# Barclays PLC Pillar 3 Report 2015

## Return to stability

### Contents

| | Page |
| --- | --- |
| Barclays PLC Pillar 3 Report | 2 |
| Summary of risk profile | 3 |
| Notes on basis of preparation | 5 |
| Scope of application of Basel rules | 6 |
| Risk and capital position review | 14 |
| ■ Group capital resources, requirements and leverage | 15 |
| ■ Analysis of credit risk | 27 |
| ■ Analysis of counterparty credit risk | 63 |
| ■ Analysis of market risk | 71 |
| ■ Analysis of securitisation exposures | 82 |
| ■ Analysis of operational risk | 92 |
| Barclays’ approach to managing risks | 95 |
| ■ Risk management strategy, governance and risk culture | 96 |
| ■ Management of credit risk and the internal ratings based approach | 107 |
| ■ Management of counterparty credit risk and credit risk mitigation techniques | 124 |
| ■ Management of market risk | 128 |
| ■ Management of securitisation exposures | 139 |
| ■ Management of operational risk | 143 |
| ■ Management of funding risk | 147 |
| ■ Management of conduct risk (including reputation risk) | 152 |
| Appendix A – PD, LGD, RWA and EAD by country | 156 |
| Appendix B – Disclosure on asset encumbrance | 158 |
| Appendix C – Remuneration disclosures | 159 |
| Appendix D – CRD IV reference | 161 |
| Location of risk disclosures | 168 |
| Index of tables | 170 |

### 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 the Group. Barclays cautions readers that no forward-looking statement is a guarantee of future performance and that actual results or other financial condition or performance measures could differ materially from those contained in the forward-looking statements. These 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. Examples of forward-looking statements include, among others, statements regarding the Group’s future financial position, income growth, assets, impairment charges and provisions, business strategy, capital, leverage and other regulatory ratios, payment of dividends (including dividend pay-out ratios), projected levels of growth in the banking and financial markets, projected costs or savings, original and revised commitments and targets in connection with the strategic cost programme and the Group Strategy Update, rundown of assets and businesses within Barclays Non-Core, estimates of capital expenditures and plans and objectives for future operations, projected employee numbers and other statements that are not historical fact. By their nature, forward-looking statements involve risk and uncertainty because they relate to future events and circumstances. These may be affected by changes in legislation, the development of standards and interpretations under International Financial Reporting Standards, evolving practices with regard to the interpretation and application of accounting and regulatory standards, the outcome of current and future legal proceedings and regulatory investigations, future levels of conduct provisions, the policies and actions of governmental and regulatory authorities, geopolitical risks and the impact of competition. In addition, factors including (but not limited to) the following may have an effect: capital, leverage and other regulatory rules (including with regard to the future structure of the Group) applicable to past, current and future periods; UK, US, Africa, Eurozone and global macroeconomic and business conditions; the effects of continued volatility in credit markets; market related risks such as changes in interest rates and foreign exchange rates; effects of changes in valuation of credit market exposures; changes in valuation of issued securities; volatility in capital markets; changes in credit ratings of any entities within the Group or any securities issued by such entities; the potential for one or more countries exiting the Eurozone; the implementation of the strategic cost programme; and the success of future acquisitions, disposals and other strategic transactions. A number of these influences and factors are beyond the Group’s control. As a result, the Group’s actual future results, dividend payments, and capital and leverage ratios may differ materially from the plans, goals, and expectations set forth in the Group’s forward-looking statements. Additional risks and factors which may impact the Group’s future financial condition and performance are identified in our filings with the SEC (including, without limitation, our Annual Report on Form 20-F for the fiscal year ended 31 December 2015), which are available on the SEC’s website at www.sec.gov.

Subject to our obligations under the applicable laws and regulations of 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.

---

# Barclays PLC Pillar 3 Report 2015

**Robert Le Blanc**
Chief Risk Officer

**Tushar Morzaria**
Group Finance Director

> ‘The continued strengthening of our capital and leverage ratios reflect the strong progress made this year in rebalancing the Group.’

### Capital position and risk management in 2015

Our annual disclosures contain extensive information on risk as well as capital management. This Pillar 3 Report provides a detailed breakdown of Barclays’ regulatory capital adequacy and how this relates to Barclays’ risk management:

*   the fully loaded CRD IV Common Equity Tier 1 (CET1) ratio increased significantly to 11.4% (2014: 10.3%) driven by a £44bn reduction in risk weighted assets (RWAs) to £358bn (2014: £402bn)
*   the leverage ratio increased significantly to 4.5% (2014: 3.7%) driven by a £205bn reduction in the exposure to £1,028bn (2014: £1,233bn).

### Accelerated execution of our strategy with strong progress made on the rundown of the Non-Core business:

*   Non-Core RWAs reduced £29bn to £47bn, having more than halved since the business unit was created
*   Non-Core leverage exposures reduced £156bn to £121bn primarily in securities financing transactions, potential future exposure on derivatives and trading portfolio assets
*   the Non-Core business is subject to the same robust risk management framework as Barclays’ Core businesses.

### We saw continued improvement in the credit and market risk positions of the firm:

*   credit impairment charges improved 2% to £2.1bn, reflecting the benign economic conditions in the UK and the US
*   credit impairment charges within the Non-Core business improved 54% to £78m, reflecting the sale of the Spanish business and higher recoveries in Europe
*   counterparty credit risk reduced 31% to £33.7bn driven by trading book risk reductions
*   market risk levels decreased mainly driven by equities and interest rates as well as asset reductions in the Non-Core business. Related RWAs reduced 28% to £37.6bn while average management value at risk decreased 23% year on year.

### We continued to make strong progress in embedding the elements of a sound risk culture including the Enterprise Risk Management Framework (ERMF):

*   we updated and refined the ERMF in order to promote a strong risk culture and embed it further within the businesses
*   we clarified further the “three lines of defence” governance model so that responsibilities for risk management and control are an integral part of individuals’ roles (see page 101)
*   training on our code of conduct and other related topics relevant to specific roles continue to be deployed to all colleagues.

---

# Summary of risk profile

This section presents a high-level summary of Barclays’ risk profile and its interaction with the Group’s risk appetite. Please see page 168 for a comprehensive index of all risk disclosures.

The Board makes use of the Risk Appetite Framework to set appetite, and continuously monitors existing and emerging risks.

The Group sets its risk appetite in terms of performance metrics as well as a set of mandate and scale limits to monitor risks. During 2015, the Group’s performance was in line with its risk appetite. The following risk metrics reflect the Group’s risk profile:

*   **11.4%** Common Equity Tier 1 ratio (see page 16) (2014: 10.3%)
*   **£40.7bn** Common Equity Tier 1 capital (see page 16) (2014: £41.5bn)
*   **£358.4bn** Risk weighted assets (see page 23) (2014: £401.9bn)
*   **4.9%** Return on average shareholders’ equity (see page 220 of the 2015 Annual Report) (2014: 5.1%)
*   **4.5%** Leverage ratio (see page 26) (2014: 3.7%)
*   **133%** Liquidity coverage ratio (see page 187 of the 2015 Annual Report) (2014: 124%)
*   **47bps** Loan loss rate (see page 109) (2014: 46bps)
*   **£17m** Management Value at Risk (see page 74) (2014: £22m)

*   Fully loaded CRD IV CET1 ratio increased significantly to 11.4% (2014: 10.3%) reflecting a decrease in RWAs to £358.4bn (2014: £401.9bn).
*   The RWA reduction was primarily driven by a £29bn decrease in the Non-Core business to £47bn, driven by the sale of the Spanish business and a rundown of legacy structured and credit products.
*   The leverage ratio increased significantly to 4.5% (2014: 3.7%), reflecting a £205bn exposure reduction to £1,028bn. This was driven by the Non-Core business exposures rundown of £156bn to £121bn.
*   The loan loss rate remained stable at 47bps (2014: 46bps) reflecting the benign economic conditions in the UK and the US. These conditions supported generally stable delinquency rates in retail and lower default rates in wholesale where large single-name losses were limited in number and mainly within the oil and gas sector.
*   Average management Value at Risk fell by 23% to £17m (2014: £22m), mainly driven by interest rate risk.

Another component of the Group’s risk appetite is a set of mandate and scale limits to help mitigate concentration risk, keep business activities within our mandate and allow Barclays to remain of an appropriate scale. During 2015, Barclays paid particular attention to Non-Core assets, and undertook deep dive reviews of specific sectors to help ensure risk capacity continues to be deployed within overall appetite.

The material existing and emerging risks section on page 119 of the Barclays PLC Annual Report describes the main risks currently faced by the Group.

Please see page 106 for a discussion of risk appetite, and page 119 of the Annual Report for a discussion of material and emerging risks.

The Pillar 3 Report provides detailed regulatory risk measures that reflect the Group’s risk profile and strategy. 2015 measures show the progress accomplished in rebalancing the Group’s risk profile as follows:

| | 2015 £bn | 2014 £bn |
| --- | --- | --- |
| 1 Credit risk | 230.4 | 244.0 |
| 2 Counterparty credit risk | 33.7 | 49.1 |
| 3 Market risk | 37.6 | 52.1 |
| 4 Operational risk | 56.7 | 56.7 |

```mermaid
pie title Risk profile 2015 (£bn)
    "Credit risk" : 230.4
    "Counterparty credit risk" : 33.7
    "Market risk" : 37.6
    "Operational risk" : 56.7
```

1.  credit risk decreased 6% to £230.4bn, primarily driven by the sale of the Spanish business and the rundown of legacy structured and credit products within Non-Core
2.  counterparty credit risk decreased 31% to £33.7bn, primarily driven by trading risk reductions within the Investment Bank and Non-Core
3.  market risk decreased 28% to £37.6bn, driven by trading risk reductions within the Investment Bank and Non-Core
4.  operational risk remained unchanged at £56.7bn (2014: £56.7bn).

We hold RWAs for credit (discussed on page 27), market (page 71), and operational (page 92) risks. See page 24 for the main drivers of movements for each of these risk types.

---

# Summary of risk profile (continued)

```mermaid
pie title RWAs (£bn)
    "Personal & Corporate Banking" : 120.4
    "Barclaycard" : 41.3
    "Africa Banking" : 33.9
    "Investment Bank" : 108.3
    "Head Office and Other Operations" : 7.7
    "Barclays Non-Core" : 46.6
```

| | 2015 £bn | 2014 £bn |
| --- | --- | --- |
| 1 Personal & Corporate Banking | 120.4 | 120.2 |
| 2 Barclaycard | 41.3 | 39.9 |
| 3 Africa Banking | 33.9 | 38.5 |
| 4 Investment Bank | 108.3 | 122.4 |
| 5 Head Office and Other Operations | 7.7 | 5.6 |
| 6 Barclays Non-Core | 46.6 | 75.3 |

RWAs decreased 11% to £358.4bn (2014: £401.9bn):

1.  Personal and Corporate Banking (PCB) remained stable at £120.4bn
2.  Barclaycard increased 4% to £41.3bn, primarily driven by growth in the US cards business
3.  Africa Banking decreased 12% to £33.9bn, primarily driven by the depreciation of ZAR against GBP. Excluding the impact of currency movements, Africa Banking increased 8% due to an increase in corporate lending
4.  Investment Bank decreased 12% to £108.3bn mainly due to a reduction in securities and derivatives, and improved RWA efficiency
5.  Head Office increased 38% to £7.7bn, primarily driven by an increase in deferred tax assets and reallocation of operational risk
6.  Non-Core RWAs decreased 38% to £46.6bn, primarily driven by the sale of the Spanish business, the active rundown of legacy structured and credit products, and derivative trade unwinds.

---

# Notes on basis of preparation

### Pillar 3 Report regulatory framework

The Pillar 3 Report is prepared in accordance with the Capital Requirements Regulation and Directive IV (‘CRR’ and ‘CRD IV’, also known as the ‘CRD IV legislative package’). In particular, articles 431 to 455 of the CRR specify the Pillar 3 framework requirements. The CRD IV legislative package came into force on 1 January 2014.

### Key changes in the 2015 Pillar 3 Report

The tables and information from last year’s CRD IV comparatives section have been reallocated back to their relevant sections as all comparatives are now on a CRD IV basis.

We are now using the term Globally Systematically Important Bank (G–SIB) rather than Globally Systematically Important Financial Institution (G-SIFI) in line with BCBS and FSB terminology.

Comparatives for Collateral (page 41), CVA (page 81) and Remuneration (page 159) tables are now included (these were first time disclosures last year).

### Presentation of risk data in the Pillar 3 disclosures vs. the Annual Report and financial statements

This document discloses Barclays’ assets in terms of exposures and capital requirements. For the purposes of this document:

**Asset/exposure classes**
Throughout this report, tables show credit exposures or capital requirements split into various exposure classes (for instance, industry or type of borrower). Some of these classes are specified in CRD IV. Where the regulations are not explicit, such as in industry and geographic analyses, Barclays shows exposure class splits at an appropriate level of granularity.

**Credit losses**
Where impairment or losses are disclosed within this document, Barclays has followed the IFRS definitions used in the Annual Report.

**Scope of application**
Where this document discloses credit exposures or capital requirements, Barclays 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 in the 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 will differ from asset values as reported in the Annual Report.

Table 15 provides a reconciliation between IFRS and EAD for credit risk. Tables 33 to 39 provides a reconciliation between the IFRS impairment provision and the regulatory impairment allowance.

### Policy, validation and sign-off

Throughout the year ended 31 December 2015, and to date, Barclays has operated a system of risk management and internal control, which provides reasonable assurance over the information disclosed in this report as well as with regards to compliance with laws and regulations.

This report was validated and approved internally by Barclays in line with its Pillar 3 policy. Businesses attest to the accuracy of their data submissions. Consistency checks and reconciliations are performed with financial statements and regulatory returns.

The Pillar 3 policy, approved by the Board Risk Committee, also requires that Barclays’ external disclosures (which include the Pillar 3 Report, interim management statements, and the Annual Report) convey its risk profile comprehensively, subject to the information being material and not proprietary nor confidential. The policy also covers frequency of disclosures.

During the publication process the report is subject to reviews by Barclays’ Legal and Technical committee. This committee is responsible for reviewing the Group’s financial reports and disclosures to ensure that they are fit for purpose for external disclosures, and reports its conclusions to the Disclosure Committee.

The Disclosure Committee, which is chaired by the Group Finance Director, considers the content and accuracy of the disclosures, reporting its conclusions to the Board Audit Committee (BAC). The BAC reviews the report, with final approval provided by the Board.

This governance process is in place to ensure both management and the Board are given sufficient opportunity to review and challenge the Group’s financial statements and other significant disclosures before they are made public.

---

# Scope of application of Basel rules

This section explains the scope of application of Basel rules in relation to capital adequacy.

*   Figure 1 shows a representation of Barclays’ entities within the scope of regulatory consolidation and how this differs from IFRS consolidation.
*   Table 1 shows how IFRS balances contribute to the regulatory scope of consolidation on a line by line basis.
*   The regulatory risk type associated with each balance sheet line is indicated in table 2.
*   Tables 3 and 4 show the scope of permission of calculation approaches that summarises the various approaches to calculate RWAs, and Barclays’ permission to use them.

### Application of the Basel framework

**Overview of Pillar 3**
Barclays has applied the Basel framework since its implementation. The framework is made up of three pillars:

*   **Pillar 1:** covers the calculation of RWAs for credit risk, counterparty credit risk, market risk and operational risk
*   **Pillar 2:** covers the consideration of whether additional capital is required over and above the Pillar 1 risk calculations. A firm’s own internal models and assessments support this process
*   **Pillar 3:** covers external communication of risk and capital information by banks as specified in the Basel rules to promote transparency and good risk management

Pillar 3 requires the disclosure of exposures and associated RWAs for each risk type and approach to calculating capital requirements for Pillar 1.

Distinct regulatory capital approaches are followed for each of the following risk and exposure types:

*   credit risk (including certain non-traded equity exposures)
*   counterparty credit risk
*   market risk
*   credit valuation adjustment
*   securitisations
*   operational risk.

### Approaches to calculating capital requirements under CRD IV

**Calculation of capital for credit risk**
The credit risk weighted assets calculation is based on an estimate of the Exposure at Default (EAD). In addition, where Barclays has the necessary regulatory waivers, it estimates Probabilities of Default (PD) and Loss Given Default (LGD) (see page 116 and the online glossary for definitions):

*   Standardised approach: assesses capital requirements using standard industry wide risk weightings based on a detailed classification of asset types, ratings and maturity
*   Internal Ratings Based approach (IRB): assesses capital requirements using the Group’s specific data and internal models to calculate risk weightings. The IRB approach is further sub-divided into two applications:
    *   Advanced IRB (AIRB): where internal calculations of PD, LGD and credit conversion factors are used to model risk exposures
    *   Foundation IRB (FIRB): where internal calculations of PD, but standardised parameters for LGD and credit conversion factors are used. The Africa Banking wholesale portfolio previously reported under the FIRB approach, moved to AIRB during 2015.

**Calculation of capital for counterparty credit risk (CCR)**
CCR differs from credit risk, above, in how the EAD is calculated and applies to traded exposures. It arises where a counterparty default may lead to losses of an uncertain nature as they are market driven. This uncertainty is factored into the valuation of the Group’s credit exposure arising from such transactions. The Group uses three methods under the regulatory framework to calculate CCR exposure:

*   the Mark to Market method (MTM, also known as Current Exposure method), which is the sum of the current market value of the instrument plus an add-on (dependent on potential future exposure, or PFE) that accounts for the potential change in the value of the contract until a hypothetical default of the counterparty
*   the Internal Model Method (IMM), subject to regulatory approval, allows the use of internal models to calculate an effective expected positive exposure (EEPE), multiplied by a factor stipulated by the regulator called alpha. For Barclays this is set at 1.4
*   the Financial Collateral Comprehensive Method (FCCM), which is the net position of securities financing transactions after the application of volatility haircuts prescribed by CRR.

**Calculation of capital for market risk**
RWA calculations for market risk assess the losses from extreme movements in the prices of financial assets and liabilities:

*   Standardised approach: a calculation is prescribed that depends on the type of contract, the net position at portfolio level, and other inputs that are relevant to the position. For instance, for equity positions a general market risk component captures changes in the market, while specific market risk is calculated based on features of the specific security (for instance, country of issuance)
*   Model based approach: with regulatory permission, the Group can use proprietary Value at Risk (VaR) models to calculate capital requirements. Under the Basel framework, stressed VaR, incremental risk charge and all price risk models must also be used to ensure that sufficient levels of capital are maintained.

**Calculation of credit valuation adjustment (CVA) capital charge**
The CVA is the capital charge accounting for potential MTM losses due to credit quality deterioration of a counterparty (that does not necessarily default). Two approaches can be used to calculate the adjustment:

*   Standardised approach: takes account of the external credit rating of each counterparty, and incorporates the effective maturity and EAD from the CCR calculation
*   Advanced approach: this approach requires the calculation of the charge as; a) a 10-day 99% VaR measure for the current one year period; and b) the same measure for a stressed period. The sum of the two VaR measures is tripled to calculate the capital charge.

---

# Scope of application of Basel rules (continued)

**Calculation of capital for securitisation exposures**
A separate regulatory framework exists for the calculation of securitisations RWA exposures, the scope of which is defined by the CRR. Securitisations give rise to credit, market and other risks. Whilst CRR prescribes a standardised and advanced approach for the calculation of risk weights, Barclays has approval to use, and therefore applies the IRB approach, which includes:

*   the Ratings Based Approach, where external ratings are available
*   for unrated transactions and where certain criteria is met the ‘look through’ approach can be used, which considers the risk of the underlying assets
*   the Internal Assessment Approach, which is also used for unrated backed commercial paper programmes, which applies a similar methodology to rating agency models.

**Calculation of capital for operational risk**
Capital set aside for operational risk is deemed to cover the losses or costs resulting from human factors, inadequate or failed internal processes and systems or external events.

To assess capital requirements for operational risk, the following methods apply:

*   Basic Indicator approach (BIA): sets the capital requirement as 15% of the gross income, averaged over the last three years. If the income in any year is negative or zero, that year is not considered in the average
*   Standardised approach: the capital requirement is calculated as the sum of a percentage of the gross income per business line, averaged over the last three years. The Group does not use this approach
*   Advanced Management approach (AMA): under the AMA, and subject to the regulatory approval, the capital requirement is calculated using the Group’s own models.

Note that only two of the above methods can be used concurrently. Barclays uses the AMA for the majority (93%) of its exposures, and the BIA for the remaining 7%.

**Calculation of capital for large exposures**
Barclays has not exceeded the large exposure limit set in CRR, and as such no capital charge applies.

### Regulatory minimum capital and leverage requirements

**Capital – Fully loaded**
Barclays’ current regulatory requirement is to meet a fully loaded CRD IV CET1 ratio of 9% by 2019, plus a Pillar 2A add-on. The 9% comprises the required 4.5% minimum CET1 ratio and, phased in from 2016, a Combined Buffer Requirement made up of a Capital Conservation Buffer (CCB) of 2.5% and a Globally Systemically Important Institution (G-SII) buffer of 2%.

Barclays’ Pillar 2A requirement as per the PRA’s Individual Capital Guidance (ICG) is subject to review at least annually. Under current PRA guidance, the Pillar 2A add-on for 2016, will be 3.9%, of which 56% will need to be met in CET1 form, equating to approximately 2.2% of RWAs. Basel Committee consultations and reviews might further impact the Pillar 2A requirement in the future.

In addition, a Counter-Cyclical Capital Buffer (CCCB) and/or additional Sectoral Capital Requirements (SCR) may be required by the Bank of England to protect against perceived threats to financial stability. These buffers could be applied at the Group level or at a legal entity, sub consolidated or portfolio level. No SCR has been set to date by the Bank of England, while the CCCB is currently 0% for UK exposures. Other national authorities determine the appropriate CCCBs that should be applied to exposures in their jurisdiction. During 2016, CCCBs will start to apply for our exposures in Hong Kong, Norway and Sweden. Based on current exposures we do not expect this to be material.

**Capital – Transitional**
On a transitional basis, the PRA has implemented a minimum requirement CET1 ratio of 4%, Tier 1 ratio of 5.5% and Total Capital ratio of 8%.

