# Barclays PLC Pillar 3 Report 2022

## Fulfilling our Purpose…

| 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. | |

| and our Values… | | | | |
| :--- | :--- | :--- | :--- | :--- |
| Respect | Service | Stewardship | | |
| Integrity | Excellence | | | |

| influence our strategy… | |
| :--- | :--- |
| Our diversification, built to deliver double-digit returns | + | Strategic priorities to sustain and grow |

| delivered through Group synergies... | |
| :--- | :--- |
| We work as one organisation to create synergies and deliver greater value. | |

| creating positive outcomes for our stakeholders. | | | |
| :--- | :--- | :--- | :--- |
| Customers and clients | Colleagues | | |
| Society | Investors | | |

**Introduction | Risk and capital position review | Barclays’ approach to managing risks | Appendices** | **Barclays PLC Pillar 3 Report 2022 02**

## 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 199 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 | Value (2022) | Value (2021) | Reference |
| :--- | :--- | :--- | :--- |
| Common Equity Tier 1 ratio | 13.9% | 15.1% | (see page 20) |
| UK leverage ratio | 5.3% | 5.2% | (see page 21) |
| Liquidity coverage ratio (period end) | 165% | 168% | (see page 37) |
| Common Equity Tier 1 capital | £46.9bn | £47.3bn | (see page 20) |
| Average UK leverage ratio | 4.8% | 4.9% | (see page 21) |
| Net stable funding ratio | 137% | — | (see page 39) |
| Risk weighted assets | £336.5bn | £314.1bn | (see page 26) |
| Own funds and eligible liabilities ratio as a percentage of RWAs | 33.5% | 34.9% | (see page 33) |

**Introduction | Risk and capital position review | Barclays’ approach to managing risks | Appendices** | **Barclays PLC Pillar 3 Report 2022 05**

▪ The reported CET1 ratio decreased by c.120bps to 13.9% (December 2021: 15.1%) as RWAs increased by £22.4bn to £336.5bn and CET1 capital decreased by £0.4bn to £46.9bn

▪ RWAs increased £22.4bn to £336.5bn primarily resulting from the impact of the appreciation of USD against GBP, increased CIB client activity, regulatory changes and higher CC&P balances including the Gap portfolio acquisition. This was partially offset by a decrease due to the disposal of Barclays’ equity stake in Absa

▪ The UK leverage ratio increased to 5.3% (December 2021: 5.2%) primarily due to a decrease in the leverage exposure of £7.9bn to £1,130.0bn and an increase in Tier 1 Capital of £0.6bn to £60.1bn

▪ Credit impairment net release of £1,220m(2021: £653m net release). The increase in charges reflect macroeconomic deterioration and a gradual increase in delinquencies, partially offset by the utilisation of macroeconomic uncertainty PMAs and the release of COVID-19 related adjustments informed by refreshed scenarios. Total coverage ratio decreased to 1.4% (December 2021: 1.6%) driven by changes in portfolio mix and write-offs. Coverage levels remain strong

▪ The liquidity pool was £318bn (December 2021: £291bn) and the liquidity coverage ratio (LCR) remained significantly above the 100% regulatory requirement at 165% (December 2021: 168%), equivalent to a surplus of £117bn (December 2021: £116bn). The increase in the liquidity pool over the year was driven by continued deposit growth and an increase in wholesale funding, partly offset by an increase in business funding consumption. An increase in net stress outflows and trapped liquidity within Barclays’ subsidiaries led to a modest reduction in the LCR ratio. The Net Stable Funding Ratio (NSFR) (average of last four quarter ends) was 137%, which represents a £155bn surplus above the 100% regulatory requirement.

+ Please see page 94 for a discussion of risk appetite, and page 269 of the annual report for a discussion of material and emerging risks.

**RWAs increased £22.4bn to £336.5bn (December 2021: £314.1bn):**

| Risk Type | 2022 (£bn) | 2021 (£bn) |
| :--- | :--- | :--- |
| Credit risk | 197.3 | 177.9 |
| Counterparty credit risk | 42.0 | 37.6 |
| Market risk | 36.8 | 44.8 |
| Securitisation | 16.6 | 12.1 |
| Operational risk | 43.8 | 41.7 |

| Business Area | 2022 (£bn) | 2021 (£bn) |
| :--- | :--- | :--- |
| Barclays UK | 73.1 | 72.3 |
| Barclays International | 254.8 | 230.9 |
| Head Office | 8.6 | 11.0 |

▪ Credit risk RWAs increased £19.4bn to £197.3bn primarily due to an increase in lending across CIB and CC&P including the Gap portfolio acquisition, FX and regulatory changes primarily relating to IRB roadmap changes, partially offset by the disposal of Barclays’ equity stake in Absa

▪ Counterparty credit risk RWAs increased £4.4bn to £42.0bn primarily due to FX and regulatory changes relating to the introduction of Standardised Approach for Counterparty Credit Risk (SA-CCR), partially offset by derivative mark-to-market movements

▪ Market risk RWAs decreased £7.9bn to £36.8bn primarily driven by a decrease in Stressed Value at Risk (SVaR) model adjustment as a result of changes in portfolio composition, decrease due to client and trading activities and structural FX, partially offset by an increase due to FX

▪ Securitisation RWAs increased £4.5bn to £16.6bn primarily driven by an increase in origination of synthetic securitisation and increased investments in traditional securitisation

• Operational risk RWAs increased £2.1bn to £43.8bn primarily driven by the inclusion of higher 2022 CIB income compared to 2019

▪ Barclays UK RWAs remained stable at £73.1bn

▪ Barclays International RWAs increased £23.9bn to £254.8bn mainly resulting from the impact of the appreciation of USD against GBP, regulatory changes and higher CC&P balances including the Gap portfolio acquisition

▪ Barclays Head Office RWAs decreased £2.4bn to £8.6bn reflecting the disposals of Barclays' equity stake in Absa in April 2022 and September 2022

RWAs for credit (page 44), counterparty credit (page 72), market (page 79), and operational (page 89) risks.

**Introduction | Risk and capital position review | Barclays’ approach to managing risks | Appendices** | **Barclays PLC Pillar 3 Report 2022 06**

## Notes on basis of preparation

### Disclosure Background

Barclays Pillar 3 disclosures complement the Barclays PLC 2022 Annual Report and provide additional information about Barclays’ risk profile, including its regulatory capital, minimum requirements for own funds and eligible liabilities (MREL), RWAs, liquidity and leverage exposures for Barclays Group.

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

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

The disclosures included in this report reflects the Bank’s interpretation of the current rules and guidance.

+ See ‘Application of the Basel framework’ on page 9 for a more detailed description.

### Key changes in the 2022 Pillar 3 Report

#### 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 (PS), from 1 January 2022. 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 implemented changes to Basel standards through PS 22/21 and were implemented from 1 January 2022. The requirements included the introduction of the 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.

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

#### UK Leverage Ratio Framework

From 1 January 2022, UK banks became subject to a single UK leverage ratio requirement meaning that the CRR leverage ratio no longer applies. Under the revised UK leverage ratio framework (UKLRF), central bank claims have been excluded from the UK leverage exposure measure where they are matched by qualifying liabilities (rather than deposits).

#### 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 is required to meet the higher of i) 2 times the sum of 8% Pillar 1 and 4.3% Pillar 2A equating to 24.5% RWAs; 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.

#### Pillar 3 disclosures

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

#### Global Systemically Important Institutions (G-SII) disclosure

PS 22/21 also allows 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 2022 will be published on 30 April 2023 at https://home.barclays/investor-relations/reports-and-events/annual-reports/.

### Future regulatory changes

#### Capital and RWAs

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

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

On 30 November, the PRA published its consultation paper 'Implementation of the Basel 3.1 standards', which covers the remaining parts of the Basel III standards to be implemented in the UK. Changes are expected to come in to force from 1 January 2025, other than those areas subject to transitional provisions.

### 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.

**Introduction | Risk and capital position review | Barclays’ approach to managing risks | Appendices** | **Barclays PLC Pillar 3 Report 2022 07**

### 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 balances and EAD for credit risk, counterparty credit risk and securitisations.

### Policy, validation and sign-off

Throughout the year ended 31 December 2022, 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.

+ See Appendix D for the reference to Barclays’ compliance with the Pillar 3 disclosure requirements.

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 updated Pillar 3 framework within PRA Rulebook and have been prepared in compliance with Barclays’ internal control framework”.

**Anna Cross**
*Group Finance Director*

**Taalib Shaah**
*Chief Risk Officer*

**Introduction | Risk and capital position review | Barclays’ approach to managing risks | Appendices** | **Barclays PLC Pillar 3 Report 2022 08**

## Scope and application of Basel framework

This section explains the scope of application of Basel framework 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 5**
Shows the entities which have a different method of consolidation between accounting and regulatory balance sheets.

**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 8**
Shows how IFRS balances contribute to the regulatory scope of consolidation on a line-by-line basis.

**Introduction | Risk and capital position review | Barclays’ approach to managing risks | Appendices** | **Barclays PLC Pillar 3 Report 2022 09**

## Application of the Basel framework

### Overview

Barclays has applied the Basel framework since its implementation. This is currently implemented in accordance with CRR and CRD requirements and the PRA rulebook.

**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 framework 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 and CRR

#### 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 the 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.

+ See page 44 for more details on capital requirements for credit risk. Also, the Internal Ratings-Based approach to credit risk section on pages 52-61 discusses credit risk modelling in detail.

#### 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 Standardised approach for counterparty credit risk (SA-CCR) used for derivatives, which is the sum of replacement cost at a netting set level plus an add-on (dependent on potential future exposure (PFE)) calculated for each asset class within a netting set, multiplied by a factor stipulated by the regulator called alpha, currently set at 1.4.
▪ The Financial Collateral Comprehensive Method (FCCM), which is the net position of SFT exposures after the application of volatility adjustments prescribed by the CRR.

+ See page 72 for more details on capital requirements for counterparty credit risk exposures.

#### 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.

+ See page 78 for more details on CVA.

**Introduction | Risk and capital position review | Barclays’ approach to managing risks | Appendices** | **Barclays PLC Pillar 3 Report 2022 10**

### 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 CRR and CRD framework, stressed VaR, incremental risk charge and all-price risk models must also be used to ensure that sufficient levels of capital are maintained.

+ See page 79 for more details on capital requirements for market risk.

### 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.

+ See page 83 for more details on capital requirements for securitisation exposures.

### 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.

+ See page 89 for more details on capital requirements for operational risk.

### Calculation of capital for large exposures

As at 31 December 2022, 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.

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.

+ Please see page 371 of the Annual Report for a more complete discussion of prudential developments.

**Introduction | Risk and capital position review | Barclays’ approach to managing risks | Appendices** | **Barclays PLC Pillar 3 Report 2022 11**

### Regulatory capital, leverage and MREL requirements

#### Minimum capital requirements

As at 31 December 2022, the Group’s Overall Capital Requirement for CET1 was 11.3% comprising a 4.5% Pillar 1 minimum, a 2.5% Capital Conservation Buffer (CCB), a 1.5% Global Systemically Important Institution (G-SII) buffer, a 2.4% Pillar 2A requirement and a 0.4% Countercyclical Capital Buffer (CCyB).

The Group’s updated Pillar 2A requirement as per the PRA’s Individual Capital requirement is 4.3% of which at least 56.25% needs to be met with CET1 capital, equating to 2.4% of RWAs. The Pillar 2A requirement, based on a point in time assessment, has been set as a proportion of RWAs and is subject to at least annual review.

The Group’s CET1 target ratio of 13-14% takes into account headroom above requirements which includes a confidential institution specific PRA buffer. The Group remains above its minimum capital regulatory requirements including the PRA buffer.

#### Minimum leverage requirements

The Group is subject to a UK leverage ratio requirement of 4.0%. 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 0.2%. Although the leverage ratio is expressed in terms of Tier 1 (T1) capital, 75% of the minimum requirement, equating to 2.4375%, needs to be met with CET1 capital. In addition, the G-SII ALRB and CCLB must be covered solely with CET1 capital. The CET1 capital held against the 0.53% G-SII ALRB was £5.9bn and against the 0.2% CCLB was £2.3bn.

The Group is also required to disclose an average UK leverage ratio which is based on capital on the last day of each month in the quarter and an exposure measure for each day in the quarter.

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

As at 31 December 2022, the Group was required to meet the higher of: (i) two times the sum of 8% Pillar 1 and 4.3% Pillar 2A equating to 24.5% of RWAs; and (ii) 6.75% of leverage exposures. In addition, the higher of regulatory capital and leverage buffers apply. CET1 capital cannot be counted towards both MREL and the buffers, meaning that the buffers, including the above mentioned confidential institution-specific PRA buffer, will effectively be applied above MREL requirements.

As at 31 December 2022, Barclays PLC (the Parent company) held £112.8bn of own funds and eligible liabilities equating to 33.5% of RWAs. This was in excess of the Group's MREL requirement, excluding the PRA buffer, to hold £97.4bn of own funds and eligible liabilities equating to 28.9% of RWAs. The Group remains above its MREL regulatory requirement including the PRA buffer.

**Introduction | Risk and capital position review | Barclays’ approach to managing risks | Appendices** | **Barclays PLC Pillar 3 Report 2022 12**

### 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 2022. 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 148 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 2022 are Barclays Bank PLC, Barclays Bank UK Group, Barclays Bank Ireland PLC and Barclays Capital Securities Limited. Pillar 3 disclosures are published in standalone documents for above entities as “Barclays Bank PLC Pillar 3 Report”, “Barclays Bank UK PLC Pillar 3 Report”, “Barclays Bank Ireland PLC Pillar 3 report” and “Barclays Capital Securities Limited 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. Refer to the “Barclays Bank PLC Pillar 3” report for further information.

#### 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.

#### Barclays Capital Securities Limited

Barclays Capital Securities Limited is a wholly owned subsidiary of Barclays Bank PLC and is a Private Limited Company domiciled and incorporated in the United Kingdom. It is a PRA designated investment firm. Refer to the “Barclays Capital Securities Limited Pillar 3” report for further information.

**Introduction | Risk and capital position review | Barclays’ approach to managing risks | Appendices** | **Barclays PLC Pillar 3 Report 2022 13**

| Table 1: The scope of the standardised and AIRB approaches for credit and counterparty credit risk excluding CVA | |
| :--- | :--- |
| **Credit risk (see Table 10)** | **Counterparty credit risk excl. CVA (see Tables 10)** |
| **Business as at 31 December 2022** | **RWA £m** | **RWA £m** | **Advanced Internal Ratings Based (AIRB) approach** | **Standardised approach** |
| **Barclays UK** | 61,588 | 167 | ▪ UK managed retail and wholesale portfolios | ▪ Minor legacy retail and wholesale portfolios |
| | | | ▪ UK cards | ▪ Further Education and Local Authority portfolios |
| | | | | ▪ High quality liquidity pool assets |
| | | | | ▪ Barclays Partner Finance |
| | | | | ▪ UK Wealth Portfolio |
| **Barclays International** | 142,806 | 38,603 | ▪ UK and Ireland Corporate portfolio | ▪ High quality liquidity pool assets |
| | | | ▪ Non-EEA high quality liquidity pool assets | ▪ Mainly Non-UK managed retail (including Private Bank) and wholesale portfolios (including legacy) |
| | | | ▪ Most Investment Bank portfolios | ▪ Further Education and Local Authority portfolios |
| | | | ▪ Germany retail credit cards | ▪ US retail credit cards, joint card issuance, partner finance, secure lending, commercial payment and any recent portfolio acquisitions |
| | | | | ▪ European Corporate Portfolio previously in the Corporate Bank |
| | | | | ▪ Certain portfolios typically with low or no defaults, or insufficient historical data |
| **Head Office** | 9,479 | — | ▪ Small number of portfolios (including Italy Home Loans) | ▪ Small number of portfolios (including Equity exposures) |
| **Group Total** | **213,873** | **38,770** | | |

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

**Introduction | Risk and capital position review | Barclays’ approach to managing risks | Appendices** | **Barclays PLC Pillar 3 Report 2022 14**

| Table 2: Summary of the scope of application of regulatory methodologies for CVA, market and operational risk | |
| :--- | :--- |
| **As at 31 December 2022** | **Risk weighted assets** | **Scope** |
| **Credit value adjustment** | 3,226 | 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** | 36,834 | As explained on page 142, 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 11 on page 27 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** | 43,815 | The Group applies TSA for operational risk regulatory capital purposes. |

**Introduction | Risk and capital position review | Barclays’ approach to managing risks | Appendices** | **Barclays PLC Pillar 3 Report 2022 15**

## 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 139.

| Carrying value of items | | | | | | | |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| **As at 31 December 2022** | **Carrying values as reported in published financial statements £m** | **Carrying values under scope of regulatory consolidation$^a$ £m** | **Subject to the credit risk framework £m** | **Subject to the CCR framework £m** | **Subject to the securitisation framework$^b$ £m** | **Subject to the market risk framework £m** | **Not subject to capital requirements or subject to deduction from own funds £m** |
| **Assets** | | | | | | | |
| Cash and balances at central banks | 256,351 | 256,288 | 256,288 | — | — | — | — |
| Cash collateral and settlement balances | 112,597 | 111,961 | 15,285 | 48,553 | — | — | 48,123 |
| Loans and advances at amortised cost | 398,779 | 390,226 | 343,173 | — | 47,054 | — | — |
| Reverse repurchase agreements and other similar secured lending | 776 | 776 | — | 776 | — | — | — |
| Trading portfolio assets | 133,813 | 137,160 | 7,995 | — | — | 129,165 | — |
| Financial assets at fair value through the income statement | 213,568 | 211,823 | 11,255 | 192,276 | 727 | 199,842 | — |
| Derivative financial instruments | 302,380 | 301,931 | — | 301,782 | 150 | 295,046 | — |
| Financial assets at fair value through other comprehensive income | 65,062 | 65,148 | 64,816 | — | 331 | — | — |
| Investments in subsidiaries, associates and joint ventures | 922 | 37 | 37 | — | — | — | — |
| Goodwill and intangible assets | 8,239 | 8,266 | — | — | — | — | 8,266 |
| Property, plant and equipment | 3,616 | 3,618 | 3,618 | — | — | — | — |
| Current tax assets | 385 | 385 | 385 | — | — | — | — |
| Deferred tax assets | 6,991 | 6,990 | 6,990 | — | — | — | — |
| Retirement benefit assets | 4,743 | 4,743 | — | — | — | — | 4,743 |
| Other assets | 5,477 | 6,069 | 6,069 | — | — | — | — |
| **Total assets** | **1,513,699** | **1,505,421** | **715,910** | **543,387** | **48,262** | **624,052** | **61,132** |
| **Liabilities$^c$** | | | | | | | |
| Deposits at amortised cost | 545,782 | 545,781 | — | — | — | — | 545,782 |
| Cash collateral and settlement balances | 96,927 | 96,086 | — | 73,906 | — | — | 22,180 |
| Repurchase agreements and other similar | 27,052 | 27,052 | — | 3,563 | — | — | 23,489 |
| Debt securities in issue | 112,881 | 102,081 | — | — | — | — | 102,081 |
| Subordinated liabilities | 11,423 | 11,423 | — | — | — | — | 11,423 |
| Trading portfolio liabilities | 72,924 | 75,024 | — | — | — | 74,287 | 737 |
| Financial liabilities designated at fair value | 271,637 | 270,650 | — | 217,364 | — | 264,657 | 5,993 |
| Derivative financial instruments | 289,620 | 289,327 | — | 286,373 | 607 | 280,543 | 2,346 |
| Current tax liabilities | 580 | 581 | — | — | — | — | 581 |
| Deferred tax liabilities | 16 | 16 | — | — | — | — | 16 |
| Retirement benefit liabilities | 264 | 264 | — | — | — | — | 264 |
| Other liabilities | 13,789 | 16,362 | — | — | — | — | 16,362 |
| Provisions | 1,544 | 1,579 | — | — | — | — | 1,579 |
| **Total liabilities** | **1,444,439** | **1,436,226** | **—** | **581,206** | **607** | **619,487** | **732,834** |

**Notes**
The following points should be considered in conjunction with table LI1:
$^a$ The balances shown in column “Carrying values under the scope of regulatory consolidation” do not equal the sum of those in the columns relating to the regulatory framework, as certain assets can be in scope for more than one regulatory framework. As such, assets included in line items for “Financial assets at fair value through the income statement”, and “Derivative financial instruments”, can be subject to credit risk, counterparty credit risk and market risk.
$^b$ The column “subject to securitisation framework” includes non-trading book drawn positions for traditional and synthetic. Trading book securitisation positions are included in “subject to the market risk framework”.
$^c$ For liabilities, balances shown in column “Not subject to capital requirements or subject to deduction from capital” are residual amount so that “Carrying values under the scope of regulatory consolidation” equal to the sum of those in the columns relating to the regulatory framework.

