EX-99.1 2 h120ex991.htm EX-99.1 h120ex991
 
bbplch120p2i0.gif
 
 
 
 
 
Barclays
 
Bank
 
PLC
 
1
 
 
Exhibit
 
99.1
Barclays
 
Bank
 
PLC
 
This
 
exhibit
 
includes
 
portions
 
from
 
the
 
previously
 
published
 
Results
 
Announcement
 
of
 
Barclays
 
Bank
 
PLC
 
relating
 
to
 
the
 
six
 
months
ended
 
30
 
June
 
2020,
 
as
 
amended
 
in
 
part
 
to
 
comply
 
with
 
the
 
requirements
 
of
 
Regulation
 
G
 
and
 
Item
 
10(e)
 
of
 
Regulation
 
S-K
promulgated
 
by
 
the
 
US
 
Securities
 
and
 
Exchange
 
Commission
 
(SEC),
 
including
 
the
 
reconciliation
 
of
 
certain
 
financial
 
information
 
to
comparable
 
measures
 
prepared
 
in
 
accordance
 
with
 
International
 
Financial
 
Reporting
 
Standards
 
(IFRS).
 
The
 
purpose
 
of
 
this
document
 
is
 
to
 
provide
 
such
 
additional
 
disclosure
 
as
 
required
 
by
 
Regulation
 
G
 
and
 
Regulation
 
S-K
 
item
 
10(e),
 
to
 
delete
 
certain
information
 
not
 
in
 
compliance
 
with
 
SEC
 
regulations
 
and
 
to
 
include
 
reconcil
 
iations
 
of
 
certain
 
non-IFRS
 
figures
 
to
 
the
 
most
 
directly
equivalent
 
IFRS
 
figures
 
for
 
the
 
periods
 
presented.
 
This
 
document
 
does
 
not
 
update
 
or
 
otherwise
 
supplement
 
the
 
information
contained
 
in
 
the
 
previously
 
published
 
Results
 
Announcement.
 
Any
 
reference
 
to
 
a
 
website
 
in
 
this
 
document
 
is
 
made
 
for
informational
 
purposes
 
only,
 
and
 
information
 
found
 
at
 
such
 
websites
 
is
 
not
 
incorporated
 
by
 
reference
 
into
 
this
 
document.
 
An
 
audit
 
opinion
 
has
 
not
 
been
 
rendered
 
in
 
respect
 
of
 
this
 
document.
 
 
bbplch120p2i0.gif
 
Table
 
of
 
Contents
 
 
 
 
Barclays
 
Bank
 
PLC
 
2
 
 
Results
 
Announcement
Page
3
4
Risk
 
Management
●
 
 
6
●
 
 
8
●
 
 
16
●
 
 
17
Condensed
 
Consolidated
 
Financial
 
Statements
 
19
25
45
46
69
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
BARCLAYS
 
BANK
 
PLC,
 
1
 
CHURCHILL
 
PLACE,
 
LONDON,
 
E14
 
5HP,
 
UNITED
 
KINGDOM.
 
TELEPHONE:
 
+44
 
(0)
 
20
 
7116
 
1000.
 
COMPANY
 
NO.
 
1026167.
 
 
bbplch120p2i0.gif
Notes
 
 
 
 
Barclays
 
Bank
 
PLC
 
3
 
 
The
 
term
 
Barclays
 
Bank
 
Group
 
refers
 
to
 
Barclays
 
Bank
 
PLC
 
together
 
with
 
its
 
subsidiaries.
 
Unless
 
otherwise
 
stated,
 
the
 
income
 
statement
 
analysis
 
compares
the
 
six
 
months
 
ended
 
30
 
June
 
2020
 
to
 
the
 
corresponding
 
six
 
months
 
of
 
2019
 
and
 
balance
 
sheet
 
analysis
 
as
 
at
 
30
 
June
 
2020
 
with
 
comparatives
 
relating
 
to
 
31
December
 
2019.
 
The
 
abbreviations
 
‘£m’
 
and
 
‘£bn’
 
represent
 
millions
 
and
 
thousands
 
of
 
millions
 
of
 
Pounds
 
Sterling
 
respectively;
 
the
 
abbreviations
 
‘$m’
 
and
‘$bn’
 
represent
 
millions
 
and
 
thousands
 
of
 
millions
 
of
 
US
 
Dollars
 
respectively;
 
and
 
the
 
abbreviations
 
‘€m’
 
and
 
‘€bn’
 
represent
 
millions
 
and
 
thousands
 
of
millions
 
of
 
Euros
 
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
 
that
 
can
 
be
 
accessed
 
at
 
home.barclays/investor
 
-relations/reports-and-events/latest-financial-results.
The
 
information
 
in
 
this
 
announcement,
 
which
 
was
 
approved
 
by
 
the
 
Board
 
of
 
Directors
 
on
 
28
 
July
 
2020,
 
does
 
not
 
comprise
 
statutory
 
accounts
 
within
 
the
meaning
 
of
 
Section
 
434
 
of
 
the
 
Companies
 
Act
 
2006.
 
Statutory
 
accounts
 
for
 
the
 
year
 
ended
 
31
 
December
 
2019,
 
which
 
contained
 
an
 
unmodified
 
audit
 
report
under
 
Section
 
495
 
of
 
the
 
Companies
 
Act
 
2006
 
(which
 
did
 
not
 
make
 
any
 
statements
 
under
 
Section
 
498
 
of
 
the
 
Companies
 
Act
 
2006)
 
have
 
been
 
delivered
 
to
 
the
Registrar
 
of
 
Companies
 
in
 
accordance
 
with
 
Section
 
441
 
of
 
the
 
Companies
 
Act
 
2006.
Barclays
 
Bank
 
Group
 
is
 
a
 
frequent
 
issuer
 
in
 
the
 
debt
 
capital
 
markets
 
and
 
regularly
 
meets
 
with
 
investors
 
via
 
formal
 
road-shows
 
and
 
other
 
ad
 
hoc
 
meetings.
Consistent
 
with
 
its
 
usual
 
practice,
 
Barclays
 
Bank
 
Group
 
expects
 
that
 
from
 
time
 
to
 
time
 
over
 
the
 
coming
 
half
 
year
 
it
 
will
 
meet
 
with
 
investors
 
globally
 
to
 
discuss
these
 
results
 
and
 
other
 
matters
 
relating
 
to
 
the
 
Barclays
 
Bank
 
Group.
 
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
 
the
 
Barclays
 
Bank
 
Group.
 
Barclays
 
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.
 
These
 
fo
 
rward
 
-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’,
 
‘expec
 
t’,
‘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
 
members
 
of
 
the
 
management
 
of
 
the
 
Barclays
 
Bank
 
Group
 
(including,
 
without
 
limitation,
 
during
 
management
 
presentations
 
to
 
financial
analysts)
 
in
 
connection
 
with
 
this
 
document.
 
Examples
 
of
 
forward
 
-looking
 
statements
 
include,
 
among
 
others,
 
statements
 
or
 
guidance
 
regarding
 
or
 
relating
 
to
the
 
Barclays
 
Bank
 
Group’s
 
future
 
financial
 
position,
 
income
 
growth,
 
assets,
 
impairment
 
charges,
 
provisions,
 
business
 
strategy,
 
capital,
 
leverage
 
and
 
other
regulatory
 
ratios,
 
payment
 
of
 
dividends
 
(including
 
dividend
 
payout
 
ratios
 
and
 
expected
 
payment
 
strategies),
 
projected
 
levels
 
of
 
growth
 
in
 
the
 
banking
 
and
financial
 
markets,
 
projected
 
costs
 
or
 
savings,
 
any
 
commitments
 
and
 
targets,
 
estimates
 
of
 
capital
 
expenditures,
 
plans
 
and
 
objectives
 
for
 
future
 
operations,
projected
 
employee
 
numbers,
 
IFRS
 
impacts
 
and
 
other
 
statements
 
that
 
are
 
not
 
historical
 
fact.
 
By
 
their
 
nature,
 
forward
 
-looking
 
statements
 
involve
 
risk
 
and
uncertainty
 
because
 
they
 
relate
 
to
 
future
 
events
 
and
 
circumstances.
 
The
 
forward
 
-looking
 
statements
 
speak
 
only
 
as
 
at
 
the
 
date
 
on
 
which
 
they
 
are
 
made
 
and
such
 
statements
 
may
 
be
 
affected
 
by
 
changes
 
in
 
legislation,
 
the
 
development
 
of
 
standards
 
and
 
interpretations
 
under
 
IFRS,
 
including
 
evolving
 
practices
 
with
regard
 
to
 
the
 
interpretation
 
and
 
application
 
of
 
accounting
 
and
 
regulatory
 
standards,
 
the
 
outcome
 
of
 
current
 
and
 
future
 
legal
 
proceedings
 
and
 
regulatory
investigations,
 
future
 
levels
 
of
 
conduct
 
provisions,
 
the
 
policies
 
and
 
actions
 
of
 
governmental
 
and
 
regulatory
 
authorities,
 
geopolitical
 
risks
 
and
 
the
 
impact
 
of
competition.
 
In
 
addition,
 
factors
 
including
 
(but
 
not
 
limited
 
to)
 
the
 
following
 
may
 
have
 
an
 
effect:
 
capital,
 
leverage
 
and
 
other
 
regulatory
 
rules
 
applicable
 
to
 
past,
current
 
and
 
future
 
periods;
 
UK,
 
US,
 
Eurozone
 
and
 
global
 
macroeconomic
 
and
 
business
 
conditions;
 
the
 
effects
 
of
 
any
 
volatility
 
in
 
credit
 
markets;
 
market
related
 
risks
 
such
 
as
 
changes
 
in
 
interest
 
rates
 
and
 
foreign
 
exchange
 
rates;
 
effects
 
of
 
changes
 
in
 
valuation
 
of
 
credit
 
market
 
exposures;
 
changes
 
in
 
valuation
 
of
issued
 
securities;
 
volatility
 
in
 
capital
 
markets;
 
changes
 
in
 
credit
 
ratings
 
of
 
any
 
entity
 
within
 
the
 
Barclays
 
Bank
 
Group
 
or
 
any
 
securities
 
issued
 
by
 
such
 
entities;
direct
 
and
 
indirect
 
impacts
 
of
 
the
 
coronavirus
 
(COVID-19)
 
pandemic;
 
instability
 
as
 
a
 
result
 
of
 
the
 
exit
 
by
 
the
 
UK
 
from
 
the
 
European
 
Union
 
and
 
the
 
disruption
that
 
may
 
subsequently
 
result
 
in
 
the
 
UK
 
and
 
globally;
 
and
 
the
 
success
 
of
 
future
 
acquisitions,
 
disposals
 
and
 
other
 
strategic
 
transactions.
 
A
 
number
 
of
 
these
influences
 
and
 
factors
 
are
 
beyond
 
the
 
Barclays
 
Bank
 
Group’s
 
control.
 
As
 
a
 
result,
 
the
 
Barclays
 
Bank
 
Group’s
 
actual
 
financial
 
position,
 
future
 
results,
 
dividend
payments,
 
capital,
 
leverage
 
or
 
other
 
regulatory
 
ratios
 
or
 
other
 
financial
 
and
 
non-financial
 
metrics
 
or
 
performance
 
measures
 
may
 
differ
 
materially
 
from
 
the
statements
 
or
 
guidance
 
set
 
forth
 
in
 
the
 
Barclays
 
Bank
 
Group’s
 
forward
 
-looking
 
statements.
 
Additional
 
risks
 
and
 
factors
 
which
 
may
 
impact
 
the
 
Barclays
 
Bank
Group’s
 
future
 
financial
 
condition
 
and
 
performance
 
are
 
identified
 
in
 
our
 
filings
 
with
 
the
 
SEC
 
(including,
 
without
 
limitation,
 
our
 
Annual
 
Report
 
on
 
Form
 
20-F
 
for
the
 
fiscal
 
year
 
ended
 
31
 
December
 
2019
 
and
 
our
 
2020
 
Interim
 
Results
 
Announcement
 
for
 
the
 
six
 
months
 
ended
 
30
 
June
 
2020
 
filed
 
on
 
Form
 
6-K),
 
which
 
are
available
 
on
 
the
 
SEC’s
 
website
 
at
 
www.sec.gov.
Subject
 
to
 
our
 
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.
 
 
 
bbplch120p2i0.gif
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Financial
 
Review
 
 
 
 
 
Barclays
 
Bank
 
PLC
 
4
 
 
Barclays
 
Bank
 
Group
 
results
for
 
the
 
half
 
year
 
ended
30.06.20
30.06.19
£m
£m
%
 
Change
Total
 
income
8,637
7,122
21
Credit
 
impairment
 
charges
(2,674)
(510)
 
Net
 
operating
 
income
5,963
6,612
(10)
Operating
 
expenses
(4,548)
(4,842)
6
Litigation
 
and
 
conduct
(19)
(68)
72
Total
 
operating
 
expenses
(4,567)
(4,910)
7
Other
 
net
 
income
127
23
 
Profit
 
before
 
tax
 
1,523
1,725
(12)
Tax
 
charge
(230)
(260)
12
Profit
 
after
 
tax
1,293
1,465
(12)
Other
 
equity
 
instrument
 
holders
(333)
(294)
(13)
Attributable
 
profit
960
1,171
(18)
As
 
at
 
30.06.20
As
 
at
 
31.12.19
Balance
 
sheet
 
information
£bn
£bn
Cash
 
and
 
balances
 
at
 
central
 
banks
155.8
125.9
Cash
 
collateral
 
and
 
settlement
 
assets
130.9
79.5
Loans
 
and
 
advances
 
at
 
amortised
 
cost
150.2
141.6
Trading
 
portfolio
 
assets
109.5
113.3
Financial
 
assets
 
at
 
fair
 
value
 
through
 
the
 
income
 
statement
155.5
129.5
Derivative
 
financial
 
instrument
 
assets
307.7
229.6
Total
 
assets
1,096.0
876.7
Deposits
 
at
 
amortised
 
cost
245.7
213.9
Cash
 
collateral
 
and
 
settlement
 
liabilities
113.3
67.7
Financial
 
liabilities
 
designated
 
at
 
fair
 
value
222.1
204.4
Derivative
 
financial
 
instrument
 
liabilities
308.0
228.9
As
 
at
 
30.06.20
As
 
at
 
31.12.19
Capital
 
and
 
liquidity
 
metrics
£bn
£bn
Common
 
equity
 
tier
 
1
 
(CET1)
 
ratio
1,2
14.3%
13.9%
Barclays
 
Bank
 
PLC
 
DoLSub
 
liquidity
 
coverage
 
ratio
166%
141%
Barclays
 
Bank
 
Group
 
liquidity
 
pool
234
169
 
1
 
Barclays
 
Bank
 
PLC
 
is
 
currently
 
regulated
 
by
 
the
 
Prudential
 
Regulation
 
Authority
 
(PRA)
 
on
 
a
 
solo-consolidated
 
basis.
 
The
 
disclosure
 
above
 
provides
 
a
 
capital
 
metric
 
for
Barclays
 
Bank
 
PLC
 
solo-consolidated
 
.
 
For
 
further
 
information,
 
refer
 
to
 
Treasury
 
and
 
Capital
 
Risk
 
on
 
page
 
17.
2
 
The
 
CET
 
1
 
ratio
 
is
 
calculated
 
applying
 
the
 
IFRS
 
9
 
transitional
 
arrangement
 
of
 
the
 
Capital
 
Requirements
 
Regulation
 
(CRR)
 
as
 
amended
 
by
 
the
 
Capital
 
Requirements
Regulation
 
II
 
(CRR
 
II)
 
applicable
 
as
 
at
 
the
 
reporting
 
date
 
.
 
For
 
further
 
information
 
on
 
the
 
implementation
 
of
 
CRR
 
II
 
see
 
page
 
17.
 
Barclays
 
Bank
 
Group
 
Overview
Barclays
 
Bank
 
PLC
 
is
 
the
 
non-ring
 
-fenced
 
bank
 
which
 
forms
 
part
 
of
 
the
 
Barclays
 
Group
 
and
 
consists
 
of
 
Corporate
 
and
 
Investment
Bank
 
(CIB),
 
Consumer,
 
Cards
 
and
 
Payments
 
(CC&P)
 
and
 
Head
 
Office.
Group
 
performance
Barclays
 
Bank
 
PLC
 
continued
 
to
 
support
 
its
 
customers
 
and
 
clients
 
through
 
the
 
COVID
 
-19
 
pandemic
 
by
 
providing
 
or
 
facilitating
lending,
 
through
 
the
 
range
 
of
 
support
 
programmes
 
which
 
have
 
been
 
introduced,
 
as
 
well
 
as
 
enabling
 
the
 
raising
 
of
 
debt
 
and
 
equity
financing
 
in
 
the
 
capital
 
markets
 
.
 
Support
 
actions,
 
including
 
over
 
200k
 
payment
 
holidays,
 
have
 
also
 
been
 
introduced
 
to
 
help
customers
 
and
 
clients
 
through
 
the
 
difficulties
 
they
 
may
 
be
 
experiencing.
Profit
 
before
 
tax
 
decreased
 
12%
 
to
 
£1,523m
 
driven
 
by
 
a
 
£1,105m
 
decrease
 
in
 
CC&P
 
to
 
a
 
loss
 
before
 
tax
 
of
 
£503m.
 
This
 
was
 
partially
offset
 
by
 
a
 
£750m
 
increase
 
in
 
CIB
 
to
 
£2,203m
 
and
 
a
 
lower
 
loss
 
in
 
Head
 
Office
 
of
 
£177m
 
(H119:
 
£330m).
●
 
Total
 
income
 
increased
 
21%
 
to
 
£8,637m
–
 
CIB
 
income
 
increased
 
35%
 
to
 
£6,973m
 
driven
 
by
 
a
 
73%
 
increase
 
in
 
Markets,
 
reflecting
 
increased
 
client
 
activity,
 
spread
widening
 
and
 
higher
 
levels
 
of
 
volatility,
 
an
 
8%
 
increase
 
in
 
Banking
 
fees,
 
partially
 
offset
 
by
 
a
 
17%
 
decline
 
in
 
Corporate
 
due
 
to
the
 
impact
 
of
 
losses
 
on
 
fair
 
value
 
lending
 
positions
 
and
 
losses
 
on
 
mark
 
-to
 
-market
 
and
 
carry
 
costs
 
on
 
related
 
hedges
 
in
 
H120
 
 
bbplch120p2i0.gif
Financial
 
Review
 
 
 
 
 
Barclays
 
Bank
 
PLC
 
5
 
 
–
 
CC&P
 
income
 
decreased
 
21%
 
to
 
£1,742m
 
as
 
the
 
impacts
 
of
 
the
 
COVID
 
-19
 
pandemic
 
resulted
 
in
 
lower
 
balances
 
on
 
co-
branded
 
cards,
 
margin
 
compression
 
and
 
reduced
 
payments
 
activity.
 
