 Total d 580,903 103,897 11,327 696,127 1,289 4,322 3,788 9,399 686,728 Loan impairment charge and loan loss rate Coverage ratio Loan impairment charge Loan loss rate Stage 1 Stage 2 Stage 3 Total As at 31 December 2020 % % % % £m bps Barclays UK 0.2 6.3 42.0 1.7 1,070 59 Barclays International a 1.9 24.2 60.5 10.3 1,680 589 Head Office 0.1 7.1 45.0 7.5 91 156 Total Barclays Group retail 0.4 9.6 49.1 3.0 2,841 133 Barclays UK - 3.0 10.3 0.7 154 41 Barclays International a 0.4 3.3 37.8 1.7 914 93 Head Office - - 93.9 5.1 - - Total Barclays Group wholesale b 0.3 3.2 29.3 1.4 1,068 78 Total loans and advances at amortised cost 0.4 7.0 41.5 2.4 3,909 111 Off-balance sheet loan commitments and financial guarantee contracts c 0.1 1.4 2.1 0.3 776 Other financial assets subject to impairment d 153 Total e 0.2 4.2 33.4 1.4 4,838 Notes a Private Banking have refined the methodology to classify £ 5 bn of their exposure between Wholesale and Retail during the year. b Includes Wealth and Private Banking exposures measured on an individual customer exposure basis, and excludes Business Banking exposures that are managed on a collective basis. The net impact is a difference in total exposure of £ 7,551 m of balances reported as wholesale loans i n the Loans and advances at amortised cost by product disclosure. c Excludes loan commitments and fi nancial guarantees of £ 9.5 bn carried at fair value. d 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 h ave a total gross exposure of £ 180.3 b n and impairment allowance of £ 165 m . This comprises £ 11 m ECL on £ 175.7 bn Stage 1 assets, £ 9 m on £ 4.4 bn Stage 2 fair value through other comprehensive income assets , other assets, cash collateral and settlement asse ts and £ 145 m on £ 154 m Stage 3 other assets. e The loan loss rate is 138 bps after applying th e total impairment charge of £ 4,838 m. Loans and advances at amortised cost by stage (audited) Gross exposure Impairment allowance Net exposure Stage 1 Stage 2 Stage 3 Total Stage 1 Stage 2 Stage 3 Total As at 31 December 2019 £m £m £m £m £m £m £m £m £m Barclays UK 143,097 23,198 2,446 168,741 198 1,277 974 2,449 166,292 Barclays International 27,886 4,026 1,875 33,787 352 774 1,359 2,485 31,302 Head Office 4,803 500 826 6,129 5 36 305 346 5,783 Total Barclays Group retail 175,786 27,724 5,147 208,657 555 2,087 2,638 5,280 203,377 Barclays UK 27,891 2,397 1,124 31,412 16 38 108 162 31,250 Barclays International 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 a 123,480 10,510 2,776 136,766 152 286 590 1,028 135,738 Total loans and advances at amortised cost 299,266 38,234 7,923 345,423 707 2,373 3,228 6,308 339,115 Off-balance sheet loan commitments and financial guarantee contracts b 321,140 19,185 935 341,260 97 170 55 322 340,938 Total c 620,406 57,419 8,858 686,683 804 2,543 3,283 6,630 680,053 Loan impairment charge and loan loss rate Coverage ratio Loan impairment charge Loan loss rate Stage 1 Stage 2 Stage 3 Total As at 31 December 2019 % % % % £m bps Barclays UK 0.1 5.5 39.8 1.5 661 39 Barclays International 1.3 19.2 72.5 7.4 999 296 Head Office 0.1 7.2 36.9 5.6 27 44 Total Barclays Group retail 0.3 7.5 51.3 2.5 1,687 81 Barclays UK 0.1 1.6 9.6 0.5 33 11 Barclays International 0.1 3.1 27.7 0.8 113 11 Head Office - - 94.6 1.2 - - Total Barclays Group wholesale a 0.1 2.7 21.3 0.8 146 11 Total loans and advances at amortised cost 0.2 6.2 40.7 1.8 1,833 53 Off-balance sheet loan commitments and financial guarantee contracts b - 0.9 5.9 0.1 71 Other financial assets subject to impairment c 8 Total d 0.1 4.4 37.1 1.0 1,912 Notes a Included in the above analysis are Wealth and Private Banking exposures measured on an indi vidual customer exposure basis, and excludes Business Banking exposures that are managed on a collective basis. The net impact is a difference in total exposure of £ 6,434 m of balances reported as wholesale loans in the Loans and advances at amortised cost by product disclosure. b Excludes loan commitments a nd financial guarantees of £ 17 .7 bn carried at fair value. c Other financial assets subject to impair ment not included in the table above include cash collateral and settlement balances, financial assets at fair value through other comprehensiv e income and other assets. These have a total gross exposure of £ 149.3 bn and impairment allowance of £ 24 m. This comprises £ 12 m ECL on £ 148.5 bn Stage 1 assets £ 2 m on £ 0.8 bn Stage 2 fair value through other comprehensive income assets, cash collateral and settlement balances and £ 10 m on £ 10 m Stage 3 other assets. d The loan loss rate is 55 bps after applying the t otal i mpairment charge of £ 1,912 m . Loans and advances at amortised cost by product (audited) Stage 2 As at 31 December 2020 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 138,639 16,651 1,785 876 19,312 2,234 160,185 Credit cards, unsecured loans and other retail lending 33,021 9,470 544 306 10,320 3,172 46,513 Wholesale loans 119,304 19,501 1,097 776 21,374 3,591 144,269 Total 290,964 45,622 3,426 1,958 51,006 8,997 350,967 Impairment allowance Home loans 33 57 13 14 84 421 538 Credit cards, unsecured loans and other retail lending 680 2,382 180 207 2,769 2,251 5,700 Wholesale loans 320 650 50 11 711 1,066 2,097 Total 1,033 3,089 243 232 3,564 3,738 8,335 Net exposure Home loans 138,606 16,594 1,772 862 19,228 1,813 159,647 Credit cards, unsecured loans and other retail lending 32,341 7,088 364 99 7,551 921 40,813 Wholesale loans 118,984 18,851 1,047 765 20,663 2,525 142,172 Total 289,931 42,533 3,183 1,726 47,442 5,259 342,632 Coverage ratio % % % % % % % Home loans - 0.3 0.7 1.6 0.4 18.8 0.3 Credit cards, unsecured loans and other retail lending 2.1 25.2 33.1 67.6 26.8 71.0 12.3 Wholesale loans 0.3 3.3 4.6 1.4 3.3 29.7 1.5 Total 0.4 6.8 7.1 11.8 7.0 41.5 2.4 As at 31 December 2019 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 |
Movement in gross exposure and impairment allowance including provisions for loan commitments and financial guarantees (audited) | Movement in gross exposures and impairment allowance including provisions for loan commitments and financial guarantees The following tables present a reconciliation of the opening to the closing balance of the exposure and impairment allowance. An explanation of the terms: 12-month ECL, lifetime ECL and credit- impaired is included in Note 7 . Transfers between stages in the tables have been reflected as if they had taken place at the beginning of the year. The movements are measured over a 12-month period. Loans and advances at amortised cost (audited) Stage 1 Stage 2 Stage 3 Total Gross exposure ECL Gross exposure ECL Gross exposure ECL Gross exposure ECL £m £m £m £m £m £m £m £m Home loans As at 1 January 2020 135,713 22 17,043 64 2,155 346 154,911 432 Transfers from Stage 1 to Stage 2 (8,724) (1) 8,724 1 - - - - Transfers from Stage 2 to Stage 1 4,618 14 (4,618) (14) - - - - Transfers to Stage 3 (308) - (420) (10) 728 10 - - Transfers from Stage 3 47 1 219 2 (266) (3) - - Business activity in the year 22,548 7 714 2 4 - 23,266 9 Changes to models used for calculation a - - - - - - - - Net drawdowns, repayments, net re-measurement and movements due to exposure and risk parameter changes (6,195) (9) (841) 42 (57) 105 (7,093) 138 Final repayments (9,060) (1) (1,509) (3) (308) (15) (10,877) (19) Disposals c - - - - - - - - Write-offs d - - - - (22) (22) (22) (22) As at 31 December 2020 e 138,639 33 19,312 84 2,234 421 160,185 538 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 (6,571) (134) 6,571 134 - - - - Transfers from Stage 2 to Stage 1 3,080 482 (3,080) (482) - - - - Transfers to Stage 3 (712) (25) (1,162) (398) 1,874 423 - - Transfers from Stage 3 76 39 67 12 (143) (51) - - Business activity in the year 5,598 67 324 83 59 28 5,981 178 Changes to models used for calculation a - 13 - 296 - - - 309 Net drawdowns, repayments, net re-measurement and movements due to exposure and risk parameter changes b (9,678) (229) (2,706) 1,174 (10) 1,353 (12,394) 2,298 Final repayments (3,291) (67) (270) (37) (204) (84) (3,765) (188) Disposals c (1,493) (8) (183) (20) (204) (144) (1,880) (172) Write-offs d - - - - (1,609) (1,609) (1,609) (1,609) As at 31 December 2020 e 33,021 680 10,320 2,769 3,172 2,251 46,513 5,700 Wholesale loans As at 1 January 2020 117,541 143 10,432 302 2,359 547 130,332 992 Transfers from Stage 1 to Stage 2 (12,531) (35) 12,531 35 - - - - Transfers from Stage 2 to Stage 1 4,121 40 (4,121) (40) - - - - Transfers to Stage 3 (1,137) (4) (875) (58) 2,012 62 - - Transfers from Stage 3 471 