# Barclays Bank UK PLC Pillar 3 Report
31 December 2020

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## Contents

[Introduction](#introduction)
*   [Notes on Basis of Preparation](#notes-on-basis-of-preparation) 3
*   [Linkage between financial statement and regulatory risk](#linkage-between-financial-statement-and-regulatory-risk) 5

[Risk and capital position review](#risk-and-capital-position-review)
*   [Analysis of treasury and capital risk](#analysis-of-treasury-and-capital-risk) 7
*   [Analysis of credit risk](#analysis-of-credit-risk) 20
*   [Analysis of counterparty credit risk](#analysis-of-counterparty-credit-risk) 59
*   [Analysis of market risk](#analysis-of-market-risk) 66
*   [Analysis of securitisation exposures](#analysis-of-securitisation-exposures) 67
*   [Analysis of operational risk](#analysis-of-operational-risk) 73

[Barclays approach to managing risks](#barclays-approach-to-managing-risks)
*   [Risk management strategy, governance and risk culture](#risk-management-strategy-governance-and-risk-culture) 75
*   [Management of credit risk and the internal ratings-based approach](#management-of-credit-risk-and-the-internal-ratings-based-approach) 82
*   [Management of credit risk mitigation techniques and counterparty credit risk](#management-of-credit-risk-mitigation-techniques-and-counterparty-credit-risk) 100
*   [Management of market risk](#management-of-market-risk) 103
*   [Management of securitisation exposures](#management-of-securitisation-exposures) 107
*   [Management of treasury and capital risk](#management-of-treasury-and-capital-risk) 110
*   [Management of operational risk](#management-of-operational-risk) 116
*   [Management of model risk](#management-of-model-risk) 119
*   [Management of conduct risk](#management-of-conduct-risk) 121
*   [Management of reputation risk](#management-of-reputation-risk) 122
*   [Management of legal risk](#management-of-legal-risk) 123

[Appendix A – Probabilities of Default (PD), Loss Given Default (LGD), Risk Weighted Asset (RWA) and exposure by country](#appendix-a--probabilities-of-default-pd-loss-given-default-lgd-risk-weighted-asset-rwa-and-exposure-by-country) 124
[Appendix B – Analysis of impairment](#appendix-b--analysis-of-impairment) 125
[Appendix C – Countercyclical buffer](#appendix-c--countercyclical-buffer) 126
[Appendix D – Disclosure on asset encumbrance](#appendix-d--disclosure-on-asset-encumbrance) 127
[Appendix E – Disclosures on remuneration](#appendix-e--disclosures-on-remuneration) 128

A glossary of terms and remuneration disclosures can be found at: [home.barclays/investor-relations/reports-and-events/latest-financial-results](https://home.barclays/investor-relations/reports-and-events/latest-financial-results)

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## Introduction

### Notes on Basis of Preparation

Pillar 3 complements disclosures in the Barclays Bank UK PLC 2020 Annual Report and provides additional information about Barclays Bank UK Group’s risk profile, including its regulatory capital, risk weighted assets (RWAs), liquidity and leverage exposures as well as information about Barclays Bank UK Group’s approach to managing risk.

The information disclosed in this report has been prepared in accordance with the Capital Requirements Regulation and Capital Requirements Directive (‘CRR’ and ‘CRD IV’, also known as the ‘CRD IV legislative package’). In particular, articles 431 to 455 of the CRR specify the Pillar 3 framework requirements. The CRD IV legislative package came into force on 1 January 2014. The Pillar 3 disclosures have also been prepared in accordance with the European Banking Authority (EBA) “Guidelines on materiality, proprietary and confidentiality and on disclosure frequency under Articles 432(1), 432(2) and 433 of CRR” and the EBA “Guidelines on disclosure requirements under Part Eight of Regulation (EU) No 575/2013”, as amended by Regulation (EU) 2019/876, in effect at the reporting date.

Under the withdrawal agreement between the UK and the EU, the 11-month transition period expired at 11pm on 31 December 2020. Any references to CRR as amended by CRR II mean, unless otherwise specified, CRR as amended by CRR II, as it forms part of UK law pursuant to the European Union (Withdrawal) Act 2018 and subject to the temporary transitional powers (TTP) available to UK regulators to delay or phase-in on shoring changes to UK regulatory requirements arising at the end of the transition period until 31 March 2022, as at the applicable reporting date.

Throughout the TTP period, the Bank of England and Prudential Regulatory Authority (PRA) are expected to review the UK legislation framework and any disclosures made by the Barclays Bank UK Group will be subject to any resulting guidance. Following its stated intention to consult, on 12 February 2021 the PRA launched a consultation on certain items within the Basel standards that remain to be implemented in the UK as well as setting out proposed new PRA CRR rules.

The following regulatory updates formed part of the CRR as amended by CRR II prior to 31 December 2020 and subsequently form part of UK law as defined above.

On 22 April 2020, the regulatory technical standards on prudent valuation were amended to include an increase to diversification factors applied to certain additional valuation adjustments. The amendments temporarily reduced the additional value adjustment deduction (PVA) and were applied until 31 December 2020 inclusive.

On 27 June 2020, CRR was further amended to accelerate specific CRR II measures which includes the implementation of a new IFRS 9 transitional relief calculation. Previously due to be implemented in June 2021, the accelerated measures primarily relate to non-deduction of prudently valued software assets from CET1 capital, the CRR leverage calculation to include additional settlement netting and limited changes to the calculation of RWAs. For UK leverage calculations, the PRA early adopted the CRR II settlement netting measure in April 2020.

The IFRS 9 transitional arrangements have been extended by two years and a new modified calculation has been introduced. 100% relief will be applied to increases in Stage 1 and Stage 2 provisions from 1 January 2020 throughout 2020 and 2021; 75% in 2022; 50% in 2023; 25% in 2024 with no relief applied from 2025. The phasing out of transitional relief on the “day 1” impact of IFRS 9 as well as increases in Stage 1 and Stage 2 provisions between 1 January 2018 and 31 December 2019 under the modified calculation remain unchanged and continue to be subject to 70% transitional relief throughout 2020; 50% for 2021; 25% for 2022 and with no relief applied from 2023.

#### Policy, validation and sign off
Throughout the year ended 31 December 2020, and to date, Barclays Bank UK Group has operated a framework of disclosure controls and procedures to ensure the completeness and accuracy of the external financial and Pillar 3 disclosures. Specific governance committees are responsible for examining the Barclays Bank UK Group’s reports and disclosures so that they have been subject to adequate verification and comply with applicable standards and legislation. These Committees report their conclusions to the Board Audit Committee (BAC).

This governance process is in place to provide both management and the Board with sufficient opportunity to debate and challenge the Barclays Bank UK Group’s disclosures before they are made public.

“We confirm that Barclays Bank UK PLC’s Pillar 3 disclosures, to the best of our knowledge, comply with Part Eight of the CRR and have been prepared in compliance with Barclays’ internal control framework.”

**Matthew Stevens**
Chief Risk Officer, Barclays Bank UK PLC

**James Mack**
Chief Financial Officer, Barclays Bank UK PLC

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### Overview

Barclays Bank UK PLC is a wholly-owned subsidiary of Barclays PLC. The consolidation of Barclays Bank UK PLC and its subsidiaries is referred to as the Barclays Bank UK Group. The term Barclays refers to Barclays PLC and Barclays Group refers to Barclays PLC, together with its subsidiaries.

Barclays Bank UK PLC is the ring-fenced bank within the Barclays Group. The Barclays Bank UK Group contains the majority of the Barclays Group’s Barclays UK division, including the Personal Banking, Business Banking and Barclaycard Consumer UK businesses other than the Barclays Partner Finance business.

Table 3 outlines the Barclays Bank UK Group’s entities where there is a difference in the scope of regulatory consolidation with the IFRS scope of consolidation.

Disclosures for Barclays Bank UK PLC on an individual basis are not disclosed in this document as the entity is materially aligned to Barclays Bank UK Group.

#### Our structure

```mermaid
graph LR
    A[Barclays Bank UK PLC]
    A --> B[Personal Banking]
    A --> C[Business Banking]
    A --> D[Barclaycard Consumer UK]
```

Barclays is one of the most recognisable brands in the UK. We serve customers across a wide range of retail banking needs, from credit card users, to start-up businesses, to homebuyers getting on the property ladder for the first time.

**Personal Banking**
Offers retail solutions to help customers with their day-to-day banking needs.

**Business Banking**
Serves business clients, from high growth start-ups to small and medium-sized enterprises, with specialist advice for their business banking needs.

**Barclaycard Consumer UK**
A leading credit card provider, offering flexible borrowing and payment solutions, while delivering a leading customer experience.

Barclays Bank UK PLC is supported by the Barclays Group-wide service company, Barclays Execution Services Limited (BX) which provides technology, operations and functional services to businesses across the Barclays Group.

---

## Risk and capital position review

### Linkage between financial statement and regulatory risk

**Table 1: LI1– Differences between accounting and regulatory scopes of consolidation and the mapping of financial statement categories with regulatory risk categories**

This table outlines the differences in the basis of consolidation for accounting and regulatory purposes. It provides an allocation of the balance sheet line items reported under the scope of regulatory consolidation between the different regulatory risk frameworks. Information regarding the market risk valuation methodologies, independent price verifications process and procedures for valuation adjustments or reserves can be found in the Management of market risk section from page 103.

| As at 31 December 2020 | Carrying values as reported in published financial statements £m | Carrying values under scope of regulatory consolidation £m | Subject to the credit risk framework £m | Subject to the CCR framework £m | Subject to the securitisation frameworka £m | Subject to the market risk framework £m | Not subject to capital requirements or subject to deduction from capitalb £m |
| --- | --- | --- | --- | --- | --- | --- | --- |
| **Assets** | | | | | | | |
| Cash and balances at central banks | 35,218 | 35,134 | 35,134 | - | - | - | - |
| Cash collateral and settlement balances | 4,345 | 4,345 | 3,159 | 1,186 | - | - | - |
| Loans and advances at amortised cost | 211,649 | 211,741 | 207,453 | - | 4,288 | - | - |
| Reverse repurchase agreements and other similar secured lending | 133 | 133 | - | 133 | - | - | - |
| Trading portfolio assets | 298 | 298 | - | - | - | 298 | - |
| Financial assets at fair value through the income statement | 3,432 | 3,432 | 3,432 | - | - | - | - |
| Derivative financial instruments | 550 | 550 | - | 550 | - | - | - |
| Financial assets at fair value through other comprehensive income | 26,026 | 26,026 | 26,026 | - | - | - | - |
| Investments in associates and joint ventures | - | 129 | 129 | - | - | - | - |
| Goodwill and intangible assets | 3,527 | 3,527 | - | - | - | - | 3,527 |
| Property, plant and equipment | 737 | 737 | 737 | - | - | - | - |
| Current tax assets | 75 | 75 | 75 | - | - | - | - |
| Deferred tax assets | 780 | 780 | 780 | - | - | - | - |
| Other assets | 728 | 706 | 706 | - | - | - | - |
| **Total assets** | **287,498** | **287,613** | **277,631** | **1,869** | **4,288** | **298** | **3,527** |
| **Liabilities** | | | | | | | |
| Deposits at amortised cost | 240,535 | 240,561 | - | - | - | - | 240,561 |
| Cash collateral and settlement balances | 455 | 455 | - | 252 | - | - | 203 |
| Repurchase agreements and other similar secured borrowing | 7,178 | 7,178 | - | 4,177 | - | - | 3,001 |
| Debt securities in issue | 7,503 | 7,503 | - | - | - | - | 7,503 |
| Subordinated liabilities | 9,869 | 9,869 | - | - | - | - | 9,869 |
| Trading portfolio liabilities | 1,265 | 1,265 | - | - | - | 1,265 | - |
| Derivative financial instruments | 880 | 880 | - | 880 | - | - | - |
| Other liabilities | 1,906 | 1,896 | - | - | - | - | 1,896 |
| Provisions | 880 | 873 | - | - | - | - | 873 |
| **Total liabilities** | **270,471** | **270,480** | **-** | **5,309** | **-** | **1,265** | **263,906** |

**Notes**
The following points should be considered in conjunction with table LI1:
a The column “subject to securitisation framework” includes non-trading book positions only. Trading book securitisation positions are included in the “subject to the market risk framework” column.
b For liabilities, balances shown in column “Not subject to capital requirements or subject to deduction from capital” are residual balances so that “Carrying values under scope of regulatory consolidation” equals to the sum of those in the columns relating to the regulatory framework.

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**Table 2: LI2 – Main sources of differences between regulatory exposure amounts and carrying values in financial statements**

This table provides a reconciliation between assets carrying values under the regulatory scope of consolidation as per Table 1 and the exposures used for regulatory purposes, split as per the regulatory risk framework.

Off-balance-sheet amounts: Under the credit risk framework, these balances principally consist of undrawn credit facilities after the application of credit conversion factors (CCF). Under the counterparty credit risk framework, the off balance sheet items principally consist of the exposure due to collateral given in Secured Financing Transactions (SFTs).

Difference due to netting rules: This reflects the effects of master netting agreements in addition to the netting permitted under International Accounting Standards (IAS) framework.

