# Barclays Bank PLC Pillar 3 Report 31 December 2024

# Contents

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

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

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

## Appendices
- Appendix A – Countercyclical capital buffer 47
- Appendix B – Disclosure on remuneration 50
- Appendix C – Compliance to Pillar 3 requirements 57

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# Notes on Basis of Preparation

The abbreviations ‘£m’ and ‘£bn’ represent millions and thousands of millions of Pounds Sterling respectively.

There are a number of key judgement areas, for example impairment calculations, which are based on models and which are subject to ongoing adjustment and modifications. Reported numbers reflect best estimates and judgements at the given point in time.

Relevant terms that are used in this document but are not defined under applicable regulatory guidance or International Financial Reporting Standards (IFRS) are explained in the results glossary available at home.barclays/investor-relations/reports-and-events.

## Forward-looking statements

This document contains certain forward-looking statements within the meaning of Section 21E of the US Securities Exchange Act of 1934, as amended, and Section 27A of the US Securities Act of 1933, as amended, with respect to Barclays Bank PLC. Barclays Bank PLC cautions readers that no forward-looking statement is a guarantee of future performance and that actual results or other financial condition or performance measures could differ materially from those contained in the forward-looking statements. Forward-looking statements can be identified by the fact that they do not relate only to historical or current facts. Forward-looking statements sometimes use words such as ‘may’, ‘will’, ‘seek’, ‘continue’, ‘aim’, ‘anticipate’, ‘target’, ‘projected’, ‘expect’, ‘estimate’, ‘intend’, ‘plan’, ‘goal’, ‘believe’, ‘achieve’ or other words of similar meaning. Forward-looking statements can be made in writing but also may be made verbally by directors, officers and employees of Barclays Bank PLC (including during management presentations) in connection with this document. Examples of forward-looking statements include, among others, statements or guidance regarding or relating to Barclays Bank PLC’s future financial position, business strategy, income levels, costs, assets and liabilities, impairment charges, provisions, capital leverage and other regulatory ratios, capital distributions (including policy on dividends and share buybacks), return on tangible equity, projected levels of growth in banking and financial markets, industry trends, any commitments and targets (including environmental, social and governance (ESG) commitments and targets), plans and objectives for future operations, International Financial Reporting Standards (“IFRS”) and other statements that are not historical or current facts. By their nature, forward-looking statements involve risk and uncertainty because they relate to future events and circumstances. Forward-looking statements speak only as at the date on which they are made. Forward-looking statements may be affected by a number of factors, including, without limitation: changes in legislation, regulations, governmental and regulatory policies, expectations and actions, voluntary codes of practices and the interpretation thereof, changes in IFRS and other accounting standards, including practices with regard to the interpretation and application thereof and emerging and developing ESG reporting standards; the outcome of current and future legal proceedings and regulatory investigations; Barclays Bank PLC’s ability along with governments and other stakeholders to measure, manage and mitigate the impacts of climate change effectively or navigate inconsistencies and conflicts in the manner in which climate policy is implemented in the regions where Barclays Bank PLC operates, including as a result of the adoption of anti-ESG rules; environmental, social and geopolitical risks and incidents and similar events beyond Barclays Bank PLC’s control; financial crime; the impact of competition in the banking and financial services industry; capital, liquidity, leverage and other regulatory rules and requirements applicable to past, current and future periods; UK, US, Eurozone and global macroeconomic and business conditions, including inflation; volatility in credit and capital markets; market related risks such as changes in interest rates and foreign exchange rates; reforms to benchmark interest rates and indices; higher or lower asset valuations; changes in credit ratings of any entity within Barclays Bank PLC or any securities issued by it; changes in counterparty risk; changes in consumer behaviour; the direct and indirect consequences of the conflicts in Ukraine and the Middle East on European and global macroeconomic conditions, political stability and financial markets; political elections, including the impact of the UK, European and US elections in 2024; developments in the UK’s relationship with the European Union (“EU”); the risk of cyber-attacks, information or security breaches, technology failures or operational disruptions and any subsequent impact on Barclays Bank PLC’s reputation, business or operations; Barclays Bank PLC’s ability to access funding; and the success of acquisitions, disposals and other strategic transactions. A number of these factors are beyond Barclays Bank PLC’s control. As a result, Barclays Bank PLC’s actual financial position, results, financial and non-financial metrics or performance measures or its ability to meet commitments and targets may differ materially from the statements or guidance set forth in Barclays Bank PLC’s forward-looking statements. Additional risks and factors which may impact Barclays Bank PLC’s future financial condition and performance are identified in Barclays Bank PLC’s filings with the SEC (including without limitation Barclays Bank PLC’s Annual Report on Form 20-F for financial year ended 31 December 2024), which is available on the SEC’s website at sec.gov.

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

# Notes on Basis of Preparation (continued)

## Disclosure background

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

Barclays Bank PLC Pillar 3 disclosures complement those disclosed in the Barclays Bank PLC 2024 Annual Report and provide additional information about Barclays Bank PLC’s risk profile, including its regulatory capital, risk weighted assets, liquidity and leverage exposures.

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

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

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

Leverage minimum requirements are set at the sub-consolidated level for Barclays Bank PLC. The sub-consolidated group represents the Barclays Bank PLC Group on a regulatory scope of consolidation subject to PRA approval. As a result, the Barclays Bank PLC leverage disclosures contained within this document are presented on both the Barclays Bank PLC solo-consolidated and Barclays Bank PLC sub-consolidated basis. Capital and RWA disclosure requirements remain set at the Barclays Bank PLC solo-consolidated level.

The Pillar 3 report is prepared in accordance with the UK Capital Requirements Regulation (UK CRR) and the PRA Rulebook. In particular, the Disclosure (CRR) Part of the PRA Rulebook specifies the requirements of the Pillar 3 framework.

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

## Future regulatory changes

Following its 12 December 2023 publication of ‘Implementation of the Basel 3.1 standards near-final part 1’ (PS17/23), covering Credit Valuation Adjustments, Counterparty Credit Risk, Market Risk and Operational Risk, on 12 September 2024 the PRA published its near-final policy statement ‘Implementation of the Basel 3.1 standards near-final part 2’ (PS9/24) covering the remaining aspects of the Basel 3.1 standards. This covered Credit Risk, Credit Risk Mitigation, the Output Floor, and Reporting and Disclosure requirements. On 17 January 2025 the PRA announced a delay in the implementation of Basel 3.1 in the UK until 1 January 2027.

## Presentation of risk data in the Pillar 3 disclosures versus the Annual Report and Accounts

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

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

### Scope of application
Where this document discloses credit exposures or capital requirements, Barclays Bank PLC has followed the scope and application of its Pillar 1 capital adequacy calculations (unless noted otherwise).

### Definition of credit exposures
- Credit exposure, or ‘Exposure at Default’ (EAD) is defined as the estimate of the amount at risk in the event of a default (before any recoveries) or through the decline in value of an asset. This estimate takes account of contractual commitments related to undrawn amounts.
- In contrast, an asset on the Barclays Bank PLC’s balance sheet is reported as a drawn balance only. This is one of the reasons why exposure values in the Pillar 3 report differ from asset values as reported in the Barclays Bank PLC 2024 Annual Report.

# Notes on Basis of Preparation

## Policy, validation and sign off

Barclays Bank PLC is committed to operating within a strong system of internal controls. Throughout the year ended 31 December 2024, and to date, Barclays Bank PLC has operated a framework of controls and procedures to ensure the completeness and accuracy of the Pillar 3 disclosure.

Specific governance committees are responsible for examining Barclays Bank PLC’s external reports and disclosures to ensure they have been subject to adequate verification and comply with applicable standards and legislation. These committees report their conclusions to the Barclays PLC Board Audit Committee (BAC).

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

> ‘We confirm that Barclays Bank PLC’s Pillar 3 disclosures, to the best of our knowledge, comply with the updated Pillar 3 framework within the PRA Rulebook and have been prepared in compliance with Barclays’ internal control framework.’

**Aunoy Banerjee**
Chief Financial Officer, Barclays Bank PLC

**Bevan Cowie**
Chief Risk Officer, Barclays Bank PLC

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# Analysis of treasury and capital risk

## Table 1: 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, capital buffer requirements, leverage ratio, liquidity coverage ratio (LCR), net stable funding ratio (NSFR) and additional requirements based on Supervisory Review and Evaluation Process (SREP).

| KM1 ref | | As at 31.12.24 (£m) | As at 30.09.24 (£m) | As at 30.06.24 (£m) | As at 31.03.24 (£m) | As at 31.12.23 (£m) |
| --- | --- | --- | --- | --- | --- | --- |
| | **Available own funds (amounts)** | | | | | |
| 1 | Common Equity Tier 1 (CET1) capital$^1$ | 26,995 | 25,996 | 25,223 | 24,845 | 25,470 |
| 1a | Fully loaded common Equity Tier 1 (CET1) capital$^2$ | 26,992 | 25,996 | 25,221 | 24,836 | 25,450 |
| 2 | Tier 1 capital$^1$ | 33,787 | 32,954 | 32,693 | 33,239 | 33,864 |
| 2a | Fully loaded tier 1 capital$^2$ | 33,783 | 32,954 | 32,691 | 33,230 | 33,844 |
| 3 | Total capital$^{1,3}$ | 40,444 | 40,240 | 40,183 | 39,589 | 40,530 |
| 3a | Fully loaded total capital$^{2,4}$ | 39,912 | 39,711 | 39,652 | 39,051 | 39,981 |
| | **Risk-weighted exposure amounts** | | | | | |
| 4 | Total risk-weighted exposure amount$^1$ | 223,648 | 208,376 | 216,117 | 209,219 | 211,193 |
| 4a | Fully loaded total risk-weighted exposure amount$^2$ | 223,644 | 208,376 | 216,114 | 209,209 | 211,173 |
| | **Capital ratios (as a percentage of risk-weighted exposure amount)** | | | | | |
| 5 | Common Equity Tier 1 ratio (%) $^1$ | 12.1% | 12.5% | 11.7% | 11.9% | 12.1% |
| 5a | Fully loaded common Equity Tier 1 ratio (%) $^2$ | 12.1% | 12.5% | 11.7% | 11.9% | 12.1% |
| 6 | Tier 1 ratio (%) $^1$ | 15.1% | 15.8% | 15.1% | 15.9% | 16.0% |
| 6a | Fully loaded tier 1 ratio (%) $^2$ | 15.1% | 15.8% | 15.1% | 15.9% | 16.0% |
| 7 | Total capital ratio (%) $^{1,3}$ | 18.1% | 19.3% | 18.6% | 18.9% | 19.2% |
| 7a | Fully loaded total capital ratio (%) $^{2,4}$ | 17.8% | 19.1% | 18.3% | 18.7% | 18.9% |
| | **Additional own funds requirements based on SREP** | | | | | |
| UK 7a | Additional CET1 SREP requirements (%) | 2.8% | 2.8% | 2.9% | 2.9% | 2.9% |
| UK 7b | Additional AT1 SREP requirements (%) | 0.9% | 0.9% | 1.0% | 1.0% | 1.0% |
| UK 7c | Additional T2 SREP requirements (%) | 1.3% | 1.3% | 1.3% | 1.3% | 1.3% |
| UK 7d | Total SREP own funds requirements (%) | 13.1% | 13.1% | 13.1% | 13.1% | 13.1% |
| | **Combined buffer requirement (as a percentage of risk-weighted exposure amount)** | | | | | |
| 8 | Capital conservation buffer (%) | 2.5% | 2.5% | 2.5% | 2.5% | 2.5% |
| 9 | Institution specific countercyclical capital buffer (%) | 0.7% | 0.7% | 0.7% | 0.7% | 0.7% |
| 11 | Combined buffer requirement (%) | 3.3% | 3.2% | 3.2% | 3.2% | 3.2% |
| UK 11a | Overall capital requirements (%) | 16.3% | 16.2% | 16.3% | 16.3% | 16.3% |
| 12 | CET1 available after meeting the total SREP own funds requirements (%) | 4.7% | 5.1% | 4.3% | 4.5% | 4.7% |

**Notes**
1. Transitional capital and RWAs are calculated applying the IFRS 9 transitional arrangements in accordance with UK CRR. Effective from 1 January 2025, the IFRS9 transitional arrangements no longer applied.
2. Fully loaded capital and RWAs are calculated without applying the IFRS 9 transitional arrangements in accordance with UK CRR.
3. Total capital is calculated applying the grandfathering of UK CRR non-compliant capital instruments included within Tier 2 capital until 28 June 2025.
4. Fully loaded total capital is calculated without applying the grandfathering of UK CRR non-compliant capital instruments included within Tier 2 capital.

The CET1 ratio remained at 12.1% (December 2023: 12.1%) as an increase in CET1 capital of £1.5bn to £27.0bn was offset by an increase in RWAs of £12.5bn to £223.6bn. The significant movements were:
- c.170bps increase from attributable profit
- c.80bps decrease driven by shareholder distributions due to the interim dividend paid and an accrual towards the FY24 dividend
- c.30bps decrease from other capital movements including decreases in other qualifying reserves
- c.70bps decrease as a result of a £12.5bn increase in RWAs primarily driven by increased RWAs to intra-group exposures and an increase in client derivative activity partially offset by a decrease in market risk RWAs due to trading activity in Global Markets

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# Analysis of treasury and capital risk (continued)

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

| KM1 ref | | As at 31.12.24 (£m) | As at 30.09.24 (£m) | As at 30.06.24 (£m) | As at 31.03.24 (£m) | As at 31.12.23 (£m) |
| --- | --- | --- | --- | --- | --- | --- |
| | **Leverage ratio** | | | | | |
| | **Barclays Bank PLC sub-consolidated group$^1$** | | | | | |
| 13 | Total exposure measure excluding claims on central banks$^2$ | 946,809 | 947,527 | 973,952 | 980,494 | 924,826 |
| 14 | Leverage ratio excluding claims on central banks (%) $^{2,4}$ | 5.8% | 5.7% | 5.6% | 5.6% | 6.0% |
| | **Additional leverage ratio disclosure requirements** | | | | | |
| UK 14a | Fully loaded ECL accounting model leverage ratio excluding claims on central banks (%) $^3$ | 5.8% | 5.6% | 5.6% | 5.6% | 6.0% |
| UK 14b | Leverage ratio including claims on central banks (%) $^2$ | 4.8% | 4.7% | 4.6% | 4.6% | 4.9% |
| UK 14c | Average leverage ratio excluding claims on central banks (%) $^{2,5}$ | 5.2% | 5.2% | 5.2% | 5.3% | 5.4% |
| UK 14d | Average leverage ratio including claims on central banks (%) $^{2,5}$ | 4.4% | 4.3% | 4.3% | 4.4% | 4.5% |
| UK 14e | Countercyclical leverage ratio buffer (%) $^4$ | 0.2% | 0.2% | 0.2% | 0.2% | 0.2% |
| | **Barclays Bank PLC solo-consolidated** | | | | | |
| 13 | Total exposure measure excluding claims on central banks$^2$ | 831,060 | 792,811 | 824,757 | 834,464 | 785,494 |
| 14 | Leverage ratio excluding claims on central banks (%) $^2$ | 4.1% | 4.2% | 4.0% | 4.0% | 4.3% |
| | **Additional leverage ratio disclosure requirements** | | | | | |
| UK 14a | Fully loaded ECL accounting model leverage ratio excluding claims on central banks (%) $^3$ | 4.1% | 4.2% | 4.0% | 4.0% | 4.3% |
| UK 14b | Leverage ratio including claims on central banks (%) $^2$ | 3.4% | 3.4% | 3.2% | 3.2% | 3.6% |
| | **Liquidity Coverage Ratio$^6$** | | | | | |
| 15 | Total high-quality liquid assets (HQLA) (Weighted value) | 201,875 | 204,664 | 206,681 | 206,432 | 210,787 |
| UK 16a | Cash outflows - Total weighted value | 297,627 | 283,438 | 269,973 | 251,894 | 245,582 |
| UK 16b | Cash inflows - Total weighted value | 168,808 | 150,748 | 134,337 | 115,706 | 105,530 |
| 16 | Total net cash outflows (adjusted value) | 128,820 | 132,691 | 135,635 | 136,188 | 140,053 |
| 17 | Liquidity coverage ratio (%) | 157.1% | 154.5% | 152.6% | 152.0% | 151.0% |
| | **Net Stable Funding Ratio$^7$** | | | | | |
| 18 | Total available stable funding | 372,381 | 366,494 | 359,802 | 345,884 | 338,765 |
| 19 | Total required stable funding | 332,874 | 329,532 | 324,658 | 317,952 | 307,648 |
| 20 | NSFR ratio (%) | 111.9% | 111.3% | 110.9% | 108.9% | 110.1% |

**Notes**
1. The fully loaded Barclays Bank PLC solo-consolidated and Barclays Bank PLC sub-consolidated CET1 ratios, as are relevant for assessing against the conversion triggers in Barclays Bank PLC Additional Tier 1 (AT1) securities (all of which are held by Barclays PLC), were 12.1% and 16.4% respectively, calculated without applying the transitional arrangements in accordance with UK CRR.
2. Transitional UK leverage ratios are calculated applying the IFRS 9 transitional arrangements in accordance with UK CRR. Effective from 1 January 2025, the IFRS9 transitional arrangements no longer applied.
3. Fully loaded UK leverage ratio is calculated without applying the IFRS 9 transitional arrangements in accordance with UK CRR.
4. Although the leverage ratio is expressed in terms of T1 capital, 75% of the minimum requirement and countercyclical leverage ratio buffer (CCLB) must be covered solely with CET1 capital. The CET1 capital held against the 0.2% CCLB was £1.9bn.
5. 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.
6. Liquidity coverage ratio computed as a trailing average of 12 month-end observations to the reporting date.
7. Net Stable Funding Ratio is computed as a trailing average of the last four spot quarter end positions.

The Barclays Bank PLC sub-consolidated group UK leverage ratio decreased to 5.8% (December 2023: 6.0%) due to an increase in exposure of £22bn to £946.8bn (December 2023: £924.8bn). The increase in exposure was largely driven by an increase in derivatives in Global Markets and increased investment in debt securities.

