# Barclays Bank UK PLC Pillar 3 Report 31 December 2022

# Contents

## Introduction
- Notes on basis of preparation 3
- 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 28
- Analysis of counterparty credit risk 53
- Analysis of market risk 56
- Analysis of securitisation exposures 57
- Analysis of operational risk 61

## Barclays approach to managing risks
- Risk management strategy, governance and risk culture 63
- Management of credit risk and the internal ratings-based approach 76
- Management of counterparty credit risk and credit risk mitigation techniques 87
- Management of market risk 106
- Management of securitisation exposures 110
- Management of treasury and capital risk 113
- Management of operational risk 120
- Management of model risk 125
- Management of conduct risk 127
- Management of reputation risk 128
- Management of legal risk 129

## Appendices
- Appendix A – Countercyclical capital buffer 130
- Appendix B – Disclosure on asset encumbrance 132
- Appendix C – Disclosure on remuneration 134
- Appendix D – Compliance to Pillar 3 requirements 141
- Forward-looking statement 151

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

# Notes on basis of preparation

## Disclosure Background
Pillar 3 disclosures complement those disclosed in the Barclays Bank UK PLC 2022 Annual Report and provide additional information about Barclays Bank UK Group’s risk profile, including its regulatory capital, risk weighted assets (RWA), 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. The regulations came into force on 1 January 2022, and were implemented by the PRA via the PRA Rulebook. The Pillar 3 disclosures have also been prepared in accordance with the updated 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.

The disclosures included in this report reflect the Barclays Bank UK PLC’s (the Bank) interpretation of the current rules and guidance.

## Key changes in the 2022 Pillar 3 Report

### Capital and RWAs
On 1 January 2022, the Prudential Regulatory Authority (PRA) implemented Internal Rating-Based (IRB) roadmap changes which includes revisions to the criteria for definition of default, probability of default and loss given default estimation to ensure supervisory consistency and increase transparency of IRB models.

On 14 October 2021, the PRA finalised their implementation of Basel standards through Policy Statement (PS) 22/21, and were implemented from 1 January 2022. The finalised requirements included the introduction of the Standardised Approach for Counterparty Credit Risk (SA-CCR) which replaces the Current Exposure Method (CEM) for Standardised derivative exposures as a more risk sensitive approach.

On 13 December 2021, the Financial Policy Committee (FPC) announced that a Countercyclical Capital Buffer (CCyB) rate of 1% for UK exposures has been re-introduced and was applicable from 13 December 2022.

### UK Leverage Ratio Framework
From 1 January 2022, under its revised UK leverage ratio framework (UKLRF) introduced via the PRAs Supervisory Statement 45/15, central bank claims have been excluded from the UK leverage exposure measure where they are matched by qualifying liabilities (rather than deposits).

### Pillar 3 Disclosures
As part of the introduction of PS 22/21 changes effective from 1 January 2022, a number of new Pillar 3 disclosures have been introduced in line with the updated PRA rulebook (Disclosure (CRR) - Pillar 3 Templates and Instructions). New disclosures are noted and any new data points will not have comparatives. Comparatives are not provided where there has been a change in the guidelines for disclosures that were reportable for 31 December 2021. The terms RWA and RWEA are used interchangeably throughout the document. Leverage related tables do not have comparatives due to prior period being disclosed on a CRR basis which no longer applies to UK banks.

## Future regulatory changes

### Capital and RWAs
On 5 July 2022, the FPC announced a further increase in the CCyB rate to 2% applicable from 5 July 2023.

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 will be in effect from the 2023 assessment and buffer applicable from 1 January 2025.

# Notes on basis of preparation (continued)

## 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 2022 Annual Report.

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

# Notes on basis of preparation (continued)

## Policy, validation and sign off
Throughout the year ended 31 December 2022, 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 updated Pillar 3 framework within PRA Rulebook and have been prepared in compliance with Barclays’ internal control framework."

James Mack
Chief Financial Officer, Barclays Bank UK PLC

Matthew Stevens
Chief Risk Officer, Barclays Bank UK PLC

# Notes on basis of preparation (continued)

## Risk and capital position review

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

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

### Our structure

```mermaid
graph TD
    BBUK[Barclays Bank UK PLC]
    PB[Personal Banking]
    BB[Business Banking]
    BCUK[Barclaycard Consumer UK]
    BBUK --> PB
    BBUK --> BB
    BBUK --> BCUK
```

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

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

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

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

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

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

# 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 PLC that use the standardised and advanced internal rating-based (AIRB) approaches as at 31 December 2022.

| Table 1: The scope of the standardised and AIRB approaches for credit and counterparty credit risk excluding credit valuation adjustment (CVA) | 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 UK (BUK) | 60,322 | 348 | 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 2022 | |
| :--- | :--- | :--- |
| **Risk Type** | **Risk weighted assets** | **Scope** |
| Credit value adjustment | 735 | CVA for all contracts in scope as defined by article 382 of the CRR. |
| Market risk | 233 | 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 PLC does not have permission to use a model, therefore the standardised approach is applied. |
| Operational risk | 11,081 | Barclays Bank UK PLC applies the Standardised Approach (TSA) for operational risk regulatory capital purposes. |

# 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 | | | | | | | |
| :--- | :---: | :---: | :---: | :---: | :---: | :---: | :---: |
| | 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 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 | 54,208 | 54,145 | 54,145 | — | — | — | — |
| Cash collateral and settlement balances | 5,194 | 5,194 | 4,495 | 544 | — | — | 155 |
| Loans and advances at amortised cost | 223,207 | 223,277 | 214,103 | — | 9,175 | — | — |
| Reverse repurchase agreements and other similar secured lending | 477 | 477 | — | 477 | — | — | — |
| Trading portfolio assets | 54 | 54 | — | — | — | 54 | — |
| Financial assets at fair value through the income statement | 1,980 | 1,980 | 1,980 | — | — | — | — |
| Derivative financial instruments | 611 | 611 | — | 611 | — | — | — |
| Financial assets at fair value through other comprehensive income | 19,970 | 19,970 | 19,970 | — | — | — | — |
| Investments in associates and joint ventures | — | 129 | 129 | — | — | — | — |
| Goodwill and intangible assets | 3,528 | 3,528 | — | — | — | — | 3,528 |
| Property, plant and equipment | 382 | 382 | 382 | — | — | — | — |
| Current tax assets | — | — | — | — | — | — | — |
| Deferred tax assets | 1,916 | 1,916 | 1,900 | — | — | — | 16 |
| Retirement benefit assets | — | — | — | — | — | — | — |
| Other assets | 652 | 632 | 658 | — | — | — | — |
| **Total assets** | **312,179** | **312,295** | **297,762** | **1,632** | **9,175** | **54** | **3,699** |
| **Liabilities**$^c$ | | | | | | | |
| Deposits at amortised cost | 258,117 | 258,148 | — | — | — | — | 258,148 |
| Cash collateral and settlement balances | 553 | 553 | — | 432 | — | — | 121 |
| Repurchase agreements and other similar secured | 17,702 | 17,702 | — | 2,599 | — | — | 15,103 |
| Debt securities in issue | 8,009 | 8,009 | — | — | — | — | 8,009 |
| Subordinated liabilities | 8,268 | 8,268 | — | — | — | — | 8,268 |
| Trading portfolio liabilities | 464 | 464 | — | — | — | 464 | — |
| Financial liabilities designated at fair value | — | — | — | — | — | — | — |
| Derivative financial instruments | 962 | 962 | — | 962 | — | — | — |
| Current tax liabilities | 578 | 577 | — | — | — | — | 577 |
| Deferred tax liabilities | — | — | — | — | — | — | — |
| Retirement benefit liabilities | — | — | — | — | — | — | — |
| Other liabilities | 1,775 | 1,758 | — | — | — | — | 1,758 |
| Provisions | 338 | 334 | — | — | — | — | 334 |
| **Total liabilities** | **296,766** | **296,775** | **—** | **3,993** | **—** | **464** | **292,318** |

**Notes**
The following points should be considered in conjunction with table LI1:
a. The balances shown in column “Carrying values under the 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 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 capital” are residual amount so that “Carrying values under the scope of regulatory consolidation” equal to the sum of those in the columns relating to the regulatory framework.

# 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 | Total (£m) | Items subject to: Credit risk framework (£m) | Securitisation framework (£m) | CCR framework (£m) | Market risk framework (£m) |
| :--- | :---: | :---: | :---: | :---: | :---: |
| 1. Assets carrying value amount under the scope of regulatory consolidation (as per template LI1) | 308,570 | 297,762 | 9,175 | 1,632 | 54 |
| 2. Liabilities carrying value amount under the regulatory scope of consolidation (as per template LI1) | (3,993) | — | — | (3,993) | (464) |
| 3. Total net amount under the regulatory scope of consolidation | 304,577 | 297,762 | 9,175 | (2,361) | (410) |
| 4. Off-balance-sheet amounts | 99,489 | 94,878 | — | 4,611 | — |
| 5. Differences in valuations | — | — | — | — | — |
| 6. Differences due to different netting rules, other than those already included in row 2 | (2,200) | — | — | (2,200) | — |
| 7. Differences due to consideration of provisions | 1,541 | 1,541 | — | — | — |
| 8. Differences due to the use of credit risk mitigation techniques (CRMs) | (306) | (306) | — | — | — |
| 9. Differences due to credit conversion factors | (28,772) | (28,772) | — | — | — |
| 10. Differences due to Securitisation with risk transfer | 786 | — | 786 | — | — |
| 11. Other differences | (509) | (509) | — | — | — |
| 11a. Difference due to Regulatory add-ons | 1,195 | — | — | 1,195 | — |
| 12. Exposure amounts considered for regulatory purposes | 375,803 | 364,595 | 9,962 | 1,246 | — |

| Table 5: LI3 Outline of the differences in the scopes of consolidation (entity by entity) | Method of accounting consolidation | Method of regulatory consolidation | | | | | | |
| :--- | :--- | :---: | :---: | :---: | :---: | :---: | :---: | :---: |
| **Name of the entity** | | Full consolidation | Proportional consolidation | Equity Method | Neither consolidated nor deducted$^a$ | Deducted | **Description of the entity** |
| Barclays Insurance Services Company Limited | Fully consolidated | Y | | | | | Activities auxiliary to financial services and insurance activities |
| Vaultex UK Limited | Proportionally consolidated | | Y | | | | Activities auxiliary to financial services and insurance activities |

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

# Analysis of treasury and capital risk

# Analysis of treasury and capital risk (continued)

| Table 6: KM1 - Key metrics (KM1 / IFRS9-FL$^b$ / Article 468-FL$^b$ / UK LR$^b$) - Part 1 | | | | | | |
| :--- | :---: | :---: | :---: | :---: | :---: | :---: |
| | As at 31.12.22 (£m) | As at 30.09.22 (£m) | As at 30.06.22 (£m) | As at 31.03.22 (£m) | As at 31.12.21 (£m) | |
| **Available own funds (amounts)** | | | | | | |
| 1. Common Equity Tier 1 (CET1) capital$^c$ | 10,701 | 10,662 | 10,536 | 10,641 | 10,828 | |
| 1a. Fully loaded common Equity Tier 1 (CET1) capital$^d$ | 10,628 | 10,581 | 10,455 | 10,583 | 10,572 | |
| 2. Tier 1 capital$^c$ | 13,261 | 13,222 | 13,096 | 13,201 | 13,388 | |
| 2a. Fully loaded tier 1 capital$^d$ | 13,188 | 13,141 | 13,015 | 13,143 | 13,132 | |
| 3. Total capital$^c$ | 15,828 | 15,993 | 15,877 | 16,037 | 16,442 | |
| 3a. Fully loaded total capital$^d$ | 15,804 | 15,912 | 15,844 | 16,028 | 16,359 | |
| **Risk-weighted exposure amounts** | | | | | | |
| 4. Total risk-weighted exposure amount$^c$ | 72,719 | 72,014 | 71,088 | 71,220 | 71,213 | |
| 4a. Fully loaded total risk-weighted exposure amount$^d$ | 72,707 | 71,981 | 71,055 | 71,244 | 71,116 | |
| **Capital ratios (%)** | | | | | | |
| 5. Common Equity Tier 1 ratio$^c$ | 14.7% | 14.8% | 14.8% | 14.9% | 15.2% | |
| 5a. Fully loaded common Equity Tier 1 ratio$^d$ | 14.6% | 14.7% | 14.7% | 14.9% | 14.9% | |
| 6. Tier 1 ratio$^c$ | 18.2% | 18.4% | 18.4% | 18.5% | 18.8% | |
| 6a. Fully loaded tier 1 ratio$^d$ | 18.1% | 18.3% | 18.3% | 18.4% | 18.5% | |
| 7. Total capital ratio$^c$ | 21.8% | 22.2% | 22.3% | 22.5% | 23.1% | |
| 7a. Fully loaded total capital ratio$^d$ | 21.7% | 22.1% | 22.3% | 22.5% | 23.0% | |
| **Additional own funds requirements (%)** | | | | | | |
| UK 7a. Additional CET1 SREP requirements | 2.8% | 2.4% | 2.4% | 2.4% | | |
| UK 7b. Additional AT1 SREP requirements | 0.9% | 0.8% | 0.8% | 0.8% | | |
| UK 7c. Additional T2 SREP requirements | 1.3% | 1.0% | 1.1% | 1.1% | | |
| UK 7d. Total SREP own funds requirements | 13.0% | 12.2% | 12.2% | 12.2% | | |
| **Combined buffer requirement (%)** | | | | | | |
| 8. Capital conservation buffer | 2.5% | 2.5% | 2.5% | 2.5% | 2.5% | |
| 9. Institution specific countercyclical capital buffer | 1.0% | 0.0% | 0.0% | 0.0% | 0.0% | |
| UK 10a. Other Systemically Important Institution buffer | 1.0% | 1.0% | 1.0% | 1.0% | 1.0% | |
| 11. Combined buffer requirement | 4.5% | 3.5% | 3.5% | 3.5% | 3.5% | |
| UK 11a. Overall capital requirements | 17.5% | 15.7% | 15.7% | 15.7% | | |
| 12. CET1 available after meeting total SREP own funds | 7.4% | 7.9% | 7.9% | 8.0% | | |

**Notes**
a. From 1 January 2018, Barclays Bank UK Group elected to apply the IFRS 9 transitional arrangements of the 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 is phased out over a 5 year period with 25% applicable for 2022 and with no transitional relief from 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 5 year period with 75% applicable for 2022; 50% for 2023; 25% for 2024 and with no transitional relief from 2025.
b. As at 31 December 2022, Barclays Bank UK PLC had not elected to apply the temporary treatment specified in Article 468 of the CRR, amended by Regulation EU 2020/873, resulting in the capital and leverage ratios reflecting the full impact of unrealised gains and losses measured at fair value through other comprehensive income.
c. Transitional capital and RWAs are calculated applying the IFRS 9 transitional arrangements of the CRR as amended by CRR II.
d. Fully loaded capital and RWAs are calculated without applying the IFRS 9 transitional arrangements of the CRR as amended by CRR II.

CET1 ratio decreased to 14.7% (December 2021: 15.2%) as CET1 capital decreased by £0.1bn and RWA increased by £1.5bn.

RWAs increased by £1.5bn to £72.7bn (December 2021: £71.2bn) primarily driven by mortgage growth and implementation of IRB roadmap changes. This was partially offset by the benefit in mortgages from an increase in the House Price Index (HPI) and a reduction in carrying value of Education, Social Housing and Local Authority portfolio due to rising interest rates.

CET1 capital remained broadly flat at £10.7bn (December 2021: £10.8bn).

# Analysis of treasury and capital risk (continued)

| Table 6: KM1 - Key metrics - Part 2 | | | | | |
| :--- | :---: | :---: | :---: | :---: | :---: |
| | As at 31.12.22 (£m) | As at 30.09.22 (£m) | As at 30.06.22 (£m) | As at 31.03.22 (£m) | As at 31.12.21 (£m) |
| **Leverage ratio** | | | | | |
| 13. Total exposure measure excluding claims on central banks$^a$ | 250,092 | 249,298 | 248,241 | 241,491 | 241,173 |
| 14. Leverage ratio excluding claims on central banks (%) | 5.3% | 5.3% | 5.3% | 5.5% | 5.6% |
| **Additional leverage ratio disclosure requirements** | | | | | |
| UK 14a. Fully loaded ECL accounting model leverage ratio excluding claims on central banks (%) | 5.3% | 5.3% | 5.2% | 5.4% | |
| UK 14b. Leverage ratio including claims on central banks (%) | 4.3% | 4.2% | 4.2% | 4.1% | |
| UK 14c. Average leverage ratio excluding claims on central banks (%) | 5.3% | 5.3% | 5.3% | 5.5% | 5.5% |
| UK 14d. Average leverage ratio including claims on central banks (%) | 4.3% | 4.2% | 4.2% | 4.2% | |
| UK 14e. Countercyclical leverage ratio buffer (%) | 0.3% | 0.0% | 0.0% | 0.0% | |
| **Liquidity Coverage Ratio** | | | | | |
| 15. Total high-quality liquid assets (HQLA) (Weighted value) | 81,791 | 82,528 | 81,548 | 80,530 | 77,863 |
| UK 16a. Cash outflows - Total weighted value | 45,306 | 44,584 | 43,766 | 42,837 | 42,339 |
| UK 16b. Cash inflows - Total weighted value | 1,340 | 1,401 | 1,432 | 1,472 | 1,371 |
| 16. Total net cash outflows (adjusted value) | 43,966 | 43,183 | 42,334 | 41,365 | 40,968 |
| 17. Liquidity coverage ratio (%) | 186% | 191% | 193% | 195% | 190% |
| 17a. Liquidity coverage ratio (%) (period end) | 183% | 182% | 185% | 187% | 204% |
| **Net Stable Funding Ratio** | | | | | |
| 18. Total available stable funding | 266,421 | | | | |
| 19. Total required stable funding | 158,156 | | | | |
| 20. NSFR ratio (%) | 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. Prior period comparatives have been updated to reflect the average measures as amended by CRR II.
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. No prior comparative available.

