# Barclays PLC Pillar 3
30 September 2019

## Table of Contents

### Summary
- KM1 - Key Metrics 2
- IFRS 9 Introduction 3
- IFRS 9-FL: Comparison of with and without the IFRS9 transitional arrangements 4

### Risk Weighted Assets
- Risk weighted assets (RWAs) by risk type and business 5
- Movement analysis of RWAs 5
- CR8 - RWA flow statement of credit risk exposures under the advanced IRB approach 6
- CCR7 - RWA flow statement of counterparty credit risk exposures under the IMM 7
- MR2-B - RWA flow statement of market risk exposures under the IMA 7
- OV1 - Overview of risk weighted assets and capital requirements 8

### Leverage
- Leverage Introduction 9
- Summary reconciliation of accounting assets and leverage ratio exposures 9
- Leverage ratio common disclosure 10

### Minimum requirement for own funds and eligible liabilities(MREL)
- MREL Introduction 11
- KM2 - Key metrics – TLAC requirements (at resolution group level) 11

### Liquidity
- Liquidity coverage ratio (period end) 12
- LIQ1 – Liquidity coverage ratio (average) 12

### Notes
- Forward looking statement 13

---

## Summary

### KM1 - Key Metrics

| Available capital (amounts) | As at 30.09.19 £m | As at 30.06.19 £m | As at 31.03.19 £m | As at 31.12.18 £m | As at 30.09.18 £m |
| :--- | :--- | :--- | :--- | :--- | :--- |
| 1 Common Equity Tier 1 (CET1)$^1$ | 41,875 | 42,888 | 41,437 | 41,100 | 41,744 |
| 1a Fully loaded Expected Credit Loss (ECL) accounting model$^2$ | 40,742 | 41,704 | 40,268 | 39,815 | 40,458 |
| 2 Tier 1$^3$ | 53,366 | 55,592 | 54,724 | 52,998 | 55,202 |
| 2a Fully loaded ECL accounting model Tier 1$^4$ | 51,472 | 53,697 | 51,257 | 49,317 | 51,171 |
| 3 Total capital$^3$ | 66,095 | 68,330 | 66,549 | 64,594 | 67,195 |
| 3a Fully loaded ECL accounting model total capital$^4$ | 62,434 | 64,681 | 63,485 | 61,848 | 64,519 |
| **Risk-weighted assets (amounts)** | | | | | |
| 4 Total risk-weighted assets (RWA)$^1$ | 313,261 | 319,107 | 319,671 | 311,926 | 316,167 |
| 4a Fully loaded ECL accounting model total risk-weighted assets (RWA)$^2$ | 313,147 | 318,993 | 319,556 | 311,798 | 316,039 |
| **Risk-based capital ratios as a percentage of RWA** | | | | | |
| 5 Common Equity Tier 1 ratio (%) | 13.4% | 13.4% | 13.0% | 13.2% | 13.2% |
| 5a Fully loaded ECL accounting model Common Equity Tier 1 (%) | 13.0% | 13.1% | 12.6% | 12.8% | 12.8% |
| 6 Tier 1 ratio (%) | 17.0% | 17.4% | 17.1% | 17.0% | 17.5% |
| 6a Fully loaded ECL accounting model Tier 1 ratio (%) | 16.4% | 16.8% | 16.0% | 15.8% | 16.2% |
| 7 Total capital ratio (%) | 21.1% | 21.4% | 20.8% | 20.7% | 21.3% |
| 7a Fully loaded ECL accounting model total capital ratio (%) | 19.9% | 20.3% | 19.9% | 19.8% | 20.4% |
| **Additional CET1 buffer requirements as a percentage of RWA** | | | | | |
| 8 Capital conservation buffer requirement (%) | 2.5% | 2.5% | 2.5% | 1.9% | 1.9% |
| 9 Countercyclical buffer requirement (%) | 0.5% | 0.5% | 0.5% | 0.5% | 0.3% |
| 10 Bank G-SIB and/or D-SIB additional requirements (%) | 1.5% | 1.5% | 1.5% | 1.1% | 1.1% |
| 11 Total of bank CET1 specific buffer requirements (%) (row 8 + 9 + 10) | 4.5% | 4.5% | 4.5% | 3.5% | 3.3% |
| 12 CET1 available after meeting the bank’s minimum capital requirements (%) | 8.9% | 8.9% | 8.5% | 8.7% | 8.7% |
| **CRR leverage ratio$^5,6$** | | | | | |
| 13 Total CRR leverage ratio exposure measure | 1,235,079 | 1,213,800 | 1,205,303 | 1,142,520 | 1,191,085 |
| 14 Fully loaded CRR leverage ratio (%) | 4.2% | 4.4% | 4.3% | 4.3% | 4.3% |
| **Average UK leverage ratio (Transitional)$^{7,8,9}$** | | | | | |
| 13a Total average UK leverage ratio exposure measure | 1,171,152 | 1,134,589 | 1,105,518 | 1,109,988 | 1,119,044 |
| 14a Transitional average UK leverage ratio (%) | 4.6% | 4.7% | 4.6% | 4.5% | 4.6% |
| **UK leverage ratio (Transitional)$^{6,7,8}$** | | | | | |
| 13b Total UK leverage ratio exposure measure | 1,099,815 | 1,079,416 | 1,064,959 | 998,556 | 1,063,472 |
| 14b Transitional UK leverage ratio (%) | 4.8% | 5.1% | 4.9% | 5.1% | 4.9% |
| **Liquidity Coverage Ratio** | | | | | |
| 15 Total HQLA | 225,556 | 232,098 | 225,850 | 218,766 | 210,681 |
| 16 Total net cash outflows | 148,895 | 148,669 | 141,515 | 129,172 | 130,925 |
| 17 LCR ratio (%) | 151% | 156% | 160% | 169% | 161% |