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# Analysis of treasury and capital risk (continued)

## Table 2: 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 31.12.24 (Transitional) | As at 31.12.24 (Fully Loaded) | As at 31.12.23 (Transitional) | As at 31.12.23 (Fully Loaded) |
| --- | --- | --- | --- | --- | --- |
| | **Common Equity Tier 1 (CET1) capital: instruments and reserves** | | | | |
| 1 | Capital instruments and the related share premium accounts | 2,343 | 2,343 | 2,343 | 2,343 |
| | of which called up share capital and share premium | 2,343 | 2,343 | 2,343 | 2,343 |
| 2 | Retained earnings | 39,679 | 39,679 | 39,821 | 39,821 |
| 3 | Accumulated other comprehensive income (and other reserves) | (7,223) | (7,223) | (6,210) | (6,210) |
| UK-5a | Independently reviewed interim profits net of any foreseeable charge or dividend | 3,201 | 3,201 | 1,068 | 1,068 |
| 6 | Common Equity Tier 1 (CET1) capital before regulatory adjustments | 38,000 | 38,000 | 37,022 | 37,022 |
| | **Common Equity Tier 1 (CET1) capital: regulatory adjustments** | | | | |
| 7 | Additional value adjustments | (1,406) | (1,406) | (1,406) | (1,406) |
| 8 | Intangible assets (net of related tax liability)$^1$ | (112) | (112) | (104) | (104) |
| 10 | Deferred tax assets that rely on future profitability excluding those arising from temporary differences (net of related tax liability where the conditions in Article 38 (3) CRR are met) | (1,020) | (1,020) | (1,210) | (1,210) |
| 11 | Fair value reserves related to gains or losses on cash flow hedges of financial instruments that are not valued at fair value | 2,321 | 2,321 | 2,697 | 2,697 |
| 12 | Negative amounts resulting from the calculation of expected loss amounts | (140) | (140) | (144) | (144) |
| 14 | Gains or losses on liabilities valued at fair value resulting from changes in own credit standing | 925 | 925 | 120 | 120 |
| 15 | Defined-benefit pension fund assets$^1$ | (2,306) | (2,306) | (2,609) | (2,609) |
| 19 | Direct, indirect and synthetic holdings by the institution of the CET1 instruments of financial sector entities where the institution has a significant investment in those entities (amount above 10% threshold and net of eligible short positions) | (8,500) | (8,500) | (8,165) | (8,166) |
| 22 | Amount exceeding the 17.65% threshold | (769) | (770) | (744) | (750) |
| 23 | of which: direct, indirect and synthetic holdings by the institution of the CET1 instruments of financial sector entities where the institution has a significant investment in those entities | (579) | (580) | (560) | (564) |
| 25 | of which: deferred tax assets arising from temporary differences | (190) | (191) | (184) | (186) |
| 27a | Other regulatory adjustments to CET1 capital (including IFRS 9 transitional adjustments when relevant)$^2$ | 3 | — | 13 | — |
| 28 | Total regulatory adjustments to Common Equity Tier 1 (CET1) | (11,005) | (11,008) | (11,552) | (11,572) |
| 29 | Common Equity Tier 1 (CET1) capital | 26,995 | 26,992 | 25,470 | 25,450 |
| | **Additional Tier 1 (AT1) capital: instruments** | | | | |
| 30 | Capital instruments and the related share premium accounts | 9,604 | 9,604 | 10,765 | 10,765 |
| 31 | of which: classified as equity under applicable accounting standards | 9,604 | 9,604 | 10,765 | 10,765 |
| 36 | Additional Tier 1 (AT1) capital before regulatory adjustments | 9,604 | 9,604 | 10,765 | 10,765 |
| | **Additional Tier 1 (AT1) capital: regulatory adjustments** | | | | |
| 40 | Direct, indirect and synthetic holdings by the institution of the AT1 instruments of financial sector entities where the institution has a significant investment in those entities (net of eligible short positions) | (2,812) | (2,812) | (2,371) | (2,371) |
| 43 | Total regulatory adjustments to Additional Tier 1 (AT1) capital | (2,812) | (2,812) | (2,371) | (2,371) |
| 44 | Additional Tier 1 (AT1) capital | 6,792 | 6,792 | 8,394 | 8,394 |
| 45 | Tier 1 capital (T1 = CET1 + AT1) | 33,787 | 33,783 | 33,864 | 33,844 |

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# Analysis of treasury and capital risk (continued)

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

| | | As at 31.12.24 (Transitional) | As at 31.12.24 (Fully Loaded) | As at 31.12.23 (Transitional) | As at 31.12.23 (Fully Loaded) |
| --- | --- | --- | --- | --- | --- |
| | **Tier 2 (T2) capital: instruments** | | | | |
| 46 | Capital instruments and the related share premium accounts | 10,402 | 10,402 | 9,805 | 9,805 |
| UK-47b | Amount of qualifying items referred to in Article 494b (2) CRR subject to phase out from T2 | 529 | — | 529 | — |
| 50 | Credit risk adjustments | 13 | 13 | 47 | 47 |
| 51 | Tier 2 (T2) capital before regulatory adjustments | 10,944 | 10,416 | 10,381 | 9,852 |
| | **Tier 2 (T2) capital: regulatory adjustments** | | | | |
| 52 | Direct, indirect and synthetic holdings by an institution of own T2 instruments and subordinated loans | (0) | (0) | (160) | (160) |
| 55 | Direct, indirect and synthetic holdings by the institution of the T2 instruments and subordinated loans of financial sector entities where the institution has a significant investment in those entities (net of eligible short positions) | (4,287) | (4,287) | (3,555) | (3,555) |
| 57 | Total regulatory adjustments to Tier 2 (T2) capital | (4,287) | (4,287) | (3,715) | (3,715) |
| 58 | Tier 2 (T2) capital | 6,657 | 6,129 | 6,666 | 6,137 |
| 59 | Total capital (TC = T1 + T2) | 40,444 | 39,912 | 40,530 | 39,981 |
| 60 | Total Risk exposure amount | 223,648 | 223,644 | 211,193 | 211,173 |
| | **Capital ratios and buffers** | | | | |
| 61 | Common Equity Tier 1 (as a percentage of total risk exposure amount) | 12.1% | 12.1% | 12.1% | 12.1% |
| 62 | Tier 1 (as a percentage of total risk exposure amount) | 15.1% | 15.1% | 16.0% | 16.0% |
| 63 | Total capital (as a percentage of total risk exposure amount) | 18.1% | 17.8% | 19.2% | 18.9% |
| 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) | 10.6% | 10.6% | 10.5% | 10.5% |
| 65 | of which: capital conservation buffer requirement | 2.5% | 2.5% | 2.5% | 2.5% |
| 66 | of which: countercyclical buffer requirement | 0.7% | 0.7% | 0.7% | 0.7% |
| 68 | Common Equity Tier 1 available to meet buffers (as a percentage of risk exposure amount) | 4.7% | 4.7% | 4.7% | 4.7% |
| | **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) | 3,627 | 3,626 | 3,438 | 3,437 |
| 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) | 3,048 | 3,047 | 2,877 | 2,872 |
| 75 | Deferred tax assets arising from temporary differences (amount below 17.65% threshold, net of related tax liability where the conditions in Article 38 (3) CRR are met) | 1,002 | 1,003 | 942 | 946 |
| | **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) | 13 | 13 | 47 | 47 |
| 79 | Cap for inclusion of credit risk adjustments in T2 under internal ratings-based approach | 429 | 429 | 437 | 437 |

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# Analysis of treasury and capital risk (continued)

## Table 3: 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 2024 | Balance sheet as in published financial statements (£m) | Under regulatory scope of consolidation (£m) |
| --- | --- | --- |
| **Assets** | | |
| 1 Cash and balances at central banks | 151,288 | 151,288 |
| 2 Cash collateral and settlement balances | 75,284 | 75,284 |
| 3 Loans and advances at amortised cost to banks | 14,834 | 14,834 |
| 4 Loans and advances at amortised cost to customers | 210,218 | 207,677 |
| 5 Debt Securities at amortised cost | 35,519 | 35,519 |
| 6 Reverse repurchase agreements and other similar secured lending at amortised cost | 5,546 | 5,546 |
| 7 Trading portfolio assets | 102,030 | 102,030 |
| 8 Financial assets at fair value through the income statement | 253,812 | 251,930 |
| 9 Derivative financial instruments | 260,487 | 260,487 |
| 10 Financial assets at fair value through other comprehensive income | 49,499 | 49,499 |
| 11 Investments in subsidiaries, associates and joint ventures | 20,759 | 14,759 |
| 12 Goodwill and intangible assets | 104 | 104 |
| 13 - Of which: goodwill | 95 | 95 |
| 14 - Of which: other intangibles (excluding MSRs) | 9 | 9 |
| 15 Property, plant and equipment | 125 | 125 |
| 16 Current tax assets | 757 | 773 |
| 17 Deferred tax assets | 2,638 | 2,638 |
| 18 Retirement benefit assets | 3,202 | 3,202 |
| 19 Other assets | 1,915 | 1,914 |
| 20 Total assets | 1,188,017 | 1,177,609 |
| **Liabilities** | | |
| 1 Deposits at amortised cost from banks | 12,039 | 2,870 |
| 2 Deposits at amortised cost from customers | 336,054 | 336,054 |
| 3 Cash collateral and settlement balances | 62,386 | 62,386 |
| 4 Repurchase agreements and other similar secured borrowing at amortised cost | 46,196 | 46,196 |
| 5 Debt securities in issue | 12,991 | 12,991 |
| 6 Subordinated liabilities | 41,240 | 41,240 |
| 7 Trading portfolio liabilities | 41,015 | 41,015 |
| 8 Financial liabilities designated at fair value | 329,522 | 327,641 |
| 9 Derivative financial instruments | 248,417 | 248,417 |
| 10 Current tax liabilities | 298 | 350 |
| 11 Deferred tax liabilities | 2 | 2 |
| 12 Retirement benefit liabilities | 66 | 66 |
| 13 Provisions | 435 | 435 |
| 14 Other liabilities | 4,456 | 4,456 |
| 15 Total liabilities | 1,135,117 | 1,124,119 |
| **Equity** | | |
| 1 Called up share capital and share premium | 2,348 | 2,348 |
| 2 - Of which: amount eligible for CET1 | 2,343 | 2,343 |
| 3 Other equity instruments | 14,311 | 14,311 |
| 4 Other reserves | (3,928) | (3,936) |
| 5 Retained earnings | 40,169 | 40,767 |
| 6 Total equity excluding non-controlling interests | 52,900 | 53,490 |
| 7 Non-controlling interests | — | — |
| 8 Total equity | 52,900 | 53,490 |
| 9 Total liabilities and equity | 1,188,017 | 1,177,609 |

---

# Analysis of treasury and capital risk (continued)

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

| | As at 31.12.24 (£m) | As at 30.09.24 (£m) | As at 30.06.24 (£m) | As at 31.03.24 (£m) | As at 31.12.23 (£m) |
| --- | --- | --- | --- | --- | --- |
| **Available capital (amounts)** | | | | | |
| 1 CET1 capital | 26,995 | 25,996 | 25,223 | 24,845 | 25,470 |
| 2 CET1 capital as if IFRS 9 or analogous ECLs transitional arrangements had not been applied | 26,992 | 25,996 | 25,221 | 24,836 | 25,450 |
| 3 Tier 1 capital | 33,787 | 32,954 | 32,693 | 33,239 | 33,864 |
| 4 Tier 1 capital as if IFRS 9 or analogous ECLs transitional arrangements had not been applied | 33,783 | 32,954 | 32,691 | 33,230 | 33,844 |
| 5 Total capital | 40,444 | 40,240 | 40,183 | 39,589 | 40,530 |
| 6 Total capital as if IFRS 9 or analogous ECLs transitional arrangements had not been applied | 40,441 | 40,240 | 40,181 | 39,579 | 40,510 |
| **Risk-weighted assets (amounts)** | | | | | |
| 7 Total risk-weighted assets | 223,648 | 208,376 | 216,117 | 209,219 | 211,193 |
| 8 Total risk-weighted assets as if IFRS 9 or analogous ECLs transitional arrangements had not been applied | 223,644 | 208,376 | 216,114 | 209,209 | 211,173 |
| **Capital ratios** | | | | | |
| 9 CET1 (as a percentage of risk exposure amount) | 12.1% | 12.5% | 11.7% | 11.9% | 12.1% |
| 10 CET1 (as a percentage of risk exposure amount) as if IFRS 9 or analogous ECLs transitional arrangements had not been applied | 12.1% | 12.5% | 11.7% | 11.9% | 12.1% |
| 11 Tier 1 (as a percentage of risk exposure amount) | 15.1% | 15.8% | 15.1% | 15.9% | 16.0% |
| 12 Tier 1 (as a percentage of risk exposure amount) as if IFRS 9 or analogous ECLs transitional arrangements had not been applied | 15.1% | 15.8% | 15.1% | 15.9% | 16.0% |
| 13 Total capital (as a percentage of risk exposure amount) | 18.1% | 19.3% | 18.6% | 18.9% | 19.2% |
| 14 Total capital (as a percentage of risk exposure amount) as if IFRS 9 or analogous ECLs transitional arrangements had not been applied | 18.1% | 19.3% | 18.6% | 18.9% | 19.2% |
| **Leverage ratio** | | | | | |
| **Barclays Bank PLC sub-consolidated group** | | | | | |
| 15 Leverage ratio total exposure measure | 946,809 | 947,527 | 973,952 | 980,494 | 924,826 |
| 16 Leverage ratio | 5.8% | 5.7% | 5.6% | 5.6% | 6.0% |
| 17 Leverage ratio as if IFRS 9 or analogous ECLs transitional arrangements had not been applied | 5.8% | 5.6% | 5.6% | 5.6% | 6.0% |
| **Barclays Bank PLC solo-consolidated** | | | | | |
| 15 Leverage ratio total exposure measure | 831,060 | 792,811 | 824,757 | 834,464 | 785,494 |
| 16 Leverage ratio | 4.1% | 4.2% | 4.0% | 4.0% | 4.3% |
| 17 Leverage ratio as if IFRS 9 or analogous ECLs transitional arrangements had not been applied | 4.1% | 4.2% | 4.0% | 4.0% | 4.3% |

---

# Analysis of treasury and capital risk (continued)

## Table 5: RWAs by risk type

| | Credit risk (Std £m) | Credit risk (AIRB £m) | CCR (Std £m) | CCR (AIRB £m) | Settlement risk (£m) | CVA (£m) | Market risk (Std £m) | Market risk (IMA £m) | Operational risk (£m) | Total RWAs (£m) |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| **As at 31 December 2024** | | | | | | | | | | |
| Barclays Bank PLC | 64,126 | 62,948 | 24,438 | 19,493 | 115 | 1,938 | 5,857 | 22,315 | 22,418 | 223,648 |
| **As at 31 December 2023** | | | | | | | | | | |
| Barclays Bank PLC | 50,854 | 65,173 | 17,976 | 16,743 | 67 | 2,510 | 7,979 | 29,031 | 20,860 | 211,193 |

---

# Analysis of treasury and capital risk (continued)

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

| | Risk weighted exposure amounts (RWEAs) (As at 31.12.2024 £m) | Risk weighted exposure amounts (RWEAs) (As at 30.09.2024 £m) | Risk weighted exposure amounts (RWEAs) (As at 31.12.2023 £m) | Total own funds requirements (As at 31.12.2024 £m) | Total own funds requirements (As at 30.09.2024 £m) | Total own funds requirements (As at 31.12.2023 £m) |
| --- | --- | --- | --- | --- | --- | --- |
| 1 Credit risk (excluding CCR) | 106,697 | 100,923 | 99,934 | 8,536 | 8,074 | 7,994 |
| 2 Of which the standardised approach | 54,722 | 51,859 | 43,812 | 4,378 | 4,149 | 3,505 |
| 4 Of which: slotting approach | 3,628 | 3,227 | 3,580 | 290 | 258 | 286 |
| 5 Of which the advanced IRB (AIRB) approach | 48,347 | 45,837 | 52,542 | 3,868 | 3,667 | 4,203 |
| 6 Counterparty credit risk - CCR | 45,839 | 39,410 | 37,163 | 3,667 | 3,153 | 2,973 |
| 7 Of which the standardised approach | 3,812 | 3,866 | 3,322 | 305 | 309 | 266 |
| 8 Of which internal model method (IMM) | 31,769 | 25,987 | 23,212 | 2,542 | 2,079 | 1,857 |
| UK 8a Of which exposures to a CCP | 1,267 | 1,118 | 942 | 101 | 89 | 75 |
| UK 8b Of which credit valuation adjustment - CVA | 1,938 | 1,685 | 2,510 | 155 | 135 | 201 |
| 9 Of which other CCR | 7,053 | 6,754 | 7,177 | 564 | 540 | 574 |
| 15 Settlement risk | 115 | 37 | 67 | 9 | 3 | 5 |
| 16 Securitisation exposures in the non-trading book (after the cap) | 20,407 | 18,420 | 16,159 | 1,633 | 1,474 | 1,293 |
| 17 Of which SEC-IRBA approach | 10,973 | 10,101 | 9,051 | 878 | 808 | 724 |
| 18 Of which SEC-ERBA (including IAA) | 2,239 | 1,798 | 1,956 | 179 | 144 | 157 |
| 19 Of which SEC-SA approach | 7,174 | 6,485 | 5,101 | 574 | 519 | 408 |
| UK 19a Of which 1250%/ deduction | 21 | 36 | 51 | 2 | 3 | 4 |
| 20 Position, foreign exchange and commodities risks (Market risk) | 28,172 | 28,727 | 37,010 | 2,254 | 2,298 | 2,961 |
| 21 Of which the standardised approach | 5,857 | 5,442 | 7,979 | 469 | 435 | 639 |
| 22 Of which IMA | 22,315 | 23,285 | 29,031 | 1,785 | 1,863 | 2,322 |
| 23 Operational risk | 22,418 | 20,859 | 20,860 | 1,793 | 1,669 | 1,669 |
| UK 23b Of which standardised approach | 22,418 | 20,859 | 20,860 | 1,793 | 1,669 | 1,669 |
| 24 Amounts below the thresholds for deduction (subject to 250% risk weight) (For information only) | 10,126 | 9,759 | 9,553 | 810 | 781 | 764 |
| 29 Total | 223,648 | 208,376 | 211,193 | 17,892 | 16,670 | 16,895 |

Overall RWAs increased by £15.2bn to £223.6bn in the quarter (September 2024: £208.4bn) primarily due to:
- Credit risk RWAs increased by £5.8bn to £106.7bn primarily driven by the appreciation of USD against GBP and increase in business activities
- Counterparty credit risk RWAs increased by £6.4bn to £45.8bn primarily driven by increased RWAs to intra-group exposures and foreign exchange movements due to the appreciation of USD against GBP
- Securitisation RWAs increased by £2.0bn to £20.4bn primarily driven by an increase in business activities and foreign exchange movements due to the appreciation of USD against GBP
- Operational Risk increased by £1.6bn to £22.4bn primarily driven by the inclusion of higher 2024 income compared to 2021 within the three-year average

---

# Analysis of treasury and capital risk (continued)

## Table 7: 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 excluding Securitisation and non-credit obligation assets and hence will not directly reconcile to the credit risk AIRB RWAs in table 5.

| | Three months ended 31.12.2024 (£m) | Twelve months ended 31.12.2024 (£m) |
| --- | --- | --- |
| 1 Risk weighted exposure amount as at the end of the previous reporting period | 47,501 | 53,229 |
| 2 Asset size | 1,179 | (3,772) |
| 3 Asset quality | 247 | 104 |
| 4 Model updates | — | 179 |
| 5 Methodology and policy | 217 | 831 |
| 6 Acquisitions and disposals | (96) | (96) |
| 7 Foreign exchange movements | 1,415 | (12) |
| 8 Other | — | — |
| 9 Risk weighted exposure amount as at the end of the reporting period | 50,463 | 50,463 |

Advanced credit risk RWAs increased by £3.0bn to £50.5bn in the quarter (September 2024: £47.5bn) driven by:
- A £1.2bn increase in asset size primarily driven by an increase in business activities
- A £1.4bn increase as a result of foreign exchange movements primarily due to the appreciation of USD against GBP

Advanced credit risk RWAs decreased by £2.8bn to £50.5bn in the year (December 2023: £53.2bn) driven by a £3.8bn decrease in asset size primarily due to the securitisation of credit risk assets and business activities within the Investment Bank.

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

The total in this table shows the contribution of IMM exposures to CCR RWAs (under both STD and AIRB) in table 5. RWEA changes due to IRB models are included in ‘Credit quality of counterparties’.

| | Three months ended 31.12.2024 (£m) | Twelve months ended 31.12.2024 (£m) |
| --- | --- | --- |
| 1 Risk weighted exposure amount as at the end of the previous reporting period | 25,987 | 23,212 |
| 2 Asset size | 4,700 | 7,550 |
| 3 Credit quality of counterparties | 88 | 1,165 |
| 4 Model updates (IMM only) | — | — |
| 5 Methodology and policy (IMM only) | — | — |
| 6 Acquisitions and disposals | — | — |
| 7 Foreign exchange movements | 994 | (158) |
| 8 Other | — | — |
| 9 Risk weighted exposure amount as at the end of the reporting period | 31,769 | 31,769 |

IMM RWAs increased by £5.8bn to £31.8bn in the quarter (September 2024: £26.0bn) primarily driven by:
- A £4.7bn increase in asset size primarily driven by increased RWAs to intra-group exposures
- A £1.0bn increase in foreign exchange movements due to the appreciation of USD against GBP

IMM RWAs increased by £8.6bn to £31.8bn in the year (December 2023: £23.2bn) primarily driven by:
- A £7.6bn increase in asset size primarily driven by increased client derivative activity within Global Markets and increased RWAs to intra-group exposures
- A £1.2bn increase in credit quality of counterparties primarily due to regulatory driven methodology changes

---

# Analysis of treasury and capital risk (continued)

## Table 9: 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 (VaR), stressed value at risk (SVaR) and incremental risk charge (IRC)).

| | VaR (£m) | SVaR (£m) | IRC (£m) | Other (£m) | Total RWEAs (£m) | Total own funds requirements (£m) |
| --- | --- | --- | --- | --- | --- | --- |
| **Three month ended 31.12.2024** | | | | | | |
| 1 RWAs at previous period end | 3,627 | 10,499 | 5,553 | 3,606 | 23,285 | 1,863 |
| 1a Regulatory adjustment$^1$ | (1,794) | (5,632) | (1,499) | — | (8,925) | (714) |
| 1b RWAs at the previous quarter-end (end of the day) | 1,833 | 4,867 | 4,054 | 3,606 | 14,360 | 1,149 |
| 2 Movement in risk levels | 38 | 266 | 1,212 | 261 | 1,777 | 142 |
| 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) | 1,871 | 5,133 | 5,266 | 3,867 | 16,137 | 1,291 |
| 8b Regulatory adjustment$^2$ | 2,032 | 4,085 | 61 | — | 6,178 | 494 |
| 8 RWAs at the end of the disclosure period | 3,903 | 9,218 | 5,327 | 3,867 | 22,315 | 1,785 |

Modelled Market risk RWAs decreased by £1.0bn to £22.3bn in the quarter (September 2024: £23.3bn) primarily driven by SVaR.

| | VaR (£m) | SVaR (£m) | IRC (£m) | Other (£m) | Total RWEAs (£m) | Total own funds requirements (£m) |
| --- | --- | --- | --- | --- | --- | --- |
| **Twelve month ended 31.12.2024** | | | | | | |
| 1 RWAs at previous period end | 4,099 | 14,872 | 6,325 | 3,735 | 29,031 | 2,322 |
| 1a Regulatory adjustment$^1$ | (2,408) | (7,529) | — | — | (9,937) | (795) |
| 1b RWAs at the previous quarter-end (end of the day) | 1,691 | 7,343 | 6,325 | 3,735 | 19,094 | 1,527 |
| 2 Movement in risk levels | 180 | (2,210) | (1,059) | 132 | (2,957) | (236) |
| 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) | 1,871 | 5,133 | 5,266 | 3,867 | 16,137 | 1,291 |
| 8b Regulatory adjustment$^2$ | 2,032 | 4,085 | 61 | — | 6,178 | 494 |
| 8 RWAs at the end of the disclosure period | 3,903 | 9,218 | 5,327 | 3,867 | 22,315 | 1,785 |

Modelled market risk RWAs decreased by £6.7bn to £22.3bn in the year (December 2023: £29bn) primarily driven by SVaR and IRC.