Differences due to consideration of provisions: The assets carrying values is net of impairment. The regulatory exposure calculated under Advanced Internal Rating Based (AIRB) approach adds back the impairment.

Differences between input balance and modelled regulatory output: The assets carrying values as defined per IFRS differ from the values used for regulatory reporting purposes, this reflects the modelling of exposures such as use of the Internal Model Method (IMM).

| As at 31st December 2020 | Totala £m | Subject to the credit risk framework £m | Subject to the CCR framework £m | Subject to the securitisation framework £m |
| --- | --- | --- | --- | --- |
| Assets carrying value amount under the scope of regulatory consolidation (as per template LI1) | 283,788 | 277,631 | 1,869 | 4,288 |
| Liabilities carrying value amount under the regulatory scope of consolidation (as per template EU LI1) | (5,309) | - | (5,309) | - |
| Total net amount under the regulatory scope of consolidation | 278,479 | 277,631 | (3,440) | 4,288 |
| Off-balance-sheet amountsb | 112,839 | 56,583 | 8,660 | - |
| Differences due to different netting rules | (3,204) | - | (3,204) | - |
| Differences due to consideration of provisions | 2,867 | 2,867 | - | - |
| Differences between input balance and modelled regulatory output | 12,696 | 12,696 | - | - |
| **Exposure amounts considered for regulatory purposes** | **403,677** | **349,777** | **2,016** | **4,288** |

**Notes**
The following points should be considered in conjunction with table LI2:
a The total column cannot be directly reconciled back to the carrying values under scope of consolidation shown in table 1 - LI1, as it excludes balances “subject to the market risk framework” and items “not subject to capital requirements or subject to deduction from capital”.
b In line item “Off-balance sheet amounts”, the amounts shown in the Total column, which relates to exposures pre-CCF, do not equal the sum of the amounts shown in the remaining columns, as these are post-CCF.

**Table 3: LI3 Outline of the differences in the scopes of consolidation (entity by entity)**

| Name of the entity | Method of accounting consolidation | Full consolidation | Proportional consolidation | Neither consolidated nor deducteda | Deducted | Description of the entity |
| --- | --- | --- | --- | --- | --- | --- |
| Barclays Insurance Services Company Limited | Fully consolidated | Y | | | | Activities auxiliary to financial services and insurance activities |
| Vaultex UK Limited | Proportionally consolidated | | Y | | | Activities auxiliary to financial services and insurance activities |

**Note**
a Column “neither consolidated nor deducted”: Exposure to and/or equity investment in these entities are risk weighted or deducted from capital subject to thresholds.

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### IFRS 9 transitional capital arrangements

On 1 January 2018, IFRS 9 transitional capital arrangements were implemented by Regulation (EU) 2017/2395. Barclays elected to apply the transitional arrangements at both consolidated and individual entity levels and will disclose both transitional and fully loaded CET1 ratios until the end of the transitional period. On 27 June 2020, CRR was further amended to extend the transitional period by two years and to introduce a new modified calculation.

The transitional arrangements, implemented under a modified static approach, allow for transitional relief on the “day 1” impact on adoption of IFRS 9 (static element) and for the increase in provisions between “day 1” and the reporting date (modified element), subject to eligibility.

The transitional relief applied to the static element is phased out over a 5 year period with 95% applicable for 2018; 85% for 2019; 70% for 2020; 50% for 2021; 25% for 2022 and with no transitional relief from 2023.

The transitional relief applied to the modified element for increases between “day 1” and 31 December 2019 is phased out in line with the static element. From 27 June 2020, under new legislation, the transitional relief applied to the modified element for increases between 1 January 2020 and the reporting date is phased out over a 5 year period with 100% applicable for 2020 and 2021; 75% for 2022; 50% for 2023; 25% for 2024 and with no transitional relief from 2025.

For the static element, Stage 1, Stage 2 and Stage 3 provisions are eligible for transition, whereas for the modified elements, Stage 3 provisions are excluded.

Total increases in impairment allowances as a result of IFRS 9, net of tax, decreases shareholders’ equity through retained earnings and decreases standardised RWAs due to the increase in impairment being offset against the standardised Credit Risk exposures. This is somewhat reversed by the transitional relief applied on eligible impairment.

Separate calculations are performed for standardised and Advanced Internal Ratings Based (AIRB) portfolios, reflecting the different ways these frameworks take account of provisions.

Under the standardised approach, increases in provisions for both the static and modified elements are eligible for transition. When recalculating the requirements in CRR, as amended by CRR II, under the standardised approach, a risk weight of 100% is assigned to the eligible impairment.

For AIRB exposures, the calculation of capital takes account of the expected loss via a comparison with the impairment allowances. Where regulatory expected losses exceed impairment allowances, the shortfall is deducted from CET1 capital. Where the impairment allowance is higher than expected loss, the excess is added back to tier 2 capital and capped at an amount of 0.6% of AIRB RWAs. For both the static and modified elements, provisions are only eligible for transitional relief to the extent that they exceed regulatory expected loss.

The deferred tax assets (DTAs) created from the increase of impairment are also accounted for in the CET1 ratio. When DTAs arising from temporary differences are above the 10% CET1 capital threshold, any excess above the threshold is deducted and those below the threshold are risk weighted at 250% up to the point they reach threshold. DTAs that rely on future profitability excluding temporary differences are deducted from CET1 capital. To the extent that DTAs have arisen as a result of increases in eligible impairment, the impacts may also be reversed by the transitional relief applied.

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**Table 4: Key Metrics (KM1/IFRS 9-FL)**

Barclays Bank UK Group’s capital, RWAs and leverage is calculated applying transitional relief for IFRS 9, no other transitional provisions in CRR as amended by CRR II applicable as at the reporting date are applicable. The table below therefore represents both transitional and fully loaded capital metrics which is equal to transitional capital and capital as if IFRS 9 or analogous Expected Credit Losses (ECLs) transitional arrangements had not been applied.

| KM1 Ref | IFRS9-FL Ref | As at 31 December 2020 £m | As at 30 June 2020 £m | As at 31 December 2019 £m | As at 30 June 2019 £m |
| --- | --- | --- | --- | --- | --- |
| **Available capital (amounts)** | | | | | |
| 1 | 1 | Common Equity Tier 1 (CET1)a | 11,247 | 10,834 | 10,128 | 11,001 |
| 1a | 2 | Fully loaded Expected Credit Loss (ECL) accounting modelb | 10,517 | 10,181 | 9,938 | 10,780 |
| 2 | 3 | Tier 1a | 13,807 | 13,394 | 12,688 | 13,764 |
| 2a | 4 | Fully loaded ECL accounting model Tier 1b | 13,077 | 12,741 | 12,498 | 13,543 |
| 3 | 5 | Total capital a | 17,178 | 17,537 | 16,012 | 17,345 |
| 3a | 6 | Fully loaded ECL accounting model total capitalb | 16,677 | 17,153 | 15,990 | 17,334 |
| **Risk-weighted assets (amounts)** | | | | | |
| 4 | 7 | Total risk-weighted assets (RWA)a | 72,025 | 76,039 | 75,010 | 76,182 |
| 4a | 8 | Fully loaded ECL accounting model total risk-weighted assets (RWA)b | 72,039 | 76,054 | 75,124 | 76,303 |
| **Risk-based capital ratios as a percentage of RWA** | | | | | |
| 5 | 9 | Common Equity Tier 1 ratio (%)a | 15.6% | 14.2% | 13.5% | 14.4% |
| 5a | 10 | Fully loaded ECL accounting model Common Equity Tier 1 (%) b | 14.6% | 13.4% | 13.2% | 14.1% |
| 6 | 11 | Tier 1 ratio (%)a | 19.2% | 17.6% | 16.9% | 18.1% |
| 6a | 12 | Fully loaded ECL accounting model Tier 1 ratio (%)b | 18.2% | 16.8% | 16.6% | 17.7% |
| 7 | 13 | Total capital ratio (%)a | 23.9% | 23.1% | 21.3% | 22.8% |
| 7a | 14 | Fully loaded ECL accounting model total capital ratio (%) b | 23.1% | 22.6% | 21.3% | 22.7% |
| **Additional CET1 buffer requirements as a percentage of RWA** | | | | | |
| 8 | | Capital conservation buffer requirement (%) | 2.5% | 2.5% | 2.5% | 2.5% |
| 9 | | Countercyclical buffer requirement (%) | 0.0% | 0.0% | 1.0% | 1.0% |
| | | Other systemically important institutions (O-SII) requirements (%) | 1.0% | 1.0% | 1.0% | 0.0% |
| 11 | | Total of bank CET1 specific buffer requirements (%) (row 8 + 9 + O-SII) | 3.5% | 3.5% | 4.5% | 3.5% |
| 12 | | CET1 available after meeting the bank’s minimum capital requirements (%) | 11.1% | 9.7% | 9.0% | 9.9% |
| **CRR leverage ratioa,c** | | | | | |
| 13 | 15 | Total CRR leverage ratio exposure measure | 294,242 | 293,287 | 264,085 | 265,462 |
| 14 | 16 | Transitional CRR leverage ratio (%) | 4.7% | 4.6% | 4.8% | 5.2% |
| | 17 | Leverage ratio as if IFRS 9 or analogous ECLs transitional arrangement had not been applied | 4.5% | 4.4% | 4.7% | 5.1% |
| **Average UK leverage ratio (Transitional)a,d,e** | | | | | |
| 13a | | Total average UK leverage ratio exposure measure | 245,992 | 247,894 | 240,057 | 233,823 |
| 14a | | Transitional average UK leverage ratio (%) | 5.6% | 5.3% | 5.2% | 5.7% |
| **UK leverage ratio (Transitional)a,c,d** | | | | | |
| 13b | | Total UK leverage ratio exposure measure | 245,176 | 245,609 | 236,026 | 228,787 |
| 14b | | Transitional UK leverage ratio (%) | 5.6% | 5.5% | 5.4% | 6.0% |
| **Liquidity Coverage Ratio** | | | | | |
| 15 | | Total HQLA | 58,035 | 62,100 | 41,293 | 47,001 |
| 16 | | Total net cash outflows | 36,246 | 36,390 | 28,741 | 29,375 |
| 17 | | LCR ratio (%) | 160% | 171% | 144% | 160% |

**Notes**
a Transitional capital, RWAs and leverage ratios are calculated applying the IFRS 9 transitional arrangements of the CRR as amended by CRR II.
b Fully loaded capital and RWAs are calculated without applying the IFRS 9 transitional arrangements of the CRR as amended by CRR II.
c The difference between CRR leverage ratio and UK leverage ratio is driven by the exclusion of qualifying central bank claims and bounce back loans from the UK leverage exposure.
d Fully loaded average UK leverage ratio was 5.3%, with £245.3bn of leverage exposure. Fully loaded UK leverage ratio was 5.3%, with £244.4bn of leverage exposure. Fully loaded UK leverage ratios are calculated without applying the IFRS 9 transitional arrangements of the CRR as amended by CRR II.
e Average UK leverage ratio uses capital based on the last day of each month in the quarter and an exposure measure for each day in the quarter.

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**Table 5: CC1 – Composition of regulatory capital**

This table shows the components of regulatory capital presented on both a transitional and fully loaded basis as at 31 December 2020.