**Introduction | Risk and capital position review | Barclays’ approach to managing risks | Appendices** | **Barclays PLC Pillar 3 Report 2022 16**

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

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

Off-balance-sheet amounts: Under the credit risk framework, these balances principally consist of undrawn credit facilities before application of credit conversion factors (CCF). Under the counterparty credit risk framework, the off balance sheet items principally consist of the exposure due to collateral posted in SFTs.

Difference in netting rules: This reflects the additional benefits allowed per regulatory rules over and above the netting permitted under International Accounting Standards (IAS).

Differences due to consideration of provisions: The carrying value of assets is net of impairment. The regulatory exposure calculated under AIRB approach adds back the impairment.

Differences due to credit risk mitigation: Impact of the credit risk mitigation such as guarantees, collaterals to the regulatory exposure values.

Differences due to credit conversion factor: Impact of the CCF on the off balance sheet exposure.

Differences due to securitisation with risk transfer: This reflects the exposures of synthetic securitisation trades which are derecognised as per accounting standard.

Other Differences: This reflects the difference between assets carrying values as defined per IFRS and the values defined per regulatory reporting purposes.

Differences due to regulatory add-ons: this reflects regulatory add-ons relevant to the standardised approach to counterparty credit risk (CCR), such as potential future add on (PFE) and Financial Collateral Comprehensive Method (FCCM) haircuts.

Difference between input balance and modelled regulatory output: This reflects the modelling of exposures, such as the use of the internal model method (IMM) for CCR.

| Total | Items subject to | | | |
| :--- | :--- | :--- | :--- | :--- |
| **As at 31 December 2022** | **Credit risk framework £m** | **Securitisation framework £m** | **CCR framework £m** | **Market risk framework £m** |
| 1 Assets carrying value amount under the scope of regulatory consolidation (as per template LI1) | 1,307,559 | 715,910 | 48,262 | 543,387 | 624,052 |
| 2 Liabilities carrying value amount under the regulatory scope of consolidation (as per template LI1) | (581,813) | — | (607) | (581,206) | (619,487) |
| 3 Total net amount under the regulatory scope of consolidation | 725,746 | 715,910 | 47,655 | (37,819) | 4,565 |
| 4 Off-balance-sheet amounts | 1,233,418 | 358,266 | 9,528 | 865,624 | — |
| 5 Differences in valuations | — | — | — | — | — |
| 6 Differences due to different netting rules, other than those already included in row 2 | (752,934) | — | — | (752,934) | — |
| 7 Differences due to consideration of provisions | 2,646 | 2,646 | — | — | — |
| 8 Differences due to the use of credit risk mitigation techniques (CRMs) | (21,363) | (21,098) | (265) | — | — |
| 9 Differences due to credit conversion factors | (211,401) | (211,401) | — | — | — |
| 10 Differences due to Securitisation with risk transfer | 28,023 | — | 28,023 | — | — |
| 11 Other differences | (2,423) | (2,575) | 127 | 25 | — |
| 11a Differences due to Regulatory add-ons | 16,022 | — | — | 16,022 | — |
| 11b Differences between input balance and modelled regulatory output | 59,660 | — | 536 | 59,124 | — |
| 12 Exposure amounts considered for regulatory purposes | **1,077,394** | **841,748** | **85,604** | **150,042** | **—** |

**Introduction | Risk and capital position review | Barclays’ approach to managing risks | Appendices** | **Barclays PLC Pillar 3 Report 2022 17**

**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 | | | | | |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| | | **Full consolidation** | **Proportional consolidation** | **Equity Method** | **Neither consolidated nor deduct$^a$** | **Deducted** | **Description of the entity** |
| 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 compulsory social security |
| Salisbury Receivables Company LLC | Fully consolidated | Y | | | | | Financial service activities, except insurance and pension funding |
| Barclays Insurance US Inc. | Fully consolidated | Y | | | | | Insurance, reinsurance and pension funding, except compulsory 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 |
| Sunderland Receivables SA | Fully consolidated | Y | | | | | Financial service activities, except insurance and pension funding |
| Crescent Legacy 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.

**Introduction | Risk and capital position review | Barclays’ approach to managing risks | Appendices** | **Barclays PLC Pillar 3 Report 2022 18**

## Analysis of treasury and capital risk

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

### Key Metrics in 2022

| Metric | Value (2022) | Reference |
| :--- | :--- | :--- |
| Common Equity Tier 1 ratio | 13.9% | (see page 20) |
| UK leverage ratio | 5.3% | (see page 21) |
| Liquidity Coverage ratio (period end) | 165% | (see page 37) |
| Own funds and eligible liabilities ratio as a percentage of RWAs | 33.5% | (see page 33) |
| Average UK leverage ratio | 4.8% | (see page 21) |
| Net stable funding ratio | 137% | (see page 39) |

Credit risk RWAs increased £19.4bn to £197.3bn primarily due to an increase in lending across CIB and CC&P including the Gap portfolio acquisition, FX and regulatory changes primarily relating to IRB roadmap changes, partially offset by the disposal of Barclays’ equity stake in Absa.

**Introduction | Risk and capital position review | Barclays’ approach to managing risks | Appendices** | **Barclays PLC Pillar 3 Report 2022 19**

**Table 6: KM1 - Key metrics - Part 1**

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

| KM1 | As at 31.12.22 £m | As at 30.09.22 £m | As at 30.06.22 £m | As at 31.03.22 £m | Restated$^a$ As at 31.12.21 £m |
| :--- | :--- | :--- | :--- | :--- | :--- |
| **Available own funds (amounts)** | | | | | |
| 1 Common Equity Tier 1 (CET1) capital$^b$ | 46,878 | 48,574 | 46,691 | 45,269 | 47,327 |
| 1a Fully loaded common Equity Tier 1 (CET1) capital$^c$ | 46,178 | 47,815 | 46,049 | 44,668 | 46,098 |
| 2 Tier 1 capital$^b,d$ | 60,102 | 61,784 | 58,988 | 56,328 | 60,143 |
| 2a Fully loaded tier 1 capital$^c,e$ | 59,402 | 61,025 | 58,346 | 55,727 | 58,277 |
| 3 Total capital$^b,d$ | 70,072 | 71,324 | 68,620 | 66,140 | 69,882 |
| 3a Fully loaded total capital$^c,e$ | 68,653 | 69,747 | 67,142 | 64,672 | 67,909 |
| **Risk-weighted exposure amounts** | | | | | |
| 4 Total risk-weighted exposure amount$^b$ | 336,518 | 350,774 | 344,516 | 328,830 | 314,136 |
| 4a Fully loaded total risk-weighted exposure amount$^c$ | 336,345 | 350,532 | 344,284 | 328,646 | 313,876 |
| **Capital ratios (as a percentage of risk-weighted exposure amount)** | | | | | |
| 5 Common Equity Tier 1 ratio ($\%$) $^b$ | 13.9% | 13.8% | 13.6% | 13.8% | 15.1% |
| 5a Fully loaded common Equity Tier 1 ratio ($\%$) $^c$ | 13.7% | 13.6% | 13.4% | 13.6% | 14.7% |
| 6 Tier 1 ratio ($\%$) $^b,d$ | 17.9% | 17.6% | 17.1% | 17.1% | 19.1% |
| 6a Fully loaded tier 1 ratio ($\%$) $^c,e$ | 17.7% | 17.4% | 16.9% | 17.0% | 18.6% |
| 7 Total capital ratio ($\%$) $^b,d$ | 20.8% | 20.3% | 19.9% | 20.1% | 22.2% |
| 7a Fully loaded total capital ratio ($\%$) $^c,e$ | 20.4% | 19.9% | 19.5% | 19.7% | 21.6% |
| **Additional own funds requirements based on SREP (as a percentage of risk weighted exposure amount)** | | | | | |
| UK 7a Additional CET1 SREP requirements ($\%$) | 2.4% | 2.4% | 2.4% | 2.5% | — |
| UK 7b Additional AT1 SREP requirements ($\%$) | 0.8% | 0.8% | 0.8% | 0.8% | — |
| UK 7c Additional T2 SREP requirements ($\%$) | 1.1% | 1.0% | 1.1% | 1.1% | — |
| UK 7d Total SREP own funds requirements ($\%$) | 12.3% | 12.2% | 12.2% | 12.4% | — |
| **Combined buffer requirement (as a percentage of risk-weighted exposure amount)** | | | | | |
| 8 Capital conservation buffer ($\%$) | 2.5% | 2.5% | 2.5% | 2.5% | 2.5% |
| 9 Institution specific countercyclical capital buffer ($\%$) | 0.4% | 0.0% | 0.0% | 0.0% | 0.0% |
| 10 Global Systemically Important Institution buffer ($\%$) | 1.5% | 1.5% | 1.5% | 1.5% | 1.5% |
| 11 Combined buffer requirement ($\%$) | 4.4% | 4.0% | 4.0% | 4.0% | 4.0% |
| UK 11a Overall capital requirements ($\%$) | 16.7% | 16.2% | 16.2% | 16.4% | — |
| 12 CET1 available after meeting the total SREP own funds requirements ($\%$) | 7.0% | 7.0% | 6.7% | 6.8% | — |

**Notes**
$^a$. Capital metrics as at 31 December 2021 have been restated. More details are available in the Barclays 2022 Results Announcement on page 56.
$^b$. Transitional capital and RWAs are calculated applying the IFRS 9 transitional arrangements of the CRR as amended by CRR II.
$^c$. Fully loaded capital and RWAs are calculated without applying the IFRS 9 transitional arrangements of the CRR as amended by CRR II.
$^d$. Transitional Tier 1 and Total capital are calculated applying the grandfathering of CRR II non-compliant capital instruments. Prior year comparatives include the grandfathering of CRR non-compliant capital instruments.
$^e$. Fully loaded Tier 1 and Total capital are calculated without applying the grandfathering of CRR II non-compliant capital instruments.

The reported CET1 ratio decreased by c.120bps to 13.9% (December 2021: 15.1%) as RWAs increased by £22.4bn to £336.5bn and CET1 capital decreased by £0.4bn to £46.9bn
▪ c.150bps increase from 2022 attributable profit
▪ c.80bps returned to shareholders including the 2.25p half year dividend paid in September 2022, £1.5bn of share buybacks announced with FY21 and H122 results and a FY22 dividend accrual
▪ c.80bps reduction due to the impact of regulatory change on 1 January 2022 as CET1 capital decreased £1.7bn and RWAs increased £6.6bn
▪ c.70bps reduction from decreases in the fair value of the bond portfolio through other comprehensive income and other capital deductions
▪ c.40bps reduction due to pension contributions, including the accelerated cash settlement to the UK Retirement Fund (UKRF) of earlier deficit reduction contributions and deficit reduction payments made in 2022
▪ A £14.1bn increase in RWAs as a result of foreign exchange movements was broadly offset by a £2bn increase in the currency translation reserve

**Introduction | Risk and capital position review | Barclays’ approach to managing risks | Appendices** | **Barclays PLC Pillar 3 Report 2022 20**

**Table 6: KM1 - Key metrics - Part 2**

| KM1 | As at 31.12.22 £m | As at 30.09.22 £m | As at 30.06.22 £m | As at 31.03.22 £m | Restated$^a$ As at 31.12.21 £m |
| :--- | :--- | :--- | :--- | :--- | :--- |
| **Leverage ratio** | | | | | |
| 13 Total exposure measure excluding claims on central banks$^b$ | 1,129,973 | 1,232,105 | 1,151,214 | 1,123,531 | 1,137,904 |
| 14 Leverage ratio excluding claims on central banks ($\%$) $^b$ | 5.3% | 5.0% | 5.1% | 5.0% | 5.2% |
| **Additional leverage ratio disclosure requirements** | | | | | |
| UK 14a Fully loaded ECL accounting model leverage ratio excluding claims on central banks ($\%$) $^c$ | 5.3% | 5.0% | 5.1% | 5.0% | — |
| UK 14b Leverage ratio including claims on central banks ($\%$) $^b$ | 4.3% | 4.1% | 4.1% | 4.1% | — |
| UK 14c Average leverage ratio excluding claims on central banks ($\%$) $^a,b,d$ | 4.8% | 4.8% | 4.7% | 4.8% | 4.9% |
| UK 14d Average leverage ratio including claims on central banks ($\%$) $^b,d$ | 3.9% | 4.0% | 3.9% | 4.0% | — |
| UK 14e Countercyclical leverage ratio buffer ($\%$) | 0.2% | 0.0% | 0.0% | 0.0% | — |
| **Liquidity Coverage Ratio** | | | | | |
| 15 Total high-quality liquid assets (HQLA) (Weighted value)$^e$ | 320,450 | 319,177 | 308,489 | 300,538 | 293,556 |
| UK 16a Cash outflows - Total weighted value | 283,445 | 278,887 | 269,331 | 260,731 | 256,986 |
| UK 16b Cash inflows - Total weighted value | 77,389 | 74,794 | 72,972 | 72,251 | 73,330 |
| 16 Total net cash outflows (adjusted value)$^e$ | 206,056 | 204,093 | 196,359 | 188,480 | 183,656 |
| 17 Liquidity coverage ratio ($\%$) $^f$ | 156% | 156% | 157% | 159% | 160% |
| 17a Liquidity coverage ratio ($\%$) (Period-end) | 165% | 151% | 156% | 159% | 168% |
| **Net Stable Funding Ratio$^g$** | | | | | |
| 18 Total available stable funding | 576,491 | | | | |
| 19 Total required stable funding | 420,889 | | | | |
| 20 NSFR ratio ($\%$) | 137% | | | | |

**Notes**
$^a$. Capital and leverage metrics as at 31 December 2021 have been restated. More details are available in the Barclays 2022 Results Announcement on page 56.
$^b$. Transitional UK leverage ratios are calculated applying the IFRS 9 transitional arrangements of the CRR as amended by CRR II.
$^c$. Fully loaded UK leverage ratio is calculated without applying the IFRS9 transitional arrangements of the CRR as amended by CRR II.
$^d$. 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.
$^e$. Prior period comparatives have been updated to reflect the average measures as amended by CRR II.
$^f$. Liquidity coverage ratio computed as a trailing average of 12 month-end observations to the reporting date.
$^g$. Net Stable Funding Ratio is computed as a trailing average of the last four spot quarter end positions. No prior comparative available.

The UK leverage ratio increased to 5.3% (December 2021: 5.2%) primarily due to a £7.9bn decrease in the leverage exposure and a £0.6bn increase in Tier 1 capital. The UK leverage exposure decreased to £1,130.0bn (December 2021: £1,137.9bn) largely due to the following movements:
▪ £53.1bn decrease in PFE on derivatives largely driven by increased netting eligibility due to the introduction of SA-CCR
▪ £42.0bn decrease in cash at central banks net of the qualifying central bank claims exemption primarily due to the matching of allowable liabilities rather than deposits introduced under the UK leverage ratio framework and a decrease in Swiss Franc cash assets
▪ £33.0bn increase in loans and advances and other assets (excluding cash and settlement balances which are subject to regulatory exemptions) primarily due to increased lending
▪ £29.5bn increase in derivative financial instruments post additional regulatory netting and adjustments for cash collateral primarily driven by market volatility, increased activity in CIB and the application of a 1.4 multiplier introduced under SA-CCR
▪ £18.4bn increase in SFTs primarily driven by increased reverse repurchase activity in CIB

The average UK leverage ratio decreased to 4.8% (December 2021: 4.9%) due to a £51.9bn increase in average leverage exposure partially offset by a £1.1bn increase in average T1 capital. The average UK leverage exposure increased to £1,281.0bn (December 2021: £1,229.0bn) mainly driven by increased activity during the year that was partially offset by the impact of regulatory changes that came into effect from 1 January 2022 under the UK leverage ratio framework.

The average LCR for the 12 months to 31 December 2022 decreased to 156% (December 2021: 160%), with average HQLA increasing by £27bn and average net cash outflows increasing by £22bn.

**Introduction | Risk and capital position review | Barclays’ approach to managing risks | Appendices** | **Barclays PLC Pillar 3 Report 2022 21**

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

This table shows the components of regulatory capital presented on both a transitional and fully loaded basis as at 31 December 2022.

| Ref$\dagger$ | Common Equity Tier 1 (CET1) capital: instruments and reserves | Transitional Position £m | Fully Loaded Position £m |
| :--- | :--- | :--- | :--- |
| 1 | Capital instruments and the related share premium accounts | 4,373 | 4,373 |
| | of which called up share capital and share premium | 4,373 | 4,373 |
| 2 | Retained earnings$^b$ | 48,179 | 48,179 |
| 3 | Accumulated other comprehensive income (and other reserves)$^c$ | (2,164) | (2,164) |
| UK-5a | Independently reviewed interim profits net of any foreseeable charge or dividend$^b$ | 4,200 | 4,200 |
| 6 | **Common Equity Tier 1 (CET1) capital before regulatory adjustments** | **54,588** | **54,588** |
| | **Common Equity Tier 1 (CET1) capital: regulatory adjustments** | | |
| 7 | Additional value adjustments | (1,726) | (1,726) |
| 8 | Intangible assets (net of related tax liability)$^{d, e, f, g, a}$ | (8,224) | (8,224) |
| 10 | Deferred tax assets that rely on future profitability excluding those arising from temporary differences (net of related tax liability where the conditions in Article 38 (3) CRR are met)$^h$ | (1,500) | (1,500) |
| 11 | Fair value reserves related to gains or losses on cash flow hedges of financial instruments that are not valued at fair value$^i$ | 7,237 | 7,237 |
| 12 | Negative amounts resulting from the calculation of expected loss amounts | (119) | (119) |
| 14 | Gains or losses on liabilities valued at fair value resulting from changes in own credit standing$^j$ | (620) | (620) |
| 15 | Defined-benefit pension fund assets$^k, g, a$ | (3,430) | (3,430) |
| 16 | Direct, indirect and synthetic holdings by an institution of own CET1 instruments | (20) | (20) |
| 27a | Other regulatory adjustments to CET1 capital (including IFRS 9 transitional adjustments when relevant)$^b$ | 692 | (8) |
| 28 | **Total regulatory adjustments to Common Equity Tier 1 (CET1)** | **(7,710)** | **(8,410)** |
| 29 | **Common Equity Tier 1 (CET1) capital** | **46,878** | **46,178** |
| | **Additional Tier 1 (AT1) capital: instruments** | | |
| 30 | Capital instruments and the related share premium accounts$^l$ | 13,284 | 13,284 |
| 31 | of which: classified as equity under applicable accounting standards$^l$ | 13,284 | 13,284 |
| 36 | **Additional Tier 1 (AT1) capital before regulatory adjustments** | **13,284** | **13,284** |
| | **Additional Tier 1 (AT1) capital: regulatory adjustments** | | |
| 37 | Direct, indirect and synthetic holdings by an institution of own AT1 instruments | (60) | (60) |
| 43 | **Total regulatory adjustments to Additional Tier 1 (AT1) capital** | **(60)** | **(60)** |
| 44 | **Additional Tier 1 (AT1) capital** | **13,224** | **13,224** |
| 45 | **Tier 1 capital (T1 = CET1 + AT1)** | **60,102** | **59,402** |
| | **Tier 2 (T2) capital: instruments** | | |
| 46 | Capital instruments and the related share premium accounts$^m$ | 9,000 | 9,000 |
| UK-47b | Amount of qualifying items referred to in Article 494b (2) CRR subject to phase out from T2 | — | — |
| 48 | Qualifying own funds instruments included in consolidated T2 capital (including minority interests and AT1 instruments not included in rows 5 or 34) issued by subsidiaries and held by third parties$^m, n$ | 1,095 | 343 |
| 50 | Credit risk adjustments | 35 | 68 |
| 51 | **Tier 2 (T2) capital before regulatory adjustments** | **10,130** | **9,411** |

**Notes**
$\dagger$ The references (a) – (n) identify balance sheet components in Table 8: CC2 – Reconciliation of regulatory capital to balance sheet on page 24 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.
$^b$. Other regulatory adjustments to CET1 capital includes IFRS 9 transitional adjustments of which static £319m, of which modified £381m.
$^c$. Row 48 includes £911m of T2 instruments issued by subsidiaries and subject to phase out from T2 under Article 494b(2). They are not reported in row UK-47b to avoid double counting with row 48.