Q220
 
included
 
a
 
c.£100m
 
valuation
 
loss
 
on
 
Barclays’
preference
 
shares
 
in
 
Visa
 
Inc.
 
resulting
 
from
 
the
 
Q220
 
Supreme
 
Court
 
ruling
 
concerning
 
charges
 
paid
 
by
 
merchants
–
 
Head
 
Office
 
income
 
expense
 
improved
 
by
 
65%
 
to
 
£78m
 
mainly
 
driven
 
by
 
lower
 
legacy
 
capital
 
funding
 
costs
●
 
Credit
 
impairment
 
charges
 
increased
 
to
 
£2,674m
 
(H119:
 
£510m)
–
 
CIB
 
credit
 
impairment
 
charges
 
increased
 
to
 
£1,320m
 
(H119:
 
£96m),
 
reflecting
 
£591m
 
in
 
respect
 
of
 
single
 
name
 
wholesale
loan
 
charges
 
and
 
impacts
 
from
 
the
 
COVID
 
-19
 
scenarios
1
,
 
partially
 
offset
 
by
 
the
 
estimated
 
impact
 
of
 
central
 
bank,
government
 
and
 
other
 
support
 
measures
–
 
CC&P
 
credit
 
impairment
 
charges
 
increased
 
to
 
£1,299m
 
(H119:
 
£396m)
 
reflecting
 
the
 
impact
 
from
 
the
 
revised
 
COVID
 
-19
scenarios,
 
partially
 
offset
 
by
 
the
 
estimated
 
impact
 
of
 
central
 
bank,
 
government
 
and
 
other
 
support
 
measures
–
 
Head
 
Office
 
credit
 
impairment
 
charges
 
increased
 
to
 
£55m
 
(H119:
 
£18m)
 
due
 
to
 
impacts
 
from
 
the
 
COVID
 
-19
 
scenarios
 
on
the
 
Italian
 
home
 
loan
 
portfolio
●
 
Total
 
operating
 
expenses
 
decreased
 
7%
 
to
 
£4,567m
 
–
 
CIB
 
total
 
operating
 
expenses
 
decreased
 
4%
 
to
 
£3,462m
 
due
 
to
 
cost
 
efficiencies
 
and
 
discipline
 
in
 
the
 
current
 
environment
–
 
CC&P
 
total
 
operating
 
expenses
 
decre
 
ased
 
12%
 
to
 
£1,061m
 
reflecting
 
cost
 
efficiencies
 
and
 
lower
 
marketing
 
spend
 
due
 
to
 
the
impacts
 
of
 
the
 
COVID
 
-19
 
pandemic
–
 
Head
 
Office
 
total
 
operating
 
expenses
 
decreased
 
48%
 
to
 
£44m
 
due
 
to
 
lower
 
litigation
 
and
 
conduct
 
charges
●
 
Other
 
net
 
income
 
increased
 
£104m
 
to
 
£127m
 
reflecting
 
gains
 
on
 
disposals
 
following
 
the
 
sale
 
of
 
a
 
number
 
of
 
subsidiaries
 
within
the
 
Barclays
 
Group
●
 
The
 
tax
 
charge
 
for
 
H120
 
was
 
£230m
 
(H119:
 
£260m),
 
representing
 
an
 
effective
 
tax
 
rate
 
of
 
15.1%
 
(H119:
 
15.1%)
 
Balance
 
sheet,
 
capital
 
and
 
liquidity
 
●
 
Cash
 
and
 
balances
 
at
 
central
 
banks
 
increased
 
£29.9bn
 
to
 
£155.8bn
 
within
 
the
 
liquidity
 
pool
●
 
Cash
 
collateral
 
and
 
settlement
 
assets
 
and
 
liabilities
 
increased
 
£51.4bn
 
to
 
£130.9bn
 
and
 
£45.6bn
 
to
 
£113.3bn
 
respectively
predominantly
 
due
 
to
 
increased
 
activity
●
 
Loans
 
and
 
advances
 
increased
 
£8.6bn
 
to
 
£150.2bn
 
due
 
to
 
increased
 
lending
 
within
 
CIB,
 
partially
 
offset
 
by
 
lower
 
card
 
balances
 
in
CC&P
●
 
Financial
 
assets
 
at
 
fair
 
value
 
through
 
the
 
income
 
statement
 
increased
 
£26.0bn
 
to
 
£155.5bn
 
driven
 
by
 
increased
 
secured
 
lending
●
 
Derivative
 
financial
 
instrument
 
assets
 
and
 
liabilities
 
increased
 
£78.1bn
 
to
 
£307.7bn
 
and
 
£79.1bn
 
to
 
£308.0bn
 
respectively
driven
 
by
 
a
 
decrease
 
in
 
major
 
interest
 
rate
 
curves
 
and
 
increased
 
trading
 
volumes
●
 
Deposits
 
at
 
amortised
 
cost
 
increased
 
£31.8bn
 
to
 
£245.7bn
 
due
 
to
 
CIB
 
clients
 
increasing
 
liquidity
●
 
Financial
 
liabilities
 
designated
 
at
 
fair
 
value
 
increased
 
£17.7bn
 
to
 
£222.1bn
 
driven
 
by
 
increased
 
secured
 
borrowing
●
 
The
 
Barclays
 
Bank
 
PLC
 
solo-consolidated
 
CET1
 
ratio
 
as
 
at
 
30
 
June
 
2020
 
was
 
14.3%,
 
which
 
is
 
above
 
regulatory
 
capital
 
minimum
requirements
●
 
The
 
Barclays
 
Bank
 
Group
 
liquidity
 
pool
 
increased
 
to
 
£234bn
 
(December
 
2019:
 
£169bn)
 
driven
 
by
 
customer
 
deposit
 
growth
 
and
actions
 
to
 
maintain
 
a
 
prudent
 
funding
 
and
 
liquidity
 
position
 
in
 
the
 
current
 
environment
 
 
1.
 
See
 
Measurement
 
uncertainty,
 
page
 
10,
 
for
 
a
 
description
 
of
 
the
 
COVID
 
-19
 
Scenarios.
 
 
bbplch120p2i0.gif
Risk
 
Management
 
 
 
 
Barclays
 
Bank
 
PLC
 
6
 
 
Risk
 
management
 
and
 
principal
 
risks
The
 
roles
 
and
 
responsibilities
 
of
 
the
 
business
 
groups,
 
Risk
 
and
 
Compliance,
 
in
 
the
 
management
 
of
 
risk
 
in
 
the
 
firm
 
are
 
defined
 
in
 
the
Enterprise
 
Risk
 
Management
 
Framework.
 
The
 
purpose
 
of
 
the
 
framework
 
is
 
to
 
identify
 
the
 
principal
 
risks
 
of
 
Barclays
 
Bank
 
Group,
the
 
process
 
by
 
which
 
Barclays
 
Bank
 
Group
 
sets
 
its
 
appetite
 
for
 
these
 
risks
 
in
 
its
 
business
 
activities,
 
and
 
the
 
consequent
 
limits
 
which
it
 
places
 
on
 
related
 
risk
 
taking.
The
 
framework
 
identifies
 
eight
 
principal
 
risks:
 
credit
 
risk;
 
market
 
risk;
 
treasury
 
and
 
capital
 
risk;
 
operational
 
risk;
 
model
 
risk;
 
conduct
risk;
 
reputation
 
risk;
 
and
 
legal
 
risk.
 
Further
 
detail
 
on
 
these
 
risks
 
and
 
how
 
they
 
are
 
managed
 
is
 
available
 
in
 
the
 
Barclays
 
Bank
 
PLC
Annual
 
Report
 
2019
 
(pages
 
44
 
to
 
49)
 
or
 
online
 
at
 
home.barclays/annualreport.
 
There
 
have
 
been
 
no
 
significant
 
changes
 
to
 
these
principal
 
risks
 
or
 
previously
 
identified
 
material
 
existing
 
and
 
emerging
 
risks
 
in
 
the
 
period,
 
save
 
that
 
details
 
of
 
an
 
additional
 
material
risk
 
identified
 
in
 
H120
 
which
 
potentially
 
impacts
 
more
 
than
 
one
 
principal
 
risk
 
are
 
set
 
out
 
below.
The
 
following
 
section
 
also
 
gives
 
an
 
overview
 
of
 
credit
 
risk,
 
market
 
risk,
 
and
 
treasury
 
and
 
capital
 
risk
 
for
 
the
 
period.
 
Risks
 
relating
 
to
 
the
 
impact
 
of
 
COVID
 
-19
 
The
 
COVID
 
-19
 
pandemic
 
has
 
had,
 
and
 
continues
 
to
 
have,
 
a
 
material
 
impact
 
on
 
businesses
 
around
 
the
 
world
 
and
 
the
 
economic
environments
 
in
 
which
 
they
 
operate.
 
There
 
are
 
a
 
number
 
of
 
factors
 
associated
 
with
 
the
 
pandemic
 
and
 
its
 
impact
 
on
 
global
economies
 
that
 
could
 
have
 
a
 
material
 
adverse
 
effect
 
on
 
(among
 
other
 
things)
 
the
 
profitability,
 
capital
 
and
 
liquidity
 
of
 
financial
institutions
 
such
 
as
 
Barclays
 
Bank
 
Group.
 
The
 
COVID
 
-19
 
pandemic
 
has
 
caused
 
disruption
 
to
 
the
 
Barclays
 
Bank
 
Group's
 
customers,
 
suppliers
 
and
 
staff
 
globally.
 
Most
jurisdictions
 
in
 
which
 
the
 
Barclays
 
Bank
 
Group
 
operates
 
have
 
implemented
 
severe
 
restrictions
 
on
 
the
 
movement
 
of
 
their
 
respective
populations,
 
with
 
a
 
resultant
 
significant
 
impact
 
on
 
economic
 
activity
 
in
 
those
 
jurisdictions.
 
These
 
restric
 
tions
 
are
 
being
 
determined
by
 
the
 
governments
 
of
 
individual
 
jurisdictions
 
(including
 
through
 
the
 
implementation
 
of
 
emergency
 
powers)
 
and
 
impacts
 
(including
the
 
timing
 
of
 
implementation
 
and
 
any
 
subsequent
 
lifting
 
of
 
restrictions)
 
may
 
vary
 
from
 
jurisdiction
 
to
 
jurisdiction.
 
It
 
remains
unclear
 
how
 
this
 
will
 
evolve
 
through
 
2020
 
(including
 
whether
 
there
 
will
 
be
 
subsequent
 
waves
 
of
 
the
 
COVID
 
-19
 
pandemic
 
and
whether
 
and
 
in
 
what
 
manner
 
previously
 
lifted
 
restrictions
 
will
 
be
 
re-imposed)
 
and
 
the
 
Barclays
 
Bank
 
Group
 
continues
 
to
 
monitor
the
 
situation
 
closely.
 
However,
 
despite
 
the
 
COVID
 
-19
 
contingency
 
plans
 
established
 
by
 
the
 
Barclays
 
Bank
 
Group,
 
its
 
ability
 
to
conduct
 
business
 
may
 
be
 
adversely
 
affected
 
by
 
disruptions
 
to
 
its
 
infrastructure,
 
business
 
processes
 
and
 
techno
 
logy
 
services,
resulting
 
from
 
the
 
unavailability
 
of
 
staff
 
due
 
to
 
illness
 
or
 
the
 
failure
 
of
 
third
 
parties
 
to
 
supply
 
services.
 
This
 
may
 
cause
 
significant
customer
 
detriment,
 
costs
 
to
 
reimburse
 
losses
 
incurred
 
by
 
the
 
Barclays
 
Bank
 
Group’s
 
customers,
 
potential
 
litigation
 
costs
 
(including
regulatory
 
fines,
 
penalties
 
and
 
other
 
sanctions),
 
and
 
reputational
 
damage.
In
 
many
 
of
 
the
 
jurisdictions
 
in
 
which
 
the
 
Barclays
 
Bank
 
Group
 
operates,
 
schemes
 
have
 
been
 
initiated
 
by
 
central
 
banks,
 
national
governments
 
and
 
regulators
 
to
 
provide
 
financial
 
support
 
to
 
parts
 
of
 
the
 
economy
 
most
 
impacted
 
by
 
the
 
COVID
 
-19
 
pandemic.
 
These
schemes
 
have
 
been
 
designed
 
and
 
implemented
 
at
 
pace,
 
meaning
 
lenders
 
(including
 
Barclays
 
)
 
continue
 
to
 
address
 
operational
issues
 
which
 
have
 
arisen
 
in
 
connection
 
with
 
the
 
implementation
 
of
 
the
 
schemes,
 
including
 
resolving
 
the
 
interaction
 
between
 
the
schemes
 
and
 
existing
 
law
 
and
 
regulation.
 
In
 
addition,
 
the
 
details
 
of
 
how
 
these
 
schemes
 
will
 
impact
 
the
 
Barclays
 
Bank
 
Group’s
customers
 
and
 
therefore
 
the
 
impact
 
on
 
the
 
Barclays
 
Bank
 
Group
 
remain
 
s
 
uncertain
 
at
 
this
 
stage.
 
However,
 
certain
 
actions
 
(such
 
as
the
 
introduction
 
of
 
payment
 
holidays
 
for
 
certain
 
consumer
 
lending
 
products
 
or
 
the
 
cancellation
 
or
 
waiver
 
of
 
fees
 
associated
 
with
certain
 
products
 
)
 
may
 
negatively
 
impact
 
the
 
effective
 
interest
 
rate
 
earned
 
on
 
certain
 
of
 
the
 
Barclays
 
Bank
 
Group's
 
portfolios
 
and
lower
 
fee
 
income
 
being
 
earned
 
on
 
certain
 
products.
 
Lower
 
interest
 
rates
 
globally
 
will
 
negatively
 
impact
 
net
 
interest
 
income
 
earned
on
 
certain
 
of
 
the
 
Barclays
 
Bank
 
Group's
 
portfolios.
 
Both
 
of
 
these
 
factors
 
may
 
in
 
turn
 
negatively
 
impact
 
the
 
Barclays
 
Bank
 
Group's
profitability.
 
Furthermore,
 
the
 
introduction
 
of,
 
and
 
participation
 
in,
 
central
 
-
 
bank
 
supported
 
loan
 
and
 
other
 
financing
 
schemes
introduced
 
as
 
a
 
result
 
of
 
the
 
COVID
 
-19
 
pandemic
 
may
 
negatively
 
impact
 
the
 
Barclays
 
Bank
 
Group's
 
risk
 
weighted
 
assets
 
(RWAs),
level
 
of
 
impairment
 
and,
 
in
 
turn,
 
capital
 
position
 
(particularly
 
when
 
any
 
transitional
 
relief
 
applied
 
to
 
the
 
calculation
 
of
 
RWAs
 
and
impairment
 
exp
 
ires).
 
This
 
may
 
be
 
exacerbated
 
if
 
the
 
Barclays
 
Bank
 
Group
 
is
 
required
 
by
 
any
 
government
 
or
 
regulator
 
to
 
offer
forbearance
 
or
 
additional
 
financial
 
relief
 
to
 
borrowers
 
.
As
 
these
 
schemes
 
and
 
other
 
financial
 
support
 
schemes
 
provided
 
by
 
national
 
governments
 
(such
 
as
 
job
 
retention
 
and
 
furlough
schemes)
 
expire,
 
are
 
withdrawn
 
or
 
are
 
no
 
longer
 
supported,
 
the
 
Barclays
 
Bank
 
Group
 
may
 
experience
 
a
 
higher
 
volume
 
of
 
defaults
and
 
delinquencies
 
in
 
certain
 
portfolios
 
and
 
may
 
initiate
 
collection
 
and
 
enforcement
 
actions
 
to
 
recover
 
defaulted
 
debts.
 
Where
defaulting
 
borrowers
 
are
 
harmed
 
by
 
the
 
Barclays
 
Bank
 
Group’s
 
conduct,
 
this
 
may
 
give
 
rise
 
to
 
civil
 
legal
 
proceedings,
 
including
 
class
actions,
 
regulatory
 
censure,
 
potentially
 
significant
 
fines
 
and
 
other
 
sanctions,
 
and
 
reputational
 
damage.
 
Other
 
legal
 
disputes
 
may
also
 
arise
 
between
 
the
 
Barclays
 
Bank
 
Group
 
and
 
defaulting
 
borrowers
 
relating
 
to
 
matters
 
such
 
as
 
breaches
 
or
 
enforcement
 
of
 
legal
rights
 
or
 
obligations
 
arising
 
under
 
loan
 
and
 
other
 
credit
 
agreements.
 
Adverse
 
findings
 
in
 
any
 
such
 
matters
 
may
 
result
 
in
 
the
 
Barclays
Bank
 
Group’s
 
rights
 
not
 
being
 
enforced
 
as
 
intended.
 
For
 
further
 
details
 
on
 
legal
 
risk
 
and
 
legal,
 
competition
 
and
 
regulatory
 
matters,
refer
 
to
 
Note
 
14
 
on
 
page
 
38.
The
 
actions
 
taken
 
by
 
various
 
governments
 
and
 
central
 
banks,
 
in
 
particular
 
in
 
the
 
United
 
Kingdom
 
and
 
the
 
United
 
States,
 
may
indicate
 
a
 
view
 
on
 
the
 
potential
 
severity
 
of
 
any
 
economic
 
downturn
 
and
 
post
 
recovery
 
environment,
 
which
 
from
 
a
 
commercial,
regulatory
 
and
 
risk
 
perspective
 
could
 
be
 
significantly
 
different
 
to
 
past
 
crises
 
and
 
persist
 
for
 
a
 
prolonged
 
period.
 
The
 
COVID
 
-19
pandemic
 
has
 
led
 
to
 
a
 
weakening
 
in
 
GDP
 
in
 
most
 
jurisdictions
 
in
 
which
 
the
 
Barclays
 
Bank
 
Group
 
operates
 
and
 
an
 
expectation
 
of
higher
 
unemployment
 
and
 
lower
 
house
 
prices
 
in
 
those
 
same
 
jurisdictions.
 
These
 
factors
 
all
 
have
 
a
 
significant
 
impact
 
on
 
the
 
 
bbplch120p2i0.gif
Risk
 
Management
 
 
 
 
Barclays
 
Bank
 
PLC
 
7
 
 
modelling
 
of
 
expected
 
credit
 
losses
 
(ECL)
 
by
 
the
 
Barclays
 
Bank
 
Group
 
.
 
As
 
a
 
result,
 
the
 
Barclays
 
Bank
 
Group
 
has
 
experienced
 
higher
ECLs
 
during
 
the
 
first
 
half
 
of
 
2020
 
compared
 
to
 
prior
 
periods
 
and
 
this
 
trend
 
may
 
continue
 
in
 
the
 
second
 
half
 
of
 
2020.
 
The
 
economic
environment
 
remains
 
uncertain
 
and
 
future
 
impairment
 
charges
 
may
 
be
 
subject
 
to
 
further
 
volatility
 
(including
 
from
 
changes
 
to
macroeconomic
 
variable
 
forecasts)
 
depending
 
on
 
the
 
longevity
 
of
 
the
 
COVID
 
-19
 
pandemic
 
and
 
related
 
containment
 
measures,
 
as
well
 
as
 
the
 
longer
 
term
 
effectiveness
 
of
 
central
 
bank,
 
government
 
and
 
other
 
support
 
measures.
 
For
 
further
 
details
 
on
macroeconomic
 
variables
 
used
 
in
 
the
 
calculation
 
of
 
ECLs,
 
refer
 
to
 
page
 
12.
 
In
 
addition,
 
ECLs
 
may
 
be
 
adversely
 
impacted
 
by
increased
 
levels
 
of
 
default
 
for
 
single
 
name
 
exposures
 
in
 
certain
 
sectors
 
directly
 
impacted
 
by
 
the
 
COVID
 
-19
 
pandemic
 
(such
 
as
 
the
 
oil
and
 
gas,
 
retail,
 
airline,
 
and
 
hospitality
 
and
 
leisure
 
sectors).
 
Furthermore,
 
the
 
Barclays
 
Bank
 
Group
 
relies
 
on
 
models
 
to
 
support
 
a
 
broad
 
range
 
of
 
business
 
and
 
risk
 
management
 
activities,
including
 
informing
 
business
 
decisions
 
and
 
strategies,
 
measuring
 
and
 
limiting
 
risk,
 
valuing
 
exposures
 
(including
 
the
 
calculation
 
of
impairment),
 
conducting
 
stress
 
testing
 
and
 
assessing
 
capital
 
adequacy.
 
Models
 
are,
 
by
 
their
 
nature,
 
imperfect
 
and
 
incomplete
representations
 
of
 
reality
 
because
 
they
 
rely
 
on
 
assumptions
 
and
 
inputs,
 
and
 
so
 
they
 
may
 
be
 
subject
 
to
 
errors
 
affecting
 
the
 
accuracy
of
 
their
 
outputs
 
and/or
 
misused.
 
This
 
may
 
be
 
exacerbated
 
when
 
dealing
 
with
 
unprecedented
 
scenarios,
 
such
 
as
 
the
 
COVID
 
-19
pandemic,
 
due
 
to
 
the
 
lack
 
of
 
reliable
 
historical
 
reference
 
points
 
and
 
data.
 
For
 
further
 
details
 
on
 
model
 
risk,
 
refer
 
to
 
page
 
48
 
of
 
the
Barclays
 
Bank
 
PLC
 
Annual
 
Report
 
2019.
The
 
disruptio
 
n
 
to
 
economic
 
activity
 
globally
 
caused
 
by
 
the
 
COVID
 
-19
 
pandemic
 
could
 
adversely
 
impact
 
the
 
Barclays
 
Bank
 
Group's
other
 
assets
 
such
 
as
 
goodwill
 
and
 
intangi
 
bles,
 
and
 
the
 
value
 
of
 
Barclays
 
Bank
 
PLC
 
’s
 
investments
 
in
 
subsidiaries.
 
It
 
could
 
also
 
impact
the
 
Barclays
 
Bank
 
Group's
 
income
 
due
 
to
 
lower
 
lending
 
and
 
transaction
 
volumes
 
due
 
to
 
volatility
 
or
 
weakness
 
in
 
the
 
capital
markets.
 
Other
 
potential
 
risks
 
include
 
credit
 
rating
 
migration
 
which
 
could
 
negatively
 
impact
 
the
 
Barclays
 
Bank
 
Group's
 
RWAs
 
and
capita
 
l
 
position,
 
and
 
potential
 
liquidity
 
stress
 
due
 
to
 
(among
 
other
 
things)
 
increased
 
customer
 
drawdowns,
 
notwithstanding
 
the
significant
 
initiatives
 
that
 
governments
 
and
 
central
 
banks
 
have
 
put
 
in
 
place
 
to
 
support
 
funding
 
and
 
liquidity.
 
Furthermore,
 
a
significant
 
increase
 
in
 
the
 
utilisation
 
of
 
credit
 
cards
 
by
 
customers
 
could
 
have
 
a
 
negative
 
impact
 
on
 
the
 
Barclays
 
Bank
 
Group's
 
RWAs
and
 
capital
 
position.
Central
 
bank
 
and
 
government
 
actions
 
and
 
other
 
support
 
measures
 
taken
 
in
 
response
 
to
 
the
 
COVID
 
-19
 
pandemic
 
may
 
also
 
create
restrictions
 
in
 
relation
 
to
 
capital.
 
Restrictions
 
imposed
 
by
 
governments
 
and/or
 
regulators
 
may
 
further
 
limit
 
management’s
 
flexibility
in
 
managing
 
the
 
business
 
and
 
taking
 
action
 
in
 
relation
 
to
 
capital
 
distributions
 
and
 
capital
 
allocation.
Any
 
and
 
all
 
such
 
events
 
mentioned
 
above
 
could
 
have
 
a
 
material
 
adverse
 
effect
 
on
 
the
 
Barclays
 
Bank
 
Group's
 
business,
 
financial
condition,
 
results
 
of
 
operations,
 
prospects,
 
liquidity,
 
capital
 
position
 
and
 
credit
 
ratings
 
(including
 
potential
 
credit
 
rating
 
agency
changes
 
of
 
outlooks
 
or
 
ratings),
 
as
 
well
 
as
 
on
 
the
 
Barclays
 
Bank
 
Group's
 
customers,
 
employees
 
and
 
suppliers.
 
 
bbplch120p2i0.gif
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Credit
 
Risk
 
 
 
 
Barclays
 
Bank
 
PLC
 
8
 
 
Loans
 
and
 
advances
 
at
 
amortised
 
cost
 
by
 
product
The
 
table
 
below
 
presents
 
a
 
breakdown
 
of
 
loans
 
and
 
advances
 
at
 
amortised
 
cost
 
and
 
the
 
impairment
 
allowance
 
with
 
stage
allocation
 
by
 
asset
 
classification
 
.
Impairment
 
allowance
 
under
 
IFRS
 
9
 
considers
 
both
 
the
 
drawn
 
and
 
the
 
undrawn
 
counterparty
 
exposure.
 
