# Barclays Bank UK PLC
## Pillar 3 Report
### 31 December 2023

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## Contents

### Introduction
* Forward-looking statements: 3
* Notes on basis of preparation: 4
* Scope of permission for calculation approaches: 7
* Linkage between financial statement and regulatory risk: 8

### Risk and capital position review
* Analysis of treasury and capital risk: 10
* Analysis of credit risk: 29
* Analysis of counterparty credit risk: 65
* Analysis of market risk: 68
* Analysis of securitisation exposures: 69
* Analysis of operational risk: 73

### Barclays approach to managing risks
* Risk management strategy, governance and risk culture: 76
* Management of credit risk and the internal ratings-based approach: 89
* Management of market risk: 121
* Management of securitisation exposures: 125
* Management of treasury and capital risk: 128
* Management of operational risk: 136
* Management of model risk: 141
* Management of compliance risk: 143
* Management of reputation risk: 144
* Management of legal risk: 145

### Appendices
* Appendix A – Countercyclical capital buffer: 147
* Appendix B – Disclosure on asset encumbrance: 150
* Appendix C – Disclosure on remuneration: 153
* Appendix D – Compliance to Pillar 3 requirements: 160

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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# Forward-looking statements

Barclays Bank UK Group refers to Barclays Bank UK PLC together with its subsidiaries. The abbreviations ‘£m’ and ‘£bn’ represent millions and thousands of millions of Pounds Sterling respectively.

There are a number of key judgement areas, for example impairment calculations, which are based on models and which are subject to ongoing adjustment and modifications. Reported numbers reflect best estimates and judgements at the given point in time.

Relevant terms that are used in this document but are not defined under applicable regulatory guidance or International Financial Reporting Standards (IFRS) are explained in the results glossary that can be accessed at [home.barclays/investor-relations/reports-and-events/latest-financial-results](https://home.barclays/investor-relations/reports-and-events/latest-financial-results).

## Forward-looking statements
This document contains certain forward-looking statements with respect to the Barclays Bank UK Group. Barclays cautions readers that no forward-looking statement is a guarantee of future performance and that actual results or other financial condition or performance measures could differ materially from those contained in the forward-looking statements. Forward-looking statements can be identified by the fact that they do not relate only to historical or current facts. Forward-looking statements sometimes use words such as ‘may’, ‘will’, ‘seek’, ‘continue’, ‘aim’, ‘anticipate’, ‘target’, ‘projected’, ‘expect’, ‘estimate’, ‘intend’, ‘plan’, ‘goal’, ‘believe’, ‘achieve’ or other words of similar meaning. Forward-looking statements can be made in writing but also may be made verbally by directors, officers and employees of the Barclays Bank UK Group (including during management presentations) in connection with this document. Examples of forward-looking statements include, among others, statements or guidance regarding or relating to the Barclays Bank UK Group’s future financial position, business strategy, income levels, costs, assets and liabilities, impairment charges, provisions, capital leverage and other regulatory ratios, capital distributions (including policy on dividends and share buybacks), return on tangible equity, projected levels of growth in banking and financial markets, industry trends, any commitments and targets (including environmental, social and governance (ESG) commitments and targets), plans and objectives for future operations and other statements that are not historical or current facts. By their nature, forward-looking statements involve risk and uncertainty because they relate to future events and circumstances. Forward-looking statements speak only as at the date on which they are made. Forward-looking statements may be affected by a number of factors, including, without limitation: changes in legislation, regulations, governmental and regulatory policies, expectations and actions, voluntary codes of practices and the interpretation thereof, changes in International Financial Reporting Standards and other accounting standards, including practices with regard to the interpretation and application thereof and emerging and developing ESG reporting standards; the outcome of current and future legal proceedings and regulatory investigations; the Barclays Bank UK Group’s ability along with governments and other stakeholders to measure, manage and mitigate the impacts of climate change effectively; environmental, social and geopolitical risks and incidents, pandemics and similar events beyond the Barclays Bank UK Group’s control; the impact of competition in the banking and financial services industry; capital, liquidity, leverage and other regulatory rules and requirements applicable to past, current and future periods; macroeconomic and business conditions, including inflation, in the UK and in any systemically important economy which impacts the UK; volatility in credit and capital markets; market related risks such as changes in interest rates and foreign exchange rates; reforms to benchmark interest rates and indices; higher or lower asset valuations; changes in credit ratings of any entity within the Barclays Bank UK Group or any securities issued by it; changes in counterparty risk; changes in consumer behaviour; the direct and indirect consequences of the conflicts in Ukraine and the Middle East on European and global macroeconomic conditions, political stability and financial markets; political elections; developments in the UK’s relationship with the European Union (EU); the risk of cyberattacks, information or security breaches, technology failures or other operational disruptions and any subsequent impacts on the Barclays Bank UK Group’s reputation, business or operations; the Barclays Bank UK Group’s ability to access funding; and the success of acquisitions, disposals and other strategic transactions. A number of these factors are beyond the Barclays Bank UK Group’s control. As a result, the Barclays Bank UK Group’s actual financial position, results, financial and non-financial metrics or performance measures or its ability to meet commitments and targets may differ materially from the statements or guidance set forth in the Barclays Bank UK Group’s forward-looking statements. Additional risks and factors which may impact the Barclays Bank UK Group’s future financial condition and performance are identified in the description of material existing and emerging risks within the Barclays Bank UK PLC 2023 Annual Report, which is available on barclays.com.

Subject to Barclays Bank UK PLC's obligations under the applicable laws and regulations of any relevant jurisdiction (including, without limitation, the UK) in relation to disclosure and ongoing information, we undertake no obligation to update publicly or revise any forward-looking statements, whether as a result of new information, future events or otherwise.

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# Notes on basis of preparation

## Disclosure background
Pillar 3 disclosures complement those disclosed in the Barclays Bank UK PLC 2023 Annual Report and provide additional information about Barclays Bank UK Group’s risk profile, including its regulatory capital, risk weighted assets, liquidity and leverage exposures.

The Pillar 3 report is prepared in accordance with the Capital Requirements Regulation and Capital Requirements Directive (CRR and CRD V). In particular articles 431 to 455 of CRR specify the requirements of the Pillar 3 framework. Those regulations came into force on 1 January 2022, and were implemented by the Prudential Regulatory Authority (PRA) via the PRA Rulebook.

References to CRR, as amended by CRR II, mean the capital regulatory requirements, as they form part of domestic law by virtue of the European Union (Withdrawal) Act 2018, as amended.

From 1 January 2023, as mandated by the amended SS45/15, Barclays Bank UK PLC became subject to UK Leverage Ratio disclosure requirements on an individual basis in addition to the existing requirements in place for Barclays Bank UK Group. As a result, the leverage disclosures contained within this document are presented on both the Barclays Bank UK PLC and Barclays Bank UK Group consolidated basis. Leverage minimum requirements and buffers remain set at the Barclays Bank UK Group level.

The terms Risk Weighted Asset (RWA) and Risk Weighted Exposure Asset (RWEA) are used interchangeably throughout the document. The disclosures included in this report reflect the Barclays Bank UK Group's (the Bank’s) interpretation of the current rules and guidance.

## Future regulatory changes
On 23 May 2022, the FPC amended the assessment methodology of the Other-Systemically Important Institutions (O-SII) buffer to be based on average UK leverage exposure, rather than total assets, from 31 December 2022. This is in effect from the 2023 assessment and buffer applicable from 1 January 2025.

On 30 November 2022, the PRA published its consultation paper 'Implementation of the Basel 3.1 standards', which covers the remaining parts of the Basel III standards to be implemented in the UK.

On 27 September 2023, the PRA announced their intention to move the final Basel 3.1 standards implementation date by six months to 1 July 2025 and to reduce the transitional period to 4.5 years to ensure full implementation by 1 January 2030.

On 12 December 2023, the PRA published its Policy Statement ‘Implementation of the Basel 3.1 standards near-final part 1’ (PS17/23), which covers the Credit Valuation Adjustments (CVA), Counterparty Credit Risk (CCR), market risk and operational risk elements of the Basel 3.1 standards. A second near-final policy statement is expected in Q2 2024 which will cover: Credit Risk - Standardised (SA) and Internal Ratings Based approach (IRB), Credit Risk Mitigation (CRM), Output Floor, Reporting and Disclosure.

## Presentation of risk data in the Pillar 3 disclosures versus the Annual Report and Accounts
This document discloses Barclays Bank UK Group’s assets in terms of exposures and capital requirements. For the purposes of this document:

### Credit losses
Where credit impairment or losses are disclosed within this document, Barclays Bank UK PLC has followed the IFRS definitions used in the Annual Report.

### Scope of application
Where this document discloses credit exposures or capital requirements, Barclays Bank UK PLC has followed the scope and application of its Pillar 1 capital adequacy calculations (unless noted otherwise).

### Definition of credit exposures
* Credit exposure, or ‘Exposure at Default’ (EAD) is defined as the estimate of the amount at risk in the event of a default (before any recoveries) or through the decline in value of an asset. This estimate takes account of contractual commitments related to undrawn amounts.
* In contrast, an asset on Barclays Bank UK Group’s balance sheet is reported as a drawn balance only. This is one of the reasons why exposure values in the Pillar 3 report differ from asset values as reported in the Barclays Bank UK PLC 2023 Annual Report.

Table 4 provides a reconciliation between IFRS and EAD for credit risk, counterparty credit risk and securitisations.

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# Notes on basis of preparation (continued)

## Policy, validation and sign off
Throughout the year ended 31 December 2023, and to date, Barclays Bank UK Group has operated a framework of disclosure controls and procedures to ensure the completeness and accuracy of the Pillar 3 disclosure.

Barclays Bank UK Group is committed to operating within a strong system of internal controls. A framework of disclosure controls and procedures are in place to support the approval of the external regulatory disclosures. Specific governance committees are responsible for examining the Barclays Bank UK Group’s external reports and disclosures to ensure they have been subject to adequate verification and comply with applicable standards and legislation. These committees report their conclusions to the Barclays Bank UK PLC 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 the updated Pillar 3 framework within the PRA Rulebook and have been prepared in compliance with Barclays’ internal control framework.’

**Claire Peel**
Chief Financial Officer, Barclays Bank UK PLC

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

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# Notes on basis of preparation (continued)

## Risk and capital position review

### 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, or depending on context the Barclays Group, 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.