**Introduction | Risk and capital position review | Barclays’ approach to managing risks | Appendices** | **Barclays PLC Pillar 3 Report 2022 22**

**Table 7: CC1 – Composition of regulatory own funds – continued**

| Ref$\dagger$ | Tier 2 (T2) capital: regulatory adjustments | Transitional Position £m | Fully Loaded Position £m |
| :--- | :--- | :--- | :--- |
| 52 | Direct, indirect and synthetic holdings by an institution of own T2 instruments and subordinated loans | (160) | (160) |
| 57 | **Total regulatory adjustments to Tier 2 (T2) capital** | **(160)** | **(160)** |
| 58 | **Tier 2 (T2) capital** | **9,970** | **9,251** |
| 59 | **Total capital (TC = T1 + T2)** | **70,072** | **68,653** |
| 60 | **Total Risk exposure amount** | **336,518** | **336,345** |
| | **Capital ratios and buffers** | | |
| 61 | Common Equity Tier 1 (as a percentage of total risk exposure amount) | 13.9% | 13.7% |
| 62 | Tier 1 (as a percentage of total risk exposure amount) | 17.9% | 17.7% |
| 63 | Total capital (as a percentage of total risk exposure amount) | 20.8% | 20.4% |
| 64 | Institution CET1 overall capital requirement (CET1 requirement in accordance with Article 92 (1) CRR, plus additional CET1 requirement which the institution is required to hold in accordance with point (a) of Article 104(1) CRD, plus combined buffer requirement in accordance with Article 128(6) CRD) expressed as a percentage of risk exposure amount) | 11.3% | 11.3% |
| 65 | of which: capital conservation buffer requirement | 2.5% | 2.5% |
| 66 | of which: countercyclical buffer requirement | 0.4% | 0.4% |
| UK-67a | of which: Global Systemically Important Institution (G-SII) or Other Systemically Important Institution (O-SII) buffer | 1.5% | 1.5% |
| 68 | **Common Equity Tier 1 available to meet buffers (as a percentage of risk exposure amount)** | **7.0%** | **6.8%** |
| | **Amounts below the thresholds for deduction (before risk weighting)** | | |
| 72 | Direct and indirect holdings of own funds and eligible liabilities of financial sector entities where the institution does not have a significant investment in those entities (amount below 10% threshold and net of eligible short positions) | 2,187 | 2,187 |
| 73 | Direct and indirect holdings by the institution of the CET1 instruments of financial sector entities where the institution has a significant investment in those entities (amount below 17.65% thresholds and net of eligible short positions) | 136 | 136 |
| 75 | Deferred tax assets arising from temporary differences (amount below 17,65% threshold, net of related tax liability where the conditions in Article 38 (3) CRR are met) | 3,835 | 4,035 |
| | **Applicable caps on the inclusions of provisions in Tier 2** | | |
| 78 | Credit risk adjustments included in T2 in respect of exposures subject to internal ratings-based approach (prior to the application of the cap) | 35 | 68 |
| 79 | Cap for inclusion of credit risk adjustments in T2 under internal ratings-based approach | 912 | 915 |

**Introduction | Risk and capital position review | Barclays’ approach to managing risks | Appendices** | **Barclays PLC Pillar 3 Report 2022 23**

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

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

| As at 31 December 2022 | Balance sheet as in published financial statements £m | Under regulatory scope of consolidation £m |
| :--- | :--- | :--- |
| **Assets Ref$\dagger$** | | |
| 1 Cash and balances at central banks | 256,351 | 256,288 |
| 2 Cash collateral and settlement balances | 112,597 | 111,961 |
| 3 Loans and advances at amortised cost | 398,779 | 390,227 |
| 4 Reverse repurchase agreements and other similar secured lending | 776 | 776 |
| 5 Trading portfolio assets | 133,813 | 137,160 |
| 6 Financial assets at fair value through the income statement | 213,568 | 211,823 |
| 7 Derivative financial instruments | 302,380 | 301,931 |
| 8 Financial assets at fair value through other comprehensive income | 65,062 | 65,148 |
| 9 Investments in subsidiaries, associates and joint ventures$^e$ | 922 | 37 |
| 10 Goodwill and intangible assets | 8,239 | 8,266 |
| 11 - Of which: goodwill$^d$ | 3,912 | 3,938 |
| 12 - Of which: other intangibles (excluding MSRs)$^f$ | 4,327 | 4,328 |
| 13 Property, plant and equipment | 3,616 | 3,618 |
| 14 Current tax assets | 385 | 385 |
| 15 Deferred tax assets$^{g, h}$ | 6,991 | 6,990 |
| 16 Retirement benefit assets$^k$ | 4,743 | 4,743 |
| 17 Other assets | 5,477 | 6,068 |
| **18 Total assets** | **1,513,699** | **1,505,421** |
| **Liabilities** | | |
| 1 Deposits at amortised cost | 545,782 | 545,782 |
| 2 Cash collateral and settlement balances | 96,927 | 96,086 |
| 3 Repurchase agreements and other similar secured borrowing | 27,052 | 27,052 |
| 4 Debt securities in issue | 112,881 | 102,081 |
| 5 Subordinated liabilities$^m$ | 11,423 | 11,423 |
| 6 Trading portfolio liabilities | 72,924 | 75,024 |
| 7 Financial liabilities designated at fair value | 271,637 | 270,650 |
| 8 Derivative financial instruments | 289,620 | 289,327 |
| 9 Current tax liabilities | 580 | 581 |
| 10 Deferred tax liabilities$^g$ | 16 | 16 |
| 11 Retirement benefit liabilities | 264 | 264 |
| 12 Other liabilities | 13,789 | 16,361 |
| 13 Provisions | 1,544 | 1,579 |
| **14 Total liabilities** | **1,444,439** | **1,436,226** |
| **Equity** | | |
| 1 Called up share capital and share premium | 4,373 | 4,373 |
| 2 - Of which: amount eligible for CET1$^a$ | 4,373 | 4,373 |
| 3 Other equity instruments$^l$ | 13,284 | 13,284 |
| 4 Other reserves$^{c, i, j}$ | (2,192) | (2,167) |
| 5 Retained earnings$^b$ | 52,827 | 52,737 |
| 6 Total equity excluding non-controlling interests | 68,292 | 68,227 |
| 7 Non-controlling interests$^n$ | 968 | 968 |
| **8 Total equity** | **69,260** | **69,195** |
| **9 Total liabilities and equity** | **1,513,699** | **1,505,421** |

**Note**
$\dagger$ 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 22.

**Introduction | Risk and capital position review | Barclays’ approach to managing risks | Appendices** | **Barclays PLC Pillar 3 Report 2022 24**

**Table 9: IFRS 9$^a$/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 CRR$^2b$**

| Barclays Group | As at 31.12.22 £m | As at 30.09.22 £m | As at 30.06.22 £m | As at 31.03.22 £m | Restated$^c$ As at 31.12.21 £m |
| :--- | :--- | :--- | :--- | :--- | :--- |
| **Available capital (amounts)** | | | | | |
| 1 CET1 capital$^d$ | 46,878 | 48,574 | 46,691 | 45,269 | 47,327 |
| 2 CET1 capital as if IFRS 9 or analogous ECLs transitional arrangements had not been applied | 46,178 | 47,815 | 46,049 | 44,668 | 46,098 |
| 3 Tier 1 capital$^e$ | 60,102 | 61,784 | 58,988 | 56,328 | 60,143 |
| 4 Tier 1 capital as if IFRS 9 or analogous ECLs transitional arrangements had not been applied | 59,402 | 61,025 | 58,346 | 55,727 | 58,914 |
| 5 Total capital$^d$ | 70,072 | 71,324 | 68,620 | 66,140 | 69,882 |
| 6 Total capital as if IFRS 9 or analogous ECLs transitional arrangements had not been applied | 69,405 | 70,565 | 68,011 | 65,578 | 68,982 |
| **Risk-weighted assets (amounts)** | | | | | |
| 7 Total risk-weighted assets$^d$ | 336,518 | 350,774 | 344,516 | 328,830 | 314,136 |
| 8 Total risk-weighted assets as if IFRS 9 or analogous ECLs transitional arrangements had not been applied | 336,345 | 350,532 | 344,284 | 328,646 | 313,876 |
| **Capital ratios** | | | | | |
| 9 CET1 (as a percentage of risk exposure amount)$^d$ | 13.9% | 13.8% | 13.6% | 13.8% | 15.1% |
| 10 CET1 (as a percentage of risk exposure amount) as if IFRS 9 or analogous ECLs transitional arrangements had not been applied | 13.7% | 13.6% | 13.4% | 13.6% | 14.7% |
| 11 Tier 1 (as a percentage of risk exposure amount)$^{d,e}$ | 17.9% | 17.6% | 17.1% | 17.1% | 19.1% |
| 12 Tier 1 (as a percentage of risk exposure amount) as if IFRS 9 or analogous ECLs transitional arrangements had not been applied | 17.7% | 17.4% | 16.9% | 17.0% | 18.8% |
| 13 Total capital (as a percentage of risk exposure amount)$^{d,e}$ | 20.8% | 20.3% | 19.9% | 20.1% | 22.2% |
| 14 Total capital (as a percentage of risk exposure amount) as if IFRS 9 or analogous ECLs transitional arrangements had not been applied | 20.6% | 20.1% | 19.8% | 20.0% | 22.0% |
| **Leverage ratio** | | | | | |
| 15 Leverage ratio total exposure measure | 1,129,973 | 1,232,105 | 1,151,214 | 1,123,531 | |
| 16 Leverage ratio$^d$ | 5.3% | 5.0% | 5.1% | 5.0% | |
| 17 Leverage ratio as if IFRS 9 or analogous ECLs transitional arrangements had not been applied | 5.3% | 5.0% | 5.1% | 5.0% | |

**Notes**
$^a$. From 1 January 2018, Barclays Group elected to apply the IFRS 9 transitional arrangements of the CRR. The transitional relief on the “day 1” impact on adoption of IFRS 9 and on increases in non-defaulted provisions between “day 1” and 31 December 2019 is phased out over a 5 year period with 25% applicable for 2022 and with no transitional relief from 2023. On 27 June 2020, CRR was amended to extend the transitional period by two years and to introduce a new modified calculation. The transitional relief for increases in non-defaulted provisions between 1 January 2020 and the reporting date is also phased out over a 5 year period with 75% applicable for 2022; 50% for 2023; 25% for 2024 and with no transitional relief from 2025.
$^b$. As at 31 December 2022, 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.
$^c$. Capital and leverage metrics as at 31 December 2021 have been restated. More details are available in the Barclays 2022 Results Announcement on page 56.
$^d$. Transitional CET1 capital, RWAs and leverage ratio are calculated applying the IFRS 9 transitional arrangements of the CRR as amended by CRR II.
$^e$. Transitional Tier 1 and Total capital are calculated applying the transitional arrangements of the CRR as amended by CRR II. Prior year comparatives include the grandfathering of CRR non-compliant capital instruments.

**Introduction | Risk and capital position review | Barclays’ approach to managing risks | Appendices** | **Barclays PLC Pillar 3 Report 2022 25**

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

This table shows RWAs by business and risk type.

| | **Credit risk** | **Counterparty credit risk** | **Market risk** | **Operational risk** | **Total RWAs** |
| :--- | :--- | :--- | :--- | :--- | :--- |
| **As at 31 December 2022** | **Std £m** | **AIRB £m** | **Std £m** | **AIRB £m** | **Settlement risk £m** | **CVA £m** | **Std £m** | **IMA £m** | **£m** |
| **Barclays UK** | 6,836 | 54,752 | 167 | — | — | 72 | 233 | — | 11,023 | 73,083 |
| **Corporate and Investment Bank** | 35,738 | 75,413 | 16,814 | 21,449 | 80 | 3,093 | 13,716 | 22,497 | 27,064 | 215,864 |
| **Consumer, Cards and Payments** | 27,882 | 3,773 | 214 | 46 | — | 61 | — | 388 | 6,559 | 38,923 |
| **Barclays International** | 63,620 | 79,186 | 17,028 | 21,495 | 80 | 3,154 | 13,716 | 22,885 | 33,623 | 254,787 |
| **Head Office** | 2,636 | 6,843 | — | — | — | — | — | — | (831) | 8,648 |
| **Barclays Group** | **73,092** | **140,781** | **17,195** | **21,495** | **80** | **3,226** | **13,949** | **22,885** | **43,815** | **336,518** |
| **As at 31 December 2021** | | | | | | | | | | |
| **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** |

**Introduction | Risk and capital position review | Barclays’ approach to managing risks | Appendices** | **Barclays PLC Pillar 3 Report 2022 26**

**Table 11: OV1 – Overview of risk weighted exposure amounts**

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

| | **Risk weighted exposure amounts (RWEAs)** | **Total own funds requirements** |
| :--- | :--- | :--- |
| | **As at 31.12.2022 £m** | **As at 30.09.2022 £m** | **As at 31.12.2021 £m** | **As at 31.12.2022 £m** | **As at 30.09.2022 £m** | **As at 31.12.2021 £m** |
| 1 Credit risk (excluding CCR) | 197,316 | 198,941 | 177,898 | 15,786 | 15,915 | 14,232 |
| 2 Of which the standardised approach | 66,796 | 69,936 | 58,008 | 5,344 | 5,595 | 4,641 |
| 4 Of which: slotting approach | 4,945 | 4,915 | 4,168 | 396 | 393 | 333 |
| 5 Of which the advanced IRB (AIRB) approach | 125,575 | 124,089 | 115,722 | 10,046 | 9,927 | 9,258 |
| 6 Counterparty credit risk - CCR | 41,881 | 48,630 | 37,491 | 3,350 | 3,890 | 2,999 |
| 7 Of which the standardised approach | 4,081 | 5,605 | 2,674 | 326 | 448 | 214 |
| 8 Of which internal model method (IMM) | 25,741 | 29,732 | 24,196 | 2,059 | 2,379 | 1,936 |
| UK 8a Of which exposures to a CCP | 1,409 | 1,667 | 1,601 | 113 | 133 | 128 |
| UK 8b Of which credit valuation adjustment - CVA | 3,226 | 3,264 | 2,448 | 258 | 261 | 196 |
| 9 Of which other CCR | 7,424 | 8,361 | 6,572 | 594 | 669 | 526 |
| 15 Settlement risk | 80 | 446 | 105 | 6 | 36 | 8 |
| 16 Securitisation exposures in the non-trading book (after the cap) | 16,592 | 18,151 | 12,124 | 1,327 | 1,452 | 970 |
| 17 Of which SEC-IRBA approach | 10,261 | 11,704 | 7,937 | 821 | 936 | 635 |
| 18 Of which SEC-ERBA (including IAA) | 1,922 | 1,883 | 1,424 | 154 | 151 | 114 |
| 19 Of which SEC-SA approach | 4,404 | 4,562 | 2,755 | 352 | 365 | 220 |
| UK 19a Of which 1250%/ deduction | 5 | 2 | 9 | — | — | 1 |
| 20 Position, foreign exchange and commodities risks (Market risk) | 36,834 | 42,835 | 44,771 | 2,947 | 3,427 | 3,582 |
| 21 Of which the standardised approach | 13,949 | 15,852 | 17,406 | 1,116 | 1,268 | 1,392 |
| 22 Of which IMA | 22,885 | 26,983 | 27,365 | 1,831 | 2,159 | 2,189 |
| UK 22a Large exposures | — | — | — | — | — | — |
| 23 Operational risk | 43,815 | 41,771 | 41,747 | 3,505 | 3,342 | 3,340 |
| UK 23b Of which standardised approach | 43,815 | 41,771 | 41,747 | 3,505 | 3,342 | 3,340 |
| 24 Amounts below the thresholds for deduction (subject to 250% risk weight) (For information) | 9,926 | 9,322 | 11,276 | 794 | 746 | 902 |
| 29 Total | **336,518** | **350,774** | **314,136** | **26,921** | **28,062** | **25,131** |

RWAs decreased over the quarter by £14.3bn to £336.5bn (September 2022: £350.8bn) mainly due to:
▪ Credit risk RWAs decreased £1.6bn to £197.3bn primarily due to depreciation of USD against GBP offset by an increase in lending activities within CIB
▪ Counterparty credit risk RWAs decreased £6.7bn to £41.9bn primarily due to a decrease in client and trading activities, mark-to-market movements within derivatives as well as decrease in FX due to depreciation of USD against GBP
▪ Securitisation RWAs decreased £1.6bn to £16.6bn primarily driven by a decrease in business activities
▪ Market risk RWAs decreased £6bn to £36.8bn primarily due to decrease in client and trading activities, a decrease in SVaR model adjustment as a result of changes in portfolio composition and depreciation of USD against GBP. This was partially offset by an increase in Structural FX
▪ Operational risk RWAs increased £2bn to £43.8bn primarily driven by inclusion of higher 2022 CIB income compared to 2019

**Introduction | Risk and capital position review | Barclays’ approach to managing risks | Appendices** | **Barclays PLC Pillar 3 Report 2022 27**

**Table 12: CR8 – RWEA flow statements of credit risk exposures under the advanced IRB approach**

The total in this table shows the contribution of credit risk RWAs under the AIRB approach and will not directly reconcile to the CR AIRB RWAs in table 10.

| | **Three months ended 31.12.2022 £m** | **Twelve months ended 31.12.2022$^a$ £m** |
| :--- | :--- | :--- |
| 1 Risk weighted exposure amount as at the end of the previous reporting period | 113,401 | 104,413 |
| 2 Asset size | 4,630 | 5,563 |
| 3 Asset quality | 871 | (2,727) |
| 4 Model updates | — | — |
| 5 Methodology and policy | (1,566) | 4,180 |
| 6 Acquisitions and disposals | (101) | (449) |
| 7 Foreign exchange movements | (2,754) | 3,501 |
| 8 Other | — | — |
| 9 Risk weighted exposure amount as at the end of the reporting period | **114,481** | **114,481** |

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

Three months ended advanced credit risk RWAs increased £1.1bn to £114.5bn primarily driven by:
▪ A £4.6bn increase in asset size primarily driven by an increase in lending activities mainly within CIB
▪ A £1.6bn decrease in methodology and policy primarily relating to implementation of IRB roadmap changes
▪ A £2.8bn decrease in FX primarily due to depreciation of USD against GBP

Twelve months ended advanced credit risk RWAs increased £10.1bn to £114.5bn primarily driven by:
▪ A £5.6bn increase in book size primarily driven by an increase in lending activities across CIB and growth in mortgages within Barclays UK, partially offset by securitisation of originated assets
▪ A £2.7bn decrease in RWAs due to asset quality primarily driven by the benefit in mortgages from an increase in the House Price Index (HPI)
▪ A £4.2bn increase in methodology and policy primarily relating to implementation of IRB roadmap changes
▪ A £3.5bn increase in FX primarily due to appreciation of USD against GBP

**Table 13: CCR7– RWEA flow statements of CCR exposures under the IMM**

The total in this table shows the contribution of Internal Model Method (IMM) exposures to CCR RWAs (under both standardised and AIRB) table 10.

| | **Three months ended 31.12.2022 £m** | **Twelve months ended 31.12.2022$^a$ £m** |
| :--- | :--- | :--- |
| 1 Risk weighted exposure amount as at the end of the previous reporting period | 29,732 | 24,198 |
| 2 Asset size | (3,258) | (710) |
| 3 Credit quality of counterparties | 387 | 355 |
| 4 Model updates (IMM only) | — | — |
| 5 Methodology and policy (IMM only) | (392) | 291 |
| 6 Acquisitions and disposals | — | — |
| 7 Foreign exchange movements | (728) | 1,607 |
| 8 Other | — | — |
| 9 Risk weighted exposure amount as at the end of the reporting period | **25,741** | **25,741** |

**Note**
$^a$. Opening balance has been updated to exclude the exposure to central counterparties as per CRR II guidelines.