For
 
retail
 
portfolios,
 
the
total
 
impairment
 
allowance
 
is
 
allocated
 
to
 
the
 
drawn
 
exposure
 
to
 
the
 
extent
 
that
 
the
 
allowance
 
does
 
not
 
exceed
 
the
 
exposure,
 
as
ECL
 
is
 
not
 
reported
 
separately.
 
Any
 
excess
 
is
 
reported
 
on
 
the
 
liability
 
side
 
of
 
the
 
balance
 
sheet
 
as
 
a
 
provision.
 
For
 
wholesale
portfolios,
 
the
 
impairment
 
allowance
 
on
 
the
 
undrawn
 
exposure
 
is
 
reported
 
on
 
the
 
liability
 
side
 
of
 
the
 
balance
 
sheet
 
as
 
a
 
provision.
Stage
 
2
As
 
at
 
30.06.20
Stage
 
1
Not
 
past
due
<=30
 
days
past
 
due
>30
 
days
past
 
due
Total
Stage
 
3
Total
1
Gross
 
exposure
£m
£m
£m
£m
£m
£m
£m
Home
 
loans
9,670
638
62
179
879
1,142
11,691
Credit
 
cards,
 
unsecured
 
loans
 
and
 
other
 
retail
 
lending
20,659
6,077
206
348
6,631
2,036
29,326
Wholesale
 
loans
75,699
33,288
2,961
634
36,883
2,161
114,743
Total
106,028
40,003
3,229
1,161
44,393
5,339
155,760
Impairment
 
allowance
Home
 
loans
12
28
11
15
54
350
416
Credit
 
cards,
 
unsecured
 
loans
 
and
 
other
 
retail
 
lending
456
1,096
86
158
1,340
1,511
3,307
Wholesale
 
loans
206
654
92
24
770
858
1,834
Total
674
1,778
189
197
2,164
2,719
5,557
Net
 
exposure
Home
 
loans
9,658
610
51
164
825
792
11,275
Credit
 
cards,
 
unsecured
 
loans
 
and
 
other
 
retail
 
lending
20,203
4,981
120
190
5,291
525
26,019
Wholesale
 
loans
75,493
32,634
2,869
610
36,113
1,303
112,909
Total
105,354
38,225
3,040
964
42,229
2,620
150,203
Coverage
 
ratio
%
%
%
%
%
%
%
Home
 
loans
0.1
4.4
17.7
8.4
6.1
30.6
3.6
Credit
 
cards,
 
unsecured
 
loans
 
and
 
other
 
retail
 
lending
2.2
18.0
41.7
45.4
20.2
74.2
11.3
Wholesale
 
loans
0.3
2.0
3.1
3.8
2.1
39.7
1.6
Total
0.6
4.4
5.9
17.0
4.9
50.9
3.6
As
 
at
 
31.12.19
Gross
 
exposure
£m
£m
£m
£m
£m
£m
£m
Home
 
loans
9,604
544
48
82
674
1,056
11,334
Credit
 
cards,
 
unsecured
 
loans
 
and
 
other
 
retail
 
lending
29,541
3,806
304
340
4,450
2,129
36,120
Wholesale
 
loans
89,200
6,489
354
672
7,515
1,163
97,878
Total
128,345
10,839
706
1,094
12,639
4,348
145,332
Impairment
 
allowance
Home
 
loans
16
24
9
7
40
292
348
Credit
 
cards,
 
unsecured
 
loans
 
and
 
other
 
retail
 
lending
362
523
99
162
784
1,471
2,617
Wholesale
 
loans
114
219
8
7
234
383
731
Total
492
766
116
176
1,058
2,146
3,696
Net
 
exposure
Home
 
loans
9,588
520
39
75
634
764
10,986
Credit
 
cards,
 
unsecured
 
loans
 
and
 
other
 
retail
 
lending
29,179
3,283
205
178
3,666
658
33,503
Wholesale
 
loans
89,086
6,270
346
665
7,281
780
97,147
Total
127,853
10,073
590
918
11,581
2,202
141,636
Coverage
 
ratio
%
%
%
%
%
%
%
Home
 
loans
0.2
4.4
18.8
8.5
5.9
27.7
3.1
Credit
 
cards,
 
unsecured
 
loans
 
and
 
other
 
retail
 
lending
1.2
13.7
32.6
47.6
17.6
69.1
7.2
Wholesale
 
loans
0.1
3.4
2.3
1.0
3.1
32.9
0.7
Total
0.4
7.1
16.4
16.1
8.4
49.4
2.5
 
1
 
Other
 
financial
 
assets
 
subject
 
to
 
impairment
 
excluded
 
in
 
the
 
table
 
above
 
include
 
cash
 
collateral
 
and
 
settlement
 
balances,
 
financial
 
assets
 
at
 
fair
 
value
 
through
 
other
comprehensive
 
income,
 
accrued
 
income
 
and
 
sundry
 
debtors.
 
These
 
have
 
a
 
total
 
gross
 
exposure
 
of
 
£187.1bn
 
(December
 
2019:
 
£125.5bn)
 
and
 
impairment
 
allowance
 
of
£168m
 
(December
 
2019:
 
£22m).
 
This
 
comprises
 
£33m
 
(December
 
2019:
 
£10m)
 
ECL
 
on
 
£181.7bn
 
(December
 
2019:
 
£124.7bn)
 
Stage
 
1
 
assets,
 
£20m
 
(December
 
2019:
 
£2m)
on
 
£5.3bn
 
(December
 
2019:
 
£0.8bn)
 
Stage
 
2
 
fair
 
value
 
through
 
other
 
comprehensive
 
income
 
assets
 
and
 
£115m
 
(December
 
2019:
 
£10m)
 
on
 
£115m
 
(December
 
2019:
 
£10m)
Stage
 
3
 
other
 
assets.
 
Loan
 
commitments
 
and
 
financial
 
guarantee
 
contracts
 
have
 
total
 
ECL
 
of
 
£593m
 
(December
 
2019:
 
£252m).
 
 
bbplch120p2i0.gif
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Credit
 
Risk
 
 
 
 
Barclays
 
Bank
 
PLC
 
9
 
 
Movement
 
in
 
gross
 
exposures
 
and
 
impairment
 
allowance
 
including
 
provisions
 
for
 
loan
commitments
 
and
 
financial
 
guarantees
 
The
 
following
 
tables
 
present
 
a
 
reconciliation
 
of
 
the
 
opening
 
to
 
the
 
closing
 
balance
 
of
 
the
 
exposure
 
and
 
impairment
 
allowance.
Explanation
 
of
 
the
 
terms:
 
12-month
 
ECL,
 
lifetime
 
ECL
 
and
 
credit
 
-impaired
 
are
 
included
 
in
 
the
 
Barclays
 
Bank
 
PLC
 
Annual
 
Report
 
2019
on
 
page
 
149.
 
Barclays
 
Bank
 
Group
 
does
 
not
 
hold
 
any
 
material
 
purchased
 
or
 
originated
 
credit
 
-impaired
 
assets
 
as
 
at
 
period
 
end.
Transfers
 
between
 
stages
 
in
 
the
 
tables
 
have
 
been
 
reflected
 
as
 
if
 
they
 
had
 
taken
 
place
 
at
 
the
 
beginning
 
of
 
the
 
year.
 
The
 
movements
are
 
measured
 
over
 
a
 
6-month
 
period.
 
Loans
 
and
 
advances
 
at
 
amortised
 
cost
Stage
 
1
Stage
 
2
Stage
 
3
Total
Gross
exposure
ECL
Gross
exposure
ECL
Gross
exposure
ECL
Gross
exposure
ECL
£m
£m
£m
£m
£m
£m
£m
£m
Home
 
loans
As
 
at
 
1
 
January
 
2020
9,604
16
674
40
1,056
292
11,334
348
Transfers
 
from
 
Stage
 
1
 
to
 
Stage
 
2
(394)
(1)
394
1
-
-
-
-
Transfers
 
from
 
Stage
 
2
 
to
 
Stage
 
1
114
3
(114)
(3)
-
-
-
-
Transfers
 
to
 
Stage
 
3
(64)
-
(67)
(6)
131
6
-
-
Transfers
 
from
 
Stage
 
3
17
-
31
1
(48)
(1)
-
-
Business
 
activity
 
in
 
the
 
year
410
-
-
-
-
-
410
-
Net
 
drawdowns,
 
repayments,
 
net
 
re-
measurement
 
and
 
movement
 
due
 
to
 
exposure
and
 
risk
 
parameter
 
changes
334
(6)
28
22
39
61
401
77
Final
 
repayments
(351)
-
(67)
(1)
(29)
(1)
(447)
(2)
Disposals
-
-
-
-
-
-
-
-
Write
 
-offs
1
-
-
-
-
(7)
(7)
(7)
(7)
As
 
at
 
30
 
June
 
2020
2
9,670
12
879
54
1,142
350
11,691
416
Credit
 
cards,
 
unsecured
 
loans
 
and
 
other
 
retail
 
lending
As
 
at
 
1
 
January
 
2020
29,541
362
4,450
784
2,129
1,471
36,120
2,617
Transfers
 
from
 
Stage
 
1
 
to
 
Stage
 
2
(3,520)
(78)
3,520
78
-
-
-
-
Transfers
 
from
 
Stage
 
2
 
to
 
Stage
 
1
948
134
(948)
(134)
-
-
-
-
Transfers
 
to
 
Stage
 
3
(153)
(10)
(397)
(171)
550
181
-
-
Transfers
 
from
 
Stage
 
3
21
4
50
5
(71)
(9)
-
-
Business
 
activity
 
in
 
the
 
year
2,416
23
66
11
5
1
2,487
35
Net
 
drawdowns,
 
repayments,
 
net
 
re-
measurement
 
and
 
movement
 
due
 
to
 
exposure
and
 
risk
 
parameter
 
changes
(3,447)
55
259
824
160
513
(3,028)
1,392
Final
 
repayments
(1,472)
(10)
(94)
(12)
(63)
(4)
(1,629)
(26)
Transfers
 
to
 
Barclays
 
Group
3
(2,182)
(16)
(92)
(25)
(47)
(41)
(2,321)
(82)
Disposals
4
(1,493)
(8)
(183)
(20)
(71)
(45)
(1,747)
(73)
Write
 
-offs
1
-
-
-
-
(556)
(556)
(556)
(556)
As
 
at
 
30
 
June
 
2020
2
20,659
456
6,631
1,340
2,036
1,511
29,326
3,307
 
1
 
In
 
H1
 
2020,
 
gross
 
write
 
-offs
 
amounted
 
to
 
£643m
 
(H1
 
2019:
 
£627m)
 
and
 
post
 
write
 
-off
 
recoveries
 
amounted
 
to
 
£1m
 
(H1
 
2019:
 
£47m).
 
Net
 
write
 
-offs
 
represent
 
gross
write
 
-offs
 
less
 
post
 
write
 
-off
 
recoveries
 
and
 
amounted
 
to
 
£642m
 
(H1
 
2019:
 
£580m).
2
 
Other
 
financial
 
assets
 
subject
 
to
 
impairment
 
excluded
 
in
 
the
 
table
 
s
 
above
 
include
 
cash
 
collateral
 
and
 
settlement
 
balances,
 
financial
 
assets
 
at
 
fair
 
value
 
through
 
other
comprehensive
 
income
 
and
 
other
 
assets.
 
These
 
have
 
a
 
total
 
gross
 
exposure
 
of
 
£187.1
 
bn
 
(December
 
2019:
 
£125.5bn)
 
and
 
impairment
 
allow
 
ance
 
of
 
£168m
 
(December
2019:
 
£22m).
 
This
 
comprises
 
£33m
 
ECL
 
(December
 
2019:
 
£10m)
 
on
 
£181.7bn
 
Stage
 
1
 
assets
 
(December
 
2019:
 
£1
 
24.7bn),
 
£20m
 
(December
 
2019:
 
£2m)
 
on
 
£5.3bn
Stage
 
2
 
fair
 
value
 
through
 
other
 
comprehensive
 
income
 
assets,
 
cash
 
collateral
 
and
 
settlement
 
assets
 
(December
 
2019:
 
£0.8bn)
 
and
 
£115m
 
(Dece
 
mber
 
2019:
 
£10m)
on
 
£115m
 
Stage
 
3
 
other
 
assets
 
(December
 
2019:
 
£10m).
3
 
Transfers
 
to
 
Barclays
 
Group
 
reported
 
within
 
Credit
 
cards,
 
unsecured
 
loans
 
and
 
other
 
retail
 
lending
 
portfolio
 
includes
 
the
 
transfer
 
of
 
the
 
Barclays
 
Partner
 
Finance
retail
 
portfolio
 
to
 
Barclays
 
Principal
 
Investments
 
Limited
 
during
 
the
 
period.
4
 
Disposals
 
reported
 
within
 
Credit
 
cards,
 
unsecured
 
loans
 
and
 
other
 
retail
 
lending
 
portfolio
 
include
 
sale
 
of
 
the
 
motor
 
financing
 
business
 
from
 
the
 
Barclays
 
Partner
Finance
 
business.
 
 
bbplch120p2i0.gif
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Credit
 
Risk
 
 
 
 
Barclays
 
Bank
 
PLC
 
10
 
 
Loans
 
and
 
advances
 
at
 
amortised
 
cost
Stage
 
1
Stage
 
2
Stage
 
3
Total
Gross
exposure
ECL
Gross
exposure
ECL
Gross
exposure
ECL
Gross
exposure
ECL
£m
£m
£m
£m
£m
£m
£m
£m
Wholesale
 
loans
As
 
at
 
1
 
January
 
2020
89,200
114
7,515
234
1,163
383
97,878
731
Transfers
 
from
 
Stage
 
1
 
to
 
Stage
 
2
(24,051)
(55)
24,051
55
-
-
-
-
Transfers
 
from
 
Stage
 
2
 
to
 
Stage
 
1
1,589
12
(1,589)
(12)
-
-
-
-
Transfers
 
to
 
Stage
 
3
(688)
(2)
(507)
(39)
1,195
41
-
-
Transfers
 
from
 
Stage
 
3
139
-
109
1
(248)
(1)
-
-
Business
 
activity
 
in
 
the
 
year
19,309
19
4,128
212
42
12
23,479
243
Net
 
drawdowns,
 
repayments,
 
net
 
re-
measurement
 
and
 
movement
 
due
 
to
 
exposure
and
 
risk
 
parameter
 
changes
10,474
136
4,791
334
349
539
15,614
1,009
Final
 
repayments
(20,273)
(18)
(1,606)
(15)
(260)
(36)
(22,139)
(69)
Disposals
-
-
(9)
-
-
-
(9)
-
Write
 
-offs
1
-
-
-
-
(80)
(80)
(80)
(80)
As
 
at
 
30
 
June
 
2020
2
75,699
206
36,883
770
2,161
858
114,743
1,834
Reconciliation
 
of
 
ECL
 
movement
 
to
 
impairment
 
charge/(release)
 
for
 
the
 
period
£m
Home
 
loans
75
Credit
 
cards,
 
unsecured
 
loans
 
and
 
other
 
retail
 
lending
1,319
Wholesale
 
loans
1,183
ECL
 
movement
 
excluding
 
assets
 
derecognised
 
due
 
to
 
disposals
 
and
 
write-offs
2,577
Recoveries
 
and
 
reimbursements
3
(280)
Exchange
 
and
 
other
 
adjustments
4
(103)
Impairment
 
charge
 
on
 
loan
 
commitments
 
and
 
other
 
financial
 
guarantees
331
Impairment
 
charge
 
on
 
other
 
financial
 
assets
2
149
As
 
at
 
30
 
June
 
2020
2,674
 
1
 
In
 
H1
 
2020,
 
gross
 
write
 
-offs
 
amounted
 
to
 
£643m
 
(H1
 
2019:
 
£627m)
 
and
 
post
 
write
 
-off
 
recoveries
 
amounted
 
to
 
£1m
 
(H1
 
2019:
 
£47m).
 
Net
 
write
 
-offs
 
represent
 
gross
write
 
-offs
 
less
 
post
 
write
 
-off
 
recoveries
 
and
 
amounted
 
to
 
£642m
 
(H1
 
2019:
 
£580m).
2
 
Other
 
financial
 
assets
 
subject
 
to
 
impairment
 
excluded
 
from
 
the
 
tables
 
above
 
include
 
cash
 
collateral
 
and
 
settlement
 
balances,
 
financial
 
assets
 
at
 
fair
 
value
 
through
other
 
comprehensive
 
income
 
and
 
other
 
assets.
 
These
 
have
 
a
 
total
 
gross
 
exposure
 
of
 
£187.1bn
 
(December
 
2019:
 
£125.5bn)
 
and
 
impairment
 
allowance
 
of
 
£168m
(December
 
2019:
 
£22m).
 
This
 
comprises
 
£33m
 
ECL
 
(December
 
2019:
 
£10m)
 
on
 
£181.7
 
bn
 
Stage
 
1
 
assets
 
(December
 
2019:
 
£124.7bn),
 
£20m
 
(December
 
2019:
 
£2m)
 
on
£5.3bn
 
Stage
 
2
 
fair
 
value
 
through
 
other
 
comprehensive
 
income
 
assets,
 
cash
 
collateral
 
and
 
settle
 
ment
 
assets
 
(December
 
2019:
 
£0.8bn)
 
and
 
£115m
 
(Dece
 
mber
 
2019:
£10m)
 
on
 
£115m
 
Stage
 
3
 
other
 
assets
 
(December
 
2019:
 
£10m).
 
3
 
Recoveries
 
and
 
reimbursements
 
includes
 
a
 
net
 
gain
 
in
 
relation
 
to
 
reimbursements
 
from
 
guarantee
 
contracts
 
held
 
with
 
third
 
parties
 
of
 
£279m
 
and
 
post
 
write
 
off
recoveries
 
of
 
£1m.
4
 
Includes
 
foreign
 
exchange
 
and
 
interest
 
and
 
fees
 
in
 
suspense.
 
 
bbplch120p2i0.gif
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Credit
 
Risk
 
 
 
 
Barclays
 
Bank
 
PLC
 
11
 
 
Loan
 
commitments
 
and
 
financial
 
guarantees
Stage
 
1
Stage
 
2
Stage
 
3
Total
Gross
exposure
ECL
Gross
exposure
ECL
Gross
exposure
ECL
Gross
exposure
ECL
£m
£m
£m
£m
£m
£m
£m
£m
Home
 
loans
As
 
at
 
1
 
January
 
2020
34
-
-
-
-
-
34
-
Net
 
transfers
 
between
 
stages
-
-
-
-
-
-
-
-
Business
 
activity
 
in
 
the
 
year
136
-
-
-
-
-
136
-
Net
 
drawdowns,
 
repayments,
 
net
 
re-
measurement
 
and
 
movement
 
due
 
to
 
exposure
and
 
risk
 
parameter
 
changes
10
-
-
-
-
-
10
-
Limit
 
management
(19)
-
-
-
-
-
(19)
-
As
 
at
 
30
 
June
 
2020
161
-
-
-
-
-
161
-
Credit
 
cards,
 
unsecured
 
loans
 
and
 
other
 
retail
 
lending
As
 
at
 
1
 
January
 
2020
78,257
22
2,053
15
67
14
80,377
51
Net
 
transfers
 
between
 
stages
(2,633)
2
2,394
(1)
239
(1)
-
-
Business
 
activity
 
in
 
the
 
year
3,641
1
57
-
1
1
3,699
2
Net
 
drawdowns,
 
repayments,
 
net
 
re-
measurement
 
and
 
movement
 
due
 
to
 
exposure
and
 
risk
 
parameter
 
changes
5,735
16
(74)
27
(273)
7
5,388
50
Limit
 
management
(5,165)
-
(261)
-
(4)
(3)
(5,430)
(3)
As
 
at
 
30
 
June
 
2020
79,835
41
4,169
41
30
18
84,034
100
Wholesale
 
loans
As
 
at
 
1
 
January
 
2020
183,001
63
12,053
97
636
41
195,690
201
Net
 
transfers
 
between
 
stages
(38,412)
(22)
37,380
15
1,032
7
-
-
Business
 
activity
 
in
 
the
 
year
24,878
7
3,389
30
107
-
28,374
37
Net
 
drawdowns,
 
repayments,
 
net
 
re-
measurement
 
and
 
movement
 
due
 
to
 
exposure
and
 
risk
 
parameter
 
changes
10,996
13
794
285
(232)
(18)
11,558
280
Limit
 
management
(36,233)
(7)
(2,764)
(18)
(239)
-
(39,236)
(25)
As
 
at
 
30
 
June
 
2020
144,230
54
50,852
409
1,304
30
196,386
493
 
 
bbplch120p2i0.gif
Credit
 
Risk
 
 
 
 
Barclays
 
Bank
 
PLC
 
12
 
 
Measurement
 
uncertainty
The
 
Barclays
 
Bank
 
Group
 
uses
 
a
 
five-scenario
 
model
 
to
 
calculate
 
ECL.
 