### Our structure

```mermaid
graph LR
    A[Barclays Bank UK PLC] --> 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 businesses, with specialist advice.

### 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 service company, Barclays Execution Services Limited (BX), which provides technology, operations and functional services to businesses across the Barclays Group.

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# Scope of permission for calculation approaches

Barclays seeks permission from its regulators to use modelled approaches where possible to enable risk differentiation.

Barclays Bank UK PLC has regulatory approval to use its internal credit models in the calculation of the majority of its credit risk exposures. The following table summarises the principal portfolios within Barclays Bank UK Group that use the Standardised (STD) and Advanced Internal Rating-Based (AIRB) approaches as at 31 December 2023.

### Table 1: The scope of the STD and AIRB approaches for credit and counterparty credit risk excluding credit valuation adjustment (CVA)

| Business as at 31 December 2023 | Credit risk (see Table 9) RWA £m | Counterparty credit risk excl. CVA (see Table 9) RWA £m | Advanced Internal Ratings Based (AIRB) approach | Standardised approach |
| :--- | :--- | :--- | :--- | :--- |
| Barclays Bank UK Group | 59,619 | 237 | • UK managed retail and wholesale portfolios • UK cards | • Minor legacy retail and wholesale portfolios • Further Education and Local Authority portfolios • High quality liquidity pool assets • UK Wealth Portfolio |

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

### Table 2: Summary of the scope of application of regulatory methodologies for CVA, market and operational risk

| As at 31 December 2023 | RWA (see Table 9) £m | Scope |
| :--- | :--- | :--- |
| Credit value adjustment | 304 | CVA for all contracts in scope as defined by article 382 of the CRR, Barclays Bank UK Group applies the STD approach. |
| Market risk | 274 | The capital charge for specific market risk is designed to protect against losses from adverse movements in the price of an individual security owing to factors related to the individual issuer. Barclays Bank UK Group does not have permission to use a model, therefore the standardised approach is applied. |
| Operational risk | 11,668 | Barclays Bank UK Group applies the Standardised Approach (TSA) for operational risk regulatory capital purposes. |

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# Linkage between financial statement and regulatory risk

### Table 3: 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 121.

| Carrying value of items | Carrying values as reported in published financial statements £m | Carrying values under scope of regulatory consolidation$^{a}$ £m | Subject to the credit risk framework £m | Subject to the Counterparty Credit Risk (CCR) framework £m | Subject to the securitisation framework$^{b}$ £m | Subject to the market risk framework £m | Not subject to capital requirements or subject to deduction from own funds$^{c}$ £m |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| **Assets** | | | | | | | |
| Cash and balances at central banks | 34,948 | 34,948 | 34,948 | — | — | — | — |
| Cash collateral and settlement balances | 5,507 | 5,507 | 5,123 | 277 | — | — | 107 |
| Loans and advances at amortised cost | 219,789 | 219,789 | 209,564 | — | 10,225 | — | — |
| Reverse repurchase agreements and other similar | 3,567 | 3,567 | — | 3,567 | — | — | — |
| Trading portfolio assets | 43 | 43 | — | — | — | 43 | — |
| Financial assets at fair value through the income | 1,715 | 1,715 | 1,715 | — | — | — | — |
| Derivative financial instruments | 1,566 | 1,566 | — | 1,566 | — | — | — |
| Financial assets at fair value through other | 20,409 | 20,409 | 20,409 | — | — | — | — |
| Investments in subsidiaries, associates and joint | — | 122 | 122 | — | — | — | — |
| Goodwill and intangible assets | 3,871 | 3,871 | — | — | — | — | 3,871 |
| Property, plant and equipment | 261 | 261 | 261 | — | — | — | — |
| Current tax assets | — | — | — | — | — | — | — |
| Deferred tax assets | 1,296 | 1,296 | 1,296 | — | — | — | — |
| Retirement benefit assets | — | — | — | — | — | — | — |
| Other assets | 587 | 593 | 593 | — | — | — | — |
| **Total assets** | 293,559 | 293,687 | 274,031 | 5,410 | 10,225 | 43 | 3,978 |
| **Liabilities$^{c}$** | | | | | | | |
| Deposits at amortised cost | 241,218 | 241,294 | — | — | — | — | 241,294 |
| Cash collateral and settlement balances | 1,370 | 1,370 | — | 1,306 | — | — | 64 |
| Repurchase agreements and other similar secured | 15,265 | 15,265 | — | 261 | — | — | 15,004 |
| Debt securities in issue | 3,307 | 3,307 | — | — | — | — | 3,307 |
| Subordinated liabilities | 11,499 | 11,499 | — | — | — | — | 11,499 |
| Trading portfolio liabilities | 908 | 908 | — | — | — | 908 | — |
| Financial liabilities designated at fair value | 437 | 437 | — | — | — | — | 437 |
| Derivative financial instruments | 398 | 398 | — | 398 | — | — | — |
| Current tax liabilities | 540 | 527 | — | — | — | — | 527 |
| Deferred tax liabilities | — | — | — | — | — | — | — |
| Retirement benefit liabilities | — | — | — | — | — | — | — |
| Other liabilities | 1,629 | 1,622 | — | — | — | — | 1,622 |
| Provisions | 364 | 361 | — | — | — | — | 361 |
| **Total liabilities** | 276,935 | 276,988 | — | 1,965 | — | 908 | 274,115 |

**Notes**
a. The balances shown in column ‘Carrying values under scope of regulatory consolidation’ do not equal the sum of those in the columns relating to the regulatory framework, as certain assets can be in scope for more than one regulatory framework. As such, assets included in line items for ‘Financial assets at fair value through the income statement’, and ‘Derivative financial instruments’ can be subject to credit risk, counterparty credit risk and market risk.
b. The column ‘Subject to the securitisation framework’ includes non-trading book drawn positions for traditional and synthetic. Trading book securitisation positions are included in ‘subject to the market risk framework’.
c. For liabilities, balances shown in column ‘Not subject to capital requirements or subject to deduction from own funds’ are residual amount so that ‘Carrying values under scope of regulatory consolidation’ equal to the sum of those in the columns relating to the regulatory framework.

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# Linkage between financial statement and regulatory risk (continued)

### Table 4: 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 3 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 before 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 posted in Securities Financing Transactions (SFTs)
* Difference in netting rules: This reflects the additional benefits allowed per regulatory rules over and above the netting permitted under International Financial Reporting Standards (IFRS)
* Differences due to consideration of provisions: The carrying value of assets is net of impairment. The regulatory exposure calculated under AIRB approach adds back the impairment
* Differences due to credit risk mitigation (CRM) : Impact of CRM on the regulatory exposure value, such as collateralisation and guarantees
* Differences due to credit conversion factor: Impact of the CCF on the off-balance sheet exposure
* Differences due to securitisation with risk transfer: This reflects the exposures of synthetic securitisation trades which are derecognised as per accounting standard
* Other differences: This reflects the difference between assets carrying values as defined per IFRS and the values defined per regulatory reporting purposes
* Differences due to regulatory add-ons: This reflects regulatory add-ons relevant to the standardised approach to counterparty credit risk (SA-CCR), such as potential future add on (PFE) and Financial Collateral Comprehensive Method (FCCM) haircuts

| As at 31 December 2023 | Total | Items subject to: Credit risk framework | Items subject to: Securitisation framework | Items subject to: CCR framework | Items subject to: Market risk framework |
| :--- | :--- | :--- | :--- | :--- | :--- |
| 1. Assets carrying value amount under the scope of regulatory consolidation (as per template LI1) | 289,667 | 274,032 | 10,225 | 5,410 | 43 |
| 2. Liabilities carrying value amount under the regulatory scope of consolidation (as per template LI1) | (1,965) | — | — | (1,965) | (908) |
| 3. Total net amount under the regulatory scope of consolidation | 287,702 | 274,032 | 10,225 | 3,445 | (865) |
| 4. Off-balance-sheet amounts | 85,036 | 83,477 | — | 1,559 | — |
| 5. Differences in valuations | — | — | — | — | — |
| 6. Differences due to different netting rules, other than those already included in row 2 | (4,844) | — | — | (4,844) | — |
| 7. Differences due to consideration of provisions | 1,520 | 1,520 | — | — | — |
| 8. Differences due to the use of credit risk mitigation techniques (CRMs) | (198) | (198) | — | — | — |
| 9. Differences due to credit conversion factors | (24,683) | (24,683) | — | — | — |
| 10. Differences due to Securitisation with risk transfer | — | — | — | — | — |
| 11. Other differences | (633) | (521) | (106) | (6) | — |
| 11a. Difference due to Regulatory add-ons | 865 | — | — | 865 | — |
| 11b. Differences between input balance and modelled regulatory output | 1,159 | 1,159 | — | — | — |
| 12. Exposure amounts considered for regulatory purposes | 345,924 | 334,786 | 10,119 | 1,019 | — |

### Table 5: 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 | Equity Method | Neither consolidated nor deducted$^{a}$ | Deducted | Description of the entity |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| Barclays Insurance Services Company Limited | Fully consolidated | Y | — | — | — | — | Insurance and reinsurance 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 threshold.

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# Analysis of treasury and capital risk

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# Analysis of treasury and capital risk (continued)

### Table 6: UK KM1 - Key metrics (KM1 / IFRS9-FL) - Part 1

This table shows key regulatory metrics and ratios as well as related components such as own funds, RWAs, capital ratios, additional requirements based on Supervisory Review and Evaluation Process (SREP), capital buffer requirements, leverage ratio and liquidity coverage ratio.

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 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 Loss (ECL) transitional arrangements had not been applied.

| KM1 ref | IFRS9 -FL ref | | As at 31.12.23 £m | As at 30.09.23 £m | As at 30.06.23 £m | As at 31.03.23 £m | As at 31.12.22 £m |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| | | **Available own funds (amounts)** | | | | | |
| 1 | 1 | Common Equity Tier 1 (CET1) capital$^{b}$ | 10,638 | 10,736 | 10,628 | 10,237 | 10,701 |
| 1a | 2 | Fully loaded common Equity Tier 1 (CET1) capital$^{c}$ | 10,638 | 10,732 | 10,628 | 10,237 | 10,628 |
| 2 | 3 | Tier 1 capital$^{b}$ | 13,067 | 13,165 | 13,057 | 12,666 | 13,261 |
| 2a | 4 | Fully loaded tier 1 capital$^{c}$ | 13,067 | 13,161 | 13,057 | 12,666 | 13,188 |
| 3 | 5 | Total capital$^{b}$ | 15,596 | 15,929 | 15,866 | 15,175 | 15,828 |
| 3a | 6 | Fully loaded total capital$^{c}$ | 15,596 | 15,925 | 15,866 | 15,175 | 15,804 |
| | | **Risk-weighted exposure amounts** | | | | | |
| 4 | 7 | Total risk-weighted exposure amount$^{b}$ | 72,102 | 71,881 | 71,489 | 73,235 | 72,719 |
| 4a | 8 | Fully loaded total risk-weighted exposure amount$^{c}$ | 72,102 | 71,881 | 71,489 | 73,235 | 72,707 |
| | | **Capital ratios (as a percentage of risk-weighted exposure amount)** | | | | | |
| 5 | 9 | Common Equity Tier 1 ratio (%)$^{b}$ | 14.8% | 14.9% | 14.9% | 14.0% | 14.7% |
| 5a | 10 | Fully loaded common Equity Tier 1 ratio (%)$^{c}$ | 14.8% | 14.9% | 14.9% | 14.0% | 14.6% |
| 6 | 11 | Tier 1 ratio (%)$^{b}$ | 18.1% | 18.3% | 18.3% | 17.3% | 18.2% |
| 6a | 12 | Fully loaded tier 1 ratio (%)$^{c}$ | 18.1% | 18.3% | 18.3% | 17.3% | 18.1% |
| 7 | 13 | Total capital ratio (%)$^{b}$ | 21.6% | 22.2% | 22.2% | 20.7% | 21.8% |
| 7a | 14 | Fully loaded total capital ratio (%)$^{c}$ | 21.6% | 22.2% | 22.2% | 20.7% | 21.7% |
| | | **Additional own funds requirements based on SREP (as a percentage of risk-weighted exposure amount)** | | | | | |
| UK 7a | | Additional CET1 SREP requirements (%) | 2.9% | 2.8% | 2.8% | 2.8% | 2.8% |
| UK 7b | | Additional AT1 SREP requirements (%) | 1.0% | 0.9% | 0.9% | 0.9% | 0.9% |
| UK 7c | | Additional T2 SREP requirements (%) | 1.3% | 1.3% | 1.3% | 1.3% | 1.3% |
| UK 7d | | Total SREP own funds requirements (%) | 13.2% | 13.0% | 13.0% | 13.0% | 13.0% |
| | | **Combined buffer requirement (as a percentage of risk-weighted exposure amount)** | | | | | |
| 8 | | Capital conservation buffer (%) | 2.5% | 2.5% | 2.5% | 2.5% | 2.5% |
| 9 | | Institution specific countercyclical capital buffer (%) | 2.0% | 2.0% | 1.0% | 1.0% | 1.0% |
| UK 10a | | Other Systemically Important Institution buffer | 1.0% | 1.0% | 1.0% | 1.0% | 1.0% |
| 11 | | Combined buffer requirement (%) | 5.5% | 5.5% | 4.5% | 4.5% | 4.5% |
| UK 11a | | Overall capital requirements (%) | 18.7% | 18.5% | 17.5% | 17.5% | 17.5% |
| 12 | | CET1 available after meeting the total SREP own funds requirements (%) | 7.3% | 7.6% | 7.5% | 6.7% | 7.4% |

**Notes**
a. From 1 January 2018, Barclays Bank UK Group elected to apply the IFRS 9 transitional arrangements of the Capital Requirements Regulation (CRR). The transitional relief on the ‘day 1’ impact on adoption of IFRS 9 and on increases in non-defaulted provisions between ‘day 1’ and 31 December 2019 was phased out over a five year period ending on 1 January 2023. On 27 June 2020, CRR was amended to extend the transitional period by two years and to introduce a new modified calculation. The transitional relief for increases in non-defaulted provisions between 1 January 2020 and the reporting date is also phased out over a five year period with 75% applicable for 2022; 50% for 2023; 25% for 2024 and with no transitional relief from 2025. As at 31 December 2023 transitional relief was £nil.
b. Transitional capital and RWAs are calculated applying the IFRS 9 transitional arrangements of the CRR as amended by CRR II.
c. Fully loaded capital and RWAs are calculated without applying the IFRS 9 transitional arrangements of the CRR as amended by CRR II.

The CET1 ratio increased to 14.8% (December 2022: 14.7%) as RWAs decreased to £72.1bn (December 2022: £72.7bn) whilst CET1 capital decreased by £0.1bn to £10.6bn (December 2022: £10.7bn). The decrease in RWAs is primarily due to reduction across lending portfolios partially offset by the acquisition of Kensington Mortgage Company (KMC).

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# Analysis of treasury and capital risk (continued)

### Table 6: KM1 - Key metrics (KM1 / IFRS9-FL) - Part 2

| KM1 Ref | IFRS9-FL ref | | As at 31.12.23 £m | As at 30.09.23 £m | As at 30.06.23 £m | As at 31.03.23 £m | As at 31.12.22 £m |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| | | **Leverage ratio** | | | | | |
| | | **Barclays Bank UK Group** | | | | | |
| 13 | 15 | Total exposure measure excluding claims on central banks$^{a}$ | 250,163 | 253,164 | 252,442 | 248,931 | 250,092 |
| 14 | 16 | Leverage ratio excluding claims on central banks (%) $^{a,d}$ | 5.2% | 5.2% | 5.2% | 5.1% | 5.3% |
| | | **Additional leverage ratio disclosure requirements** | | | | | |
| UK 14a | 17 | Fully loaded ECL accounting model leverage ratio excluding claims on central banks (%) $^{b}$ | 5.2% | 5.2% | 5.2% | 5.1% | 5.3% |
| UK 14b | | Leverage ratio including claims on central banks (%) $^{a}$ | 4.5% | 4.4% | 4.3% | 4.2% | 4.3% |
| UK 14c | | Average leverage ratio excluding claims on central banks (%) $^{a,c}$ | 5.2% | 5.2% | 5.2% | 5.1% | 5.3% |
| UK 14d | | Average leverage ratio including claims on central banks (%) $^{a,c}$ | 4.5% | 4.4% | 4.3% | 4.2% | 4.3% |
| UK 14e | | Countercyclical leverage ratio buffer (%) | 0.7% | 0.7% | 0.3% | 0.3% | 0.3% |
| | | **Barclays Bank UK PLC** | | | | | |
| 13 | 15 | Total exposure measure excluding claims on central banks$^{a}$ | 250,564 | 253,462 | 252,686 | 249,218 | |
| 14 | 16 | Leverage ratio excluding claims on central banks (%) $^{a}$ | 5.2% | 5.2% | 5.2% | 5.1% | |
| | | **Additional leverage ratio disclosure requirements** | | | | | |
| UK 14a | 17 | Fully loaded ECL accounting model leverage ratio excluding claims on central banks (%) $^{b}$ | 5.2% | 5.2% | 5.2% | 5.1% | |
| UK 14b | | Leverage ratio including claims on central banks (%) $^{a}$ | 4.5% | 4.4% | 4.3% | 4.2% | |
| | | **Liquidity Coverage Ratio (LCR)$^{e}$** | | | | | |
| 15 | | Total high-quality liquid assets (HQLA) (Weighted value) | 68,533 | 72,344 | 76,341 | 79,425 | 81,791 |
| UK 16a | | Cash outflows - Total weighted value | 38,982 | 41,483 | 43,193 | 44,228 | 45,306 |
| UK 16b | | Cash inflows - Total weighted value | 925 | 838 | 1,009 | 1,127 | 1,340 |
| 16 | | Total net cash outflows (adjusted value) | 38,057 | 40,645 | 42,184 | 43,101 | 43,966 |
| 17 | | Liquidity coverage ratio (%) | 180% | 178% | 181% | 184% | 186% |
| | | **Net Stable Funding Ratio$^{f}$** | | | | | |
| 18 | | Total available stable funding | 258,620 | 260,882 | 263,570 | 265,539 | 266,421 |
| 19 | | Total required stable funding | 156,588 | 157,316 | 157,961 | 158,384 | 158,156 |
| 20 | | NSFR ratio (%) | 165% | 166% | 167% | 168% | 168% |

**Notes**
a. Transitional leverage ratios are calculated applying the IFRS 9 transitional arrangements of the CRR as amended by CRR II.
b. Fully loaded leverage ratio is calculated without applying the IFRS 9 transitional arrangements of the CRR as amended by CRR II.
c. 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.
d. Although the leverage ratio is expressed in terms of T1 capital, the leverage ratio buffers and 75% of the minimum requirement must be covered solely with CET1 capital. The CET1 capital held against the 0.35% O-SII additional leverage ratio buffer (ALRB) was £0.9bn and against the 0.7% countercyclical leverage ratio buffer (CCLB) was £1.8bn.
e. Liquidity coverage ratio computed as a trailing average of 12 month-end observations to the reporting date.
f. Net Stable Funding Ratio is computed as a trailing average of the last four spot quarter end positions.

The UK leverage ratio of Barclays Bank UK Group decreased to 5.2% (December 2022: 5.3%) due to a £0.2bn decrease in Tier 1 Capital to £13.1bn (December 2022: £13.3bn).

The average LCR for the 12 months to 31 December 2023 decreased to 180% (December 2022: 186%), due to average HQLA decreasing by £13bn and average net cash outflows decreasing by £6bn.

As at 31 December 2023, the trailing average NSFR for the last four spot quarter end positions, remained broadly stable at 165% (December 2022: 168%), equivalent to a surplus of £102.0bn (December 2022: £108.3bn) above the 100% regulatory requirement.

---

# Analysis of treasury and capital risk (continued)

### Table 7: CC1 – Composition of regulatory own funds

This table shows the components of regulatory capital presented on both a transitional and fully loaded basis.

| | Ref | As at 31.12.23 Transitional Position £m | As at 31.12.23 Fully Loaded Position £m | As at 31.12.22 Transitional Position £m | As at 31.12.22 Fully Loaded Position £m |
| :--- | :--- | :--- | :--- | :--- | :--- |
| **Common Equity Tier 1 (CET1) capital: instruments and reserves** | | | | | |
| 1 Capital instruments and the related share premium accounts | a | 5 | 5 | 5 | 5 |
| *of which called up share capital and share premium* | | 5 | 5 | 5 | 5 |
