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

## Contents

**Introduction**
Notes on Basis of Preparation and Forward-looking statements 02

**Risk and capital position review**
Analysis of treasury and capital risk 05
Analysis of credit risk 23

**Barclays’ approach to managing risks**
Management of credit risk mitigation techniques and counterparty credit risk 39
Management of treasury and capital risk 42

**Appendices**
Appendix A – Countercyclical capital buffer 47
Appendix B – Disclosure on remuneration 50

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## Introduction

The abbreviations ‘£m’ and ‘£bn’ represent millions and thousands of millions of Pounds Sterling respectively.
There are a number of key judgement areas, for example impairment calculations, which are based on models and which are subject to ongoing adjustment and modifications. Reported numbers reflect best estimates and judgements at the given point in time.
Relevant terms that are used in this document but are not defined under applicable regulatory guidance or International Financial Reporting Standards (IFRS) are explained in the results glossary available at home.barclays/investor-relations/reports-and-events.

### Forward-looking statements

This document contains certain forward-looking statements within the meaning of Section 21E of the US Securities Exchange Act of 1934, as amended, and Section 27A of the US Securities Act of 1933, as amended, with respect to Barclays Bank PLC. Barclays Bank PLC cautions readers that no forward-looking statement is a guarantee of future performance and that actual results or other financial condition or performance measures could differ materially from those contained in the forward-looking statements. Forward-looking statements can be identified by the fact that they do not relate only to historical or current facts. Forward-looking statements sometimes use words such as ‘may’, ‘will’, ‘seek’, ‘continue’, ‘aim’, ‘anticipate’, ‘target’, ‘projected’, ‘expect’, ‘estimate’, ‘intend’, ‘plan’, ‘goal’, ‘believe’, ‘achieve’ or other words of similar meaning. Forward-looking statements can be made in writing but also may be made verbally by directors, officers and employees of Barclays Bank PLC (including during management presentations) in connection with this document. Examples of forward-looking statements include, among others, statements or guidance regarding or relating to the Barclays Bank PLC’s future financial position, business strategy, income levels, costs, assets and liabilities, impairment charges, provisions, capital leverage and other regulatory ratios, capital distributions (including policy on dividends and share buybacks), return on tangible equity, projected levels of growth in banking and financial markets, industry trends, any commitments and targets (including environmental, social and governance (ESG) commitments and targets), plans and objectives for future operations and other statements that are not historical or current facts. By their nature, forward-looking statements involve risk and uncertainty because they relate to future events and circumstances. Forward-looking statements speak only as at the date on which they are made. Forward-looking statements may be affected by a number of factors, including, without limitation: changes in legislation, regulations, governmental and regulatory policies, expectations and actions, voluntary codes of practices and the interpretation thereof, changes in International Financial Reporting Standards and other accounting standards, including practices with regard to the interpretation and application thereof and emerging and developing ESG reporting standards; the outcome of current and future legal proceedings and regulatory investigations; Barclays Bank PLC’s ability along with governments and other stakeholders to measure, manage and mitigate the impacts of climate change effectively; environmental, social and geopolitical risks and incidents, pandemics and similar events beyond Barclays Bank PLC’s control; the impact of competition in the banking and financial services industry; capital, liquidity, leverage and other regulatory rules and requirements applicable to past, current and future periods; UK, US, Eurozone and global macroeconomic and business conditions, including inflation; volatility in credit and capital markets; market related risks such as changes in interest rates and foreign exchange rates; reforms to benchmark interest rates and indices; higher or lower asset valuations; changes in credit ratings of any entity within Barclays Bank PLC or any securities issued by it; changes in counterparty risk; changes in consumer behaviour; the direct and indirect consequences of the conflicts in Ukraine and the Middle East on European and global macroeconomic conditions, political stability and financial markets; political elections; developments in the UK’s relationship with the European Union (EU); the risk of cyberattacks, information or security breaches, technology failures or other operational disruptions and any subsequent impacts on Barclays Bank PLC’s reputation, business or operations; Barclays Bank PLC’s ability to access funding; and the success of acquisitions, disposals and other strategic transactions. A number of these factors are beyond Barclays Bank PLC’s control. As a result, Barclays Bank PLC’s actual financial position, results, financial and non-financial metrics or performance measures or its ability to meet commitments and targets may differ materially from the statements or guidance set forth in Barclays Bank PLC’s forward-looking statements. Additional risks and factors which may impact Barclays Bank PLC’s future financial condition and performance are identified in Barclays Bank PLC’s filings with the SEC (including without limitation Barclays Bank PLC’s Annual Report on Form 20-F for financial year ended 31 December 2023), which is available on the SEC’s website at sec.gov.

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

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### Notes on Basis of Preparation (continued)

#### Disclosure background

Barclays Bank PLC is a wholly-owned subsidiary of Barclays PLC and is the non ring-fenced bank within the Barclays PLC Group.

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

Barclays Bank PLC capital requirements are set by the Prudential Regulation Authority (PRA) at a solo-consolidated level. Barclays Bank PLC solo-consolidated comprises Barclays Bank PLC, the parent, plus certain additional subsidiaries, whose inclusion within the consolidation is subject to PRA approval. The disclosures provided in this document for Barclays Bank PLC are based on this regulatory scope of consolidation. This differs from the accounting disclosures, where Barclays Bank PLC Group refers to Barclays Bank PLC, the parent, and all its subsidiaries.

For the purpose of liquidity management, Barclays Bank PLC and its subsidiary Barclays Capital Securities Limited, a UK broker dealer entity, are monitored on a combined basis by the PRA under a Domestic Liquidity Sub-Group (Barclays Bank PLC DoLSub) arrangement (‘DoLSub’). The liquidity disclosures (Liquidity Coverage Ratio and Net Stable Funding Ratio) provided in this document for Barclays Bank PLC are based on this regulatory scope of consolidation, unless otherwise specified.

On 20 December 2022, the PRA granted permission for leverage minimum requirements to be set at the sub-consolidated level for Barclays Bank PLC effective from 1 January 2023 replacing the individual requirement that was due to become effective at that time. The sub-consolidated group represents the Barclays Bank Group on a regulatory scope of consolidation subject to PRA approval. As a result, the Barclays Bank PLC leverage disclosures contained within this document are presented on both the Barclays Bank PLC solo-consolidated and Barclays Bank PLC sub-consolidated basis. Capital and RWA disclosure requirements remain set at the Barclays Bank PLC solo-consolidated level.

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.

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 terms Risk Weighted Asset (RWA) and Risk Weighted Exposure Amount (RWEA) are used interchangeably throughout the document.

The disclosures included in this report reflect Barclays Bank PLC’s (the Bank’s) interpretation of the current rules and guidance. The term Barclays refers to either Barclays PLC (BPLC) or, depending on the context, the Barclays Group. The term Barclays Group (the Group) refers to BPLC together with its subsidiaries.

#### Future regulatory changes

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

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

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

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### 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 PLC’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 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 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 the Barclays Bank PLC’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 PLC 2023 Annual Report.

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## Analysis of treasury and capital risk

### Table 1: KM1 - Key metrics - Part 1

| KM1 ref | | As at 31.12.23 £m | As at 30.09.23 £m | As at 30.06.23 £m | As at 31.03.23 £m | As at 31.12.22 £m |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| | **Available own funds (amounts)** | | | | | |
| 1 | Common Equity Tier 1 (CET1) capital$^a$ | 25,470 | 26,129 | 25,607 | 25,552 | 25,907 |
| 1a | Fully loaded common Equity Tier 1 (CET1) capital$^b$ | 25,450 | 26,105 | 25,581 | 25,494 | 25,571 |
| 2 | Tier 1 capital$^a$ | 33,864 | 33,082 | 34,546 | 34,440 | 34,139 |
| 2a | Fully loaded tier 1 capital$^b$ | 33,844 | 33,058 | 34,520 | 34,381 | 33,802 |
| 3 | Total capital$^{a,c}$ | 40,530 | 39,349 | 41,068 | 41,248 | 42,321 |
| 3a | Fully loaded total capital$^{b,d}$ | 39,981 | 38,796 | 40,474 | 40,301 | 41,092 |
| | **Risk-weighted exposure amounts** | | | | | |
| 4 | Total risk-weighted exposure amount$^a$ | 211,193 | 206,569 | 204,351 | 200,088 | 203,833 |
| 4a | Fully loaded total risk-weighted exposure amount$^b$ | 211,173 | 206,542 | 204,325 | 200,029 | 203,531 |
| | **Capital ratios (as a percentage of risk-weighted exposure amount)** | | | | | |
| 5 | Common Equity Tier 1 ratio (%) $^a$ | 12.1% | 12.6% | 12.5% | 12.8% | 12.7% |
| 5a | Fully loaded common Equity Tier 1 ratio (%) $^b$ | 12.1% | 12.6% | 12.5% | 12.7% | 12.6% |
| 6 | Tier 1 ratio (%) $^a$ | 16.0% | 16.0% | 16.9% | 17.2% | 16.7% |
| 6a | Fully loaded tier 1 ratio (%) $^b$ | 16.0% | 16.0% | 16.9% | 17.2% | 16.6% |
| 7 | Total capital ratio (%) $^{a,c}$ | 19.2% | 19.0% | 20.1% | 20.6% | 20.8% |
| 7a | Fully loaded total capital ratio (%) $^{b,d}$ | 18.9% | 18.8% | 19.8% | 20.1% | 20.2% |
| | **Additional own funds requirements based on SREP** | | | | | |
| UK 7a | Additional CET1 SREP requirements (%) | 2.9% | 2.5% | 2.5% | 2.5% | 2.5% |
| UK 7b | Additional AT1 SREP requirements (%) | 1.0% | 0.8% | 0.8% | 0.8% | 0.8% |
| UK 7c | Additional T2 SREP requirements (%) | 1.3% | 1.1% | 1.1% | 1.1% | 1.1% |
| UK 7d | Total SREP own funds requirements (%) | 13.1% | 12.5% | 12.5% | 12.5% | 12.5% |
| | **Combined buffer requirement (as a percentage of risk-weighted exposure amount)** | | | | | |
| 8 | Capital conservation buffer (%) | 2.5% | 2.5% | 2.5% | 2.5% | 2.5% |
| 9 | Institution specific countercyclical capital buffer (%) | 0.7% | 0.7% | 0.4% | 0.4% | 0.3% |
| 11 | Combined buffer requirement (%) | 3.2% | 3.2% | 2.9% | 2.9% | 2.8% |
| UK 11a | Overall capital requirements (%) | 16.3% | 15.7% | 15.4% | 15.4% | 15.3% |
| 12 | CET1 available after meeting the total SREP own funds requirements (%) | 4.7% | 5.6% | 5.5% | 5.7% | 5.7% |

**Notes**
a. Transitional capital and RWAs are calculated applying the IFRS 9 transitional arrangements of the CRR as amended by CRR II.
b. Fully loaded capital and RWAs are calculated without applying the transitional arrangements of the CRR as amended by CRR II.
c. Total transitional capital is calculated applying the grandfathering of CRR II non-compliant capital instruments included within Tier 2 capital.
d. Fully loaded total capital is calculated without applying the grandfathering of CRR II non-compliant capital instruments included within Tier 2 capital.