22 247 13 (718) (35) - - Business activity in the year 27,863 46 2,336 149 634 85 30,833 280 Changes to models used for calculation a - - - - - - - - Net drawdowns, repayments, net re-measurement and movements due to exposure and risk parameter changes 13,828 130 3,811 339 (64) 799 17,575 1,268 Final repayments (28,458) (22) (2,977) (29) (299) (59) (31,734) (110) Disposals c (2,394) - (10) - - - (2,404) - Write-offs d - - - - (333) (333) (333) (333) As at 31 December 2020 e 119,304 320 21,374 711 3,591 1,066 144,269 2,097 Loans and advances at amortised cost (audited) Stage 1 Stage 2 Stage 3 Total Gross exposure ECL Gross exposure ECL Gross exposure ECL Gross exposure ECL £m £m £m £m £m £m £m £m Home loans As at 1 January 2019 130,066 31 18,206 82 2,476 351 150,748 464 Transfers from Stage 1 to Stage 2 (9,051) (1) 9,051 1 - - - - Transfers from Stage 2 to Stage 1 8,000 28 (8,000) (28) - - - - Transfers to Stage 3 (199) - (510) (15) 709 15 - - Transfers from Stage 3 43 2 294 3 (337) (5) - - Business activity in the year 24,935 3 734 2 3 - 25,672 5 Changes to models used for calculation a - - - - - - - - Net drawdowns, repayments, net re-measurement and movements due to exposure and risk parameter changes (6,931) (38) (843) 27 (214) 24 (7,988) 13 Final repayments (10,427) (2) (1,827) (4) (454) (13) (12,708) (19) Disposals b (723) (1) (62) (4) (2) - (787) (5) Write-offs c - - - - (26) (26) (26) (26) As at 31 December 2019 d 135,713 22 17,043 64 2,155 346 154,911 432 Credit cards, unsecured loans and other retail lending As at 1 January 2019 45,785 528 12,229 2,304 3,760 2,511 61,774 5,343 Transfers from Stage 1 to Stage 2 (3,604) (72) 3,604 72 - - - - Transfers from Stage 2 to Stage 1 4,522 701 (4,522) (701) - - - - Transfers to Stage 3 (857) (21) (1,264) (448) 2,121 469 - - Transfers from Stage 3 144 103 28 14 (172) (117) - - Business activity in the year 9,664 120 704 123 89 39 10,457 282 Changes to models used for calculation a - 16 - (110) - (7) - (101) Net drawdowns, repayments, net re-measurement and movements due to exposure and risk parameter changes (5,975) (779) 351 806 373 1,836 (5,251) 1,863 Final repayments (3,667) (54) (371) (53) (290) (74) (4,328) (181) Disposals b - - - - (777) (627) (777) (627) Write-offs c - - - - (1,695) (1,695) (1,695) (1,695) As at 31 December 2019 d 46,012 542 10,759 2,007 3,409 2,335 60,180 4,884 Wholesale loans As at 1 January 2019 105,375 129 13,012 329 2,267 505 120,654 963 Transfers from Stage 1 to Stage 2 (3,419) (11) 3,419 11 - - - - Transfers from Stage 2 to Stage 1 5,213 84 (5,213) (84) - - - - Transfers to Stage 3 (501) (2) (650) (19) 1,151 21 - - Transfers from Stage 3 473 35 205 25 (678) (60) - - Business activity in the year 40,837 51 1,757 27 31 - 42,625 78 Changes to models used for calculation a - (9) - (19) - - - (28) Net drawdowns, repayments, net re-measurement and movements due to exposure and risk parameter changes 5,929 (104) 321 85 122 334 6,372 315 Final repayments (34,081) (30) (2,419) (53) (372) (91) (36,872) (174) Disposals b (2,285) - - - - - (2,285) - Write-offs c - - - - (162) (162) (162) (162) As at 31 December 2019 d 117,541 143 10,432 302 2,359 547 130,332 992 Notes a Recoveries and reimbursements includes £364m for reimbursements expected to be received under the arrangement where Group has entered into financial guarantee contracts which provide credit protection over certain loans assets with third parties. Cash recoveries of previously written off amounts to £35m . b Includes foreign exchange and interest and fees in suspense. c Other financial assets subject to impairment not included in the table above include cash collateral and settlement balances, fin ancial assets at fair value through other comprehensive income and other assets. These have a total gross exposure of £180.3bn (December 2019: £149.3bn) and impairment allowance of £165m (December 2019: £24m). This comprises £11m ECL (December 2019: £12m) on £175.7bn Stage 1 assets (December 2019: £148.5bn), £9m (December 2019: £2m) on £4.4bn Stage 2 fair value through other comprehensive i ncome assets, cash collateral and settlement assets (December 2019: £0.8bn) and £145m (December 2019: £10m) on £154m St age 3 other assets (December 2019: £10m). Reconciliation of ECL movement to impairment charge/(release) for the period £m Home loans 128 Credit cards, unsecured loans and other retail lending 2,597 Wholesale loans 1,438 ECL movement excluding assets derecognised due to disposals and write-offs 4,163 Recoveries and reimbursements a (399) Exchange and other adjustments b 145 Impairment charge on loan commitments and financial guarantees 776 Impairment charge on other financial assets c 153 Income statement charge for the period 4,838 Notes a Changes to models u sed for calculation include a £ 309 m adjustment which largely represents model remediation to correct for over recovery of debt in UK unsecured lending. Barclays continually review the output of models to determine accuracy of the ECL calculation including review of model monitoring, external benchmarking and experience of model operation over an extended period of time. This ensures that the models used continue to reflect the risks inherent across the businesses. b Transfers a nd risk parameters change has seen an ECL increase which is materially driven by stage migration in response to the macroeconomic scenario updates, partially offset by a net release in ECL of £ 0.6 bn due to a reclassification of £ 2 bn gross loans and advance s from Stage 2 to Stage 1 in credit cards and unsecured loans. The reclassification followed a review of back-testing of results which indicated that origination probability of default characteristics were unnecessarily moving S age 1 accounts into S tage 2. c The £ 1.9 bn d isposals reported within Credit cards, unsecured loans and other retail lending portfolio include £ 1.7 bn sale of motor financing business within the Barclays Partner Finance business and £ 0.2 bn relate to debt sale s undertaken during the year. The £ 2.4 bn disposal reported within W holesale loans include sale of debt securities as part of Group Treasury Operations. d In 2020 , gross write-offs amounted to £ 1,964 m (201 9: £ 1,883 m) and post write-off recoveries amounted to £ 35 m (201 9: £ 124 m). Net write-offs represent gross write-offs less post write-off r ecoveries and amounted to £ 1,929 m (201 9: £ 1,759 m). e Other financial assets subject to impairment not included in the table above include cash collateral and settlement bal ances, financial assets at fair value through other comprehensive income and other assets. These have a total gross exposure of £180.3 bn (December 20 19 : £1 49.3 bn) and impairment allowance o f £165 m (December 201 9: £24m). Th is comprises £11 m ECL (December 201 9: £12m) on £175.7 bn Stage 1 assets (December 2019: £148.5bn), £9 m (December 201 9: £2m) on £4.4 bn Stage 2 fair value through other comprehensive income assets, cash collateral and settlement assets (December 201 9 : £0. 8bn) and £145 m (December 201 9 : £ 10m) on £154 m Stage 3 other assets (December 201 9 : £ 10m ). Loan commitments and financial guarantees (audited) Stage 1 Stage 2 Stage 3 Total Gross exposure ECL Gross exposure ECL Gross exposure ECL Gross exposure ECL £m £m £m £m £m £m £m £m Home loans As at 1 January 2020 9,542 - 500 - 4 - 10,046 - Net transfers between stages (82) - 78 - 4 - - - Business activity in the year 7,975 - - - - - 7,975 - Net drawdowns, repayments, net re-measurement and movement due to exposure and risk parameter changes (5,332) - (27) - (2) - (5,361) - Limit management and final repayments (242) - (35) - (1) - (278) - As at 31 December 2020 11,861 - 516 - 5 - 12,382 - 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 (5,477) 43 4,725 (40) 752 (3) - - Business activity in the year 5,214 2 158 3 2 1 5,374 6 Net drawdowns, repayments, net re-measurement and movement due to exposure and risk parameter changes 1,298 (22) 1,636 272 (671) 15 2,263 265 Limit management and final repayments (12,423) (3) (640) (1) (104) (4) (13,167) (8) As at 31 December 2020 114,371 55 12,117 305 229 23 126,717 383 Wholesale loans As at 1 January 2020 185,839 62 12,447 99 681 41 198,967 202 Net transfers between stages (28,325) 67 27,319 (72) 1,006 5 - - Business activity in the year 42,917 32 4,708 102 774 2 48,399 136 Net drawdowns, repayments, net re-measurement and movement due to exposure and risk parameter changes 13,637 47 (44) 338 (69) (20) 13,524 365 Limit management and final repayments (50,361) (7) (4,172) (14) (296) (1) (54,829) (22) As at 31 December 2020 163,707 201 40,258 453 2,096 27 206,061 681 Loan commitments and financial guarantees (audited) Stage 1 Stage 2 Stage 3 Total Gross exposure ECL Gross exposure ECL Gross exposure ECL Gross exposure ECL £m £m £m £m £m £m £m £m Home loans As at 1 January 2019 6,948 - 546 - 13 - 7,507 - Net transfers between stages (39) - 47 - (8) - - - Business activity in the year 2,848 - - - - - 2,848 - Net drawdowns, repayments, net re-measurement and movement due to exposure and risk parameter changes 1 - (40) - - - (39) - Limit management and final repayments (216) - (53) - (1) - (270) - As at 31 December 2019 9,542 - 500 - 4 - 10,046 - Credit cards, unsecured loans and other retail lending As at 1 January 2019 124,611 41 9,016 65 267 20 133,894 126 Net transfers between stages 117 44 (1,082) (43) 965 (1) - - Business activity in the year 14,619 2 218 1 6 6 14,843 9 Net drawdowns, repayments, net re-measurement and movement due to exposure and risk parameter changes (1,151) (48) (1,172) 54 (874) (9) (3,197) (3) Limit management and final repayments (12,437) (4) (742) (6) (114) (2) (13,293) (12) As at 31 December 2019 125,759 35 6,238 71 250 14 132,247 120 Wholesale loans As at 1 January 2019 178,430 58 12,564 85 404 2 191,398 145 Net transfers between stages (875) 7 580 (8) 295 1 - - Business activity in the year 53,685 22 2,779 22 16 - 56,480 44 Net drawdowns, repayments, net re-measurement and movement due to exposure and risk parameter changes (487) (1) 1,190 36 232 41 935 76 Limit management and final repayments (44,914) (24) (4,666) (36) (266) (3) (49,846) (63) As at 31 December 2019 185,839 62 12,447 99 681 41 198,967 202 Notes a Changes to models u sed for calculation include a £101 m movement in Credit cards, unsecured loans an d other retail lending and a £28 m movement in Wholesale loans. These reflect methodology changes made during the year. Barclays continually review the output of models to determine accuracy of the ECL calculation including review of model monitoring, external benchmarking and experience of model operation over an extended period of time. This ensures that the models used continue to reflect the risks inherent across the businesses. b The £787 m movement of gross loans and advances disposed of across Home loans relates to the sale of a portfolio of mortgages from the Italian loan book. The £777 m disposal reported within Credit cards, unsecured loans and other retail lending portfolio relates to debt sales undertaken during the ye ar. Finally, disposals of £2,285 m within Wholesale loans relate to the sale of debt securities as part of the Group’s Treasury operations. c In 2019, gross write-offs amounted to £1,883 m (2018: £ 1,891 m) and post writ e-off recoveries amounted to £124 m (2018: £ 195 m). Net write-offs represent gross write-offs less post write-of f recoveries and amounted to £1,759 m (2018: £ 1,696 m). d Other financial assets subject to impairment not inc luded in the table above include cash collateral and settlement balances, financial assets at fair value through other comprehensive income and other assets. These have a total gross exposure of £149.3bn (December 2018: £ 129.9 bn) and impairment allowance o f £24m (December 2018: £ 12 m). This comprises £12m ECL (December 2018: £ 10 m) on £148.5bn Stage 1 assets (December 2018: £ 129.3 bn), £2m (December 2018: £ 2 m) on £0.8bn Stage 2 fair value through other comprehensive income assets, cash collateral and settlemen t assets (December 2018: £ 0.6 bn) and £10m (December 2018: £ nil ) on £10m Stage 3 other assets (December 2018: £ nil ). Reconciliation of ECL movement to impairment charge/(release) for the period £m Home loans (1) Credit cards, unsecured loans and other retail lending 1,863 Wholesale loans 191 ECL movement excluding assets derecognised due to disposals and write-offs 2,053 Recoveries and reimbursements (124) Exchange and other adjustments a (96) Impairment charge on loan commitments and financial guarantees 71 Impairment charge on other financial assets b 8 Income statement charge for the period 1,912 Notes a Includes foreign exchange and interest and fees in suspense. b Other financial assets subject to impairment not included in the table above include cash collateral and settlement balances, financial assets at fair value through other comprehensive income and other assets. These have a total gross exposure of £149.3bn (December 2018: £129.9bn) and impairment allowance of £24m (December 2018: £12m). This com prises £12m ECL (December 2018: £10m) on £148.5bn Stage 1 assets (December 2018: £129.3bn), £2m (December 2018: £2m) on £0.8bn Stage 2 fair value through other comprehensive income assets, cash collateral and settlement assets (December 2018: £0.6bn) and £10m (December 2018: £nil) on £10m Stage 3 other assets (December 2018: £nil) . |
Management adjustments to models for impairment and Economic uncertainty management adjustments to models for impairment (audited) | Management adjustments to models for impairment (audited) Management adjustments to impairment models are applied in order to factor in certain conditions or changes in policy that are not fully incorporated into the impairment models, or to reflect additional facts and circumstances at the period end. M anagement adjustments are reviewed and incorporated into future model development where applicable . Total management adjustments to impairment allowance are presented by product below. Management adjustments to models for impairment (audited) a 2020 2019 Management adjustments to impairment allowances Proportion of total impairment allowances Management adjustments to impairment allowances Proportion of total impairment allowancesb As at 31 December £m % £m % Home loans 131 24.3 57 13.2 Credit cards, unsecured loans and other retail lending 1,234 20.3 308 6.2 Wholesale loans 23 0.8 (25) (2.1) Total 1,388 14.8 340 5.1 Management adjustments to models for impairment charges (audited) a Impairment allowance pre management adjustments c Economic uncertainty adjustments Other adjustments Total impairment allowance As at 31 December 2020 £m £m £m £m Home loans 407 21 110 538 Credit cards, unsecured loans and other retail lending 4,849 1,625 (391) 6,083 Wholesale loans 2,755 421 (398) 2,778 Total 8,011 2,067 (679) 9,399 Note s a Positive values relate to an increase in impairment allowance. b The 2019 comparative figures have been restated to impairment allowance on both drawn and undrawn exposures. c Includes £6. 8 bn of modelled ECL, £0.9bn of individually assessed impairments and £ 0.3 bn ECL from non-modelled exposures. |
Core macroeconomic variables for each scenario and the respective scenario weights | The tables below show the key consensus macroeconomic variables used in the five scenarios (3 year annual paths), the probability weights applied to each scenario and the macroeconomic variables by scenario using ‘specific bases’ i.e. the most extreme position of each variable in the context of the scenario, for example, the highest unemployment for downside scenarios and the lowest unemployment for u pside scenarios. 5-year average tables and movement over time graphs provide additional transparency . Annual paths show quarterly averages for the year (unemployment and base rate) or change in the year (GDP and HPI). Expected worst point is the most nega tive quarter in the relevant 3 year period, which is calculated relative to the start point for GDP and HPI. Baseline average macroeconomic variables used in the calculation of ECL 2021 2022 2023 Expected Worst Point As at 31 December 2020 % % % % UK GDP a 6.3 3.3 2.6 1.2 UK unemployment b 6.7 6.4 5.8 7.4 UK HPI c 2.4 2.3 5.0 0.6 UK bank rate - (0.1) - (0.1) US GDP a 3.9 3.1 2.9 1.0 US unemployment d 6.9 5.7 5.6 7.5 US HPI e 2.8 4.7 4.7 0.7 US federal funds rate 0.3 0.3 0.3 0.3 2020 2021 2022 Expected Worst Point As at 31 December 2019 % % % % UK GDP a 1.3 1.5 1.6 0.3 UK unemployment b 4.1 4.2 4.2 4.2 UK HPI c 1.9 3.1 3.6 0.3 UK bank rate 0.6 0.5 0.8 0.5 US GDP a 2.1 1.9 1.9 0.5 US unemployment d 3.6 3.9 4.0 4.0 US HPI e 3.4 2.9 2.8 1.0 US federal funds rate 1.7 1.5 1.7 1.5 Downside 2 average macroeconomic variables used in the calculation of ECL 2021 2022 2023 Expected Worst Point As at 31 December 2020 % % % % UK GDP a (3.9) 6.5 2.6 (11.0) UK unemployment b 8.0 9.3 7.8 10.1 UK HPI c (13.6) (10.8) 0.5 (23.0) UK bank rate (0.2) (0.2) (0.1) (0.2) US GDP a (2.4) 3.6 2.1 (6.0) US unemployment d 13.4 11.9 10.1 13.7 US HPI e (17.2) (0.7) 0.6 (17.8) US federal