# Barclays PLC Pillar 3 Report 2021

# Growing. Together.

Barclays is a British universal bank. We support individuals and small businesses through our consumer banking services, and larger businesses and institutions through our corporate and investment banking services.

## Our Purpose

We deploy finance responsibly to support people and businesses, acting with empathy and integrity, championing innovation and sustainability, for the common good and the long term.

- **Our diversification, built to deliver double-digit returns**
- **Strategic priorities to sustain and grow**

... which we will deliver through **The Power of One Barclays** ...

... creating positive outcomes for our stakeholders.

- Customers and clients
- Colleagues
- Society
- Investors

Which in turn helps us fulfil our Purpose.

*Read more on why and how we are growing together on page 2 of our Annual Report at home.barclays/annualreport*

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# Contents

## Inside this book

### Introduction
- Summary of risk profile 03
- Notes on basis of preparation 05
- Scope of application of Basel rules 06

### Risk and capital position review
- Analysis of treasury and capital risk 15
- Analysis of credit risk 46
- Analysis of counterparty credit risk 109
- Analysis of market risk 125
- Analysis of securitisation exposures 132
- Analysis of operational risk 145

### Barclays’ approach to managing risks
- Risk management strategy, governance and risk culture 149
- Management of credit risk and the internal ratings-based approach 159
- Management of credit risk mitigation techniques and counterparty credit risk 177
- Management of market risk 180
- Management of securitisation exposures 189
- Management of treasury and capital risk 193
- Management of operational risk 201
- Management of model risk 205
- Management of conduct risk 208
- Management of reputation risk 210
- Management of legal risk 212

### Appendices
- Appendix A – Probabilities of Default (PD), Loss Given Default (LGD), Risk Weighted Asset (RWA) and exposure by country 215
- Appendix B – Analysis of impairment 218
- Appendix C – Countercyclical buffer 219
- Appendix D – Disclosure on asset encumbrance 221
- Appendix E – Disclosures on remuneration 224
- Appendix F – Compliance to Pillar 3 requirements 233
- Location of risk disclosures 247
- Index of tables 250

*See page 247 for an index of all risk disclosures in the Pillar 3 and Annual Reports*

*A glossary of terms can be found at home.barclays/investor-relations/reports-and-events/latest-financial-results/*

Our experience, insight and adaptability help unlock opportunities.

*See our back cover for an example of how we are growing, together.*

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# Barclays PLC Pillar 3 report

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

## Capital position and risk management in 2021

*Taalib Shaah, Group Chief Risk Officer*
*Tushar Morzaria, Group Finance Director*

The Common Equity Tier 1 (CET1) ratio remained stable at 15.1% (December 2020: 15.1%) as a result of an increase in CET1 capital by £1.2bn to £47.5bn, partially offset by an increase in RWAs of £7.9bn to £314.1bn.

The average UK leverage ratio decreased to 4.9% (December 2020: 5.0%) primarily driven by an increase in average leverage exposure. The UK leverage ratio remained stable at 5.3% (December 2020: 5.3%).

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# 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 250 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.

The following risk metrics reflect the Group’s risk profile:

| Metric | 2021 Value | 2020 Value |
| :--- | :--- | :--- |
| Common Equity Tier 1 ratio | 15.1% | 15.1% |
| Common Equity Tier 1 capital | £47.5bn | £46.3bn |
| Risk weighted assets | £314.1bn | £306.2bn |
| Average UK leverage ratio | 4.9% | 5.0% |
| UK leverage ratio | 5.3% | 5.3% |
| Own funds and eligible liabilities ratio | 8.1% | 8.2% |
| Average Management Value at Risk | £19m | £32m |
| Liquidity coverage ratio | 168% | 162% |

---

# Summary of risk profile continued

- **CET1 capital increased by £1.2bn to £47.5bn** as profit before tax of £8.4bn was partially offset by share buybacks, 2021 dividends and equity coupons paid and foreseen as well as pensions deficit contribution payments.
- **RWAs increased £7.9bn to £314.1bn** primarily resulting from the recalibration of the modelled market risk stress period, increased client and trading activity within CIB and growth in mortgages within Barclays UK, partially offset by lower unsecured balances.
- **The average UK leverage ratio decreased to 4.9%** (December 2020: 5.0%). The average leverage exposure increased to £1,227bn primarily driven by an increase in securities financing transactions (SFTs), potential future exposure (PFE) on derivatives and trading portfolio assets (TPAs).
- **Credit impairment net release of £653m** (2020: £4,838m charge). The net release included a reversal of £1.3bn in non-default charges, primarily reflecting the improved macroeconomic outlook. Excluding this reversal, the charge was £0.7bn, reflecting reduced unsecured lending balances and low delinquency. Economic uncertainty adjustments have been maintained firstly in respect of customers and clients who may be more vulnerable to the withdrawal of support schemes and emerging economic uncertainty, and secondly, model uncertainty which does not capture certain macroeconomic and risk parameter uncertainties. The reduction in unsecured lending balances and growth in secured balances have contributed to a decrease in the Group’s loan coverage ratio to 1.6% (December 2020: 2.4%). Coverage ratios in unsecured loan portfolios remained elevated compared to pre-COVID-19 pandemic levels.
- **Average management VaR decreased by 41% to £19m in 2021** (2020: £32m), driven by reduced risk taking, lower market volatility and the impact of a methodology update in March 2021 which changed the historical lookback period of the VaR model from two years to one year. The methodology change has increased the responsiveness of the model to changes over time in volatility levels in the lookback period.
- **The liquidity pool at £291bn** (December 2020: £266bn) reflects the Group’s prudent approach to liquidity management. The Liquidity Coverage Ratio (LCR) remained well above the 100% regulatory requirement at 168% (December 2020: 162%), equivalent to a surplus of £116bn (December 2020: £99bn). The increase in the liquidity pool, LCR and surplus over the year was driven by continued deposit growth, borrowing from the Bank of England's Term Funding Scheme with additional incentives for SMEs (TFSME) and an increase in wholesale funding, which were partly offset by an increase in business funding consumption.

## RWAs increased £7.9bn to £314.1bn (December 2020: £306.2bn)

| | 2021 (£bn) | 2020 (£bn) |
| :--- | :--- | :--- |
| Credit risk | 189.9 | 194.0 |
| Counterparty credit risk | 37.7 | 35.7 |
| Market risk | 44.8 | 35.6 |
| Operational risk | 41.7 | 40.9 |

| | 2021 (£bn) | 2020 (£bn) |
| :--- | :--- | :--- |
| Barclays UK | 72.3 | 73.7 |
| Barclays International | 230.9 | 222.3 |
| Head Office | 11.0 | 10.2 |

- **Credit risk RWAs decreased £4.0bn to £189.9bn** primarily due to lower lending and modelled risk weight recalibrations, partially offset by growth in mortgages within Barclays UK.
- **Counterparty credit risk RWA increased £2.0bn to £37.7bn** primarily due to an increase in trading activity within SFTs, partially offset by a reduction in derivatives.
- **Market risk RWAs increased £9.1bn to £44.8bn** primarily driven by an increase in Stressed Value at Risk (SVaR) due to a model adjustment to reflect market movements during the COVID-19 stressed period following recalibration of the period, increased client and trading activities and methodology and policy changes.
- **Operational risk RWAs remained broadly stable at £41.7bn.**
- **Barclays UK RWAs decreased £1.4bn to £72.3bn** driven by a reduction in unsecured lending and the value of the ESHLA portfolio, partially offset by growth in mortgages.
- **Barclays International RWAs increased £8.6bn to £230.9bn** primarily resulting from the recalibration of the modelled market risk stress period, and increased client and trading activity within CIB.
- **Barclays Head Office RWAs increased £0.8bn to £11.0bn.**

*Please see page 151 for a discussion of risk appetite, and page 204 of the annual report for a discussion of material and emerging risks.*

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# Introduction: Notes on basis of preparation

## Pillar 3 report regulatory framework

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

## Key changes in the 2021 Pillar 3 Report

### Regulatory updates
Following the withdrawal of the UK from the EU, any references to CRR as amended by CRR II mean, unless otherwise specified, CRR as amended by CRR II, as it forms part of UK law pursuant to the European Union (Withdrawal) Act 2018 and subject to the temporary transitional powers (TTP) available to UK regulators to delay or phase-in on-shoring changes to UK regulatory requirements arising at the end of the transition period until 31 March 2022, as at the applicable reporting date.

### Post year-end updates
The PRA has implemented several regulatory changes impacting the calculation of the CET1 ratio within the UK. Changes have also been implemented following the review of the UK Leverage framework and the setting of MREL requirements. All changes took effect from 1 January 2022 and will be included in Pillar 3, or prescribed location from Q1 2022.

### Capital and RWAs
On 19 July 2019, the EBA published a report on the implementation of Internal Ratings-Based approach (IRB) roadmap changes. These have subsequently been implemented by the PRA via several Policy Statements. Key changes include revisions to the criteria for definition of default, PD and LGD estimation to ensure supervisory consistency and increase transparency of IRB models.

On 14 October 2021, the PRA finalised their implementation of Basel standards through Policy Statement 22/21. The finalised requirements included the introduction of the Standardised Approach for Counterparty Credit Risk (SA-CCR) which replaces the Current Exposure Method (CEM) for Standardised derivative exposures as a more risk sensitive approach. The PRA also confirmed the intention to revert to the previous treatment of 100% CET1 capital deduction for qualifying software assets.

### UK Leverage Ratio Framework
On 8 October 2021, the PRA published its Policy Statement on the UK leverage ratio framework. The Policy Statement confirms that UK banks will be subject to a single UK leverage ratio requirement meaning that the CRR leverage ratio will no longer apply for UK banks. Whilst largely upholding the existing framework, technical changes generally align to the Basel III standards with the exception of the qualifying claims on central banks exemption. Central bank claims can be excluded from the UK leverage ratio measure as long as they are matched by qualifying liabilities (rather than deposits). Minimum requirements for the Group remain the same with minimum requirements also expected to be applied at the individual level from 1 January 2023. Individual requirements may be replaced with a sub-consolidated measure, subject to permission from the PRA.

### MREL requirements
On 3 December 2021 the Bank of England (BoE) set new MREL requirements via an updated Statement of Policy removing the requirements under CRR, meaning that from 1 January 2022 the Group will be required to meet the higher of i) 2 times 8% Pillar 1 and 4.6% Pillar 2A requirement; and ii) 6.75% of UK leverage exposure. The Statement of Policy also confirmed that own funds instruments issued by subsidiaries cannot count towards the Group's MREL from 1 January 2022.

### Global Systemically Important Institutions (G-SII) disclosure
On 14 October 2021, the PRA published PS 22/21 allowing G-SIIs to disclose the information required under CRR article 441 within four months of their financial year-end and separately from Pillar 3, to align with the timing of the Basel exercise. Barclays PLC G-SII Disclosure 2021 will be published on the 29th April 2022 at [https://home.barclays/investor-relations/reports-and-events/annual-reports/](https://home.barclays/investor-relations/reports-and-events/annual-reports/).

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

**Credit losses**
Where credit impairment or losses are disclosed within this document, Barclays 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 on 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 differ from asset values as reported in the Annual Report.

Table 4 provides a reconciliation between IFRS and EAD for credit risk, counterparty credit risk and securitisations. Table 66 provides a reconciliation between the IFRS impairment provision and the regulatory impairment allowance.

**Policy, validation and sign-off**
Throughout the year ended 31 December 2021, and to date, Barclays has operated a framework of disclosure controls and procedures to ensure the completeness and accuracy of the Group’s Pillar 3 disclosure.

Barclays is committed to operating within a strong system of internal controls. A framework of disclosure controls and procedures are in place to support the approval of the Group’s external financial disclosures. Specific governance committees are responsible for examining the Group’s external reports and disclosures so that they have been subject to adequate verification and comply with applicable standards and legislation. These committees report their conclusions to the Board Audit Committee (BAC).

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

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

*Taalib Shaah, Chief Risk Officer*
*Tushar Morzaria, Group Finance Director*

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# Scope and application of Basel rules

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

- Tables 1 and 2 show the scope of permission of calculation approaches that summarises the various approaches to calculate risk weighted assets, and Barclays’ permission to use them.
- Table 3 and 4 shows the mapping of financial statement categories to the regulatory risk types and a reconciliation of financial statement carrying values against regulatory exposures.
- Table 5 shows the entities which have a different method of consolidation between accounting and regulatory balance sheets.
- Table 8 shows how IFRS balances contribute to the regulatory scope of consolidation on a line-by-line basis.

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# Scope of application of Basel rules: 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 regulatory capital requirements including the calculation of risk weighted assets 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 risk weighted assets 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 (CCR)
- credit valuation adjustment (CVA)
- market risk
- securitisations
- operational risk

## Approaches to calculate capital requirements under CRD IV and the Capital Requirements Regulations

### Calculation of capital for credit risk
The credit risk RWA calculation is based on an estimate of the EAD. In addition, where Barclays has the necessary regulatory permissions, it estimates PD and LGD (see page 167 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, external credit ratings and maturity.
- **Internal Ratings-Based approach (IRB):** assesses capital requirements using the Group’s specific data and internal models to calculate risk weightings. As such, internal calculations of PD, LGD and credit conversion factors are used to model risk exposures.

### Calculation of capital for counterparty credit risk
CCR applies to derivative and SFT exposures. It differs from credit risk, above, in how the EAD is calculated. CCR arises where a counterparty default may lead to losses of an uncertain nature as the values of any resulting claims 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 exposures:
- **The Internal Model Method (IMM),** subject to regulatory approval, which allows the use of internal models to calculate an effective expected positive exposure (EEPE), multiplied by a factor stipulated by the regulator called alpha. Barclays uses this approach for certain derivative and SFT exposures and its alpha is currently set at 1.4.
- **The Mark to Market method (MTM, also known as Current Exposure Method)** used for derivatives, which is the sum of the current market value of the instrument plus an add-on (dependent on potential future exposure (PFE)) that accounts for the potential change in the value of the contract over its residual maturity.
- **The Financial Collateral Comprehensive Method (FCCM),** which is the net position of SFT exposures after the application of volatility adjustments prescribed by the CRR.

### Calculation of credit valuation adjustment 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:** this approach takes account of the external credit rating of each counterparty, EAD from the calculation of the CCR and the effective maturity.
- **Advanced approach:** this approach requires the calculation of the charge as (a) a 10-day 99% VaR measure for the most recent one-year period and (b) the same measure for a one year stressed period. The sum of the two VaR measures is multiplied with the relevant multiplication factor, based on the number of market risk back-testing exceptions for the most recent 250 business days, to yield the capital charge.

### Calculation of capital for market risk
RWA calculations for market risk assess the losses from market driven movements in the prices of financial assets and liabilities. Two approaches can be used:
- **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 (systematic risk) while specific market risk is calculated based on features of the specific security (idiosyncratic risk).
- **Model-based approach:** subject to regulatory permission, the Group can use proprietary 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.

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# Scope of application of Basel rules: Application of the Basel framework continued

### Calculation of capital for securitisation exposures
A separate regulatory framework exists for the calculation of securitisations risk weighted assets as per Regulation (EU) 2017/2402 (the Securitisation Regulation) and Regulation (EU) 2017/2401 (amendments to CRR). The following approaches are used for the calculation:
- Internal ratings based approach (Sec IRBA)
- Standardised approach (Sec SA)
- External ratings based approach/internal assessment approach (Sec ERBA/Sec IAA)
- 1250% if the above approaches are not applicable

### 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 standardised approach (TSA) is applied. Under TSA, banks are required to hold regulatory capital for operational risk equal to the annual average, calculated over a rolling three-year period, of the relevant income indicator (across all business lines), multiplied by a percentage factor by business lines as per the regulatory requirement.

### Calculation of capital for large exposures
As at 31 December 2021, Barclays had not exceeded the large exposure limit set in CRR, and as such no capital charge applied.

### Prudential regulation on minimum requirements
Beyond the minimum standards required by CRR, the PRA expects the Group, in common with other major UK banks and building societies, to meet a 7% CET1 ratio at the level of the consolidated group since 1 January 2016.

G-SIIs, such as the Group, are subject to a number of additional prudential requirements, including the requirement to hold additional loss-absorbing capacity and additional capital buffers above the level required by Basel III standards. The level of the G-SII buffer is set by the Financial Stability Board (FSB) according to a bank’s systemic importance and can range from 1% to 3.5% of risk-weighted assets (RWAs). The G-SII buffer must be met with CET1. In November 2021, the FSB published an update to its list of G-SIIs, maintaining the 1.5% G-SII buffer that applies to the Group.

The Group is also subject to a ‘combined buffer requirement’ consisting of (i) a capital conservation buffer, and (ii) a countercyclical capital buffer (CCyB). The CCyB is based on rates determined by the regulatory authorities in each jurisdiction in which the Group maintains exposures. In March 2020, the Financial Policy Committee (FPC) cut the UK CCyB rate to 0% with immediate effect in order to support the supply of credit expected as a result of the COVID-19 pandemic. On 13 December 2021, the FPC announced that a CCyB rate of 1% for UK exposures has been re-introduced and will be applicable from 13 December 2022.

The PRA requires UK firms to hold additional capital to cover risks which the PRA assesses are not fully captured by the Pillar 1 capital requirement. The PRA sets this additional capital requirement (Pillar 2A) at least annually, derived from each firm’s individual capital guidance.

Under current PRA rules, the Pillar 2A must be met with at least 56.25% CET1 capital and no more than 25% tier 2 capital. In addition, the capital that firms use to meet their minimum requirements (Pillar 1 and Pillar 2A) cannot be counted towards meeting the combined buffer requirement.

As part of its approach to ring-fencing, the FPC established a framework to apply a firm-specific systemic risk buffer (O-SII) which can be set between 0% and 3% of RWAs and which must be met solely with CET1 capital. The O-SII replaced the previous systemic rate buffer (SRB) used to address the risk posed by systemically important institutions. The purpose of the SRB was to increase the capacity of ring-fenced bodies, such as Barclays Bank UK PLC, to absorb stress. The SRB buffer rate applicable to the Group’s ring-fenced sub-group was set at 1% with effect from August 2019. In response to the economic shock from COVID-19, the PRA and FPC have held firms’ SRB rates at their existing levels until reassessment in December 2023, with any future adjustment to the O-SII buffer applicable from January 2025.

The PRA may also impose a 'PRA buffer' to cover risks over a forward looking planning horizon, including with regard to firm-specific stresses or management and governance weaknesses. If the PRA buffer is imposed on a specific firm, it must be met separately to the combined buffer requirement, and must be met fully with CET1 capital.

## Regulatory capital, leverage and MREL requirements

### Minimum capital requirements
As at 31 December 2021, the Group’s Overall Capital Requirement for CET1 was 11.1% comprising a 4.5% Pillar 1 minimum, a 2.5% Capital Conservation Buffer (CCB), a 1.5% G-SII buffer, a 2.6% Pillar 2A requirement and a 0% CCyB.

### Minimum leverage requirements
The Group is subject to a UK leverage ratio requirement of 3.8% as at 31 December 2021. This comprises the 3.25% minimum requirement, a G-SII additional leverage ratio buffer (G-SII ALRB) of 0.53% and a countercyclical leverage ratio buffer (CCLB) of 0.0%. Although the leverage ratio is expressed in terms of T1 capital, 75% of the minimum requirement, equating to 2.4375%, needs to be met with CET1 capital. In addition, the G-SII ALRB must be covered solely with CET1 capital. The CET1 capital held against the 0.53% G-SII ALRB was £6.0bn. The leverage disclosure requirements reflected in the report are based on CRR as amended by CRR II.

### Minimum requirements for own funds and eligible liabilities (MREL)
As at 31 December 2021, the Group was required to meet the higher of: (i) the MREL set by BoE; and (ii) the requirements in CRR as amended by CRR II, both of which have RWA and leverage measures.

As at 31 December 2021, Barclays PLC (the Parent company) had £108.2bn of own funds and eligible liabilities equating to 8% of CRR leverage exposures. Including subsidiary issuances, which are no longer eligible from 1 January 2022, own funds and eligible liabilities was £109.9bn equating to 8.1% of CRR leverage exposures. This was in excess of the Group’s MREL requirement to hold £93.9bn of own funds and eligible liabilities, equating to 6.9% of CRR leverage exposures.

CET1 capital cannot be counted towards both MREL and the capital buffers, meaning that the buffers will effectively be applied above MREL requirements.

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# Scope of application of Basel rules: Scope of consolidation

In this report, Barclays PLC is presented on a consolidated basis. All disclosures are published for Barclays PLC for the year ended 31 December 2021. 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 the reporting of statutory accounts 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 130 for further details)
- 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 Barclays PLC’s participation for regulatory purposes
- 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 deducted from capital for regulatory purposes

## Significant subsidiaries
The Group's significant subsidiaries as at 31 December 2021 are Barclays Bank PLC, Barclays Bank UK Group and Barclays Bank Ireland PLC. Barclays Bank PLC’s significant subsidiary disclosures are included in this document, whilst the Barclays Bank UK Group and Barclays Bank Ireland PLC Pillar 3 disclosures are published in standalone documents “Barclays Bank UK PLC Pillar 3 Report” and “Barclays Bank Ireland PLC Pillar 3 report” respectively.