The CET1 ratio decreased to 12.1% (December 2022: 12.7%) as RWAs increased by £7.4bn to £211.2bn and CET1 capital decreased by £0.4bn to £25.5bn:
- c.140bps increase from attributable profit generated in the year
- c.120bps decrease driven by interim dividends as well as an accrual towards the full year dividends
- c.10bps decrease from other capital movements, including the impact of a regulatory capital change on 1 January 2023 relating to IFRS9 transitional relief and movements in other regulatory capital deductions
- c.80bps decrease as a result of a £12.7bn increase in RWAs primarily driven by increased trading activity within the Corporate and Investment Bank (CIB)
- A £5.3bn decrease in RWAs as a result of foreign exchange movements due to the strengthening of GBP against USD was offset by a £0.6bn decrease in CET1 capital due to a decrease in the currency translation reserve

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### Analysis of treasury and capital risk (continued)

#### Table 1: KM1 - Key metrics - Part 2

| KM1 ref | | As at 31.12.23 £m | As at 30.09.23 £m | As at 30.06.23 £m | As at 31.03.23 £m | As at 31.12.22 £m |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| | **Leverage ratio** | | | | | |
| | **Barclays Bank PLC sub-consolidated group$^a$** | | | | | |
| 13 | Total exposure measure excluding claims on central banks$^b$ | 924,826 | 955,650 | 937,242 | 925,303 | |
| 14 | Leverage ratio excluding claims on central banks (%) $^b,d$ | 6.0% | 5.6% | 5.9% | 6.0% | |
| | **Additional leverage ratio disclosure requirements** | | | | | |
| UK 14a | Fully loaded ECL accounting model leverage ratio excluding claims on central banks (%) $^c$ | 6.0% | 5.6% | 5.9% | 6.0% | |
| UK 14b | Leverage ratio including claims on central banks (%) $^b$ | 4.9% | 4.5% | 4.8% | 4.8% | |
| UK 14c | Average leverage ratio excluding claims on central banks (%) $^b,e$ | 5.4% | 5.2% | 5.4% | 5.5% | |
| UK 14d | Average leverage ratio including claims on central banks (%) $^b,e$ | 4.5% | 4.3% | 4.6% | 4.5% | |
| UK 14e | Countercyclical leverage ratio buffer (%) | 0.2% | 0.2% | 0.1% | 0.1% | |
| | **Barclays Bank PLC solo-consolidated** | | | | | |
| 13 | Total exposure measure excluding claims on central banks$^b$ | 785,494 | 802,919 | 790,000 | 780,630 | 742,730 |
| 14 | Leverage ratio excluding claims on central banks (%) $^b$ | 4.3% | 4.1% | 4.4% | 4.4% | 4.6% |
| | **Additional leverage ratio disclosure requirements** | | | | | |
| UK 14a | Fully loaded ECL accounting model leverage ratio excluding claims on central banks (%) $^c$ | 4.3% | 4.1% | 4.4% | 4.4% | 4.6% |
| UK 14b | Leverage ratio including claims on central banks (%) $^b$ | 3.6% | 3.3% | 3.5% | 3.5% | 3.7% |
| | **Liquidity Coverage Ratio$^f$** | | | | | |
| 15 | Total high-quality liquid assets (HQLA) (Weighted value) | 210,787 | 211,673 | 212,767 | 211,630 | 205,518 |
| UK 16a | Cash outflows - Total weighted value | 245,582 | 244,891 | 245,648 | 247,108 | 241,940 |
| UK 16b | Cash inflows - Total weighted value | 105,530 | 101,268 | 96,466 | 93,170 | 88,399 |
| 16 | Total net cash outflows (adjusted value) | 140,053 | 143,623 | 149,182 | 153,938 | 153,542 |
| 17 | Liquidity coverage ratio (%) | 151% | 148% | 143% | 138% | 134% |
| | **Net Stable Funding Ratio$^g$** | | | | | |
| 18 | Total available stable funding | 338,765 | 329,589 | 322,872 | 316,651 | 309,676 |
| 19 | Total required stable funding | 307,648 | 301,474 | 297,393 | 291,982 | 288,035 |
| 20 | NSFR ratio (%) | 110% | 109% | 109% | 108% | 108% |

**Notes**
a. The fully loaded Barclays Bank PLC solo-consolidated and Barclays Bank PLC sub-consolidated CET1 ratios, as are relevant for assessing against the conversion triggers in Barclays Bank PLC Additional Tier 1 (AT1) securities (all of which are held by Barclays PLC), were 12.1% and 16.4% respectively calculated without applying the transitional arrangements of the CRR as amended by CRR II.
b. Transitional UK leverage ratios are calculated applying the IFRS 9 transitional arrangements of the CRR as amended by CRR II.
c. Fully loaded UK leverage ratio is calculated without applying the transitional arrangements of the CRR as amended by CRR II.
d. Although the leverage ratio is expressed in terms of T1 capital, 75% of the minimum requirement and countercyclical leverage ratio buffer (CCLB) must be covered solely with CET1 capital. The CET1 capital held against the 0.2% CCLB was £1.8bn.
e. Average UK leverage ratio uses capital based on the last day of each month in the quarter and an exposure measure for each day in the quarter.
f. Liquidity coverage ratio computed as a trailing average of 12 month-end observations to the reporting date.
g. Net Stable Funding Ratio is computed as a trailing average of the last four spot quarter end positions.

The Barclays Bank PLC sub-consolidated group UK Leverage ratio increased to 6.0% in the quarter (September 2023: 5.6%). This was driven by a £1.9bn increase in T1 capital to £55.6bn (Sep 2023: £53.7bn) primarily due to a new AT1 instrument issued and a £30.8bn decrease in exposures to £924.8bn (Sep 2023: £955.6bn) mainly driven by lower trading activity.

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### Table 2: CC1 – Composition of regulatory own funds

| | | As at 31.12.23 Transitional Position £m | As at 31.12.23 Fully Loaded Position £m | As at 31.12.22 Transitional Position £m | As at 31.12.22 Fully Loaded Position £m |
| :--- | :--- | :--- | :--- | :--- | :--- |
| | **Common Equity Tier 1 (CET1) capital: instruments and reserves** | | | | |
| 1 | Capital instruments and the related share premium accounts | 2,343 | 2,343 | 2,343 | 2,343 |
| | of which called up share capital and share premium | 2,343 | 2,343 | 2,343 | 2,343 |
| 2 | Retained earnings$^a$ | 39,821 | 39,821 | 39,318 | 39,318 |
| 3 | Accumulated other comprehensive income (and other reserves)$^a$ | (6,210) | (6,210) | (6,705) | (6,705) |
| UK-5a | Independently reviewed interim profits net of any foreseeable charge or | 1,068 | 1,068 | 1,203 | 1,203 |
| 6 | Common Equity Tier 1 (CET1) capital before regulatory adjustments | 37,022 | 37,022 | 36,159 | 36,159 |
| | **Common Equity Tier 1 (CET1) capital: regulatory adjustments** | | | | | |
| 7 | Additional value adjustments | (1,406) | (1,406) | (1,260) | (1,260) |
| 8 | Intangible assets (net of related tax liability)$^b$ | (104) | (104) | (107) | (107) |
| 10 | Deferred tax assets that rely on future profitability excluding those arising from temporary differences (net of related tax liability where the conditions in Article 38 (3) CRR are met) | (1,210) | (1,210) | (1,198) | (1,198) |
| 11 | Fair value reserves related to gains or losses on cash flow hedges of financial instruments that are not valued at fair value | 2,697 | 2,697 | 5,180 | 5,180 |
| 12 | Negative amounts resulting from the calculation of expected loss amounts | (144) | (144) | (45) | (45) |
| 14 | Gains or losses on liabilities valued at fair value resulting from changes in | 120 | 120 | (623) | (623) |
| 15 | Defined-benefit pension fund assets$^b$ | (2,609) | (2,609) | (3,382) | (3,382) |
| 19 | Direct, indirect and synthetic holdings by the institution of the CET1 instruments of financial sector entities where the institution has a significant investment in those entities (amount above 10% threshold and | (8,165) | (8,166) | (8,144) | (8,167) |
| 22 | Amount exceeding the 17,65% threshold | (744) | (750) | (902) | (985) |
| 23 | of which: direct, indirect and synthetic holdings by the institution of the CET1 instruments of financial sector entities where the institution has a | (560) | (564) | (658) | (709) |
| 25 | of which: deferred tax assets arising from temporary differences | (184) | (186) | (244) | (276) |
| 27a | Other regulatory adjustments to CET1 capital (including IFRS 9 transitional adjustments when relevant)$^c$ | 13 | — | 229 | (1) |
| 28 | Total regulatory adjustments to Common Equity Tier 1 (CET1) | (11,552) | (11,572) | (10,252) | (10,588) |
| 29 | Common Equity Tier 1 (CET1) capital | 25,470 | 25,450 | 25,907 | 25,571 |

**Notes**
a. Comparatives have been restated to include the pension remeasurement reserve within accumulated other comprehensive income (row 3). The reserve was previously disclosed in retained earnings (row 2).
b. Deferred tax liabilities on intangible assets and pension fund assets are included as either a negative component of the deferred tax asset or a deferred tax liability on the balance sheet depending on the net deferred tax position of the bank at the time of reporting.
c. Other regulatory adjustments to CET1 capital includes IFRS 9 transitional adjustment, of which modified £13m.