Absent
 
the
 
conditions
 
surrounding
 
the
 
COVID
 
-19
 
pandemic,
 
a
Baseline
 
scenario
 
is
 
typically
 
generated
 
based
 
on
 
an
 
external
 
consensus
 
forecast
 
assembled
 
from
 
key
 
sources,
 
including
 
HM
Treasury
 
(short
 
and
 
medium-term
 
forecasts),
 
Bloomberg
 
(based
 
on
 
median
 
of
 
economic
 
forecasts)
 
and
 
the
 
Urban
 
Land
 
Institute
(for
 
US
 
House
 
Prices).
 
In
 
addition,
 
two
 
adverse
 
scenarios
 
(Downside
 
1
 
and
 
Downside
 
2)
 
and
 
two
 
favourable
 
scenarios
 
(Upside
 
1
 
and
Upside
 
2)
 
are
 
derived,
 
with
 
associated
 
probability
 
weightings.
 
The
 
adverse
 
scenarios
 
are
 
typically
 
calibrated
 
to
 
a
 
similar
 
severity
 
to
internal
 
stress
 
tests,
 
whilst
 
also
 
considering
 
IFRS
 
9
 
specific
 
sensitivities
 
and
 
non-linearity.
 
Downside
 
2
 
is
 
typically
 
benchmarked
 
to
the
 
Bank
 
of
 
England’s
 
annual
 
cyclical
 
scenarios
 
and
 
to
 
the
 
most
 
severe
 
scenario
 
from
 
Moody’s
 
inventory,
 
but
 
is
 
not
 
designed
 
to
 
be
the
 
same.
 
The
 
favourable
 
scenarios
 
are
 
generally
 
calibrated
 
to
 
be
 
symmetric
 
to
 
the
 
adverse
 
scenarios,
 
subject
 
to
 
a
 
ceiling
 
calibrated
to
 
relevant
 
recent
 
favourable
 
benchmark
 
scenarios.
 
The
 
scenarios
 
include
 
eight
 
economic
 
variables
 
(GDP,
 
unemployment,
 
House
Price
 
Index
 
(HPI)
 
and
 
base
 
rates
 
in
 
both
 
the
 
UK
 
and
 
US
 
markets),
 
and
 
expanded
 
variables
 
using
 
statistical
 
models
 
based
 
on
 
historical
correlations.
 
The
 
upside
 
and
 
downside
 
shocks
 
are
 
designed
 
to
 
evolve
 
over
 
a
 
five-year
 
stress
 
horizon,
 
with
 
all
 
five
 
scenarios
converging
 
to
 
a
 
steady
 
state
 
after
 
approximately
 
eight
 
years.
 
To
 
calculate
 
ECL
 
a
 
probability
 
weight
 
is
 
assigned
 
to
 
each
 
scenario.
 
Following
 
the
 
onset
 
of
 
the
 
COVID
 
-19
 
pandemic,
 
the
 
Barclays
 
Bank
 
Group
 
generated
 
a
 
Baseline
 
scenario
 
in
 
March
 
2020
 
that
reflected
 
the
 
most
 
recent
 
economic
 
forecasts
 
available
 
in
 
the
 
market
 
(combined
 
with
 
internal
 
assumptions)
 
and
 
estimated
 
impacts
from
 
significant
 
support
 
measures
 
taken
 
by
 
Barclays,
 
central
 
banks
 
and
 
governments
 
across
 
the
 
Barclays
 
Bank
 
Group’s
 
key
 
markets.
This
 
scenario
 
assumed
 
a
 
strong
 
contraction
 
in
 
GDP
 
and
 
a
 
sharp
 
rise
 
in
 
unemployment
 
in
 
2020
 
across
 
both
 
the
 
UK
 
and
 
US,
 
and
required
 
a
 
recalibration
 
of
 
probability
 
weights.
 
This
 
scenario
 
was
 
superseded
 
by
 
a
 
further
 
revised
 
Baseline
 
scenario
 
generated
 
in
June
 
2020,
 
based
 
broadly
 
on
 
the
 
latest
 
economic
 
forecasts
 
which
 
recognise
 
some
 
the
 
impacts
 
from
 
the
 
various
 
support
 
measures
still
 
in
 
place
 
across
 
the
 
Barclays
 
Bank
 
Group’s
 
key
 
markets.
 
Upside
 
and
 
downside
 
scenarios
 
were
 
also
 
regenerated
 
in
 
June
 
2020
(together
 
with
 
the
 
revised
 
Baseline
 
scenario,
 
the
 
“COVID
 
-19
 
Scenarios”).
 
The
 
downside
 
scenarios
 
reflect
 
slower
 
economic
 
growth
than
 
the
 
Baseline
 
with
 
social
 
distancing
 
measures
 
continuing
 
to
 
drag
 
GDP.
 
Economic
 
growth
 
begins
 
to
 
recover
 
later
 
in
 
2020
 
in
Downside
 
1
 
but
 
only
 
in
 
2021
 
in
 
the
 
Downside
 
2
 
scenario.
 
The
 
upside
 
scenarios
 
reflect
 
a
 
fast
 
er
 
rebound
 
in
 
economic
 
growth
 
than
 
the
Baseline
 
with
 
a
 
sharp
 
decrease
 
in
 
infection
 
rates
 
and
 
an
 
almost
 
fully
 
reopened
 
economy.
 
Scenario
 
weights
 
were
 
also
 
revised
 
in
 
June
2020
 
with
 
greater
 
weight
 
being
 
applied
 
to
 
the
 
tail
 
scenarios
 
(Upside
 
2
 
and
 
Downside
 
2).
 
This
 
reflects
 
the
 
significant
 
range
 
of
uncertainty
 
in
 
the
 
economic
 
environment
 
compared
 
to
 
previous
 
quarters
 
given
 
the
 
conditions
 
surrounding
 
the
 
COVID
 
-19
pandemic.
The
 
economic
 
environment
 
remains
 
uncertain
 
and
 
future
 
impairment
 
charges
 
may
 
be
 
subject
 
to
 
further
 
volatility
 
(including
 
from
changes
 
to
 
macroeconomic
 
variable
 
forecasts)
 
depending
 
on
 
the
 
longevity
 
of
 
the
 
COVID
 
-19
 
pandemic
 
and
 
related
 
containment
measures,
 
as
 
well
 
as
 
the
 
longer
 
term
 
effectiveness
 
of
 
central
 
bank,
 
government
 
and
 
other
 
support
 
measures.
The
 
tables
 
on
 
next
 
page
 
show
 
the
 
key
 
macroeconomic
 
variables
 
used
 
in
 
the
 
COVID
 
-19
 
Baseline
 
scenario
 
and
 
the
 
probability
 
weights
applied
 
to
 
each
 
respective
 
scenario.
 
 
 
 
bbplch120p2i0.gif
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Credit
 
Risk
 
 
 
 
Barclays
 
Bank
 
PLC
 
13
 
 
Baseline
 
average
 
macroeconomic
 
variables
 
used
 
in
 
the
 
calculation
 
of
 
ECL
2020
2021
2022
Expected
 
Worst
Point
 
As
 
at
 
30.06.20
 
%
 
%
%
 
%
UK
 
GDP
1
(8.7)
6.1
2.9
(51.4)
UK
 
unemployment
2
6.6
6.5
4.4
8.0
UK
 
HPI
3
0.6
2.0
-
(1.5)
UK
 
bank
 
rate
0.2
0.1
0.1
0.1
US
 
GDP
1
(4.2)
4.4
(0.3)
(30.4)
US
 
unemployment
4
9.3
7.6
5.5
13.4
US
 
HPI
5
1.1
1.8
(0.8)
(1.9)
US
 
federal
 
funds
 
rate
0.5
0.3
0.3
0.3
 
1
 
Avera
 
ge
 
Real
 
GDP
 
seasonally
 
adjusted
 
change
 
in
 
year;
 
expected
 
worst
 
point
 
using
 
Seasonally
 
Adjusted
 
Annual
 
Rate,
 
SAAR.
2
 
Average
 
UK
 
unemployment
 
rate
 
16-year+.
3
 
Change
 
in
 
average
 
yearly
 
UK
 
HPI
 
=
 
Halifax
 
All
 
Houses,
 
All
 
Buyers
 
index,
 
relative
 
to
 
prior
 
year
 
end;
 
worst
 
point
 
is
 
based
 
on
 
cumulative
 
drawdown
 
in
 
year
 
relative
 
to
prior
 
year
 
end.
4
 
Average
 
US
 
civilian
 
unemployment
 
rate
 
16-year+.
5
 
Change
 
in
 
average
 
yearly
 
US
 
HPI
 
=
 
FHFA
 
house
 
price
 
index,
 
relative
 
to
 
prior
 
year
 
end;
 
worst
 
point
 
is
 
based
 
on
 
cumulative
 
drawdown
 
in
 
year
 
relative
 
to
 
prior
 
year
 
end.
 
 
 
Scenario
 
probability
 
weighting
Upside
 
2
Upside
 
1
Baseline
Downside
 
1
Downside
 
2
 
%
 
%
 
%
 
%
 
%
As
 
at
 
30.06.20
Scenario
 
probability
 
weighting
20.3
22.4
25.4
17.5
14.4
As
 
at
 
31.12.19
Scenario
 
probability
 
weighting
10.1
23.1
40.8
22.7
3.3
 
 
bbplch120p2i0.gif
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Credit
 
Risk
 
 
 
 
Barclays
 
Bank
 
PLC
 
14
 
 
Macroeconomic
 
variables
 
(specific
 
bases)
1
Upside
 
2
Upside
 
1
Baseline
Downside
 
1
Downside
 
2
As
 
at
 
30.06.20
 
%
 
%
 
%
 
%
 
%
UK
 
GDP
2
32.7
26.4
5.4
1.6
1.2
UK
 
unemployment
3
3.5
3.6
4.9
9.6
10.9
UK
 
HPI
4
45.3
27.2
2.3
(15.0)
(33.4)
UK
 
bank
 
rate
3
0.1
0.1
0.2
0.3
0.2
US
 
GDP
2
19.1
13.5
3.3
2.0
(3.1)
US
 
unemployment
3
4.1
4.4
6.3
15.4
18.7
US
 
HPI
4
32.3
20.9
2.3
(8.8)
(19.7)
US
 
federal
 
funds
 
rate
3
0.3
0.3
0.3
0.4
0.4
As
 
at
 
31.12.19
UK
 
GDP
2
4.2
2.9
1.6
0.2
(4.7)
UK
 
unemployment
3
3.4
3.8
4.2
5.7
8.7
UK
 
HPI
4
46.0
32.0
3.1
(8.2)
(32.4)
UK
 
bank
 
rate
3
0.5
0.5
0.7
2.8
4.0
US
 
GDP
2
4.2
3.3
1.9
0.4
(3.4)
US
 
unemployment
3
3.0
3.5
3.9
5.3
8.5
US
 
HPI
4
37.1
23.3
3.0
0.5
(19.8)
US
 
federal
 
funds
 
rate
3
1.5
1.5
1.7
3.0
3.5
As
 
at
 
30.06.19
UK
 
GDP
2
4.5
3.1
1.7
0.3
(4.1)
UK
 
unemployment
3
3.4
3.9
4.3
5.7
8.8
UK
 
HPI
4
46.4
32.6
3.2
(0.5)
(32.1)
UK
 
bank
 
rate
3
0.8
0.8
1.0
2.5
4.0
US
 
GDP
2
4.8
3.7
2.1
0.4
(3.3)
US
 
unemployment
3
3.0
3.4
3.7
5.2
8.4
US
 
HPI
4
36.9
30.2
4.1
-
(17.4)
US
 
federal
 
funds
 
rate
3
2.3
2.3
2.7
3.0
3.5
 
1
 
UK
 
GDP
 
=
 
Real
 
GDP
 
growth
 
seasonally
 
adjusted;
 
UK
 
unemployment
 
=
 
UK
 
unemployment
 
rate
 
16-year+;
 
UK
 
HPI
 
=
 
Halifax
 
All
 
Houses,
 
All
 
Buyers
 
Index;
 
US
 
GDP
 
=
 
Real
GDP
 
growth
 
seasonally
 
adjusted;
 
US
 
unemployment
 
=
 
US
 
civilian
 
unemployment
 
rate
 
16-year+;
 
US
 
HPI
 
=
 
FHFA
 
house
 
price
 
index.
 
Forecast
 
period
 
based
 
on
 
20
quarters
 
from
 
Q3
 
2020.
2
 
Upside
 
scenario
 
is
 
the
 
highest
 
annual
 
average
 
growth
 
rate
 
based
 
on
 
seasonally
 
adjusted
 
quarterly
 
annualised
 
rate;
 
5-year
 
average
 
in
 
Baseline;
 
downside
 
is
 
the
lowest
 
annual
 
average
 
growth
 
rate
 
based
 
on
 
seasonally
 
adjusted
 
quarterly
 
annualised
 
rate.
3
 
Lowest
 
yearly
 
average
 
in
 
Upside
 
scenarios;
 
5-year
 
average
 
in
 
Baseline;
 
highest
 
yearly
 
average
 
in
 
Downside
 
scenarios.
4
 
Cumulative
 
growth
 
(trough
 
to
 
peak)
 
in
 
Upside
 
scenarios;
 
5-year
 
average
 
in
 
Baseline;
 
cumulative
 
fall
 
(peak-
 
to-trough)
 
in
 
Downside
 
scenarios.
 
 
bbplch120p2i0.gif
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Credit
 
Risk
 
 
 
 
Barclays
 
Bank
 
PLC
 
15
 
 
Macroeconomic
 
variables
 
(5-year
 
averages)
1
Upside
 
2
Upside
 
1
Baseline
Downside
 
1
Downside
 
2
As
 
at
 
30.06.20
 
%
 
%
 
%
 
%
 
%
UK
 
GDP
8.9
7.2
5.4
5.2
2.8
UK
 
unemployment
4.0
4.3
4.9
6.2
7.2
UK
 
HPI
7.8
5.0
2.3
(1.4)
(5.5)
UK
 
bank
 
rate
0.4
0.3
0.2
0.1
0.1
US
 
GDP
5.9
4.4
3.3
2.7
1.8
US
 
unemployment
4.4
5.1
6.3
8.4
10.9
US
 
HPI
5.8
3.9
2.3
(0.5)
(3.1)
US
 
federal
 
funds
 
rate
0.6
0.5
0.3
0.3
0.3
As
 
at
 
31.12.19
UK
 
GDP
3.2
2.4
1.6
0.8
(0.7)
UK
 
unemployment
3.5
3.9
4.2
5.4
7.7
UK
 
HPI
7.9
5.7
3.1
(1.1)
(6.5)
UK
 
bank
 
rate
0.5
0.5
0.7
2.5
3.7
US
 
GDP
3.5
2.8
1.9
1.0
(0.5)
US
 
unemployment
3.1
3.6
3.9
5.0
7.5
US
 
HPI
6.5
4.3
3.0
1.3
(3.7)
US
 
federal
 
funds
 
rate
1.6
1.7
1.7
2.9
3.4
As
 
at
 
30.06.19
UK
 
GDP
3.4
2.6
1.7
0.9
(0.6)
UK
 
unemployment
3.7
4.0
4.3
5.1
7.9
UK
 
HPI
7.9
5.8
3.2
0.9
(6.4)
UK
 
bank
 
rate
0.8
0.8
1.0
2.3
3.7
US
 
GDP
3.7
3.0
2.1
1.1
(0.5)
US
 
unemployment
3.1
3.5
3.7
4.7
7.4
US
 
HPI
6.5
5.4
4.1
2.4
(2.6)
US
 
federal
 
funds
 
rate
2.3
2.3
2.7
3.0
3.4
 
1
 
UK
 
GDP
 
=
 
Real
 
GDP
 
growth
 
seasonally
 
adjusted;
 
UK
 
unemployment
 
=
 
UK
 
unemployment
 
rate
 
16-year+;
 
UK
 
HPI
 
=
 
Halifax
 
All
 
Houses,
 
All
 
Buyers
 
Index;
 
US
 
GDP
 
=
 
Real
GDP
 
growth
 
seasonally
 
adjusted;
 
US
 
unemployment
 
=
 
US
 
civilian
 
unemployment
 
rate
 
16-year+;
 
US
 
HPI
 
=
 
FHFA
 
house
 
price
 
index.
 
For
 
GDP
 
and
 
HPI,
 
numbers
represent
 
average
 
of
 
seasonally
 
adjusted
 
quarterly
 
annualised
 
rates.
 
Forecast
 
period
 
based
 
on
 
20
 
quarters
 
from
 
Q3
 
2020”.
 
 
 
bbplch120p2i0.gif
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Market
 
Risk
 
 
 
 
Barclays
 
Bank
 
PLC
 
16
 
 
Analysis
 
of
 
management
 
value
 
at
 
risk
 
(VaR
 
)
The
 
table
 
below
 
shows
 
the
 
total
 
management
 
VaR
 
on
 
a
 
diversified
 
basis
 
by
 
risk
 
factor.
 
Total
 
management
 
VaR
 
includes
 
all
 
trading
positions
 
in
 
CIB
 
and
 
Treasury
 
within
 
Barclays
 
Bank
 
Group
 
and
 
it
 
is
 
calculated
 
with
 
a
 
one-
 
day
 
holding
 
period.
Limits
 
are
 
applied
 
against
 
each
 
risk
 
factor
 
VaR
 
as
 
well
 
as
 
total
 
management
 
VaR,
 
which
 
are
 
then
 
cascaded
 
further
 
by
 
risk
 
managers
to
 
each
 
business.
 
Management
 
VaR
 
(95%)
 
by
 
asset
 
class
Half
 
year
 
ended
 
30.06.20
Half
 
year
 
ended
 
31.12.19
Half
 
year
 
ended
 
30.06.19
Average
High
1
Low
1
Average
High
1
Low
1
Average
High
1
Low
1
 
£m
£m
£m
£m
£m
£m
£m
£m
£m
Credit
 
risk
 
22
38
10
13
17
11
11
14
8
Interest
 
rate
 
risk
 
9
17
6
7
11
5
5
9
3
Equity
 
risk
 
15
35
6
11
22
5
9
16
5
Basis
 
risk
 
9
14
7
9
11
7
7
9
6
Spread
 
risk
 
5
9
3
4
5
3
4
5
3
Foreign
 
exchange
 
risk
 
4
7
2
3
5
2
3
5
2
Commodity
 
risk
 
1
1
-
1
2
-
1
1
-
Inflation
 
risk
 
1
2
1
1
2
1
2
3
2
Diversification
 
effect
1
(31)
n/a
n/a
(25)
n/a
n/a
(21)
n/a
n/a
Total
 
management
 
VaR
35
57
17
24
29
18
21
26
16
 
1
 
Diversification
 
effects
 
recognise
 
that
 
forecast
 
losses
 
from
 
different
 
assets
 
or
 
businesses
 
are
 
unlikely
 
to
 
occur
 
concurrently,
 
hence
 
the
 
expected
 
aggregate
 
loss
 
is
 
lower
than
 
the
 
sum
 
of
 
the
 
expected
 
losses
 
from
 
each
 
area.
 
Historical
 
correlations
 
between
 
losses
 
are
 
taken
 
into
 
account
 
in
 
making
 
these
 
assessments.
 
The
 
high
 
and
 
low
VaR
 
figures
 
reported
 
for
 
each
 
category
 
did
 
not
 
necessarily
 
occur
 
on
 
the
 
same
 
day
 
as
 
the
 
high
 
and
 
low
 
VaR
 
reported
 
as
 
a
 
whole.
 
Consequently,
 
a
 
divers
 
ification
 
effect
balance
 
for
 
the
 
high
 
and
 
low
 
VaR
 
figures
 
would
 
not
 
be
 
meaningful
 
and
 
is
 
therefore
 
omitted
 
from
 
the
 
above
 
table.
 
 
Average
 
management
 
VaR
 
increased
 
46%
 
to
 
£35m
 
in
 
H120
 
(H219:
 
£24m)
 
as
 
elevated
 
market
 
volatility
 
resulted
 
in
 
an
 
increase
 
in
credit
 
and
 
equity
 
risk.
 
 
bbplch120p2i0.gif
 
 
 
 
 
 
Treasury
 
and
 
Capital
 
Risk
 
 
 
 
Barclays
 
Bank
 
PLC
 
17
 
 
Funding
 
and
 
liquidity
 
Overview
The
 
liquidity
 
pool
 
increased
 
to
 
£234bn
 
(December
 
2019:
 
£169bn)
 
driven
 
by
 
customer
 
deposit
 
growth
 
and
 
actions
 
to
 
maintain
 
a
prudent
 
funding
 
and
 
liquidity
 
position
 
in
 
the
 
current
 
environment.
 
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
 
Barclays
 
Bank
 
PLC
 
DoLSub
 
arrangement.
Liquidity
 
risk
 
stress
 
testing
The
 
liquidity
 
risk
 
stress
 
assessment
 
measures
 
the
 
potential
 
contractual
 
and
 
contingent
 
stress
 
outflows
 
under
 
a
 
range
 
of
 
scenarios,
which
 
are
 
then
 
used
 
to
 
determine
 
the
 
size
 
of
 
the
 
liquidity
 
pool
 
that
 
is
 
immediately
 
available
 
to
 
meet
 
anticipated
 
outflows
 
if
 
a
 
stress
occurs.
 
The
 
scenarios
 
include
 
a
 
30
 
day
 
Barclays
 
-specific
 
stress
 
event,
 
a
 
90
 
day
 
market
 
-wide
 
stress
 
event
 
and
 
a
 
30
 
day
 
combined
scenario
 
consisting
 
of
 
both
 
a
 
Barclays
 
specific
 
and
 
market
 
-wide
 
stress
 
event.
 