From 1 January 2015, the transitional capital ratios are equal to the fully loaded ratios following the PRA’s acceleration of transitional provisions relating to CET1 deductions and filters. The adjustment relating to unrealised gains on available for sale debt and equity that was applied throughout 2014 as an exception no longer applies.

Grandfathering limits on capital instruments, previously qualifying as Tier 1 and Tier 2, are unchanged under the PRA transitional rules.

**Leverage**
In addition to the Group’s capital requirements, minimum ratios have also been set in respect of leverage. The leverage ratio applicable to the Group has been calculated in accordance with the requirements of the CRR which was amended effective from January 2015. The leverage calculation uses the end-point CRR definition of Tier 1 capital for the numerator and the CRR definition of leverage exposure. During 2015 Barclays was measured against the PRA leverage ratio minimum requirement of 3%.

In December 2015, the PRA finalised the UK leverage ratio framework in which it adopted the FPC’s recommendations on Leverage ratio requirements. These recommendations have been finalised in the Supervisory Statement SS45/15 and have been incorporated as part of the updated PRA rulebook, effective January 2016. This would result in a fully phased in leverage ratio requirement of 3.7% for Barclays. The minimum requirement would increase in the event that Barclays was subject to (i) an increased CCCB; and/or (ii) Barclays was reclassified into a higher G-SII category. Furthermore from January 2016, firms are required to report quarterly leverage ratio information, including an average ratio.

### Impact of new regulations

**Global Systemically Important Banks (G-SIBs)**
G-SIBs are defined as banks representing a greater risk to the global economy, due to their size, interconnectedness and complexity. G-SIBs are required to maintain additional capital buffers and disclose indicators that are relevant to their systemic importance.

The list of G-SIBs is updated by the Financial Stability Board (FSB) on an annual basis. In November 2015, the FSB confirmed Barclays’ position in a category that requires it to meet a G-SII buffer of 2%; this categorisation was based on year end 2014 data published by Barclays on 30 April 2015. Barclays plans to publish an updated set of indicators in April 2016. Following the FSB’s November 2014 categorisation, Barclays has been required to meet the 2% surcharge since January 2016.

**Structural reform of banking groups**
The UK Financial Services (Banking Reform) Act 2013 (the UK Banking Reform Act) and associated secondary legislation and regulatory rules, require the separation of the Group’s UK and EEA retail and SME deposit taking activities into a legally, operationally and economically separate and independent entity and restrict the types of activity such an entity may conduct (so-called ‘ring fencing’).

The PRA issued a Policy statement (PS10/15) in May 2015 setting up legal structures and governance requirements that the UK regulator considers as ‘near-final’. A PRA Consultation was issued in October 2015 relating to post ring fencing prudential requirements and intra group arrangements among other matters. PRA final rules are expected in 2016. UK ring fencing rules will become binding from January 2019.

---

# Scope of consolidation

In this report, Barclays PLC is presented on a consolidated basis for the year ended 31 December 2015. The consolidation basis used is the same as that used for reporting regulatory capital adequacy to the PRA. This scope of consolidation is similar to that used for statutory accounting reporting for most of the Group’s activities, except for:

*   subsidiaries engaged in non-financial activities such as insurance and securitisation vehicles that are fully consolidated for statutory purposes but are not consolidated for regulatory purposes (exposures to securitisation vehicles are subject to a specific capital treatment, see page 83 for further details). Entities not consolidated for regulatory purposes are adequately capitalised
*   associates, joint ventures and participations, that are financial in nature and accounted for on an equity basis in the statutory accounts, are consolidated in proportion to the participation for regulatory calculations
*   entities that are not financial in nature, as well as private equity investments treated as associates, are accounted for on an equity basis in the statutory accounts, but are either risk weighted or deducted from capital for regulatory calculations.

The chart below summarises Barclays’ structure with an indication of the sizes of subsidiaries in terms of their respective contribution to total assets. Barclays also reports on a solo consolidation basis in accordance with its regulatory waiver. The solo consolidation is not reported on a standalone basis in this report.

```mermaid
graph TD
    PLC[Barclays PLC<br>Total Assets: £1,120bn]
    PLC --> BP[Barclays Bank PLC]
    BP --> BS[Barclays Bank Solus<br>Total Assets: £859bn]
    BP --> BCI[Barclays Capital Inc<br>Total Assets: £114bn]
    BP --> BAGL[Barclays Africa Group Ltd<br>Total Assets: £47bn]
    BP --> BCSL[Barclays Capital Securities Ltd<br>Total Assets: £21bn]
    BP --> SSJL[Barclays Securities Japan Ltd<br>Total Assets: £10bn]
    BP --> BD[Barclays Bank Delaware<br>Total Assets: £13bn]
    BP --> LSE[Aggregate of less significant entities<br>Total Assets: £47bn]
    PLC --> BAA[Consolidation of banking associates/other entities<br>Total Assets: £3bn]
    PLC --> DIA[Deconsolidation of insurance/other entities<br>Total Assets: £12bn]
```

### Significant subsidiaries (not wholly owned)

CRD IV regulations require Barclays to prepare its Pillar 3 disclosures at a consolidated Group level. Significant subsidiaries must also report limited Pillar 3 information on their capital resources on a standalone basis. Barclays Bank PLC is the main operating subsidiary of the Group, and is represented as part of this report.

Barclays also has a significant subsidiary in Barclays Africa Group Limited (BAGL). BAGL’s primary regulator is the South African Reserve Bank (SARB). BAGL discloses its own separate Pillar 3 Report in compliance with the SARB’s regulation. These disclosures may be found in the investor relations section of BAGL’s website: www.barclaysafrica.com

Please see page 151 for information on transferability of capital between parent and subsidiaries.

---

# Table 1: Barclays PLC balance sheet – statutory versus regulatory view

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

| As at 31 December 2015 | Accounting balance sheet per published financial statements £m | Deconsolidation of insurance/other entities £m | Consolidation of banking associates/other entities £m | Balance sheet per regulatory scope of consolidation £m |
| --- | --- | --- | --- | --- |
| **Assets** | | | | |
| Cash and balances at central banks | 49,711 | (10) | 51 | 49,752 |
| Items in the course of collection from other banks | 1,011 | – | – | 1,011 |
| Trading portfolio assets | 77,348 | – | 2,762 | 80,110 |
| Financial assets designated at fair value | 76,830 | (2,414) | 146 | 74,562 |
| Derivative financial instruments | 327,709 | (2) | (1,642) | 326,065 |
| Available for sale investments | 90,267 | (2,152) | – | 88,115 |
| Loans and advances to banks | 41,349 | (146) | 80 | 41,283 |
| Loans and advances to customers | 399,217 | (5,878) | 1,465 | 394,804 |
| Reverse repurchase agreements and other similar secured lending | 28,187 | – | – | 28,187 |
| Prepayments, accrued income and other assets | 3,010 | 402 | 32 | 3,444 |
| Investments in associates and joint ventures | 573 | (105) | (420) | 48 |
| Property, plant and equipment | 3,468 | (16) | 21 | 3,473 |
| Goodwill and intangible assets | 8,222 | (22) | 10 | 8,210 |
| Current tax assets | 415 | (1) | (1) | 413 |
| Deferred tax assets | 4,495 | (29) | 3 | 4,469 |
| Retirement benefit assets | 836 | (1) | – | 835 |
| Non current assets classified as held for disposal | 7,364 | (1,959) | – | 5,405 |
| **Total assets** | 1,120,012 | (12,333) | 2,507 | 1,110,186 |
| **Liabilities** | | | | |
| Deposits from banks | (47,080) | 926 | (1,002) | (47,156) |
| Items in the course of collection due to other banks | (1,013) | – | – | (1,013) |
| Customer accounts | (418,242) | – | 1,774 | (416,468) |
| Repurchase agreements and other similar secured borrowing | (25,035) | – | – | (25,035) |
| Trading portfolio liabilities | (33,967) | – | (2,549) | (36,516) |
| Financial liabilities designated at fair value | (91,745) | 1,468 | (550) | (90,827) |
| Derivative financial instruments | (324,252) | – | – | (324,252) |
| Debt securities in issue | (69,150) | 5,761 | – | (63,389) |
| Subordinated liabilities | (21,467) | – | (2) | (21,469) |
| Accruals, deferred income and other liabilities | (10,610) | 2,101 | (117) | (8,626) |
| Provisions | (4,142) | 3 | (1) | (4,140) |
| Current tax liabilities | (903) | 20 | (2) | (885) |
| Deferred tax liabilities | (122) | 1 | (48) | (169) |
| Retirement benefit liabilities | (423) | 3 | (8) | (428) |
| Liabilities included in disposal groups classified as held for sale | (5,997) | 1,871 | – | (4,126) |
| **Total liabilities** | (1,054,148) | 12,154 | (2,505) | (1,044,499) |
| **Total equity** | | | | |
| Called up share capital and share premium | (21,586) | – | – | (21,586) |
| Other equity instruments | (5,305) | – | – | (5,305) |
| Other reserves | (1,898) | (52) | – | (1,950) |
| Retained earnings | (31,021) | 141 | (2) | (30,882) |
| **Total equity excluding non-controlling interests** | (59,810) | 89 | (2) | (59,723) |
| Non-controlling interests | (6,054) | 90 | – | (5,964) |
| **Total equity** | (65,864) | 179 | (2) | (65,687) |
| **Total liabilities and equity** | (1,120,012) | 12,333 | (2,507) | (1,110,186) |

---

# Table 2: Regulatory calculation drivers split by IFRS account classification

| IFRS classification | Credit risk (page 27) | Counterparty credit risk (page 63) | Market risk$^a$ (page 71) |
| --- | --- | --- | --- |
| **Assets** | | | |
| Cash and balances at central banks | ● | | |
| Items in course of collection from other banks | ● | | |
| Trading portfolio assets | ● | | ● |
| Financial assets designated at fair value | ● | ● | ● |
| Derivative financial instruments | | ● | ● |
| Available for sale financial investments | ● | | |
| Loans and advances to banks | ● | | |
| Loans and advances to customers | ● | | |
| Reverse repurchase agreements and other similar secured lending | ● | ● | |
| Other assets$^b$ | ● | ● | ● |
| **Liabilities** | | | |
| Deposits from banks | | | |
| Items in course of collection due to other banks | | | |
| Customer accounts | | | |
| Repurchase agreements and other similar secured borrowing | | ● | |
| Trading portfolio liabilities | | ● | ● |
| Financial liabilities designated at fair value: | | ● | ● |
| Derivative financial instruments | | ● | ● |
| Debt securities in issue | | | |
| Subordinated liabilities | | | |
| Other liabilities$^c$ | | | |

*Notes*
*a Includes credit valuation adjustment.*
*b Other assets consists of: prepayments, accrued income and other assets, investments in associates and joint ventures, property, plant and equipment, goodwill and intangible assets, current tax assets, deferred tax assets, retirement benefit assets and non current assets classified as held for sale.*
*c Other liabilities consists of: accruals, deferred income and other liabilities, provisions, current tax liabilities, deferred tax liabilities, retirement benefit liabilities, liabilities included in disposal groups classified as held for sale.*

---

# Table 3: The scope of the Standardised and IRB approaches for credit and counterparty credit risk

| Business as at 31 December 2015 | Credit risk (see Table 13 and 14) RWA £m | Credit risk (see Table 13 and 14) Average risk weight | Credit risk (see Table 13 and 14) EAD post-CRM £m | Counterparty credit risk (see Table 41 and 42) RWA £m | Counterparty credit risk (see Table 41 and 42) Average risk weight | Counterparty credit risk (see Table 41 and 42) EAD post-CRM £m | Advanced Internal Ratings Based (IRB) approaches | Standardised approach |
| --- | --- | --- | --- | --- | --- | --- | --- | --- |
| Personal & Corporate Banking | 102,858 | 33% | 314,484 | 1,364 | 35% | 3,890 | UK managed retail and wholesale portfolios | Mainly non-UK managed retail (including Wealth) and wholesale portfolios (including legacy), UK asset and sales finance |
| Barclaycard | 35,840 | 59% | 60,412 | – | n/a | – | UK, Germany and Spain retail credit cards | US retail credit cards, joint card issuance, partner finance, secure lending, commercial payment and any recent portfolio acquisitions. |
| Africa Banking | 26,254 | 57% | 46,109 | 509 | 37% | 1,392 | Retail mortgages, current accounts, personal loans and credit cards in Absa | Mainly retail and wholesale portfolios outside South Africa |
| Investment Bank | 44,222 | 35% | 127,863 | 21,152 | 31% | 69,221 | Most portfolios | Certain portfolios typically with low or no defaults, or other exposures by exception |
| Head Office | 4,276 | 8% | 55,692 | 91 | 33% | 279 | Small number of portfolios | Most portfolios including high quality liquidity pool assets |
| Non-Core | 16,990 | 35% | 48,736 | 10,628 | 50% | 21,090 | Certain legacy Investment Bank portfolios, models related to retail exposures in Continental Europe | Certain portfolios typically with low or no defaults, or insufficient historical data |
| **Total** | 230,440 | 35% | 653,296 | 33,744 | 35% | 95,872 | | |

Barclays’ AIRB roll-out plans are discussed with our regulators and updated on an agreed schedule.

Barclays has permission to use the Internal Model Method (IMM) to calculate its counterparty credit risk exposures. The permission is comprehensive and applies to the majority of its trades and portfolios. Exceptions include certain contracts entered into by Barclays Capital Inc., for instance exchange traded derivatives and margin loans.

---

# Table 4: Summary of the scope of application of regulatory methodologies for market and operational risk

| As at 31 December 2015 | | |
| --- | --- | --- |
| **Risk type** | **Risk weighted assets** | **Scope** |
| Market risk | £37.6bn | As explained from page 132, the risk of loss from changes in the prices of assets in the trading book are captured by a combined RWA calculation for general and specific market risks. The regulatory permission for Barclays to use models considers risk types and legal entities; see table 9 on page 23 for capital requirements related to each approach and risk factor. Barclays has regulatory approval for VaR modelling for general market risk, which is designed to capture the risk of loss arising from changes in market interest rates, along with the risk of losses arising from changes in foreign exchange, commodities and equity market value. 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 has permission to model specific market risk, including credit spread, migration, and default risks, for certain legal entities and product types. Where the Group does not have permission to use a model (notably in Barclays Capital Inc), the Standardised approach is applied. |
| Of which: Credit valuation adjustment (CVA) | £11.3bn | Barclays calculates CVA risk for all contracts in scope as defined by article 382 of the CRR. Barclays has permission to use an internal model for the specific risk of debt instruments and therefore is allowed to use the Advanced method for CVA for such instruments where applicable. The Standardised method for CVA is used otherwise. |
| Operational risk | £56.7bn | Barclays has regulatory approval to calculate its operational risk capital requirement using a CRD IV AMA, this accounts for 93% of operational risk RWAs as at 2015 year end. Recently acquired businesses are excluded from this approval. Barclays uses the BIA while it transitions these businesses to AMA, this accounts for 7% of operational risk RWAs as at 2015 year end. |

---

# Risk and capital position review

| | Page |
| --- | --- |
| **Risk and capital position review** | |
| ■ Group capital resources, requirements and leverage | 15 |
| ■ Analysis of credit risk | 27 |
| ■ Analysis of counterparty credit risk | 63 |
| ■ Analysis of market risk | 71 |
| ■ Analysis of securitisation exposures | 82 |
| ■ Analysis of operational risk | 92 |

---

# Group capital resources, requirements and leverage

This section details Barclays’ capital position providing information on both capital resources and capital requirements. It also provides detail of the leverage ratio and exposures.

### Key metrics and movements in 2015

#### 11.4% fully loaded Common Equity Tier 1 ratio
RWAs decreased by £43.5bn to £358.4bn. Non-Core RWAs decreased £28.7bn to £46.6bn as a result of the sale of the Spanish business and the rundown of legacy structured and credit products. Investment Bank RWAs decreased £14.1bn to £108.3bn mainly due to a reduction in securities and derivatives, and improved RWA efficiency.

CET1 capital decreased £0.7bn to £40.7bn after absorbing adjusting items and dividends paid and foreseen.

#### 4.5% leverage ratio
The leverage ratio increased significantly to 4.5% (2014: 3.7%) driven by a reduction in the leverage exposures of £205bn to £1,028bn predominantly due to the rundown in Non-Core of £156bn to £121bn.

---

# Table 5: Capital resources

This table shows the Group’s capital resources. Table 7 presents the components of regulatory capital on both a transitional and fully loaded basis as at 31 December 2015.

### Key capital ratios
| As at 31 December | 2015 | 2014 |
| --- | --- | --- |
| Fully Loaded CET1 | 11.4% | 10.3% |
| PRA Transitional CET1$^a$ | 11.4% | 10.2% |
| PRA Transitional Tier 1$^b$ | 14.7% | 13.0% |
| PRA Transitional Total Capital$^b$ | 18.6% | 16.5% |

### Capital resources (audited)
| As at 31 December | 2015 £m | 2014 £m |
| --- | --- | --- |
| Shareholders' equity (excluding non-controlling interests) per the balance sheet | 59,810 | 59,567 |
| Less: other equity instruments (recognised as AT1 capital) | (5,305) | (4,322) |
| Adjustment to retained earnings for foreseeable dividends | (631) | (615) |
| Minority interests (amount allowed in consolidated CET1) | 950 | 1,227 |
| **Other regulatory adjustments and deductions** | | |
| Additional value adjustments (PVA) | (1,602) | (2,199) |
| Goodwill and intangible assets | (8,234) | (8,127) |
| Deferred tax assets that rely on future profitability excluding temporary differences | (855) | (1,080) |
| Fair value reserves related to gains or losses on cash flow hedges | (1,231) | (1,814) |
| Excess of expected losses over impairment | (1,365) | (1,772) |
| Gains or losses on liabilities at fair value resulting from own credit | 127 | 658 |
| Defined benefit pension fund assets | (689) | – |
| Direct and indirect holdings by an institution of own CET1 instruments | (57) | (25) |
| Other regulatory adjustments | (177) | (45) |
| **Fully loaded CET1 capital** | 40,741 | 41,453 |
| Regulatory adjustments relating to unrealised gains | – | (583) |
| **PRA transitional CET1 capital** | 40,741 | 40,870 |
| **Additional Tier 1 (AT1) capital** | | |
| Capital instruments and the related share premium accounts | 5,305 | 4,322 |
| Qualifying AT1 capital (including minority interests) issued by subsidiaries | 6,718 | 6,870 |
| Other regulatory adjustments and deductions | (130) | – |
| **Transitional AT1 capital** | 11,893 | 11,192 |
| **PRA transitional Tier 1 capital** | 52,634 | 52,062 |
| **Tier 2 capital** | | |
| Capital instruments and the related share premium accounts | 1,757 | 800 |
| Qualifying Tier 2 capital (including minority interests) issued by subsidiaries | 12,389 | 13,529 |
| Other regulatory adjustments and deductions | (253) | (48) |
| **PRA transitional total regulatory capital** | 66,527 | 66,343 |

*Notes*
*a The CRD IV CET1 ratio (FSA October 2012 transitional statement) as applicable to Barclays’ Tier 2 Contingent Capital Notes was 13.1% based on £46.8bn of transitional CRD IV CET1 capital and £358bn RWAs.*
*b The PRA transitional capital is based on the PRA Rulebook and accompanying supervisory statements.*

---

# Table 6: Summary of movements in capital resources

### Movement in PRA transitional total capital
| | 2015 £m |
| --- | --- |
| Opening fully loaded CET1 capital | 41,453 |
| Loss for the period attributable to equity holders | (49) |
| Own credit | (531) |
| Dividends paid and foreseen | (1,372) |
| **Decrease in regulatory capital generated from earnings** | (1,952) |
| Net impact of share awards | 609 |
| Available for sale reserves | (245) |
| Currency translation reserves | (41) |
| Other reserves | 9 |
| **Increase in other qualifying reserves** | 332 |
| Retirement benefit reserve | 916 |
| Defined benefit pension fund asset deduction | (689) |
| **Net impact of pensions** | 227 |
| Minority interests | (277) |
| Additional value adjustments (PVA) | 597 |
| Goodwill and intangible assets | (107) |
| Deferred tax assets that rely on future profitability excluding those arising from temporary differences | 225 |
| Excess of expected loss over impairment | 407 |
| Direct and indirect holdings by an institution of own CET1 instruments | (32) |
| Other regulatory adjustments | (132) |
| **Decrease in regulatory adjustments and deductions** | 681 |
| **Closing fully loaded CET1 capital** | 40,741 |
| Opening PRA transitional AT1 capital as at 1 January | 11,192 |
| Capital instruments and the related share premium accounts | 983 |
| Qualifying AT1 capital (including minority interests) issued by subsidiaries | (152) |
| Other regulatory adjustments and deductions | (130) |
| **Increase in AT1 capital** | 701 |
| **Closing PRA transitional AT1 capital** | 11,893 |
| Opening PRA transitional Tier 2 capital as at 1 January | 14,281 |
| Capital instruments and the related share premium accounts | 957 |
| Qualifying Tier 2 capital (including minority interests) issued by subsidiaries | (1,140) |
| Other regulatory adjustments and deductions | (205) |
| **Decrease in Tier 2 capital** | (388) |
| **Closing PRA transitional Tier 2 capital** | 13,893 |
| **Total PRA transitional regulatory capital** | 66,527 |

*   During 2015, the fully loaded CET1 ratio increased to 11.4% (2014: 10.3%) driven by a significant reduction in RWAs.
*   CET1 capital decreased by £0.7bn to £40.7bn, after absorbing adjusting items, with the following significant movements:
    *   a £1.4bn reduction for dividends paid and foreseen
    *   a £0.2bn net increase as the retirement benefit reserve increased £0.9bn, partially offset by £0.7bn pension asset deduction
    *   a £0.7bn increase due to lower regulatory deductions and adjustments including a £0.6bn decrease in PVA, a £0.4bn decrease in expected losses due to the sale of the Spanish business and disposals across the Investment Bank, partially offset by a £0.3bn decrease in eligible minority interests
*   Transitional Tier 1 capital increased by £0.7bn to £11.9bn largely due to a £1.0bn issuance of AT1 securities.
*   Transitional Tier 2 capital decreased by £0.4bn to £13.9bn due to redemptions in the period, an increase in capital deductions for own paper and decreased eligible minority interests. This was partly offset by an issuance of €1.25bn Fixed Rate Subordinated Notes.