The UK leverage ratio decreased to 5.3% (December 2021: 5.6%) due to an increase in the leverage exposure of £8.9bn as a result of increases in loans and advances and other assets; and securities financing transactions partially offset by a reduction in potential future exposure on derivatives due to increased netting eligibility under SA-CCR.

The average LCR for the 12 months to 31 December 2022 decreased to 186% (December 2021: 190%), with average HQLA increasing by £4bn and average net cash outflows increasing by £3bn.

# Analysis of treasury and capital risk (continued)

| Table 7: CC1 – Composition of regulatory own funds | 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 | 5 | 5 |
| 2. Retained earnings | 13,492 | 13,492 |
| 3. Accumulated other comprehensive income (and other reserves) | (2,177) | (2,177) |
| UK-5a. Independently reviewed interim profits net of any foreseeable charge or dividend | 934 | 934 |
| 6. Common Equity Tier 1 (CET1) capital before regulatory adjustments | 12,254 | 12,254 |
| **Common Equity Tier 1 (CET1) capital: regulatory adjustments** | | |
| 7. Additional value adjustments | (48) | (48) |
| 8. Intangible assets (net of related tax liability) | (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 | 2,146 | 2,146 |
| 12. Negative amounts resulting from the calculation of expected loss amounts | (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) | — | (17) |
| 27a. Other regulatory adjustments to CET1 capital (including IFRS 9 transitional adjustments when relevant) | 51 | (5) |
| 28. Total regulatory adjustments to Common Equity Tier 1 (CET1) | (1,553) | (1,626) |
| 29. Common Equity Tier 1 (CET1) capital | 10,701 | 10,628 |
| **Additional Tier 1 (AT1) capital: instruments** | | |
| 30. Capital instruments and the related share premium accounts | 2,560 | 2,560 |
| 36. Additional Tier 1 (AT1) capital before regulatory adjustments | 2,560 | 2,560 |
| 44. Additional Tier 1 (AT1) capital | 2,560 | 2,560 |
| 45. Tier 1 capital (T1 = CET1 + AT1) | 13,261 | 13,188 |
| **Tier 2 (T2) capital: instruments** | | |
| 46. Capital instruments and the related share premium accounts | 2,548 | 2,548 |
| 50. Credit risk adjustments | 19 | 68 |
| 51. Tier 2 (T2) capital before regulatory adjustments | 2,567 | 2,616 |
| 58. Tier 2 (T2) capital | 2,567 | 2,616 |
| 59. Total capital (TC = T1 + T2) | 15,828 | 15,804 |
| 60. Total Risk exposure amount | 72,719 | 72,707 |
| **Capital ratios and buffers** | | |
| 61. Common Equity Tier 1 (as a percentage of total risk exposure amount) | 14.7% | 14.6% |
| 62. Tier 1 (as a percentage of total risk exposure amount) | 18.2% | 18.1% |
| 63. Total capital (as a percentage of total risk exposure amount) | 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) | 11.8% | 11.8% |
| 65. of which: capital conservation buffer requirement | 2.5% | 2.5% |
| 66. of which: countercyclical buffer requirement | 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% |
| 68. Common Equity Tier 1 available to meet buffers (as a percentage of risk exposure amount) | 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 |
| 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) | 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) | 1,062 | 1,065 |

# Analysis of treasury and capital risk (continued)

| Table | As at 31.12.22 Transitional Position (£m) | As at 31.12.22 Fully Loaded Position (£m) |
| :--- | :---: | :---: |
| **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 | 324 | 324 |

**Notes**
†. The references (a) – (i) 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. Other regulatory adjustments to CET1 capital include IFRS 9 transitional adjustments of which static £0m, of which modified £56m.

# Analysis of treasury and capital risk (continued)

| Table 8: CC2 – Reconciliation of regulatory own funds to balance sheet in the audited financial statements | Balance sheet as in published financial statements (£m) | Under regulatory scope of consolidation (£m) |
| :--- | :---: | :---: |
| **Assets** | | |
| 1. Cash and balances at central banks | 54,208 | 54,145 |
| 2. Cash collateral and settlement balances | 5,194 | 5,194 |
| 3. Loans and advances at amortised cost | 223,207 | 223,278 |
| 4. Reverse repurchase agreements and other similar secured lending | 477 | 477 |
| 5. Trading portfolio assets | 54 | 54 |
| 6. Financial assets at fair value through the income statement | 1,980 | 1,980 |
| 7. Derivative financial instruments | 611 | 611 |
| 8. Financial assets at fair value through other comprehensive income | 19,970 | 19,970 |
| 9. Investments in subsidiaries, associates and joint ventures | — | 129 |
| 10. Goodwill and intangible assets | 3,528 | 3,528 |
| 11. Of which: goodwill | 3,526 | 3,526 |
| 12. Of which: other intangibles (excluding MSRs) | 2 | 2 |
| 13. Property, plant and equipment | 382 | 382 |
| 14. Current tax assets | — | — |
| 15. Deferred tax assets | 1,916 | 1,916 |
| 16. Retirement benefit assets | — | — |
| 17. Other assets | 652 | 631 |
| 18. Total assets | 312,179 | 312,295 |
| **Liabilities** | | |
| 1. Deposits at amortised cost | 258,117 | 258,148 |
| 2. Cash collateral and settlement balances | 553 | 553 |
| 3. Repurchase agreements and other similar secured borrowing | 17,702 | 17,702 |
| 4. Debt securities in issue | 8,009 | 8,009 |
| 5. Subordinated liabilities | 8,268 | 8,268 |
| 6. Trading portfolio liabilities | 464 | 464 |
| 7. Financial liabilities designated at fair value | — | — |
| 8. Derivative financial instruments | 962 | 962 |
| 9. Current tax liabilities | 578 | 577 |
| 10. Deferred tax liabilities | — | — |
| 11. Retirement benefit liabilities | — | — |
| 12. Other liabilities | 1,775 | 1,757 |
| 13. Provisions | 338 | 334 |
| 14. Total liabilities | 296,766 | 296,774 |
| **Equity** | | |
| 1. Called up share capital and share premium | 5 | 5 |
| 2. Of which: amount eligible for CET1 | 5 | 5 |
| 3. Other equity instruments | 2,560 | 2,560 |
| 4. Other reserves | (2,279) | (2,177) |
| 5. Retained earnings | 15,127 | 15,133 |
| 6. Total equity excluding non-controlling interests | 15,413 | 15,521 |
| 7. Non-controlling interests | — | — |
| 8. Total equity | 15,413 | 15,521 |
| 9. Total liabilities and equity | 312,179 | 312,295 |

**Note**
† The references (a) – (i) 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 | Credit risk Std (£m) | Credit risk AIRB (£m) | CCR Std (£m) | CCR 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 2022** | | | | | | | | | | |
| Barclays Bank UK PLC | 5,606 | 54,716 | 348 | — | 0 | 735 | 233 | — | 11,081 | 72,719 |
| **As at 31 December 2021** | | | | | | | | | | |
| Barclays Bank UK PLC | 5,326 | 53,687 | 829 | — | — | 379 | 100 | — | 10,892 | 71,213 |

# Analysis of treasury and capital risk (continued)

| Table 10: OV1 – Overview of risk weighted exposure amounts$^a$ | Risk weighted exposure amounts (RWEAs) As at 31.12.22 (£m) | Risk weighted exposure amounts (RWEAs) As at 30.09.22 (£m) | Risk weighted exposure amounts (RWEAs) As at 31.12.21 (£m) | Total own funds requirements As at 31.12.22 (£m) | Total own funds requirements As at 30.09.22 (£m) | Total own funds requirements As at 31.12.21 (£m) |
| :--- | :---: | :---: | :---: | :---: | :---: | :---: |
| 1. Credit risk (excluding CCR) | 58,885 | 58,898 | 57,745 | 4,711 | 4,712 | 4,619 |
| 2. Of which the standardised approach | 4,827 | 4,520 | 4,647 | 387 | 362 | 372 |
| 4. Of which: slotting approach | 491 | 489 | 500 | 39 | 39 | 40 |
| 5. Of which the advanced IRB (AIRB) approach | 53,567 | 53,889 | 52,598 | 4,285 | 4,311 | 4,207 |
| 6. Counterparty credit risk - CCR | 1,083 | 475 | 1,208 | 87 | 38 | 97 |
| 7. Of which the standardised approach | 225 | 206 | 244 | 18 | 16 | 20 |
| UK 8a. Of which exposures to a CCP | 16 | 41 | 198 | 1 | 3 | 16 |
| UK 8b. Of which credit valuation adjustment - CVA | 735 | 203 | 379 | 59 | 16 | 30 |
| 9. Of which other CCR | 107 | 25 | 387 | 9 | 2 | 31 |
| 15. Settlement risk | 0 | 0 | — | 0 | 0 | — |
| 16. Securitisation exposures in the non-trading book (after the cap) | 1,437 | 1,453 | 1,268 | 115 | 116 | 101 |
| 17. Of which SEC-IRBA approach | 658 | 660 | 589 | 53 | 53 | 47 |
| 18. Of which SEC-ERBA (including IAA) | — | — | 123 | — | — | 10 |
| 19. Of which SEC-SA approach | 779 | 793 | 556 | 62 | 63 | 44 |
| UK 19a. Of which 1250%/ deduction | — | — | — | — | — | — |
| 20. Position, foreign exchange and commodities risks (Market risk) | 233 | 256 | 100 | 19 | 20 | 8 |
| 21. Of which the standardised approach | 233 | 256 | 100 | 19 | 20 | 8 |
| 23. Operational risk | 11,081 | 10,932 | 10,892 | 887 | 875 | 871 |
| UK 23b. Of which standardised approach | 11,081 | 10,932 | 10,892 | 887 | 875 | 871 |
| 24. Amounts below the thresholds for deduction (subject to 250% risk weight) (For information) | 2,704 | 2,721 | 2,764 | 216 | 218 | 221 |
| 29. Total | 72,719 | 72,014 | 71,213 | 5,819 | 5,761 | 5,696 |

**Note**
a. Prior period comparatives have been updated to reflect the new CRR II requirements

RWAs increased over the quarter by £0.7bn to £72.7bn (September 2022: £72.0bn) primarily driven by:
- Counterparty credit risk RWAs increased £0.6bn to £1.1bn primarily due to an increase in derivatives.

# Analysis of treasury and capital risk (continued)

| Table 11: CR8 – RWEA flow statements of credit risk exposures under the advanced IRB approach | Three months ended 31.12.22 (£m) | Twelve months ended 31.12.22$^a$ (£m) |
| :--- | :---: | :---: |
| 1. Risk weighted exposure amount as at the end of the previous reporting period | 51,171 | 49,853 |
| 2. Asset size | (396) | 957 |
| 3. Asset quality | 609 | (1,763) |
| 4. Model updates | — | — |
| 5. Methodology and policy | (467) | 2,217 |
| 6. Acquisitions and disposals | (101) | (449) |
| 7. Foreign exchange movements | — | — |
| 8. Other | — | — |
| 9. Risk weighted exposure amount as at the end of the reporting period | 50,815 | 50,815 |

**Note**
a. Opening balance has been updated to exclude Securitisation and non-credit obligation assets as per CRR II guidelines.

Three months ended advanced credit risk RWAs decreased by £0.4bn to £50.8bn primarily driven by:
- A £0.4bn decrease in asset size primarily driven by write-off of balances with de minimis recovery expectations in UK cards and unsecured loans.
- A £0.6bn increase in RWA due to asset quality primarily driven by movements in risk parameters.
- A £0.5bn decrease in methodology and policy primarily driven by implementation of IRB roadmap changes.

Twelve months ended advanced credit risk RWAs increased by £1.0bn to £50.8bn primarily driven by:
- A £1.0bn increase in asset size primarily driven by mortgage growth.
- A £1.8bn decrease in asset quality primarily driven by the benefit in mortgages from an increase in the House Price Index (HPI).
- A £2.2bn increase in methodology and policy primarily relating to implementation of 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 UKLRF definition for leverage exposure and Tier 1 capital as at 31 December 2022.

| Table 12: LR1 - Summary of reconciliation of accounting assets and leverage ratio exposures$^a,b$ | As at 31.12.22 (£m) |
| :--- | :---: |
| 1. Total assets as per published financial statements | 312,179 |
| 2. Adjustment for entities which are consolidated for accounting purposes but are outside the scope of prudential consolidation | 116 |
| 4. Adjustment for exemption of exposures to central banks | (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 | 185 |
| 9. Adjustment for securities financing transactions (SFTs) | 3 |
| 10. Adjustment for off-balance sheet items (i.e. conversion to credit equivalent amounts of off-balance sheet | 8,193 |
| 11. Adjustment for prudent valuation adjustments and specific and general provisions which have reduced Tier 1 capital | (95) |
| 12. Other adjustments | (10,653) |
| 13. Total exposure measure | 250,092 |

**Notes**
a. Leverage measures are calculated applying the transitional arrangements of the CRR as amended by CRR II.
b. No comparatives are provided as this reflects disclosure requirements under the UKLRF from 1 January 2022.

# Analysis of treasury and capital risk (continued)

| Table 13: LR2 - Leverage ratio common disclosure$^a,b$ | 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) | 304,562 |
| 3. Deductions of receivables assets for cash variation margin provided in derivatives transactions | (415) |
| 6. Asset amounts deducted in determining tier 1 capital (leverage) | (3,699) |
| 7. Total on-balance sheet exposures (excluding derivatives and SFTs) | 300,448 |
| **Derivative exposures** | |
| 8. Replacement cost associated with SA-CCR derivatives transactions (i.e. net of eligible cash variation margin) | 33 |
| 9. Add-on amounts for potential future exposure associated with SA-CCR derivatives transactions | 763 |
| 13. Total derivatives exposures | 796 |
| **Securities financing transaction (SFT) exposures** | |
| 14. Gross SFT assets (with no recognition of netting), after adjustment for sales accounting transactions | 2,547 |
| 15. Netted amounts of cash payables and cash receivables of gross SFT assets | (2,070) |
| 16. Counterparty credit risk exposure for SFT assets | 3 |
| 18. Total securities financing transaction exposures | 480 |
| **Other off-balance sheet exposures** | |
| 19. Off-balance sheet exposures at gross notional amount | 59,073 |
| 20. Adjustments for conversion to credit equivalent amounts | (50,880) |
| 21. General provisions deducted in determining tier 1 capital (leverage) and specific provisions associated with off balance sheet exposures | (47) |
| 22. Off-balance sheet exposures | 8,146 |
| **Capital and total exposure measure** | |
| 23. Tier 1 capital (leverage) | 13,261 |
| 24. Total exposure measure including claims on central banks | 309,870 |
| UK-24a. (-) Claims on central banks excluded | (59,778) |
| UK-24b. Total exposure measure excluding claims on central banks | 250,092 |
| **Leverage ratio** | |
| 25. Leverage ratio excluding claims on central banks (%) | 5.3% |
| UK-25a. Fully loaded ECL accounting model leverage ratio excluding claims on central banks (%) | 5.3% |
| UK-25b. Leverage ratio excluding central bank reserves as if the temporary treatment of unrealised gains and losses measured at fair value through other comprehensive income had not been applied (%) | 5.3% |
| UK-25c. Leverage ratio including claims on central banks (%) | 4.3% |
| 26. Regulatory minimum leverage ratio requirement (%) | 3.3% |
| **Additional leverage ratio disclosure requirements - leverage ratio buffers** | |
| 27. Leverage ratio buffer (%) | 0.7% |
| UK-27a. Of which: G-SII or O-SII additional leverage ratio buffer (%) | 0.4% |
| UK-27b. Of which: countercyclical leverage ratio buffer (%) | 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 | 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 | 477 |
| UK-31. Average total exposure measure including claims on central banks | 310,486 |
| UK-32. Average total exposure measure excluding claims on central banks | 251,425 |
| UK-33. Average leverage ratio including claims on central banks | 4.3% |
| UK-34. Average leverage ratio excluding claims on central banks | 5.3% |

**Notes**
a. Capital and leverage measures are calculated applying the transitional arrangements of the CRR as amended by CRR II.
b. No comparatives are provided as this reflects disclosure requirements under the UKLRF from 1 January 2022.
c. As at 31 December 2022, Barclays Bank UK Group had not elected to apply the temporary treatment specified in Article 468 of the CRR, amended by Regulation EU 2020/873, resulting in the capital and leverage ratios reflecting the full impact of unrealised gains and losses measured at fair value through other comprehensive income.