funds rate 0.3 0.3 0.3 0.3 2020 2021 2022 Expected Worst Point As at 31 December 2019 % % % % UK GDP a 1.3 1.5 1.6 0.3 UK unemployment b 4.1 4.2 4.2 4.2 UK HPI c 1.9 3.1 3.6 0.3 UK bank rate 0.6 0.5 0.8 0.5 US GDP a 2.1 1.9 1.9 0.5 US unemployment d 3.6 3.9 4.0 4.0 US HPI e 3.4 2.9 2.8 1.0 US federal funds rate 1.7 1.5 1.7 1.5 Downside 1 average macroeconomic variables used in the calculation of ECL 2021 2022 2023 Expected Worst Point As at 31 December 2020 % % % % UK GDP a 0.1 6.6 3.2 (7.0) UK unemployment b 7.3 8.0 6.9 8.4 UK HPI c (6.7) (3.5) 1.7 (10.0) UK bank rate (0.1) (0.1) - (0.1) US GDP a 0.4 3.6 2.3 (3.0) US unemployment d 11.0 8.9 6.9 11.5 US HPI e (5.9) 1.8 2.6 (5.9) US federal funds rate 0.3 0.3 0.3 0.3 2020 2021 2022 Expected Worst Point As at 31 December 2019 % % % % UK GDP a 0.6 0.3 0.6 0.1 UK unemployment b 4.7 5.7 5.7 5.8 UK HPI c (2.6) (4.1) (1.7) (8.2) UK bank rate 1.7 2.8 2.8 0.8 US GDP a 1.2 0.4 0.8 0.2 US unemployment d 4.0 5.1 5.3 5.4 US HPI e 1.2 0.5 0.8 0.5 US federal funds rate 2.6 3.0 3.0 2.0 Upside 2 average macroeconomic variables used in the calculation of ECL 2021 2022 2023 Expected Worst Point As at 31 December 2020 % % % % UK GDP a 12.2 5.3 3.9 5.0 UK unemployment b 6.2 5.5 4.8 7.4 UK HPI c 6.6 10.4 10.8 1.1 UK bank rate 0.1 0.3 0.3 0.1 US GDP a 7.1 4.6 4.0 3.4 US unemployment d 5.5 4.3 4.1 6.1 US HPI e 8.8 9.1 8.9 1.7 US federal funds rate 0.3 0.4 0.6 0.3 2020 2021 2022 Expected Worst Point As at 31 December 2019 % % % % UK GDP a 3.0 4.0 3.4 0.9 UK unemployment b 3.7 3.4 3.5 3.9 UK HPI c 6.8 10.8 9.9 1.0 UK bank rate 0.6 0.5 0.5 0.5 US GDP a 3.4 4.2 3.6 1.0 US unemployment d 3.3 3.0 3.0 3.5 US HPI e 7.4 7.6 7.2 1.6 US federal funds rate 1.7 1.5 1.5 1.5 Upside 1 average macroeconomic variables used in the calculation of ECL 2021 2022 2023 Expected Worst Point As at 31 December 2020 % % % % UK GDP a 9.3 3.9 3.4 3.5 UK unemployment b 6.4 6.0 5.2 7.4 UK HPI c 4.6 6.1 6.1 0.8 UK bank rate 0.1 0.1 0.3 0.1 US GDP a 5.5 4.0 3.7 2.1 US unemployment d 6.0 4.8 4.6 6.7 US HPI e 6.8 6.7 6.3 1.4 US federal funds rate 0.3 0.3 0.5 0.3 2020 2021 2022 Expected Worst Point As at 31 December 2019 % % % % UK GDP a 2.2 2.8 2.5 0.6 UK unemployment b 3.9 3.8 3.9 4.0 UK HPI c 5.0 7.0 6.8 0.7 UK bank rate 0.6 0.5 0.5 0.5 US GDP a 2.8 3.3 2.9 0.8 US unemployment d 3.5 3.6 3.7 3.7 US HPI e 5.1 4.7 4.4 1.4 US federal funds rate 1.7 1.5 1.5 1.5 Notes a Average Real GDP seasonally adjusted change in year; expected worst point is the minimum growth relative to Q420 (2019: Q419) based on a 12 quarter period. b Averag e UK unemployment rate 16-year+; expected worst point is the highest rate in the 12 quarter period starting Q121 (2019: Q120) . c Change in year end UK HPI = Halifax All Houses, All Buyers index, relative to prior year end; worst point is based on minimum growth relative to Q420 (2019: Q419) based on a 12 quarter period . d Average US civi lian unemploy ment rate 16-year+; expected worst point is the highest rate in the 12 quarter period starting Q121 (2019: Q120) . e Change in year end US HPI = FHFA house price index, relative to prior year end; worst point is based on minimum growth relative to Q420 (2019: Q419) base d on a 12 quarter period. Scenario probability weighting (audited) Upside 2 Upside 1 Baseline Downside 1 Downside 2 % % % % % As at 31 December 2020 Scenario probability weighting 20.2 24.2 24.7 15.5 15.4 As at 31 December 2019 Scenario probability weighting 10.1 23.1 40.8 22.7 3.3 Macroeconomic variables used in the calculation of ECL (specific bases) a (audited) Upside 2 Upside 1 Baseline Downside 1 Downside 2 % % % % % As at 31 December 2020 UK GDP b 14.2 8.8 0.7 (22.1) (22.1) UK unemployment c 4.0 4.0 5.7 8.4 10.1 UK HPI d 48.2 30.8 3.6 (4.5) (18.3) UK bank rate c 0.1 0.1 - 0.6 0.6 US GDP b 15.7 12.8 1.6 (10.6) (10.6) US unemployment c 3.8 3.8 6.4 13.0 13.7 US HPI d 42.2 30.9 3.8 (3.7) (15.9) US federal funds rate c 0.1 0.1 0.3 1.3 1.3 As at 31 December 2019 UK GDP b 15.4 11.7 1.5 0.2 (4.6) UK unemployment c 3.4 3.8 4.1 5.8 8.8 UK HPI d 41.1 28.8 2.8 (6.3) (31.1) UK bank rate c 0.5 0.5 0.7 2.8 4.0 US GDP b 17.9 14.9 2.1 0.5 (3.0) US unemployment c 3.0 3.5 3.9 5.4 8.5 US HPI d 35.8 23.7 3.2 0.3 (16.7) US federal funds rate c 1.5 1.5 1.8 3.0 3.5 Macroeconomic variables used in the calculation of ECL (5-year averages) a (audited) Upside 2 Upside 1 Baseline Downside 1 Downside 2 % % % % % As at 31 December 2020 UK GDP e 2.5 1.6 0.7 0.1 (0.9) UK unemployment f 5.0 5.3 5.7 6.5 7.2 UK HPI g 8.2 5.5 3.6 (0.2) (3.6) UK bank rate f 0.3 0.2 - - (0.1) US GDP e 2.9 2.4 1.6 0.8 0.1 US unemployment f 5.3 5.7 6.4 8.3 10.4 US HPI g 7.3 5.5 3.8 0.8 (3.0) US federal funds rate f 0.5 0.5 0.3 0.3 0.3 As at 31 December 2019 UK GDP e 2.9 2.2 1.5 0.8 (0.6) UK unemployment f 3.6 3.9 4.1 5.1 7.0 UK HPI g 7.1 5.2 2.8 (1.1) (6.9) UK bank rate f 0.6 0.6 0.7 2.1 3.1 US GDP e 3.4 2.9 2.1 1.3 (0.1) US unemployment f 3.2 3.7 3.9 4.7 6.6 US HPI g 6.3 4.3 3.2 1.6 (3.4) US federal funds rate f 1.7 1.7 1.8 2.8 3.2 Notes a UK GDP = Real GDP growth seasonally adjusted; UK unemployment = UK unemployment rate 16-year+; UK HPI = Halifax All Houses, All Buyers Index; US GDP = Real GDP growth seasonally adjusted; US unemployment = US civilian unemployment rate 16-year+; US HPI = FHFA house price index. b Maximum growth relative to Q419 (2019: Q418), based on 20 quarter period in Upside scenarios; 5-year yearly average CAGR in Baseline; minimum growth relative to Q419 (2019: Q418), based on 20 quarter period in Downside scenarios. c Lowest quarter in Upside scenarios; 5-year average in Baseline; highest quarter in Downside scenarios. Period based on 20 quarters from Q120 (2019: Q119) d Maximum growth relative to Q419 (2019: Q418), based on 20 quarter period in Upside scenarios; 5-year quarter end CAGR in Baseline; minimum growth relative to Q419 (2019: Q418), based on 20 quarter period in Downside scenarios. e 5 -year yearly average CAGR, starting 2019 (2019: 2018) f 5 -year average, Period based on 20 quarters from Q120 (2019: Q119) g 5 -year quarter end CAGR, starting Q419 (2019: Q418) 2019 data presented on a revised, simplified basis for ease of comparison. The graphs below plot the historical data for GDP growth rate and unemployment rate in the UK and US as well as the forecasted data under each of the five scenarios. |
ECL under 100% weighted scenarios for key principal portfolios | ECL under 100% weighted scenarios for modelled portfolios (audited) The table below shows the ECL assuming scenarios have been 100 % weighted. Model exposures are allocated to a stage based on the individual scenario rather than through a probability-weighted approach as required for Barclays reported impairment allowances. As a result, it is not possible to back solve to the final reported weighted ECL from the individual scenarios as a balance may be assigned to a different st age dependen t on the scenario. Model exposure uses exposure at default (EAD) values and is not directly comparable to gross exposure used in prior disclosures. For Credit cards, unsecured loans and other retail lending, an average EAD measure is used (12 month or life time, depending on stage allocation in each scenario). Therefore, the model exposure movement into Stage 2 is higher than the corresponding Stage 1 reduction. All ECL using a m odel is included, with the exception of Treasury assets (£ 13 m of ECL) , providing additional coverage as compared to the 2019 year-end disclosure . Non-modelled exposures and management adjustments are excluded. Management adjustments can be found in the Management adjustments to models for impairment section . Model e xposures allocated to Stage 3 do not change in any of the scenarios as the transition criteria relies only on observable evidence o f default as at 31 December 2020 and not on macroeconomic scenarios. The Downside 2 scenario represents a severe global recession with substanti al falls in both UK and US GDP. Unemployment in UK markets rises towards 10 % and US markets rises towards 14 % and there are substantial falls in asset prices including h ousing. Under the Downside 2 scenario, model exposure moves between stages as the econo mic environment weakens. This ca n be seen in the m ovement of £ 27 bn of model exposure into Stage 2 between the Weighted and Downside 2 scenario. ECL increases in Stage 2 predominantly due to unsecured portfolios as economic conditions deteriorate. Scenarios As at 31 December 2020 Weighted Upside 2 Upside 1 Baseline Downside 1 Downside 2 Stage 1 Model Exposure (£m) Home loans 131,422 