Strategic Shareholder Climate and Risk Financial Financial Barclays PLC 446 report information sustainability report Governance review review statements Annual Report 2022 Notes to the financial statements (continued) Assets and liabilities held at fair value Assets and liabilities held at fair value The notes included in this section focus on assets and liabilities the Group holds and recognises at fair value. Fair value refers to the price that would be received to sell an asset or the price that would be paid to transfer a liability in an orderly transaction between market participants at the measurement date, which may be an observable market price or, where there is no quoted price for the instrument, may be an estimate based on available market data. Detail regarding the Group’s approach to managing market risk can be found in the Market risk management section. 12 Trading portfolio Accounting for trading portfolio assets and liabilities In accordance with IFRS 9, all assets and liabilities held for trading purposes are held at fair value with gains and losses in the changes in fair value taken to the income statement in net trading income (Note 5). Trading portfolio assets Trading portfolio liabilities 2022 2021 2022 2021 £m £m £m £m Debt securities and other eligible bills 55,475 50,864 (39,531) (34,957) Equity securities 65,031 83,113 (33,393) (19,212) Traded loans 13,198 12,525 — — Commodities 109 533 — — Trading portfolio assets/(liabilities) 133,813 147,035 (72,924) (54,169) 13 Financial assets at fair value through the income statement Accounting for financial assets mandatorily at fair value Financial assets that are held for trading are recognised at fair value through profit or loss. In addition, financial assets are held at fair value through profit or loss if they do not contain contractual terms that give rise on specified dates to cash flows that are SPPI, or if the financial asset is not held in a business model that is either (i) a business model to collect the contractual cash flows or (ii) a business model that is achieved by both collecting contractual cash flows and selling. Accounting for financial assets designated at fair value Financial assets, other than those held for trading, are classified in this category if they are so irrevocably designated at inception and the use of the designation removes or significantly reduces an accounting mismatch. Subsequent changes in fair value for these instruments are recognised in the income statement in net investment income, except if reporting it in trading income reduces an accounting mismatch. The details on how the fair value amounts are derived for financial assets at fair value are described in Note 17. Designated at fair value Mandatorily at fair value Total 2022 2021 2022 2021 2022 2021 £m £m £m £m £m £m Loans and advances 3,658 5,579 35,771 33,088 39,429 38,667 Debt securities 205 319 3,044 1,986 3,249 2,305 Equity securities — — 6,091 5,875 6,091 5,875 Reverse repurchase agreements and other similar secured lending — — 164,681 145,014 164,681 145,014 Other financial assets 1 — 117 111 118 111 Financial assets at fair value through the income statement 3,864 5,898 209,704 186,074 213,568 191,972 Credit risk of financial assets designated at fair value and related credit derivatives The following table shows the maximum exposure to credit risk, the changes in fair value attributable to changes in credit risk, and the cumulative changes in fair value since initial recognition for loans and advances. The table does not include debt securities and reverse repurchase agreements and other similar secured lending designated at fair value as they have minimal exposure to credit risk. Reverse repurchase agreements are collateralised and debt securities are primarily relating to high quality sovereigns. Changes in fair value during the year Cumulative changes in fair value from Maximum exposure as at 31 December ended inception 2022 2021 2022 2021 2022 2021 £m £m £m £m £m £m 3,658 5,579 10 5 (9) (19) Loans and advances designated at fair value, attributable to credit risk 855 1,617 (1) (3) (1) (3) Value mitigated by related credit derivatives