Strategic Shareholder Climate and Risk Financial Financial Barclays PLC 355 report information sustainability report Governance review review statements Annual Report 2022 Risk performance - Treasury and Capital risk (continued) Capital risk Summary of performance in the Minimum capital requirements All disclosures in this section are unaudited period The Group’s Overall Capital Requirement unless otherwise stated. for CET1 is 11.3% comprising a 4.5% Pillar The Group continues to be in excess of Overview 1 minimum, a 2.5% Capital Conservation overall capital, leverage and MREL Buffer (CCB), a 1.5% Global Systemically regulatory requirements. The CET1 ratio, among other metrics, is a Important Institution (G-SII) buffer, a 2.4% measure of the capital strength and The reported CET1 ratio decreased by Pillar 2A requirement and a 0.4% resilience of Barclays. Maintenance of our c.120bps to 13.9% (December 2021: Countercyclical Capital Buffer (CCyB). capital resources is vital in order to meet 15.1%) as RWAs increased by £22.4bn to the overall regulatory capital requirement, The Group’s CCyB is based on the buffer £336.5bn and CET1 capital decreased by to withstand the impact of the risks that rate applicable for each jurisdiction in which £0.4bn to £46.9bn may arise under normal and stressed the Group has exposures. On 13 ▪ c.150bps increase from 2022 conditions, and maintain adequate capital December 2021, the Financial Policy attributable profit to cover current and forecast business Committee (FPC) announced the re- ▪ c.80bps returned to shareholders needs and associated risks to provide a introduction of a CCyB rate of 1% for UK including the 2.25p half year dividend viable and sustainable business offering. exposures with effect from 13 December paid in September 2022, £1.5bn of share 2022. The buffer rates set by other This section provides an overview of the buybacks announced with FY21 and national authorities for non-UK exposures Group’s: (i) CET1 capital, leverage and own H122 results and a FY22 dividend are not currently material. Overall, this funds and eligible liabilities requirements; accrual results in a 0.4% CCyB for the Group. On 5 (ii) capital resources; (iii) risk weighted ▪ c.80bps reduction due to the impact of July 2022, the FPC announced that the UK assets (RWAs); (iv) leverage ratios and regulatory change on 1 January 2022 as CCyB rate will be increased from 1% to 2% exposures; and (v) own funds and eligible CET1 capital decreased £1.7bn and with effect from 5 July 2023. liabilities. RWAs increased £6.6bn The Group’s updated Pillar 2A requirement More details on monitoring and managing ▪ c.70bps reduction from decreases in the as per the PRA’s Individual Capital capital risk may be found in the risk fair value of the bond portfolio through requirement is 4.3% of which at least management sections of the Barclays PLC other comprehensive income and other 56.25% needs to be met with CET1 capital, Pillar 3 Report 2022 (unaudited). capital deductions equating to 2.4% of RWAs. The Pillar 2A requirement, based on a point in time ▪ c.40bps reduction due to pension Key metrics assessment, has been set as a proportion contributions, including the accelerated Common Equity Tier 1 ratio of RWAs and is subject to at least annual cash settlement to the UK Retirement review. Fund (UKRF) of earlier deficit reduction contributions and deficit reduction The Group’s CET1 target ratio of 13-14% 13.9% payments made in 2022 takes into account headroom above requirements which includes a confidential ▪ A £14.1bn increase in RWAs as a result institution-specific PRA buffer. The Group UK leverage ratio of foreign exchange movements was remains above its minimum capital broadly offset by a £2bn increase in the regulatory requirements including the PRA currency translation reserve buffer. 5.3% The UK leverage ratio increased to 5.3% Minimum leverage requirements (December 2021: 5.2%) primarily due to a decrease in the leverage exposure of The Group is subject to a leverage ratio Average UK leverage ratio £7.9bn to £1,130.0bn and an increase in requirement of 4.0% as at 31 December Tier 1 Capital of £0.6bn to £60.1bn. 2022. This comprises the 3.25% minimum requirement, a G-SII additional leverage 4.8% ratio buffer (G-SII ALRB) of 0.53% and a countercyclical leverage ratio buffer Own funds and eligible liabilities ratio as a (CCLB) of 0.2%. Although the leverage percentage of RWAs ratio is expressed in terms of Tier 1 (T1) capital, 75% of the minimum requirement, equating to 2.4375%, needs to be met 33.5% with CET1 capital. In addition, the G-SII ALRB and CCLB must be covered solely with CET1 capital. The CET1 capital held against the 0.53% G-SII ALRB was £5.9bn and against the 0.2% CCLB was £2.3bn. The Group is also required to disclose an average UK leverage ratio which is based on capital on the last day of each month in the quarter and an exposure measure for each day in the quarter.