134,100 133,246 132,414 130,547 128,369 Credit cards, unsecured loans and other retail lending 51,952 53,271 52,932 51,995 50,168 48,717 Wholesale loans 149,099 155,812 154,578 152,141 144,646 131,415 Stage 1 Model ECL (£m) Home loans 6 4 5 6 14 42 Credit cards, unsecured loans and other retail lending 392 316 340 372 415 415 Wholesale loans 262 242 258 249 278 290 Stage 1 Coverage (%) Home loans - - - - - - Credit cards, unsecured loans and other retail lending 0.8 0.6 0.6 0.7 0.8 0.9 Wholesale loans 0.2 0.2 0.2 0.2 0.2 0.2 Stage 2 Model Exposure (£m) Home loans 19,180 16,502 17,356 18,188 20,055 22,233 Credit cards, unsecured loans and other retail lending 13,399 10,572 11,579 13,176 16,477 19,322 Wholesale loans 32,677 25,963 27,198 29,635 37,130 50,361 Stage 2 Model ECL (£m) Home loans 37 31 32 33 42 63 Credit cards, unsecured loans and other retail lending 2,207 1,618 1,837 2,138 2,865 3,564 Wholesale loans 1,410 952 1,047 1,223 1,771 2,911 Stage 2 Coverage (%) Home loans 0.2 0.2 0.2 0.2 0.2 0.3 Credit cards, unsecured loans and other retail lending 16.5 15.3 15.9 16.2 17.4 18.4 Wholesale loans 4.3 3.7 3.8 4.1 4.8 5.8 Stage 3 Model Exposure (£m) Home loans 1,778 1,778 1,778 1,778 1,778 1,778 Credit cards, unsecured loans and other retail lending 2,585 2,585 2,585 2,585 2,585 2,585 Wholesale loans a 2,211 2,211 2,211 2,211 2,211 2,211 Stage 3 Model ECL (£m) Home loans 307 282 286 290 318 386 Credit cards, unsecured loans and other retail lending 2,003 1,947 1,972 2,001 2,055 2,078 Wholesale loans a 146 128 134 141 157 184 Stage 3 Coverage (%) Home loans 17.3 15.9 16.1 16.3 17.9 21.7 Credit cards, unsecured loans and other retail lending 77.5 75.3 76.3 77.4 79.5 80.4 Wholesale loans a 6.6 5.8 6.1 6.4 7.1 8.3 Total Model ECL (£m) Home loans 350 317 323 329 374 491 Credit cards, unsecured loans and other retail lending 4,602 3,881 4,149 4,511 5,335 6,057 Wholesale loans a 1,818 1,322 1,439 1,613 2,206 3,385 Total ECL 6,770 5,520 5,911 6,453 7,915 9,933 Note a Material wholesale loan defaults are individually assessed across different recovery st rategies. As a result, ECL of £ 902 m is reported as individually assessed i mpairments in the table below. Reconciliation to total ECL £m Total model ECL 6,770 ECL from individually assessed impairments 902 ECL from non-modelled and other management adjustments a 1,727 Total ECL 9,399 Note a Includes £ 1.4 bn of post model adjustments and £0.3bn ECL from non-modelled exposures . Scenarios As at 31 December 2019 Weighted Upside 2 Upside 1 Baseline Downside 1 Downside 2 Stage 1 Model Exposure (£m) Home loans 137,929 139,574 138,992 138,249 136,454 132,505 Credit cards, unsecured loans and other retail lending 68,619 69,190 69,012 68,388 68,309 67,015 Wholesale loans 160,544 162,717 162,058 161,111 157,720 143,323 Stage 1 Model ECL (£m) Home loans 6 4 5 5 7 19 Credit cards, unsecured loans and other retail lending 505 490 495 495 511 528 Wholesale loans 209 162 174 188 271 297 Stage 1 Coverage (%) Home loans - - - - - - Credit cards, unsecured loans and other retail lending 0.7 0.7 0.7 0.7 0.7 0.8 Wholesale loans 0.1 0.1 0.1 0.1 0.2 0.2 Stage 2 Model Exposure (£m) Home loans 16,889 15,245 15,826 16,570 18,364 22,314 Credit cards, unsecured loans and other retail lending 13,406 11,449 12,108 13,075 15,663 19,615 Wholesale loans 15,947 13,773 14,433 15,380 18,770 33,168 Stage 2 Model ECL (£m) Home loans 41 33 34 36 47 170 Credit cards, unsecured loans and other retail lending 1,844 1,412 1,562 1,771 2,384 4,285 Wholesale loans 414 285 323 374 579 1,427 Stage 2 Coverage (%) Home loans 0.2 0.2 0.2 0.2 0.3 0.8 Credit cards, unsecured loans and other retail lending 13.8 12.3 12.9 13.5 15.2 21.8 Wholesale loans 2.6 2.1 2.2 2.4 3.1 4.3 Stage 3 Model Exposure (£m) Home loans 1,670 1,670 1,670 1,670 1,670 1,670 Credit cards, unsecured loans and other retail lending 3,008 3,008 3,008 3,008 3,008 3,008 Wholesale loans a 1,489 1,489 1,489 1,489 1,489 1,489 Stage 3 Model ECL (£m) Home loans 268 262 264 266 272 316 Credit cards, unsecured loans and other retail lending 2,198 2,154 2,174 2,195 2,235 2,292 Wholesale loans a 118 111 114 117 127 128 Stage 3 Coverage (%) Home loans 16.0 15.7 15.8 15.9 16.3 18.9 Credit cards, unsecured loans and other retail lending 73.1 71.6 72.3 73.0 74.3 76.2 Wholesale loans a 7.9 7.4 7.6 7.9 8.5 8.6 Total Model ECL (£m) Home loans 315 299 303 307 326 505 Credit cards, unsecured loans and other retail lending 4,547 4,056 4,231 4,461 5,130 7,105 Wholesale loans a 741 558 611 679 977 1,852 Total ECL 5,603 4,913 5,145 5,447 6,433 9,462 Note a Material wholesale loan defa ults are individually assessed across different recovery str ategies. As a result, ECL of £ 419 m is re ported as individually assessed impairments in the table below. Reconciliation to total ECL a £m Total model ECL 5,603 ECL from individually assessed impairments 419 ECL from non-modelled and other management adjustments 608 Total ECL 6,630 Note a T he table has been re-presented to separately show the impact of individually assessed impairments of £ 419 m. This was included in the Barclays PLC Annual Report 2019 with non-modelled and other adjustments of £ 268 m. Non-modelled and other adjustments are now disclosed within the other management adjustments category of £ 608 m. |
Concentrations of Credit Risk by geography and industry (audited) | Credit risk concentrations by geography (audited) United Kingdom Americas Europe Asia Africa and Middle East Total £m £m £m £m £m £m As at 31 December 2020 On-balance sheet: Cash and balances at central banks 66,459 36,063 69,963 17,987 655 191,127 Cash collateral and settlement balances 33,893 27,287 30,121 9,558 508 101,367 Loans and advances at amortised cost 262,231 41,094 24,949 10,728 3,630 342,632 Reverse repurchase agreements and other similar secured lending 10 152 373 8,285 211 9,031 Trading portfolio assets 9,829 31,000 17,107 5,948 946 64,830 Financial assets at fair value through the income statement 34,229 88,327 25,709 14,742 7,524 170,531 Derivative financial instruments 93,430 90,801 101,102 14,532 2,581 302,446 Financial assets at fair value through other comprehensive income 10,672 27,504 28,607 11,006 138 77,927 Other assets 608 185 57 - - 850 Total on-balance sheet 511,361 342,413 297,988 92,786 16,193 1,260,741 Off-balance sheet: Contingent liabilities 5,876 10,122 3,809 1,222 580 21,609 Loan commitments 112,561 175,926 38,836 4,169 1,557 333,049 Total off-balance sheet 118,437 186,048 42,645 5,391 2,137 354,658 Total 629,798 528,461 340,633 98,177 18,330 1,615,399 As at 31 December 2019 On-balance sheet: Cash and balances at central banks 51,477 28,273 54,632 15,130 746 150,258 Cash collateral and settlement balances 27,431 23,595 26,008 5,385 837 83,256 Loans and advances at amortised cost 257,459 46,569 25,599 6,275 3,213 339,115 Reverse repurchase agreements and other similar secured lending 1,005 15 1,056 470 833 3,379 Trading portfolio assets 11,550 27,621 13,397 4,786 763 58,117 Financial assets at fair value through the income statement 29,001 70,849 11,286 12,534 1,921 125,591 Derivative financial instruments 69,844 63,344 83,165 11,189 1,694 229,236 Financial assets at fair value through other comprehensive income 9,444 23,052 24,443 7,665 123 64,727 Other assets 1,170 126 79 - - 1,375 Total on-balance sheet 458,595 283,267 239,628 63,434 10,130 1,055,054 Off-balance sheet: Contingent liabilities 7,539 10,838 3,862 1,562 726 24,527 Loan commitments 105,350 188,109 36,033 3,166 1,797 334,455 Total off-balance sheet 112,889 198,947 39,895 4,728 2,523 358,982 Total 571,484 482,214 279,523 68,162 12,653 1,414,036 Credit risk concentrations by industry (audited) Banks Other financial insti- tutions Manu- facturing Const- ruction and property Govern- ment and central bank Energy and water Whole- sale and retail distri- bution and leisure Business and other services Home loans Cards, unsecured loans and other personal lending Other Total £m £m £m £m £m £m £m £m £m £m £m £m As at 31 December 2020 On-balance sheet: Cash and balances at central banks 56 84 - - 190,981 - - 6 - - - 191,127 Cash collateral and settlement balances 17,986 67,305 375 35 13,946 871 30 575 - - 244 101,367 Loans and advances at amortised cost 8,133 22,062 8,142 26,125 28,445 4,722 12,569 19,538 159,647 41,312 11,937 342,632 Reverse repurchase agreements and other similar secured lending 706 7,964 - - 361 - - - - - - 9,031 Trading portfolio assets 2,743 11,464 4,104 516 35,902 3,052 1,883 2,625 - - 2,541 64,830 Financial assets at fair value through the income