---

# Table 7: Regulatory capital

This table shows the components of regulatory capital presented on both a transitional and fully loaded basis as at 31 December 2015.

This disclosure has been prepared using the format set out in Annex IV and Annex VI of the final ‘Implementing technical standards with regard to disclosure of own funds requirements for institution’ (Commission implementing regulation – EU 1423/2013).

| Common Equity Tier 1 (CET1) capital: instruments and reserves | 31 December 2015 Transitional position £m | Transitional impacts £m | 31 December 2015 Fully loaded position £m |
| --- | --- | --- | --- |
| 1 Capital instruments and the related share premium accounts | 21,586 | – | 21,586 |
| of which: ordinary shares | 21,586 | – | 21,586 |
| 2 Retained earnings | 31,021 | – | 31,021 |
| 3 Accumulated other comprehensive income (and other reserves) | 1,898 | – | 1,898 |
| 5 Minority interests (amount allowed in consolidated CET1) | 950 | – | 950 |
| 5a Independently reviewed interim net profits net of any foreseeable charge or dividend$^a$ | (631) | – | (631) |
| Scope of consolidation adjustment | (177) | – | (177) |
| 6 Common Equity Tier 1 (CET1) capital before regulatory adjustments | 54,647 | – | 54,647 |
| **Common Equity Tier 1 (CET1) capital: regulatory adjustments** | | | |
| 7 Additional value adjustments | (1,602) | – | (1,602) |
| 8 Intangible assets (net of related tax liability) | (8,234) | – | (8,234) |
| 10 Deferred tax assets that rely on future profitability excluding those arising from temporary differences (net of related tax liability) | (855) | – | (855) |
| 11 Fair value reserves related to gains or losses on cash flow hedges | (1,231) | – | (1,231) |
| 12 Negative amounts resulting from the calculation of expected losses amounts | (1,365) | – | (1,365) |
| 14 Gains or losses on liabilities at fair value resulting from changes in own credit standing | 127 | – | 127 |
| 15 Defined-benefit pension fund assets | (689) | – | (689) |
| 16 Direct and indirect holdings by an institution of own CET1 instruments | (57) | – | (57) |
| 28 Total regulatory adjustments to Common Equity Tier 1 (CET1) | (13,906) | – | (13,906) |
| 29 Common Equity Tier 1 (CET1) capital | 40,741 | – | 40,741 |
| **Additional Tier 1 (AT1) capital: instruments** | | | |
| 30 Capital instruments and the related share premium accounts | 5,305 | – | 5,305 |
| 31 of which: classified as equity under IFRS | 5,305 | – | 5,305 |
| 34 Qualifying Tier 1 capital included in consolidated AT1 capital (including minority interests) issued by subsidiaries and held by third parties | 6,718 | (6,461) | 257 |
| 35 of which: instruments issued by subsidiaries subject to phase out | 6,683 | (6,683) | – |
| 36 Additional Tier 1 (AT1) capital before regulatory adjustments | 12,023 | (6,461) | 5,562 |
| **Additional Tier 1 (AT1) capital: regulatory adjustments** | | | |
| 37 Direct and indirect holdings by an institution of own AT1 instruments | (130) | – | (130) |
| 43 Total regulatory adjustments to Additional Tier 1 (AT1) capital | (130) | – | (130) |
| 44 Additional Tier 1 (AT1) capital | 11,893 | (6,461) | 5,432 |
| 45 Tier 1 capital (T1 = CET1 + AT1) | 52,634 | (6,461) | 46,173 |

*Note*
*a Adjustment to retained earnings for foreseeable dividends only.*

---

# Table 7 Regulatory capital continued

| | 31 December 2015 Transitional position £m | Transitional impacts £m | 31 December 2015 Fully loaded position £m |
| --- | --- | --- | --- |
| **Tier 2 (T2) capital: instruments and provisions** | | | |
| 46 Capital instruments and the related share premium accounts | 1,757 | – | 1,757 |
| 48 Qualifying own funds instruments included in consolidated T2 capital (including minority interests) issued by subsidiaries and held by third parties | 12,389 | 2,037 | 14,426 |
| 49 of which: instruments issued by subsidiaries subject to phase out | 1,742 | (1,742) | – |
| 51 Tier 2 (T2) capital before regulatory adjustments | 14,146 | 2,037 | 16,183 |
| **Tier 2 (T2) capital: regulatory adjustments** | | | |
| 52 Direct and indirect holdings by an institution of own T2 instruments and subordinated loans | (250) | – | (250) |
| 55 Direct and indirect 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) | – | (3) |
| 57 Total regulatory adjustments to Tier 2 (T2) capital | (253) | – | (253) |
| 58 Tier 2 (T2) capital | 13,893 | 2,037 | 15,930 |
| 59 Total capital (TC = T1 + T2) | 66,527 | (4,424) | 62,103 |
| 60 Total risk weighted assets | 358,376 | – | 358,376 |
| **Capital ratios and buffers** | | | |
| 61 Common Equity Tier 1 (as a percentage of risk exposure amount) | 11.4% | | 11.4% |
| 62 Tier 1 (as a percentage of risk exposure amount) | 14.7% | | 12.9% |
| 63 Total capital (as a percentage of risk exposure amount) | 18.6% | | 17.3% |
| 68 Common Equity Tier 1 available to meet buffers (as a percentage of risk exposure amount) | 7.4% | | 6.9% |
| **Amounts below the thresholds for deduction (before risk weighting)** | | | |
| 72 Direct and indirect holdings of the capital 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) | 2,743 | | 2,743 |
| 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 10% threshold and net of eligible short positions) | 604 | | 604 |
| 75 Deferred tax assets arising from temporary differences (amount below 10% threshold, net of related tax liability) | 4,016 | | 4,016 |
| **Applicable caps on the inclusion of provisions in Tier 2** | | | |
| 77 Cap on inclusion of credit risk adjustments in T2 under Standardised approach | 1,007 | | 1,007 |
| 79 Cap for inclusion of credit risk adjustments in T2 under Internal ratings based approach | 1,092 | | 1,092 |
| **Capital instruments subject to phase out arrangements (only applicable between 1 Jan 2013 and 1 Jan 2022)** | | | |
| 82 Current cap on AT1 instruments subject to phase out arrangements | 6,717 | | |
| 83 Amount excluded from AT1 due to cap (excess over cap after redemptions and maturities) | 3 | | |
| 84 Current cap on T2 instruments subject to phase out arrangements | 2,480 | | |

---

# Table 8: Summary of terms and conditions of capital resources

This table breaks down the Additional Tier 1 and Tier 2 capital issued by instrument and provides selected key terms and conditions. All Tier 1 capital comprises perpetual instruments with no maturity date. Regulatory capital might differ from the amounts recorded under IFRS due to PRA requirements relating to: capital eligibility criteria, amortisation of principal in the final five years to maturity, and the exclusion of the impact of fair value hedging.

Transitional provisions contained within CRR Article 486 are not applicable on an instrument by instrument basis and therefore instruments have been included in their transitional tiers rather than their tiers under fully loaded rules.

Further details on the terms of each instrument of subordinated liabilities can be found on pages 314 to 317 of the Barclays PLC Annual Report and online at home.barclays/annualreport. The online disclosure has been prepared using the format set out in Annex II of the final ‘Implementing technical standards with regard to disclosure of own funds requirements for institutions’ (Commission implementing regulation – EU1423/2013).

| Instrument | Initial call date | Regulatory balance 2015 £m | Regulatory balance 2014 £m | IFRS balance 2015 £m | IFRS balance 2014 £m |
| --- | --- | --- | --- | --- | --- |
| **Additional Tier 1 Capital** | | | | | |
| **Additional Tier 1 Equity Instruments – Barclays PLC** | | | | | |
| 8.25% Perpetual Subordinated Contingent Convertible Securities (USD 2,000m) | 2018 | 1,229 | 1,229 | 1,229 | 1,229 |
| 7.00% Perpetual Subordinated Contingent Convertible Securities | 2019 | 695 | 695 | 695 | 695 |
| 6.625% Perpetual Subordinated Contingent Convertible Securities (USD 1,211m) | 2019 | 712 | 712 | 712 | 712 |
| 6.5% Perpetual Subordinated Contingent Convertible Securities (EUR 1,077m) | 2019 | 844 | 856 | 844 | 856 |
| 8.0% Perpetual Subordinated Contingent Convertible Securities (EUR 1,000m) | 2020 | 830 | 830 | 830 | 830 |
| 7.875 % Perpetual Subordinated Contingent Convertible Securities | 2022 | 995 | – | 995 | – |
| Total Additional Tier 1 Equity Instruments | | 5,305 | 4,322 | 5,305 | 4,322 |
| **Preference Shares** | | | | | |
| **Barclays Bank PLC** | | | | | |
| 6.00% non cumulative callable preference shares | 2017 | 203 | 203 | 203 | 203 |
| 4.75% non cumulative callable preference shares | 2020 | 211 | 211 | 211 | 211 |
| 6.278% non cumulative callable preference shares | 2034 | 318 | 318 | 318 | 318 |
| 6.625% non cumulative callable preference shares | Any dividend payment date | 406 | 406 | 406 | 406 |
| 7.1% non cumulative callable preference shares | Any dividend payment date | 657 | 657 | 657 | 657 |
| 7.75% non cumulative callable preference shares | Any dividend payment date | 550 | 550 | 550 | 550 |
| 8.125% non cumulative callable preference shares | Any dividend payment date | 1,309 | 1,309 | 1,309 | 1,309 |
| **Absa Bank Limited** | | | | | |
| Absa Preference Shares | | 201 | 258 | 201 | 258 |
| Total Preference Shares | | 3,855 | 3,912 | 3,855 | 3,912 |
| **Tier One Notes (TONs) – Barclays Bank PLC** | | | | | |
| 6% Callable Perpetual Core Tier One Notes | 2032 | 13 | 13 | 16 | 16 |
| 6.86% Callable Perpetual Core Tier One Notes (USD 569m) | 2032 | 383 | 365 | 626 | 604 |
| Total Tier One Notes | | 396 | 378 | 642 | 620 |
| **Reserve Capital Instruments (RCIs) – Barclays Bank PLC** | | | | | |
| 5.926% Step-up Callable Perpetual Reserve Capital Instruments (USD 159m) | 2016 | 107 | 102 | 113 | 112 |
| 7.434% Step-up Callable Perpetual Reserve Capital Instruments (USD 117m) | 2017 | 79 | 75 | 85 | 85 |
| 6.3688% Step-up Callable Perpetual Reserve Capital Instruments | 2019 | 33 | 33 | 38 | 39 |
| 14% Step-up Callable Perpetual Reserve Capital Instruments | 2019 | 2,178 | 2,171 | 3,062 | 3,065 |
| 5.3304% Step-up Callable Perpetual Reserve Capital Instruments | 2036 | 35 | 35 | 51 | 52 |
| Total Reserve Capital Instruments | | 2,432 | 2,416 | 3,349 | 3,353 |

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# Table 8: Summary of terms and conditions of capital resources continued

| Instrument | Initial call date | Regulatory balance 2015 £m | Regulatory balance 2014 £m | IFRS balance 2015 £m | IFRS balance 2014 £m |
| --- | --- | --- | --- | --- | --- |
| **Tier 2 Capital** | | | | | |
| **Undated subordinated liabilities – Barclays Bank PLC** | | | | | |
| 6.875% Undated Subordinated Notes | 2015 | – | 135 | – | 140 |
| 6.375% Undated Subordinated Notes | 2017 | 134 | 133 | 143 | 146 |
| 7.7% Undated Subordinated Notes (USD 99m) | 2018 | 67 | 63 | 69 | 69 |
| 8.25% Undated Subordinated Notes | 2018 | 140 | 140 | 149 | 152 |
| 7.125% Undated Subordinated Notes | 2020 | 158 | 158 | 195 | 202 |
| 6.125% Undated Subordinated Notes | 2027 | 195 | 196 | 245 | 249 |
| Junior Undated Floating Rate Notes (USD 109m) | Any interest payment date | 74 | 70 | 74 | 70 |
| Undated Floating Rate Primary Capital Notes Series 3 | Any interest payment date | 145 | 145 | 145 | 145 |
| **Bonds – Barclays Bank PLC** | | | | | |
| 9.25% Perpetual Subordinated Bonds (ex-Woolwich Plc) | 2021 | 75 | 75 | 91 | 94 |
| 9% Permanent Interest Bearing Capital Bonds | At any time | 40 | 40 | 45 | 46 |
| **Loans – Barclays Bank PLC** | | | | | |
| 5.03% Reverse Dual Currency Undated Subordinated Loan (JPY 8,000m) | 2028 | 45 | 43 | 42 | 39 |
| 5% Reverse Dual Currency Undated Subordinated Loan (JPY 12,000m) | 2028 | 67 | 64 | 59 | 54 |
| **Barclays SLCSM Funding B.V. guaranteed by the Bank** | | | | | |
| 6.14% Fixed Rate Guaranteed Perpetual Subordinated Notes | 2015 | – | 265 | – | 261 |
| Total undated subordinated liabilities | | 1,140 | 1,527 | 1,257 | 1,667 |

---

# Table 8: Summary of terms and conditions of capital resources continued

| Instrument | Initial call date | Maturity date | Regulatory balance 2015 £m | Regulatory balance 2014 £m | IFRS balance 2015 £m | IFRS balance 2014 £m |
| --- | --- | --- | --- | --- | --- | --- |
| Barclays PLC issued | | | | | | |
| 2.625% Fixed Rate Subordinated Callable Notes (EUR 1,250m) | 2020 | 2025 | 916 | – | 918 | – |
| 4.375% Fixed Rate Subordinated Notes (USD 1,250m) | | 2024 | 842 | 800 | 883 | 810 |
| Barclays Bank PLC issued | | | | | | |
| 4.38% Fixed Rate Subordinated Notes (USD 75m) | | 2015 | – | 5 | – | 49 |
| 4.75% Fixed Rate Subordinated Notes (USD 150m) | | 2015 | – | 3 | – | 98 |
| 6.05% Fixed Rate Subordinated Notes (USD 1,556m) | 2017 | | 404 | 582 | 1,124 | 1,102 |
| Floating Rate Subordinated Notes (EUR 40m) | 2018 | | 15 | 22 | 29 | 31 |
| 6% Fixed Rate Subordinated Notes (EUR 1,750m) | 2018 | | 532 | 836 | 1,377 | 1,462 |
| CMS-Linked Subordinated Notes (EUR 100m) | 2018 | | 30 | 48 | 77 | 82 |
| CMS-Linked Subordinated Notes (EUR 135m) | 2018 | | 44 | 68 | 103 | 109 |
| Fixed/Floating Rate Subordinated Callable Notes | 2018 | 2023 | 500 | 499 | 555 | 565 |
| 7.75% Contingent Capital Notes (USD 1,000m) | 2018 | 2023 | 672 | 638 | 679 | 640 |
| Floating Rate Subordinated Notes (EUR 50m) | 2019 | | 29 | 38 | 36 | 38 |
| 5.14% Lower Tier 2 Notes (USD 1,094m) | 2020 | | 718 | 701 | 808 | 767 |
| 6% Fixed Rate Subordinated Notes (EUR 1,500m) | 2021 | | 1,104 | 1,168 | 1,252 | 1,338 |
| 9.5% Subordinated Bonds (ex-Woolwich Plc) | 2021 | | 200 | 199 | 293 | 306 |
| Subordinated Floating Rate Notes (EUR 100m) | 2021 | | 74 | 78 | 73 | 77 |
| 10% Fixed Rate Subordinated Notes | 2021 | | 1,955 | 1,954 | 2,317 | 2,363 |
| 10.179% Fixed Rate Subordinated Notes (USD 1,521m) | 2021 | | 1,027 | 975 | 1,083 | 1,062 |
| Subordinated Floating Rate Notes (EUR 50m) | 2022 | | 37 | 39 | 37 | 39 |
| 6.625% Fixed Rate Subordinated Notes (EUR 1,000m) | 2022 | | 733 | 775 | 891 | 947 |
| 7.625% Contingent Capital Notes (USD 3,000m) | 2022 | | 2,016 | 1,913 | 1,984 | 1,856 |
| Subordinated Floating Rate Notes (EUR 50m) | 2023 | | 37 | 39 | 37 | 39 |
| 5.75% Fixed Rate Subordinated Notes | 2026 | | 604 | 604 | 802 | 828 |
| 5.4% Reverse Dual Currency Subordinated Loan (JPY 15,000m) | 2027 | | 84 | 81 | 80 | 74 |
| 6.33% Subordinated Notes | 2032 | | 50 | 50 | 60 | 62 |
| Subordinated Floating Rate Notes (EUR 100m) | 2040 | | 74 | 78 | 74 | 78 |
| Absa Bank Limited issued | | | | | | |
| 8.1% Subordinated Callable Notes (ZAR 2,000m) | 2015 | 2020 | – | 113 | – | 114 |
| 10.28% Subordinated Callable Notes (ZAR 600m) | 2017 | 2022 | – | – | 26 | 34 |
| Subordinated Callable Notes (ZAR 400m) | 2017 | 2022 | – | – | 18 | 22 |
| Subordinated Callable Notes (ZAR 1,805m) | 2017 | 2022 | 78 | 101 | 79 | 101 |
| Subordinated Callable Notes (ZAR 2,007m) | 2018 | 2023 | 87 | 112 | 88 | 112 |
| 8.295% Subordinated Callable Notes (ZAR 1,188m) | 2018 | 2023 | 51 | 66 | 42 | 64 |
| 5.50% CPI-linked Subordinated Callable Notes (ZAR 1,500m) | 2023 | 2028 | – | – | 86 | 109 |
| Barclays Africa Group Limited Issued | | | | | | |
| Subordinated Callable Notes (ZAR 370m) | 2019 | 2024 | 16 | 21 | 16 | 21 |
| 10.835% Subordinated Callable Notes (ZAR 130m) | 2019 | 2024 | 6 | 7 | 6 | 7 |
| Subordinated Callable Notes (ZAR 1,693m) | | 2025 | 73 | – | 74 | – |
| 10.05% Subordinated Callable Notes (ZAR 807m) | | 2025 | 34 | – | 36 | – |
| 11.4% Subordinated Callable Notes (ZAR 288m) | | 2025 | 13 | – | 13 | – |
| 11.365% Subordinated Callable Notes (ZAR 508m) | 2020 | 2025 | 22 | – | 23 | – |
| Subordinated Callable Notes (ZAR 437m) | 2020 | 2025 | 19 | – | 19 | – |
| 11.81% Subordinated Callable Notes (ZAR 737m) | 2022 | 2027 | 32 | – | 33 | – |
| Subordinated Callable Notes (ZAR 30m) | 2022 | 2027 | 1 | – | 1 | – |
| Other capital issued by Barclays Africa and Japan | 2016-2019 | | – | – | 87 | 107 |
| Total dated subordinated liabilities | | | 13,129 | 12,613 | 16,219 | 15,513 |
| Non controlling Tier 2 capital – Barclays Bank PLC | | | | | | |
| Undated Floating Rate Primary Capital Notes Series 1 (USD 335m) | Any interest payment date | | 222 | 222 | 222 | 222 |
| Undated Floating Rate Primary Capital Notes Series 2 (USD 415m) | Any interest payment date | | 264 | 264 | 264 | 264 |
| Total non controlling Tier 2 capital | | | 486 | 486 | 486 | 486 |

---

# Table 9: Risk weighted assets (RWAs) by risk type and business

This table shows RWAs by risk type and business.