### Barclays Bank PLC
Barclays Bank PLC is a wholly-owned subsidiary of Barclays PLC and consists of Corporate and Investment Bank ( CIB), Consumer, Cards and Payments ( CC&P) and Head Office.

Barclays Bank PLC is currently regulated by the PRA on a solo-consolidated basis and comprises Barclays Bank PLC plus certain additional subsidiaries, subject to PRA approval. The disclosures provided in this document for Barclays Bank PLC are based on this regulatory scope of consolidation. This differs from the accounting disclosures, where Barclays Bank PLC Group relates to Barclays Bank PLC and all its subsidiaries.

### Barclays Bank UK PLC
Barclays Bank UK PLC is the wholly-owned ring-fenced bank of Barclays PLC. The consolidation of the parent entity, Barclays Bank UK PLC and its subsidiaries, is referred to as Barclays Bank UK Group and consists of Personal Banking, Business Banking and Barclaycard Consumer UK businesses. Refer to the “Barclays Bank UK PLC Pillar 3” report for further information.

### Barclays Bank Ireland PLC
Barclays Bank Ireland PLC is a wholly owned subsidiary of Barclays Bank PLC. Barclays Bank Ireland PLC is licensed as a credit institution by the Central Bank of Ireland (CBI) and is designated as a significant institution, directly supervised via the Single Supervisory Mechanism (SSM) of the European Central Bank (ECB). Refer to the “Barclays Bank Ireland PLC Pillar 3” report for further information.

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# Scope of application of Basel rules: Scope of permission for calculation approaches

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

Barclays has regulatory approval to use its internal credit models in the calculation of the majority of its credit risk and counterparty credit risk exposures. The following table summarises the principal portfolios within Barclays that use the standardised and advanced IRB approaches as at 31 December 2021.

### Table 1: The scope of the standardised and AIRB approaches for credit and counterparty credit risk excluding CVA

| Business as at 31 December 2021 | Credit risk (RWA £m) | Counterparty credit risk excl. CVA (RWA £m) | Advanced Internal Ratings Based (AIRB) approach | Standardised approach |
| :--- | :--- | :--- | :--- | :--- |
| **Barclays UK** | 60,603 | 426 | - UK managed retail and wholesale portfolios<br>- UK cards | - Minor legacy retail and wholesale portfolios<br>- Further Education and Local Authority portfolios<br>- High quality liquidity pool assets<br>- Barclays Partner Finance<br>- UK Wealth Portfolio |
| **Barclays International** | 117,355 | 34,799 | - UK and Ireland Corporate portfolio<br>- Non-EEA high quality liquidity pool assets<br>- Most Investment Bank portfolios<br>- Germany retail credit cards | - High quality liquidity pool assets<br>- Mainly Non-UK managed retail (including Private Bank) and wholesale portfolios (including legacy)<br>- Further Education and Local Authority portfolios<br>- US retail credit cards, joint card issuance, partner finance, secure lending, commercial payment and any recent portfolio acquisitions<br>- European Corporate Portfolio previously in the Corporate Bank<br>- Certain portfolios typically with low or no defaults, or insufficient historical data |
| **Head Office** | 11,987 | — | - Small number of portfolios (including Italy Home Loans) | - Small number of portfolios |
| **Group Total** | **189,945** | **35,225** | | |

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

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# Scope of application of Basel rules: Scope of permission for calculation approaches continued

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

| Risk Type | Risk weighted assets | Scope |
| :--- | :--- | :--- |
| **Credit value adjustment** | 2,448 | CVA 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. |
| **Market risk** | 44,771 | As explained on page 182, 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 categories and legal entities; see table 10 on page 25 for capital requirements related to each approach and risk category. 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. |
| **Operational risk** | 41,747 | The Group applies TSA for operational risk regulatory capital purposes. |

---

# Scope of application of Basel rules: Linkage between financial statements and regulatory risk

### Table 3: LI1– Differences between accounting and regulatory scopes of consolidation and the mapping of financial statement categories with regulatory risk categories

This table outlines the differences in the basis of consolidation for accounting and regulatory purposes. It provides an allocation of the balance sheet line items reported under the scope of regulatory consolidation between the different regulatory risk frameworks. Information regarding the market risk valuation methodologies, independent price verifications process and procedures for valuation adjustments or reserves can be found in the Management of market risk section from page 180.

| As at 31 December 2021 | Carrying values as reported in financial statements (£m) | Carrying values under scope of regulatory consolidation (£m) | Subject to the credit risk framework (£m) | Subject to the CCR framework (£m) | Subject to the securitisation framework (£m) | Subject to the market risk framework (£m) | Not subject to capital requirements or subject to deduction from capital (£m) |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| **Assets** | | | | | | | |
| Cash and balances at central banks | 238,574 | 238,501 | 238,501 | — | — | — | — |
| Cash collateral and settlement balances | 92,542 | 91,927 | 13,640 | 47,476 | — | — | 30,811 |
| Loans and advances at amortised cost | 361,451 | 356,643 | 324,498 | — | 32,145 | — | — |
| Reverse repurchase agreements and other similar secured lending | 3,227 | 3,227 | — | 3,227 | — | — | — |
| Trading portfolio assets | 147,035 | 152,309 | 4,641 | — | 18 | 147,650 | — |
| Financial assets at fair value through the income statement | 191,972 | 189,288 | 11,426 | 168,834 | 679 | 177,183 | — |
| Derivative financial instruments | 262,572 | 262,267 | — | 262,070 | 197 | 257,782 | — |
| Financial assets at fair value through other comprehensive income | 61,753 | 61,871 | 61,818 | — | 53 | — | — |
| Investments in associates and joint ventures | 999 | 49 | 49 | — | — | — | — |
| Goodwill and intangible assets | 8,061 | 8,089 | 1,246 | — | — | — | 6,843 |
| Property, plant and equipment | 3,555 | 3,557 | 3,557 | — | — | — | — |
| Current tax assets | 261 | 261 | 261 | — | — | — | — |
| Deferred tax assets | 4,619 | 4,618 | 4,618 | — | — | — | — |
| Retirement benefit assets | 3,879 | 3,879 | — | — | — | — | 3,879 |
| Other assets | 3,785 | 4,134 | 4,134 | — | — | — | — |
| **Total assets** | **1,384,285** | **1,380,620** | **668,388** | **481,607** | **33,093** | **582,615** | **41,533** |
| **Liabilities** | | | | | | | |
| Deposits at amortised cost | 519,433 | 519,434 | — | — | — | — | 519,434 |
| Cash collateral and settlement balances | 79,371 | 78,391 | — | 58,957 | — | — | 19,434 |
| Repurchase agreements and other similar secured borrowing | 28,352 | 28,352 | — | 3,938 | — | — | 24,414 |
| Debt securities in issue | 98,867 | 91,791 | — | — | — | — | 91,791 |
| Subordinated liabilities | 12,759 | 12,759 | — | — | — | — | 12,759 |
| Trading portfolio liabilities | 54,169 | 57,610 | — | — | — | 56,952 | 658 |
| Financial liabilities designated at fair value | 250,960 | 249,780 | — | 175,939 | — | 234,266 | 15,514 |
| Derivative financial instruments | 256,883 | 256,698 | — | 252,900 | 466 | 252,124 | 3,332 |
| Current tax liabilities | 739 | 738 | — | — | — | — | 738 |
| Deferred tax liabilities | 37 | 37 | — | — | — | — | 37 |
| Retirement benefit liabilities | 311 | 311 | — | — | — | — | 311 |
| Other liabilities | 10,505 | 12,892 | — | — | — | — | 12,892 |
| Provisions | 1,688 | 1,683 | — | — | — | — | 1,683 |
| **Total liabilities** | **1,314,074** | **1,310,476** | **—** | **491,734** | **466** | **543,342** | **702,997** |

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

---

# Scope of application of Basel rules: Linkage between financial statements and regulatory risk continued

### Table 4: LI2 – Main sources of differences between regulatory exposure amounts and carrying values in financial statements

This table provides a reconciliation between assets carrying values under the regulatory scope of consolidation as per table 3 and the exposures used for regulatory purposes, split as per the regulatory risk framework.

- **Off-balance-sheet amounts:** Under the credit risk framework, these balances principally consist of undrawn credit facilities after the application of credit conversion factors (CCF). Under the counterparty credit risk framework, the off balance sheet items principally consist of the exposure due to collateral given in SFTs.
- **Difference in netting rules:** This reflects the effects of master netting agreements in addition to the netting permitted under International Accounting Standards (IAS) framework.
- **Differences due to consideration of provisions:** The carrying value of assets is net of impairment. The regulatory exposure calculated under AIRB approach adds back the impairment.
- **Differences between input balance and modelled regulatory output:** The assets carrying values as defined per IFRS differ from the values used for regulatory reporting purposes, this reflects the modelling of exposures such as use of the IMM.

| As at 31 December 2021 | Total (£m) | Subject to the credit risk framework (£m) | Subject to the CCR framework (£m) | Subject to the securitisation framework (£m) |
| :--- | :--- | :--- | :--- | :--- |
| Assets carrying value amount under the scope of regulatory consolidation (as per template LI1) | 1,183,088 | 668,388 | 481,607 | 33,093 |
| Liabilities carrying value amount under the regulatory scope of consolidation (as per template EU LI1) | (492,200) | — | (491,734) | (466) |
| **Total net amount under the regulatory scope of consolidation** | 690,888 | 668,388 | (10,127) | 32,626 |
| Off-balance sheet amounts^b | 1,156,344 | 126,663 | 836,647 | 1,735 |
| Differences due to different netting rules | (746,180) | — | (745,982) | (199) |
| Differences due to consideration of provisions | 2,883 | 2,883 | — | — |
| Differences between input balance and modelled regulatory output | 65,945 | 13,057 | 52,539 | 349 |
| Regulatory exclusion – qualifying central counterparties (CCP) trades for a client where Barclays acts as clearing member on behalf of a counterparty | (187) | — | (187) | — |
| Credit Enhancement Exposure for Sponsor trades | 5,079 | — | — | 5,079 |
| Exposures of Synthetic Securitisation trades | 25,413 | — | — | 25,413 |
| Other | 2,187 | 2,187 | — | — |
| **Exposure amounts considered for regulatory purposes** | **1,202,371** | **813,179** | **132,889** | **65,004** |

**Notes**
a The total column cannot be directly reconciled back to the carrying values under scope of consolidation shown in table 3 - LI1, as it excludes balances “subject to the market risk framework” and items “not subject to capital requirements or subject to deduction from capital”.
b In line item “Off-balance sheet amounts”, the amounts shown in the Total column, which relates to exposures pre-CCF, do not equal the sum of the amounts shown in the remaining columns, as these are post-CCF.

---

# Scope of application of Basel rules: Linkage between financial statements and regulatory risk continued

### Table 5: LI3 Outline of the differences in the scopes of consolidation (entity by entity)

| Name of the entity | Method of accounting consolidation | Method of regulatory consolidation | Description of the entity |
| :--- | :--- | :--- | :--- |
| | | Full | Prop | Neither | Deducted | |
| Barclays Insurance Services Company Limited | Fully consolidated | | | Y | | Activities auxiliary to financial services and insurance activities |
| Barclays Insurance Guernsey PCC Limited | Fully consolidated | | | Y | | Insurance, reinsurance and pension funding, except complusory social security |
| Salisbury Receivables Company LLC | Fully consolidated | | | Y | | Financial service activities, except insurance and pension funding |
| Barclays Insurance U.S Inc | Fully consolidated | | | Y | | Insurance, reinsurance and pension funding, except complusory social security |
| Sheffield Receivables Company LLC | Fully consolidated | | | Y | | Financial service activities, except insurance and pension funding |
| Sunderland Receivables Company LLC | Fully consolidated | | | Y | | Financial service activities, except insurance and pension funding |
| Vaultex UK Limited | Proportionally consolidated | | Y | | | Activities auxiliary to financial services and insurance activities |
| EnterCard Group AB | Equity | | Y | | | Financial service activities, except insurance and pension funding |
| BGF Group PLC | Equity | | Y | | | Financial service activities, except insurance and pension funding |
| Palomino Limited | Not consolidated | | Y | | | Financial service activities, except insurance and pension funding |

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

---

# Risk and capital position review: Analysis of treasury and capital risk continued

This section details Barclays’ capital position providing information on capital resources, requirements, leverage and liquidity.

## Key Metrics in 2021

- **Common Equity Tier 1 ratio:** 15.1% (see page 16)
- **Average UK leverage ratio:** 4.9%
- **UK leverage ratio:** 5.3%
- **CRR leverage Ratio:** 4.3% (see page 31)
- **Liquidity Coverage ratio:** 168% (see page 39)
- **Own funds and eligible liabilities ratio:** 8.1% (see page 34)

---

# Risk and capital position review: Analysis of treasury and capital risk

### Table 6: KM1 – Key metrics

| | | As at 31.12.21 (£m) | As at 30.09.21 (£m) | As at 30.06.21 (£m) | As at 30.03.21 (£m) | As at 31.12.20 (£m) |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| **1** | **Common Equity Tier 1 (CET1)a** | **47,497** | 47,302 | 46,225 | 45,904 | 46,296 |
| 1a | Fully loaded Expected Credit Loss (ECL) accounting modelb | 46,268 | 45,970 | 44,894 | 43,619 | 43,740 |
| 2 | Tier 1c | 60,313 | 60,110 | 57,960 | 57,658 | 58,034 |
| 2a | Fully loaded ECL accounting model Tier 1d | 58,447 | 58,142 | 55,981 | 54,718 | 54,832 |
| 3 | Total capitalc | 70,052 | 70,281 | 68,249 | 68,185 | 67,660 |
| 3a | Fully loaded ECL accounting model total capitald | 68,079 | 68,176 | 66,168 | 65,378 | 64,604 |
| **4** | **Total risk-weighted assets (RWA)a** | **314,136** | 307,464 | 306,424 | 313,356 | 306,203 |
| 4a | Fully loaded ECL accounting model total RWAb | 313,876 | 307,214 | 306,177 | 312,636 | 305,314 |
| 5 | Common Equity Tier 1 ratio (%)a | 15.1% | 15.4% | 15.1% | 14.6% | 15.1% |
| 5a | Fully loaded ECL accounting model Common Equity Tier 1 (%)b | 14.7% | 15.0% | 14.7% | 14.0% | 14.3% |
| 6 | Tier 1 ratio (%)a,c | 19.2% | 19.6% | 18.9% | 18.4% | 19.0% |
| 6a | Fully loaded ECL accounting model Tier 1 ratio (%)b,d | 18.6% | 18.9% | 18.3% | 17.5% | 18.0% |
| 7 | Total capital ratio (%)a,c | 22.3% | 22.9% | 22.3% | 21.8% | 22.1% |
| 7a | Fully loaded ECL accounting model total capital ratio (%)b,d | 21.7% | 22.2% | 21.6% | 20.9% | 21.2% |
| 8 | Capital conservation buffer requirement (%) | 2.5% | 2.5% | 2.5% | 2.5% | 2.5% |
| 9 | Countercyclical buffer requirement (%) | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% |
| 10 | Bank G-SIB and/or D-SIB additional requirements (%) | 1.5% | 1.5% | 1.5% | 1.5% | 1.5% |
| 11 | Total of bank CET1 specific buffer requirements (%) (row 8 + 9 + 10) | 4.0% | 4.0% | 4.0% | 4.0% | 4.0% |
| 12 | CET1 available after meeting the bank’s minimum capital requirements (%) | 10.6% | 10.9% | 10.6% | 10.1% | 10.6% |
| 13 | Total CRR leverage ratio exposure measure | 1,354,284 | 1,368,259 | 1,334,929 | 1,320,628 | 1,254,157 |
| 14 | Fully loaded CRR leverage ratio (%) | 4.3% | 4.2% | 4.2% | 4.1% | 4.4% |
| 13a | Total average UK leverage ratio exposure measure | 1,227,134 | 1,199,774 | 1,191,986 | 1,174,887 | 1,146,919 |
| 14a | Transitional average UK leverage ratio (%) | 4.9% | 4.9% | 4.8% | 4.9% | 5.0% |
| 13b | Total UK leverage ratio exposure measure | 1,135,997 | 1,160,983 | 1,153,570 | 1,145,413 | 1,090,907 |
| 14b | Transitional UK leverage ratio (%) | 5.3% | 5.1% | 5.0% | 5.0% | 5.3% |
| 15 | Total HQLA | 285,272 | 283,628 | 280,079 | 280,175 | 258,198 |
| 16 | Total net cash outflows | 169,342 | 176,308 | 172,528 | 173,490 | 159,320 |
| 17 | LCR ratio (%) | 168% | 161% | 162% | 161% | 162% |

**Notes**
a CET1 capital and RWAs are calculated applying the IFRS 9 transitional arrangements of the CRR as amended by CRR II.
b Fully loaded CET1 capital and RWAs are calculated without applying the transitional arrangements of the CRR as amended by CRR II.
c Transitional Tier 1 and Total capital include AT1 and T2 capital that is calculated applying the grandfathering of CRR and CRR II non-compliant capital instruments.
d Fully loaded Tier 1 and Total capital include AT1 and T2 capital that is calculated without applying the grandfathering of CRR and CRR II non-compliant capital instruments.
e Fully loaded CRR leverage ratio is calculated without applying the transitional arrangements of the CRR as amended by CRR II.
f The difference between CRR leverage ratio and UK leverage ratio is driven by the exclusion of qualifying central bank claims and Bounce Back Loans from the UK leverage exposure.
g Transitional UK leverage ratios are calculated applying the IFRS 9 transitional arrangements and in line with the PRA Handbook.
h Fully loaded average UK leverage ratio was 4.8%, with £1,226bn of leverage exposure. Fully loaded UK leverage ratio was 5.2%, with £1,135bn of leverage exposure. Fully loaded UK leverage ratios are calculated without applying the transitional arrangements of the PRA Handbook.
i Average UK leverage ratio uses capital based on the last day of each month in the quarter and an exposure measure for each day in the quarter.

The CET1 ratio was stable at 15.1% (December 2020: 15.1%).
- CET1 capital increased by £1.2bn to £47.5bn as profit before tax of £8.4bn was partially offset by share buybacks, 2021 dividends and equity coupons paid and foreseen as well as pensions deficit contribution payments
- RWAs increased £7.9bn to £314.1bn primarily resulting from the recalibration of the modelled market risk stress period, increased client and trading activity within CIB and growth in mortgages within Barclays UK, partially offset by lower unsecured balances

---

# Risk and capital position review: Analysis of treasury and capital risk continued

### Table 7: CC1 – Composition of Regulatory Capital

| | | Barclays Group (As at 31.12.21) | Barclays Group (As at 31.12.21) | Barclays Bank PLC (As at 31.12.21) | Barclays Bank PLC (As at 31.12.21) |
| :--- | :--- | :--- | :--- | :--- | :--- |
| **Ref†** | | **Transitional position (£m)** | **Fully loaded position (£m)** | **Transitional position (£m)** | **Fully loaded position (£m)** |
| | **Common Equity Tier 1 capital: instruments and reserves** | | | | |
| 1 | Directly issued qualifying common share capital plus related stock surplus | a 4,536 | 4,536 | a 2,343 | 2,343 |
| 2 | Retained earnings | b 50,657 | 50,657 | b 36,826 | 36,826 |
| 3 | Accumulated other comprehensive income (and other reserves) | c 1,770 | 1,770 | c (1,236) | (1,236) |
| | Adjustment to retained earnings for foreseeable dividends | (698) | (698) | (223) | (223) |
| | Scope of consolidation and other adjustments | 345 | 345 | 217 | 217 |
| **6** | **Common Equity Tier 1 capital before regulatory adjustments** | **56,610** | **56,610** | **37,927** | **37,927** |
| | **Common Equity Tier 1 capital: regulatory adjustments** | | | | |
| 7 | Prudent valuation adjustments | (1,585) | (1,585) | (1,095) | (1,095) |
| 8 | Goodwill (net of related tax liability) | d,e (3,920) | (3,920) | d (95) | (95) |
| 9 | Other intangibles other than mortgage servicing rights (net of related tax liability) | f,e, ga (2,884) | (2,884) | e (14) | (14) |
| 10 | Deferred tax assets that rely on future profitability excluding those arising from temporary differences (net of related tax liability) | h (1,028) | (1,028) | g (785) | (785) |
| 11 | Cash flow hedge reserve | i 852 | 852 | h 624 | 624 |
| 14 | Gains and losses due to changes in own credit risk on fair valued liabilities | j 892 | 892 | i 804 | 804 |
| 15 | Defined-benefit pension fund net assets | k,ga (2,619) | (2,619) | j,fa (2,565) | (2,565) |
| 16 | Investments in own shares (if not already subtracted from paid-in capital on reported balance sheet) | (50) | (50) | — | — |
| 19 | Significant investments in the common stock of banking, financial and insurance entities that are outside the scope of regulatory consolidation (amount above 10% threshold) | — | — | k,l (9,876) | (9,914) |
| 22 | Amount exceeding the 17.65% threshold | — | — | g,k,l (1,173) | (1,311) |
| 23 | Of which: significant investment in the common stock of financials | — | — | k,l (860) | (940) |
| 25 | Of which: deferred tax assets arising from temporary difference | — | — | g (311) | (369) |
| | Adjustment under IFRS 9 transitional arrangementsb | 1,229 | — | 376 | — |
| **28** | **Total regulatory adjustments to Common Equity Tier 1** | **(9,113)** | **(10,342)** | **(13,799)** | **(14,351)** |
| **29** | **Common Equity Tier 1 capital (CET1)** | **47,497** | **46,268** | **24,128** | **23,576** |

**Notes**
† The references (a) – (p) identify balance sheet components in Table 8 &8a: CC2 – Reconciliation of regulatory capital to balance sheet on pages 20 & 21 which are used in the calculation of regulatory capital.
a Deferred tax liabilities on intangible assets and pension fund assets are included as either a negative component of the deferred tax asset or a deferred tax liability on the balance sheet depending on the net deferred tax position of the bank at the time of reporting.
b Barclays Group of which static £638m, of which modified £591m; Barclays Bank PLC of which static £240m, of which modified £136m.