statement 21,824 131,943 608 5,668 5,530 13 64 3,712 971 - 198 170,531 Derivative financial instruments 155,767 116,526 4,126 2,725 11,649 3,288 1,235 2,361 - - 4,769 302,446 Financial assets at fair value through other comprehensive income 18,829 5,843 1 425 51,955 - - 733 - - 141 77,927 Other assets 439 224 6 12 1 10 18 98 - 34 8 850 Total on-balance sheet 226,483 363,415 17,362 35,506 338,770 11,956 15,799 29,648 160,618 41,346 19,838 1,260,741 Off-balance sheet: Contingent liabilities 1,150 5,501 3,187 1,260 1,678 3,223 1,005 2,283 - 155 2,167 21,609 Loan commitments 1,813 53,936 39,638 14,002 1,398 25,780 17,165 24,554 12,385 119,807 22,571 333,049 Total off-balance sheet 2,963 59,437 42,825 15,262 3,076 29,003 18,170 26,837 12,385 119,962 24,738 354,658 Total 229,446 422,852 60,187 50,768 341,846 40,959 33,969 56,485 173,003 161,308 44,576 1,615,399 As at 31 December 2019 On-balance sheet: Cash and balances at central banks 7 73 - - 150,178 - - - - - - 150,258 Cash collateral and settlement balances 16,599 55,262 516 64 9,251 536 51 642 - - 335 83,256 Loans and advances at amortised cost 8,788 20,473 8,323 24,403 23,847 5,346 10,031 17,125 154,479 55,232 11,068 339,115 Reverse repurchase agreements and other similar secured lending 1,172 2,134 - - 73 - - - - - - 3,379 Trading portfolio assets 2,872 9,049 2,787 1,053 33,092 2,996 842 3,158 - - 2,268 58,117 Financial assets at fair value through the income statement 10,747 97,849 634 6,909 5,353 45 - 3,569 358 - 127 125,591 Derivative financial instruments 125,323 83,285 2,049 2,273 7,811 3,077 562 1,520 - 2 3,334 229,236 Financial assets at fair value through other comprehensive income 18,596 4,370 - 286 40,763 - - 430 - - 282 64,727 Other assets 897 322 1 5 2 7 2 109 - 18 12 1,375 Total on-balance sheet 185,001 272,817 14,310 34,993 270,370 12,007 11,488 26,553 154,837 55,252 17,426 1,055,054 Off-balance sheet: Contingent liabilities 1,250 8,043 3,549 703 1,981 3,318 1,072 2,831 - 109 1,671 24,527 Loan commitments 1,909 47,815 42,148 14,358 1,704 29,877 14,711 22,932 10,060 124,841 24,100 334,455 Total off-balance sheet 3,159 55,858 45,697 15,061 3,685 33,195 15,783 25,763 10,060 124,950 25,771 358,982 Total 188,160 328,675 60,007 50,054 274,055 45,202 27,271 52,316 164,897 180,202 43,197 1,414,036 |
Balance Sheet credit quality (audited) | Balance sheet credit quality (audited) PD range Total PD range Total 0.0 to <0.60% 0.60 to <11.35% 11.35 to 100% 0.0 to <0.60% 0.60 to <11.35% 11.35 to 100% £m £m £m £m % % % % As at 31 December 2020 Cash and balances at central banks 191,127 - - 191,127 100 - - 100 Cash collateral and settlement balances 90,633 10,725 9 101,367 89 11 - 100 Loans and advances at amortised cost: Home loans 150,748 6,310 2,589 159,647 94 4 2 100 Credit cards, unsecured and other retail lending 15,870 22,427 2,516 40,813 39 55 6 100 Wholesale loans 105,968 31,538 4,666 142,172 75 22 3 100 Total loans and advances at amortised cost 272,586 60,275 9,771 342,632 79 18 3 100 Reverse repurchase agreements and other similar secured lending 9,019 12 - 9,031 100 - - 100 Trading portfolio assets: Debt securities 51,395 4,871 216 56,482 91 9 - 100 Traded loans 704 5,107 2,537 8,348 9 61 30 100 Total trading portfolio assets 52,099 9,978 2,753 64,830 81 15 4 100 Financial assets at fair value through the income statement: Loans and advances 16,467 14,369 43 30,879 53 47 - 100 Debt securities 1,126 521 46 1,693 66 31 3 100 Reverse repurchase agreements 95,376 41,566 674 137,616 70 30 - 100 Other financial assets 330 13 - 343 96 4 - 100 Total financial assets at fair value through the income statement 113,299 56,469 763 170,531 67 33 - 100 Derivative financial instruments 282,617 19,352 477 302,446 94 6 - 100 Financial assets at fair value through other comprehensive income 77,919 8 - 77,927 100 - - 100 Other assets 778 68 4 850 92 8 - 100 Total on-balance sheet 1,090,077 156,887 13,777 1,260,741 87 12 1 100 As at 31 December 2019 Cash and balances at central banks 150,258 - - 150,258 100 - - 100 Cash collateral and settlement balances 73,122 10,134 - 83,256 88 12 - 100 Loans and advances at amortised cost: Home loans 146,269 5,775 2,435 154,479 94 4 2 100 Credit cards, unsecured and other retail lending 20,750 31,425 3,121 55,296 38 56 6 100 Wholesale loans 97,854 28,150 3,336 129,340 75 22 3 100 Total loans and advances at amortised cost 264,873 65,350 8,892 339,115 78 19 3 100 Reverse repurchase agreements and other similar secured lending 3,290 89 - 3,379 97 3 - 100 Trading portfolio assets: Debt securities 49,117 3,479 143 52,739 93 7 - 100 Traded loans 864 3,219 1,295 5,378 16 60 24 100 Total trading portfolio assets 49,981 6,698 1,438 58,117 86 12 2 100 Financial assets at fair value through the income statement: Loans and advances 14,467 7,993 232 22,692 64 35 1 100 Debt securities 4,806 413 30 5,249 91 8 1 100 Reverse repurchase agreements 62,475 34,232 180 96,887 65 35 - 100 Other financial assets 757 6 - 763 99 1 - 100 Total financial assets at fair value through the income statement 82,505 42,644 442 125,591 66 34 - 100 Derivative financial instruments 216,103 13,012 121 229,236 94 6 - 100 Financial assets at fair value through other comprehensive income 64,727 - - 64,727 100 - - 100 Other assets 1,242 133 - 1,375 90 10 - 100 Total on-balance sheet 906,101 138,060 10,893 1,055,054 86 13 1 100 |
Credit risk profile by internal PD band for loans and advances at amortised cost, contingent liabilities and loan commitments (audited) | Credit risk profile by internal PD grade for loans and advances at amortised cost (audited) Gross carrying amount Allowance for ECL Net exposure Coverage ratio Grading PD range Credit quality description Stage 1 Stage 2 Stage 3 Total Stage 1 Stage 2 Stage 3 Total % £m £m £m £m £m £m £m £m £m % As at 31 December 2020 1-3 0.0 to <0.05% Strong 82,312 3,095 - 85,407 6 35 - 41 85,366 - 4-5 0.05 to <0.15% Strong 101,309 9,715 - 111,024 34 25 - 59 110,965 0.1 6-8 0.15 to <0.30% Strong 30,697 6,263 - 36,960 47 64 - 111 36,849 0.3 9-11 0.30 to <0.60% Strong 34,601 5,093 - 39,694 120 168 - 288 39,406 0.7 12-14 0.60 to <2.15% Satisfactory 29,498 8,399 - 37,897 379 593 - 972 36,925 2.6 15-19 2.15 to <10% Satisfactory 8,125 9,136 - 17,261 302 1,283 - 1,585 15,676 9.2 19 10 to <11.35% Satisfactory 3,505 4,437 - 7,942 73 195 - 268 7,674 3.4 20-21 11.35 to <100% Higher Risk 917 4,868 - 5,785 72 1,201 - 1,273 4,512 22.0 22 100% Credit Impaired - - 8,997 8,997 - - 3,738 3,738 5,259 41.5 Total 290,964 51,006 8,997 350,967 1,033 3,564 3,738 8,335 342,632 2.4 As at 31 December 2019 1-3 0.0 to <0.05% Strong 91,993 1,615 - 93,608 13 13 - 26 93,582 - 4-5 0.05 to <0.15% Strong 92,668 7,704 - 100,372 12 12 - 24 100,348 - 6-8 0.15 to <0.30% Strong 29,187 4,444 - 33,631 23 5 - 28 33,603 0.1 9-11 0.30 to <0.60% Strong 34,515 2,932 - 37,447 91 16 - 107 37,340 0.3 12-14 0.60 to <2.15% Satisfactory 35,690 4,341 - 40,031 210 187 - 397 39,634 1.0 15-19 2.15 to <10% Satisfactory 9,041 9,190 - 18,231 232 981 - 1,213 17,018 6.7 19 10 to <11.35% Satisfactory 5,235 3,629 - 8,864 62 104 - 166 8,698 1.9 20-21 11.35 to <100% Higher Risk 937 4,379 - 5,316 64 1,055 - 1,119 4,197 21.0 22 100% Credit Impaired - - 7,923 7,923 - - 3,228 3,228 4,695 40.7 Total 299,266 38,234 7,923 345,423 707 2,373 3,228 6,308 339,115 1.8 Credit risk profile by internal PD grade for contingent liabilities (audited) a Gross carrying amount Allowance for ECL Net exposure Coverage ratio Grading PD range Credit quality description Stage 1 Stage 2 Stage 3 Total Stage 1 Stage 2 Stage 3 Total % £m £m £m £m £m £m £m £m £m % As at 31 December 2020 1-3 0.0 to <0.05% Strong 6,178 189 - 6,367 1 - - 1 6,366 - 4-5 0.05 to <0.15% Strong 2,765 428 - 3,193 3 2 - 5 3,188 0.2 6-8 0.15 to <0.30% Strong 1,468 165 - 1,633 3 3 - 6 1,627 0.4 9-11 0.30 to <0.60% Strong 3,524 552 - 4,076 5 33 - 38 4,038 0.9 12-14 0.60 to <2.15% Satisfactory 2,712 546 - 3,258 8 25 - 33 3,225 1.0 15-19 2.15 to <10% Satisfactory 305 398 - 703 7 21 - 28 675 4.0 19 10 to <11.35% Satisfactory 264 423 - 687 17 83 - 100 587 14.6 20-21 11.35 to <100% Higher Risk 40 769 - 809 - 61 - 61 748 7.5 22 100% Credit Impaired - - 654 654 - - 10 10 644 1.5 Total 17,256 3,470 654 21,380 44 228 10 282 21,098 1.3 As at 31 December 2019 1-3 0.0 to <0.05% Strong 6,947 118 - 7,065 3 - - 3 7,062 - 4-5 0.05 to <0.15% Strong 4,199 40 - 4,239 1 - - 1 4,238 - 6-8 0.15 to <0.30% Strong 2,953 103 - 3,056 1 - - 1 3,055 - 9-11 0.30 to <0.60% Strong 4,551 136 - 4,687 2 2 - 4 4,683 0.1 12-14 0.60 to <2.15% Satisfactory 2,529 654 - 3,183 7 8 - 15 3,168 0.5 15-19 2.15 