$^1$ CET1 capital and RWAs are calculated applying the IFRS9 transitional arrangements of the CRR as amended by CRR II applicable as at the reporting date.
$^2$ Fully loaded CET1 capital and RWAs are calculated without applying the transitional arrangements of the CRR as amended by CRR II applicable as at the reporting date.
$^3$ Transitional Tier 1 and Total capital include AT1 and T2 capital that is calculated applying the grandfathering of CRR and CRR II non-compliant capital instruments.
$^4$ Fully loaded Tier 1 and Total capital include AT1 and T2 capital that is calculated without applying the grandfathering of CRR and CRR II non-compliant capital instruments.
$^5$ Fully loaded CRR leverage ratio is calculated without applying the transitional arrangements of the CRR as amended by CRR II applicable as at the reporting date.
$^6$ The difference between CRR leverage ratio and UK leverage ratio is primarily driven by the exclusion of qualifying central bank claims from the UK leverage exposure.
$^7$ Transitional UK leverage ratios are calculated applying the IFRS 9 transitional arrangements and in line with the PRA Handbook.
$^8$ Fully loaded average UK leverage ratio was 4.5%, with £1,170bn of leverage exposure. Fully loaded UK leverage ratio was 4.7%, with £1,099bn of leverage exposure. Fully loaded UK leverage ratios are calculated without applying the transitional arrangements of the PRA Handbook.
$^9$ Average UK leverage ratio uses capital based on the last day of each month in the quarter and an exposure measure for each day in the quarter.

The Group’s CET1 ratio increased to 13.4% (December 2018: 13.2%). This increase was primarily driven by a reduction in the Group’s RWAs due to the removal of the operational risk floor effective from 30 September 2019.
- CET1 capital increased by £0.8bn to £41.9bn. This was driven by underlying profit generation of £4.0bn partially offset by dividends paid and foreseen of £1.8bn, the additional provision for PPI of £1.4bn in Q319, pension deficit reduction contribution payments of £0.5bn and a loss on the redemption of Additional Tier 1 (AT1) securities of £0.4bn
- RWAs increased by £1.4bn to £313.3bn primarily driven by an increase in CIB, offset by the reduction in the Group’s operational risk RWAs

## Capital

### IFRS 9
On 1 January 2018, IFRS9 transitional capital arrangements were implemented by Regulation (EU) 2017/2395. Barclays elected to apply the transitional arrangements at both consolidated and individual entity levels and will disclose both transitional and fully loaded CET1 ratios until the end of the transitional period. The transitional benefit is phased out over a 5-year period with 95% applicable for 2018; 85% for 2019; 70% for 2020; 50% for 2021; 25% for 2022 and with no transitional benefit from 2023.

The transitional arrangements, implemented under a modified static approach, allow for transitional relief on the “day 1” impact on adoption of IFRS 9 (static element) and for the increase between “day 1” and the reporting date (modified element), subject to eligibility. For the static element, stage 1, stage 2 and stage 3 provisions are eligible for transition, whereas for the modified element, stage 3 provisions are excluded.