# Analysis of treasury and capital risk (continued)

| Table 14: LR3 - Split-up of on balance sheet exposures (excluding derivatives, SFTs and exempted exposures)$^a$ | As at 31.12.22 (£m) |
| :--- | :---: |
| UK-1. Total on-balance sheet exposures (excluding derivatives, SFTs, and exempted exposures), of which: | 244,369 |
| UK-2. Trading book exposures | 54 |
| UK-3. Banking book exposures, of which: | 244,315 |
| UK-4. Covered bonds | 294 |
| UK-5. Exposures treated as sovereigns | 25,892 |
| UK-6. Exposures to regional governments, MDB, international organisations and PSE not treated as sovereigns | 4,622 |
| UK-7. Institutions | 4,111 |
| UK-8. Secured by mortgages of immovable properties | 161,551 |
| UK-9. Retail exposures | 18,086 |
| UK-10. Corporates | 10,897 |
| UK-11. Exposures in default | 2,195 |
| UK-12. Other exposures (e.g. equity, securitisations, and other non-credit obligation assets) | 16,667 |

**Note**
a. No comparatives are provided as this reflects disclosure requirements under the UKLRF from 1 January 2022.

# Analysis of treasury and capital risk (continued)

| Table 15: LIQ1 - Liquidity coverage ratio | As at 31.12.22 (£m) | As at 30.09.22 (£m) | As at 30.06.22 (£m) | As at 31.03.22 (£m) |
| :--- | :---: | :---: | :---: | :---: |
| **Liquidity coverage ratio (period end)** | | | | |
| Total high quality liquid assets (HQLA) | 79,442 | 81,750 | 83,201 | 81,140 |
| Total net cash outflows | 43,411 | 44,802 | 44,872 | 43,411 |
| Liquidity coverage ratio (%) (period end) | 183% | 182% | 185% | 187% |

| Table 15: LIQ1 - Liquidity coverage ratio (average) | Total unweighted value (average) (31.12.22 - 31.03.22) | Total weighted value (average) As at 31.12.22 (£m) | Total weighted value (average) As at 30.09.22 (£m) | Total weighted value (average) As at 30.06.22 (£m) | Total weighted value (average) As at 31.03.22 (£m) |
| :--- | :---: | :---: | :---: | :---: | :---: |
| UK1a. Number of data points used in calculation of averages$^a$ | 12 | 12 | 12 | 12 | 12 |
| **High-quality liquid assets** | | | | | |
| 1. Total high-quality liquid assets (HQLA) | | 81,791 | 82,528 | 81,548 | 80,530 |
| **Cash outflows** | | | | | |
| 2. Retail deposits and deposits from small business customers, of which: | 221,979 | 17,207 | 17,246 | 17,089 | 16,863 |
| 3. Stable deposits | 138,939 | 6,947 | 6,977 | 6,981 | 6,977 |
| 4. Less stable deposits | 82,286 | 10,248 | 10,256 | 10,097 | 9,875 |
| 5. Unsecured wholesale funding, of which: | 39,619 | 18,912 | 18,203 | 17,436 | 16,622 |
| 6. Operational deposits (all counterparties) and deposits in networks of cooperative banks | 7,070 | 1,629 | 1,596 | 1,551 | 1,522 |
| 7. Non-operational deposits (all counterparties)$^b$ | 27,266 | 12,000 | 11,974 | 11,734 | 11,478 |
| 8. Unsecured debt | 5,283 | 5,283 | 4,633 | 4,151 | 3,623 |
| 9. Secured wholesale funding | 81 | 81 | 74 | 74 | 73 |
| 10. Additional requirements, of which: | 9,285 | 4,553 | 4,904 | 5,249 | 5,526 |
| 11. Outflows related to derivative exposures and other collateral requirements | 3,889 | 3,889 | 4,057 | 4,195 | 4,317 |
| 12. Outflows related to loss of funding on debt products | 286 | 285 | 264 | 264 | 264 |
| 13. Credit and liquidity facilities | 5,110 | 379 | 583 | 790 | 944 |
| 14. Other contractual funding obligations | 467 | 91 | 21 | — | — |
| 15. Other contingent funding obligations | 54,509 | 4,462 | 4,137 | 3,919 | 3,753 |
| 16. Total cash outflows | | 45,306 | 44,584 | 43,766 | 42,837 |
| **Cash inflows** | | | | | |
| 17. Secured lending (e.g. reverse repos) | 2,003 | 0 | — | — | — |
| 18. Inflows from fully performing exposures | 1,259 | 679 | 745 | 826 | 911 |
| 19. Other cash inflows$^c$ | 2,458 | 661 | 657 | 606 | 561 |
| 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) | 0 | 0 | — | — | — |
| UK-19b. (Excess inflows from a related specialised credit institution) | 0 | 0 | — | — | — |
| 20. Total cash inflows | 5,720 | 1,340 | 1,401 | 1,432 | 1,472 |
| UK-20a. Fully exempt inflows | — | 0 | — | — | — |
| UK-20b. Inflows subject to 90% cap | — | 0 | — | — | — |
| UK-20c. Inflows subject to 75% cap | 5,720 | 1,340 | 1,401 | 1,432 | 1,472 |
| UK-21. Liquidity buffer | | 81,791 | 82,528 | 81,548 | 80,530 |
| 22. Total net cash outflows | | 43,966 | 43,183 | 42,334 | 41,365 |
| 23. Liquidity coverage ratio (%) (average) | | 186% | 191% | 193% | 195% |

**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)

High quality liquid assets as at 31 December 2022 was £79bn (September 2022: £82bn) and the spot liquidity coverage ratio (LCR) remained significantly above the 100% regulatory requirement at 183% (September 2022: 182%), equivalent to a surplus of £36bn (September 2022: £37bn). The decrease in the high quality liquid assets was mainly driven by lower customer deposits. A slight decrease in net cash outflows, related to lower customer deposits and short term commercial paper balances partly offset by covered bonds due to mature, resulted in the LCR increasing modestly.

The trailing 12 month-end average LCR to 31 December 2022 declined slightly to 186% (September 2022: 191%).

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 PLC. Barclays Bank UK PLC continued to issue in the shorter-term markets and maintain capacity to issue from secured funding programmes. This funding capacity enables Barclays Bank UK PLC to maintain its stable and diversified funding base.

Barclays Bank UK PLC 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. Barclays Bank UK Group total borrowing remained at £15.0bn outstanding at the year-end.

# Analysis of treasury and capital risk (continued)

| Table 16: LIQ2 - Net Stable funding ratio (NSFR) | | | | | |
| :--- | :---: | :---: | :---: | :---: | :---: |
| **As at 31 December 2022** | No maturity (£m) | < 6 months (£m) | 6 months to < 1yr (£m) | ≥ 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 | 12,775 | — | — | — | 12,775 |
| 3. Other capital instruments | — | 592 | 620 | 10,318 | 10,628 |
| 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 available stable funding (ASF) | | | | | 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 | 177,747 | 140,988 |
| 18. Performing securities financing transactions with financial customers collateralised by Level 1 HQLA subject to 0% haircut | — | 1,467 | 5 | 26 | 96 |
| 19. Performing securities financing transactions with financial customer collateralised by other assets and loans and advances to financial institutions | — | 1,711 | 296 | 18,565 | 25,611 |
| 20. Performing loans to non- financial corporate clients, loans to retail and small business customers, and loans to sovereigns, and PSEs, of which: | — | 6,141 | 4,281 | 137,297 | 94,454 |
| 21. With a risk weight of less than or equal to 35% under the Basel II Standardised Approach for credit risk | — | 6,141 | 4,281 | 137,297 | 94,454 |
| 22. Performing residential mortgages, of which: | — | 2,581 | 1,913 | 21,859 | 20,827 |
| 23. With a risk weight of less than or equal to 35% under the Basel II Standardised Approach for credit risk | — | 2,581 | 1,913 | 21,859 | 20,827 |
| 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 | — | — | — | — | 0 |
| 25. Interdependent assets | — | — | — | — | — |
| 26. Other assets: | — | 6,598 | — | 10,366 | 11,635 |
| 27. Physical traded commodities | — | — | — | — | 0 |
| 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 | — | 45,016 | — | — | 2,251 |
| 33. Total RSF | | | | | 158,156 |
| 34. Net Stable Funding Ratio (%) | | | | | 168% |

**Note**
a. Net Stable Funding Ratio is computed as a trailing average of the last four spot quarter end positions. No prior comparative available.

As at 31 December 2022, the trailing average NSFR for the last four spot quarter end positions was 168%, equivalent to a surplus of £108bn 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) and net interest income (NII) from the six standardised interest rate shock scenarios defined in the PRA Rulebook.

| Table 17: IRRBB1 - Quantitative information on IRRBB$^a$ | ∆EVE As at 31.12.22 (£m) | ∆EVE As at 30.06.22 (£m) | ∆NII As at 31.12.22 (£m) | ∆NII As at 30.06.22 (£m) | Tier 1 capital As at 31.12.22 (£m) | Tier 1 capital As at 30.06.22 (£m) |
| :--- | :---: | :---: | :---: | :---: | :---: | :---: |
| 10. Parallel shock up | (1,072) | (1,106) | 310 | 184 | | |
| 20. Parallel shock down | 369 | 124 | (654) | (968) | | |
| 30. Steepener shock | (336) | (160) | | | | |
| 40. Flattener shock | (387) | (599) | | | | |
| 50. Short rates shock up | (980) | (986) | | | | |
| 60. Short rates shock down | 173 | 105 | | | | |
| 70. Maximum | (1,072) | (1,106) | (654) | (968) | | |
| 80. Tier 1 capital | | | | | 13,261 | 13,096 |

**Note**
a. Comparatives are provided to June 2022 as disclosure requirements have only been effective from 1 January 2022.

The maximum EVE loss under the six scenarios was £1,072m under the parallel up scenario as of December 2022.

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 £654m as of December 2022. The material driver of the parallel down scenario is the Bank’s exposure to margin compression risk and timing of pricing changes to deposits across the Retail Banking, Business Banking and Private Bank businesses. The reduction in the Bank’s NII sensitivity to a parallel down shock is driven by reduced levels of margin compression risk in customer deposits.

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)$^d$ | 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) |
| :--- | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: |
| **As at 31 December 2022** | | | | | | | | | | |
| 1. Market price uncertainty | — | 22 | — | 0 | — | — | 61 | 42 | 11 | 31 |
| 2. Set not applicable in the UK | — | — | — | — | — | — | — | — | 0 | 0 |
| 3. Close-out cost | — | 3 | — | — | — | — | — | 2 | 2 | 0 |
| 4. Concentrated positions | — | — | — | — | — | — | — | — | 0 | 0 |
| 5. Early termination | — | — | — | — | — | — | — | — | 0 | 0 |
| 6. Model risk | — | — | — | — | — | — | — | — | 0 | 0 |
| 7. Operational risk | — | 1 | — | 3 | — | — | — | 4 | 1 | 3 |
| 8. Set not applicable in the UK | — | — | — | — | — | — | — | — | 0 | 0 |
| 9. Set not applicable in the UK | — | — | — | — | — | — | — | — | 0 | 0 |
| 10. Future administrative costs | — | — | — | — | — | — | — | — | 0 | 0 |
| 11. Set not applicable in the UK | — | — | — | — | — | — | — | — | 0 | 0 |
| 12. Total Additional Valuation | — | 26 | — | 3 | — | — | 61 | 48 | 14 | 34 |

**Notes**
a. Barclays Bank UK PLC’s implementation of PVA means that amounts cannot be easily classified as banking book or trading book. In the table we have provided the most material contributors to Banking book PVA, including a portfolio of longer dated non-asset backed loans made to ESHLA counterparties.
b. Significant contributors to PVA include trading book derivative portfolios and banking book non-asset backed loans held at fair value.
c. A diversification reduction factor of 50% is applied to uncertainty after all regulatory exclusions and offsets, where permitted by CRR.
d. No comparatives are provided as this is a new disclosure requirement from 1st January 2022.

# Analysis of credit risk

# Analysis of credit risk (continued)

## Analysis of capital requirements and exposures for credit risk

| Table 19: CR4 - Standardised credit risk exposure and CRM effect | 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 (%) |
| :--- | :---: | :---: | :---: | :---: | :---: | :---: |
| **As at 31 December 2022** | | | | | | |
| 1. Central governments or central banks | 82,422 | 27,787 | 90,913 | 36,379 | — | 0% |
| 2. Regional governments or local authorities | 4,990 | — | 5,168 | — | 815 | 16% |
| 3. Public sector entities | 1,704 | 3 | 526 | 1 | 105 | 20% |
| 4. Multilateral development banks | 1,157 | — | 1,157 | — | — | 0% |
| 5. International organisations | — | — | — | — | — | 0% |
| 6. Institutions | 4,108 | 344 | 3,769 | 38 | 819 | 22% |
| 7. Corporates | 2,907 | 1,555 | 2,432 | 506 | 946 | 32% |
| 8. Retail | 6,286 | 3,532 | 832 | — | 622 | 75% |
| 9. Secured by mortgages on immovable property | 2,427 | 412 | 2,428 | — | 918 | 38% |
| 10. Exposures in default | 1,143 | 1 | 217 | — | 271 | 125% |
| 11. Exposures associated with particularly high risk | 8 | — | 8 | — | 12 | 150% |
| 12. Covered bonds | 294 | — | 294 | — | 29 | 10% |
| 13. Institutions and corporates with a short-term credit assessment | — | — | — | — | — | — |
| 14. Collective investment undertakings | — | — | — | — | — | — |
| 15. Equity | 20 | — | 20 | — | 49 | 250% |
| 16. Other items | 944 | — | 944 | — | 241 | 26% |
| 17. Total | 108,410 | 33,634 | 108,708 | 36,924 | 4,827 | 3% |
| **As at 31 December 2021** | | | | | | |
| 17. Total | 118,959 | 28,777 | 119,462 | 31,356 | 4,647 | 3% |

Standardised credit risk RWAs remained stable at £4.8bn (December 2021: £4.6bn).

# Analysis of credit risk (continued)

| Table 20: CR5 – Standardised approach | 0% (£m) | 2% (£m) | 4% (£m) | 10% (£m) | 20% (£m) | 35% (£m) | 50% (£m) | 70% (£m) | 75% (£m) | 100% (£m) | 150% (£m) | 250% (£m) | 370% (£m) | 1250% (£m) | Others (£m) | Total (£m) | Of which unrated (£m) |
| :--- | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: |
| **As at 31 December 2022** | | | | | | | | | | | | | | | | | |
| 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 |

# Analysis of credit risk (continued)

| Table 20: CR5 – Standardised approach - continued | 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) |
| :--- | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: |
| **As at 31 December 2021** | | | | | | | | | | | | | | | | | |
| 17. Total | 134,610 | — | — | 1,071 | 11,064 | 2,423 | 43 | — | 674 | 875 | 38 | 20 | — | — | — | 150,818 | 12,920 |

Standardised Credit Risk Exposure Post-CCF and CRM decreased £5.2bn to £145.6bn primarily driven by a reduction in the carrying value of ESHLA due to rising interest rates within 20% risk weight category.

# Analysis of credit risk (continued)

| Table 21: CR7 – IRB approach – Effect on the RWEAs of credit derivatives used as CRM techniques | Pre-credit derivatives risk weighted exposure amount As at 31 December 2022 (£m) | Pre-credit derivatives risk weighted exposure amount As at 31 December 2021 (£m) | Actual risk weighted exposure amount As at 31 December 2022 (£m) | Actual risk weighted exposure amount As at 31 December 2021 (£m) |
| :--- | :---: | :---: | :---: | :---: |
| 5. Exposures under AIRB | 50,326 | 49,352 | 50,326 | 49,352 |
| 6. Central governments and central banks | — | — | — | — |
| 7. Institutions | 38 | 29 | 38 | 29 |
| 8. Corporates$^a$ | 6,453 | 6,723 | 6,453 | 6,723 |
| 8.1. of Corporates - which SMEs | 5,173 | 4,593 | 5,173 | 4,593 |
| 9. Retail | 43,835 | 42,600 | 43,835 | 42,600 |
| 9.1. of which Retail – SMEs - Secured by immovable property collateral | — | — | — | — |
| 9.2. of which Retail – non-SMEs - Secured by immovable property collateral | 25,436 | 24,841 | 25,436 | 24,841 |
| 9.3. of which Retail – Qualifying revolving | 11,799 | 10,946 | 11,799 | 10,946 |
| 9.4. of which Retail – SMEs - Other | 2,892 | 3,176 | 2,892 | 3,176 |
| 9.5. of which Retail – Non-SMEs- Other | 3,708 | 3,637 | 3,708 | 3,637 |
| 10. Total | 50,326 | 49,352 | 50,326 | 49,352 |

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

Advanced credit risk RWAs increased by £1.0bn to £50.3bn primarily driven by implementation of IRB roadmap changes and growth in mortgages. This was partially offset by the benefit in mortgages from an increase in the HPI.

# Analysis of credit risk (continued)

| Table 22: CR7-A – IRB approach – Disclosure of the extent of the use of CRM techniques$^a$ | 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 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 |

**Note**
a. No comparatives are provided as this is a new disclosure requirement from 1 January 2022.

# 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$^a$:
- Standard & Poor’s
- Moody’s
- Fitch
- DBRS
- Kroll Bond Rating Agency

These ratings are used in the calculation of risk weights for the 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 defined in the table below$^b$. After being assigned to a specific quality step, exposure class and maturity are then used to determine the risk weight percentage. The following table is 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$^b$ | 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 |

**Notes**
a. DBRS and Kroll Bond Rating Agency are used to calculate risk weights for securitisation exposures only. Please see page 111 for further details.
b. The mapping of external ratings to credit quality steps applicable as at 31.12.21 are found in Commission Implementing Regulation (EU) 2016/1799 as amended (for non-securitisation exposures) and PRA Supervisory Statement SS10/18 (for securitisation positions).

# Analysis of credit risk (continued)

| Table 24: Credit quality steps and risk weights under the standardised approach | | Institutions (includes banks) | | | |
| :--- | :---: | :---: | :---: | :---: | :---: |
| **Credit Quality Step** | **Corporates** | **Sovereign method** | **Credit assessment method: Sovereign method** | **Credit assessment method: Maturity > 3 months** | **Credit assessment method: Maturity 3 months or less** | **Central governments or central banks** |
| Credit Quality Step 1 | 20% | 20% | 20% | 20% | 20% | 0% |
| Credit Quality Step 2 | 50% | 50% | 50% | 50% | 20% | 20% |
| Credit Quality Step 3 | 100% | 100% | 100% | 50% | 20% | 50% |
| Credit Quality Step 4 | 100% | 100% | 100% | 100% | 50% | 100% |
| Credit Quality Step 5 | 150% | 100% | 100% | 100% | 50% | 100% |
| Credit Quality Step 6 | 150% | 150% | 150% | 150% | 150% | 150% |

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%.