to <10% Satisfactory 663 244 - 907 4 8 - 12 895 1.3 19 10 to <11.35% Satisfactory 421 172 - 593 9 9 - 18 575 3.0 20-21 11.35 to <100% Higher Risk 117 282 - 399 - 30 - 30 369 7.5 22 100% Credit Impaired - - 355 355 - - 5 5 350 1.4 Total 22,380 1,749 355 24,484 27 57 5 89 24,395 0.4 Credit risk profile by internal PD grade for loan commitments (audited) a Gross carrying amount Allowance for ECL Net exposure Coverage ratio Grading PD range Credit quality description Stage 1 Stage 2 Stage 3 Total Stage 1 Stage 2 Stage 3 Total % £m £m £m £m £m £m £m £m £m % As at 31 December 2020 1-3 0.0 to <0.05% Strong 60,525 5,525 - 66,050 4 2 - 6 66,044 - 4-5 0.05 to <0.15% Strong 74,860 6,322 - 81,182 12 16 - 28 81,154 - 6-8 0.15 to <0.30% Strong 51,255 6,719 - 57,974 17 47 - 64 57,910 0.1 9-11 0.30 to <0.60% Strong 43,650 6,950 - 50,600 17 72 - 89 50,511 0.2 12-14 0.60 to <2.15% Satisfactory 30,994 9,908 - 40,902 119 131 - 250 40,652 0.6 15-19 2.15 to <10% Satisfactory 5,702 4,971 - 10,673 27 113 - 140 10,533 1.3 19 10 to <11.35% Satisfactory 4,886 5,129 - 10,015 11 25 - 36 9,979 0.4 20-21 11.35 to <100% Higher Risk 811 3,897 - 4,708 5 124 - 129 4,579 2.7 22 100% Credit Impaired - - 1,676 1,676 - - 40 40 1,636 2.4 Total 272,683 49,421 1,676 323,780 212 530 40 782 322,998 0.2 As at 31 December 2019 1-3 0.0 to <0.05% Strong 85,908 1,025 - 86,933 2 1 - 3 86,930 - 4-5 0.05 to <0.15% Strong 70,112 1,889 - 72,001 5 1 - 6 71,995 - 6-8 0.15 to <0.30% Strong 53,340 1,019 - 54,359 8 1 - 9 54,350 - 9-11 0.30 to <0.60% Strong 44,097 1,592 - 45,689 13 1 - 14 45,675 - 12-14 0.60 to <2.15% Satisfactory 36,112 3,955 - 40,067 30 26 - 56 40,011 0.1 15-19 2.15 to <10% Satisfactory 4,913 3,857 - 8,770 8 55 - 63 8,707 0.7 19 10 to <11.35% Satisfactory 3,662 2,106 - 5,768 4 7 - 11 5,757 0.2 20-21 11.35 to <100% Higher Risk 616 1,993 - 2,609 - 21 - 21 2,588 0.8 22 100% Credit Impaired - - 580 580 - - 50 50 530 8.6 Total 298,760 17,436 580 316,776 70 113 50 233 316,543 0.1 Note a E xcludes loan commitments and financial guarantees of £ 9.5 bn (2019: £ 17.7 bn ) carried at fair value . |
Derivative assets (audited) | Derivative assets (audited) 2020 2019 Balance sheet assets Counterparty netting Net exposure Balance sheet assets Counterparty netting Net exposure As at 31 December £m £m £m £m £m £m Foreign exchange 85,115 68,108 17,007 56,606 44,284 12,322 Interest rate 172,334 128,072 44,262 142,468 106,589 35,879 Credit derivatives 4,605 3,584 1,021 8,215 6,589 1,626 Equity and stock index 38,972 32,183 6,789 20,806 17,517 3,289 Commodity derivatives 1,420 1,133 287 1,141 1,019 122 Total derivative assets 302,446 233,080 69,366 229,236 175,998 53,238 Cash collateral held 43,291 33,411 Net exposure less collateral 26,075 19,827 |
Management Value at Risk (audited) | Management VaR (95%, one day) (audited) 2020 2019 Average High a Low a Average High a Low a For the year ended 31 December £m £m £m £m £m £m Credit risk 20 38 10 12 17 8 Interest rate risk 10 17 6 6 11 3 Equity risk 13 35 6 10 22 5 Basis risk 10 16 7 8 11 6 Spread risk 5 9 3 4 5 3 Foreign exchange risk 5 7 2 3 5 2 Commodity risk 1 1 - 1 2 - Inflation risk 2 3 1 2 3 1 Diversification effect a (34) n/a n/a (23) n/a n/a Total management VaR 32 57 18 23 29 17 |
Deposit funding (audited) | Deposit funding (audited) 2020 2019 Funding of loans and advances Loans and advances at amortised cost Deposits at amortised cost Loan: deposit ratio a Loan: deposit ratio As at 31 December 2020 £bn £bn % % Barclays UK 214 240 89% 96% Barclays International 123 241 51% 63% Head Office 6 - Barclays Group 343 481 71% 82% Note a The loan: deposit ratio is calculated as loans and advances at amortised cost di vided by deposits at amortised cost. |
Contractual maturity of financial assets and liabilities (audited) | Contractual maturity of financial assets and liabilities (audited) As at 31 December 2020 On demand Not more than three months Over three months but not more than six months Over six months but not more than nine months Over nine months but not more than one year Over one year but not more than two years Over two years but not more than three years Over three years but not more than five years Over five years but not more than ten years Over ten years Total £m £m £m £m £m £m £m £m £m £m £m Assets Cash and balances at central banks 190,347 182 598 - - - - - - - 191,127 Cash collateral and settlement balances 1,177 100,190 - - - - - - - - 101,367 Loans and advances at amortised cost 14,098 11,970 8,388 4,956 5,234 25,392 22,133 36,286 47,944 166,231 342,632 Reverse repurchase agreements and other similar secured lending 150 8,698 - - - - 183 - - - 9,031 Trading portfolio assets 127,950 - - - - - - - - - 127,950 Financial assets at fair value through the income statement 17,377 123,044 7,548 6,960 4,151 4,911 1,346 2,431 2,345 5,038 175,151 Derivative financial instruments 301,880 23 - - - 70 55 310 87 21 302,446 Financial assets at fair value through other comprehensive income - 9,655 3,517 1,393 948 6,469 5,566 17,552 24,450 9,138 78,688 Other financial assets 357 451 19 22 - 1 - - - - 850 Total financial assets 653,336 254,213 20,070 13,331 10,333 36,843 29,283 56,579 74,826 180,428 1,329,242 Other assets 20,272 Total assets 1,349,514 Liabilities Deposits at amortised cost 410,894 41,468 15,886 5,073 3,082 2,264 625 601 764 379 481,036 Cash collateral and settlement balances 1,900 83,523 - - - - - - - - 85,423 Repurchase agreements and other similar secured borrowing 4 3,276 - - - 1,400 2,329 7,073 - 92 14,174 Debt securities in issue - 16,344 4,048 5,100 1,937 5,780 10,402 13,608 12,721 5,856 75,796 Subordinated liabilities - 1,589 3,209 294 - 2,192 14 989 6,915 1,139 16,341 Trading portfolio liabilities 47,405 - - - - - - - - - 47,405 Financial liabilities designated at fair value 15,555 172,153 8,677 5,067 2,938 8,594 6,939 8,580 8,344 12,918 249,765 Derivative financial instruments 299,795 1 49 - - 79 67 185 196 403 300,775 Other financial liabilities 101 2,915 49 46 45 738 156 273 436 210 4,969 Total financial liabilities 775,654 321,269 31,918 15,580 8,002 21,047 20,532 31,309 29,376 20,997 1,275,684 Other liabilities 6,948 Total liabilities 1,282,632 Cumulative liquidity gap (122,318) (189,374) (201,222) (203,471) (201,140) (185,344) (176,593) (151,323) (105,873) 53,558 66,882 Contractual maturity of financial assets and liabilities (audited) As at 31 December 2019 On demand Not more than three months Over three months but not more than six months Over six months but not more than nine months Over nine months but not more than one year Over one year but not more than two years Over two years but not more than three years Over three years but not more than five years Over five years but not more than ten years Over ten years Total £m £m £m £m £m £m £m £m £m £m £m Assets Cash and balances at central banks 149,383 766 109 - - - - - - - 150,258 Cash collateral and settlement balances 2,022 81,231 3 - - - - - - - 83,256 Loans and advances at amortised cost 14,824 10,944 13,108 7,738 7,031 21,771 22,478 37,408 40,702 163,111 339,115 Reverse repurchase agreements and other similar secured lending 13 3,097 - - - 77 190 - - 2 3,379 Trading portfolio assets 114,195 - - - - - - - - - 114,195 Financial assets at fair value through the income statement 14,279 89,355 13,979 3,443 1,317 1,664 512 953 2,302 5,282 133,086 Derivative financial instruments 229,063 30 - - - 7 24 9 79 24 229,236 Financial assets at fair value through other comprehensive income - 6,694 3,241 1,164 1,159 7,711 6,521 11,896 21,195 6,169 65,750 Other financial assets 895 441 25 - 14 - - - - - 1,375 Total financial assets 524,674 192,558 30,465 12,345 9,521 31,230 29,725 50,266 64,278 174,588 1,119,650 Other assets 20,579 Total assets 1,140,229 Liabilities Deposits at amortised cost 348,337 42,357 10,671 3,861 4,067 3,935 930 530 545 554 415,787 Cash collateral and settlement balances 3,053 64,275 13 - - - - - - - 67,341 Repurchase agreements and other similar secured borrowing 7 2,755 10 - - 10,007 1,201 470 - 67 14,517 Debt securities in issue - 12,795 6,560 4,147 3,123 8,387 3,325 18,189 14,342 5,501 76,369 Subordinated liabilities - 207 78 75 832 4,979 3,266 1,075 5,979 1,665 18,156 Trading portfolio liabilities 36,916 - - - - - - - - - 36,916 Financial liabilities designated at fair value 13,952 127,939 10,890 6,519 3,798 6,981 6,235 7,706 7,127 13,179 204,326 Derivative financial instruments 228,617 1 - 8 - 36 42 42 88 370 229,204 Other financial liabilities 251 2,361 55 52 50 1,110 138 242 351 409 5,019 Total financial liabilities 631,133 252,690 28,277 14,662 11,870 35,435 15,137 28,254 28,432 21,745 1,067,635 Other liabilities 6,934 Total liabilities 1,074,569 Cumulative liquidity gap (106,459) (166,591) (164,403) (166,720) (169,069) (173,274) (158,686) (136,674) (100,828) 52,015 65,660 |
