Strategic Shareholder Climate and Risk Financial Financial Barclays PLC 133 report information sustainability report Governance review review statements Annual Report 2022 Resilience of our strategy (continued) Evolution of approach Having undertaken a number of climate scenario analysis exercises over the last four years, and gained a greater understanding of the challenges and nuances of climate modelling, Barclays has created and continues to evolve its models, methodologies and scenarios for conducting climate scenario analysis and stress testing for its portfolios. Climate models Informed by these climate scenarios, Barclays is embarking on a journey to develop new, and enhance existing, climate models for specific portfolios. These models are designed to produce climate- relevant credit risk metrics applicable to different use cases, for example climate-adjusted probability of default. These models will work with a range of climate scenarios and evaluate the impact of specific physical and transition risk drivers. The below schematic shows the outline of the model design. Barclays has initially focused on developing this approach for credit risk, given that this risk type has been the focus of climate scenario analysis to date. 1. Models consume climate scenario variables 5. Using these metrics, credit risk parameters e.g. carbon pricing or flood risk can be obtained e.g. PD or LGD 2. Over time, models will be designed and 6. These outputs can be integrated into different developed across a wide range of downstream use cases e.g. stress testing asset classes 7. Models can be used across different business 3. Relevant climate risk drivers are analysed and lines within Barclays. evaluated to understand how they interact with the asset class 4. These risks are applied to metrics that drive credit risks within the asset class e.g. LTV for mortgages