| 2 Retained earnings | b | 13,839 | 13,839 | 13,492 | 13,492 |
| 3 Accumulated other comprehensive income (and other reserves) | c | (1,049) | (1,049) | (2,177) | (2,177) |
| UK-5a Independently reviewed interim profits net of any foreseeable charge or dividend | b | 957 | 957 | 934 | 934 |
| 6 Common Equity Tier 1 (CET1) capital before regulatory adjustments | | 13,752 | 13,752 | 12,254 | 12,254 |
| **Common Equity Tier 1 (CET1) capital: regulatory adjustments** | | | | | |
| 7 Additional value adjustments | | (34) | (34) | (48) | (48) |
| 8 Intangible assets (net of related tax liability)$^{a}$ | d, e, f, g | (3,968) | (3,968) | (3,629) | (3,629) |
| 11 Fair value reserves related to gains or losses on cash flow hedges of financial instruments that are not valued at fair value | h | 1,080 | 1,080 | 2,146 | 2,146 |
| 12 Negative amounts resulting from the calculation of expected loss amounts | | (192) | (192) | (73) | (73) |
| 21 Deferred tax assets arising from temporary differences (amount above 10% threshold, net of related tax liability where the conditions in Article 38 (3) CRR are met) (negative amount) | g | — | — | — | (17) |
| 27a Other regulatory adjustments to CET1 capital (including IFRS 9 transitional adjustments when relevant)$^{b}$ | | — | — | 51 | (5) |
| 28 Total regulatory adjustments to Common Equity Tier 1 (CET1) | | (3,114) | (3,114) | (1,553) | (1,626) |
| 29 Common Equity Tier 1 (CET1) capital | | 10,638 | 10,638 | 10,701 | 10,628 |
| **Additional Tier 1 (AT1) capital: instruments** | | | | | |
| 30 Capital instruments and the related share premium accounts | i | 2,429 | 2,429 | 2,560 | 2,560 |
| *of which: classified as equity under applicable accounting standards* | | 2,429 | 2,429 | 2,560 | 2,560 |
| 36 Additional Tier 1 (AT1) capital before regulatory adjustments | | 2,429 | 2,429 | 2,560 | 2,560 |
| **Additional Tier 1 (AT1) capital: regulatory adjustments** | | | | | |
| 44 Additional Tier 1 (AT1) capital | | 2,429 | 2,429 | 2,560 | 2,560 |
| 45 Tier 1 capital (T1 = CET1 + AT1) | | 13,067 | 13,067 | 13,261 | 13,188 |
| **Tier 2 (T2) capital: instruments** | | | | | |
| 46 Capital instruments and the related share premium accounts | j | 2,529 | 2,529 | 2,548 | 2,548 |
| 50 Credit risk adjustments | | — | — | 19 | 68 |
| 51 Tier 2 (T2) capital before regulatory adjustments | | 2,529 | 2,529 | 2,567 | 2,616 |
| 58 Tier 2 (T2) capital | | 2,529 | 2,529 | 2,567 | 2,616 |
| 59 Total capital (TC = T1 + T2) | | 15,596 | 15,596 | 15,828 | 15,804 |
| 60 Total Risk exposure amount | | 72,102 | 72,102 | 72,719 | 72,707 |
| **Capital ratios and buffers** | | | | | |
| 61 Common Equity Tier 1 (as a percentage of total risk exposure amount) | | 14.8% | 14.8% | 14.7% | 14.6% |
| 62 Tier 1 (as a percentage of total risk exposure amount) | | 18.1% | 18.1% | 18.2% | 18.1% |
| 63 Total capital (as a percentage of total risk exposure amount) | | 21.6% | 21.6% | 21.8% | 21.7% |
| 64 Institution CET1 overall capital requirement (CET1 requirement in accordance with Article 92 (1) CRR, plus additional CET1 requirement which the institution is required to hold in accordance with point (a) of Article 104(1) CRD, plus combined buffer requirement in accordance with Article 128(6) CRD) expressed as a percentage of risk exposure amount) | | 12.9% | 12.9% | 11.8% | 11.8% |
| 65 *of which: capital conservation buffer requirement* | | 2.5% | 2.5% | 2.5% | 2.5% |
| 66 *of which: countercyclical buffer requirement* | | 2.0% | 2.0% | 1.0% | 1.0% |
| UK-67a *of which: Global Systemically Important Institution (G-SII) or Other Systemically Important Institution (O-SII) buffer* | | 1.0% | 1.0% | 1.0% | 1.0% |
| 68 Common Equity Tier 1 available to meet buffers (as a percentage of risk exposure amount) | | 7.3% | 7.3% | 7.4% | 7.3% |
| **Amounts below the thresholds for deduction (before risk weighting)** | | | | | |
| 72 Direct and indirect holdings of own funds and eligible liabilities of financial sector entities where the institution does not have a significant investment in those entities (amount below 10% threshold and net of eligible short positions) | | 1 | 1 | 1 | 1 |

---

# Analysis of treasury and capital risk (continued)

| | Ref$^{†}$ | As at 31.12.23 Transitional Position £m | As at 31.12.23 Fully Loaded Position £m | As at 31.12.22 Transitional Position £m | As at 31.12.22 Fully Loaded Position £m |
| :--- | :--- | :--- | :--- | :--- | :--- |
| 73 Direct and indirect holdings by the institution of the CET1 instruments of financial sector entities where the institution has a significant investment in those entities (amount below 17.65% thresholds and net of eligible short positions) | | 45 | 45 | 20 | 20 |
| 75 Deferred tax assets arising from temporary differences (amount below 17.65% threshold, net of related tax liability where the conditions in Article 38 (3) CRR are met) | | 880 | 880 | 1,062 | 1,065 |
| **Applicable caps on the inclusions of provisions in Tier 2** | | | | | |
| 78 Credit risk adjustments included in T2 in respect of exposures subject to internal ratings-based approach (prior to the application of the cap) | | — | — | 19 | 68 |
| 79 Cap for inclusion of credit risk adjustments in T2 under internal ratings based approach | | 302 | 302 | 324 | 324 |

**Notes**
†. The references (a) – (j) identify balance sheet components in Table 8: CC2 – Reconciliation of regulatory capital to balance sheet which are used in the calculation of regulatory capital.
a. Deferred tax liabilities on intangible assets are included as either a negative component of the deferred tax asset or a deferred tax liability on the balance sheet depending on the net deferred tax position of the bank at the time of reporting.
b. Other regulatory adjustments to CET1 capital include IFRS 9 transitional adjustments which was £nil as at 31st December 2023.

---

# Analysis of treasury and capital risk (continued)

### Table 8: CC2 – Reconciliation of regulatory own funds to balance sheet in the audited financial statements

These tables show the reconciliation between the balance sheet prepared for statutory and regulatory scope of consolidation. The amount shown under the regulatory scope of consolidation is not a RWA measure; it is based on an accounting measure and cannot be directly reconciled to other tables in this report.

| As at 31 December 2023 | Ref$^{†}$ | Balance sheet as in published financial statements £m | Under regulatory scope of consolidation £m |
| :--- | :--- | :--- | :--- |
| **Assets** | | | |
| 1 Cash and balances at central banks | | 34,948 | 34,948 |
| 2 Cash collateral and settlement balances | | 5,507 | 5,507 |
| 3 Debt Securities at amortised cost | | 17,794 | 17,794 |
| 4 Loans and advances at amortised cost to Banks | | 1,213 | 1,213 |
| 5 Loans and advances at amortised cost to customers | | 200,782 | 200,782 |
| 6 Reverse repurchase agreements and other similar secured lending at amortised cost | | 3,567 | 3,567 |
| 7 Trading portfolio assets | | 43 | 43 |
| 8 Financial assets at fair value through the income statement | | 1,716 | 1,716 |
| 9 Derivative financial instruments | | 1,566 | 1,566 |
| 10 Financial assets at fair value through other comprehensive income | | 20,409 | 20,409 |
| 11 Investments in subsidiaries, associates and joint ventures | d | — | 122 |
| 12 Goodwill and intangible assets | | 3,870 | 3,870 |
| 13 *Of which: goodwill* | e | 3,837 | 3,837 |
| 14 *Of which: other intangibles (excluding MSRs)* | f | 33 | 33 |
| 15 Property, plant and equipment | | 261 | 261 |
| 16 Deferred tax assets | g | 1,296 | 1,296 |
| 17 Other assets | | 587 | 593 |
| 18 Total assets | | 293,559 | 293,687 |
| **Liabilities** | | | |
| 1 Deposits at amortised cost from banks | | 6 | 6 |
| 2 Deposits at amortised cost from customers | | 241,218 | 241,294 |
| 3 Cash collateral and settlement balances | | 1,370 | 1,370 |
| 4 Repurchase agreements and other similar secured borrowing at amortised cost | | 15,265 | 15,265 |
| 5 Debt securities in issue | | 3,307 | 3,307 |
| 6 Subordinated liabilities | j | 11,499 | 11,499 |
| 7 Trading portfolio liabilities | | 908 | 908 |
| 8 Financial liabilities designated at fair value | | 196 | 196 |
| 9 Derivative financial instruments | | 398 | 398 |
| 10 Current tax liabilities | | 540 | 527 |
| 12 Provisions | | 364 | 361 |
| 13 Other liabilities | | 1,627 | 1,619 |
| 14 Total liabilities | | 276,698 | 276,750 |
| **Equity** | | | |
| 1 Called up share capital and share premium | | 5 | 5 |
| 2 *Of which: amount eligible for CET1* | a | 5 | 5 |
| 3 Other equity instruments | i | 2,429 | 2,429 |
| 4 Other reserves | c,h | (1,151) | (1,049) |
| 5 Retained earnings | b | 15,578 | 15,552 |
| 6 Total equity excluding non-controlling interests | | 16,861 | 16,937 |
| 7 Non-controlling interests | | — | — |
| 8 Total equity | | 16,861 | 16,937 |
| 9 Total liabilities and equity | | 293,559 | 293,687 |

**Note**
† The references (a) – (j) identify balance sheet components that are used in the calculation of regulatory capital in Table 7: Composition of regulatory capital on page 13.

---

# Analysis of treasury and capital risk (continued)

### Table 9: RWAs by risk type

This table shows RWAs by business and risk type.

| | Credit risk$^{a}$ Std £m | Credit risk$^{a}$ AIRB £m | Counterparty credit risk Std £m | Counterparty credit risk AIRB £m | Settlement risk £m | CVA £m | Market risk Std £m | Market risk IMA £m | Operational risk £m | Total RWAs £m |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| **As at 31 December 2023** | | | | | | | | | | |
| Barclays Bank UK Group | 8,876 | 50,743 | 237 | — | — | 304 | 274 | — | 11,668 | 72,102 |
| **As at 31 December 2022** | | | | | | | | | | |
| Barclays Bank UK Group | 5,606 | 54,716 | 348 | — | 0 | 735 | 233 | — | 11,081 | 72,719 |

**Note**
a. In Q3 2023, Credit risk RWAs of £2.3bn, related to deferred tax assets (DTAs) have been reclassified from IRB to STD with no impact to total RWAs.

---

# Analysis of treasury and capital risk (continued)

### Table 10: OV1 – Overview of risk weighted exposure amounts

The table shows RWAs and minimum capital requirement by risk type and approach.

| | | Risk weighted exposure amounts (RWEAs) As at 31.12.23 £m | Risk weighted exposure amounts (RWEAs) As at 30.09.23 £m | Risk weighted exposure amounts (RWEAs) As at 31.12.22 £m | Total own funds requirements As at 31.12.23 £m | Total own funds requirements As at 30.09.23 £m | Total own funds requirements As at 31.12.22 £m |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| 1 | Credit risk (excluding CCR)$^{a}$ | 58,174 | 58,684 | 58,885 | 4,654 | 4,695 | 4,711 |
| 2 | *Of which the standardised approach* | 7,840 | 9,202 | 4,827 | 627 | 736 | 387 |
| 4 | *Of which: slotting approach* | 449 | 459 | 491 | 36 | 37 | 39 |
| 5 | *Of which the advanced IRB (AIRB) approach* | 49,885 | 49,023 | 53,567 | 3,991 | 3,922 | 4,285 |
| 6 | Counterparty credit risk - CCR | 541 | 503 | 1,083 | 44 | 41 | 87 |
| 7 | *Of which the standardised approach* | 169 | 159 | 225 | 14 | 13 | 18 |
| UK 8a | *Of which exposures to a CCP* | 33 | 22 | 16 | 3 | 2 | 1 |
| UK 8b | *Of which credit valuation adjustment - CVA* | 304 | 258 | 735 | 24 | 21 | 59 |
| 9 | *Of which other CCR* | 35 | 64 | 107 | 3 | 5 | 9 |
| 15 | Settlement risk | — | — | 0 | — | — | 0 |
| 16 | Securitisation exposures in the non-trading book (after the cap) | 1,445 | 1,392 | 1,437 | 116 | 112 | 115 |
| 17 | *Of which SEC-IRBA approach* | 409 | 432 | 658 | 33 | 35 | 53 |
| 18 | *Of which SEC-ERBA (including IAA)* | 50 | — | — | 4 | — | — |
| 19 | *Of which SEC-SA approach* | 986 | 960 | 779 | 79 | 77 | 62 |
| 20 | Position, foreign exchange and commodities risks (Market risk) | 274 | 216 | 233 | 22 | 17 | 19 |
| 21 | *Of which the standardised approach* | 274 | 216 | 233 | 22 | 17 | 19 |
| 23 | Operational risk | 11,668 | 11,086 | 11,081 | 933 | 887 | 887 |
| UK 23b | *Of which standardised approach* | 11,668 | 11,086 | 11,081 | 933 | 887 | 887 |
| 24 | Amounts below the thresholds for deduction (subject to 250% risk weight) (For information only) | 2,314 | 2,309 | 2,704 | 185 | 185 | 216 |
| 29 | Total | 72,102 | 71,881 | 72,719 | 5,769 | 5,752 | 5,819 |

**Note**
a. In Q3 2023, Credit risk RWAs of £2.3bn, related to DTAs have been reclassified from IRB to STD with no impact to total RWAs.

Overall RWAs remained stable at £72.1bn in the quarter (September 2023: £71.9bn).

---

# Analysis of treasury and capital risk (continued)

### Table 11: CR8 – RWEA flow statements of credit risk exposures under the advanced IRB approach

The total in this table shows the contribution of credit risk RWAs under the AIRB approach excluding Securitisation and non-credit obligation assets and hence will not directly reconcile to the credit risk AIRB RWAs in table 9.

| | Three months ended 31.12.23 £m | Twelve months ended 31.12.23 £m |
| :--- | :--- | :--- |
| 1 Risk weighted exposure amount as at the end of the previous reporting period | 48,862 | 50,815 |
| 2 Asset size | (111) | (1,300) |
| 3 Asset quality | 225 | 1,719 |
| 4 Model updates | — | (2,600) |
| 5 Methodology and policy | 533 | 977 |
| 6 Acquisitions and disposals | — | (102) |
| 7 Foreign exchange movements | — | — |
| 8 Other | — | — |
| 9 Risk weighted exposure amount as at the end of the reporting period | 49,509 | 49,509 |

Advanced credit risk RWAs increased by £0.6bn to £49.5bn in the quarter (September 2023: £48.9bn) driven by:
* A £0.5bn increase in methodology and policy primarily driven by recalibration of the post model adjustment (PMA) introduced to address the IRB roadmap changes

Advanced credit risk RWAs decreased by £1.3bn to £49.5bn in the year (December 2022: £50.8bn) driven by:
* A £1.3bn decrease in asset size primarily driven by reduction across lending portfolios
* A £1.7bn increase in asset quality primarily driven by House Price Index (HPI) refresh and changes in risk parameters
* A £2.6bn decrease in model updates primarily driven by capital Loss Given Default (LGD) model update for the mortgage portfolio to reflect the significant decrease in repossession volume during and post the COVID pandemic
* A £0.9bn increase in methodology and policy driven by recalibration of the PMA introduced to address the IRB roadmap changes

---

# Analysis of treasury and capital risk (continued)

## Leverage ratio and exposures
The following leverage tables show the components of the leverage ratio using the UK Leverage Ratio Framework (UKLRF) definition for leverage exposure and Tier 1 capital.

### Table 12: LR1 - Summary of reconciliation of accounting assets and leverage ratio exposures

| Barclays Bank UK Group$^{a}$ | As at 31.12.23 £m | As at 31.12.22 £m |
| :--- | :--- | :--- |
| 1 Total assets as per published financial statements$^{c}$ | 293,559 | 312,179 |
| 2 Adjustment for entities which are consolidated for accounting purposes but are outside the scope of prudential consolidation | 128 | 116 |
| 4 Adjustment for exemption of exposures to central banks | (40,994) | (59,778) |
| 6 Adjustment for regular-way purchases and sales of financial assets subject to trade date accounting | — | (58) |
| 8 Adjustments for derivative financial instruments | (870) | 185 |
| 9 Adjustment for securities financing transactions (SFTs) | 12 | 3 |
| 10 Adjustment for off-balance sheet items (i.e. conversion to credit equivalent amounts of off-balance sheet exposures) | 7,239 | 8,193 |
| 11 Adjustment for prudent valuation adjustments and specific and general provisions which have reduced Tier 1 capital | (62) | (95) |
| 12 Other adjustments | (8,849) | (10,653) |
| 13 Total exposure measure | 250,163 | 250,092 |

| Barclays Bank UK PLC$^{a,b}$ | As at 31.12.23 £m |
| :--- | :--- |
| 1 Total assets as per published financial statements$^{d}$ | 294,104 |
| 2 Adjustment for entities which are consolidated for accounting purposes but are outside the scope of prudential consolidation | (1) |
| 4 Adjustment for exemption of exposures to central banks | (40,994) |
| 8 Adjustments for derivative financial instruments | (865) |
| 9 Adjustment for securities financing transactions (SFTs) | 12 |
| 10 Adjustment for off-balance sheet items (i.e. conversion to credit equivalent amounts of off-balance sheet exposures) | 7,321 |
| 11 Adjustment for prudent valuation adjustments and specific and general provisions which have reduced Tier 1 capital | (62) |
| 12 Other adjustments | (8,951) |
| 13 Total exposure measure | 250,564 |

**Notes**
a. Capital and leverage measures are calculated applying the IFRS 9 transitional arrangements of the CRR amended by CRR II.
b. No comparatives are provided for Barclays Bank UK PLC given this is the first reporting year.
c. The Barclays Bank UK Group total assets represents the Barclays Bank UK Group total assets as published in page 164 of the Barclays Bank UK PLC Annual Report.
d. The Barclays Bank UK PLC total assets represents the Barclays Bank UK PLC parent company total assets as published in page 167 of the Barclays Bank UK PLC Annual Report.

---

# Analysis of treasury and capital risk (continued)

### Table 13: LR2 - Leverage ratio common disclosure
This table shows the leverage ratio calculation and includes additional breakdowns for the leverage exposure measure.

| Barclays Bank UK Group$^{a}$ | As at 31.12.23 £m | As at 31.12.22 £m |
| :--- | :--- | :--- |
| **On-balance sheet exposures (excluding derivatives and SFTs)** | | |
| 1 On-balance sheet items (excluding derivatives, SFTs, but including collateral) | 284,036 | 304,562 |
| 3 Deductions of receivables assets for cash variation margin provided in derivatives | (170) | (415) |
| 6 Asset amounts deducted in determining tier 1 capital (leverage) | (4,194) | (3,699) |
| 7 Total on-balance sheet exposures (excluding derivatives and SFTs) | 279,672 | 300,448 |
| **Derivative exposures** | | |
| 8 Replacement cost associated with SA-CCR derivatives transactions (i.e. net of eligible cash variation margin) | 141 | 33 |
| 9 Add-on amounts for potential future exposure associated with SA-CCR derivatives | 554 | 763 |
| 13 Total derivatives exposures | 695 | 796 |
| **Securities financing transaction (SFT) exposures** | | |
| 14 Gross SFT assets (with no recognition of netting), after adjustment for sales | 5,168 | 2,547 |
| 15 Netted amounts of cash payables and cash receivables of gross SFT assets | (1,601) | (2,070) |
| 16 Counterparty credit risk exposure for SFT assets | 12 | 3 |
| 18 Total securities financing transaction exposures | 3,579 | 480 |
| **Other off-balance sheet exposures** | | |
| 19 Off-balance sheet exposures at gross notional amount | 50,843 | 59,073 |
| 20 Adjustments for conversion to credit equivalent amounts | (43,604) | (50,880) |
| 21 General provisions deducted in determining tier 1 capital (leverage) and specific provisions associated with off-balance sheet exposures | (28) | (47) |
| 22 Off-balance sheet exposures | 7,211 | 8,146 |
| **Capital and total exposure measure** | | |
| 23 Tier 1 capital (leverage) | 13,067 | 13,261 |
| 24 Total exposure measure including claims on central banks | 291,157 | 309,870 |
| UK-24a (-) Claims on central banks excluded | (40,994) | (59,778) |
| UK-24b Total exposure measure excluding claims on central banks | 250,163 | 250,092 |
| **Leverage ratio** | | |
| 25 Leverage ratio excluding claims on central banks (%) | 5.2% | 5.3% |
| UK-25a Fully loaded ECL accounting model leverage ratio excluding claims on central banks (%) | 5.2% | 5.3% |
| UK-25c Leverage ratio including claims on central banks (%) | 4.5% | 4.3% |
| 26 Regulatory minimum leverage ratio requirement (%) | 3.3% | 3.3% |
