The Bank of England’s Prudential Regulation Authority (PRA) is investigating Barclays’ accounting and regulatory capital classification of derivatives linked to private credit loans. The probe followed an insider complaint alleging that assigning total return swaps to the trading book may have breached PRA rules by misrepresenting the risks of illiquid assets.
Barclays said its £15 billion private credit exposure complies with accounting and regulatory capital requirements. The bank said the criteria for classifying the exposure in its trading book have been met and that the classification is supported by internal governance and external advisers.
The news emerged on October 19. Barclays shares reportedly fell by more than 2% as the regulatory scrutiny weighed on investor sentiment.