The
 
CRR
 
(as
 
amended
 
by
 
CRR
 
II)
 
Liquidity
 
Coverage
 
rati
 
o
 
(LCR)
 
requirement
 
takes
 
into
 
account
 
the
 
relative
 
stability
 
of
 
different
sources
 
of
 
funding
 
and
 
potential
 
incremental
 
funding
 
requirements
 
in
 
a
 
stress.
 
The
 
LCR
 
is
 
designed
 
to
 
promote
 
short-term
resilience
 
of
 
a
 
bank’s
 
liquidity
 
risk
 
profile
 
by
 
holding
 
sufficient
 
high
 
quality
 
liquid
 
assets
 
to
 
survive
 
an
 
acute
 
stress
 
scenario
 
lasting
for
 
30
 
days.
 
As
 
at
 
30
 
June
 
2020,
 
Barclays
 
Bank
 
PLC
 
DoLSub
 
held
 
eligible
 
liquid
 
assets
 
well
 
above
 
100%
 
of
 
the
 
net
 
stress
 
outflows
 
to
 
its
 
internal
and
 
regulatory
 
requirements.
 
The
 
proportion
 
of
 
the
 
liquidity
 
pool
 
between
 
cash
 
and
 
deposits
 
with
 
central
 
banks,
 
government
bonds
 
and
 
other
 
eligible
 
securities
 
is
 
broadly
 
similar
 
to
 
the
 
Barclays
 
Group.
 
A
 
significant
 
portion
 
of
 
the
 
liquidity
 
pool
 
is
 
located
 
in
 
Barclays
 
Bank
 
PLC
 
and
 
Barclays
 
Bank
 
Ireland
 
PLC
 
.
 
The
 
residual
 
portion
 
of
 
the
liquidity
 
pool,
 
which
 
is
 
predominantly
 
in
 
the
 
US
 
subsidiaries,
 
is
 
held
 
against
 
entity-
 
specific
 
stress
 
outflows
 
and
 
local
 
regulatory
requirements.
 
As
 
at
 
As
 
at
 
30.06.20
31.12.19
£bn
£bn
Barclays
 
Bank
 
Group
 
liquidity
 
pool
 
234
169
%
%
Barclays
 
Bank
 
PLC
 
DoLSub
 
liquidity
 
coverage
 
ratio
166
141
 
 
bbplch120p2i0.gif
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Treasury
 
and
 
Capital
 
Risk
 
 
 
 
Barclays
 
Bank
 
PLC
 
18
 
 
Capital
 
and
 
leverage
Barclays
 
Bank
 
PLC
 
is
 
currently
 
regulated
 
by
 
the
 
PRA
 
on
 
a
 
solo-consolidated
 
basis.
 
Barclays
 
Bank
 
PLC
 
solo-consolidated
 
comprises
Barclays
 
Bank
 
PLC
 
plus
 
certain
 
additional
 
subsidiaries,
 
subject
 
to
 
PRA
 
approval.
 
The
 
disclosures
 
below
 
provide
 
key
 
capital
 
metrics
for
 
Barclays
 
Bank
 
PLC
 
solo-consolidated
 
with
 
further
 
information
 
on
 
its
 
risk
 
profile
 
to
 
be
 
included
 
in
 
the
 
Barclays
 
PLC
 
Pillar
 
3
 
Report
H1
 
2020,
 
expected
 
to
 
be
 
published
 
on
 
14
 
August
 
2020,
 
and
 
which
 
will
 
be
 
available
 
at
 
home.barclays/investor
 
-relations/reports-
and-events
 
/latest
 
-financial-results
 
.
 
On
 
27
 
June
 
2019,
 
CRR
 
II
 
came
 
into
 
force
 
amending
 
CRR.
 
As
 
an
 
amending
 
regulation,
 
the
 
existing
 
provisions
 
of
 
CRR
 
apply
 
unless
 
they
are
 
amended
 
by
 
CRR
 
II.
 
Certain
 
aspects
 
of
 
CRR
 
II
 
are
 
dependent
 
on
 
final
 
technical
 
standards
 
to
 
be
 
issued
 
by
 
the
 
European
 
Banking
Authority
 
(EBA)
 
and
 
adopted
 
by
 
the
 
European
 
Commission
 
as
 
well
 
as
 
UK
 
implementation
 
of
 
the
 
rules.
 
 
On
 
27
 
June
 
2020,
 
CRR
 
was
 
further
 
amended
 
to
 
accelerate
 
specific
 
CRR
 
II
 
measures
 
and
 
implement
 
a
 
new
 
IFRS
 
9
 
transitional
 
relief
calculation.
 
Previously
 
due
 
to
 
be
 
implemented
 
in
 
June
 
2021,
 
the
 
accelerated
 
measures
 
primarily
 
relate
 
to
 
the
 
CRR
 
leverage
calculation
 
to
 
include
 
additional
 
settlement
 
netting
 
and
 
limited
 
changes
 
to
 
the
 
calculation
 
of
 
RWAs
 
.
 
The
 
IFRS
 
9
 
transitional
 
arrangements
 
have
 
been
 
extended
 
by
 
two
 
years
 
and
 
a
 
new
 
modified
 
calculation
 
has
 
been
 
introduced.
 
100%
relief
 
will
 
be
 
applied
 
to
 
increases
 
in
 
stage
 
1
 
and
 
stage
 
2
 
provisions
 
from
 
1
 
January
 
2020
 
throughout
 
2020
 
and
 
2021;
 
75%
 
in
 
2022;
50%
 
in
 
2023;
 
25%
 
in
 
2024
 
with
 
no
 
relief
 
applied
 
from
 
2025.
 
The
 
phasing
 
out
 
of
 
transitional
 
relief
 
on
 
the
 
“day
 
1”
 
impact
 
of
 
IFRS
 
9
 
as
well
 
as
 
increases
 
in
 
stage
 
1
 
and
 
stage
 
2
 
provisions
 
between
 
1
 
January
 
2018
 
and
 
31
 
December
 
2019
 
under
 
the
 
modified
 
calculation
remain
 
unchanged
 
and
 
continue
 
to
 
be
 
subject
 
to
 
70%
 
transitional
 
relief
 
throughout
 
2020;
 
50%
 
for
 
2021;
 
25%
 
for
 
2022
 
and
 
with
 
no
relief
 
applied
 
from
 
2023.
 
Also
 
impacting
 
own
 
funds
 
from
 
30
 
June
 
2020
 
until
 
31
 
December
 
2020
 
inclusive
 
are
 
amendments
 
to
 
the
 
regulatory
 
technical
standards
 
on
 
prudential
 
valuation
 
which
 
include
 
an
 
increase
 
to
 
diversification
 
factors
 
applied
 
to
 
certain
 
additional
 
valuation
adjustment
 
s.
 
The
 
disclosures
 
in
 
the
 
following
 
section
 
reflect
 
Barclays’
 
interpretation
 
of
 
the
 
current
 
rules
 
and
 
guidance.
 
Capital
 
ratios
1,2,3
As
 
at
30.06.20
As
 
at
31.12.19
CET1
14.3%
13.9%
Tier
 
1
 
(T1)
17.8%
18.1%
Total
 
regulatory
 
capital
21.0%
22.1%
 
Capital
 
resources
£m
£m
CET1
 
capital
27,197
22,080
T1
 
capital
33,781
28,600
Total
 
regulatory
 
capital
39,965
34,955
Risk
 
weighted
 
assets
 
(RWAs)
190,049
158,393
 
Leverage
 
ratio
1,4
£m
£m
CRR
 
leverage
 
ratio
4.1%
3.9%
T1
 
capital
33,781
28,600
CRR
 
leverage
 
exposure
817,372
731,715
 
1
 
Capital
 
,
 
RWAs
 
and
 
leverage
 
are
 
calculated
 
applying
 
the
 
transitional
 
arrangements
 
of
 
the
 
CRR
 
as
 
amended
 
by
 
CRR
 
II
 
applicable
 
as
 
at
 
the
 
reporting
 
date
 
.
 
This
 
includes
IFRS
 
9
 
transitional
 
arrangements
 
and
 
the
 
grandfathering
 
of
 
CRR
 
and
 
CRR
 
II
 
non-compliant
 
capital
 
instruments.
 
2
 
The
 
fully
 
loaded
 
CET1
 
ratio
 
was
 
13.8%,
 
with
 
£26,116m
 
of
 
CET1
 
capital
 
and
 
£189,150
 
m
 
of
 
RWAs
 
calculated
 
without
 
applyin
 
g
 
the
 
transitional
 
arrangements
 
of
 
the
 
CRR
as
 
amended
 
by
 
CRR
 
II
 
applicable
 
as
 
at
 
the
 
reporting
 
date
 
.
 
3
 
The
 
Barclays
 
PLC
 
CET1
 
ratio,
 
as
 
is
 
relevant
 
for
 
assessing
 
against
 
the
 
conversion
 
trigger
 
in
 
Barclays
 
Bank
 
PLC
 
Tier
 
2
 
Contingent
 
Capital
 
Notes,
 
was
 
14.2%.
 
For
 
this
calculation
 
CET1
 
capital
 
and
 
RWAs
 
are
 
calculated
 
applying
 
the
 
transitional
 
arrangements
 
under
 
the
 
CRR,
 
including
 
the
 
IFRS
 
9
 
transitional
 
arrangements.
 
The
 
benefit
of
 
the
 
Financial
 
Services
 
Authority
 
(FSA
 
)
 
October
 
2012
 
interpretation
 
of
 
the
 
transitional
 
provisions,
 
relating
 
to
 
the
 
implementation
 
of
 
CRD
 
IV,
 
expired
 
in
 
December
2017.
 
4
 
Barclays
 
Bank
 
PLC
 
solo-consolidated
 
d
 
isclose
 
s
 
the
 
CRR
 
Leverage
 
Ratio
 
and
 
has
 
no
 
binding
 
requirement
 
as
 
at
 
30
 
June
 
2020.
 
Had
 
the
 
UK
 
leverage
 
rules
 
been
 
applied,
which
 
provide
 
s
 
a
 
similar
 
exclusion
 
for
 
qualifying
 
claims
 
on
 
central
 
banks
 
as
 
under
 
CRR
 
II,
 
the
 
30
 
June
 
leverage
 
exposure
 
would
 
have
 
reduced
 
to
 
£713.2bn
 
and
 
the
ratio
 
would
 
have
 
increased
 
to
 
4.6%.
 
The
 
exclusion
 
for
 
qualifying
 
claims
 
on
 
central
 
banks
 
under
 
CRR
 
II
 
is
 
subject
 
to
 
PRA
 
approval
 
for
 
all
 
UK
 
banks
 
and
 
as
 
at
 
30
 
June
2020
 
this
 
approval
 
had
 
not
 
been
 
given.
 
 
 
bbplch120p2i0.gif
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Condensed
 
Consolidated
 
Financial
 
Statements
 
 
 
 
Barclays
 
Bank
 
PLC
 
19
 
 
Condensed
 
consolidated
 
income
 
statement
 
(unaudited)
Half
 
year
ended
Half
 
year
ended
30.06.20
30.06.19
Notes
1
£m
£m
Interest
 
and
 
similar
 
income
3,173
3,938
Interest
 
and
 
similar
 
expense
(1,502)
(2,117)
Net
 
interest
 
income
1,671
1,821
Fee
 
and
 
commission
 
income
3,818
3,790
Fee
 
and
 
commission
 
expense
(939)
(961)
Net
 
fee
 
and
 
commission
 
income
3
2,879
2,829
Net
 
trading
 
income
4,225
2,093
Net
 
investment
 
income
(146)
337
Other
 
income
8
42
Total
 
income
8,637
7,122
Credit
 
impairment
 
charges
(2,674)
(510)
Net
 
operating
 
income
5,963
6,612
Staff
 
costs
(2,191)
(2,354)
Infrastructure,
 
administration
 
and
 
general
 
expenses
(2,357)
(2,488)
Litigation
 
and
 
conduct
(19)
(68)
Operating
 
expenses
(4,567)
(4,910)
Share
 
of
 
post-tax
 
results
 
of
 
associates
 
and
 
joint
 
ventures
1
13
Profit
 
on
 
disposal
 
of
 
subsidiaries,
 
associates
 
and
 
joint
 
ventures
126
10
Profit
 
before
 
tax
1,523
1,725
Tax
 
charge
4
(230)
(260)
Profit
 
after
 
tax
1,293
1,465
Attributable
 
to:
Equity
 
holders
 
of
 
the
 
parent
960
1,171
Other
 
equity
 
instrument
 
holders
333
294
Profit
 
after
 
tax
1,293
1,465
 
1
 
For
 
notes
 
to
 
the
 
Financial
 
Statements
 
see
 
pages
 
25
 
to
 
44.
 
 
 
bbplch120p2i0.gif
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Condensed
 
Consolidated
 
Financial
 
Statements
 
 
 
 
Barclays
 
Bank
 
PLC
 
20
 
 
Condensed
 
consolidated
 
statement
 
of
 
comprehensive
 
income
 
(unaudited)
Half
 
year
 
ended
Half
 
year
 
ended
30.06.20
30.06.19
Notes
1
£m
£m
Profit
 
after
 
tax
1,293
1,465
Other
 
comprehensive
 
income/(loss)
 
that
 
may
 
be
 
recycled
 
to
 
profit
 
or
 
loss
2
Currency
 
translation
 
reserve
12
1,386
232
Fair
 
value
 
through
 
other
 
comprehensive
 
income
 
reserve
12
137
359
Cash
 
flow
 
hedging
 
reserve
12
1,065
612
Other
(6)
-
Other
 
comprehensive
 
income
 
that
 
may
 
be
 
recycled
 
to
 
profit
2,582
1,203
Other
 
comprehensive
 
income/(loss)
 
not
 
recycled
 
to
 
profit
 
or
 
loss
Retirement
 
benefit
 
remeasurements
9
645
(140)
Own
 
credit
12
496
44
Other
 
comprehensive
 
income/(loss)
 
not
 
recycled
 
to
 
profit
 
or
 
loss
1,141
(96)
Other
 
comprehensive
 
income
 
for
 
the
 
period
3,723
1,107
Total
 
comprehensive
 
income
 
for
 
the
 
period
5,016
2,572
 
1
 
For
 
notes
 
to
 
the
 
Financial
 
Statements
 
see
 
pages
 
25
 
to
 
44.
 
2
 
Reported
 
net
 
of
 
tax.
 
 
 
bbplch120p2i0.gif
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Condensed
 
Consolidated
 
Financial
 
Statements
 
 
 
 
Barclays
 
Bank
 
PLC
 
21
 
 
Condensed
 
consolidated
 
balance
 
sheet
 
(unaudited)
As
 
at
As
 
at
30.06.20
31.12.19
Assets
Notes
1
£m
£m
Cash
 
and
 
balances
 
at
 
central
 
banks
155,792
125,940
Cash
 
collateral
 
and
 
settlement
 
balances
130,873
79,486
Loans
 
and
 
advances
 
at
 
amortised
 
cost
150,203
141,636
Reverse
 
repurchase
 
agreements
 
and
 
other
 
similar
 
secured
 
lending
19,811
1,731
Trading
 
portfolio
 
assets
109,461
113,337
Financial
 
assets
 
at
 
fair
 
value
 
through
 
the
 
income
 
statement
155,540
129,470
Derivative
 
financial
 
instruments
307,650
229,641
Financial
 
assets
 
at
 
fair
 
value
 
through
 
other
 
comprehensive
 
income
55,161
45,406
Investments
 
in
 
associates
 
and
 
joint
 
ventures
30
295
Goodwill
 
and
 
intangible
 
assets
1,250
1,212
Property,
 
plant
 
and
 
equipment
1,654
1,631
Current
 
tax
 
assets
984
898
Deferred
 
tax
 
assets
4
2,639
2,460
Retirement
 
benefit
 
assets
9
2,848
2,108
Other
 
assets
2,062
1,421
Total
 
assets
1,095,958
876,672
Liabilities
Deposits
 
at
 
amortised
 
cost
245,737
213,881
Cash
 
collateral
 
and
 
settlement
 
balances
113,341
67,682
Repurchase
 
agreements
 
and
 
other
 
similar
 
secured
 
borrowing
4,033
2,032
Debt
 
securities
 
in
 
issue
50,496
33,536
Subordinated
 
liabilities
7
36,965
33,425
Trading
 
portfolio
 
liabilities
50,378
35,212
Financial
 
liabilities
 
designated
 
at
 
fair
 
value
222,142
204,446
Derivative
 
financial
 
instruments
307,989
228,940
Current
 
tax
 
liabilities
310
320
Deferred
 
tax
 
liabilities
4
1,084
80
Retirement
 
benefit
 
liabilities
9
319
313
Other
 
liabilities
5,385
5,239
Provisions
8
1,085
951
Total
 
liabilities
1,039,264
826,057
Equity
Called
 
up
 
share
 
capital
 
and
 
share
 
premium
10
2,348
2,348
Other
 
equity
 
instruments
11
8,323
8,323
Other
 
reserves
12
6,319
3,235
Retained
 
earnings
 
39,704
36,709
Total
 
equity
56,694
50,615
Total
 
liabilities
 
and
 
equity
1,095,958
876,672
 
1
 
For
 
notes
 
to
 
the
 
Financial
 
Statements
 
see
 
pages
 
25
 
to
 
44.
 
 
 
bbplch120p2i0.gif
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Condensed
 
Consolidated
 
Financial
 
Statements
 
 
 
 
Barclays
 
Bank
 
PLC
 
22
 
 
Condensed
 
consolidated
 
statement
 
of
 
changes
 
in
 
equity
 
(unaudited)
Called
 
up
 
share
capital
 
and
share
 
premium
1
Other
 
equity
instruments
1
Other
reserves
1
Retained
earnings
Total
Half
 
year
 
ended
 
30.06.20
£m
£m
£m
£m
£m
Balance
 
as
 
at
 
1
 
January
 
2020
2,348
8,323
3,235
36,709
50,615
Profit
 
after
 
tax
-
333
-
960
1,293
Currency
 
translation
 
movements
-
-
1,386
-
1,386
Fair
 
value
 
through
 
other
 
comprehensive
 
income
 
reserve
-
-
137
-
137
Cash
 
flow
 
hedges
-
-
1,065
-
1,065
Retirement
 
benefit
 
remeasurements
-
-
-
645
645
Own
 
credit
 
-
-
496
-
496
Other
-
-
-
(6)
(6)
Total
 
comprehensive
 
income
 
for
 
the
 
period
-
333
3,084
1,599
5,016
Other
 
equity
 
instruments
 
coupons
 
paid
-
(333)
-
-
(333)
Equity
 
settled
 
share
 
schemes
-
-
-
475
475
Vesting
 
of
 
Barclays
 
PLC
 
shares
 
under
 
equity
 
settled
 
share
schemes
-
-
-
(289)
(289)
Dividends
 
paid
-
-
-
(263)
(263)
Dividends
 
paid
 
-
 
preference
 
shares
-
-
-
(28)
(28)
Capital
 
contribution
 
from
 
Barclays
 
PLC
-
-
-
1,500
1,500
Other
 
movements
-
-
-
1
1
Balance
 
as
 
at
 
30
 
June
 
2020
2,348
8,323
6,319
39,704
56,694
Half
 
year
 
ended
 
31.12.19
Balance
 
as
 
at
 
1
 
July
 
2019
2,348
9,402
4,608
36,252
52,610
Profit
 
after
 
tax
-
366
-
949
1,315
Currency
 
translation
 
movements
-
-
(776)
-
(776)
Fair
 
value
 
through
 
other
 
comprehensive
 
income
 
reserve
-
-
(200)
-
(200)
Cash
 
flow
 
hedges
-
-
(101)
-
(101)
Retirement
 
benefit
 
remeasurements
-
-
-
(54)
(54)
Own
 
credit
-
-
(296)
-
(296)
Other
-
-
-
16
16
Total
 
comprehensive
 
income
 
for
 
the
 
period
-
366
(1,373)
911
(96)
Issue
 
and
 
exchange
 
of
 
other
 
equity
 
instruments
-
(1,079)
-
(395)
(1,474)
Other
 
equity
 
instruments
 
coupons
 
paid
-
(366)
-
-
(366)
Equity
 
settled
 
share
 
schemes
-
-
-
194
194
Vesting
 
of
 
Barclays
 
PLC
 
shares
 
under
 
equity
 
settled
 
share
schemes
-
-
-
(9)
(9)
Dividends
 
paid
-
-
-
(233)
(233)
Dividends
 
paid
 
-
 
preference
 
shares
(14)
(14)
Other
 
movements
-
-
-
3
3
Balance
 
as
 
at
 
31
 
December
 
2019
2,348
8,323
3,235
36,709
50,615
 
1
 
Details
 
of
 
share
 
capital,
 
other
 
equity
 
instruments
 
and
 
other
 
reserves
 
are
 
shown
 
on
 
pages
 
25
 
to
 
44
.
 
