Barclays defends £15 billion private credit book after BoE reportedly examines risk treatment
BCS•Barclays said its £15 billion private credit exposure was treated in line with accounting and capital rules after the BoE reportedly examined whether traders understated the risk. The bank put the mark-to-market value of loan total return swaps linked to private credit at about £300 million, against roughly £1.5 billion in underlying assets.
1. Barclays defends treatment
Barclays said its treatment of total return swaps linked to private credit assets was consistent with accounting and regulatory capital requirements. The bank said it had met the conditions under capital rules to classify the treatment as trading book, supported by internal governance and external advisers.
2. Exposure figures
Barclays said its total private credit exposure was £15 billion, with the vast majority held in the banking book. It valued its exposure to loan total return swaps at about £300 million, based on roughly £1.5 billion of underlying notional assets.