Other items are generally assigned a risk weight of 100%, unless they relate to cash in hand (0%) or items in the course of collection (20%).

# 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 etc. See page 105 for a discussion of IRB models.

| Table 25: Internal default grade probabilities and mapping to external ratings | 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% | — | — | Satisfactory | Ba2, Ba3 | BB, BB- |
| | 0.75 to < 2.50 | 12 | — | 1.10% | 1.20% | Satisfactory | 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% | — | — | | B1 | B+ |
| | 2.50 to < 10.00 | 15 | — | 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% | 10.00% | — | | B3, Caa1 | CCC+ |
| | 10.00 to < 100.00 | 19 | — | — | 11.35% | Higher risk | B3, Caa1 | CCC+ |
| | | 20 | 11.35% | 15.00% | 18.65% | | Caa2 | CCC |
| | | 21 | 18.65% | 30.00% | 99.99% | | Caa3, Ca, C | CCC-, CC+, CC, C |
| | 100.00 (Default) | 22 | 100 % | | | Credit Impaired | D | D |

# Analysis of credit risk (continued)

| Table 26: CR6-A – Scope of the use of IRB and SA approaches$^a$ | 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. No comparatives are provided as this is a new disclosure requirement from 1 January 2022.

# 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 (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 | 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** | | | | | | | | | | | | |
| Total (all exposure classes) | 187,273 | 53,157 | 54.9% | 216,502 | | 23,380,437 | | 4 | 50,326 | 23.2% | 1,559 | (1,601) |
| **As at 31 December 2021** | | | | | | | | | | | | |
| Total (all exposure classes) | 186,911 | 55,384 | 39.8% | 215,270 | | 23,242,171 | | 4 | 49,352 | 22.9% | 1,624 | (2,019) |

**Note**
a. Current period average CCF is calculated on a weighted average basis in line with revised disclosure requirements that took effect from 1 January 2022 and reflects where the modelled EAD is higher than the on and off balance sheet exposures pre CCF. For prior period the average CCF was calculated on an aggregate level.

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 | 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 |
| **As at 31 December 2021** | | | | | | | | | | | | |
| **Subtotal (exposure class)** | 30 | 3 | 223.2% | 34 | 14.6% | 65 | 26.3% | 3 | 29 | 86.2% | 0 | 0 |

**Note**
a. Current period average CCF is calculated on a weighted average basis in line with revised disclosure requirements that took effect from 1 January 2022 and reflects where the modelled EAD is higher than the on and off balance sheet exposures pre CCF. For prior period the average CCF was calculated on an aggregate level.

The RWA density associated with institutions increased 17.0% to 103.2% primarily driven by immaterial exposure movement to default PD band.

# Analysis of credit risk (continued)

| Table 29: CR6 – IRB approach – Credit risk exposures by exposure class and PD range for corporates - other | 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) |
| **As at 31 December 2021** | | | | | | | | | | | | |
| **Subtotal (exposure class)** | 4,798 | 345 | 65.9% | 5,036 | 0.8% | 1,453 | 11.0% | 5 | 2,130 | 42.3% | 7 | (11) |

**Note**
a. Current period average CCF is calculated on a weighted average basis in line with revised disclosure requirements that took effect from 1 January 2022 and reflects where the modelled EAD is higher than the on and off balance sheet exposures pre CCF. For prior period the average CCF was calculated on an aggregate level.

The RWA density associated with corporates other increased 2.2% to 44.5% primarily due to regulatory changes relating to the implementation of IRB roadmap changes.

# Analysis of credit risk (continued)

| Table 30: CR6 – IRB approach – Credit risk exposures by exposure class and PD range for corporates - SME | 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 | 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 | 43.8% | 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% | 418 | 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) |
| **As at 31 December 2021** | | | | | | | | | | | | |
| **Subtotal (exposure class)** | 6,355 | 881 | 34.9% | 6,380 | 14.3% | 6,693 | 21.6% | 3 | 4,593 | 72.0% | 85 | (236) |

**Note**
a. Current period average CCF is calculated on a weighted average basis in line with revised disclosure requirements that took effect from 1 January 2022 and reflects where the modelled EAD is higher than the on and off balance sheet exposures pre CCF. For prior period the average CCF was calculated on an aggregate level.

The RWA density associated with corporates SME increased 20.9% to 92.9% primarily due to regulatory changes relating to the implementation of 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 | 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 | 6,425.3% | 260 | 0.1% | 155,583 | 45.3% | 22 | 8.6% | 0 | 0 |
| 0.00 to <0.10 | 7 | 1 | 15,310.1% | 188 | 0.1% | 121,628 | 44.3% | 13 | 7.2% | 0 | 0 |
| 0.10 to <0.15 | 14 | 3 | 2,317.2% | 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) |
| **As at 31 December 2021** | | | | | | | | | | | | |
| **Subtotal (exposure class)** | 5,601 | 1,593 | 136.8% | 7,229 | 11.1% | 1,143,046 | 36.1% | 3,176 | 43.9% | 158 | (148) |

**Note**
a. Current period average CCF is calculated on a weighted average basis in line with revised disclosure requirements that took effect from 1 January 2022 and also reflects where the modelled EAD is higher than the on and off balance sheet exposures pre CCF. For prior period, the average CCF was calculated on an aggregate level.

The RWA density associated with retail SMEs decreased 1.7% to 42.2% primarily due to a decrease in lending within higher PD bands.

# Analysis of credit risk (continued)

| Table 32: CR6 – IRB approach – Credit risk exposures by exposure class and PD range for secured retail - non SME | 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 | 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 | 16.6% | 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) |
| **As at 31 December 2021** | | | | | | | | | | | | |
| **Subtotal (exposure class)** | 156,410 | 11,314 | 97.7% | 163,879 | 2.3% | 922,905 | 11.6% | 24,841 | 15.2% | 339 | (78) |

**Note**
a. Current period average CCF is calculated on a weighted average basis in line with revised disclosure requirements that took effect from 1 January 2022 and reflects where the modelled EAD is higher than the on and off balance sheet exposures pre CCF. For prior period the average CCF was calculated on an aggregate level.

The RWA density associated with secured retail non SMEs remained broadly stable at 15.1% primarily due to growth in mortgages, partially offset by a reduction following HPI refresh.

# Analysis of credit risk (continued)

| Table 33: CR6 – IRB approach – Credit risk exposures by exposure class and PD range for revolving retail | 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 | 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) |
| **As at 31 December 2021** | | | | | | | | | | | | |
| **Subtotal (exposure class)** | 9,730 | 41,247 | 28.9% | 28,725 | 3.5% | 20,608,753 | 77.5% | 10,946 | 38.1% | 772 | (1,310) |

**Note**
a. Current period average CCF is calculated on a weighted average basis in line with revised disclosure requirements that took effect from 1 January 2022 and reflects where the modelled EAD is higher than the on and off balance sheet exposures pre CCF. For prior period the average CCF was calculated on an aggregate level.

The RWA density associated with revolving retail increased 3.6% to 41.7% primarily due to regulatory changes relating to the implementation of IRB roadmap changes.

# Analysis of credit risk (continued)

| Table 34: CR6 – IRB approach – Credit risk exposures by exposure class and PD range for other retail - non SME | 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 | 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 | 0 | — | 434 | 0.6% | 53,592 | 75.7% | 387 | 89.1% | 2 | (3) |
| 0.75 to <2.50 | 1,195 | 0 | — | 1,195 | 1.4% | 138,075 | 76.4% | 1,215 | 101.7% | 14 | (15) |
| 0.75 to <1.75 | 909 | 0 | — | 909 | 1.2% | 105,602 | 76.3% | 869 | 95.7% | 9 | (9) |
| 1.75 to <2.5 | 286 | 0 | — | 286 | 2.1% | 32,473 | 76.8% | 346 | 120.8% | 5 | (6) |
| 2.50 to <10.00 | 736 | 0 | — | 736 | 4.6% | 84,674 | 77.3% | 994 | 135.1% | 28 | (30) |
| 2.5 to <5 | 496 | 0 | — | 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) |
| **As at 31 December 2021** | | | | | | | | | | | | |
| **Subtotal (exposure class)** | 3,987 | 1 | 97.9% | 3,988 | 7.7% | 559,265 | 76.0% | 3,637 | 91.2% | 262 | (236) |

**Note**
a. Current period average CCF is calculated on a weighted average basis in line with revised disclosure requirements that took effect from 1 January 2022 and reflects where the modelled EAD is higher than the on and off balance sheet exposures pre CCF. For prior period the average CCF was calculated on an aggregate level.

The RWA density associated with other retail non SME remained broadly stable at 92.5% (December 2021: 91.2%).

# Analysis of credit risk (continued)

| Table 35: CR10 – Specialised lending and equity exposures under the simple risk weighted approach$^a$ | On-balance sheet exposure (£m) | Off-balance sheet exposure (£m) | Risk weight (%) | Exposure value (£m) | Risk weighted exposure amount (£m) | Expected loss amount (£m) |
| :--- | :---: | :---: | :---: | :---: | :---: | :---: |
| **Specialised lending : Income-producing real estate and high volatility commercial real estate (Slotting approach)** | | | | | | |
| **As at 31 December 2022** | | | | | | |
| Category 1: Less than 2.5 years | 97 | 15 | 50% | 98 | 39 | — |
| Category 1: 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 |
| Category 2: 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 |
| Category 3: 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 |
| Category 4: Equal to or more than 2.5 years | 7 | — | 250% | 7 | 13 | 1 |
| Category 5: Less than 2.5 years | 48 | 5 | — | 48 | — | 24 |
| Category 5: Equal to or more than 2.5 years | 38 | — | — | 38 | — | 19 |
| **Total: Less than 2.5 years** | 331 | 44 | — | 337 | 161 | 26 |
| **Total: Equal to or more than 2.5 years** | 529 | — | — | 530 | 330 | 23 |

**Note**
a. No comparatives are provided as this is a new disclosure requirement from 1 January 2022.

# Analysis of credit risk (continued)

| Table 36: CR1 - Performing and non-performing exposures and related provisions$^a,b$ | Gross carrying amount/nominal | | | | Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions | | | | | | Accumulated partial write-off (£m) | Collateral and financial guarantees received | |
| :--- | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: |
| | Performing exposures: Of which Stage 1$^c$ (£m) | Performing exposures: Of which Stage 2 (£m) | Non-performing exposures: Of which Stage 2 (£m) | Non-performing exposures: Of which Stage 3 (£m) | Performing exposures – accumulated impairment and provisions: Of which Stage 1 (£m) | Performing exposures – accumulated impairment and provisions: Of which Stage 2 (£m) | Non-performing exposures – accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions: Of which Stage 2 (£m) | Non-performing exposures – accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions: Of which Stage 3 (£m) | | On performing exposures (£m) | On non performing exposures (£m) |
| **As at 31 December 2022** | | | | | | | | | | | |
| 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 |

**Notes**
a. Structure of the table updated to include a new disclosure line of Cash balances at central banks and other demand deposits.
b. No comparatives are provided as this is a new disclosure requirement from 1 January 2022.
c. 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 37: CR1-A - Maturity of exposures$^a$ | On demand (£m) | <= 1 year (£m) | > 1 year <= 5 years (£m) | > 5 years (£m) | No stated maturity (£m) | Total (£m) |
| :--- | :---: | :---: | :---: | :---: | :---: | :---: |
| 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 |

**Note**
a. No comparatives are provided as this is a new disclosure requirement from 1 January 2022.

| Table 38: CR2 - Changes in the stock of non-performing loans and advances$^a$ | Gross carrying amount (£m) |
| :--- | :---: |
| 010. Initial stock of non-performing loans and advances | 3,963 |
| 020. Inflows to non-performing portfolios | 3,333 |
| 030. Outflows from non-performing portfolios | (723) |
| 040. Outflows due to write-offs | (625) |
| 050. Outflow due to other situations$^a$ | (2,461) |
| 060. Final stock of non-performing loans and advances | 3,487 |

**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.

| Table 39: CR3 – CRM techniques overview: Disclosure of the use of credit risk mitigation techniques$^a$ | 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 | 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 | — | — | — |

**Note**
a. No comparatives are provided as this is a new disclosure requirement from 1 January 2022.

# Analysis of credit risk (continued)

| Table 40: CQ1 - Credit quality of forborne exposures | 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: Of which collateral and financial guarantees received on non performing exposures with forbearance measures (£m) |
| :--- | :---: | :---: | :---: | :---: | :---: | :---: |
| **As at 31 December 2022** | | | | | | |
| 005. Cash balances at central banks and other demand deposits$^a$ | — | — | — | — | — | — |
| 010. Loans and Advances | 634 | 741 | 701 | (75) | (139) | 393 |
| 020. Central banks | — | — | — | — | — | — |
| 030. General governments | — | — | — | — | — | — |
| 040. Credit institutions | — | — | — | — | — | — |
| 050. Other financial corporations | 1 | 1 | — | — | — | — |
| 060. Non-financial corporations | 354 | 347 | 342 | (22) | (30) | 260 |
| 070. Households | 279 | 393 | 359 | (53) | (109) | 133 |
| 080. Debt securities | — | — | — | — | — | — |
| 090. Loan commitments given | 117 | 49 | 41 | — | — | 2 |
| 100. Total | 751 | 790 | 742 | (75) | (139) | 395 |
| **As at 31 December 2021** | | | | | | |
| 100. Total | 841 | 983 | 886 | (86) | (288) | 258 |

**Note**
a. Cash balances at central banks and other demand deposits included in the current period as this reflects revised disclosure requirements from 1 January 2022.

Decrease in Households/Non-Performing of £0.3bn is driven by write-off of balances with de minimis recovery expectations in UK cards and unsecured loans and relatively lower inflow as compared to last year.

# Analysis of credit risk (continued)

| Table 41: CQ3 - Credit quality of performing and non-performing exposures by past due days | Gross carrying amount/nominal amount: Performing exposures - Not past due or past due ≤ 30 days (£m) | Gross carrying amount/nominal amount: Performing exposures - Past due > 30 days ≤ 90 days (£m) | Gross carrying amount/nominal amount: Non-performing exposures - Unlikely to pay that are not past due or are past due ≤ 90 days (£m) | Gross carrying amount/nominal amount: Non-performing exposures - Past due > 90 days ≤ 180 days (£m) | Gross carrying amount/nominal amount: Non-performing exposures - Past due > 180 days ≤ 1 year (£m) | Gross carrying amount/nominal amount: Non-performing exposures - Past due > 1 year ≤ 2 years (£m) | Gross carrying amount/nominal amount: Non-performing exposures - Past due > 2 year ≤ 5 years (£m) | Gross carrying amount/nominal amount: Non-performing exposures - Past due > 5 year ≤ 7 years (£m) | Gross carrying amount/nominal amount: Non-performing exposures - Past due > 7 years (£m) | Gross carrying amount/nominal amount: Non-performing exposures - Of which defaulted (£m) |
| :--- | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: |
| **As at 31 December 2022** | | | | | | | | | | |
| 005. Cash balances at central banks and other demand deposits | 54,090 | — | — | — | — | — | — | — | — | — |
| 010. Loans and advances | 210,053 | 561 | 3,487 | 1,419 | 522 | 610 | 556 | 241 | 43 | 96 |
| 020. Central banks | 5,571 | — | — | — | — | — | — | — | — | — |
| 030. General governments | 3,967 | — | — | — | — | — | — | — | — | — |
| 040. Credit institutions | 1,336 | — | — | — | — | — | — | — | — | — |
| 050. Other financial corporations | 298 | — | 12 | 1 | 3 | 3 | 4 | 1 | — | — |
| 060. Non-financial corporations | 23,758 | 4 | 1,651 | 366 | 289 | 445 | 337 | 139 | 34 | 41 |
| 070. Of which SMEs | 16,330 | 4 | 1,630 | 366 | 282 | 442 | 326 | 139 | 34 | 41 |
| 080. Households | 175,123 | 557 | 1,824 | 1,052 | 230 | 162 | 215 | 101 | 9 | 55 |
| 090. Debt securities | 38,510 | — | — | — | — | — | — | — | — | — |
| 100. Central banks | 48 | — | — | — | — | — | — | — | — | — |
| 110. General governments | 24,423 | — | — | — | — | — | — | — | — | — |
| 120. Credit institutions | 5,923 | — | — | — | — | — | — | — | — | — |
| 130. Other financial corporations | 7,780 | — | — | — | — | — | — | — | — | — |
| 140. Non-financial corporations | 336 | — | — | — | — | — | — | — | — | — |
| 150. Off-balance-sheet exposures | | | 289 | | | | | | | 289 |
| 220. Total | 302,653 | 561 | 3,776 | 1,419 | 522 | 610 | 556 | 241 | 43 | 96 |

# Analysis of credit risk (continued)

| Table 41: CQ3 - Credit quality of performing and non-performing exposures by past due days - continued | Not past due or past due ≤ 30 days (£m) | Past due > 30 days ≤ 90 days (£m) | Unlikely to pay that are not past due or are past due ≤ 90 days (£m) | Past due > 90 days ≤ 180 days (£m) | Past due > 180 days ≤ 1 year (£m) | Past due > 1 year ≤ 2 years (£m) | Past due > 2 year ≤ 5 years (£m) | Past due > 5 year ≤ 7 years (£m) | Past due > 7 years (£m) | Of which defaulted (£m) |
| :--- | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: |
| **As at 31 December 2021** | | | | | | | | | | |
| 005. Cash balances at central banks and other demand deposits | — | — | — | — | — | — | — | — | — | — |
| 010. Loans and advances | 282,536 | 580 | 3,963 | 1,408 | 1,024 | 731 | 323 | 271 | 60 | 146 |
| 220. Total | 310,223 | 580 | 4,209 | 1,408 | 1,024 | 731 | 323 | 271 | 60 | 146 |