| | | Ref† | As at 31 December 2020 Transitional position £m | As at 31 December 2020 Fully loaded position £m |
| --- | --- | --- | --- | --- |
| | **Common Equity Tier 1 capital: instruments and reserves** | | | |
| 1 | Directly issued qualifying common share (and equivalent for non-joint stock companies) capital plus related stock surplus | a | 5 | 5 |
| | | | - | - |
| 2 | Retained earnings | b | 13,989 | 13,989 |
| 3 | Accumulated other comprehensive income (and other reserves) | c | 473 | 473 |
| | Adjustment to retained earnings for foreseeable dividends | | (6) | (6) |
| | Scope of consolidation adjustment | | 105 | 105 |
| **6** | **Common Equity Tier 1 capital before regulatory adjustments** | | **14,566** | **14,566** |
| | **Common Equity Tier 1 capital: regulatory adjustments** | | | |
| 7 | Prudent valuation adjustments | | (80) | (80) |
| 8 | Goodwill (net of related tax liability) | d,e | (3,627) | (3,627) |
| 9 | Other intangibles other than mortgage servicing rights (net of related tax liability) | f | (1) | (1) |
| 11 | Cash flow hedge reserve | g | (341) | (341) |
| | Adjustment under IFRS 9 transitional arrangementsa | | 730 | - |
| 28 | Total regulatory adjustments to Common Equity Tier 1 | | (3,319) | (4,049) |
| **29** | **Common Equity Tier 1 (CET1) capital** | | **11,247** | **10,517** |
| | **Additional Tier 1 capital: instruments** | | | |
| 30 | Directly issued qualifying additional Tier 1 instruments plus related stock surplus | h | 2,560 | 2,560 |
| 31 | Of which: classified as equity under applicable accounting standards | h | 2,560 | 2,560 |
| 36 | Additional Tier 1 capital before regulatory adjustments | | 2,560 | 2,560 |
| **44** | **Additional Tier 1 (AT1) capital** | | **2,560** | **2,560** |
| **45** | **Tier 1 capital (T1 = CET1 + AT1)** | | **13,807** | **13,077** |
| | **Tier 2 capital: instruments and provisions** | | | |
| 46 | Directly issued qualifying Tier 2 instruments plus related stock surplus | i | 3,275 | 3,275 |
| 50 | Provisions | | 96 | 325 |
| 51 | Tier 2 capital before regulatory adjustments | | 3,371 | 3,600 |
| **58** | **Tier 2 Capital (T2)** | | **3,371** | **3,600** |
| **59** | **Total regulatory capital (TC = T1 + T2)** | | **17,178** | **16,677** |
| **60** | **Total risk-weighted assets** | | **72,025** | **72,039** |
| | **Capital ratios and buffers** | | | |
| 61 | Common Equity Tier 1 (as a percentage of risk-weighted assets) | | 15.6% | 14.6% |
| 62 | Tier 1 (as a percentage of risk-weighted assets) | | 19.2% | 18.2% |
| 63 | Total capital (as a percentage of risk-weighted assets) | | 23.9% | 23.1% |
| 64 | Institution-specific buffer requirement (capital conservation buffer plus countercyclical buffer requirements plus higher loss absorbency requirement plus O-SII buffer, expressed as a percentage of risk-weighted assets) | | 3.5% | 3.5% |
| 65 | of which: capital conservation buffer requirement | | 2.5% | 2.5% |
| 66 | of which: countercyclical buffer requirement | | 0.0% | 0.0% |
| 67a | of which: Global Systemically Important Institution (G-SII) or Other Systemically Important Institution (O-SII) buffer | | 1.0% | 1.0% |
| 68 | Common Equity Tier 1 (as a percentage of risk-weighted assets) available after meeting the bank’s minimum capital requirements | | 11.1% | 10.1% |
| | **Amounts below the thresholds for deduction (before risk weighting)** | | | |
| 73 | Significant investments in the common stock of financial entities | | 20 | 20 |
| 75 | Deferred tax assets arising from temporary differences (net of related tax liability) | | 854 | 907 |
| | **Applicable caps on the inclusion of provisions in Tier 2** | | | |
| 77 | Cap on inclusion of credit risk adjustments in T2 under standardised approach | | 71 | 69 |
| 78 | Provisions eligible for inclusion in Tier 2 in respect of exposures subject to internal ratings-based approach (prior to application of cap) | | 96 | 930 |
| 79 | Cap for inclusion of provisions in Tier 2 under internal ratings-based approach | | 324 | 325 |

**Notes**
† The references (a) – (i) identify balance sheet components in Table 6: CC2 – Reconciliation of regulatory capital to balance sheet which are used in the calculation of regulatory capital.
a Of which static nil, modified £730m. For more information, see page 7.

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**Table 6: CC2 – Reconciliation of regulatory capital to balance sheet**

This table shows the reconciliation between Barclays Bank UK Group’s balance sheet for statutory and regulatory purposes. Please note that the amount shown under the regulatory scope of consolidation is not a risk weighted asset measure; it is based on an accounting measure and cannot be directly reconciled to other tables in this report.

| As at 31 December 2020 | Ref† | Accounting balance sheet per published financial statements £m | Deconsolidation of insurance/other entities £m | Balance sheet per regulatory scope of consolidation £m |
| --- | --- | --- | --- | --- |
| **Assets** | | | | |
| Cash and balances at central banks | | 35,218 | (84) | 35,134 |
| Cash collateral and settlement balances | | 4,345 | - | 4,345 |
| Loans and advances at amortised cost | | 211,649 | 92 | 211,741 |
| Reverse repurchase agreements and other similar secured lending | | 133 | - | 133 |
| Trading portfolio assets | | 298 | - | 298 |
| Financial assets at fair value through the income statement | | 3,432 | - | 3,432 |
| Derivative financial instruments | | 550 | - | 550 |
| Financial assets at fair value through other comprehensive income | | 26,026 | - | 26,026 |
| Investments in subsidiaries, associates and joint ventures | d | - | 129 | 129 |
| Goodwill and intangible assets | | 3,527 | - | 3,527 |
| Of which: goodwill | e | 3,526 | - | 3,526 |
| Of which: other intangibles (excluding MSRs) | f | 1 | - | 1 |
| Property, plant and equipment | | 737 | - | 737 |
| Current tax assets | | 75 | - | 75 |
| Deferred tax assets | | 780 | - | 780 |
| Other assets | | 728 | (22) | 706 |
| **Total assets** | | **287,498** | **115** | **287,613** |
| **Liabilities** | | | | |
| Deposits at amortised cost | | 240,535 | 26 | 240,561 |
| Cash collateral and settlement balances | | 455 | - | 455 |
| Repurchase agreements and other similar secured borrowing | | 7,178 | - | 7,178 |
| Debt securities in issue | | 7,503 | - | 7,503 |
| Subordinated liabilities | i | 9,869 | - | 9,869 |
| Trading portfolio liabilities | | 1,265 | - | 1,265 |
| Derivative financial instruments | | 880 | - | 880 |
| Other liabilities | | 1,906 | (10) | 1,896 |
| Provisions | | 880 | (7) | 873 |
| **Total liabilities** | | **270,471** | **9** | **270,480** |
| **Equity** | | | | |
| Called up share capital and share premium | | 5 | - | 5 |
| Of which: amount eligible for CET1 | a | 5 | - | 5 |
| Other equity instruments | h | 2,560 | - | 2,560 |
| Other reserves | c,g | 473 | 102 | 575 |
| Retained earnings | b | 13,989 | 4 | 13,993 |
| **Total equity** | | **17,027** | **106** | **17,133** |
| **Total liabilities and equity** | | **287,498** | **115** | **287,613** |

† The references (a) – (i) identify balance sheet components that are used in the calculation of regulatory capital in Table 5: CC1 – Composition of regulatory capital on page 9.

---

**Table 7: Risk weighted assets by risk type**

This table shows RWAs by risk type.

| Risk weighted assets (RWAs) by risk type and approach | Credit risk | | Counterparty credit risk | | | | Market risk | | Operational risk | Total RWAs |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| | Std £m | AIRB £m | Std £m | AIRB £m | Settlement risk £m | CVA £m | Std £m | IMA £m | £m | £m |
| As at 31 December 2020 | | | | | | | | | | |
| Risk weighted assets | 5,559 | 54,260 | 536 | - | - | 251 | 72 | - | 11,347 | 72,025 |
| As at 31 December 2019 | | | | | | | | | | |
| Risk weighted assets | 5,216 | 57,374 | 475 | - | - | 150 | 178 | - | 11,617 | 75,010 |

**Credit risk portfolios subject to**

| Standardised Approach | Advanced Internal Ratings Based (AIRB) approach |
| --- | --- |
| • Minor UK Cards portfolio | • UK managed retail and wholesale portfolios |
| • Further Education and Local Authority portfolios | • UK cards |
| • High quality liquidity pool assets | |
| • Minor unsecured loan portfolios (closed books in run off) | |
| • UK Wealth Portfolio | |

Barclays Bank UK AIRB roll-out plans are discussed with regulators and updated based on an agreed schedule.

---

**Table 8: OV1 - Overview of risk weighted assets by risk type and capital requirements**

The table shows RWAs, split by risk type and approach. For credit risk, RWAs are shown by credit exposure class.

Please see additional disclosures for each risk type in the Analysis of Credit Risk (page 20), Counterparty Credit Risk (page 59), Market Risk (page 66), Securitisation Exposures (page 67) and Operational Risk sections (page 73).

| | | RWA As at 31 December 2020 £m | RWA As at 31 December 2019 £m | Minimum Capital Requirements As at 31 December 2020 £m | Minimum Capital Requirements As at 31 December 2019 £m |
| --- | --- | --- | --- | --- | --- |
| 1 | Credit risk (excluding counterparty credit risk) (CCR) | 56,891 | 60,490 | 4,551 | 4,839 |
| 2 | Of which standardised approach | 5,072 | 5,150 | 405 | 411 |
| 3 | Of which the foundation IRB (FIRB) approach | - | - | - | - |
| 4 | Of which the advanced IRB (AIRB) approach | 51,819 | 55,340 | 4,146 | 4,428 |
| 5 | Of which Equity IRB under the Simple risk-weight or the internal models approach | - | - | - | - |
| 6 | CCR | 787 | 625 | 63 | 50 |
| 7 | Of which mark to market | 192 | 55 | 16 | 4 |
| 8 | Of which original exposure | - | - | - | - |
| 9 | Of which standardised approach | - | - | - | - |
| 9a | Of which financial collateral comprehensive method | 140 | 224 | 11 | 18 |
| 10 | Of which internal model method | - | - | - | - |
| 11 | Of which risk exposure amount for contributions to the default fund of a CCP | 204 | 196 | 16 | 16 |
| 12 | Of which CVA | 251 | 150 | 20 | 12 |
| 13 | Settlement risk | - | - | - | - |
| 14 | Securitisation exposures in banking book (after cap) | 737 | 135 | 59 | 11 |
| 15 | Of which IRB approach | - | 119 | - | 10 |
| 16 | Of which IRB supervisory formula approach (SFA) | - | - | - | - |
| 17 | Of which internal assessment approach (IAA) | - | - | - | - |
| 18 | Of which standardised approach | - | - | - | - |
| 14c | Sec - External Ratings Based Approach | 169 | - | 14 | - |
| 14d | Sec - Internal Assessment Approach | - | - | - | - |
| 14e | Sec - Standardised Approach | 268 | 16 | 21 | 1 |
| 14f | Sec - Internal Ratings Based Approach | 300 | - | 24 | - |
| 19 | Market risk | 72 | 178 | 6 | 14 |
| 20 | Of which the standardised approach | 72 | 178 | 6 | 14 |
| 21 | Of which IMA | - | - | - | - |
| 22 | Large exposures | - | - | - | - |
| 23 | Operational risk | 11,347 | 11,617 | 908 | 929 |
| 24 | Of which basic indicator approach | - | - | - | - |
| 25 | Of which standardised approach | 11,347 | 11,617 | 908 | 929 |
| 26 | Of which advanced measurement approach | - | - | - | - |
| 27 | Amounts below the thresholds for deduction (subject to 250% risk weight) | 2,191 | 1,965 | 175 | 157 |
| 28 | Floor Adjustments | - | - | - | - |
| 29 | Total | 72,025 | 75,010 | 5,762 | 6,000 |

---

**Table 9: CR8 - RWA flow statement of credit risk exposures under the AIRB approach**

| | | RWA amount £m | Capital requirements £m |
| --- | --- | --- | --- |
| 1 | As at 1 January 2020 | 57,374 | 4,590 |
| 2 | Asset size | (4,097) | (328) |
| 3 | Asset quality | (50) | (4) |
| 4 | Model updates | 1,905 | 152 |
| 5 | Methodology and policy | (714) | (57) |
| 6 | Acquisitions and disposals | (158) | (13) |
| 7 | Foreign exchange movements | - | - |
| 8 | Other | - | - |
| 9 | As at 31 December 2020 | 54,260 | 4,340 |

#### Basis of preparation for movements in risk weighted assets
Seven categories of drivers have been identified and are described below. Not all the drivers are applicable, however all categories have been listed below for completeness.

**Asset/book size**
Credit risk and counterparty risk (inc CVA)
This represents RWA movements driven by changes in the size and composition of underlying positions, measured using Exposure at Default (EAD) values for existing portfolios over the period. This includes, but is not exclusive to:
* new business and maturing loans
* changes in product mix and exposure growth for existing portfolios
* book size reductions owing to risk mitigation and write-offs

**Asset/book quality**
Credit risk and counterparty risk (inc CVA)
This represents RWA movements driven by changes in the underlying credit quality and recoverability of portfolios and reflected through model calibrations or realignments where applicable. This includes, but is not exclusive to:
* Probability of Default (PD) migration and Loss Given Default (LGD) changes driven by economic conditions
* ratings migration for standardised exposures

**Model updates**
Credit risk and counterparty risk (inc CVA)
This is the movement in RWAs as a result of both internal and external model updates. This includes, but is not exclusive to:
* updates to existing model inputs driven by both internal and external review
* model enhancements to improve models performance

**Methodology and policy**
Credit risk and counterparty risk (inc CVA)
This is the movement in RWAs as a result of both internal and external methodology, policy and regulatory changes. This includes, but is not exclusive to:
* updates to RWA calculation methodology, communicated by the regulator
* the implementation of credit risk mitigation to a wider scope of portfolios

**Acquisitions and disposals**
This is the movement in RWAs as a result of the disposal or acquisition of business operations impacting the size of banking and trading portfolios.

**Foreign exchange movements**
This is the movement in RWAs as a result of changes in the exchange rate between the functional currency of the Barclays business area or portfolio and our presentational currency for consolidated reporting. It should be noted that foreign exchange movements shown in Table 9 do not include the impact of foreign exchange for the counterparty credit risk or market risk RWAs.

**Other**
This is the movement in RWAs driven by items that cannot be reasonably assigned to the other driver categories.