| **Additional leverage ratio disclosure requirements - leverage ratio buffers** | | |
| 27 Leverage ratio buffer (%) | 1.1% | 0.7% |
| UK-27a *Of which: G-SII or O-SII additional leverage ratio buffer (%)* | 0.4% | 0.4% |
| UK-27b *Of which: countercyclical leverage ratio buffer (%)* | 0.7% | 0.3% |
| **Additional leverage ratio disclosure requirements - disclosure of mean values** | | |
| 28 Mean of daily values of gross SFT assets, after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivable | 2,643 | 1,426 |
| 29 Quarter-end value of gross SFT assets, after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivables | 3,567 | 477 |
| UK-31 Average total exposure measure including claims on central banks | 293,360 | 310,486 |
| UK-32 Average total exposure measure excluding claims on central banks | 251,762 | 251,425 |
| UK-33 Average leverage ratio including claims on central banks | 4.5% | 4.3% |
| UK-34 Average leverage ratio excluding claims on central banks | 5.2% | 5.3% |

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

---

# Analysis of treasury and capital risk (continued)

### Table: Barclays Bank UK PLC$^{a,b}$

| | As at 31.12.23 £m |
| :--- | :--- |
| **On-balance sheet exposures (excluding derivatives and SFTs)** | |
| 1 On-balance sheet items (excluding derivatives, SFTs, but including collateral) | 284,176 |
| 3 Deductions of receivables assets for cash variation margin provided in derivatives transactions | (170) |
| 6 Asset amounts deducted in determining tier 1 capital (leverage) | (4,020) |
| 7 Total on-balance sheet exposures (excluding derivatives and SFTs) | 279,986 |
| **Derivative exposures** | |
| 8 Replacement cost associated with SA-CCR derivatives transactions (i.e. net of eligible cash variation margin) | 142 |
| 9 Add-on amounts for potential future exposure associated with SA-CCR derivatives transactions | 558 |
| 13 Total derivatives exposures | 700 |
| **Securities financing transaction (SFT) exposures** | |
| 14 Gross SFT assets (with no recognition of netting), after adjustment for sales accounting transactions | 5,168 |
| 15 Netted amounts of cash payables and cash receivables of gross SFT assets | (1,601) |
| 16 Counterparty credit risk exposure for SFT assets | 12 |
| 18 Total securities financing transaction exposures | 3,579 |
| **Other off-balance sheet exposures** | |
| 19 Off-balance sheet exposures at gross notional amount | 50,793 |
| 20 Adjustments for conversion to credit equivalent amounts | (43,472) |
| 21 General provisions deducted in determining tier 1 capital (leverage) and specific provisions associated with off-balance sheet exposures | (28) |
| 22 Off-balance sheet exposures | 7,293 |
| **Capital and total exposure measure** | |
| 23 Tier 1 capital (leverage) | 13,112 |
| 24 Total exposure measure including claims on central banks | 291,558 |
| UK-24a (-) Claims on central banks excluded | (40,994) |
| UK-24b Total exposure measure excluding claims on central banks | 250,564 |
| **Leverage ratio** | |
| 25 Leverage ratio excluding claims on central banks (%) | 5.2% |
| UK-25a Fully loaded ECL accounting model leverage ratio excluding claims on central banks (%) | 5.2% |
| UK-25c Leverage ratio including claims on central banks (%) | 4.5% |

**Notes**
a. Capital and leverage measures are calculated applying the IFRS 9 transitional arrangements of the CRR amended by CRR II.
b. No comparatives are provided for Barclays Bank UK PLC given this is the first reporting year.

---

# Analysis of treasury and capital risk (continued)

### Table 14: LR3 - 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.

| Barclays Bank UK Group$^{a}$ | As at 31.12.23 £m | As at 31.12.22 £m |
| :--- | :--- | :--- |
| UK-1 Total on-balance sheet exposures (excluding derivatives, SFTs, and exempted exposures), of which: | 242,872 | 244,369 |
| UK-2 Trading book exposures | 43 | 54 |
| UK-3 Banking book exposures, of which: | 242,829 | 244,315 |
| UK-4 Covered bonds | 1,169 | 294 |
| UK-5 Exposures treated as sovereigns | 25,645 | 25,892 |
| UK-6 Exposures to regional governments, MDB, international organisations and PSE not treated | 4,289 | 4,622 |
| UK-7 Institutions | 4,429 | 4,111 |
| UK-8 Secured by mortgages of immovable properties | 162,539 | 161,551 |
| UK-9 Retail exposures | 17,902 | 18,086 |
| UK-10 Corporates | 8,810 | 10,897 |
| UK-11 Exposures in default | 2,299 | 2,195 |
| UK-12 Other exposures (e.g. equity, securitisations, and other non-credit obligation assets) | 15,747 | 16,667 |

| Barclays Bank UK PLC$^{a,b}$ | As at 31.12.23 £m |
| :--- | :--- |
| UK-1 Total on-balance sheet exposures (excluding derivatives, SFTs, and exempted exposures), of which: | 243,012 |
| UK-2 Trading book exposures | 43 |
| UK-3 Banking book exposures, of which: | 242,969 |
| UK-4 Covered bonds | 1,169 |
| UK-5 Exposures treated as sovereigns | 25,635 |
| UK-6 Exposures to regional governments, MDB, international organisations and PSE not treated as sovereigns | 4,289 |
| UK-7 Institutions | 4,652 |
| UK-8 Secured by mortgages of immovable properties | 162,545 |
| UK-9 Retail exposures | 17,902 |
| UK-10 Corporates | 8,853 |
| UK-11 Exposures in default | 2,299 |
| UK-12 Other exposures (e.g. equity, securitisations, and other non-credit obligation assets) | 15,625 |

**Notes**
a. Capital and leverage measures are calculated applying the IFRS 9 transitional arrangements of the CRR amended by CRR II.
b. No comparatives are provided for Barclays Bank UK PLC given this is the first reporting year.

---

# Analysis of treasury and capital risk (continued)

### Table 15: LIQ1 - Liquidity coverage ratio

This table shows the level and components of the Liquidity Coverage Ratio (LCR).

| Liquidity coverage ratio (average) | Total unweighted value (average) 31.12.23 | Total unweighted value (average) 30.09.23 | Total unweighted value (average) 30.06.23 | Total unweighted value (average) 31.03.23 | Total weighted value (average) 31.12.23 | Total weighted value (average) 30.09.23 | Total weighted value (average) 30.06.23 | Total weighted value (average) 31.03.23 |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| UK1a Number of data points used in calculation of averages$^{a}$ | 12 | 12 | 12 | 12 | 12 | 12 | 12 | 12 |
| **High-quality liquid assets** | | | | | | | | |
| 1 Total high-quality liquid assets (HQLA) | | | | | 68,533 | 72,344 | 76,341 | 79,425 |
| **Cash outflows** | | | | | | | | |
| 2 Retail deposits and deposits from small business customers, of which: | 202,528 | 208,811 | 214,825 | 218,998 | 15,480 | 16,051 | 16,609 | 16,996 |
| 3 Stable deposits | 128,143 | 131,700 | 134,995 | 137,393 | 6,407 | 6,585 | 6,750 | 6,870 |
| 4 Less stable deposits | 74,299 | 77,053 | 79,791 | 81,569 | 9,060 | 9,454 | 9,847 | 10,115 |
| 5 Unsecured wholesale funding, of which: | 34,404 | 36,375 | 37,795 | 38,869 | 16,346 | 17,604 | 18,231 | 18,582 |
| 6 Operational deposits (all counterparties) and deposits in networks of cooperative banks | 7,024 | 6,493 | 6,840 | 7,022 | 1,630 | 1,497 | 1,579 | 1,621 |
| 7 Non-operational deposits (all counterparties)$^{b}$ | 23,176 | 24,970 | 25,895 | 26,669 | 10,512 | 11,195 | 11,592 | 11,783 |
| 8 Unsecured debt | 4,204 | 4,912 | 5,060 | 5,178 | 4,204 | 4,912 | 5,060 | 5,178 |
| 9 Secured wholesale funding | 48 | 34 | 34 | 35 | | | | |
| 10 Additional requirements, of which: | 4,288 | 4,480 | 4,553 | 5,648 | 3,132 | 3,444 | 3,680 | 3,918 |
| 11 Outflows related to derivative exposures and other collateral requirements | 3,426 | 3,523 | 3,648 | 3,756 | 2,947 | 3,159 | 3,399 | 3,627 |
| 12 Outflows related to loss of funding on debt products | 42 | 146 | 146 | 104 | 42 | 146 | 146 | 104 |
| 13 Credit and liquidity facilities | 820 | 811 | 759 | 1,788 | 143 | 139 | 135 | 187 |
| 14 Other contractual funding obligations | 635 | 637 | 587 | 537 | 302 | 288 | 223 | 156 |
| 15 Other contingent funding obligations | 52,630 | 54,774 | 56,688 | 56,873 | 3,674 | 4,062 | 4,416 | 4,541 |
| 16 Total cash outflows | | | | | 38,982 | 41,483 | 43,193 | 44,228 |
| **Cash inflows** | | | | | | | | |
| 17 Secured lending (e.g. reverse repos) | 2,412 | 1,994 | 1,821 | 1,725 | 1 | 1 | 1 | 1 |
| 18 Inflows from fully performing exposures | 594 | 342 | 591 | 826 | 386 | 263 | 386 | 474 |
| 19 Other cash inflows$^{c}$ | 2,228 | 2,281 | 2,365 | 2,433 | 538 | 574 | 622 | 652 |
| UK-19a (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) | | | | | — | — | — | — |
| UK-19b (Excess inflows from a related specialised credit institution) | | | | | — | — | — | — |
| 20 Total cash inflows | 5,234 | 4,617 | 4,777 | 4,984 | 925 | 838 | 1,009 | 1,127 |
| UK-20a Fully exempt inflows | — | — | — | — | — | — | — | — |
| UK-20b Inflows subject to 90% cap | — | — | — | — | — | — | — | — |
| UK-20c Inflows subject to 75% cap | 5,094 | 4,484 | 4,644 | 4,851 | 925 | 838 | 1,009 | 1,127 |
| UK-21 Liquidity buffer | | | | | 68,533 | 72,344 | 76,341 | 79,425 |
| 22 Total net cash outflows | | | | | 38,057 | 40,645 | 42,184 | 43,101 |
| 23 Liquidity coverage ratio (%) (average) | | | | | 180% | 178% | 181% | 184% |

**Notes**
a. Trailing average of 12 month-end observations to the reporting date.
b. Non-operational deposits in row 7 also includes excess operational deposits as defined under Article 27(4) of the Liquidity Coverage Ratio section of the PRA rulebook (CRR).
c. Difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there is transfer restrictions or which are denominated in non-convertible currencies.

---

# Analysis of treasury and capital risk (continued)

The average LCR for the 12 months to 31 December 2023 was 180% (September 2023: 178%), equivalent to a surplus of £30.5bn (September 2023: £31.7bn) above the 100% regulatory requirement. The decrease in HQLA was driven by lower deposit balances which led to a reduction in net stress outflows.

The composition of the liquidity pool is subject to limits set by the Board and the independent liquidity risk, credit risk and market risk functions. In addition, the investment of the liquidity pool is monitored for concentration risk by issuer, currency and asset type. Given the returns generated by these highly liquid assets, the risk and reward profile is continuously managed.

The strong deposit franchise is a primary funding source for Barclays Bank UK Group. Barclays Bank UK Group continued to issue in the shorter-term markets and maintain capacity to issue from secured funding programmes. This funding capacity enables Barclays Bank UK Group to maintain its stable and diversified funding base.

Barclays Bank UK Group also supports various central bank monetary initiatives, such as the Bank of England’s Term Funding Scheme with additional incentives for SMEs (TFSME). These are reported under ‘repurchase agreements and other similar secured borrowing’ on the balance sheet.

---

# Analysis of treasury and capital risk (continued)

### Table 16: LIQ2 - Net Stable funding ratio (NSFR)

This table shows the net stable funding ratio that the bank requires to maintain a stable funding profile in relation to their on- and certain off-balance sheet activities.

| As at 31 December 2023 | Unweighted value by residual maturity No maturity £m | Unweighted value by residual maturity < 6 months £m | Unweighted value by residual maturity 6 months to < 1yr £m | Unweighted value by residual maturity ≥ 1yr £m | Weighted value £m |
| :--- | :--- | :--- | :--- | :--- | :--- |
| **Available stable funding (ASF) Items** | | | | | |
| 1 Capital items and instruments | 13,157 | 283 | 801 | 12,839 | 26,396 |
| 2 Own funds | 13,157 | 69 | 664 | 5,666 | 19,155 |
| 3 Other capital instruments | | 214 | 137 | 7,173 | 7,241 |
| 4 Retail deposits | | 205,682 | 6,793 | 3,804 | 201,766 |
| 5 Stable deposits | | 130,361 | 4,329 | 2,087 | 130,043 |
| 6 Less stable deposits | | 75,321 | 2,464 | 1,717 | 71,723 |
| 7 Wholesale funding: | | 36,545 | 129 | 16,611 | 30,458 |
| 8 Operational deposits | | 7,368 | — | — | 3,684 |
| 9 Other wholesale funding | | 29,177 | 129 | 16,611 | 26,774 |
| 10 Interdependent liabilities | | — | — | — | — |
| 11 Other liabilities: | 54 | 3,115 | — | — | |
| 12 NSFR derivative liabilities | 54 | | | | |
| 13 All other liabilities and capital instruments not included in the above categories | | 3,115 | — | — | — |
| 14 Total | | | | | 258,620 |
| **Required stable funding (RSF) Items** | | | | | |
| 15 Total high-quality liquid assets (HQLA) | | | | | 4,295 |
| UK-15a Assets encumbered for more than 12m in cover pool | — | 199 | — | — | 170 |
| 16 Deposits held at other financial institutions for operational purposes | — | — | — | — | — |
| 17 Performing loans and securities: | — | 9,471 | 6,219 | 188,055 | 141,028 |
| 18 Performing securities financing transactions with financial customers collateralised by Level 1 HQLA subject to 0% haircut | | 707 | — | — | — |
| 19 Performing securities financing transactions with financial customer collateralised by other assets and loans and advances to financial institutions | | 1,302 | 248 | 515 | 731 |
| 20 Performing loans to non- financial corporate clients, loans to retail and small business customers, and loans to sovereigns, and PSEs, of which: | | 4,286 | 3,110 | 31,140 | 35,619 |
| 21 With a risk weight of less than or equal to 35% under the Basel II Standardised Approach for credit risk | | 1,992 | 1,237 | 11,740 | 17,045 |
| 22 Performing residential mortgages, of which: | | 3,176 | 2,861 | 156,400 | 104,678 |
| 23 With a risk weight of less than or equal to 35% under the Basel II Standardised Approach for credit risk | | 3,176 | 2,861 | 156,400 | 104,678 |
| 24 Other loans and securities that are not in default and do not qualify as HQLA, including exchange-traded equities and trade finance on-balance sheet products | | — | — | — | — |
| 25 Interdependent assets | | — | — | — | — |
| 26 Other assets: | | 5,859 | — | 9,726 | 11,056 |
| 27 Physical traded commodities | | — | — | — | — |
| 28 Assets posted as initial margin for derivative contracts and contributions to default funds of CCPs | | 1,300 | — | — | 1,105 |
| 29 NSFR derivative assets | | — | — | — | — |
| 30 NSFR derivative liabilities before deduction of variation margin posted | | 4,503 | — | — | 225 |
| 31 All other assets not included in the above categories | | 56 | — | 9,726 | 9,726 |
| 32 Off-balance sheet items$^{b}$ | | 776 | — | — | 39 |
| 33 Total RSF | | | | | 156,588 |
| 34 Net Stable Funding Ratio (%) $^{a}$ | | | | | 165% |

**Notes**
a. Net Stable Funding Ratio is computed as a trailing average of the last four spot quarter end positions.
b. Off-balance sheet items has been updated to reflect regulatory guidance provided in December 2022. This has been reflected prospectively for all four quarters in 2023 and for the 4th quarter in 2022.

---

# Analysis of treasury and capital risk (continued)

### Table 11: LIQ2 - Net Stable Funding Ratio (NSFR) (continued)

| As at 31 December 2022 | Unweighted value by residual maturity No maturity £m | Unweighted value by residual maturity < 6 months £m | Unweighted value by residual maturity 6 months to < 1yr £m | Unweighted value by residual maturity ≥ 1yr £m | Weighted value £m |
| :--- | :--- | :--- | :--- | :--- | :--- |
| **Available stable funding (ASF) Items** | | | | | |
| 1 Capital items and instruments | 12,775 | 592 | 620 | 10,318 | 23,403 |
| 2 Own funds$^{b}$ | 12,775 | 375 | 375 | 5,574 | 18,536 |
| 3 Other capital instruments$^{b}$ | | 217 | 245 | 4,744 | 4,867 |
| 4 Retail deposits | | 222,986 | 1,768 | 1,402 | 210,723 |
| 5 Stable deposits | | 139,814 | 1,039 | 846 | 134,656 |
| 6 Less stable deposits | | 83,172 | 729 | 556 | 76,067 |
| 7 Wholesale funding: | | 43,799 | 906 | 16,410 | 32,295 |
| 8 Operational deposits | | 7,034 | — | — | 3,517 |
| 9 Other wholesale funding | | 36,765 | 906 | 16,410 | 28,778 |
| 10 Interdependent liabilities | | — | — | — | — |
| 11 Other liabilities: | 38 | 3,492 | — | — | |
| 12 NSFR derivative liabilities | 38 | | | | |
| 13 All other liabilities and capital instruments not included in the above categories | | 3,492 | — | — | — |
| 14 Total | | | | | 266,421 |
| **Required stable funding (RSF) Items** | | | | | |
| 15 Total high-quality liquid assets (HQLA) | | | | | 3,203 |
| UK-15a Assets encumbered for more than 12m in cover pool | — | 93 | — | — | 79 |
| 16 Deposits held at other financial institutions for operational purposes | — | — | — | — | — |
| 17 Performing loans and securities: | — | 11,900 | 6,495 | 184,464 | 140,988 |
| 18 Performing securities financing transactions with financial customers collateralised by Level 1 HQLA subject to 0% haircut$^{b}$ | | 689 | — | — | — |
| 19 Performing securities financing transactions with financial customer collateralised by other assets and loans and advances to financial institutions$^{b}$ | | 2,488 | 301 | 19,413 | 19,795 |
| 20 Performing loans to non- financial corporate clients, loans to retail and small business customers, and loans to sovereigns, and PSEs, of which: $^{b}$ | | 5,238 | 3,073 | 11,577 | 18,132 |
| 21 With a risk weight of less than or equal to 35% under the Basel II Standardised Approach for credit risk$^{b}$ | | | | | |
| 22 Performing residential mortgages, of which: $^{b}$ | | 3,485 | 3,120 | 153,473 | 103,060 |
| 23 With a risk weight of less than or equal to 35% under the Basel II Standardised Approach for credit risk$^{b}$ | | 3,485 | 3,120 | 153,473 | 103,060 |
| 24 Other loans and securities that are not in default and do not qualify as HQLA, including exchange-traded equities and trade finance on-balance sheet products | | — | — | — | — |
| 25 Interdependent assets | | | | | |
| 26 Other assets: | — | 6,598 | — | 10,366 | 11,635 |
| 27 Physical traded commodities | | — | — | — | — |
| 28 Assets posted as initial margin for derivative contracts and contributions to default funds of CCPs | | 1,171 | — | — | 996 |
| 29 NSFR derivative assets | | 10 | — | — | 10 |
| 30 NSFR derivative liabilities before deduction of variation margin posted | | 5,417 | — | — | 272 |
| 31 All other assets not included in the above categories | | — | — | 10,366 | 10,357 |
| 32 Off-balance sheet items$^{c}$ | | 45,016 | — | — | 2,251 |
| 33 Total RSF | | | | | 158,156 |
| 34 Net Stable Funding Ratio (%) $^{a}$ | | | | | 168% |

**Notes**
a. Net Stable Funding Ratio is computed as a trailing average of the last four spot quarter end positions.
b. The prior period comparative has been restated. This has no impact on the Net Stable Funding Ratio.
c. Off-balance sheet items has been updated to reflect regulatory guidance provided in December 2022. This has been reflected prospectively for all four quarters in 2023 and for the 4th quarter in 2022.

The NSFR metric requires banks to maintain a stable funding profile taking into account both on- and certain off-balance sheet exposures over the medium to long term. The ratio is defined as the Available Stable Funding (‘ASF’) (capital and certain liabilities which are treated as stable sources of funding) relative to the Required Stable Funding (‘RSF’) (a measure of assets on the balance sheet and certain off-balance sheet exposures which may require longer term funding).

As at 31 December 2023, the trailing average NSFR for the last four spot quarter end positions, remained broadly stable at 165% (December 2022: 168%), equivalent to a surplus of £102.0bn (December 2022: £108.3bn) above the 100% regulatory requirement.

---

# Analysis of treasury and capital risk (continued)

## Interest rate risk in the banking book
The table below shows the impact on the Bank’s economic value of equity (EVE) from the six Basel Standard Outlier interest rate shock scenarios defined by Rule 9.7 of the PRA Rulebook.