 
 
bbplch120p2i0.gif
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Condensed
 
Consolidated
 
Financial
 
Statements
 
 
 
 
Barclays
 
Bank
 
PLC
 
23
 
 
Condensed
 
consolidated
 
statement
 
of
 
changes
 
in
 
equity
 
(unaudited)
Called
 
up
 
share
capital
 
and
share
premium
1
Other
 
equity
instruments
1
Other
reserves
1
Retained
earnings
Total
Non-
controlling
interests
Total
equity
Half
 
year
 
ended
 
30.06.19
£m
£m
£m
£m
£m
£m
£m
Balance
 
as
 
at
 
1
 
January
 
2019
2,348
7,595
3,361
34,405
47,709
2
47,711
Profit
 
after
 
tax
-
294
-
1,171
1,465
-
1,465
Currency
 
translation
 
movements
-
-
232
-
232
-
232
Fair
 
value
 
through
 
other
 
comprehensive
 
income
reserve
-
-
359
-
359
-
359
Cash
 
flow
 
hedges
-
-
612
-
612
-
612
Retirement
 
benefit
 
remeasurements
-
-
-
(140)
(140)
-
(140)
Own
 
credit
-
-
44
-
44
-
44
Total
 
comprehensive
 
income
 
for
 
the
 
period
-
294
1,247
1,031
2,572
-
2,572
Issue
 
or
 
exchange
 
of
 
other
 
equity
 
instruments
-
1,807
-
(11)
1,796
-
1,796
Other
 
equity
 
instruments
 
coupon
 
paid
(294)
-
(294)
-
(294)
Equity
 
settled
 
share
 
schemes
-
-
-
198
198
-
198
Vesting
 
of
 
Barclays
 
PLC
 
shares
 
under
 
equity
 
settled
share
 
schemes
-
-
-
(340)
(340)
-
(340)
Dividends
 
paid
 
-
 
preference
 
shares
-
-
-
(27)
(27)
-
(27)
Capital
 
contribution
 
from
 
Barclays
 
PLC
-
-
-
995
995
-
995
Other
 
movements
-
-
-
1
1
(2)
(1)
Balance
 
as
 
at
 
30
 
June
 
2019
2,348
9,402
4,608
36,252
52,610
-
52,610
 
1
 
Details
 
of
 
share
 
capital,
 
other
 
equity
 
instruments
 
and
 
other
 
reserves
 
are
 
shown
 
on
 
pages
 
25
 
to
 
44.
 
 
 
 
bbplch120p2i0.gif
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Condensed
 
Consolidated
 
Financial
 
Statements
 
 
 
 
Barclays
 
Bank
 
PLC
 
24
 
 
Condensed
 
consolidated
 
cash
 
flow
 
statement
 
(unaudited)
Half
 
year
ended
Half
 
year
ended
30.06.20
30.06.19
£m
£m
Profit
 
before
 
tax
 
1,523
1,725
Adjustment
 
for
 
non-cash
 
items
301
314
Net
 
increase
 
in
 
loans
 
and
 
advances
 
at
 
amortised
 
cost
(11,096)
(6,368)
Net
 
increase
 
in
 
deposits
 
at
 
amortised
 
cost
32,357
15,553
Net
 
increase
 
in
 
debt
 
securities
 
in
 
issue
16,960
3,188
Changes
 
in
 
other
 
operating
 
assets
 
and
 
liabilities
4,825
(16,727)
Corporate
 
income
 
tax
 
paid
(270)
(260)
Net
 
cash
 
from
 
operating
 
activities
44,600
(2,575)
Net
 
cash
 
from
 
investing
 
activities
(7,022)
(9,094)
Net
 
cash
 
from
 
financing
 
activities
653
2,552
Effect
 
of
 
exchange
 
rates
 
on
 
cash
 
and
 
cash
 
equivalents
7,813
652
Net
 
increase/(decrease)
 
in
 
cash
 
and
 
cash
 
equivalents
46,044
(8,465)
Cash
 
and
 
cash
 
equivalents
 
at
 
beginning
 
of
 
the
 
period
156,016
167,357
Cash
 
and
 
cash
 
equivalents
 
at
 
end
 
of
 
the
 
period
202,060
158,892
 
 
bbplch120p2i0.gif
Financial
 
Statement
 
Notes
 
 
 
 
Barclays
 
Bank
 
PLC
 
25
 
 
1.
 
Basis
 
of
 
preparation
These
 
condensed
 
consolidated
 
interim
 
financial
 
statements
 
for
 
the
 
six
 
months
 
ended
 
30
 
June
 
2020
 
have
 
been
 
prepared
 
in
accordance
 
with
 
the
 
Disclosure
 
and
 
Transparency
 
Rules
 
(DTR)
 
of
 
the
 
Financial
 
Conduct
 
Authority
 
UK
 
(FCA)
 
and
 
with
 
IAS
 
34,
 
Interim
Financial
 
Reporting,
 
as
 
published
 
by
 
the
 
International
 
Accounting
 
Standards
 
Board
 
(IASB)
 
and
 
adopted
 
by
 
the
 
EU.
 
The
 
condensed
consolidated
 
interim
 
financial
 
statements
 
should
 
be
 
read
 
in
 
conjunction
 
with
 
the
 
annual
 
financial
 
statements
 
for
 
the
 
year
 
ended
 
31
December
 
2019,
 
which
 
have
 
been
 
prepared
 
in
 
accordance
 
with
 
IFRSs
 
as
 
published
 
by
 
the
 
IASB
 
and
 
as
 
adopted
 
by
 
the
 
EU.
 
 
The
 
accounting
 
policies
 
and
 
methods
 
of
 
computation
 
used
 
in
 
these
 
condensed
 
consolidated
 
interim
 
financial
 
statements
 
are
 
the
same
 
as
 
those
 
used
 
in
 
the
 
Barclays
 
Bank
 
PLC
 
Annual
 
Report
 
2019.
 
 
1.
 
Going
 
concern
The
 
financial
 
statements
 
are
 
prepared
 
on
 
a
 
going
 
concern
 
basis,
 
as
 
the
 
Directors
 
are
 
satisfied
 
that
 
the
 
Barclays
 
Bank
 
Group
 
and
parent
 
company
 
have
 
the
 
resources
 
to
 
continue
 
in
 
business
 
for
 
the
 
foreseeable
 
future.
 
In
 
making
 
this
 
assessment,
 
the
 
Directors
have
 
considered
 
a
 
wide
 
range
 
of
 
information
 
relating
 
to
 
present
 
and
 
future
 
conditions,
 
including
 
future
 
projection
 
s
 
of
 
profitability,
capital
 
requirements
 
and
 
capital
 
resources.
 
2.
 
Other
 
disclosures
The
 
Credit
 
risk
 
disclosures
 
on
 
pages
 
8
 
to
 
15
 
form
 
part
 
of
 
these
 
interim
 
financial
 
statements.
 
 
bbplch120p2i0.gif
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Financial
 
Statement
 
Notes
 
 
 
 
Barclays
 
Bank
 
PLC
 
26
 
 
2.
 
Segmental
 
reporting
 
Analysis
 
of
 
results
 
by
 
business
Corporate
 
and
Investment
 
Bank
Consumer,
 
Cards
and
 
Payments
Head
 
Office
Barclays
 
Bank
Group
Half
 
year
 
ended
 
30.06.20
£m
£m
£m
£m
Total
 
income
6,973
1,742
(78)
8,637
Credit
 
impairment
 
charges
(1,320)
(1,299)
(55)
(2,674)
Net
 
operating
 
income/(expenses)
5,653
443
(133)
5,963
Operating
 
expenses
(3,458)
(1,053)
(37)
(4,548)
Litigation
 
and
 
conduct
(4)
(8)
(7)
(19)
Total
 
operating
 
expenses
(3,462)
(1,061)
(44)
(4,567)
Other
 
net
 
income/(expenses)
1
12
115
-
127
Profit/(loss)
 
before
 
tax
2,203
(503)
(177)
1,523
As
 
at
 
30.06.20
£bn
£bn
£bn
£bn
Total
 
assets
1,017.1
66.0
12.9
1,096.0
 
Corporate
 
and
Investment
 
Bank
Consumer,
 
Cards
and
 
Payments
Head
 
Office
Barclays
 
Bank
Group
Half
 
year
 
ended
 
30.06.19
£m
£m
£m
£m
Total
 
income
5,149
2,193
(220)
7,122
Credit
 
impairment
 
charges
(96)
(396)
(18)
(510)
Net
 
operating
 
income/(expenses)
5,053
1,797
(238)
6,612
Operating
 
expenses
(3,589)
(1,207)
(45)
(4,841)
Litigation
 
and
 
conduct
(26)
(4)
(39)
(69)
Total
 
operating
 
expenses
(3,615)
(1,211)
(84)
(4,910)
Other
 
net
 
income/(expenses)
1
15
16
(8)
23
Profit/(loss)
 
before
 
tax
1,453
602
(330)
1,725
As
 
at
 
31.12.19
£bn
£bn
£bn
£bn
Total
 
assets
799.6
65.7
11.4
876.7
 
 
1
 
Other
 
net
 
income/(expenses)
 
represents
 
the
 
share
 
of
 
post
 
-tax
 
results
 
of
 
associates
 
and
 
joint
 
ventures,
 
profit
 
(or
 
loss)
 
on
 
disposal
 
of
 
subsidiaries,
 
associates
 
and
 
joint
ventures
 
and
 
gains
 
on
 
acquisitions.
 
Split
 
of
 
income
 
by
 
geographic
 
region
1
Half
 
year
 
ended
Half
 
year
 
ended
30.06.20
30.06.19
£m
£m
UK
2,835
2,089
Europe
1,240
783
Americas
3,872
3,680
Africa
 
and
 
Middle
 
East
23
41
Asia
667
529
Total
 
8,637
7,122
 
1
 
The
 
geographical
 
analysis
 
is
 
now
 
based
 
on
 
the
 
location
 
of
 
office
 
where
 
the
 
transactions
 
are
 
recorded,
 
whereas
 
in
 
the
 
prior
 
year
 
it
 
was
 
based
 
on
 
counterparty
location.
 
The
 
approach
 
was
 
changed
 
at
 
year
 
-end
 
2019
 
and
 
is
 
better
 
aligned
 
to
 
the
 
geographical
 
view
 
of
 
the
 
business
 
following
 
the
 
implementation
 
of
 
structural
reform.
 
Prior
 
year
 
comparatives
 
have
 
been
 
restated.
 
 
 
bbplch120p2i0.gif
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Financial
 
Statement
 
Notes
 
 
 
 
Barclays
 
Bank
 
PLC
 
27
 
 
3.
 
Net
 
fee
 
and
 
commission
 
income
Fee
 
and
 
commission
 
income
 
is
 
disaggregated
 
below
 
and
 
includes
 
a
 
total
 
for
 
fees
 
in
 
scope
 
of
 
IFRS
 
15,
 
Revenue
 
from
 
Contracts
 
with
Customers:
Corporate
 
and
Investment
 
Bank
Consumer,
 
Cards
 
and
Payments
Head
 
Office
Total
Half
 
year
 
ended
 
30.06.20
£m
£m
£m
£m
Fee
 
type
Transactional
 
177
968
-
1,145
Advisory
260
46
-
306
Brokerage
 
and
 
execution
654
31
-
685
Underwriting
 
and
 
syndication
1,468
-
-
1,468
Other
35
100
19
154
Total
 
revenue
 
from
 
contracts
 
with
 
customers
2,594
1,145
19
3,758
Other
 
non-contract
 
fee
 
income
57
3
-
60
Fee
 
and
 
commission
 
income
2,651
1,148
19
3,818
Fee
 
and
 
commission
 
expense
(441)
(497)
(1)
(939)
Net
 
fee
 
and
 
commission
 
income
2,210
651
18
2,879
 
Corporate
 
and
Investment
 
Bank
Consumer,
 
Cards
 
and
Payments
Head
 
Office
Total
Half
 
year
 
ended
 
30.06.19
£m
£m
£m
£m
Fee
 
type
Transactional
 
185
1,168
-
1,353
Advisory
364
41
-
405
Brokerage
 
and
 
execution
512
24
-
536
Underwriting
 
and
 
syndication
1,240
-
-
1,240
Other
62
124
16
202
Total
 
revenue
 
from
 
contracts
 
with
 
customers
2,363
1,357
16
3,736
Other
 
non-contract
 
fee
 
income
54
-
-
54
Fee
 
and
 
commission
 
income
2,417
1,357
16
3,790
Fee
 
and
 
commission
 
expense
(350)
(611)
-
(961)
Net
 
fee
 
and
 
commission
 
income
2,067
746
16
2,829
 
Transactional
 
fees
 
are
 
service
 
charges
 
on
 
deposit
 
accounts,
 
cash
 
management
 
services
 
and
 
transactional
 
processing
 
fees.
 
This
includes
 
interchange
 
and
 
merchant
 
fee
 
income
 
generated
 
from
 
credit
 
and
 
bank
 
card
 
usage.
 
Advisory
 
fees
 
are
 
generated
 
from
 
asset
 
management
 
services
 
and
 
advisory
 
services
 
related
 
to
 
mergers,
 
acquisitions
 
and
 
financial
restructuring.
 
Brokerage
 
and
 
execution
 
fees
 
are
 
earned
 
for
 
executing
 
client
 
transactions
 
with
 
exchanges
 
and
 
over
 
-the-counter
 
markets
 
and
assisting
 
clients
 
in
 
clearing
 
transactions.
 
Underwriting
 
and
 
syndication
 
fees
 
are
 
earned
 
for
 
the
 
distribution
 
of
 
client
 
equity
 
or
 
debt
 
securities,
 
and
 
the
 
arrangement
 
and
administration
 
of
 
a
 
loan
 
syndication.
 
This
 
includes
 
commitment
 
fees
 
to
 
provide
 
loan
 
financing.
 
 
bbplch120p2i0.gif
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Financial
 
Statement
 
Notes
 
 
 
 
Barclays
 
Bank
 
PLC
 
28
 
 
4.
 
Tax
 
The
 
tax
 
charge
 
for
 
H120
 
was
 
£230m
 
(H119:
 
£260m),
 
representing
 
an
 
effective
 
tax
 
rate
 
of
 
15.1%
 
(H119:
 
15.1%).
 
As
 
at
As
 
at
30.06.20
31.12.19
Deferred
 
tax
 
assets
 
and
 
liabilities
£m
£m
USA
2,168
2,052
Other
 
territories
 
471
408
Deferred
 
tax
 
assets
2,639
2,460
Deferred
 
tax
 
liabilities
 
-
 
UK
(1,084)
(80)
Analysis
 
of
 
deferred
 
tax
 
assets
Temporary
 
differences
2,184
1,937
Tax
 
losses
455
523
Deferred
 
tax
 
assets
2,639
2,460
 
 
5.
 
Dividends
 
on
 
ordinary
 
shares
 
Half
 
year
 
ended
 
30.06.20
Half
 
year
 
ended
 
30.06.19
Dividends
 
paid
 
during
 
the
 
period
£m
 
£m
 
Ordinary
 
shares
263
-
Preference
 
shares
28
27
Total
291
27
 
A
 
dividend
 
of
 
£263m
 
was
 
paid
 
on
 
25
 
March
 
2020
 
by
 
Barclays
 
Bank
 
PLC
 
to
 
its
 
parent
 
Barclays
 
PLC.
 
This
 
was
 
prior
 
to
 
the
announcement
 
made
 
by
 
the
 
PRA
 
on
 
31
 
March
 
2020
 
that
 
capital
 
be
 
preserved
 
for
 
use
 
in
 
serving
 
Barclays
 
customers
 
and
 
clients
through
 
the
 
extraordinary
 
challenges
 
presented
 
by
 
the
 
COVID
 
-19
 
pandemic.
 
As
 
part
 
of
 
a
 
response
 
to
 
this
 
announcement,
 
Barcl
 
ays
PLC
 
took
 
steps
 
to
 
provide
 
additional
 
capital
 
to
 
Barclays
 
Bank
 
PLC
 
as
 
part
 
of
 
the
 
£1.5bn
 
of
 
capital
 
contributions
 
made
 
during
 
H120.
 
 
 
 
bbplch120p2i0.gif
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Financial
 
Statement
 
Notes
 
 
 
 
Barclays
 
Bank
 
PLC
 
29
 
 
6.
 
Fair
 
value
 
of
 
financial
 
instruments
This
 
section
 
should
 
be
 
read
 
in
 
conjunction
 
with
 
Note
 
16,
 
Fair
 
value
 
of
 
financial
 
instruments
 
of
 
the
 
Barclays
 
Bank
 
PLC
 
Annual
 
Report
2019
 
and
 
Note
 
1,
 
Basis
 
of
 
preparation
 
on
 
page
 
25,
 
which
 
provides
 
more
 
detail
 
about
 
accounting
 
policies
 
adopted,
 
valuation
methodologies
 
used
 
in
 
calculating
 
fair
 
value
 
and
 
the
 
valuation
 
control
 
framework
 
which
 
governs
 
oversight
 
of
 
valuations.
 
There
have
 
been
 
no
 
changes
 
in
 
the
 
accounting
 
policies
 
adopted
 
or
 
the
 
valuation
 
methodologies
 
used.
 
Valuation
The
 
following
 
table
 
shows
 
Barclays
 
Bank
 
Group’s
 
assets
 
and
 
liabilities
 
that
 
are
 
held
 
at
 
fair
 
value
 
disaggregated
 
by
 
valuation
technique
 
(fair
 
value
 
hierarchy)
 
and
 
balance
 
sheet
 
classification:
 
 
Valuation
 
technique
 
using
Quoted
 
market
prices
Observable
inputs
Significant
unobservable
inputs
(Level
 
1)
(Level
 
2)
(Level
 
3)
Total
As
 
at
 
30.06.20
£m
£m
£m
£m
Trading
 
portfolio
 
assets
49,106
57,277
3,078
109,461
Financial
 
assets
 
at
 
fair
 
value
 
through
 
the
 
income
 
statement
1,824
148,894
4,822
155,540
Derivative
 
financial
 
instruments
8,761
291,142
7,747
307,650
Financial
 
assets
 
at
 
fair
 
value
 
through
 
other
 
comprehensive
 
income
13,172
41,642
347
55,161
Investment
 
property
-
-
10
10
Total
 
assets
72,863
538,955
16,004
627,822
Trading
 
portfolio
 
liabilities
(31,333)
(19,045)
-
(50,378)
Financial
 
liabilities
 
designated
 
at
 
fair
 
value
(123)
(221,664)
(355)
(222,142)
Derivative
 
financial
 
instruments
(8,445)
(290,612)
(8,932)
(307,989)
Total
 
liabilities
(39,901)
(531,321)
(9,287)
(580,509)
As
 
at
 
31.12.19
Trading
 
portfolio
 
assets
59,968
51,105
2,264
113,337
Financial
 
assets
 
at
 
fair
 
value
 
through
 
the
 
income
 
statement
10,300
115,008
4,162
129,470
Derivative
 
financial
 
instruments
5,439
221,048
3,154
229,641
Financial
 
assets
 
at
 
fair
 
value
 
through
 
other
 
comprehensive
 
income
11,577
33,400
429
45,406
Investment
 
property
-
-
13
13
Total
 
assets
87,284
420,561
10,022
517,867
Trading
 
portfolio
 
liabilities
(19,645)
(15,567)
-
(35,212)
Financial
 
liabilities
 
designated
 
at
 
fair
 
value
(82)
(204,021)
(343)
(204,446)
Derivative
 
financial
 
instruments
(5,305)
(219,646)
(3,989)
(228,940)
Total
 
liabilities
(25,032)
(439,234)
(4,332)
(468,598)
 
 
bbplch120p2i0.gif
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Financial
 
Statement
 
Notes
 
 
 
 
Barclays
 
Bank
 
PLC
 
30
 
 
The
 
following
 
table
 
shows
 
Barclays
 
Bank
 
Group’s
 
Level
 
3
 
assets
 
and
 
liabilities
 
that
 
are
 
held
 
at
 
fair
 
value
 
disaggregated
 
by
 
product
type:
As
 
at
 
30.06.20
As
 
at
 
31.12.19
Assets
 
Liabilities
Assets
 
Liabilities
£m
£m
£m
£m
Interest
 
rate
 
derivatives
 
4,152
(3,772)
605
(812)
Foreign
 
exchange
 
derivatives
 
655
(588)
291
(298)
Credit
 
derivatives
193
(456)
539
(342)
Equity
 
derivatives
 
2,730
(4,099)
1,710
(2,528)
Commodity
 
derivatives
 
17
(17)
9
(9)
Corporate
 
debt
 
516
-
521
-
Reverse
 
repurchase
 
and
 
repurchase
 
agreements
 
-
(176)
-
(167)
Non-asset
 
backed
 
loans
 
4,827
-
3,280
-
Asset
 
backed
 
securities
 
740
-
756
-
Equity
 
cash
 
products
 
1,145
-
1,228
-
Private
 
equity
 
investments
126
-
112
-
Other
1
903
(179)
971
(176)
Total
16,004
(9,287)
10,022
(4,332)
 
 
1
 
Other
 
includes
 
commercial
 
real
 
estate
 
loans,
 
fund
 
and
 
fund
 
-linked
 
products,
 
asset
 
backed
 
loans,
 
issued
 
debt,
 
commercial
 
paper,
 
government
 
sponsored
 
debt
 
and
investment
 
property.
 
Assets
 
and
 
liabilities
 
reclassified
 
between
 
Level
 
1
 
and
 
Level
 
2
During
 
the
 
period,
 
there
 
were
 
no
 
material
 
transfers
 
between
 
Level
 
1
 
and
 
Level
 
2
 
(period
 
ended
 
December
 
2019:
 
no
 
material
transfers
 
between
 
Level
 
1
 
and
 
Level
 
2).
 
Level
 
3
 
movement
 
analysis
The
 
following
 
table
 
summarises
 
the
 
movements
 
in
 
the
 
balances
 
of
 
Level
 
3
 
assets
 
and
 
liabilities
 
during
 
the
 
period.
 