Three months ended Internal Model Method RWAs decreased by £4.0bn to £25.7bn primarily driven by:
▪ A £3.3bn decrease in asset size primarily driven by a decrease in client and trading activities and mark-to-market movements within derivatives.

Twelve months ended Internal Model Method RWAs decreased by £1.5bn to £25.7bn primarily driven by:
▪ A £1.6bn increase in FX primarily due to appreciation of USD against GBP.

**Table 14: MR2-B – RWA flow statements of market risk exposures under the IMA**

This table shows the contribution of market risk RWA covered by internal models (i.e. value at risk, stressed value at risk and incremental risk charge).

| | **Three month ended 31.12.2022** | | | | | **Twelve month ended 31.12.2022** | | | | |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| | **VaR £m** | **SVaR £m** | **IRC £m** | **Other £m** | **Total RWEAs £m** | **Total own funds requirements £m** | **VaR £m** | **SVaR £m** | **IRC £m** | **Other £m** | **Total RWEAs £m** | **Total own funds requirements £m** |
| 1 RWAs at previous period end | 7,517 | 11,607 | 3,307 | 4,552 | 26,983 | 2,159 | 4,476 | 13,751 | 4,113 | 5,026 | 27,366 | 2,189 |
| 1a Regulatory adjustment$^a$ | (4,158) | (4,258) | — | — | (8,416) | (674) | (2,372) | (3,135) | — | — | (5,507) | (440) |
| 1b RWAs at the previous quarter-end (end of the day) | 3,359 | 7,349 | 3,307 | 4,552 | 18,567 | 1,485 | 2,104 | 10,616 | 4,113 | 5,026 | 21,859 | 1,749 |
| 2 Movement in risk levels | (499) | (2,704) | (530) | (1,106) | (4,839) | (387) | 756 | (5,971) | (1,336) | (1,580) | (8,131) | (651) |
| 3 Model updates/changes | — | — | — | — | — | — | — | — | — | — | — | — |
| 4 Methodology and policy | — | — | — | — | — | — | — | — | — | — | — | — |
| 5 Acquisitions and disposals | — | — | — | — | — | — | — | — | — | — | — | — |
| 6 Foreign exchange movements | — | — | — | — | — | — | — | — | — | — | — | — |
| 7 Other | — | — | — | — | — | — | — | — | — | — | — | — |
| 8a RWAs at the end of the reporting period (end of the day) | 2,860 | 4,645 | 2,777 | 3,446 | 13,728 | 1,098 | 2,860 | 4,645 | 2,777 | 3,446 | 13,728 | 1,098 |
| 8b Regulatory adjustment$^b$ | 3,907 | 5,216 | 34 | — | 9,157 | 733 | 3,907 | 5,216 | 34 | — | 9,157 | 733 |
| 8 RWAs at the end of the disclosure period | **6,767** | **9,861** | **2,811** | **3,446** | **22,885** | **1,831** | **6,767** | **9,861** | **2,811** | **3,446** | **22,885** | **1,831** |

**Notes**
$^a$. Row 1a reflects the difference between reported RWA (row 1) and the relevant spot measure (row 1b) for the previous period.
$^b$. Row 8b reflects the difference between the relevant spot measure (row 8a) and reported RWA (row 8) for the current period.

Modelled market risk RWAs decreased £4.1bn to £22.9bn primarily driven by driven by changes in portfolio composition from client and trading activity.

Modelled market risk RWAs decreased £4.5bn to £22.9bn primarily driven by changes in portfolio composition which reduced a model adjustment held to capture the incremental risk associated with 10-day SVaR over and above that obtained by scaling 1-day SVaR RWAs by the square root of 10.

**Introduction | Risk and capital position review | Barclays’ approach to managing risks | Appendices** | **Barclays PLC Pillar 3 Report 2022 29**

## Leverage ratio and exposures

The following leverage tables show the components of the leverage ratio using the UKLRF definition for leverage exposure and Tier 1 capital as at 31 December 2022$^a$.

**Table 15: LR1 - Summary of reconciliation of accounting assets and leverage ratio exposures$^b$**

This table is a summary of the total leverage exposures and comprises total IFRS assets used for statutory purposes, regulatory consolidation and other leverage adjustments.

| | **As at 31st December 2022 £m** |
| :--- | :--- |
| 1 Total assets as per published financial statements | 1,513,699 |
| 2 Adjustment for entities which are consolidated for accounting purposes but are outside the scope of prudential consolidation | (8,278) |
| 3 Adjustment for securitised exposures that meet the operational requirements for the recognition of risk transference | (473) |
| 4 Adjustment for exemption of exposures to central banks | (272,321) |
| 6 Adjustment for regular-way purchases and sales of financial assets subject to trade date accounting | (21,386) |
| 8 Adjustments for derivative financial instruments | (155,951) |
| 9 Adjustment for securities financing transactions (SFTs) | 24,203 |
| 10 Adjustment for off-balance sheet items (i.e. conversion to credit equivalent amounts of off-balance sheet exposures) | 124,658 |
| 11 Adjustment for prudent valuation adjustments and specific and general provisions which have reduced Tier 1 capital | (2,215) |
| 12 Other adjustments | (71,963) |
| **13 Total exposure measure** | **1,129,973** |

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

**Introduction | Risk and capital position review | Barclays’ approach to managing risks | Appendices** | **Barclays PLC Pillar 3 Report 2022 30**

**Table 16: LR2 - Leverage ratio common disclosure$^a,b$**

This table shows the leverage ratio calculation and includes additional breakdowns for the leverage exposure measure.

| | **As at 31st December 2022 £m** |
| :--- | :--- |
| **On-balance sheet exposures (excluding derivatives and SFTs)** | |
| 1 On-balance sheet items (excluding derivatives, SFTs, but including collateral) | 984,960 |
| 3 Deductions of receivables assets for cash variation margin provided in derivatives transactions | (19,519) |
| 6 Asset amounts deducted in determining tier 1 capital (leverage) | (14,388) |
| 7 Total on-balance sheet exposures (excluding derivatives and SFTs) | 951,053 |
| **Derivative exposures** | |
| 8 Replacement cost associated with SA-CCR derivatives transactions (i.e. net of eligible cash variation margin) | 65,570 |
| 9 Add-on amounts for potential future exposure associated with SA-CCR derivatives transactions | 99,467 |
| 10 Exempted CCP leg of client-cleared trade exposures (SA-CCR) | (67,995) |
| 11 Adjusted effective notional amount of written credit derivatives | 797,520 |
| 12 Adjusted effective notional offsets and add-on deductions for written credit derivatives | (781,330) |
| 13 Total derivatives exposures | 113,232 |
| **Securities financing transaction (SFT) exposures** | |
| 14 Gross SFT assets (with no recognition of netting), after adjustment for sales accounting transactions | 585,959 |
| 15 Netted amounts of cash payables and cash receivables of gross SFT assets | (397,637) |
| 16 Counterparty credit risk exposure for SFT assets | 25,518 |
| 18 Total securities financing transaction exposures | 213,840 |
| **Other off-balance sheet exposures** | |
| 19 Off-balance sheet exposures at gross notional amount | 402,916 |
| 20 Adjustments for conversion to credit equivalent amounts | (278,258) |
| 21 General provisions deducted in determining tier 1 capital (leverage) and specific provisions associated with off-balance sheet exposures | (489) |
| 22 Off-balance sheet exposures | 124,169 |
| **Excluded exposures** | |
| **Capital and total exposure measure** | |
| 23 Tier 1 capital (leverage) | 60,102 |
| 24 Total exposure measure including claims on central banks | 1,402,294 |
| UK-24a (-) Claims on central banks excluded | (272,321) |
| UK-24b Total exposure measure excluding claims on central banks | 1,129,973 |
| **Leverage ratio** | |
| 25 Leverage ratio excluding claims on central banks ($\%$) | 5.3% |
| UK-25a Fully loaded ECL accounting model leverage ratio excluding claims on central banks ($\%$) | 5.3% |
| UK-25b Leverage ratio excluding central bank reserves as if the temporary treatment of unrealised gains and losses measured at fair value through other comprehensive income had not been applied ($\%$) $^c$ | 5.3% |
| UK-25c Leverage ratio including claims on central banks ($\%$) | 4.3% |
| 26 Regulatory minimum leverage ratio requirement ($\%$) | 3.3% |
| **Additional leverage ratio disclosure requirements - leverage ratio buffers** | |
| 27 Leverage ratio buffer ($\%$) | 0.7% |
| UK-27a Of which: G-SII or O-SII additional leverage ratio buffer ($\%$) | 0.5% |
| UK-27b Of which: countercyclical leverage ratio buffer ($\%$) | 0.2% |
| **Additional leverage ratio disclosure requirements - disclosure of mean values** | |
| 28 Mean of daily values of gross SFT assets, after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivable | 261,082 |
| 29 Quarter-end value of gross SFT assets, after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivables | 188,323 |
| UK-31 Average total exposure measure including claims on central banks | 1,541,367 |
| UK-32 Average total exposure measure excluding claims on central banks | 1,280,972 |
| UK-33 Average leverage ratio including claims on central banks | 3.9% |
| UK-34 Average leverage ratio excluding claims on central banks | 4.8% |

**Notes**
$^a$. Capital and leverage measures are calculated applying the transitional arrangements of the CRR as amended by CRR II.
$^b$. No comparatives are provided as this reflects disclosure requirements under the UKLRF from 1 January 2022.
$^c$. As at 31 December 2022, 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.

**Introduction | Risk and capital position review | Barclays’ approach to managing risks | Appendices** | **Barclays PLC Pillar 3 Report 2022 31**

**Table 17: LR3 - Split-up of on balance sheet exposures (excluding derivatives, SFTs and exempted exposures)$^a$**

The table shows a breakdown of the on-balance sheet exposures excluding derivatives, SFTs and exempted exposures, by regulatory asset class.

| | **As at 31st December 2022 £m** |
| :--- | :--- |
| UK-1 Total on-balance sheet exposures (excluding derivatives, SFTs, and exempted exposures), of which: | 643,590 |
| UK-2 Trading book exposures | 142,005 |
| UK-3 Banking book exposures, of which: | 501,585 |
| UK-4 Covered bonds | 1,043 |
| UK-5 Exposures treated as sovereigns | 84,986 |
| UK-6 Exposures to regional governments, MDB, international organisations and PSE not treated as sovereigns | 10,190 |
| UK-7 Institutions | 13,465 |
| UK-8 Secured by mortgages of immovable properties | 173,726 |
| UK-9 Retail exposures | 49,746 |
| UK-10 Corporates | 81,056 |
| UK-11 Exposures in default | 4,553 |
| UK-12 Other exposures (e.g. equity, securitisations, and other non-credit obligation assets) | 82,820 |

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

**Introduction | Risk and capital position review | Barclays’ approach to managing risks | Appendices** | **Barclays PLC Pillar 3 Report 2022 32**

**Table 18: KM2 - Key metrics - TLAC requirements (at resolution group level)**

This table shows the key metrics for the Group’s own funds and eligible liabilities.

| | **As at 31.12.22 £m** | **As at 30.09.22 £m** | **As at 30.06.22 £m** | **As at 31.03.22 £m** | **Restated$^c$ As at 31.12.21 £m** |
| :--- | :--- | :--- | :--- | :--- | :--- |
| 1 Total Loss Absorbing Capacity (TLAC) available$^{a,b}$ | 112,828 | 111,892 | 106,480 | 102,486 | 109,771 |
| 1a Fully loaded ECL accounting model TLAC available | 112,161 | 111,133 | 105,871 | 101,923 | 108,871 |
| 2 Total RWA at the level of the resolution group$^a$ | 336,518 | 350,774 | 344,516 | 328,830 | 314,136 |
| 3 TLAC as a percentage of RWA (row 1 / row 2) ($\%$) $^a,b$ | 33.5% | 31.9% | 30.9% | 31.2% | 34.9% |
| 3a Fully loaded ECL accounting model TLAC as a percentage of fully loaded ECL accounting model RWA ($\%$) | 33.3% | 31.7% | 30.8% | 31.0% | 34.7% |
| 4 Leverage ratio exposure measure at the level of the resolution group$^d$ | 1,129,973 | 1,232,105 | 1,151,214 | 1,123,531 | 1,356,191 |
| 5 TLAC as a percentage of leverage ratio exposure measure (row 1 / row 4) ($\%$) $^b,d$ | 10.0% | 9.1% | 9.2% | 9.1% | 8.1% |
| 5a Fully loaded ECL accounting model TLAC as a percentage of fully loaded ECL accounting model Leverage exposure measure ($\%$) | 9.9% | 9.0% | 9.2% | 9.1% | 8.0% |
| 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 IFRS9 transitional arrangements of the CRR as amended by CRR II.
$^b$. Prior year comparatives include subsidiary issuances, which were no longer eligible from 1 January 2022.
$^c$. Capital and leverage metrics as at 31 December 2021 have been restated. More details are available in the Barclays Q4’22 Results Announcement on page 56.
$^d$. Prior year comparatives are based on fully loaded CRR leverage exposure which was no longer applicable to UK banks from 1 January 2022.

As at 31 December 2022, Barclays PLC (the Parent company) held £112.8bn of own funds and eligible liabilities equating to 33.5% of RWAs. This was in excess of the Group's MREL requirement, excluding the PRA buffer, to hold £97.4bn of own funds and eligible liabilities equating to 28.9% of RWAs. The Group remains above its MREL regulatory requirement including the PRA buffer.

**Introduction | Risk and capital position review | Barclays’ approach to managing risks | Appendices** | **Barclays PLC Pillar 3 Report 2022 33**

**Table 19: TLAC 1 - TLAC composition for G-SIBs (at resolution group level)**

This table shows the composition of the Group’s own funds and eligible liabilities and ratios.

| | **Barclays Group £m** |
| :--- | :--- |
| **Regulatory capital elements of TLAC and adjustments$^a$** | |
| 1 Common Equity Tier 1 capital (CET1) | 46,878 |
| 2 Additional Tier 1 capital (AT1) before TLAC adjustment | 13,224 |
| 5 AT1 instruments eligible under the TLAC framework | 13,224 |
| 6 Tier 2 capital (T2) before TLAC adjustments | 9,970 |
| 7 Amortised portion of T2 instruments where remaining maturity > 1 year | 1,171 |
| 8 T2 capital ineligible as TLAC as issued out of subsidiaries to third parties | (1,095) |
| 10 T2 instruments eligible under the TLAC framework | 10,046 |
| 11 TLAC arising from regulatory capital | 70,148 |
| **Non-regulatory capital elements of TLAC** | |
| 12 External TLAC instruments issued directly by the bank and subordinated to excluded liabilities | 42,804 |
| 17 TLAC arising from non-regulatory capital instruments before adjustments | 42,804 |
| **Non-regulatory capital elements of TLAC: adjustments** | |
| 18 TLAC before deductions | 112,952 |
| 20 Deduction of investments in own other TLAC liabilities | (124) |
| 22 TLAC after deductions | 112,828 |
| **Risk-weighted assets and leverage exposure measure for TLAC purposes** | |
| 23 Total risk-weighted assets adjusted as permitted under the TLAC regime$^a$ | 336,518 |
| 24 Leverage exposure measure$^b$ | 1,129,973 |
| **TLAC ratios and buffers** | |
| 25 TLAC (as a percentage of risk-weighted assets adjusted as permitted under the TLAC regime) | 33.5% |
| 26 TLAC (as a percentage of leverage exposure)$^b$ | 10.0% |
| 27 CET1 (as a percentage of risk-weighted assets) available after meeting the resolution group’s minimum capital and TLAC requirements | 9.4% |
| 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) | 4.4% |
| 29 Of which: capital conservation buffer requirement | 2.5% |
| 30 Of which: bank specific countercyclical buffer requirement | 0.4% |
| 31 Of which: higher loss absorbency requirement | 1.5% |

**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 non-compliant capital instruments.
$^b$. Fully loaded CRR leverage exposure is calculated without applying the transitional arrangements of the CRR as amended by CRR II.

**Introduction | Risk and capital position review | Barclays’ approach to managing risks | Appendices** | **Barclays PLC Pillar 3 Report 2022 34**

**Table 20: TLAC 3 - Resolution entity - creditor ranking at legal entity level**

This table shows the nominal values of Barclays PLC’s (the parent company) capital and liabilities and the position in creditor hierarchy.