---

# Analysis of treasury and capital risk (continued)

## Leverage ratio and exposures

The following leverage tables show the components of the leverage ratio using the UK leverage ratio framework (UKLRF) definition for leverage exposure and Tier 1 capital.

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

### Barclays Bank PLC sub-consolidated group$^1$
| | | As at 31 December 2024 (£m) | As at 31 December 2023 (£m) |
| --- | --- | --- | --- |
| 1 | Total assets as per published financial statements$^2$ | 1,218,524 | 1,185,166 |
| 2 | Adjustment for entities which are consolidated for accounting purposes but are outside the scope of prudential consolidation | (10,512) | (9,120) |
| 4 | Adjustment for exemption of exposures to central banks | (189,659) | (198,621) |
| 6 | Adjustment for regular-way purchases and sales of financial assets subject to trade date accounting | (31,111) | (23,818) |
| 8 | Adjustments for derivative financial instruments | (127,866) | (109,280) |
| 9 | Adjustment for securities financing transactions (SFTs) | 27,125 | 24,578 |
| 10 | Adjustment for off-balance sheet items (i.e. conversion to credit equivalent amounts of off-balance sheet exposures) | 123,720 | 119,861 |
| 11 | Adjustment for prudent valuation adjustments and specific and general provisions which have reduced Tier 1 capital | (2,213) | (2,163) |
| 12 | Other adjustments | (61,199) | (61,777) |
| 13 | Total exposure measure | 946,809 | 924,826 |

### Barclays Bank PLC solo-consolidated$^1$
| | | As at 31 December 2024 (£m) | As at 31 December 2023 (£m) |
| --- | --- | --- | --- |
| 1 | Total assets as per published financial statements$^3$ | 1,188,017 | 1,193,738 |
| 2 | Adjustment for entities which are consolidated for accounting purposes but are outside the scope of prudential consolidation | (10,407) | (5,642) |
| 4 | Adjustment for exemption of exposures to central banks | (160,633) | (162,728) |
| 6 | Adjustment for regular-way purchases and sales of financial assets subject to trade date accounting | (9,314) | (9,096) |
| 8 | Adjustments for derivative financial instruments | (105,103) | (81,805) |
| 9 | Adjustment for securities financing transactions (SFTs) | 38,487 | 38,946 |
| 10 | Adjustment for off-balance sheet items (i.e. conversion to credit equivalent amounts of off-balance sheet exposures) | 127,860 | 125,425 |
| 11 | Adjustment for prudent valuation adjustments and specific and general provisions which have reduced Tier 1 capital | (1,621) | (1,704) |
| UK-11a | Adjustment for exposures excluded from the total exposure measure in accordance with point (c) of Article 429a(1) CRR | (177,566) | (252,344) |
| 12 | Other adjustments | (58,660) | (59,296) |
| 13 | Total exposure measure | 831,060 | 785,494 |

---

# Analysis of treasury and capital risk (continued)

## Table 11: LR2 - Leverage ratio common disclosure

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

### Barclays Bank PLC sub-consolidated$^1$
| | | As at 31 December 2024 (£m) | As at 31 December 2023 (£m) |
| --- | --- | --- | --- |
| | **On-balance sheet exposures (excluding derivatives and SFTs)** | | |
| 1 | On-balance sheet items (excluding derivatives, SFTs, but including collateral) | 704,184 | 710,948 |
| 3 | Deductions of receivables assets for cash variation margin provided in derivatives transactions | (34,128) | (34,501) |
| 6 | Asset amounts deducted in determining tier 1 capital (leverage) | (6,867) | (6,695) |
| 7 | Total on-balance sheet exposures (excluding derivatives and SFTs) | 663,189 | 669,752 |
| | **Derivative exposures** | | |
| 8 | Replacement cost associated with SA-CCR derivatives transactions (i.e. net of eligible cash variation margin) | 54,626 | 48,292 |
| 9 | Add-on amounts for potential future exposure associated with SA-CCR derivatives transactions | 119,783 | 105,020 |
| 10 | Exempted CCP leg of client-cleared trade exposures (SA-CCR) | (46,287) | (45,301) |
| 11 | Adjusted effective notional amount of written credit derivatives | 705,878 | 679,015 |
| 12 | Adjusted effective notional offsets and add-on deductions for written credit derivatives | (691,618) | (662,521) |
| 13 | Total derivatives exposures | 142,382 | 124,505 |
| | **Securities financing transaction (SFT) exposures** | | |
| 14 | Gross SFT assets (with no recognition of netting), after adjustment for sales accounting transactions | 736,580 | 714,605 |
| 15 | Netted amounts of cash payables and cash receivables of gross SFT assets | (558,008) | (529,669) |
| 16 | Counterparty credit risk exposure for SFT assets | 28,914 | 24,811 |
| 18 | Total securities financing transaction exposures | 207,486 | 209,747 |
| | **Other off-balance sheet exposures** | | |
| 19 | Off-balance sheet exposures at gross notional amount | 380,951 | 355,283 |
| 20 | Adjustments for conversion to credit equivalent amounts | (257,231) | (235,422) |
| 21 | General provisions deducted in determining tier 1 capital (leverage) and specific provisions associated with off-balance sheet exposures | (309) | (418) |
| 22 | Off-balance sheet exposures | 123,411 | 119,443 |
| | **Capital and total exposure measure** | | |
| 23 | Tier 1 capital (leverage) | 54,713 | 55,560 |
| 24 | Total exposure measure including claims on central banks | 1,136,468 | 1,123,447 |
| UK-24a | (-) Claims on central banks excluded | (189,659) | (198,621) |
| UK-24b | Total exposure measure excluding claims on central banks | 946,809 | 924,826 |
| | **Leverage ratio** | | |
| 25 | Leverage ratio excluding claims on central banks (%) | 5.8% | 6.0% |
| UK-25a | Fully loaded ECL accounting model leverage ratio excluding claims on central banks (%) | 5.8% | 6.0% |
| UK-25c | Leverage ratio including claims on central banks (%) | 4.8% | 4.9% |
| 26 | Regulatory minimum leverage ratio requirement (%) | 3.3% | 3.3% |
| | **Additional leverage ratio disclosure requirements - leverage ratio buffers** | | |
| 27 | Leverage ratio buffer (%) | 0.2% | 0.2% |
| UK-27b | Of which: countercyclical leverage ratio buffer (%) | 0.2% | 0.2% |

---

# Analysis of treasury and capital risk (continued)

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

### Barclays Bank PLC solo-consolidated$^1$
| | | As at 31 December 2024 (£m) | As at 31 December 2023 (£m) |
| --- | --- | --- | --- |
| | **On-balance sheet exposures (excluding derivatives and SFTs)** | | |
| 1 | On-balance sheet items (excluding derivatives, SFTs, but including collateral) | 690,226 | 720,958 |
| 3 | Deductions of receivables assets for cash variation margin provided in derivatives transactions | (30,277) | (31,161) |
| 6 | Asset amounts deducted in determining tier 1 capital (leverage) | (17,062) | (16,741) |
| 7 | Total on-balance sheet exposures (excluding derivatives and SFTs) | 642,887 | 673,056 |
| | **Derivative exposures** | | |
| 8 | Replacement cost associated with SA-CCR derivatives transactions (i.e. net of eligible cash variation margin) | 50,505 | 41,531 |
| 9 | Add-on amounts for potential future exposure associated with SA-CCR derivatives transactions | 99,655 | 92,987 |
| 10 | Exempted CCP leg of client-cleared trade exposures (SA-CCR) | (22,126) | (21,067) |
| 11 | Adjusted effective notional amount of written credit derivatives | 501,239 | 488,525 |
| 12 | Adjusted effective notional offsets and add-on deductions for written credit derivatives | (486,617) | (471,279) |
| 13 | Total derivatives exposures | 142,656 | 130,697 |
| | **Securities financing transaction (SFT) exposures** | | |
| 14 | Gross SFT assets (with no recognition of netting), after adjustment for sales accounting transactions | 771,648 | 765,229 |
| 15 | Netted amounts of cash payables and cash receivables of gross SFT assets | (555,854) | (532,721) |
| 16 | Counterparty credit risk exposure for SFT assets | 40,277 | 39,179 |
| 18 | Total securities financing transaction exposures | 256,071 | 271,687 |
| | **Other off-balance sheet exposures** | | |
| 19 | Off-balance sheet exposures at gross notional amount | 290,206 | 273,400 |
| 20 | Adjustments for conversion to credit equivalent amounts | (162,346) | (147,976) |
| 21 | General provisions deducted in determining tier 1 capital (leverage) and specific provisions associated with off-balance sheet exposures | (215) | (298) |
| 22 | Off-balance sheet exposures | 127,645 | 125,126 |
| | **Excluded exposures** | | |
| UK-22a | (Exposures excluded from the total exposure measure in accordance with point (c) of Article 429a(1) of the CRR) | (177,566) | (252,344) |
| UK-22k | (Total exempted exposures) | (177,566) | (252,344) |
| | **Capital and total exposure measure** | | |
| 23 | Tier 1 capital (leverage) | 33,787 | 33,864 |
| 24 | Total exposure measure including claims on central banks | 991,693 | 948,222 |
| UK-24a | (-) Claims on central banks excluded | (160,633) | (162,728) |
| UK-24b | Total exposure measure excluding claims on central banks | 831,060 | 785,494 |
| | **Leverage ratio** | | |
| 25 | Leverage ratio excluding claims on central banks (%) | 4.1% | 4.3% |
| UK-25a | Fully loaded ECL accounting model leverage ratio excluding claims on central banks (%) | 4.1% | 4.3% |
| UK-25c | Leverage ratio including claims on central banks (%) | 3.4% | 3.6% |

---

# Analysis of treasury and capital risk (continued)

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

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

| Barclays Bank PLC sub-consolidated group$^1$ | As at 31 December 2024 (£m) | As at 31 December 2023 (£m) |
| --- | --- | --- |
| UK-1 Total on-balance sheet exposures (excluding derivatives, SFTs, and exempted exposures), of which: | 452,021 | 448,876 |
| UK-2 Trading book exposures | 173,656 | 180,918 |
| UK-3 Banking book exposures, of which: | 278,365 | 267,958 |
| UK-4 Covered bonds | 382 | 1,024 |
| UK-5 Exposures treated as sovereigns | 83,256 | 78,037 |
| UK-6 Exposures to regional governments, MDB, international organisations and PSE not treated as sovereigns | 1,381 | 4,692 |
| UK-7 Institutions | 10,574 | 10,451 |
| UK-8 Secured by mortgages of immovable properties | 8,146 | 10,947 |
| UK-9 Retail exposures | 31,074 | 29,699 |
| UK-10 Corporates | 68,474 | 70,935 |
| UK-11 Exposures in default | 2,504 | 2,092 |
| UK-12 Other exposures (e.g. equity, securitisations, and other non-credit obligation assets) | 72,574 | 60,081 |

| Barclays Bank PLC solo-consolidated$^1$ | As at 31 December 2024 (£m) | As at 31 December 2023 (£m) |
| --- | --- | --- |
| UK-1 Total on-balance sheet exposures (excluding derivatives, SFTs, and exempted exposures), of which: | 372,738 | 349,709 |
| UK-2 Trading book exposures | 103,455 | 116,017 |
| UK-3 Banking book exposures, of which: | 269,283 | 233,692 |
| UK-4 Covered bonds | 382 | 1,024 |
| UK-5 Exposures treated as sovereigns | 72,106 | 73,595 |
| UK-6 Exposures to regional governments, MDB, international organisations and PSE not treated as sovereigns | 1,301 | 4,347 |
| UK-7 Institutions | 15,338 | 13,774 |
| UK-8 Secured by mortgages of immovable properties | 7,215 | 6,763 |
| UK-9 Retail exposures | 1,902 | 1,440 |
| UK-10 Corporates | 83,304 | 60,884 |
| UK-11 Exposures in default | 1,478 | 1,244 |
| UK-12 Other exposures (e.g. equity, securitisations, and other non-credit obligation assets) | 86,257 | 70,621 |

---

# Analysis of treasury and capital risk (continued)

## Table 13: LIQ1 - Liquidity coverage ratio

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

| Liquidity coverage ratio (average) | Total unweighted value (average) (31.12.24 £m) | Total unweighted value (average) (30.09.24 £m) | Total unweighted value (average) (30.06.24 £m) | Total unweighted value (average) (31.03.24 £m) | Total weighted value (average) (31.12.24 £m) | Total weighted value (average) (30.09.24 £m) | Total weighted value (average) (30.06.24 £m) | Total weighted value (average) (31.03.24 £m) |
| --- | --- | --- | --- | --- | --- | --- | --- | --- |
| UK1a Number of data points used in calculation of averages$^1$ | 12 | 12 | 12 | 12 | 12 | 12 | 12 | 12 |
| 1 Total high-quality liquid assets (HQLA) | 201,875 | 204,664 | 206,681 | 206,432 | | | | |
| **Cash outflows** | | | | | | | | |
| 2 Retail deposits and deposits from small business customers, of which: | 29,688 | 29,545 | 29,448 | 29,516 | 3,156 | 3,111 | 3,105 | 3,138 |
| 3 Stable deposits | 752 | 738 | 723 | 720 | 38 | 37 | 36 | 36 |
| 4 Less stable deposits | 18,740 | 18,503 | 18,463 | 18,665 | 3,117 | 3,074 | 3,068 | 3,102 |
| 5 Unsecured wholesale funding, of which: | 193,654 | 194,528 | 195,880 | 196,036 | 93,370 | 96,516 | 100,337 | 102,378 |
| 6 Operational deposits (all counterparties) and deposits in networks of cooperative banks | 78,635 | 75,703 | 70,253 | 65,039 | 19,492 | 18,763 | 17,399 | 16,093 |
| 7 Non-operational deposits (all counterparties)$^2$ | 111,205 | 113,789 | 119,558 | 124,375 | 70,064 | 72,716 | 76,869 | 79,664 |
| 8 Unsecured debt | 3,814 | 5,036 | 6,069 | 6,622 | 3,814 | 5,036 | 6,069 | 6,621 |
| 9 Secured wholesale funding | 89,832 | 86,536 | 84,839 | 81,796 | | | | |
| 10 Additional requirements, of which: | 167,558 | 163,587 | 160,738 | 156,780 | 56,919 | 54,324 | 51,741 | 48,888 |
| 11 Outflows related to derivative exposures and other collateral requirements | 26,895 | 25,363 | 23,192 | 21,119 | 20,685 | 19,417 | 17,596 | 16,157 |
| 12 Outflows related to loss of funding on debt products | 5,464 | 4,851 | 4,658 | 4,419 | 5,464 | 4,851 | 4,658 | 4,419 |
| 13 Credit and liquidity facilities | 135,199 | 133,373 | 132,888 | 131,242 | 30,770 | 30,056 | 29,487 | 28,312 |
| 14 Other contractual funding obligations | 51,375 | 40,044 | 27,023 | 12,732 | 50,638 | 39,320 | 26,312 | 12,034 |
| 15 Other contingent funding obligations | 76,894 | 75,372 | 73,455 | 71,404 | 3,712 | 3,632 | 3,639 | 3,660 |
| 16 Total cash outflows | 297,627 | 283,438 | 269,973 | 251,894 | | | | |
| **Cash inflows** | | | | | | | | |
| 17 Secured lending (e.g. reverse repos) | 749,095 | 727,960 | 699,369 | 670,844 | 91,204 | 87,218 | 84,521 | 80,910 |
| 18 Inflows from fully performing exposures | 23,572 | 22,583 | 22,283 | 22,060 | 20,714 | 19,904 | 19,654 | 19,240 |
| 19 Other cash inflows$^3$ | 59,353 | 46,149 | 32,666 | 18,109 | 56,890 | 43,626 | 30,162 | 15,556 |
| 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 | 832,020 | 796,692 | 754,318 | 711,013 | 168,808 | 150,748 | 134,337 | 115,706 |
| UK-20a Fully exempt inflows | — | — | — | — | — | — | — | — |
| UK-20b Inflows subject to 90% cap | — | — | — | — | — | — | — | — |
| UK-20c Inflows subject to 75% cap | 707,121 | 676,890 | 640,722 | 601,661 | 168,808 | 150,748 | 134,337 | 115,706 |
| UK-21 Liquidity buffer | 201,875 | 204,664 | 206,681 | 206,432 | | | | |
| 22 Total net cash outflows | 128,820 | 132,691 | 135,635 | 136,188 | | | | |
| 23 Liquidity coverage ratio (%) (average) | 157.1% | 154.5% | 152.6% | 152.0% | | | | |

As at 31 December 2024, the trailing average 12 month-end LCR remained stable at 157.1% (September 2024: 154.5%), equivalent to a surplus of £73.1bn (September 2024: £72.0bn) above the 100% regulatory requirement.

---

# Analysis of treasury and capital risk (continued)

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

The strong deposit franchise is a primary funding source for Barclays Bank PLC DoLSub. Barclays Bank PLC continued to issue in the shorter-term markets and maintained active medium-term note programmes. This funding capacity enables Barclays Bank PLC DoLSub to maintain its stable and diversified funding base.

Barclays Bank PLC DoLSub also supports 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.