For net interest income (NII) there are two prescribed parallel shocks. An immediate parallel shock of +/-250bps is applied to GBP, and +/-200bps to USD and EUR. Other currencies are shocked as per regulatory guidelines (prescribed by Rule 9.11). This metric is a risk evaluation of the Bank’s balance sheet and does not factor in the impact of management and mitigating actions expected in the respective interest rate environments.

### Table 17: IRRBB1 - Quantitative information on IRRBB

| In reporting currency | ∆EVE 31.12.23 £m | ∆EVE 30.06.23 £m | ∆NII 31.12.23 £m | ∆NII 30.06.23 £m | Tier 1 capital 31.12.23 £m | Tier 1 capital 30.06.23 £m |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| 10 Parallel shock up | (1,013) | (1,324) | 384 | 108 | | |
| 20 Parallel shock down | 113 | 541 | (759) | (378) | | |
| 30 Steepener shock | (305) | (335) | | | | |
| 40 Flattener shock | (214) | (368) | | | | |
| 50 Short rates shock up | (700) | (1,068) | | | | |
| 60 Short rates shock down | 102 | 256 | | | | |
| 70 Maximum | (1,013) | (1,324) | (759) | (378) | | |
| 80 Tier 1 capital | | | | | 13,067 | 13,057 |

The maximum EVE loss under the six scenarios was £(1,013)m under the parallel up scenario as of December 2023 (June 2023: £(1,324)m).

The material driver of the parallel up scenario is the sensitivity of the Bank’s structural hedging of its equity position and the interest rate positions held within the liquidity pool.

The maximum one year loss in NII was £(759)m as of December 2023 (June 2023: £(378)m). The material driver of the parallel down scenario is the Bank’s exposure to timing of pricing changes to deposits across Retail and Business Banking.

The average repricing maturity assigned to non-maturing deposits is 20 months, with the longest repricing maturity assigned to any portfolio of non-maturing deposits being 120 months. This is calculated using a simple weighted average maturity including all non-maturing deposits, regardless of hedging treatment.

---

# Analysis of treasury and capital risk (continued)

### Table 18: PV1 - Prudent valuation adjustments (PVA)$^{a,b}$

This table below provides a granular breakdown of the Prudent Valuation Adjustment (PVA). PVA is a Common Equity Tier 1 capital deduction. CRR Articles 34 & 105 define regulatory principles that are applied to all fair valued assets and liabilities in order to determine a prudent valuation. PVA is the difference between the financial statement fair valuation and the prudent valuation.

| As at 31 December 2023 | Equity £m | Interest Rates £m | Foreign exchange £m | Credit £m | Commodities £m | Unearned credit spreads AVA £m | Investment and funding costs AVA £m | Total category level post-diversification$^{c}$ £m | Of which: Total core approach in the trading book$^{a,b}$ £m | Of which: Total core approach in the banking book$^{a,b}$ £m |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| 1 Market price uncertainty | — | 11 | — | 9 | — | — | 30 | 25 | — | 25 |
| 3 Close-out cost | — | 4 | — | — | — | — | — | 2 | — | 2 |
| 4 Concentrated positions | — | — | — | — | — | — | — | — | — | — |
| 5 Early termination | — | — | — | — | — | — | — | — | — | — |
| 6 Model risk | — | — | — | — | — | — | — | — | — | — |
| 7 Operational risk | — | 1 | — | 2 | — | — | — | 3 | — | 3 |
| 10 Future administrative costs | — | 4 | — | — | — | — | — | 4 | 4 | — |
| 12 Total Additional Valuation | — | 20 | — | 11 | — | — | 30 | 34 | 4 | 30 |

| As at 31 December 2022 | Equity £m | Interest Rates £m | Foreign exchange £m | Credit £m | Commodities £m | Unearned credit spreads AVA £m | Investment and funding costs AVA £m | Total category level post-diversification$^{c}$ £m | Of which: Total core approach in the trading book$^{a,b}$ £m | Of which: Total core approach in the banking book$^{a,b}$ £m |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| 1 Market price uncertainty | — | 22 | — | — | — | — | 61 | 42 | 11 | 31 |
| 3 Close-out cost | — | 3 | — | — | — | — | — | 2 | 2 | — |
| 4 Concentrated positions | — | — | — | — | — | — | — | — | — | — |
| 5 Early termination | — | — | — | — | — | — | — | — | — | — |
| 6 Model risk | — | — | — | — | — | — | — | — | — | — |
| 7 Operational risk | — | 1 | — | 3 | — | — | — | 4 | 1 | 3 |
| 10 Future administrative costs | — | — | — | — | — | — | — | — | — | — |
| 12 Total Additional Valuation | — | 26 | — | 3 | — | — | 61 | 48 | 14 | 34 |

**Notes**
a. Significant contributors to PVA include trading book derivative portfolios and banking book loans held at fair value. Banking book PVA include loans made to Education, Social Housing and Local Authority counterparties.
b. A diversification reduction factor of 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 19: 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.

The term ‘before CCF and CRM’ means the original gross exposures before the application of credit conversion factors and before the application of risk mitigation techniques.

| As at 31 December 2023 | Exposures before CCF and CRM On-balance sheet amount £m | Exposures before CCF and CRM Off-balance sheet amount £m | Exposures post-CCF and CRM On-balance sheet amount £m | Exposures post-CCF and CRM Off-balance sheet amount £m | RWA £m | RWA density % |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| 1 Central governments or central banks | 63,271 | 26,274 | 69,000 | 33,672 | 2,201 | 2% |
| 2 Regional governments or local authorities | 4,747 | — | 4,848 | — | 769 | 16% |
| 3 Public sector entities | 1,209 | — | 411 | — | 82 | 20% |
| 4 Multilateral development banks | 1,173 | — | 1,173 | — | — | — |
| 5 International organisations | 89 | — | 89 | — | — | — |
| 6 Institutions | 4,429 | 402 | 4,252 | 38 | 904 | 21% |
| 7 Corporates | 1,100 | 496 | 794 | 13 | 371 | 46% |
| 8 Retail | 4,788 | 3,533 | 1,027 | 1 | 755 | 73% |
| 9 Secured by mortgages on immovable property | 4,993 | 240 | 4,993 | 38 | 2,156 | 43% |
| 10 Exposures in default | 880 | 2 | 282 | 1 | 365 | 129% |
| 11 Exposures associated with particularly high risk | 1 | — | 1 | — | 1 | 150% |
| 12 Covered bonds | 1,169 | — | 1,169 | — | 123 | 11% |
| 13 Institutions and corporates with a short-term credit assessment | — | — | — | — | — | — |
| 14 Collective investment undertakings | — | — | — | — | — | — |
| 15 Equity | 45 | — | 45 | — | 113 | 250% |
| 16 Other items | — | — | — | — | — | — |
| 17 Total | 87,894 | 30,947 | 88,084 | 33,763 | 7,840 | 6% |

Standardised credit risk RWAs increased by £3.0bn to £7.8bn (December 2022: £4.8bn), primarily driven by:
* Central governments or central banks RWAs increased to £2.2bn due to the Q3 2023 reclassification of DTAs from Other non credit-obligation assets partially offset by a reduction in Q4 2023
* Secured by mortgages on immovable property RWAs increased by £1.2bn to £2.2bn primarily due to the acquisition of KMC
* Corporate RWAs decreased by £0.5bn to £0.4bn primarily due to reduction in lending activities

---

# Analysis of credit risk (continued)

### Table 20: CR5 – Standardised approach

This table shows exposure at default post-CCF and CRM, broken down by Credit Exposure Class and risk weight. This table includes exposures subject to the standardised approach only.

| As at 31 December 2023 | 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 | Others £m | Total £m | Of which unrated £m |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| 1 Central governments or central banks$^{a}$ | 101,792 | — | — | — | — | — | — | — | — | — | — | 880 | — | — | — | 102,672 | 880 |
| 2 Regional government or local authorities | 1,002 | — | — | — | 3,846 | — | — | — | — | — | — | — | — | — | — | 4,848 | 3,846 |
| 3 Public sector entities | — | — | — | — | 411 | — | — | — | — | — | — | — | — | — | — | 411 | 360 |
| 4 Multilateral development banks | 1,173 | — | — | — | — | — | — | — | — | — | — | — | — | — | — | 1,173 | — |
| 5 International organisations | 89 | — | — | — | — | — | — | — | — | — | — | — | — | — | — | 89 | — |
| 6 Institutions | — | — | — | — | 4,136 | — | 153 | — | — | 1 | — | — | — | — | — | 4,290 | 4 |
| 7 Corporates | — | — | — | — | 359 | — | 264 | — | — | 183 | 1 | — | — | — | — | 807 | 182 |
| 8 Retail | — | — | — | — | — | — | — | — | 1,028 | — | — | — | — | — | — | 1,028 | 1,028 |
| 9 Secured by mortgages on immovable property | — | — | — | — | — | 4,395 | — | — | 14 | 622 | — | — | — | — | — | 5,031 | 5,031 |
| 10 Exposures in default | — | — | — | — | — | — | — | — | — | 118 | 165 | — | — | — | — | 283 | 283 |
| 11 Exposures associated with particularly high risk | — | — | — | — | — | — | — | — | — | — | 1 | — | — | — | — | 1 | 1 |
| 12 Covered bonds | — | — | — | 1,107 | 62 | — | — | — | — | — | — | — | — | — | — | 1,169 | — |
| 13 Institutions and corporates with a short-term credit assessment | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
| 14 Unit or shares in collective investment undertakings | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
| 15 Equity | — | — | — | — | — | — | — | — | — | — | — | 45 | — | — | — | 45 | 45 |
| 16 Other items | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
| 17 Total | 104,056 | — | — | 1,107 | 8,814 | 4,395 | 417 | — | 1,042 | 924 | 167 | 925 | — | — | — | 121,847 | 11,660 |

**Note**
a. Credit risk exposure of £0.9bn relating to DTAs reclassified from other non credit-obligation asset class under IRB approach to Central Governments or central banks under STD approach.

---

# Analysis of credit risk (continued)

### Table 20: CR5 – Standardised approach (continued)

| As at 31 December 2022 | 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 | Others £m | Total £m | Of which unrated £m |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| 1 Central governments or central banks | 127,292 | — | — | — | — | — | — | — | — | — | — | — | — | — | — | 127,292 | — |
| 2 Regional government or local authorities | 1,091 | — | — | — | 4,077 | — | — | — | — | — | — | — | — | — | — | 5,168 | 3,967 |
| 3 Public sector entities | — | — | — | — | 527 | — | — | — | — | — | — | — | — | — | — | 527 | 511 |
| 4 Multilateral development banks | 1,157 | — | — | — | — | — | — | — | — | — | — | — | — | — | — | 1,157 | — |
| 5 International organisations | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
| 6 Institutions | — | — | — | — | 3,616 | — | 191 | — | — | — | — | — | — | — | — | 3,807 | — |
| 7 Corporates | 457 | — | — | — | 1,414 | — | 767 | — | — | 300 | — | — | — | — | — | 2,938 | 758 |
| 8 Retail | — | — | — | — | — | — | — | — | 832 | — | — | — | — | — | — | 832 | 832 |
| 9 Secured by mortgages on immovable property | — | — | — | — | — | 2,303 | — | — | 8 | 117 | — | — | — | — | — | 2,428 | 2,428 |
| 10 Exposures in default | — | — | — | — | — | — | — | — | — | 108 | 109 | — | — | — | — | 217 | 217 |
| 11 Exposures associated with particularly high risk | — | — | — | — | — | — | — | — | — | — | 8 | — | — | — | — | 8 | 8 |
| 12 Covered bonds | — | — | — | 294 | — | — | — | — | — | — | — | — | — | — | — | 294 | — |
| 13 Institutions and corporates with a short-term credit assessment | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
| 14 Unit or shares in collective investment undertakings | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
| 15 Equity | — | — | — | — | — | — | — | — | — | — | — | 20 | — | — | — | 20 | 20 |
| 16 Other items | 528 | — | — | — | 218 | — | — | — | — | 198 | — | — | — | — | — | 944 | 944 |
| 17 Total | 130,525 | — | — | 294 | 9,852 | 2,303 | 958 | — | 840 | 723 | 117 | 20 | — | — | — | 145,632 | 9,685 |

Standardised Credit Risk Exposure Post-CCF and CRM decreased by £23.8bn to £121.8bn (December 2022: £145.6bn), primarily driven by:
* Central Government or central banks within the 0% risk weight category decreased due to a reduction in the liquidity pool
* Other items decreased due to a change in treatment of non-credit obligation exposures
* Corporates decreased primarily due to reduction in lending activities
* Secured by mortgages on immovable property increased primarily due to the acquisition of KMC

---

# Analysis of credit risk (continued)

### Table 21: CR7 – IRB approach – Effect on the RWEAs of credit derivatives used as CRM techniques

This table shows the effect of credit derivatives on the AIRB credit risk approach and will not directly reconcile to the credit risk AIRB RWAs in table 9.

| | Pre-credit derivatives risk weighted exposure amount As at 31 December 2023 £m | Pre-credit derivatives risk weighted exposure amount As at 31 December 2022 £m | Actual risk weighted exposure amount As at 31 December 2023 £m | Actual risk weighted exposure amount As at 31 December 2022 £m |
| :--- | :--- | :--- | :--- | :--- |
| 5 Exposures under AIRB | 49,060 | 50,326 | 49,060 | 50,326 |
| 6 Central governments and central banks | — | — | — | — |
| 7 Institutions | 33 | 38 | 33 | 38 |
| 8 Corporates$^{a}$ | 6,873 | 6,453 | 6,873 | 6,453 |
| 8.1 *of Corporates - which SMEs* | 5,734 | 5,173 | 5,734 | 5,173 |
| 8.2 *of which Corporates - Specialised lending* | — | — | — | — |
| 9 Retail | 42,154 | 43,835 | 42,154 | 43,835 |
| 9.1 *of which Retail – SMEs - Secured by immovable property collateral* | — | — | — | — |
| 9.2 *of which Retail – non-SMEs - Secured by immovable property collateral* | 23,693 | 25,436 | 23,693 | 25,436 |
| 9.3 *of which Retail – Qualifying revolving* | 12,076 | 11,799 | 12,076 | 11,799 |
| 9.4 *of which Retail – SMEs - Other* | 2,883 | 2,892 | 2,883 | 2,892 |
| 9.5 *of which Retail – Non-SMEs - Other* | 3,502 | 3,708 | 3,502 | 3,708 |
| 10 Total | 49,060 | 50,326 | 49,060 | 50,326 |

**Note**
a. Corporate specialised lending exposures under the slotting approach is excluded from this table and disclosed separately in CR10.

---

# Analysis of credit risk (continued)

### Table 22: CR7-A – IRB approach – Disclosure of the extent of the use of CRM techniques

This table shows the extent of the use of CRM techniques broken down by exposure classes under the IRB approach. The exposure classes capture both secured and unsecured balances, resulting in the CRM coverage percentages being calculated on an aggregate basis.

| A-IRB | Total exposures £m | Part of exposures covered by Financial Collaterals % | Part of exposures covered by Other eligible collaterals % | Part of exposures covered by Immovable property Collaterals % | Part of exposures covered by Receivables % | Part of exposures covered by Other physical collateral % | Part of exposures covered by Other funded credit protection % | Part of exposures covered by Cash on deposit % | Part of exposures covered by Life insurance policies % | Part of exposures covered by Instruments held by a third party % | Part of exposures covered by Guarantees % | Part of exposures covered by Credit Derivatives % | RWEA post all CRM assigned to the obligor exposure class £m | RWEA with substitution effects £m |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| **As at 31 December 2023** | | | | | | | | | | | | | | |
| 1 Central governments and central banks | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
| 2 Institutions | 36 | — | 67.4% | 67.4% | — | — | — | — | — | — | — | — | 33 | 33 |
| 3 Corporates | 8,019 | 0.1% | 84.9% | 84.7% | 0.2% | 0.0% | — | — | — | — | 1.1% | — | 6,873 | 6,873 |
| 3.1 *Of which Corporates – SMEs* | 5,191 | 0.1% | 91.1% | 90.8% | 0.3% | 0.0% | — | — | — | — | 1.6% | — | 5,734 | 5,734 |
| 3.2 *Of which Corporates – Specialised lending* | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
| 3.3 *Of which Corporates – Other* | 2,828 | 0.0% | 73.4% | 73.4% | — | 0.0% | — | — | — | — | 0.0% | — | 1,139 | 1,139 |
| 4 Retail | 203,255 | 0.0% | 209.7% | 209.7% | — | 0.0% | — | — | — | — | 0.0% | — | 42,154 | 42,154 |
| 4.1 *Of which Retail – Immovable property SMEs* | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
| 4.2 *Of which Retail – Immovable property non-SMEs* | 165,206 | — | 255.8% | 255.8% | — | — | — | — | — | — | — | — | 23,693 | 23,693 |
| 4.3 *Of which Retail – Qualifying revolving* | 27,600 | — | — | — | — | — | — | — | — | — | — | — | 12,076 | 12,076 |
| 4.4 *Of which Retail – Other SMEs* | 6,817 | 0.0% | 53.4% | 53.4% | — | 0.1% | — | — | — | — | 0.2% | — | 2,883 | 2,883 |
| 4.5 *Of which Retail – Other non-SMEs* | 3,632 | — | — | — | — | — | — | — | — | — | — | — | 3,502 | 3,502 |
| 5 Total | 211,310 | 0.0% | 204.9% | 204.9% | 0.0% | 0.0% | — | — | — | — | 0.1% | — | 49,060 | 49,060 |

---

# Analysis of credit risk (continued)

### Table 22: CR7-A – IRB approach – Disclosure of the extent of the use of CRM techniques (continued)

| A-IRB | Total exposures £m | Part of exposures covered by Financial Collaterals % | Part of exposures covered by Other eligible collaterals % | Part of exposures covered by Immovable property Collaterals % | Part of exposures covered by Receivables % | Part of exposures covered by Other physical collateral % | Part of exposures covered by Other funded credit protection % | Part of exposures covered by Cash on deposit % | Part of exposures covered by Life insurance policies % | Part of exposures covered by Instruments held by a third party % | Part of exposures covered by Guarantees % | Part of exposures covered by Credit Derivatives % | RWEA post all CRM assigned to the obligor exposure class £m | RWEA with substitution effects £m |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| **As at 31 December 2022** | | | | | | | | | | | | | | |
| 1 Central governments and central banks | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
| 2 Institutions | 39 | — | 61.0% | 61.0% | — | — | — | — | — | — | — | — | 38 | 38 |
| 3 Corporates | 8,624 | 0.1% | 74.6% | 74.3% | 0.2% | 0.0% | — | — | — | — | 1.1% | — | 6,453 | 6,453 |
| 3.1 *Of which Corporates – SMEs* | 5,744 | 0.2% | 71.4% | 70.9% | 0.4% | 0.0% | — | — | — | — | 1.6% | — | 5,173 | 5,173 |
| 3.2 *Of which Corporates – Specialised lending* | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
| 3.3 *Of which Corporates – Other* | 2,880 | 0.0% | 81.1% | 81.1% | — | 0.0% | — | — | — | — | 0.0% | — | 1,280 | 1,280 |
| 4 Retail | 208,442 | 0.0% | 230.8% | 230.8% | — | 0.0% | — | — | — | — | 0.0% | — | 43,835 | 43,835 |
| 4.1 *Of which Retail – Immovable property SMEs* | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
| 4.2 *Of which Retail – Immovable property non-SMEs* | 168,839 | — | 282.8% | 282.8% | — | — | — | — | — | — | — | — | 25,436 | 25,436 |
| 4.3 *Of which Retail – Qualifying revolving* | 28,325 | — | — | — | — | — | — | — | — | — | — | — | 11,799 | 11,799 |
| 4.4 *Of which Retail – Other SMEs* | 7,267 | 0.0% | 50.9% | 50.8% | — | 0.1% | — | — | — | — | 0.4% | — | 2,892 | 2,892 |
| 4.5 *Of which Retail – Other non-SMEs* | 4,011 | — | — | — | — | — | — | — | — | — | — | — | 3,708 | 3,708 |
| 5 Total | 217,105 | 0.0% | 224.6% | 224.6% | 0.0% | 0.0% | — | — | — | — | 0.1% | — | 50,326 | 50,326 |

Other eligible collaterals exposure cover decreased by 19.7% to 204.9% (December 2022: 224.6%) primarily driven by HPI refresh and reduction in lending.

---

# Analysis of credit risk (continued)

## Credit quality analysis of standardised exposures

### Credit rating agencies
Under the standardised approach, ratings assigned by External Credit Assessment Institutions (ECAIs) are used in the calculation of RWAs. Ratings from an ECAI may be used where the ECAI is a rating agency that:
* Has been recognised as an ECAI per the list published by the Financial Conduct Authority (FCA); and
* Has been nominated for use by Barclays.

Barclays uses ratings assigned by the following agencies for credit risk calculations:
* Standard & Poor’s
* Moody’s
* Fitch
* DBRS
* Kroll Bond Rating Agency