**Barclays PLC (the Parent company)**

| Creditor ranking | 1 | 2 | 3 | 4 | Total |
| :--- | :--- | :--- | :--- | :--- | :--- |
| **As at 31 December 2022** | **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 | 3,968 | 13,342 | 11,151 | 50,482 | 78,943 |
| 3 Subset of row 2 that are excluded liabilities | — | — | — | 1,519 | 1,519 |
| 4 Total capital and liabilities less excluded liabilities | 3,968 | 13,342 | 11,151 | 48,963 | 77,424 |
| 5 Subset of row 4 that are potentially eligible as TLAC | 3,968 | 13,342 | 11,151 | 46,875 | 75,336 |
| 6 Subset of row 5 with 1 year $\leq$ residual maturity $<$ 2 years | — | — | 1,039 | 5,960 | 6,999 |
| 7 Subset of row 5 with 2 years $\leq$ residual maturity $<$ 5 years | — | — | 1,703 | 19,082 | 20,785 |
| 8 Subset of row 5 with 5 years $\leq$ residual maturity $<$ 10 years | — | — | 6,747 | 12,259 | 19,006 |
| 9 Subset of row 5 with residual maturity $\geq$ 10 years, but excluding perpetual securities | — | — | 1,662 | 9,574 | 11,236 |
| 10 Subset of row 5 that is perpetual securities | 3,968 | 13,342 | — | — | 17,310 |

**Table 21: TLAC 2 - Material subgroup entity - creditor ranking at legal entity level**

**Barclays Bank PLC**

| Creditor ranking | 1 | 2 | 3 | 4 | Total |
| :--- | :--- | :--- | :--- | :--- | :--- |
| **As at 31 December 2022** | **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 | 2,343 | 10,767 | 12,256 | 27,898 | 53,264 |
| 4 Subset of row 3 that are excluded liabilities | — | — | — | — | — |
| 5 Total capital and liabilities less excluded liabilities | 2,343 | 10,767 | 12,256 | 27,898 | 53,264 |
| 6 Subset of row 5 that are eligible as TLAC | 2,343 | 10,767 | 12,256 | 25,808 | 51,174 |
| 7 Subset of row 6 with 1 year $\leq$ residual maturity $<$ 2 years | — | — | — | 4,179 | 4,179 |
| 8 Subset of row 6 with 2 years $\leq$ residual maturity $<$ 5 years | — | — | 1,136 | 12,679 | 13,815 |
| 9 Subset of row 6 with 5 years $\leq$ residual maturity $<$ 10 years | — | — | 5,417 | 5,444 | 10,861 |
| 10 Subset of row 6 with residual maturity $\geq$ 10 years, but excluding perpetual securities | — | — | 5,704 | 3,505 | 9,209 |
| 11 Subset of row 6 that is perpetual securities | 2,343 | 10,767 | — | — | 13,110 |

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

**Barclays Bank UK PLC Group**

| Creditor ranking | 1 | 2 | 3 | 4 | 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 | 3,769 | 5,314 | 11,663 |
| 4 Subset of row 3 that are excluded liabilities | — | — | — | — | — |
| 5 Total capital and liabilities less excluded liabilities | 5 | 2,575 | 3,769 | 5,314 | 11,663 |
| 6 Subset of row 5 that are eligible as TLAC | 5 | 2,575 | 3,769 | 5,314 | 11,663 |
| 7 Subset of row 6 with 1 year $\leq$ residual maturity $<$ 2 years | — | — | 1,039 | 561 | 1,600 |
| 8 Subset of row 6 with 2 years $\leq$ residual maturity $<$ 5 years | — | — | 568 | 2,767 | 3,335 |
| 9 Subset of row 6 with 5 years $\leq$ residual maturity $<$ 10 years | — | — | 1,331 | 1,662 | 2,993 |
| 10 Subset of row 6 with residual maturity $\geq$ 10 years, but excluding perpetual securities | — | — | 831 | 324 | 1,155 |
| 11 Subset of row 6 that is perpetual securities | 5 | 2,575 | — | — | 2,580 |

**Introduction | Risk and capital position review | Barclays’ approach to managing risks | Appendices** | **Barclays PLC Pillar 3 Report 2022 36**

**Table 23: LIQ1 - Liquidity coverage ratio**

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

| Barclays Group | | **Total period end value** | |
| :--- | :--- | :--- | :--- |
| | **31.12.22 £m** | **30.09.22 £m** | **30.06.22 £m** | **31.03.22 £m** |
| Total High Quality Liquid Assets (HQLA) | 294,529 | 317,391 | 331,096 | 310,291 |
| Total net cash outflows | 178,133 | 210,612 | 211,911 | 194,920 |
| Liquidity coverage ratio (%) (period end) | 165% | 151% | 156% | 159% |

| Liquidity coverage ratio (average) | **Total unweighted value (average)** | **Total weighted value (average)** |
| :--- | :--- | :--- |
| | **31.12.22** | **30.09.22** | **30.06.22** | **31.03.22** | **31.12.22** | **30.09.22** | **30.06.22** | **31.03.22** |
| UK1a Number of data points used in calculation of averages$^a$ | 12 | 12 | 12 | 12 | 12 | 12 | 12 | 12 |
| **High-quality liquid assets £m** | | | | | | | | |
| 1 Total high-quality liquid assets (HQLA) | | | | | 320,450 | 319,177 | 308,489 | 300,538 |
| **Cash outflows** | | | | | | | | |
| 2 Retail deposits and deposits from small business customers, of which: | 269,038 | 267,555 | 264,959 | 262,267 | 23,805 | 23,582 | 23,085 | 22,569 |
| 3 Stable deposits | 139,705 | 140,312 | 140,387 | 140,312 | 6,985 | 7,016 | 7,019 | 7,016 |
| 4 Less stable deposits | 124,256 | 121,985 | 118,259 | 114,334 | 16,755 | 16,507 | 16,026 | 15,519 |
| 5 Unsecured wholesale funding, of which: | 261,040 | 258,762 | 249,032 | 238,591 | 135,617 | 134,238 | 127,466 | 119,836 |
| 6 Operational deposits (all counterparties) and deposits in networks of cooperative banks | 68,657 | 66,143 | 63,328 | 61,133 | 16,844 | 16,212 | 15,507 | 14,956 |
| 7 Non-operational deposits (all counterparties)$^b$ | 179,744 | 180,426 | 174,668 | 167,796 | 106,134 | 105,833 | 100,923 | 95,217 |
| 8 Unsecured debt | 12,639 | 12,193 | 11,036 | 9,662 | 12,639 | 12,193 | 11,036 | 9,662 |
| 9 Secured wholesale funding | | | | | 58,184 | 57,601 | 57,555 | 57,348 |
| 10 Additional requirements, of which: | 184,022 | 182,951 | 182,422 | 183,697 | 52,671 | 51,237 | 50,313 | 51,619 |
| 11 Outflows related to derivative exposures and other collateral requirements | 19,670 | 19,120 | 18,968 | 19,623 | 16,877 | 16,427 | 16,414 | 17,144 |
| 12 Outflows related to loss of funding on debt products | 5,410 | 5,686 | 6,316 | 7,883 | 5,410 | 5,686 | 6,316 | 7,883 |
| 13 Credit and liquidity facilities | 158,942 | 158,144 | 157,137 | 156,191 | 30,384 | 29,124 | 27,582 | 26,591 |
| 14 Other contractual funding obligations | 6,972 | 6,340 | 5,226 | 3,839 | 6,174 | 5,663 | 4,669 | 3,403 |
| 15 Other contingent funding obligations | 188,575 | 169,072 | 154,562 | 147,039 | 6,995 | 6,568 | 6,243 | 5,957 |
| 16 Total cash outflows | | | | | 283,445 | 278,887 | 269,331 | 260,731 |
| **Cash inflows** | | | | | | | | |
| 17 Secured lending (e.g. reverse repos) | 602,847 | 585,325 | 568,552 | 548,009 | 60,783 | 58,524 | 56,564 | 55,097 |
| 18 Inflows from fully performing exposures | 13,508 | 13,144 | 12,070 | 11,872 | 9,263 | 8,659 | 7,622 | 7,367 |
| 19 Other cash inflows$^3$ | 12,354 | 12,362 | 13,100 | 13,687 | 7,343 | 7,611 | 8,786 | 9,788 |
| UK-19a (Difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies) | — | — | — | — | | | | |
| UK-19b (Excess inflows from a related specialised credit institution) | — | — | — | — | | | | |
| 20 Total cash inflows | 628,709 | 610,831 | 593,722 | 573,567 | 77,389 | 74,794 | 72,972 | 72,251 |
| UK-20a Fully exempt inflows | — | — | — | — | — | — | — | — |
| UK-20b Inflows subject to 90% cap | — | — | — | — | — | — | — | — |
| UK-20c Inflows subject to 75% cap | 513,794 | 495,130 | 479,472 | 461,221 | 77,389 | 74,794 | 72,972 | 72,251 |
| UK-21 Liquidity buffer | 320,450 | 319,177 | 308,489 | 300,538 | | | | |
| 22 Total net cash outflows | | | | | 206,056 | 204,093 | 196,359 | 188,480 |
| 23 Liquidity coverage ratio ($\%$) | | | | | 156% | 156% | 157% | 159% |

**Notes**
$^a$ Trailing average of 12 month-end observations to the reporting date.
$^b$ Non-operational deposits in row 7 also includes excess operational deposits as defined in the PRA Rulebook (Liquidity Coverage Ratio - CRR) Article 27(4).

**Introduction | Risk and capital position review | Barclays’ approach to managing risks | Appendices** | **Barclays PLC Pillar 3 Report 2022 37**

As at 31 December 2022, the LCR was 165% (September 2022: 151%), equivalent to a surplus of £117bn (September 2022: 107bn) above the 100% regulatory requirement. The decrease in HQLA was driven by lower deposit and wholesale funding balances which were partly offset by a decrease in business funding consumption. Net cash outflows decreased due to lower deposit and wholesale funding stresses which resulted in a higher LCR.

The trailing 12 month-end average LCR to 31 December 2022 remained flat at 156% (September 2022: 156%), with average HQLA increasing by £1bn and average net cash outflows increasing by £2bn.

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 2022, 60% (2021: 58%) of the liquidity pool was located in Barclays Bank PLC, 25% (2021: 30%) in Barclays Bank UK PLC and 9% (2021: 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.

In 2022, Barclays repaid £1.1bn of its TLTRO drawings reducing its outstanding balance to £1.4bn as at 31 December 2022. In addition, Barclays had £22.0bn TFSME balances outstanding at the year-end.

**Introduction | Risk and capital position review | Barclays’ approach to managing risks | Appendices** | **Barclays PLC Pillar 3 Report 2022 38**

**Table 24: LIQ2 - Net Stable funding ratio$^b$**

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

| **31 December 2022** | **No maturity £m** | **< 6 months £m** | **6 months to < 1yr £m** | **$\geq$ 1yr £m** | **Weighted value £m** |
| :--- | :--- | :--- | :--- | :--- | :--- |
| **Available stable funding (ASF) Items** | | | | | |
| 1 Capital items and instruments | 56,291 | 4,251 | 5,173 | 56,524 | 115,402 |
| 2 Own funds | 56,291 | — | — | — | 56,291 |
| 3 Other capital instruments | | 4,251 | 5,173 | 56,524 | 59,111 |
| 4 Retail deposits | 271,279 | 4,221 | 1,715 | 256,766 |
| 5 Stable deposits | 140,962 | 1,050 | 851 | 135,763 |
| 6 Less stable deposits | 130,317 | 3,171 | 864 | 121,003 |
| 7 Wholesale funding: | 524,392 | 35,676 | 87,442 | 204,273 |
| 8 Operational deposits | 69,638 | — | — | 34,819 |
| 9 Other wholesale funding | 454,754 | 35,676 | 87,442 | 169,454 |
| 10 Interdependent liabilities | — | — | — | — |
| 11 Other liabilities: | 1,073 | 94,523 | 22,498 | 25 | 50 |
| 12 NSFR derivative liabilities | 1,073 | — | — | — |
| 13 All other liabilities and capital instruments not included in the above categories | | 94,523 | 22,498 | 25 | 50 |
| **14 Total available stable funding (ASF)** | | | | | **576,491** |
| **Required stable funding (RSF) Items** | | | | | |
| 15 Total high-quality liquid assets (HQLA) | | | | | 34,478 |
| UK-15a Assets encumbered for more than 12m in cover pool | — | 41,006 | — | — | 34,855 |
| 16 Deposits held at other financial institutions for operational purposes | — | — | — | — |
| 17 Performing loans and securities: | 228,380 | 31,949 | 298,856 | 273,802 |
| 18 Performing securities financing transactions with financial customers collateralised by Level 1 HQLA subject to 0% | 168,774 | 4,705 | 38,562 | 47,581 |
| 19 Performing securities financing transactions with financial customer collateralised by other assets and loans and advances to financial institutions | 11,057 | 3,735 | 20,507 | 23,480 |
| 20 Performing loans to non- financial corporate clients, loans to retail and small business customers, and loans to sovereigns, and PSEs, of which: | 13,999 | 15,371 | 165,863 | 118,557 |
| 21 With a risk weight of less than or equal to 35% under the Basel II Standardised Approach for credit risk | 13,999 | 15,371 | 165,863 | 118,557 |
| 22 Performing residential mortgages, of which: | 34,550 | 8,138 | 73,924 | 84,184 |
| 23 With a risk weight of less than or equal to 35% under the Basel II Standardised Approach for credit risk | 34,550 | 8,138 | 73,924 | 84,184 |
| 24 Other loans and securities that are not in default and do not qualify as HQLA, including exchange-traded equities and trade finance on-balance sheet products | — | — | — | — |
| 25 Interdependent assets | — | — | — | — |
| 26 Other assets: | 109,191 | — | 35,270 | 68,184 |
| 27 Physical traded commodities | — | — | — | — |
| 28 Assets posted as initial margin for derivative contracts and contributions to default funds of CCPs | 28,470 | — | — | 24,200 |
| 29 NSFR derivative assets | 4,809 | — | — | 4,809 |
| 30 NSFR derivative liabilities before deduction of variation margin posted | 75,362 | — | — | 3,768 |
| 31 All other assets not included in the above categories | 550 | — | 35,270 | 35,407 |
| 32 Off-balance sheet items | 184,071 | 10 | 39 | 9,570 |
| **33 Total RSF** | | | | | **420,889** |
| **34 Net Stable Funding Ratio ($\%$) $^a$** | | | | | **137%** |

**Notes**
$^a$. Net Stable Funding Ratio is computed as a trailing average of the last four spot quarter end positions.
$^b$. No comparatives are provided as this is a new disclosure requirement from 1 January 2022.

As at 31 December 2022, the trailing average NSFR for the last four spot quarter end positions was 137%, equivalent to a surplus of £155bn above the 100% regulatory requirement.

**Introduction | Risk and capital position review | Barclays’ approach to managing risks | Appendices** | **Barclays PLC Pillar 3 Report 2022 39**

**Table 25: Functional currency of operations**

| | **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** |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| **As at 31 December 2022** | | | | | | |
| USD | 27,441 | (7,363) | (2,086) | 17,992 | (8,688) | 9,304 |
| EUR | 9,776 | (5,461) | (3) | 4,312 | (283) | 4,029 |
| JPY | 689 | — | (197) | 492 | — | 492 |
| Other currencies | 3,330 | — | (1,676) | 1,654 | (279) | 1,375 |
| **Total** | **41,236** | **(12,824)** | **(3,962)** | **24,450** | **(9,250)** | **15,200** |
| **As at 31 December 2021** | | | | | | |
| 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 2022, total structural currency exposure net of hedging instruments decreased by £1.0bn at £15.2bn (2021: £16.2bn). Foreign currency net investments increased by £3.7bn to £41.2bn (2021: £37.5bn) driven predominantly by a £1.5bn increase in USD, £1.3bn increase in EUR and £0.9bn increase in other currencies. The hedges associated with these investments increased by £3.2bn to £16.8bn (2021: £13.6bn).

**Introduction | Risk and capital position review | Barclays’ approach to managing risks | Appendices** | **Barclays PLC Pillar 3 Report 2022 40**

## Pension risk review

The UK Retirement Fund (UKRF) represents approximately 96% (31 December 2021: 97%) of the Group’s total retirement benefit obligations globally. As such this 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.

Refer to page 159 for more information on how pension risk is managed.

### 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 credit spread and growth assets. The split of scheme assets is shown within Note 33 on page 494 of the Barclays PLC Annual Report 2022. The fair value of the UKRF assets was £24.7bn as at 31 December 2022 (31 December 2021: £34.7bn).

### 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.

Pension risk is generated through the Group’s defined benefit schemes and this risk is set to reduce over time as the main defined benefit scheme is closed to new entrants. The chart below outlines the shape of the UKRF’s liability cash flow profile as at 31 December 2022 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 shape may vary depending on changes to inflation and longevity expectations and any members who elect to transfer out. Transfers out will bring forward the liability cash flows.

For more detail on the UKRF’s financial and demographic assumptions, see Note 33 on page 494 of the Barclays PLC Annual Report 2022.

**Proportion of liability cash flows (%)**
```mermaid
pie
    title Proportion of liability cash flows (%)
    "0-10 years" : 28.6
    "11-20 years" : 31.4
    "21-30 years" : 23.2
    "31-40 years" : 12.1
    "41-50 years" : 4.3
    "51+ years" : 0.5
```

**Net IAS 19 position (£bn)**
```mermaid
linechart
    title Net IAS 19 position (£bn)
    x-axis "Dec 2020", "Dec 2021", "Dec 2022"
    y-axis "£bn" 0 --> 6
    series "Net IAS 19 position (£bn)" 1.77, 3.82, 4.63
```

The graph above shows the evolution of the UKRF’s net IAS 19 position over the last two years. During 2022 the increase in the IAS 19 pension surplus was primarily driven by scheduled deficit reduction contributions, including payments made to unwind Heron transactions. The significant increase in interest rates over 2022 has had a broadly neutral impact on the net funding position. Benefit obligation reductions due to higher discount rates have been broadly offset by the changes in the fair value of scheme assets. 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.

**Introduction | Risk and capital position review | Barclays’ approach to managing risks | Appendices** | **Barclays PLC Pillar 3 Report 2022 41**

## 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, 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 494 of the Barclays PLC Annual Report 2022). 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 494 of the Barclays PLC Annual Report 2022). To mitigate part of this risk the UKRF has entered into longevity swaps hedging approximately three quarters 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.

Pension risk is taken into account in the Pillar 2A capital assessment undertaken by the PRA at least annually. The Pillar 2A requirement forms part of the Group’s Overall Capital Requirement for CET1 capital, Tier 1 capital and total capital. More detail on minimum regulatory requirements can be found in the Overall capital requirements section.

### Interest rate risk in the banking book

The table below shows the impact on the Bank’s economic value of equity (EVE) and net interest income (NII) from the six standardised interest rate shock scenarios defined in the PRA Rulebook.

**Table 26: IRRBB1 - Quantitative information on IRRBB**

| In reporting currency | **$\Delta$EVE** | **$\Delta$NII** | **Tier 1 capital** |
| :--- | :--- | :--- | :--- |
| | **31.12.22 £m** | **30.06.22 £m** | **31.12.22 £m** | **30.06.22 £m** | **31.12.22 £m** | **30.06.22 £m** |
| 10 Parallel shock up | (3,410) | (3,953) | 354 | 579 | | |
| 20 Parallel shock down | 1,236 | 1,233 | (927) | (1,633) | | |
| 30 Steepener shock | (435) | | (853) | | | |
| 40 Flattener shock | (1,267) | | (682) | | | |
| 50 Short rates shock up | (2,500) | | (1,975) | | | |
| 60 Short rates shock down | 727 | 473 | | | | |
| 70 Maximum | (3,410) | (3,953) | (927) | (1,633) | | |
| 80 Tier 1 capital | 60,102 | 58,988 | | | | |

The maximum EVE loss under the six scenarios was £3,410m under the parallel up scenario as of December 2022.

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

The maximum one-year loss in NII was £927m as of December 2022. The material driver of the parallel down scenario is the exposure to margin compression risk and timing of pricing changes to deposits across the Retail, Corporate and Private Bank. The reduction in the Bank’s NII sensitivity to a parallel down shock is driven by reduced levels of margin compression risk in customer deposits.

The average repricing maturity assigned to non-maturing deposits is 16 months, with the longest repricing maturity assigned to any portfolio of non-maturing deposits being 120 months. This is calculated using a simple weighted average maturity including all non-maturing deposits, regardless of hedging treatment.