---

# Analysis of treasury and capital risk (continued)

## Table 14: LIQ2 - Net stable funding ratio

This table shows the net stable funding ratio (NSFR) that the bank requires to maintain a stable balance sheet funding profile.

| As at 31 December 2024 | Unweighted value by residual maturity | | | | |
| --- | --- | --- | --- | --- | --- |
| (in currency amount) | No maturity | < 6 months | 6 months to < 1yr | ≥ 1yr | Weighted value |
| **Available stable funding (ASF) Items** | | | | | |
| 1 Capital items and instruments | 39,358 | 3,550 | 2,385 | 48,224 | 88,775 |
| 2 Own funds | 39,358 | 1,345 | 469 | 19,628 | 59,221 |
| 3 Other capital instruments | | 2,205 | 1,917 | 28,596 | 29,554 |
| 4 Retail deposits | | 31,179 | 2,483 | 354 | 30,694 |
| 5 Stable deposits | | 877 | 4 | — | 838 |
| 6 Less stable deposits | | 30,302 | 2,479 | 354 | 29,856 |
| 7 Wholesale funding: | | 533,146 | 39,887 | 124,687 | 252,812 |
| 8 Operational deposits | | 78,702 | — | — | 39,351 |
| 9 Other wholesale funding | | 454,444 | 39,887 | 124,687 | 213,461 |
| 10 Interdependent liabilities | | — | — | — | — |
| 11 Other liabilities: | 837 | 105,384 | — | 100 | 100 |
| 12 NSFR derivative liabilities | 837 | | | | |
| 13 All other liabilities and capital instruments not included in the above categories | | 105,384 | — | 100 | 100 |
| 14 Total ASF | | | | | 372,381 |
| **Required stable funding (RSF) Items** | | | | | |
| 15 Total high-quality liquid assets (HQLA) | | | | | 25,979 |
| UK-15a Assets encumbered for more than 12m in cover pool | — | 2,595 | 2,269 | 56,455 | 50,911 |
| 16 Deposits held at other financial institutions for operational purposes | | — | — | — | — |
| 17 Performing loans and securities: | | 263,321 | 20,914 | 160,270 | 187,153 |
| 18 Performing securities financing transactions with financial customers collateralised by Level 1 HQLA subject to 0% haircut | | 25,423 | 2,130 | 7,540 | 8,609 |
| 19 Performing securities financing transactions with financial customer collateralised by other assets and loans and advances to financial institutions | | 221,446 | 14,649 | 101,282 | 123,044 |
| 20 Performing loans to non-financial corporate clients, loans to retail and small business customers, and loans to sovereigns, and PSEs, of which: | | 15,689 | 4,052 | 50,705 | 54,599 |
| 21 With a risk weight of less than or equal to 35% under the Basel II Standardised Approach for credit risk | | 2,579 | 370 | 7,996 | 7,425 |
| 22 Performing residential mortgages, of which: | | — | — | — | — |
| 23 With a risk weight of less than or equal to 35% under the Basel II Standardised Approach for credit risk | | — | — | — | — |
| 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 | | 763 | 83 | 743 | 901 |
| 25 Interdependent assets | | — | — | — | 0 |
| 26 Other assets | | 134,018 | — | 28,695 | 60,814 |
| 27 Physical traded commodities | | | | | |
| 28 Assets posted as initial margin for derivative contracts and contributions to default funds of CCPs | | 32,874 | — | — | 27,943 |
| 29 NSFR derivative assets | | 189 | — | — | 189 |
| 30 NSFR derivative liabilities before deduction of variation margin posted | | 60,755 | — | — | 3,038 |
| 31 All other assets not included in the above categories | | 40,200 | — | 28,695 | 29,644 |
| 32 Off-balance sheet items | | 163,955 | — | 26 | 8,017 |
| 33 Total RSF | | | | | 332,874 |
| 34 Net Stable Funding Ratio (%) | | | | | 111.9% |

---

# Analysis of treasury and capital risk (continued)

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

| As at 31 December 2023 | Unweighted value by residual maturity | | | | |
| --- | --- | --- | --- | --- | --- |
| (in currency amount) | No maturity | < 6 months | 6 months to < 1yr | ≥ 1yr | Weighted value |
| **Available stable funding (ASF) Items** | | | | | |
| 1 Capital items and instruments | 38,688 | 5,574 | 4,000 | 42,089 | 82,777 |
| 2 Own funds | 38,688 | 2,108 | 1,126 | 18,768 | 58,019 |
| 3 Other capital instruments | | 3,466 | 2,874 | 23,321 | 24,758 |
| 4 Retail deposits | | 28,977 | 2,299 | 289 | 28,487 |
| 5 Stable deposits | | 983 | 22 | 3 | 957 |
| 6 Less stable deposits | | 27,994 | 2,277 | 286 | 27,530 |
| 7 Wholesale funding: | | 517,857 | 45,371 | 111,576 | 227,401 |
| 8 Operational deposits | | 62,747 | — | — | 31,373 |
| 9 Other wholesale funding | | 455,110 | 45,371 | 111,576 | 196,028 |
| 10 Interdependent liabilities | | — | — | — | — |
| 11 Other liabilities: | 572 | 75,984 | — | 100 | 100 |
| 12 NSFR derivative liabilities | 572 | | | | |
| 13 All other liabilities and capital instruments not included in the above categories | | 75,984 | — | 100 | 100 |
| 14 Total ASF | | | | | 338,765 |
| **Required stable funding (RSF) Items** | | | | | |
| 15 Total high-quality liquid assets (HQLA) | | | | | 25,247 |
| UK-15a Assets encumbered for more than 12m in cover pool | — | 45,040 | — | — | 38,284 |
| 16 Deposits held at other financial institutions for operational purposes | | — | — | — | — |
| 17 Performing loans and securities: | | 260,224 | 17,267 | 153,238 | 176,046 |
| 18 Performing securities financing transactions with financial customers collateralised by Level 1 HQLA subject to 0% haircut | | 56,659 | 851 | 5,338 | 5,762 |
| 19 Performing securities financing transactions with financial customer collateralised by other assets and loans and advances to financial institutions | | 186,287 | 11,161 | 95,150 | 112,789 |
| 20 Performing loans to non-financial corporate clients, loans to retail and small business customers, and loans to sovereigns, and PSEs, of which: | | 15,975 | 5,116 | 51,829 | 56,252 |
| 21 With a risk weight of less than or equal to 35% under the Basel II Standardised Approach for credit risk | | 2,591 | 381 | 7,466 | 6,904 |
| 22 Performing residential mortgages, of which: | | — | — | — | — |
| 23 With a risk weight of less than or equal to 35% under the Basel II Standardised Approach for credit risk | | — | — | — | — |
| 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 | | 1,303 | 139 | 921 | 1,243 |
| 25 Interdependent assets | | — | — | — | 0 |
| 26 Other assets | | 108,931 | — | 30,310 | 60,454 |
| 27 Physical traded commodities | | | | | |
| 28 Assets posted as initial margin for derivative contracts and contributions to default funds of CCPs | | 30,341 | — | — | 25,790 |
| 29 NSFR derivative assets | | 765 | — | — | 765 |
| 30 NSFR derivative liabilities before deduction of variation margin posted | | 60,776 | — | — | 3,039 |
| 31 All other assets not included in the above categories | | 17,049 | — | 30,310 | 30,860 |
| 32 Off-balance sheet items | | 156,065 | — | 24 | 7,617 |
| 33 Total RSF | | | | | 307,648 |
| 34 Net Stable Funding Ratio (%) | | | | | 110.1% |

The NSFR metric requires banks to maintain a stable funding profile taking into account both on and certain off-balance sheet exposures over the medium to long term. The ratio is defined as the Available Stable Funding (‘ASF’) (capital and certain liabilities which are treated as stable sources of funding) relative to the Required Stable Funding (‘RSF’) (a measure of assets on the balance sheet and certain off-balance sheet exposures which may require longer term funding).

As at 31 December 2024, the trailing average NSFR for the last four spot quarter end positions was 111.9% (December 2023: 110.1%), equivalent to a surplus of £39.5bn (December 2023: £31.1bn) above the 100% regulatory requirement.

---

# Analysis of credit risk

## Analysis of capital requirements and exposures for credit risk

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

This table shows the impact of credit risk mitigation (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.

| As at 31 December 2024 | Exposures before CCF and CRM (On-balance sheet £m) | Exposures before CCF and CRM (Off-balance sheet £m) | Exposures post-CCF and CRM (On-balance sheet £m) | Exposures post-CCF and CRM (Off-balance sheet £m) | RWA (£m) | RWA density (%) |
| --- | --- | --- | --- | --- | --- | --- |
| 1 Central governments or central banks | 148,188 | 9,735 | 152,811 | 11,467 | 2,568 | 2% |
| 2 Regional governments or local authorities | 146 | 251 | 573 | 13 | 21 | 4% |
| 3 Public sector entities | 5,189 | 4 | 214 | 2 | 47 | 22% |
| 4 Multilateral development banks | 5,018 | 239 | 5,018 | 5 | 3 | — |
| 5 International organisations | 834 | — | 834 | — | — | — |
| 6 Institutions | 61,905 | 34,926 | 61,168 | 17,016 | 5,018 | 6% |
| 7 Corporates | 104,830 | 95,851 | 79,438 | 11,405 | 33,993 | 37% |
| 8 Retail | 1,902 | 1,931 | 1,850 | 64 | 1,344 | 70% |
| 9 Secured by mortgages on immovable property | 7,083 | 57 | 7,080 | 15 | 2,829 | 40% |
| 10 Exposures in default | 667 | 658 | 612 | 150 | 876 | 115% |
| 11 Exposures associated with particularly high risk | 263 | — | 263 | — | 394 | 150% |
| 12 Covered bonds | — | — | — | — | — | — |
| 13 Institutions and corporates with a short-term credit assessment | — | — | — | — | — | — |
| 14 Collective investment undertakings | — | — | — | — | — | — |
| 15 Equity | 3,050 | — | 3,050 | — | 7,626 | 250% |
| 16 Other items | 3 | — | 3 | — | 3 | 100% |
| 17 Total | 339,078 | 143,652 | 312,914 | 40,137 | 54,722 | 15% |

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

Standardised credit risk RWAs increased by £10.9bn to £54.7bn (December 2023: £43.8bn) primarily driven by increased RWAs to intra-group exposures across Institutions and Corporates.

---

# Analysis of credit risk (continued)

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

This table shows the effect of credit derivatives on the credit risk AIRB approach and will not directly reconcile to the credit risk AIRB RWAs in table 5.

| | Pre-credit derivatives risk weighted exposure amount (As at 31 December 2024 £m) | Pre-credit derivatives risk weighted exposure amount (As at 31 December 2023 £m) | Actual risk weighted exposure amount (As at 31 December 2024 £m) | Actual risk weighted exposure amount (As at 31 December 2023 £m) |
| --- | --- | --- | --- | --- |
| 5 Exposures under AIRB | 46,836 | 49,653 | 46,835 | 49,649 |
| 6 Central governments and central banks | 3,438 | 4,066 | 3,438 | 4,066 |
| 7 Institutions | 2,200 | 3,362 | 2,200 | 3,362 |
| 8 Corporates | 41,111 | 42,091 | 41,110 | 42,087 |
| 8.1 of which Corporates - which SMEs | 1,432 | 1,843 | 1,432 | 1,843 |
| 8.2 of which Corporates - Specialised lending | — | — | — | — |
| 9 Retail | 87 | 134 | 87 | 134 |
| 9.1 of which Retail – SMEs - Secured by immovable property collateral | — | — | — | — |
| 9.2 of which Retail – non-SMEs - Secured by immovable property collateral | 87 | 134 | 87 | 134 |
| 9.3 of which Retail – Qualifying revolving | — | — | — | — |
| 9.4 of which Retail – SMEs - Other | — | — | — | — |
| 9.5 of which Retail – Non-SMEs- Other | — | — | — | — |
| 10 TOTAL | 46,836 | 49,653 | 46,835 | 49,649 |

---

# Analysis of credit risk (continued)

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

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.

| As at 31 December 2024 | Total exposures (£m) | Part of exposures covered by Financial Collaterals (%) | Part of exposures covered by Other eligible collaterals (%) | Part of exposures covered by Immovable property Collaterals (%) | Part of exposures covered by Receivables (%) | Part of exposures covered by Other physical collateral (%) | Part of exposures covered by Other funded credit protection (%) | Part of exposures covered by Cash on deposit (%) | Part of exposures covered by Guarantees (%) | Part of exposures covered by Credit Derivatives (%) | RWEA post all CRM assigned to the obligor exposure class (£m) | RWEA with substitution effects (£m) |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| 1 Central governments and central banks | 72,565 | — | — | — | — | — | — | — | — | — | 3,438 | 3,438 |
| 2 Institutions | 9,993 | 4.3% | 0.9% | 0.1% | — | 0.8% | 3.7% | 3.7% | — | — | 2,200 | 2,200 |
| 3 Corporates | 65,514 | 5.1% | 11.1% | 8.6% | 0.4% | 2.1% | — | — | 2.1% | 0.0% | 41,110 | 41,110 |
| 3.1 Of which Corporates – SMEs | 3,109 | 4.3% | 59.5% | 56.1% | 2.5% | 0.9% | — | — | 0.7% | — | 1,432 | 1,432 |
| 3.2 Of which Corporates – Specialised lending | — | — | — | — | — | — | — | — | — | — | — | — |
| 3.3 Of which Corporates – Other | 62,405 | 5.2% | 8.7% | 6.3% | 0.3% | 2.1% | — | — | 2.2% | 0.0% | 39,678 | 39,678 |
| 4 Retail | 132 | — | 291.6% | 291.6% | — | — | — | — | — | — | 87 | 87 |
| 5 Total | 148,204 | 2.6% | 5.2% | 4.1% | 0.2% | 1.0% | 0.3% | 0.3% | 0.9% | — | 46,835 | 46,835 |

---

# Analysis of credit risk (continued)

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

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

---

# Analysis of credit risk (continued)

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

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

### Specialised lending : Income-producing real estate and high volatility commercial real estate (Slotting approach)

| Regulatory categories | Remaining maturity | On-balance sheet exposure (£m) | Off-balance sheet exposure (£m) | Risk weight (%) | Exposure value (£m) | Risk weighted exposure amount (£m) | Expected loss amount (£m) |
| --- | --- | --- | --- | --- | --- | --- | --- |
| **As at 31 December 2024** | | | | | | | |
| Category 1 | Less than 2.5 years | 1,724 | 650 | 50% | 1,981 | 913 | — |
| | Equal to or more than 2.5 years | 1,437 | 401 | 70% | 1,667 | 1,107 | 6 |
| Category 2 | Less than 2.5 years | 775 | 55 | 70% | 797 | 547 | 3 |
| | Equal to or more than 2.5 years | 238 | 6 | 90% | 242 | 215 | 2 |
| Category 3 | Less than 2.5 years | 401 | 3 | 115% | 401 | 452 | 11 |
| | Equal to or more than 2.5 years | 163 | — | 115% | 163 | 187 | 5 |
| Category 4 | Less than 2.5 years | 52 | — | 250% | 52 | 130 | 4 |
| | Equal to or more than 2.5 years | 45 | — | 250% | 45 | 112 | 4 |
| Category 5 | Less than 2.5 years | 68 | — | — | 68 | — | 34 |
| | Equal to or more than 2.5 years | — | — | — | — | — | — |
| Total | Less than 2.5 years | 3,020 | 708 | — | 3,299 | 2,042 | 52 |
| | Equal to or more than 2.5 years | 1,883 | 407 | — | 2,117 | 1,621 | 17 |
| **As at 31 December 2023** | | | | | | | |
| Total | Less than 2.5 years | 2,896 | 932 | — | 3,407 | 2,109 | 62 |
| | Equal to or more than 2.5 years | 1,720 | 286 | — | 1,818 | 1,558 | 23 |

---

# Analysis of credit risk (continued)

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

| As at 31 December 2024 | Gross carrying amount/nominal (Total £m) | Gross carrying amount/nominal (Of which Stage 1 £m) | Gross carrying amount/nominal (Of which Stage 2 £m) | Gross carrying amount/nominal (Non-performing Of which Stage 2 £m) | Gross carrying amount/nominal (Non-performing Of which Stage 3 £m) | Accumulated impairment (Performing – Of which Stage 1 £m) | Accumulated impairment (Performing – Of which Stage 2 £m) | Accumulated impairment (Non-performing – Of which Stage 2 £m) | Accumulated impairment (Non-performing – Of which Stage 3 £m) | Accumulated partial write-off (£m) | Collateral and financial guarantees received (On performing exposures £m) | Collateral and financial guarantees received (On non performing exposures £m) |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| 005 Cash balances at central banks and other demand deposits | 150,287 | 150,287 | — | — | — | — | — | — | — | — | — | — |
| 010 Loans and advances | 553,214 | 297,313 | 8,279 | 1,817 | 1,817 | (374) | (151) | (223) | (412) | (124) | 283,605 | 776 |
| 020 Central banks | 15,483 | 11,288 | — | — | — | — | — | — | — | — | 4,185 | — |
| 030 General governments | 1,722 | 1,522 | — | 1 | 1 | — | — | — | — | — | 654 | — |
| 040 Credit institutions | 53,122 | 28,527 | 2 | 25 | 25 | (2) | (2) | — | (25) | — | 27,345 | — |
| 050 Other financial corporations | 420,004 | 205,128 | 1,589 | 96 | 96 | (55) | (44) | (10) | (24) | (1) | 219,614 | 50 |
| 060 Non-financial corporations | 53,167 | 43,199 | 6,213 | 1,338 | 1,338 | (303) | (93) | (211) | (325) | (123) | 23,837 | 409 |
| 070 Of which SMEs | 863 | 647 | 217 | 31 | 31 | (75) | (14) | (61) | (21) | — | 12 | — |
| 080 Households | 9,716 | 7,649 | 475 | 357 | 357 | (14) | (12) | (2) | (38) | — | 7,970 | 317 |
| 090 Debt securities | 85,916 | 78,094 | 2,289 | — | — | (16) | (12) | (4) | — | — | 773 | — |
| 150 Off-balance-sheet exposures | 269,616 | 256,640 | 12,976 | 871 | 871 | (310) | (107) | (203) | (22) | — | 62,622 | 38 |
| 220 Total | 1,059,033 | 782,334 | 23,544 | 2,688 | 2,688 | (700) | (270) | (430) | (434) | (124) | 347,000 | 814 |

---

# Analysis of credit risk (continued)

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

| As at 31 December 2023 | Gross carrying amount/nominal (Total £m) | Gross carrying amount/nominal (Of which Stage 1 £m) | Gross carrying amount/nominal (Of which Stage 2 £m) | Gross carrying amount/nominal (Non-performing Of which Stage 2 £m) | Gross carrying amount/nominal (Non-performing Of which Stage 3 £m) | Accumulated impairment (Performing – Of which Stage 1 £m) | Accumulated impairment (Performing – Of which Stage 2 £m) | Accumulated impairment (Non-performing – Of which Stage 2 £m) | Accumulated impairment (Non-performing – Of which Stage 3 £m) | Accumulated partial write-off (£m) | Collateral and financial guarantees received (On performing exposures £m) | Collateral and financial guarantees received (On non performing exposures £m) |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| 005 Cash balances at central banks and other demand deposits | 153,129 | 153,129 | — | — | — | — | — | — | — | — | — | — |
| 010 Loans and advances | 583,902 | 317,008 | 8,431 | 1,854 | 1,854 | (461) | (194) | (268) | (626) | (22) | 297,307 | 963 |
| 020 Central banks | 16,141 | 11,739 | — | — | — | — | — | — | — | — | 4,408 | — |
| 030 General governments | 578 | 313 | 1 | 1 | 1 | — | — | — | — | — | 272 | — |
| 040 Credit institutions | 55,819 | 26,923 | 2 | 34 | 34 | (3) | (3) | — | (29) | — | 31,186 | — |
| 050 Other financial corporations | 448,049 | 227,162 | 1,479 | 127 | 127 | (57) | (47) | (11) | (27) | (5) | 231,886 | 46 |
| 060 Non-financial corporations | 54,830 | 43,594 | 6,653 | 992 | 992 | (388) | (133) | (255) | (261) | (17) | 22,674 | 530 |
| 070 Of which SMEs | 891 | 738 | 152 | 32 | 32 | (62) | (17) | (45) | (20) | — | 34 | — |
| 080 Households | 8,485 | 7,277 | 296 | 700 | 700 | (13) | (11) | (2) | (309) | — | 6,881 | 387 |
| 090 Debt securities | 88,095 | 80,382 | 2,827 | — | — | (22) | (10) | (12) | — | — | 1,044 | — |
| 150 Off-balance-sheet exposures | 274,721 | 256,790 | 17,931 | 759 | 759 | (311) | (109) | (202) | (44) | — | 49,156 | 39 |
| 220 Total | 1,099,847 | 807,309 | 29,189 | 2,613 | 2,613 | (794) | (313) | (482) | (670) | (22) | 347,507 | 1,002 |

Performing gross carrying exposures decreased by £40.8bn to £1,059.0bn (December 2023: £1,099.8bn) primarily driven by:
- Cash balances with central bank and other demand deposits decreased by £2.8bn to £150.3bn (December 2023: £153.1bn) due to a decrease in deposits
- Performing loans and advances decreased by £30.7bn to £553.2bn (December 2023: £583.9bn) primarily due to decreased lending
- Debt securities decreased by £2.2bn to £85.9bn (December 2023: £88.1bn) driven by net maturities in debt securities

---

# Analysis of credit risk (continued)

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

This table shows the on- and off-balance sheet net credit risk exposures by residual contractual maturity, split by either loans and advances or debt securities. The amounts shown are based on IFRS accounting values according to the regulatory scope of consolidation.

| As at 31 December 2024 | On demand (£m) | <= 1 year (£m) | > 1 year <= 5 years (£m) | > 5 years (£m) | No stated maturity (£m) | Total (£m) |
| --- | --- | --- | --- | --- | --- | --- |
| 1 Loans and advances | 397,200 | 304,094 | 97,944 | 25,162 | — | 824,400 |
| 2 Debt securities | — | 3,940 | 38,362 | 43,598 | — | 85,900 |
| 3 Total | 397,200 | 308,034 | 136,306 | 68,760 | — | 910,300 |

| As at 31 December 2023 | On demand (£m) | <= 1 year (£m) | > 1 year <= 5 years (£m) | > 5 years (£m) | No stated maturity (£m) | Total (£m) |
| --- | --- | --- | --- | --- | --- | --- |
| 1 Loans and advances | 356,584 | 387,647 | 87,851 | 27,712 | — | 859,794 |
| 2 Debt securities | — | 15,036 | 37,937 | 35,100 | — | 88,073 |
| 3 Total | 356,584 | 402,683 | 125,788 | 62,812 | — | 947,867 |

Loans and advances decreased £35.4bn to £824.4bn (December 2023: £859.8bn) principally driven by a decrease in funding to subsidiaries.
Debt securities decreased £2.2bn to £85.9bn (December 2023: £88.1bn) driven by decreased investment in debt securities.