These ratings are used in the calculation of risk weights for central governments and central banks, institutions, corporate and securitisation exposure classes$^{a}$.

### Rated and unrated counterparties
The following section summarises the rules governing standardised calculations for non-securitised exposures.

Each exposure must be assigned to one of six credit quality steps if a rating is available, as per the PRA Banking & Resolution index, detailed in the table below. After being assigned to a specific quality step, exposure class and maturity are then used to determine the risk weight percentage. The following tables are a simplified version of the risk weight allocation process.

### Table 23: 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 |

**Note**
a. DBRS and Kroll Bond Rating Agency are used to calculate risk weights for securitisation exposures only. Please see page 125 for further details.

---

# Analysis of credit risk (continued)

### Table 24: Credit quality steps and risk weights under the standardised approach

This table shows the prescribed risk weights associated with credit quality steps.

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

Exposures to international organisations are assigned a 0% risk weight.

Exposures fully and completely secured by residential property (which considers, amongst other criteria, the size of the loan relative to the value of the property) are generally assigned a risk weight of 35%. Other retail exposures are assigned a risk weight of 75%.

The unsecured portion of a past due exposure is assigned a risk weight of either 150% or 100%, depending on the specific credit risk adjustments recognised.

High risk items are assigned a risk weight of 150%.

---

# Analysis of credit risk (continued)

## Credit quality analysis of IRB exposures
The following section provides a breakdown of inputs for the calculations of risk weighted assets. Please note there may be more volatility in risk weights and risk factors at a granular level of wholesale exposures, especially in minimum exposure categories often due to the addition or removal of relatively large exposures when the risk factor deviates from the category average. This happens in the normal course of business, following new lending, repayments, or syndications. For more information on IRB models see page 120.

### Table 25: Internal default grade probabilities and mapping to external ratings
The table below illustrates the approximate relationship between external rating agency grades and the Probability of Default (PD) bands for wholesale exposures. The internal Default Grade (DG) bands are based on Through The Cycle (TTC) PD. Note that this relationship is dynamic, and therefore, varies over time, region and industry.

| EBA PD Range % | Internal DG Band | Default Probability >Min | Default Probability Mid | Default Probability <=Max | Financial statements description | Moody's | Standard and Poor’s |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| 0.00 to < 0.15 | 1 | 0.00% | 0.01% | 0.02% | Strong | Aaa, Aa1, Aa2 | AAA, AA+, AA |
| | 2 | 0.02% | 0.03% | 0.03% | | Aa3 | AA |
| | 3 | 0.03% | 0.04% | 0.05% | | A1,A2,A3 | A+ |
| | 4 | 0.05% | 0.08% | 0.10% | | A1,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% | Strong | Baa2 | BBB |
| | 7 | 0.20% | 0.23% | 0.25% | | Baa3 | BBB- |
| 0.25 to < 0.50 | 8 | 0.25% | 0.28% | 0.30% | Strong | 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% | Strong | Ba1 | BB+ |
| | 12 | 0.60% | 0.68% | 0.75% | Satisfactory | Ba1,Ba2 | BB, BB- |
| 0.75 to < 2.50 | 12 | 0.75% | 0.98% | 1.20% | Satisfactory | Ba1,Ba2, Ba3 | BB, BB- |
| | 13 | 1.20% | 1.38% | 1.55% | | Ba3 | BB- |
| | 14 | 1.55% | 1.85% | 2.15% | | Ba3 | B+ |
| | 15 | 2.15% | 2.33% | 2.50% | | B1 | B+ |
| 2.50 to < 10.00 | 15 | 2.50% | 2.60% | 3.05% | Satisfactory | 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% | 9.32% | 10.00% | | B3, Caa1 | B |
| 10.00 to < 100.00 | 19 | 10.00% | 10.67% | 11.35% | Satisfactory | B3, Caa1 | CCC+ |
| | 20 | 11.35% | 15.00% | 18.65% | Higher Risk | Caa2 | CCC+,CCC,CC-,CC+,CC,C |
| | 21 | 18.65% | 30.00% | 99.99% | | Caa3, Ca, C | |
| 100.00 (Default) | 22 | 100% | 100% | 100% | Credit Impaired | D | D |

---

# Analysis of credit risk (continued)

### Table 26: CR6-A – Scope of the use of IRB and SA approaches

This table shows exposure and percentages covered by the IRB and standardised approaches, as well as exposure subject to the permanent partial use and to a roll out plan.

| As at 31 December 2023 | Exposure value as defined in Article 166 CRR for exposures subject to IRB approach £m | Total exposure value for exposures subject to the Standardised approach and to the IRB approach £m | Percentage of total exposure value subject to the permanent partial use of the SA % | Percentage of total exposure value subject to IRB Approach % | Percentage of total exposure value subject to a roll-out plan % |
| :--- | :--- | :--- | :--- | :--- | :--- |
| 1 Central governments or central banks$^{a}$ | — | 96,791 | 83.9% | — | 16.1% |
| 1.1 *Of which Regional governments or local authorities* | — | 4,762 | 82.2% | — | 17.8% |
| 1.2 *Of which Public sector entities* | — | 1,222 | 87.4% | — | 12.6% |
| 2 Institutions | 30 | 5,962 | 9.4% | 0.5% | 90.1% |
| 3 Corporates | 9,257 | 11,249 | 2.6% | 82.3% | 15.1% |
| 3.1 *Of which Corporates - Specialised lending, excluding slotting approach* | — | — | — | — | — |
| 3.2 *Of which Corporates - Specialised lending under slotting approach* | 799 | 799 | — | 100.0% | — |
| 4 Retail | 222,029 | 236,251 | — | 94.0% | 6.0% |
| 4.1 *of which Retail – Secured by real estate SMEs* | — | — | — | — | — |
| 4.2 *of which Retail – Secured by real estate non-SMEs* | 166,811 | 172,065 | — | 97.0% | 3.0% |
| 4.3 *of which Retail – Qualifying revolving* | 45,363 | 49,740 | — | 91.2% | 8.8% |
| 4.4 *of which Retail – Other SMEs* | 6,223 | 10,079 | — | 61.7% | 38.3% |
| 4.5 *of which Retail – Other non-SMEs* | 3,633 | 4,367 | — | 83.2% | 16.8% |
| 5 Equity | — | 46 | — | — | 100.0% |
| 6 Other non-credit obligation assets | 1,254 | 1,254 | — | 100.0% | — |
| 7 Total | 232,570 | 351,553 | 23.3% | 66.2% | 10.5% |

| As at 31 December 2022 | Exposure value as defined in Article 166 CRR for exposures subject to IRB approach £m | Total exposure value for exposures subject to the Standardised approach and to the IRB approach £m | Percentage of total exposure value subject to the permanent partial use of the SA % | Percentage of total exposure value subject to IRB Approach % | Percentage of total exposure value subject to a roll-out plan % |
| :--- | :--- | :--- | :--- | :--- | :--- |
| 1 Central governments or central banks | — | 118,085 | 82.3% | — | 17.7% |
| 1.1 *Of which Regional governments or local authorities* | | 4,993 | 84.6% | — | 15.4% |
| 1.2 *Of which Public sector entities* | | 1,727 | 86.3% | — | 13.7% |
| 2 Institutions | 35 | 4,782 | 8.9% | 0.7% | 90.4% |
| 3 Corporates | 10,076 | 15,103 | 10.5% | 66.7% | 22.8% |
| 3.1 *Of which Corporates - Specialised lending, excluding slotting approach* | — | — | — | — | — |
| 3.2 *Of which Corporates - Specialised lending under slotting approach* | 904 | — | 100.0% | — | — |
| 4 Retail | 231,224 | 244,596 | — | 94.5% | 5.5% |
| 4.1 *of which Retail – Secured by real estate SMEs* | 4 | — | — | 100.0% | — |
| 4.2 *of which Retail – Secured by real estate non-SMEs* | | 174,739 | — | 98.4% | 1.6% |
| 4.3 *of which Retail – Qualifying revolving* | | 52,965 | — | 91.9% | 8.1% |
| 4.4 *of which Retail – Other SMEs* | | 12,137 | — | 55.0% | 45.0% |
| 4.5 *of which Retail – Other non-SMEs* | | 4,751 | — | 84.4% | 15.6% |
| 5 Equity | — | 28 | 71.6% | — | 28.4% |
| 6 Other non-credit obligation assets | 1,648 | 2,592 | 36.4% | 63.6% | — |
| 7 Total | 242,983 | 385,186 | 26.0% | 63.1% | 10.9% |

**Note**
a. Credit risk exposure of £0.9bn relating to DTAs reclassified from other non credit-obligation asset class under IRB approach to Central Governments or central banks under STD approach.

---

# Analysis of credit risk (continued)

## AIRB obligor grade disclosure
The following tables show credit risk exposure at default post-CRM for the advanced IRB approach for portfolios within the banking book. Separate tables are provided for the following credit exposure classes: institutions (Table 28), corporates-other (Table 29), corporates-SME (Table 30), retail SME (Table 31), secured retail - non SME (Table 32), revolving retail (Table 33) and other retail-non SME (Table 34).

Barclays’ Model Risk Management group reviews and approves the application of post model adjustments to models that do not fully reflect the risk of the underlying exposures.

### Table 27: CR6 – IRB approach – Total Portfolios

| As at 31 December 2023 | On-balance sheet exposures £m | Off-balance sheet exposures pre-CCF £m | Exposure weighted average CCF % | Exposure post CCF and post CRM £m | Number of obligors | Exposure weighted average LGD % | Exposure weighted average maturity (years) | Risk weighted exposure amount after supporting factors £m | Density of risk weighted exposure amount % | Expected loss amount £m | Value adjustments and provisions £m |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| Total (all exposure classes) | 185,093 | 45,425 | 55.1% | 210,916 | 22,485,527 | 4 | 4 | 49,060 | 23.3% | 1,692 | (1,546) |
| **As at 31 December 2022** | | | | | | | | | | | |
| Total (all exposure classes) | 187,273 | 53,157 | 54.9% | 216,502 | 23,380,437 | 4 | 4 | 50,326 | 23.2% | 1,559 | (1,601) |

Further information on the key drivers for the RWA density are provided in Table 28 - Table 34.

---

# Analysis of credit risk (continued)

### Table 28: CR6 – IRB approach – Credit risk exposures by exposure class and PD range for institutions

| PD range | On-balance sheet exposures £m | Off-balance sheet exposures pre-CCF £m | Exposure weighted average CCF$^{a}$ % | Exposure post CCF and post CRM £m | Exposure weighted average PD % | Number of obligors | Exposure weighted average LGD % | Exposure weighted average maturity (years) | Risk weighted exposure amount after supporting factors £m | Density of risk weighted exposure amount % | Expected loss amount £m | Value adjustments and provisions £m |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| **As at 31 December 2023** | | | | | | | | | | | | |
| 0.00 to <0.15 | 0 | — | — | 1 | 0.1% | 3 | 40.8% | 1 | 0 | 15.4% | 0 | — |
| *0.00 to <0.10* | — | — | — | 1 | 0.1% | 2 | 47.4% | 1 | 0 | 14.7% | 0 | — |
| *0.10 to <0.15* | 0 | — | — | 0 | 0.1% | 1 | 32.1% | 1 | 0 | 16.4% | 0 | — |
| 0.15 to <0.25 | 0 | — | — | 0 | 0.2% | 2 | 47.1% | 2 | 0 | 44.8% | 0 | 0 |
| 0.25 to <0.50 | 0 | 0 | 314.4% | 0 | 0.4% | 1 | 47.1% | 2 | 0 | 56.9% | 0 | 0 |
| 0.50 to <0.75 | 2 | 0 | 433.3% | 3 | 0.7% | 7 | 37.4% | 3 | 2 | 66.2% | 0 | 0 |
| 0.75 to <2.50 | 11 | 2 | 278.1% | 15 | 1.6% | 20 | 32.5% | 3 | 11 | 78.6% | 0 | 0 |
| *0.75 to <1.75* | 7 | 1 | 338.5% | 10 | 1.3% | 18 | 34.0% | 3 | 7 | 75.3% | 0 | 0 |
| *1.75 to <2.5* | 4 | 1 | 160.9% | 5 | 2.2% | 2 | 29.1% | 4 | 4 | 85.7% | 0 | 0 |
| 2.50 to <10.00 | 10 | 1 | 206.5% | 11 | 3.9% | 5 | 33.4% | 3 | 13 | 114.4% | 0 | 0 |
| *2.5 to <5* | 8 | 1 | 179.6% | 9 | 3.3% | 4 | 33.3% | 3 | 10 | 110.8% | 0 | 0 |
| *5 to <10* | 2 | 0 | 429.1% | 2 | 6.4% | 1 | 34.0% | 3 | 3 | 130.0% | 0 | 0 |
| 10.00 to <100.00 | 2 | 0 | 2,522.7% | 2 | 28.2% | 4 | 30.4% | 3 | 2 | 152.8% | 0 | 0 |
| *10 to <20* | 1 | 0 | 4,909.9% | 1 | 16.4% | 2 | 38.7% | 3 | 1 | 192.5% | 0 | 0 |
| *20 to <30* | 0 | — | — | 0 | 23.4% | 1 | 77.7% | 1 | 0 | 420.6% | 0 | 0 |
| *30.00 to <100.00* | 1 | 0 | 415.0% | 1 | 43.6% | 1 | 17.8% | 3 | 1 | 90.6% | 0 | 0 |
| 100.00 (Default) | 3 | 0 | 44.8% | 3 | 100.0% | 2 | 13.7% | 4 | 4 | 125.8% | 0 | 0 |
| Subtotal (exposure class) | 28 | 3 | 298.8% | 35 | 12.2% | 44 | 31.9% | 3 | 32 | 94.3% | 0 | 0 |

---

# Analysis of credit risk (continued)

### Table 28: CR6 – IRB approach – Credit risk exposures by exposure class and PD range for institutions (continued)

| PD range | On-balance sheet exposures £m | Off-balance sheet exposures pre-CCF £m | Exposure weighted average CCF$^{a}$ % | Exposure post CCF and post CRM £m | Exposure weighted average PD % | Number of obligors | Exposure weighted average LGD % | Exposure weighted average maturity (years) | Risk weighted exposure amount after supporting factors £m | Density of risk weighted exposure amount % | Expected loss amount £m | Value adjustments and provisions £m |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| **As at 31 December 2022** | | | | | | | | | | | | |
| 0.00 to <0.15 | 0 | — | — | 0 | 0.1% | 5 | 35.2% | 3 | 0 | 15.5% | 0 | 0 |
| *0.00 to <0.10* | — | — | — | 0 | 0.1% | 4 | 53.5% | 1 | 0 | 17.0% | 0 | — |
| *0.10 to <0.15* | 0 | — | — | 0 | 0.1% | 1 | 23.2% | 4 | 0 | 14.6% | 0 | 0 |
| 0.15 to <0.25 | — | 0 | 79.8% | 0 | 0.2% | 1 | 56.9% | 1 | 0 | 35.5% | 0 | 0 |
| 0.25 to <0.50 | 0 | 0 | 176.0% | 0 | 0.5% | 1 | 42.8% | 2 | 0 | 50.0% | 0 | 0 |
| 0.50 to <0.75 | 1 | 0 | 463.1% | 1 | 0.6% | 10 | 57.4% | 3 | 1 | 102.5% | 0 | 0 |
| 0.75 to <2.50 | 14 | 1 | 220.4% | 18 | 1.5% | 36 | 30.4% | 3 | 14 | 74.8% | 0 | 0 |
| *0.75 to <1.75* | 7 | 1 | 236.0% | 10 | 1.1% | 28 | 33.8% | 3 | 8 | 72.4% | 0 | 0 |
| *1.75 to <2.5* | 7 | 0 | 180.7% | 8 | 2.1% | 8 | 26.3% | 4 | 6 | 77.7% | 0 | 0 |
| 2.50 to <10.00 | 4 | 0 | 341.3% | 5 | 3.8% | 7 | 39.1% | 3 | 7 | 129.2% | 0 | 0 |
| *2.5 to <5* | 4 | 0 | 287.8% | 4 | 3.2% | 6 | 36.9% | 3 | 5 | 119.0% | 0 | 0 |
| *5 to <10* | 0 | 0 | 526.0% | 1 | 6.6% | 1 | 49.3% | 2 | 2 | 176.8% | 0 | 0 |
| 10.00 to <100.00 | 2 | 0 | 1,065.8% | 2 | 27.9% | 6 | 32.0% | 4 | 4 | 175.9% | 0 | 0 |
| *10 to <20* | 1 | 0 | 5,415.5% | 1 | 17.0% | 3 | 43.4% | 4 | 3 | 248.6% | 0 | 0 |
| *20 to <30* | 0 | — | — | 0 | 23.3% | 1 | 8.3% | 5 | 0 | 49.1% | 0 | 0 |
| *30.00 to <100.00* | 1 | 0 | 73.3% | 1 | 44.3% | 2 | 29.6% | 2 | 1 | 147.3% | 0 | 0 |
| 100.00 (Default) | 10 | 1 | 0.9% | 10 | 100.0% | 3 | 12.2% | 3 | 12 | 128.7% | 0 | 0 |
| Subtotal (exposure class) | 31 | 2 | 183.4% | 36 | 29.0% | 69 | 28.2% | 3 | 38 | 103.2% | 0 | 0 |

**Note**
a. CCF is calculated on a weighted average basis and also reflects where the modelled EAD is higher than the on- and off-balance sheet exposures pre CCF.

The RWA density associated with institutions decreased by 8.9% to 94.3% (December 2022: 103.2%) primarily driven by immaterial movements across PD bands.

---

# Analysis of credit risk (continued)

### Table 29: CR6 – IRB approach – Credit risk exposures by exposure class and PD range for corporates - other

| PD range | On-balance sheet exposures £m | Off-balance sheet exposures pre-CCF £m | Exposure weighted average CCF$^{a}$ % | Exposure post CCF and post CRM £m | Exposure weighted average PD % | Number of obligors | Exposure weighted average LGD % | Exposure weighted average maturity (years) | Risk weighted exposure amount after supporting factors £m | Density of risk weighted exposure amount % | Expected loss amount £m | Value adjustments and provisions £m |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| **As at 31 December 2023** | | | | | | | | | | | | |
| 0.00 to <0.15 | 2,089 | 27 | 63.6% | 2,114 | 0.1% | 137 | 16.5% | 5 | 766 | 36.3% | 0 | (1) |
| *0.00 to <0.10* | 1,707 | 27 | 63.0% | 1,730 | 0.1% | 121 | 17.7% | 5 | 633 | 36.6% | 0 | (1) |
| *0.10 to <0.15* | 382 | — | — | 384 | 0.1% | 16 | 10.8% | 5 | 133 | 34.7% | 0 | 0 |
| 0.15 to <0.25 | 526 | 48 | 51.1% | 552 | 0.2% | 45 | 10.1% | 5 | 220 | 39.8% | 0 | (1) |
| 0.25 to <0.50 | 8 | — | — | 10 | 0.4% | 73 | 26.2% | 3 | 4 | 36.9% | 0 | 0 |
| 0.50 to <0.75 | 2 | 0 | 4,496.9% | 6 | 0.6% | 163 | 37.6% | 2 | 3 | 53.1% | 0 | 0 |
| 0.75 to <2.50 | 21 | 1 | 819.4% | 27 | 1.5% | 237 | 30.3% | 3 | 21 | 78.1% | 0 | 0 |
| *0.75 to <1.75* | 14 | 0 | 3,472.6% | 18 | 1.2% | 187 | 29.1% | 3 | 12 | 67.2% | 0 | 0 |
| *1.75 to <2.5* | 7 | 1 | 254.3% | 9 | 2.1% | 50 | 33.0% | 4 | 9 | 101.1% | 0 | 0 |
| 2.50 to <10.00 | 79 | 14 | 75.3% | 91 | 5.1% | 100 | 20.5% | 4 | 93 | 102.7% | 2 | (35) |
| *2.5 to <5* | 15 | 11 | 79.8% | 24 | 3.5% | 54 | 33.3% | 3 | 15 | 61.4% | 0 | (1) |
| *5 to <10* | 64 | 3 | 59.8% | 67 | 5.8% | 46 | 15.9% | 4 | 78 | 117.7% | 2 | (34) |
| 10.00 to <100.00 | 6 | 0 | 13,518.5% | 6 | 21.4% | 15 | 21.0% | 4 | 7 | 117.7% | 0 | 0 |
| *10 to <20* | 5 | 0 | 21,568.5% | 5 | 15.0% | 9 | 22.9% | 4 | 6 | 129.8% | 0 | 0 |
| *20 to <30* | 0 | — | — | 0 | 24.3% | 2 | 60.7% | 1 | 0 | 328.3% | 0 | 0 |
| *30.00 to <100.00* | 1 | 0 | 5,674.0% | 1 | 53.2% | 4 | 10.4% | 4 | 1 | 53.4% | 0 | 0 |
| 100.00 (Default) | 23 | 2 | 0.6% | 21 | 100.0% | 12 | 11.8% | 3 | 25 | 118.4% | 0 | (2) |
| Subtotal (exposure class) | 2,754 | 92 | 69.4% | 2,827 | 1.1% | 782 | 15.5% | 5 | 1,139 | 40.3% | 2 | (39) |

---

# Analysis of credit risk (continued)

### Table 29: CR6 – IRB approach – Credit risk exposures by exposure class and PD range for corporates - other (continued)

| PD range | On-balance sheet exposures £m | Off-balance sheet exposures pre-CCF £m | Exposure weighted average CCF$^{a}$ % | Exposure post CCF and post CRM £m | Exposure weighted average PD % | Number of obligors | Exposure weighted average LGD % | Exposure weighted average maturity (years) | Risk weighted exposure amount after supporting factors £m | Density of risk weighted exposure amount % | Expected loss amount £m | Value adjustments and provisions £m |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| **As at 31 December 2022** | | | | | | | | | | | | |
| 0.00 to <0.15 | 2,574 | 180 | 60.6% | 2,695 | 0.1% | 200 | 10.5% | 5 | 1,065 | 39.5% | 2 | (1) |
| *0.00 to <0.10* | 2,299 | 180 | 60.5% | 2,418 | 0.0% | 178 | 10.5% | 5 | 881 | 36.4% | 1 | (1) |
| *0.10 to <0.15* | 275 | — | — | 277 | 0.1% | 22 | 10.0% | 5 | 184 | 66.5% | 1 | 0 |
| 0.15 to <0.25 | 1 | 0 | 517,595.8% | 2 | 0.2% | 69 | 20.7% | 3 | 0 | 16.4% | 0 | — |
| 0.25 to <0.50 | 2 | — | — | 3 | 0.4% | 78 | 43.0% | 1 | 4 | 124.5% | 0 | 0 |
| 0.50 to <0.75 | 10 | — | — | 14 | 0.6% | 213 | 24.5% | 3 | 6 | 41.9% | 0 | 0 |
| 0.75 to <2.50 | 37 | 3 | 255.9% | 44 | 1.5% | 412 | 27.4% | 4 | 35 | 81.4% | 0 | 0 |
| *0.75 to <1.75* | 21 | 3 | 210.7% | 27 | 1.1% | 334 | 28.2% | 4 | 17 | 65.5% | 0 | 0 |
| *1.75 to <2.5* | 16 | 0 | 2,326.6% | 17 | 2.0% | 78 | 26.3% | 4 | 18 | 106.0% | 0 | 0 |
| 2.50 to <10.00 | 30 | 9 | 99.6% | 39 | 4.6% | 157 | 25.4% | 3 | 53 | 137.3% | 0 | 0 |
| *2.5 to <5* | 17 | 7 | 96.4% | 24 | 3.4% | 101 | 23.4% | 3 | 36 | 150.2% | 0 | 0 |
| *5 to <10* | 13 | 2 | 111.5% | 15 | 6.6% | 56 | 28.6% | 3 | 17 | 116.6% | 0 | 0 |
| 10.00 to <100.00 | 3 | 3 | 63.9% | 4 | 29.1% | 20 | 26.0% | 3 | 6 | 122.2% | 0 | 0 |
| *10 to <20* | 2 | 3 | 59.9% | 3 | 14.5% | 10 | 30.4% | 3 | 5 | 153.5% | 0 | 0 |
| *20 to <30* | 0 | 0 | 2,503.2% | 0 | 27.7% | 2 | 19.5% | 4 | 0 | 108.9% | 0 | 0 |
| *30.00 to <100.00* | 1 | 0 | 39,380.1% | 1 | 63.9% | 8 | 16.9% | 4 | 1 | 50.8% | 0 | 0 |
| 100.00 (Default) | 78 | 0 | 30.9% | 71 | 100.0% | 30 | 36.6% | 3 | 108 | 153.2% | 17 | (32) |
| Subtotal (exposure class) | 2,735 | 195 | 68.3% | 2,872 | 2.6% | 1,179 | 11.7% | 5 | 1,277 | 44.5% | 19 | (33) |

The RWA density associated with corporates other decreased by 4.2% to 40.3% (December 2022: 44.5%) primarily due to changes in risk parameters.

---

# Analysis of credit risk (continued)

### Table 30: CR6 – IRB approach – Credit risk exposures by exposure class and PD range for corporates - SME

| PD range | On-balance sheet exposures £m | Off-balance sheet exposures pre-CCF £m | Exposure weighted average CCF % | Exposure post CCF and post CRM £m | Exposure weighted average PD % | Number of obligors | Exposure weighted average LGD % | Exposure weighted average maturity (years) | Risk weighted exposure amount after supporting factors £m | Density of risk weighted exposure amount % | Expected loss amount £m | Value adjustments and provisions £m |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| **As at 31 December 2023** | | | | | | | | | | | | |