Separate calculations are performed for standardised and advanced IRB portfolios, reflecting the different ways these frameworks take account of provisions. Under the standardised approach, increases in provisions for both the static and modified elements are eligible for transition. Under the advanced approach, for both the static and modified elements, provisions are only eligible for transitional relief to the extent that they exceed regulatory expected loss.

Total increases in impairment allowances as a result of IFRS 9, net of tax, decreases shareholders’ equity through retained earnings. This is somewhat mitigated by the transitional relief applied on eligible impairment.

For regulatory Internal Ratings Based (IRB) exposures, the calculation of capital takes account of the expected loss via a comparison with the impairment allowances. Where regulatory expected losses exceed impairment allowances, the shortfall is deducted from CET1 capital. Where the impairment allowance is higher than expected loss, the excess is added back to tier 2 capital and capped at an amount of 0.6% of IRB RWAs.

The DTAs created from the increase of impairment are also accounted for in the CET1 ratio. When DTAs arising from temporary differences are above the 10% CET1 capital threshold, any excess above the threshold is deducted and those below the threshold are risk weighted at 250% up to the point they reach threshold.

Standardised RWAs decrease due to the increase in impairment being offset against the Standardised Credit Risk exposures.

### IFRS9-FL: Comparison of institutions’ own funds and capital and leverage ratios with and without the application of transitional arrangements for IFRS 9 or analogous ECLs

| | As at 30.09.19 £m | As at 30.06.19 £m | As at 31.03.19 £m | As at 31.12.18 £m | As at 30.09.18 £m |
| :--- | :--- | :--- | :--- | :--- | :--- |
| **Available capital (amounts)** | | | | | |
| 1 Common Equity Tier 1 (CET1) capital$^1$ | 41,875 | 42,888 | 41,437 | 41,100 | 41,744 |
| 2 Common Equity Tier 1 (CET1) capital as if IFRS 9 or analogous ECLs transitional arrangements had not been applied | 40,742 | 41,704 | 40,268 | 39,815 | 40,458 |
| 3 Tier 1 capital$^2$ | 53,366 | 55,592 | 54,724 | 52,998 | 55,202 |
| 4 Tier 1 capital as if IFRS 9 or analogous ECLs transitional arrangements had not been applied | 52,233 | 54,408 | 53,555 | 51,713 | 53,916 |
| 5 Total capital$^2$ | 66,095 | 68,330 | 66,549 | 64,594 | 67,195 |
| 6 Total capital as if IFRS 9 or analogous ECLs transitional arrangements had not been applied | 65,084 | 67,333 | 65,548 | 63,468 | 65,972 |
| **Risk-weighted assets (amounts)** | | | | | |
| 7 Total risk-weighted assets$^1$ | 313,261 | 319,107 | 319,671 | 311,926 | 316,167 |
| 8 Total risk-weighted assets as if IFRS 9 or analogous ECLs transitional arrangements had not been applied | 313,147 | 318,993 | 319,556 | 311,798 | 316,039 |
| **Capital ratios** | | | | | |
| 9 Common Equity Tier 1 (as a percentage of risk exposure amount) | 13.4% | 13.4% | 13.0% | 13.2% | 13.2% |
| 10 Common Equity Tier 1 (as a percentage of risk exposure amount) as if IFRS 9 or analogous ECLs transitional arrangements had not been applied | 13.0% | 13.1% | 12.6% | 12.8% | 12.8% |
| 11 Tier 1 (as a percentage of risk exposure amount) | 17.0% | 17.4% | 17.1% | 17.0% | 17.5% |
| 12 Tier 1 (as a percentage of risk exposure amount) as if IFRS 9 or analogous ECLs transitional arrangements had not been applied | 16.7% | 17.1% | 16.8% | 16.6% | 17.1% |
| 13 Total capital (as a percentage of risk exposure amount) | 21.1% | 21.4% | 20.8% | 20.7% | 21.3% |
| 14 Total capital (as a percentage of risk exposure amount) as if IFRS 9 or analogous ECLs transitional arrangements had not been applied | 20.8% | 21.1% | 20.5% | 20.4% | 20.9% |
| **Leverage ratio** | | | | | |
| 15 Leverage ratio total exposure measure | 1,235,079 | 1,213,800 | 1,205,303 | 1,142,520 | 1,191,085 |
| 16 Leverage ratio$^3$ | 4.2% | 4.4% | 4.3% | 4.3% | 4.3% |
| 17 Leverage ratio as if IFRS 9 or analogous ECLs transitional arrangements had not been applied | 4.2% | 4.4% | 4.3% | 4.3% | 4.3% |

$^1$ Transitional CET1 capital and RWAs are calculated applying the IFRS9 transitional arrangements of the CRR as amended by CRR II applicable as at the reporting date.
$^2$ Transitional T1 and Total capital are calculated applying the transitional arrangements of the CRR as amended by CRR II applicable as at the reporting date. This includes the grandfathering of CRR and CRR II non-compliant capital instruments and IFRS 9 transitional arrangements.
$^3$ Leverage ratio is calculated applying the fully loaded treatment of the CRR as amended by CRR II applicable as at the reporting date.