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

| As at 31 December 2024 | Gross carrying amount (£m) |
| --- | --- |
| 010 Initial stock of non-performing loans and advances | 1,854 |
| 020 Inflows to non-performing portfolios | 1,061 |
| 030 Outflows from non-performing portfolios | (293) |
| 040 Outflows due to write-offs | (246) |
| 050 Outflow due to other situations$^1$ | (559) |
| 060 Final stock of non-performing loans and advances | 1,817 |

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

| As at 31 December 2024 | Unsecured carrying amount (£m) | Secured carrying amount (£m) | Of which secured by collateral (£m) | Of which secured by financial guarantees (£m) | Of which secured by credit derivatives (£m) |
| --- | --- | --- | --- | --- | --- |
| 1 Loans and advances | 420,937 | 284,381 | 276,915 | 7,466 | 278 |
| 2 Debt securities | 85,143 | 773 | 631 | 142 | — |
| 3 Total | 506,080 | 285,154 | 277,546 | 7,608 | 278 |
| 4 Of which non-performing exposures | 1,041 | 776 | 722 | 54 | — |
| 5 Of which defaulted | 1,041 | 776 | | | |

Unsecured Loans and advances have decreased by £19.7bn to £420.9bn (December 2023: £440.6bn) due to a decrease in lending.
Loans and advances secured by collateral decreased by £16.6bn to £276.9bn (December 2023: £293.4bn) due to a decrease in lending.
Loans and advances secured by guarantees increased by £2.7bn to £7.5bn (December 2023: £4.8bn) primarily due to increased business activity partially offset by repayments.

---

# Analysis of credit risk (continued)

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

| As at 31 December 2024 | Gross carrying amount/nominal (Performing forborne £m) | Gross carrying amount/nominal (Non-performing Of which defaulted £m) | Gross carrying amount/nominal (Non-performing Of which impaired £m) | Gross carrying amount/nominal (Non-performing £m) | Accumulated impairment (On performing forborne exposures £m) | Accumulated impairment (On non-performing forborne exposures £m) | Collateral received (On performing forborne exposures £m) | Collateral received (On non-performing forborne exposures £m) |
| --- | --- | --- | --- | --- | --- | --- | --- | --- |
| 010 Loans and Advances | 917 | 590 | 589 | 588 | (24) | (145) | 595 | 236 |
| 030 General governments | — | 1 | 1 | 1 | — | — | — | — |
| 050 Other financial corporations | — | 27 | 27 | 27 | — | (20) | — | — |
| 060 Non-financial corporations | 916 | 489 | 488 | 487 | (24) | (122) | 524 | 166 |
| 070 Households | 1 | 73 | 73 | 73 | — | (3) | 71 | 70 |
| 090 Loan commitments given | 519 | 265 | 265 | 263 | (4) | — | 22 | 3 |
| 100 Total | 1,436 | 855 | 854 | 851 | (28) | (145) | 617 | 239 |

---

# Analysis of credit risk (continued)

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

| As at 31 December 2024 | Performing (Not past due £m) | Performing (Past due > 30 days £m) | Non-performing (Unlikely to pay £m) | Non-performing (Past due > 90 days £m) | Non-performing (Past due > 180 days £m) | Non-performing (Past due > 1 year £m) | Non-performing (Past due > 2 years £m) | Non-performing (Past due > 5 years £m) | Non-performing (Past due > 7 years £m) | Of which defaulted (£m) |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| 010 Loans and advances | 552,973 | 241 | 1,817 | 1,198 | 92 | 109 | 81 | 330 | — | 1,817 |
| 030 General governments | 1,722 | — | 1 | — | — | 1 | — | — | — | 1 |
| 040 Credit institutions | 53,122 | — | 25 | — | — | — | 22 | 3 | — | 25 |
| 050 Other financial corporations | 419,994 | 10 | 96 | 87 | 3 | 4 | — | 2 | — | 96 |
| 060 Non-financial corporations | 53,109 | 58 | 1,338 | 1,001 | 27 | 90 | 48 | 165 | — | 1,338 |
| 070 Of which SMEs | 856 | 7 | 31 | 4 | 14 | 13 | — | — | — | 31 |
| 080 Households | 9,543 | 173 | 357 | 110 | 62 | 14 | 11 | 160 | — | 357 |
| 220 Total | 789,176 | 241 | 2,688 | 1,198 | 92 | 109 | 81 | 330 | — | 2,688 |

---

# Analysis of credit risk (continued)

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

| As at 31 December 2023 | Performing (Not past due £m) | Performing (Past due > 30 days £m) | Non-performing (Unlikely to pay £m) | Non-performing (Past due > 90 days £m) | Non-performing (Past due > 180 days £m) | Non-performing (Past due > 1 year £m) | Non-performing (Past due > 2 years £m) | Non-performing (Past due > 5 years £m) | Non-performing (Past due > 7 years £m) | Of which defaulted (£m) |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| 010 Loans and advances | 583,757 | 145 | 1,854 | 813 | 117 | 95 | 237 | 258 | 49 | 1,854 |
| 030 General governments | 578 | — | 1 | 1 | — | — | — | — | — | 1 |
| 040 Credit institutions | 55,819 | — | 34 | — | 23 | — | 11 | — | — | 34 |
| 050 Other financial corporations | 448,038 | 11 | 127 | 117 | — | 2 | 2 | 6 | — | 127 |
| 060 Non-financial corporations | 54,730 | 100 | 992 | 607 | 72 | 83 | 139 | 84 | — | 992 |
| 070 Of which SMEs | 883 | 8 | 32 | 3 | 15 | 14 | — | — | — | 32 |
| 080 Households | 8,451 | 34 | 700 | 88 | 22 | 10 | 85 | 168 | 49 | 700 |
| 220 Total | 824,981 | 145 | 2,613 | 813 | 117 | 95 | 237 | 258 | 49 | 2,613 |

---

# Analysis of credit risk (continued)

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

| As at 31 December 2024 | Gross carrying/Nominal amount (Total £m) | Gross carrying/Nominal amount (Non-performing £m) | Gross carrying/Nominal amount (Of which defaulted £m) | Gross carrying/Nominal amount (Subject to impairment £m) | Accumulated impairment (£m) | Provisions on off balance sheet (£m) |
| --- | --- | --- | --- | --- | --- | --- |
| **On balance sheet exposures** | 792,142 | 1,817 | 1,817 | 539,446 | (802) | — |
| UNITED KINGDOM | 315,120 | 799 | 799 | 238,326 | (379) | — |
| UNITED STATES | 232,498 | 442 | 442 | 135,908 | (222) | — |
| FRANCE | 54,406 | 70 | 70 | 53,427 | (24) | — |
| LUXEMBOURG | 41,628 | 35 | 35 | 22,932 | (12) | — |
| **Off balance sheet exposures** | 270,487 | 871 | 871 | | | (332) |
| UNITED STATES | 156,763 | 281 | 281 | | | (210) |
| UNITED KINGDOM | 66,942 | 146 | 146 | | | (87) |
| Total | 1,062,629 | 2,688 | 2,688 | 539,446 | (802) | (332) |

---

# Analysis of credit risk (continued)

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

| As at 31 December 2023 | Gross carrying/Nominal amount (Total £m) | Gross carrying/Nominal amount (Non-performing £m) | Gross carrying/Nominal amount (Of which defaulted £m) | Gross carrying/Nominal amount (Subject to impairment £m) | Accumulated impairment (£m) | Provisions on off balance sheet (£m) |
| --- | --- | --- | --- | --- | --- | --- |
| **On balance sheet exposures** | 827,924 | 1,854 | 1,854 | 563,630 | (1,109) | — |
| UNITED KINGDOM | 386,172 | 393 | 393 | 289,932 | (284) | — |
| UNITED STATES | 221,936 | 422 | 422 | 127,126 | (313) | — |
| SINGAPORE | 71,121 | 892 | 892 | 48,500 | (455) | — |
| **Off balance sheet exposures** | 275,480 | 759 | 759 | | | (355) |
| UNITED STATES | 141,136 | 117 | 117 | | | (207) |
| UNITED KINGDOM | 84,445 | 115 | 115 | | | (88) |
| Total | 1,103,404 | 2,613 | 2,613 | 563,630 | (1,109) | (355) |

---

# Analysis of credit risk (continued)

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

| As at 31 December 2024 | Gross carrying amount (Total £m) | Gross carrying amount (Non-performing £m) | Gross carrying amount (Of which defaulted £m) | Gross carrying amount (Loans and advances subject to impairment £m) | Accumulated impairment (£m) |
| --- | --- | --- | --- | --- | --- |
| 030 Manufacturing | 5,626 | 164 | 164 | 5,298 | (100) |
| 050 Water supply | 956 | 329 | 329 | 798 | (77) |
| 070 Wholesale and retail trade | 5,339 | 44 | 44 | 4,918 | (55) |
| 080 Transport and storage | 1,045 | 72 | 72 | 1,040 | (14) |
| 100 Information and communication | 4,482 | 213 | 213 | 4,187 | (72) |
| 120 Real estate activities | 14,317 | 231 | 231 | 13,084 | (76) |
| 190 Other services | 2,759 | 132 | 132 | 2,757 | (53) |
| 200 Total | 54,505 | 1,338 | 1,338 | 50,750 | (628) |

---

# Analysis of credit risk (continued)

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

| As at 31 December 2023 | Gross carrying amount (Total £m) | Gross carrying amount (Non-performing £m) | Gross carrying amount (Of which defaulted £m) | Gross carrying amount (Loans and advances subject to impairment £m) | Accumulated impairment (£m) |
| --- | --- | --- | --- | --- | --- |
| 030 Manufacturing | 6,955 | 156 | 156 | 5,893 | (101) |
| 070 Wholesale and retail trade | 4,381 | 36 | 36 | 4,287 | (67) |
| 100 Information and communication | 4,549 | 82 | 82 | 4,366 | (94) |
| 120 Real estate activities | 13,027 | 386 | 386 | 11,370 | (115) |
| 190 Other services | 2,599 | 152 | 152 | 2,596 | (45) |
| 200 Total | 55,822 | 992 | 992 | 51,240 | (649) |

Total gross carrying amount decreased by £1.3bn to £54.5bn (December 2023: £55.8bn) primarily due to repayments.

---

# Analysis of credit risk (continued)

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

| | Value at initial recognition (£m) |
| --- | --- |
| **As at 31 December 2024** | |
| 010 Property, plant and equipment (PP&E) | — |
| 020 Other than PP&E | 1 |
| 030 Residential immovable property | 1 |
| 080 Total | 1 |
| **As at 31 December 2023** | |
| 010 Property, plant and equipment (PP&E) | — |
| 020 Other than PP&E | 3 |
| 030 Residential immovable property | 3 |
| 080 Total | 3 |

---

# Management of credit risk mitigation techniques and counterparty credit risk

Counterparty credit risk arises from derivatives and similar contracts. This section details the specific aspects of the risk framework related to this type of credit risk. As credit risk mitigation is one of the principal uses of derivative contracts by banks, this is also discussed in this section.

## Credit risk mitigation
Barclays Bank PLC employs a range of techniques and strategies to actively mitigate credit risks. These techniques and strategies can broadly be divided into three types:
- netting and set-off
- collateral
- risk transfer

The Bank has detailed policies in place to ensure that credit risk mitigation is appropriately recognised and recorded. The recognition of credit risk mitigation is subject to a number of considerations including legal certainty of enforceability and effectiveness, that the valuation and liquidity of the collateral is adequately monitored, and that the value of the collateral is not materially correlated with the credit quality of the counterparty.

All three types of credit risk mitigation may be used by different areas of Barclays Bank PLC for exposures with a full range of counterparties. For instance, businesses may take property, cash or other physical assets as collateral for exposures to retailers, property companies or other client types.

### Netting and set-off
In most jurisdictions in which Barclays Bank PLC operates, credit risk exposures can be reduced by applying netting and set-off. In exposure terms, this credit risk mitigation technique has the largest overall impact on net exposure to derivative transactions, compared with other risk mitigation techniques.

For derivative transactions, Barclays Bank PLC’s normal practice is to enter into standard master agreements with counterparties (e.g. ISDAs). These master agreements typically allow for netting of credit risk exposure to a counterparty resulting from derivative transactions against the obligations to the counterparty in the event of default, and so produce a lower net credit exposure. These agreements may also reduce settlement exposure (e.g. for foreign exchange transactions) by allowing payments on the same day in the same currency to be set-off against one another.

Under IFRS, netting is permitted only if both of the following criteria are satisfied:
- the entity currently has a legally enforceable right to set off the recognised amounts; and
- the entity intends either to settle on a net basis, or to realise the asset and settle the liability simultaneously

### Collateral
Barclays Bank PLC has the ability to call on collateral in the event of default of the counterparty, comprising any or a combination of the following:
- home loans: a fixed charge over residential property in the form of houses, flats and other dwellings. The value of collateral is impacted by property market conditions which drive demand and therefore value of the property. Other regulatory interventions on ability to repossess, longer period to repossession and granting of forbearance may also affect the collateral value
- wholesale lending: a fixed charge over commercial property and other physical assets, in various forms
- other retail lending: includes second line charges over residential property, which are subordinate to first charges held either by Barclays Bank PLC or by another party; and finance lease receivables, for which typically Barclays Bank PLC retains legal title to the leased asset and has the right to repossess the asset on the default of the borrower
- derivatives: Barclays Bank PLC also often seeks to enter into a margin agreement (e.g. Credit Support Annex) with counterparties with which Barclays Bank PLC has master netting agreements in place. These annexes to master agreements provide a mechanism for further reducing credit risk, whereby collateral (margin) is posted on a regular basis (typically daily) to collateralise the mark to market exposure of a derivative portfolio measured on a net basis. Barclays Bank PLC may additionally negotiate the receipt of an independent amount further mitigating risk by collateralising potential mark to market exposure moves
- reverse repurchase agreements: collateral typically comprises highly liquid securities which have been legally transferred to Barclays Bank PLC subject to an agreement to return them for a fixed price
- financial guarantees and similar off-balance sheet commitments: cash collateral may be held against these arrangements

### Risk transfer
A range of instruments including guarantees can be used to transfer credit risk from one counterparty to another. These mitigate credit risk in three main ways:
- if the risk is transferred to a counterparty which is more creditworthy than the original counterparty, then overall credit risk is reduced
- where recourse to the first counterparty remains, both counterparties must default before a loss materialises. This is less likely than the default of either counterparty individually so credit risk is reduced
- first loss exposures across pools of credit risk can be hedged via synthetic securitisation structures, typically via CLN issuance. As these are fully funded upfront they provide for a direct reduction in credit risk exposure on referenced pools

Risk transfer can also be used to reduce risk concentrations within portfolios lowering the impact of stress events.

Risk transfer transactions are undertaken with consideration to whether the collateral provider is correlated with the exposure, the credit worthiness of the collateral provider and legal certainty of enforceability and effectiveness. Where credit risk mitigation is deemed to transfer credit risk, this exposure is appropriately recorded against the credit risk mitigation provider.

---

# Management of credit risk mitigation techniques and counterparty credit risk (continued)

In exposure terms, risk transfer is used most extensively as a credit risk mitigation technique for wholesale loans and derivative financial instruments.

## Off-balance sheet risk mitigation
Barclays Bank PLC applies fundamentally the same risk management policies for off-balance sheet risks as it does for its on-balance sheet risks. In the case of commitments to lend, counterparties/customers will be subject to the same credit management policies as for loans and advances. Collateral may be sought depending on the strength of the counterparty and the nature of the transaction.

## Recognition of credit risk mitigation in capital calculations
Credit risk mitigation is used to reduce credit risk associated with an exposure, which may reduce potential losses in the event of obligor default or other specified credit events.

Credit risk mitigation that meets certain regulatory criteria may be used to improve risk parameters and reduce RWA consumption against a given obligor. Collateral that meets these regulatory conditions is referred to as eligible collateral. Eligibility criteria are specified in articles 195 to 204 of the UK CRR.

Barclays Bank PLC’s policies and standards set out criteria for the recognition of collateral as eligible credit risk mitigation and are designed to be fully consistent with all applicable local regulations and regulatory permissions.

Where regulatory capital is calculated under AIRB regulations, the benefit of collateral is generally taken by adjusting Loss Given Defaults (LGDs). For standardised portfolios, the benefit of collateral is taken using the financial collateral comprehensive method: supervisory volatility adjustments approach.

For instruments that are deemed to transfer credit risk, in AIRB portfolios the protection is generally recognised by using the Probability of Default (PD) and LGD of the protection provider.

For exposures treated under the standardised approach, the impact of eligible credit risk mitigation is primarily recognised by reducing the EAD associated with the exposure that benefits from the mitigation.

## Managing concentrations within credit risk mitigation
Credit risk mitigation taken by Barclays Bank PLC to reduce credit risk may result in credit or market risk concentrations.

Guarantees that are treated as eligible credit risk mitigation are marked as an exposure against the guarantor and aggregated with other credit exposure to the guarantor. Limit monitoring at the counterparty level is then used for monitoring of concentrations in line with Barclays Bank PLC policy.

Commercial real estate lending is another potential source of concentration risk arising from the use of credit risk mitigation. The portfolio is regularly reviewed to assess whether a concentration risk exists, and portfolio limits are in place to control the level of exposure to commercial, residential, investment and development activity.

## Counterparty credit risk

### Counterparty credit exposures for derivatives and securities financing transactions
Barclays Bank PLC enters into financial instruments through Barclays Bank PLC Treasury and Markets that are traded or cleared on an exchange, including interest rate swaps, futures and options on futures. Holders of exchange traded instruments provide daily margins with cash or other securities at the exchange, to which the holders look for ultimate settlement.

Barclays Bank PLC also enters into financial instruments that are traded over the counter, rather than on a recognised exchange. These instruments arise mainly from standardised transactions in derivative markets. In most cases, industry standard documentation is used, most commonly in the form of a master agreement, with individual transaction confirmations. The existence of a signed master agreement is intended to give Barclays Bank PLC protection in situations where Barclays Bank PLC’s counterparty is in default.

Counterparty credit exposure arises from the risk that parties are unable to meet their payment obligations under certain financial contracts such as derivatives, securities financing transactions (SFTs) (e.g. repurchase agreements), or long settlement transactions.

A Monte Carlo simulation engine is used to estimate the Potential Future Exposure (PFE) to derivative and securities financing counterparties. The exposure simulation model simulates future market states and the Mark-to-Market (MTM) of the derivative transactions under those states. Simulated exposures taking into account the effect of credit mitigants such as netting, collateral and mandatory break clauses can then be generated.

Credit limits for CCR are assessed and allocated using the PFE measure. A number of factors are taken into account when setting credit limits for individual counterparties, including but not limited to the credit quality and nature of the counterparty, the rationale for the trading activity entered into and any wrong-way risk considerations.

The expected exposures generated by this engine are also used as an input into both internal and regulatory capital calculations covering CCR.