The
 
table
 
shows
gains
 
and
 
losses
 
and
 
includes
 
amounts
 
for
 
all
 
financial
 
assets
 
and
 
liabilities
 
that
 
are
 
held
 
at
 
fair
 
value
 
transferred
 
to
 
and
 
from
 
Level
3
 
during
 
the
 
period.
 
Transfers
 
have
 
been
 
reflected
 
as
 
if
 
they
 
had
 
taken
 
place
 
at
 
the
 
beginning
 
of
 
the
 
year.
Asset
 
and
 
liability
 
moves
 
between
 
Level
 
2
 
and
 
Level
 
3
 
are
 
primarily
 
due
 
to
 
i)
 
an
 
increase
 
or
 
decrease
 
in
 
observable
 
market
 
activity
relat
 
ed
 
to
 
an
 
input
 
or
 
ii)
 
a
 
change
 
in
 
the
 
significance
 
of
 
the
 
unobservable
 
input,
 
with
 
assets
 
and
 
liabilities
 
classified
 
as
 
Level
 
3
 
if
 
an
unobservable
 
input
 
is
 
deemed
 
significant.
 
 
 
bbplch120p2i0.gif
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Financial
 
Statement
 
Notes
 
 
 
 
Barclays
 
Bank
 
PLC
 
31
 
 
Level
 
3
 
movement
 
analysis
Purchases
Sales
Issues
Settle
 
-
ments
Total
 
gains
 
and
 
losses
in
 
the
 
period
recognised
 
in
 
the
income
 
statement
Total
 
gains
or
 
losses
recognised
in
 
OCI
Transfers
As
 
at
30.06.20
As
 
at
01.01.20
Trading
income
Other
income
In
Out
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
Corporate
 
debt
120
25
 
-
 
 
-
 
 
-
 
(26)
 
-
 
 
-
 
4
(17)
106
Non-asset
 
backed
 
loans
974
1,927
(740)
 
-
 
(4)
(111)
 
-
 
 
-
 
97
(320)
1,823
Asset
 
backed
 
securities
656
249
(224)
 
-
 
(76)
(12)
 
-
 
 
-
 
41
(11)
623
Equity
 
cash
 
products
392
2
(4)
 
-
 
 
-
 
(67)
 
-
 
 
-
 
28
(4)
347
Other
122
47
 
-
 
 
-
 
 
-
 
2
 
-
 
 
-
 
8
 
-
 
179
Trading
 
portfolio
 
assets
2,264
2,250
(968)
 
-
 
(80)
(214)
 
-
 
 
-
 
178
(352)
3,078
Non-asset
 
backed
 
loans
1,964
1,050
(270)
 
-
 
(112)
110
 
-
 
 
-
 
 
-
 
 
-
 
2,742
Equity
 
cash
 
products
835
14
 
-
 
 
-
 
 
-
 
(22)
(29)
 
-
 
 
-
 
 
-
 
798
Private
 
equity
 
investments
113
1
(2)
 
-
 
 
-
 
2
4
 
-
 
20
(12)
126
Other
1,250
1,865
(2,017)
 
-
 
(13)
(8)
55
 
-
 
24
 
-
 
1,156
Financial
 
assets
 
at
 
fair
 
value
through
 
the
 
income
 
statement
4,162
2,930
(2,289)
 
-
 
(125)
82
30
 
-
 
44
(12)
4,822
Non-asset
 
backed
 
loans
343
79
 
-
 
 
-
 
(157)
 
-
 
 
-
 
(3)
 
-
 
 
-
 
262
Asset
 
backed
 
securities
86
 
-
 
(1)
 
-
 
 
-
 
1
 
-
 
(1)
 
-
 
 
-
 
85
Financial
 
assets
 
at
 
fair
 
value
through
 
other
 
comprehensive
income
429
79
(1)
 
-
 
(157)
1
 
-
 
(4)
 
-
 
 
-
 
347
Investment
 
property
13
 
-
 
(1)
 
-
 
 
-
 
 
-
 
(2)
 
-
 
2
(2)
10
Trading
 
portfolio
 
liabilities
 
-
 
 
-
 
 
-
 
 
-
 
 
-
 
 
-
 
 
-
 
 
-
 
 
-
 
 
-
 
 
-
 
Issued
 
debt
(146)
 
-
 
 
-
 
(3)
 
-
 
 
-
 
 
-
 
 
-
 
(22)
14
(157)
Other
(197)
 
-
 
 
-
 
 
-
 
 
-
 
(12)
(1)
 
-
 
 
-
 
12
(198)
Financial
 
liabilities
designated
 
at
 
fair
 
value
(343)
 
-
 
 
-
 
(3)
 
-
 
(12)
(1)
 
-
 
(22)
26
(355)
Interest
 
rate
 
derivatives
(206)
17
 
-
 
 
-
 
10
268
1
 
-
 
300
(10)
380
Foreign
 
exchange
 
derivatives
(7)
 
-
 
 
-
 
 
-
 
(12)
89
 
-
 
 
-
 
5
(8)
67
Credit
 
derivatives
198
(258)
11
 
-
 
(376)
151
1
 
-
 
2
8
(263)
Equity
 
derivatives
(820)
(447)
(1)
 
-
 
17
(90)
 
-
 
 
-
 
(5)
(23)
(1,369)
Commodity
 
derivatives
 
-
 
 
-
 
 
-
 
 
-
 
 
-
 
 
-
 
 
-
 
 
-
 
 
-
 
 
-
 
 
-
 
Net
 
derivative
 
financial
instruments
1
(835)
(688)
10
 
-
 
(361)
418
2
 
-
 
302
(33)
(1,185)
Total
5,690
4,571
(3,249)
(3)
(723)
275
29
(4)
504
(373)
6,717
 
1
 
Derivative
 
financial
 
instruments
 
are
 
represented
 
on
 
a
 
net
 
basis.
 
On
 
a
 
gross
 
basis,
 
derivative
 
financial
 
assets
 
were
 
£7,747m
 
and
 
derivative
 
financial
 
liabilities
 
were
£8,932m.
 
 
bbplch120p2i0.gif
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Financial
 
Statement
 
Notes
 
 
 
 
Barclays
 
Bank
 
PLC
 
32
 
 
Level
 
3
 
movement
 
analysis
Purchases
Sales
Issues
Settle-
ments
Total
 
gains
 
and
losses
 
in
 
the
 
period
recognised
 
in
 
the
income
 
statement
Transfers
As
 
at
30.06.19
As
 
at
01.01.19
Trading
income
Other
income
In
Out
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
Government
 
and
 
government
sponsored
 
debt
14
2
 
-
 
 
-
 
 
-
 
 
-
 
 
-
 
 
-
 
(14)
2
Corporate
 
debt
388
70
(24)
 
-
 
(31)
14
 
-
 
32
(74)
375
Non-asset
 
backed
 
loans
2,263
1,235
(1,260)
 
-
 
(19)
12
 
-
 
19
(90)
2,160
Asset
 
backed
 
securities
664
81
(127)
 
-
 
 
-
 
5
 
-
 
16
(29)
610
Equity
 
cash
 
products
136
48
(13)
 
-
 
 
-
 
(2)
 
-
 
116
(20)
265
Other
148
 
-
 
 
-
 
 
-
 
(1)
(10)
 
-
 
 
-
 
(1)
136
Trading
 
portfolio
 
assets
3,613
1,436
(1,424)
 
-
 
(51)
19
 
-
 
183
(228)
3,548
Non-asset
 
backed
 
loans
1,836
2
 
-
 
 
-
 
(132)
70
 
-
 
 
-
 
(1)
1,775
Equity
 
cash
 
products
559
9
 
-
 
 
-
 
(10)
4
178
 
-
 
 
-
 
740
Private
 
equity
 
investments
191
4
(3)
 
-
 
(1)
 
-
 
(6)
 
-
 
 
-
 
185
Other
2,064
2,334
(2,619)
 
-
 
(2)
17
9
24
(840)
987
Financial
 
assets
 
at
 
fair
 
value
through
 
the
 
income
 
statement
4,650
2,349
(2,622)
 
-
 
(145)
91
181
24
(841)
3,687
Non-asset
 
backed
 
loans
353
48
 
-
 
 
-
 
(55)
 
-
 
 
-
 
 
-
 
(218)
128
Asset
 
backed
 
securities
 
-
 
40
 
-
 
 
-
 
 
-
 
 
-
 
 
-
 
 
-
 
 
-
 
40
Equity
 
cash
 
products
2
 
-
 
 
-
 
 
-
 
 
-
 
 
-
 
 
-
 
 
-
 
 
-
 
2
Financial
 
assets
 
at
 
fair
 
value
through
 
other
 
comprehensive
income
355
88
 
-
 
 
-
 
(55)
 
-
 
 
-
 
 
-
 
(218)
170
Investment
 
property
9
 
-
 
 
-
 
 
-
 
 
-
 
 
-
 
(1)
 
-
 
 
-
 
8
Trading
 
portfolio
 
liabilities
(3)
 
-
 
 
-
 
 
-
 
 
-
 
2
 
-
 
(5)
 
-
 
(6)
 
-
 
Certificates
 
of
 
deposit,
 
commercial
paper
 
and
 
other
 
money
 
market
instruments
(10)
 
-
 
 
-
 
 
-
 
1
 
-
 
(1)
(11)
 
-
 
(21)
Issued
 
debt
(251)
 
-
 
 
-
 
(16)
1
5
 
-
 
(3)
1
(263)
Financial
 
liabilities
 
designated
 
at
fair
 
value
(261)
 
-
 
 
-
 
(16)
2
5
(1)
(14)
1
(284)
Interest
 
rate
 
derivatives
22
(3)
 
-
 
 
-
 
76
116
 
-
 
(107)
145
249
Foreign
 
exchange
 
derivatives
7
 
-
 
 
-
 
 
-
 
(12)
(41)
 
-
 
(51)
17
(80)
Credit
 
derivatives
1,050
(63)
4
 
-
 
(3)
86
 
-
 
2
3
1,079
Equity
 
derivatives
(607)
(122)
(5)
 
-
 
23
89
 
-
 
(16)
292
(346)
Commodity
 
derivatives
 
-
 
 
-
 
 
-
 
 
-
 
 
-
 
 
-
 
 
-
 
 
-
 
 
-
 
 
-
 
Net
 
derivative
 
financial
instruments
1
472
(188)
(1)
 
-
 
84
250
 
-
 
(172)
457
902
Total
8,835
3,685
(4,047)
(16)
(165)
367
179
16
(829)
8,025
 
1
 
Derivative
 
financial
 
instruments
 
are
 
presented
 
on
 
a
 
net
 
basis.
 
On
 
a
 
gross
 
basis,
 
derivative
 
financial
 
assets
 
were
 
£5,701m
 
and
 
derivative
 
financial
 
liabilities
 
were
£4,799m.
 
 
bbplch120p2i0.gif
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Financial
 
Statement
 
Notes
 
 
 
 
Barclays
 
Bank
 
PLC
 
33
 
 
Unrealised
 
gains
 
and
 
losses
 
on
 
Level
 
3
 
financial
 
assets
 
and
 
liabilities
The
 
following
 
table
 
discloses
 
the
 
unrealised
 
gains
 
and
 
losses
 
recognised
 
in
 
the
 
period
 
arising
 
on
 
Level
 
3
 
financial
 
assets
 
and
liabilities
 
held
 
at
 
the
 
period
 
end.
 
Half
 
year
 
ended
 
30.06.20
Half
 
year
 
ended
 
30.06.19
Income
 
statement
Other
compre-
hensive
income
Total
Income
 
statement
Other
compre-
hensive
income
Total
Trading
income
Other
income
Trading
income
Other
income
£m
£m
£m
£m
£m
£m
£m
£m
Trading
 
portfolio
 
assets
(177)
-
-
(177)
21
-
-
21
Financial
 
assets
 
at
 
fair
 
value
 
through
 
the
 
income
statement
126
(24)
-
102
75
178
-
253
Financial
 
assets
 
at
 
fair
 
value
 
through
 
other
comprehensive
 
income
-
-
(2)
(2)
-
-
-
-
Investment
 
properties
-
(2)
-
(2)
-
(1)
-
(1)
Trading
 
portfolio
 
liabilities
-
-
-
-
2
-
-
2
Financial
 
liabilities
 
designated
 
at
 
fair
 
value
(16)
(1)
-
(17)
6
-
-
6
Net
 
derivative
 
financial
 
instruments
 
248
-
-
248
212
-
-
212
Total
181
(27)
(2)
152
316
177
-
493
 
Valuation
 
techniques
 
and
 
sensitivity
 
analysis
Sensitivity
 
analysis
 
is
 
performed
 
on
 
products
 
with
 
significant
 
unobservable
 
inputs
 
(Level
 
3)
 
to
 
generate
 
a
 
range
 
of
 
reasonably
possible
 
alternative
 
valuations.
 
The
 
sensitivity
 
methodologies
 
applied
 
take
 
account
 
of
 
the
 
nature
 
of
 
valuation
 
techniques
 
used,
 
as
well
 
as
 
the
 
availability
 
and
 
reliability
 
of
 
observable
 
proxy
 
and
 
historical
 
data
 
and
 
the
 
impact
 
of
 
using
 
alternative
 
models.
 
Sensitivity
 
analysis
 
of
 
valuations
 
using
 
unobservable
 
inputs
As
 
at
 
30.06.20
As
 
at
 
31.12.19
Favourable
 
changes
Unfavourable
 
changes
Favourable
 
changes
Unfavourable
 
changes
Income
statement
Equity
Income
Statement
Equity
Income
statement
Equity
Income
Statement
Equity
£m
£m
£m
£m
£m
£m
£m
£m
Interest
 
rate
 
derivatives
138
-
(256)
-
44
-
(127)
-
Foreign
 
exchange
 
derivatives
7
-
(11)
-
5
-
(7)
-
Credit
 
derivatives
127
-
(109)
-
73
-
(47)
-
Equity
 
derivatives
151
-
(158)
-
114
-
(119)
-
Commodity
 
derivatives
-
-
-
-
-
-
-
-
Corporate
 
debt
23
-
(23)
11
-
(16)
-
Non-asset
 
backed
 
loans
159
4
(322)
(4)
125
8
(228)
(8)
Equity
 
cash
 
products
164
-
(206)
-
123
-
(175)
-
Private
 
equity
 
investments
18
-
(19)
-
16
-
(25)
-
Other
1
2
-
(2)
-
1
-
(1)
-
Total
789
4
(1,106)
(4)
512
8
(745)
(8)
 
1
 
Other
 
includes
 
commercial
 
real
 
estate
 
loans,
 
fund
 
and
 
fund
 
-linked
 
products,
 
asset
 
backed
 
loans,
 
issued
 
debt,
 
commercial
 
paper,
 
government
 
sponsored
 
debt
 
and
investment
 
propert
 
y.
The
 
effect
 
of
 
stressing
 
unobservable
 
inputs
 
to
 
a
 
range
 
of
 
reasonably
 
possible
 
alter
 
natives,
 
alongside
 
considering
 
the
 
impact
 
of
 
using
alternative
 
models,
 
would
 
be
 
to
 
increase
 
fair
 
values
 
by
 
up
 
to
 
£793m
 
(December
 
2019:
 
£520m)
 
or
 
to
 
decrease
 
fair
 
values
 
by
 
up
 
to
£1,110m
 
(December
 
2019:
 
£753m)
 
with
 
substantially
 
all
 
the
 
potential
 
effect
 
impacting
 
profit
 
and
 
loss
 
rather
 
than
 
reserves.
 
 
bbplch120p2i0.gif
 
 
 
 
 
 
Financial
 
Statement
 
Notes
 
 
 
 
Barclays
 
Bank
 
PLC
 
34
 
 
Significant
 
unobservable
 
inputs
The
 
valuation
 
techniques
 
and
 
significant
 
unobservable
 
inputs
 
for
 
assets
 
and
 
liabilities
 
recognised
 
at
 
fair
 
value
 
and
 
classified
 
as
 
Level
3
 
are
 
consistent
 
with
 
Note
 
16,
 
Fair
 
value
 
of
 
financial
 
instruments
 
in
 
the
 
Barclays
 
Bank
 
PLC
 
Annual
 
Report
 
2019.
 
The
 
description
 
of
the
 
significant
 
unobservable
 
inputs
 
and
 
the
 
sensitivity
 
of
 
fair
 
value
 
measurement
 
of
 
the
 
instruments
 
categorised
 
as
 
Level
 
3
 
assets
 
or
liabilities
 
to
 
increases
 
in
 
significant
 
unobservable
 
inputs
 
is
 
also
 
found
 
in
 
Note
 
16,
 
Fair
 
value
 
of
 
financial
 
instruments
 
of
 
the
 
Barclays
Bank
 
PLC
 
Annual
 
Report
 
2019.
 
Fair
 
value
 
adjustments
Key
 
balance
 
sheet
 
valuation
 
adjustments
 
are
 
quantified
 
below:
As
 
at
As
 
at
30.06.20
31.12.19
£m
£m
Exit
 
price
 
adjustments
 
derived
 
from
 
market
 
bid-offer
 
spreads
(564)
(420)
Uncollateralised
 
derivative
 
funding
(181)
(57)
Derivative
 
credit
 
valuation
 
adjustments
(378)
(135)
Derivative
 
debit
 
valuation
 
adjustments
148
155
 
●
 
Exit
 
price
 
adjustments
 
derived
 
from
 
market
 
bid-offer
 
spreads
 
increased
 
by
 
£144m
 
to
 
£564m
 
as
 
a
 
result
 
of
 
movements
 
in
 
market
bid
 
offer
 
spreads.
●
 
Uncollateralised
 
derivative
 
funding
 
increased
 
by
 
£124m
 
to
 
£181m
 
as
 
a
 
result
 
of
 
widening
 
input
 
funding
 
spreads
 
and
 
an
 
update
to
 
methodology.
●
 
Derivative
 
credit
 
valuation
 
adjust
 
ments
 
increased
 
by
 
£243m
 
to
 
£378m
 
as
 
a
 
result
 
of
 
widening
 
input
 
counterparty
 
credit
spreads.
●
 
Derivative
 
debit
 
valuation
 
adjustments
 
decreased
 
by
 
£7m
 
to
 
£148m
 
as
 
a
 
result
 
of
 
widening
 
input
 
Barclays
 
Bank
 
PLC
 
credit
spreads
 
and
 
an
 
update
 
to
 
methodology.
 
 
Portfolio
 
exemption
Barclays
 
Bank
 
Group
 
uses
 
the
 
portfolio
 
exemption
 
in
 
IFRS
 
13,
 
Fair
 
Value
 
Measurement
 
to
 
measure
 
the
 
fair
 
value
 
of
 
groups
 
of
financial
 
assets
 
and
 
liabilities.
 
Instruments
 
are
 
measured
 
using
 
the
 
price
 
that
 
would
 
be
 
received
 
to
 
sell
 
a
 
net
 
long
 
position
 
(i.e.
 
an
asset)
 
for
 
a
 
particular
 
risk
 
exposure
 
or
 
to
 
transfer
 
a
 
net
 
short
 
position
 
(i.e.
 
a
 
liability)
 
for
 
a
 
particular
 
risk
 
exposure
 
in
 
an
 
orderly
transaction
 
between
 
market
 
participants
 
at
 
the
 
balance
 
sheet
 
date
 
under
 
current
 
market
 
conditions.
 
Accordingly,
 
the
 
Barclays
 
Bank
Group
 
measures
 
the
 
fair
 
value
 
of
 
the
 
group
 
of
 
financial
 
assets
 
and
 
liabilities
 
consistently
 
with
 
how
 
market
 
participants
 
would
 
price
the
 
net
 
risk
 
exposure
 
at
 
the
 
measurement
 
date.
 
Unrecognised
 
gains
 
as
 
a
 
result
 
of
 
the
 
use
 
of
 
valuation
 
models
 
using
 
unobservable
 
inputs
The
 
amount
 
that
 
has
 
yet
 
to
 
be
 
rec
 
ognised
 
in
 
income
 
that
 
relates
 
to
 
the
 
difference
 
between
 
the
 
transaction
 
price
 
(the
 
fair
 
value
 
at
initial
 
recognition)
 
and
 
the
 
amount
 
that
 
would
 
have
 
arisen
 
had
 
valuation
 
models
 
using
 
unobservable
 
inputs
 
been
 
used
 
on
 
initial
recognition,
 
less
 
amounts
 
subsequently
 
recognised,
 
is
 
£101m
 
(December
 
2019:
 
£100m)
 
for
 
financial
 
instruments
 
measured
 
at
 
fair
value
 
and
 
£31m
 
(December
 
2019
 
:
 
£31m)
 
for
 
financial
 
instruments
 
carried
 
at
 
amortised
 
cost.
 
There
 
are
 
additions
 
of
 
£11m
(December
 
2019:
 
£40m)
 
and
 
amortisation
 
and
 
releases
 
of
 
£10m
 
(December
 
2019:
 
£67m)
 
for
 
financial
 
instruments
 
measured
 
at
 
fair
value
 
and
 
additions
 
of
 
£1m
 
(December
 
2019:
 
£2m)
 
and
 
amortisation
 
and
 
releases
 
of
 
£1m
 
(December
 
2019:
 
£2m)
 
for
 
financial
instruments
 
carried
 
at
 
amortised
 
cost
 
.
 
Third
 
party
 
credit
 
enhancements
Structured
 
and
 
brokered
 
certificates
 
of
 
deposit
 
issued
 
by
 
Barclays
 
Bank
 
Group
 
are
 
insured
 
up
 
to
 
$250,000
 
per
 
depositor
 
by
 
the
Federal
 
Deposit
 
Insurance
 
Corporation
 
(FDIC)
 
in
 
the
 
United
 
States.
 