## Risk weighted assets

### Risk weighted assets (RWAs) by risk type and business

| | Credit risk Std £m | Credit risk IRB £m | Counterparty credit risk Std £m | Counterparty credit risk IRB £m | Settlement risk £m | CVA £m | Market risk Std £m | Market risk IMA £m | Operational risk £m | Total RWAs £m |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| **As at 30.09.19** | | | | | | | | | | |
| Barclays UK | 4,125 | 60,409 | 273 | - | - | 31 | 145 | - | 11,809 | 76,792 |
| Corporate and Investment Bank | 27,395 | 69,296 | 12,913 | 17,378 | 140 | 3,924 | 15,641 | 16,591 | 21,571 | 184,849 |
| Consumer, Cards and Payments | 28,274 | 2,447 | 55 | 34 | - | 7 | - | 125 | 7,260 | 38,202 |
| Barclays International | 55,669 | 71,743 | 12,968 | 17,412 | 140 | 3,931 | 15,641 | 16,716 | 28,831 | 223,051 |
| Head Office | 5,258 | 6,310 | 3 | - | - | 26 | - | 1 | 1,820 | 13,418 |
| **Barclays Group** | 65,052 | 138,462 | 13,244 | 17,412 | 140 | 3,988 | 15,786 | 16,717 | 42,460 | 313,261 |
| **As at 31.12.18** | | | | | | | | | | |
| Barclays UK | 3,285 | 59,734 | 229 | - | - | 35 | 63 | - | 11,835 | 75,181 |
| Corporate and Investment Bank | 26,073 | 64,704 | 9,786 | 14,979 | 170 | 3,324 | 13,913 | 16,217 | 21,737 | 170,903 |
| Consumer, Cards and Payments | 29,518 | 2,251 | 101 | 70 | - | 19 | - | 628 | 7,252 | 39,839 |
| Barclays International | 55,591 | 66,955 | 9,887 | 15,049 | 170 | 3,343 | 13,913 | 16,845 | 28,989 | 210,742 |
| Head Office | 4,339 | 5,777 | 7 | 13 | - | 31 | - | - | 15,836 | 26,003 |
| **Barclays Group** | 63,215 | 132,466 | 10,123 | 15,062 | 170 | 3,409 | 13,976 | 16,845 | 56,660 | 311,926 |

### Movement analysis of risk weighted assets

| | Credit Risk £bn | Counterparty Credit Risk £bn | Market Risk £bn | Operational Risk £bn | Total £bn |
| :--- | :--- | :--- | :--- | :--- | :--- |
| **As at 01.01.19** | 195.6 | 28.8 | 30.8 | 56.7 | 311.9 |
| Book size | 4.2 | 6.1 | (0.3) | - | 10.0 |
| Acquisitions and disposals | (0.2) | - | - | - | (0.2) |
| Book quality | (1.2) | (0.2) | - | - | (1.4) |
| Model updates | 0.8 | 0.5 | - | - | 1.3 |
| Methodology and policy | 2.1 | (0.4) | 2.0 | (14.2) | (10.5) |
| Foreign exchange movement$^1$ | 2.2 | - | - | - | 2.2 |
| **As at 30.09.19** | 203.5 | 34.8 | 32.5 | 42.5 | 313.3 |

$^1$ Foreign exchange movements does not include foreign exchange for counterparty credit risk or market risk.