‘Wrong-way risk’ in a derivative or SFT exposure arises when there is significant correlation between the underlying asset and the counterparty, which in the event of default would lead to a significant MTM loss to the counterparty. Specific wrong-way risk trades, which are self-referencing or reference to other entities within the same counterparty group, require approval by a senior credit officer. The exposure to the counterparty will reflect the additional risk generated by these transactions (the exposure will be consistent with jump-to-default of the reference asset assuming zero recovery).

### Derivative CCR (credit value adjustments)
As Barclays Bank PLC participates in derivative transactions it is exposed to CCR, which is the risk that a counterparty will fail to make the future payments agreed in the derivative contract. This is considered as a separate risk to the volatility of the MTM payment flows.

The counterparty risk arising under derivative transactions is taken into account when reporting the fair value of derivative positions. The adjustment to the value is known as credit value adjustment (CVA). It is the difference between the value of a derivative contract with a risk-free counterparty and that of a contract with the actual counterparty.

---

# Management of credit risk mitigation techniques and counterparty credit risk (continued)

CVAs for derivative positions are calculated as a function of the expected exposure, which is the average of future hypothetical exposure values for a single transaction or group of transactions with the same counterparty, the credit spread for a given horizon and the LGD.

The expected exposure is calculated using Monte Carlo simulations of risk factors that may affect the valuation of the derivative transactions in order to simulate the exposure to the counterparty through time. These simulated exposures include the effect of credit mitigants such as netting, collateral and mandatory break clauses. Counterparties with appropriate credit mitigants will generate a lower expected exposure profile compared to counterparties without credit mitigants in place for the same derivative transactions.

## Netting and collateral arrangements for derivatives and SFTs
Credit risk from derivatives and SFTs is mitigated where possible through netting agreements whereby assets and liabilities with the same counterparty can be offset. Barclays Bank PLC policy requires all netting arrangements to be legally documented. The International Swaps and Derivative Association (ISDA) Master Agreement is Barclays Bank PLC’s preferred agreement for documenting Over the Counter (OTC) derivatives. It provides the contractual framework within which dealing activities across a full range of OTC products are conducted, and contractually binds both parties to apply close-out netting across all outstanding transactions covered by an agreement if either party defaults or other predetermined events occur. The majority of Barclays Bank PLC’s OTC derivative exposures are covered by (ISDA) master netting and ISDA Credit Support Annex (CSA) collateral agreements. SFTs are documented under Global Master Repurchase agreement.

Collateral may be obtained against derivative and SFTs, depending on the creditworthiness of the counterparty and/or nature of the transaction. Any non-cash collateral taken in respect of OTC trading exposures will be subject to a ‘haircut’, which is negotiated at the time of signing the collateral agreement. A haircut is the valuation percentage applicable to each type of collateral and will be largely based on liquidity and price volatility of the underlying security, as well as the counterparty’s creditworthiness. The collateral obtained for derivatives is predominantly either cash, direct debt obligation government (G14+) bonds denominated in the domestic currency of the issuing country or debt issued by supranationals. Where Barclays Bank PLC has ISDA master agreements, the collateral document will be the ISDA CSA. The collateral document must give Barclays Bank PLC the power to realise any collateral placed with it in the event of the failure of the counterparty.

---

# Management of treasury and capital risk

## Treasury and capital risk management
This comprises:

**Liquidity risk:** The risk that the Barclays Bank PLC is unable to meet its contractual or contingent obligations or that it does not have the appropriate amount, tenor and composition of funding and liquidity to support its assets.

**Capital risk:** The risk that the Barclays Bank PLC has an insufficient level or composition of capital to support its normal business activities and to meet its regulatory capital requirements under normal operating environments and stressed conditions (both actual and as defined for internal planning or regulatory testing purposes). This also includes the risk from the Barclays Bank Group’s pension plans.

**Interest rate risk in the banking book:** The risk that the Barclays Bank PLC is exposed to capital or income volatility because of a mismatch between the interest rate exposures of its (non-traded) assets and liabilities. This also includes Credit Spread Risk in the Banking Book (CSRBB); the risk that the firm is exposed to capital or income volatility because of changes in credit spreads on its (non-traded) assets and liabilities.

## Overview
Barclays Bank PLC Treasury manages Treasury and Capital Risk exposure on a day-to-day basis with the Barclays Bank PLC Treasury Committee together with the Barclays Group Treasury Committee acting as the principal management bodies. The Treasury and Capital Risk function is responsible for oversight and provides insight into key capital, liquidity and interest rate risk in the banking book (IRRBB) and pension risk activities. The assessment and management of the Barclays Bank Group’s capital and liquidity position and IRRBB and pension risk requires the use of judgement, assumptions and estimates. Please see the description of material existing and emerging risks in the Barclays Bank PLC 2024 Annual Report for further details on such judgements, assumptions and estimates, including the potential risks involved.

## Organisation and structure

```mermaid
graph TD
    A[Barclays PLC Board Risk Committee]
    B[Barclays Group Treasury Committee]
    C[Barclays Group Risk Committee]
    D[Barclays Bank PLC Treasury Committee]
    E[Barclays Group Treasury and Capital Risk Committee]

    A --> B
    A --> C
    A --> D
    A --> E
```

- **Barclays PLC Board Risk Committee**: Reviews and recommends Barclays Bank PLC risk appetite for treasury and capital risk to the Barclays PLC Board for approval; Reviews material issues impacting treasury and capital risk; Approves the ICAAP and ILAAP, via delegated authority of the Board
- **Barclays Group Treasury Committee**: Monitors and manages capital, liquidity, and IRRBB risks in line with objectives and risk appetite of the Group, as well as first line of defences targets; Guides development of the Group recovery and resolution planning for capital, funding and liquidity; Reviews non-traded market risk positions against risk appetite and limits
- **Barclays Group Risk Committee**: Reviews and recommends treasury and capital risk appetite to the Barclays PLC Board Risk Committee; Escalates material issues impacting treasury and capital risk to the Barclays PLC Board Risk Committee; Reviews and recommends the ICAAP and ILAAP to the Barclays PLC Board Risk Committee for approval
- **Barclays Bank PLC Treasury Committee**: Monitors and manages the performance in managing of capital and liquidity risk within agreed first line of defence targets and limits; Oversees the risks managed by the Treasury function of the key legal entities through their funding, investment and hedging activities
- **Barclays Group Treasury and Capital Risk Committee**: Manages treasury and capital risk appetite; Monitors the treasury and capital risk profile; Monitors the treasury and capital risk control environment; Recommends risk appetite to the Barclays Group Risk Committee and Barclays PLC Board Risk Committee; Escalates material issues impacting treasury and capital risk to the Barclays Group Risk Committee and Barclays PLC Board Risk Committee

---

# Management of treasury and capital risk (continued)

## Liquidity risk management

### Overview
The efficient management of liquidity is essential to Barclays Bank PLC in order to retain the confidence of the financial markets and maintain the sustainability of the business. Treasury and Capital Risk have created a framework to manage all liquidity risk exposures under both normal and stressed conditions. The framework is designed to maintain liquidity resources that are sufficient in amount, quality and funding tenor profile to remain within the liquidity limits set by the Barclays Bank PLC Board. The Board sets liquidity limits on both internal and regulatory liquidity metrics.

For the purpose of liquidity management, Barclays Bank PLC and its subsidiary Barclays Capital Securities Limited, a UK broker dealer entity, are monitored on a combined basis by the PRA under a Domestic Liquidity Sub-Group (Barclays Bank PLC DoLSub) arrangement (‘DoLSub’).

### Roles and responsibilities
The Barclays Bank PLC Treasury and Capital Risk function is responsible for the management and governance of the liquidity risk framework, consistently with Barclays PLC Group policies and framework and with Barclays Bank PLC CRO mandates. Treasury has the primary responsibility for managing liquidity risk within the set risk appetite. Both Risk and Treasury contribute to the production of the ILAAP.

The framework established by Treasury and Capital Risk is designed to deliver the appropriate term and structure of funding, consistent with the liquidity risk appetite set by the Barclays PLC Board.

The control framework incorporates a range of ongoing business management tools to monitor and stress test Barclays Bank PLC's balance sheet and recovery plan, including limit setting. Limit setting and transfer pricing are tools that are designed to control the level of liquidity risk taken and drive the appropriate mix of funds. Adherence to limits reduces the likelihood that a liquidity stress event could lead to an inability to meet the Barclays Bank Group’s obligations as they fall due. The control framework is subject to internal conformance testing and internal audit review.

The Barclays Bank PLC Board approves the Barclays Bank PLC funding plan, internal stress tests, regulatory stress test results, and Barclays Bank PLC contribution to the Barclays Group Recovery Plan. The Barclays Bank PLC Treasury Committee is responsible for monitoring and managing liquidity risk in line with Barclays Bank PLC’s funding management objectives, funding plan and risk framework. The Barclays PLC Risk Committee monitors and reviews the liquidity risk profile and control environment, providing second line oversight of the management of liquidity risk. The Barclays Bank PLC Board Risk Committee reviews the risk profile, and annually reviews risk appetite and the impact of stress scenarios on the Barclays Bank PLC funding plan/forecast in order to agree Barclays Bank PLC’s projected funding abilities.

Barclays Bank PLC maintains a range of management actions for use in a liquidity stress. These are documented in the Barclays Group Recovery Plan. Since the precise nature of any stress event cannot be known in advance, the actions are designed to be flexible to the nature and severity of the stress event and provide a menu of options that can be drawn upon as required. The Barclays Group recovery plan also contains more severe recovery options to generate additional liquidity in order to facilitate recovery in a severe stress. Any stress event would be regularly monitored and reviewed using key management information by Treasury, Risk and business representatives.

| Ongoing business management | Early signs/mild stress | Severe stress | Recovery |
| --- | --- | --- | --- |
| Stress testing and planning | Monitoring and review | Monitoring and review | Activate appropriate recovery options to restore the capital and/or liquidity position of the Group |
| Liquidity limits | Management actions requiring minimal business rationalisation | Management actions with limited impact on franchise | |
| Early warning indicators | | | |

### Risk appetite and planning
Barclays Bank PLC's risk appetite is expressed through risk appetite constraints, including a liquidity constraint. The liquidity constraint is supplemented by the liquidity risk qualitative statement which is approved by the Barclays Bank PLC Board, which states that “Liquidity Risk set limits against internal and regulatory stress scenarios to ensure that Barclays maintains sufficient liquidity resources and stable sources of funding to remain within regulatory requirements and Barclays risk appetite."

In line with this, Treasury and Capital Risk sets limits on the Internal Liquidity Stress Test (ILST), Liquidity Coverage Ratio (LCR), and Net Stable Funding Ratio (NSFR) metrics which are approved by the Barclays Bank PLC Board Risk Committee which are:
- >£0 at low-point across ILST stress horizons
- LCR 30 days minimum ratio 100% (Pillar 2 basis)
- NSFR minimum ratio 100%

The ILST is the internal liquidity stress test and the LCR is a regulatory minimum requirement for Barclays to hold a sufficient reserve of High-Quality Liquid Assets (HQLA) to allow the firm to survive a period of significant liquidity stress lasting 30 calendar days. Barclays has defined three internal short term and one long term ILST stress scenarios.

Barclays Bank PLC adopted the ILST stress test framework set by the Group. The ILST is reviewed on a continuous basis and is subject to formal review at least annually as part of the ILAAP.

---

# Management of treasury and capital risk (continued)

The Barclays Bank PLC DoLSub ILST and LCR outflows are used to determine the minimum size of Barclays Bank PLC DoLSub liquidity pool. The liquidity pool represents those resources immediately available to meet outflows in a liquidity stress. In addition to holding a liquidity pool against stressed outflows, Barclays Bank PLC DoLSub reviews available management actions that could be used to raise additional liquidity. Management actions are assessed to determine their suitability, effectiveness and time to delivery.

### Liquidity limits
Barclays Bank PLC DoLSub manages limits on a variety of on- and off-balance sheet exposures, a sample of which is shown in the table below. These limits serve to control the overall extent and composition of liquidity risk taken by managing exposure to each risk driver.

#### Examples of liquidity limits
- Internal Liquidity Stress Test (‘ILST’)
- Liquidity Coverage Ratio
- Currency Risk Limits
- Net Stable Funding Ratio (‘NSFR’)
- Prime Brokerage Limits
- Unsecured Limits
- Concentration Limits
- Secured Stress Limits

### Early warning indicators
Barclays Treasury monitors a range of market indicators for early signs of liquidity risk. Both market indicators and Barclays specific indicators are tracked, a sample of which is shown in the table below. These are designed to immediately identify the emergence of increased liquidity risk in order to maximise the time available to execute appropriate mitigating management actions. Early Warning Indicators (EWIs) are used as part of the assessment of whether to invoke the Group Recovery Plan, which provides a framework for how a liquidity stress would be managed.

#### Examples of early warning indicators
- Reduction in ‘sticky’ deposits
- Deterioration in stress test surplus
- Rising funding costs
- Widening CDS spreads
- Change in maturity profile
- Stress in financial markets

---

# Management of treasury and capital risk (continued)

## Recovery & resolution planning
Barclays maintains a Group Recovery Plan (GRP) designed to provide a framework to effectively manage a severe financial stress. The GRP is proportionate to the nature, scale and complexity of the business and is tested on a regular basis to ensure it is operationally robust. The GRP details the escalation and invocation process for the plan, including integration with i) BAU monitoring of capital and liquidity EWIs to detect signs of approaching financial stress; ii) existing processes within Barclays Treasury and Risk to respond to mild/moderate stress; and iii) the governance process for executing recovery options. The GRP is legal entity aware and includes considerations for Barclays Bank UK Group and Barclays Bank PLC including entity-specific EWIs, recovery options, recovery strategies and governance arrangements.

Significant financial stress will be managed holistically by Barclays, with appropriate senior management coming together to deal with stress, and key entities/branches remaining involved and able to manage stress locally and continuing to meet local regulatory requirements. The financial crisis process is centred around a hierarchy based on the structure of the Group, so that stress is managed both locally and at the highest level at which it manifests. The procedures for Barclays Group, Barclays Bank UK Group and Barclays Bank PLC include the convening of the Group-wide Capital and Liquidity Crisis Management Team (CLCMT) and the Group Executive Committee (ExCo) as Barclays’ most senior crisis leadership committee, the use of a crisis playbook of detailed management information and a range of management actions that can be taken to restore Barclays’ capital and/or liquidity position. This coordinated process provides a more consistent and therefore more effective crisis response.

The GRP includes a range of recovery options to respond to financial stresses of varying severity and includes detailed information on financial and non-financial impacts of exercising the recovery options. The GRP is updated annually and fully embedded within Barclays’ existing processes.

The BoE’s preferred approach for the resolution of the Group is a bail-in strategy with a single point of entry at Barclays PLC. Under such a strategy, Barclays PLC’s subsidiaries would remain operational while Barclays PLC’s capital instruments and eligible liabilities would be written down or converted to equity in order to recapitalise the Group and allow for the continued provision of services and operations throughout the resolution. The order in which the bail-in tool is applied reflects the hierarchy of capital instruments under applicable UK legislation and rules, and otherwise respecting the hierarchy of claims in an ordinary insolvency. Accordingly, the more subordinated the claim, the more likely losses will be suffered by owners of the claim.

As part of the commitment by the BoE to ensure that all banks are resolvable, Barclays has been required by the PRA to publish a summary of its preparations for resolution on a periodic basis. The latest copy of Barclays’ readiness for resolution is available on Barclays’ website https://home.barclays/content/dam/home-barclays/documents/investor-relations/reports-and-events/annual-reports/2023/20240806-Barclays-RAF.pdf.

---

# Management of treasury and capital risk (continued)

## ICAAP information
The purpose of the capital adequacy assessment is to confirm that the entity is adequately capitalised to support its business strategy against the risks the bank faces and the performance constraints set by the Board.

The capital adequacy is assessed by verifying the following conditions:
- The entity meets the capital regulatory requirements
- The Internal Stress Testing passes the risk appetite constraints set by the Board
- The entity holds sufficient loss absorbing capital to cover total economic risks

---

# Appendix A - Countercyclical capital buffer

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

The below table shows the geographical distribution of credit exposures relevant to the calculation of the countercyclical buffer in line with UK CRR Article 440. Exposures in the below table are prepared in accordance with CRD Article 140 hence exclude exposures to central governments/banks, regional governments, local authorities, public sector entities, multilateral development banks, international organisations and institutions and as such the exposure values differ to those found in the Analysis of credit risk section.

| As at 31 December 2024 | Exposure value (Std approach £m) | Exposure value (IRB approach £m) | Market risk (Sum of long/short £m) | Market risk (Trading book internal models £m) | Securitisation (Exposure value non-trading £m) | Total exposure value (£m) | Own fund req (Credit risk £m) | Own fund req (Market risk £m) | Own fund req (Securitisation £m) | Total (£m) | RWA (£m) | Weight (%) | CCyB rate (%) |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| DENMARK | 82 | 33 | 8 | 249 | — | 372 | 8 | 2 | — | 10 | 120 | 0.08% | 2.50% |
| NORWAY | 3 | 128 | 7 | 190 | — | 328 | 2 | 2 | — | 4 | 57 | 0.04% | 2.50% |
| ICELAND | — | — | 0 | 0 | — | 0 | — | 0 | — | 0 | 1 | — | 2.50% |
| UNITED KINGDOM | 83,902 | 41,328 | 450 | 3,063 | 9,231 | 137,974 | 3,760 | 40 | 126 | 3,926 | 49,079 | 33.17% | 2.00% |
| NETHERLANDS | 711 | 1,324 | 55 | 821 | 422 | 3,333 | 86 | 24 | 4 | 114 | 1,425 | 0.96% | 2.00% |
| SWEDEN | 30 | 109 | 17 | 351 | 277 | 784 | 4 | 7 | 3 | 14 | 186 | 0.13% | 2.00% |
| BULGARIA | 0 | — | 0 | — | — | 0 | — | 0 | — | 0 | 0 | — | 2.00% |
| IRELAND | 309 | 2,529 | 7 | 139 | 1,585 | 4,569 | 69 | 3 | 32 | 104 | 1,302 | 0.88% | 1.50% |
| ESTONIA | 0 | — | 0 | 8 | — | 8 | 0 | 2 | — | 2 | 26 | 0.02% | 1.50% |
| SLOVAKIA | 0 | — | 0 | — | — | 0 | 0 | 0 | — | 0 | 0 | — | 1.50% |
| CZECH REPUBLIC | 0 | 57 | 0 | 29 | — | 86 | 1 | 5 | — | 6 | 78 | 0.05% | 1.25% |
| FRANCE | 987 | 1,000 | 196 | 2,811 | 933 | 5,927 | 91 | 21 | 16 | 128 | 1,596 | 1.08% | 1.00% |
| AUSTRALIA | 476 | 3,112 | 16 | 95 | 390 | 4,089 | 85 | 2 | 5 | 92 | 1,158 | 0.78% | 1.00% |
| BELGIUM | 98 | 63 | 6 | 204 | 388 | 759 | 10 | 1 | 8 | 19 | 238 | 0.16% | 1.00% |
| REPUBLIC OF KOREA | 3 | 461 | 3 | 116 | — | 583 | 3 | 3 | — | 6 | 71 | 0.05% | 1.00% |
| ROMANIA | — | — | 0 | 15 | — | 15 | — | 1 | — | 1 | 10 | 0.01% | 1.00% |
| LITHUANIA | — | — | 0 | 0 | — | 0 | — | 0 | — | 0 | 0 | — | 1.00% |
| CYPRUS | 5 | 0 | 0 | 0 | — | 5 | 0 | 0 | — | 0 | 6 | — | 1.00% |
| GERMANY | 119 | 753 | 69 | 1,388 | 326 | 2,655 | 36 | 16 | 7 | 59 | 727 | 0.49% | 0.75% |
| LUXEMBOURG | 7,699 | 1,590 | 10 | 152 | — | 9,451 | 435 | 7 | — | 442 | 5,520 | 3.73% | 0.50% |
| HONG KONG | 495 | 669 | 17 | 111 | — | 1,292 | 52 | 3 | — | 55 | 689 | 0.47% | 0.50% |
| CHILE | 13 | 109 | 1 | 0 | — | 123 | 7 | 0 | — | 7 | 90 | 0.06% | 0.50% |
| HUNGARY | 0 | — | 0 | 2 | — | 2 | 0 | 0 | — | 0 | 5 | — | 0.50% |
| LATVIA | 0 | — | 0 | — | — | 0 | 0 | 0 | — | 0 | 0 | — | 0.50% |
| SLOVENIA | — | — | 0 | — | — | 0 | — | 0 | — | 0 | 0 | — | 0.50% |
| Total (existing CCyB) | 94,932 | 53,265 | 862 | 9,744 | 13,552 | 172,355 | 4,649 | 139 | 201 | 4,989 | 62,384 | 42.16% | |
| UNITED STATES | 22,851 | 50,462 | 1,281 | 8,712 | 84,401 | 167,707 | 3,947 | 119 | 1,389 | 5,455 | 68,188 | 46.08% | n/a |
| INDIA | 1,927 | 194 | 2 | 37 | 135 | 2,295 | 167 | 14 | 2 | 183 | 2,284 | 1.54% | n/a |
| Total (own funds weights 1%+)| 24,778 | 50,656 | 1,283 | 8,749 | 84,536 | 170,002 | 4,114 | 133 | 1,391 | 5,638 | 70,472 | 47.62% | |
| Total (rest of world) | 7,709 | 14,786 | 1,069 | 3,550 | 3,034 | 30,148 | 923 | 248 | 41 | 1,212 | 15,121 | 10.22% | |
| TOTAL | 127,419 | 118,707 | 3,214 | 22,043 | 101,122 | 372,505 | 9,686 | 520 | 1,633 | 11,839 | 147,977 | 100.00% | |

