Strategic Shareholder Climate and Risk Financial Financial Barclays PLC 515 report information sustainability report Governance review review statements Annual Report 2022 Notes to the financial statements (continued) Other disclosure matters ▪ Financial risk: the valuation of certain of the Group’s financial assets and liabilities may change. Moreover, transitioning to alternative RFRs may impact the ability of members of the Group to calculate and model amounts receivable by them on certain financial assets and determine the amounts payable on certain financial liabilities (such as debt securities issued by them) because certain alternative RFRs (such as SONIA and the SOFR) are look-back rates whereas term rates (such as LIBOR) allow borrowers to calculate at the start of any interest period exactly how much is payable at the end of such interest period. This may have a material adverse effect on the Group’s cash flows. ▪ Pricing risk: changes to existing reference rates and indices, discontinuation of any reference rate or indices and transition to alternative RFRs may impact the pricing mechanisms used by the Group on certain transactions. ▪ Operational risk: changes to existing reference rates and indices, discontinuation of any reference rate or index and transition to alternative RFRs may require changes to the Group’s IT systems, trade reporting infrastructure, operational processes, and controls. In addition, if any reference rate or index (such as LIBOR) is no longer available to calculate amounts payable, the Group may incur additional expenses in amending documentation for new and existing transactions and/or effecting the transition from the original reference rate or index to a new reference rate or index. ▪ Accounting risk: an inability to apply hedge accounting in accordance with IAS 39 could lead to increased volatility in the Group’s financial results and performance. Any of these factors may have a material adverse effect on the Group’s business, results of operations, financial condition, prospects, and reputation. While a number of the above risks in relation to transition of legacy 2021 scope onto RFRs have been substantially mitigated, they remain relevant in relation to USD LIBOR transitions. The Group does not expect material changes to its risk management approach and strategy as a result of interest rate benchmark reform. The following tables summarise USD LIBOR and USD LIBOR ICE Swap Rate non-derivatives exposures due to mature post 30 June 2023, when USD LIBOR and the USD LIBOR ICE Swap Rate will either cease to be published or cease to be published, in its current form: USD LIBOR 2022 2021 As at 31 December £m £m Non-derivative financial assets Loans and advances at amortised cost 8,659 15,812 Reverse repurchase agreements and other similar secured lending — 186 Financial assets at fair value through the income statement 4,282 8,538 Financial assets at fair value through other comprehensive income — — Non-derivative financial assets 12,941 24,536 Non-derivative financial liabilities Debt securities in issue (9,062) (6,137) Subordinated liabilities (1,132) (1,088) Financial liabilities designated at fair value (1,740) (212) Non-derivative financial liabilities (11,934) (7,437) Equity Other equity instruments (1,786) (3,374) a Standby facilities, credit lines and other commitments 68,118 42,767 Note a For year ended 2021, multi currency loan facilities are reported in the currency which needs to be remediated first, which were mainly non-USD. As the non-USD rates transitioned, this has resulted in a corresponding increase in USD LIBOR exposure for year ended 2022 as USD LIBOR exposure is yet to transition. Balances reported at amortised cost are disclosed at their gross carrying value and do not include any expected credit losses that may be held against them. The following tables summarise USD LIBOR and USD LIBOR ICE Swap Rate derivative exposures due to mature post 30 June 2023: USD LIBOR 2022 2021 £m £m Derivative notional contract amount OTC interest rate derivatives 2,594,268 2,283,236 OTC interest rate derivatives - cleared by central counterparty 2,137,245 2,228,399 Exchange traded interest rate derivatives 337,535 466,339 OTC foreign exchange derivatives 84 461,680 OTC equity and stock index derivatives 1,261 9,949 Derivative notional contract amount 5,070,393 5,449,603 Derivatives are reported using the notional contract amount As at 31 December 2022 the Group also had £9bn (2021: £9bn) of Barclays issued debt retained by the group, impacted by the interest rate benchmark reform, in USD LIBOR.