---

### Leverage ratio and exposures

The following leverage tables show the components of the leverage ratio using the CRR definition for the leverage exposure and the Tier 1 capital on a transitional basis as at 31 December 2020.a

Barclays Bank UK Group manages the risk associated with leverage exposures through the Barclays Bank UK Group’s capital risk management process. Leverage ratio forecasts are regularly monitored against early warning indicators and internal limits which trigger actions to mitigate risk. Barclays Bank UK Group leverage ratio is also subject to regular external and internal stress testing as applicable as part of Barclays Group.

**Table 10: Summary reconciliation of accounting assets and leverage ratio exposures**

This table is a summary of the total leverage exposure and comprises of total IFRS assets used for statutory purposes, regulatory consolidation and other leverage adjustments.

| | | As at 31 December 2020 £m | As at 31 December 2019 £m |
| --- | --- | --- | --- |
| 1 | Total assets as per published financial statements | 287,498 | 258,398 |
| 2 | Adjustment for entities which are consolidated for accounting purposes but are outside the scope of regulatory consolidation | 115 | 102 |
| 4 | Adjustments for derivative financial instruments | 132 | 220 |
| 5 | Adjustments for securities financing transactions (SFTs) | 1 | 30 |
| 6 | Adjustment for off-balance sheet items (i.e. conversion to credit equivalent amounts of off-balance sheet exposures) | 9,475 | 9,037 |
| 7 | Other adjustments (asset amounts deducted in determining tier 1 capital) | (2,979) | (3,702) |
| EU-7a | Adjustment for regular-way purchases and sales of financial assets subject to trade date accounting | - | - |
| 8 | Total leverage ratio exposure | 294,242 | 264,085 |

**Note**
a Capital and leverage measures are calculated applying the IFRS 9 transitional arrangements of the CRR as amended by CRR II.

---

**Table 11: Leverage ratio common disclosure**

This table shows the leverage ratio calculation and includes additional breakdowns for the leverage exposure measure.

| | | As at 31 December 2020 £m | As at 31 December 2019 £m |
| --- | --- | --- | --- |
| | **On-balance sheet exposures (excluding derivatives and SFTs)** | | |
| 1 | On-balance sheet items (excluding derivatives, SFTs and fiduciary assets, but including collateral) | 286,930 | 256,546 |
| EU-1a | Adjustment for regular-way purchases and sales of financial assets subject to trade date accounting | - | - |
| 2 | Asset amounts deducted in determining tier 1 capital | (2,979) | (3,702) |
| 3 | Total on-balance sheet exposures (excluding derivatives, SFTs and fiduciary assets) | 283,951 | 252,844 |
| | **Derivative exposures** | | |
| 4 | Replacement cost associated with all derivatives transactions (i.e. net of eligible cash variation margin) | 150 | 123 |
| 5 | Add-on amounts for PFE associated with all derivatives transactions (mark-to-market method) | 1,088 | 725 |
| 7 | Deductions of receivables assets for cash variation margin provided in derivatives transactions | (556) | (435) |
| 11 | Total derivative exposures | 682 | 413 |
| | **Securities financing transaction exposures** | | |
| 12 | Gross SFT assets (with no recognition of netting), after adjusting for sales accounting transactions | 1,384 | 2,516 |
| 13 | Netted amounts of cash payables and cash receivables of gross SFT assets | (1,251) | (755) |
| 14 | Counterparty credit risk exposure for SFT assets | 1 | 30 |
| 16 | Total securities financing transaction exposures | 134 | 1,791 |
| | **Other off-balance sheet exposures** | | |
| 17 | Off-balance sheet exposures at gross notional amount | 66,832 | 65,377 |
| 18 | Adjustments for conversion to credit equivalent amounts | (57,357) | (56,340) |
| 19 | Other off-balance sheet exposures | 9,475 | 9,037 |
| | **Capital and total exposures** | | |
| 20 | Tier 1 capital | 13,807 | 12,688 |
| 21 | Total leverage ratio exposures | 294,242 | 264,085 |
| | **Leverage ratio** | | |
| 22 | Leverage ratio | 4.7% | 4.8% |
| | **Choice on transitional arrangements and amount of derecognised fiduciary items** | | |
| EU-23 | Choice on transitional arrangements for the definition of the capital measure | Transitional | |

---

**Table 12: Split-up of on balance sheet exposures (excluding derivatives, SFTs, and exempted exposures)**

The table shows a breakdown of the on-balance sheet exposures excluding derivatives, SFTs and exempted exposures, by regulatory asset class.

| | | As at 31 December 2020 £m | As at 31 December 2019 £m |
| --- | --- | --- | --- |
| EU-1 | Total on-balance sheet exposures (excluding derivatives, SFTs, and exempted exposures), of which: | 286,024 | 255,694 |
| EU-2 | Trading book exposures | 298 | 865 |
| EU-3 | Banking book exposures, of which: | 285,726 | 254,829 |
| EU-4 | Covered bonds | 1,827 | 1,766 |
| EU-5 | Exposures treated as sovereigns | 66,399 | 45,703 |
| EU-6 | Exposures to regional governments, MDB, international organisations and PSE NOT treated as sovereigns | 8,920 | 7,717 |
| EU-7 | Institutions | 1,897 | 1,619 |
| EU-8 | Secured by mortgages of immovable properties | 147,486 | 142,738 |
| EU-9 | Retail exposures | 28,658 | 25,763 |
| EU-10 | Corporate | 15,883 | 18,079 |
| EU-11 | Exposures in default | 3,388 | 2,752 |
| EU-12 | Other exposures (e.g. equity, securitisations, and other non-credit obligation assets) | 11,268 | 8,692 |

---

**Table 13: LIQ1 - Liquidity Coverage ratio**

This table shows the level and components of the Liquidity Coverage Ratio. This disclosure has been prepared in accordance with the requirements set out in the ‘Guidelines on LCR disclosure to complement the disclosure of liquidity risk management under Article 435 of Regulation (EU) No 575/2013’ as specified in Annexure II which complements Article 435(1)(f) of Regulation (EU) No 575/2013.

**Liquidity coverage ratio (period end)**

| | Total period end value | | | |
| --- | --- | --- | --- | --- |
| | As at 31 December 2020 £m | As at 30 June 2020 £m | As at 31 December 2019 £m | As at 30 June 2019 £m |
| Liquidity buffer | 58,035 | 62,100 | 41,293 | 47,001 |
| Total net cash outflows | 36,246 | 36,390 | 28,741 | 29,375 |
| Liquidity coverage ratio (%) (period end) | 160% | 171% | 144% | 160% |

**LIQ1 - Liquidity coverage ratio (average)**

| | Total unweighted value (average) | | | | Total weighted value (average) | | | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- |
| | As at 31 Dec 2020 | As at 30 Jun 2020 | As at 31 Dec 2019 | As at 30 Jun 2019 | As at 31 Dec 2020 £m | As at 30 Jun 2020 £m | As at 31 Dec 2019 £m | As at 30 Jun 2019 £m |
| Number of data points used in calculation of averagesa | 12 | 12 | 12 | 12 | | | | |
| **High-quality liquid assets** | | | | | **£m** | **£m** | **£m** | **£m** |
| 1 Total high-quality liquid assets (HQLA) | | | | | 57,090 | 46,706 | 43,775 | 44,124 |
| **Cash outflows** | | | | | | | | |
| 2 Retail deposits and deposits from small business customers, of which: | 195,891 | 177,592 | 168,723 | 166,449 | 14,292 | 13,237 | 12,702 | 12,457 |
| 3 Stable deposits | 124,900 | 114,868 | 110,598 | 110,132 | 6,245 | 5,743 | 5,530 | 5,507 |
| 4 Less stable deposits | 65,642 | 60,888 | 58,117 | 56,309 | 8,042 | 7,487 | 7,164 | 6,942 |
| 5 Unsecured wholesale funding, of which: | 27,707 | 23,696 | 21,739 | 21,052 | 12,659 | 10,498 | 9,626 | 9,858 |
| 6 Operational deposits (all counterparties) and deposits in networks of cooperative banks | 4,853 | 3,533 | 2,352 | 1,665 | 1,112 | 828 | 571 | 403 |
| 7 Non-operational deposits (all counterparties)b | 19,898 | 18,798 | 18,942 | 18,971 | 8,591 | 8,305 | 8,610 | 9,039 |
| 8 Unsecured debt | 2,956 | 1,365 | 445 | 416 | 2,956 | 1,365 | 445 | 416 |
| 9 Secured wholesale funding | 458 | 458 | - | 84 | - | - | - | - |
| 10 Additional requirements, of which: | 20,067 | 19,439 | 19,148 | 19,338 | 6,066 | 5,639 | 5,205 | 5,000 |
| 11 Outflows related to derivative exposures and other collateral requirements | 4,734 | 4,342 | 4,022 | 3,940 | 4,734 | 4,342 | 4,022 | 3,940 |
| 12 Outflows related to loss of funding on debt products | 301 | 279 | 147 | - | 301 | 279 | 147 | - |
| 13 Credit and liquidity facilities | 15,032 | 14,818 | 14,979 | 15,398 | 1,031 | 1,018 | 1,036 | 1,060 |
| 14 Other contractual funding obligations | 276 | 245 | 171 | 63 | 2 | 2 | 63 | 63 |
| 15 Other contingent funding obligations | 50,707 | 50,608 | 51,532 | 53,729 | 3,144 | 2,929 | 2,542 | 2,089 |
| 16 Total cash outflows | | | | | 36,621 | 32,764 | 30,138 | 29,551 |
| **Cash inflows** | | | | | | | | |
| 17 Secured lending (e.g. reverse repos) | 3,030 | 3,154 | 1,534 | 407 | 456 | 457 | 1 | - |
| 18 Inflows from fully performing exposures | 1,882 | 1,818 | 1,660 | 1,725 | 945 | 912 | 834 | 877 |
| 19 Other cash inflowsc | 2,149 | 2,470 | 2,687 | 2,716 | 439 | 507 | 560 | 564 |
| 20 Total cash inflows | | | | | 1,840 | 1,876 | 1,395 | 1,441 |
| Fully exempt inflows | | | | | - | - | - | - |
| Inflows subject to 90% cap | | | | | - | - | - | - |
| Inflows subject to 75% cap | 7,060 | 7,442 | 5,881 | 4,848 | 1,840 | 1,876 | 1,395 | 1,441 |
| 21 Liquidity buffer | | | | | 57,090 | 46,706 | 43,775 | 44,124 |
| 22 Total net cash outflows | | | | | 34,781 | 30,889 | 28,743 | 28,110 |
| 23 Liquidity coverage ratio (%) (average) | | | | | 164% | 151% | 152% | 157% |

**Notes**
a Trailing average of 12 month-end observations to the reporting date.
b Non-operational deposits row 7 include excess deposits as defined in the Delegated Act Article 27(4).
c Difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies.

---

### Analysis of net interest income and equity sensitivity

Equity sensitivity measures the overall impact of a +/- 25bps movement in interest rates on retained earnings, Fair Value through Other Comprehensive Income (FVOCI), and cash flow hedge reserves. For non-net interest income items, a DV01 metric is used which is an indicator of the shift in value for a 1 basis point in the yield curve.

Net interest income sensitivity is calculated for non-trading financial assets and liabilities, including the effect of any hedging. The sensitivity has been measured using the Annual Earnings at Risk (AEaR) metric. Note that this metric assumes an instantaneous parallel change to forward interest rate curves. The model does not apply floors to shocked market rates, but does recognize contractual product specific interest rate floors where relevant. The main model assumptions are: (i) one-year ahead time horizon; (ii) balance sheet is held constant except for certain balances considered rate sensitive; (iii) balances are adjusted for assumed behavioural profiles (i.e. considers that customers may prepay the mortgages before the contractual maturity); and (iv) behavioural assumptions are kept unchanged in all rate scenarios.

**Table 14: Analysis of equity sensitivity**

| Analysis of equity sensitivity | 2020 | | 2019 | |
| --- | --- | --- | --- | --- |
| | +25 basis points £m | -25 basis points £m | +25 basis points £m | -25 basis points £m |
| **The Barclays Bank UK Group** | | | | |
| Net interest income | 10 | (141) | 16 | (57) |
| Taxation effects on the above | (3) | 38 | (4) | 15 |
| Effect on profit for the year | 7 | (103) | 12 | (42) |
| As percentage of net profit after tax | 2.0% | (27.1%) | 7.7% | (26.9%) |
| Effect on profit for the year (per above) | 7 | (103) | 12 | (42) |
| Fair value through other comprehensive income reserve | (20) | 20 | (27) | 27 |
| Cash flow hedge reserve | (186) | 186 | (177) | 177 |
| Taxation effects on the above | 56 | (56) | 51 | (51) |
| Effect on equity | (143) | 48 | (141) | 111 |
| As percentage of equity | (0.8%) | 0.3% | (0.9%) | 0.7% |
| **The Barclays Bank UK PLC** | | | | |
| Net interest income | 10 | (141) | 16 | (57) |
| Taxation effects on the above | (3) | 38 | (4) | 15 |
| Effect on profit for the year | 7 | (103) | 12 | (42) |
| As percentage of net profit after tax | 1.9% | (26.1%) | 5.8% | (20.2%) |
| Effect on profit for the year (per above) | 7 | (103) | 12 | (42) |
| Fair value through other comprehensive income reserve | (20) | 20 | (27) | 27 |
| Cash flow hedge reserve | (186) | 186 | (177) | 177 |
| Taxation effects on the above | 56 | (56) | 51 | (51) |
| Effect on equity | (143) | 48 | (141) | 111 |
| As percentage of equity | (0.8%) | 0.3% | (0.8%) | 0.7% |

#### Volatility of the FVOCI portfolio in the liquidity pool
Changes in the value of FVOCI exposures flow directly through equity via the FVOCI reserve. The volatility of the value of the FVOCI investments in the liquidity pool is captured and managed through a value measure rather than an earning measure, i.e. non-traded market risk Value at Risk (VaR).