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### Table 2: CC1 – Composition of regulatory own funds – continued

| | | As at 31.12.23 Transitional Position £m | As at 31.12.23 Fully Loaded Position £m | As at 31.12.22 Transitional Position £m | As at 31.12.22 Fully Loaded Position £m |
| :--- | :--- | :--- | :--- | :--- | :--- |
| | **Additional Tier 1 (AT1) capital: instruments** | | | | |
| 30 | Capital instruments and the related share premium accounts | 10,765 | 10,765 | 10,691 | 10,691 |
| 31 | of which: classified as equity under applicable accounting standards | 10,765 | 10,765 | 10,691 | 10,691 |
| 36 | Additional Tier 1 (AT1) capital before regulatory adjustments | 10,765 | 10,765 | 10,691 | 10,691 |
| | **Additional Tier 1 (AT1) capital: regulatory adjustments** | | | | |
| 40 | Direct, indirect and synthetic holdings by the institution of the AT1 instruments of financial sector entities where the institution has a significant investment in those entities (net of eligible short positions) | (2,371) | (2,371) | (2,459) | (2,459) |
| 43 | Total regulatory adjustments to Additional Tier 1 (AT1) capital | (2,371) | (2,371) | (2,459) | (2,459) |
| 44 | Additional Tier 1 (AT1) capital | 8,394 | 8,394 | 8,232 | 8,232 |
| 45 | Tier 1 capital (T1 = CET1 + AT1) | 33,864 | 33,844 | 34,139 | 33,803 |
| | **Tier 2 (T2) capital: instruments** | | | | |
| 46 | Capital instruments and the related share premium accounts | 9,805 | 9,805 | 11,052 | 11,052 |
| UK-47b | Amount of qualifying items referred to in Article 494b (2) CRR subject to phase out from T2 | 529 | — | 911 | — |
| 50 | Credit risk adjustments | 47 | 47 | 1 | 20 |
| 51 | Tier 2 (T2) capital before regulatory adjustments | 10,381 | 9,852 | 11,964 | 11,072 |
| | **Tier 2 (T2) capital: regulatory adjustments** | | | | |
| 52 | Direct, indirect and synthetic holdings by an institution of own T2 instruments and subordinated loans | (160) | (160) | (160) | (160) |
| 55 | Direct, indirect and synthetic holdings by the institution of the T2 instruments and subordinated loans of financial sector entities where the institution has a significant investment in those entities (net of eligible short positions) | (3,555) | (3,555) | (3,622) | (3,622) |
| 57 | Total regulatory adjustments to Tier 2 (T2) capital | (3,715) | (3,715) | (3,782) | (3,782) |
| 58 | Tier 2 (T2) capital | 6,666 | 6,137 | 8,182 | 7,290 |
| 59 | Total capital (TC = T1 + T2) | 40,530 | 39,981 | 42,321 | 41,093 |
| 60 | Total Risk exposure amount | 211,193 | 211,173 | 203,833 | 203,531 |
| | **Capital ratios and buffers** | | | | |
| 61 | Common Equity Tier 1 (as a percentage of total risk exposure amount) | 12.1% | 12.1% | 12.7% | 12.6% |
| 62 | Tier 1 (as a percentage of total risk exposure amount) | 16.0% | 16.0% | 16.7% | 16.6% |
| 63 | Total capital (as a percentage of total risk exposure amount) | 19.2% | 18.9% | 20.8% | 20.2% |
| 64 | Institution CET1 overall capital requirement... expressed as a percentage of risk exposure amount) | 10.5% | 10.5% | 9.9% | 9.9% |
| 65 | of which: capital conservation buffer requirement | 2.5% | 2.5% | 2.5% | 2.5% |
| 66 | of which: countercyclical buffer requirement | 0.7% | 0.7% | 0.3% | 0.3% |
| 68 | Common Equity Tier 1 available to meet buffers (as a percentage of risk exposure amount) | 4.7% | 4.7% | 5.7% | 5.5% |
| | **Amounts below the thresholds for deduction (before risk weighting)** | | | | |
| 72 | Direct and indirect holdings of own funds and eligible liabilities of financial sector entities... | 3,438 | 3,437 | 1,943 | 1,943 |
| 73 | Direct and indirect holdings by the institution of the CET1 instruments of financial sector entities... | 2,877 | 2,872 | 2,837 | 2,763 |
| 75 | Deferred tax assets arising from temporary differences... | 942 | 946 | 1,050 | 1,073 |
| | **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) | 47 | 47 | 1 | 20 |
| 79 | Cap for inclusion of credit risk adjustments in T2 under internal ratings-based approach | 437 | 437 | 466 | 466 |

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### Table 3: CC2 – Reconciliation of regulatory own funds to balance sheet in the audited financial statements

| As at 31 December 2023 | Balance sheet as in published financial statements £m | Under regulatory scope of consolidation £m |
| :--- | :--- | :--- |
| **Assets** | | |
| 1 Cash and balances at central banks | 153,701 | 153,701 |
| 2 Cash collateral and settlement balances | 75,271 | 75,138 |
| 3 Loans and advances at amortised cost to banks | 15,308 | 15,308 |
| 4 Loans and advances at amortised cost to customers | 227,131 | 228,115 |
| 5 Debt Securities at amortised cost | 33,576 | 33,576 |
| 6 Reverse repurchase agreements and other similar secured lending at amortised cost | 6,876 | 6,876 |
| 7 Trading portfolio assets | 112,654 | 112,654 |
| 8 Financial assets at fair value through the income statement | 263,960 | 263,468 |
| 9 Derivative financial instruments | 225,301 | 225,301 |
| 10 Financial assets at fair value through other comprehensive income | 50,381 | 50,381 |
| 11 Investments in subsidiaries, associates and joint ventures | 19,117 | 13,116 |
| 12 Goodwill and intangible assets | 104 | 104 |
| 13 - Of which: goodwill | 95 | 95 |
| 14 - Of which: other intangibles (excluding MSRs) | 9 | 9 |
| 15 Property, plant and equipment | 117 | 117 |
| 16 Current tax assets | 719 | 719 |
| 17 Deferred tax assets | 2,509 | 2,509 |
| 18 Retirement benefit assets | 3,621 | 3,621 |
| 19 Other assets | 3,392 | 3,392 |
| **20 Total assets** | **1,193,738** | **1,188,096** |
| **Liabilities** | | |
| 1 Deposits at amortised cost from banks | 13,616 | 8,077 |
| 2 Deposits at amortised cost from customers | 333,687 | 333,687 |
| 3 Cash collateral and settlement balances | 58,292 | 58,159 |
| 4 Repurchase agreements and other similar secured borrowing at amortised cost | 43,951 | 43,951 |
| 5 Debt securities in issue | 24,833 | 24,833 |
| 6 Subordinated liabilities | 35,237 | 35,237 |
| 7 Trading portfolio liabilities | 50,995 | 50,995 |
| 8 Financial liabilities designated at fair value | 351,945 | 351,454 |
| 9 Derivative financial instruments | 221,365 | 221,365 |
| 10 Current tax liabilities | 331 | 370 |
| 11 Deferred tax liabilities | 2 | 2 |
| 12 Retirement benefit liabilities | 71 | 71 |
| 13 Provisions | 477 | 477 |
| 14 Other liabilities | 5,708 | 5,710 |
| **15 Total liabilities** | **1,140,510** | **1,134,388** |
| **Equity** | | |
| 1 Called up share capital and share premium | 2,348 | 2,348 |
| 2 - Of which: amount eligible for CET1 | 2,343 | 2,343 |
| 3 Other equity instruments | 15,472 | 15,472 |
| 4 Other reserves | (3,209) | (3,217) |
| 5 Retained earnings | 38,617 | 39,105 |
| 6 Total equity excluding non-controlling interests | 53,228 | 53,708 |
| 7 Non-controlling interests | — | — |
| **8 Total equity** | **53,228** | **53,708** |
| **9 Total liabilities and equity** | **1,193,738** | **1,188,096** |

---

### Table 4: IFRS 9 – Comparison of institution’s own funds and capital and leverage ratios with and without the application of transitional arrangements for IFRS 9 or analogous ECLs

| | As at 31.12.23 £m | As at 30.09.23 £m | As at 30.06.23 £m | As at 31.03.23 £m | As at 31.12.22 £m |
| :--- | :--- | :--- | :--- | :--- | :--- |
| | **Available capital (amounts)** | | | | | |
| 1 | CET1 capital | 25,470 | 26,129 | 25,607 | 25,552 | 25,907 |
| 2 | CET1 capital as if IFRS 9 or analogous ECLs transitional arrangements had not been applied | 25,450 | 26,105 | 25,581 | 25,494 | 25,571 |
| 3 | Tier 1 capital | 33,864 | 33,082 | 34,546 | 34,440 | 34,139 |
| 4 | Tier 1 capital as if IFRS 9 or analogous ECLs transitional arrangements had not been applied | 33,844 | 33,058 | 34,520 | 34,381 | 33,802 |
| 5 | Total capital | 40,530 | 39,349 | 41,068 | 41,248 | 42,321 |
| 6 | Total capital as if IFRS 9 or analogous ECLs transitional arrangements had not been applied | 40,510 | 39,325 | 41,042 | 41,190 | 42,004 |
| | **Risk-weighted assets (amounts)** | | | | | |
| 7 | Total risk-weighted assets | 211,193 | 206,569 | 204,351 | 200,088 | 203,833 |
| 8 | Total risk-weighted assets as if IFRS 9 or analogous ECLs transitional arrangements had not been applied | 211,173 | 206,542 | 204,325 | 200,029 | 203,531 |
| | **Capital ratios** | | | | | |
| 9 | CET1 (as a percentage of risk exposure amount) | 12.1% | 12.6% | 12.5% | 12.8% | 12.7% |
| 10 | CET1 (as a percentage of risk exposure amount) as if IFRS 9 or analogous ECLs transitional arrangements had not been applied | 12.1% | 12.6% | 12.5% | 12.7% | 12.6% |
| 11 | Tier 1 (as a percentage of risk exposure amount) | 16.0% | 16.0% | 16.9% | 17.2% | 16.7% |
| 12 | Tier 1 (as a percentage of risk exposure amount) as if IFRS 9 or analogous ECLs transitional arrangements had not been applied | 16.0% | 16.0% | 16.9% | 17.2% | 16.6% |
| 13 | Total capital (as a percentage of risk exposure amount) | 19.2% | 19.0% | 20.1% | 20.6% | 20.8% |
| 14 | Total capital (as a percentage of risk exposure amount) as if IFRS 9 or analogous ECLs transitional arrangements had not been applied | 19.2% | 19.0% | 20.1% | 20.6% | 20.6% |
| | **Leverage ratio** | | | | | |
| | **Barclays Bank PLC sub-consolidated group** | | | | | |
| 15 | Leverage ratio total exposure measure | 924,826 | 955,650 | 937,242 | 925,303 | |
| 16 | Leverage ratio | 6.0% | 5.6% | 5.9% | 6.0% | |
| 17 | Leverage ratio as if IFRS 9 or analogous ECLs transitional arrangements had not been applied | 6.0% | 5.6% | 5.9% | 6.0% | |
| | **Barclays Bank PLC solo-consolidated** | | | | | |
| 15 | Leverage ratio total exposure measure | 785,494 | 802,919 | 790,000 | 780,630 | 742,730 |
| 16 | Leverage ratio | 4.3% | 4.1% | 4.4% | 4.4% | 4.6% |
| 17 | Leverage ratio as if IFRS 9 or analogous ECLs transitional arrangements had not been applied | 4.3% | 4.1% | 4.4% | 4.4% | 4.6% |

---

### Table 5: RWAs by risk type

| As at 31 December 2023 | Credit risk$^a$ £m (Std) | Credit risk$^a$ £m (AIRB) | Counterparty credit risk £m (Std) | Counterparty credit risk £m (AIRB) | Settlement risk £m | CVA £m | Market risk £m (Std) | Market risk £m (IMA) | Operational risk £m | Total RWAs £m |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| **Barclays Bank PLC** | 50,854 | 65,173 | 17,976 | 16,743 | 67 | 2,510 | 7,979 | 29,031 | 20,860 | 211,193 |
| As at 31 December 2022 | | | | | | | | | | |
| **Barclays Bank PLC** | 48,895 | 71,435 | 15,484 | 15,831 | 53 | 2,465 | 8,241 | 21,401 | 20,028 | 203,833 |

**Note**
a. In Q3 2023, credit risk RWAs of £2.5bn relating to Deferred Tax Assets (DTAs) have been reclassified from the Internal Ratings Based (IRB) approach to the Standardised (STD) approach with no impact to total RWAs.