RWAs increased £1.4bn to £313.3bn:
- ‘Book size’ increased RWAs £10.0bn primarily driven by increased CIB activity
- ‘Book quality’ decreased RWAs £1.4bn primarily due to changes in risk profile within Barclays International
- ‘Model updates’ increased £1.3bn primarily due to the recalibration of modelled wholesale RWAs
- ‘Methodology and policy’ decreased RWAs £10.5bn primarily due to the removal of the operational risk floor
- ‘Foreign exchange movements’ increased RWAs £2.2bn primarily due to the appreciation of period end USD against GBP

## Risk weighted assets

### CR8 - RWA flow statement of credit exposures under the AIRB approach

| | RWA amount £bn | Capital requirements £bn |
| :--- | :--- | :--- |
| 1 As at 01.01.19 | 132.5 | 10.6 |
| 2 Asset size | 5.3 | 0.4 |
| 3 Asset quality | (1.2) | (0.1) |
| 4 Model updates | 0.8 | 0.1 |
| 5 Methodology and policy | 0.1 | - |
| 6 Acquisitions and disposals | (0.2) | - |
| 7 Foreign exchange movements | 1.1 | 0.1 |
| 8 Other | - | - |
| 9 As at 30.09.19 | 138.4 | 11.1 |

Advanced credit risk RWAs increased £5.9bn to £138.4bn driven by:
- ‘Asset size’ increased RWAs £5.3bn primarily driven by increased CIB activity
- ‘Asset quality’ decreased RWAs £1.2bn primarily due to changes in risk profile within Barclays International
- ‘Foreign exchange movements’ increased RWAs £1.1bn primarily due to the appreciation of period end USD against GBP

## Risk weighted assets

### CCR7 - RWA flow statement of counterparty credit risk exposures under the IMM

The total shows the contribution of IMM exposures to CCR RWAs (under both standardised and AIRB) and will not directly reconcile to CCR AIRB RWAs.

| | RWA amount £bn | Capital requirements £bn |
| :--- | :--- | :--- |
| 1 As at 01.01.19 | 18.8 | 1.5 |
| 2 Asset size | 3.8 | 0.3 |
| 3 Credit quality of counterparties | - | - |
| 4 Model updates (IMM only) | 0.4 | - |
| 5 Methodology and policy (IMM only) | (0.7) | (0.1) |
| 6 Acquisitions and disposals | - | - |
| 7 Foreign exchange movements | - | - |
| 8 Other | - | - |
| 9 As at 30.09.19 | 22.3 | 1.7 |

### MR2-B - RWA flow statement of market risk exposures under the IMA

| | VaR £bn | SVaR £bn | IRC £bn | CRM £bn | Other £bn | Total RWA £bn | Total Capital requirements £bn |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| 1 As at 01.01.19 | 3.2 | 8.9 | 1.9 | - | 2.8 | 16.8 | 1.3 |
| 2 Movement in risk levels | 0.3 | (2.4) | 0.1 | - | 0.1 | (1.9) | (0.2) |
| 3 Model updates/changes | - | - | - | - | - | - | - |
| 4 Methodology and policy | 0.6 | 1.2 | 0.1 | - | (0.1) | 1.8 | 0.2 |
| 5 Acquisitions and disposals | - | - | - | - | - | - | - |
| 6 Other | - | - | - | - | - | - | - |
| 7 As at 30.09.19 | 4.1 | 7.7 | 2.1 | - | 2.8 | 16.7 | 1.3 |

## Risk weighted assets

### OV1 - Overview of risk weighted assets by risk type and capital requirements

| | RWA As at 30.09.19 £m | RWA As at 31.12.18 £m | Minimum capital requirements As at 30.09.19 £m | Minimum capital requirements As at 31.12.18 £m |
| :--- | :--- | :--- | :--- | :--- |
| 1 Credit risk (excluding counterparty credit risk) (CCR) | 186,957 | 179,816 | 14,957 | 14,306 |
| 2 Of which standardised approach | 62,213 | 60,096 | 4,977 | 4,808 |
| 3 Of which the foundation IRB (FIRB) approach | - | - | - | - |
| 4 Of which the advanced IRB (AIRB) approach | 124,744 | 119,720 | 9,980 | 9,499 |
| 5 Of which Equity IRB under the Simple risk-weight or the internal models approach | - | - | - | - |
| 6 CCR | 34,381 | 28,472 | 2,750 | 2,278 |
| 7 Of which mark to market | 2,305 | 2,152 | 184 | 172 |
| 8 Of which original exposure | - | - | - | - |
| 9 Of which standardised approach | - | - | - | - |
| 9a Of which financial collateral comprehensive method | 4,954 | 3,287 | 396 | 263 |
| 10 Of which internal model method | 22,086 | 18,669 | 1,767 | 1,494 |
| 11 Of which risk exposure amount for contributions to the default fund of a CCP | 1,048 | 955 | 84 | 76 |
| 12 Of which CVA | 3,988 | 3,409 | 319 | 273 |
| 13 Settlement risk | 140 | 170 | 11 | 14 |
| 14 Securitisation exposures in banking book (after cap) | 6,314 | 4,809 | 505 | 385 |
| 14a Of which capital deduction approach (CAPD) | 40 | 26 | 3 | 2 |
| 14b Of which look through approach (KIRB) | - | 346 | - | 28 |
| 15 Of which IRB approach | 4,480 | 3,933 | 359 | 315 |
| 16 Of which IRB supervisory formula approach (SFA) | - | - | - | - |
| 17 Of which internal assessment approach (IAA) | 1,064 | 504 | 85 | 40 |
| 18 Of which standardised approach | 730 | - | 58 | - |
| 19 Market risk | 32,503 | 30,821 | 2,600 | 2,466 |
| 20 Of which the standardised approach | 15,786 | 13,976 | 1,263 | 1,118 |
| 21 Of which IMA | 16,717 | 16,845 | 1,337 | 1,348 |
| 22 Large exposures | - | - | - | - |
| 23 Operational risk | 42,460 | 56,660 | 3,397 | 4,533 |
| 24 Of which basic indicator approach | - | - | - | - |
| 25 Of which standardised approach | 42,460 | 56,660 | 3,397 | 4,533 |
| 26 Of which advanced measurement approach | - | - | - | - |
| 27 Amounts below the thresholds for deduction (subject to 250% risk weight) | 10,506 | 11,178 | 840 | 973 |
| 28 Floor Adjustments | - | - | - | - |
| 29 Total | 313,261 | 311,926 | 25,060 | 24,955 |