---

# Risk and capital position review: Analysis of treasury and capital risk continued

### Table 7: CC1 – Composition of Regulatory Capital – continued

| | | Barclays Group (As at 31.12.21) | Barclays Group (As at 31.12.21) | Barclays Bank PLC (As at 31.12.21) | Barclays Bank PLC (As at 31.12.21) |
| :--- | :--- | :--- | :--- | :--- | :--- |
| **Ref†** | | **Transitional position (£m)** | **Fully loaded position (£m)** | **Transitional position (£m)** | **Fully loaded position (£m)** |
| | **Additional Tier 1 capital: instruments** | | | | |
| 30 | Directly issued qualifying additional Tier 1 instruments plus related stock surplus | l 12,259 | 12,259 | m 9,692 | 9,692 |
| 31 | Of which: classified as equity under applicable accounting standards | l 12,259 | 12,259 | m 9,692 | 9,692 |
| 33 | Directly issued capital instruments subject to phase-out from additional Tier 1 | — | — | b,n,o 789 | — |
| 34 | Additional Tier 1 instruments (and CET1 instruments not included in row 5) issued by subsidiaries and held by third parties (amount allowed in group AT1) | m,n 637 | — | — | — |
| 35 | Of which: instruments issued by subsidiaries subject to phase out | m,n 789 | — | — | — |
| **36** | **Additional Tier 1 capital before regulatory adjustments** | **12,896** | **12,259** | **10,481** | **9,692** |
| | **Additional Tier 1 capital: regulatory adjustments** | | | | |
| 37 | Investments in own additional Tier 1 instruments | (80) | (80) | (40) | — |
| 40 | Significant investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation | — | — | k (1,974) | (1,974) |
| **43** | **Total regulatory adjustments to additional Tier 1 capital** | **(80)** | **(80)** | **(2,014)** | **(1,974)** |
| **44** | **Additional Tier 1 capital (AT1)** | **12,816** | **12,179** | **8,467** | **7,718** |
| **45** | **Tier 1 capital (T1 = CET1 + AT1)** | **60,313** | **58,447** | **32,595** | **31,294** |
| | **Tier 2 capital: instruments and provisions** | | | | |
| 46 | Directly issued qualifying Tier 2 instruments plus related stock surplus | m 8,713 | 8,713 | o 8,191 | 8,399 |
| 47 | Directly issued capital instruments subject to phase-out from Tier 2 | — | — | o 164 | — |
| 47a | Directly issued capital instruments grandfathered under CRR II | o 547 | — | — | — |
| 48 | Tier 2 instruments (and CET1 and AT1 instruments not included in rows 5 or 34) issued by subsidiaries and held by third parties (amount allowed in group Tier 2) | m 1,113 | 677 | — | — |
| 49 | Of which: instruments issued by subsidiaries subject to phase out | m 164 | — | — | — |
| 49a | Of which: instruments issued by subsidiaries grandfathered under CRR II | m 547 | — | — | — |
| 50 | Provisions | 73 | 402 | — | 91 |
| **51** | **Tier 2 capital before regulatory adjustments** | **9,899** | **9,792** | **8,902** | **8,490** |
| | **Tier 2 capital: regulatory adjustments** | | | | |
| 52 | Investments in own Tier 2 instruments | (160) | (160) | (160) | (160) |
| 55 | Significant investments in the capital and other TLAC liabilities of banking, financial and insurance entities that are outside the scope of regulatory consolidation (net of eligible short positions) | — | — | p (3,183) | (3,183) |
| **57** | **Total regulatory adjustments to Tier 2 capital** | **(160)** | **(160)** | **(3,343)** | **(3,343)** |
| **58** | **Tier 2 capital (T2)** | **9,739** | **9,632** | **5,559** | **5,147** |
| **59** | **Total regulatory capital (TC = T1 + T2)** | **70,052** | **68,079** | **38,154** | **36,441** |

---

# Risk and capital position review: Analysis of treasury and capital risk continued

### Table 7: CC1 – Composition of regulatory capital – continued

| | | Barclays Group (As at 31.12.21) | Barclays Group (As at 31.12.21) | Barclays Bank PLC (As at 31.12.21) | Barclays Bank PLC (As at 31.12.21) |
| :--- | :--- | :--- | :--- | :--- | :--- |
| **Ref†** | | **Transitional position (£m)** | **Fully loaded position (£m)** | **Transitional position (£m)** | **Fully loaded position (£m)** |
| **60** | **Total risk weighted assets** | **314,136** | **313,876** | **185,467** | **184,991** |
| | **Capital ratios and buffers** | | | | |
| 61 | Common Equity Tier 1 (as a percentage of risk-weighted assets) | 15.1% | 14.7% | 13.0% | 12.7% |
| 62 | Tier 1 (as a percentage of risk-weighted assets) | 19.2% | 18.6% | 17.6% | 16.9% |
| 63 | Total capital (as a percentage of risk-weighted assets) | 22.3% | 21.7% | 20.6% | 19.7% |
| 64 | Institution-specific buffer requirement (capital conservation buffer plus countercyclical buffer requirements plus higher loss absorbency requirement, expressed as a percentage of risk-weighted assets) | 4.0% | 4.0% | 2.5% | 2.5% |
| 65 | Of which: capital conservation buffer requirement | 2.5% | 2.5% | 2.5% | 2.5% |
| 66 | Of which: countercyclical buffer requirement | 0.0% | 0.0% | 0.0% | 0.0% |
| 67 | Of which: higher loss absorbency requirement | 1.5% | 1.5% | 0.0% | 0.0% |
| 68 | Common Equity Tier 1 (as a percentage of risk-weighted assets) available after meeting the bank’s minimum capital requirements | 10.6% | 10.2% | 8.5% | 8.2% |
| | **Amounts below the thresholds for deduction (before risk weighting)** | | | | |
| 72 | Non-significant investments in the capital and other TLAC liabilities of other financial entities | 3,132 | 3,132 | 2,553 | 2,553 |
| 73 | Significant investments in the common stock of financial entities | 880 | 880 | 3,518 | 3,480 |
| 75 | Deferred tax assets arising from temporary differences (net of related tax liability) | 3,545 | 3,826 | 1,276 | 1,369 |
| | **Applicable caps on the inclusion of provisions in Tier 2** | | | | |
| 78 | Provisions eligible for inclusion in Tier 2 in respect of exposures subject to internal ratings-based approach (prior to application of cap) | 73 | 402 | — | 91 |
| 79 | Cap for inclusion of provisions in Tier 2 under internal ratings-based approach | 835 | 839 | 404 | 405 |
| | **Capital instruments subject to phase-out arrangements (only applicable between 1 Jan 2018 and 1 Jan 2022)** | | | | |
| 82 | Current cap on AT1 instruments subject to phase-out arrangements | 926 | — | 926 | — |
| 84 | Current cap on T2 instruments subject to phase out arrangements | 277 | — | 277 | — |

---

# Risk and capital position review: Analysis of treasury and capital risk continued

### Table 8: CC2 – Reconciliation of regulatory capital to balance sheet

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

| Barclays Group (As at 31 December 2021) | 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 | 238,574 | (73) | — | 238,501 |
| Cash collateral and settlement balances | 92,542 | — | (615) | 91,927 |
| Loans and advances at amortised cost | 361,451 | (5,000) | 192 | 356,643 |
| Reverse repurchase agreements and other similar secured lending | 3,227 | — | — | 3,227 |
| Trading portfolio assets | 147,035 | — | 5,274 | 152,309 |
| Financial assets at fair value through the income statement | 191,972 | (83) | (2,601) | 189,288 |
| Derivative financial instruments | 262,572 | — | (305) | 262,267 |
| Financial assets at fair value through other comprehensive income | 61,753 | — | 118 | 61,871 |
| Investments in subsidiaries, associates and joint ventures | 999 | 162 | (1,112) | 49 |
| Goodwill and intangible assets | 8,061 | — | 28 | 8,089 |
| - Of which: goodwill | 3,893 | — | 27 | 3,920 |
| - Of which: other intangibles (excluding MSRs) | 4,168 | — | 1 | 4,169 |
| Property, plant and equipment | 3,555 | — | 2 | 3,557 |
| Current tax assets | 261 | — | — | 261 |
| Deferred tax assets | 4,619 | (1) | — | 4,618 |
| Retirement benefit assets | 3,879 | — | — | 3,879 |
| Other assets | 3,785 | 328 | 21 | 4,134 |
| **Total assets** | **1,384,285** | **(4,667)** | **1,002** | **1,380,620** |
| **Liabilities** | | | | |
| Deposits at amortised cost | 519,433 | 1 | — | 519,434 |
| Cash collateral and settlement balances | 79,371 | — | (980) | 78,391 |
| Repurchase agreements and other similar secured borrowing | 28,352 | — | — | 28,352 |
| Debt securities in issue | 98,867 | (7,076) | — | 91,791 |
| Subordinated liabilities | 12,759 | — | — | 12,759 |
| Trading portfolio liabilities | 54,169 | — | 3,441 | 57,610 |
| Financial liabilities designated at fair value | 250,960 | — | (1,180) | 249,780 |
| Derivative financial instruments | 256,883 | — | (185) | 256,698 |
| Current tax liabilities | 739 | (3) | 2 | 738 |
| Deferred tax liabilities | 37 | — | — | 37 |
| Retirement benefit liabilities | 311 | — | — | 311 |
| Other liabilities | 10,505 | 2,362 | 25 | 12,892 |
| Provisions | 1,688 | (5) | — | 1,683 |
| **Total liabilities** | **1,314,074** | **(4,721)** | **1,123** | **1,310,476** |
| **Equity** | | | | |
| Called up share capital and share premium | 4,536 | — | — | 4,536 |
| - Of which: amount eligible for CET1 | 4,536 | — | — | 4,536 |
| Other equity instruments | 12,259 | — | — | 12,259 |
| Other reserves | 1,770 | 26 | — | 1,796 |
| Retained earnings | 50,657 | 28 | (121) | 50,564 |
| Total equity excluding non-controlling interests | 69,222 | 54 | (121) | 69,155 |
| Non-controlling interests | 989 | — | — | 989 |
| **Total equity** | **70,211** | **54** | **(121)** | **70,144** |
| **Total liabilities and equity** | **1,384,285** | **(4,667)** | **1,002** | **1,380,620** |

**Note**
† The references (a) – (n) identify balance sheet components that are used in the calculation of regulatory capital in Table 7: Composition of regulatory capital on page 17.

---

# Risk and capital position review: Analysis of treasury and capital risk continued

### Table 8a: CC2 – Reconciliation of regulatory capital to balance sheet for significant subsidiary

| Barclays Bank PLC (As at 31 December 2021) | Accounting balance sheet per published financial statements (£m) | Consolidation of regulatory consolidated entities (£m) | Balance sheet per regulatory scope of consolidation (£m) |
| :--- | :--- | :--- | :--- |
| **Assets** | | | |
| Cash and balances at central banks | 144,964 | — | 144,964 |
| Cash collateral and settlement balances | 75,571 | (134) | 75,437 |
| Loans and advances at amortised cost | 199,782 | 2,949 | 202,731 |
| Reverse repurchase agreements and other similar secured lending | 4,982 | — | 4,982 |
| Trading portfolio assets | 96,724 | — | 96,724 |
| Financial assets at fair value through the income statement | 236,577 | (471) | 236,106 |
| Derivative financial instruments | 234,409 | — | 234,409 |
| Financial assets at fair value through other comprehensive income | 44,163 | — | 44,163 |
| Investments in subsidiaries | 19,134 | (4,520) | 14,614 |
| Investments in associates and joint ventures | 12 | — | 12 |
| Goodwill and intangible assets | 109 | — | 109 |
| - Of which: goodwill | 95 | — | 95 |
| - Of which: other intangibles (excluding MSRs) | 14 | — | 14 |
| Property, plant and equipment | 128 | — | 128 |
| Current tax assets | 671 | 12 | 683 |
| Deferred tax assets | 1,679 | — | 1,679 |
| Retirement benefit assets | 3,825 | — | 3,825 |
| Other assets | 1,941 | — | 1,941 |
| **Total assets** | **1,064,671** | **(2,164)** | **1,062,507** |
| **Liabilities** | | | |
| Deposits at amortised cost | 286,761 | (1,778) | 284,983 |
| Cash collateral and settlement balances | 56,419 | (134) | 56,285 |
| Repurchase agreements and other similar secured borrowing | 29,202 | — | 29,202 |
| Debt securities in issue | 32,585 | — | 32,585 |
| Subordinated liabilities | 31,875 | — | 31,875 |
| Trading portfolio liabilities | 50,116 | — | 50,116 |
| Financial liabilities designated at fair value | 291,062 | (471) | 290,591 |
| Derivative financial instruments | 227,991 | (2) | 227,989 |
| Current tax liabilities | 392 | 2 | 394 |
| Deferred tax liabilities | 6 | — | 6 |
| Retirement benefit liabilities | 104 | — | 104 |
| Other liabilities | 4,597 | 2 | 4,599 |
| Provisions | 699 | — | 699 |
| **Total liabilities** | **1,011,809** | **(2,381)** | **1,009,428** |
| **Equity** | | | |
| Called up share capital and share premium | 2,348 | — | 2,348 |
| - Of which: amount eligible for CET1 | 2,343 | — | 2,343 |
| - Of which: amount eligible for AT1 | 5 | — | 5 |
| Other equity instruments | 14,400 | — | 14,400 |
| Other reserves | (1,236) | (9) | (1,245) |
| Retained earnings | 37,350 | 226 | 37,576 |
| Total equity excluding non-controlling interests | 52,862 | 217 | 53,079 |
| **Total equity** | **52,862** | **217** | **53,079** |
| **Total liabilities and equity** | **1,064,671** | **(2,164)** | **1,062,507** |

---

# Risk and capital position review: Analysis of treasury and capital risk continued

## IFRS 9 – Transitional capital arrangements

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

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

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

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

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

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

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

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

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

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

---

# Risk and capital position review: Analysis of treasury and capital risk continued

### Table 9: IFRS 9/Article 468-FL – Comparison of institution’s own funds and capital and leverage ratios with and without the application of transitional arrangements for IFRS 9 or analogous ECLs, and with and without the application of the temporary treatment in accordance with Article 468 of the CRRa

| Barclays Group | As at 31.12.21 (£m) | As at 30.09.21 (£m) | As at 30.06.21 (£m) | As at 31.03.21 (£m) | As at 31.12.20 (£m) |
| :--- | :--- | :--- | :--- | :--- | :--- |
| **Available capital (amounts)** | | | | | |
| 1 CET1 capitalb | 47,497 | 47,302 | 46,225 | 45,904 | 46,296 |
| 2 CET1 capital as if IFRS 9 or analogous ECLs transitional arrangements had not been applied | 46,268 | 45,970 | 44,894 | 43,619 | 43,740 |
| 3 Tier 1 capitalc | 60,313 | 60,110 | 57,960 | 57,658 | 58,034 |
| 4 Tier 1 capital as if IFRS 9 or analogous ECLs transitional arrangements had not been applied | 59,084 | 58,778 | 56,629 | 55,373 | 55,478 |
| 5 Total capitalc | 70,052 | 70,281 | 68,249 | 68,185 | 67,660 |
| 6 Total capital as if IFRS 9 or analogous ECLs transitional arrangements had not been applied | 69,152 | 69,373 | 67,410 | 66,700 | 65,944 |
| **Risk-weighted assets (amounts)** | | | | | |
| 7 Total risk-weighted assetsb | 314,136 | 307,464 | 306,424 | 313,356 | 306,203 |
| 8 Total risk-weighted assets as if IFRS 9 or analogous ECLs transitional arrangements had not been applied | 313,876 | 307,214 | 306,177 | 312,636 | 305,314 |
| **Capital ratios** | | | | | |
| 9 CET1 (as a percentage of risk exposure amount)b | 15.1% | 15.4% | 15.1% | 14.6% | 15.1% |
| 10 CET 1 (as a percentage of risk exposure amount) as if IFRS 9 or analogous ECLs transitional arrangements had not been applied | 14.7% | 15.0% | 14.7% | 14.0% | 14.3% |
| 11 Tier 1 (as a percentage of risk exposure amount)b,c | 19.2% | 19.6% | 18.9% | 18.4% | 19.0% |
| 12 Tier 1 (as a percentage of risk exposure amount) as if IFRS 9 or analogous ECLs transitional arrangements had not been applied | 18.8% | 19.1% | 18.5% | 17.7% | 18.2% |
| 13 Total capital (as a percentage of risk exposure amount)b,c | 22.3% | 22.9% | 22.3% | 21.8% | 22.1% |
| 14 Total capital (as a percentage of risk exposure amount) as if IFRS 9 or analogous ECLs transitional arrangements had not been applied | 22.0% | 22.6% | 22.0% | 21.3% | 21.6% |
| **Leverage ratio** | | | | | |
| 15 Leverage ratio total exposure measure | 1,354,284 | 1,368,259 | 1,334,929 | 1,320,628 | 1,254,157 |
| 16 Leverage ratiod | 4.3% | 4.2% | 4.2% | 4.1% | 4.4% |
| 17 Leverage ratio as if IFRS 9 or analogous ECLs transitional arrangements had not been applied | 4.3% | 4.3% | 4.2% | 4.1% | 4.4% |

**Notes**
a As at 31 December 2021, the Group had not elected to apply the temporary treatment specified in Article 468 of the CRR, amended by Regulation EU 2020/873, resulting in the Group’s capital and leverage ratios reflecting the full impact of unrealised gains and losses measured at fair value through other comprehensive income.
b Transitional CET1 capital and RWAs are calculated applying the IFRS 9 transitional arrangements of the CRR as amended by CRR II.
c Transitional T1 and Total capital are calculated applying the transitional arrangements of the CRR as amended by CRR II. This includes the grandfathering of CRR and CRR II non-compliant capital instruments and IFRS 9 transitional arrangement.
d Fully loaded CRR leverage ratio is calculated without applying the transitional arrangements of the CRR as amended by CRR II.

---

# Risk and capital position review: Analysis of treasury and capital risk continued

### Table 9a: IFRS 9-FL – IFRS 9/Article 468-FL – Comparison of institutions’ own funds and capital and leverage ratios with and without the application of transitional arrangements for IFRS 9 or analogous ECLs, and with and without the application of the temporary treatment in accordance with Article 468 of the CRRa for significant subsidiary

| Barclays Bank PLC | As at 31.12.21 (£m) | As at 30.06.21 (£m) | As at 31.12.20 (£m) |
| :--- | :--- | :--- | :--- |
| **Available capital (amounts)** | | | |
| 1 CET1 capitalb | 24,128 | 24,538 | 25,227 |
| 2 CET1 capital as if IFRS 9 or analogous ECLs transitional arrangements had not been applied | 23,576 | 23,860 | 24,081 |
| 3 Tier 1 capitalc | 32,595 | 31,392 | 32,172 |
| 4 Tier 1 capital as if IFRS 9 or analogous ECLs transitional arrangements had not been applied | 32,043 | 30,714 | 31,026 |
| 5 Total capitalc | 38,154 | 37,571 | 37,493 |
| 6 Total capital as if IFRS 9 or analogous ECLs transitional arrangements had not been applied | 37,693 | 37,096 | 36,801 |
| **Risk-weighted assets (amounts)** | | | |
| 7 Total risk-weighted assetsb | 185,467 | 176,898 | 178,156 |
| 8 Total risk-weighted assets as if IFRS 9 or analogous ECLs transitional arrangements had not been applied | 184,991 | 176,373 | 177,295 |
| **Capital ratios** | | | |
| 9 CET1 (as a percentage of risk exposure amount)b | 13.0% | 13.9% | 14.2% |
| 10 CET1 (as a percentage of risk exposure amount) as if IFRS 9 or analogous ECLs transitional arrangements had not been applied | 12.7% | 13.5% | 13.6% |
| 11 Tier 1 (as a percentage of risk exposure amount)b,c | 17.6% | 17.7% | 18.1% |
| 12 Tier 1 (as a percentage of risk exposure amount) as if IFRS 9 or analogous ECLs transitional arrangements had not been applied | 17.3% | 17.4% | 17.5% |
| 13 Total capital (as a percentage of risk exposure amount)b,c | 20.6% | 21.2% | 21.0% |
| 14 Total capital (as a percentage of risk exposure amount) as if IFRS 9 or analogous ECLs transitional arrangements had not been applied | 20.4% | 21.0% | 20.8% |
| **Leverage ratio** | | | |
| 15 Leverage ratio total exposure measure | 881,464 | 882,543 | 826,371 |
| 16 Leverage ratioc | 3.7% | 3.6% | 3.9% |
| 17 Leverage ratio as if IFRS 9 or analogous ECLs transitional arrangements had not been applied | 3.6% | 3.5% | 3.8% |

**Notes**
a As at 31 December 2021, Barclays Bank PLC had not elected to apply the temporary treatment specified in Article 468 of the CRR, amended by Regulation EU 2020/873, resulting in the Group’s capital and leverage ratios reflecting the full impact of unrealised gains and losses measured at fair value through other comprehensive income.
b Transitional CET1 capital and RWAs are calculated applying the IFRS 9 transitional arrangements of the CRR as amended by CRR II.
c Transitional T1, total capital and leverage are calculated applying the transitional arrangements of the CRR as amended by CRR II. This includes the grandfathering of CRR and CRR II non-compliant capital instruments and IFRS 9 transitional arrangement.