Although the underlying methodology to calculate the non-traded VaR is identical to the one used in traded management VaR, the two measures are not directly comparable. The non-traded VaR represents the volatility to capital driven by the FVOCI exposures. These exposures are in the banking book and do not meet the criteria for trading book treatment.

| Analysis of volatility of the FVOCI portfolio in the liquidity pool | 2020 | | | 2019 | | |
| --- | --- | --- | --- | --- | --- | --- |
| | Average £m | High £m | Low £m | Average £m | High £m | Low £m |
| For the year ended 31 December | | | | | | |
| Non-traded market value at risk (daily, 95%) | 7 | 9 | 4 | 4 | 7 | 2 |

---

**Table 15: PV1 - Prudent valuation adjustment**

This table below provides a granular breakdown of the Prudent Valuation Adjustment (PVA). PVA is a Common Equity Tier 1 capital deduction.

EU CRR Articles 34 & 105 define regulatory principles that are applied to all fair valued assets and liabilities in order to determine a prudent valuation. The Prudent Valuation Adjustment (PVA) is the difference between the financial statement fair valuation and the prudent valuation.

| As at 31 December 2020 | Equity £m | Interest rates £m | FX £m | Creditª £m | Commodities £m | Totala £m | Of which in the trading book £m | Of which in the banking book £m |
| --- | --- | --- | --- | --- | --- | --- | --- | --- |
| 1 Closeout uncertainty, of which: | - | 5 | - | 2 | - | 7 | 5 | 2 |
| 2 Mid-market valueb | - | 4 | - | 2 | - | 6 | 4 | 2 |
| 3 Closeout costb | - | 1 | - | - | - | 1 | 1 | - |
| 4 Concentration | - | - | - | - | - | - | - | - |
| 5 Early termination | - | - | - | - | - | - | - | - |
| 6 Model risk | - | - | - | - | - | - | - | - |
| 7 Operational risk | - | - | - | 7 | - | 7 | - | 7 |
| 8 Investing and funding costsb | - | - | - | 66 | - | 66 | - | 66 |
| 9 Unearned credit spreads | - | - | - | - | - | - | - | - |
| 10 Future administrative costs | - | - | - | - | - | - | - | - |
| 11 Other | - | - | - | - | - | - | - | - |
| 12 Total adjustment | - | 5 | - | 75 | - | 80 | 5 | 75 |
| **As at 31 December 2019** | | | | | | | | |
| 1 Closeout uncertainty, of which: | - | 5 | - | 4 | - | 9 | 5 | 4 |
| 2 Mid-market valueb | - | 4 | - | 4 | - | 8 | 4 | 4 |
| 3 Closeout costb | - | 1 | - | - | - | 1 | 1 | - |
| 4 Concentration | - | - | - | - | - | - | - | - |
| 5 Early termination | - | - | - | - | - | - | - | - |
| 6 Model risk | - | - | - | - | - | - | - | - |
| 7 Operational risk | - | 1 | - | 12 | - | 13 | 1 | 12 |
| 8 Investing and funding costsb | - | - | - | 116 | - | 116 | - | 116 |
| 9 Unearned credit spreads | - | - | - | - | - | - | - | - |
| 10 Future administrative costs | - | - | - | - | - | - | - | - |
| 11 Other | - | - | - | - | - | - | - | - |
| 12 Total adjustment | - | 6 | - | 132 | - | 138 | 6 | 132 |

**Notes**
a The most significant contributor to Barclays Bank UK Group’s PVA is the ESHLA portfolio. ESHLA is a portfolio of longer dated non-asset backed loans made to Education, Social Housing and Local Authority (ESHLA) counterparties. The ESHLA PVA numbers are classified as banking book.
b A diversification reduction factor of 66% (2019: 50%) is applied to uncertainty after all regulatory exclusions and offsets, where permitted by CRR.

---

## Analysis of credit risk

### Analysis of capital requirements and exposures for credit risk

**Table 16: Credit risk exposures – Note on post- credit risk mitigation (CRM) EAD, RWA and minimum capital requirements**

This table summarises credit risk information presented in the rest of this report and shows EAD post-CRM, RWA and minimum capital requirements. In accordance with regulatory requirements, credit mitigation is either reflected in regulatory measures for exposure at default (EAD), or in the risk inputs: probability of default (PD) and loss given default (LGD). For the majority of Barclays Bank UK Group’s exposures, in particular mortgages and those under the AIRB treatment, the impact of CRM is primarily reflected in the PD or LGD rather than EAD measures.

RWAs and post-CRM exposures are analysed in the table below. Information on the impact of CRM on EAD is set out on page 28.

| Credit exposure class | As at 31 December 2020 | | | As at 31 December 2019 | | |
| --- | --- | --- | --- | --- | --- | --- |
| | EAD post CRMa £m | RWA £m | Minimum Capital Requirements £m | EAD post CRMa £m | RWA £m | Minimum Capital Requirements £m |
| **Standardised approach** | | | | | | |
| Central governments or central banks | 108,974 | - | - | 70,832 | - | - |
| Regional governments or local authorities | 10,273 | 1,647 | 132 | 7,804 | 1,404 | 112 |
| Public sector entities | 2,616 | 137 | 11 | 2,737 | 142 | 11 |
| Multilateral development banks | 2,352 | - | - | 1,924 | - | - |
| International organisations | 131 | - | - | 350 | - | - |
| Institutions | 1,485 | 299 | 24 | 1,249 | 275 | 22 |
| Corporates | 1,634 | 473 | 37 | 1,260 | 392 | 31 |
| Retail | 784 | 588 | 47 | 1,126 | 844 | 68 |
| Secured by mortgages | 2,722 | 1,020 | 82 | 2,940 | 1,125 | 90 |
| Exposures in default | 177 | 191 | 15 | 170 | 186 | 15 |
| Items associated with high risk | 7 | 11 | 1 | 8 | 11 | 1 |
| Covered bonds | 1,827 | 198 | 16 | 1,766 | 184 | 15 |
| Securitisation positions | 2,289 | 439 | 35 | 159 | 16 | 1 |
| Collective investment undertakings | - | - | - | - | - | - |
| Equity positions | 20 | 49 | 4 | 20 | 49 | 4 |
| Other items | 1,327 | 507 | 41 | 2,022 | 588 | 47 |
| **Total standardised approach** | **136,618** | **5,559** | **445** | **94,367** | **5,216** | **417** |
| **Advanced IRB approach** | | | | | | |
| Central governments or central banks | - | - | - | - | - | - |
| Institutions | 37 | 38 | 3 | 34 | 33 | 3 |
| Corporates | 15,530 | 8,594 | 687 | 17,783 | 8,827 | 706 |
| Retail | - | - | - | - | - | - |
| - Small and medium-sized enterprises (SMEs) | 7,644 | 3,366 | 269 | 8,876 | 3,863 | 309 |
| - Secured by real estate collateral | 153,837 | 20,771 | 1,662 | 148,025 | 19,866 | 1,589 |
| - Qualifying revolving retail | 31,750 | 14,250 | 1,140 | 36,297 | 16,315 | 1,305 |
| - Other retail | 4,561 | 4,048 | 324 | 6,076 | 5,472 | 438 |
| Equity | - | - | - | - | - | - |
| Securitisation positions | 1,999 | 300 | 24 | 1,352 | 119 | 10 |
| Non-credit obligation assets | 1,609 | 2,893 | 231 | 1,730 | 2,879 | 230 |
| **Total advanced IRB** | **216,967** | **54,260** | **4,340** | **220,173** | **57,374** | **4,591** |
| **Total** | **353,585** | **59,819** | **4,785** | **314,540** | **62,590** | **5,007** |

**Note**
a Collateral and guarantees for advanced IRB are not included within EAD as the impact of these measures is reflected in the LGD calculations.

---

**Table 17: CRB-B Total and average net amount of exposures**

This table provides the total and the average amount of net exposures over the period by exposure class.

The “Net value of exposure” column represents gross exposures pre-CRM and CCF.

| | As at 31 December 2020 | | As at 31 December 2019 | |
| --- | --- | --- | --- | --- |
| | Net value of exposures £m | Average net exposuresa £m | Net value of exposures £m | Average net exposuresa £m |
| 1 | Central governments or central banks | - | - | - | 4 |
| 2 | Institutions | 36 | 32 | 34 | 5,748 |
| 3 | Corporates | 16,641 | 18,357 | 18,456 | 18,837 |
| 4 | Of Which: Specialised Lending | 1,105 | 1,090 | 1,072 | 1,051 |
| 5 | Of Which: SMEs | 8,013 | 8,706 | 8,291 | 8,672 |
| 6 | Retail | 228,135 | 227,774 | 227,311 | 225,010 |
| 7 | Secured by real estate property | 158,173 | 154,098 | 150,872 | 147,282 |
| 8 | SME | - | - | - | - |
| 9 | Non-SMEs | 158,173 | 154,098 | 150,872 | 147,282 |
| 10 | Qualifying Revolving | 57,653 | 60,688 | 63,003 | 64,104 |
| 11 | Other Retail | 12,309 | 12,988 | 13,436 | 13,624 |
| 12 | SME | 7,746 | 7,717 | 7,358 | 7,414 |
| 13 | Non-SMEs | 4,563 | 5,271 | 6,078 | 6,210 |
| 14 | Equity | - | - | - | - |
| 15 | **Total IRB Approach** | **244,812** | **246,163** | **245,801** | **249,599** |
| 16 | Central governments or central banks | 89,049 | 84,977 | 63,701 | 69,689 |
| 17 | Regional governments or local authorities | 10,273 | 9,771 | 7,805 | 2,223 |
| 18 | Public sector entities | 2,620 | 2,902 | 2,740 | 1,972 |
| 19 | Multilateral development banks | 2,352 | 2,338 | 1,924 | 1,779 |
| 20 | International organisations | 131 | 229 | 350 | 274 |
| 21 | Institutions | 2,383 | 2,409 | 1,686 | 1,895 |
| 22 | Corporates | 3,169 | 2,935 | 2,380 | 2,285 |
| 23 | Of Which: SMEs | 454 | 346 | 164 | 220 |
| 24 | Retail | 13,541 | 10,470 | 4,818 | 5,593 |
| 25 | Of Which: SMEs | 9,345 | 6,007 | 26 | 57 |
| 26 | Secured by mortgages on immovable property | 2,723 | 2,778 | 2,941 | 2,873 |
| 27 | Of Which: SMEs | 63 | 66 | 99 | 98 |
| 28 | Exposures in default | 462 | 303 | 176 | 209 |
| 29 | Items associated with particularly high risk | 7 | 7 | 8 | 8 |
| 30 | Covered bonds | 1,827 | 1,864 | 1,766 | 1,265 |
| 31 | Claims on institutions and corporates with a short-term credit assessment | - | - | - | - |
| 32 | Collective investments undertakings | - | - | - | - |
| 33 | Equity exposures | 20 | 20 | 20 | 20 |
| 34 | Other exposures | 1,327 | 1,431 | 2,022 | 1,805 |
| 35 | **Total standardised approach** | **129,884** | **122,434** | **92,337** | **91,890** |
| 36 | **Total** | **374,696** | **368,597** | **338,138** | **341,489** |

**Note**
a Average net exposure values are calculated based on the last four quarters.

---

**Table 18: CRB-C Geographic analysis of credit exposure**

This table shows exposure at default pre-CCF and pre-CRM, broken down by credit exposure class and geographic location of the counterparty.

| As at 31 December 2020 | UK £m | Europe £m | Germany £m | Americas £m | United States £m | Asia £m | Japan £m | Africa and Middle East £m | Total £m |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| **Total IRB approach** | **244,804** | **-** | **-** | **8** | **-** | **-** | **-** | **-** | **244,812** |
| Total Standardised approach | 100,747 | 7,309 | 2,007 | 8,548 | 5,411 | 13,220 | 12,108 | 60 | 129,884 |
| **Total** | **345,551** | **7,309** | **2,007** | **8,556** | **5,411** | **13,220** | **12,108** | **60** | **374,696** |

| As at 31 December 2019 | UK £m | Europe £m | Germany £m | Americas £m | United States £m | Asia £m | Japan £m | Africa and Middle East £m | Total £m |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| **Total IRB approach** | **245,792** | **-** | **-** | **9** | **-** | **-** | **-** | **-** | **245,801** |
| Total Standardised approach | 70,219 | 9,977 | 4,850 | 7,335 | 5,890 | 4,738 | 4,465 | 68 | 92,337 |
| **Total** | **316,011** | **9,977** | **4,850** | **7,344** | **5,890** | **4,738** | **4,465** | **68** | **338,138** |