---

### Table 6: OV1 – Overview of risk weighted exposure amounts

| | | Risk weighted exposure amounts (RWEAs) | Risk weighted exposure amounts (RWEAs) | Risk weighted exposure amounts (RWEAs) | Total own funds requirements | Total own funds requirements | Total own funds requirements |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| | | **As at 31.12.2023 £m** | **As at 30.09.2023 £m** | **As at 31.12.2022 £m** | **As at 31.12.2023 £m** | **As at 30.09.2023 £m** | **As at 31.12.2022 £m** |
| 1 | Credit risk (excluding CCR)$^a$ | 99,934 | 100,581 | 105,321 | 7,994 | 8,046 | 8,426 |
| 2 | Of which the standardised approach | 43,812 | 42,724 | 43,489 | 3,505 | 3,418 | 3,480 |
| 3 | Of which the foundation IRB (FIRB) approach | — | — | — | — | — | — |
| 4 | Of which: slotting approach | 3,580 | 3,905 | 4,292 | 286 | 312 | 343 |
| UK 4a | Of which: equities under the simple risk weight approach | — | — | — | — | — | — |
| 5 | Of which the advanced IRB (AIRB) approach | 52,542 | 53,952 | 57,540 | 4,203 | 4,316 | 4,603 |
| 6 | Counterparty credit risk - CCR | 37,163 | 34,582 | 33,746 | 2,973 | 2,766 | 2,700 |
| 7 | Of which the standardised approach | 3,322 | 3,541 | 3,832 | 266 | 283 | 307 |
| 8 | Of which internal model method (IMM) | 23,212 | 22,514 | 21,075 | 1,857 | 1,801 | 1,686 |
| UK 8a | Of which exposures to a CCP | 942 | 1,176 | 865 | 75 | 94 | 69 |
| UK 8b | Of which credit valuation adjustment - CVA | 2,510 | 2,140 | 2,465 | 201 | 171 | 197 |
| 9 | Of which other CCR | 7,177 | 5,211 | 5,509 | 574 | 417 | 441 |
| 15 | Settlement risk | 67 | 135 | 53 | 5 | 11 | 4 |
| 16 | Securitisation exposures in the non-trading book (after the cap) | 16,159 | 15,021 | 15,043 | 1,293 | 1,202 | 1,203 |
| 17 | Of which SEC-IRBA approach | 9,051 | 8,996 | 9,603 | 724 | 720 | 768 |
| 18 | Of which SEC-ERBA (including IAA) | 1,956 | 1,956 | 1,849 | 157 | 157 | 148 |
| 19 | Of which SEC-SA approach | 5,101 | 4,054 | 3,586 | 408 | 324 | 287 |
| UK 19a | Of which 1250%/ deduction | 51 | 15 | 5 | 4 | 1 | — |
| 20 | Position, foreign exchange and commodities risks (Market risk) | 37,010 | 36,179 | 29,642 | 2,961 | 2,894 | 2,371 |
| 21 | Of which the standardised approach | 7,979 | 8,981 | 8,241 | 639 | 718 | 659 |
| 22 | Of which IMA | 29,031 | 27,198 | 21,401 | 2,322 | 2,176 | 1,712 |
| 23 | Operational risk | 20,860 | 20,071 | 20,028 | 1,669 | 1,606 | 1,602 |
| UK 23b | Of which standardised approach | 20,860 | 20,071 | 20,028 | 1,669 | 1,606 | 1,602 |
| 24 | Amounts below the thresholds for deduction (subject to 250% risk weight) (For information only) | 9,553 | 9,834 | 9,712 | 764 | 787 | 777 |
| 29 | Total | 211,193 | 206,569 | 203,833 | 16,895 | 16,525 | 16,306 |

---

### Table 7: CR8 – RWEA flow statements of credit risk exposures under the advanced IRB approach

| | | Three months ended 31.12.2023 £m | Twelve months ended 31.12.2023 £m |
| :--- | :--- | :--- | :--- |
| 1 | Risk weighted exposure amount as at the end of the previous reporting period | 56,720 | 57,776 |
| 2 | Asset size | (2,321) | (4,150) |
| 3 | Asset quality | 66 | 419 |
| 4 | Model updates | — | — |
| 5 | Methodology and policy | 126 | 1,345 |
| 6 | Acquisitions and disposals | — | — |
| 7 | Foreign exchange movements | (1,362) | (2,161) |
| 8 | Other | — | — |
| 9 | Risk weighted exposure amount as at the end of the reporting period | 53,229 | 53,229 |

### Table 8: CCR7– RWEA flow statements of CCR exposures under the IMM

| | | Three months ended 31.12.2023 £m | Twelve months ended 31.12.2023 £m |
| :--- | :--- | :--- | :--- |
| 1 | Risk weighted exposure amount as at the end of the previous reporting period | 22,514 | 21,075 |
| 2 | Asset size | 1,317 | 2,446 |
| 3 | Credit quality of counterparties | (28) | 483 |
| 4 | Model updates (IMM only) | — | — |
| 5 | Methodology and policy (IMM only) | — | — |
| 6 | Acquisitions and disposals | — | — |
| 7 | Foreign exchange movements | (591) | (792) |
| 8 | Other | — | — |
| 9 | Risk weighted exposure amount as at the end of the reporting period | 23,212 | 23,212 |

---

### Table 9: MR2-B – RWA flow statements of market risk exposures under the IMA

| Three month ended 31.12.2023 | VaR £m | SVaR £m | IRC £m | Other £m | Total RWEAs £m | Total own funds requirements £m |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| 1 RWAs at previous period end | 5,030 | 13,988 | 5,247 | 2,933 | 27,198 | 2,176 |
| 1a Regulatory adjustment$^a$ | (2,780) | (1,609) | — | — | (4,389) | (351) |
| 1b RWAs at the previous quarter-end (end of the day) | 2,250 | 12,379 | 5,247 | 2,933 | 22,809 | 1,825 |
| 2 Movement in risk levels | (506) | (4,949) | 1,078 | 802 | (3,575) | (286) |
| 3 Model updates/changes | (54) | (87) | — | — | (141) | (12) |
| 8a RWAs at the end of the reporting period (end of the day) | 1,690 | 7,343 | 6,325 | 3,735 | 19,093 | 1,527 |
| 8b Regulatory adjustment$^b$ | 2,409 | 7,529 | — | — | 9,938 | 795 |
| 8 RWAs at the end of the disclosure period | 4,099 | 14,872 | 6,325 | 3,735 | 29,031 | 2,322 |

| Twelve month ended 31.12.2023 | VaR £m | SVaR £m | IRC £m | Other £m | Total RWEAs £m | Total own funds requirements £m |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| 1 RWAs at previous period end | 6,207 | 9,575 | 2,786 | 2,833 | 21,401 | 1,712 |
| 1a Regulatory adjustment$^a$ | (3,496) | (4,438) | (33) | — | (7,967) | (637) |
| 1b RWAs at the previous quarter-end (end of the day) | 2,711 | 5,137 | 2,753 | 2,833 | 13,434 | 1,075 |
| 2 Movement in risk levels | (967) | 2,293 | 3,572 | 902 | 5,800 | 464 |
| 3 Model updates/changes | (54) | (87) | — | — | (141) | (12) |
| 8a RWAs at the end of the reporting period (end of the day) | 1,690 | 7,343 | 6,325 | 3,735 | 19,093 | 1,527 |
| 8b Regulatory adjustment$^b$ | 2,409 | 7,529 | — | — | 9,938 | 795 |
| 8 RWAs at the end of the disclosure period | 4,099 | 14,872 | 6,325 | 3,735 | 29,031 | 2,322 |

---

### Table 10: LR1 - Summary of reconciliation of accounting assets and leverage ratio exposures

| Barclays Bank PLC sub-consolidated group$^a,b$ | As at 31 December 2023 £m |
| :--- | :--- |
| 1 Total assets as per published financial statements$^c$ | 1,185,166 |
| 2 Adjustment for entities which are consolidated for accounting purposes but are outside the scope of prudential consolidation | (9,120) |
| 4 Adjustment for exemption of exposures to central banks | (198,621) |
| 6 Adjustment for regular-way purchases and sales of financial assets subject to trade date accounting | (23,818) |
| 8 Adjustments for derivative financial instruments | (109,280) |
| 9 Adjustment for securities financing transactions (SFTs) | 24,578 |
| 10 Adjustment for off-balance sheet items (i.e. conversion to credit equivalent amounts of off-balance sheet exposures) | 119,861 |
| 11 Adjustment for prudent valuation adjustments and specific and general provisions which have reduced Tier 1 capital | (2,163) |
| 12 Other adjustments | (61,777) |
| 13 Total exposure measure | 924,826 |

| Barclays Bank PLC solo-consolidated$^a$ | As at 31 December 2023 £m | As at 31 December 2022 £m |
| :--- | :--- | :--- |
| 1 Total assets as per published financial statements$^d$ | 1,193,738 | 1,147,912 |
| 2 Adjustment for entities which are consolidated for accounting purposes but are outside the scope of prudential consolidation | (5,642) | (3,525) |
| 4 Adjustment for exemption of exposures to central banks | (162,728) | (180,846) |
| 6 Adjustment for regular-way purchases and sales of financial assets subject to trade date accounting | (9,096) | (10,763) |
| 8 Adjustments for derivative financial instruments | (81,805) | (92,010) |
| 9 Adjustment for securities financing transactions (SFTs) | 38,946 | 45,734 |
| 10 Adjustment for off-balance sheet items (i.e. conversion to credit equivalent amounts of off-balance | 125,425 | 125,481 |
| 11 Adjustment for prudent valuation adjustments and specific and general provisions which have reduced | (1,704) | (1,570) |
| UK-11a Adjustment for exposures excluded from the total exposure measure in accordance with point (c ) of Article 429a(1) CRR | (252,344) | (236,619) |
| 12 Other adjustments | (59,296) | (51,064) |
| 13 Total exposure measure | 785,494 | 742,730 |