---

# Risk and capital position review: Analysis of treasury and capital risk continued

### Table 10: RWAs by risk type and business

| As at 31 December 2021 | Credit risk (Std £m) | Credit risk (AIRB £m) | Counterparty credit risk (Std £m) | Counterparty credit risk (AIRB £m) | Settlement risk (£m) | CVA (£m) | Market risk (Std £m) | Market risk (IMA £m) | Operational risk (£m) | Total RWAs (£m) |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| **Barclays UK** | 7,195 | 53,408 | 426 | — | — | 138 | 100 | — | 11,022 | 72,289 |
| *Corporate and Investment Bank* | 29,420 | 64,416 | 15,223 | 19,238 | 105 | 2,289 | 17,306 | 27,308 | 25,359 | 200,664 |
| *Consumer, Cards and Payments* | 20,770 | 2,749 | 215 | 18 | — | 21 | — | 57 | 6,391 | 30,221 |
| **Barclays International** | 50,190 | 67,165 | 15,438 | 19,256 | 105 | 2,310 | 17,306 | 27,365 | 31,750 | 230,885 |
| **Head Office** | 4,733 | 7,254 | — | — | — | — | — | — | (1,025) | 10,962 |
| **Barclays Group** | **62,118** | **127,827** | **15,864** | **19,256** | **105** | **2,448** | **17,406** | **27,365** | **41,747** | **314,136** |

### Table 10a: RWAs by risk type and business for significant subsidiary

| As at 31 December 2021 | Credit risk (Std £m) | Credit risk (AIRB £m) | Counterparty credit risk (Std £m) | Counterparty credit risk (AIRB £m) | Settlement risk (£m) | CVA (£m) | Market risk (Std £m) | Market risk (IMA £m) | Operational risk (£m) | Total RWAs (£m) |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| **Barclays Bank PLC** | 40,900 | 59,380 | 15,908 | 15,343 | 63 | 1,862 | 8,239 | 26,588 | 17,184 | 185,467 |

---

# Risk and capital position review: Analysis of treasury and capital risk continued

### Table 11: OV1 – Overview of RWAs by risk type and capital requirements

| | | RWA (As at 31.12.21 £m) | RWA (As at 31.12.20 £m) | Minimum Capital Requirements (As at 31.12.21 £m) | Minimum Capital Requirements (As at 31.12.20 £m) |
| :--- | :--- | :--- | :--- | :--- | :--- |
| 1 | Credit risk (excluding counterparty credit risk) (CCR) | 166,622 | 171,648 | 13,330 | 13,732 |
| 2 | Of which standardised approach | 55,764 | 51,194 | 4,461 | 4,096 |
| 3 | Of which the foundation IRB (FIRB) approach | — | — | — | — |
| 4 | Of which the advanced IRB (AIRB) approach | 110,858 | 120,454 | 8,869 | 9,636 |
| 5 | Of which Equity IRB under the Simple risk-weight or the internal models approach | — | — | — | — |
| 6 | CCR | 37,491 | 35,359 | 2,999 | 2,829 |
| 7 | Of which mark to market | 2,732 | 1,974 | 219 | 158 |
| 8 | Of which original exposure | — | — | — | — |
| 9 | Of which standardised approach | — | — | — | — |
| 9a | Of which financial collateral comprehensive method | 6,623 | 4,270 | 529 | 342 |
| 10 | Of which internal model method | 24,557 | 25,482 | 1,965 | 2,039 |
| 11 | Of which risk exposure amount for contributions to the default fund of a CCP | 1,131 | 1,115 | 90 | 89 |
| 12 | Of which CVA | 2,448 | 2,518 | 196 | 201 |
| 13 | Settlement risk | 105 | 246 | 8 | 20 |
| 14 | Securitisation exposures in banking book (after cap) | 12,124 | 12,642 | 970 | 1,011 |
| 14a | Of which 1250% | 9 | 88 | 1 | 7 |
| 14b | Of which look through approach (KIRB) | — | — | — | — |
| 14c | Of which Sec-ERBA | 365 | 514 | 29 | 41 |
| 14d | Of which Sec-IAA | 1,058 | 1,006 | 85 | 80 |
| 14e | Of which Sec-SA | 2,755 | 1,487 | 220 | 119 |
| 14f | Of which Sec-IRBA | 7,937 | 9,547 | 635 | 764 |
| 19 | Market risk | 44,771 | 35,629 | 3,582 | 2,850 |
| 20 | Of which the standardised approach | 17,406 | 13,195 | 1,392 | 1,055 |
| 21 | Of which IMA | 27,365 | 22,434 | 2,190 | 1,795 |
| 22 | Large exposures | — | — | — | — |
| 23 | Operational risk | 41,747 | 40,898 | 3,340 | 3,272 |
| 24 | Of which basic indicator approach | — | — | — | — |
| 25 | Of which standardised approach | 41,747 | 40,898 | 3,340 | 3,272 |
| 26 | Of which advanced measurement approach | — | — | — | — |
| 27 | Amounts below the thresholds for deduction (subject to 250% risk weight) | 11,276 | 9,781 | 902 | 782 |
| **29** | **Total** | **314,136** | **306,203** | **25,131** | **24,496** |

---

# Risk and capital position review: Analysis of treasury and capital risk continued

### Table 12: Movements in RWAs

| | Credit Risk (£m) | Counterparty Credit Risk (£m) | Market Risk (£m) | Operational Risk (£m) | Total (£m) |
| :--- | :--- | :--- | :--- | :--- | :--- |
| **As at 1 January 2021** | **193,969** | **35,707** | **35,629** | **40,898** | **306,203** |
| Book size | (1,106) | 1,838 | 1,295 | 849 | 2,876 |
| Acquisitions and disposals | (1,095) | — | — | — | (1,095) |
| Book quality | 175 | (102) | — | — | 73 |
| Model updates | (950) | (186) | 6,927 | — | 5,791 |
| Methodology and policy | (345) | 416 | 920 | — | 991 |
| Foreign exchange movementa | (703) | — | — | — | (703) |
| **Total RWA movements** | **(4,024)** | **1,966** | **9,142** | **849** | **7,933** |
| **As at 31 December 2021** | **189,945** | **37,673** | **44,771** | **41,747** | **314,136** |

**Note**
a Foreign exchange movement does not include FX for counterparty credit risk, market risk or operational risk.

Overall RWAs increased £7.9bn to £314.1bn. Significant movements in the period were:

**Credit risk RWAs decreased £4.0bn:**
- A £1.1bn decrease in book size mainly driven by lower lending, partially offset by growth in mortgages within Barclays UK
- A £1.1bn decrease in acquisitions and disposals mainly driven by disposal of wholesale loans during the year
- A £1.0bn decrease in model updates primarily due to modelled risk weight recalibrations

**Counterparty credit risk RWAs increased £2.0bn:**
- A £1.8bn increase in book size primarily due to an increase in client and trading activities within SFTs, partially offset by a reduction in derivatives

**Market risk RWAs increased £9.1bn:**
- A £1.3bn increase in book size primarily due to an increase in client and trading activities
- A £6.9bn increase in model updates driven by an increase in Stressed Value at Risk (SVaR) due to a model adjustment to reflect market movements during the COVID-19 stressed period following recalibration of the period
- A £0.9bn increase in methodology and policy driven by the application of Pillar 1 Structural FX charge

---

# Risk and capital position review: Analysis of treasury and capital risk continued

### Table 13: CR8 – RWA flow statement of credit risk exposures under the AIRB approach

| | RWA amount (£m) | Capital requirements (£m) |
| :--- | :--- | :--- |
| **1 As at 1 January 2021** | **138,042** | **11,043** |
| 2 Asset size | (8,483) | (679) |
| 3 Asset quality | (219) | (18) |
| 4 Model updates | (950) | (76) |
| 5 Methodology and policy | 118 | 9 |
| 6 Acquisitions and disposals | (288) | (23) |
| 7 Foreign exchange movements | (393) | (31) |
| 8 Other | — | — |
| **9 As at 31 December 2021** | **127,827** | **10,225** |

Advanced credit risk RWAs decreased £10.2bn to £127.8bn driven by:
- A £8.5bn decrease in book size primarily due to lower lending, partially offset by growth in mortgages within Barclays UK

### Table 14: CCR7– RWA flow statement of counterparty credit risk exposures under the IMM

| | RWA amount (£m) | Capital requirements (£m) |
| :--- | :--- | :--- |
| **1 As at 1 January 2021** | **25,584** | **2,047** |
| 2 Asset size | (302) | (24) |
| 3 Credit quality of counterparties | (473) | (38) |
| 4 Model updates (IMM only) | (175) | (14) |
| 5 Methodology and policy (IMM only) | — | — |
| 6 Acquisitions and disposals | — | — |
| 7 Foreign exchange movements | — | — |
| 8 Other | — | — |
| **9 As at 31 December 2021** | **24,634** | **1,971** |

### Table 15: MR2-B – RWA flow statement of market risk exposures under the IMA

| | VaR (£m) | SVaR (£m) | IRC (£m) | CRM (£m) | Other (£m) | Total RWA (£m) | Total Capital requirements (£m) |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| **1 As at 1 January 2021** | **5,126** | **9,037** | **4,671** | **—** | **3,600** | **22,434** | **1,795** |
| 2 Movement in risk levels | 639 | (2,213) | (559) | — | 1,426 | (707) | (57) |
| 3 Model updates/changes | — | 6,927 | — | — | — | 6,927 | 554 |
| 4 Methodology and policy | (1,289) | — | — | — | — | (1,289) | (103) |
| 5 Acquisitions and disposals | — | — | — | — | — | — | — |
| 6 Other | — | — | — | — | — | — | — |
| **7 As at 31 December 2021** | **4,476** | **13,751** | **4,112** | **—** | **5,026** | **27,365** | **2,189** |

Internal Model Approach RWAs increased by £4.9bn to £27.4bn mainly driven by:
- A £6.9bn increase in model updates/changes driven by an increase in SVaR due to a model adjustment to reflect market movements during the COVID-19 stressed period
- A £1.3bn decrease in methodology and policy driven by a change in the historical lookback period of the VaR model from two years to one year

---

# Risk and capital position review: Analysis of treasury and capital risk continued

## Basis of preparation for movements in RWAs

This analysis present a flow statement explaining variations in the RWAs for 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 (including CVA)**
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 risk mitigation and write-offs.

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

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

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

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

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

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

### Foreign exchange movements
This is the movement in RWAs as a result of changes in the exchange rate between the functional currency of the Barclays business area or portfolio and our presentational currency for consolidated reporting. It should be noted that foreign exchange movements shown in table 12 do not include the impact of foreign exchange for the counterparty credit risk or market risk RWAs.

### Other
This is the movement in RWAs driven by items that cannot be reasonably assigned to the other driver categories. In relation to market risk RWAs, this includes changes in measurement that are not driven by methodology, policy or model updates. This category had a nil balance for the year ended 31 December 2021.

---

# Risk and capital position review: Analysis of treasury and capital risk continued

## Leverage ratio and exposures

The following leverage tables show the components of the leverage ratio using the CRR definition for leverage exposure and Tier 1 capital as at 31 December 2021.

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

### Table 16: Summary reconciliation of accounting assets and leverage ratio exposures

| | As at 31 December 2021 (Barclays Group £m) | As at 31 December 2021 (Barclays Bank PLC £m) | As at 31 December 2020 (Barclays Group £m) | As at 31 December 2020 (Barclays Bank PLC £m) |
| :--- | :--- | :--- | :--- | :--- |
| 1 Total assets as per published financial statements | 1,384,285 | 1,064,671 | 1,349,514 | 1,081,552 |
| 2 Adjustment for entities which are consolidated for accounting purposes but are outside the scope of regulatory consolidation | (3,665) | (2,164) | (1,144) | (1,141) |
| 4 Adjustments for derivative financial instruments | (135,010) | (83,811) | (197,693) | (178,706) |
| 5 Adjustments for securities financing transactions (SFTs) | 24,544 | 38,675 | 21,114 | 51,438 |
| 6 Adjustment for off-balance sheet items (i.e. conversion to credit equivalent amounts of off-balance sheet exposures) | 113,140 | 112,754 | 113,704 | 108,322 |
| EU-6a (Adjustment for intragroup exposures excluded from the leverage ratio exposure measure in accordance with Article 429 (7) of Regulation (EU) No 575/2013) | — | (222,834) | — | (207,445) |
| 7 Other adjustments | (12,066) | (17,243) | (10,109) | (14,147) |
| EU-7a Adjustment for regular-way purchases and sales of financial assets subject to trade date accounting | (16,944) | (8,584) | (21,229) | (13,502) |
| **8 Total leverage ratio exposure** | **1,354,284** | **881,464** | **1,254,157** | **826,371** |

---

# Risk and capital position review: Analysis of treasury and capital risk continued

### Table 17: Leverage ratio common disclosure

| Barclays Group | As at 31 December 2021 (£m) | As at 31 December 2020 (£m) |
| :--- | :--- | :--- |
| **On-balance sheet exposures (excluding derivatives and SFTs)** | | |
| 1 On-balance sheet items (excluding derivatives, SFTs and fiduciary assets, but including collateral) | 947,294 | 881,890 |
| EU-1a Adjustment for regular-way purchases and sales of financial assets subject to trade date accounting | (16,944) | (21,229) |
| 2 Asset amounts deducted in determining tier 1 capital | (12,165) | (10,109) |
| **3 Total on-balance sheet exposures (excluding derivatives, SFTs and fiduciary assets)** | **918,185** | **850,552** |
| **Derivative exposures** | | |
| 4 Replacement cost associated with all derivatives transactions (ie net of eligible cash variation margin) | 27,999 | 32,728 |
| 5 Add-on amounts for PFE associated with all derivatives transactions (mark-to-market method) | 164,597 | 137,691 |
| 7 Deductions of receivables assets for cash variation margin provided in derivatives transactions | (39,017) | (45,838) |
| 8 Exempted CCP leg of client-cleared trade exposures | (41,526) | (34,814) |
| 9 Adjusted effective notional amount of written credit derivativesa | 594,059 | 413,825 |
| 10 Adjusted effective notional offsets and add-on deductions for written credit derivativesa | (578,550) | (398,839) |
| **11 Total derivative exposures** | **127,562** | **104,753** |
| **Securities financing transaction exposures** | | |
| 12 Gross SFT assets (with no recognition of netting), after adjusting for sales accounting transactions | 540,855 | 470,432 |
| 13 Netted amounts of cash payables and cash receivables of gross SFT assets | (370,166) | (306,398) |
| 14 Counterparty credit risk exposure for SFT assets | 24,708 | 21,114 |
| **16 Total securities financing transaction exposures** | **195,397** | **185,148** |
| 17 Off-balance sheet exposures at gross notional amount | 347,416 | 340,179 |
| 18 Adjustments for conversion to credit equivalent amounts | (234,276) | (226,475) |
| 19 Other off-balance sheet exposures | 113,140 | 113,704 |
| **Capital and total exposures** | | |
| 20 Tier 1 capital | 58,447 | 54,832 |
| 21 Total leverage ratio exposures | 1,354,284 | 1,254,157 |
| **Leverage ratio** | | |
| 22 Leverage ratio | 4.3% | 4.4% |
| **Choice on transitional arrangements and amount of derecognised fiduciary items** | | |
| EU-23 Choice on transitional arrangements for the definition of the capital measure | Fully phased in | |

The CRR leverage ratio decreased to 4.3%. The CRR leverage exposure increased £100bn to £1,354bn primarily driven by cash at central banks, loans and advances and other assets, PFE on derivatives and SFTs.

**Note**
a The prior period has been revised to include the equal and offsetting impact of including CDS index options and client cleared CDS’s. This has no impact on the total derivative exposures.

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# Risk and capital position review: Analysis of treasury and capital risk continued

### Table 17a: Leverage ratio common disclosure for significant subsidiary

| Barclays Bank PLC | As at 31 December 2021 (£m) | As at 31 December 2020 (£m) |
| :--- | :--- | :--- |
| **On-balance sheet exposures (excluding derivatives and SFTs)** | | |
| 1 On-balance sheet items (excluding derivatives, SFTs and fiduciary assets, but including collateral) | 625,556 | 599,815 |
| EU-1a Adjustments for regular-way purchases and sales of financial assets subject to trade date accounting | (8,584) | (13,502) |
| 2 Asset amounts deducted in determining tier 1 capital | (17,243) | (14,147) |
| **3 Total on-balance sheet exposures (excluding derivatives, SFTs and fiduciary assets)** | **599,729** | **572,166** |
| **Derivative exposures** | | |
| 4 Replacement cost associated with all derivatives transactions (ie net of eligible cash variation margin) | 31,792 | 35,533 |
| 5 Add-on amounts for PFE associated with all derivatives transactions (mark-to-market method) | 149,141 | 126,097 |
| 7 Deductions of receivables assets for cash variation margin provided in derivatives transactions | (29,388) | (43,049) |
| 8 Exempted CCP leg of client-cleared trade exposures | (16,639) | (15,385) |
| 9 Adjusted effective notional amount of written credit derivativesa | 441,259 | 331,938 |
| 10 Adjusted effective notional offsets and add-on deductions for written credit derivativesa | (425,567) | (316,711) |
| **11 Total derivative exposures** | **150,598** | **118,423** |
| **Securities financing transaction exposures** | | |
| 12 Gross SFT assets (with no recognition of netting), after adjusting for sales accounting transactions | 574,590 | 518,168 |
| 13 Netted amounts of cash payables and cash receivables of gross SFT assets | (372,213) | (334,701) |
| 14 Counterparty credit risk exposure for SFT assets | 38,840 | 51,438 |
| **16 Total securities financing transaction exposures** | **241,217** | **234,905** |
| **Other off-balance sheet exposures** | | |
| 17 Off-balance sheet exposures at gross notional amount | 251,256 | 226,629 |
| 18 Adjustments for conversion to credit equivalent amounts | (138,502) | (118,307) |
| **19 Other off-balance sheet exposures** | **112,754** | **108,322** |
| **Exempted exposures in accordance with CRR Article 429 (7) and (14) (on and off balance sheet)** | | |
| EU-19a Exemption of intragroup exposures (solo basis) in accordance with Article 429(7) of Regulation (EU) No 575/2013 (on and off balance sheet) | (222,834) | (207,445) |
| **Capital and total exposures** | | |
| 20 Tier 1 capital | 32,595 | 32,172 |
| 21 Total leverage ratio exposures | 881,464 | 826,371 |
| **Leverage ratio** | | |
| 22 Leverage ratio | 3.7% | 3.9% |
| **Choice on transitional arrangements and amount of derecognised fiduciary items** | | |
| EU-23 Choice on transitional arrangements for the definition of the capital measure | Transitional | |

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# Risk and capital position review: Analysis of treasury and capital risk continued

### Table 18: Split-up of on balance sheet exposures (excluding derivatives, SFTs, and exempted exposures)

| Barclays Group | As at 31 December 2021 (£m) | As at 31 December 2020 (£m) |
| :--- | :--- | :--- |
| EU-1 Total on-balance sheet exposures (excluding derivatives, SFTs, and exempted exposures), of which: | 872,175 | 795,863 |
| EU-2 Trading book exposures | 157,603 | 139,836 |
| EU-3 Banking book exposures, of which: | 714,572 | 656,027 |
| EU-4 Covered bonds | 4,371 | 1,886 |
| EU-5 Exposures treated as sovereigns | 324,598 | 288,083 |
| EU-6 Exposures to regional governments, MDB, international organisations and PSE NOT treated as sovereigns | 13,525 | 9,792 |
| EU-7 Institutions | 10,951 | 20,127 |
| EU-8 Secured by mortgages of immovable properties | 169,085 | 159,466 |
| EU-9 Retail exposures | 49,169 | 50,885 |
| EU-10 Corporate | 74,737 | 74,879 |
| EU-11 Exposures in default | 6,019 | 6,150 |
| EU-12 Other exposures (e.g. equity, securitisations, and other non-credit obligation assets) | 62,117 | 44,759 |