## Leverage

### Leverage ratio and exposure
The following leverage tables show the components of the leverage ratio using the CRR definition for the leverage exposure and the tier 1 capital on a fully loaded basis as at 30 September 2019.$^1$

### Summary reconciliation of accounting assets and leverage ratio exposures
This table is a summary of the total leverage exposure and comprises of total IFRS assets used for statutory purposes, regulatory consolidation and other leverage adjustments.

| | As at 30.09.19 £m | As at 31.12.18 £m |
| :--- | :--- | :--- |
| 1 Total assets as per published financial statements | 1,290,351 | 1,133,283 |
| 2 Adjustment for entities which are consolidated for accounting purposes but are outside the scope of regulatory consolidation | 304 | (2,203) |
| 4 Adjustments for derivative financial instruments | (174,009) | (101,125) |
| 5 Adjustments for securities financing transactions (SFTs) | 18,303 | 16,725 |
| 6 Adjustment for off-balance sheet items (i.e. conversion to credit equivalent amounts of off balance sheet exposures) | 114,106 | 108,265 |
| 7 Other adjustments | (13,976) | (12,425) |
| 8 Total leverage ratio exposure | 1,235,079 | 1,142,520 |

$^1$ Capital and leverage measures are calculated applying CRR as amended by CRR II applicable as at the reporting date

## Leverage

### Leverage ratio common disclosure
This table shows the leverage ratio calculation and includes additional breakdowns for the leverage exposure measure.

| | As at 30.09.19 £m | As at 31.12.18 £m |
| :--- | :--- | :--- |
| **On-balance sheet exposures (excluding derivatives and SFTs)** | | |
| 1 On-balance sheet items (excluding derivatives, SFTs and fiduciary assets, but including collateral)$^1$ | 861,839 | 778,651 |
| 2 (Asset amounts deducted in determining tier 1 capital) | (13,976) | (12,425) |
| 3 Total on-balance sheet exposures (excluding derivatives, SFTs and fiduciary assets)$^1$ | 847,863 | 776,226 |
| **Derivative exposures** | | |
| 4 Replacement cost associated with all derivatives transactions (ie net of eligible cash variation margin) | 29,085 | 22,491 |
| 5 Add-on amounts for PFE associated with all derivatives transactions (mark-to-market method) | 158,168 | 142,249 |
| 7 Deductions of receivables assets for cash variation margin provided in derivatives transactions | (50,749) | (32,002) |
| 8 Exempted CCP leg of client-cleared trade exposures | (39,786) | (30,661) |
| 9 Adjusted effective notional amount of written credit derivatives | 323,493 | 297,023 |
| 10 Adjusted effective notional offsets and add-on deductions for written credit derivatives | (307,817) | (277,991) |
| 11 Total derivative exposures | 112,394 | 121,109 |
| **Securities financing transaction exposures** | | |
| 12 Gross SFT assets (with no recognition of netting), after adjusting for sales accounting transactions$^1$ | 418,130 | 365,967 |
| 13 Netted amounts of cash payables and cash receivables of gross SFT assets | (275,717) | (235,772) |
| 14 Counterparty credit risk exposure for SFT assets | 18,303 | 16,725 |
| 16 Total securities financing transaction exposures$^1$ | 160,716 | 146,920 |
| **Other off-balance sheet exposures** | | |
| 17 Off-balance sheet exposures at gross notional amount | 363,586 | 337,576 |
| 18 Adjustments for conversion to credit equivalent amounts | (249,480) | (229,311) |
| 19 Other off-balance sheet exposures | 114,106 | 108,265 |
| **Capital and total exposures** | | |
| 20 Tier 1 capital | 51,472 | 49,317 |
| 21 Total leverage ratio exposures | 1,235,079 | 1,142,520 |
| **Leverage ratio** | | |
| 22 Leverage ratio | 4.2% | 4.3% |
| **Choice on transitional arrangements and amount of derecognised fiduciary items** | | |
| EU-23 Choice on transitional arrangements for the definition of the capital measure | Fully phased in | |