---

### Table 11: LR2 - Leverage ratio common disclosure

| Barclays Bank PLC sub-consolidated$^a,b$ | As at 31 December 2023 £m |
| :--- | :--- |
| **On-balance sheet exposures (excluding derivatives and SFTs)** | |
| 1 On-balance sheet items (excluding derivatives, SFTs, but including collateral) | 710,948 |
| 3 Deductions of receivables assets for cash variation margin provided in derivatives transactions | (34,501) |
| 6 Asset amounts deducted in determining tier 1 capital (leverage) | (6,695) |
| 7 Total on-balance sheet exposures (excluding derivatives and SFTs) | 669,752 |
| **Derivative exposures** | |
| 8 Replacement cost associated with SA-CCR derivatives transactions (i.e. net of eligible cash variation margin) | 48,292 |
| 9 Add-on amounts for potential future exposure associated with SA-CCR derivatives transactions | 105,020 |
| 10 Exempted CCP leg of client-cleared trade exposures (SA-CCR) | (45,301) |
| 11 Adjusted effective notional amount of written credit derivatives | 679,015 |
| 12 Adjusted effective notional offsets and add-on deductions for written credit derivatives | (662,521) |
| 13 Total derivatives exposures | 124,505 |
| **Securities financing transaction (SFT) exposures** | |
| 14 Gross SFT assets (with no recognition of netting), after adjustment for sales accounting transactions | 714,605 |
| 15 Netted amounts of cash payables and cash receivables of gross SFT assets | (529,669) |
| 16 Counterparty credit risk exposure for SFT assets | 24,811 |
| 18 Total securities financing transaction exposures | 209,747 |
| **Other off-balance sheet exposures** | |
| 19 Off-balance sheet exposures at gross notional amount | 355,283 |
| 20 Adjustments for conversion to credit equivalent amounts | (235,422) |
| 21 General provisions deducted in determining tier 1 capital (leverage) and specific provisions associated with off-balance sheet exposures | (418) |
| 22 Off-balance sheet exposures | 119,443 |
| **Capital and total exposure measure** | |
| 23 Tier 1 capital (leverage) | 55,560 |
| 24 Total exposure measure including claims on central banks | 1,123,447 |
| UK-24a (-) Claims on central banks excluded | (198,621) |
| UK-24b Total exposure measure excluding claims on central banks | 924,826 |
| **Leverage ratio** | |
| 25 Leverage ratio excluding claims on central banks (%) | 6.0% |
| UK-25a Fully loaded ECL accounting model leverage ratio excluding claims on central banks (%) | 6.0% |
| UK-25c Leverage ratio including claims on central banks (%) | 4.9% |
| 26 Regulatory minimum leverage ratio requirement (%) | 3.3% |
| **Additional leverage ratio disclosure requirements - leverage ratio buffers** | |
| 27 Leverage ratio buffer (%) | 0.2% |
| UK-27b Of which: countercyclical leverage ratio buffer (%) | 0.2% |

---

### Table 11: LR2 - Leverage ratio common disclosure (continued)

| Barclays Bank PLC solo-consolidated$^a$ | As at 31 December 2023 £m | As at 31 December 2022 £m |
| :--- | :--- | :--- |
| **On-balance sheet exposures (excluding derivatives and SFTs)** | | |
| 1 On-balance sheet items (excluding derivatives, SFTs, but including collateral) | 720,958 | 662,392 |
| 3 Deductions of receivables assets for cash variation margin provided in derivatives transactions | (31,161) | (17,315) |
| 6 Asset amounts deducted in determining tier 1 capital (leverage) | (16,741) | (17,268) |
| 7 Total on-balance sheet exposures (excluding derivatives and SFTs) | 673,056 | 627,809 |
| **Derivative exposures** | | |
| 8 Replacement cost associated with SA-CCR derivatives transactions (i.e. net of eligible cash variation margin) | 41,531 | 48,183 |
| 9 Add-on amounts for potential future exposure associated with SA-CCR derivatives transactions | 92,987 | 111,821 |
| 10 Exempted CCP leg of client-cleared trade exposures (SA-CCR) | (21,067) | (27,378) |
| 11 Adjusted effective notional amount of written credit derivatives | 488,525 | 615,969 |
| 12 Adjusted effective notional offsets and add-on deductions for written credit derivatives | (471,279) | (599,638) |
| 13 Total derivatives exposures | 130,697 | 148,957 |
| **Securities financing transaction (SFT) exposures** | | |
| 14 Gross SFT assets (with no recognition of netting), after adjustment for sales accounting transactions | 765,229 | 618,564 |
| 15 Netted amounts of cash payables and cash receivables of gross SFT assets | (532,721) | (407,354) |
| 16 Counterparty credit risk exposure for SFT assets | 39,179 | 47,048 |
| 18 Total securities financing transaction exposures | 271,687 | 258,258 |
| **Other off-balance sheet exposures** | | |
| 19 Off-balance sheet exposures at gross notional amount | 273,400 | 270,973 |
| 20 Adjustments for conversion to credit equivalent amounts | (147,976) | (145,492) |
| 21 General provisions deducted in determining tier 1 capital (leverage) and specific provisions associated with off-balance sheet exposures | (298) | (310) |
| 22 Off-balance sheet exposures | 125,126 | 125,171 |
| **Excluded exposures** | | |
| UK-22a (Exposures excluded from the total exposure measure in accordance with point (c) of Article 429a(1) of the CRR) | (252,344) | (236,619) |
| UK-22k (Total exempted exposures) | (252,344) | (236,619) |
| **Capital and total exposure measure** | | |
| 23 Tier 1 capital (leverage) | 33,864 | 34,139 |
| 24 Total exposure measure including claims on central banks | 948,222 | 923,576 |
| UK-24a (-) Claims on central banks excluded | (162,728) | (180,846) |
| UK-24b Total exposure measure excluding claims on central banks | 785,494 | 742,730 |
| **Leverage ratio** | | |
| 25 Leverage ratio excluding claims on central banks (%) | 4.3% | 4.6% |
| UK-25a Fully loaded ECL accounting model leverage ratio excluding claims on central banks (%) | 4.3% | 4.6% |
| UK-25c Leverage ratio including claims on central banks (%) | 3.6% | 3.7% |

---

### Table 12: LR3 - Split-up of on balance sheet exposures (excluding derivatives, SFTs and exempted exposures)

| Barclays Bank PLC sub-consolidated group$^a,b$ | As at 31 December 2023 £m |
| :--- | :--- |
| UK-1 Total on-balance sheet exposures (excluding derivatives, SFTs, and exempted exposures), of which: | 448,876 |
| UK-2 Trading book exposures | 180,918 |
| UK-3 Banking book exposures, of which: | 267,958 |
| UK-4 Covered bonds | 1,024 |
| UK-5 Exposures treated as sovereigns | 78,037 |
| UK-6 Exposures to regional governments, MDB, international organisations and PSE not treated as sovereigns | 4,692 |
| UK-7 Institutions | 10,451 |
| UK-8 Secured by mortgages of immovable properties | 10,947 |
| UK-9 Retail exposures | 29,699 |
| UK-10 Corporates | 70,935 |
| UK-11 Exposures in default | 2,092 |
| UK-12 Other exposures (e.g. equity, securitisations, and other non-credit obligation assets) | 60,081 |

| Barclays Bank PLC solo-consolidated$^a$ | As at 31 December 2023 £m | As at 31 December 2022 £m |
| :--- | :--- | :--- |
| UK-1 Total on-balance sheet exposures (excluding derivatives, SFTs, and exempted exposures), of which: | 349,709 | 309,078 |
| UK-2 Trading book exposures | 116,017 | 87,351 |
| UK-3 Banking book exposures, of which: | 233,692 | 221,727 |
| UK-4 Covered bonds | 1,024 | 748 |
| UK-5 Exposures treated as sovereigns | 73,595 | 57,781 |
| UK-6 Exposures to regional governments, MDB, international organisations and PSE not treated as sovereigns | 4,347 | 5,258 |
| UK-7 Institutions | 13,774 | 13,490 |
| UK-8 Secured by mortgages of immovable properties | 6,763 | 7,337 |
| UK-9 Retail exposures | 1,440 | 758 |
| UK-10 Corporates | 60,884 | 68,648 |
| UK-11 Exposures in default | 1,244 | 1,523 |
| UK-12 Other exposures (e.g. equity, securitisations, and other non-credit obligation assets) | 70,621 | 66,184 |

---

### Table 13: LIQ1 - Liquidity coverage ratio

| Liquidity coverage ratio (average) | Total unweighted value (average) (31.12.23) £m | Total unweighted value (average) (30.09.23) £m | Total unweighted value (average) (30.06.23) £m | Total unweighted value (average) (31.03.23) £m | Total weighted value (average) (31.12.23) £m | Total weighted value (average) (30.09.23) £m | Total weighted value (average) (30.06.23) £m | Total weighted value (average) (31.03.23) £m |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| UK1a/b Number of data points used | 12 | 12 | 12 | 12 | 12 | 12 | 12 | 12 |
| 1 Total high-quality liquid assets (HQLA) | | | | | 210,787 | 211,673 | 212,767 | 211,630 |
| **Cash outflows** | | | | | | | | |
| 2 Retail deposits and deposits from small business customers, of which: | 30,028 | 30,068 | 29,845 | 29,188 | 3,276 | 3,369 | 3,421 | 3,432 |
| 3 Stable deposits | 720 | 724 | 727 | 732 | 36 | 36 | 36 | 37 |
| 4 Less stable deposits | 19,429 | 19,991 | 20,352 | 20,481 | 3,240 | 3,332 | 3,385 | 3,395 |
| 5 Unsecured wholesale funding, of which: | 198,627 | 202,360 | 210,283 | 216,493 | 105,772 | 108,999 | 114,379 | 119,207 |
| 6 Operational deposits and deposits in networks of cooperative banks | 60,531 | 57,911 | 58,957 | 59,191 | 14,963 | 14,304 | 14,565 | 14,622 |
| 7 Non-operational deposits (all counterparties)$^b$ | 130,443 | 136,963 | 143,692 | 149,583 | 83,156 | 87,209 | 92,179 | 96,866 |
| 8 Unsecured debt | 7,653 | 7,486 | 7,634 | 7,719 | 7,653 | 7,486 | 7,635 | 7,719 |
| 9 Secured wholesale funding | 78,196 | 74,814 | 70,282 | 67,067 | | | | |
| 10 Additional requirements, of which: | 153,688 | 154,110 | 155,575 | 156,216 | 47,003 | 46,690 | 46,784 | 46,553 |
| 11 Outflows related to derivative exposures and other collateral requirements | 19,452 | 18,568 | 17,446 | 16,407 | 14,887 | 14,603 | 14,013 | 13,279 |
| 12 Outflows related to loss of funding on debt products | 4,113 | 4,328 | 4,759 | 4,726 | 4,113 | 4,328 | 4,759 | 4,726 |
| 13 Credit and liquidity facilities | 130,123 | 131,214 | 133,370 | 135,083 | 28,003 | 27,759 | 28,012 | 28,548 |
| 14 Other contractual funding obligations | 8,243 | 7,827 | 7,646 | 7,760 | 7,553 | 7,136 | 6,954 | 7,066 |
| 15 Other contingent funding obligations | 70,657 | 68,937 | 67,347 | 66,546 | 3,782 | 3,883 | 3,828 | 3,783 |
| 16 Total cash outflows | | | | | 245,582 | 244,891 | 245,648 | 247,108 |
| **Cash inflows** | | | | | | | | |
| 17 Secured lending (e.g. reverse repos) | 648,911 | 618,610 | 599,476 | 588,741 | 77,001 | 72,617 | 68,822 | 66,516 |
| 18 Inflows from fully performing exposures | 21,268 | 22,078 | 21,718 | 21,093 | 18,428 | 19,125 | 18,596 | 18,050 |
| 19 Other cash inflows$^c$ | 12,784 | 12,316 | 12,007 | 11,543 | 10,101 | 9,526 | 9,048 | 8,604 |
| 20 Total cash inflows | 682,963 | 653,004 | 633,201 | 621,377 | 105,530 | 101,268 | 96,466 | 93,170 |
| 22 Total net cash outflows | | | | | 140,053 | 143,623 | 149,182 | 153,938 |
| 23 Liquidity coverage ratio (%) (average) | | | | | 151% | 148% | 143% | 138% |