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# Risk and capital position review: Analysis of treasury and capital risk continued

## Minimum requirement for own funds and eligible liabilities (MREL)

### Table 19: KM2 - Key metrics - TLAC requirements (at resolution group level)

| | | As at 31.12.21 (£m) | As at 30.09.21 (£m) | As at 30.06.21 (£m) | As at 31.03.21 (£m) | As at 31.12.20 (£m) |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| 1 | Total Loss Absorbing Capacity (TLAC) availablea,b | 109,941 | 109,068 | 105,344 | 102,756 | 102,746 |
| 1a | Fully loaded ECL accounting model TLAC available | 109,041 | 108,160 | 104,505 | 101,271 | 101,030 |
| 2 | Total RWA at the level of the resolution groupa | 314,136 | 307,464 | 306,424 | 313,356 | 306,203 |
| 3 | TLAC as a percentage of RWA (row 1/ row 2) (%)b | 35.0% | 35.5% | 34.4% | 32.8% | 33.6% |
| 3a | Fully loaded ECL accounting model TLAC as a percentage of fully loaded ECL accounting model RWA (%) | 34.7% | 35.2% | 34.1% | 32.4% | 33.1% |
| 4 | Leverage ratio exposure measure at the level of the resolution groupc | 1,354,284 | 1,368,259 | 1,334,929 | 1,320,628 | 1,254,157 |
| 5 | TLAC as a percentage of leverage ratio exposure measure (row 1 / row 4) (%)b,c | 8.1% | 8.0% | 7.9% | 7.8% | 8.2% |
| 5a | Fully loaded ECL accounting model TLAC as a percentage of fully loaded ECL accounting model Leverage exposure measure (%) | 8.1% | 7.9% | 7.8% | 7.7% | 8.1% |
| 6a | Does the subordination exemption in the antepenultimate paragraph of Section 11 of the FSB TLAC Term Sheet apply? | No | No | No | No | No |
| 6b | Does the subordination exemption in the penultimate paragraph of Section 11 of the FSB TLAC Term Sheet apply? | No | No | No | No | No |
| 6c | If the capped subordination exemption applies, the amount of funding issued that ranks pari passu with Excluded Liabilities and that is recognised as external TLAC, divided by funding issued that ranks pari passu with Excluded Liabilities and that would be recognised as external TLAC if no cap was applied (%) | N/A | N/A | N/A | N/A | N/A |

**Notes**
a Own funds included in TLAC, and RWAs are calculated applying the transitional arrangements of the CRR as amended by CRR II. This includes IFRS 9 transitional arrangements and the grandfathering of CRR and CRR II non-compliant capital instruments.
b Includes subsidiary issuances, which are no longer eligible from 1 January 2022. Excluding subsidiary issuances, TLAC after deductions would have been £108.2bn resulting in a ratio of 8% as a percentage of leverage exposures and 34.4% as a percentage of RWAs.
c Fully loaded CRR leverage exposure is calculated without applying the transitional arrangements of the CRR as amended by CRR II.

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# Risk and capital position review: Analysis of treasury and capital risk continued

### Table 20: TLAC 1 - TLAC composition for G-SIBs (at resolution group level)

| Barclays Group (As at 31 December 2021) | £m |
| :--- | :--- |
| **Regulatory capital elements of TLAC and adjustmentsa** | |
| 1 Common Equity Tier 1 capital (CET1) | 47,497 |
| 2 Additional Tier 1 capital (AT1) before TLAC adjustment | 12,816 |
| 5 AT1 instruments eligible under the TLAC framework | 12,816 |
| 6 Tier 2 capital (T2) before TLAC adjustments | 9,739 |
| 7 Amortised portion of T2 instruments where remaining maturity > 1 year | 640 |
| 10 T2 instruments eligible under the TLAC framework | 10,379 |
| 11 TLAC arising from regulatory capital | 70,692 |
| **Non-regulatory capital elements of TLAC** | |
| 12 External TLAC instruments issued directly by the bank and subordinated to excluded liabilities | 39,279 |
| 17 TLAC arising from non-regulatory capital instruments before adjustments | 39,279 |
| **Non-regulatory capital elements of TLAC: adjustments** | |
| 18 TLAC before deductionsb | 109,971 |
| 20 Deduction of investments in own other TLAC liabilities | (30) |
| 22 TLAC after deductions | 109,941 |
| **Risk-weighted assets and leverage exposure measure for TLAC purposes** | |
| 23 Total risk-weighted assets adjusted as permitted under the TLAC regimea | 314,136 |
| 24 Leverage exposure measurec | 1,354,284 |
| **TLAC ratios and buffers** | |
| 25 TLAC (as a percentage of risk-weighted assets adjusted as permitted under the TLAC regime)b | 35.0% |
| 26 TLAC (as a percentage of leverage exposure)b,c | 8.1% |
| 27 CET1 (as a percentage of risk-weighted assets) available after meeting the resolution group’s minimum capital and TLAC requirements | 10.6% |
| 28 Institution-specific buffer requirement (capital conservation buffer plus countercyclical buffer requirements plus higher loss absorbency requirement, expressed as a percentage of risk-weighted assets) | 4.0% |
| 29 Of which: capital conservation buffer requirement | 2.5% |
| 30 Of which: bank specific countercyclical buffer requirement | 0.0% |
| 31 Of which: higher loss absorbency requirement | 1.5% |

**Note**
a Own funds included in TLAC, and RWAs are calculated applying the transitional arrangements of the CRR as amended by CRR II. This includes IFRS 9 transitional arrangements and the grandfathering of CRR and CRR II non-compliant capital instruments.
b Includes subsidiary issuances, which are no longer eligible from 1 January 2022. Excluding subsidiary issuances, TLAC after deductions would have been £108.2bn resulting in a ratio of 8% as a percentage of leverage exposures and 34.4% as a percentage of RWAs.
c Fully loaded CRR leverage exposure is calculated without applying the transitional arrangements of the CRR as amended by CRR II.

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# Risk and capital position review: Analysis of treasury and capital risk continued

### Table 21: TLAC 3 - Resolution entity - creditor ranking at legal entity level

| Barclays PLC (the Parent company) (As at 31 December 2021) | Creditor ranking 1 (Most junior) | Creditor ranking 2 | Creditor ranking 3 | Creditor ranking 4 (Most senior) | Total |
| :--- | :--- | :--- | :--- | :--- | :--- |
| | Ordinary Shares (£m) | Perpetual Deeply Subordinated Contingent Convertible Debt (£m) | Dated Subordinated Debt (£m) | Unsecured and Unsubordinated Debt, and other pari passu liabilities (£m) | (£m) |
| 1 Description of creditor ranking | — | — | — | — | — |
| 2 Total capital and liabilities net of credit risk mitigation | 4,188 | 12,312 | 9,240 | 40,360 | 66,100 |
| 3 Subset of row 2 that are excluded liabilities | — | — | — | 618 | 618 |
| 4 Total capital and liabilities less excluded liabilities | 4,188 | 12,312 | 9,240 | 39,742 | 65,482 |
| 5 Subset of row 4 that are potentially eligible as TLAC | 4,188 | 12,312 | 9,240 | 38,903 | 64,643 |
| 6 Subset of row 5 with 1 year ≤ residual maturity < 2 years | — | — | — | 5,813 | 5,813 |
| 7 Subset of row 5 with 2 years ≤ residual maturity < 5 years | — | — | 2,449 | 16,496 | 18,945 |
| 8 Subset of row 5 with 5 years ≤ residual maturity < 10 years | — | — | 5,307 | 8,538 | 13,845 |
| 9 Subset of row 5 with residual maturity ≥ 10 years, but excluding perpetual securities | — | — | 1,484 | 8,056 | 9,540 |
| 10 Subset of row 5 that is perpetual securities | 4,188 | 12,312 | — | — | 16,500 |

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# Risk and capital position review: Analysis of treasury and capital risk continued

### Table 22: TLAC2 - Material subgroup entity - creditor ranking at legal entity level

| Barclays Bank PLC (As at 31 December 2021) | Creditor ranking 1 (Most junior) | Creditor ranking 2 | Creditor ranking 3 | Creditor ranking 4 | Creditor ranking 5 | Creditor ranking 6 | Creditor ranking 6 | Creditor ranking 7 (Most senior) | Total |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| | Ordinary Shares (£m) | Perpetual Deeply Sub-ordinated Contingent Convertible Debt (£m) | Preference Shares / Perpetual Deeply Sub-ordinated Debt (£m) | Perpetual Sub-ordinated Debt (£m) | Junior Sub-ordinated Debt (£m) | Dated Sub-ordinated Debt (£m) | Dated Sub-ordinated Debt / Dated Sub-ordinated Contingent Capital Debt (£m) | Dated secondary non-preferential debt (£m) | (£m) |
| 1 Is the resolution entity the creditor/investor? | Yes | Yes | No | No | No | Yes | No | Yes | — |
| 2 Description of creditor ranking | — | — | — | — | — | — | — | — | — |
| 3 Total capital and liabilities net of credit risk mitigation | 2,343 | 9,737 | 723 | 482 | 28 | 7,703 | 2,515 | 19,542 | 43,073 |
| 4 Subset of row 3 that are excluded liabilities | — | — | — | — | — | — | — | — | — |
| 5 Total capital and liabilities less excluded liabilities | 2,343 | 9,737 | 723 | 482 | 28 | 7,703 | 2,515 | 19,542 | 43,073 |
| 6 Subset of row 5 that are eligible as TLAC | 2,343 | 9,737 | 723 | 482 | 28 | 7,703 | 2,515 | 19,542 | 43,073 |
| 7 Subset of row 6 with 1 year ≤ residual maturity < 2 years | — | — | — | — | — | — | 42 | 4,550 | 4,592 |
| 8 Subset of row 6 with 2 years ≤ residual maturity < 5 years | — | — | — | — | — | 1,015 | 274 | 7,455 | 8,744 |
| 9 Subset of row 6 with 5 years ≤ residual maturity < 10 years | — | — | — | — | — | 4,066 | 97 | 4,245 | 8,408 |
| 10 Subset of row 6 with residual maturity ≥ 10 years, but excluding perpetual securities | — | — | — | — | — | 2,622 | 107 | 3,292 | 6,021 |
| 11 Subset of row 6 that is perpetual securities | 2,343 | 9,737 | 723 | 482 | 28 | — | — | — | 13,313 |

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# Risk and capital position review: Analysis of treasury and capital risk continued

### Table 23: TLAC2 - Material subgroup entity - creditor ranking at legal entity level

| Barclays Bank UK PLC Group (As at 31 December 2021) | Creditor ranking 1 (Most junior) | Creditor ranking 2 | Creditor ranking 3 | Creditor ranking 4 (Most senior) | Total |
| :--- | :--- | :--- | :--- | :--- | :--- |
| | Ordinary Shares (£m) | Perpetual Deeply Subordinated Contingent Convertible Debt (£m) | Dated Subordinated Debt (£m) | Dated secondary non-preferential debt (£m) | (£m) |
| 1 Is the resolution entity the creditor/investor? | Yes | Yes | Yes | Yes | — |
| 2 Description of creditor ranking | — | — | — | — | — |
| 3 Total capital and liabilities net of credit risk mitigation | 5 | 2,575 | 3,419 | 6,069 | 12,068 |
| 4 Subset of row 3 that are excluded liabilities | — | — | — | — | — |
| 5 Total capital and liabilities less excluded liabilities | 5 | 2,575 | 3,419 | 6,069 | 12,068 |
| 6 Subset of row 5 that are eligible as TLAC | 5 | 2,575 | 3,419 | 6,069 | 12,068 |
| 7 Subset of row 6 with 1 year ≤ residual maturity < 2 years | — | — | — | 1,263 | 1,263 |
| 8 Subset of row 6 with 2 years ≤ residual maturity < 5 years | — | — | 1,435 | 3,032 | 4,467 |
| 9 Subset of row 6 with 5 years ≤ residual maturity < 10 years | — | — | 1,242 | 742 | 1,984 |
| 10 Subset of row 6 with residual maturity ≥ 10 years, but excluding perpetual securities | — | — | 742 | 1,032 | 1,774 |
| 11 Subset of row 6 that is perpetual securities | 5 | 2,575 | — | — | 2,580 |

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# Risk and capital position review: Analysis of treasury and capital risk continued

### Table 24: LIQ1 - Liquidity Coverage ratio

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

#### Liquidity coverage ratio (period end)

| | 31.12.21 (£m) | 30.09.21 (£m) | 30.06.21 (£m) | 31.03.21 (£m) | 31.12.20 (£m) |
| :--- | :--- | :--- | :--- | :--- | :--- |
| Liquidity buffer | 285,272 | 283,628 | 280,079 | 280,175 | 258,198 |
| Total net cash outflows | 169,342 | 176,308 | 172,528 | 173,490 | 159,320 |
| Liquidity coverage ratio (%) (period end) | 168% | 161% | 162% | 161% | 162% |

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

| | Total unweighted value (average) (31.12.21 £m) | Total weighted value (average) (31.12.21 £m) |
| :--- | :--- | :--- |
| **High-quality liquid assets** | | |
| 1 Total high-quality liquid assets (HQLA) | — | 293,556 |
| **Cash outflows** | | |
| 2 Retail deposits and deposits from small business customers, of which: | 258,737 | 22,047 |
| 3 Stable deposits | 139,457 | 6,973 |
| 4 Less stable deposits | 110,798 | 15,048 |
| 5 Unsecured wholesale funding, of which: | 230,221 | 114,848 |
| 6 Operational deposits (all counterparties) and deposits in networks of cooperative banks | 58,777 | 14,373 |
| 7 Non-operational deposits (all counterparties)b | 162,363 | 91,685 |
| 8 Unsecured debt | 9,081 | 8,790 |
| 9 Secured wholesale funding | — | 56,779 |
| 10 Additional requirements, of which: | 185,531 | 54,548 |
| 11 Outflows related to derivative exposures and other collateral requirements | 21,030 | 18,604 |
| 12 Outflows related to loss of funding on debt products | 10,105 | 10,105 |
| 13 Credit and liquidity facilities | 154,396 | 25,839 |
| 14 Other contractual funding obligations | 3,010 | 2,628 |
| 15 Other contingent funding obligations | 151,612 | 6,136 |
| 16 Total cash outflows | — | 256,986 |
| **Cash inflows** | | |
| 17 Secured lending (e.g. reverse repos) | 531,068 | 55,088 |
| 18 Inflows from fully performing exposures | 12,179 | 7,694 |
| 19 Other cash inflows | 14,184 | 10,548 |
| 20 Total cash inflows | 557,431 | 73,330 |
| 21 Liquidity buffer | — | 293,556 |
| 22 Total net cash outflows | — | 183,656 |
| 23 Liquidity coverage ratio (%) (average) | — | 160% |

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# Risk and capital position review: Analysis of treasury and capital risk continued

As at 31 December 2021, the Barclays Group LCR was 168% (December 2020: 162%), equivalent to a surplus of £116bn (December 2020: £99bn) above the 100% regulatory requirement. The year-on-year increase in the liquidity pool, LCR and surplus is driven by deposit growth, borrowing from the Bank of England’s Term Funding Scheme with additional incentives for SMEs and an increase in wholesale funding, which were partly offset by an increase in business funding consumption.

The average LCR for the 12 months to 31 December 2021 decreased to 160% (December 2020: 167%), as growth in stresses exceeded the growth in the liquidity buffer.

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

As at 31 December 2021, 58% (2020: 64%) of the liquidity pool was located in Barclays Bank PLC, 30% (2020: 23%) in Barclays Bank UK PLC and 7% (2020: 7%) in Barclays Bank Ireland PLC. The residual portion of the liquidity pool is held outside of these entities, predominantly in the US subsidiaries, to meet entity-specific stress outflows and local regulatory requirements. To the extent the use of this portion of the liquidity pool is restricted due to local regulatory requirements, it is assumed to be unavailable to the rest of the Group in calculating the LCR.

The strong deposit franchises in Barclays Bank Group and Barclays Bank UK Group are primary funding sources for Barclays Group. The Group expects to continue issuing public wholesale debt from Barclays PLC (the Parent company), in order to maintain compliance with indicative MREL requirements and maintain a stable and diverse funding base by type, currency and market. Barclays Bank PLC continued to issue in the shorter-term markets and maintain active medium-term notes programmes. Barclays Bank UK PLC continued to issue in the shorter-term markets and maintain active secured funding programmes. This funding capacity enables the respective entities to maintain their stable and diversified funding bases.

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

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# Risk and capital position review: Analysis of treasury and capital risk continued

## Foreign exchange risk

The Group is exposed to two sources of foreign exchange risk.

### a) Transactional foreign currency exposure
Transactional foreign currency exposures represent exposure on banking assets and liabilities, denominated in currencies other than the functional currency of the transacting entity.

The Group’s risk management policies are designed to prevent the holding of significant open positions in foreign currencies outside the trading portfolio managed by Barclays International which is monitored through VaR.

Banking book transactional foreign exchange risk outside of Barclays International is monitored on a daily basis by the market risk function and minimised by the businesses.

### b) Translational foreign exchange exposure
The Group’s investments in overseas subsidiaries and branches create capital resources denominated in foreign currencies, principally USD and EUR. Changes in the GBP value of the net investments due to foreign currency movements are captured in the currency translation reserve, resulting in a movement in CET1 capital.

The Group’s strategy is to minimise the volatility of the capital ratios caused by foreign exchange movements, by matching the CET1 capital movements to the revaluation of the Group’s foreign currency RWA exposures.

### Table 25: Functional currency of operations

| As at 31 December 2021 | Foreign currency net investments (£m) | Borrowings which hedge the net investments (£m) | Derivatives which hedge the net investments (£m) | Structural currency exposures pre-economic hedges (£m) | Economic hedges (£m) | Remaining structural currency exposures (£m) |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| USD | 25,958 | (7,707) | (2,356) | 15,895 | (7,389) | 8,506 |
| EUR | 8,453 | (3,408) | (3) | 5,042 | (268) | 4,774 |
| JPY | 614 | (97) | — | 517 | — | 517 |
| Other currencies | 2,448 | — | (64) | 2,384 | — | 2,384 |
| **Total** | **37,473** | **(11,212)** | **(2,423)** | **23,838** | **(7,657)** | **16,181** |

Economic hedges relate to exposures arising on foreign currency denominated preference share and AT1 instruments. These are accounted for at historical cost under IFRS and do not qualify as hedges for accounting purposes. The gain or loss arising from changes in the GBP value of these instruments is recognised on redemption in retained earnings.

During 2021, total structural currency exposure net of hedging instruments remained stable at £16.2bn (December 2020: £16.2bn). Foreign currency net investments increased by £5.4bn to £37.5bn (2020: £32.1bn) driven predominantly by a £3.2bn increase in EUR, £1.7bn increase in USD and £0.5bn increase in other currencies. The hedges associated with these investments increased by £4.1bn to £13.6bn (2020: £9.5bn).

---

# Risk and capital position review: Analysis of treasury and capital risk continued

## Pension risk review

The UK Retirement Fund (UKRF) represents approximately 97% (31 December 2020: 97%) of the Group’s total retirement benefit obligations globally. As such this risk review section focuses exclusively on the UKRF. The UKRF is closed to new entrants and there is no new final salary benefit being accrued. Existing active members accrue a combination of a cash balance benefit and a defined contribution element. Pension risk arises as the market value of the pension fund assets may decline, investment returns may reduce or the estimated value of the pension liabilities may increase.

### Assets
The Trustee Board of the UKRF defines its overall long-term investment strategy with investments across a broad range of asset classes. This results in an appropriate mix of return seeking assets as well as liability matching assets to better match future pension obligations. The two largest market risks within the asset portfolio are interest rates and equities. The split of scheme assets is shown within Note 33 on page 402 of the Barclays PLC Annual Report 2021. The fair value of the UKRF assets was £34.7bn as at 31 December 2021 (31 December 2020: £33.9bn).

### Liabilities
The UKRF retirement benefit obligations are a series of future cash flows with relatively long duration. On an IAS 19 basis these cash flows are sensitive to changes in the expected long-term price inflation rate (RPI) and the discount rate (GBP AA corporate bond yield):
- An increase in long-term expected inflation corresponds to an increase in liabilities;
- A decrease in the discount rate corresponds to an increase in liabilities.

The graph below outlines the shape of the UKRF’s liability cash flow profile as at 31 December 2021 that takes account of the future inflation indexing of payments to beneficiaries. The majority of the cash flows (approximately 95%) fall between 0 and 40 years, peaking between 11 and 20 years and reducing thereafter.

The graph above shows the evolution of the UKRF’s net IAS 19 position over the last two years. During 2021 the increase in the IAS 19 pension surplus was driven by high asset returns and scheduled deficit reduction contributions. Higher realised inflation over the year had a negative impact by increasing the projected liabilities, which was partially offset by updates to the demographic assumptions.