# Analysis of credit risk (continued)

| Table 42: CQ4 - Quality of non-performing exposures by geography$^a$ | Gross carrying/Nominal amount: Total (£m) | Gross carrying/Nominal amount: of which: non-performing (£m) | Gross carrying/Nominal amount: of which: subject to impairment (£m) | Gross carrying/Nominal amount: of which: defaulted (£m) | Accumulated impairment (£m) | Provisions on off balance sheet commitments and financial guarantee given (£m) | Accumulated negative changes in fair value due to credit risk on non performing exposures (£m) |
| :--- | :---: | :---: | :---: | :---: | :---: | :---: | :---: |
| **As at 31 December 2022** | | | | | | | |
| On balance sheet exposures | 307,131 | 3,487 | 304,722 | 3,487 | (1,712) | — | — |
| UNITED KINGDOM | 276,620 | 3,408 | 274,211 | 3,408 | (1,703) | — | — |
| JAPAN | 15,072 | 0 | 15,072 | 0 | 0 | — | — |
| UNITED STATES | 5,101 | 3 | 5,101 | 3 | 0 | — | — |
| CANADA | 3,720 | 0 | 3,720 | 0 | 0 | — | — |
| Other Countries | 6,618 | 76 | 6,618 | 76 | (9) | — | — |
| Off balance sheet exposures | 58,882 | 289 | — | 289 | — | (47) | — |
| UNITED KINGDOM | 58,825 | 287 | — | 287 | — | (47) | — |
| Other Countries | 57 | 2 | — | 2 | — | — | — |
| **Total** | 366,013 | 3,776 | 304,722 | 3,776 | (1,712) | (47) | — |

**Note**
a. No comparatives are provided as this is a new disclosure requirement from 1 January 2022.

# Analysis of credit risk (continued)

| Table 43: CQ5 - Credit quality of loans and advances to non-financial corporations by industry$^a$ | Gross carrying amount (£m) | Of which: non-performing (£m) | Of which: loans and advances subject to impairment (£m) | Of which: defaulted (£m) | Accumulated impairment (£m) | Accumulated negative changes in fair value due to credit risk on non-performing exposures (£m) |
| :--- | :---: | :---: | :---: | :---: | :---: | :---: |
| **As at 31 December 2022** | | | | | | |
| 010. Agriculture, forestry and fishing | 3,822 | 365 | 3,820 | 365 | (147) | — |
| 020. Mining and quarrying | 8 | — | 8 | — | — | — |
| 030. Manufacturing | 698 | 58 | 698 | 58 | (19) | — |
| 040. Electricity, gas, steam and air conditioning supply | 33 | 4 | 33 | 4 | (1) | — |
| 050. Water supply | 45 | 4 | 45 | 4 | (1) | — |
| 060. Construction | 1,448 | 145 | 1,401 | 145 | (35) | — |
| 070. Wholesale and retail trade | 2,126 | 170 | 2,126 | 170 | (52) | — |
| 080. Transport and storage | 496 | 60 | 496 | 60 | (12) | — |
| 090. Accommodation and food service activities | 1,154 | 167 | 1,154 | 167 | (30) | — |
| 100. Information and communication | 433 | 42 | 433 | 42 | (12) | — |
| 120. Real estate activities | 10,033 | 265 | 8,264 | 265 | (123) | — |
| 130. Professional, scientific and technical activities | 1,028 | 90 | 1,028 | 90 | (26) | — |
| 140. Administrative and support service activities | 1,545 | 88 | 1,545 | 88 | (23) | — |
| 150. Public administration and defense, compulsory social security | 49 | — | 49 | — | — | — |
| 160. Education | 558 | 31 | 412 | 31 | (14) | — |
| 170. Human health services and social work activities | 1,069 | 64 | 1,065 | 64 | (27) | — |
| 180. Arts, entertainment and recreation | 345 | 41 | 345 | 41 | (11) | — |
| 190. Other services | 521 | 58 | 521 | 58 | (14) | — |
| 200. Total | 25,411 | 1,652 | 23,443 | 1,652 | (547) | — |

**Note**
a. No comparatives are provided as this is a new disclosure requirement from 1 January 2022.

# Analysis of counterparty credit risk

## Counterparty credit risk exposures
Counterparty credit risk (CCR) is the risk related to a counterparty defaulting before the final transaction settlement. Barclays Bank UK Group’s calculates the exposures subject to CCR using two methods: Financial Collateral Comprehensive Method (FCCM), and Mark to Market Method (MTM).

The following tables analyse counterparty credit risk exposures and risk weighted assets split by regulatory exposure classes.

| Table 44: CCR1 – Analysis of CCR exposure by approach$^a$ | Replacement cost (RC) (£m) | Potential future exposure (PFE) (£m) | EEPE (£m) | Alpha used for computing regulatory exposure value | Exposure value pre-CRM (£m) | Exposure value post-CRM (£m) | Exposure value (£m) | RWEA (£m) |
| :--- | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: |
| **As at 31 December 2022** | | | | | | | | |
| 1. SA-CCR (for derivatives) | 39 | 306 | — | 1.4 | 866 | 483 | 483 | 225 |
| 4. Financial collateral comprehensive method (for SFTs) | | | | | 6,164 | 536 | 536 | 107 |
| 6. Total | | | | | 7,030 | 1,019 | 1,019 | 332 |

**Note**
a. No comparatives are provided as this is a new disclosure requirement from 1 January 2022.

# Analysis of counterparty credit risk (continued)

| Table 45: CCR3 – Standardised approach – CCR exposures by regulatory exposure class and risk weights | 0% (£m) | 2% (£m) | 4% (£m) | 10% (£m) | 20% (£m) | 50% (£m) | 70% (£m) | 75% (£m) | 100% (£m) | 150% (£m) | Others (£m) | Total exposure value (£m) |
| :--- | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: |
| **As at 31 December 2022** | | | | | | | | | | | | |
| 1. Central governments or central banks | — | — | — | — | — | — | — | — | — | — | — | — |
| 2. Regional government or local authorities | — | — | — | — | — | — | — | — | — | — | — | — |
| 3. Public sector entities | — | — | — | — | — | — | — | — | — | — | — | — |
| 4. Multilateral development banks | — | — | — | — | — | — | — | — | — | — | — | — |
| 5. International organisations | — | — | — | — | — | — | — | — | — | — | — | — |
| 6. Institutions | — | 203 | — | — | 593 | 424 | — | — | — | — | — | 1,220 |
| 7. Corporates | — | — | — | — | — | — | — | — | 1 | — | — | 1 |
| 8. Retail | — | — | — | — | — | — | — | — | — | — | — | — |
| 9. Institutions and corporates with a short-term credit assessment | — | — | — | — | — | — | — | — | — | — | — | — |
| 10. Other items | — | — | — | — | — | — | — | — | — | — | — | — |
| 11. Total exposure value | — | 203 | — | — | 593 | 424 | — | — | 1 | — | — | 1,221 |
| **As at 31 December 2021** | | | | | | | | | | | | |
| 11. Total exposure value | — | 873 | — | — | 1,543 | 634 | — | — | 4 | — | — | 3,054 |

Counterparty Credit Risk (CCR) EAD decreased by £1.8bn to £1.2bn primarily driven by the maturity of reverse repo trades and introduction of SA-CCR.

# Analysis of counterparty credit risk (continued)

| Table 46: CCR5 – Composition of collateral for CCR exposures$^a$ | Collateral used in derivative transactions: Fair value of collateral received - Segregated (£m) | Collateral used in derivative transactions: Fair value of collateral received - Unsegregated (£m) | Collateral used in derivative transactions: Fair value of posted collateral - Segregated (£m) | Collateral used in derivative transactions: Fair value of posted collateral - Unsegregated (£m) | Collateral used in SFTs: Fair value of collateral received (£m) | Collateral used in SFTs: Fair value of posted collateral (£m) |
| :--- | :---: | :---: | :---: | :---: | :---: | :---: |
| **As at 31 December 2022** | | | | | | |
| 1. Cash | — | 432 | — | 5,174 | — | — |
| 2. Debt | 1 | 11 | 1,298 | — | 2,054 | 4,611 |
| 3. Equity | — | — | — | — | — | — |
| 4. Others | — | — | — | — | 471 | — |
| 5. Total | 1 | 443 | 1,298 | 5,174 | 2,525 | 4,611 |

**Note**
a. No comparatives are provided as this is a new disclosure requirement from 1 January 2022.

| Table 47: CCR8 - Exposures to CCPs | As at 31 December 2022 Exposure value (£m) | As at 31 December 2022 RWEA (£m) | As at 31 December 2021 Exposure value (£m) | As at 31 December 2021 RWEA (£m) |
| :--- | :---: | :---: | :---: | :---: |
| 1. Exposures to QCCPs (total) | | 16 | | 198 |
| 2. Exposures for trades at QCCPs (excluding initial margin and default fund contributions); of which | 203 | 4 | 873 | 17 |
| 3. (i) OTC derivatives | 182 | 4 | 843 | 16 |
| 4. (ii) Exchange-traded derivatives | — | — | — | — |
| 5. (iii) SFTs | 21 | — | 30 | 1 |
| 6. (iv) Netting sets where cross-product netting has been approved | — | — | — | — |
| 7. Segregated initial margin | 1,297 | | 1,514 | |
| 8. Non-segregated initial margin | — | — | — | — |
| 9. Prefunded default fund contributions | 24 | 12 | 90 | 181 |
| 10. Unfunded default fund contributions | 480 | — | | |

RWAs on overall exposures to QCCPs decreased by £0.2bn to £0.02bn driven by the introduction of SA-CCR from 1 January 2022.

### Credit valuation adjustments (CVA)
CVA measures the risk from MTM losses due to deterioration in the credit quality of a counterparty to over-the-counter derivative transactions with Barclays. It is a complement to the counterparty credit risk charge, that accounts for the risk of outright default of a counterparty.

| Table 48: CCR2 - Transactions subject to own funds requirements for CVA risk | Exposure Value (£m) | RWEA (£m) |
| :--- | :---: | :---: |
| **As at 31 December 2022** | | |
| 4. Transactions subject to the Standardised method | 480 | 735 |
| 5. Total transactions subject to own funds requirements for CVA risk | 480 | 735 |
| **As at 31 December 2021** | | |
| 4. Transactions subject to the Standardised method | 533 | 379 |
| 5. Total transactions subject to own funds requirements for CVA risk | 533 | 379 |

CVA RWA increased to £0.7bn (December 2021: £0.4bn) primarily driven by an increase in FX forward trades.

# Analysis of market risk

| Table 49: MR1 – Market risk under the standardised approach | As at 31 December 2022 RWEAs (£m) | As at 31 December 2021 RWEAs (£m) |
| :--- | :---: | :---: |
| **Outright products** | | |
| 1. Interest rate risk (general and specific) | 30 | 48 |
| 2. Equity risk (general and specific) | — | — |
| 3. Foreign exchange risk | 203 | 52 |
| 4. Commodity risk | — | — |
| **Options** | | |
| 5. Simplified approach | — | — |
| 6. Delta-plus approach | — | — |
| 7. Scenario approach | — | — |
| 8. Securitisation (specific risk) | — | — |
| 9. Total | 233 | 100 |

# Analysis of securitisation exposures

| Table 50: SEC1 - Securitisation exposures in the non-trading book$^a$ | Institution acts as originator: Traditional - STS (£m) | Institution acts as originator: Traditional - Non-STS (£m) | Institution acts as originator: Synthetic - STS (£m) | Institution acts as originator: Synthetic - Non-STS (£m) | Institution acts as originator: Sub-total (£m) | Institution acts as sponsor: Traditional - STS (£m) | Institution acts as sponsor: Traditional - Non-STS (£m) | Institution acts as sponsor: Synthetic - STS (£m) | Institution acts as sponsor: Synthetic - Non-STS (£m) | Institution acts as sponsor: Sub-total (£m) | Institution acts as investor: Traditional - STS (£m) | Institution acts as investor: Traditional - Non-STS (£m) | Institution acts as investor: Synthetic - STS (£m) | Institution acts as investor: Synthetic - Non-STS (£m) | Institution acts as investor: Sub-total (£m) |
| :--- | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: |
| **As at 31 December 2022** | | | | | | | | | | | | | | | |
| 1. Total exposures | — | 8,034 | — | 3,929 | 11,963 | — | — | — | — | — | 1,144 | 4,429 | — | — | 5,573 |
| 2. Retail (total) | — | 8,034 | — | — | 8,034 | — | — | — | — | — | 1,144 | 4,429 | — | — | 5,573 |
| 3. Residential mortgage | — | 988 | — | — | 988 | — | — | — | — | — | 1,144 | 4,429 | — | — | 5,573 |
| 4. Credit card | — | 7,046 | — | — | 7,046 | — | — | — | — | — | — | — | — | — | — |
| 5. Other retail exposures | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
| 6. Re-securitisation | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
| 7. Wholesale (total) | — | — | — | 3,929 | 3,929 | — | — | — | — | — | — | — | — | — | — |
| 8. Loans to corporates | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
| 9. Commercial mortgage | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
| 10. Lease and receivables | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
| 11. Other wholesale | — | — | — | 3,929 | 3,929 | — | — | — | — | — | — | — | — | — | — |
| 12. Re-securitisation | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |

**Note**
a. No comparatives are provided as this is a new disclosure requirement from 1 January 2022.

# Analysis of securitisation exposures (continued)

| Table 51: SEC3 - Securitisation exposures in the non-trading book and associated regulatory capital requirements - institution acting as originator or as sponsor$^a$ | Exposure values (by RW bands/deductions) - ≤20% RW (£m) | Exposure values (by RW bands/deductions) - >20% to 50% RW (£m) | Exposure values (by RW bands/deductions) - >50% to 100% RW (£m) | Exposure values (by RW bands/deductions) - >100% to <1250% RW (£m) | Exposure values (by RW bands/deductions) - 1250% RW/ deductions (£m) | Exposure values (by regulatory approach) - SEC-IRBA (£m) | Exposure values (by regulatory approach) - SEC-ERBA (including IAA) (£m) | Exposure values (by regulatory approach) - SEC-SA (£m) | Exposure values (by regulatory approach) - 1250%/ deductions (£m) | RWEA (by regulatory approach) - SEC-IRBA (£m) | RWEA (by regulatory approach) - SEC-ERBA (including IAA) (£m) | RWEA (by regulatory approach) - SEC-SA (£m) | RWEA (by regulatory approach) - 1250%/ deductions (£m) | Capital charge after cap - SEC-IRBA (£m) | Capital charge after cap - SEC-ERBA (including IAA) (£m) | Capital charge after cap - SEC-SA (£m) | Capital charge after cap - 1250%/ deductions (£m) |
| :--- | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: |
| **As at 31 December 2022** | | | | | | | | | | | | | | | | | |
| 1. Total exposures | 4,388 | — | — | — | — | 4,388 | — | — | — | 658 | — | — | — | 53 | — | — | — |
| 2. Traditional transactions | 459 | — | — | — | — | 459 | — | — | — | 69 | — | — | — | 6 | — | — | — |
| 3. Securitisation | 459 | — | — | — | — | 459 | — | — | — | 69 | — | — | — | 6 | — | — | — |
| 4. Retail underlying | 459 | — | — | — | — | 459 | — | — | — | 69 | — | — | — | 6 | — | — | — |
| 5. Of which STS | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
| 6. Wholesale | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
| 7. Of which STS | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
| 8. Re-securitisation | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
| 9. Synthetic transactions | 3,929 | — | — | — | — | 3,929 | — | — | — | 589 | — | — | — | 47 | — | — | — |
| 10. Securitisation | 3,929 | — | — | — | — | 3,929 | — | — | — | 589 | — | — | — | 47 | — | — | — |
| 11. Retail underlying | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
| 12. Wholesale | 3,929 | — | — | — | — | 3,929 | — | — | — | 589 | — | — | — | 47 | — | — | — |
| 13. Re-securitisation | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |

**Note**
a. No comparatives are provided as this is a new disclosure requirement from 1 January 2022.

# Analysis of securitisation exposures (continued)

| Table 52: SEC4 - Securitisation exposures in the non-trading book and associated regulatory capital requirements - institution acting as investor$^a$ | Exposure values (by RW bands/deductions) - ≤20% RW (£m) | Exposure values (by RW bands/deductions) - >20% to 50% RW (£m) | Exposure values (by RW bands/deductions) - >50% to 100% RW (£m) | Exposure values (by RW bands/deductions) - >100% to <1250% RW (£m) | Exposure values (by RW bands/deductions) - 1250% RW/ deductions (£m) | Exposure values (by regulatory approach) - SEC-IRBA (£m) | Exposure values (by regulatory approach) - SEC-ERBA (including IAA) (£m) | Exposure values (by regulatory approach) - SEC-SA (£m) | Exposure values (by regulatory approach) - 1250%/ deductions (£m) | RWEA (by regulatory approach) - SEC-IRBA (£m) | RWEA (by regulatory approach) - SEC-ERBA (including IAA) (£m) | RWEA (by regulatory approach) - SEC-SA (£m) | RWEA (by regulatory approach) - 1250%/ deductions (£m) | Capital charge after cap - SEC-IRBA (£m) | Capital charge after cap - SEC-ERBA (including IAA) (£m) | Capital charge after cap - SEC-SA (£m) | Capital charge after cap - 1250%/ deductions (£m) |
| :--- | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: | :---: |
| **As at 31 December 2022** | | | | | | | | | | | | | | | | | |
| 1. Total exposures | 5,573 | — | — | — | — | — | — | 5,573 | — | — | — | 779 | — | — | — | 62 | — |
| 2. Traditional transactions | 5,573 | — | — | — | — | — | — | 5,573 | — | — | — | 779 | — | — | — | 62 | — |
| 3. Securitisation | 5,573 | — | — | — | — | — | — | 5,573 | — | — | — | 779 | — | — | — | 62 | — |
| 4. Retail underlying | 5,573 | — | — | — | — | — | — | 5,573 | — | — | — | 779 | — | — | — | 62 | — |
| 5. Of which STS | 1,144 | — | — | — | — | — | — | 1,144 | — | — | — | 114 | — | — | — | 9 | — |
| 6. Wholesale | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
| 7. Of which STS | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
| 8. Re-securitisation | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
| 9. Synthetic transactions | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
| 10. Securitisation | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
| 11. Retail underlying | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
| 12. Wholesale | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
| 13. Re-securitisation | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |

**Note**
a. No comparatives are provided as this is a new disclosure requirement from 1 January 2022.

# Analysis of securitisation exposures (continued)

| Table 53: SEC5 - Exposures securitised by the institution - Exposures in default and specific credit risk adjustments$^a$ | Total outstanding nominal amount (£m) | Of which exposures in default (£m) | Total amount of specific credit risk adjustments made during the period (£m) |
| :--- | :---: | :---: | :---: |
| 1. Total exposures | 12,171 | 24 | — |
| 2. Retail (total) | 8,100 | 24 | — |
| 3. residential mortgage | 1,054 | — | — |
| 4. credit card | 7,046 | 24 | — |
| 5. other retail exposures | — | — | — |
| 6. re-securitisation | — | — | — |
| 7. Wholesale (total) | 4,071 | — | — |
| 8. loans to corporates | — | — | — |
| 9. commercial mortgage | — | — | — |
| 10. lease and receivables | — | — | — |
| 11. other wholesale | 4,071 | — | — |
| 12. re-securitisation | — | — | — |

**Note**
a. No comparatives are provided as this is a new disclosure requirement from 1 January 2022.

# Analysis of operational risk

| Table 54: OR1 - Operational risk own funds requirements and risk-weighted exposure amounts$^a$ | Relevant indicator: Year-3 (£m) | Relevant indicator: Year-2 (£m) | Relevant indicator: Last year (£m) | Own funds requirements (£m) | Risk weighted exposure amount (£m) |
| :--- | :---: | :---: | :---: | :---: | :---: |
| 1. Banking activities subject to basic indicator approach (BIA) | — | — | — | — | — |
| 2. Banking activities subject to standardised (TSA) / alternative standardised (ASA) approaches | 6,640 | 6,603 | 7,557 | 886 | 11,081 |
| 3. Subject to TSA: | 6,640 | 6,603 | 7,557 | | |
| 4. Subject to ASA: | — | — | — | | |
| 5. Banking activities subject to advanced measurement approaches AMA | — | — | — | — | — |

Capital set aside for operational risk is intended to cover the losses resulting from human errors, inadequate or failed internal processes and systems or external events. To assess minimum capital requirements for operational risk, the TSA is applied. Under TSA, banks are required to hold regulatory capital for operational risk equal to the annual average, calculated over a rolling three-year period, of the relevant income indicator, multiplied by a conversion percentage factor specific to business lines in accordance with the regulatory requirements.

### Operational risk profile
During 2022, total operational risk losses$^a$ fell to £87m (2021: £107m) while the number of recorded events for 2022 remained broadly stable at 2,031 (2021: 2,138). The total operational risk losses for the year were mainly driven by events falling within the Execution, Delivery & Process Management and External Fraud BASEL Event Type categories, which tend to be high volume but low impact events.

Within operational risk, there are a large number of smaller value risk events. In 2022, 87% (2021: 88%) of the Barclays Bank UK Group’s reportable operational risk events by volume had a value of less than £50,000 each. Cumulatively, events under this £50,000 threshold accounted for only 42% (2021: 35%) of the Barclays Bank UK Group’s total net operational risk losses. A small proportion of operational risk events have a material impact on the financial results of the Barclays Bank UK Group.

**Note**
a. The data disclosed includes operational risk losses for reportable events having net impact of > £10,000 and excludes events that are conduct or legal risk, aggregate and boundary events. A boundary event is an operational risk event that results in a credit risk impact. Due to the nature of risk events that keep evolving, prior year losses have been updated.

# Analysis of operational risk (continued)

The analysis below presents the Barclays Bank UK Group’s operational risk events by Basel event category$^a$:

- External Fraud remains the category with the highest frequency of events at 95% of total events in 2022 (2021: 96%) with number of events decreasing to 1,937 (2021: 2,052). Losses decreased to £58m accounting for 67% of total losses (2021: £74m / 69%). In this category, high volume, low value events are driven by transactional fraud often related to debit and credit card usage. [Note: total External Fraud losses in 2022 including those from events with impact < £10,000 amounted to £129m (2021: £137m)].
- Execution, Delivery and Process Management impacts decreased to £27m (2021: £32m), accounting for 32% of overall operational risk losses (2021: 30%). The events in this category are typical of the banking industry as a whole where high volumes of transactions are processed on a daily basis, mapping mainly to Barclays Transaction Operations risk type. The volume of events in this category increased year-on-year to 87 (2021: 74), accounting for 4% of total events (2021: 4%).

Investment continues to be made in improving the control environment across the Barclays Bank UK Group. Particular areas of focus include new and enhanced fraud prevention systems and tools to combat the increasing level of fraud attempts being made whilst minimising disruption to genuine transactions. Fraud remains an industry wide threat and the Barclays Bank UK Group continues to work closely with external partners on various prevention initiatives.

Operational Resilience remains a key area of focus for the Barclays Bank UK Group, having been reinforced in recent years due to potential operational disruption from the COVID-19 pandemic. The Barclays Bank UK Group continues to strengthen its resilience approach across its most important business services to improve recoverability and assurance thereof by reviewing scenarios based on current global climates.

Operational risk associated with cybersecurity remains a top focus for the Barclays Bank UK Group. The sophistication of threat factors continues to grow as noted by multiple external risk events observed throughout the year. Ransomware attacks across the global Barclays supplier base were observed and we worked closely with the affected suppliers to manage potential impacts to the Barclays Bank UK Group and its clients and customers. The Barclays Bank UK Group’s cybersecurity events were managed within its risk tolerances and there were no material loss events associated with cybersecurity recorded within the event categories above.

For further information, refer to the operational risk management section.

# Risk management strategy, governance and risk culture

## The Barclays Bank UK Group’s risk management strategy
This section introduces Barclays Bank UK Group’s approach to managing and identifying risks, and for fostering a sound risk culture.

### Enterprise Risk Management Framework (ERMF)
The ERMF outlines the highest level principles for risk management by setting out standards, objectives and key responsibilities of different groups of employees of the Barclays Bank UK Group. It is approved by the Barclays PLC Board on recommendation of the Barclays Group Board Risk Committee and the Barclays Bank UK Group Chief Risk Officer (CRO). The Barclays Bank UK PLC Board then approves its adoption on recommendation of its Risk Committee, with modifications where needed.

The ERMF sets out:
- principal risks faced by the Barclays Bank UK Group, which guides the organisation of risk management processes
- risk appetite requirements: This helps define the level of risk we are willing to undertake in our business
- risk management and segregation of duties: The ERMF defines a Three Lines of Defence model
- roles and responsibilities for key risk management and governance structure.

The ERMF is complemented by frameworks, policies and standards that are mainly aligned to individual principal risks:
- frameworks cover high level principles guiding the management of principal risks, and set out details of which policies are needed, and high level governance arrangements
- policies set out the control objectives and high level requirements to address the key principles articulated in their associated frameworks. Policies state ‘what’ those within scope are required to do
- standards set out the detail of the control requirements to ensure the control objectives set by the policies are met.

### Segregation of duties - the "Three Lines of Defence" model
The ERMF sets out a clear lines of defence model. All colleagues are responsible for understanding and managing risks within the context of their individual roles and responsibilities, as set out below.
- The First line comprises all employees engaged in the revenue generating and client facing areas of the Barclays Bank UK Group and all associated support functions, including Finance, Operations, Treasury, and Human Resources etc. The first line is responsible for identifying and managing the risks in which they are engaged in, operating within applicable limits and escalating risk events or issues as appropriate. Employees in the first line have primary responsibility for their risks and their activities are subject to oversight from the relevant parts of the second and third lines.
- The Second line is comprised of the Risk and Compliance functions. The role of the second line is to establish the limits, rules and constraints, and the frameworks, policies and standards under which all activities shall be performed, consistent with the risk appetite of the Barclays Bank UK Group, and to oversee the performance of the firm against these limits, rules and constraints. Controls for first line activities will ordinarily be established by the control officers operating within the control framework of the firm. These will remain subject to oversight by the second line.
- The Third line of defence is Internal Audit, who are responsible for providing independent assurance over the effectiveness of governance, risk management and controls over current, systemic and evolving risks.
- The Legal function provides support to all areas of the bank and is not formally part of any of the three lines of defence, The Legal function is responsible for the identification of all Legal and Regulatory Risks. Except in relation to the legal advice it provides or procures, it is subject to second line oversight with respect to its own operational and conduct risks, as well as with respect to the Legal and Regulatory Risks to which the bank is exposed.

### Principal risks
The ERMF identifies nine principal risks (see managing risk in the strategic report section) namely: credit risk, market risk, treasury and capital risk, climate risk, operational risk, model risk, conduct risk, reputation risk and legal risk. Note that climate risk was added in January 2022; see page 73 for more information.

Each of the principal risks is overseen by an accountable executive within the Barclays Group who is responsible for overseeing and/or assigning responsibilities for the framework, policies and standards that set out associated responsibilities and expectations, and detail the related requirements around risk management. In addition, certain risks span across more than one principal risk.

### Risk appetite
Risk appetite is defined as the level of risk which the Barclays Group is prepared to accept in carrying out its activities. It provides a basis for ongoing dialogue between management and Board with respect to the Barclays Bank UK Group’s current and evolving risk profile, allowing strategic and financial decisions to be made on an informed basis.

Risk appetite is approved by the Barclays PLC Board in aggregate and disseminated across legal entities and businesses, including the Barclays Bank UK Group. The Barclays Bank UK Board cannot approve a higher risk appetite than that determined by the Barclays PLC Board without the approval of the Group Board but may choose to operate at a lower level of risk appetite than that approved by the Barclays Group. The Barclays Group total risk appetite and its allocation to the Barclays Bank UK Group are supported by limits to enable and control specific exposures and activities that have material concentration risk implications.

# Risk management strategy, governance and risk culture (continued)

## Roles and responsibilities in the management of risk
Certain roles within Barclays Bank UK carry specific responsibilities and accountabilities with respect to risk management and the ERMF. These include the following:

### Barclays Bank UK PLC Chief Executive Officer (CEO)
The Barclays Bank UK CEO is accountable for leading the development of the Barclays Bank UK’s strategy and business plans that align to the Purpose, Values and Mindset within the approved risk appetite, and for managing and organising executive management to drive their execution. Managing the Bank’s financial and operational performance within the approved Risk Appetite is ultimately the CEO’s responsibility.

Specifically, a crucial role of the Barclays Bank UK CEO is to appoint the most senior risk owners at the executive level including the Barclays Bank UK PLC Chief Risk Officer and the Barclays Bank UK PLC General Counsel, in line with applicable governance requirements. They must work with them to embed a strong risk culture within the legal entity, with particular regard to the identification, escalation and management of risk matters.

### Barclays Bank UK PLC Chief Risk Officer (CRO)
Barclays Bank UK PLC CRO leads the Risk Function across the legal entity. Specific accountabilities include:
- oversight of each of the Credit Risk, Market Risk, Treasury and Capital Risk, Operational Risk, Climate Risk and Model Risk Frameworks;
- providing accurate, transparent and timely reporting of the actual Risk Profile of the legal entity relative to the set risk appetite to the Board;
- bringing a risk perspective to compensation decisions;
- reporting to all the relevant stakeholders on the legal entity’s’ risk positions (particularly in respect of the above Principal Risks), adherence to Risk Appetite and enterprise wide risks and controls; and
- arranging for the adoption and overseeing the application of the ERMF in the entity.

### Barclays Bank UK PLC Chief Compliance Officer
The Barclays Bank UK PLC Chief Compliance Officer is accountable to the Barclays Bank UK PLC CEO to lead the Compliance Function. Specific accountabilities include:
- leadership and oversight of the Compliance function for the Barclays Bank UK PLC
- overseeing that the Barclays Bank UK PLC’s conduct and reputation risks are effectively managed and escalated to the Board where appropriate
- monitoring compliance with the conduct and reputation risk frameworks
- inputting into compensation structures, objectives and performance management of employees who can expose the Barclays Bank UK PLC to significant risk
- using mandate to access any part of the legal entity and any information, bringing to the attention of line and senior management or the Board, as appropriate, any situation that is of concern from a conduct or reputation risk management perspective that could materially violate the approved risk appetite guidelines.

### Barclays Bank UK PLC General Counsel
The Barclays Bank UK PLC General Counsel provides legal advice and guidance to Barclays Bank UK on the adoption of the Group legal risk framework. Policies and entity risk appetite for legal risk through non-financial legal risk tolerances aligned to the Group-wide legal risk appetite.

### Barclays Bank UK PLC Chief Controls Officer
The Barclays Bank UK PLC Chief Controls Officer, reporting to the Barclays Bank UK PLC Chief Operating Officer, is responsible for overseeing the practical implementation of operational, conduct and reputation risk controls and control methodologies across the Barclays Bank UK. The Chief Controls Office has the following key responsibilities:
- Reviewing tolerances for non-financial operational risk exposures set by the business, and maintaining their appropriateness.
- Maintaining the standard for the creation and maintenance of all control documentation in the Barclays Bank UK.
- Overseeing the execution of control framework requirements consistently across the Barclays Bank UK. Execution includes recording risk events, issues, and the completion of risk and control self-assessments.

### Senior Manager Regime
A number of members of the Barclays Bank UK PLC Board, of its Executive Committee and a limited number of specified senior individuals are also subject to additional rules included within the Senior Managers Regime (SMR), which clarifies their accountability and responsibilities. Those designated with a Senior Manager Function under the SMR are held to four specific rules of conduct in which they must:
- take reasonable steps to establish that the business of the Group for which they are responsible is controlled effectively;
- take reasonable steps to establish that the business of the Group for which they are responsible complies with relevant regulatory requirements and standards of the regulatory system;
- take reasonable steps to make certain that any delegation of their responsibilities is to an appropriate individual and that they oversee the discharge of the delegated responsibilities effectively;
- disclose appropriately any information to the FCA or PRA, of which they would reasonably expect notice.

# Risk management strategy, governance and risk culture (continued)

## Risk committees
The various Barclays Bank UK risk committees consider risk matters relevant to their business, and escalate as required to the Barclays UK Risk Committee, whose Chair, in turn, escalates to the Barclays Group Risk Committee, Barclays Bank UK PLC Board Committees and the Barclays Bank UK PLC Board.

The Barclays Bank UK PLC Board receives regular information on the risk profile of the Barclays Bank UK Group, and has ultimate responsibility for risk appetite and capital plans, within the parameters set by the Barclays PLC Board. The Barclays Bank UK PLC Board is also responsible for the adoption of the ERMF.

Further, there are two Board-level committees which oversee the application of the ERMF and review and monitor risk across the Barclays Bank UK Group. These are: the Barclays Bank UK PLC Board Risk Committee and the Barclays Bank UK PLC Board Audit Committee. Additionally, the Barclays Bank UK PLC Board Remuneration Committee oversees pay practices focusing on aligning pay to sustainable performance.

- The Barclays Bank UK PLC Board Risk Committee (BRC): The BRC monitors Barclays Bank UK Group’s risk profile against the agreed appetite. Where actual performance differs from expectations, the actions taken by management are reviewed to ascertain that the Committee is comfortable with them. The Barclays Bank UK Group CRO regularly presents a report to the BRC summarising developments in the risk environment and performance trends in the key portfolios. The BRC also reviews certain key risk methodologies, the effectiveness of risk management, and Barclays Bank UK Group's risk profile, including the material issues affecting each business portfolio and forward risk trends. The Committee also commissions in-depth analyses of significant risk topics, which are presented by the Barclays Bank UK Group CRO or senior risk managers in the business.
- The Barclays Bank UK PLC Board Audit Committee (BAC): receives regular reports on the effectiveness of internal control systems, on material control issues of significance and on accounting judgements (including impairment), and a quarterly review of the adequacy of impairment allowances, relative to the risk inherent in the portfolios, the business environment, and Barclays policies and methodologies.
- The Barclays Bank UK PLC Board Remuneration Committee (RemCo): receives proposals on ex-ante and ex-post risk adjustments to variable remuneration based on risk management performance including events, issues and the wider risk profile. These inputs are considered by the RemCo in the review and approval of performance incentives.

# Risk management strategy, governance and risk culture (continued)

## Coverage of risk reports to executive and Board risk committees
Chairs of Risk Committees at executive and Board levels specify the information they require to discharge their duties. Advance committee calendars are agreed with the committee chairs. Topics that are regularly covered include:
- risk profile, across risk types
- risk appetite, results of stress tests and perspective on medium-term plans and strategy
- political and economic developments, and their potential impacts on Barclays and its customers
- impacts of key market developments on the risk profile of the Group
- risk management approaches and their effectiveness

Reports are presented by appropriate members of senior management, including CROs and heads of businesses. Occasionally subject matter experts are delegated to present specific topics of interest. Report presenters are responsible for following processes for creating reports that include appropriate controls and that these controls are operated effectively.