**Introduction | Risk and capital position review | Barclays’ approach to managing risks | Appendices** | **Barclays PLC Pillar 3 Report 2022 42**

**Table 27: PV1 - Prudent valuation adjustments (PVA)$^d$**

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.

| Risk category | **Equity £m** | **Interest Rates £m** | **Foreign exchange £m** | **Credit £m** | **Commodities £m** | **Category level AVA - Valuation uncertainty £m** | **Investment and funding costs AVA £m** | **Total category level post diversification AVA £m** | **Of which: Total core approach in the trading book$^a$ $^b$ £m** | **Of which: Total core approach in the banking book$^a$ $^b$ £m** |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| 1 Market price uncertainty | 745 | 527 | 74 | 580 | — | 129 | 298 | 1,176 | 890 | 286 |
| 2 Set not applicable in the UK | — | — | — | — | — | — | — | — | — | — |
| 3 Close-out cost | 151 | 117 | 16 | 46 | — | 8 | 3 | 171 | 167 | 4 |
| 4 Concentrated positions | 20 | 32 | 6 | 13 | — | — | — | 71 | 71 | — |
| 5 Early termination | — | — | — | — | — | — | — | — | — | — |
| 6 Model risk | 62 | 48 | 1 | 10 | — | 19 | — | 70 | 65 | 5 |
| 7 Operational risk | 50 | 42 | 4 | 38 | — | — | 134 | 97 | 37 |
| 8 Set not applicable in the UK | — | — | — | — | — | — | — | — | — | — |
| 9 Set not applicable in the UK | — | — | — | — | — | — | — | — | — | — |
| 10 Future administrative costs | — | 89 | 11 | 4 | — | — | — | 104 | 104 | — |
| 11 Set not applicable in the UK | — | — | — | — | — | — | — | — | — | — |
| **12 Total Additional Valuation Adjustments (AVAs)** | **1,028** | **855** | **112** | **691** | **—** | **156** | **301** | **1,726** | **1,394** | **332** |

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

**Introduction | Risk and capital position review | Barclays’ approach to managing risks | Appendices** | **Barclays PLC Pillar 3 Report 2022 43**

## Analysis of credit risk

This section details Barclays’ credit risk profile, focusing on regulatory measure 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

**Total RWAs**
**£197.3bn**
(2021: £177.9bn)

Credit risk RWAs increased £19.4bn to £197.3bn primarily due to an increase in lending across CIB and CC&P including the Gap portfolio acquisition, FX and regulatory changes primarily relating to IRB roadmap changes, partially offset by the disposal of Barclays’ equity stake in Absa.

**Introduction | Risk and capital position review | Barclays’ approach to managing risks | Appendices** | **Barclays PLC Pillar 3 Report 2022 44**

**Table 28: CR4 - Standardised approach - Credit risk exposure and CRM effects**

This table shows the impact of CRM and credit conversion factors (CCF) on exposure values, broken down by regulatory exposure class. This table includes exposures subject to the standardised approach only.

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

| | **Exposures before CCF and CRM** | **Exposures post-CCF and CRM** | **RWA and RWA density** |
| :--- | :--- | :--- | :--- |
| | **On-balance sheet amount £m** | **Off-balance sheet amount £m** | **On-balance sheet amount £m** | **Off-balance sheet amount £m** | **RWA £m** | **RWA density %** |
| **As at 31 December 2022** | | | | | | |
| 1 Central governments or central banks | 272,764 | 39,138 | 286,310 | 49,616 | 111 | 0% |
| 2 Regional governments or local authorities | 5,580 | 248 | 6,621 | 25 | 838 | 13% |
| 3 Public sector entities | 7,206 | 416 | 735 | 94 | 161 | 19% |
| 4 Multilateral development banks | 5,550 | — | 5,550 | — | — | 0% |
| 5 International organisations | 295 | — | 295 | — | — | 0% |
| 6 Institutions | 5,644 | 1,610 | 5,558 | 761 | 1,860 | 29% |
| 7 Corporates | 32,098 | 42,827 | 21,646 | 10,731 | 29,435 | 91% |
| 8 Retail | 36,190 | 114,869 | 30,634 | 51 | 22,915 | 75% |
| 9 Secured by mortgages on immovable property | 10,451 | 514 | 10,421 | 49 | 3,899 | 37% |
| 10 Exposures in default | 2,744 | 728 | 1,736 | 289 | 2,486 | 123% |
| 11 Exposures associated with particularly high risk | 1,915 | 4 | 1,915 | 2 | 2,875 | 150% |
| 12 Covered bonds | 294 | — | 294 | — | 29 | 10% |
| 13 Institutions and corporates with a short-term credit assessment | — | — | — | — | — | — |
| 14 Collective investment undertakings | — | — | — | — | — | — |
| 15 Equity | 134 | — | 134 | — | 334 | 250% |
| 16 Other items | 4,364 | — | 4,364 | — | 1,853 | 42% |
| 17 Total | **385,229** | **200,354** | **376,213** | **61,618** | **66,796** | **15%** |
| **As at 31 December 2021** | | | | | | |
| 1 Central governments or central banks | 217,964 | 33,971 | 229,353 | 42,332 | 61 | 0% |
| 2 Regional governments or local authorities | 9,151 | 266 | 9,006 | 26 | 1,501 | 17% |
| 3 Public sector entities | 5,617 | 257 | 5,619 | 130 | 190 | 3% |
| 4 Multilateral development banks | 5,314 | — | 5,314 | — | — | 0% |
| 5 International organisations | 558 | — | 558 | — | — | 0% |
| 6 Institutions | 4,505 | 1,582 | 4,280 | 825 | 1,526 | 30% |
| 7 Corporates | 27,029 | 38,927 | 17,440 | 10,346 | 25,446 | 92% |
| 8 Retail | 30,645 | 76,369 | 22,545 | 35 | 16,855 | 75% |
| 9 Secured by mortgages on immovable property | 9,430 | 102 | 9,382 | 51 | 3,548 | 38% |
| 10 Exposures in default | 2,329 | 516 | 1,104 | 201 | 1,515 | 116% |
| 11 Exposures associated with particularly high risk$^a$ | 1,957 | 10,170 | 1,957 | 2 | 2,938 | 150% |
| 12 Covered bonds | 1,110 | — | 1,110 | — | 115 | 10% |
| 13 Institutions and corporates with a short-term credit assessment | — | — | — | — | — | — |
| 14 Collective investment undertakings | — | — | — | — | — | — |
| 15 Equity | 851 | — | 851 | — | 2,127 | 250% |
| 16 Other items | 4,217 | — | 4,217 | — | 2,186 | 51% |
| 17 Total | **320,677** | **162,160** | **312,736** | **53,948** | **58,008** | **16%** |

Note
$^a$. Prior period number has been updated to reflect the impact of Over-issuance of securities.

Standardised RWAs increased by £8.8bn to £66.8bn primarily driven by:
▪ Retail RWAs increased by £6.1bn to £22.9bn driven by the higher CC&P balances mainly due to GAP acquisition and an increase in FX primarily due to appreciation of USD against GBP
▪ Corporate RWAs increased by £4.0bn to £29.4bn primarily due to lending activities within CIB
▪ Equity RWAs decreased by £1.8bn to £0.3bn primarily driven by the disposal of Barclays' equity stake in Absa.

**Introduction | Risk and capital position review | Barclays’ approach to managing risks | Appendices** | **Barclays PLC Pillar 3 Report 2022 45**

**Table 29: CR5 – Standardised approach**

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

| | **Risk weight** | | | | | | | | | | | | | | | | **Total £m** | **Of which Others unrated £m** |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| **As at 31 December 2022** | **0 %** | **2 %** | **4 %** | **10 %** | **20 %** | **35 %** | **50 %** | **70 %** | **75 %** | **100 %** | **150 %** | **250 %** | **370 %** | **1250 %** | **Others** | | |
| 1 Central governments or central banks | 335,815 | — | — | — | — | — | — | — | 111 | — | — | — | — | — | — | 335,926 | 292 |
| 2 Regional government or local authorities | 2,455 | — | — | — | 4,191 | — | — | — | — | — | — | — | — | — | — | 6,646 | 4,067 |
| 3 Public sector entities | 26 | — | — | — | 802 | — | 1 | — | — | — | — | — | — | — | — | 829 | 759 |
| 4 Multilateral development banks | 5,550 | — | — | — | — | — | — | — | — | — | — | — | — | — | — | 5,550 | — |
| 5 International organisations | 295 | — | — | — | — | — | — | — | — | — | — | — | — | — | — | 295 | — |
| 6 Institutions | — | — | — | — | 5,022 | — | 884 | — | — | 413 | — | — | — | — | — | 6,319 | 459 |
| 7 Corporates | — | — | — | — | 2,614 | — | 1,397 | — | — | 28,048 | 316 | — | 2 | — | 32,377 | 27,130 |
| 8 Retail | — | — | — | — | — | — | — | — | 30,685 | — | — | — | — | — | — | 30,685 | 30,685 |
| 9 Secured by mortgages on immovable property | — | — | — | — | — | 10,061 | — | — | 16 | 393 | — | — | — | — | — | 10,470 | 10,470 |
| 10 Exposures in default | — | — | — | — | — | — | — | — | — | 1,104 | 921 | — | — | — | — | 2,025 | 2,025 |
| 11 Exposures associated with particularly high risk | — | — | — | — | — | — | — | — | — | — | 1,917 | — | — | — | — | 1,917 | 1,917 |
| 12 Covered bonds | — | — | — | 294 | — | — | — | — | — | — | — | — | — | — | — | 294 | — |
| 13 Institutions and corporates with a short-term credit assessment | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
| 14 Unit or shares in collective investment undertakings | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
| 15 Equity | — | — | — | — | — | — | — | — | — | — | — | 134 | — | — | — | 134 | 134 |
| 16 Other items | 1,351 | — | — | — | 1,450 | — | — | — | — | 1,563 | — | — | — | — | — | 4,364 | 4,364 |
| 17 Total | **345,492** | **—** | **—** | **294** | **14,079** | **10,061** | **2,282** | **—** | **30,701** | **31,632** | **3,154** | **134** | **—** | **—** | **2** | **437,831** | **82,302** |

**As at 31 December 2021**

| | **Risk weight** | | | | | | | | | | | | | | | | **Total £m** | **Of which Others unrated £m** |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| | **0 %** | **2 %** | **4 %** | **10 %** | **20 %** | **35 %** | **50 %** | **70 %** | **75 %** | **100 %** | **150 %** | **250 %** | **370 %** | **1250 %** | **Others** | | |
| 1 Central governments or central banks | 271,623 | — | — | — | — | — | — | — | 62 | — | — | — | — | — | — | 271,685 | 484 |
| 2 Regional government or local authorities | 1,526 | — | — | — | 7,506 | — | — | — | — | — | — | — | — | — | — | 9,032 | 7,200 |
| 3 Public sector entities | 4,804 | — | — | — | 944 | — | 1 | — | — | — | — | — | — | — | — | 5,749 | 920 |
| 4 Multilateral development banks | 5,314 | — | — | — | — | — | — | — | — | — | — | — | — | — | — | 5,314 | — |
| 5 International organisations | 558 | — | — | — | — | — | — | — | — | — | — | — | — | — | — | 558 | — |
| 6 Institutions | — | — | — | — | 4,117 | — | 611 | — | — | 376 | — | — | — | 2 | — | 5,105 | 816 |
| 7 Corporates | — | — | — | — | 1,767 | — | 1,819 | — | — | 23,782 | 415 | — | 3 | — | 27,786 | 22,639 |
| 8 Retail | — | — | — | — | — | — | — | — | 22,580 | — | — | — | — | — | — | 22,580 | 22,580 |
| 9 Secured by mortgages on immovable property | — | — | — | — | — | 9,020 | — | — | 20 | 393 | — | — | — | — | — | 9,433 | 9,433 |
| 10 Exposures in default | — | — | — | — | — | — | — | — | — | 884 | 421 | — | — | — | — | 1,305 | 1,305 |
| 11 Exposures associated with particularly high risk$^a$ | — | — | — | — | — | — | — | — | — | — | 1,959 | — | — | — | — | 1,959 | 1,959 |
| 12 Covered bonds | — | — | — | 1,071 | 39 | — | — | — | — | — | — | — | — | — | — | 1,110 | — |
| 13 Institutions and corporates with a short-term credit assessment | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
| 14 Unit or shares in collective investment undertakings | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
| 15 Equity | — | — | — | — | — | — | — | — | — | — | — | 851 | — | — | — | 851 | 851 |
| 16 Other items | 1,388 | — | — | — | 824 | — | — | — | — | 2,005 | — | — | — | — | — | 4,217 | 4,217 |
| 17 Total | **285,213** | **—** | **—** | **1,071** | **15,196** | **9,020** | **2,430** | **—** | **22,600** | **27,503** | **2,795** | **851** | **—** | **—** | **5** | **366,684** | **72,404** |

Standardised Credit Risk Exposure Post-CCF and CRM increased £71.1bn to £437.8bn primarily driven by:
▪ Central Government and Central Bank increased due to movements in the Group liquidity pool within the 0% risk weight category
▪ Retail increased due to higher CC&P balances driven by GAP portfolio acquisition and an increase in FX due to appreciation of USD against GBP within the 75% risk weight category.

**Introduction | Risk and capital position review | Barclays’ approach to managing risks | Appendices** | **Barclays PLC Pillar 3 Report 2022 47**

**Table 30: CR7 – IRB approach – Effect on the RWEAs of credit derivatives used as CRM techniques**

This table shows the effect of credit derivatives on the AIRB credit risk approach and will not directly reconcile to the CR AIRB RWAs in table 10.

| | **Pre-credit derivatives risk weighted exposure amount £m** | **Actual risk weighted exposure amount £m** |
| :--- | :--- | :--- |
| | **As at 31 December 2022** | **As at 31 December 2021** | **As at 31 December 2022** | **As at 31 December 2021** |
| 5 Exposures under AIRB | 109,556 | 100,268 | 109,536 | 100,244 |
| 6 Central governments and central banks | 3,402 | 4,569 | 3,402 | 4,569 |
| 7 Institutions | 4,477 | 3,941 | 4,477 | 3,941 |
| 8 Corporates$^a$ | 53,865 | 45,867 | 53,845 | 45,843 |
| 8.1 of Corporates - which SMEs | 8,281 | 8,310 | 8,281 | 8,310 |
| 8.2 of which Corporates - Specialised lending | — | — | — | — |
| 9 Retail | 47,812 | 45,891 | 47,812 | 45,891 |
| 9.1 of which Retail – SMEs - Secured by immovable property collateral | — | — | — | — |
| 9.2 of which Retail – non-SMEs - Secured by immovable property collateral | 27,669 | 26,725 | 27,669 | 26,725 |
| 9.3 of which Retail – Qualifying revolving | 13,543 | 12,353 | 13,543 | 12,353 |
| 9.4 of which Retail – SMEs - Other | 2,892 | 3,176 | 2,892 | 3,176 |
| 9.5 of which Retail – Non-SMEs- Other | 3,708 | 3,637 | 3,708 | 3,637 |
| 10 Total | **109,556** | **100,268** | **109,536** | **100,244** |

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

Advanced credit risk RWAs increased by £9.3bn to £109.6bn primarily driven by CIB lending activity, an increase in FX primarily due to appreciation of USD against GBP, growth in mortgages and implementation of IRB roadmap changes. This was partially offset by a benefit in mortgages from an increase in the HPI.

**Introduction | Risk and capital position review | Barclays’ approach to managing risks | Appendices** | **Barclays PLC Pillar 3 Report 2022 48**

**Table 31: CR7-A – IRB approach – Disclosure of the extent of the use of CRM techniques$^a$**

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

| | **Credit risk Mitigation techniques** | | | | | | | | | | | | **Credit risk Mitigation methods in the calculation of RWEAs** |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| | **Funded credit Protection (FCP)** | | | | | | | | **Unfunded credit Protection (UFCP)** | | | | |
| **A-IRB** | **Total exposures £m** | **Part of exposures covered by Financial Collaterals %** | **Part of exposures covered by Other eligible collaterals %** | **Part of exposures covered by Other funded credit protection %** | **Part of exposures covered by Guarantees %** | **Part of exposures covered by Credit Derivatives %** | **Part of exposures covered by Immovable property Collaterals %** | **Part of exposures covered by Receivables %** | **Part of exposures covered by Other physical collateral %** | **Part of exposures covered by Cash on deposit %** | **Part of exposures covered by Life insurance policies %** | **Part of exposures covered by Instruments held by a third party %** | **RWEA post all CRM £m** | **RWEA with substitution effects £m** |
| **As at 31 December 2022** | | | | | | | | | | | | | | |
| 1 Central governments and central banks | 71,555 | 0.2% | — | — | — | — | — | — | — | — | — | 3,402 | 3,402 |
| 2 Institutions | 18,588 | 0.7% | 0.9% | 0.3% | — | 0.6% | 1.5% | 1.5% | — | — | 3.6% | — | 4,477 | 4,477 |
| 3 Corporates | 83,691 | 5.8% | 18.1% | 14.2% | 0.6% | 3.4% | — | — | — | 1.7% | 0.2% | 53,845 | 53,845 |
| 3.1 Of which Corporates – SMEs | 11,722 | 2.9% | 61.4% | 59.5% | 1.6% | 0.3% | — | — | — | 1.4% | — | 8,281 | 8,281 |
| 3.2 Of which Corporates – Specialised lending | — | — | — | — | — | — | — | — | — | — | — | — | — |
| 3.3 Of which Corporates – Other | 71,969 | 6.2% | 11.1% | 6.8% | 0.4% | 3.9% | — | — | — | 1.7% | 0.2% | 45,564 | 45,564 |
| 4 Retail | 217,660 | 0.0% | 226.6% | 226.6% | — | 0.0% | — | — | — | — | 1.2% | — | 47,812 | 47,812 |
| 4.1 Of which Retail – Immovable property SMEs | — | — | — | — | — | — | — | — | — | — | — | — | — |
| 4.2 Of which Retail – Immovable property non-SMEs | 173,643 | — | 281.9% | 281.9% | — | — | — | — | — | — | 1.5% | — | 27,669 | 27,669 |
| 4.3 Of which Retail – Qualifying revolving | 32,739 | — | — | — | — | — | — | — | — | — | — | 13,543 | 13,543 |
| 4.4 Of which Retail – Other SMEs | 7,267 | 0.0% | 50.9% | 50.8% | — | 0.1% | — | — | — | — | 0.4% | — | 2,892 | 2,892 |
| 4.5 Of which Retail – Other non-SMEs | 4,011 | — | — | — | — | — | — | — | — | — | — | 3,708 | 3,708 |
| 5 Total | **391,494** | **1.3%** | **129.9%** | **129.0%** | **0.1%** | **0.8%** | **0.1%** | **0.1%** | **—** | **1.2%** | **0.0%** | **109,536** | **109,536** |

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

**Introduction | Risk and capital position review | Barclays’ approach to managing risks | Appendices** | **Barclays PLC Pillar 3 Report 2022 49**

## Credit quality analysis of standardised exposures

### Credit rating agencies

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

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

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

### Rated and unrated counterparties

The following section summarises the rules governing standardised calculations for non-securitised exposures.
Each exposure must be assigned to one of six credit quality steps if a rating is available, as defined in the table below. After being assigned to a specific quality step, exposure class and maturity are then used to determine the risk weight percentage. The following table is a simplified version of the risk weight allocation process.