---

### Table 14: LIQ2 - Net stable funding ratio

| As at 31 December 2023 | 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 | 38,688 | 5,574 | 4,000 | 42,089 | 82,777 |
| 2 Own funds | 38,688 | 2,108 | 1,126 | 18,768 | 58,019 |
| 3 Other capital instruments | | 3,466 | 2,874 | 23,321 | 24,758 |
| 4 Retail deposits | | 28,977 | 2,299 | 289 | 28,487 |
| 5 Stable deposits | | 983 | 22 | 3 | 957 |
| 6 Less stable deposits | | 27,994 | 2,277 | 286 | 27,530 |
| 7 Wholesale funding: | | 517,857 | 45,371 | 111,576 | 227,401 |
| 8 Operational deposits | | 62,747 | — | — | 31,373 |
| 9 Other wholesale funding | | 455,110 | 45,371 | 111,576 | 196,028 |
| 10 Interdependent liabilities | | — | — | — | — |
| 11 Other liabilities: | 572 | 75,984 | — | 100 | 100 |
| 12 NSFR derivative liabilities | 572 | | | | |
| 13 All other liabilities and capital instruments not included in the above categories | | 75,984 | — | 100 | 100 |
| **14 Total ASF** | | | | | **338,765** |
| **Required stable funding (RSF) Items** | | | | | |
| 15 Total high-quality liquid assets (HQLA) | | | | | 25,247 |
| UK-15a Assets encumbered for more than 12m in cover pool | — | 45,040 | — | — | 38,284 |
| 16 Deposits held at other financial institutions for operational purposes | | — | — | — | — |
| 17 Performing loans and securities: | | 260,224 | 17,267 | 153,238 | 176,046 |
| 18 Performing securities financing transactions with financial customers collateralised by Level 1 HQLA | | 56,659 | 851 | 5,338 | 5,762 |
| 19 Performing securities financing transactions with financial customer collateralised by other assets | | 186,287 | 11,161 | 95,150 | 112,789 |
| 20 Performing loans to non-financial corporate clients, loans to retail and small business customers, and loans to sovereigns, and PSEs | | 15,975 | 5,116 | 51,829 | 56,252 |
| 21 With a risk weight of less than or equal to 35% under the Basel II Standardised Approach | | 2,591 | 381 | 7,466 | 6,904 |
| 22 Performing residential mortgages, of which: | | — | — | — | — |
| 23 With a risk weight of less than or equal to 35% under the Basel II Standardised Approach | | — | — | — | — |
| 24 Other loans and securities that are not in default and do not qualify as HQLA | | 1,303 | 139 | 921 | 1,243 |
| 25 Interdependent assets | | — | — | — | 0 |
| 26 Other assets | | 108,931 | — | 30,310 | 60,454 |
| 27 Physical traded commodities | | — | — | — | — |
| 28 Assets posted as initial margin for derivative contracts | | 30,341 | — | — | 25,790 |
| 29 NSFR derivative assets | | 765 | — | — | 765 |
| 30 NSFR derivative liabilities before deduction of variation margin posted | | 60,776 | — | — | 3,039 |
| 31 All other assets not included in the above categories | | 17,049 | — | 30,310 | 30,860 |
| 32 Off-balance sheet items | | 156,065 | — | 24 | 7,617 |
| **33 Total RSF** | | | | | **307,648** |
| **34 Net Stable Funding Ratio (%)** | | | | | **110%** |

---

### Table 14: LIQ2 - Net stable funding ratio (continued)

| 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 | 40,618 | 2,894 | 4,884 | 39,650 | 82,710 |
| 2 Own funds$^b$ | 40,618 | 2,054 | 2,261 | 16,125 | 57,873 |
| 3 Other capital instruments$^b$ | | 841 | 2,624 | 23,525 | 24,837 |
| 4 Retail deposits | | 28,686 | 2,263 | 199 | 28,097 |
| 5 Stable deposits | | 884 | 10 | 6 | 855 |
| 6 Less stable deposits | | 27,802 | 2,253 | 193 | 27,242 |
| 7 Wholesale funding: | | 525,374 | 35,877 | 104,483 | 198,819 |
| 8 Operational deposits | | 59,628 | — | — | 29,814 |
| 9 Other wholesale funding | | 465,746 | 35,877 | 104,483 | 169,005 |
| 10 Interdependent liabilities | | — | — | — | — |
| 11 Other liabilities: | 340 | 78,996 | — | 25 | 50 |
| 12 NSFR derivative liabilities | 340 | | | | |
| 13 All other liabilities and capital instruments not included in the above categories | | 78,996 | — | 25 | 50 |
| **14 Total ASF** | | | | | **309,676** |
| **Required stable funding (RSF) Items** | | | | | |
| 15 Total high-quality liquid assets (HQLA) | | | | | 23,245 |
| UK-15a Assets encumbered for more than 12m in cover pool | | 34,374 | — | — | 29,218 |
| 16 Deposits held at other financial institutions for operational purposes | | — | — | — | — |
| 17 Performing loans and securities: | | 236,441 | 20,715 | 145,424 | 168,277 |
| 18 Performing securities financing transactions with financial customers collateralised by Level 1 HQLA$^b$ | | 52,988 | 826 | 3,154 | 3,567 |
| 19 Performing securities financing transactions with financial customer collateralised by other assets$^b$ | | 161,897 | 13,696 | 75,767 | 93,004 |
| 20 Performing loans to non-financial corporate clients, loans to retail and small business customers, and loans to sovereigns, and PSEs$^b$ | | 19,573 | 5,768 | 65,812 | 70,312 |
| 21 With a risk weight of less than or equal to 35% under the Basel II Standardised Approach for credit risk$^b$ | | 3,184 | 1,401 | 6,464 | 6,494 |
| 22 Performing residential mortgages, of which: | | — | — | — | — |
| 23 With a risk weight of less than or equal to 35% under the Basel II Standardised Approach for credit risk$^b$ | | — | — | — | — |
| 24 Other loans and securities that are not in default and do not qualify as HQLA | | 1,983 | 426 | 691 | 1,396 |
| 25 Interdependent assets | | | | | |
| 26 Other assets | | 89,392 | — | 30,830 | 59,428 |
| 27 Physical traded commodities | | | | | |
| 28 Assets posted as initial margin for derivative contracts | | 27,201 | — | — | 23,121 |
| 29 NSFR derivative assets | | 2,878 | — | — | 2,878 |
| 30 NSFR derivative liabilities before deduction of variation margin posted | | 58,488 | — | — | 2,924 |
| 31 All other assets not included in the above categories | | 825 | — | 30,830 | 30,505 |
| 32 Off-balance sheet items | | 153,150 | — | 25 | 7,867 |
| **33 Total RSF** | | | | | **288,035** |
| **34 Net Stable Funding Ratio (%)** | | | | | **108%** |

---

### Table 15: CR4 - Standardised approach - Credit risk exposure and CRM effects

| As at 31 December 2023 | Exposures before CCF and CRM (On-balance sheet amount) £m | Exposures before CCF and CRM (Off-balance sheet amount) £m | Exposures post-CCF and CRM (On-balance sheet amount) £m | Exposures post-CCF and CRM (Off-balance sheet amount) £m | RWA £m | RWA density % |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| 1 Central governments or central banks | 149,733 | 10,437 | 154,640 | 12,385 | 2,380 | 1% |
| 2 Regional governments or local authorities | 421 | 219 | 1,004 | 13 | 18 | 2% |
| 3 Public sector entities | 5,327 | 169 | 117 | 55 | 35 | 20% |
| 4 Multilateral development banks | 4,801 | — | 4,801 | — | — | — |
| 5 International organisations | 966 | — | 966 | — | — | — |
| 6 Institutions | 75,377 | 32,262 | 70,728 | 13,789 | 2,145 | 3% |
| 7 Corporates | 116,038 | 63,602 | 92,638 | 12,652 | 27,125 | 26% |
| 8 Retail | 1,440 | 2,232 | 1,356 | 121 | 996 | 67% |
| 9 Secured by mortgages on immovable property | 6,763 | 105 | 6,763 | 50 | 2,503 | 37% |
| 10 Exposures in default | 702 | 546 | 677 | 137 | 976 | 120% |
| 11 Exposures associated with particularly high risk | 246 | — | 246 | — | 369 | 150% |
| 12 Covered bonds | — | — | — | — | — | — |
| 13 Institutions and corporates with a short-term credit assessment | — | — | — | — | — | — |
| 14 Collective investment undertakings | — | — | — | — | — | — |
| 15 Equity | 2,901 | — | 2,901 | — | 7,252 | 250% |
| 16 Other items | 13 | — | 13 | — | 13 | 100% |
| 17 Total | 364,728 | 109,572 | 336,850 | 39,202 | 43,812 | 12% |

| As at 31 December 2022 | Exposures before CCF and CRM (On-balance sheet amount) £m | Exposures before CCF and CRM (Off-balance sheet amount) £m | Exposures post-CCF and CRM (On-balance sheet amount) £m | Exposures post-CCF and CRM (Off-balance sheet amount) £m | RWA £m | RWA density % |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| 1 Central governments or central banks | 159,593 | 11,338 | 163,535 | 13,125 | 11 | 0% |
| 2 Regional governments or local authorities | 555 | 243 | 1,098 | 25 | 23 | 2% |
| 3 Public sector entities | 4,115 | 205 | 165 | 92 | 51 | 20% |
| 4 Multilateral development banks | 4,064 | — | 4,064 | — | — | — |
| 5 International organisations | 295 | — | 295 | — | — | — |
| 6 Institutions | 42,551 | 30,721 | 37,837 | 13,858 | 2,993 | 6% |
| 7 Corporates | 108,521 | 62,512 | 84,673 | 13,294 | 27,725 | 28% |
| 8 Retail | 758 | 2,042 | 684 | 113 | 500 | 63% |
| 9 Secured by mortgages on immovable property | 7,252 | 102 | 7,252 | 49 | 2,709 | 37% |
| 10 Exposures in default | 903 | 770 | 827 | 352 | 1,504 | 128% |
| 11 Exposures associated with particularly high risk | 288 | — | 288 | — | 432 | 150% |
| 12 Covered bonds | — | — | — | — | — | — |
| 13 Institutions and corporates with a short-term credit assessment | — | — | — | — | — | — |
| 14 Collective investment undertakings | — | — | — | — | — | — |
| 15 Equity | 2,840 | — | 2,840 | — | 7,099 | 250% |
| 16 Other items | 1,999 | — | 1,999 | — | 442 | 22% |
| 17 Total | 333,734 | 107,933 | 305,557 | 40,908 | 43,489 | 13% |

