Securitisations push Barclays' market risk capital higher

Barclays’ market risk capital requirement climbed 9% to £2.5 billion ($3.3 billion) in the year to 2018 due to a build-up of hard-to-model securitisation exposures and an elevated stressed value-at-risk charge.

The UK dealer's market risk charge ended 2018 at its highest level since 2014. In contrast, other large UK banks – HSBC, Lloyds, Standard Chartered and RBS – saw their charges fall.

The hike in Barclays' market risk was driven by a higher stressed VAR charge, which ended 2018 at £710

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