**Table 32: Relationship of long-term external credit ratings to credit quality steps under the standardised approach for non-securitised exposures**

| Credit Quality Step | Standard and Poor's | Moody's | Fitch |
| :--- | :--- | :--- | :--- |
| Credit Quality Step 1 | AAA+ to AA- | Aaa1 to Aa3 | AAA+ to AA |
| Credit Quality Step 2 | A+ to A- | A1 to A3 | A+ to A- |
| Credit Quality Step 3 | BBB+ to BBB- | Baa1 to Baa3 | BBB+ to BBB |
| Credit Quality Step 4 | BB+ to BB- | Ba1 to Ba3 | BB+ to BB- |
| Credit Quality Step 5 | B+ to B- | B1 to B3 | B+ to B- |
| Credit Quality Step 6 | CCC+ and below | Caa1 and below | CCC+ and below |

**Table 33: Credit quality steps and risk weights under the standardised approach**

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

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

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

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

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

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

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

**Notes**
$^a$. DBRS and Kroll Bond Rating Agency are used to calculate risk weights for securitisation exposures only. Please see page 148 for further details.
$^b$. The mapping of external ratings to credit quality steps applicable as at year-end 2022 are found in Commission Implementing Regulation (EU) 2016/1799 as amended (for non-securitisation exposures) and PRA Supervisory Statement SS10/18 (for securitisation positions).

**Introduction | Risk and capital position review | Barclays’ approach to managing risks | Appendices** | **Barclays PLC Pillar 3 Report 2022 50**

## Credit quality analysis of IRB exposures

The following section provides a breakdown of inputs for the calculation of risk weighted assets, especially in minimum exposure categories often due to the addition or removal of relatively large exposures when the risk factor deviates from the category average. This happens in the normal course of business, following new lending, repayments, or syndications. See page 121 for a discussion of IRB models.

**Table 34: Internal default grade probabilities and mapping to external ratings**

The table below illustrates the approximate relationship between external rating agency grades and the PD bands for wholesale exposures. The EBA and internal Default Grade (DG) bands are based on TTC PD. Note that this relationship is dynamic, and therefore, varies over time, region and industry.

| EBA PD Range % | Internal DG Band | Default Probability >Min | Default Probability Mid | Default Probability <=Max | Financial statements description | Moody’s | Standard and Poor’s |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| 0.00 to < 0.15 | 1 | 0.00% | 0.01% | 0.02% | Strong | Aaa, Aa1, Aa2 | AAA, AA+, AA |
| | 2 | 0.02% | 0.03% | 0.03% | | Aa3 | AA |
| | 3 | 0.03% | 0.04% | 0.05% | | A1, A2, A3 | A+ |
| | 4 | 0.05% | 0.08% | 0.10% | | A1, A2, A3 | A, A- |
| | 5 | 0.10% | 0.13% | 0.15% | | Baa1 | BBB+ |
| 0.15 to < 0.25 | 6 | 0.15% | 0.18% | 0.20% | Strong | Baa2 | BBB |
| | 7 | 0.20% | 0.23% | 0.25% | | Baa3 | BBB- |
| 0.25 to < 0.50 | 8 | 0.25% | 0.28% | 0.30% | Strong | Baa3 | BBB- |
| | 9 | 0.30% | 0.35% | 0.40% | | Baa3 | BBB |
| | 10 | 0.40% | 0.45% | 0.50% | | Ba1 | BB+ |
| 0.50 to < 0.75 | 11 | 0.50% | 0.55% | 0.60% | Strong | Ba1 | BB+ |
| | 12 | 0.60% | — | — | Satisfactory | Ba2, Ba3 | BB, BB- |
| 0.75 to < 2.50 | 12 | — | 1.10% | 1.20% | Satisfactory | Ba2, Ba3 | BB, BB- |
| | 13 | 1.20% | 1.38% | 1.55% | | Ba3 | BB- |
| | 14 | 1.55% | 1.85% | 2.15% | | Ba3 | B+ |
| | 15 | 2.15% | — | — | | B1 | B+ |
| 2.50 to < 10.00 | 15 | — | 2.60% | 3.05% | Satisfactory | B1 | B+ |
| | 16 | 3.05% | 3.75% | 4.45% | | B2 | B+ |
| | 17 | 4.45% | 5.40% | 6.35% | | B3, Caa1 | B- |
| | 18 | 6.35% | 7.50% | 8.65% | | B3, Caa1 | B- |
| | 19 | 8.65% | 10.00% | — | | B3, Caa1 | CCC+ |
| 10.00 to < 100.00 | 19 | — | — | 11.35% | Higher risk | B3, Caa1 | CCC+ |
| | 20 | 11.35% | 15.00% | 18.65% | | Caa2 | CCC |
| | 21 | 18.65% | 30.00% | 99.99% | | Caa3, Ca, C | CCC-, CC+, CC, C |
| 100.00 (Default) | 22 | 100 % | — | — | Credit Impaired | D | D |

**Introduction | Risk and capital position review | Barclays’ approach to managing risks | Appendices** | **Barclays PLC Pillar 3 Report 2022 51**

**Table 35: CR6-A – Scope of the use of IRB and SA approaches$^a$**

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

| | **Exposure value as defined in Article 166 CRR for exposures subject to IRB approach £m** | **Total exposure value for exposures subject to the Standardised approach and to the IRB approach £m** | **Percentage of total exposure value subject to the permanent partial use of the SA %** | **Percentage of total exposure value subject to IRB Approach %** | **Percentage of total exposure value subject to a roll-out plan %** |
| :--- | :--- | :--- | :--- | :--- | :--- |
| **31 December 2022** | | | | | |
| 1 Central governments or central banks | 71,594 | 402,821 | 75.3% | 17.8% | 6.9% |
| 1.1 Of which Regional governments or local authorities | 7,928 | 58.1% | 26.5% | 15.4% |
| 1.2 Of which Public sector entities | 7,647 | 91.2% | — | 8.8% |
| 2 Institutions | 23,906 | 31,456 | — | 76.0% | 24.0% |
| 3 Corporates | 130,362 | 211,346 | — | 61.7% | 38.3% |
| 3.1 Of which Corporates - Specialised lending, excluding slotting approach | — | — | — | — |
| 3.2 Of which Corporates - Specialised lending under slotting approach | 7,893 | — | 100.0% | — |
| 4 Retail | 242,870 | 405,729 | — | 59.9% | 40.1% |
| 4.1 of which Retail – Secured by real estate SMEs | 4 | — | — | 100.0% | — |
| 4.2 of which Retail – Secured by real estate non-SMEs | 184,734 | — | 95.6% | 4.4% |
| 4.3 of which Retail – Qualifying revolving | 199,097 | — | 27.9% | 72.1% |
| 4.4 of which Retail – Other SMEs | 12,140 | — | 55.0% | 45.0% |
| 4.5 of which Retail – Other non-SMEs | 9,754 | — | 41.1% | 58.9% |
| 5 Equity | — | 2,052 | — | — | 100.0% |
| 6 Other non-credit obligation assets | 10,288 | 14,656 | 25.2% | 70.2% | 4.6% |
| 7 Total | **479,020** | **1,068,060** | **28.8%** | **44.9%** | **26.3%** |

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

**Introduction | Risk and capital position review | Barclays’ approach to managing risks | Appendices** | **Barclays PLC Pillar 3 Report 2022 52**

## AIRB obligor grade disclosure

The following tables show credit risk exposure at default post-CRM for the advanced IRB approach for portfolios within the banking book. Separate tables are provided for the following credit exposure classes: central governments and central banks (table 37), institutions (table 38), corporates (table 39), corporates SME (table 40), retail SME (table 41), secured retail (table 42), revolving retail (table 43) and other retail (table 44).

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

**Table 36: CR6 – IRB approach – Total Portfolios**

| | **On-balance sheet exposures £m** | **Off-balance sheet exposures pre-CCF £m** | **Exposure weighted average CCF %** | **Exposure post CCF and post CRM £m** | **Exposure weighted average PD %** | **Number of obligors** | **Exposure weighted average LGD %** | **Exposure weighted average maturity (years)** | **Risk weighted exposure amount after supporting factors £m** | **Density of risk weighted exposure amount %** | **Expected loss amount £m** | **Value adjustments and provisions £m** |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| **As at 31 December 2022** | | | | | | | | | | | | |
| Total (all exposure classes) | 315,001 | 145,838 | 51.8% | 386,459 | 24,816,027 | 2 | 109,534 | 28.3% | 2,861 | (2,977) |
| **As at 31 December 2021** | | | | | | | | | | | | |
| Total (all exposure classes) | 335,379 | 150,754 | 45.8% | 408,256 | 24,812,706 | 2 | 100,244 | 24.6% | 2,732 | (3,278) |

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

Further information on the key drivers for the RWA density are provided in table 37 - table 44.

**Introduction | Risk and capital position review | Barclays’ approach to managing risks | Appendices** | **Barclays PLC Pillar 3 Report 2022 53**

**Table 37: CR6 – IRB approach – Credit risk exposures by exposure class and PD range for central governments and central banks**

| PD range | **On-balance sheet exposures £m** | **Off-balance-sheet exposures pre CCF £m** | **Exposure weighted average CCF %** | **Exposure post CCF and post CRM £m** | **Exposure weighted average PD %** | **Number of obligors** | **Exposure weighted average LGD %** | **Exposure weighted average maturity (years)** | **Risk weighted exposure amount after supporting factors £m** | **Density of risk weighted exposure amount %** | **Expected loss amount £m** | **Value adjustments and provisions £m** |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| **As at 31 December 2022** | | | | | | | | | | | | |
| 0.00 to <0.15 | 70,836 | 97 | 60.0% | 70,752 | 0.0% | 26 | 45.0% | 2 | 2,915 | 4.1% | 2 | 0 |
| 0.00 to <0.10 | 70,836 | 97 | 60.0% | 70,752 | 0.0% | 26 | 45.0% | 2 | 2,915 | 4.1% | 2 | 0 |
| 0.10 to <0.15 | — | — | — | — | — | — | — | — | — | — | — | — |
| 0.15 to <0.25 | — | — | — | — | — | — | — | — | — | — | — | — |
| 0.25 to <0.50 | 651 | — | — | 651 | 0.4% | 3 | 45.0% | 3 | 479 | 73.6% | 1 | (5) |
| 0.50 to <0.75 | 9 | — | — | 9 | 0.6% | 1 | 45.0% | 3 | 8 | 86.7% | 0 | 0 |
| 0.75 to <2.50 | — | — | — | — | — | — | — | — | — | — | — | — |
| 0.75 to <1.75 | — | — | — | — | — | — | — | — | — | — | — | — |
| 1.75 to <2.5 | — | — | — | — | — | — | — | — | — | — | — | — |
| 2.50 to <10.00 | — | — | — | — | — | — | — | — | — | — | — | — |
| 2.5 to <5 | — | — | — | — | — | — | — | — | — | — | — | — |
| 5 to <10 | — | — | — | — | — | — | — | — | — | — | — | — |
| 10.00 to <100.00 | — | — | — | — | — | — | — | — | — | — | — | — |
| 10 to <20 | — | — | — | — | — | — | — | — | — | — | — | — |
| 20 to <30 | — | — | — | — | — | — | — | — | — | — | — | — |
| 30.00 to <100.00 | — | — | — | — | — | — | — | — | — | — | — | — |
| 100.00 (Default) | — | — | — | — | — | — | — | — | — | — | — | — |
| **Subtotal (exposure class)** | **71,496** | **97** | **60.0%** | **71,412** | **0.0%** | **30** | **45.0%** | **2** | **3,402** | **4.8%** | **3** | **(5)** |
| **As at 31 December 2021** | | | | | | | | | | | | |
| 0.00 to < 0.15 | 94,463 | 97 | 18.5% | 94,391 | 0.0% | 33 | 45.0% | 2 | 4,172 | 4.4% | 4 | 0 |
| 0.15 to < 0.25 | 4 | — | — | 4 | 0.2% | 4 | 48.1% | 1 | 1 | 35.2% | 0 |
| 0.25 to < 0.50 | 592 | — | — | 592 | 0.4% | 3 | 45.0% | 2 | 396 | 66.8% | 1 |
| 0.50 to < 0.75 | — | — | — | — | — | — | — | — | — | — | — | — |
| 0.75 to < 2.50 | — | — | — | — | — | — | — | — | — | — | — | — |
| 2.50 to < 10.00 | — | — | — | — | — | — | — | — | — | — | — | — |
| 10.00 to < 100.00 | 0 | — | — | 0 | 12.1% | 1 | 63.0% | 1 | 0 | 300.8% | 0 |
| 100.00 (Default) | — | — | — | — | — | — | — | — | — | — | — | — |
| **Subtotal (exposure class)** | **95,059** | **97** | **18.5%** | **94,987** | **0.0%** | **41** | **45.0%** | **2** | **4,569** | **4.8%** | **5** | **(0)** |

The RWA density associated with central governments and central banks remained stable at 4.8% (December 2021: 4.8%).

**Introduction | Risk and capital position review | Barclays’ approach to managing risks | Appendices** | **Barclays PLC Pillar 3 Report 2022 54**

**Table 38: CR6 – IRB approach – Credit risk exposures by exposure class and PD range for institutions**

| PD Range | **On-balance sheet exposures £m** | **Off-balance-sheet exposures pre CCF £m** | **Exposure weighted average CCF$^a$ %** | **Exposure post CCF and post CRM £m** | **Exposure weighted average PD %** | **Number of obligors** | **Exposure weighted average LGD %** | **Exposure weighted average maturity (years)** | **Risk weighted exposure amount after supporting factors £m** | **Density of risk weighted exposure amount %** | **Expected loss amount £m** | **Value adjustments and provisions £m** |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| **As at 31 December 2022** | | | | | | | | | | | | |
| 0.00 to <0.15 | 10,770 | 9,487 | 48.7% | 15,401 | 0.0% | 426 | 41.4% | 2 | 2,899 | 18.8% | 2 | (9) |
| 0.00 to <0.10 | 10,419 | 9,419 | 48.6% | 15,006 | 0.0% | 398 | 41.2% | 2 | 2,768 | 18.4% | 2 | (9) |
| 0.10 to <0.15 | 351 | 68 | 63.6% | 395 | 0.1% | 28 | 48.7% | 1 | 131 | 33.3% | 0 | 0 |
| 0.15 to <0.25 | 1,798 | 487 | 68.8% | 2,133 | 0.2% | 35 | 33.7% | 2 | 728 | 34.1% | 1 | (1) |
| 0.25 to <0.50 | 64 | 50 | 50.1% | 90 | 0.3% | 33 | 55.3% | 2 | 76 | 85.0% | 0 | 0 |
| 0.50 to <0.75 | 7 | 24 | 61.7% | 21 | 0.7% | 56 | 63.9% | 1 | 30 | 140.0% | 0 | 0 |
| 0.75 to <2.50 | 112 | 422 | 34.3% | 256 | 1.5% | 251 | 41.5% | 1 | 275 | 107.0% | 2 | (1) |
| 0.75 to <1.75 | 37 | 401 | 33.5% | 171 | 1.1% | 186 | 37.8% | 1 | 141 | 82.0% | 1 | (1) |
| 1.75 to <2.5 | 75 | 21 | 49.5% | 85 | 2.3% | 65 | 49.0% | 2 | 134 | 156.9% | 1 | 0 |
| 2.50 to <10.00 | 405 | 64 | 54.1% | 439 | 3.5% | 85 | 21.3% | 2 | 321 | 73.2% | 3 | 0 |
| 2.5 to <5 | 366 | 52 | 53.0% | 393 | 2.9% | 58 | 20.1% | 2 | 253 | 64.5% | 2 | 0 |
| 5 to <10 | 39 | 12 | 58.6% | 46 | 8.5% | 27 | 31.6% | 2 | 68 | 147.6% | 1 | 0 |
| 10.00 to <100.00 | 24 | 176 | 54.1% | 120 | 17.5% | 30 | 18.8% | 3 | 131 | 109.7% | 3 | (3) |
| 10 to <20 | 3 | 154 | 48.9% | 79 | 12.6% | 20 | 22.2% | 3 | 98 | 124.6% | 2 | (2) |
| 20 to <30 | 20 | 22 | 89.8% | 40 | 26.3% | 3 | 11.8% | 2 | 30 | 76.1% | 1 | (1) |
| 30.00 to <100.00 | 1 | 0 | 114.4% | 1 | 43.9% | 7 | 32.3% | 2 | 3 | 275.0% | 0 | 0 |
| 100.00 (Default) | 13 | 1 | 15.9% | 13 | 100.0% | 5 | 12.1% | 2 | 17 | 125.9% | 0 | 0 |
| **Subtotal (exposure class)** | **13,193** | **10,711** | **50.1%** | **18,473** | **0.3%** | **921** | **39.9%** | **2** | **4,477** | **24.2%** | **11** | **(14)** |
| **As at 31 December 2021** | | | | | | | | | | | | |
| 0.00 to < 0.15 | 11,669 | 7,431 | 49.6% | 15,312 | 0.0% | 484 | 38.5% | 3 | 2,854 | 18.6% | 3 | 0 |
| 0.15 to < 0.25 | 1,141 | 62 | 70.1% | 1,184 | 0.2% | 54 | 15.5% | 2 | 208 | 17.6% | 0 |
| 0.25 to < 0.50 | 79 | 161 | 55.6% | 169 | 0.3% | 62 | 56.4% | 2 | 149 | 88.2% | 0 |
| 0.50 to < 0.75 | 32 | 83 | 83.3% | 83 | 0.6% | 63 | 34.1% | 1 | 50 | 60.0% | 0 |
| 0.75 to < 2.50 | 76 | 83 | 51.6% | 118 | 1.7% | 275 | 40.7% | 3 | 131 | 111.2% | 1 |
| 2.50 to < 10.00 | 184 | 188 | 52.5% | 282 | 4.0% | 139 | 48.2% | 2 | 469 | 166.2% | 5 |
| 10.00 to < 100.00 | 18 | 63 | 71.1% | 63 | 20.2% | 15 | 19.1% | 2 | 70 | 110.5% | 2 |
| 100.00 (Default) | 8 | 14 | 0.3% | 8 | 100.0% | 12 | 11.3% | 2 | 10 | 121.8% | 0 |
| **Subtotal (exposure class)** | **13,207** | **8,064** | **50.3%** | **17,219** | **0.3%** | **1,104** | **37.2%** | **3** | **3,941** | **22.9%** | **11** | **(4)** |

The RWA density associated with institutions increased 1.3% to 24.2% primarily due to reduction in credit quality.