| 0.00 to <0.15 | 443 | 14 | 73.0% | 455 | 0.1% | 161 | 11.2% | 5 | 183 | 40.1% | 0 | (29) |
| *0.00 to <0.10* | 370 | 12 | 81.3% | 382 | 0.1% | 125 | 10.6% | 5 | 144 | 37.7% | 0 | (21) |
| *0.10 to <0.15* | 73 | 2 | 18.5% | 73 | 0.1% | 36 | 14.2% | 5 | 39 | 53.0% | 0 | (8) |
| 0.15 to <0.25 | 78 | 36 | 35.0% | 91 | 0.2% | 33 | 17.0% | 4 | 32 | 35.0% | 0 | (7) |
| 0.25 to <0.50 | 432 | 95 | 16.5% | 443 | 0.4% | 222 | 20.9% | 3 | 167 | 37.7% | 1 | (1) |
| 0.50 to <0.75 | 570 | 105 | 25.0% | 586 | 0.6% | 472 | 21.6% | 4 | 233 | 39.8% | 2 | (1) |
| 0.75 to <2.50 | 1,924 | 212 | 25.7% | 1,947 | 1.4% | 1,625 | 24.4% | 4 | 1,810 | 92.9% | 33 | (15) |
| *0.75 to <1.75* | 1,399 | 173 | 23.9% | 1,414 | 1.2% | 1,314 | 24.0% | 4 | 1,214 | 85.8% | 19 | (5) |
| *1.75 to <2.5* | 525 | 39 | 34.1% | 533 | 2.1% | 311 | 25.4% | 4 | 596 | 111.8% | 14 | (10) |
| 2.50 to <10.00 | 825 | 64 | 29.1% | 834 | 4.5% | 509 | 28.1% | 3 | 1,637 | 196.3% | 94 | (54) |
| *2.5 to <5* | 569 | 39 | 33.9% | 576 | 3.4% | 336 | 28.3% | 3 | 992 | 172.3% | 40 | (13) |
| *5 to <10* | 256 | 25 | 21.5% | 258 | 6.9% | 173 | 27.4% | 3 | 645 | 250.0% | 54 | (41) |
| 10.00 to <100.00 | 303 | 17 | 19.8% | 302 | 20.9% | 153 | 26.6% | 3 | 499 | 165.3% | 84 | (16) |
| *10 to <20* | 207 | 12 | 24.7% | 208 | 14.2% | 105 | 26.4% | 3 | 280 | 134.6% | 27 | (11) |
| *20 to <30* | 41 | 4 | 3.3% | 40 | 23.9% | 16 | 26.9% | 2 | 39 | 97.9% | 3 | (3) |
| *30.00 to <100.00* | 55 | 1 | 18.4% | 54 | 44.7% | 32 | 27.4% | 3 | 180 | 334.8% | 54 | (2) |
| 100.00 (Default) | 457 | 41 | 6.0% | 452 | 100.0% | 108 | 12.9% | 3 | 1,173 | 259.5% | 158 | (10) |
| Subtotal (exposure class) | 5,032 | 584 | 24.6% | 5,110 | 11.5% | 3,283 | 22.2% | 4 | 5,734 | 112.2% | 372 | (133) |

---

# Analysis of credit risk (continued)

### Table 30: CR6 – IRB approach – Credit risk exposures by exposure class and PD range for corporates - SME (continued)

| PD range | On-balance sheet exposures £m | Off-balance sheet exposures pre-CCF £m | Exposure weighted average CCF % | Exposure post CCF and post CRM £m | Exposure weighted average PD % | Number of obligors | Exposure weighted average LGD % | Exposure weighted average maturity (years) | Risk weighted exposure amount after supporting factors £m | Density of risk weighted exposure amount % | Expected loss amount £m | Value adjustments and provisions £m |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| **As at 31 December 2022** | | | | | | | | | | | | |
| 0.00 to <0.15 | 452 | 72 | 63.5% | 500 | 0.1% | 306 | 13.4% | 4 | 159 | 31.8% | 0 | 0 |
| *0.00 to <0.10* | 343 | 71 | 63.9% | 390 | 0.1% | 243 | 13.8% | 4 | 112 | 28.7% | 0 | 0 |
| *0.10 to <0.15* | 109 | 1 | 2317.2% | 110 | 0.1% | 63 | 12.1% | 5 | 47 | 42.9% | 0 | 0 |
| 0.15 to <0.25 | 99 | 29 | 40.7% | 111 | 0.2% | 64 | 17.0% | 4 | 41 | 37.1% | 0 | 0 |
| 0.25 to <0.50 | 411 | 101 | 20.8% | 376 | 0.4% | 299 | 22.7% | 3 | 150 | 35.9% | 1 | (2) |
| 0.50 to <0.75 | 631 | 121 | 19.5% | 628 | 0.6% | 642 | 21.6% | 4 | 216 | 34.5% | 2 | (2) |
| 0.75 to <2.50 | 2,216 | 254 | 23.8% | 2,212 | 1.4% | 2,497 | 23.4% | 3 | 1,582 | 71.6% | 35 | (45) |
| *0.75 to <1.75* | 1,676 | 208 | 22.0% | 1,669 | 1.2% | 2,013 | 23.3% | 3 | 1,100 | 65.9% | 21 | (21) |
| *1.75 to <2.5* | 540 | 46 | 31.9% | 543 | 2.1% | 484 | 23.6% | 3 | 482 | 88.8% | 14 | (24) |
| 2.50 to <10.00 | 878 | 76 | 33.0% | 882 | 4.7% | 724 | 30.1% | 3 | 1,481 | 167.9% | 104 | (81) |
| *2.5 to <5* | 573 | 51 | 31.0% | 572 | 3.4% | 488 | 28.6% | 3 | 866 | 151.4% | 45 | (40) |
| *5 to <10* | 305 | 25 | 37.0% | 310 | 7.0% | 236 | 32.9% | 3 | 615 | 198.4% | 59 | (41) |
| 10.00 to <100.00 | 267 | 15 | 16.6% | 259 | 19.9% | 202 | 31.0% | 3 | 458 | 177.1% | 89 | (91) |
| *10 to <20* | 180 | 11 | 17.4% | 174 | 14.3% | 147 | 31.5% | 3 | 264 | 151.7% | 30 | (38) |
| *20 to <30* | 41 | 2 | 8.6% | 41 | 24.0% | 21 | 29.2% | 3 | 44 | 107.6% | 3 | (51) |
| *30.00 to <100.00* | 46 | 2 | 18.4% | 44 | 38.6% | 34 | 30.5% | 3 | 150 | 343.0% | 56 | (2) |
| 100.00 (Default) | 587 | 35 | 0.4% | 562 | 100.0% | 213 | 15.2% | 3 | 1,086 | 193.1% | 106 | (51) |
| Subtotal (exposure class) | 5,541 | 703 | 27.1% | 5,572 | 12.4% | 4,947 | 22.7% | 3 | 5,173 | 92.9% | 337 | (272) |

The RWA density associated with corporates SME increased by 19.3% to 112.2% (December 2022: 92.9%) primarily due to a recalibration of the PMA introduced to address the IRB roadmap changes.

---

# Analysis of credit risk (continued)

### Table 31: CR6 – IRB approach – Credit risk exposures by exposure class and PD range for retail - SME

| PD range | On-balance sheet exposures £m | Off-balance sheet exposures pre-CCF £m | Exposure weighted average CCF$^{a}$ % | Exposure post CCF and post CRM £m | Exposure weighted average PD % | Number of obligors | Exposure weighted average LGD % | Risk weighted exposure amount after supporting factors £m | Density of risk weighted exposure amount % | Expected loss amount £m | Value adjustments and provisions £m |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| **As at 31 December 2023** | | | | | | | | | | | |
| 0.00 to <0.15 | 10 | 1 | 19,097.6% | 227 | 0.1% | 140,101 | 47.1% | 21 | 9.0% | 0 | 0 |
| *0.00 to <0.10* | 4 | 0 | 109,611.5% | 171 | 0.1% | 110,367 | 45.8% | 13 | 7.5% | 0 | 0 |
| *0.10 to <0.15* | 6 | 1 | 5,113.4% | 56 | 0.1% | 29,734 | 51.1% | 8 | 13.4% | 0 | 0 |
| 0.15 to <0.25 | 15 | 6 | 555.8% | 46 | 0.2% | 15,122 | 41.7% | 7 | 15.1% | 0 | 0 |
| 0.25 to <0.50 | 167 | 92 | 136.0% | 288 | 0.4% | 55,354 | 32.2% | 54 | 18.8% | 0 | 0 |
| 0.50 to <0.75 | 378 | 153 | 145.5% | 576 | 0.6% | 94,053 | 33.0% | 139 | 24.2% | 1 | 0 |
| 0.75 to <2.50 | 1,940 | 730 | 117.3% | 2,659 | 1.5% | 405,670 | 36.8% | 954 | 35.9% | 15 | (9) |
| *0.75 to <1.75* | 1,248 | 507 | 129.5% | 1,808 | 1.2% | 306,624 | 36.7% | 616 | 34.1% | 8 | (4) |
| *1.75 to <2.5* | 692 | 223 | 89.7% | 851 | 2.1% | 99,046 | 37.0% | 338 | 39.7% | 7 | (5) |
| 2.50 to <10.00 | 1,430 | 355 | 123.1% | 1,801 | 4.6% | 216,478 | 39.8% | 882 | 49.0% | 33 | (19) |
| *2.5 to <5* | 960 | 276 | 106.9% | 1,204 | 3.5% | 141,579 | 38.5% | 554 | 46.0% | 16 | (11) |
| *5 to <10* | 470 | 79 | 179.4% | 597 | 6.9% | 74,899 | 42.3% | 328 | 55.0% | 17 | (8) |
| 10.00 to <100.00 | 359 | 30 | 236.6% | 422 | 23.9% | 48,083 | 35.3% | 257 | 60.8% | 33 | (10) |
| *10 to <20* | 187 | 13 | 386.6% | 235 | 13.6% | 31,472 | 40.5% | 148 | 63.0% | 13 | (4) |
| *20 to <30* | 49 | 4 | 231.8% | 56 | 24.2% | 6,255 | 30.6% | 35 | 61.3% | 4 | (1) |
| *30.00 to <100.00* | 123 | 13 | 87.5% | 131 | 42.1% | 10,356 | 28.0% | 74 | 56.5% | 16 | (5) |
| 100.00 (Default) | 528 | 31 | 31.9% | 486 | 100.0% | 52,545 | 23.8% | 569 | 117.2% | 70 | (220) |
| Subtotal (exposure class) | 4,827 | 1,398 | 141.0% | 6,505 | 11.0% | 1,027,406 | 36.4% | 2,883 | 44.3% | 152 | (258) |

---

# Analysis of credit risk (continued)

### Table 31: CR6 – IRB approach – Credit risk exposures by exposure class and PD range for retail SME (continued)

| PD range | On-balance sheet exposures £m | Off-balance-sheet exposures pre-CCF £m | Exposure weighted average CCF$^{a}$ % | Exposure post CCF and post CRM £m | Exposure weighted average PD % | Number of obligors | Exposure weighted average LGD % | Risk weighted exposure amount after supporting factors £m | Density of risk weighted exposure amount % | Expected loss amount £m | Value adjustments and provisions £m |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| **As at 31 December 2022** | | | | | | | | | | | |
| 0.00 to <0.15 | 21 | 4 | 6425.3% | 260 | 0.1% | 155,583 | 45.3% | 22 | 8.6 % | 0 | 0 |
| *0.00 to <0.10* | 7 | 1 | 15310.1% | 188 | 0.1% | 121,628 | 44.3% | 13 | 7.2 % | 0 | 0 |
| *0.10 to <0.15* | 14 | 3 | 2317.2% | 72 | 0.1% | 33,955 | 47.9% | 9 | 12.4 % | 0 | 0 |
| 0.15 to <0.25 | 44 | 24 | 176.8% | 85 | 0.2% | 19,700 | 32.5% | 10 | 11.3 % | 0 | 0 |
| 0.25 to <0.50 | 257 | 167 | 84.1% | 376 | 0.4% | 56,944 | 31.2% | 65 | 17.3 % | 0 | 0 |
| 0.50 to <0.75 | 358 | 206 | 119.6% | 566 | 0.6% | 104,739 | 35.0% | 141 | 24.8 % | 1 | (1) |
| 0.75 to <2.50 | 2,037 | 771 | 115.3% | 2,713 | 1.5% | 443,601 | 36.5% | 957 | 35.3 % | 14 | (17) |
| *0.75 to <1.75* | 1,314 | 582 | 119.1% | 1,860 | 1.2% | 335,564 | 36.9% | 630 | 33.8 % | 8 | (9) |
| *1.75 to <2.5* | 723 | 189 | 103.8% | 853 | 2.1% | 108,037 | 35.5% | 327 | 38.4 % | 6 | (8) |
| 2.50 to <10.00 | 1,657 | 256 | 163.9% | 1,983 | 4.6% | 216,717 | 38.5% | 939 | 47.4 % | 35 | (25) |
| *2.5 to <5* | 1,140 | 196 | 139.6% | 1,343 | 3.5% | 141,483 | 37.9% | 608 | 45.3 % | 18 | (15) |
| *5 to <10* | 517 | 60 | 243.6% | 640 | 6.9% | 75,234 | 39.6% | 331 | 51.8 % | 17 | (10) |
| 10.00 to <100.00 | 373 | 28 | 286.6% | 443 | 24.0% | 51,998 | 37.1% | 285 | 64.2 % | 38 | (14) |
| *10 to <20* | 199 | 13 | 456.7% | 253 | 13.6% | 33,919 | 40.2% | 161 | 63.5 % | 14 | (6) |
| *20 to <30* | 53 | 3 | 289.1% | 62 | 24.0% | 7,357 | 38.8% | 48 | 76.7 % | 6 | (2) |
| *30.00 to <100.00* | 121 | 12 | 104.1% | 128 | 44.7% | 10,722 | 30.3% | 76 | 59.6 % | 18 | (6) |
| 100.00 (Default) | 432 | 35 | 31.7% | 419 | 100.0% | 21,698 | 17.1% | 473 | 113.0 % | 34 | (150) |
| Subtotal (exposure class) | 5,179 | 1,491 | 138.8% | 6,845 | 9.7% | 1,070,980 | 35.8% | 2,892 | 42.2 % | 122 | (207) |

The RWA density associated with retail SMEs increased by 2.1% to 44.3% (December 2022: 42.2%) primarily due to increase in defaulted exposures.

---

# Analysis of credit risk (continued)

### Table 32: CR6 – IRB approach – Credit risk exposures by exposure class and PD range for secured retail - non SME

| PD range | On-balance sheet exposures £m | Off-balance sheet exposures pre-CCF £m | Exposure weighted average CCF % | Exposure post CCF and post CRM £m | Exposure weighted average PD % | Number of obligors | Exposure weighted average LGD % | Risk weighted exposure amount after supporting factors £m | Density of risk weighted exposure amount % | Expected loss amount £m | Value adjustments and provisions £m |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| **As at 31 December 2023** | | | | | | | | | | | |
| 0.00 to <0.15 | 19,842 | 1,530 | 80.7% | 21,220 | 0.1% | 63,246 | 8.6% | 387 | 1.8% | 2 | 0 |
| *0.00 to <0.10* | 14,440 | 1,002 | 80.7% | 15,352 | 0.1% | 42,033 | 7.9% | 204 | 1.3% | 1 | 0 |
| *0.10 to <0.15* | 5,402 | 528 | 80.8% | 5,868 | 0.1% | 21,213 | 10.4% | 183 | 3.1% | 1 | 0 |
| 0.15 to <0.25 | 8,899 | 991 | 61.9% | 9,572 | 0.2% | 53,384 | 11.1% | 464 | 4.8% | 2 | 0 |
| 0.25 to <0.50 | 44,341 | 2,731 | 52.4% | 46,026 | 0.4% | 275,852 | 8.8% | 2,870 | 6.2% | 16 | (4) |
| 0.50 to <0.75 | 36,884 | 1,085 | 63.4% | 37,840 | 0.6% | 211,140 | 11.2% | 4,075 | 10.8% | 26 | (10) |
| 0.75 to <2.50 | 34,588 | 1,244 | 76.9% | 35,820 | 1.3% | 203,383 | 14.7% | 8,240 | 23.0% | 66 | (24) |
| *0.75 to <1.75* | 29,057 | 1,079 | 75.7% | 30,095 | 1.1% | 170,314 | 14.8% | 6,440 | 21.4% | 49 | (17) |
| *1.75 to <2.5* | 5,531 | 165 | 84.9% | 5,725 | 2.1% | 33,069 | 14.5% | 1,800 | 31.4% | 17 | (7) |
| 2.50 to <10.00 | 7,892 | 177 | 84.4% | 8,144 | 4.8% | 43,803 | 14.4% | 3,954 | 48.6% | 54 | (26) |
| *2.5 to <5* | 4,836 | 134 | 87.5% | 5,015 | 3.5% | 27,449 | 15.2% | 2,235 | 44.6% | 26 | (12) |
| *5 to <10* | 3,056 | 43 | 74.7% | 3,129 | 7.0% | 16,354 | 13.2% | 1,719 | 54.9% | 28 | (14) |
| 10.00 to <100.00 | 5,210 | 191 | 59.5% | 5,379 | 28.9% | 30,277 | 10.1% | 2,943 | 54.7% | 148 | (45) |
| *10 to <20* | 2,611 | 86 | 62.3% | 2,687 | 13.2% | 14,853 | 10.4% | 1,518 | 56.5% | 37 | (14) |
| *20 to <30* | 904 | 34 | 74.0% | 939 | 24.3% | 5,797 | 11.1% | 634 | 67.6% | 25 | (8) |
| *30.00 to <100.00* | 1,695 | 71 | 49.1% | 1,753 | 55.4% | 9,627 | 9.1% | 791 | 45.1% | 86 | (23) |
| 100.00 (Default) | 1,204 | 2 | — | 1,204 | 100.0% | 7,920 | 10.0% | 758 | 63.0% | 88 | (88) |
| Subtotal (exposure class) | 158,860 | 7,951 | 65.2% | 165,205 | 2.4% | 889,005 | 11.1% | 23,691 | 14.3% | 402 | (197) |

---

# Analysis of credit risk (continued)

### Table 32: CR6 – IRB approach – Credit risk exposures by exposure class and PD range for secured retail - non SME (continued)

| PD range | On-balance sheet exposures £m | Off-balance-sheet exposures pre-CCF £m | Exposure weighted average CCF % | Exposure post CCF and post CRM £m | Exposure weighted average PD % | Number of obligors | Exposure weighted average LGD % | Risk weighted exposure amount after supporting factors £m | Density of risk weighted exposure amount % | Expected loss amount £m | Value adjustments and provisions £m |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| **As at 31 December 2022** | | | | | | | | | | | |
| 0.00 to <0.15 | 19,592 | 2,349 | 78.0% | 21,468 | 0.1% | 62,457 | 10.6% | 475 | 2.2 % | 2 | 0 |
| *0.00 to <0.10* | 14,509 | 1,702 | 78.0% | 15,871 | 0.1% | 43,261 | 9.8% | 259 | 1.6 % | 1 | 0 |
| *0.10 to <0.15* | 5,083 | 647 | 78.1% | 5,597 | 0.1% | 19,196 | 12.9% | 216 | 3.9 % | 1 | 0 |
| 0.15 to <0.25 | 9,667 | 1,398 | 64.1% | 10,585 | 0.2% | 61,942 | 12.3% | 554 | 5.2 % | 3 | (1) |
| 0.25 to <0.50 | 36,396 | 2,979 | 58.9% | 38,274 | 0.4% | 221,354 | 10.1% | 2,644 | 6.9 % | 15 | (3) |
| 0.50 to <0.75 | 41,291 | 1,868 | 59.6% | 42,579 | 0.6% | 252,875 | 10.5% | 4,283 | 10.1 % | 28 | (3) |
| 0.75 to <2.50 | 38,434 | 2,564 | 78.1% | 40,605 | 1.3% | 233,090 | 15.0% | 9,570 | 23.6 % | 79 | (18) |
| *0.75 to <1.75* | 32,495 | 2,317 | 78.0% | 34,436 | 1.1% | 195,724 | 14.7% | 7,407 | 21.5 % | 58 | (13) |
| *1.75 to <2.5* | 5,939 | 247 | 79.3% | 6,169 | 2.0% | 37,366 | 16.5% | 2,163 | 35.0 % | 21 | (5) |
| 2.50 to <10.00 | 8,959 | 386 | 80.7% | 9,320 | 4.5% | 51,803 | 15.3% | 4,461 | 47.9 % | 60 | (14) |
| *2.5 to <5* | 6,452 | 301 | 81.7% | 6,734 | 3.4% | 37,226 | 16.5% | 3,155 | 46.9 % | 38 | (9) |
| *5 to <10* | 2,507 | 85 | 77.2% | 2,586 | 7.3% | 14,577 | 12.1% | 1,306 | 50.5 % | 22 | (5) |
| 10.00 to <100.00 | 4,852 | 145 | 76.8% | 4,995 | 29.0% | 29,056 | 9.1% | 2,469 | 49.4 % | 123 | (27) |
| *10 to <20* | 2,544 | 76 | 68.1% | 2,608 | 14.7% | 14,255 | 9.2% | 1,325 | 50.8 % | 35 | (8) |
| *20 to <30* | 749 | 33 | 76.6% | 779 | 25.0% | 4,994 | 9.5% | 453 | 58.2 % | 18 | (1) |
| *30.00 to <100.00* | 1,559 | 36 | 95.2% | 1,608 | 54.1% | 9,807 | 8.6% | 691 | 43.0 % | 70 | (18) |
| 100.00 (Default) | 1,013 | 3 | — | 1,013 | 100.0% | 7,404 | 8.9% | 980 | 96.8 % | 29 | (50) |
| Subtotal (exposure class) | 160,204 | 11,692 | 68.6% | 168,839 | 2.3% | 919,981 | 11.8% | 25,436 | 15.1 % | 339 | (116) |

The RWA density associated with secured retail non SMEs decreased by 0.8% to 14.3% (December 2022: 15.1%) primarily driven by a reduction due to capital LGD model update for the mortgage portfolio and reduction in exposures, partially offset by changes in risk parameters, IRB repair PMA and HPI refresh.

---

# Analysis of credit risk (continued)

### Table 33: CR6 – IRB approach – Credit risk exposures by exposure class and PD range for revolving retail

| PD range | On-balance sheet exposures £m | Off-balance-sheet exposures pre-CCF £m | Exposure weighted average CCF$^{a}$ % | Exposure post CCF and post CRM £m | Exposure weighted average PD % | Number of obligors | Exposure weighted average LGD % | Risk weighted exposure amount after supporting factors £m | Density of risk weighted exposure amount % | Expected loss amount £m | Value adjustments and provisions £m |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| **As at 31 December 2023** | | | | | | | | | | | |
| 0.00 to <0.15 | 665 | 12,249 | 69.3% | 9,149 | 0.1% | 12,723,653 | 74.3% | 406 | 4.4% | 7 | (5) |
| *0.00 to <0.10* | 260 | 8,044 | 83.3% | 6,963 | 0.1% | 11,021,635 | 73.2% | 246 | 3.5% | 4 | (3) |
| *0.10 to <0.15* | 405 | 4,205 | 42.4% | 2,186 | 0.1% | 1,702,018 | 78.0% | 160 | 7.3% | 3 | (2) |
| 0.15 to <0.25 | 743 | 5,419 | 36.2% | 2,703 | 0.2% | 1,533,051 | 78.8% | 284 | 10.5% | 5 | (4) |
| 0.25 to <0.50 | 1,211 | 6,352 | 36.7% | 3,542 | 0.4% | 1,632,609 | 79.7% | 608 | 17.2% | 12 | (13) |
| 0.50 to <0.75 | 824 | 2,970 | 35.6% | 1,883 | 0.6% | 772,698 | 80.5% | 450 | 23.9% | 10 | (11) |
| 0.75 to <2.50 | 3,066 | 6,123 | 36.2% | 5,279 | 1.4% | 1,827,962 | 82.2% | 2,598 | 49.2% | 71 | (100) |
| *0.75 to <1.75* | 2,198 | 4,966 | 35.0% | 3,937 | 1.2% | 1,404,377 | 81.8% | 1,697 | 43.1% | 44 | (55) |
| *1.75 to <2.5* | 868 | 1,157 | 41.0% | 1,342 | 2.1% | 423,585 | 83.3% | 901 | 67.1% | 27 | (45) |
| 2.50 to <10.00 | 2,644 | 2,031 | 69.9% | 4,063 | 4.6% | 1,170,045 | 84.0% | 4,734 | 116.5% | 185 | (282) |
| *2.5 to <5* | 1,665 | 1,669 | 65.0% | 2,750 | 3.5% | 791,791 | 83.6% | 2,642 | 96.1% | 92 | (137) |
| *5 to <10* | 979 | 362 | 92.3% | 1,313 | 6.9% | 378,254 | 84.9% | 2,092 | 159.3% | 93 | (145) |
| 10.00 to <100.00 | 564 | 96 | 177.6% | 734 | 23.0% | 261,491 | 84.9% | 1,757 | 239.5% | 167 | (220) |
| *10 to <20* | 358 | 67 | 175.3% | 475 | 13.4% | 162,457 | 84.9% | 1,024 | 215.7% | 61 | (101) |
| *20 to <30* | 84 | 14 | 189.9% | 111 | 24.1% | 42,164 | 84.8% | 277 | 250.8% | 23 | (31) |
| *30.00 to <100.00* | 122 | 15 | 176.8% | 148 | 52.6% | 56,870 | 84.9% | 456 | 307.2% | 83 | (88) |
| 100.00 (Default) | 247 | 158 | — | 247 | 100.0% | 160,647 | 74.8% | 1,239 | 500.5% | 156 | (159) |
| Subtotal (exposure class) | 9,964 | 35,398 | 49.8% | 27,600 | 2.6% | 20,082,156 | 79.1% | 12,076 | 43.8% | 613 | (794) |

---

# Analysis of credit risk (continued)

### Table 33: CR6 – IRB approach – Credit risk exposures by exposure class and PD range for revolving retail (continued)

| PD range | On-balance sheet exposures £m | Off-balance-sheet exposures pre-CCF £m | Exposure weighted average CCF$^{a}$ % | Exposure post CCF and post CRM £m | Exposure weighted average PD % | Number of obligors | Exposure weighted average LGD % | Risk weighted exposure amount after supporting factors £m | Density of risk weighted exposure amount % | Expected loss amount £m | Value adjustments and provisions £m |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| **As at 31 December 2022** | | | | | | | | | | | |
| 0.00 to <0.15 | 696 | 15,541 | 58.0% | 9,706 | 0.1% | 12,065,847 | 74.6% | 432 | 4.4 % | 7 | (5) |
| *0.00 to <0.10* | 294 | 10,366 | 65.8% | 7,114 | 0.1% | 9,951,391 | 73.4% | 247 | 3.5 % | 4 | (3) |
| *0.10 to <0.15* | 402 | 5,175 | 42.3% | 2,592 | 0.1% | 2,114,456 | 77.8% | 185 | 7.1 % | 3 | (2) |
| 0.15 to <0.25 | 712 | 6,198 | 41.2% | 3,263 | 0.2% | 2,433,109 | 78.1% | 347 | 10.6 % | 6 | (5) |
| 0.25 to <0.50 | 1,160 | 6,572 | 38.4% | 3,682 | 0.4% | 1,885,237 | 79.5% | 626 | 17.0 % | 13 | (15) |
| 0.50 to <0.75 | 808 | 2,995 | 35.7% | 1,876 | 0.6% | 837,185 | 79.9% | 444 | 23.7 % | 10 | (13) |
| 0.75 to <2.50 | 2,845 | 5,662 | 37.8% | 4,983 | 1.4% | 1,883,174 | 81.7% | 2,436 | 48.9 % | 67 | (113) |
| *0.75 to <1.75* | 2,039 | 4,595 | 36.7% | 3,723 | 1.2% | 1,406,224 | 81.4% | 1,595 | 42.8 % | 42 | (63) |
| *1.75 to <2.5* | 806 | 1,067 | 42.6% | 1,260 | 2.1% | 476,950 | 82.7% | 841 | 66.7 % | 25 | (50) |
| 2.50 to <10.00 | 2,517 | 1,847 | 69.9% | 3,807 | 4.6% | 1,220,906 | 83.7% | 4,415 | 116.0 % | 173 | (293) |
| *2.5 to <5* | 1,556 | 1,522 | 63.9% | 2,528 | 3.4% | 837,325 | 83.3% | 2,390.2 | 94.6 % | 83 | (142) |
| *5 to <10* | 961 | 325 | 97.9% | 1,279 | 6.9% | 383,581 | 84.5% | 2,025 | 158.3 % | 90 | (151) |
| 10.00 to <100.00 | 575 | 95 | 178.4% | 747 | 23.1% | 278,858 | 84.6% | 1,784 | 238.9 % | 168 | (231) |
| *10 to <20* | 365 | 65 | 178.2% | 482 | 13.4% | 171,090 | 84.5% | 1,029 | 213.5 % | 61 | (111) |
| *20 to <30* | 87 | 14 | 191.6% | 114 | 24.0% | 46,616 | 84.5% | 285 | 249.8 % | 23 | (37) |
| *30.00 to <100.00* | 123 | 16 | 167.6% | 151 | 53.2% | 61,152 | 84.6% | 470 | 311.8 % | 84 | (83) |