---

# Risk and capital position review: Analysis of treasury and capital risk continued

### Risk measurement
In line with Barclays’ risk management framework the assets and liabilities of the UKRF are modelled within a VaR framework to show the volatility of the pension position at a total portfolio level. This enables the risks, diversification and liability matching characteristics of the UKRF obligations and investments to be adequately captured. VaR is measured and monitored on a monthly basis. Risks are reviewed and reported regularly at forums including the Board Risk Committee, the Group Risk Committee, the Pensions Management Group and the Pension Executive Board. The VaR model takes into account the valuation of the liabilities on an IAS 19 basis (see Note 33 on page 402 of the Barclays PLC Annual Report 2021). The Trustee receives quarterly VaR measures on a funding basis.

The pension liability is also sensitive to post-retirement mortality assumptions which are reviewed regularly (See Note 33 on page 402 of the Barclays PLC Annual Report 2021). To mitigate part of this risk the UKRF has entered into a longevity swap hedging approximately a quarter of current pensioner liabilities.

In addition, the impact of pension risk to the Group is taken into account as part of the stress testing process. Stress testing is performed internally on at least an annual basis. The UKRF exposure is also included as part of regulatory stress tests.

Barclays defined benefit pension schemes affects capital in two ways:
- An IAS 19 deficit is treated as a liability on the Group’s balance sheet. Movement in a deficit due to remeasurements, including actuarial losses, are recognised immediately through Other Comprehensive Income and as such reduces shareholders’ equity and CET1 capital. An IAS 19 surplus is treated as an asset on the balance sheet and increases shareholders’ equity; however, it is deducted for the purposes of determining CET1 capital.
- In the Group’s statutory balance sheet an IAS 19 surplus or deficit is partially offset by a deferred tax liability or asset respectively. These may or may not be recognised for calculating CET1 capital depending on the overall deferred tax position of the Group at the particular time.

## Interest rate risk in the banking book

### Net interest income sensitivity
The table below shows a sensitivity analysis on pre-tax net interest income for non-traded financial assets and liabilities, including the effect of any hedging. This analysis is not a forward guidance on NII and is intended as a quantification of risk exposure utilising the Annual Earnings at Risk (AEaR) metric as described on page 200 of the Barclays PLC Pillar 3 Report 2021. Note that this metric assumes an instantaneous parallel change to forward interest rate curves.

### Table 26: Net interest income sensitivity (AEaR) by business unit

| | Barclays UK (£m) | Barclays International (£m) | Head Office (£m) | Total (£m) |
| :--- | :--- | :--- | :--- | :--- |
| **As at 31 December 2021** | | | | |
| +25bps | (2) | 68 | 5 | 71 |
| -25bps | (54) | (99) | (5) | (158) |
| **As at 31 December 2020** | | | | |
| +25bps | 10 | 86 | 4 | 100 |
| -25bps | (141) | (263) | (4) | (408) |

---

# Risk and capital position review: Analysis of treasury and capital risk continued

### Table 27: Net interest income sensitivity (AEaR) by currency

| As at 31 December | 2021 (+25 bps £m) | 2021 (-25 bps £m) | 2020 (+25 bps £m) | 2020 (-25 bps £m) |
| :--- | :--- | :--- | :--- | :--- |
| GBP | 14 | (85) | 48 | (313) |
| USD | 58 | (62) | 48 | (63) |
| EUR | 5 | (15) | 10 | (34) |
| Other currencies | (6) | 4 | (6) | 2 |
| **Total** | **71** | **(158)** | **100** | **(408)** |

### Analysis of equity sensitivity
Equity sensitivity measures the overall impact of a +/- 25bps movement in interest rates on retained earnings, fair value through other comprehensive income (FVOCI), cash flow hedge reserves and pensions.

### Table 28: Analysis of equity sensitivity

| As at 31 December 2021 | +25 basis points (£m) | -25 basis points (£m) |
| :--- | :--- | :--- |
| Net interest income | 71 | (158) |
| Taxation effects on the above | (15) | 33 |
| **Effect on profit for the year** | **56** | **(125)** |
| As percentage of net profit after tax | 0.8% | (1.7)% |
| Effect on profit for the year (per above) | 56 | (125) |
| Fair value through other comprehensive income reserve | (479) | 408 |
| Cash flow hedge reserve | (859) | 859 |
| Taxation effects on the above | 361 | (342) |
| **Effect on equity** | **(921)** | **800** |
| As percentage of equity | (1.3)% | 1.2% |

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

### Analysis of volatility of the FVOCI portfolio in the liquidity pool

| For the year ended 31 December | 2021 Average (£m) | 2021 High (£m) | 2021 Low (£m) | 2020 Average (£m) | 2020 High (£m) | 2020 Low (£m) |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| Non-traded market value at risk (daily, 95%) | 51 | 62 | 34 | 52 | 68 | 36 |

---

# Risk and capital position review: Analysis of treasury and capital risk continued

### Table 29: PV1 - Prudent valuation adjustment

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

| As at 31 December 2021 | Equity (£m) | Interest rates (£m) | FX (£m) | Credit (£m) | Commodities (£m) | Total (£m) | Of which: In the trading book (£m) | Of which: In the banking book (£m) |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| 1 Closeout uncertainty, of which: | 477 | 333 | 31 | 251 | — | 1,092 | 881 | 211 |
| 2 Mid-market valuec | 322 | 239 | 21 | 216 | — | 798 | 669 | 129 |
| 3 Closeout costc | 50 | 64 | 4 | 15 | — | 133 | 133 | — |
| 4 Concentration | 105 | 30 | 6 | 20 | — | 161 | 79 | 82 |
| 5 Early termination | — | — | — | — | — | — | — | — |
| 6 Model riskc | 47 | 48 | — | 2 | — | 97 | 97 | — |
| 7 Operational risk | 38 | 40 | 2 | 32 | — | 112 | 91 | 21 |
| 8 Investing and funding costsc | 12 | 34 | — | 86 | — | 132 | 51 | 81 |
| 9 Unearned credit spreadsc | — | 69 | — | — | — | 69 | 69 | — |
| 10 Future administrative costs | 2 | 74 | 4 | 3 | — | 83 | 83 | — |
| 11 Other | — | — | — | — | — | — | — | — |
| **12 Total adjustment** | **576** | **598** | **37** | **374** | — | **1,585** | **1,272** | **313** |

---

# Risk and capital position review: 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 country and industry concentrations, residual maturities, probabilities of default and actual losses.

## Key Metrics

Risk weighted assets for credit risk decreased £4.0bn (December 2020: £193.4bn).

### Mainly driven by
- **-£1.1bn:** Lower unsecured lending
- **-£1.1bn:** Disposal of wholesale loans
- **-£1.0bn:** Recalibration of modelled RWAs

---

# Risk and capital position review: Analysis of credit risk

## Analysis of capital requirements and exposures for credit risk

### Table 30: Credit risk exposures – 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 EAD pre- and post-CRM. In accordance with regulatory requirements, credit mitigation is either reflected in regulatory measures for EAD, or in the risk parameters: 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.

| As at 31 December 2021 | EAD pre-CRMa (Year end £m) | EAD pre-CRMa (Averageb £m) | EAD post-CRM (Year end £m) | EAD post-CRM (Averageb £m) |
| :--- | :--- | :--- | :--- | :--- |
| **Standardised approach** | | | | |
| Central governments or central banks | 269,961 | 265,195 | 271,685 | 267,120 |
| Regional governments or local authorities | 9,177 | 8,886 | 9,032 | 8,707 |
| Public sector entities | 5,749 | 6,411 | 5,749 | 6,405 |
| Multilateral development banks | 5,314 | 6,054 | 5,314 | 6,054 |
| International organisations | 558 | 618 | 558 | 618 |
| Institutions | 5,131 | 5,239 | 5,105 | 5,218 |
| Corporates | 43,975 | 41,608 | 27,786 | 26,114 |
| Retail | 22,687 | 21,130 | 22,580 | 21,043 |
| Secured by mortgages | 9,481 | 9,532 | 9,433 | 9,490 |
| Exposures in default | 1,360 | 1,403 | 1,305 | 1,332 |
| Items associated with high risk | 1,959 | 1,877 | 1,959 | 1,808 |
| Covered bonds | 1,110 | 1,315 | 1,110 | 1,315 |
| Securitisation positions | 22,890 | 19,450 | 22,890 | 19,450 |
| Equity positions | 851 | 860 | 851 | 846 |
| Other items | 4,217 | 4,105 | 4,217 | 4,105 |
| **Total standardised approach** | **404,420** | **393,683** | **389,574** | **379,625** |
| **Advanced IRB approach** | | | | |
| Central governments or central banks | 95,117 | 92,694 | 94,987 | 92,534 |
| Institutions | 17,302 | 20,158 | 17,219 | 20,045 |
| Corporates | 95,493 | 101,401 | 89,951 | 96,345 |
| Small and medium-sized enterprises (SMEs) | 7,775 | 7,920 | 7,229 | 7,344 |
| Secured by real estate collateral | 168,985 | 166,883 | 168,985 | 166,883 |
| Qualifying revolving retail | 32,821 | 33,593 | 32,821 | 33,593 |
| Other retail | 3,987 | 4,073 | 3,987 | 4,073 |
| Securitisation positions | 42,034 | 37,025 | 42,034 | 37,025 |
| Non-credit obligation assets | 10,170 | 10,060 | 10,170 | 10,060 |
| **Total advanced IRB approach** | **473,684** | **473,807** | **467,383** | **467,902** |
| **Total** | **878,104** | **867,490** | **856,957** | **847,527** |

---

# Risk and capital position review: Analysis of credit risk continued

### Table 30: Credit risk exposures – Note on pre- and post- credit risk mitigation (CRM) EAD - continued

| As at 31 December 2020 | EAD pre-CRM (Year end £m) | EAD pre-CRM (Average £m) | EAD post-CRM (Year end £m) | EAD post-CRM (Average £m) |
| :--- | :--- | :--- | :--- | :--- |
| **Standardised approach** | | | | |
| Central governments or central banks | 235,667 | 236,725 | 237,637 | 237,751 |
| Regional governments or local authorities | 10,829 | 10,384 | 10,486 | 10,068 |
| Public sector entities | 8,424 | 7,969 | 8,418 | 7,957 |
| Multilateral development banks | 7,209 | 8,654 | 7,209 | 8,654 |
| International organisations | 734 | 524 | 734 | 524 |
| Institutions | 4,988 | 5,220 | 4,900 | 5,124 |
| Corporates | 37,618 | 40,064 | 23,405 | 25,521 |
| Retail | 21,565 | 23,736 | 21,199 | 23,354 |
| Secured by mortgages | 9,363 | 9,341 | 9,337 | 9,314 |
| Exposures in default | 1,410 | 1,609 | 1,379 | 1,586 |
| Items associated with high risk | 1,431 | 1,468 | 1,431 | 1,468 |
| Covered bonds | 1,886 | 1,929 | 1,886 | 1,929 |
| Securitisation positions | 14,936 | 14,113 | 14,936 | 14,113 |
| Equity positions | 723 | 542 | 723 | 542 |
| Other items | 4,824 | 4,282 | 4,824 | 4,282 |
| **Total standardised approach** | **361,607** | **366,560** | **348,504** | **352,187** |
| **Advanced IRB approach** | | | | |
| Central governments or central banks | 98,757 | 93,685 | 98,581 | 93,506 |
| Institutions | 20,034 | 22,912 | 19,953 | 22,809 |
| Corporates | 105,768 | 113,365 | 98,499 | 106,441 |
| Small and medium-sized enterprises (SMEs) | 8,206 | 8,258 | 7,644 | 8,258 |
| Secured by real estate collateral | 159,949 | 156,953 | 159,949 | 156,953 |
| Qualifying revolving retail | 35,691 | 37,885 | 35,691 | 37,885 |
| Other retail | 4,561 | 5,270 | 4,561 | 5,270 |
| Securitisation positions | 32,512 | 31,973 | 32,512 | 31,973 |
| Non-credit obligation assets | 9,362 | 9,049 | 9,362 | 9,049 |
| **Total advanced IRB approach** | **474,840** | **479,350** | **466,752** | **472,144** |
| **Total** | **836,447** | **845,910** | **815,256** | **824,331** |

Exposure at default pre-CRM increased by £41.7bn to £878.1bn primarily driven by an increase in the Group liquidity pool.

---

# Risk and capital position review: Analysis of credit risk continued

### Table 31: CRB-B Total and average net amount of exposures

| Barclays Group | Net value of exposures (As at 31 Dec 2021 £m) | Average net exposuresa (As at 31 Dec 2021 £m) | Net value of exposures (As at 31 Dec 2020 £m) | Average net exposuresa (As at 31 Dec 2020 £m) |
| :--- | :--- | :--- | :--- | :--- |
| Central governments or central banks | 95,156 | 92,736 | 98,795 | 93,724 |
| Institutions | 21,271 | 24,129 | 23,912 | 26,852 |
| Corporates | 136,145 | 145,087 | 149,590 | 156,253 |
| Of Which: Specialised Lending | 7,656 | 8,941 | 9,419 | 9,509 |
| Of Which: SMEs | 15,449 | 16,252 | 17,681 | 18,435 |
| Retail | 241,216 | 240,814 | 240,175 | 240,114 |
| Secured by real estate property | 172,779 | 170,255 | 164,226 | 160,415 |
| Non-SMEs | 172,779 | 170,255 | 164,226 | 160,415 |
| Qualifying Revolving | 57,255 | 59,127 | 63,640 | 66,711 |
| Other Retail | 11,182 | 11,432 | 12,309 | 12,988 |
| SME | 7,194 | 7,358 | 7,746 | 7,716 |
| Non-SMEs | 3,988 | 4,074 | 4,563 | 5,271 |
| **Total IRB Approach** | **493,788** | **502,766** | **512,472** | **516,943** |
| Central governments or central banks | 251,935 | 245,442 | 214,302 | 219,684 |
| Regional governments or local authorities | 9,417 | 9,058 | 10,960 | 10,512 |
| Public sector entities | 5,874 | 6,651 | 8,670 | 8,218 |
| Multilateral development banks | 5,314 | 6,054 | 7,209 | 8,654 |
| International organisations | 558 | 618 | 734 | 524 |
| Institutions | 6,087 | 6,467 | 6,083 | 6,357 |
| Corporates | 65,956 | 63,086 | 58,855 | 60,538 |
| Of Which: SMEs | 4,152 | 4,252 | 5,108 | 4,543 |
| Retail | 107,014 | 103,585 | 101,881 | 107,119 |
| Of Which: SMEs | 10,029 | 11,588 | 12,114 | 9,014 |
| Secured by mortgages on immovable property | 9,532 | 9,567 | 9,406 | 9,390 |
| Of Which: SMEs | 89 | 131 | 188 | 144 |
| Exposures in default | 2,845 | 2,225 | 1,861 | 2,044 |
| Items associated with particularly high risk | 1,960 | 1,879 | 1,444 | 1,477 |
| Covered bonds | 1,110 | 1,315 | 1,886 | 1,929 |
| Equity exposures | 851 | 860 | 723 | 541 |
| Other exposures | 4,217 | 4,098 | 4,824 | 4,282 |
| **Total standardised approach** | **472,670** | **460,905** | **428,838** | **441,269** |
| **Total** | **966,458** | **963,671** | **941,310** | **958,212** |

---

# Risk and capital position review: Analysis of credit risk continued

### Table 32: Detailed view of credit risk RWAs and capital requirement

| Barclays Group | EAD (As at 31 Dec 2021 £m) | RWA (As at 31 Dec 2021 £m) | Capital requirements (As at 31 Dec 2021 £m) | EAD (As at 31 Dec 2020 £m) | RWA (As at 31 Dec 2020 £m) | Capital requirements (As at 31 Dec 2020 £m) |
| :--- | :--- | :--- | :--- | :--- | :--- |
| **Standardised approach** | | | | | | |
| Central governments or central banks | 271,685 | 61 | 5 | 237,637 | 39 | 3 |
| Regional governments or local authorities | 9,032 | 1,501 | 120 | 10,486 | 1,657 | 133 |
| Public sector entities | 5,749 | 190 | 15 | 8,418 | 205 | 16 |
| Multilateral development banks | 5,314 | — | — | 7,209 | — | — |
| International organisations | 558 | — | — | 734 | — | — |
| Institutions | 5,105 | 1,526 | 122 | 4,900 | 1,526 | 122 |
| Corporates | 27,786 | 25,446 | 2,036 | 23,405 | 21,335 | 1,707 |
| Retail | 22,580 | 16,855 | 1,348 | 21,199 | 15,899 | 1,272 |
| Secured by mortgages | 9,433 | 3,548 | 284 | 9,337 | 3,567 | 285 |
| Exposures in default | 1,305 | 1,515 | 121 | 1,379 | 1,581 | 127 |
| Items associated with high risks | 1,959 | 2,938 | 235 | 1,431 | 2,147 | 172 |
| Covered bonds | 1,110 | 115 | 9 | 1,886 | 204 | 16 |
| Securitisation positions | 22,890 | 4,110 | 329 | 14,936 | 2,993 | 239 |
| Equity positions | 851 | 2,127 | 170 | 723 | 1,767 | 141 |
| Other items | 4,217 | 2,186 | 175 | 4,824 | 3,007 | 241 |
| **Total standardised approach** | **389,574** | **62,118** | **4,969** | **348,504** | **55,927** | **4,474** |
| **Advanced IRB approach** | | | | | | |
| Central governments or central banks | 94,987 | 4,569 | 366 | 98,581 | 5,076 | 406 |
| Institutions | 17,219 | 3,941 | 315 | 19,953 | 4,621 | 370 |
| Corporates | 89,951 | 50,012 | 4,001 | 98,499 | 58,407 | 4,673 |
| Small and medium-sized enterprises (SMEs) | 7,229 | 3,176 | 254 | 7,644 | 3,366 | 269 |
| Secured by real estate collateral | 168,985 | 26,725 | 2,138 | 159,949 | 23,105 | 1,848 |
| Qualifying revolving retail | 32,821 | 12,353 | 988 | 35,691 | 15,693 | 1,256 |
| Other retail | 3,987 | 3,637 | 291 | 4,561 | 4,048 | 324 |
| Securitisation positions | 42,034 | 7,937 | 635 | 32,512 | 9,547 | 764 |
| Non-credit obligation assets | 10,170 | 15,477 | 1,237 | 9,362 | 14,179 | 1,134 |
| **Total advanced IRB approach** | **467,383** | **127,827** | **10,225** | **466,752** | **138,042** | **11,044** |
| **Total** | **856,957** | **189,945** | **15,194** | **815,256** | **193,969** | **15,518** |

Risk weighted assets decreased by £4.0bn to £189.9bn primarily driven by:
- Corporate RWAs decreased by £4.2bn to £75.5bn primarily due to securitisation activities and disposal of wholesale loans.