---

### Table 16: CR7 – IRB approach – Effect on the RWEAs of credit derivatives used as CRM techniques

| | | Pre-credit derivatives risk weighted exposure amount (31 Dec 2023) £m | Pre-credit derivatives risk weighted exposure amount (31 Dec 2022) £m | Actual risk weighted exposure amount (31 Dec 2023) £m | Actual risk weighted exposure amount (31 Dec 2022) £m |
| :--- | :--- | :--- | :--- | :--- | :--- |
| 5 | Exposures under AIRB | 49,653 | 53,502 | 49,649 | 53,484 |
| 6 | Central governments and central banks | 4,066 | 3,334 | 4,066 | 3,334 |
| 7 | Institutions | 3,362 | 3,405 | 3,362 | 3,405 |
| 8 | Corporates$^a$ | 42,091 | 46,349 | 42,087 | 46,331 |
| 8.1 | of which Corporates - which SMEs | 1,843 | 2,876 | 1,843 | 2,876 |
| 8.2 | of which Corporates - Specialised lending | — | — | — | — |
| 9 | Retail | 134 | 414 | 134 | 414 |
| 9.1 | of which Retail – SMEs - Secured by immovable property collateral | — | — | — | — |
| 9.2 | of which Retail – non-SMEs - Secured by immovable property collateral | 134 | 414 | 134 | 414 |
| 9.3 | of which Retail – Qualifying revolving | — | — | — | — |
| 9.4 | of which Retail – SMEs - Other | — | — | — | — |
| 9.5 | of which Retail – Non-SMEs- Other | — | — | — | — |
| 10 | TOTAL | 49,653 | 53,502 | 49,649 | 53,484 |

---

### Table 17: CR7-A – IRB approach – Disclosure of the extent of the use of CRM techniques

| As at 31 December 2023 | Total exposures £m | Part of exposures covered by Financial Collaterals % | Part of exposures covered by Other eligible collaterals % | Part of exposures covered by Immovable property Collaterals % | Part of exposures covered by Receivables % | Part of exposures covered by Other physical collateral % | Part of exposures covered by Other funded credit protection % | Part of exposures covered by Cash on deposit % | Part of exposures covered by Life insurance policies % | Part of exposures covered by Instruments held by a third party % | Part of exposures covered by Guarantees % | Part of exposures covered by Credit Derivatives % | RWEA post all CRM assigned to the obligor exposure class £m | RWEA with substitution effects £m |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| 1 Central governments/banks | 74,419 | 0.2% | — | — | — | — | — | — | — | — | — | — | 4,066 | 4,066 |
| 2 Institutions | 14,117 | 0.8% | 1.1% | 0.2% | — | 0.9% | 1.9% | 1.9% | — | — | 2.4% | — | 3,362 | 3,362 |
| 3 Corporates | 68,192 | 6.5% | 11.9% | 7.5% | 0.6% | 3.8% | — | — | — | — | 2.6% | — | 42,087 | 42,087 |
| 3.1 Of which Corporates – SMEs | 3,901 | 4.9% | 55.9% | 50.4% | 4.2% | 1.3% | — | — | — | — | 1.5% | — | 1,843 | 1,843 |
| 3.3 Of which Corporates – Other | 64,291 | 6.6% | 9.3% | 4.9% | 0.4% | 3.9% | — | — | — | — | 2.7% | — | 40,244 | 40,244 |
| 4 Retail | 386 | — | 170.2% | 170.2% | — | — | — | — | — | — | 29.4% | — | 134 | 134 |
| 4.2 Of which Retail – Immovable property non-SMEs | 386 | — | 170.2% | 170.2% | — | — | — | — | — | — | 29.4% | — | 134 | 134 |
| 5 Total | 157,114 | 3.0% | 5.7% | 3.7% | 0.3% | 1.7% | 0.2% | 0.2% | — | — | 1.4% | — | 49,649 | 49,649 |

---

### Table 17: CR7-A – IRB approach – Disclosure of the extent of the use of CRM techniques (continued)

| As at 31 December 2022 | Total exposures £m | Part of exposures covered by Financial Collaterals % | Part of exposures covered by Other eligible collaterals % | Part of exposures covered by Immovable property Collaterals % | Part of exposures covered by Receivables % | Part of exposures covered by Other physical collateral % | Part of exposures covered by Other funded credit protection % | Part of exposures covered by Cash on deposit % | Part of exposures covered by Life insurance policies % | Part of exposures covered by Instruments held by a third party % | Part of exposures covered by Guarantees % | Part of exposures covered by Credit Derivatives % | RWEA post all CRM assigned to the obligor exposure class £m | RWEA with substitution effects £m |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| 1 Central governments/banks | 70,807 | 0.2% | — | — | — | — | — | — | — | — | — | — | 3,334 | 3,334 |
| 2 Institutions | 13,905 | 0.9% | 1.1% | 0.2% | — | 0.9% | 2.0% | 2.0% | — | — | 4.8% | — | 3,405 | 3,405 |
| 3 Corporates | 72,449 | 6.5% | 11.9% | 7.5% | 0.6% | 3.8% | — | — | — | — | 1.7% | 0.1% | 46,331 | 46,331 |
| 3.1 Of which Corporates – SMEs | 5,926 | 5.6% | 52.3% | 48.9% | 2.9% | 0.6% | — | — | — | — | 1.1% | — | 2,876 | 2,876 |
| 3.3 Of which Corporates – Other | 66,523 | 6.6% | 8.3% | 3.8% | 0.4% | 4.0% | — | — | — | — | 1.8% | 0.2% | 43,455 | 43,455 |
| 4 Retail | 487 | — | 165.4% | 165.4% | — | — | — | — | — | — | 24.4% | — | 414 | 414 |
| 4.2 Of which Retail – Immovable property non-SMEs | 487 | — | 165.4% | 165.4% | — | — | — | — | — | — | 24.4% | — | 414 | 414 |
| 5 Total | 157,648 | 3.2% | 6.1% | 4.0% | 0.3% | 1.8% | 0.2% | 0.2% | — | — | 1.3% | 0.1% | 53,484 | 53,484 |

---

### Table 18: CR10 – Specialised lending and equity exposures under the simple risk weighted approach

| Specialised lending : Income-producing real estate and high volatility commercial real estate (Slotting approach) | On-balance sheet exposure £m | Off-balance sheet exposure £m | Risk weight % | Exposure value £m | Risk weighted exposure amount £m | Expected loss amount £m |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| **As at 31 December 2023** | | | | | | |
| Category 1 (Less than 2.5 years) | 1,494 | 631 | 50% | 1,838 | 849 | — |
| Category 1 (Equal to or more than 2.5 years) | 838 | 202 | 70% | 853 | 565 | 4 |
| Category 2 (Less than 2.5 years) | 904 | 151 | 70% | 994 | 677 | 4 |
| Category 2 (Equal to or more than 2.5 years) | 543 | 82 | 90% | 625 | 547 | 5 |
| Category 3 (Less than 2.5 years) | 392 | 150 | 115% | 469 | 538 | 13 |
| Category 3 (Equal to or more than 2.5 years) | 293 | — | 115% | 293 | 337 | 8 |
| Category 4 (Less than 2.5 years) | 18 | — | 250% | 18 | 45 | 1 |
| Category 4 (Equal to or more than 2.5 years) | 44 | — | 250% | 44 | 109 | 4 |
| Category 5 (Less than 2.5 years) | 88 | — | — | 88 | — | 44 |
| Category 5 (Equal to or more than 2.5 years) | 2 | 2 | — | 3 | — | 2 |
| **Total (Less than 2.5 years)** | 2,896 | 932 | — | 3,407 | 2,109 | 62 |
| **Total (Equal to or more than 2.5 years)** | 1,720 | 286 | — | 1,818 | 1,558 | 23 |

| **As at 31 December 2022** | | | | | | |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| Category 1 (Less than 2.5 years) | 1,372 | 532 | 50% | 1,593 | 686 | — |
| Category 1 (Equal to or more than 2.5 years) | 882 | 365 | 70% | 983 | 624 | 4 |
| Category 2 (Less than 2.5 years) | 1,333 | 115 | 70% | 1,400 | 945 | 6 |
| Category 2 (Equal to or more than 2.5 years) | 1,024 | 40 | 90% | 1,049 | 927 | 8 |
| Category 3 (Less than 2.5 years) | 475 | 373 | 115% | 626 | 699 | 18 |
| Category 3 (Equal to or more than 2.5 years) | 281 | 106 | 115% | 329 | 377 | 9 |
| Category 4 (Less than 2.5 years) | 42 | — | 250% | 42 | 104 | 3 |
| Category 4 (Equal to or more than 2.5 years) | 3 | — | 250% | 3 | 8 | — |
| Category 5 (Less than 2.5 years) | 31 | — | — | 31 | — | 15 |
| Category 5 (Equal to or more than 2.5 years) | 3 | 2 | — | 4 | — | 2 |
| **Total (Less than 2.5 years)** | 3,253 | 1,020 | — | 3,692 | 2,434 | 42 |
| **Total (Equal to or more than 2.5 years)** | 2,193 | 513 | — | 2,368 | 1,936 | 23 |