---

# Appendix A - Countercyclical capital buffer (continued)

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

| As at 31 December 2023 | Exposure value (Std approach £m) | Exposure value (IRB approach £m) | Market risk (Sum of long/short £m) | Market risk (Trading book internal models £m) | Securitisation (Exposure value non-trading £m) | Total exposure value (£m) | Own fund req (Credit risk £m) | Own fund req (Market risk £m) | Own fund req (Securitisation £m) | Total (£m) | RWA (£m) | Weight (%) | CCyB rate (%) |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| DENMARK | 93 | 81 | 5 | 54 | — | 232 | 11 | 3 | — | 13 | 168 | 0.13% | 2.50% |
| NORWAY | 40 | 133 | 6 | 94 | — | 273 | 6 | 3 | — | 9 | 111 | 0.08% | 2.50% |
| UNITED KINGDOM | 104,179 | 33,546 | 469 | 2,093 | 11,236 | 151,527 | 2,941 | 52 | 165 | 3,159 | 39,473 | 29.74% | 2.00% |
| CZECH REPUBLIC | — | 99 | 2 | 68 | — | 169 | 8 | 7 | — | 15 | 184 | 0.14% | 2.00% |
| SWEDEN | 28 | 95 | 12 | 256 | 301 | 692 | 5 | 3 | 4 | 12 | 153 | 0.12% | 2.00% |
| ICELAND | — | — | — | — | — | — | — | — | — | — | — | — | 2.00% |
| BULGARIA | — | — | — | — | — | — | — | — | — | — | — | — | 2.00% |
| SLOVAKIA | — | — | — | 5 | — | 5 | — | — | — | — | 4 | — | 1.50% |
| ESTONIA | — | — | — | — | — | — | — | — | — | — | — | — | 1.50% |
| IRELAND | 234 | 2,195 | 23 | 64 | 1,246 | 3,762 | 73 | 6 | 21 | 99 | 1,243 | 0.94% | 1.00% |
| NETHERLANDS | 651 | 883 | 97 | 758 | 121 | 2,509 | 81 | 12 | 1 | 94 | 1,181 | 0.89% | 1.00% |
| AUSTRALIA | 236 | 1,594 | 21 | 96 | 420 | 2,367 | 58 | 5 | 5 | 67 | 843 | 0.64% | 1.00% |
| HONG KONG | 411 | 503 | 5 | 153 | — | 1,072 | 43 | 1 | — | 45 | 557 | 0.42% | 1.00% |
| ROMANIA | — | — | — | 1 | — | 2 | — | — | — | — | 1 | — | 1.00% |
| LITHUANIA | — | — | — | — | — | — | — | — | — | — | — | — | 1.00% |
| CROATIA | — | — | — | — | — | — | — | — | — | — | — | — | 1.00% |
| GERMANY | 113 | 918 | 167 | 1,088 | 172 | 2,457 | 35 | 24 | 3 | 63 | 782 | 0.59% | 0.75% |
| LUXEMBOURG | 2,192 | 1,470 | 103 | 150 | 382 | 4,297 | 190 | 11 | 7 | 208 | 2,601 | 1.96% | 0.50% |
| FRANCE | 1,009 | 1,531 | 212 | 2,048 | 798 | 5,597 | 108 | 28 | 18 | 154 | 1,922 | 1.45% | 0.50% |
| CYPRUS | 18 | — | — | 7 | — | 25 | 1 | 1 | — | 2 | 31 | 0.02% | 0.50% |
| SLOVENIA | — | — | — | — | — | — | — | — | — | — | — | — | 0.50% |
| Total (existing CCyB) | 109,204 | 43,048 | 1,122 | 6,935 | 14,676 | 174,986 | 3,560 | 156 | 224 | 3,940 | 49,254 | 37.12% | |
| UNITED STATES | 19,590 | 51,052 | 3,317 | 3,186 | 69,331 | 146,477 | 3,886 | 280 | 1,036 | 5,203 | 65,030 | 48.99% | n/a |
| INDIA | 1,899 | 216 | 12 | 146 | 198 | 2,470 | 166 | 9 | 3 | 178 | 2,223 | 1.68% | n/a |
| CANADA | 300 | 2,148 | 61 | 21 | 8 | 2,538 | 135 | 8 | — | 143 | 1,789 | 1.35% | n/a |
| CAYMAN ISLANDS | 1,383 | 581 | 8 | 35 | — | 2,006 | 118 | 3 | — | 120 | 1,503 | 1.13% | n/a |
| Total (own funds weights 1%+)| 23,172 | 53,997 | 3,398 | 3,388 | 69,537 | 153,491 | 4,305 | 300 | 1,039 | 5,644 | 70,545 | 53.15% | |
| Total (rest of world) | 6,743 | 13,428 | 1,054 | 2,494 | 2,274 | 25,993 | 815 | 191 | 29 | 1,035 | 12,941 | 9.73% | |
| Total | 139,119 | 110,473 | 5,574 | 12,817 | 86,487 | 354,470 | 8,680 | 647 | 1,292 | 10,619 | 132,740 | 100.00% | |

---

# Appendix A - Countercyclical capital buffer (continued)

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

| | As at 31 December 2024 (£m) | As at 31 December 2023 (£m) |
| --- | --- | --- |
| 1 Total risk exposure amount | 223,648 | 211,193 |
| 2 Institution specific countercyclical capital buffer rate | 0.7% | 0.7% |
| 3 Institution specific countercyclical capital buffer requirement | 1,673 | 1,384 |

---

# Appendix B – Disclosure on remuneration

## Barclays Bank PLC remuneration
The following disclosures are made by applying instructions provided in Annex XXXIV and the tables as presented in Annex XXXIII of the PRA Rulebook, Disclosure (CRR) Part in application of Article 450 UK CRR. The Barclays Bank PLC (BBPLC) remuneration disclosure includes details for BBPLC and all its subsidiaries, which differs from regulatory scope of consolidation.

## Remuneration governance
The mandate and responsibilities of BBPLC Board Remuneration Committee (the ‘Committee’) and details of the number of meetings held during the year are included in the 2024 BBPLC Annual Report. During 2024 the Committee had access to market data on compensation provided by Willis Towers Watson when considering incentive levels and remuneration packages. In the course of its deliberations, the Committee also considers the views of the Group Chief Executive, the Group Human Resources Director and the Group Reward and Performance Director. The Group Finance Director and Group Chief Risk Officer also provide regular updates on the Group’s financial performance and risk profile respectively.

The Committee has adopted the overarching principles and parameters of the remuneration policy set by the Barclays PLC Remuneration Committee, as disclosed in the Remuneration report within the Barclays PLC Annual Report 2024 (the ‘Remuneration report’). The Remuneration report provides an overview of the 2024 performance and pay outcomes for the Executive Directors of Barclays PLC (who are also Executive Directors of BBPLC), a summary of remuneration policies for all employees (which also apply to material risk takers (‘MRTs’)), and for the Executive Directors, as well as the decision-making process in respect of remuneration outcomes including how the views of regulators, shareholders and employees are considered in remuneration decisions.

The Committee reviewed the remuneration philosophy in the first quarter of 2024 and adopted an explicit reference to delivering good customer outcomes as part of the objective to reward sustainable performance. At the Barclays PLC AGM in May 2024, a resolution was passed permitting Barclays PLC to set its own maximum ratio of variable to fixed compensation (‘bonus cap’) for MRTs across the Group. Subsequently, the Committee adopted a 10:1 bonus cap for MRTs of BBPLC (other than for MRTs still subject to EU banking regulations, to whom a 2:1 bonus cap continues to apply). There were no other changes to the all-employee remuneration policy, and no changes to the Directors’ Remuneration Policy (‘DRP’) that was approved by Barclays PLC shareholders at the AGM in May 2023. During 2024, the Committee conducted a detailed review of the DRP, and is putting forward a new DRP for shareholder approval at the Barclays PLC 2025 AGM. Further details are set out in the Remuneration report.

## Performance management and remuneration
Barclays’ remuneration philosophy (set out below) links remuneration to achieving sustainable performance. In this context, sustainable performance means making a positive and enduring difference to investors, customers and communities, delivering good customer outcomes, taking pride in leaving things better than we found them and playing a valuable role in society. Our remuneration philosophy applies to all employees of Barclays PLC globally (including those individuals identified as MRTs) and aims to reinforce our belief that effective performance management is critical to enabling the delivery of our business strategy in line with our Values. Employees who adhere to Barclays’ Values and contribute to Barclays’ success are rewarded accordingly.

This is achieved by basing performance assessment on clear standards of delivery and behaviour. This starts with employees aligning their personal objectives each year (‘what’ they will deliver) to business and team goals, to support the delivery of the business strategy and good client/customer outcomes, to a consistently excellent standard. Behavioural expectations (‘how’ people will achieve their objectives) are set in the context of our Values and Mindset.

Performance is assessed against both financial and non-financial criteria. Other factors are also taken into consideration within the overall performance assessment, including core job responsibilities, behaviours towards risk and control, colleague and stakeholder feedback, as well as input from the control functions and Chief Controls Office, where appropriate. Details of Barclays’ financial and non-financial performance, and how they relate to the incentive pool, can be found as part the BPLC Remuneration Committee Chair’s statement in the Remuneration report. Details of the metrics applicable to the BPLC Executive Directors’ incentives, and performance against these metrics including where the metrics are not satisfied in full, are also set out in the Remuneration report.

Through our approach to performance management, the equal importance of both what an individual has delivered and how the individual has achieved this is emphasised, encouraging balanced consideration of each dimension. Both of these elements are assessed and rated independently of each other; there is no overall rating. This allows for more robust and reflective conversations between managers and team members on the individual components of performance.

### Barclays’ remuneration philosophy
The remuneration philosophy below sets out the basis upon which Barclays made remuneration decisions and set remuneration policies during 2024. Barclays’ remuneration philosophy applies to all employees globally.

| | |
| --- | --- |
| **Attract and retain talent needed to deliver Barclays’ strategy** | Long-term success depends on the talent of our employees. This means attracting and retaining an appropriate range of talent to deliver against our strategy, and paying the right amount for that talent |
| **Align pay with investor and other stakeholder interests** | Remuneration should be designed with appropriate consideration of the views, rights and interests of stakeholders. This means listening to our shareholders, other investors, regulators, government, customers and employees and ensuring their views are appropriately represented in remuneration decision-making |
| **Reward sustainable performance** | Sustainable performance means making a positive and enduring difference to investors, customers and communities, delivering good customer outcomes, taking pride in leaving things better than we found them, and playing a valuable role in society |
| **Support Barclays’ Values and culture** | Results must be achieved in a manner consistent with our Values. Our Values, culture and Mindset should drive the way that business is conducted |

---

# Appendix B – Disclosure on remuneration (continued)

| | |
| --- | --- |
| **Align with risk appetite, risk exposure and conduct expectations** | Designed to reward employees for achieving results in line with the Group’s risk appetite and conduct expectations |
| **Be fair, transparent and as simple as possible** | We are committed to ensuring pay is fair, simple and transparent for all our stakeholders. All employees and stakeholders should understand how we reward our employees and fairness should be a lens through which we make remuneration decisions |

The Barclays Group remuneration policy is reviewed annually by the Barclays PLC Remuneration Committee and each year the Committee reviews the policy and adopts any changes, where appropriate.

## Risk adjustment and remuneration
Another key feature of our remuneration philosophy is the alignment of remuneration with our risk appetite and with the conduct expectations of Barclays, our regulators and other stakeholders. The Committee takes risk and conduct events very seriously and ensures that there are appropriate adjustments to individual remuneration and, where necessary, the incentive pool.

The Remuneration Review Panel (the ‘Panel’), which is chaired by the Group HR Director and also includes the Group Heads of Risk, Compliance, Legal, Internal Audit, the President of BBPLC and the CEO of Barclays Bank UK PLC reports to the Barclays PLC Remuneration Committee and supports it in this process. The Panel applies our policies and processes for assessing compensation adjustments for risk and conduct events, under the Committee’s oversight in respect of matters relating to BBPLC.

We have robust processes for considering risk and conduct as part of individual performance management, with outcomes reflected in individual remuneration decisions. Line managers have primary accountability for ensuring that risk and conduct issues are considered when assessing performance and making remuneration decisions. In addition, there is a secondary review by the control functions, for individuals involved in significant failures of risk management, conduct issues, regulatory actions or other major incidents that impact either the Group or a business area, to ensure these issues are properly considered. When considering individual responsibility, a variety of factors are taken into account, such as whether an individual was directly responsible, or whether the individual could be deemed indirectly responsible by virtue of seniority, including staff who drive BBPLC’s culture and set its strategy.

### Actions that may be taken where risk management and conduct falls below required standards include:
- **Individual adjustments**: Current year annual bonuses may be adjusted downwards where individuals are found to be involved (either directly or indirectly) in a risk or misconduct event.
- **Collective adjustments**: In addition to reductions to individuals’ bonuses, the Committee makes collective adjustments to the incentive pool for specific risk and conduct events. The Committee also adjusts the incentive pool to take account of an assessment of future risks (including conduct), non-financial factors that can support the delivery of a strong risk management, control and conduct culture, and other factors including reputation, and impact on customers, markets and other stakeholders. The Committee is supported in its consideration of this adjustment by the BBPLC Board Risk Committee.
- **Malus**: Unvested deferred bonuses from prior years are subject to malus provisions, which enable the Committee to reduce the vesting level of deferred bonuses (including to nil) at its discretion. Events that may lead the Committee to do this include, but are not limited to, employee misconduct or a material failure of risk management.
- **Clawback**: Clawback applies to any variable remuneration awarded to a MRT on or after 1 January 2015 in respect of years for which they were a MRT. Barclays may apply clawback if, at any time during the seven-year period from the date on which variable remuneration is awarded to a MRT:
    (i) there is reasonable evidence of employee misbehaviour or material error, and/or
    (ii) the firm or the business unit suffers a material failure of risk management, taking account of the individual’s proximity to and responsibility for that incident.
    Clawback may be extended to 10 years for PRA/FCA Senior Managers where there are outstanding internal or regulatory investigations at the end of the seven-year clawback period.

## Remuneration structure
Employees receive salary, pension and other benefits and are eligible to be considered for an annual bonus. Some employees, including some MRTs, also receive Role Based Pay (‘RBP’). Remuneration of MRTs is subject to a 10:1 maximum ratio of variable to fixed remuneration, other than for those who are also MRTs of Barclays Bank Ireland PLC and the Monaco branch of Barclays Bank PLC, who remain subject to a 2:1 bonus cap consistent with EU regulatory requirements. Executive Directors participate in the Barclays’ Long Term Incentive Plan and currently receive part of their Fixed Pay in Barclays PLC shares.

The remuneration of employees engaged in control functions is determined independently from the businesses they support and within the parameters of the incentive pool allocated to those functions by the Committee. Remuneration for control function employees is less weighted towards variable remuneration compared to front-office employees.

---

# Appendix B – Disclosure on remuneration (continued)

## Fixed remuneration
- **Salary**: Salaries reflect individuals’ skills and experience and are reviewed annually. They are increased where justified by role change, increased responsibility, to reflect a change in the market rate or maintain appropriate competitive positioning. Salaries may also be increased in line with local statutory requirements and union and works council commitments.
- **Role Based Pay**: Some MRTs receive a class of fixed pay called RBP to recognise the seniority, scale and complexity of their role.
- **Pension and benefits**: The provision of a competitive package of benefits is important to attracting and retaining the talented staff needed to deliver Barclays’ strategy. Employees have access to a range of country-specific company-funded benefits, including pension schemes, healthcare, life assurance and Barclays’ share plans, as well as other voluntary employee-funded benefits. The cost of providing these benefits is defined and controlled.

## Variable remuneration
- **Annual bonus**: Annual bonuses incentivise and reward the achievement of Group, business and individual objectives, and reward employees for demonstrating individual behaviours in line with Barclays’ Values and Mindset. The ability to recognise performance through variable remuneration enables the Group and BBPLC to control its cost base flexibly and to react to events and market circumstances. Bonuses remain a key feature of remuneration practice in the highly competitive market for talent in the financial services sector. Annual bonuses may be delivered in both ‘up-front’ and deferred components. For MRTs (excluding ‘de minimis’ MRTs), both the up-front and deferred components have cash and share portions, with those share portions subject to retention periods of either six or twelve months.
- **Bonus deferral**: The Committee is careful to control the proportion of variable to fixed remuneration paid to individuals and to ensure an appropriate amount is deferred to future years. The typical deferral structures are:
    - **For MRTs**: Incentive award < £500,000 (40% of total award); £500,000 to £1,000,000 (60% of total award); > £1,000,000 (60% up to £1,000,000; 100% above £1,000,000).
    - **For de minimis MRTs/non-MRTs**: Incentive award Up to £65,000 (0%); > £65,000 (Graduated level of deferral).
    Deferred bonuses are generally delivered in equal portions as deferred cash and deferred shares (save for the Executive Directors for whom they are delivered 100% as deferred shares) subject to the rules of the deferred cash and share plans (as amended from time to time) and to continued service. Deferred bonuses are subject to either a 3, 4, 5 or 7-year deferral period in line with regulatory requirements. Where dividend equivalents cannot be delivered on deferred bonus shares, the number of deferred bonus shares awarded will be based on the adjusted fair value of the shares over which awards are granted taking into account that dividends do not accrue during the deferral period.

## Shareholding
- **Shareholding requirements**: The current Directors’ Remuneration Policy (approved by Barclays PLC shareholders in May 2023) specifies Executive Director shareholding requirements. The Group Chief Executive and Group Finance Director are required to accumulate Barclays shareholdings worth a minimum of 233% and 224% of Fixed Pay respectively within five years from the date of their appointment, and must retain a shareholding for at least two years after stepping down from the role. The shareholding requirement for other Group Executive Committee members is 200% of salary and needs to be met within five years from the date of their appointment. Shares that count towards the requirement are beneficially owned shares including any vested share awards subject only to holding periods, the estimated after-tax value of any shares from unvested deferred share bonuses, and the estimated after-tax value of any shares from unvested LTIP awards provided that no performance conditions remaining untested. The Chairman and Non-Executive Directors have a requirement that a portion of their annual fees (£100,000 for the Chairman, £30,000 Non-Executive Directors) is used to purchase shares, which they must retain until they retire from the Board.
- **Share plans**: Alignment of MRTs with shareholders is achieved through deferral of incentive pay. The Committee also encourages additional employee shareholding by operating voluntary all-employee share plans in locations representing 99% of employees globally.

Awards of guaranteed variable remuneration are only made in exceptional circumstances in the context of hiring and typically only when a new hire starts in the last quarter of the year. When determining a termination payment, Barclays considers any applicable: (a) contractual requirements; (b) policies; (c) local legal and regulatory requirements; and (d) legal and reputational risk.

---

# Appendix B – Disclosure on remuneration (continued)

## Remuneration of MRTs in respect of the financial year
MRTs are BBPLC employees whose professional activities could have a material impact on BBPLC’s risk profile, which includes (among others) the members of the BBPLC Board. A total of 1,102 individuals were MRTs in 2024 (2023: 1,171). 94 MRTs in 2024 benefited from the derogation in point (b) of Article 94(3) of the Capital Requirements Directive in respect of the remuneration requirements in points (l) and (m) of Article 94(1). The aggregate fixed remuneration for these MRTs was £18.6m and the aggregate variable remuneration was £2.7m.