---

# Risk and capital position review: Analysis of credit risk continued

### Table 32a: Detailed view of credit risk RWAs and capital requirement for significant subsidiary

| Barclays Bank PLC | RWA (As at 31 Dec 2021) | Capital requirements (As at 31 Dec 2021) | RWA (As at 31 Dec 2020) | Capital requirements (As at 31 Dec 2020) |
| :--- | :--- | :--- | :--- | :--- |
| **Standardised approach** | | | | |
| Central governments or central banks | 8 | 1 | 8 | 1 |
| Regional governments or local authorities | 31 | 2 | 9 | 1 |
| Public sector entities | 60 | 5 | 45 | 4 |
| Multilateral development banks | — | — | — | — |
| International organisations | — | — | — | — |
| Institutions | 2,701 | 216 | 3,220 | 258 |
| Corporates | 23,493 | 1,879 | 18,246 | 1,458 |
| Retail | 496 | 40 | 570 | 46 |
| Secured by mortgages | 2,293 | 183 | 2,235 | 179 |
| Exposures in default | 868 | 69 | 856 | 69 |
| Items associated with high risks | 390 | 31 | 205 | 16 |
| Covered bonds | — | — | 6 | — |
| Securitisation positions | 3,457 | 277 | 3,182 | 255 |
| Collective investment undertakings | — | — | — | — |
| Equity positions | 6,656 | 533 | 7,262 | 581 |
| Other items | 447 | 36 | 724 | 58 |
| **Total standardised approach** | **40,900** | **3,272** | **36,568** | **2,926** |
| **Advanced IRB approach** | | | | |
| Central governments or central banks | 4,516 | 361 | 5,075 | 406 |
| Institutions | 3,355 | 268 | 4,250 | 340 |
| Corporates | 40,590 | 3,247 | 46,062 | 3,685 |
| Retail | — | — | — | — |
| – Small and medium-sized enterprises (SMEs) | — | — | — | — |
| – Secured by real estate collateral | 183 | 15 | 245 | 20 |
| – Qualifying revolving retail | — | — | — | — |
| – Other retail | — | — | — | — |
| Equity | — | — | — | — |
| Securitisation positions | 7,347 | 588 | 9,247 | 740 |
| Non-credit obligation assets | 3,389 | 271 | 3,096 | 248 |
| **Total advanced IRB approach** | **59,380** | **4,750** | **67,975** | **5,439** |
| **Total** | **100,280** | **8,022** | **104,543** | **8,365** |

---

# Risk and capital position review: Analysis of credit risk continued

### Table 33: CRB-C Geographic analysis of credit exposure

| Barclays Group (As at 31 Dec 2021) | United Kingdom (£m) | Europe (£m) | France (£m) | Germany (£m) | Italy (£m) | Switzerland (£m) | Americas (£m) | United States (£m) | Asia (£m) | Japan (£m) | Africa and Middle East (£m) | Total (£m) |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| Central governments or central banks | 227 | 29,378 | — | — | — | 29,378 | 53,552 | 51,540 | 11,999 | 5,505 | — | 95,156 |
| Institutions | 4,773 | 5,024 | 2,002 | 910 | 23 | 121 | 8,851 | 7,425 | 2,383 | 1,690 | 240 | 21,271 |
| Corporates | 58,398 | 15,838 | 3,423 | 1,867 | 963 | 1,267 | 59,006 | 54,842 | 1,940 | 525 | 963 | 136,145 |
| Retail | 229,894 | 11,318 | 1 | 6,279 | 5,029 | 6 | 3 | 3 | 1 | — | 1 | 241,216 |
| Equity | — | — | — | — | — | — | — | — | — | — | — | — |
| **Total IRB approach** | **293,292** | **61,558** | **5,426** | **9,056** | **6,015** | **30,772** | **121,412** | **113,810** | **16,322** | **7,720** | **1,204** | **493,788** |
| Central governments or central banks | 181,736 | 56,062 | 29,404 | 19,583 | 1,900 | 525 | 6,631 | 6,277 | 6,481 | 6,257 | 1,025 | 251,935 |
| Regional governments or local authorities | 7,587 | 306 | — | 295 | — | — | 1,164 | 13 | 360 | — | — | 9,417 |
| Public sector entities | 1,315 | 4,251 | 759 | 3,035 | — | 30 | 307 | 100 | 1 | — | — | 5,874 |
| Multilateral development banks | 223 | 1,724 | 195 | — | — | — | 2,751 | 2,751 | 579 | — | 37 | 5,314 |
| International organisations | — | 558 | — | — | — | — | — | — | — | — | — | 558 |
| Institutions | 302 | 1,493 | 363 | 57 | 108 | 395 | 1,806 | 710 | 2,218 | 30 | 268 | 6,087 |
| Corporates | 17,192 | 11,689 | 1,003 | 646 | 1,203 | 1,006 | 29,228 | 21,012 | 4,485 | 293 | 3,362 | 65,956 |
| Retail | 16,312 | 5,089 | 9 | 1,922 | 2 | 10 | 85,537 | 85,529 | 57 | — | 19 | 107,014 |
| Secured by mortgages on immovable property | 6,526 | 1,709 | 529 | 5 | 34 | 163 | 635 | 98 | 161 | — | 501 | 9,532 |
| Exposures in default | 1,607 | 362 | 79 | 31 | 50 | 33 | 752 | 612 | 36 | — | 88 | 2,845 |
| Items associated with particularly high risk | 1,008 | 103 | 4 | — | 27 | 9 | 807 | 697 | 38 | 7 | 4 | 1,960 |
| Covered bonds | 456 | 654 | 143 | 70 | — | — | — | — | — | — | — | 1,110 |
| Claims on institutions and corporates with a short-term credit assessment | — | — | — | — | — | — | — | — | — | — | — | — |
| Collective investment undertakings | — | — | — | — | — | — | — | — | — | — | — | — |
| Equity exposures | 23 | 13 | — | — | — | — | 2 | 2 | — | — | 813 | 851 |
| Other exposures | 3,721 | 258 | 3 | 17 | 6 | 159 | 57 | 53 | 149 | 14 | 32 | 4,217 |
| **Total standardised approach** | **238,008** | **84,271** | **32,491** | **25,661** | **3,330** | **2,330** | **129,677** | **117,854** | **14,565** | **6,601** | **6,149** | **472,670** |
| **Total** | **531,300** | **145,829** | **37,917** | **34,717** | **9,345** | **33,102** | **251,089** | **231,664** | **30,887** | **14,321** | **7,353** | **966,458** |

---

# Risk and capital position review: Analysis of credit risk continued

### Table 33: CRB-C Geographic analysis of credit exposure – continued

| Barclays Group (As at 31 Dec 2020) | United Kingdom (£m) | Europe (£m) | France (£m) | Germany (£m) | Italy (£m) | Switzerland (£m) | Americas (£m) | United States (£m) | Asia (£m) | Japan (£m) | Africa and Middle East (£m) | Total (£m) |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| Central governments or central banks | 273 | 29,487 | — | — | — | 29,487 | 47,973 | 46,081 | 21,062 | 15,210 | — | 98,795 |
| Institutions | 6,236 | 6,281 | 2,688 | 1,014 | 42 | 78 | 9,672 | 7,657 | 1,445 | 815 | 278 | 23,912 |
| Corporates | 67,444 | 19,389 | 3,924 | 2,885 | 809 | 1,182 | 60,668 | 56,163 | 1,015 | 292 | 1,074 | 149,590 |
| Retail | 228,172 | 11,997 | 1 | 5,963 | 6,021 | 8 | 4 | 4 | 1 | — | 1 | 240,175 |
| Equity | — | — | — | — | — | — | — | — | — | — | — | — |
| **Total IRB approach** | **302,125** | **67,154** | **6,613** | **9,862** | **6,872** | **30,755** | **118,317** | **109,905** | **23,523** | **16,317** | **1,353** | **512,472** |
| Central governments or central banks | 138,711 | 53,896 | 23,862 | 17,073 | 2,552 | 648 | 8,186 | 8,083 | 12,359 | 12,167 | 1,150 | 214,302 |
| Regional governments or local authorities | 8,700 | 448 | — | 448 | — | — | 1,482 | — | 330 | — | — | 10,960 |
| Public sector entities | 925 | 7,456 | 1,811 | 4,874 | 9 | 4 | 286 | 194 | — | — | 3 | 8,670 |
| Multilateral development banks | 450 | 2,543 | 222 | — | — | — | 3,606 | 3,605 | 546 | — | 64 | 7,209 |
| International organisations | — | 734 | — | — | — | — | — | — | — | — | — | 734 |
| Institutions | 480 | 1,130 | 439 | 6 | 17 | 47 | 1,854 | 484 | 2,360 | 8 | 259 | 6,083 |
| Corporates | 18,072 | 11,311 | 1,346 | 895 | 1,294 | 894 | 22,187 | 16,925 | 4,584 | 206 | 2,701 | 58,855 |
| Retail | 18,979 | 5,516 | 114 | 1,801 | 1 | 29 | 77,301 | 77,192 | 18 | — | 67 | 101,881 |
| Secured by mortgages on immovable property | 6,185 | 1,814 | 569 | 6 | 15 | 151 | 774 | 67 | 137 | — | 496 | 9,406 |
| Exposures in default | 686 | 617 | 112 | 184 | 62 | 14 | 438 | 295 | 29 | — | 91 | 1,861 |
| Items associated with particularly high risk | 753 | 87 | 12 | — | 17 | 9 | 556 | 487 | 43 | 7 | 5 | 1,444 |
| Covered bonds | 752 | 1,134 | 405 | 128 | — | — | — | — | — | — | — | 1,886 |
| Claims on institutions and corporates with a short-term credit assessment | — | — | — | — | — | — | — | — | — | — | — | — |
| Collective investment undertakings | — | — | — | — | — | — | — | — | — | — | — | — |
| Equity exposures | 51 | 11 | — | — | — | — | 4 | 4 | — | — | 657 | 723 |
| Other exposures | 4,346 | 270 | 6 | 21 | 39 | 148 | 38 | 35 | 111 | 21 | 59 | 4,824 |
| **Total standardised approach** | **199,090** | **86,967** | **28,898** | **25,436** | **4,006** | **1,944** | **116,712** | **107,371** | **20,517** | **12,409** | **5,552** | **428,838** |
| **Total** | **501,215** | **154,121** | **35,511** | **35,298** | **10,878** | **32,699** | **235,029** | **217,276** | **44,040** | **28,726** | **6,905** | **941,310** |

Exposures at default pre-CCF and CRM increased by £25.1bn to £966.5bn. The key movements by geographical area were as follows:
- United Kingdom exposures increased by £30.1bn to £531.3bn primarily due to increase in Group liquidity pool balances.
- Europe exposures decreased by £8.3bn to £145.8bn primarily due to decrease in central government and public sector balances in the Group liquidity pool and decrease in corporate lending.
- Americas exposures increased by £16.1bn to £251.1bn primarily due to increased corporate and retail lending and cash at central bank balances due to change in Group liquidity pool.
- Asia exposures decreased by £13.2bn to £30.9bn primarily due to decrease in cash at central bank balances due to change in the Group liquidity pool.

---

# Risk and capital position review: Analysis of credit risk continued

### Table 33a: CRB-C Geographic analysis of credit exposure for significant subsidiary

| Barclays Bank PLC (As at 31 December 2021) | United Kingdom (£m) | Europe (£m) | France (£m) | Germany (£m) | Italy (£m) | Switzerland (£m) | Americas (£m) | United States (£m) | Asia (£m) | Japan (£m) | Africa and Middle East (£m) | Total (£m) |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| Central governments or central banks | 227 | 29,378 | — | — | — | 29,378 | 53,548 | 51,540 | 11,536 | 5,080 | — | 94,689 |
| Institutions | 4,537 | 4,192 | 1,723 | 913 | 9 | 121 | 7,560 | 6,531 | 1,229 | 601 | 209 | 17,727 |
| Corporates | 44,214 | 9,486 | 1,394 | 1,201 | 183 | 1,273 | 57,591 | 53,476 | 1,929 | 525 | 896 | 114,116 |
| Retail | 2 | 514 | — | — | 513 | — | — | — | — | — | — | 516 |
| Equity | — | — | — | — | — | — | — | — | — | — | — | — |
| **Total IRB approach** | **48,980** | **43,570** | **3,117** | **2,114** | **705** | **30,772** | **118,699** | **111,547** | **14,694** | **6,206** | **1,105** | **227,048** |
| Central governments or central banks | 80,934 | 34,372 | 29,173 | 1,721 | 1,770 | — | — | — | 106 | 30 | 1,020 | 116,432 |
| Regional governments or local authorities | 526 | 205 | — | 205 | — | — | 13 | 13 | — | — | — | 744 |
| Public sector entities | 312 | 2,190 | 475 | 1,303 | — | 30 | 73 | 72 | — | — | — | 2,575 |
| Multilateral development banks | 184 | 1,251 | 115 | — | — | — | 2,081 | 2,081 | 256 | — | — | 3,772 |
| International organisations | — | 477 | — | — | — | — | — | — | — | — | — | 477 |
| Institutions | 48,224 | 10,296 | 21 | 19 | 214 | 1,326 | 9,960 | 9,566 | 5,231 | 2,472 | 268 | 73,979 |
| Corporates | 78,167 | 9,721 | 401 | 128 | 88 | 849 | 63,864 | 27,422 | 4,014 | 293 | 2,041 | 157,807 |
| Retail | 2,334 | 210 | 7 | 1 | 2 | 8 | 10 | 6 | 54 | — | 11 | 2,619 |
| Secured by mortgages on immovable property | 3,854 | 1,291 | 442 | 4 | 30 | 43 | 498 | 96 | 149 | — | 421 | 6,213 |
| Exposures in default | 253 | 175 | 55 | 7 | — | 10 | 532 | 483 | 33 | — | 68 | 1,061 |
| Items associated with particularly high risk | 10 | 21 | — | — | — | 9 | 226 | 226 | 3 | 3 | — | 260 |
| Covered bonds | — | — | — | — | — | — | — | — | — | — | — | — |
| Claims on institutions and corporates with a short-term credit assessment | — | — | — | — | — | — | — | — | — | — | — | — |
| Collective investment undertakings | — | — | — | — | — | — | — | — | — | — | — | — |
| Equity exposures | 2,581 | — | — | — | — | — | 82 | — | — | — | — | 2,663 |
| Other exposures | 1,454 | 22 | — | — | — | 1 | — | — | 4 | — | 32 | 1,512 |
| **Total standardised approach** | **218,833** | **60,231** | **30,689** | **3,388** | **2,104** | **2,276** | **77,339** | **39,965** | **9,850** | **2,798** | **3,861** | **370,114** |
| **Total** | **267,813** | **103,801** | **33,806** | **5,502** | **2,809** | **33,048** | **196,038** | **151,512** | **24,544** | **9,004** | **4,966** | **597,162** |

---

# Risk and capital position review: Analysis of credit risk continued

### Table 33a: CRB-C Geographic analysis of credit exposure for significant subsidiary - continued

| Barclays Bank PLC (As at 31 December 2020) | United Kingdom (£m) | Europe (£m) | France (£m) | Germany (£m) | Italy (£m) | Switzerland (£m) | Americas (£m) | United States (£m) | Asia (£m) | Japan (£m) | Africa and Middle East (£m) | Total (£m) |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| Central governments or central banks | 274 | 29,486 | — | — | — | 29,487 | 47,969 | 46,080 | 20,852 | 15,038 | 110 | 98,691 |
| Institutions | 6,261 | 5,286 | 2,284 | 1,017 | 16 | 76 | 7,770 | 6,716 | 1,707 | 843 | 234 | 21,258 |
| Corporates | 50,428 | 10,637 | 727 | 1,580 | 36 | 1,181 | 60,373 | 55,887 | 1,067 | 292 | 1,058 | 123,563 |
| Retail | 2 | 610 | — | — | 611 | — | 1 | 1 | — | — | — | 613 |
| Equity | — | — | — | — | — | — | — | — | — | — | — | — |
| **Total IRB approach** | **56,965** | **46,019** | **3,011** | **2,597** | **663** | **30,744** | **116,113** | **108,684** | **23,626** | **16,173** | **1,402** | **244,125** |
| Central governments or central banks | 68,129 | 33,404 | 23,468 | 1,498 | 2,382 | — | — | — | 79 | 28 | 1,146 | 102,758 |
| Regional governments or local authorities | 521 | 166 | — | 166 | — | — | — | — | — | — | — | 687 |
| Public sector entities | 200 | 4,259 | 1,422 | 2,172 | — | 4 | 95 | 95 | — | — | 3 | 4,557 |
| Multilateral development banks | 373 | 1,616 | 176 | — | — | — | 2,571 | 2,571 | 254 | — | 42 | 4,856 |
| International organisations | — | 603 | — | — | — | — | — | — | — | — | — | 603 |
| Institutions | 38,330 | 10,780 | 62 | 1 | 214 | 1,343 | 9,726 | 8,861 | 7,045 | 3,907 | 258 | 66,139 |
| Corporates | 66,758 | 8,439 | 346 | 326 | 74 | 819 | 59,880 | 22,625 | 4,198 | 203 | 1,924 | 141,199 |
| Retail | 3,152 | 451 | 101 | 1 | 1 | 15 | 60 | 7 | 14 | — | 38 | 3,715 |
| Secured by mortgages on immovable property | 3,365 | 1,465 | 453 | 5 | 10 | 48 | 579 | 63 | 113 | — | 366 | 5,888 |
| Exposures in default | 257 | 334 | 49 | 119 | — | 8 | 174 | 89 | 28 | — | 79 | 872 |
| Items associated with particularly high risk | 4 | 20 | — | — | — | 9 | 109 | 107 | 3 | 3 | — | 136 |
| Covered bonds | — | 59 | 59 | — | — | — | — | — | — | — | — | 59 |
| Claims on institutions and corporates with a short-term credit assessment | — | — | — | — | — | — | — | — | — | — | — | — |
| Collective investments undertakings | — | — | — | — | — | — | — | — | — | — | — | — |
| Equity exposures | 2,679 | 256 | — | — | — | — | 77 | 4 | — | — | — | 3,012 |
| Other exposures | 1,448 | 15 | — | — | — | 1 | — | — | 2 | — | 58 | 1,523 |
| **Total standardised approach** | **185,216** | **61,867** | **26,136** | **4,288** | **2,681** | **2,247** | **73,271** | **34,422** | **11,736** | **4,141** | **3,914** | **336,004** |
| **Total** | **242,181** | **107,886** | **29,147** | **6,885** | **3,344** | **32,991** | **189,384** | **143,106** | **35,362** | **20,314** | **5,316** | **580,129** |

---

# Risk and capital position review: Analysis of credit risk continued

### Table 34: CRB-D - Concentration of exposures by industry

| Barclays Group (As at 31 December 2021) | Agri... (£m) | Mining... (£m) | Manuf... (£m) | Elec... (£m) | Water (£m) | Constr... (£m) | Whole... (£m) | Trans... (£m) | Accom... (£m) | Info... (£m) | Real estate (£m) | Prof... (£m) | Admin... (£m) | Public... (£m) | Educ... (£m) | Human... (£m) | Arts... (£m) | Other (£m) | Total (£m) |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| Central governments or central banks | — | — | — | — | — | — | — | — | — | — | — | — | — | 21,398 | — | — | — | 73,758 | 95,156 |
| Institutions | — | 35 | 46 | 1,232 | 446 | 39 | 45 | 761 | — | — | 1,400 | — | 15 | 3,131 | 3,096 | 83 | — | 10,942 | 21,271 |
| Corporates | 3,075 | 7,742 | 24,614 | 10,403 | 2,357 | 3,014 | 11,073 | 4,308 | 3,183 | 8,851 | 21,626 | 4,137 | 5,769 | 108 | 1,661 | 6,345 | 1,610 | 16,269 | 136,145 |
| Retail | 1,519 | 21 | 396 | 2 | 16 | 503 | 959 | 155 | 437 | 163 | 1,410 | 402 | 305 | — | 121 | 392 | 158 | 234,257 | 241,216 |
| Equity | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
| **Total IRB approach** | **4,594** | **7,798** | **25,056** | **11,637** | **2,819** | **3,556** | **12,077** | **5,224** | **3,620** | **9,014** | **24,436** | **4,539** | **6,089** | **24,637** | **4,878** | **6,820** | **1,768** | **335,226** | **493,788** |
| Central governments or central banks | — | — | 163 | — | — | — | — | — | — | — | — | — | — | 37,844 | — | — | — | 213,928 | 251,935 |
| Regional governments or local authorities | — | — | — | — | — | — | — | — | — | — | — | — | — | 9,417 | — | — | — | — | 9,417 |
| Public sector entities | — | — | — | 236 | 1 | — | — | 56 | — | — | 209 | — | — | 1,400 | 427 | 47 | — | 3,498 | 5,874 |
| Multilateral development banks | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | 5,314 | 5,314 |
| International organisations | — | — | — | — | — | — | — | — | — | — | — | — | 558 | — | — | — | — | — | 558 |
| Institutions | — | — | 3 | — | — | — | — | — | — | — | — | 82 | — | — | — | — | — | 6,002 | 6,087 |
| Corporates | 61 | 1,043 | 6,156 | 1,285 | 121 | 1,413 | 4,056 | 2,072 | 323 | 2,553 | 3,639 | 733 | 3,786 | — | 166 | 706 | 139 | 37,704 | 65,956 |
| Retail | 283 | 10 | 591 | 10 | 39 | 1,639 | 1,847 | 521 | 778 | 496 | 921 | 1,016 | 847 | — | 141 | 364 | 232 | 97,279 | 107,014 |
| Secured by mortgages on immovable property | 9 | 5 | 24 | — | 11 | 41 | 58 | — | 22 | — | 840 | 1 | 50 | — | 7 | 39 | 1 | 8,424 | 9,532 |
| Exposures in default | 26 | 14 | 67 | 10 | 5 | 145 | 175 | 97 | 106 | 55 | 215 | 77 | 503 | — | 29 | 57 | 20 | 1,244 | 2,845 |
| Items associated with particularly high risk | 25 | 372 | 18 | — | — | — | 12 | 56 | — | 329 | — | 10 | 52 | — | — | — | 3 | 1,083 | 1,960 |
| Covered bonds | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | 1,110 | 1,110 |
| Claims on institutions and corporate with a short-term credit assessment | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
| Collective investments undertakings(CIU) | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
| Equity exposures | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | 851 | 851 |
| Other exposures | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | 4,217 | 4,217 |
| **Total standardised approach** | **404** | **1,444** | **7,022** | **1,541** | **177** | **3,238** | **6,148** | **2,802** | **1,229** | **3,433** | **5,824** | **1,919** | **5,796** | **48,661** | **770** | **1,213** | **395** | **380,654** | **472,670** |
| **Total** | **4,998** | **9,242** | **32,078** | **13,178** | **2,996** | **6,794** | **18,225** | **8,026** | **4,849** | **12,447** | **30,260** | **6,458** | **11,885** | **73,298** | **5,648** | **8,033** | **2,163** | **715,880** | **966,458** |