### Risk weighted assets (RWAs) by risk type and business

| | Credit risk Std £m | Credit risk F-IRB £m | Credit risk A-IRB £m | Counterparty credit risk Std £m | Counterparty credit risk F-IRB £m | Counterparty credit risk A-IRB £m | Counterparty credit risk Default fund £m | Counterparty credit risk Settlement Risk £m | Market risk CVA £m | Market risk Std £m | Market risk IMA £m | Operational risk £m | Total RWAs £m |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| **As at 31 December 2015** | | | | | | | | | | | | | |
| Personal & Corporate Banking | 31,506 | – | 71,352 | 242 | – | 1,122 | – | – | 30 | – | – | 16,176 | 120,428 |
| Barclaycard | 17,988 | – | 17,852 | – | – | – | – | – | – | – | – | 5,505 | 41,345 |
| Africa Banking | 8,556 | – | 17,698 | 22 | – | 479 | – | 8 | 325 | 560 | 682 | 5,604 | 33,934 |
| Investment Bank | 4,808 | – | 39,414 | 9,587 | – | 10,132 | 916 | 517 | 3,438 | 9,327 | 10,574 | 19,620 | 108,333 |
| Head Office | 1,513 | – | 2,763 | 20 | – | 59 | 12 | – | 57 | – | 1,221 | 2,104 | 7,749 |
| **Total Core** | 64,371 | – | 149,079 | 9,871 | – | 11,792 | 928 | 525 | 3,850 | 9,887 | 12,477 | 49,009 | 311,789 |
| Barclays Non-Core | 5,078 | – | 11,912 | 1,221 | – | 9,231 | 176 | – | 7,418 | 599 | 3,301 | 7,651 | 46,587 |
| **Total risk weighted assets** | 69,449 | – | 160,991 | 11,092 | – | 21,023 | 1,104 | 525 | 11,268 | 10,486 | 15,778 | 56,660 | 358,376 |
| **As at 31 December 2014** | | | | | | | | | | | | | |
| Personal & Corporate Banking | 32,657 | – | 70,080 | 238 | – | 1,049 | – | – | 26 | – | – | 16,176 | 120,226 |
| Barclaycard | 15,910 | – | 18,492 | – | – | – | – | – | – | – | – | 5,505 | 39,907 |
| Africa Banking | 9,015 | 11,502 | 10,292 | 10 | 561 | – | – | 1 | 310 | 638 | 588 | 5,604 | 38,521 |
| Investment Bank | 5,773 | – | 36,829 | 12,445 | – | 11,328 | 1,249 | 498 | 6,680 | 16,014 | 11,965 | 19,621 | 122,402 |
| Head Office | 506 | – | 2,912 | – | – | 62 | 234 | – | 21 | 5 | 502 | 1,326 | 5,568 |
| **Total Core** | 63,861 | 11,502 | 138,605 | 12,693 | 561 | 12,439 | 1,483 | 499 | 7,037 | 16,657 | 13,055 | 48,232 | 326,624 |
| Barclays Non-Core | 10,679 | – | 19,416 | 2,619 | – | 18,403 | 369 | 38 | 8,470 | 1,575 | 5,279 | 8,428 | 75,276 |
| **Total risk weighted assets** | 74,540 | 11,502 | 158,021 | 15,312 | 561 | 30,842 | 1,852 | 537 | 15,507 | 18,232 | 18,334 | 56,660 | 401,900 |

### Table 10: Movements in risk weighted assets (RWAs)

| Movement analysis of risk weighted assets (RWAs) | Credit risk £bn | Counterparty credit risk$^a$ £bn | Market risk$^b$ £bn | Operational risk £bn | Total £bn |
| --- | --- | --- | --- | --- | --- |
| As at 1 January 2015 | 244.0 | 49.1 | 52.1 | 56.7 | 401.9 |
| Book size | 8.3 | (10.6) | (9.5) | – | (11.8) |
| Acquisitions and disposals | (14.2) | – | (0.4) | – | (14.6) |
| Book quality | 0.1 | (1.7) | 0.7 | – | (0.9) |
| Model updates | (2.1) | (1.1) | (2.7) | – | (5.9) |
| Methodology and policy | 2.3 | (1.9) | (2.6) | – | (2.2) |
| Foreign exchange movement$^c$ | (8.0) | (0.1) | – | – | (8.1) |
| Other | – | – | – | – | – |
| **As at 31 December 2015** | 230.4 | 33.7 | 37.6 | 56.7 | 358.4 |

*Notes*
*a RWAs in relation to default fund contributions are included in counterparty credit risk.*
*b RWAs in relation to CVA are included in market risk.*
*c Foreign exchange movement does not include FX for modelled counterparty credit risk or modelled market risk.*

---

# Total RWA movement

RWAs decreased £43.5bn to £358.4bn, driven by:

*   Book size: RWAs decreased by £11.8bn primarily due to a reduction in holdings of US bonds and equities and a reduction in derivatives and securities financing transactions. This was partially offset by a growth in corporate lending, particularly in Africa and the UK
*   Acquisitions and disposals: RWAs decreased by £14.6bn primarily due to disposals in Non-Core, including the sale of the Spanish business
*   Model updates: RWAs decreased by £5.9bn primarily due to implementation of diversification benefits across advanced general and specific market risk, as well as a recalibration of a credit risk model within the Investment Bank and Non-Core
*   Methodology and policy: RWAs decreased by £2.2bn primarily due to the implementation of collateral modelling for mismatched FX collateral and a transfer of securities financing transactions in certain businesses from the banking book to trading book, enabling further collateral offset
*   Foreign exchange movements: RWAs decreased by £8.1bn primarily due to depreciation of ZAR against GBP.

### Credit risk

RWAs decreased by £13.6bn, reflecting:

*   Acquisitions and disposals: RWAs decreased by £14.2bn driven by disposals in Non-Core, including the sale of the Spanish business
*   Foreign exchange movements: RWAs decreased by £8.0bn primarily due to depreciation of ZAR against GBP
*   Model updates: RWAs decreased by £2.1bn primarily driven by the transition to a new model within PCB and following a model recalibration within the Investment Bank and Non-Core.

Offset by:

*   Book size: RWAs increased by £8.3bn driven by a £3.4bn increase in Africa Banking due to an increase in corporate lending; £1.9bn increase in PCB primarily driven by UK corporate asset growth; and £1.9bn increase in Barclaycard primarily due to asset growth in the US
*   Methodology and policy: RWAs increased by £2.3bn primarily driven by the Investment Bank and Non-Core in part due to a transfer of counterparties from the trading to the banking book following a change in the regulatory treatment for securitisation transactions.

### Counterparty credit risk

RWAs decreased by £15.4bn, reflecting:

*   Book size: RWAs decreased by £10.6bn primarily driven by a reduction in derivative and securities financing transaction exposures in the Investment Bank and Non-Core
*   Methodology and policy: RWAs decreased by £1.9bn primarily due to the implementation of collateral modelling for mismatched FX collateral and a a transfer of securities financing transactions in certain businesses from the banking book to trading book, enabling further collateral offset. This was partially offset by an increase in RWAs due to the capture of an extended margin period of risk on securities financing transactions within the Investment Bank
*   Book quality: RWAs decreased by £1.7bn, primarily due to counterparties no longer in default as a result of debt restructure
*   Model updates: RWAs decreased by £1.1bn primarily driven by a model recalibration within the Investment Bank and Non-Core.

### Market risk

RWAs decreased by £14.5bn, reflecting:

*   Book size: RWAs reduced by £9.5bn driven by a reduction in the holdings of US bonds and equities trading book exposures within the Investment Bank and Non-Core
*   Model updates: RWAs decreased by £2.7bn primarily due to implementation of diversification benefits across advanced general and specific market risk within the Investment Bank and Non-Core
*   Methodology and policy: RWAs decreased by £2.6bn partly driven by a change in calculation methodology on CVA as a result of updated regulatory guidance.

### Operational risk

*   Barclays’ operational risk RWA requirement has remained static at £56.7bn, pending regulatory approval for AMA model enhancements.

---

# Basis of preparation for movements in risk weighted assets

This analysis splits RWA movement by credit, counterparty credit, market and operational risk. Seven categories of drivers have been identified and are described below. Not all the drivers are applicable to all risk types, however all categories have been listed below for completeness purposes.

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

**Market risk (inc CVA)**
This represents RWA movements owing to the changes in trading positions and volumes driven by business activity.

### Book quality
**Credit risk and counterparty risk**
This represents RWA movements driven by changes in the underlying credit quality and recoverability of portfolios and reflected through model calibrations or realignments where applicable. This includes, but is not exclusive to:
*   PD migration and LGD changes driven by economic conditions
*   ratings migration for standardised exposures
*   changing lending practices, demographics and maturity.

**Market risk (inc CVA)**
This is the movement in RWAs owing to changing risk levels in the trading book, caused by fluctuations in market conditions.

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

**Market risk (inc CVA)**
This is the movement in RWAs reflecting changes in model scope, changes to market data levels, volatilities, correlations, liquidity and ratings used as input for the internal modelled RWA calculations.

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

**Market risk (inc CVA)**
This is the movement in RWAs as a result of both internal and external methodology, policy and regulatory changes for market risk and CVA.

### Acquisitions and disposals
This is the movement in RWAs as a result of the disposal or acquisition of business operations impacting the size of banking and trading portfolios. This includes credit RWA reductions relating to Non-Core.

### Foreign exchange movements
This is the movement in RWAs as a result of changes in the exchange rate between the functional currency of the Barclays business area or portfolio and Barclays’ presentational currency for consolidated reporting. It should be noted that foreign exchange movements shown in table 10 do not include the impact of foreign exchange for the counterparty credit risk IMM and modelled market risk RWAs.

### Other
This is the movement in RWAs driven by items that cannot be reasonably assigned to the other driver categories. This category had a nil balance for the year ended 31 December 2015.

---

# Leverage ratio and exposures

### Table 11: Leverage ratio

The leverage calculation below uses the end-point CRR definition of Tier 1 capital for the numerator and the CRR definition of leverage exposure.

At 31 December 2015, Barclays’ leverage ratio was 4.5%, which exceeds the expected end-point minimum requirement of 3.7% as outlined by the PRA Supervisory Statement SS45/15 and the updated PRA rulebook, comprising of the 3% minimum requirement, and the fully phased-in G-SII buffer.

| Leverage exposure | As at 31.12.15 £bn | As at 31.12.14$^a$ £bn |
| --- | --- | --- |
| **Accounting assets** | | |
| Derivative financial instruments | 328 | 440 |
| Cash collateral | 62 | 73 |
| Reverse repurchase agreements and other similar secured lending | 28 | 132 |
| Financial assets designated at fair value$^b$ | 77 | 38 |
| Loans and advances and other assets | 625 | 675 |
| **Total IFRS assets** | 1,120 | 1,358 |
| Regulatory consolidation adjustments | (10) | (8) |
| **Derivatives adjustments** | | |
| Derivatives netting | (293) | (395) |
| Adjustments to cash collateral | (46) | (53) |
| Net written credit protection | 15 | 27 |
| Potential Future Exposure (PFE) on derivatives | 129 | 179 |
| **Total derivatives adjustments** | (195) | (242) |
| Securities financing transactions (SFTs) adjustments | 16 | 25 |
| Regulatory deductions and other adjustments | (14) | (15) |
| Weighted off-balance sheet commitments | 111 | 115 |
| **Total fully loaded leverage exposure** | 1,028 | 1,233 |
| Fully loaded CET1 capital | 40.7 | 41.5 |
| Fully loaded AT1 capital | 5.4 | 4.6 |
| **Fully loaded Tier 1 capital** | 46.2 | 46.0 |
| **Fully loaded leverage ratio** | 4.5% | 3.7% |

During 2015 the leverage ratio increased significantly to 4.5% (2014: 3.7%) driven by a reduction in the leverage exposure of £205bn to £1,028bn:

*   total derivative exposures$^c$ decreased £76bn to £195bn:
    *   PFE decreased £50bn to £129bn, mainly as a result of continued Non-Core rundown and optimisations including trade compressions and tear-ups
    *   other derivative assets decreased £14bn to £51bn, driven by a net decrease in IFRS derivatives. The decrease was mainly within interest rate and foreign exchange derivatives due to net trade reduction and an increase in major interest forward curves
    *   net written credit protection decreased £12bn to £15bn due to a reduction in business activity and improved portfolio netting
*   taken together, reverse repurchase agreements and other similar secured lending and financial assets designated at fair value decreased £65bn to £105bn, reflecting a reduction in matched book trading and general firm financing due to balance sheet deleveraging
*   loans and advances and other assets decreased by £50bn to £625bn driven by a £37bn reduction in trading portfolio assets primarily due to Non-Core rundown, a reduction in trading activities in the Investment Bank, as well as a £10bn decrease in settlement balances and a £9bn decrease in Africa Banking reflecting the depreciation of ZAR against GBP. This was partially offset by lending growth of £3bn in Barclaycard and £2bn in PCB
*   SFT adjustments decreased by £9bn to £16bn due to maturity of trades and a reduction in trading volumes.

*Notes*
*a 2014 comparatives have been prepared on a BCBS 270 basis. Barclays does not believe that there is a material difference between the BCBS 270 leverage exposure and a leverage exposure calculated in accordance with the EU delegated act.*
*b Included within financial assets designated at fair value are reverse repurchase agreements designated at fair value of £50bn (2014:£5bn).*
*c Total derivative exposures includes IFRS derivative financial instruments, cash collateral and total derivative adjustments.*

---

# Analysis of credit risk

This section details Barclays’ credit risk profile, focusing on regulatory measures such as exposure at default and risk weighted assets. The risk profile is analysed by business segment, country and industry concentrations, residual maturities, probabilities of default and actual losses.

*   RWAs decreased 5.6% to £230.4bn, primarily driven by disposals in Non-Core and foreign exchange movements, partially offset by exposure growth in Africa Banking, PCB and Barclaycard.

### Risk weighted assets for credit risk reduced in the year

**-£13.6bn total RWA**
Driven by:

*   **-£14.2bn** Disposals in Non-Core
*   **-£8.0bn** Foreign exchange movement due to the depreciation of ZAR against GBP
*   **-£2.1bn** Recalibration of a credit risk model within Investment Bank and Non-Core; offset by:
*   **+£8.3bn** Corporate lending increase in Africa Banking and asset growth in PCB and Barclaycard
*   **+£2.3bn** Counterparty transfer from the trading to banking book in Investment Bank and Non-Core due to a change in securitisation rules

---

# Table 12: Minimum capital requirements and exposure for credit risk – Note on pre- and post credit risk mitigation (CRM) EAD

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

The Africa Banking wholesale portfolio previously reported under the FIRB approach, moved to AIRB during 2015; as such, 2015 FIRB balances are nil.

RWAs and post-CRM exposures are analysed by business on pages 30 and 31. Pre-CRM exposures are further analysed by geography on page 35, industry on page 37 and residual maturity on page 39. Information on the impact of CRM on EAD is set out on page 126.

| Credit exposure class | EAD pre-CRM$^a$ Year end £m | EAD pre-CRM$^a$ Average$^b$ £m | EAD post-CRM$^a$ Year end £m | EAD post-CRM$^a$ Average$^b$ £m | Capital requirements RWA £m | Capital requirements Average RWA$^b$ £m | Capital requirements Capital reqs £m |
| --- | --- | --- | --- | --- | --- | --- | --- |
| **Standardised approach** | | | | | | | |
| Central governments or central banks | 113,327 | 105,769 | 113,183 | 105,716 | 2,509 | 2,512 | 201 |
| Regional governments or local authorities | 881 | 638 | 881 | 638 | 121 | 46 | 10 |
| Public sector entities | 213 | 306 | 204 | 297 | 45 | 112 | 4 |
| Multilateral development banks | 4,181 | 4,145 | 4,181 | 4,145 | – | 7 | – |
| International organisations | 2,394 | 2,634 | 2,394 | 2,634 | – | – | – |
| Institutions | 7,735 | 8,004 | 7,663 | 7,863 | 1,990 | 2,160 | 161 |
| Corporates | 48,749 | 49,394 | 36,638 | 36,754 | 31,211 | 31,142 | 2,497 |
| Retail | 27,109 | 26,746 | 26,476 | 26,033 | 19,828 | 19,596 | 1,586 |
| Secured by mortgages | 13,860 | 14,913 | 13,860 | 14,913 | 5,714 | 6,130 | 457 |
| Exposures in default | 2,247 | 2,183 | 2,199 | 2,145 | 2,800 | 2,710 | 224 |
| Items associated with high risk | 2,034 | 1,625 | 2,034 | 1,625 | 3,339 | 2,722 | 267 |
| Covered bonds | 1,209 | 1,118 | 1,209 | 1,118 | 242 | 224 | 19 |
| Securitisation positions | – | – | – | – | – | – | – |
| Collective investment undertakings | 1 | – | 1 | – | 1 | – | – |
| Equity positions | 526 | 627 | 526 | 627 | 1,161 | 1,362 | 93 |
| Other items | 2,167 | 2,933 | 2,167 | 2,933 | 488 | 558 | 39 |
| **Total Standardised approach credit risk exposure** | 226,633 | 221,035 | 213,616 | 207,441 | 69,449 | 69,281 | 5,558 |
| **Foundation IRB approach** | | | | | | | |
| Central governments or central banks | – | – | – | – | – | – | – |
| Institutions | – | – | – | – | – | – | – |
| Corporates | – | – | – | – | – | – | – |
| **Total Foundation approach credit risk exposure** | – | – | – | – | – | – | – |
| **Advanced IRB approach** | | | | | | | |
| Central governments or central banks | 14,782 | 13,135 | 14,782 | 13,135 | 2,648 | 3,054 | 212 |
| Institutions | 28,219 | 30,023 | 28,219 | 30,023 | 7,096 | 6,895 | 568 |
| Corporates | 159,011 | 155,311 | 151,520 | 147,720 | 72,926 | 73,460 | 5,833 |
| Retail – Small and medium-sized enterprises (SMEs) | 7,897 | 8,432 | 7,897 | 8,432 | 3,609 | 3,889 | 289 |
| Retail – Secured by real estate collateral | 155,977 | 158,534 | 155,977 | 158,534 | 27,023 | 27,601 | 2,162 |
| Retail – Qualifying revolving retail | 44,003 | 44,198 | 44,003 | 44,198 | 18,766 | 19,389 | 1,501 |
| Retail – Other retail | 8,596 | 8,963 | 8,596 | 8,963 | 8,658 | 9,013 | 693 |
| Equity | – | – | – | – | – | – | – |
| Securitisation positions | 17,367 | 20,237 | 17,367 | 20,237 | 3,141 | 4,178 | 251 |
| Non-credit obligation assets | 11,319 | 11,663 | 11,319 | 11,663 | 17,124 | 17,080 | 1,370 |
| **Total Advanced IRB credit risk exposure** | 447,171 | 450,496 | 439,680 | 442,905 | 160,991 | 164,559 | 12,879 |
| **Total credit exposure** | 673,804 | 671,531 | 653,296 | 650,346 | 230,440 | 233,840 | 18,437 |

*Notes*
*a Collateral and guarantees for Advanced IRB are not included within EAD as these are incorporated in loss given default (LGD) calculations.*
*b Averages are based on the past four quarter end positions.*

---

# Table 12: Minimum capital requirements and exposure for credit risk – Note on pre and post credit risk mitigation (CRM) EAD continued

| Credit exposure class | EAD pre-CRM$^a,c$ Year end £m | EAD pre-CRM$^a,c$ Average$^b$ £m | EAD post-CRM$^a$ Year end £m | EAD post-CRM$^a$ Average$^b$ £m | Capital requirements RWA £m | Capital requirements Average RWA$^b$ £m | Capital requirements Capital reqs £m |
| --- | --- | --- | --- | --- | --- | --- | --- |
| **As at 31 December 2014** | | | | | | | |
| Standardised approach | | | | | | | |
| Central governments or central banks | 104,499 | 103,061 | 104,499 | 103,046 | 2,828 | 2,480 | 226 |
| Regional governments or local authorities | 863 | 1,512 | 862 | 1,512 | 37 | 66 | 3 |
| Public sector entities | 365 | 267 | 354 | 263 | 190 | 120 | 15 |
| Multilateral development banks | 3,085 | 3,848 | 3,085 | 3,848 | 26 | 7 | 2 |
| International organisations | 2,609 | 1,623 | 2,609 | 1,623 | – | – | – |
| Institutions | 6,952 | 6,887 | 6,765 | 6,714 | 2,844 | 2,466 | 197 |
| Corporates | 49,953 | 48,808 | 37,344 | 35,617 | 32,798 | 33,091 | 2,611 |
| Retail | 27,711 | 26,688 | 26,879 | 25,788 | 20,506 | 19,572 | 1,640 |
| Secured by mortgages | 15,948 | 16,112 | 15,948 | 16,114 | 6,424 | 6,244 | 514 |
| Exposures in default | 3,086 | 2,862 | 3,061 | 2,827 | 3,885 | 3,504 | 311 |
| Items associated with high risk | 1,552 | 1,816 | 1,552 | 1,816 | 2,683 | 3,183 | 215 |
| Covered bonds | 858 | 837 | 858 | 837 | 172 | 187 | 14 |
| Securitisation positions | – | – | – | – | – | – | – |
| Collective investment undertakings | – | 132 | – | 126 | – | 38 | – |
| Equity positions | 660 | 890 | 660 | 890 | 1,524 | 1,791 | 110 |
| Other items | 2,852 | 2,975 | 2,852 | 2,975 | 623 | 659 | 50 |
| **Total Standardised approach credit risk exposure** | 220,993 | 218,318 | 207,328 | 203,996 | 74,540 | 73,408 | 5,908 |
| **Foundation IRB approach** | | | | | | | |
| Central governments or central banks | 176 | 212 | 176 | 212 | 95 | 102 | 8 |
| Institutions | 981 | 970 | 981 | 970 | 472 | 433 | 38 |
| Corporates | 14,761 | 14,458 | 14,761 | 14,458 | 10,935 | 10,766 | 875 |
| **Total Foundation approach credit risk exposure** | 15,918 | 15,640 | 15,918 | 15,640 | 11,502 | 11,301 | 921 |
| **Advanced IRB approach** | | | | | | | |
| Central governments or central banks | 6,704 | 8,662 | 6,704 | 8,662 | 744 | 1,039 | 57 |
| Institutions | 30,521 | 31,558 | 30,521 | 31,558 | 7,108 | 7,368 | 604 |
| Corporates | 138,168 | 134,952 | 129,547 | 126,049 | 64,987 | 63,506 | 5,191 |
| Retail – Small and medium-sized enterprises (SMEs) | 8,835 | 9,014 | 8,835 | 9,014 | 4,203 | 4,970 | 336 |
| Retail – Secured by real estate collateral | 172,500 | 172,415 | 172,500 | 172,415 | 30,895 | 31,613 | 2,472 |
| Retail – Qualifying revolving retail | 43,953 | 43,212 | 43,953 | 43,212 | 19,676 | 19,529 | 1,574 |
| Retail – Other retail | 9,053 | 9,051 | 9,053 | 9,051 | 8,614 | 8,408 | 689 |
| Equity | – | – | – | – | – | – | – |
| Securitisation positions | 20,848 | 20,802 | 20,848 | 20,802 | 5,315 | 8,200 | 425 |
| Non-credit obligation assets | 11,729 | 12,204 | 11,729 | 12,204 | 16,479 | 14,973 | 1,319 |
| **Total Advanced IRB credit risk exposure** | 442,311 | 441,870 | 433,690 | 432,967 | 158,021 | 159,606 | 12,667 |
| **Total credit exposure** | 679,222 | 675,828 | 656,936 | 652,603 | 244,063 | 244,315 | 19,496 |

Exposure at default pre and post CRM and RWA decrease is primarily driven by the sale of the Spanish business and the UK Secured Lending portfolio and rundown of legacy portfolio assets.

The key movements by business are as shown in Table 13 and 14 while further details are provided in tables 16 to 32.

*Notes*
*a Collateral and guarantees for advanced IRB are not included within EAD as these are incorporated in loss given default (LGD) calculations.*
*b Averages are calculated from the past four quarters. This is to show intra-year fluctuations.*
*c EAD Pre-CRM excludes the impact of balance sheet netting. Prior period balances on tables 12, 16, 17 and 18 have been revised to reflect this.*

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# Table 13: Detailed view of exposure at default, post-CRM by business

This table shows exposure at default post-CRM by business and credit exposure class for credit risk.