## Frameworks, Policies and Standards
Frameworks, policies and standards set out the governance around Barclays Bank UK's activities:
- frameworks cover high level principles guiding the management of principal risks, and set out details of what policies are needed, and high level governance arrangements
- policies set out the control objectives and high level requirements to address the key principles articulated within their associated frameworks. Policies state ‘what’ those within scope are required to do
- standards set out the detail of the control requirements to ensure the control objectives set by the policies are met.

The Barclays Bank UK Group CRO is accountable for the development and implementation of frameworks, policies and associated standards for credit, market, treasury and capital, climate, operational and model risks. The Barclays Bank UK CRO is responsible for adoption and overseeing their effective implementation within Barclays Bank UK PLC.

The Barclays Bank UK Group Chief Compliance Officer is likewise accountable for conduct risk and reputation risk, and the Barclays Bank UK Group General Counsel for legal risk. Similar to the Barclays Bank UK CRO, the Barclays Bank UK Chief Compliance Officer and the Barclays Bank UK Head of Legal are accountable for adoption and overseeing their effective implementation within their functions and throughout Barclays Bank UK as appropriate. The Barclays Bank UK Group CRO and Barclays Bank UK Group Chief Compliance Officer have the right to require amendments to any frameworks, policies or standards in the Barclays Bank UK Group.

Frameworks, policies and standards are subject to minimum annual review.

## Assurance
Assurance is undertaken to assess the control environment. The Controls Assurance Standard defines the requirements for controls assurance and controls testing.

The risk function carry out conformance reviews to assess the implementation of, and adherence to, principal risk framework and component policies. Similar activities are undertaken in the first line by the Chief Controls Office in respect of certain policies, standards, controls or processes.

Internal Audit is responsible for the independent review of risk management and the control environment. Its objective is to provide reliable, valued and timely assurance to the Board and executive management over the effectiveness of controls, mitigating current and evolving material risks and thus enhancing the control culture within the Barclays Bank UK Group. The Board Audit Committee reviews and approves Internal Audit’s plans and resources, and evaluates the effectiveness of Internal Audit. An assessment by independent external advisers is also carried out periodically.

## Effectiveness of risk management arrangements
The ERMF and its component Principal Risks are subject to control testing assurance reviews to confirm its effectiveness or identify issues to be mitigated. Management and the Board are satisfied that the design of the ERMF and its components are appropriate given the risk profile of the Barclays Bank UK Group.

# Risk management strategy, governance and risk culture (continued)

## Learning from our mistakes
Learning from mistakes is central to Barclays’ values and mindset, demonstrating a commitment to excellence and taking accountability for failure as well as success. The Barclays Bank UK Group seeks to learn lessons on a continuous basis to support achievement of strategic objectives, increase operational excellence and to meet commitments to stakeholders, including colleagues, customers, shareholders and regulators. Barclays has implemented a Barclays Bank UK Group Lessons Learned process, setting out requirements for the completion of lessons learned assessments in response to internal and external risk events. The approach is aligned to the Three Lines of Defence model (see page 63), with businesses and functions accountable for undertaking lessons learned assessments; the Second Line providing oversight and challenge; and independent review by Internal Audit.

Core components of the Lessons Learned approach include:
- defined triggers for when Lessons Learned Assessments must be completed
- requirements and guidance for the completion of root cause analysis to identify the causes of risk events impacting the Barclays Bank UK Group
- standardised Templates to report conclusions consistently to relevant management fora and committees
- use of a central system to record completed Lessons Learned Assessments and to facilitate sharing across the Barclays Bank UK Group.

## Barclays’ risk culture
Risk culture can be defined as the norms, attitudes and behaviours related to risk awareness, risk taking and risk management. This is reflected in how the Barclays Bank UK Group identifies, escalates and manages risk matters. The Barclays Bank UK Group is committed to maintaining a robust risk culture in which:
- management expect, model and reward the right behaviours from a risk and control perspective
- colleagues identify, manage and escalate risk and control matters, and meet their responsibilities around risk management.

The CEO works with the Executive Management to embed a strong risk culture within the Bank, with particular regard to the identification, escalation and management of risk matters, in accordance with the ERMF. Specifically, all employees regardless of their positions, functions or locations must play their part in the Barclays Bank UK Group’s risk management. Employees are required to be familiar with risk management policies which are relevant to their responsibilities, know how to escalate actual or potential risk issues, and have a role-appropriate level of awareness of the risk management process as defined by the ERMF.

## Our Code of Conduct – the Barclays Way
Globally, all colleagues must attest to the “Barclays Way”, our Code of Conduct, and comply with all frameworks, policies and standards applicable to their roles. The Code of Conduct outlines the Purpose, Values and Mindset which govern our ‘Barclays Way’ of working across our business globally. It constitutes a reference point covering all aspects of colleagues’ working relationships, and provides guidance on working with other Barclays employees, customers and clients, governments and regulators, business partners, suppliers, competitors and the broader community. See [home.barclays/sustainability/esg-resource-hub/statements-and-policy-positions/](home.barclays/sustainability/esg-resource-hub/statements-and-policy-positions/) for more details.

## Barclays Bank UK Group risk management tools
To support Barclays Bank UK Group’s management of risks, the Barclays Bank UK PLC Board uses risk appetite, mandate and scale, and stress testing as key inputs in the annual planning cycle, including setting of its strategy. The following describes in further detail the risk management tools used as part of this process.

### Risk appetite
Risk appetite is defined as the level of risk which Barclays Bank UK Group is prepared to accept in carrying out its activities.

Risk appetite provides a basis for ongoing dialogue between management and Board with respect to Barclays Bank UK Group’s current and evolving risk profile and enables strategic and financial decisions to be made on an informed basis. Thus the risk appetite setting process aims to consider the material risks Barclays Bank UK Group is exposed to under its business plans.

The risk appetite of Barclays Bank UK Group aims to:
- specify the level of risk we are willing to take to enable specific risk taking activities
- consider all Principal Risks individually and, where appropriate, in aggregate
- consistently communicate the acceptable level of risk for different risk types.

Risk appetite is approved by the Board and must be formally reviewed at least annually in conjunction with the Medium Term Planning (MTP) process.

# Risk management strategy, governance and risk culture (continued)

Risk appetite is formally expressed by the Barclays Bank UK PLC Board as the acceptable level of deterioration in a set of key financial parameters under a severe but plausible stress scenario defined as the internal stress test. For 2022, the key financial parameters are listed below.

| Measure relevant to strategy and risk | Link between strategy and risk profile |
| :--- | :--- |
| Profit after tax | Fundamental performance of Barclays Bank UK Group and underpins its capacity to make capital distributions to Barclays Group. |
| Common Equity Tier 1 (CET1) | Monitors capital adequacy in relation to capital plan, targets and regulatory hurdle rates. |
| Liquidity Risk Appetite | Monitors and protects liquidity position of the bank and its ability to meet financial obligations under normal conditions and in a stress. |

Based on the specified risk appetite, Barclays Bank UK Group develops both stress loss and mandate & scale limits to control specific activities.

Reflecting the increasing risks associated with climate change and following the Board Risk Committee’s decision that climate risk would become a principal risk from 2022, a further risk appetite constraint has been introduced establishing a direct link between our strategic plans and risk appetite supporting Barclays' ambition to reduce emissions to net zero by 2050.

| Measure relevant to strategy and risk | Link between strategy and risk profile |
| :--- | :--- |
| Climate Risk | Protects the long term climate ambitions of the bank and its ability to meet disclosed targets. |

### Stress loss limits
Stress loss limits are derived from the results of the internal stress test. Limits are a reflection of the losses absorbed by the stressed capital plans within risk appetite and provide a crucial link between the strategic planning process and risk appetite. Stress loss limits are conservatively assumed to be additive but in practice stresses may not happen at the same time. Risk management may over-allocate stress loss limits where they deem it unlikely all businesses will require full limit utilisation at the same time. Aggregate utilisation across all risk types is monitored against both the aggregate of stress loss limits and losses absorbed by the stressed capital plan. It is the role of Risk to manage the over-allocation within capital constraints.

### Mandate and scale
Mandate and scale is a risk management approach that seeks to formally review and control business activities to make sure that they are within mandate (i.e. aligned with expectations), and are of an appropriate scale (relative to the risk and reward of the underlying activities) based on an appropriately detailed system of limits. The use of limits and triggers helps mitigate the risk of concentrations that could be out of line with expectations, and which may lead to unexpected losses of a scale detrimental to the stability of the relevant business line or Barclays Bank UK Group. There are, for example, individual limits for High Loan to Value and Buy to Let mortgages, and limits on the concentration of lower credit quality unsecured products, for example the Access product in Barclaycard UK.

The most material stress loss and mandate and scale limits are designated as A-level (Barclays PLC Board level) and B-Level (Barclays Group level). All B-level and lower limits are set by the Risk function. Barclays Bank UK Group limits are approved by the Barclays Bank UK Group CRO and are reportable to the Barclays UK Risk Committee. Unapproved excesses of limits may result in performance management and disciplinary consequences. All limits are subject to escalation and governance requirements.

There is explicit identification of the exposures that are captured by limits and any material exclusion must be agreed. Limits are reviewed at least annually. The factors taken into consideration when setting the limit include:
- Barclays Group and Barclays Bank UK Group Risk Appetite
- current exposure/MTP forecasts
- risk return considerations
- senior risk management judgement.

# Risk management strategy, governance and risk culture (continued)

## Internal stress testing
Barclays Bank UK Group-wide stress tests are integrated within the MTP process and annual review of risk appetite, forming part of a Barclays Group-wide approach to stress testing. They aim to check that Barclays Bank UK Group’s financial position and risk profile provide sufficient resilience to withstand the impact of severe economic stress, allowing Barclays Bank UK to make changes to plans as necessary. Barclays Bank UK Group-wide stress testing process is supported by a Capital Stress Testing Standard which sets out the minimum control requirements and defines clear roles and responsibilities across businesses and central functions. The results also feed into our internal capital adequacy assessment process (ICAAP).

The following diagram outlines the key steps in Barclays Bank UK Group-wide stress testing process, which are described below.

```mermaid
graph LR
    A[Scenario design and parameter setting] --> B[Businesses prepare MTP/ business plans]
    B --> C[Businesses run stress testing models]
    C --> D[Review and challenge]
    D --> E[Results (pre/ post-business management actions)]
    E --> F[Capital plan including capital management actions]
    F --> G[Committee presentations and approval]
```

Barclays Bank UK Group-wide stress testing process begins with a detailed scenario setting process, with the Barclays Group Risk Committee and Barclays Board Risk Committee agreeing the range of scenarios to be tested. The scenarios are designed to be severe but plausible, and relevant to the business. A wide range of macroeconomic parameters are defined (such as GDP, unemployment, house prices, FX, interest rates, and inflation), which allows the impact of the scenarios across the wide range of products and portfolios to be assessed across Barclays Bank UK Group.

Businesses prepare detailed MTP business plans which form the baseline for the stress test assessment. The stress test process aims to support this level of complexity, using bottom-up analysis across all of our businesses including both on- and off-balance sheet positions, and combines running statistical models with expert judgement. An overview of the stress testing approach by Principal Risk is provided in the table below. As part of their stress test assessments, businesses are also required to identify potential management actions that could be taken to mitigate the impact of stress and document these within their results.

The governance process in place includes a detailed review of stress testing methodology, assumptions, judgements, results and management actions within each business (including sign-off by business CROs and CFOs) and by central functions.

The relevant businesses stress test results are consolidated to form a Barclays Bank UK Group view which is used to assess the stress impact on both Barclays Bank UK Group’s and Barclays Group’s capital plans both of which consider capital management actions such as reducing dividends or redeeming certain capital instruments. Barclays Bank UK Group also maintains recovery plans which take into consideration actions to facilitate recovery from severe stress or an orderly resolution. These actions are additional to those included in Barclays Bank UK Group-wide stress testing results.

The overall stress testing results are reviewed and signed off by the Barclays Bank UK PLC Board, following review by the Barclays Bank UK PLC Board Risk Committee while also feeding into the Barclays Group level reviews with the Stress Testing Steering Committee, the Barclays Group Risk Committee and the Barclays BRC.

# Risk management strategy, governance and risk culture (continued)

## Summary of methodologies for Barclays Bank UK Group-wide stress testing by risk type

| Principal Risk | Stress testing approach |
| :--- | :--- |
| **Credit risk** | - **Credit risk impairment**: For retail portfolios businesses use IFRS9 impairment forecast models to estimate stressed levels, leveraging the relationships between macroeconomic parameters such as unemployment, inflation, GDP etc. that are embedded in those models. In addition, house price reductions (for mortgages), increased customer drawdowns (for revolving facilities) and higher interest rates impacting customer affordability lead to higher credit losses. For wholesale portfolios the stress shocks on credit risk drivers PD, LGD and EAD are primarily calibrated using historical and expected relationships with key macro economic parameters.<br>- **Counterparty credit risk losses**: The scenarios include market risk shocks that are applied to determine the market value under stress of contracts that give rise to CCR. Counterparty losses, including from changes to the Credit Valuation Adjustment and from defaults, are modelled based on the impact of these shocks as well as using stressed credit risk drivers (PDs and LGDs). The same approach is used to stress the market value of assets held as available for sale or at fair value in the banking book.<br>- **Credit risk weighted assets**: The impact of the scenarios is calculated via a combination of business volumes and using similar factors to impairment drivers above, with consideration of the portfolio-specific requirements for the calculation of regulatory capital. |

# Risk management strategy, governance and risk culture (continued)

| Principal Risk | Stress testing approach |
| :--- | :--- |
| **Treasury and Capital Risk** | - The analysis of treasury and capital risk also contributes to the estimate of stressed income and costs.<br>  - Stress impact on non-interest income is primarily driven by lower projected business volumes and hence lower income from fees and commissions.<br>  - Impact on net interest income is driven by stressed margins, which depend on the level of interest rates under stress as well as funding costs, and on stressed balance sheet volumes. This can be partly mitigated by management actions that may include repricing of variable rate products, taking into account interbank lending rates under stress.<br>  - The impact on costs is mainly driven by business volumes, exchange rates, and inflation with management actions to partly offset profit reductions (due to impairment increases and decreases in income) such as headcount reductions and lower performance costs.<br>- **Capital Risk**: is assessed by taking all modelled risk impacts as part of the stress test (as listed above) into consideration when assessing Barclays Bank UK Group’s ability to withstand a severe stress. The stressed results are considered against internally agreed risk appetite levels but also regulatory minima and perceived market expectations. The MTP can only be agreed by the Board if this is within the agreed risk appetite levels under stress.<br>- **Liquidity risk**: is assessed through internal liquidity stress testing, Liquidity Risk Appetite (“LRA”) and regulatory stress testing, using Barclays Bank UK Group’s Liquidity Coverage Ratio (“LCR”) and the Net Stable Funding Ratio (‘NSFR’). The Bank analyses specific liquidity risk drivers such as wholesale funding and contingent funding needs based on the below scenarios:<br>  - Barclays idiosyncratic scenario: Barclays Bank UK Group faces a loss of market confidence while the market overall is not impacted<br>  - market wide scenario: Market wide stress leading to increased market volatility and loss of confidence<br>  - combined scenario: A simultaneous Barclays Bank UK Group idiosyncratic and Market wide liquidity stress scenario<br>  - Liquidity Coverage Ratio: Regulatory prescribed 30-day liquidity metric.<br>- **Interest Rate Risk in the Banking Book (IRRBB)**:<br>  - risk assessment for interest rate risk in the banking book is driven by the economic risk of the underlying positions but also considers the accounting treatment<br>  - earnings based measures are used to assess risk to net interest income from positions in customer banking books, hedging portfolios (held to mitigate those risks), and Treasury investment and funding activities<br>  - value based measures are used to assess risk to the fair value of assets held as part of investments in the liquid asset portfolio and associated risk management portfolios.<br>- **Risk under stress is assessed by considering**:<br>  - the impact on net interest income resulting from stressed product margins and volumes, which are dependent on the level of interest rates and funding costs under stress conditions. This can be partly mitigated by management actions which may include repricing of variable rate products taking into account interbank lending rates under stress<br>  - securities in the liquid asset portfolio are subject to several market risk stresses designed to estimate potential losses in various scenarios. This includes, but is not limited to, an annual internal stress test, regulatory stress tests as well as various ad hoc exploratory exercises. |
| **Operational risk** | - Operational risk loss projections include the effect of the stressed macroeconomic scenario as well as the impact of forward-looking idiosyncratic risk events under stress. Operational risk is also part of the reverse stress testing framework through scenario assessments of such idiosyncratic events. |
| **Model risk** | - The Independent Valuation Unit (IVU) reviews and approve models for use in stress tests. IVU may require compensating controls, in the form of overlays to address model deficiencies. IVU may also reject a model that is not conceptually sound, or for which the marginal impact of findings (in aggregate or on a stand-alone basis) on model output is ≥ 30%. |
| **Conduct risk** | - Redress/Remediation: Businesses review existing provisions and include additional provisions in MTP if required.<br>- Litigation: Irrespective of whether a provision had been recognised, stress projections of future losses for conduct risk matters managed by legal are estimated by exercising expert judgment on a case by case basis (material matters) or on a portfolio basis (non-material matters) in accordance with the methodology provided by regulators (PRA). |
| **Reputation risk** | - Reputation risk is not quantified or stressed. |
| **Legal risk** | - Legal risk is not quantified or stressed. |

The internal Group-wide stress testing exercise is run as part of the MTP process, assessing Barclays’ vulnerabilities under a severe but plausible scenario. For 2022 the scenario used for the Internal Stress Test is the same as Bank of England 2022 regulatory stress test (see below BoE Annual Cyclical Scenario for more details). There are some difference in approach e.g. ACS excludes the impact of Regulatory Capital Models that have not been approved by the PRA whereas the IST includes them.