---

# Risk and capital position review: Analysis of credit risk continued

### Table 34: CRB-D - Concentration of exposures by industry - continued

| Barclays Group (As at 31 December 2020) | Agri... (£m) | Mining... (£m) | Manuf... (£m) | Elec... (£m) | Water (£m) | Constr... (£m) | Whole... (£m) | Trans... (£m) | Accom... (£m) | Info... (£m) | Real estate (£m) | Prof... (£m) | Admin... (£m) | Public... (£m) | Educ... (£m) | Human... (£m) | Arts... (£m) | Other (£m) | Total (£m) |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| Central governments or central banks | — | — | — | — | — | — | — | — | — | — | — | — | — | 18,397 | — | — | — | 80,398 | 98,795 |
| Institutions | — | 36 | 41 | 1,001 | 599 | 36 | 44 | 961 | — | 38 | 983 | — | 16 | 2,819 | 3,302 | 76 | — | 13,594 | 23,912 |
| Corporates | 3,135 | 8,737 | 28,480 | 9,742 | 2,132 | 3,780 | 10,858 | 5,048 | 3,456 | 9,843 | 26,206 | 6,202 | 6,702 | 99 | 1,616 | 6,702 | 1,592 | 15,261 | 149,590 |
| Retail | 1,620 | 30 | 423 | 3 | 20 | 540 | 1,084 | 168 | 500 | 176 | 1,429 | 441 | 335 | — | 134 | 406 | 169 | 232,697 | 240,175 |
| Equity | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
| **Total IRB approach** | **4,755** | **8,802** | **28,944** | **11,060** | **2,795** | **4,357** | **11,986** | **6,181** | **3,956** | **10,057** | **28,618** | **6,643** | **7,053** | **21,315** | **5,055** | **7,184** | **1,761** | **341,950** | **512,472** |
| Central governments or central banks | — | — | — | — | — | — | — | — | — | — | — | — | — | 48,877 | — | — | — | 165,425 | 214,302 |
| Regional governments or local authorities | — | — | — | — | — | — | — | — | — | — | — | — | — | 10,960 | — | — | — | — | 10,960 |
| Public sector entities | — | — | — | 128 | 1 | — | — | 112 | — | — | 92 | — | — | 1,519 | 490 | 36 | — | 6,292 | 8,670 |
| Multilateral development banks | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | 7,209 | 7,209 |
| International organisations | — | — | — | — | — | — | — | — | — | — | — | — | 607 | — | — | — | — | 127 | 734 |
| Institutions | — | — | 3 | — | — | — | — | — | — | — | — | 1 | — | 20 | 1 | 22 | — | 6,036 | 6,083 |
| Corporates | 85 | 1,268 | 6,712 | 1,458 | 273 | 1,265 | 3,914 | 1,626 | 537 | 2,765 | 1,965 | 918 | 4,206 | — | 57 | 552 | 154 | 31,100 | 58,855 |
| Retail | 289 | 23 | 788 | 18 | 50 | 1,819 | 2,228 | 600 | 969 | 611 | 1,017 | 1,215 | 1,070 | — | 175 | 434 | 268 | 90,307 | 101,881 |
| Secured by mortgages on immovable property | 8 | 5 | 21 | — | 9 | 26 | 57 | 4 | 120 | 2 | 926 | 16 | 54 | — | 7 | 41 | 1 | 8,109 | 9,406 |
| Exposures in default | 23 | 83 | 68 | — | 5 | 103 | 179 | 29 | 62 | 90 | 165 | 22 | 123 | — | 5 | 17 | 8 | 879 | 1,861 |
| Items associated with particularly high risk | 12 | 386 | 37 | — | — | — | 12 | 49 | — | 158 | 15 | 6 | 30 | — | — | — | — | 739 | 1,444 |
| Covered bonds | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | 1,886 | 1,886 |
| Claims on institutions and corporate with a short-term credit assessment | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
| Collective investments undertakings(CIU) | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
| Equity exposures | — | — | — | — | — | — | 4 | — | — | — | — | — | — | — | — | — | — | 719 | 723 |
| Other exposures | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | 4,824 | 4,824 |
| **Total standardised approach** | **417** | **1,765** | **7,629** | **1,604** | **338** | **3,213** | **6,394** | **2,420** | **1,688** | **3,626** | **4,180** | **2,178** | **6,090** | **61,376** | **735** | **1,102** | **431** | **323,652** | **428,838** |
| **Total** | **5,172** | **10,567** | **36,573** | **12,664** | **3,133** | **7,570** | **18,380** | **8,601** | **5,644** | **13,683** | **32,798** | **8,821** | **13,143** | **82,691** | **5,790** | **8,286** | **2,192** | **665,602** | **941,310** |

Exposures at default pre-CCF and CRM increased by £25.1bn to £966.5bn. The key movements by industry sector were as follows:
- Public administration and defence, compulsory social security exposures decreased by £9.4bn to £73.3bn primarily due to a change in the Group liquidity pool composition.
- Other services exposures increased by £50.3bn to £715.9bn primarily due to an increase in the Group liquidity pool and increased corporate and retail lending.

---

# Risk and capital position review: Analysis of credit risk continued

### Table 34a: CRB-D - Concentration of exposures by industry for significant subsidiary

| Barclays Bank PLC (As at 31 December 2021) | Agri... (£m) | Mining... (£m) | Manuf... (£m) | Elec... (£m) | Water (£m) | Constr... (£m) | Whole... (£m) | Trans... (£m) | Accom... (£m) | Info... (£m) | Real estate (£m) | Prof... (£m) | Admin... (£m) | Public... (£m) | Educ... (£m) | Human... (£m) | Arts... (£m) | Other (£m) | Total (£m) |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| Central governments or central banks | — | — | — | — | — | — | — | — | — | — | — | — | — | 21,398 | — | — | — | 73,291 | 94,689 |
| Institutions | — | 35 | 46 | 1,039 | 447 | 39 | 45 | 737 | — | — | 1,397 | — | 15 | 3,131 | 3,095 | 60 | — | 7,641 | 17,727 |
| Corporates | 53 | 6,567 | 22,517 | 9,372 | 2,292 | 2,703 | 10,091 | 3,793 | 2,792 | 8,746 | 13,743 | 3,717 | 5,474 | 108 | 1,505 | 5,745 | 1,453 | 13,445 | 114,116 |
| Retail | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | 516 | 516 |
| Equity | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
| **Total IRB approach** | **53** | **6,602** | **22,563** | **10,411** | **2,739** | **2,742** | **10,136** | **4,530** | **2,792** | **8,746** | **15,140** | **3,717** | **5,489** | **24,637** | **4,600** | **5,805** | **1,453** | **94,893** | **227,048** |
| Central governments or central banks | — | — | 163 | — | — | — | — | — | — | — | — | — | — | 23,816 | — | — | — | 92,453 | 116,432 |
| Regional governments or local authorities | — | — | — | — | — | — | — | — | — | — | — | — | — | 744 | — | — | — | — | 744 |
| Public sector entities | — | — | — | 236 | 1 | — | — | 32 | — | — | — | — | — | 475 | 112 | 20 | — | 1,699 | 2,575 |
| Multilateral development banks | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | 3,772 | 3,772 |
| International organisations | — | — | — | — | — | — | — | — | — | — | — | — | 477 | — | — | — | — | — | 477 |
| Institutions | — | — | 4 | — | — | — | — | — | — | — | — | — | — | — | — | — | — | 73,975 | 73,979 |
| Corporates | 11 | 810 | 4,458 | 950 | 117 | 997 | 3,616 | 1,806 | 269 | 2,155 | 3,843 | 543 | 4,809 | — | 157 | 670 | 119 | 132,477 | 157,807 |
| Retail | 71 | 7 | 221 | 4 | 10 | 286 | 390 | 74 | 68 | 162 | 266 | 246 | 221 | — | 41 | 85 | 51 | 416 | 2,619 |
| Secured by mortgages on immovable property | — | 5 | 16 | — | 11 | — | 31 | — | 22 | — | 778 | 1 | 49 | — | — | 12 | 1 | 5,287 | 6,213 |
| Exposures in default | 4 | 14 | 15 | 9 | 1 | 1 | 14 | 38 | — | 18 | 142 | 1 | 423 | — | 16 | 27 | — | 338 | 1,061 |
| Items associated with particularly high risk | — | 1 | 4 | — | — | — | 11 | 49 | — | 132 | — | — | — | — | — | 3 | 60 | 260 |
| Covered bonds | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
| Claims on institutions and corporate with a short-term credit assessment | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
| Collective investments undertakings(CIU) | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
| Equity exposures | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | 2,663 | 2,663 |
| Other exposures | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | 1,512 | 1,512 |
| **Total standardised approach** | **86** | **837** | **4,881** | **1,199** | **140** | **1,284** | **4,062** | **1,999** | **359** | **2,467** | **5,029** | **791** | **5,979** | **25,035** | **326** | **814** | **174** | **314,652** | **370,114** |
| **Total** | **139** | **7,439** | **27,444** | **11,610** | **2,879** | **4,026** | **14,198** | **6,529** | **3,151** | **11,213** | **20,169** | **4,508** | **11,468** | **49,672** | **4,926** | **6,619** | **1,627** | **409,545** | **597,162** |

---

# Risk and capital position review: Analysis of credit risk continued

### Table 34a: CRB-D - Concentration of exposures by industry for significant subsidiary - continued

| Barclays Bank PLC (As at 31 December 2020) | Agri... (£m) | Mining... (£m) | Manuf... (£m) | Elec... (£m) | Water (£m) | Constr... (£m) | Whole... (£m) | Trans... (£m) | Accom... (£m) | Info... (£m) | Real estate (£m) | Prof... (£m) | Admin... (£m) | Public... (£m) | Educ... (£m) | Human... (£m) | Arts... (£m) | Other (£m) | Total (£m) |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| Central governments or central banks | — | — | — | — | — | — | — | — | — | — | — | — | — | 18,369 | — | — | — | 80,322 | 98,691 |
| Institutions | — | 36 | 41 | 1,001 | 599 | 36 | 44 | 961 | — | 38 | 983 | — | 16 | 2,820 | 3,302 | 49 | — | 11,332 | 21,258 |
| Corporates | 72 | 7,405 | 26,160 | 8,350 | 1,999 | 3,343 | 9,781 | 4,571 | 3,071 | 8,391 | 14,862 | 5,831 | 6,468 | 99 | 1,444 | 6,209 | 1,442 | 14,065 | 123,563 |
| Retail | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | 613 | 613 |
| Equity | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
| **Total IRB approach** | **72** | **7,441** | **26,201** | **9,351** | **2,598** | **3,379** | **9,781** | **5,532** | **3,071** | **8,429** | **15,845** | **5,831** | **6,484** | **21,288** | **4,746** | **6,258** | **1,442** | **106,332** | **244,125** |
| Central governments or central banks | — | — | — | — | — | — | — | — | — | — | — | — | — | 27,086 | — | — | — | 75,672 | 102,758 |
| Regional governments or local authorities | — | — | — | — | — | — | — | — | — | — | — | — | — | 687 | — | — | — | — | 687 |
| Public sector entities | — | — | — | 119 | 1 | — | — | 9 | — | — | — | — | — | 1,163 | 117 | 6 | — | 3,142 | 4,557 |
| Multilateral development banks | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | 4,856 | 4,856 |
| International organisations | — | — | — | — | — | — | — | — | — | — | — | — | 487 | — | — | — | — | 116 | 603 |
| Institutions | — | — | 3 | — | — | — | — | — | — | — | — | — | — | — | — | — | — | 66,136 | 66,139 |
| Corporates | 20 | 779 | 4,859 | 1,061 | 125 | 658 | 3,252 | 1,270 | 361 | 2,342 | 1,800 | 586 | 4,796 | — | 47 | 485 | 137 | 118,621 | 141,199 |
| Retail | 69 | 20 | 362 | 12 | 17 | 269 | 485 | 98 | 75 | 217 | 256 | 303 | 319 | — | 60 | 103 | 63 | 987 | 3,715 |
| Secured by mortgages on immovable property | 1 | 5 | 19 | — | 9 | 3 | 39 | 4 | 120 | 2 | 869 | 16 | 54 | — | — | 12 | 1 | 4,735 | 5,888 |
| Exposures in default | 5 | 19 | 24 | — | 1 | 69 | 112 | 15 | 24 | 77 | 118 | 1 | 36 | — | — | 8 | — | 363 | 872 |
| Items associated with particularly high risk | — | 3 | 18 | — | — | — | 11 | 42 | — | 23 | — | — | 3 | — | — | — | — | 35 | 136 |
| Covered bonds | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | 59 | 59 |
| Claims on institutions and corporate with a short-term credit assessment | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
| Collective investments undertakings(CIU) | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
| Equity exposures | — | — | — | — | — | — | 4 | — | — | — | — | — | — | — | — | — | — | 3,008 | 3,012 |
| Other exposures | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | 1,523 | 1,523 |
| **Total standardised approach** | **95** | **826** | **5,285** | **1,192** | **153** | **999** | **3,904** | **1,437** | **580** | **2,661** | **3,043** | **906** | **5,695** | **28,936** | **224** | **614** | **201** | **279,253** | **336,004** |
| **Total** | **167** | **8,267** | **31,486** | **10,543** | **2,751** | **4,378** | **13,729** | **6,969** | **3,651** | **11,090** | **18,888** | **6,737** | **12,179** | **50,224** | **4,970** | **6,872** | **1,643** | **385,585** | **580,129** |

---

# Risk and capital position review: Analysis of credit risk continued

### Table 35: CRB–E - Residual maturity analysis credit exposures

| Barclays Group (As at 31 December 2021) | On Demand (£m) | < = 1 year (£m) | > 1 year < = 5 years (£m) | > 5 years (£m) | No stated maturity (£m) | Total (£m) |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| Central governments or central banks | 73,638 | 2,082 | 10,577 | 8,859 | — | 95,156 |
| Institutions | 4,699 | 4,100 | 7,814 | 4,617 | 41 | 21,271 |
| Corporates | 11,476 | 26,880 | 82,005 | 15,011 | 773 | 136,145 |
| Retail | 59,571 | 1,784 | 14,101 | 165,760 | — | 241,216 |
| Equity | — | — | — | — | — | — |
| **Total IRB approach** | **149,384** | **34,846** | **114,497** | **194,247** | **814** | **493,788** |
| Central governments or central banks | 185,538 | 13,151 | 37,863 | 15,258 | 125 | 251,935 |
| Regional governments or local authorities | 473 | 301 | 1,130 | 7,513 | — | 9,417 |
| Public sector entities | 27 | 1,909 | 2,574 | 1,363 | 1 | 5,874 |
| Multilateral development banks | — | 557 | 2,941 | 1,816 | — | 5,314 |
| International organisations | — | 64 | — | 494 | — | 558 |
| Institutions | 1,052 | 2,706 | 1,589 | 740 | — | 6,087 |
| Corporates | 12,729 | 23,973 | 21,900 | 7,269 | 85 | 65,956 |
| Retail | 94,237 | 768 | 7,697 | 4,312 | — | 107,014 |
| Secured by mortgages on immovable property | — | 1,516 | 2,932 | 5,084 | — | 9,532 |
| Exposures in default | 283 | 1,064 | 1,078 | 395 | 25 | 2,845 |
| Items associated with particularly high risk | — | — | — | — | 1,960 | 1,960 |
| Covered bonds | — | 330 | 331 | 449 | — | 1,110 |
| Claims on institutions and corporate with a short-term credit assessment | — | — | — | — | — | — |
| Collective investments undertakings | — | — | — | — | — | — |
| Equity exposures | — | — | — | — | 851 | 851 |
| Other exposures | — | — | — | 117 | 4,100 | 4,217 |
| **Total standardised approach** | **294,339** | **46,339** | **80,035** | **44,810** | **7,147** | **472,670** |
| **Total** | **443,723** | **81,185** | **194,532** | **239,057** | **7,961** | **966,458** |

---

# Risk and capital position review: Analysis of credit risk continued

### Table 35: CRB–E - Residual maturity analysis credit exposures - continued

| Barclays Group (As at 31 December 2020) | On Demand (£m) | < = 1 year (£m) | > 1 year < = 5 years (£m) | > 5 years (£m) | No stated maturity (£m) | Total (£m) |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| Central governments or central banks | 80,558 | 2,317 | 8,337 | 7,583 | — | 98,795 |
| Institutions | 4,570 | 3,227 | 10,588 | 5,527 | — | 23,912 |
| Corporates | 12,524 | 24,604 | 93,733 | 18,729 | — | 149,590 |
| Retail | 66,201 | 1,550 | 14,596 | 157,828 | — | 240,175 |
| Equity | — | — | — | — | — | — |
| **Total IRB approach** | **163,853** | **31,698** | **127,254** | **189,667** | **—** | **512,472** |
| Central governments or central banks | 141,016 | 32,389 | 21,579 | 19,201 | 117 | 214,302 |
| Regional governments or local authorities | 459 | 140 | 1,223 | 9,138 | — | 10,960 |
| Public sector entities | 33 | 2,302 | 3,412 | 2,923 | — | 8,670 |
| Multilateral development banks | — | 771 | 3,753 | 2,685 | — | 7,209 |
| International organisations | — | — | 231 | 503 | — | 734 |
| Institutions | 644 | 3,421 | 1,657 | 361 | — | 6,083 |
| Corporates | 10,543 | 21,769 | 19,708 | 6,835 | — | 58,855 |
| Retail | 87,692 | 579 | 3,650 | 9,960 | — | 101,881 |
| Secured by mortgages on immovable property | — | 1,632 | 2,853 | 4,921 | — | 9,406 |
| Exposures in default | 353 | 454 | 385 | 669 | — | 1,861 |
| Items associated with particularly high risk | — | — | — | — | 1,444 | 1,444 |
| Covered bonds | — | 379 | 814 | 693 | — | 1,886 |
| Claims on institutions and corporate with a short-term credit assessment | — | — | — | — | — | — |
| Collective investments undertakings | — | — | — | — | — | — |
| Equity exposures | — | — | — | — | 723 | 723 |
| Other exposures | — | — | — | — | 4,824 | 4,824 |
| **Total standardised approach** | **240,740** | **63,836** | **59,265** | **57,889** | **7,108** | **428,838** |
| **Total** | **404,593** | **95,534** | **186,519** | **247,556** | **7,108** | **941,310** |

Exposures at default pre-CCF and CRM increased by £25.1bn to £966.5bn. The key movements by residual maturity were as follows:
- On demand exposures increased £39.1bn to £443.7bn primarily due to an increase in the Group liquidity pool.
- Exposures with residual maturity less than 1 year decreased £14.3bn to £81.2bn primarily due to decrease in bond positions and collaterals placed with the Bank of England.

---

# Risk and capital position review: Analysis of credit risk continued

### Table 35a: CRB-E - Residual maturity analysis of credit exposures for significant subsidiary

| Barclays Bank PLC (As at 31 December 2021) | On Demand (£m) | < = 1 year (£m) | > 1 year < = 5 years (£m) | > 5 years (£m) | No stated maturity (£m) | Total (£m) |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| Central Governments or central banks | 73,210 | 2,043 | 10,577 | 8,859 | — | 94,689 |
| Institutions | 1,725 | 3,742 | 7,650 | 4,569 | 41 | 17,727 |
| Corporates | 10,746 | 22,926 | 72,743 | 7,174 | 527 | 114,116 |
| Retail | — | 422 | 26 | 68 | — | 516 |
| Equity | — | — | — | — | — | — |
| **Total IRB approach** | **85,681** | **29,133** | **90,996** | **20,670** | **568** | **227,048** |
| Central governments or central banks | 87,440 | 8,651 | 8,154 | 12,158 | 29 | 116,432 |
| Regional governments or local authorities | 473 | 2 | 114 | 155 | — | 744 |
| Public sector entities | 27 | 25 | 1,688 | 834 | 1 | 2,575 |
| Multilateral development banks | — | 185 | 1,939 | 1,648 | — | 3,772 |
| International organisations | — | — | — | 477 | — | 477 |
| Institutions | 57,713 | 4,492 | 3,069 | 8,705 | — | 73,979 |
| Corporates | 91,554 | 26,532 | 19,942 | 19,668 | 111 | 157,807 |
| Retail | 2,258 | 57 | 184 | 120 | — | 2,619 |
| Secured by mortgages on immovable property | — | 848 | 2,277 | 3,088 | — | 6,213 |
| Exposures in default | 42 | 556 | 364 | 74 | 25 | 1,061 |
| Items associated with particularly high risk | — | — | — | — | 260 | 260 |
| Covered bonds | — | — | — | — | — | — |
| Claims on institutions and corporate with a short-term credit assessment | — | — | — | — | — | — |
| Collective investments undertakings | — | — | — | — | — | — |
| Equity exposures | — | — | — | — | 2,663 | 2,663 |
| Other exposures | — | — | — | — | 1,512 | 1,512 |
| **Total standardised approach** | **239,507** | **41,348** | **37,731** | **46,927** | **4,601** | **370,114** |
| **Total** | **325,188** | **70,481** | **128,727** | **67,597** | **5,169** | **597,162** |

---

# Risk and capital position review: Analysis of credit risk continued

### Table 35a: CRB-E - Residual maturity analysis of credit exposures for significant subsidiary - continued

| Barclays Bank PLC (As at 3