The Africa Banking wholesale portfolio previously reported under the FIRB approach, moved to AIRB during 2015; as such, 2015 FIRB balances are nil.

| EAD post-CRM credit exposure class | Personal & Corporate Banking £m | Barclaycard £m | Africa Banking £m | Investment Bank £m | Head Office £m | Total Core £m | Barclays Non-Core £m | Total £m |
| --- | --- | --- | --- | --- | --- | --- | --- | --- |
| **As at 31 December 2015** | | | | | | | | |
| **Credit risk** | | | | | | | | |
| Standardised approach | | | | | | | | |
| Central governments or central banks | 43,261 | 2,558 | 3,765 | 18,760 | 39,729 | 108,073 | 5,110 | 113,183 |
| Regional governments or local authorities | 326 | 11 | 2 | 242 | 266 | 847 | 34 | 881 |
| Public sector entities | 176 | – | – | 3 | – | 179 | 25 | 204 |
| Multilateral development banks | 1,683 | 19 | 10 | 747 | 1,527 | 3,986 | 195 | 4,181 |
| International organisations | 963 | 11 | 6 | 428 | 874 | 2,282 | 112 | 2,394 |
| Institutions | 4,248 | 309 | 123 | 747 | 1,791 | 7,218 | 445 | 7,663 |
| Corporates | 23,925 | 289 | 3,553 | 7,021 | 56 | 34,844 | 1,794 | 36,638 |
| Retail | 782 | 22,861 | 2,046 | – | – | 25,689 | 787 | 26,476 |
| Secured by mortgages | 12,524 | – | 153 | 576 | – | 13,253 | 607 | 13,860 |
| Exposures in default | 1,205 | 333 | 125 | 167 | – | 1,830 | 369 | 2,199 |
| Items associated with high risk | 54 | 3 | – | 182 | 583 | 822 | 1,212 | 2,034 |
| Covered bonds | 413 | 5 | 2 | 183 | 434 | 1,037 | 172 | 1,209 |
| Securitisation positions | – | – | – | – | – | – | – | – |
| Collective investment undertakings | – | – | 1 | – | – | 1 | – | 1 |
| Equity positions | 33 | – | 222 | 45 | – | 300 | 226 | 526 |
| Other items | 1,666 | 100 | 287 | 11 | 20 | 2,084 | 83 | 2,167 |
| **Total Standardised approach credit risk exposure** | 91,259 | 26,499 | 10,295 | 29,112 | 45,280 | 202,445 | 11,171 | 213,616 |
| **Foundation IRB approach** | | | | | | | | |
| Central governments or central banks | – | – | – | – | – | – | – | – |
| Institutions | – | – | – | – | – | – | – | – |
| Corporates | – | – | – | – | – | – | – | – |
| **Total Foundation approach credit risk exposure** | – | – | – | – | – | – | – | – |
| **Advanced IRB approach** | | | | | | | | |
| Central governments or central banks | 3,185 | 23 | 3,077 | 1,625 | 6,188 | 14,098 | 684 | 14,782 |
| Institutions | 6,735 | 27 | 640 | 10,461 | 2,603 | 20,466 | 7,753 | 28,219 |
| Corporates | 58,917 | 3 | 13,271 | 68,529 | 250 | 140,970 | 10,550 | 151,520 |
| Retail | – | – | – | – | – | – | – | – |
| – Small and medium-sized enterprises (SMEs) | 6,790 | – | 1,107 | – | – | 7,897 | – | 7,897 |
| – Secured by real estate collateral | 130,530 | – | 10,782 | – | – | 141,312 | 14,665 | 155,977 |
| – Qualifying revolving retail | 9,900 | 31,883 | 2,220 | – | – | 44,003 | – | 44,003 |
| – Other retail | 5,388 | 1 | 3,199 | – | – | 8,588 | 8 | 8,596 |
| Equity | – | – | – | – | – | – | – | – |
| Securitisation positions | – | – | 151 | 13,515 | 515 | 14,181 | 3,186 | 17,367 |
| Non-credit obligation assets | 1,780 | 1,976 | 1,367 | 4,621 | 856 | 10,600 | 719 | 11,319 |
| **Total Advanced IRB credit risk exposure** | 223,225 | 33,913 | 35,814 | 98,751 | 10,412 | 402,115 | 37,565 | 439,680 |
| **Total credit risk exposure** | 314,484 | 60,412 | 46,109 | 127,863 | 55,692 | 604,560 | 48,736 | 653,296 |

---

# Table 13: Detailed view of exposure at default, post-CRM by business continued

| EAD post-CRM credit exposure class | Personal & Corporate Banking £m | Barclaycard £m | Africa Banking £m | Investment Bank £m | Head Office £m | Total Core £m | Barclays Non-Core £m | Total £m |
| --- | --- | --- | --- | --- | --- | --- | --- | --- |
| **As at 31 December 2014** | | | | | | | | |
| **Credit risk** | | | | | | | | |
| Standardised approach | | | | | | | | |
| Central governments or central banks | 37,745 | 1,710 | 7,295 | 16,629 | 30,653 | 94,032 | 10,467 | 104,499 |
| Regional governments or local authorities | 448 | 2 | 1 | 124 | 219 | 794 | 68 | 862 |
| Public sector entities | 181 | – | – | 163 | – | 344 | 10 | 354 |
| Multilateral development banks | 1,203 | 8 | 31 | 525 | 1,004 | 2,771 | 314 | 3,085 |
| International organisations | 1,026 | 7 | 5 | 448 | 856 | 2,342 | 267 | 2,609 |
| Institutions | 4,901 | 356 | 548 | 171 | 108 | 6,084 | 681 | 6,765 |
| Corporates | 23,714 | 464 | 2,756 | 6,708 | 188 | 33,830 | 3,514 | 37,344 |
| Retail | 1,075 | 20,049 | 2,224 | – | – | 23,348 | 3,531 | 26,879 |
| Secured by mortgages | 14,175 | – | 153 | 558 | – | 14,886 | 1,062 | 15,948 |
| Exposures in default | 1,243 | 293 | 232 | 21 | – | 1,789 | 1,272 | 3,061 |
| Items associated with high risk | 57 | – | – | 165 | 135 | 357 | 1,195 | 1,552 |
| Covered bonds | – | – | – | – | 698 | 698 | 160 | 858 |
| Securitisation positions | – | – | – | – | – | – | – | – |
| Collective investment undertakings | – | – | – | – | – | – | – | – |
| Equity positions | 47 | – | 250 | 133 | – | 430 | 230 | 660 |
| Other items | 1,575 | 121 | 468 | 84 | 15 | 2,263 | 589 | 2,852 |
| **Total Standardised approach credit risk exposure** | 87,390 | 23,010 | 13,963 | 25,729 | 33,876 | 183,968 | 23,360 | 207,328 |
| **Foundation IRB approach** | | | | | | | | |
| Central governments or central banks | – | – | 176 | – | – | 176 | – | 176 |
| Institutions | – | – | 981 | – | – | 981 | – | 981 |
| Corporates | – | – | 14,761 | – | – | 14,761 | – | 14,761 |
| **Total Foundation approach credit risk exposure** | – | – | 15,918 | – | – | 15,918 | – | 15,918 |
| **Advanced IRB Approach** | | | | | | | | |
| Central governments or central banks | 1,947 | 8 | 5 | 1,632 | 1,763 | 5,355 | 1,349 | 6,704 |
| Institutions | 6,969 | 23 | 15 | 11,303 | 4,462 | 22,772 | 7,749 | 30,521 |
| Corporates | 55,611 | 2 | 6 | 58,908 | 264 | 114,791 | 14,756 | 129,547 |
| Retail | – | – | – | – | – | – | – | – |
| – Small and medium-sized enterprises (SMEs) | 7,711 | – | 1,124 | – | – | 8,835 | – | 8,835 |
| – Secured by real estate collateral | 130,575 | – | 13,896 | – | – | 144,471 | 28,029 | 172,500 |
| – Qualifying revolving retail | 9,643 | 31,605 | 2,705 | – | – | 43,953 | – | 43,953 |
| – Other retail | 4,844 | 2 | 4,197 | – | – | 9,043 | 10 | 9,053 |
| Equity | – | – | – | – | – | – | – | – |
| Securitisation positions | 93 | – | 270 | 14,978 | 628 | 15,969 | 4,879 | 20,848 |
| Non-credit obligation assets | 2,054 | 1,785 | 1,543 | 4,023 | 927 | 10,332 | 1,397 | 11,729 |
| **Total Advanced IRB credit risk exposure** | 219,447 | 33,425 | 23,761 | 90,844 | 8,044 | 375,521 | 58,169 | 433,690 |
| **Total credit risk exposure** | 306,837 | 56,435 | 53,642 | 116,573 | 41,920 | 575,407 | 81,529 | 656,936 |

Exposure at default post- CRM decreased by £3.6bn to £653.3bn. The key movements by business were as follows:

*   PCB increased by £7.6bn to £314.5bn, driven by an increase in corporate lending
*   Barclaycard increased by £4.0bn to £60.4bn, driven by asset growth and the depreciation of GBP against USD
*   Africa Banking decreased by £7.5bn to £46.1bn, driven by depreciation of ZAR against GBP
*   Investment Bank increased by £11.3bn to £127.9bn, driven by new syndication facilities and movement in the Group liquidity pool
*   Head Office increased by £13.8bn to £55.7bn, driven by movement in the Group liquidity pool, increased deferred tax assets and collateral pledges
*   Barclays Non-Core decreased by £32.8bn to £48.7bn, driven by the sale of the Spanish business and the UK Secured Lending portfolio and the rundown of legacy portfolio assets.

The total Group liquidity pool composition has decreased £4bn to £145bn. This was primarily driven by a £14bn decrease in bonds sourced through reverse repurchase transactions, offset by a £10bn increase in bonds held on-balance sheet. These result in an increase in credit risk EAD and a decrease in counterparty credit risk EAD. The composition of the liquidity pool is efficiently and centrally managed, with further details provided in the Annual Report page 191.

---

# Table 14: Detailed view of credit risk RWAs by business

This table shows RWAs for credit risk by business, broken down by credit exposure class for credit risk in the banking book.

| Risk weighted assets credit exposure class | Personal & Corporate Banking £m | Barclaycard £m | Africa Banking £m | Investment Bank £m | Head Office £m | Total Core £m | Barclays Non-Core £m | Total £m |
| --- | --- | --- | --- | --- | --- | --- | --- | --- |
| **As at 31 December 2015** | | | | | | | | |
| **Credit risk** | | | | | | | | |
| Standardised approach | | | | | | | | |
| Central governments or central banks | – | 1 | 2,441 | 14 | 52 | 2,508 | 1 | 2,509 |
| Regional governments or local authorities | 7 | 2 | – | 112 | – | 121 | – | 121 |
| Public sector entities | 39 | – | – | 1 | – | 40 | 5 | 45 |
| Multilateral development banks | – | – | – | – | – | – | – | – |
| International organisations | – | – | – | – | – | – | – | – |
| Institutions | 1,244 | 61 | 52 | 77 | 445 | 1,879 | 111 | 1,990 |
| Corporates | 22,520 | 341 | 3,533 | 3,759 | 51 | 30,204 | 1,007 | 31,211 |
| Retail | 583 | 17,146 | 1,535 | – | – | 19,264 | 564 | 19,828 |
| Secured by mortgages | 5,150 | – | 116 | 223 | – | 5,489 | 225 | 5,714 |
| Exposures in default | 1,488 | 413 | 163 | 229 | 1 | 2,294 | 506 | 2,800 |
| Items associated with high risks | 81 | 4 | – | 278 | 874 | 1,237 | 2,102 | 3,339 |
| Covered bonds | 83 | 1 | – | 37 | 87 | 208 | 34 | 242 |
| Securitisation positions | – | – | – | – | – | – | – | – |
| Collective investment undertakings | – | – | 1 | – | – | 1 | – | 1 |
| Equity positions | 82 | – | 497 | 68 | – | 647 | 514 | 1,161 |
| Other items | 229 | 19 | 218 | 10 | 3 | 479 | 9 | 488 |
| **Total Standardised approach credit risk exposure** | 31,506 | 17,988 | 8,556 | 4,808 | 1,513 | 64,371 | 5,078 | 69,449 |
| **Foundation IRB approach** | | | | | | | | |
| Central governments or central banks | – | – | – | – | – | – | – | – |
| Institutions | – | – | – | – | – | – | – | – |
| Corporates | – | – | – | – | – | – | – | – |
| **Total Foundation approach credit risk exposure** | – | – | – | – | – | – | – | – |
| **Advanced IRB approach** | | | | | | | | |
| Central governments or central banks | 548 | 5 | 1,237 | 310 | 467 | 2,567 | 81 | 2,648 |
| Institutions | 2,758 | 5 | 309 | 1,243 | 431 | 4,746 | 2,350 | 7,096 |
| Corporates | 36,155 | – | 7,449 | 27,039 | 16 | 70,659 | 2,267 | 72,926 |
| Retail | – | – | – | – | – | – | – | – |
| – Small and medium-sized enterprises (SMEs) | 3,000 | – | 609 | – | – | 3,609 | – | 3,609 |
| – Secured by real estate collateral | 19,399 | – | 3,019 | – | – | 22,418 | 4,605 | 27,023 |
| – Qualifying revolving retail | 1,579 | 15,754 | 1,433 | – | – | 18,766 | – | 18,766 |
| – Other retail | 6,160 | 1 | 2,496 | – | – | 8,657 | 1 | 8,658 |
| Equity | – | – | – | – | – | – | – | – |
| Securitisation positions | – | – | 21 | 1,720 | 46 | 1,787 | 1,354 | 3,141 |
| Non-credit obligation assets | 1,753 | 2,087 | 1,125 | 9,102 | 1,803 | 15,870 | 1,254 | 17,124 |
| **Total Advanced IRB credit risk exposure** | 71,352 | 17,852 | 17,698 | 39,414 | 2,763 | 149,079 | 11,912 | 160,991 |
| **Total credit risk weighted assets** | 102,858 | 35,840 | 26,254 | 44,222 | 4,276 | 213,450 | 16,990 | 230,440 |

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# Table 14: Detailed view of credit risk RWAs by business continued

| Risk weighted assets credit exposure class | Personal & Corporate Banking £m | Barclaycard £m | Africa Banking £m | Investment Bank £m | Head Office £m | Total Core £m | Barclays Non-Core £m | Total £m |
| --- | --- | --- | --- | --- | --- | --- | --- | --- |
| **As at 31 December 2014** | | | | | | | | |
| **Credit risk** | | | | | | | | |
| Standardised approach | | | | | | | | |
| Central governments or central banks | 3 | – | 2,518 | – | 51 | 2,572 | 256 | 2,828 |
| Regional governments or local authorities | 27 | – | – | 10 | – | 37 | – | 37 |
| Public sector entities | 45 | – | – | 135 | – | 180 | 10 | 190 |
| Multilateral development banks | – | – | 26 | – | – | 26 | – | 26 |
| International organisations | – | – | – | – | – | – | – | – |
| Institutions | 1,695 | 72 | 272 | 419 | 26 | 2,484 | 360 | 2,844 |
| Corporates | 22,537 | 479 | 2,755 | 4,337 | 85 | 30,193 | 2,605 | 32,798 |
| Retail | 817 | 15,038 | 2,091 | – | – | 17,946 | 2,560 | 20,506 |
| Secured by mortgages | 5,632 | – | 115 | 217 | – | 5,964 | 460 | 6,424 |
| Exposures in default | 1,561 | 296 | 316 | 32 | – | 2,205 | 1,680 | 3,885 |
| Items associated with high risk | 85 | – | – | 248 | 202 | 535 | 2,148 | 2,683 |
| Covered bonds | – | – | – | – | 140 | 140 | 32 | 172 |
| Securitisation positions | – | – | – | – | – | – | – | – |
| Collective investment undertakings | – | – | – | – | – | – | – | – |
| Equity positions | 116 | – | 538 | 342 | – | 996 | 528 | 1,524 |
| Other items | 139 | 25 | 384 | 33 | 2 | 583 | 40 | 623 |
| **Total Standardised approach credit risk exposure** | 32,657 | 15,910 | 9,015 | 5,773 | 506 | 63,861 | 10,679 | 74,540 |
| **Foundation IRB approach** | | | | | | | | |
| Central governments or central banks | – | – | 95 | – | – | 95 | – | 95 |
| Institutions | – | – | 472 | – | – | 472 | – | 472 |
| Corporates | – | – | 10,935 | – | – | 10,935 | – | 10,935 |
| **Total Foundation approach credit risk exposure** | – | – | 11,502 | – | – | 11,502 | – | 11,502 |
| **Advanced IRB approach** | | | | | | | | |
| Central governments or central banks | 219 | 1 | 1 | 250 | 151 | 622 | 122 | 744 |
| Institutions | 2,134 | 5 | 4 | 1,370 | 1,352 | 4,865 | 2,243 | 7,108 |
| Corporates | 34,905 | – | 5 | 25,205 | 121 | 60,236 | 4,751 | 64,987 |
| Retail | – | – | – | – | – | – | – | – |
| – Small and medium-sized enterprises (SMEs) | 3,530 | – | 673 | – | – | 4,203 | – | 4,203 |
| – Secured by real estate collateral | 19,747 | – | 3,622 | – | – | 23,369 | 7,526 | 30,895 |
| – Qualifying revolving retail | 1,423 | 16,539 | 1,714 | – | – | 19,676 | – | 19,676 |
| – Other retail | 5,626 | 2 | 2,983 | – | – | 8,611 | 3 | 8,614 |
| Equity | – | – | – | – | – | – | – | – |
| Securitisation positions | 28 | – | 51 | 2,187 | 57 | 2,323 | 2,992 | 5,315 |
| Non-credit obligation assets | 2,468 | 1,945 | 1,239 | 7,817 | 1,231 | 14,700 | 1,779 | 16,479 |
| **Total Advanced IRB credit risk exposure** | 70,080 | 18,492 | 10,292 | 36,829 | 2,912 | 138,605 | 19,416 | 158,021 |
| **Total credit risk weighted assets** | 102,737 | 34,402 | 30,809 | 42,602 | 3,418 | 213,968 | 30,095 | 244,063 |

Risk weighted assets decreased by £13.6bn to £230.4bn. The key movements by business were as follows:

*   PCB remained stable at £102.9bn
*   Barclaycard increased by £1.4bn to £35.8bn, driven by asset growth, especially within Barclaycard US
*   Africa Banking decreased by £4.6bn to £26.3bn, driven by depreciation of ZAR against GBP, partly offset by underlying asset growth
*   Investment Bank increased by £1.6bn to £44.2bn, driven by new syndication facilities
*   Head Office increased by £0.9bn to £4.3bn, driven by increased deferred tax assets and collateral pledges
*   Barclays Non-Core decreased by £13.1bn to £17.0bn, driven by the sale of the Spanish business and the UK Secured Lending portfolio and the rundown of legacy portfolio assets.

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# Table 15: Banking book reconciliation of IFRS balance sheet and credit risk calculation

This table provides a bridge between the IFRS balance sheet and regulatory exposures subject to credit risk calculation.

The table expands upon Table 1, which shows the difference between the IFRS and regulatory scope of consolidation. In addition, the following balances are excluded for the purpose of determining exposures subject to credit risk calculations:

*   assets not subject to credit risk – this includes items subject to market risk and counterparty credit risk calculations, and settlement balances
*   specific regulatory adjustments – this includes adjustments to account for differences in IFRS and regulatory netting, items treated as regulatory capital deductions and other adjustments to IFRS balances as prescribed by CRD IV
*   off-balance sheet – this captures items that are off-balance sheet for the purpose of IFRS disclosures, but within the scope of credit risk calculations. These balances are shown after applying credit conversion factors to reflect the conversion of credit facilities into drawn balances.

