Strategic Shareholder Climate and Risk Financial Financial Barclays PLC 504 report information sustainability report Governance review review statements Annual Report 2022 Notes to the financial statements (continued) Scope of consolidation waterfall. Such margining requirements are consistent with market practice for many derivative arrangements and in line with the Group’s normal credit policies. Derivative transactions require the counterparty to provide cash or other collateral under margining agreements to mitigate counterparty credit risk. The Group is mainly exposed to settlement risk on these derivatives which is mitigated through daily margining. Total notional contract amounts were £244,780m (2021: £217,055m). Except for credit default swaps where the maximum exposure to loss is the swap notional amount, it is not possible to estimate the maximum exposure to loss in respect of derivative positions as the fair value of derivatives is subject to changes in market rates of interest, exchange rates and credit indices which by their nature are uncertain. In addition, the Group’s losses would be subject to mitigating action under its traded market risk and credit risk policies that require the counterparty to provide collateral in cash or other assets in most cases. Other interests in unconsolidated structured entities The Group’s interests in structured entities not held for the purposes of short-term trading activities are set out below, summarised by the nature of the interest and limited to significant categories, based on maximum exposure to loss. Nature of interest Of which: Barclays Multi-seller owned, not conduit consolidated a programme Lending Other Total entities £m £m £m £m £m As at 31 December 2022 Financial assets at fair value through the income statement — 59 2,400 2,459 2,284 Financial assets at fair value through other comprehensive income — 220 203 423 — Loans and advances at amortised cost 8,681 22,069 13,542 44,292 — Other assets 32 33 4 69 — Total on-balance sheet exposures 8,713 22,381 16,149 47,243 2,284 Total off-balance sheet notional amounts 10,552 10,926 — 21,478 — Maximum exposure to loss 19,265 33,307 16,149 68,721 2,284 Total assets of the entity 66,504 160,002 88,779 315,285 8,690 As at 31 December 2021 Financial assets at fair value through the income statement — 70 3,420 3,490 3,335 Financial assets at fair value through other comprehensive income — 53 38 91 — Loans and advances at amortised cost 5,184 14,538 8,505 28,227 — Other assets 8 4 5 17 — Total on-balance sheet exposures 5,192 14,665 11,968 31,825 3,335 Total off-balance sheet notional amounts 11,015 9,426 — 20,441 — Maximum exposure to loss 16,207 24,091 11,968 52,266 3,335 Total assets of the entity 65,441 166,238 52,873 284,552 11,513 Note a Comprises of Barclays owned, not consolidated structured entities per IFRS 10 Consolidated Financial Statements, and Barclays sponsored entities, Refer to Note 34 Principal subsidiaries for more details on consolidation. Maximum exposure to loss Unless specified otherwise below, the Group’s maximum exposure to loss is the total of its on-balance sheet positions and its off- balance sheet arrangements, being loan commitments and financial guarantees. Exposure to loss is mitigated through collateral, financial guarantees, the availability of netting and credit protection held. Multi-seller conduit programme Barclays' multi-seller conduit programme engages in providing financing to various clients and holds whole or partial interests in pools of receivables or similar obligations. These instruments are protected from loss through over-collateralisation, seller guarantees, or other credit enhancements provided to the conduit entities. The Group’s off-balance sheet exposure included in the table above represents liquidity facilities that are provided to the conduit for the benefit of the holders of the commercial paper issued by the conduit and will only be drawn where the conduit is unable to access the commercial paper market. If these liquidity facilities are drawn, the Group is protected from loss through over-collateralisation, seller guarantees, or other credit enhancements provided to the conduit. Lending The portfolio includes lending provided by the Group to unconsolidated structured entities in the normal course of its lending business to earn income in the form of interest and lending fees and includes loans to structured entities that are generally collateralised by property, equipment or other assets. All loans are subject to the Group’s credit sanctioning process. Collateral arrangements are