# Risk management strategy, governance and risk culture (continued)

The Barclays Group-wide stress testing framework also includes reverse stress testing techniques, which aim to identify the circumstances under which Barclays Bank UK Group’s business model would no longer be viable, leading to a significant change in business strategy and to the identification of appropriate mitigating actions. Examples include extreme macroeconomic downturn (‘severely adverse’) scenarios, or specific idiosyncratic events, covering both operational risk and capital/liquidity events but also the implication of a failure of Barclays Group non-ring fenced bank. Reverse stress testing is used to help support ongoing risk management and is an input to our Recovery Planning process.

### Business and risk type specific stress tests
Stress testing techniques at portfolio and product level are also used to support risk management. For example, portfolio management in the UK Cards business employs stressed assumptions of loss rates to determine profitability hurdles for new accounts. In the UK Mortgage portfolios, affordability thresholds incorporate stressed estimates of interest rates. Stress testing is also conducted on positions in particular asset classes, including interest rates and credit.

### Regulatory stress testing
In addition to running internal Barclays Group-wide stress tests, Barclays Group also runs regulatory stress tests for which Barclays Bank UK Group is a sub-component. Notably in 2022,
- The BoE announced in Q2 the results of the Climate Stress undertaken in 2021 which considered the impact of three climate scenarios covering both “transition” and “physical” risks. This was an exploratory exercise across the banking industry with a focus on the banking book, the aim was to size financial exposures to climate-related risks, understand the challenges to business models from these risks and enhance management of climate-related financial risks. The learning nature of the exercise was specifically stated, acknowledging climate risk management is in its infancy hence it was not used to set capital requirements.
- Due to the Ukraine Crisis, the Annual Cyclical Scenario (ACS) usually scheduled in H1 has been postponed to H2 in order to help lenders focus on managing the financial markets disruption associated with the invasion. The scenario was released at the end of Q3 and features rising global interest rates to fight high and persistent inflation in the context of a global economic recession. Submission to the BoE is due in January 2023 with results announced in Q2 2023.

### Risk management in the setting of strategy
The risk appetite and internal stress testing processes described above form the basis of the risk review of the MTP, performed annually. The MTP embeds Barclays Bank UK Group’s objectives into detailed business plans taking into account the likely business and macroeconomic environment. The strategy is informed by the risk review process, which includes reviewing Barclays Bank UK Group’s risk profile and setting of risk appetite.

- The risk review process includes a review of business plans under stress which is used to inform the MTP.
- If the business’ plans entail too high a level of risk, management can challenge them. This assessment is based on a comparison of the businesses’ own risk appetite assessment reflected in their business plans (‘bottom-up’ risk appetite) with the central risk team’s view (‘top-down’ risk appetite) based on the financial constraints set by the Board for Barclays Bank UK Group.
- Businesses may be asked to update their business plans until the bottom-up risk appetite is within top-down appetite. There is also a detailed review of the stressed estimates and the methodology used to translate the economic scenario to these stressed estimates, as well as the management actions included in the businesses’ results to verify that these are appropriate and realistic in a stressed environment.
- Risk review meetings are held with each business, where they present their business plans to Barclays Bank UK Group’s CRO. The findings from the risk reviews are discussed, including the risk appetite proposals and stress testing results. Businesses may be required to change their business plans as a result of these meetings.
- Interim internal capital adequacy assessments inform the capital planning process and are reviewed during the meetings. These assessments are refreshed based on year-end positions and reflected in the ICAAP.

The Barclays Bank UK PLC Board has overall responsibility for reviewing Barclays Bank UK Group’s risk profile and making appropriate recommendations to the Board. The Board is ultimately responsible for approving the MTP and Barclays Bank UK Group’s risk appetite. The risk appetite process allows senior management and the Board to understand the MTP’s sensitivities by risk type, and includes a set of limits to help the Barclays Bank UK Group stay within its risk appetite, as described above.

# Risk management strategy, governance and risk culture (continued)

## Management of Climate risk
**The impact on financial and operational risks arising from climate change through: physical risks, risks associated with transitioning to a lower carbon economy and connected risks arising as a result of second order impacts of these two drivers on portfolios.**

Given the risks associated with climate change, and to support the Group’s ambition to be a net zero bank by 2050, climate risk became a principal risk in January 2022. To support the embedment of the principal risk, in 2022 the Group delivered a Climate Risk Plan with three overarching objectives:
1. Embed Governance Framework: Establish a Climate Risk Committee (CRC), a Climate Risk Controls Forum, and enhance the BRC reporting
2. Scenario Analysis: Build out the vision and plan for undertaking scenario analysis exercises. This involved developing a climate scenario analysis framework
3. Carbon Modelling: Enhance the BlueTrack model to expand coverage to automobiles and Residential Real Estate

### Organisation and Structure
On behalf of the Barclays PLC Board, the Barclays PLC Board Risk Committee reviews and approves the Barclays Group’s approach to managing the financial and operational risks associated with climate change. Reputation risk is the responsibility of the Barclays PLC Board, which directly handles the most material issues facing the Barclays Group. Broader sustainability matters and other reputation risk issues associated with climate change are coordinated by the Sustainability team. The Barclays Group Head of Climate Risk reports directly to Group Chief Risk Officer.

The Barclays Bank UK Group Head of Climate Risk is responsible for the oversight of the Barclays Bank UK Group Climate risk profile and in turn, the integration and operationalisation of Climate Risk into BUK risk management. The Barclays Bank UK Group Head of Climate Risk chairs the Barclays Bank UK Climate Risk Forum, which provides support, guidance and oversight of the implementation and operation of Climate Risk within Barclays Bank UK. The Barclays Bank UK Climate Risk Forum escalates to the Barclays UK Risk Committee and also into the Group CRC.

To support the oversight of Barclays’ Group climate risk profile, the CRC was established, as a sub-committee of the GRC. Authority of the CRC is delegated by the GRC. CRC has reviewed and approved a refreshed Climate Risk Vision, updates from each of the financial and operational risks and from the material legal entities of the firm, along with key regulatory, policy and legal themes, the Climate risk register and Climate risk appetite statements and reviewed the control environment.

The Climate Risk Control Forum (CRCF) was established in July 2022 and escalates to the GRC via the Group Controls Committee. The purpose of the CRCF is to oversee the consistent and effective implementation and operation of the Barclays Controls Framework as relating to the Climate Risk. It reviews the control environment relating to Climate Risk, including risk events, policy and issues management.

### Barclays Governance/Risk Structure

```mermaid
graph TD
    subgraph BG[Barclays Governance]
    ERMF[Enterprise Risk Management Framework]
    CRF[Climate Risk Framework]
    RRMF[Reputation Risk Management Framework]
    BCRC[Barclays Bank UK PLC Board Risk Committee]
    BPB[Barclays Bank UK PLC Board]
    BURC[Barclays UK Risk Committee]
    BCRF[Barclays UK Climate Risk Forum]
    ERMF --> CRF
    ERMF --> RRMF
    BCRC --> BCRC
    BPB
    BURC
    BCRF
    end

    subgraph R[Risk]
    Risk1[Credit, market, treasury & capital and operational risks]
    Risk2[Sustainability matters and reputation risk associated with climate change]
    end

    subgraph GO[Group Ownership]
    GO1[Group Risk Committee - CRC]
    GO2[Global Head of Public Policy and Corporate responsibility]
    CRC_O[Climate Risk Committee - CRC]
    GO1 --> CRC_O
    end
```

The elevation of climate risk to Principal Risk included establishing the following:
- A Climate Risk Framework that defines climate risk and summarises the approach to identification, measurement, monitoring and reporting of climate risk
- Climate Risk Appetite at Group level established in line with the Group’s risk appetite approach and informed by scenario analysis
- Climate Risk Register used to inform risk appetite. This includes a breakdown of key risk drivers for physical and transition risks, and materiality ratings using the 2020 climate IST and 2021 Climate Biennial Exploratory Scenario (CBES). The Climate Risk Register continues to align with the Group’s Risk Register Taxonomy

# Risk management strategy, governance and risk culture (continued)

Climate risk across Financial and Operational Risks is managed via a Climate Change Financial Risk and Operational Risk Policy (CCFOR), which is embedded in each of the Financial and Operational Principal Risk Frameworks.

Climate risk across Model, Conduct, Reputation and Legal Principal Risks are out of the scope of the CRF and continue to be managed under their respective Principal Risk Frameworks.

The table below sets out how climate risk is integrated across Barclays using the ERMF aligned Climate Risk Framework, CCFOR and the Climate Change Standard.

| | Enterprise Risk Management Framework (ERMF) | | | | | | |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| | **Climate Risk Framework** | | | | | | |
| | **Climate Change Financial Risk and Operational Risk Policy** | | | | | **Climate Change Standard** | |
| | **Climate Risk** | **Credit Risk** | **Market Risk** | **Treasury and Capital Risk** | **Operational Risk** | **Reputation Risk** | |
| **Responsibilities** | Provide climate horizon scanning information and emerging trends to BRC and Principal Risk Leads<br><br>Recommend risk appetite statement, constraints and exclusions to BRC<br><br>Define areas of concern and recommend scenario analysis priorities<br><br>Lead the development of climate-specific risk methodologies<br><br>Interpret stress test results for relevance as drivers of risk<br><br>Review and challenge risk type approaches and support consistency across risk types<br><br>Aggregate and monitor a central climate risk view across in scope risk types | Monitor portfolio level exposure to the physical and transition risks of climate change<br><br>Review individual obligors’ exposure to climate risk via the Climate Lens questionnaire<br><br>Assess climate risk within Sovereign Credit Risk reviews<br><br>Include material exposures to climate risk within the Internal Capital Adequacy Assessment Process (ICAAP)<br><br>Oversight by Legal Entity Climate Risk Forums and relevant Risk Management Committees as appropriate, including regular climate risk reporting up to Board Risk Committee level | Identify and Assess climate-related risk factors<br><br>Apply stress scenarios, assess stress losses and set risk limits<br><br>Oversight by Market Risk Committee and Board Risk Committee | Identify exposure to climate risk<br><br>Consider key risk indicators and limits to support risk management<br><br>Include in ICAAP and ILAAP<br><br>Oversight by Treasury & Capital Risk Committee and Board Risk Committee | Integrate climate change across different risk categories, e.g. Operational Recovery Planning and Premises<br><br>Include climate change within risk assessment processes including Strategic Risk Assessment | Outline minimum requirements and controls for Reputation Risk management relating to client relationships or transactions<br><br>Outline the expected business behaviours in relation to these issues<br><br>Outline the approach to enhanced due diligence. | |
| **Ownership** | Climate Risk Accountable Officer | Credit Risk Accountable Officer | Market Risk Accountable Officer | Treasury & Capital Risk Accountable Officer | Operational Risk Accountable Officer | Group Head of Sustainability | |

# Risk management strategy, governance and risk culture (continued)

| Climate-related Risk Management Processes | Credit Risk | Market Risk | Treasury and Capital Risk | Operational Risk |
| :--- | :--- | :--- | :--- | :--- |
| **Frequency of assessment** | Annually | Quarterly | Various (quarterly for pensions, IRRBB and liquidity risk; annually for capital risk) | Annually |
| **Risk identification** | Exposure in mortgage portfolio identified through a concentration risk framework. Exposure in BBPLC Identified as part of sovereign, portfolio and obligor credit annual reviews. | Identified by assessing climate-related risk factors across asset classes, sectors and geographies, and aggregating market risk exposures from climate related risks. | Identified through risk assessment activity across certain industries and asset classes to analyse and assess exposures which may be impacted by climate-related risks. | Confirmed operational risks associated with climate change are included in the Bank’s Operational Risk Taxonomy. Climate risks are included within the Strategic Risk Assessment process. |
| **Risk assessment** | Portfolios are monitored through regular reporting of climate metrics and are assessed against mandates and limits where appropriate. Clients in elevated risk sectors above a threshold exposure will have their credit risk exposure to Climate Risk qualitatively assessed through the Credit Climate Lens questionnaire. Future exposure to Climate Risk as a driver to Credit Risk is quantified through scenario analysis and stress testing exercises. In addition to the Credit Climate Lens questionnaire, Sovereign Credit Reviews are also carried out for Sovereigns above a threshold exposure to assess their susceptibility to Climate risks. | Measured by using adverse multi-asset stress scenarios applied to individual risk factors reflecting climate change risks across sectors, countries and regions. | Measured as part of stress testing and key risk indicator monitoring. | Established reporting on internal and external climate-related risk events to the Climate Risk Control Forum. Risk tolerances for premises and resilience risks are reviewed so these adequately capture climate-related risk drivers. |

# Management of credit risk and the internal ratings-based approach

## Credit risk
The risk of loss to the Barclays Bank UK Group from the failure of clients, customers or counterparties, including sovereigns, to fully honour their obligations to the Barclays Bank UK Group, including the whole and timely payment of principal, interest, collateral and other receivables.

## Overview
The credit risk that Barclays Bank UK Group faces arises from retail and wholesale loans and advances together with the counterparty credit risk arising from derivative contracts with market counterparties; trading activities, including: debt securities, settlement balances with market counterparties, FVOCI assets and reverse repurchase loans. Wholesale lending in Barclays Bank UK Group includes Business Banking, ESHLA and Wealth UK portfolios.

Credit risk management objectives are to:
- maintain a framework of controls to oversee credit risk;
- identify, assess and measure credit risk clearly and accurately across the Barclays Bank UK Group and within each separate business, from the level of individual facilities up to the total portfolio;
- control and plan credit risk taking in line with external stakeholder expectations and avoiding undesirable concentrations; and
- monitor credit risk and adherence to agreed controls.

# Management of credit risk and the internal ratings-based approach (continued)

## Organisation and structure
Wholesale and retail portfolios are managed separately to reflect the differing nature of the assets; wholesale balances tend to be larger and are managed on an individual basis, while retail balances are greater in number but lesser in value and are, therefore, managed in aggregated segments.

### Governance Structure

```mermaid
graph TD
    BRC[Barclays Bank UK PLC Board Risk Committee]
    BRC --> BRC_Desc[Considers and recommends Barclays Bank UK Group’s risk appetite for wholesale and retail credit risk to the Barclays Bank UK PLC Board<br>Reviews Barclays Bank UK Group’s risk profile for wholesale and retail credit on behalf of the Barclays Bank UK PLC Board<br>Reviews the management of Barclays Bank UK Group’s wholesale and retail credit risk<br>Commissions, receives and considers reports on key financial and non-financial risk issues in the Barclays Bank UK Group]

    UK_RC[Barclays UK Risk Committee]
    UK_RC_Desc[Reviews and recommends to the Barclays Group Risk Committee and Barclays Bank UK PLC Board Risk Committee the proposed wholesale and retail credit risk appetite for Barclays Bank UK Group<br>Reviews and recommend limits and/or tolerances to control risk appetite for wholesale and retail credit risk<br>Reviews and monitors the wholesale and retail credit risk profile of the Barclays Bank UK Group]

    BGRC[Barclays Group Risk Committee]
    BGRC_Desc[Reviews appetite for wholesale and retail credit risk and makes recommendations on the setting of limits to the Barclays PLC Board<br>Monitors the risk profile for wholesale and retail credit risk<br>Reviews and monitors the control environment for wholesale and retail credit risk]

    BRC --> UK_RC
    UK_RC --> BGRC

    BK_BRC[Barclays Bank UK Group Business Risk Committees]
    BK_BRC_Desc[Reviews and monitors the risk profile of Barclays Bank UK Group product portfolios extending to the coverage of all relevant principal risks and any other risks to which Barclays Bank UK Group is exposed<br>Reviews and recommends to the Barclays Bank UK PLC CRO, and Barclays UK Risk Committee the proposed risk appetite for the product portfolios<br>Reviews and recommends limits and/or tolerances to control risk appetite]

    UK_RC --> BK_BRC
    
    subgraph BC[Business Risk Committees include]
    MRC[Mortgage Risk Committee]
    ULR[Unsecured Lending Risk Management Committee]
    BBRC[Business Banking Risk Management Committee]
    WMIRC[Wealth Management and Investments Risk Committee]
    BUWRC[Barclays UK Wholesale Risk Committee]
    BIRC[Barclays UK Impairment Committee]
    end
```

# Management of credit risk and the internal ratings-based approach (continued)

## Roles and responsibilities
The first line of defence has primary responsibility for managing credit risk within the risk appetite and limits set by the Risk function, supported by a defined set of policies, standards and controls. In Barclays Bank UK Group, business risk committees (attended by the first line) monitor and review the credit risk profile of each business unit where the most material issues are escalated to the Retail Credit Risk Management Committee, Wholesale Credit Risk Management Committee and Barclays UK Risk Committee.

The responsibilities of the credit risk management teams in the businesses, the sanctioning team and other shared services include: sanctioning new credit agreements; setting strategies for approval of transactions (principally retail); setting risk appetite; monitoring risk against limits and other parameters; setting recession readiness frameworks to protect portfolios in the event of economic stress, maintaining robust processes, data gathering, quality, storage and reporting methods for effective credit risk management; performing effective turnaround and workout scenarios for wholesale portfolios via dedicated restructuring and recoveries teams; maintaining robust collections and recovery processes/units for retail portfolios. The credit risk management teams in Barclays Bank UK Group are accountable to the Barclays Bank UK Group CRO who, in turn, reports to the Barclays Group CRO.

For the wholesale portfolios, credit risk managers are organised in sanctioning teams by client portfolio. In wholesale portfolios, credit risk approval is undertaken by experienced credit risk professionals operating within a clearly defined delegated authority framework, with only the most senior credit officers entrusted