Barclays : 2015 Global Systemically Important Institutions (G-SIIs) data disclosure

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Barclays PLC

GLOBAL SYSTEMICALLY IMPORTANT INSTITUTIONS (G-SIIs)

DATA DISCLOSURE

31 December 2015

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Barclays PLC -G-SII data disclosure

In 2011, the G20 leaders requested that the Financial Stability Board (FSB) and the Basel Committee on Banking Supervision (BCBS) establish a framework to identify Globally Systemically Important Institutions (G-SIIs), defined as those financial institutions that could be expected to have the greatest impact on the global financial system and the global economy, should they fail. G-SIIs are required to hold an additional capital buffer relative to this potential impact.

Barclays was last identified as a G-SII by the FSB in November 2015, using data for the period ended 31 December 2014 and a methodology published by the BCBS.

The list of G-SIIs and applicable buffers is updated by the FSB on an annual basis, with the next update expected to be published during Q4 2016.

Identification

Identification of a G-SII is prescribed by BCBS using a score based system dependent upon twelve indicators. The indicators are based on the following criteria:

• Size -the total on and off balance sheet exposures of the bank, calculated in line with BCBS 270 leverage exposures.

• Interconnectedness -capturing transactions with other financial institutions.

• Substitutability/financial institution infrastructure -the extent to which the banks services could be substituted by other institutions.

• Complexity -the degree and number of complex transactions a bank is party to, including OTC derivative notionals, trading and AFS securities and Level 3 fair value assets.

• Cross-jurisdictional activity -foreign claims on an ultimate risk basis and foreign liabilities.

Capital buffer requirements

Under the identification methodology each G-SII is required to hold an additional buffer of Common Equity Tier 1 (CET1) capital between 1% and 3.5% depending on their scores. The G-SII buffer's purpose is toensure G-SIIs maintain additional capital to absorb potential future losses. This buffer is additional to the minimum CET1 ratio and the capital conservation buffer introduced under CRD IV; and has started to phase in from January 2016, with full implementation by January 2019. Barclays' G-SII buffer as determined in November 2015, based on data as at 31 December 2014, is 2%. The data disclosed in this document will be used to determine Barclays'G-SII buffer applicable from 1 January 2018.

The G-SII buffer is already a component of Barclays'future regulatory minimum CET1 level expectation of 9%, plus a Pillar 2A add-on. The 9% currently comprises the required 4.5% minimum CET1 ratio, and a Combined Buffer Requirement made up of a Capital Conservation Buffer (2.5%) and the G-SII buffer (currently 2%). As regulatory capital requirements will evolve over time, the Group manages its CET1 position to maintain a prudent internal management buffer of approximately 1 -1.5% above regulatory minimum levels to guard against mandatory distribution restrictions.

Basis of preparation

Institutions identified as G-SIIs are required by the BCBS to publicly disclose the twelve high level indicators with National Regulators being given the authority to require more granular disclosures. The European Banking Authority (EBA) has mandated the format of the public disclosures via a template in the Annex of EBA Implementing Technical Standard on G- SII disclosure of indicators1(excluding ancillary and memorandum data items).

The data disclosed is based on specific instructions provided by BCBS2and the EBA Guidelines3that are subject to interpretation and may not be directly comparable with other disclosures. Differences may also arise with other external disclosures as the G-SII indicators are based on the regulatory scope of consolidation for most data points. For further information on the difference between financial reporting and the regulatory scope of consolidation please refer to page 9 of the 2015 Barclays Pillar 3 Report.

The section below includes further information about the basis of preparation for the G-SII indicators.

1 https://www.eba.europa.eu/documents/10180/1333778/EBA-ITS-2016-01+(Final+draft+ITS+on+G-SII+identification).pdf

2http://www.bis.org/bcbs/gsib/instr_end15_gsib.pdf

3 https://www.eba.europa.eu/documents/10180/1388592/Guidelines+on+G-Sll+identification

Description of the indicators

The G-SII score is based on five equally weighted criteria as follows:

1. Size (Section 2)

   The size criteria is made up of one indicator being total exposure which includes derivatives, securities financing transactions (SFTs), as well as other on-balance sheet and off-balance sheet items as defined in the EBA guidelines.

   As per the revised BCBS instructions, the G-SII indicator for 31 December 2015 is in line with the BCBS 270 basis of preparation. Barclays' approach for BCBS 270 is materially in line with the approach taken for EU Delegated Actwhich is the binding measure for calculating leverage exposures for Barclays Group.

   The key differences between the template instructions for 2015 vs. 2014 for G-SII total exposures are as follows:

   • Derivatives exposures now have collateral applied; in 2014 they were reported without this.

   • SFT exposures are now reported net where applicable, based on legally enforceable netting agreements.

   • Other assets (on balance sheet assets other than SFTs and derivatives) now exclude margin receivables as well as including balance sheet netting where allowed under IFRS.

2. Interconnectedness of the group with the financial system

   Interconnectedness captures transactions with other financial institutions including loans, debt and equity securities, SFTs and derivatives.

   Sections 3 and 4: Intra-financial assets and liabilities are balances with other financial institutions. Section 5: Securities outstanding includes amounts issued to both financial and non-financial institutions.

   The key difference between the template instructions for 2015 vs. 2014 for G-SII interconnectedness is as follows:

   • Section 4a: Funds deposited by or borrowed from other financial institutions - the instructions for this section have provided further clarification for 2015 instructing firms to exclude certificates of deposit, settlements and cash collateral.

3. Substitutability of the services or the financial infrastructure of the group

   There are three indicators that make up the substitutability criteria:

   Section 6: Payments data -this section covers gross wholesale payments during the year excluding internal payments using large value payment systems such as SWIFT, CHAPS etc.

   Section 7: Assets under custody -this section covers the value of all assets that the bank holds as custodian on behalf of customers.

   Section 8: Debt and equity underwriting -this section covers debt and equity underwriting activity during the period.

4. Complexity of the group

   There are three indicators that make up the complexity criteria:

   Section 9: Notional amounts of OTC derivatives -this section covers the gross notional amount of OTC derivatives for all product types. These are split between those cleared through a central counterparty and those settled bilaterally.

   Section 10: Trading and Available for sale securities (AFS) -this section covers trading portfolio and AFS securities, but excludes Level 1 and Level 2 high quality liquid assets held for the purpose of meeting the Basel 3 Liquidity Coverage Ratio.

   Section 11: Level 3 Assets -under IFRS, assets are classified as Level 3 if their valuation incorporates significant inputs that are not based on observable market data.

5. Cross-jurisdictional activity of the group

This section covers cross-jurisdictional claims and liabilities of the group.

Section 12: Cross-jurisdictional claims -these are foreign claims and local claims of foreign affiliates on an ultimate risk basis. Claims include deposits with other banks, loans and advances to banks and customers, holdings of securities and reverse repurchase transactions. Derivative contracts and intra-office claims are excluded.

Section 13: Cross-jurisdictional liabilities -these include all foreign liabilities including deposits by banks and customers, trading portfolio liabilities, repurchase agreements and various debt securities; this category excludes liabilities from positions in derivative contracts.