$^1$ Comparative numbers have been revised to reflect the allocation of margin lending from Loans and advances and other assets to SFTs

The CRR leverage ratio decreased to 4.2% (December 2018: 4.3%) driven by a £93bn increase in leverage exposure to £1,235bn offset by a £2.2bn increase in T1 capital to £51.5bn, primarily due to a net increase in AT1 capital. Leverage exposure movements include increases in loans and advances at amortised cost, settlement balances, trading portfolio assets and SFTs.

## Minimum requirements for own funds and eligible liabilities

### Minimum requirement for own funds and eligible liabilities (MREL)
The CRR II requirements relating to MREL came into effect from 27 June 2019 which amended CRR. As CRR II is an amending regulation, the existing provisions of CRR apply unless they are amended by CRR II. KM2 has been prepared in accordance with CRR as amended by CRR II, using the uniform format set out in the BCBS Standard on Pillar 3 disclosure requirements, as the EU format for disclosure is yet to be agreed.

MREL has been calculated reflecting our 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.

### KM2 - Key metrics - TLAC requirements (at resolution group level)
This table shows the key metrics for the Group’s own funds and eligible liabilities.

| | As at 30.09.19 £m | As at 30.06.19 £m |
| :--- | :--- | :--- |
| 1 Total loss-absorbing capacity (TLAC) available | 100,615 | 102,013 |
| 2 Total RWA at the level of the resolution group | 313,261 | 319,107 |
| 3 TLAC as a percentage of RWA (row 1 / row 2) (%) | 32.1% | 32.0% |
| 4 Leverage ratio exposure measure at the level of the resolution group$^1$ | 1,235,079 | 1,213,800 |
| 5 TLAC as a percentage of leverage ratio exposure measure (row 1 / row 4) (%) | 8.1% | 8.4% |
| 6a Does the subordination exemption in the antepenultimate paragraph of Section 11 of the FSB TLAC Term Sheet apply? | No | No |
| 6b Does the subordination exemption in the penultimate paragraph of Section 11 of the FSB TLAC Term Sheet apply? | No | No |
| 6c If the capped subordination exemption applies, the amount of funding issued that ranks pari passu with Excluded Liabilities and that is recognised as external TLAC, divided by funding issued that ranks pari passu with Excluded Liabilities and that would be recognised as external TLAC if no cap was applied (%) | N/A | N/A |

$^1$ CRR leverage exposure as amended by CRR II applicable as at the reporting date.

## Liquidity

### LIQ1 - Liquidity Coverage Ratio
This table shows the level and components of the Liquidity Coverage Ratio. This disclosure has been prepared in accordance with the requirements set out in the ‘Guidelines on LCR disclosure to complement the disclosure of liquidity risk management under Article 435 of Regulation (EU) No 575/2013’ as specified in Annexure II which complements Article 435(1)(f) of Regulation (EU) No 575/2013.