---

**Table 19: CRB -D - Concentration of exposures by industry**

This table shows exposure at default pre-CCF and pre-CRM, broken down by credit exposure class and the industrial sector associated with the counterparty.

| As at 31 December 2020 | Agriculture, forestry and fishing £m | Mining and quarrying £m | Manufacturing £m | Electricity, gas, steam and air conditioning supply £m | Water supply £m | Construction £m | Wholesale and retail trade £m | Transport and storage £m | Accommodation and food service activities £m | Information and communication £m | Real estate activities £m | Professional, scientific and technical activities £m | Administrative and support service activities £m | Public administration and defence, compulsory social security £m | Education £m | Human health services and social work activities £m | Arts, entertainment and recreation £m | Other services £m | Total £m |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| **Total IRB Approach** | **4,683** | **33** | **656** | **30** | **41** | **621** | **1,492** | **247** | **780** | **234** | **12,550** | **638** | **450** | **-** | **309** | **917** | **276** | **220,855** | **244,812** |
| **Total Standardised approach** | **308** | **4** | **469** | **12** | **38** | **1,697** | **1,891** | **687** | **955** | **417** | **1,067** | **977** | **1,075** | **32,126** | **511** | **379** | **227** | **87,044** | **129,884** |
| **Total** | **4,991** | **37** | **1,125** | **42** | **79** | **2,318** | **3,383** | **934** | **1,735** | **651** | **13,617** | **1,615** | **1,525** | **32,126** | **820** | **1,296** | **503** | **307,899** | **374,696** |

---

**Table 19: CRB -D - Concentration of exposures by industry continued**

| As at 31 December 2019 | Agriculture, forestry and fishing £m | Mining and quarrying £m | Manufacturing £m | Electricity, gas, steam and air conditioning supply £m | Water supply £m | Construction £m | Wholesale and retail trade £m | Transport and storage £m | Accommodation and food service activities £m | Information and communication £m | Real estate activities £m | Professional, scientific and technical activities £m | Administrative and support service activities £m | Public administration and defence, compulsory social security £m | Education £m | Human health services and social work activities £m | Arts, entertainment and recreation £m | Other services £m | Total £m |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| **Total IRB Approach** | **4,768** | **39** | **538** | **31** | **42** | **516** | **1,451** | **231** | **757** | **191** | **14,500** | **527** | **347** | **-** | **284** | **920** | **240** | **220,419** | **245,801** |
| **Total Standardised approach** | **34** | **-** | **8** | **3** | **-** | **109** | **40** | **124** | **2** | **5** | **234** | **4** | **213** | **21,565** | **428** | **16** | **6** | **69,546** | **92,337** |
| **Total** | **4,802** | **39** | **546** | **34** | **42** | **625** | **1,491** | **355** | **759** | **196** | **14,734** | **531** | **560** | **21,565** | **712** | **936** | **246** | **289,965** | **338,138** |

---

**Table 20: CRB–E - Residual maturity analysis credit exposures**

This table shows exposure at default pre-CCF and pre-CRM, broken down by credit exposure class and residual maturity. Residual maturity is the remaining number of years before an obligation becomes due according to the existing terms of the agreement.

| As at 31 December 2020 | On Demand £m | <= 1 year £m | > 1 year <= 5 years £m | > 5 years £m | No stated maturity £m | Total £m |
| --- | --- | --- | --- | --- | --- | --- |
| **Total IRB Approach** | **61,213** | **2,775** | **17,599** | **163,225** | **-** | **244,812** |
| **Total Standardised approach** | **57,866** | **23,624** | **20,838** | **26,202** | **1,354** | **129,884** |
| **Total** | **119,079** | **26,399** | **38,437** | **189,427** | **1,354** | **374,696** |

| As at 31 December 2019 | On Demand £m | <= 1 year £m | > 1 year <= 5 years £m | > 5 years £m | No stated maturity £m | Total £m |
| --- | --- | --- | --- | --- | --- | --- |
| **Total IRB Approach** | **66,697** | **2,910** | **19,136** | **157,058** | **-** | **245,801** |
| **Total Standardised approach** | **31,782** | **18,391** | **25,067** | **15,047** | **2,050** | **92,337** |
| **Total** | **98,479** | **21,301** | **44,203** | **172,105** | **2,050** | **338,138** |

---

**Table 21: Exposures covered by guarantees and credit derivatives**

This table shows the proportion of credit risk exposures, covered by funded credit protection and unfunded credit protection in the form of guarantees or credit derivatives.

Under the Standardised approach, the risk weight of the underlying exposure covered is substituted by that of the credit protection provider – generally a central government or institution. Any uncovered exposure is risk weighted using the normal framework. For the Standardised approach, the table below has been populated post-substitution effect.

Under the Advanced approach, the table is designed to show exposures for which the credit protection impact is not reflected though the loss given default (LGD), for example where it is applied directly to the EAD metric such as for exposures related to the Coronavirus Business Interruption Loan Scheme (CBILS). Where Barclays recognises AIRB eligible collateral by reducing the modelled downturn loss given default (LGD) metric, the AIRB values in the table below are “nil”.

| Credit exposure class | Exposures covered by unfunded credit protection | | Exposures covered by funded credit protection |
| --- | --- | --- | --- |
| | Standardised £m | Advanced IRB £m | Advanced IRB £m |
| **As at 31 December 2020** | | | |
| Central governments or central banks | - | - | - |
| Institutions | 378 | 1 | - |
| Corporates | 320 | 306 | - |
| Retail | 9,324 | 562 | - |
| Exposures in default | 281 | - | - |
| **Total** | **10,303** | **869** | **-** |
| **As at 31 December 2019** | | | |
| Institutions | 335 | - | - |
| **Total** | **335** | **-** | **-** |

---

**Table 22: CR3 – CRM techniques**

This table shows the use of CRM techniques broken down by loans and debt securities. This table includes unsecured and secured exposures including collateral, financial guarantees and credit derivatives for both Standardised and AIRB approach.

| As at 31 December 2020 | Exposures unsecured – Carrying amount £m | Exposures secured – Carrying amount £m | Exposures secured by collateral £m | Exposures secured by financial guarantees £m | Exposures secured by credit derivatives £m |
| --- | --- | --- | --- | --- | --- |
| 1 Total loans | 71,149 | 171,973 | 160,996 | 10,976 | - |
| 2 Total debt securities | 32,314 | 376 | - | 376 | - |
| 3 Total exposures | 103,463 | 172,349 | 160,996 | 11,352 | - |
| 4 Of which defaulted | 1,222 | 2,166 | 1,885 | 281 | - |
| **As at 31 December 2019** | | | | | |
| 1 Total loans | 67,138 | 158,730 | 158,730 | - | - |
| 2 Total debt securities | 21,983 | 335 | - | 335 | - |
| 3 Total exposures | 89,121 | 159,065 | 158,730 | 335 | - |
| 4 Of which defaulted | 874 | 2,113 | 2,113 | - | - |

---

**Table 23: CR4 Standardised – Credit Risk exposure and CRM effect**

This table shows the impact of CRM and credit conversion factors (CCF) on exposure values, broken down by regulatory exposure class. This table includes exposures subject to the Standardised approach only.

| As at 31 December 2020 | Exposures before CCF and CRM | | Exposures post-CCF and CRM | | RWA and RWA density | |
| --- | --- | --- | --- | --- | --- | --- |
| | On-balance sheet amount £m | Off-balance sheet amount £m | On-balance sheet amount £m | Off-balance sheet amount £m | RWA £m | RWA density £m |
| **Total** | **95,533** | **34,351** | **96,040** | **38,289** | **5,120** | **4%** |

---

**Table 24: CR7– Effect on RWA of credit derivatives used as CRM techniques (AIRB)**

This table shows the effect of credit derivatives on the AIRB credit risk approach.

| | | Pre-credit derivatives RWAs | Actual RWAs |
| --- | --- | --- | --- |
| | | As at 31 Dec 2020 £m | As at 31 Dec 2019 £m | As at 31 Dec 2020 £m | As at 31 Dec 2019 £m |
| 1 | Exposures under Foundation IRB | - | - | - | - |
| 7 | Exposures under Advanced IRB | 53,960 | 57,255 | 53,960 | 57,255 |
| 20 | Total | 53,960 | 57,255 | 53,960 | 57,255 |

---

**Table 25: Relationship of long-term external credit ratings to credit quality steps under the Standardised approach for non- securitised exposures**

| Credit Quality Step | Standard and Poor's | Moody's | Fitch |
| --- | --- | --- | --- |
| Credit Quality Step 1 | AAA+ to AA- | Aaa1 to Aa3 | AAA+ to AA- |
| Credit Quality Step 2 | A+ to A- | A1 to A3 | A+ to A- |
| Credit Quality Step 3 | BBB+ to BBB- | Baa1 to Baa3 | BBB+ to BBB- |
| Credit Quality Step 4 | BB+ to BB- | Ba1 to Ba3 | BB+ to BB- |
| Credit Quality Step 5 | B+ to B- | B1 to B3 | B+ to B- |
| Credit Quality Step 6 | CCC+ and below | Caa1 and below | CCC+ and below |

---

**Table 26: Credit quality steps and risk weights under the standardised approach**

| Credit Quality Step | Corporates | Institution (includes banks) Sovereign method | Institution (includes banks) Credit assessment method | Institution (includes banks) Maturity > 3 months | Institution (includes banks) Maturity 3 months or less | Central governments or central banks |
| --- | --- | --- | --- | --- | --- | --- |
| Credit Quality Step 1 | 20% | 20% | 20% | 20% | 20% | 0% |
| Credit Quality Step 2 | 50% | 50% | 50% | 50% | 20% | 20% |
| Credit Quality Step 3 | 100% | 100% | 100% | 50% | 20% | 50% |
| Credit Quality Step 4 | 100% | 100% | 100% | 100% | 50% | 100% |
| Credit Quality Step 5 | 150% | 100% | 100% | 100% | 50% | 100% |
| Credit Quality Step 6 | 150% | 150% | 150% | 150% | 150% | 150% |

---

**Table 27: CR5-A Analysis of exposures by asset classes and risk weight pre-CCF and CRM under the standardised approach**

| | 0% £m | 2% £m | 4% £m | 10% £m | 20% £m | 35% £m | 50% £m | 70% £m | 75% £m | 100% £m | 150% £m | 250% £m | 370% £m | 1250% £m | Other £m | Deducted £m | Total £m | Of which: Unrated £m |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| **Total As at 31 Dec 2020** | **96,785** | **-** | **-** | **1,790** | **12,424** | **2,598** | **45** | **-** | **13,551** | **2,342** | **329** | **20** | **-** | **-** | **-** | **-** | **129,884** | **29,186** |

---

**Table 28: CR5-B Analysis of exposures by asset classes and risk weight post-CCF and CRM under the standardised approach**

| | 0% £m | 2% £m | 4% £m | 10% £m | 20% £m | 35% £m | 50% £m | 70% £m | 75% £m | 100% £m | 150% £m | 250% £m | 370% £m | 1250% £m | Total £m | Of which: Unrated £m |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| **Total As at 31 Dec 2020** | **116,486** | **-** | **-** | **1,790** | **11,523** | **2,598** | **45** | **-** | **792** | **1,039** | **36** | **20** | **-** | **-** | **134,329** | **14,503** |

---

### Credit quality analysis of AIRB exposures

**Table 29: Internal default grade probabilities and mapping to external ratings**

| EBA PD Range % | Internal DG Band | Default Probability >Min | Default Probability Mid | Default Probability <=Max | Moody’s | Standard and Poor's |
| --- | --- | --- | --- | --- | --- | --- |
| 0.00 to < 0.15 | 1 | 0.00% | 0.01% | 0.02% | Aaa, Aa1, Aa2 | AAA, AA+, AA |
| | 2 | 0.02% | 0.03% | 0.03% | Aa3 | AA- |
| | 3 | 0.03% | 0.04% | 0.05% | A1 | A+ |
| | 4 | 0.05% | 0.08% | 0.10% | A2, A3 | A, A- |
| | 5 | 0.10% | 0.13% | 0.15% | Baa1 | BBB+ |
| 0.15 to < 0.25 | 6 | 0.15% | 0.18% | 0.20% | Baa2 | BBB |
| | 7 | 0.20% | 0.23% | 0.25% | Baa2 | BBB |
| 0.25 to < 0.50 | 8 | 0.25% | 0.28% | 0.30% | Baa3 | BBB- |
| | 9 | 0.30% | 0.35% | 0.40% | Baa3 | BBB- |
| | 10 | 0.40% | 0.45% | 0.50% | Ba1 | BB+ |
| 0.50 to < 0.75 | 11 | 0.50% | 0.55% | 0.60% | Ba1 | BB |
| | 12 | 0.60% | - | - | Ba2 | BB |
| 0.75 to < 2.50 | 12 | - | 0.90% | 1.20% | Ba2 | BB |
| | 13 | 1.20% | 1.38% | 1.55% | Ba3 | BB- |
| | 14 | 1.55% | 1.85% | 2.15% | Ba3 | B+ |
| | 15 | 2.15% | - | - | B1 | B+ |
| 2.50 to < 10.00 | 15 | - | 2.60% | 3.05% | B1 | B+ |
| | 16 | 3.05% | 3.75% | 4.45% | B2 | B |
| | 17 | 4.45% | 5.40% | 6.35% | B3, Caa1 | B |
| | 18 | 6.35% | 7.50% | 8.65% | B3, Caa1 | B |
| | 19 | 8.65% | 10.00% | - | Caa2 | CCC+ |
| 10.00 to < 100.00 | 19 | - | - | 11.35% | Caa2 | CCC+ |
| | 20 | 11.35% | 15.00% | 18.65% | Caa2 | CCC |
| | 21 | 18.65% | 30.00% | 100.00% | Caa3, Ca, C | CCC-, CC+ ,CC, C |
| 100.00 (Default) | D | - | - | - | D | D |