The total regulatory exposure is disclosed pre-CRM, as the differences between EAD pre- and post-CRM are already expressed through other tables within the document.

| As at 31 December 2015 | Accounting balance sheet per published financial statements £m | Deconsolidation of insurance/other entities £m | Consolidation of banking associates/other entities £m | Balance sheet per regulatory scope of consolidation £m | Balances not subject to credit risk calculations £m | Specific Regulatory Adjustments and balances adjusted directly through Capital £m | Regulatory Exposure value of IFRS off balance sheet items post CCFs £m | Total £m |
| --- | --- | --- | --- | --- | --- | --- | --- | --- |
| **Assets** | | | | | | | | |
| Cash and balances at central banks and items in the course of collection from other banks | 50,722 | (10) | 51 | 50,763 | – | – | – | 50,763 |
| Trading portfolio assets | 77,348 | – | 2,762 | 80,110 | (80,110) | – | – | – |
| Financial assets designated at fair value | 76,830 | (2,414) | 146 | 74,562 | (52,149) | (177) | – | 22,236 |
| Derivative financial instruments | 327,709 | (2) | (1,642) | 326,065 | (326,065) | – | – | – |
| Available for sale investments | 90,267 | (2,152) | – | 88,115 | (3) | (801) | (9) | 87,302 |
| Loans and advances to banks | 41,349 | (146) | 80 | 41,283 | (19,127) | (9) | 168 | 22,315 |
| Loans and advances to customers | 399,217 | (5,878) | 1,465 | 394,804 | (67,430) | 19,366 | 127,745 | 474,485 |
| Reverse repurchase agreements and other similar secured lending | 28,187 | – | – | 28,187 | (28,187) | – | – | – |
| Other assets | 28,383 | (1,731) | (355) | 26,297 | (9,475) | (119) | – | 16,703 |
| **Total assets** | 1,120,012 | (12,333) | 2,507 | 1,110,186 | (582,546) | 18,260 | 127,904 | 673,804 |

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# Table 16: Geographic analysis of credit exposure

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

The Africa Banking wholesale portfolio previously reported under the FIRB approach, moved to AIRB during 2015; as such, 2015 FIRB balances are nil.

| EAD pre-CRM credit exposure class | United Kingdom £m | Europe £m | Americas £m | Africa and Middle East £m | Asia £m | Total £m |
| --- | --- | --- | --- | --- | --- | --- |
| **As at 31 December 2015** | | | | | | |
| Standardised approach | | | | | | |
| Central governments or central banks | 31,591 | 44,299 | 32,974 | 4,202 | 261 | 113,327 |
| Regional governments or local authorities | 41 | 728 | 11 | 101 | – | 881 |
| Public sector entities | 47 | 154 | 3 | – | 9 | 213 |
| Multilateral development banks | – | 2,866 | 1,147 | 86 | 82 | 4,181 |
| International organisations | – | 2,394 | – | – | – | 2,394 |
| Institutions | 3,569 | 981 | 753 | 120 | 2,312 | 7,735 |
| Corporates | 15,094 | 8,680 | 15,404 | 6,012 | 3,559 | 48,749 |
| Retail | 6,564 | 3,188 | 15,099 | 2,150 | 108 | 27,109 |
| Secured by mortgages | 9,235 | 2,231 | 1,451 | 596 | 347 | 13,860 |
| Exposures in default | 844 | 622 | 553 | 198 | 30 | 2,247 |
| Items associated with high risk | 998 | 409 | 603 | 3 | 21 | 2,034 |
| Covered bonds | – | 1,209 | – | – | – | 1,209 |
| Securitisation positions | – | – | – | – | – | – |
| Collective investment undertakings | – | – | – | 1 | – | 1 |
| Equity positions | 120 | 136 | 17 | 226 | 27 | 526 |
| Other items | 1,775 | 94 | 2 | 280 | 16 | 2,167 |
| **Total Standardised approach credit risk exposure** | 69,878 | 67,991 | 68,017 | 13,975 | 6,772 | 226,633 |
| **Foundation IRB approach** | | | | | | |
| Central governments or central banks | – | – | – | – | – | – |
| Institutions | – | – | – | – | – | – |
| Corporates | – | – | – | – | – | – |
| **Total Foundation approach credit risk exposure** | – | – | – | – | – | – |
| **Advanced IRB approach** | | | | | | |
| Central governments or central banks | 4,385 | 2,247 | 106 | 3,672 | 4,372 | 14,782 |
| Institutions | 11,695 | 5,425 | 7,342 | 925 | 2,832 | 28,219 |
| Corporates | 79,355 | 20,140 | 43,434 | 13,742 | 2,340 | 159,011 |
| Retail | 181,481 | 17,648 | 16 | 17,322 | 6 | 216,473 |
| Equity | – | – | – | – | – | – |
| Securitisation positions | 3,521 | 886 | 12,634 | 151 | 175 | 17,367 |
| Non-credit obligation assets | 7,976 | 329 | 1,618 | 1,210 | 186 | 11,319 |
| **Total Advanced IRB credit risk exposure** | 288,413 | 46,675 | 65,150 | 37,022 | 9,911 | 447,171 |
| **Total credit risk exposure** | 358,291 | 114,666 | 133,167 | 50,997 | 16,683 | 673,804 |

---

# Table 16: Geographic analysis of credit exposure continued

| EAD pre-CRM credit exposure class | United Kingdom £m | Europe £m | Americas £m | Africa and Middle East £m | Asia £m | Total £m |
| --- | --- | --- | --- | --- | --- | --- |
| **As at 31 December 2014** | | | | | | |
| Standardised approach | | | | | | |
| Central governments or central banks | 35,243 | 31,248 | 29,218 | 7,828 | 962 | 104,499 |
| Regional governments or local authorities | 15 | 437 | 10 | – | 401 | 863 |
| Public sector entities | 1 | 190 | – | 128 | 46 | 365 |
| Multilateral development banks | 11 | 2,254 | 660 | 26 | 134 | 3,085 |
| International organisations | – | 2,609 | – | – | – | 2,609 |
| Institutions | 676 | 1,297 | 662 | 517 | 3,800 | 6,952 |
| Corporates | 15,657 | 10,831 | 15,293 | 4,750 | 3,422 | 49,953 |
| Retail | 7,561 | 4,430 | 13,147 | 2,360 | 213 | 27,711 |
| Secured by mortgages | 10,876 | 2,486 | 1,640 | 629 | 317 | 15,948 |
| Exposures in default | 858 | 1,500 | 395 | 307 | 26 | 3,086 |
| Items associated with high risk | 578 | 448 | 471 | 20 | 35 | 1,552 |
| Covered bonds | – | 858 | – | – | – | 858 |
| Securitisation positions | – | – | – | – | – | – |
| Collective investment undertakings | – | – | – | – | – | – |
| Equity positions | 277 | 74 | 45 | 255 | 9 | 660 |
| Other items | 2,042 | 258 | 17 | 458 | 77 | 2,852 |
| **Total Standardised approach credit risk exposure** | 73,795 | 58,920 | 61,558 | 17,278 | 9,442 | 220,993 |
| **Foundation IRB approach** | | | | | | |
| Central governments or central banks | – | – | – | 176 | – | 176 |
| Institutions | 131 | 2 | – | 848 | – | 981 |
| Corporates | 151 | 185 | 142 | 14,283 | – | 14,761 |
| **Total Foundation approach credit risk exposure** | 282 | 187 | 142 | 15,307 | – | 15,918 |
| **Advanced IRB approach** | | | | | | |
| Central governments or central banks | 1,038 | 1,932 | 595 | 731 | 2,408 | 6,704 |
| Institutions | 10,835 | 7,132 | 9,378 | 912 | 2,264 | 30,521 |
| Corporates | 79,198 | 18,883 | 37,319 | 520 | 2,248 | 138,168 |
| Retail | 181,792 | 30,560 | 33 | 21,944 | 12 | 234,341 |
| Equity | – | – | – | – | – | – |
| Securitisation positions | 4,529 | 544 | 15,392 | 269 | 114 | 20,848 |
| Non-credit obligation assets | 7,614 | 803 | 1,742 | 1,395 | 175 | 11,729 |
| **Total Advanced IRB credit risk exposure** | 285,006 | 59,854 | 64,459 | 25,771 | 7,221 | 442,311 |
| **Total credit risk exposure** | 359,083 | 118,961 | 126,159 | 58,356 | 16,663 | 679,222 |

Exposure at default pre-CRM decreased by £5.4bn to £673.8bn. The key movements by geographical area were as follows:

*   exposure in the UK decreased by £0.8bn to £358.3bn, driven by the sale of UK Secured Lending portfolio partially offset by increases in collateral pledges given and corporate lending
*   exposure in Europe decreased by £4.3bn to £114.7bn, driven by the sale of the Spanish business and further rundown of legacy portfolio assets, offset by movement in the Group liquidity pool
*   exposure in Americas increased by £7.0bn to £133.2bn, driven by new syndication facilities and asset growth in the US cards portfolio
*   exposure in Africa and Middle East decreased by £7.4bn to £51.0bn, driven by depreciation of ZAR against GBP, offset by asset growth primarily in corporate and retail lending.

The total Group liquidity pool composition has decreased £4bn to £145bn. This was primarily driven by a £14bn decrease in bonds sourced through reverse repurchase transactions, offset by a £10bn increase in bonds held on-balance sheet. These result in an increase in credit risk EAD and a decrease in counterparty credit risk EAD. The composition of the liquidity pool is efficiently and centrally managed, with further details provided in the Annual Report page 191.

---

# Table 17: Industry analysis of credit exposure

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

The Africa Banking wholesale portfolio previously reported under the FIRB approach, moved to AIRB during 2015; as such, 2015 FIRB balances are nil.

| EAD pre-CRM credit exposure class | Government and central banks £m | Banks £m | Other financial institutions £m | Manufacturing £m | Construction £m | Property £m | Energy and water £m | Wholesale and retail, distribution and leisure £m | Business and other services £m | Home loans £m | Cards, unsecured loans, other personal lending £m | Other £m | Total £m |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| **As at 31 December 2015** | | | | | | | | | | | | | |
| Standardised approach | | | | | | | | | | | | | |
| Central governments or central banks | 113,327 | – | – | – | – | – | – | – | – | – | – | – | 113,327 |
| Regional governments or local authorities | 109 | – | – | – | – | – | 11 | – | 753 | – | 8 | – | 881 |
| Public sector entities | 149 | – | – | – | – | – | 9 | – | 50 | – | – | 5 | 213 |
| Multilateral development banks | – | 4,181 | – | – | – | – | – | – | – | – | – | – | 4,181 |
| International organisations | 21 | – | 533 | – | – | – | – | – | 1,840 | – | – | – | 2,394 |
| Institutions | 86 | 6,953 | 284 | – | – | – | – | 114 | 195 | – | 102 | 1 | 7,735 |
| Corporates | 49 | 872 | 14,198 | 4,911 | 577 | 1,675 | 2,430 | 3,625 | 14,012 | – | 3,784 | 2,616 | 48,749 |
| Retail | – | – | – | 7 | 3 | 26 | 1 | 14 | 775 | 141 | 26,055 | 87 | 27,109 |
| Secured by mortgages | – | 154 | 781 | 11 | 9 | 669 | – | 315 | 2,504 | 3,649 | 5,713 | 55 | 13,860 |
| Exposures in default | 2 | 1 | 79 | 119 | 23 | 422 | 45 | 89 | 347 | 32 | 937 | 151 | 2,247 |
| Items associated with high risk | – | 3 | 685 | 235 | – | 110 | 189 | 76 | 336 | – | – | 400 | 2,034 |
| Covered bonds | – | 851 | 358 | – | – | – | – | – | – | – | – | – | 1,209 |
| Securitisation positions | – | – | – | – | – | – | – | – | – | – | – | – | – |
| Collective investment undertakings | 1 | – | – | – | – | – | – | – | – | – | – | – | 1 |
| Equity positions | – | 5 | 372 | 7 | 11 | – | – | 5 | 85 | – | – | 41 | 526 |
| Other items | – | 242 | 16 | – | – | – | – | – | – | 113 | – | 1,796 | 2,167 |
| **Total Standardised approach credit exposure** | 113,744 | 13,262 | 17,306 | 5,290 | 623 | 2,902 | 2,685 | 4,238 | 20,897 | 3,935 | 36,599 | 5,152 | 226,633 |
| **Foundation IRB approach** | | | | | | | | | | | | | |
| Central governments or central banks | – | – | – | – | – | – | – | – | – | – | – | – | – |
| Institutions | – | – | – | – | – | – | – | – | – | – | – | – | – |
| Corporates | – | – | – | – | – | – | – | – | – | – | – | – | – |
| **Total Foundation IRB approach credit exposure** | – | – | – | – | – | – | – | – | – | – | – | – | – |
| **Advanced IRB approach** | | | | | | | | | | | | | |
| Central governments or central banks | 14,782 | – | – | – | – | – | – | – | – | – | – | – | 14,782 |
| Institutions | 6,312 | 17,902 | 1,374 | – | – | 2 | 87 | – | 2,499 | – | – | 43 | 28,219 |
| Corporates | 344 | 1,821 | 10,538 | 27,967 | 4,818 | 30,028 | 20,490 | 15,850 | 32,826 | – | 69 | 14,260 | 159,011 |
| Retail | – | – | – | 412 | 458 | 1,230 | 5 | 1,703 | 1,596 | 156,290 | 49,887 | 4,892 | 216,473 |
| Equity | – | – | – | – | – | – | – | – | – | – | – | – | – |
| Securitisation positions | – | – | 16,916 | – | – | – | – | – | 446 | – | – | 5 | 17,367 |
| Non-credit obligation assets | – | 1,138 | – | – | – | – | – | – | – | – | – | 10,181 | 11,319 |
| **Total Advanced IRB approach credit exposure** | 21,438 | 20,861 | 28,828 | 28,379 | 5,276 | 31,260 | 20,582 | 17,553 | 37,367 | 156,290 | 49,956 | 29,381 | 447,171 |
| **Total credit exposures** | 135,182 | 34,123 | 46,134 | 33,669 | 5,899 | 34,162 | 23,267 | 21,791 | 58,264 | 160,225 | 86,555 | 34,533 | 673,804 |

---

# Table 17: Industry analysis of credit exposure continued

| EAD pre-CRM credit exposure class | Government and central banks £m | Banks £m | Other financial institutions £m | Manufacturing £m | Construction £m | Property £m | Energy and water £m | Wholesale and retail, distribution and leisure £m | Business and other services £m | Home loans £m | Cards, unsecured loans, other personal lending £m | Other £m | Total £m |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| **As at 31 December 2014** | | | | | | | | | | | | | |
| Standardised approach | | | | | | | | | | | | | |
| Central governments or central banks | 104,499 | – | – | – | – | – | – | – | – | – | – | – | 104,499 |
| Regional governments or local authorities | 221 | – | – | – | – | – | 26 | – | 607 | – | – | 9 | 863 |
| Public sector entities | 160 | – | – | 3 | – | – | 19 | – | 181 | – | – | 2 | 365 |
| Multilateral development banks | – | 3,085 | – | – | – | – | – | – | – | – | – | – | 3,085 |
| International organisations | 26 | – | 1,180 | – | – | – | – | – | 1,403 | – | – | – | 2,609 |
| Institutions | 79 | 5,232 | 772 | – | 8 | 1 | – | 177 | 569 | – | 110 | 4 | 6,952 |
| Corporates | 35 | 725 | 13,407 | 4,716 | 599 | 1,923 | 2,887 | 3,965 | 14,050 | 7 | 4,932 | 2,707 | 49,953 |
| Retail | 3 | 84 | 41 | 22 | 10 | 134 | 42 | 69 | 936 | 1,902 | 24,444 | 24 | 27,711 |
| Secured by mortgages | – | 135 | 1,091 | 13 | 8 | 779 | 3 | 308 | 2,212 | 4,244 | 7,105 | 50 | 15,948 |
| Exposures in default | 1 | 41 | 93 | 222 | 41 | 594 | 220 | 195 | 460 | 194 | 945 | 80 | 3,086 |
| Items associated with high risk | – | – | 566 | 206 | – | – | 199 | 51 | 511 | – | – | 19 | 1,552 |
| Covered bonds | – | 444 | 414 | – | – | – | – | – | – | – | – | – | 858 |
| Securitisation positions | – | – | – | – | – | – | – | – | – | – | – | – | – |
| Collective investment undertakings | – | – | – | – | – | – | – | – | – | – | – | – | – |
| Equity positions | – | 6 | 410 | 26 | 14 | 2 | – | 20 | 144 | – | – | 38 | 660 |
| Other items | – | 414 | 9 | – | – | 345 | – | – | – | – | – | 2,084 | 2,852 |
| **Total Standardised approach credit exposure** | 105,024 | 10,166 | 17,983 | 5,208 | 680 | 3,778 | 3,396 | 4,785 | 21,073 | 6,347 | 37,536 | 5,017 | 220,993 |
| **Foundation IRB approach** | | | | | | | | | | | | | |
| Central governments or central banks | – | – | – | – | – | – | – | – | – | – | – | – | – |
| Institutions | 176 | – | – | – | – | – | – | – | – | – | – | – | 176 |
| Corporates | – | 818 | – | – | – | – | – | – | 163 | – | – | – | 981 |
| **Total Foundation IRB approach credit exposure** | 491 | 1,106 | 66 | 2,285 | 353 | 1,354 | 454 | 1,804 | 4,356 | – | – | 2,492 | 14,761 |
| **Advanced IRB approach** | 667 | 1,924 | 66 | 2,285 | 353 | 1,354 | 454 | 1,804 | 4,519 | – | – | 2,492 | 15,918 |
| Central governments or central banks | – | – | – | – | – | – | – | – | – | – | – | – | – |
| Institutions | 6,704 | – | – | – | – | – | – | – | – | – | – | – | 6,704 |
| Corporates | 6,785 | 21,742 | 1,424 | – | – | – | – | – | 570 | – | – | – | 30,521 |
| Retail | – | – | 11,045 | 22,144 | 4,320 | 28,782 | 18,622 | 12,532 | 29,946 | – | 43 | 10,734 | 138,168 |
| Equity | 1 | 23 | 2 | 465 | 491 | 1,437 | 11 | 1,887 | 1,732 | 172,617 | 49,646 | 6,029 | 234,341 |
| Securitisation positions | – | – | – | – | – | – | – | – | – | – | – | – | – |
| Non-credit obligation assets | – | – | 20,209 | – | – | 93 | – | 154 | 392 | – | – | – | 20,848 |
| **Total Advanced IRB approach credit exposure** | – | 1,268 | – | – | – | – | – | – | – | – | – | 10,461 | 11,729 |
| **Total credit exposures** | 13,490 | 23,033 | 32,680 | 22,609 | 4,811 | 30,312 | 18,633 | 14,573 | 32,640 | 172,617 | 49,689 | 27,224 | 442,311 |

---

# Table 18: Residual maturity analysis credit exposures

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

The Africa Banking wholesale portfolio previously reported under the FIRB approach, moved to AIRB during 2015; as such, 2015 FIRB balances are nil.

| EAD pre-CRM credit exposure class | On demand and qualifying revolving £m | Under one year £m | Over one year but not more than three years £m | Over three years but not more than five years £m | Over five years but not more than 10 years £m | Over 10 years or undated$^a$ £m | Total £m |
| --- | --- | --- | --- | --- | --- | --- | --- |
| **As at 31 December 2015** | | | | | | | |
| Standardised approach | | | | | | | |
| Central governments or central banks | 34,059 | 23,825 | 12,904 | 15,058 | 16,872 | 10,609 | 113,327 |
| Regional governments or local authorities | – | 111 | 572 | 105 | 93 | – | 881 |
| Public sector entities | – | 9 | 7 | 151 | 10 | 36 | 213 |
| Multilateral development banks | – | 93 | 1,316 | 1,067 | 1,573 | 132 | 4,181 |
| International organisations | 6 | – | 2,267 | – | 121 | – | 2,394 |
| Institutions | 655 | 6,685 | 122 | 122 | 114 | 37 | 7,735 |
| Corporates | 5,187 | 19,160 | 8,669 | 8,061 | 2,297 | 5,375 | 48,749 |
| Retail | 19,280 | 1,107 | 2,339 | 2,624 | 1,383 | 376 | 27,109 |
| Secured by mortgages | 27 | 2,970 | 2,862 | 2,130 | 3,067 | 2,804 | 13,860 |
| Exposures in default | 293 | 1,128 | 294 | 134 | 365 | 33 | 2,247 |
| Items associated with high risk | – | 640 | 157 | 43 | – | 1,194 | 2,034 |
| Covered bonds | – | 97 | 995 | 52 | 65 | – | 1,209 |
| Securitisation positions | – | – | – | – | – | – | – |
| Collective investment undertakings | 1 | – | – | – | – | – | 1 |
| Equity positions | – | 33 | 175 | 222 | – | 96 | 526 |
| Other items | 228 | – | 72 | – | – | 1,867 | 2,167 |
| **Total Standardised approach credit exposure** | 59,736 | 55,858 | 32,751 | 29,769 | 25,960 | 22,559 | 226,633 |
| **Foundation IRB approach** | | | | | | | |
| Central governments or central banks | – | – | – | – | – | – | – |
| Institutions | – | – | – | – | – | – | – |
| Corporates | – | – | – | – | – | – | – |
| **Total Foundation IRB approach credit exposure** | – | – | – | – | – | – | – |
| **Advanced IRB approach** | | | | | | | |
| Central governments or central banks | 1,058 | 5,357 | 6,850 | 1,517 | – | – | 14,782 |
| Institutions | 3,053 | 9,499 | 5,126 | 2,664 | 178 | 7,699 | 28,219 |
| Corporates | 18,505 | 24,202 | 41,011 | 49,931 | 5,805 | 19,557 | 159,011 |
| Retail | 48,174 | 3,030 | 6,392 | 10,229 | 21,729 | 126,919 | 216,473 |
| Equity | – | – | – | – | – | – | – |
| Securitisation positions | – | 2,636 | 3,366 | 4 | 9,834 | 1,527 | 17,367 |
| Non-credit obligation assets | 351 | 764 | 202 | – | – | 10,002 | 11,319 |
| **Total Advanced IRB approach credit exposure** | 71,141 | 45,488 | 62,947 | 64,345 | 37,546 | 165,704 | 447,171 |
| **Total credit exposures** | 130,877 | 101,346 | 95,698 | 94,114 | 63,506 | 188,263 | 673,804 |

*Note*
*a The 'Over 10 years or undated' category includes some items without contractual liquidity such as cash and tax assets. These are found in the 'Other items' and 'Non-credit obligations assets' lines.*

---

# Table 18: Residual maturity analysis credit exposures continued

| EAD pre-CRM assets credit exposure class | On demand and qualifying revolving £m | Under one year £m | Over one year but not more than three years £m | Over three years but not more than five years £m | Over five years but not more than 10 years £m | Over 10 years or undated$^a$ £m | Total £m |
| --- | --- | --- | --- | --- | --- | --- | --- |
| **As at 31 December 2014** | | | | | | | |
| Standardised approach | | | | | | | |
| Central governments or central banks | 36,194 | 7,058 | 20,674 | 7,619 | 18,849 | 14,105 | 104,499 |
| Regional governments or local authorities | 7 | 324 | 444 | – | 86 | 2 | 863 |
| Public sector entities | 12 | 44 | 137 | 103 | 64 | 5 | 365 |
| Multilateral development banks | – | 466 | 859 | 498 | 955 | 307 | 3,085 |
| International organisations | 13 | 13 | 1,862 | 152 | 569 | – | 2,609 |
| Institutions | 499 | 5,875 | 255 | 244 | 44 | 35 | 6,952 |
| Corporates | 5,393 | 17,333 | 10,060 | 8,172 | 2,759 | 6,236 | 49,953 |
| Retail | 17,241 | 1,472 | 2,413 | 2,756 | 2,179 | 1,650 | 27,711 |
| Secured by mortgages | 25 | 2,634 | 3,025 | 3,265 | 3,458 | 3,541 | 15,948 |
| Exposures in default | 590 | 850 | 373 | 215 | 650 | 408 | 3,086 |
| Items associated with high risk | – | 29 | 160 | 87 | 22 | 1,254 | 1,552 |
| Covered bonds | – | 27 | 738 | 23 | 70 | – | 858 |
| Securitisation positions | – | – | – | – | – | – | – |
| Collective investment undertakings | – | – | – | – | – | – | – |
| Equity positions | – | 47 | 173 | 250 | – | 190 | 660 |
| Other items | 204 | – | 78 | – | – | 2,570 | 2,852 |
| **Total Standardised approach credit exposure** | 60,178 | 36,172 | 41,251 | 23,384 | 29,705 | 30,303 | 220,993 |
| **Foundation IRB approach** | | | | | | | |
| Central governments or central banks | – | 48 | 13 | 114 | – | 1 | 176 |
| Institutions | 1 | 326 | 522 | 132 | – | – | 981 |
| Corporates | 1,535 | 6,554 | 3,965 | 2,374 | 306 | 27 | 14,761 |
| **Total Foundation approach credit risk exposure** | 1,536 | 6,928 | 4,500 | 2,620 | 306 | 28 | 15,918 |
| **Advanced IRB approach** | | | | | | | |
| Central governments or central banks | 2,110 | 2,474 | 887 | 635 | 598 | – | 6,704 |
| Institutions | 4,482 | 12,565 | 3,794 | 1,261 | 1,735 | 6,684 | 30,521 |
| Corporates | 15,271 | 17,897 | 28,268 | 49,043 | 4,793 | 22,896 | 138,168 |
| Retail | 48,959 | 3,147 | 6,329 | 11,152 | 22,521 | 142,233 | 234,341 |
| Equity | – | – | – | – | – | – | – |
| Securitisation positions | – | 6,604 | 5,607 | 220 | 6,175 | 2,242 | 20,848 |
| Non-credit obligation assets | 579 | 345 | 198 | – | – | 10,607 | 11,729 |
| **Total Advanced IRB credit risk exposure** | 71,401 | 43,032 | 45,083 | 62,311 | 35,822 | 184,662 | 442,311 |
| **Total credit exposures** | 133,115 | 86,132 | 90,834 | 88,315 | 65,833 | 214,993 | 679,222 |

Exposure at default pre-CRM decreased by £5.4bn to £673.8bn. The key movements by maturity band were as follows:

*   On demand and qualifying revolving decreased by £2.2bn to £130.9bn driven by the depreciation of ZAR against GBP, partially offset by underlying growth in Barclaycard
*   Under one year increased by £15.2bn to £101.3bn driven by changes in the composition of the Group liquidity pool
*   Exposure over one year but not more than three years increased by £4.9bn to £95.7bn driven by growth in Investment Bank syndication facilities and term lending in Corporate, offset by movement in the composition of the Group liquidity pool
*   Exposure over three years but not more than five years increased by £5.8bn to £94.1bn, driven by movement in the composition of the Group liquidity pool
*   Exposure over 5 years but not more than ten years decreased by £2.3bn to £63.5bn, driven by the sale of the Spanish business and rundown of legacy portfolios assets and movements in the composition of the Group liquidity pool
*   Over ten years or undated decreased by £26.7bn to £188.3bn primarily driven by the sale of the Spanish business and the UK Secured Lending portfolio and rundown of legacy portfolio assets.