The following tables set out remuneration disclosures for individuals identified as MRTs for BBPLC. In the tables, the terms below mean:
- ‘MB’ means BBPLC’s management body (i.e. the BBPLC Board);
- ‘MB Supervisory function’ means those individuals who were Non-Executive Directors of BBPLC during 2024;
- ‘MB Management function’ means those individuals who were Executive Directors of BBPLC during 2024;
- ‘Other senior management’ means those individuals (excluding the Executive Directors of BBPLC) who were members of the BBPLC Executive Committee during 2024 in accordance with Article 3(1)(9) of CRDIV; and
- ‘Other identified staff’ means MRTs excluding MRTs included in MB Supervisory function, MB Management function and Other senior management.

### Table 30: UK REM1 - Remuneration awarded for the financial year (all figures are in £m except for ‘Number of identified staff’)

| | | MB Supervisory function | MB Management function | Other senior management | Other identified staff |
| --- | --- | --- | --- | --- | --- |
| 1 | **Number of identified staff** | 9 | 2 | 21.0 | 1,060.5 |
| 2 | **Total fixed remuneration** | 2.8 | 5.1 | 33.8 | 628.1 |
| 3 | Of which: cash-based | 2.79 | 2.4 | 26.5 | 592.3 |
| UK-4a | Of which: shares or equivalent ownership interests | — | 2.4 | 6.4 | 7.8 |
| 7 | Of which: other forms$^1$ | 0.01 | 0.3 | 0.9 | 28.0 |
| 9 | **Number of identified staff** | — | 2 | 21.0 | 965.6 |
| 10 | **Total variable remuneration** | — | 17.1 | 45.7 | 664.4 |
| 11 | Of which: cash-based | — | 1.8 | 22.8 | 335.9 |
| 12 | Of which: deferred | — | — | 18.9 | 213.6 |
| UK-13a | Of which: shares or equivalent ownership interests | — | 15.3 | 22.9 | 328.5 |
| UK-14a | Of which: deferred | — | 13.5 | 18.9 | 213.6 |
| 17 | **Total remuneration (2 + 10)** | 2.8 | 22.2 | 79.5 | 1,292.5 |

---

# Appendix B – Disclosure on remuneration (continued)

### Table 31: UK REM2 - Special payments to staff whose professional activities have a material impact on institution’s risk profile (identified staff) (all figures are in £m except for ‘Number of identified staff’)

| | | MB Supervisory function | MB Management function | Other senior management | Other identified staff |
| --- | --- | --- | --- | --- | --- |
| 1 | Guaranteed variable remuneration awards - Number of identified staff | — | — | — | 3.0 |
| 2 | Guaranteed variable remuneration awards - Total amount | — | — | — | 3.4 |
| 6 | Severance payments awarded during the financial year - Number of identified staff | — | — | — | 33.9 |
| 7 | Severance payments awarded during the financial year - Total amount | — | — | — | 4.4 |
| 8 | Of which paid during the financial year | — | — | — | 4.3 |
| 9 | Of which deferred | — | — | — | 0.1 |
| 10 | Of which severance payments paid during the financial year, that are not taken into account in the bonus cap | — | — | — | 4.3 |
| 11 | Of which highest payment that has been awarded to a single person | — | — | — | 0.29 |

---

# Appendix B – Disclosure on remuneration (continued)

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

| | Deferred and retained remuneration | Total amount of deferred remuneration awarded for previous performance periods | Of which due to vest in the financial year | Of which vesting in subsequent financial years | Total amount of adjustment during the financial year due to ex post implicit adjustments | Total amount of deferred remuneration awarded before the financial year actually paid out in the financial year | Total of amount of deferred remuneration awarded for previous performance period that has vested but is subject to retention periods |
| --- | --- | --- | --- | --- | --- | --- | --- |
| 1 | MB Supervisory function | — | — | — | — | — | — |
| 7 | MB Management function | 30.8 | 4.2 | 26.6 | 19.7 | 4.6 | 2.1 |
| 8 | Cash-based | 4.1 | 1.4 | 2.7 | — | 1.5 | — |
| 9 | Shares or equivalent ownership interests | 26.7 | 2.8 | 23.9 | 19.7 | 3.1 | 2.1 |
| 13 | Other senior management | 110.9 | 18.4 | 92.5 | 48.4 | 19.7 | 6.0 |
| 14 | Cash-based | 40.2 | 7.4 | 32.8 | — | 7.4 | — |
| 15 | Shares or equivalent ownership interests | 70.7 | 11.0 | 59.7 | 48.4 | 12.3 | 6.0 |
| 19 | Other identified staff | 1,190.4 | 314.1 | 876.3 | 388.6 | 342.7 | 108.2 |
| 20 | Cash-based | 530.3 | 140.7 | 389.6 | — | 142.4 | — |
| 21 | Shares or equivalent ownership interests | 660.1 | 173.4 | 486.7 | 388.6 | 200.3 | 108.2 |
| 25 | Total amount | 1,332.1 | 336.7 | 995.4 | 456.7 | 367.0 | 116.3 |

---

# Appendix B – Disclosure on remuneration (continued)

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

| EUR | Identified staff that are high earners as set out in Article 450(i) CRR |
| --- | --- |
| 1 000 000 to below 1 500 000 | 294 |
| 1 500 000 to below 2 000 000 | 131 |
| 2 000 000 to below 2 500 000 | 66 |
| 2 500 000 to below 3 000 000 | 48 |
| 3 000 000 to below 3 500 000 | 38 |
| 3 500 000 to below 4 000 000 | 22 |
| 4 000 000 to below 4 500 000 | 17 |
| 4 500 000 to below 5 000 000 | 14 |
| 5 000 000 to below 6 000 000 | 8 |
| 6 000 000 to below 7 000 000 | 8 |
| 7 000 000 to below 8 000 000 | 6 |
| 8 000 000 to below 9 000 000 | 3 |
| 9 000 000 to below 10 000 000 | 5 |
| 14 000 000 to below 15 000 000 | 1 |
| 17 000 000 to below 18 000 000 | 1 |

### Table 34: UK REM5 - Information on remuneration of staff whose professional activities have a material impact on institution’s risk profile (identified staff) (all figures are in £m except for ‘Total number of identified staff’)

| | Total number of identified staff | MB Supervisory function | MB Management function | Total MB | Investment banking | Retail banking | Asset management | Corporate functions | Independent internal control functions | All other | Total |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| 1 | 1,092.5 | | | | | | | | | | |
| 2 | | 9 | 2 | 11 | | | | | | | |
| 3 | | | | | 8.0 | 4.0 | — | 7.0 | 2.0 | — | |
| 4 | | | | | 775.2 | 50.9 | — | 90.0 | 144.4 | — | |
| 5 | | 2.8 | 22.2 | 25.0 | 1,161.9 | 59.0 | — | 99.4 | 51.7 | — | |
| 6 | | — | 17.1 | 17.1 | 620.7 | 31.3 | — | 44.7 | 13.4 | — | |
| 7 | | 2.8 | 5.1 | 7.9 | 541.2 | 27.7 | — | 54.7 | 38.3 | — | |

---

# Appendix C - Compliance to Pillar 3 requirements

Barclays Bank PLC as the wholly owned subsidiary of Barclays PLC Pillar 3 regulatory requirements are in line with application rule 2.3 of UK CRR II. The rule states that large subsidiaries of UK parent institutions, UK parent financial holding companies or UK parent mixed financial holding companies and large subsidiaries of parent undertakings established in a third country shall disclose the information specified in Articles 437, 438, 440, 442, 450, 451, 451a and 453 on an individual basis or on a sub-consolidated basis.

| CRR ref. | High-level summary | Compliance reference |
| --- | --- | --- |
| **Disclosure requirements and policies** | | |
| 431 (1) | Requirement to publish Pillar 3 disclosures | Barclays publishes Pillar 3 disclosures |
| 431 (2) | Firms with permission to use specific modelled risk methodologies | Page 11 / Table 5 RWAs by risk type and Barclays’ approach to managing risks section of the Barclays PLC Pillar 3 document for granular information |
| 431 (3) | Institution must have a formal policy to verify the comprehensiveness and overall appropriateness of the disclosures | Barclays is committed to operating within a strong system of internal controls and operates a framework of controls and procedures to ensure the completeness and accuracy of the Group’s Pillar 3 disclosure. |
| 431 (4) | Institution to ensure that quantitative disclosures are accompanied by a qualitative narrative and any other supplementary information where deemed appropriate | Quantitative disclosures are accompanied by a narrative to explain significant changes compared to previous disclosures |
| 431 (5) | Explanation of ratings decision upon request | Barclays provides explanations of declined credit decisions to SMEs in writing, when required. There is also an appeals process available. |
| **Non-material, proprietary or confidential information** | | |
| 432 (1) | Institutions may omit information that is not material if certain conditions are respected | Barclays complies with all relevant disclosure requirements. |
| 432 (2) | Institutions may omit information that is proprietary or confidential if certain conditions are respected | |
| 432 (3) | Where 432 (2) apply this must be stated in the disclosures, and more general information must be disclosed | |
| **Frequency and scope of disclosure** | | |
| 433 | Institution shall publish the disclosure in the manner set out in Articles 433a, 433b and 433c in conjunction with article 4 (145), (146), (147), (148) | Barclays complies with the frequency requirements set out in Article 433a for a large institution. The annual Pillar 3 Disclosures are published the same date as the Annual Report and Accounts. |
| 433a | Specifies information to be disclosed by large institution along with frequency in conjunction with rule 2.3 of PRA rulebook. | |
| 433b | Specifies information to be disclosed by small & non complex institution along with the frequency | This does not apply to Barclays |
| 433c | Specifies information to be disclosed by other institutions along with frequency | |
| **Means of disclosures** | | |
| 434 (1) | To include disclosures in one appropriate medium, or provide clear cross-reference | Most disclosures are contained within this document. Signposting directs the reader to other publications where appropriate. |
| 434 (2) | Disclosures to be made available on websites or in any other appropriate location as an archive | Pillar 3 disclosures are published in the Barclays’ investor relations website. |
| **Uniform disclosure formats** | | |
| 434a | PRA have developed uniform disclosure formats for publications | Barclays makes use of disclosure formats provided in annexes of the Disclosure part of PRA rulebook |
| 434b | Timing and Means of Disclosures under Article 441 | This does not apply to Barclays Bank PLC. |

---

# Appendix C - Compliance to Pillar 3 requirements

| | | |
| --- | --- | --- |
| **Own funds** | | |
| 437 | | |
| 437 (a) | Requirements regarding capital resources table | Page 7 / Table 2: Composition of regulatory own funds / CC1; Page 9 / Table 3: Composition of regulatory capital / CC2 - Reconciliation of regulatory own funds to balance sheet in the audited financial statement. |
| 437 (d) | | |
| 437 (e) | | |
| 437 (f) | | |
| 437 (b) | Standalone document: Summary of terms and conditions of own funds and eligible liabilities. | |
| 437 (c) | | |
| **Disclosure of own funds and eligible liabilities** | | |
| 437a (a) | Disclosure of requirements regarding MREL / TLAC tables | Refer to page 37 / Table 21: TLAC2 in the Barclays PLC Pillar 3 document. MREL disclosures are not applicable for Barclays Bank PLC. |
| 437a (b) | | |
| 437a (c) | | |
| 437a (d) | | |
| CRR ref. | High-level summary | Compliance reference |
| **Own funds requirement and risk-weighted exposure amounts** | | |
| 438 (a) | Summary of institution’s approach to assessing adequacy of capital levels | Page 46 / ICAAP information. |
| 438 (b) | The amount of the additional own funds requirements based on the supervisory review and evaluation process and its composition in terms of Common Equity Tier 1, additional Tier 1 and Tier 2 instruments | Page 5 / Table 1 KM1 - Key metrics. |
| 438 (c) | Result of ICAAP on demand from authorities | Page 46 / ICAAP information. |
| 438 (d) | The total risk-weighted exposure amount and the corresponding total own funds requirement | Page 12 / Table 6 OV1 - Overview of risk weighted exposure amounts. |
| 438 (e) | Requirement to disclose specialised lending and equity exposures under the simple risk weighted approach | Page 27 / Table 18 CR10 - Specialised lending and equity exposures under the simple risk weighted approach. |
| 438 (f) | Disclosure of the exposure value and risk-weighted exposure amount of own funds instruments held in relation to insurance activities that institutions do not deduct from own funds | There is no applicable data to be published in respect of this table. |
| 438 (g) | Disclosure of the supplementary own funds requirement and the capital adequacy ratio of the financial conglomerate. | There is no applicable data to be published in respect of this table. |
| 438 (h) | The variations in the risk-weighted exposure amounts of the current disclosure period compared to the immediately preceding disclosure period that result from the use of internal models, including an outline of the key drivers explaining those variations. | Pages 13 & 14 / Table 7, 8 & 9: RWEA flow statements of credit risk exposures under the IRB approach (CR8), RWEA flow statements of CCR exposure under the IMM (CCR7) and RWEA flow statements of market risk exposure under the IMA (MR2B). |
| **Countercyclical capital buffers** | | |
| 440 (a) | Geographical distribution and risk-weighted exposure amounts of relevant credit exposures | Page 47/Table 28 CCyB1 Countercyclical capital buffer and page 49/Table 29 CCyB2 Amount of institution specific countercyclical capital buffer. |
| 440 (b) | Amount of the institution specific countercyclical capital buffer | |
| **Credit risk adjustments** | | |
| 442 (a) | Disclosure of bank's definitions of past due and impaired and the differences, if any, between the definitions for accounting and regulatory purposes | Pages 127 -130 of the Barclays PLC Pillar 3 document provide a complete description of credit quality measures. Note 8 Credit Impairment Charges - ‘Definition of default, credit impaired assets, write-offs, and interest income recognition’ in the Barclays PLC Annual Report 2024. |
| 442 (b) | Approaches for calculating credit risk adjustments | Pages 127 - 130 of the Barclays PLC Pillar 3 document provide a complete description of credit quality measures. |
| 442 (c) | Information on the amount and quality of performing, non-performing and forborne exposures for loans, debt securities and off-balance-sheet exposures, including their related accumulated impairment, provisions and negative fair value changes due to credit risk and amounts of collateral and financial guarantees received | Pages 28-29/ Table 19 CR1 Performing and non-performing exposures and related provision. Pages 31-38/Table 23-27 CQ1 Credit quality of forborne exposure/ CQ3 Credit quality of performing and non-performing exposure by past due days/ CQ4 Quality of non-performing exposures and related provisions/ CQ5 Credit quality of loans and advances by industry/ CQ7 Collateral obtained by taking possession and execution processes. |
| 442 (d) | Ageing analysis of accounting past due exposures | |
| 442 (e) | Disclosure of gross carrying amounts of performing and non-performing exposure and their related provisions and the net carrying amounts and their distribution by geographical area and industry type | Barclays Non-performing loans and advances’ ratio stands below 5%, hence additional NPL disclosure required in point (c) and (f) of Article 442 in templates CR2a, CQ2, CQ6 and CQ8 are not published. |

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# Appendix C - Compliance to Pillar 3 requirements

| | | |
| --- | --- | --- |
| 442 (f) | Changes in the stock of non-performing loans and advances and related net accumulated recoveries | Page 30/ Table 21 CR2 Changes in stock of non-performing loans and advances. |
| 442 (g) | Breakdown of loans and debt securities by residual maturities | Page 30/ Table 20 CR1A Maturity of exposures. |
| **CRR ref.** | **High-level summary** | **Compliance reference** |
| **Remuneration disclosures** | | |
| 450 | Remuneration | Appendix B contains the remuneration awards made to Barclays Bank PLC’s material risk takers. |
| 450 (1) | Disclosure of remuneration policy and practices for those categories of staff whose professional activities have a material impact on risk profile of the institution | |
| 450 (2) | For Large institutions - Disclosure of institutions’ collective management body to be made available for public, differentiating between executive and non-executive. | |
| **Leverage** | | |
| 451 (1) (a) | Leverage ratio including and excluding central bank claims, breakdown of total exposure measure with reconciliation to financial statements. | Pages 15 - 18/ Table 10: LR1 Summary reconciliation of accounting assets and leverage ratio exposures; Table 11: LR2 Leverage ratio common disclosure; Table 12: LR3 Split-up of on balance sheet exposures (excluding derivatives, SFTs and exempted exposures) |
| 451 (1) (b) | | |
| 451 (1) (c) | | |
| 451 (1) (d) | Description of the risk management approach to mitigate excessive leverage, and factors that impacted the leverage ratio during the year | See page 6/Table 1: KM1 - Key metrics and page 176 of Barclays PLC Pillar 3 document for Excessive leverage risk management |
| 451 (1) (e) | | |
| 451 (1) (f) | In relation to the quarterly periods up to 31 December 2022, the leverage ratio calculated as if Article 468 of the CRR did not apply for purposes of the capital measure under Article 429(3) of Chapter 3 of the Leverage Ratio (CRR) Part | This does not apply to Barclays Bank PLC. |
| 451 (1) (g) | in relation to the quarterly periods up to 31 December 2024, the leverage ratio calculated as if Article 473a of the CRR did not apply for purposes of the capital measure under Article 429(3) of Chapter 3 of the Leverage Ratio (CRR) Part | Page 16/ Table 11: LR2 Leverage ratio common disclosure |
| 451 (2) | LREQ firm must disclose each of the following - a) average exposure measure, b) average leverage ratio, c) average leverage ratio calculated as if central bank claims to be included in the total exposure measure, d) countercyclical leverage ratio buffer | Page 16/ Table 11: LR2 Leverage ratio common disclosure |
| 451 (3) | LREQ firm must disclose changes in total exposure measure and tier 1 capital (leverage) over the quarter that have affected the bank’s average leverage ratio | |
| 451 (4) | Information on calculation of average exposure measure and average leverage ratio by LREQ firms | |
| **Disclosure of liquidity requirement** | | |
| 451a (1) | Information on liquidity coverage ratio, net stable funding ratio and liquidity risk management | Page 19/ Table 13: LIQ1 Liquidity coverage ratio; LIQB Qualitative information on LCR. |
| 451a (2) | Information on liquidity coverage ratio | |
| 451a (3) | Information on net stable funding ratio | Page 21/ Table 14: LIQ2 Net stable funding ratio. |
| 451a (4) | Disclose the arrangements, systems, processes and strategies put in place to identify, measure, manage and monitor their liquidity risk | Pages 43-45/ LIQA Liquidity risk management. |

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# Appendix C - Compliance to Pillar 3 requirements

| | | |
| --- | --- | --- |
| **Use of credit risk mitigation techniques** | | |
| 453 (a) | Policies and processes for on- and off-balance sheet netting | Pages 39 - 41/ CRC Qualitative disclosure requirements related to CRM techniques |
| 453 (b) | Policies and processes for eligible collateral evaluation and management | |
| 453 (c) | Description of types of collateral used by Barclays | |
| 453 (d) | Types of guarantor and credit derivative counterparty, and their creditworthiness | |
| 453 (e) | Disclosure of market or credit risk concentrations within risk mitigation exposures | |
| 453 (f) | CRM techniques overview | Page 30/ Table 22: CR3 CRM techniques overview: Disclosure of the use of credit risk mitigation techniques |
| 453 (g) | Disclose corresponding conversion factor and credit risk mitigation techniques with and without substitution effect | Page 23/ Table 15: CR4 Standardised – Credit risk exposure and CRM effect. Page 25/ Table 17: CR7A IRB approach – Disclosure of the extent of the use of CRM techniques |
| 453 (h) | Exposures before and after the application of conversion factors and any associated credit risk mitigation | |
| 453 (i) | Under standardised approach, for each asset class, disclose the risk-weighted exposure amount and the ratio between that risk-weighted exposure amount and the exposure value after applying the corresponding conversion factor and the credit risk mitigation associated with the exposure | |
| 453 (j) | Under IRB approach, the risk-weighted exposure amount before and after recognition of the credit risk mitigation impact of credit derivatives. Disclosure to me made for each exposure class subject to permission to use own LGDs and conversion factors | Page 24/ Table 16: CR7 IRB approach – Effect on the RWEAs of credit derivatives used as CRM techniques |