---

**Table 30: CR6 Credit risk exposures by exposure class and PD range for institutions**

| | Original on-balance sheet gross exposure £m | Off-balance sheet exposures pre CCF £m | Average CCFa % | EAD post CRM and post CCF £m | Average PD % | Number of obligors # | Average LGD % | Average Maturity Years | RWA £m | RWA Density % | EL £m | Value Adjustment and Provisions £m |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| **As at 31 December 2020** | | | | | | | | | | | | |
| **Total** | **33** | **3** | **194.7%** | **37** | **14.7%** | **76** | **30.7%** | **7** | **38** | **101.2%** | **1** | **0** |
| **As at 31 December 2019** | | | | | | | | | | | | |
| **Total** | **31** | **3** | **93.6%** | **34** | **14.1%** | **328** | **32.4%** | **6** | **33** | **96.4%** | **1** | **0** |

---

**Table 31: CR6 Credit risk exposures by exposure class and PD range for corporates**

| | Original on-balance sheet gross exposure £m | Off-balance sheet exposures pre CCF £m | Average CCFa % | EAD post CRM and post CCF £m | Average PD % | Number of obligors # | Average LGD % | Average Maturity Years | RWA £m | RWA Density % | EL £m | Value Adjustment and Provisions £m |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| **As at 31 December 2020** | | | | | | | | | | | | |
| **Total** | **14,040** | **1,496** | **52.1%** | **14,443** | **7.5%** | **10,505** | **16.0%** | **15** | **7,963** | **55.1%** | **139** | **(213)** |
| **As at 31 December 2019** | | | | | | | | | | | | |
| **Total** | **16,062** | **1,322** | **49.3%** | **16,745** | **4.9%** | **13,495** | **15.8%** | **16** | **8,125** | **48.5%** | **81** | **(150)** |

---

**Table 32: CR6 Credit risk exposures by exposure class and PD range for corporate of which: SMEs**

| | Original on-balance sheet gross exposure £m | Off-balance sheet exposures pre CCF £m | Average CCFa % | EAD post CRM and post CCF £m | Average PD % | Number of obligors # | Average LGD % | Average Maturity Years | RWA £m | RWA Density % | EL £m | Value Adjustment and Provisions £m |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| **As at 31 December 2020** | | | | | | | | | | | | |
| **Total** | **7,160** | **853** | **43.3%** | **7,129** | **14.4%** | **8,547** | **21.2%** | **8** | **5,073** | **71.2%** | **131** | **(179)** |
| **As at 31 December 2019** | | | | | | | | | | | | |
| **Total** | **7,447** | **844** | **40.7%** | **7,797** | **10.0%** | **11,236** | **21.1%** | **8** | **4,659** | **59.8%** | **77** | **(137)** |

---

**Table 33: CR10 Corporate exposures subject to the slotting approach**

| Regulatory categories | Remaining maturity | On-balance sheet amount £m | Off-balance sheet amount £m | Risk weight % | Exposure amount £m | RWA £m | Expected losses £m |
| --- | --- | --- | --- | --- | --- | --- | --- |
| **As at 31 December 2020** | | | | | | | |
| **Total** | Less than 2.5 years | 395 | 29 | | 406 | 192 | 20 |
| | Equal to or more than 2.5 years | 680 | - | | 681 | 439 | 32 |
| **As at 31 December 2019** | | | | | | | |
| **Total** | Less than 2.5 years | 341 | 44 | | 351 | 179 | 22 |
| | Equal to or more than 2.5 years | 687 | - | | 687 | 523 | 26 |

---

**Table 34: CR6 Credit risk exposures by exposure class and PD range for retail SME**

| | Original on-balance sheet gross exposure £m | Off-balance sheet exposures pre CCF £m | Average CCFa % | EAD post CRM and post CCF £m | Average PD % | Number of obligors # | Average LGD % | RWA £m | RWA Density % | EL £m | Value Adjustment and Provisions £m |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| **As at 31 December 2020** | | | | | | | | | | | |
| **Total** | **5,977** | **1,769** | **126.03%** | **7,644** | **11.66%** | **1,182,644** | **35.35%** | **3,366** | **44.04%** | **195** | **(161)** |
| **As at 31 December 2019** | | | | | | | | | | | |
| **Total** | **5,837** | **1,521** | **199.80%** | **8,876** | **11.90%** | **1,495,441** | **39.30%** | **3,863** | **43.50%** | **218** | **(93)** |

---

**Table 35: CR6 Credit risk exposures by exposure class and PD range for secured retail**

| | Original on-balance sheet gross exposure £m | Off-balance sheet exposures pre CCF £m | Average CCFa % | EAD post CRM and post CCF £m | Average PD % | Number of obligors # | Average LGD % | RWA £m | RWA Density % | EL £m | Value Adjustment and Provisions £m |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| **As at 31 December 2020** | | | | | | | | | | | |
| **Total** | **145,924** | **12,250** | **97.3%** | **153,836** | **2.4%** | **906,917** | **11.5%** | **20,771** | **13.5%** | **310** | **(91)** |
| **As at 31 December 2019** | | | | | | | | | | | |
| **Total** | **140,865** | **10,007** | **96.8%** | **148,025** | **2.4%** | **892,533** | **11.1%** | **19,866** | **13.4%** | **305** | **(70)** |

---

**Table 36: CR6 Credit risk exposures by exposure class and PD range for revolving retail**

| | Original on-balance sheet gross exposure £m | Off-balance sheet exposures pre CCF £m | Average CCFa % | EAD post CRM and post CCF £m | Average PD % | Number of obligors # | Average LGD % | RWA £m | RWA Density % | EL £m | Value Adjustment and Provisions £m |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| **As at 31 December 2020** | | | | | | | | | | | |
| **Total** | **11,536** | **46,117** | **26.1%** | **31,750** | **4.8%** | **21,078,640** | **78.0%** | **14,250** | **44.9%** | **1,170** | **(2,254)** |
| **As at 31 December 2019** | | | | | | | | | | | |
| **Total** | **15,935** | **47,068** | **23.5%** | **36,297** | **4.9%** | **21,457,021** | **75.2%** | **16,315** | **45.0%** | **1,205** | **(1,804)** |

---

**Table 37: CR6 Credit risk exposures by exposure class and PD range for other retail exposures**

| | Original on-balance sheet gross exposure £m | Off-balance sheet exposures pre CCF £m | Average CCFa % | EAD post CRM and post CCF £m | Average PD % | Number of obligors # | Average LGD % | RWA £m | RWA Density % | EL £m | Value Adjustment and Provisions £m |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| **As at 31 December 2020** | | | | | | | | | | | |
| **Total** | **4,562** | **1** | **100.0%** | **4,562** | **10.5%** | **650,966** | **76.1%** | **4,048** | **88.7%** | **365** | **(439)** |
| **As at 31 December 2019** | | | | | | | | | | | |
| **Total** | **6,076** | **2** | **100.0%** | **6,076** | **8.8%** | **773,431** | **76.5%** | **5,472** | **90.1%** | **400** | **(351)** |

---

**Table 38: CR1-A – Credit quality of exposures by exposure class and instrument**

| As at 31 December 2020 | Defaulted exposures £m | Non-defaulted exposure £m | Specific credit risk adjustment £m | General credit risk adjustment £m | Credit risk adjustment charges in the perioda £m | Net values £m | Accumulated write-offs £m |
| --- | --- | --- | --- | --- | --- | --- | --- |
| **Total IRB approach** | **4,134** | **240,678** | **3,161** | **-** | **690** | **241,651** | **553** |
| **Total standardised approach** | **565** | **129,616** | **297** | **-** | **86** | **129,884** | **54** |
| **Total** | **4,699** | **370,294** | **3,458** | **-** | **776** | **371,535** | **607** |

---

**Table 38: CR1-A – Credit quality of exposures by exposure class and instrument continued**

| As at 31 December 2019 | Defaulted exposures £m | Non-defaulted exposure £m | Specific credit risk adjustment £m | General credit risk adjustment £m | Credit risk adjustment charges in the perioda £m | Net values £m | Accumulated write-offs £m |
| --- | --- | --- | --- | --- | --- | --- | --- |
| **Total IRB approach** | **3,871** | **241,929** | **2,471** | **-** | **(411)** | **243,329** | **555** |
| **Total standardised approach** | **281** | **92,264** | **210** | **-** | **(30)** | **92,335** | **33** |
| **Total** | **4,152** | **334,193** | **2,681** | **-** | **(441)** | **335,664** | **588** |

---

**Table 39: CR1-B – Credit quality of exposures by industry or counterparty types**

| As at 31 December 2020 | Defaulted exposures £m | Non-defaulted exposures £m | Specific credit risk adjustment £m | General credit risk adjustment £m | Credit risk adjustment charges in the perioda £m | Net values £m | Accumulated write-offs £m |
| --- | --- | --- | --- | --- | --- | --- | --- |
| **Total** | **4,699** | **370,294** | **3,458** | **-** | **776** | **371,535** | **607** |

---

**Table 39: CR1-B – Credit quality of exposures by industry or counterparty types continued**

| As at 31 December 2019 | Defaulted exposures £m | Non-defaulted exposures £m | Specific credit risk adjustment £m | General credit risk adjustment £m | Credit risk adjustment charges in the perioda £m | Net values £m | Accumulated write-offs £m |
| --- | --- | --- | --- | --- | --- | --- | --- |
| **Total** | **4,152** | **334,193** | **2,681** | **-** | **(441)** | **335,664** | **588** |

---

**Table 40: CR1-C – Credit quality of exposures by geography**

| As at 31 December 2020 | Defaulted exposures £m | Non-defaulted exposures £m | Specific credit risk adjustment £m | General credit risk adjustment £m | Credit risk adjustment charges of the perioda £m | Net values £m | Accumulated write-offs £m |
| --- | --- | --- | --- | --- | --- | --- | --- |
| **Total** | **4,699** | **370,294** | **3,458** | **-** | **776** | **371,535** | **607** |

| As at 31 December 2019 | Defaulted exposures £m | Non-defaulted exposures £m | Specific credit risk adjustment £m | General credit risk adjustment £m | Credit risk adjustment charges of the perioda £m | Net values £m | Accumulated write-offs £m |
| --- | --- | --- | --- | --- | --- | --- | --- |
| **Total** | **4,152** | **334,193** | **2,681** | **-** | **(441)** | **335,664** | **588** |

---

**Table 41: Credit quality of forborne exposures**

| | Gross carrying amount/nominal amount of exposures with forbearance measures | Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions | Collateral received and financial guarantees received on forborne exposures |
| --- | --- | --- | --- | --- | --- | --- | --- |
| As at 31 December 2020 | Performing forborne £m | Total £m | Of which defaulted £m | Of which impaired £m | On performing forborne exposures £m | On non performing forborne exposures £m | Total £m | Of which collateral and financial guarantees received on non performing exposures with forbearance measures £m |
| **Total** | **411** | **850** | **850** | **850** | **(99)** | **(143)** | **489** | **444** |

---

**Table 42 Credit quality of performing and non-performing exposures by past due days**

| As at 31 December 2020 | Total £m | Performing exposures: Not past due or past due <= 30 days £m | Performing exposures: Past due > 30 days <= 90 days £m | Total non-performing exposures £m | Unlikely to pay that are not past due or are past due <= 90 days £m | Past due > 90 days <= 180 days £m | Past due > 180 days <= 1 year £m | Past due > 1 year <= 2 years £m | Past due > 2 years <= 5 years £m | Past due > 5 years <= 7 years £m | Past due > 7 years £m | Of which defaulted £m |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| **Total** | **346,335** | **279,128** | **827** | **4,220** | **1,293** | **660** | **1,092** | **358** | **356** | **42** | **155** | **4,220** |

---

**Table 42 Credit quality of performing and non-performing exposures by past due days- continued**

| As at 31 December 2019 | Total £m | Performing exposures: Not past due or past due <= 30 days £m | Performing exposures: Past due > 30 days <= 90 days £m | Total non-performing exposures £m | Unlikely to pay that are not past due or are past due <= 90 days £m | Past due > 90 days <= 180 days £m | Past due > 180 days <= 1 year £m | Past due > 1 year <= 2 years £m | Past due > 2 years <= 5 years £m | Past due > 5 years <= 7 years £m | Past due > 7 years £m | Of which defaulted £m |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| **Total** | **314,578** | **249,045** | **688** | **3,959** | **1,250** | **635** | **876** | **444** | **262** | **41** | **219** | **3,939** |