The total Group liquidity pool composition has decreased £4bn to £145bn. This was primarily driven by a £14bn decrease in bonds sourced through reverse repurchase transactions, offset by a £10bn increase in bonds held on-balance sheet. These result in an increase in credit risk EAD and a decrease in counterparty credit risk EAD. The composition of the liquidity pool is efficiently and centrally managed, with further details provided in the Annual Report page 191.

---

# Table 19: Exposures covered by guarantees and credit derivatives

| Credit exposure class | Exposures covered by unfunded credit protection Standardised £m | Exposures covered by unfunded credit protection Foundation IRB £m | Exposures covered by unfunded credit protection Advanced IRB £m | Exposures covered by funded credit protection Foundation IRB £m | Exposures covered by funded credit protection Advanced IRB £m |
| --- | --- | --- | --- | --- | --- |
| **As at 31 December 2015** | | | | | |
| Central governments or central banks | – | – | 436 | – | – |
| Institutions | 1,937 | – | 5,381 | – | 5,078 |
| Corporates | 1,183 | – | 6,225 | – | 35,811 |
| Retail | 3 | – | 5,016 | – | 415,180 |
| Exposures in default | 1 | – | – | – | – |
| Equity | – | – | – | – | – |
| Securitisation positions | – | – | – | – | – |
| Non-credit obligation assets | – | – | – | – | – |
| **Total** | 3,124 | – | 17,058 | – | 456,069 |
| **As at 31 December 2014$^a$** | | | | | |
| Central governments or central banks | – | – | 613 | – | – |
| Institutions | 1,517 | – | 4,525 | – | 5,111 |
| Corporates | 1,183 | 11 | 5,996 | 3,954 | 29,769 |
| Retail | 7 | – | 5,567 | – | 468,914 |
| Exposures in default | 2 | – | – | – | – |
| Equity | – | – | – | – | – |
| Securitisation positions | – | – | – | – | – |
| Non-credit obligation assets | – | – | – | – | – |
| **Total** | 2,709 | 11 | 16,701 | 3,954 | 503,794 |

Exposures covered by unfunded credit protection increased by £0.8bn to £20.2bn. This was driven by a number of small counterparties exposure increases.

Exposures covered by funded credit protection decreased by £51.7bn to £456.1bn, primarily driven by:

*   £68bn decrease due to the sale of the Spanish business and the UK Secured Lending portfolio and rundown of legacy portfolio assets offset by
*   £15bn portfolio growth in PCB.

*Note*
*a Prior year comparatives have been restated to more accurately reflect the form and impact of credit protection.*

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# 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. The PRA determines which agencies may be used to determine the correct risk weight. Barclays uses ratings assigned by the following agencies for credit risk calculations:
*   Standard & Poor’s
*   Moody’s
*   Fitch

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

### Rated and unrated counterparties
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 assignment to a quality step, exposure class and maturity are then used to determine the risk weight percentage. Exposures cannot be assigned a risk weight lower than that of the sovereign risk of the country in which the asset is located.

Where a credit rating is not available, a default treatment is applied as specified by regulatory guidance. In most cases this default risk weight equates to that which is applied to credit quality step 3.

### Table 20: Relationship of long-term external credit ratings to credit quality steps under the Standardised approach

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

### Table 21: Credit quality steps and risk weights under the standardised approach

| Credit Quality Step | Corporates | Institution (includes banks) 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% | 0% |
| Credit Quality Step 2 | 50% | 50% | 50% | 20% | 20% |
| Credit Quality Step 3 | 100% | 100% | 50% | 20% | 50% |
| Credit Quality Step 4 | 100% | 100% | 100% | 50% | 100% |
| Credit Quality Step 5 | 150% | 100% | 100% | 50% | 100% |
| Credit Quality Step 6 | 150% | 150% | 150% | 150% | 150% |

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

If considered fully and completely secured by residential or commercial property, a retail exposure is assigned a risk weight of 35% or 50% respectively. If only partially secured, a more complex framework is applied. Other retail exposures are generally 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.

Items of high risk are assigned a risk weight of 150%, whereas Equity positions not subject to threshold calculations are generally assigned a risk weight of 100%.

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

*Notes*
*a The rating agency DBRS is used to calculate risk weight for securitisation exposures only. Please see page 141 for further details.*
*b The mapping of external ratings to credit quality steps applicable as at year-end 2015 is found in Supervisory Statement SS10/13, published by the Prudential Regulation Authority in December 2013.*

---

# Table 22: Credit quality step analysis of pre-CRM exposure and capital deductions under the Standardised approach

| EAD pre-CRM Credit exposure class | Credit quality step 1 £m | Credit quality step 2 £m | Credit quality step 3 £m | Credit quality step 4 £m | Credit quality step 5 £m | Credit quality step 6 £m | Uniform regulatory treatment £m | Total £m |
| --- | --- | --- | --- | --- | --- | --- | --- | --- |
| **As at 31 December 2015** | | | | | | | | |
| Central governments or central banks | 110,288 | 202 | 451 | – | 1,077 | 1 | 1,308 | 113,327 |
| Regional governments or local authorities | 722 | – | – | – | – | – | 159 | 881 |
| Public sector entities | 3 | 9 | – | – | – | – | 201 | 213 |
| Multilateral development banks | 4,181 | – | – | – | – | – | – | 4,181 |
| International organisations | 2,394 | – | – | – | – | – | – | 2,394 |
| Institutions | 3,918 | 691 | 1,454 | 63 | – | – | 1,609 | 7,735 |
| Corporates | 882 | 1,708 | 1,466 | 420 | 48 | 102 | 44,123 | 48,749 |
| Retail | – | – | – | – | – | – | 27,109 | 27,109 |
| Secured by mortgages | – | – | – | – | – | – | 13,860 | 13,860 |
| Exposures in default | – | – | – | – | – | – | 2,247 | 2,247 |
| Items associated with high risk | – | – | – | – | – | – | 2,034 | 2,034 |
| Covered bonds | 1,085 | 124 | – | – | – | – | – | 1,209 |
| Securitisation positions | – | – | – | – | – | – | – | – |
| Collective investment undertakings | – | – | – | – | – | – | 1 | 1 |
| Equity positions | – | – | – | – | – | – | 526 | 526 |
| Other items | – | – | – | – | – | – | 2,167 | 2,167 |
| **Total Standardised approach credit exposure/capital** | 123,473 | 2,734 | 3,371 | 483 | 1,125 | 103 | 95,344 | 226,633 |

Exposures subject to the Standardised approach increased by £5.6bn to £226.6bn, primarily driven by movements in Credit Quality Step 1 partially offset by uniform regulatory treatment:

*   ‘Credit Quality Step 1’ increased by £13.0bn to £123.5bn driven by movement in the Group liquidity pool
*   ‘Uniform regulatory treatment’ decreased by £7.7bn to £95.3bn driven by a change in treatment of South Africa government bonds from Standardised to IRB approach.

---

# Table 23: Credit quality step analysis of post-CRM exposure and capital deductions under the Standardised approach

The difference between exposure at default pre-CRM set out in Table 22 and exposures at default post-CRM in Table 23 below is the impact of financial collateral CRM as described at the bottom of Table 19 on page 41.

| EAD post-CRM Credit exposure class | Credit quality step 1 £m | Credit quality step 2 £m | Credit quality step 3 £m | Credit quality step 4 £m | Credit quality step 5 £m | Credit quality step 6 £m | Uniform regulatory treatment £m | Total £m |
| --- | --- | --- | --- | --- | --- | --- | --- | --- |
| **As at 31 December 2015** | | | | | | | | |
| Central governments or central banks | 110,288 | 202 | 451 | – | 1,077 | 1 | 1,164 | 113,183 |
| Regional governments or local authorities | 721 | – | – | – | – | – | 160 | 881 |
| Public sector entities | 3 | – | – | – | – | – | 201 | 204 |
| Multilateral development banks | 4,181 | – | – | – | – | – | – | 4,181 |
| International organisations | 2,394 | – | – | – | – | – | – | 2,394 |
| Institutions | 3,918 | 691 | 1,454 | 63 | – | – | 1,537 | 7,663 |
| Corporates | 882 | 1,708 | 1,419 | 420 | 48 | 102 | 32,059 | 36,638 |
| Retail | – | – | – | – | – | – | 26,476 | 26,476 |
| Secured by mortgages | – | – | – | – | – | – | 13,860 | 13,860 |
| Exposures in default | – | – | – | – | – | – | 2,199 | 2,199 |
| Items associated with high risk | – | – | – | – | – | – | 2,034 | 2,034 |
| Covered bonds | 1,085 | 124 | – | – | – | – | – | 1,209 |
| Securitisation positions | – | – | – | – | – | – | – | – |
| Collective investment undertakings | – | – | – | – | – | – | 1 | 1 |
| Equity positions | – | – | – | – | – | – | 526 | 526 |
| Other items | – | – | – | – | – | – | 2,167 | 2,167 |
| **Total Standardised approach credit exposure/capital** | 123,472 | 2,725 | 3,324 | 483 | 1,125 | 103 | 82,384 | 213,616 |

---

# Table 24: Internal default grade probabilities and mapping to external ratings

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

---

# Table 25: IRB wholesale obligor grade disclosure for central governments and central banks

### Obligor grade disclosure for Advanced IRB
| As at 31 December 2015 | Total £m | Of which: arising from counterparty credit risk £m | Average exposure value £m | Undrawn commitments £m | Average probability of default (PD) % | Exposure weighted average LGD % | Risk weighted exposure amount £m | Exposure weighted average risk weight % | Expected loss £m |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| DG1: 0.00-0.02% | 9,251 | 4,453 | 9,664 | 478 | 0.0% | 45.0% | 322 | 3.5% | – |
| DG2: 0.02-0.03% | 203 | 118 | 262 | – | 0.0% | 45.0% | 22 | 10.9% | – |
| DG3: 0.03-0.05% | 4,991 | 3,993 | 3,075 | 80 | 0.0% | 45.9% | 420 | 8.4% | 1 |
| DG4: 0.05-0.10% | 4,639 | 287 | 6,628 | 730 | 0.1% | 33.1% | 490 | 10.6% | 1 |
| DG5: 0.10-0.15% | 4,485 | 1,463 | 2,135 | 7 | 0.1% | 45.0% | 2,410 | 53.7% | 3 |
| DG6: 0.15-0.20% | 549 | 73 | 1,617 | – | 0.2% | 45.0% | 292 | 53.2% | – |
| DG7: 0.20-0.25% | 440 | 12 | 1,480 | – | 0.2% | 7.0% | 32 | 7.2% | – |
| DG8: 0.25-0.30% | 425 | 32 | 125 | – | 0.3% | 46.2% | 306 | 72.0% | 1 |
| DG9: 0.30-0.40% | 267 | 55 | 357 | – | 0.4% | 45.7% | 118 | 44.2% | – |
| DG10: 0.40-0.50% | 63 | 63 | 46 | – | 0.5% | 45.0% | 37 | 59.1% | – |
| DG11: 0.50-0.60% | – | – | 1 | – | 0.6% | 53.0% | – | 45.9% | – |
| DG12: 0.60-1.20% | 4 | 3 | 51 | – | 0.7% | 49.4% | 3 | 73.5% | – |
| DG13: 1.20-1.55% | 62 | 62 | 16 | – | 1.2% | 45.0% | 94 | 150.0% | – |
| DG14: 1.55-2.15% | – | – | – | – | 1.9% | 45.0% | – | 76.7% | – |
| DG15: 2.15-3.05% | – | – | – | – | 2.6% | 60.4% | – | 133.2% | – |
| DG16: 3.05-4.45% | – | – | – | – | 0.0% | 0.0% | – | 0.0% | – |
| DG17: 4.45-6.35% | 17 | – | 18 | – | 5.4% | 45.1% | 23 | 138.4% | – |
| DG18: 6.35-8.65% | – | – | – | – | 7.5% | 60.7% | – | 212.4% | – |
| Total | 25,396 | 10,614 | 25,475 | 1,295 | 0.1% | 42.4% | 4,569 | 18.0% | 6 |

---

# Table 26: IRB wholesale obligor grade disclosure for institutions

### Obligor grade disclosure for Advanced IRB
| As at 31 December 2015 | Total £m | Of which: arising from counterparty credit risk £m | Average exposure value £m | Undrawn commitments £m | Average probability of default (PD) % | Exposure weighted average LGD % | Risk weighted exposure amount £m | Exposure weighted average risk weight % | Expected loss £m |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| DG1: 0.00-0.02% | 235 | 159 | 340 | 169 | 0.0% | 45.0% | 24 | 10.4% | – |
| DG2: 0.02-0.03% | 6,515 | 4,578 | 7,387 | 179 | 0.0% | 40.6% | 1,378 | 21.2% | 1 |
| DG3: 0.03-0.05% | 15,959 | 3,502 | 23,345 | 1,320 | 0.0% | 44.1% | 3,938 | 24.7% | 3 |
| DG4: 0.05-0.10% | 13,336 | 4,039 | 11,377 | 735 | 0.1% | 29.0% | 2,174 | 16.3% | 2 |
| DG5: 0.10-0.15% | 948 | 636 | 1,481 | 169 | 0.1% | 47.2% | 456 | 48.0% | 1 |
| DG6: 0.15-0.20% | 1,872 | 336 | 830 | 336 | 0.2% | 31.2% | 749 | 40.0% | 1 |
| DG7: 0.20-0.25% | 673 | 157 | 1,204 | 174 | 0.2% | 47.0% | 341 | 50.6% | 1 |
| DG8: 0.25-0.30% | 143 | 85 | 315 | 33 | 0.3% | 52.4% | 90 | 62.9% | – |
| DG9: 0.30-0.40% | 433 | 164 | 942 | 79 | 0.3% | 47.6% | 284 | 65.7% | 1 |
| DG10: 0.40-0.50% | 1,034 | 103 | 675 | 42 | 0.5% | 45.4% | 757 | 73.2% | 2 |
| DG11: 0.50-0.60% | 194 | 64 | 132 | 44 | 0.6% | 51.6% | 182 | 93.5% | 1 |
| DG12: 0.60-1.20% | 348 | 36 | 185 | 90 | 0.9% | 45.8% | 439 | 126.4% | 1 |
| DG13: 1.20-1.55% | 30 | 4 | 29 | 11 | 1.4% | 46.3% | 33 | 109.4% | – |
| DG14: 1.55-2.15% | 164 | 55 | 91 | 5 | 1.8% | 42.7% | 165 | 100.4% | 1 |
| DG15: 2.15-3.05% | 71 | 10 | 86 | 14 | 2.6% | 36.5% | 83 | 117.0% | 1 |
| DG16: 3.05-4.45% | 43 | 16 | 38 | 8 | 3.6% | 44.2% | 67 | 154.0% | 1 |
| DG17: 4.45-6.35% | 106 | 5 | 56 | 6 | 5.4% | 44.3% | 195 | 183.0% | 2 |
| DG18: 6.35-8.65% | 19 | 1 | 9 | 1 | 7.5% | 38.7% | 34 | 182.3% | 1 |
| DG19: 8.65-11.35% | 4 | 2 | 5 | – | 9.8% | 38.0% | 6 | 175.6% | – |
| DG20: 11.35-18.65% | 36 | 24 | 53 | – | 13.3% | 44.9% | 101 | 277.3% | 3 |
| DG21: 18.65-100% | 14 | – | 7 | – | 30.0% | 35.8% | 33 | 231.8% | 2 |
| In default | 18 | – | 14 | 1 | 100.0% | 30.4% | 27 | 153.3% | 3 |
| **Total** | 42,195 | 13,976 | 48,600 | 3,415 | 0.2% | 38.4% | 11,556 | 27.4% | 28 |

---

# Table 27: IRB wholesale obligor grade disclosure for corporates

### Obligor grade disclosure for Advanced IRB
| As at 31 December 2015 | Total £m | Of which: arising from counterparty credit risk £m | Average exposure value £m | Undrawn commitments £m | Average probability of default (PD) % | Exposure weighted average LGD % | Risk weighted exposure amount £m | Exposure weighted average risk weight % | Expected loss £m |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| DG1: 0.00-0.02% | 176 | 138 | 323 | – | 0.0% | 40.1% | 31 | 17.5% | – |
| DG2: 0.02-0.03% | 34,999 | 18,009 | 27,055 | 26,965 | 0.0% | 43.9% | 5,337 | 15.2% | 5 |
| DG3: 0.03-0.05% | 31,392 | 9,392 | 45,365 | 19,114 | 0.0% | 36.2% | 5,695 | 18.1% | 6 |
| DG4: 0.05-0.10% | 29,484 | 7,059 | 29,932 | 24,601 | 0.1% | 40.5% | 7,417 | 25.2% | 9 |
| DG5: 0.10-0.15% | 14,984 | 3,016 | 15,241 | 11,087 | 0.1% | 41.9% | 5,558 | 37.1% | 8 |
| DG6: 0.15-0.20% | 10,060 | 2,230 | 9,230 | 6,566 | 0.2% | 41.2% | 4,447 | 44.2% | 7 |
| DG7: 0.20-0.25% | 7,796 | 1,475 | 7,295 | 4,928 | 0.2% | 44.6% | 3,941 | 50.5% | 8 |
| DG8: 0.25-0.30% | 4,559 | 382 | 5,091 | 3,841 | 0.3% | 42.0% | 2,427 | 53.2% | 5 |
| DG9: 0.30-0.40% | 4,952 | 399 | 5,429 | 2,918 | 0.3% | 38.6% | 2,843 | 57.4% | 7 |
| DG10: 0.40-0.50% | 4,858 | 727 | 4,906 | 2,622 | 0.5% | 40.5% | 3,196 | 65.8% | 9 |
| DG11: 0.50-0.60% | 4,712 | 272 | 4,866 | 3,609 | 0.5% | 39.7% | 3,306 | 70.2% | 10 |
| DG12: 0.60-1.20% | 12,004 | 606 | 12,103 | 6,704 | 0.9% | 37.0% | 8,813 | 73.4% | 40 |
| DG13: 1.20-1.55% | 3,914 | 166 | 3,837 | 2,928 | 1.4% | 36.6% | 3,183 | 81.3% | 20 |
| DG14: 1.55-2.15% | 4,300 | 267 | 3,931 | 2,486 | 1.8% | 32.7% | 3,489 | 81.2% | 26 |
| DG15: 2.15-3.05% | 4,530 | 339 | 5,192 | 2,599 | 2.6% | 34.9% | 4,380 | 96.7% | 44 |
| DG16: 3.05-4.45% | 5,412 | 223 | 3,863 | 2,947 | 3.6% | 24.4% | 4,516 | 83.4% | 53 |
| DG17: 4.45-6.35% | 2,471 | 130 | 2,871 | 832 | 5.3% | 34.4% | 2,757 | 111.6% | 45 |
| DG18: 6.35-8.65% | 1,009 | 23 | 902 | 648 | 7.5% | 32.2% | 1,106 | 109.6% | 23 |
| DG19: 8.65-11.35% | 391 | 61 | 370 | 122 | 10.1% | 34.9% | 509 | 130.1% | 13 |
| DG20: 11.35-18.65% | 838 | 35 | 661 | 446 | 14.6% | 26.4% | 1,000 | 119.3% | 33 |
| DG21: 18.65-100% | 548 | 9 | 573 | 302 | 32.4% | 35.7% | 1,026 | 187.3% | 60 |
| In default | 1,691 | 48 | 1,569 | 404 | 100.0% | 31.9% | 3,185 | 188.4% | 298 |
| **Total** | 185,080 | 45,006 | 190,605 | 126,669 | 1.6% | 39.3% | 78,162 | 42.2% | 729 |

---

# Table 28: Corporate exposures subject to the slotting approach

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

| Obligor grade | Remaining maturity <2.5 years EAD post-CRM £m | Remaining maturity <2.5 years Risk weighted assets £m | Remaining maturity >2.5 years EAD post-CRM £m | Remaining maturity >2.5 years Risk weighted assets £m |
| --- | --- | --- | --- | --- |
| **As at 31 December 2015** | | | | |
| Strong | 2,231 | 1,114 | 5,220 | 3,654 |
| Good | 1,707 | 1,195 | 1,710 | 1,541 |
| Satisfactory | 320 | 368 | 487 | 560 |
| Weak | 125 | 311 | 73 | 184 |
| Default$^a$ | 396 | – | 89 | – |
| **Total** | 4,779 | 2,988 | 7,579 | 5,939 |