---

### Table 19: CR1 - Performing and non-performing exposures and related provisions

| As at 31 December 2023 | Gross carrying amount/nominal (Total) £m | Performing (Stage 1) £m | Performing (Stage 2) £m | Non-performing (Stage 2) £m | Non-performing (Stage 3) £m | Accumulated impairment (Stage 1) £m | Accumulated impairment (Stage 2) £m | Accumulated impairment (Stage 3) £m | Collateral/Guarantees received (Performing) £m | Collateral/Guarantees received (Non-performing) £m |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| 010 Loans and advances | 583,902 | 317,008 | 8,431 | 1,854 | 1,854 | (461) | (268) | (626) | 297,307 | 963 |
| 090 Debt securities | 88,095 | 80,382 | 2,827 | — | — | (22) | (12) | — | 1,044 | — |
| 150 Off-balance-sheet exposures | 274,721 | 256,790 | 17,931 | 759 | 759 | (311) | (202) | (44) | 49,156 | 39 |
| 220 Total | 1,099,847 | 807,309 | 29,189 | 2,613 | 2,613 | (794) | (482) | (670) | 347,507 | 1,002 |

---

### Table 19: CR1 - Performing and non-performing exposures and related provisions (continued)

| As at 31 December 2022 | Gross carrying amount/nominal (Total) £m | Performing (Stage 1) £m | Performing (Stage 2) £m | Non-performing (Stage 2) £m | Non-performing (Stage 3) £m | Accumulated impairment (Stage 1) £m | Accumulated impairment (Stage 2) £m | Accumulated impairment (Stage 3) £m | Collateral/Guarantees received (Performing) £m | Collateral/Guarantees received (Non-performing) £m |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| 010 Loans and advances | 534,276 | 281,972 | 10,669 | 1,833 | 1,831 | (579) | (255) | (643) | 274,465 | 891 |
| 090 Debt securities | 71,936 | 62,102 | 4,674 | — | — | (34) | (28) | — | 1,268 | — |
| 150 Off-balance-sheet exposures | 268,531 | 249,627 | 18,904 | 808 | 808 | (385) | (208) | (23) | 48,055 | 24 |
| 220 Total | 1,044,398 | 763,356 | 34,247 | 2,641 | 2,639 | (998) | (491) | (666) | 323,788 | 915 |

---

### Table 20: CR1-A - Maturity of exposures

| Net Exposure Value | On demand £m | <= 1 year £m | > 1 year <= 5 years £m | > 5 years £m | Total £m |
| :--- | :--- | :--- | :--- | :--- | :--- |
| **As at 31 December 2023** | | | | | |
| 1 Loans and advances | 356,584 | 387,647 | 87,851 | 27,712 | 859,794 |
| 2 Debt securities | — | 15,036 | 37,937 | 35,100 | 88,073 |
| 3 Total | 356,584 | 402,683 | 125,788 | 62,812 | 947,867 |
| **As at 31 December 2022** | | | | | |
| 1 Loans and advances | 280,589 | 406,588 | 82,843 | 33,797 | 803,817 |
| 2 Debt securities | 72 | 7,158 | 41,614 | 23,058 | 71,902 |
| 3 Total | 280,661 | 413,746 | 124,457 | 56,855 | 875,719 |

### Table 21: CR2 - Changes in the stock of non-performing loans and advances

| As at 31 December 2023 | Gross carrying amount £m |
| :--- | :--- |
| 010 Initial stock of non-performing loans and advances | 1,833 |
| 020 Inflows to non-performing portfolios | 973 |
| 030 Outflows from non-performing portfolios | (227) |
| 040 Outflows due to write-offs | (154) |
| 050 Outflow due to other situations$^a$ | (571) |
| 060 Final stock of non-performing loans and advances | 1,854 |

### Table 22: CR3 – CRM techniques overview: Disclosure of the use of credit risk mitigation techniques

| As at 31 December 2023 | Unsecured carrying amount £m | Secured carrying amount £m | Of which secured by collateral £m | Of which secured by financial guarantees £m |
| :--- | :--- | :--- | :--- | :--- |
| 1 Loans and advances | 440,615 | 298,270 | 293,468 | 4,802 |
| 2 Debt securities | 87,051 | 1,044 | 831 | 213 |
| 3 Total | 527,666 | 299,314 | 294,299 | 5,015 |
| 4 Of which non-performing exposures | 891 | 963 | 952 | 11 |

---

### Table 23: CQ1 - Credit quality of forborne exposures

| As at 31 December 2023 | Gross carrying amount/nominal (Performing forborne) £m | Gross carrying amount/nominal (Non-performing forborne) £m | Gross carrying amount/nominal (Of which defaulted) £m | Gross carrying amount/nominal (Of which impaired) £m | Accumulated impairment (On performing forborne) £m | Accumulated impairment (On non-performing forborne) £m | Collateral/Guarantees received (Total) £m |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| 010 Loans and Advances | 892 | 504 | 503 | 503 | (26) | (100) | 619 |
| 100 Total | 1,276 | 610 | 609 | 609 | (31) | (100) | 664 |

---

### Table 24: CQ3 - Credit quality of performing and non-performing exposures by past due days

| As at 31 December 2023 | Gross carrying amount (Performing) £m | Gross carrying amount (Non-performing) £m |
| :--- | :--- | :--- |
| 010 Loans and advances (Not past due or past due ≤ 30 days) | 583,757 | — |
| 010 Loans and advances (Past due > 30 days ≤ 90 days) | 145 | — |
| 010 Loans and advances (Unlikely to pay not past due) | — | 1,854 |
| 220 Total | 824,981 | 2,613 |

---

### Table 25: CQ4 - Quality of non-performing exposures by geography

| As at 31 December 2023 | Gross carrying amount (Non-performing) £m | Accumulated impairment £m |
| :--- | :--- | :--- |
| On balance sheet exposures | 1,854 | (1,109) |
| Off balance sheet exposures | 759 | (355) |
| Total | 2,613 | (1,109) |

---

### Table 26: CQ5 - Credit quality of loans and advances to non-financial corporations by industry

| As at 31 December 2023 | Gross carrying amount (Total) £m | Of which: non-performing £m | Of which: defaulted £m | Accumulated impairment £m |
| :--- | :--- | :--- | :--- | :--- |
| 200 Total | 55,822 | 992 | 992 | (649) |

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### Table 27: CQ7 - Collateral obtained by taking possession and execution processes

| As at 31 December 2023 | Value at initial recognition £m |
| :--- | :--- |
| 080 Total | 3 |

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### Table 28: CCyB1 - Geographical distribution of credit exposures relevant for the calculation of the countercyclical buffer

| As at 31 December 2023 | Total exposure value £m | Risk-weighted exposure amounts £m | Countercyclical buffer rate % |
| :--- | :--- | :--- | :--- |
| Total | 354,470 | 132,740 | |

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### Table 29: CCyB2 - Amount of institution-specific countercyclical capital buffer

| | As at 31 December 2023 | As at 31 December 2022 |
| :--- | :--- | :--- |
| 1 Total risk exposure amount | 211,193 | 203,833 |
| 2 Institution specific countercyclical capital buffer rate | 0.7% | 0.3% |
| 3 Institution specific countercyclical capital buffer requirement | 1,384 | 663 |

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### Table 30: UK REM1 - Remuneration awarded for the financial year

| (all figures in £m except for ‘Number of identified staff’) | MB Supervisory function | MB Management function | Other senior management | Other identified staff |
| :--- | :--- | :--- | :--- | :--- |
| 1 Number of identified staff (Fixed) | 9 | 2 | 20.0 | 1,132.5 |
| 2 Total fixed remuneration | 2.7 | 5.1 | 37.6 | 691.7 |
| 9 Number of identified staff (Variable) | — | 2 | 18.0 | 988.3 |
| 10 Total variable remuneration | — | 8.7 | 36.7 | 601.7 |
| 17 Total remuneration (2 + 10) | 2.7 | 13.8 | 74.3 | 1,293.4 |

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### Table 31: UK REM2 - Special payments to staff whose professional activities have a material impact on institution’s risk profile (identified staff)

| (all figures in £m except for ‘Number of identified staff’) | MB Supervisory function | MB Management function | Other senior management | Other identified staff |
| :--- | :--- | :--- | :--- | :--- |
| 1 Guaranteed variable remuneration awards - Number of identified staff | — | — | — | 2.0 |
| 2 Guaranteed variable remuneration awards - Total amount | — | — | — | 2.6 |
| 6 Severance payments awarded during the financial year - Number of identified staff | — | — | 1.0 | 29.0 |
| 7 Severance payments awarded during the financial year - Total amount | — | — | 0.14 | 8.2 |

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### Table 32: UK REM3 - Deferred remuneration (all figures are in £m)

| Deferred and retained remuneration | Total amount of deferred remuneration awarded for previous performance periods £m | Of which due to vest in the financial year £m | Of which vesting in subsequent financial years £m | Total amount of deferred remuneration awarded before the financial year actually paid out in the financial year £m |
| :--- | :--- | :--- | :--- | :--- |
| 1 MB Supervisory function | — | — | — | — |
| 7 MB Management function | 25.2 | 3.0 | 22.2 | 3.1 |
| 13 Other senior management | 111.6 | 23.9 | 87.7 | 24.8 |
| 19 Other identified staff | 1,197.7 | 343.8 | 853.9 | 355.5 |
| 25 Total amount | 1,334.5 | 370.7 | 963.8 | 383.4 |

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### Table 33: UK REM4 - Remuneration of 1 million EUR or more per year

| EUR | Identified staff that are high earners as set out in Article 450(i) CRR |
| :--- | :--- |
| 1 000 000 to below 1 500 000 | 273 |
| 1 500 000 to below 2 000 000 | 112 |
| 2 000 000 to below 2 500 000 | 62 |
| 2 500 000 to below 3 000 000 | 51 |
| 3 000 000 to below 3 500 000 | 32 |
| 3 500 000 to below 4 000 000 | 12 |
| 4 000 000 to below 4 500 000 | 9 |
| 4 500 000 to below 5 000 000 | 10 |
| 5 000 000 to below 6 000 000 | 11 |
| 6 000 000 to below 7 000 000 | 7 |
| 7 000 000 to below 8 000 000 | 1 |
| 8 000 000 to below 9 000 000 | 0 |
| 9 000 000 to below 10 000 000 | 5 |
| 10 000 000 to below 11 000 000 | 1 |
| 11 000 000 to below 12 000 000 | 1 |

### Table 34: UK REM5 - Information on remuneration of staff whose professional activities have a material impact on institution’s risk profile (identified staff)

| (all figures in £m except for ‘Total number of identified staff’) | Management body remuneration (MB Supervisory function) | Management body remuneration (MB Management function) | Management body remuneration (Total MB) | Business areas (Investment banking) | Business areas (Retail banking) | Business areas (Corporate functions) | Business areas (Independent internal control functions) | Total |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| 1 Total number of identified staff | | | 11 | | | | | 1,163.5 |
| 5 Total remuneration of identified staff | 2.7 | 13.8 | 16.5 | 1,162.5 | 53.4 | 94.8 | 55.5 | |
| 6 Of which: variable remuneration | — | 8.7 | 8.7 | 556.0 | 26.6 | 41.9 | 13.9 | |
| 7 Of which: fixed remuneration | 2.7 | 5.1 | 7.8 | 606.5 | 26.8 | 52.9 | 41.6 | |