| 100.00 (Default) | 261 | 163 | — | 261 | 100.0% | 242,910 | 81.7% | 1,315 | 503.5 % | 158 | (172) |
| Subtotal (exposure class) | 9,574 | 39,073 | 48.0% | 28,325 | 2.5% | 20,847,226 | 78.8% | 11,799 | 41.7 % | 602 | (847) |

The RWA density associated with revolving retail increased by 2.1% to 43.8% (December 2022: 41.7%) primarily due to a reduction in balances within lower PD bands and changes in the risk parameters.

---

# Analysis of credit risk (continued)

### Table 34: CR6 – IRB approach – Credit risk exposures by exposure class and PD range for other retail - non SME

| PD range | On-balance sheet exposures £m | Off-balance sheet exposures pre-CCF £m | Exposure weighted average CCF % | Exposure post CCF and post CRM £m | Exposure weighted average PD % | Number of obligors | Exposure weighted average LGD % | Risk weighted exposure amount after supporting factors £m | Density of risk weighted exposure amount % | Expected loss amount £m | Value adjustments and provisions £m |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| **As at 31 December 2023** | | | | | | | | | | | |
| 0.00 to <0.15 | 186 | 1 | 2.4% | 186 | 0.1% | 42,038 | 73.5% | 41 | 22.3% | 0 | 0 |
| *0.00 to <0.10* | 67 | 1 | 2.4% | 67 | 0.1% | 21,684 | 72.0% | 11 | 16.4% | 0 | 0 |
| *0.10 to <0.15* | 119 | — | — | 119 | 0.1% | 20,354 | 74.3% | 30 | 25.6% | 0 | 0 |
| 0.15 to <0.25 | 273 | 0 | 2.0% | 273 | 0.2% | 43,294 | 74.5% | 97 | 35.6% | 0 | 0 |
| 0.25 to <0.50 | 554 | — | — | 554 | 0.4% | 74,530 | 75.3% | 301 | 54.2% | 2 | (1) |
| 0.50 to <0.75 | 395 | 0 | 23.5% | 395 | 0.6% | 49,124 | 75.8% | 342 | 86.6% | 2 | (2) |
| 0.75 to <2.50 | 1,134 | — | — | 1,134 | 1.4% | 131,873 | 76.5% | 1,147 | 101.1% | 13 | (13) |
| *0.75 to <1.75* | 860 | — | — | 860 | 1.2% | 100,655 | 76.4% | 820 | 95.3% | 8 | (8) |
| *1.75 to <2.5* | 274 | — | — | 274 | 2.1% | 31,218 | 76.9% | 327 | 119.2% | 5 | (5) |
| 2.50 to <10.00 | 732 | — | — | 732 | 4.7% | 83,639 | 77.4% | 977 | 133.4% | 28 | (27) |
| *2.5 to <5* | 487 | — | — | 487 | 3.5% | 55,293 | 77.2% | 633 | 129.9% | 14 | (14) |
| *5 to <10* | 245 | — | — | 245 | 7.0% | 28,346 | 77.7% | 344 | 140.4% | 14 | (13) |
| 10.00 to <100.00 | 297 | — | — | 297 | 27.2% | 37,118 | 77.7% | 536 | 180.6% | 67 | (45) |
| *10 to <20* | 177 | — | — | 177 | 13.6% | 21,631 | 77.9% | 331 | 186.6% | 23 | (18) |
| *20 to <30* | 46 | — | — | 46 | 24.2% | 5,633 | 77.9% | 90 | 197.0% | 9 | (6) |
| *30.00 to <100.00* | 74 | — | — | 74 | 61.9% | 9,854 | 77.2% | 115 | 155.8% | 35 | (21) |
| 100.00 (Default) | 60 | — | — | 60 | 100.0% | 21,270 | 76.6% | 62 | 102.2% | 35 | (35) |
| Subtotal (exposure class) | 3,631 | 1 | 2.5% | 3,631 | 5.4% | 482,886 | 76.2% | 3,503 | 96.4% | 147 | (123) |

---

# Analysis of credit risk (continued)

### Table 34: CR6 – IRB approach – Credit risk exposures by exposure class and PD range for other retail - non SME (continued)

| PD range | On-balance sheet exposures £m | Off-balance-sheet exposures pre-CCF £m | Exposure weighted average CCF % | Exposure post CCF and post CRM £m | Exposure weighted average PD % | Number of obligors | Exposure weighted average LGD % | Risk weighted exposure amount after supporting factors £m | Density of risk weighted exposure amount % | Expected loss amount £m | Value adjustments and provisions £m |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| **As at 31 December 2022** | | | | | | | | | | | |
| 0.00 to <0.15 | 336 | 1 | 2.3% | 336 | 0.1% | 65,087 | 73.6% | 71 | 21.3 % | 0 | 0 |
| *0.00 to <0.10* | 160 | 1 | 2.3% | 160 | 0.1% | 37,667 | 72.9% | 26 | 16.4 % | 0 | 0 |
| *0.10 to <0.15* | 176 | — | — | 176 | 0.1% | 27,420 | 74.3% | 45 | 25.8 % | 0 | 0 |
| 0.15 to <0.25 | 311 | — | — | 311 | 0.2% | 50,615 | 74.2% | 115 | 36.9 % | 0 | 0 |
| 0.25 to <0.50 | 649 | — | — | 649 | 0.4% | 85,062 | 75.2% | 352 | 54.3 % | 2 | (2) |
| 0.50 to <0.75 | 434 | — | — | 434 | 0.6% | 53,592 | 75.7% | 387 | 89.1 % | 2 | (3) |
| 0.75 to <2.50 | 1,195 | — | — | 1,195 | 1.4% | 138,075 | 76.4% | 1,215 | 101.7 % | 14 | (15) |
| *0.75 to <1.75* | 909 | — | — | 909 | 1.2% | 105,602 | 76.3% | 869 | 95.7 % | 9 | (9) |
| *1.75 to <2.5* | 286 | — | — | 286 | 2.1% | 32,473 | 76.8% | 346 | 120.8 % | 5 | (6) |
| 2.50 to <10.00 | 736 | — | — | 736 | 4.6% | 84,674 | 77.3% | 994 | 135.1 % | 28 | (30) |
| *2.5 to <5* | 496 | — | — | 496 | 3.5% | 56,548 | 77.2% | 653 | 131.7 % | 14 | (16) |
| *5 to <10* | 240 | — | — | 240 | 7.0% | 28,126 | 77.6% | 341 | 142.1 % | 14 | (14) |
| 10.00 to <100.00 | 291 | — | — | 291 | 27.9% | 37,314 | 77.8% | 529 | 181.9 % | 67 | (51) |
| *10 to <20* | 172 | — | — | 172 | 13.5% | 21,197 | 77.9% | 327 | 190.1 % | 22 | (27) |
| *20 to <30* | 43 | — | — | 43 | 24.2% | 5,624 | 77.9% | 84 | 197.1 % | 8 | (5) |
| *30.00 to <100.00* | 76 | — | — | 76 | 62.6% | 10,493 | 77.5% | 118 | 154.9 % | 37 | (19) |
| 100.00 (Default) | 59 | — | — | 59 | 100.0% | 21,691 | 76.8% | 45 | 75.0 % | 23 | (23) |
| Subtotal (exposure class) | 4,011 | 1 | 2.5% | 4,011 | 4.9% | 536,110 | 76.0% | 3,708 | 92.5 % | 136 | (124) |

The RWA density associated with other retail non SME increased by 3.9% to 96.4% (December 2022: 92.5%) primarily due to a reduction in balances within lower PD bands.

---

# Analysis of credit risk (continued)

### Table 55: CR10 – Specialised lending and equity exposures under the simple risk weighted approach

Slotting, also known as specialised lending, is an approach that is applied to financing of individual projects where the repayment is highly dependent on the performance of the underlying pool or collateral. It uses a standard set of rules for the calculation of RWAs, based upon an assessment of factors such as the financial strength of the counterparty. The requirements for the application of the Slotting approach are detailed in CRR article 153.

#### Specialised lending : Income-producing real estate and high volatility commercial real estate (Slotting approach)

| Regulatory categories | Remaining maturity | On-balance sheet exposure £m | Off-balance sheet exposure £m | Risk weight % | Exposure value £m | Risk weighted exposure amount £m | Expected loss amount £m |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| **As at 31 December 2023** | | | | | | | | |
| Category 1 | Less than 2.5 years | 68 | 20 | 50% | 77 | 30 | — |
| | Equal to or more than 2.5 years | 127 | 1 | 70% | 129 | 71 | 1 |
| Category 2 | Less than 2.5 years | 149 | 13 | 70% | 153 | 83 | 1 |
| | Equal to or more than 2.5 years | 238 | 2 | 90% | 241 | 171 | 2 |
| Category 3 | Less than 2.5 years | 42 | — | 115% | 42 | 38 | 1 |
| | Equal to or more than 2.5 years | 45 | — | 115% | 45 | 40 | 1 |
| Category 4 | Less than 2.5 years | 2 | — | 250% | 2 | 4 | 0 |
| | Equal to or more than 2.5 years | 7 | — | 250% | 7 | 12 | 1 |
| Category 5 | Less than 2.5 years | 50 | 1 | — | 50 | — | 25 |
| | Equal to or more than 2.5 years | 34 | — | — | 34 | — | 17 |
| Total | Less than 2.5 years | 311 | 34 | — | 324 | 155 | 27 |
| | Equal to or more than 2.5 years | 451 | 3 | — | 456 | 294 | 22 |
| **As at 31 December 2022** | | | | | | | | |
| Category 1 | Less than 2.5 years | 97 | 15 | 50% | 98 | 39 | — |
| | Equal to or more than 2.5 years | 203 | — | 70% | 204 | 113 | 1 |
| Category 2 | Less than 2.5 years | 152 | 24 | 70% | 156 | 85 | 1 |
| | Equal to or more than 2.5 years | 253 | — | 90% | 253 | 177 | 2 |
| Category 3 | Less than 2.5 years | 28 | — | 115% | 29 | 26 | 1 |
| | Equal to or more than 2.5 years | 28 | — | 115% | 28 | 27 | 1 |
| Category 4 | Less than 2.5 years | 6 | — | 250% | 6 | 11 | 0 |
| | Equal to or more than 2.5 years | 7 | — | 250% | 7 | 13 | 1 |
| Category 5 | Less than 2.5 years | 48 | 5 | — | 48 | — | 24 |
| | Equal to or more than 2.5 years | 38 | — | — | 38 | — | 19 |
| Total | Less than 2.5 years | 331 | 44 | — | 337 | 161 | 26 |
| | Equal to or more than 2.5 years | 529 | — | — | 530 | 330 | 23 |

---

# Analysis of credit risk (continued)

### Table 36: CR1 - Performing and non-performing exposures and related provisions

This table provides an overview of the credit quality of on and off balance sheet non-performing exposures and related impairments, provisions and valuation adjustments by portfolio and exposure class.

| As at 31 December 2023 | Gross carrying amount/nominal Performing exposures Of which Stage 1 £m | Gross carrying amount/nominal Performing exposures Of which Stage 2 £m | Gross carrying amount/nominal Non-performing exposures Of which Stage 2 £m | Gross carrying amount/nominal Non-performing exposures Of which Stage 3 £m | Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions Performing exposures - Stage 1 £m | Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions Performing exposures - Stage 2 £m | Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions Non-performing exposures - Stage 2 £m | Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions Non-performing exposures - Stage 3 £m | Collateral and financial guarantees received On performing exposures £m | Collateral and financial guarantees received On non-performing exposures £m |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| 005 Cash balances at central banks and other demand deposits$^{a}$ | 34,861 | — | — | — | — | — | — | — | — | — |
| 010 Loans and advances | 182,878 | 26,445 | 27 | 3,375 | (292) | (784) | — | (580) | 186,117 | 2,639 |
| 020 *Central banks* | 6,047 | — | — | — | — | — | — | — | — | — |
| 030 *General governments* | 3,759 | 57 | — | — | (4) | (11) | — | — | 3,786 | — |
| 040 *Credit institutions* | 3,796 | — | — | — | — | — | — | — | 3,178 | — |
| 050 *Other financial corporations* | 653 | 27 | — | 12 | (2) | — | — | (1) | 490 | 9 |
| 060 *Non-financial corporations* | 14,126 | 4,252 | — | 1,324 | (102) | (93) | — | (255) | 16,493 | 996 |
| 070 *Of which SMEs* | 9,590 | 4,055 | — | 1,311 | (98) | (83) | — | (251) | 10,957 | 492 |
| 080 *Households* | 154,497 | 22,109 | 27 | 2,039 | (184) | (680) | — | (324) | 162,170 | 1,634 |
| 090 Debt securities | 37,684 | 525 | — | — | (4) | (1) | — | — | 141 | — |
| 100 *Central banks* | 26 | — | — | — | — | — | — | — | — | — |
| 110 *General governments* | 23,541 | — | — | — | (1) | — | — | — | — | — |
| 120 *Credit institutions* | 5,537 | 525 | — | — | — | (1) | — | — | 141 | — |
| 130 *Other financial corporations* | 8,424 | — | — | — | (3) | — | — | — | — | — |
| 140 *Non-financial corporations* | 156 | — | — | — | — | — | — | — | — | — |
| 150 Off-balance-sheet exposures | 48,053 | 2,238 | — | 190 | (10) | (18) | — | — | 4,271 | 15 |
| 160 *Central banks* | 660 | — | — | — | — | — | — | — | 0 | — |
| 170 *General governments* | — | — | — | — | — | — | — | — | — | — |
| 180 *Credit institutions* | — | — | — | 1 | — | — | — | — | — | — |
| 190 *Other financial corporations* | 7 | 1 | — | — | — | — | — | — | — | — |
| 200 *Non-financial corporations* | 1,883 | 337 | — | 44 | — | — | — | — | 190 | 11 |
| 210 *Households* | 45,503 | 1,900 | — | 145 | (10) | (18) | — | — | 4,081 | 4 |
| 220 Total | 303,476 | 29,208 | 27 | 3,565 | (306) | (803) | — | (580) | 190,529 | 2,654 |

**Note**
a. Loans at fair value through profit and loss are included in the total performing and non-performing exposures but no staging analysis is provided as these instruments are not eligible for staging.

---

# Analysis of credit risk (continued)

### Table 36: CR1 - Performing and non-performing exposures and related provisions (continued)

| As at 31 December 2022 | Gross carrying amount/nominal Performing exposures Of which Stage 1 £m | Gross carrying amount/nominal Performing exposures Of which Stage 2 £m | Gross carrying amount/nominal Non-performing exposures Of which Stage 2 £m | Gross carrying amount/nominal Non-performing exposures Of which Stage 3 £m | Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions Performing exposures - Stage 1 £m | Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions Performing exposures - Stage 2 £m | Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions Non-performing exposures - Stage 2 £m | Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions Non-performing exposures - Stage 3 £m | Collateral and financial guarantees received On performing exposures £m | Collateral and financial guarantees received On non-performing exposures £m |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| 005 Cash balances at central banks and other demand deposits$^{a}$ | 54,090 | — | — | — | — | — | — | — | — | — |
| 010 Loans and advances | 181,001 | 27,634 | 4 | 3,483 | (339) | (813) | (2) | (554) | 185,414 | 2,618 |
| 020 *Central banks* | 5,571 | — | — | — | — | — | — | — | — | — |
| 030 *General governments* | 3,944 | 14 | — | — | (2) | (2) | — | — | 3,954 | — |
| 040 *Credit institutions* | 1,336 | — | — | — | (1) | — | — | — | 477 | — |
| 050 *Other financial corporations* | 244 | 54 | — | 12 | (2) | (1) | — | (2) | 116 | 9 |
| 060 *Non-financial corporations* | 15,525 | 6,266 | — | 1,651 | (150) | (146) | — | (252) | 19,481 | 1,219 |
| 070 *Of which SMEs* | 10,370 | 5,964 | — | 1,630 | (146) | (120) | — | (251) | 13,535 | 553 |
| 080 *Households* | 154,381 | 21,300 | 4 | 1,820 | (184) | (664) | (2) | (300) | 161,386 | 1,390 |
| 090 Debt securities | 38,006 | 504 | — | — | (2) | (1) | — | — | 299 | — |
| 100 *Central banks* | 48 | — | — | — | — | — | — | — | — | — |
| 110 *General governments* | 24,423 | — | — | — | (1) | — | — | — | — | — |
| 120 *Credit institutions* | 5,419 | 504 | — | — | (1) | — | — | — | 299 | — |
| 130 *Other financial corporations* | 7,780 | — | — | — | (1) | — | — | — | — | — |
| 140 *Non-financial corporations* | 336 | — | — | — | — | — | — | — | — | — |
| 150 Off-balance-sheet exposures | 53,902 | 4,691 | — | 289 | (9) | (38) | — | — | 4,717 | 15 |
| 160 *Central banks* | 810 | — | — | — | — | — | — | — | 150 | — |
| 170 *General governments* | — | — | — | — | — | — | — | — | — | — |
| 180 *Credit institutions* | 100 | — | — | — | — | — | — | — | — | — |
| 190 *Other financial corporations* | 9 | 2 | — | — | — | — | — | — | — | — |
| 200 *Non-financial corporations* | 2,114 | 417 | — | 53 | — | — | — | — | 200 | 13 |
| 210 *Households* | 50,869 | 4,272 | — | 236 | (9) | (38) | — | — | 4,367 | 2 |
| 220 Total | 326,999 | 32,829 | 4 | 3,772 | (350) | (852) | (2) | (554) | 190,430 | 2,633 |

**Note**
a. Loans at fair value through profit and loss are included in the total performing and non-performing exposures but no staging analysis is provided as these instruments are not eligible for staging.

Decrease in Cash balances with Central bank and other demand deposits by £19.2bn to £34.9bn (December 2022: £54.1bn) due to decrease in deposits.

---

# Analysis of credit risk (continued)

### Table 37: CR1-A - Maturity of exposures

This table shows the on- and off-balance sheet net credit risk exposures by residual contractual maturity, split by either loans and advances or debt securities. The amounts shown are based on IFRS accounting values according to the regulatory scope of consolidation.

| As at 31 December 2023 | On demand £m | <= 1 year £m | > 1 year <= 5 years £m | > 5 years £m | No stated maturity £m | Total £m |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| 1 Loans and advances | 52,941 | 11,650 | 19,020 | 179,625 | — | 263,236 |
| 2 Debt securities | — | 6,689 | 20,435 | 11,079 | — | 38,203 |
| 3 Total | 52,941 | 18,339 | 39,455 | 190,704 | — | 301,439 |
| **As at 31 December 2022** | | | | | | |
| 1 Loans and advances | 61,457 | 10,153 | 21,382 | 178,234 | — | 271,226 |
| 2 Debt securities | — | 9,726 | 19,886 | 8,895 | — | 38,507 |
| 3 Total | 61,457 | 19,879 | 41,268 | 187,129 | — | 309,733 |

Loans and advances decreased by £8.0bn to £263.2bn (December 2022: £271.2bn) driven by a decrease in off-balance sheet commitments and net repayments in loans and advances.

### Table 38: CR2 - Changes in the stock of non-performing loans and advances$^{a}$

This table shows information on changes in the institutions stock of on balance sheet non-performing loans and advances. The amounts shown are based on IFRS accounting values according to the regulatory scope of consolidation.

| As at 31 December 2023 | Gross carrying amount £m |
| :--- | :--- |
| 010 Initial stock of non-performing loans and advances | 3,487 |
| 020 Inflows to non-performing portfolios | 2,645 |
| 030 Outflows from non-performing portfolios | (529) |
| 040 Outflows due to write-offs | (295) |
| 050 Outflow due to other situations$^{a}$ | (1,907) |
| 060 Final stock of non-performing loans and advances | 3,401 |

**Note**
a. Other changes include repayments and disposals and other adjustments, partly offset by a net increase in the non-performing exposure on existing loans and debt securities.

---

# Analysis of credit risk (continued)

### Table 39: CR3 – CRM techniques overview: Disclosure of the use of credit risk mitigation techniques

This table shows a breakdown of on-balance sheet unsecured and secured credit risk exposures secured by various methods of collateral for both loans and advances and debt securities. The amounts shown are based on IFRS accounting values according to the regulatory scope of consolidation.

| As at 31 December 2023 | Unsecured carrying amount £m | Secured carrying amount £m | Of which secured by collateral £m | Of which secured by financial guarantees £m | Of which secured by credit derivatives £m |
| :--- | :--- | :--- | :--- | :--- | :--- |
| 1 Loans and advances | 60,544 | 188,756 | 179,550 | 9,206 | — |
| 2 Debt securities | 38,067 | 141 | — | 141 | — |
| 3 Total | 98,611 | 188,897 | 179,550 | 9,347 | — |
| 4 *Of which non-performing exposures* | 762 | 2,639 | 2,143 | 496 | — |
| 5 *Of which defaulted* | 762 | 2,639 | — | — | — |
| **As at 31 December 2022** | | | | | |
| 1 Loans and advances | 80,159 | 188,032 | 176,442 | 11,590 | — |
| 2 Debt securities | 38,211 | 299 | — | 299 | — |
| 3 Total | 118,370 | 188,331 | 176,442 | 11,889 | — |
| 4 *Of which non-performing exposures* | 869 | 2,618 | 1,969 | 649 | — |
| 5 *Of which defaulted* | 869 | 2,618 | — | — | — |

Decrease in unsecured loans and advances by £19.7bn to £60.5bn (December 2022: £80.2bn) due to decrease in deposits.

---

# Analysis of credit risk (continued)

### Table 40: CQ1 - Credit quality of forborne exposures

This table provides an overview of the quality of on- and off-balance sheet forborne exposures. The amounts shown are based on IFRS accounting values according to the regulatory scope of consolidation.

| | Gross carrying amount/nominal amount of exposures with forbearance measures Performing forborne £m | Gross carrying amount/nominal amount of exposures with forbearance measures Non-performing forborne Of which defaulted £m | Gross carrying amount/nominal amount of exposures with forbearance measures Non-performing forborne Of which impaired £m | Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions On performing forborne exposures £m | Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions On non-performing forborne exposures £m | Collateral received and financial guarantees received on forborne exposures £m | Of which collateral and financial guarantees received on non performing exposures with forbearance measures £m |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| **As at 31 December 2023** | | | | | | | | |
| 005 Cash balances at central banks and other demand deposits | — | — | — | — | — | — | — |
| 010 Loans and Advances$^{a}$ | 663 | 834 | 658 | 654 | (68) | (126) | 1,006 | 643 |
| 020 *Central banks* | — | — | — | — | — | — | — | — |
| 030 *General governments* | — | — | — | — | — | — | — | — |
| 040 *Credit institutions* | — | — | — | — | — | — | — | — |
| 050 *Other financial corporations* | 1 | 2 | 1 | 1 | — | — | 2 | 2 |
| 060 *Non-financial corporations* | 386 | 46