*Note*
*a Exposures in default do not generate risk weighted assets as they are already reflected in deductions to capital resources.*

---

# Table 29: IRB retail obligor grade disclosure for SME

### Obligor grade disclosure for Advanced IRB
| As at 31 December 2015 | Exposure value £m | Average exposure value £m | Undrawn commitments £m | Average probability of default (PD) % | Exposure weighted average LGD % | Risk weighted exposure amount £m | Exposure weighted average risk weight % | Expected loss £m |
| --- | --- | --- | --- | --- | --- | --- | --- | --- |
| DG3: 0.03-0.05% | 997 | 992 | 231 | 0.0% | 26.9% | 118 | 11.8% | 2 |
| DG4: 0.05-0.10% | 293 | 309 | 36 | 0.1% | 24.6% | 42 | 14.5% | 1 |
| DG5: 0.10-0.15% | 239 | 246 | 58 | 0.1% | 34.2% | 43 | 18.0% | – |
| DG6: 0.15-0.20% | 228 | 242 | 74 | 0.2% | 38.0% | 48 | 21.0% | – |
| DG7: 0.20-0.25% | 184 | 204 | 56 | 0.2% | 37.3% | 42 | 23.1% | – |
| DG8: 0.25-0.30% | 176 | 159 | 50 | 0.3% | 34.4% | 42 | 23.7% | – |
| DG9: 0.30-0.40% | 335 | 345 | 100 | 0.3% | 38.9% | 90 | 26.7% | 1 |
| DG10: 0.40-0.50% | 286 | 298 | 81 | 0.4% | 38.4% | 80 | 27.9% | 1 |
| DG11: 0.50-0.60% | 248 | 255 | 72 | 0.5% | 40.0% | 85 | 34.4% | 1 |
| DG12: 0.60-1.20% | 1,075 | 1,196 | 278 | 0.9% | 38.9% | 413 | 38.4% | 5 |
| DG13: 1.20-1.55% | 583 | 606 | 158 | 1.4% | 42.8% | 259 | 44.4% | 4 |
| DG14: 1.55-2.15% | 575 | 619 | 120 | 1.9% | 39.1% | 290 | 50.5% | 5 |
| DG15: 2.15-3.05% | 710 | 750 | 142 | 2.6% | 40.3% | 393 | 55.4% | 8 |
| DG16: 3.05-4.45% | 559 | 637 | 83 | 3.7% | 42.6% | 344 | 61.6% | 9 |
| DG17: 4.45-6.35% | 339 | 408 | 50 | 5.4% | 45.4% | 230 | 67.9% | 9 |
| DG18: 6.35-8.65% | 199 | 224 | 36 | 7.5% | 47.0% | 147 | 73.8% | 7 |
| DG19: 8.65-11.35% | 119 | 137 | 15 | 10.0% | 49.4% | 99 | 82.9% | 6 |
| DG20: 11.35-18.65% | 146 | 150 | 16 | 14.9% | 48.4% | 135 | 92.4% | 11 |
| DG21: 18.65-100% | 240 | 230 | 23 | 30.3% | 41.0% | 241 | 100.6% | 30 |
| In default | 366 | 425 | 9 | 100.0% | 25.0% | 468 | 128.0% | 81 |
| **Total** | 7,897 | 8,432 | 1,688 | 7.3% | 37.5% | 3,609 | 45.7% | 181 |

---

# Table 30: IRB retail obligor grade disclosure for secured retail

### Obligor grade disclosure for Advanced IRB
| As at 31 December 2015 | Exposure value £m | Average exposure value £m | Undrawn commitments £m | Average probability of default (PD) % | Exposure weighted average LGD % | Risk weighted exposure amount £m | Exposure weighted average risk weight % | Expected loss £m |
| --- | --- | --- | --- | --- | --- | --- | --- | --- |
| DG3: 0.03-0.05% | 1,797 | 1,977 | 727 | 0.0% | 10.2% | 20 | 1.1% | – |
| DG4: 0.05-0.10% | 3,082 | 3,333 | 86 | 0.1% | 18.7% | 259 | 8.4% | 1 |
| DG5: 0.10-0.15% | 8,226 | 8,676 | 203 | 0.1% | 21.9% | 1,110 | 13.5% | 3 |
| DG6: 0.15-0.20% | 2,613 | 3,034 | 327 | 0.2% | 20.9% | 461 | 17.7% | 1 |
| DG7: 0.20-0.25% | 2,510 | 2,360 | 591 | 0.2% | 14.6% | 227 | 9.1% | 1 |
| DG8: 0.25-0.30% | 1,971 | 2,136 | 602 | 0.3% | 16.0% | 223 | 11.3% | 1 |
| DG9: 0.30-0.40% | 12,002 | 11,861 | 1,481 | 0.4% | 9.3% | 723 | 6.0% | 4 |
| DG10: 0.40-0.50% | 19,434 | 21,189 | 1,493 | 0.5% | 10.4% | 1,552 | 8.0% | 9 |
| DG11: 0.50-0.60% | 15,214 | 18,755 | 902 | 0.6% | 10.3% | 1,426 | 9.4% | 9 |
| DG12: 0.60-1.20% | 60,944 | 57,871 | 3,216 | 0.8% | 11.5% | 8,113 | 13.3% | 55 |
| DG13: 1.20-1.55% | 8,789 | 7,909 | 310 | 1.3% | 14.6% | 2,082 | 23.7% | 17 |
| DG14: 1.55-2.15% | 6,233 | 5,764 | 215 | 1.9% | 15.7% | 1,949 | 31.3% | 18 |
| DG15: 2.15-3.05% | 4,642 | 4,742 | 247 | 2.6% | 16.4% | 2,350 | 50.6% | 32 |
| DG16: 3.05-4.45% | 1,955 | 1,963 | 116 | 3.7% | 14.6% | 842 | 43.1% | 10 |
| DG17: 4.45-6.35% | 2,248 | 2,180 | 122 | 5.0% | 18.4% | 1,429 | 63.6% | 20 |
| DG18: 6.35-8.65% | 707 | 732 | 41 | 7.6% | 14.0% | 423 | 59.9% | 7 |
| DG19: 8.65-11.35% | 296 | 298 | 18 | 9.9% | 13.7% | 213 | 71.9% | 4 |
| DG20: 11.35-18.65% | 351 | 352 | 19 | 14.5% | 15.2% | 329 | 94.0% | 8 |
| DG21: 18.65-100% | 1,025 | 1,076 | 24 | 44.1% | 15.0% | 1,010 | 98.5% | 73 |
| In default | 1,938 | 2,326 | 3 | 100.0% | 21.4% | 2,282 | 117.7% | 322 |
| **Total** | 155,977 | 158,534 | 10,743 | 2.4% | 12.8% | 27,023 | 17.3% | 595 |

---

# Table 31: IRB retail obligor grade disclosure for revolving retail

### Obligor grade disclosure for Advanced IRB
| As at 31 December 2015 | Exposure value £m | Average exposure value £m | Undrawn commitments £m | Average probability of default (PD) % | Exposure weighted average LGD % | Risk weighted exposure amount £m | Exposure weighted average risk weight % | Expected loss £m |
| --- | --- | --- | --- | --- | --- | --- | --- | --- |
| DG3: 0.03-0.05% | 6,600 | 6,563 | 8,290 | 0.0% | 80.5% | 139 | 2.1% | 2 |
| DG4: 0.05-0.10% | 3,841 | 3,854 | 7,503 | 0.1% | 79.0% | 153 | 4.0% | 2 |
| DG5: 0.10-0.15% | 2,948 | 2,973 | 5,813 | 0.1% | 78.0% | 182 | 6.2% | 3 |
| DG6: 0.15-0.20% | 1,977 | 1,964 | 4,004 | 0.2% | 77.6% | 157 | 8.0% | 3 |
| DG7: 0.20-0.25% | 1,410 | 1,373 | 2,820 | 0.2% | 77.9% | 139 | 9.9% | 2 |
| DG8: 0.25-0.30% | 1,220 | 1,196 | 2,417 | 0.3% | 77.6% | 141 | 11.6% | 3 |
| DG9: 0.30-0.40% | 1,885 | 1,861 | 3,415 | 0.3% | 77.6% | 266 | 14.1% | 5 |
| DG10: 0.40-0.50% | 1,460 | 1,400 | 2,403 | 0.4% | 77.5% | 252 | 17.2% | 5 |
| DG11: 0.50-0.60% | 1,231 | 1,209 | 1,899 | 0.5% | 77.5% | 250 | 20.3% | 6 |
| DG12: 0.60-1.20% | 5,178 | 5,067 | 6,271 | 0.9% | 77.7% | 1,523 | 29.4% | 39 |
| DG13: 1.20-1.55% | 1,967 | 1,901 | 1,708 | 1.4% | 78.2% | 855 | 43.5% | 27 |
| DG14: 1.55-2.15% | 2,386 | 2,308 | 1,822 | 1.8% | 77.8% | 1,241 | 52.0% | 38 |
| DG15: 2.15-3.05% | 2,234 | 2,232 | 1,299 | 2.6% | 77.0% | 1,440 | 64.4% | 47 |
| DG16: 3.05-4.45% | 3,133 | 3,361 | 1,776 | 3.7% | 75.8% | 2,550 | 81.4% | 92 |
| DG17: 4.45-6.35% | 1,671 | 1,698 | 476 | 5.3% | 75.6% | 1,719 | 102.9% | 70 |
| DG18: 6.35-8.65% | 1,143 | 1,229 | 220 | 7.4% | 75.3% | 1,440 | 126.0% | 66 |
| DG19: 8.65-11.35% | 660 | 676 | 98 | 9.9% | 75.1% | 987 | 149.5% | 51 |
| DG20: 11.35-18.65% | 690 | 765 | 85 | 14.3% | 74.9% | 1,245 | 180.5% | 76 |
| DG21: 18.65-100% | 651 | 678 | 60 | 37.6% | 75.5% | 1,417 | 217.7% | 196 |
| In default | 1,718 | 1,890 | 497 | 100.0% | 75.0% | 2,670 | 155.4% | 1,108 |
| **Total** | 44,003 | 44,198 | 52,876 | 6.0% | 77.7% | 18,766 | 42.6% | 1,841 |

---

# Table 32: IRB retail obligor grade disclosure for other retail exposures

### Obligor grade disclosure for Advanced IRB
| As at 31 December 2015 | Exposure value £m | Average exposure value £m | Undrawn commitments £m | Average probability of default (PD) % | Exposure weighted average LGD % | Risk weighted exposure amount £m | Exposure weighted average risk weight % | Expected loss £m |
| --- | --- | --- | --- | --- | --- | --- | --- | --- |
| DG3: 0.03-0.05% | 69 | 53 | 1 | 0.0% | 55.5% | 4 | 6.5% | – |
| DG4: 0.05-0.10% | 33 | 39 | – | 0.1% | 38.3% | 3 | 9.4% | – |
| DG5: 0.10-0.15% | 72 | 78 | – | 0.1% | 54.0% | 12 | 16.0% | – |
| DG6: 0.15-0.20% | 7 | 9 | – | 0.2% | 75.3% | 2 | 29.4% | – |
| DG7: 0.20-0.25% | 3 | 4 | – | 0.2% | 82.4% | 1 | 38.2% | – |
| DG8: 0.25-0.30% | 18 | 20 | – | 0.3% | 73.5% | 7 | 39.2% | – |
| DG9: 0.30-0.40% | 66 | 70 | – | 0.3% | 78.3% | 31 | 46.7% | – |
| DG10: 0.40-0.50% | 193 | 214 | – | 0.5% | 50.1% | 71 | 36.5% | – |
| DG11: 0.50-0.60% | 140 | 148 | – | 0.5% | 73.0% | 82 | 58.4% | 1 |
| DG12: 0.60-1.20% | 1,193 | 1,213 | 13 | 1.0% | 79.0% | 984 | 82.6% | 9 |
| DG13: 1.20-1.55% | 798 | 815 | 1 | 1.4% | 79.7% | 776 | 97.2% | 9 |
| DG14: 1.55-2.15% | 1,413 | 1,408 | – | 1.8% | 74.4% | 1,402 | 99.2% | 19 |
| DG15: 2.15-3.05% | 1,549 | 1,546 | 16 | 2.5% | 73.1% | 1,591 | 102.7% | 33 |
| DG16: 3.05-4.45% | 1,108 | 1,155 | 6 | 3.7% | 78.5% | 1,395 | 125.8% | 41 |
| DG17: 4.45-6.35% | 504 | 599 | – | 5.2% | 76.7% | 607 | 120.5% | 20 |
| DG18: 6.35-8.65% | 347 | 420 | – | 7.8% | 57.8% | 332 | 95.9% | 15 |
| DG19: 8.65-11.35% | 109 | 120 | – | 9.6% | 61.6% | 118 | 108.5% | 6 |
| DG20: 11.35-18.65% | 237 | 277 | – | 15.3% | 60.3% | 301 | 126.9% | 22 |
| DG21: 18.65-100% | 198 | 223 | – | 45.9% | 70.3% | 311 | 157.2% | 70 |
| In default | 539 | 552 | – | 100.0% | 77.3% | 628 | 116.4% | 379 |
| **Total** | 8,596 | 8,963 | 37 | 10.0% | 73.8% | 8,658 | 100.7% | 624 |

---

# Table 33: Analysis of impaired and past due exposures and allowance for impairment by exposure type

This table shows total loans and advances to customers and banks, past due balances and impaired loan balances, split by exposure type.

| | Neither Past due nor Impaired £m | Past Due but not Impaired £m | Impaired Loans Individually £m | Impaired Loans Collectively £m | Total £m | Allowance for Impairment £m |
| --- | --- | --- | --- | --- | --- | --- |
| **As at 31 December 2015** | | | | | | |
| Traded loans | 2,474 | – | – | – | 2,474 | – |
| Financial assets designated at fair value | 17,620 | 293 | – | – | 17,913 | – |
| Loans and advances to banks | 40,640 | 709 | – | – | 41,349 | – |
| Home Loans | 149,431 | 140 | 648 | 6,162 | 156,381 | 518 |
| Credit card receivables | 36,501 | 3 | 387 | 2,539 | 39,430 | 1,870 |
| Other personal lending | 28,690 | 527 | 577 | 2,010 | 31,804 | 1,524 |
| Wholesale and Corporate loans and advances | 162,818 | 6,760 | 1,766 | 346 | 171,690 | 953 |
| Finance lease receivables | 4,612 | 3 | 20 | 198 | 4,833 | 56 |
| **Total** | 442,786 | 8,435 | 3,398 | 11,255 | 465,874 | 4,921 |

*   Individually impaired loans decreased by £0.5bn to £3.4bn primarily due to the transfer of impaired loans in the Portuguese business to ‘held for sale’.
*   Collectively impaired loans decreased by £2.7bn to £11.3bn, predominantly driven by a £1.3bn reduction as a result of changes in forbearance criteria for Mortgage Current Accounts (MCA) during the year.

---

# Table 34: Geographic analysis of impaired and past due exposures and allowance for impairment

This table shows past due and impaired loans and advances to customers and banks, split by geographic location of the counterparty.

| | Past due but not Impaired$^a$ £m | Impaired Loans Individually £m | Impaired Loans Collectively £m | Allowance for Impairment £m |
| --- | --- | --- | --- | --- |
| **As at 31 December 2015** | | | | |
| UK | 3,198 | 1,236 | 7,782 | 2,492 |
| Europe | 524 | 908 | 922 | 816 |
| Americas | 4,389 | 568 | 909 | 725 |
| Africa and Middle East | 241 | 603 | 1,602 | 839 |
| Asia | 83 | 83 | 40 | 49 |
| **Total** | 8,435 | 3,398 | 11,255 | 4,921 |

### Past due but not impaired
*   Americas increased £1.1bn to £4.4bn, primarily relating to wholesale and corporate lending within IB. The increase was predominantly within the past due up to 1 month category.
*   UK decreased £1.0bn to £3.2bn primarily relating to wholesale and corporate lending within PCB, which has seen lower defaults as a result of the economic environment in the UK.

### Individually impaired loans
*   Europe decreased by £0.4bn to £0.9bn, primarily as a result of the transfer to held for sale of impaired loans in the Portuguese businesses.

### Collectively impaired loans
*   UK decreased by £2.0bn to £7.8bn, primarily driven by a £1.3bn decrease in collective impairment against MCA forbearance cases as a result of changes in forbearance criteria.
*   Africa and Middle East decreased by £0.9bn to £1.6bn due to depreciation of ZAR against GBP.

---

# Table 35: Analysis of movement on impairment and amounts taken directly to profit and loss

### Impairment movement
| | Allowance for Impairment Year Ended 31 December 2015 £m | Allowance for Impairment Year Ended 31 December 2014 £m |
| --- | --- | --- |
| Starting period | 5,455 | 7,258 |
| Acquisitions and disposals | – | 13 |
| Exchange and other adjustments | (617) | (1,047) |
| Unwind of discount | (149) | (153) |
| Amounts written off | (2,277) | (3,037) |
| Recoveries | 400 | 221 |
| Amounts charged against profit (see below) | 2,109 | 2,200 |
| **Ending period** | 4,921 | 5,455 |

### Amounts charged against profit
| | Profit and loss impact £m |
| --- | --- |
| New and increased impairment allowances | 3,056 |
| Releases | (547) |
| Recoveries | (400) |
| **Total Impairment on loans and advances** | 2,109 |

Loan impairment fell by 4.1% to £2,109m, due to lower impairment in Non-Core and PCB. This was partially offset by higher charges in Investment Banking and Barclaycard.

---

# Table 36: Regulatory adjustments to statutory Impairment

| As at 31 December 2015 | £m |
| --- | --- |
| IFRS allowance for impairment | 4,921 |
| **Regulatory adjustments** | |
| Scope of consolidation | 246 |
| AFS impairments | 72 |
| Other regulatory adjustments | 349 |
| **Regulatory impairment allowance** | 5,588 |

### Table 37: Analysis of regulatory impairment allowance by regulatory exposure class

| Regulatory impairment allowance | Impairment As at 31 December 2015 £m | Impairment As at 31 December 2014 £m |
| --- | --- | --- |
| Standardised approach | | |
| Central governments or central banks | 3 | – |
| Institutions | 4 | 1 |
| Corporates | 250 | 350 |
| Retail | 268 | 357 |
| Exposures in default | 1,984 | 2,524 |
| Items associated with high risk | 118 | 155 |
| **Total Standardised approach credit exposure** | 2,627 | 3,388 |
| **Foundation IRB approach** | | |
| Total Foundation IRB approach credit exposure | – | 139 |
| **Advanced IRB approach** | | |
| Central governments or central banks | 1 | – |
| Institutions | 4 | 3 |
| Corporates | 560 | 326 |
| Retail – Small and medium enterprises (SME) | 187 | 198 |
| Retail – Secured by real estate collateral | 465 | 637 |
| Retail – Qualifying revolving retail | 1,252 | 1,506 |
| Retail – Other retail | 492 | 565 |
| **Total Advanced IRB approach credit exposure** | 2,961 | 3,235 |
| **Total credit exposures** | 5,588 | 6,762 |

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# Table 38: Impairment charges, other value adjustments and individual impairment charges for IRB exposures

| IRB Exposure Class | As at 31 December 2015 £m | As at 31 December 2014 £m |
| --- | --- | --- |
| Institutions | 1 | – |
| Corporates | 163 | 89 |
| Retail – Retail exposures secured by real estate collateral | 64 | 43 |
| Retail – Qualifying revolving retail | 4 | – |
| Retail – Other retail | 1 | – |
| **Total** | 233 | 136 |

Individual impairment charges for portfolios subject to IRB calculations increased by £0.1bn, primarily due to an increase in impairment charges for corporate exposures. This is driven by a number of immaterial counterparties.

### Loss analysis – regulatory expected loss (EL) versus actual losses

The following table compares Barclays expected loss (EL) measure against the regulatory view of actual loss for those portfolios where credit risk is calculated using the IRB approach.

As expected loss best estimate (ELBE) represents a charge for assets already in default, it has been separately disclosed from total EL. This facilitates comparison of actual loss during the period to the expectation of future loss or EL, as derived by our IRB models in the prior period.

The following should be considered when comparing EL and actual loss metrics:
*   the purpose of EL is not to represent a prediction of future impairment charges
*   whilst the impairment charge and the EL measure respond to similar drivers, they are not directly comparable
*   the EL does not reflect growth of portfolios or changes in the mix of exposures. In forecasting and calculating impairment, balances and trends in the cash flow behaviour of customer accounts are considered.

It should be noted that Barclays’ EL models and regulatory estimations present a conservative view compared to actual loss.

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# Table 39: Analysis of expected loss versus actual losses for IRB exposures

| IRB exposure class | EL £m | ELBE £m | Total expected loss at 31 December 2014 £m | Total actual loss at 31 December 2015 £m |
| --- | --- | --- | --- | --- |
| Central governments or central banks | 7 | – | 7 | – |
| Institutions | 29 | – | 30 | – |
| Corporates | 567 | 621 | 1,188 | 271 |
| Retail – SME | 108 | 110 | 219 | 2 |
| Retail – Secured by real estate collateral | 340 | 556 | 896 | 161 |
| Retail – Qualifying revolving retail | 769 | 1,349 | 2,117 | 643 |
| Retail – Other retail | 247 | 437 | 683 | 192 |
| **Total IRB** | 2,067 | 3,073 | 5,140 | 1,269 |

| IRB exposure class | EL £m | ELBE £m | Total expected loss at 31 December 2013 (CRD III basis) £m | Total actual loss at 31 December 2014 £m |
| --- | --- | --- | --- | --- |
| Central governments or central banks | 7 | – | 7 | – |
| Institutions | 6 | 4 | 10 | 2 |
| Corporates | 685 | 648 | 1,333 | 130 |
| Retail – SME | 133 | 140 | 273 | 6 |
| Retail – Secured by real estate collateral | 388 | 644 | 1,032 | 205 |
| Retail – Qualifying revolving retail | 747