Contractual maturity of financial liabilities - undiscounted (audited) | Contractual maturity of financial liabilities - undiscounted (audited) On demand Not more than three months Over three months but not more than six months Over six months but not more than one year Over one year but not more than three years Over three years but not more than five years Over five years but not more than ten years Over ten years Total £m £m £m £m £m £m £m £m £m As at 31 December 2020 Deposits at amortised cost 410,894 41,468 15,886 8,156 2,893 599 768 385 481,049 Cash collateral and settlement balances 1,900 83,523 - - - - - - 85,423 Repurchase agreements and other similar secured borrowing 4 3,276 - - 3,729 7,089 - 154 14,252 Debt securities in issue - 16,368 4,058 7,061 16,684 14,715 14,882 9,852 83,620 Subordinated liabilities - 1,597 3,328 311 2,498 1,152 8,578 1,587 19,051 Trading portfolio liabilities 47,405 - - - - - - - 47,405 Financial liabilities designated at fair value 15,555 172,186 8,683 8,007 15,604 8,586 8,369 20,835 257,825 Derivative financial instruments 299,795 1 49 - 147 187 204 443 300,826 Other financial liabilities 101 2,929 62 116 981 338 557 248 5,332 Total financial liabilities 775,654 321,348 32,066 23,651 42,536 32,666 33,358 33,504 1,294,783 As at 31 December 2019 Deposits at amortised cost 348,337 42,369 10,682 7,946 4,869 532 554 595 415,884 Cash collateral and settlement balances 3,053 64,297 13 - - - - - 67,363 Repurchase agreements and other similar secured borrowing 7 2,758 10 - 11,300 485 - 149 14,709 Debt securities in issue - 12,850 6,589 7,305 12,330 19,132 16,657 9,398 84,261 Subordinated liabilities - 207 78 950 9,822 1,286 7,192 3,025 22,560 Trading portfolio liabilities 36,916 - - - - - - - 36,916 Financial liabilities designated at fair value 13,952 128,064 11,020 10,609 13,507 8,054 7,519 19,392 212,117 Derivative financial instruments 228,617 2 - 8 80 45 99 378 229,229 Other financial liabilities 251 2,372 65 126 1,337 351 565 448 5,515 Total financial liabilities 631,133 252,919 28,457 26,944 53,245 29,885 32,586 33,385 1,088,554 |
Maturity analysis of off-balance sheet commitments received (audited) | Maturity analysis of off-balance sheet commitments received (audited) On demand Not more than three months Over three months but not more than six months Over six months but not more than nine months Over nine months but not more than one year Over one year but not more than two years Over two years but not more than three years Over three years but not more than five years Over five years but not more than ten years Over ten years Total £m £m £m £m £m £m £m £m £m £m £m As at 31 December 2020 Guarantees, letters of credit and credit insurance 26,368 86 37 68 8 18 14 47 40 25 26,711 Other commitments received 92 - - - - - - - - - 92 Total off-balance sheet commitments received 26,460 86 37 68 8 18 14 47 40 25 26,803 As at 31 December 2019 Guarantees, letters of credit and credit insurance 13,091 106 22 81 - 11 12 21 12 34 13,390 Other commitments received 91 - - - - - - - - - 91 Total off-balance sheet commitments received 13,182 106 22 81 - 11 12 21 12 34 13,481 |
Maturity analysis of off-balance sheet commitments given (audited) | Maturity analysis of off-balance sheet commitments given (audited) On demand Not more than three months Over three months but not more than six months Over six months but not more than nine months Over nine months but not more than one year Over one year but not more than two years Over two years but not more than three years Over three years but not more than five years Over five years but not more than ten years Over ten years Total £m £m £m £m £m £m £m £m £m £m £m As at 31 December 2020 Contingent liabilities 21,307 213 57 6 1 25 - - - - 21,609 Documentary credits and other short-term trade related transactions 1,084 1 1 - - - - - - - 1,086 Standby facilities, credit lines and other commitments 330,499 564 93 123 95 160 199 202 21 7 331,963 Total off-balance sheet commitments given 352,890 778 151 129 96 185 199 202 21 7 354,658 As at 31 December 2019 Contingent liabilities 23,586 366 86 125 140 143 42 28 3 8 24,527 Documentary credits and other short-term trade related transactions 1,287 3 1 - - - - - - - 1,291 Standby facilities, credit lines and other commitments 328,623 1,133 792 973 639 269 98 273 139 225 333,164 Total off-balance sheet commitments given 353,496 1,502 879 1,098 779 412 140 301 142 233 358,982 |
Captial resources (audited) | Capital ratios a,b,c As at 31 December 2020 2019 CET1 15.1% 13.8% Tier 1 (T1) 19.0% 17.7% Total regulatory capital 22.1% 21.6% Capital resources (audited) 2020 2019 As at 31 December £m £m Total equity excluding non-controlling interests per the balance sheet 65,797 64,429 Less: other equity instruments (recognised as AT1 capital) (11,172) (10,871) Adjustment to retained earnings for foreseeable dividends and other equity coupons (204) (1,096) Other regulatory adjustments and deductions Additional value adjustments (PVA) (1,146) (1,746) Goodwill and intangible assets (6,914) (8,109) Deferred tax assets that rely on future profitability excluding temporary differences (595) (479) Fair value reserves related to gains or losses on cash flow hedges (1,575) (1,002) Gains or losses on liabilities at fair value resulting from own credit 870 260 Defined benefit pension fund assets (1,326) (1,594) Direct and indirect holdings by an institution of own CET1 instruments (50) (50) Adjustment under IFRS 9 transitional arrangements 2,556 1,126 Other regulatory adjustments 55 (55) CET1 capital 46,296 40,813 AT1 capital Capital instruments and related share premium accounts 11,172 10,871 Qualifying AT1 capital (including minority interests) issued by subsidiaries 646 687 Other regulatory adjustments and deductions (80) (130) AT1 capital 11,738 11,428 T1 capital 58,034 52,241 T2 capital Capital instruments and related share premium accounts 7,836 7,650 Qualifying T2 capital (including minority interests) issued by subsidiaries 1,893 3,984 Credit risk adjustments (excess of impairment over expected losses) 57 16 Other regulatory adjustments and deductions (160) (250) Total regulatory capital 67,660 63,641 |
Functional currency of the operation (audited) | Functional currency of operations (audited) Foreign currency net investments Borrowings which hedge the net investments Derivatives which hedge the net investments Structural currency exposures pre-economic hedges Economic hedges Remaining structural currency exposures £m £m £m £m £m £m As at 31 December 2020 USD 24,204 (7,666) (764) 15,774 (6,193) 9,581 EUR 5,275 (952) (3) 4,320 (286) 4,034 JPY 582 - - 582 - 582 Other currencies 2,020 (42) (24) 1,954 - 1,954 Total 32,081 (8,660) (791) 22,630 (6,479) 16,151 As at 31 December 2019 USD 25,607 (10,048) (1,111) 14,448 (5,339) 9,109 EUR 3,068 (3) - 3,065 (1,122) 1,943 JPY 533 - - 533 - 533 Other currencies 2,001 - (34) 1,967 - 1,967 Total 31,209 (10,051) (1,145) 20,013 (6,461) 13,552 |
Net interest income sensitivity (AEaR) by business unit and Analysis of equity sensivity (audited) | Net interest income sensitivity (AEaR) by business unit a (audited) Barclays UK Barclays International Head Office Total £m £m £m £m As at 31 December 2020 +25bps 10 86 4 100 -25bps (141) (263) (4) (408) As at 31 December 2019 +25bps 16 25 4 45 -25bps (57) (74) (4) (135) Net interest income sensitivity (AEaR) by currency (audited) 2020 2019 +25 basis points -25 basis points +25 basis points -25 basis points As at 31 December £m £m £m £m GBP 48 (313) 38 (93) USD 48 (63) 29 (32) EUR 10 (34) (10) (20) Other currencies (6) 2 (12) 10 Total 100 (408) 45 (135) Analysis of equity sensitivity (audited) 2020 2019 +25 basis points -25 basis points +25 basis points -25 basis points As at 31 December £m £m £m £m Net interest income 100 (408) 45 (135) Taxation effects on the above (27) 110 (11) 34 Effect on profit for the year 73 (298) 34 (101) As percentage of net profit after tax 3.0% (12.1%) 1.0% (3.0%) Effect on profit for the year (per above) 73 (298) 34 (101) Fair value through other comprehensive income reserve (437) 453 (321) 329 Cash flow hedge reserve (570) 570 (534) 534 Taxation effects on the above 272 (276) 214 (216) Effect on equity (662) 449 (608) 546 As percentage of equity (1.0%) 0.7% (0.9%) 0.8% |