### Liquidity coverage ratio (period end)

| | 30.09.19 £m | 30.06.19 £m | 31.03.19 £m | 31.12.18 £m | 30.09.18 £m |
| :--- | :--- | :--- | :--- | :--- | :--- |
| Liquidity buffer | 225,556 | 232,098 | 225,850 | 218,766 | 210,681 |
| Total net cash outflows | 148,895 | 148,669 | 141,515 | 129,172 | 130,925 |
| Liquidity coverage ratio (%) (period end) | 151% | 156% | 160% | 169% | 161% |

### LIQ1 - Liquidity coverage ratio (average)

| | Total unweighted value (average) (30.09.19) | Total weighted value (average) (30.09.19) |
| :--- | :--- | :--- |
| Number of data points used in calculation of averages$^1$ | 12 | 12 |
| **High-quality liquid assets** | | |
| 1 Total high-quality liquid assets (HQLA) | | 233,702 |
| **Cash outflows** | | |
| 2 Retail deposits and deposits from small business customers, of which: | 199,916 | 17,676 |
| 3 Stable deposits | 111,028 | 5,551 |
| 4 Less stable deposits | 88,880 | 12,117 |
| 5 Unsecured wholesale funding, of which: | 169,354 | 89,112 |
| 6 Operational deposits (all counterparties) and deposits in networks of cooperative banks | 32,653 | 8,030 |
| 7 Non-operational deposits (all counterparties) | 131,751 | 76,132 |
| 8 Unsecured debt | 4,950 | 4,950 |
| 9 Secured wholesale funding | 58,953 | 58,953 |
| 10 Additional requirements, of which: | 178,845 | 51,292 |
| 11 Outflows related to derivative exposures and other collateral requirements | 19,131 | 17,239 |
| 12 Outflows related to loss of funding on debt products | 8,421 | 8,421 |
| 13 Credit and liquidity facilities | 151,293 | 25,632 |
| 14 Other contractual funding obligations | 5,047 | 1,590 |
| 15 Other contingent funding obligations | 156,966 | 4,486 |
| 16 Total cash outflows | 223,109 | 223,109 |
| **Cash inflows** | | |
| 17 Secured lending (e.g. reverse repos) | 406,338 | 57,633 |
| 18 Inflows from fully performing exposures | 12,714 | 8,220 |
| 19 Other cash inflows$^2$ | 12,182 | 6,965 |
| 20 Total cash inflows | 431,234 | 72,818 |
| Fully exempt inflows | - | - |
| Inflows subject to 90% cap | - | - |
| Inflows subject to 75% cap | 351,480 | 72,818 |
| 21 Liquidity buffer | | 233,702 |
| 22 Total net cash outflows | | 150,291 |
| 23 Liquidity coverage ratio (%) (average) | | 155% |

$^1$ Trailing average of 12 month-end observations to the reporting date
$^2$ Difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies

As at 30 September 2019, the Barclays Group LCR was 151% (December 2018: 169%), equivalent to a surplus of £77bn (December 2018: £90bn) above the 100% regulatory requirement. The 12 month-end average LCR to 30 September 2019 increased to 155% from 153% as at December 2018. This reflects the Group’s support for increased business funding requirements while maintaining a conservative liquidity position.

## Notes

The terms Barclays or Barclays Group refer to Barclays PLC together with its subsidiaries. The abbreviations ‘£m’ and ‘£bn’ represent millions and thousands of millions of Pounds Sterling 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 date these interim results were approved.

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/annual-reports

### 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 Barclays Group. Barclays cautions readers that no forward-looking statement is a guarantee of future performance and that actual results or other financial condition or performance measures could differ materially from those contained in the forward-looking statements. These forward-looking statements can be identified by the fact that they do not relate only to historical or current facts. Forward-looking statements sometimes use words such as ‘may’, ‘will’, ‘seek’, ‘continue’, ‘aim’, ‘anticipate’, ‘target’, ‘projected’, ‘expect’, ‘estimate’, ‘intend’, ‘plan’, ‘goal’, ‘believe’, ‘achieve’ or other words of similar meaning. Examples of forward-looking statements include, among others, statements or guidance regarding or relating to the Barclays 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 9 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. These may be affected by changes in legislation, the development of standards and interpretations under International Financial Reporting Standards including the continuing impact of IFRS 9 implementation, evolving practices with regard to the interpretation and application of accounting and regulatory standards, the outcome of current and future legal proceedings and regulatory investigations, future levels of conduct provisions, the policies and actions of governmental and regulatory authorities, 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 entities within the Barclays Group or any securities issued by such entities; the potential for one or more countries exiting the Eurozone; instability as a result of the exit by the United Kingdom 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 Barclays Group’s control. As a result, the Barclays Group’s actual future results, dividend payments, and capital and leverage ratios may differ materially from the plans, goals, expectations and guidance set forth in the Barclays Group’s forward-looking statements. Additional risks and factors which may impact the Barclays 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 2018), which are available on the SEC’s website at www.sec.gov.

Subject to our obligations under the applicable laws and regulations of the United Kingdom and the United States 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.