**Introduction | Risk and capital position review | Barclays’ approach to managing risks | Appendices** | **Barclays PLC Pillar 3 Report 2022 55**

**Table 39: CR6 – IRB approach – Credit risk exposures by exposure class and PD range for corporates - other**

| PD Range | **On-balance sheet exposures £m** | **Off-balance-sheet exposures pre CCF £m** | **Exposure weighted average CCF$^a$ %** | **Exposure post CCF and post CRM £m** | **Exposure weighted average PD %** | **Number of obligors** | **Exposure weighted average LGD %** | **Exposure weighted average maturity (years)** | **Risk weighted exposure amount after supporting factors £m** | **Density of risk weighted exposure amount %** | **Expected loss amount £m** | **Value adjustments and provisions £m** |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| **As at 31 December 2022** | | | | | | | | | | | | |
| 0.00 to <0.15 | 14,885 | 44,479 | 48.4% | 35,462 | 0.1% | 1,563 | 40.0% | 3 | 9,201 | 25.9% | 10 | (14) |
| 0.00 to <0.10 | 13,330 | 39,156 | 48.4% | 31,534 | 0.1% | 1,213 | 40.1% | 3 | 7,690 | 24.4% | 7 | (10) |
| 0.10 to <0.15 | 1,555 | 5,323 | 48.4% | 3,928 | 0.1% | 350 | 38.8% | 3 | 1,511 | 38.5% | 3 | (4) |
| 0.15 to <0.25 | 2,827 | 6,147 | 51.0% | 4,998 | 0.2% | 537 | 43.3% | 3 | 2,473 | 49.5% | 5 | (11) |
| 0.25 to <0.50 | 4,202 | 6,308 | 54.7% | 7,430 | 0.3% | 814 | 40.6% | 3 | 4,759 | 64.0% | 11 | (28) |
| 0.50 to <0.75 | 1,305 | 2,035 | 54.7% | 2,367 | 0.6% | 1,037 | 40.3% | 3 | 1,964 | 83.0% | 6 | (12) |
| 0.75 to <2.50 | 2,736 | 5,580 | 44.8% | 4,881 | 1.4% | 3,067 | 29.9% | 3 | 3,918 | 80.3% | 22 | (52) |
| 0.75 to <1.75 | 1,921 | 4,022 | 41.9% | 3,447 | 1.2% | 2,225 | 29.5% | 3 | 2,565 | 74.4% | 13 | (30) |
| 1.75 to <2.5 | 815 | 1,558 | 52.4% | 1,434 | 2.0% | 842 | 30.9% | 3 | 1,353 | 94.3% | 9 | (22) |
| 2.50 to <10.00 | 3,700 | 5,661 | 53.8% | 6,020 | 5.3% | 3,337 | 30.6% | 3 | 7,771 | 129.1% | 102 | (162) |
| 2.5 to <5 | 1,647 | 2,735 | 57.3% | 3,065 | 3.7% | 2,451 | 27.1% | 3 | 3,104 | 101.3% | 30 | (55) |
| 5 to <10 | 2,053 | 2,926 | 50.5% | 2,955 | 7.0% | 886 | 34.4% | 3 | 4,667 | 157.9% | 72 | (107) |
| 10.00 to <100.00 | 4,542 | 4,219 | 49.6% | 6,609 | 16.2% | 618 | 36.4% | 4 | 14,824 | 224.3% | 386 | (338) |
| 10 to <20 | 4,016 | 3,860 | 49.5% | 5,916 | 14.3% | 511 | 36.7% | 4 | 13,214 | 223.4% | 311 | (291) |
| 20 to <30 | 101 | 171 | 46.4% | 181 | 23.8% | 41 | 33.2% | 2 | 387 | 214.6% | 14 | (16) |
| 30.00 to <100.00 | 425 | 188 | 56.0% | 512 | 35.9% | 66 | 34.4% | 3 | 1,223 | 239.0% | 61 | (31) |
| 100.00 (Default) | 319 | 203 | 55.6% | 401 | 100.0% | 192 | 40.3% | 2 | 653 | 163.0% | 123 | (169) |
| **Subtotal (exposure class)** | **34,516** | **74,632** | **49.7%** | **68,168** | **2.8%** | **11,165** | **38.4%** | **3** | **45,563** | **66.8%** | **665** | **(786)** |
| **As at 31 December 2021** | | | | | | | | | | | | |
| 0.00 to < 0.15 | 15,977 | 48,121 | 49.7% | 39,187 | 0.1% | 1,825 | 38.0% | 3 | 10,333 | 26.4% | 13 | 0 |
| 0.15 to < 0.25 | 2,825 | 5,844 | 46.8% | 5,218 | 0.2% | 600 | 39.0% | 3 | 2,326 | 44.6% | 4 |
| 0.25 to < 0.50 | 4,086 | 5,872 | 54.9% | 6,942 | 0.4% | 1,158 | 39.7% | 3 | 4,410 | 63.5% | 10 |
| 0.50 to < 0.75 | 1,681 | 2,175 | 51.4% | 2,706 | 0.6% | 1,530 | 40.3% | 2 | 2,052 | 75.8% | 7 |
| 0.75 to < 2.50 | 2,244 | 5,927 | 43.7% | 4,653 | 1.4% | 4,188 | 29.2% | 3 | 3,664 | 78.8% | 19 |
| 2.50 to < 10.00 | 4,330 | 7,703 | 50.7% | 7,901 | 5.4% | 4,404 | 30.9% | 3 | 9,702 | 122.8% | 130 |
| 10.00 to < 100.00 | 954 | 3,425 | 51.5% | 2,478 | 17.1% | 612 | 25.7% | 3 | 3,660 | 147.7% | 108 |
| 100.00 (Default) | 451 | 1,424 | 54.6% | 1,221 | 100.0% | 332 | 31.7% | 2 | 1,386 | 113.5% | 175 |
| **Subtotal (exposure class)** | **32,549** | **80,492** | **49.7%** | **70,307** | **3.1%** | **14,649** | **36.4%** | **3** | **37,533** | **53.4%** | **465** | **(664)** |

The RWA density associated with corporates other increased 13.4% to 66.8% primarily due to lending activity in higher PD bands and regulatory changes relating to the implementation of IRB roadmap changes.

**Introduction | Risk and capital position review | Barclays’ approach to managing risks | Appendices** | **Barclays PLC Pillar 3 Report 2022 56**

**Table 40: CR6 – IRB approach – Credit risk exposures by exposure class and PD range for corporates - SME**

| PD Range | **On-balance sheet exposures £m** | **Off-balance-sheet exposures pre CCF £m** | **Exposure weighted average CCF$^a$ %** | **Exposure post CCF and post CRM £m** | **Exposure weighted average PD %** | **Number of obligors** | **Exposure weighted average LGD %** | **Exposure weighted average maturity (years)** | **Risk weighted exposure amount after supporting factors £m** | **Density of risk weighted exposure amount %** | **Expected loss amount £m** | **Value adjustments and provisions £m** |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| **As at 31 December 2022** | | | | | | | | | | | | |
| 0.00 to <0.15 | 1,164 | 916 | 65.4% | 1,739 | 0.1% | 838 | 26.9% | 4 | 428 | 24.6% | 0 | 0 |
| 0.00 to <0.10 | 793 | 820 | 66.3% | 1,338 | 0.1% | 637 | 23.7% | 4 | 262 | 19.6% | 0 | 0 |
| 0.10 to <0.15 | 371 | 96 | 57.5% | 401 | 0.1% | 201 | 37.6% | 5 | 166 | 41.4% | 0 | 0 |
| 0.15 to <0.25 | 291 | 89 | 65.5% | 351 | 0.2% | 199 | 33.0% | 4 | 149 | 42.5% | 0 | (1) |
| 0.25 to <0.50 | 1,044 | 439 | 42.4% | 1,181 | 0.4% | 1,755 | 33.1% | 3 | 473 | 40.0% | 3 | (4) |
| 0.50 to <0.75 | 1,294 | 362 | 41.2% | 1,357 | 0.6% | 2,864 | 25.1% | 3 | 487 | 35.9% | 3 | (4) |
| 0.75 to <2.50 | 3,438 | 734 | 45.5% | 3,555 | 1.4% | 14,689 | 26.6% | 3 | 2,301 | 64.7% | 42 | (53) |
| 0.75 to <1.75 | 2,544 | 566 | 43.7% | 2,635 | 1.2% | 11,250 | 26.7% | 3 | 1,596 | 60.6% | 25 | (27) |
| 1.75 to <2.5 | 894 | 168 | 51.4% | 920 | 2.0% | 3,439 | 26.5% | 3 | 705 | 76.6% | 17 | (26) |
| 2.50 to <10.00 | 1,514 | 417 | 67.0% | 1,567 | 4.6% | 5,769 | 34.4% | 3 | 2,117 | 135.1% | 118 | (98) |
| 2.5 to <5 | 1,028 | 199 | 55.1% | 954 | 3.3% | 4,069 | 33.8% | 3 | 1,200 | 125.8% | 51 | (45) |
| 5 to <10 | 486 | 218 | 78.0% | 613 | 6.6% | 1,700 | 35.4% | 2 | 917 | 149.5% | 67 | (53) |
| 10.00 to <100.00 | 406 | 74 | 58.7% | 406 | 19.7% | 918 | 35.1% | 3 | 705 | 173.1% | 103 | (101) |
| 10 to <20 | 278 | 51 | 52.8% | 278 | 14.1% | 591 | 35.3% | 3 | 429 | 153.9% | 37 | (44) |
| 20 to <30 | 49 | 2 | 42.7% | 45 | 23.8% | 120 | 29.4% | 2 | 52 | 115.3% | 3 | (51) |
| 30.00 to <100.00 | 79 | 21 | 74.5% | 83 | 35.9% | 207 | 37.7% | 2 | 224 | 268.4% | 63 | (6) |
| 100.00 (Default) | 964 | 178 | 65.0% | 1,009 | 100.0% | 571 | 14.4% | 3 | 1,621 | 160.6% | 126 | (75) |
| **Subtotal (exposure class)** | **10,115** | **3,209** | **55.3%** | **11,165** | **11.0%** | **27,603** | **27.7%** | **3** | **8,281** | **74.2%** | **395** | **(336)** |
| **As at 31 December 2021** | | | | | | | | | | | | |
| 0.00 to < 0.15 | 1,614 | 934 | 63.9% | 2,185 | 0.1% | 1104 | 25.5% | 4 | 582 | 26.7% | 1 | 0 |
| 0.15 to < 0.25 | 316 | 84 | 62.6% | 349 | 0.2% | 600 | 40.2% | 4 | 135 | 38.6% | 0 |
| 0.25 to < 0.50 | 873 | 389 | 58.9% | 1,023 | 0.4% | 2027 | 34.5% | 3 | 441 | 43.1% | 2 |
| 0.50 to < 0.75 | 971 | 288 | 49.0% | 997 | 0.6% | 3113 | 29.3% | 3 | 403 | 40.5% | 2 |
| 0.75 to < 2.50 | 3,908 | 886 | 41.1% | 3,855 | 1.4% | 15208 | 28.4% | 3 | 2,112 | 54.8% | 19 |
| 2.50 to < 10.00 | 2,564 | 536 | 55.8% | 2,480 | 4.5% | 7136 | 32.8% | 3 | 2,161 | 87.1% | 44 |
| 10.00 to < 100.00 | 514 | 63 | 53.3% | 489 | 19.5% | 1098 | 31.0% | 3 | 589 | 120.2% | 35 |
| 100.00 (Default) | 1,302 | 207 | 54.9% | 1,343 | 100.0% | 676 | 16.2% | 3 | 1,887 | 140.5% | 91 |
| **Subtotal (exposure class)** | **12,062** | **3,387** | **53.9%** | **12,721** | **12.7%** | **30692** | **28.5%** | **3** | **8,310** | **65.3%** | **194** | **(338)** |

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

The RWA density associated with corporates SME increased 8.9% to 74.2% primarily due to regulatory changes relating to the implementation of IRB roadmap changes and decrease in lending within higher PD bands.

**Introduction | Risk and capital position review | Barclays’ approach to managing risks | Appendices** | **Barclays PLC Pillar 3 Report 2022 57**

**Table 41: CR6 – IRB approach – Credit risk exposures by exposure class and PD range for retail - SME**

| PD Range | **On-balance sheet exposures £m** | **Off-balance-sheet exposures pre CCF £m** | **Exposure weighted average CCF$^a$ %** | **Exposure post CCF and post CRM £m** | **Exposure weighted average PD %** | **Number of obligors** | **Exposure weighted average LGD %** | **Risk weighted exposure amount after supporting factors £m** | **Density of risk weighted exposure amount %** | **Expected loss amount £m** | **Value adjustments and provisions £m** |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| **As at 31 December 2022** | | | | | | | | | | | |
| 0.00 to <0.15 | 21 | 4 | 6,425.3% | 260 | 0.1% | 155,583 | 45.3% | 22 | 8.6% | 0 | 0 |
| 0.00 to <0.10 | 7 | 1 | 15,310.1% | 188 | 0.1% | 121,628 | 44.3% | 13 | 7.2% | 0 | 0 |
| 0.10 to <0.15 | 14 | 3 | 2,317.2% | 72 | 0.1% | 33,955 | 47.9% | 9 | 12.4% | 0 | 0 |
| 0.15 to <0.25 | 44 | 24 | 176.8% | 85 | 0.2% | 19,700 | 32.5% | 10 | 11.3% | 0 | 0 |
| 0.25 to <0.50 | 257 | 167 | 84.1% | 376 | 0.4% | 56,944 | 31.2% | 65 | 17.3% | 0 | 0 |
| 0.50 to <0.75 | 358 | 206 | 119.6% | 566 | 0.6% | 104,739 | 35.0% | 141 | 24.8% | 1 | (1) |
| 0.75 to <2.50 | 2,037 | 771 | 115.3% | 2,713 | 1.5% | 443,601 | 36.5% | 957 | 35.3% | 14 | (17) |
| 0.75 to <1.75 | 1,314 | 582 | 119.1% | 1,860 | 1.2% | 335,564 | 36.9% | 630 | 33.8% | 8 | (9) |
| 1.75 to <2.5 | 723 | 189 | 103.8% | 853 | 2.1% | 108,037 | 35.5% | 327 | 38.4% | 6 | (8) |
| 2.50 to <10.00 | 1,657 | 256 | 163.9% | 1,983 | 4.6% | 216,717 | 38.5% | 939 | 47.4% | 35 | (25) |
| 2.5 to <5 | 1,140 | 196 | 139.6% | 1,343 | 3.5% | 141,483 | 37.9% | 608 | 45.3% | 18 | (15) |
| 5 to <10 | 517 | 60 | 243.6% | 640 | 6.9% | 75,234 | 39.6% | 331 | 51.8% | 17 | (10) |
| 10.00 to <100.00 | 373 | 28 | 286.6% | 443 | 24.0% | 51,998 | 37.1% | 285 | 64.2% | 38 | (14) |
| 10 to <20 | 199 | 13 | 456.7% | 253 | 13.6% | 33,919 | 40.2% | 161 | 63.5% | 14 | (6) |
| 20 to <30 | 53 | 3 | 289.1% | 62 | 24.0% | 7,357 | 38.8% | 48 | 76.7% | 6 | (2) |
| 30.00 to <100.00 | 121 | 12 | 104.1% | 128 | 44.7% | 10,722 | 30.3% | 76 | 59.6% | 18 | (6) |
| 100.00 (Default) | 432 | 35 | 31.7% | 419 | 100.0% | 21,698 | 17.1% | 473 | 113.0% | 34 | (150) |
| **Subtotal (exposure class)** | **5,179** | **1,491** | **138.8%** | **6,845** | **9.7%** | **1,070,980** | **35.8%** | **2,892** | **42.2%** | **122** | **(207)** |
| **As at 31 December 2021** | | | | | | | | | | | | |
| 0.00 to < 0.15 | 16 | 2 | 14,526.7% | 286 | 0.1% | 166,585 | 46.2% | 25 | 8.8% | 0 |
| 0.15 to < 0.25 | 40 | 14 | 256.1% | 74 | 0.2% | 17,454 | 33.1% | 9 | 11.9% | 0 |
| 0.25 to < 0.50 | 248 | 88 | 153.3% | 366 | 0.4% | 63,189 | 30.3% | 63 | 17.2% | 0 |
| 0.50 to < 0.75 | 413 | 137 | 190.7% | 623 | 0.6% | 109,566 | 34.9% | 158 | 25.3% | 1 |
| 0.75 to < 2.50 | 2,289 | 767 | 112.8% | 2,846 | 1.5% | 441,668 | 37.9% | 1,048 | 36.8% | 16 |
| 2.50 to < 10.00 | 1,649 | 500 | 99.8% | 2,015 | 4.7% | 249,277 | 37.5% | 942 | 46.7% | 36 |
| 10.00 to < 100.00 | 538 | 46 | 199.3% | 467 | 23.1% | 60,987 | 37.3% | 303 | 65.0% | 39 |
| 100.00 (Default) | 558 | 39 | 36.8% | 552 | 100.0% | 34,320 | 21.1% | 628 | 113.8% | 66 |
| **Subtotal (exposure class)** | **5,601** | **1,593** | **136.8%** | **7,229** | **11.1%** | **1,143,046** | **36.1%** | **3,176** | **43.9%** | **158** | **(148)** |

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

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

**Introduction | Risk and capital position review | Barclays’ approach to managing risks | Appendices** | **Barclays PLC Pillar 3 Report 2022 58**

**Table 42: CR6 – IRB approach – Credit risk exposures by exposure class and PD range for secured retail - non SME**

| PD Range | **On-balance sheet exposures £m** | **Off-balance-sheet exposures pre CCF £m** | **Exposure weighted average CCF$^a$ %** | **Exposure post CCF and post CRM £m** | **Exposure weighted average PD %** | **Number of obligors** | **Exposure weighted average LGD %** | **Risk weighted exposure amount after supporting factors £m** | **Density of risk weighted exposure amount %** | **Expected loss amount £m** | **Value adjustments and provisions £m** |
| :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- | :--- |
| **As at 31 December 2022** | | | | | | | | | | | |
| 0.00 to <0.15 | 22,446 | 2,349 | 78.0% | 24,352 | 0.1% | 104,175 | 45.3% | 1,349 | 5.5% | 22 | 8.6% | 0 |
| 0.00 to <0.10 | 15,207 | 1,702 | 78.0% | 16,576 | 0.1% | 53,656 | 44.3% | 451 | 2.7% | 13 | 7.2% | 0 |
| 0.10 to <0.15 | 7,239 | 647 | 78.1% | 7,776 | 0.1% | 50,519 | 47.9% | 898 | 11.5% | 9 |
| 0.15 to <0.25 | 10,484 | 1,398 | 64.1% | 11,410 | 0.2% | 75,016 | 13.0% | 887 | 7.8% | 9 |
| 0.25 to <0.50 | 36,589 | 2,979 | 58.9% | 38,470 | 0.4% | 224,411 | 10.2% | 2,753 | 7.2% | 18 |
| 0.50 to <0.75 | 41,379 | 1,868 | 59.6% | 42,668 | 0.6% | 254,145 | 10.5% | 4,337 | 10.2% | 30 |
| 0.75 to <2.50 | 38,582 | 2,564 | 78.1% | 40,755 | 1.3% | 235,232 | 15.1% | 9,667 | 23.7% | 86 |
| 0.75 to <1.75 | 32,634 | 2,317 | 78.0% | 34,576 | 1.1% | 197,695 | 14.8% | 7,495 | 21.7% | 64 |
| 1.75 to <2.5 | 5,948 | 247 | 79.3% | 6,179 | 2.0% | 37,537 | 16.6% | 2,172 | 35.2% | 22 |
| 2.50 to <10.00 | 8,990 | 386 | 80.7% | 9,352 | 4.6% | 52,284 | 15.3% | 4,501 | 48.1% | 63 |
| 2.5 to <5 | 6,467 | 301 | 81.7% | 6,749 | 3.5% | 37,468 | 16.5% | 3,178 | 47.1% | 39 |
| 5 to <10 | 2,523 | 85 | 243.6% | 2,603 | 7.3% | 14,816 | 12.2% | 1,323 | 50.8% | 24 |
| 10.00 to <100.00 | 4,897 | 145 | 76.8% | 5,040 | 29.0% | 29,696 | 9.2% | 2,546 | 50.5% | 131 |
| 10 to <20 | 2,558 | 76 | 68.1% | 2,622 | 14.7% | 14,456 | 9.3% | 1,341 | 51.2% | 37 |
| 20 to <30 | 758 | 33 | 76.6% | 788 | 24.0% | 5,130 | 9.7% | 469 | 59.5% | 20 |
| 30.00 to <100.00 | 1,581 | 12 | 104.1% | 1,630 | 53.9% | 10,722 | 30.3% | 736 | 45.2% | 74 |
| 100.00 (Default) | 432 | 35 | 31.7% | 419 | 100.0% | 21,698 | 17.1% | 473 | 113.0% | 368 |
| **Subtotal (exposure class)** | **5,179** | **1,491** | **138.8%** | **6,845** | **9.7%** | **1,070,980** | **35.8%** | **2,892** | **42.2%** | **122** | **(207)** |
| **As at 31 December 2021** | | | | | | | | | | | | |
| 0.00 to < 0.15 | 16 | 2 | 1