---

**Table 43 Performing and non-performing exposures and related provisions**

| As at 31 December 2020 | Performing exposures £m | Non-performing exposures £m | Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions: Performing exposures - accumulated impairment and provisions £m | Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions: Non-performing exposures - accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions £m | Collateral and financial guarantees received £m |
| --- | --- | --- | --- | --- | --- |
| **Total** | **346,335** | **4,220** | **(2,223)** | **(1,223)** | **188,832** |

---

**Table 43 Performing and non-performing exposures and related provisions continued**

| As at 31 December 2019 | Performing exposures £m | Non-performing exposures £m | Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions: Performing exposures - accumulated impairment and provisions £m | Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions: Non-performing exposures - accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions £m | Collateral and financial guarantees received £m |
| --- | --- | --- | --- | --- | --- |
| **Total** | **314,578** | **3,806** | **(1,596)** | **(1,086)** | **173,840** |

---

**Table 44: CR2-B - Changes in the stock of defaulted and impaired loans and debt securities**

| | Gross carrying value defaulted exposuresa £m |
| --- | --- |
| 1 As at 1 January 2020 | 3,707 |
| 2 Loans and debt securities that have defaulted or impaired since the last reporting period | 2,251 |
| 3 Returned to non-defaulted status | (739) |
| 4 Amounts written off | (607) |
| 5 Other changes | (658) |
| **10 As at 31 December 2020** | **3,956** |

---

**Table 45: CR2-A – Changes in the stock of general and specific credit risk adjustments**

| | Accumulated specific credit risk adjustmenta £m | Accumulated general credit risk adjustment £m |
| --- | --- | --- |
| 1 As at 1 January 2020 | 2,681 | - |
| 2 Increases due to amounts set aside for estimated loan losses during the periodb | 1,372 | - |
| 3 Decreases due to amounts reversed for estimated loan losses during the periodc | (607) | - |
| 10 As at 31 December 2020 | 3,446 | - |
| 11 Recoveries on credit risk adjustments recorded directly to the statement of profit or loss | (31) | - |

---

**Table 46: Regulatory adjustments to statutory Impairment**

| As at 31 December 2020 | £m |
| --- | --- |
| IFRS allowance for impairment | 3,458 |
| Scope of consolidation | - |
| **Regulatory impairment allowance** | **3,458** |

---

**Table 47: Analysis of expected loss versus actual losses for AIRB exposures**

| As at 31 December 2019 | EL £m | ELBE £m | Total expected loss £m | Total actual loss £m |
| --- | --- | --- | --- | --- |
| **Total AIRB** | **1,296** | **963** | **2,259** | **1,294** |

| As at 31 December 2018 | EL £m | ELBE £m | Total expected loss £m | Total actual loss £m |
| --- | --- | --- | --- | --- |
| **Total AIRB** | **1,358** | **1,187** | **2,545** | **671** |

---

**Table 48: Fair value of and gains and losses on equity investments**

| Non trading book equity positions | As at 31 December 2020 | | As at 31 December 2019 | |
| --- | --- | --- | --- | --- |
| | Fair Value £m | RWAs £m | Fair Value £m | RWAs £m |
| **Total** | **27** | **60** | **27** | **61** |

---

**Table 49: Exposure at default, RWA and capital requirements associated with counterparty credit risk**

| | As at 31 December 2020 | | | As at 31 December 2019 | | |
| --- | --- | --- | --- | --- | --- | --- |
| | Post-CRM EAD £m | RWA £m | Capital Requirements £m | Post-CRM EAD £m | RWA £m | Capital Requirements £m |
| **Total** | **2,016** | **536** | **42** | **2,482** | **475** | **38** |

---

**Table 50: CCR1 – Analysis of CCR exposure by approach**

| | RWAs As at 31 December 2020 £m | RWAs As at 31 December 2019 £m |
| --- | --- | --- |
| **Total** | **332** | **279** |

---

**Table 51: CCR3 Counterparty credit risk exposures by exposure classes and risk weight under standardised approach**

| As at 31 December 2020 | Total £m |
| --- | --- |
| **Total** | **1,869** |

| As at 31 December 2019 | Total £m |
| --- | --- |
| **Total** | **2,333** |

---

**Table 52: CCR5-A - Impact of netting and collateral held on exposure values**

| As at 31 December 2020 | Gross positive fair value or net carrying amount £m | Netting benefits £m | Netted current credit exposure £m | Collateral held £m | Net credit exposure £m |
| --- | --- | --- | --- | --- | --- |
| **Total** | **19,764** | **19,372** | **392** | **400** | **178** |

| As at 31 December 2019 | Gross positive fair value or net carrying amount £m | Netting benefits £m | Netted current credit exposure £m | Collateral held £m | Net credit exposure £m |
| --- | --- | --- | --- | --- | --- |
| **Total** | **22,083** | **21,920** | **163** | **257** | **153** |

---

**Table 53: CCR5-B - Composition of collateral for exposures to CCR**

| As at 31 December 2020 | Collateral used in derivative transactions: Fair value of collateral received (Segregated) £m | Collateral used in derivative transactions: Fair value of collateral received (Unsegregated) £m | Collateral used in derivative transactions: Fair value of posted collateral (Segregated) £m | Collateral used in derivative transactions: Fair value of posted collateral (Unsegregated) £m |
| --- | --- | --- | --- | --- |
| **Total** | **186** | **214** | **1,819** | **8,061** |

---

**Table 54: CCR8 Exposures to CCPs**

| | As at 31 December 2020 EAD post CRM £m | As at 31 December 2020 RWAs £m | As at 31 December 2019 EAD post CRM £m | As at 31 December 2019 RWAs £m |
| --- | --- | --- | --- | --- |
| **Total** | - | **227** | - | **218** |

---

**Table 55: CCR2 Credit valuation adjustment (CVA) capital charge**

| | Exposure value £m | RWA £m |
| --- | --- | --- |
| **As at 31 December 2020** | **400** | **251** |
| **As at 31 December 2019** | **107** | **150** |

---

**Table 56: Market risk own funds requirements**

| | RWA As at 31 December 2020 £m | RWA As at 31 December 2019 £m | Capital requirements As at 31 December 2020 £m | Capital requirements As at 31 December 2019 £m |
| --- | --- | --- | --- | --- |
| **Total** | **72** | **178** | **6** | **14** |

---

**Table 57: MR1 - Market risk under standardised approach**

| | RWA As at 31 December 2020 £m | RWA As at 31 December 2019 £m | Capital requirements As at 31 December 2020 £m | Capital requirements As at 31 December 2019 £m |
| --- | --- | --- | --- | --- |
| **Total** | **72** | **178** | **6** | **14** |

---

**Table 58: Reconciliation of exposures and capital requirements relating to securitisations**

| As at 31 December 2020 | Exposure value £m | RWAs £m | Capital requirement £m |
| --- | --- | --- | --- |
| **Total banking book** | **4,288** | **737** | **59** |

---

**Table 59: Securitisation activity during the year**

| As at 31 December 2020 | Traditional £m | Synthetic £m | Total banking book £m | Gain/loss on sale £m |
| --- | --- | --- | --- | --- |
| **Total** | **-** | **2,071** | **2,071** | **-** |

---

**Table 60: Securitisation positions – by exposure class**

| As at 31 December 2020 | Originator £m | Sponsor £m | Investor £m | Total banking book £m |
| --- | --- | --- | --- | --- |
| **Total** | **1,999** | **-** | **2,289** | **4,288** |

---

**Table 61: Securitisation positions – by capital approach**

| As at 31 December 2020 | Exposure values: Total £m | Capital requirements: Total £m |
| --- | --- | --- |
| **Total banking book** | **4,288** | **59** |

---

**Table 62: Aggregate amount of securitised positions retained or purchased by geography - banking book**

| As at 31 December 2020 | United Kingdom £m | Total £m |
| --- | --- | --- |
| **Total** | **4,288** | **4,288** |

---

**Table 63: Outstanding amount of exposures securitised – Asset value and impairment charges**

| As at 31 December 2020 | Traditional £m | Synthetic £m | Total banking book £m |
| --- | --- | --- | --- |
| **Total** | **-** | **2,071** | **2,071** |

---

**Table 64: Risk weighted assets for operational risk**

| As at 31 December 2020 | £m |
| --- | --- |
| **Total operational risk RWAs** | **11,347** |

---

**Table 65: IRB credit risk models’ selected features**

| Component modelled | Portfolio | BUK (£m) (RWAs) | Model description and methodology | Number of years loss data | Basel asset classes measured | Applicable industry-wide regulatory thresholds |
| --- | --- | --- | --- | --- | --- | --- |
| PD | SME customers with turnover < £20m | 8,186 | Statistical models that uses regression techniques | > 10 Years | Corporate SME | Regulatory PD floor of 0.03% |
| PD | UK Home Finance | 20,375 | Statistical scorecards estimated using regression techniques | >10 Years | Secured By Real Estate | Regulatory PD floor of 0.03% |
| PD | Barclaycard UK | 13,855 | Statistical scorecards estimated using regression techniques | 6 - 10 Years | Qualifying Revolving Retail | PD floor of 0.03% |
| LGD | All business customers (excluding certain specialized sectors) | 3,876 | Model is based on a function estimated using actual recoveries experience. | > 10 Years | Corporate | LGD floor of 5% |
| LGD | UK Home Finance | 20,375 | Data driven estimates of loss and probability of possession | 6 - 10 Years | Secured By Real Estate | The portfolio average downturn LGD is floored at 10% |
| LGD | Barclaycard UK | 13,855 | Statistical models combining segmented regression and other forecasting techniques | 6 - 10 Years | Qualifying Revolving Retail | - |

---

**Table 66: Analysis of expected performance versus actual results**

| Asset Class | EBA PD Range (%) | Weighted Average PD | Arithmetic Average PD by obligors | Defaulted obligors in the year (Nov'20) | Average historical annual default |
| --- | --- | --- | --- | --- | --- |
| Corporate | 0.00 to <0.15 | 0.05% | 0.05% | 0 | 0.00% |
| | ... | ... | ... | ... | ... |
| SME | 0.00 to <0.15 | 0.12% | 0.08% | 656 | 0.12% |
| | ... | ... | ... | ... | ... |

---

**Table 67: PD, LGD, RWA and exposure values by country for IRB - all asset classes**

| Country | PD % | LGD % | RWA £m | Exposure £m |
| --- | --- | --- | --- | --- |
| United Kingdom | 3.64% | 24.0% | 51,027 | 213,296 |

---

**Table 68: Analysis of impaired and past due exposures and allowance for impairment by exposure type**

| As at 31 December 2020 | Not past due £m | Past due £m | Total £m | Gross exposure assessed for impairment £m | Allowance for Impairment £m |
| --- | --- | --- | --- | --- | --- |
| **Total** | **215,832** | **6,741** | **222,573** | **219,143** | **3,149** |

---

**Table 69: Geographic analysis of impaired and past due exposures and allowance for impairment**

| As at 31 December 2020 | Not past due £m | Past due £m | Total £m | Gross exposure assessed for impairment £m | Allowance for Impairment £m |
| --- | --- | --- | --- | --- | --- |
| **Total** | **215,832** | **6,741** | **222,573** | **219,143** | **3,149** |

---

**Table 70: Countercyclical capital buffer**

| Barclays Bank UK Group Breakdown by Country | Exposure Value for SA £m | Exposure Value for IRB £m | Total Own Funds Requirements £m | Countercyclical capital buffer rate % |
| --- | --- | --- | --- | --- |
| **Total** | **8,507** | **213,322** | **4,384** | **100%** |

---

**Template A - Assets (Disclosure on asset encumbrance)**

| | Carrying amount of encumbered assets £bn | Carrying amount of non-encumbered assets £bn |
| --- | --- | --- |
| 010 Assets of the institution | 33.8 | 256.7 |

---

**Table: Remuneration Governance**

| Member | Meetings attended |
| --- | --- |
| Michael Jary (Chair) | 5/5 |
| Avid Larizadeh Duggan | 5/5 |
| Sir John Timpson | 5/5 |

---

**Table: Total Remuneration for the financial year**

| | All Employees |
| --- | --- |
| Number of individuals | 25,278 |
| Fixed remuneration (£m) | 1,012 |
| Variable remuneration (£m) | 93 |
| Total remuneration (£m) | 1,105 |

---

**Table: Remuneration for the financial year**

| | Senior managementa | Other MRTs: Personal Banking and Barclaycard Consumer UK | Other MRTs: Business Banking | Other MRTs: BBUKPLC Other |
| --- | --- | --- | --- | --- |
| **Total remuneration (£m)** | **22.0** | **11.4** | **3.5** | **16.3** |

---

**Table: Number of MRTs by band**

| Remuneration band | Number of MRTs |
| --- | --- |
| €1,000,001 to €1,500,000 | 5 |
| €1,500,001 to €2,000,000 | 6 |
| €2,000,001 to €2,500,000 | 2 |