The
 
FDIC
 
is
 
funded
 
by
 
premiums
 
that
 
the
 
Barclays
 
Bank
 
Group
 
and
other
 
banks
 
pay
 
for
 
deposit
 
insurance
 
coverage.
 
The
 
carrying
 
value
 
of
 
these
 
issued
 
certificates
 
of
 
deposit
 
that
 
are
 
designated
 
under
the
 
IFRS
 
9
 
fair
 
value
 
option
 
includes
 
this
 
third
 
party
 
credit
 
enhancement.
 
The
 
on-balance
 
sheet
 
value
 
of
 
these
 
brokered
 
certificates
 
of
deposit
 
amounted
 
to
 
£3,162m
 
(December
 
2019:
 
£3,218m).
 
 
 
bbplch120p2i0.gif
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Financial
 
Statement
 
Notes
 
 
 
 
Barclays
 
Bank
 
PLC
 
35
 
 
Comparison
 
of
 
carrying
 
amounts
 
and
 
fair
 
values
 
for
 
assets
 
and
 
liabilities
 
not
 
held
 
at
 
fair
 
value
Valuation
 
methodologies
 
employed
 
in
 
calculating
 
the
 
fair
 
value
 
of
 
financial
 
assets
 
and
 
liabilities
 
measured
 
at
 
amortised
 
cost
 
are
consistent
 
with
 
the
 
Barclays
 
Bank
 
PLC
 
Annual
 
Report
 
2019
 
disclosure.
 
The
 
following
 
table
 
summarises
 
the
 
fair
 
value
 
of
 
financial
 
assets
 
and
 
liabilities
 
measured
 
at
 
amortised
 
cost
 
on
 
the
 
Barclays
 
Bank
Group’s
 
balance
 
sheet:
 
As
 
at
 
30.06.20
As
 
at
 
31.12.19
Carrying
amount
Fair
 
value
Carrying
amount
Fair
 
value
Financial
 
assets
£m
£m
£m
£m
Loans
 
and
 
advances
 
at
 
amortised
 
cost
150,203
149,511
141,636
141,251
Reverse
 
repurchase
 
agreements
 
and
 
other
 
similar
 
secured
 
lending
19,811
19,811
1,731
1,731
Financial
 
liabilities
Deposits
 
at
 
amortised
 
cost
(245,737)
(245,758)
(213,881)
(213,897)
Repurchase
 
agreements
 
and
 
other
 
similar
 
secured
 
borrowing
(4,033)
(4,033)
(2,032)
(2,032)
Debt
 
securities
 
in
 
issue
(50,496)
(50,568)
(33,536)
(33,529)
Subordinated
 
liabilities
(36,965)
(37,675)
(33,425)
(34,861)
 
 
7.
 
Subordinated
 
liabilities
Half
 
year
ended
Year
 
ended
30.06.20
31.12.19
£m
 
£m
 
Opening
 
balance
 
as
 
at
 
1
 
January
33,425
35,327
Issuances
3,162
6,785
Redemptions
(2,814)
(7,804)
Other
3,192
(883)
Closing
 
balance
36,965
33,425
 
Issuances
 
of
 
£3,162m
 
comprises
 
£3,082m
 
intra
 
-group
 
loans
 
from
 
Barclays
 
PLC
 
as
 
well
 
as
 
£80m
 
USD
 
Floating
 
Rate
 
Notes
 
issued
externally
 
by
 
a
 
Barclays
 
Bank
 
PLC
 
subsidiary.
 
Redemptions
 
of
 
£2,814m
 
comprises
 
£2,518m
 
intra
 
-group
 
loans
 
from
 
Barclays
 
PLC
 
as
 
well
 
as
 
£266m
 
USD
 
Floating
 
Rate
 
Notes
 
and
£30m
 
USD
 
Fixed
 
Rate
 
Notes
 
issued
 
externally
 
by
 
Barclays
 
Bank
 
PLC
 
subsidiaries.
 
Other
 
movements
 
predominantly
 
include
 
foreign
 
exchange
 
and
 
fair
 
value
 
hedge
 
adjustments.
 
 
8.
 
Provisions
As
 
at
As
 
at
 
30.06.20
31.12.19
£m
£m
Customer
 
redress
27
71
Legal,
 
competition
 
and
 
regulatory
 
matters
250
374
Redundancy
 
and
 
restructuring
34
63
Undrawn
 
contractually
 
committed
 
facilities
 
and
 
guarantees
593
252
Onerous
 
contracts
9
20
Sundry
 
provisions
172
171
Total
1,085
951
 
 
bbplch120p2i0.gif
Financial
 
Statement
 
Notes
 
 
 
 
Barclays
 
Bank
 
PLC
 
36
 
 
9.
 
Retirement
 
benefits
As
 
at
 
30
 
June
 
2020,
 
Barclays
 
Bank
 
Group’s
 
IAS
 
19
 
pension
 
surplus
 
across
 
all
 
schemes
 
was
 
£2.5bn
 
(December
 
2019:
 
£1.8bn).
 
The
 
UK
Retirement
 
Fund
 
(UKRF),
 
which
 
is
 
the
 
Group’s
 
main
 
scheme,
 
had
 
an
 
IAS
 
19
 
pension
 
surplus
 
of
 
£2.8bn
 
(December
 
2019:
 
£2.1bn).
 
The
movement
 
for
 
the
 
UKRF
 
was
 
driven
 
by
 
higher
 
than
 
assumed
 
asset
 
returns
 
and
 
lower
 
than
 
expected
 
long-
 
term
 
price
 
inflation,
partially
 
offset
 
by
 
a
 
decrease
 
in
 
the
 
discount
 
rate.
 
 
UKRF
 
funding
 
valuations
The
 
last
 
triennial
 
actuarial
 
valuation
 
of
 
the
 
UKRF
 
had
 
an
 
effective
 
date
 
of
 
30
 
September
 
2019
 
and
 
was
 
completed
 
in
 
February
 
2020.
This
 
valuation
 
showed
 
a
 
funding
 
deficit
 
of
 
£2.3bn
 
and
 
a
 
funding
 
level
 
of
 
94.0%.
 
A
 
revised
 
deficit
 
recovery
 
plan
 
was
 
agreed
 
with
deficit
 
reduction
 
contributions
 
required
 
from
 
Barclays
 
Bank
 
PLC
 
of
 
£500m
 
in
 
2019,
 
£500m
 
in
 
2020,
 
£700m
 
in
 
2021,
 
£294m
 
in
 
2022
and
 
£286m
 
in
 
2023.
 
The
 
deficit
 
reduction
 
contributions
 
are
 
in
 
addition
 
to
 
the
 
regular
 
contributions
 
to
 
meet
 
the
 
Group’s
 
share
 
of
the
 
cost
 
of
 
benefits
 
accruing
 
over
 
each
 
year.
 
On
 
12
 
June
 
2020,
 
Barclays
 
Bank
 
PLC
 
paid
 
the
 
£500m
 
deficit
 
reduction
 
contribu
 
tion
 
agreed
 
for
 
2020
 
and
 
at
 
the
 
same
 
time
 
the
 
UKRF
subscribed
 
for
 
non-transferrable
 
listed
 
senior
 
fixed
 
rate
 
notes
 
for
 
£750m,
 
backed
 
by
 
UK
 
gilts
 
(the
 
Senior
 
Notes).
 
These
 
Senior
 
Notes
entitle
 
the
 
UKRF
 
to
 
semi-annual
 
coupon
 
payments
 
for
 
five
 
years,
 
and
 
full
 
repayment
 
in
 
cash
 
in
 
three
 
equal
 
tranches
 
in
 
2023,
 
2024,
and
 
at
 
final
 
maturity
 
in
 
2025.
 
The
 
Senior
 
Notes
 
were
 
issued
 
by
 
Heron
 
Issuer
 
Number
 
2
 
Limited
 
(Heron
 
2),
 
an
 
entity
 
that
 
is
consolidated
 
within
 
the
 
Barclays
 
Bank
 
Group
 
under
 
IFRS
 
10.
 
As
 
a
 
result
 
of
 
the
 
investment
 
in
 
Senior
 
Notes,
 
the
 
regulatory
 
capital
impact
 
of
 
the
 
£500m
 
deficit
 
reduction
 
contribution
 
paid
 
on
 
12
 
June
 
2020
 
takes
 
effect
 
in
 
2023,
 
2024
 
and
 
2025
 
on
 
maturity
 
of
 
the
notes.
 
The
 
£250m
 
additional
 
investment
 
by
 
the
 
UKRF
 
in
 
the
 
Senior
 
Notes
 
has
 
a
 
positive
 
capital
 
impact
 
in
 
2020
 
which
 
is
 
reduced
equally
 
in
 
2023,
 
2024
 
and
 
2025
 
on
 
the
 
maturity
 
of
 
the
 
notes.
 
Heron
 
2
 
acquired
 
a
 
total
 
of
 
£750m
 
of
 
gilts
 
from
 
Barclays
 
Bank
 
PLC
 
for
cash
 
to
 
support
 
payments
 
on
 
the
 
Senior
 
Notes.
 
 
The
 
next
 
triennial
 
actuarial
 
valuation
 
of
 
the
 
UKRF
 
is
 
due
 
to
 
be
 
completed
 
in
 
2023
 
with
 
an
 
effective
 
date
 
of
 
30
 
September
 
2022.
 
10.
 
Called
 
up
 
share
 
capital
Ordinary
 
shares
As
 
at
 
30
 
June
 
2020
 
the
 
issued
 
ordinary
 
share
 
capital
 
of
 
Barclays
 
Bank
 
PLC
 
comprised
 
2,342m
 
(December
 
2019:
 
2,342m)
 
ordinary
shares
 
of
 
£1
 
each.
Preference
 
share
 
s
As
 
at
 
30
 
June
 
2020
 
the
 
issued
 
preference
 
share
 
capital
 
of
 
Barclays
 
Bank
 
PLC
 
of
 
£6m
 
(December
 
2019:
 
£6m)
 
comprise
 
d
 
1,000
Sterling
 
Preference
 
Shares
 
of
 
£1
 
each
 
(December
 
2019:
 
1,000);
 
31,856
 
Euro
 
Preference
 
Shares
 
of
 
€100
 
each
 
(December
 
2019:
31,856);
 
and
 
58,133
 
US
 
Dollar
 
Preference
 
shares
 
of
 
$100
 
each
 
(December
 
2019:
 
58,133).
There
 
were
 
no
 
issuances
 
or
 
redemption
 
s
 
of
 
ordinary
 
or
 
preference
 
shares
 
in
 
the
 
six
 
months
 
to
 
30
 
June
 
2020.
 
11.
 
Other
 
equity
 
instruments
Other
 
equity
 
instruments
 
of
 
£8,323m
 
(December
 
2019:
 
£8,323m)
 
are
 
AT1
 
securities
 
issued
 
to
 
Barclays
 
PLC
 
.
 
Barclays
 
PLC
 
uses
 
funds
from
 
the
 
market
 
issuance
 
to
 
purchase
 
AT1
 
securities
 
from
 
Barclays
 
Bank
 
PLC.
 
There
 
have
 
been
 
no
 
issuances
 
or
 
redemptions
 
in
 
the
period.
 
The
 
AT1
 
securities
 
are
 
perpetual
 
securities
 
with
 
no
 
fixed
 
maturity
 
and
 
are
 
structured
 
to
 
qualify
 
as
 
AT1
 
instruments
 
under
 
prevailing
capital
 
rules
 
applicable
 
as
 
at
 
the
 
relevant
 
issue
 
date.
 
AT1
 
securities
 
are
 
undated
 
and
 
are
 
redeemab
 
le,
 
at
 
the
 
option
 
of
 
Barclays
 
Bank
PLC,
 
in
 
whole
 
at
 
the
 
initial
 
call
 
date,
 
or
 
on
 
any
 
fifth
 
anniversary
 
after
 
the
 
initial
 
call
 
date.
 
In
 
addition,
 
the
 
AT1
 
securities
 
are
redeemable,
 
at
 
the
 
option
 
of
 
Barclays
 
Bank
 
PLC,
 
in
 
whole
 
in
 
the
 
event
 
of
 
certain
 
changes
 
in
 
the
 
tax
 
or
 
regulatory
 
treatment
 
of
 
the
securities.
 
Any
 
redemptions
 
require
 
the
 
prior
 
consent
 
of
 
the
 
PRA.
 
 
bbplch120p2i0.gif
 
 
 
 
 
 
 
 
 
 
Financial
 
Statement
 
Notes
 
 
 
 
Barclays
 
Bank
 
PLC
 
37
 
 
12.
 
Other
 
reserves
As
 
at
As
 
at
30.06.20
31.12.19
£m
£m
Currency
 
translation
 
reserve
4,769
3,383
Fair
 
value
 
through
 
other
 
comprehensive
 
income
 
reserve
(2)
(139)
Cash
 
flow
 
hedging
 
reserve
1,453
388
Own
 
credit
 
reserve
123
(373)
Other
 
reserves
 
(24)
(24)
Total
6,319
3,235
 
Currency
 
translation
 
reserve
The
 
currency
 
translation
 
reserve
 
represents
 
the
 
cumulative
 
gains
 
and
 
losses
 
on
 
the
 
retranslation
 
of
 
Barclays
 
Bank
 
Group’s
 
net
investment
 
in
 
foreign
 
operations,
 
net
 
of
 
the
 
effects
 
of
 
hedging.
 
As
 
at
 
30
 
June
 
2020,
 
there
 
was
 
a
 
credit
 
balance
 
of
 
£4,769m
 
(December
 
2019:
 
£3,383m
 
credit)
 
in
 
the
 
currency
 
translation
 
reserve.
The
 
£1,386m
 
credit
 
movement
 
principally
 
reflected
 
the
 
strengthening
 
of
 
period
 
end
 
USD
 
exchange
 
rate
 
against
 
GBP.
 
Fair
 
value
 
through
 
other
 
comprehensive
 
income
 
reserve
The
 
fair
 
value
 
through
 
other
 
comprehensive
 
income
 
reserve
 
represents
 
the
 
unrealised
 
change
 
in
 
the
 
fair
 
value
 
through
 
other
comprehensive
 
income
 
investments
 
since
 
initial
 
recognition.
 
 
As
 
at
 
30
 
June
 
2020,
 
there
 
was
 
a
 
debit
 
balance
 
of
 
£2m
 
(December
 
2019:
 
£139m
 
debit)
 
in
 
the
 
fair
 
value
 
through
 
other
 
comprehensive
income
 
reserve.
 
The
 
gain
 
of
 
£137m
 
is
 
principally
 
driven
 
by
 
a
 
£277
 
m
 
gain
 
from
 
the
 
increase
 
in
 
fair
 
value
 
of
 
bonds
 
due
 
to
 
decreasing
bond
 
yields.
 
This
 
is
 
partially
 
offset
 
by
 
£114m
 
of
 
net
 
gains
 
transferred
 
to
 
the
 
income
 
statement
 
and
 
a
 
tax
 
charge
 
of
 
£42m.
 
Cash
 
flow
 
hedging
 
reserve
The
 
cash
 
flow
 
hedging
 
reserve
 
represents
 
the
 
cumulative
 
gains
 
and
 
losses
 
on
 
effective
 
cash
 
flow
 
hedging
 
instruments
 
that
 
will
 
be
recycled
 
to
 
the
 
income
 
statement
 
when
 
the
 
hedged
 
transactions
 
affect
 
profit
 
or
 
loss.
 
As
 
at
 
30
 
June
 
2020,
 
there
 
was
 
a
 
credit
 
balance
 
of
 
£1,453m
 
(December
 
2019:
 
£388m
 
credit)
 
in
 
the
 
cash
 
flow
 
hedging
 
reserve.
 
The
increase
 
of
 
£1,065m
 
principally
 
reflect
 
s
 
a
 
£1,587m
 
increase
 
in
 
the
 
fair
 
value
 
of
 
interest
 
rate
 
swaps
 
held
 
for
 
hedging
 
purpose
 
as
major
 
interest
 
ra
 
te
 
forward
 
curves
 
decreased
 
.
 
This
 
is
 
partially
 
offset
 
by
 
£117m
 
of
 
gains
 
transferred
 
to
 
the
 
income
 
statement
 
and
 
a
tax
 
charge
 
of
 
£408m.
 
Own
 
credit
 
reserve
The
 
own
 
credit
 
reserve
 
reflects
 
the
 
cumulative
 
own
 
credit
 
gains
 
and
 
losses
 
on
 
financial
 
liabilities
 
at
 
fair
 
value.
 
Amounts
 
in
 
the
 
own
credit
 
reserve
 
are
 
not
 
recycled
 
to
 
profit
 
or
 
loss
 
in
 
future
 
periods.
 
As
 
at
 
30
 
June
 
2020,
 
there
 
was
 
a
 
credit
 
balance
 
of
 
£123m
 
(December
 
2019:
 
£373m
 
debit)
 
in
 
the
 
own
 
credit
 
reserve.
 
The
 
movement
of
 
£496m
 
principally
 
reflect
 
s
 
a
 
£845m
 
gain
 
from
 
the
 
widening
 
of
 
Barclays
 
funding
 
spreads.
 
This
 
is
 
partially
 
offset
 
by
 
other
 
activity
 
of
£209m
 
and
 
a
 
tax
 
charge
 
of
 
£144m.
 
Other
 
reserves
 
As
 
at
 
30
 
June
 
2020,
 
there
 
was
 
a
 
debit
 
balance
 
of
 
£24m
 
(December
 
2019:
 
£24m
 
debit)
 
in
 
other
 
reserves
 
relating
 
to
 
redeemed
ordinary
 
and
 
preference
 
shares
 
issued
 
by
 
Barclays
 
Bank
 
Group.
 
 
bbplch120p2i0.gif
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Financial
 
Statement
 
Notes
 
 
 
 
Barclays
 
Bank
 
PLC
 
38
 
 
13.
 
Contingent
 
liabilities
 
and
 
commitments
 
As
 
at
As
 
at
30.06.20
31.12.19
Contingent
 
liabilities
£m
£m
Guarantees
 
and
 
letters
 
of
 
credit
 
pledged
 
as
 
collateral
 
security
15,825
17,006
Performance
 
guarantees,
 
acceptances
 
and
 
endorsements
6,589
6,771
Total
22,414
23,777
Commitments
Documentary
 
credits
 
and
 
other
 
short-term
 
trade
 
related
 
transactions
1,162
1,291
Standby
 
facilities,
 
credit
 
lines
 
and
 
other
 
commitments
264,376
268,736
Total
265,538
270,027
 
In
 
addition
 
to
 
the
 
above,
 
Note
 
14
,
Legal,
 
competition
 
and
 
regulatory
 
matters
 
details
 
out
 
further
 
contingent
 
liabilities
 
where
 
it
 
is
 
not
practicable
 
to
 
disclose
 
an
 
estimate
 
of
 
the
 
potential
 
financial
 
effect
 
on
 
Barclays
 
Bank
 
Group.
 
 
14.
 
Legal,
 
competition
 
and
 
regulatory
 
matters
 
 
Barclays
 
Bank
 
Group
 
face
 
legal,
 
competition
 
and
 
regulatory
 
challenges,
 
many
 
of
 
which
 
are
 
beyond
 
our
 
control.
 
The
 
extent
 
of
 
the
impact
 
of
 
these
 
matters
 
cannot
 
always
 
be
 
predicted
 
but
 
may
 
materially
 
impact
 
our
 
operations,
 
financial
 
results,
 
condition
 
and
prospects.
 
Matters
 
arising
 
from
 
a
 
set
 
of
 
similar
 
circumstances
 
can
 
give
 
rise
 
to
 
either
 
a
 
contingent
 
liability
 
or
 
a
 
provision,
 
or
 
both,
depending
 
on
 
the
 
relevant
 
facts
 
and
 
circumstances.
 
 
The
 
recognition
 
of
 
provisions
 
in
 
relation
 
to
 
such
 
matters
 
involves
 
critical
 
accounting
 
estimates
 
and
 
judgments
 
in
 
accordance
 
with
the
 
relevant
 
accounting
 
policies
 
as
 
described
 
in
 
Note
 
8,
 
Provisions.
 
We
 
have
 
not
 
disclosed
 
an
 
estimate
 
of
 
the
 
potential
 
financial
impact
 
or
 
effect
 
on
 
the
 
Barclays
 
Bank
 
Group
 
of
 
contingent
 
liabilities
 
where
 
it
 
is
 
not
 
currently
 
practicable
 
to
 
do
 
so.
 
Various
 
matters
detailed
 
in
 
this
 
note
 
seek
 
damages
 
of
 
an
 
unspecified
 
amount.
 
While
 
certain
 
matters
 
specify
 
the
 
damages
 
claimed,
 
such
 
claimed
amounts
 
do
 
not
 
necessarily
 
reflect
 
the
 
Barclays
 
Bank
 
Group’s
 
potential
 
financial
 
exposure
 
in
 
respect
 
of
 
those
 
matters.
 
 
Investigations
 
into
 
certain
 
advisory
 
services
 
agreements
 
and
 
other
 
matters
 
and
 
civil
 
action
 
FCA
 
proceedings
 
In
 
2008,
 
Barclays
 
Bank
 
PLC
 
and
 
Qatar
 
Holdings
 
LLC
 
entered
 
into
 
two
 
advisory
 
service
 
agreements
 
(the
 
Agreements).
 
The
 
Financial
Conduct
 
Authority
 
(FCA)
 
conducted
 
an
 
investigation
 
into
 
whether
 
the
 
Agreements
 
may
 
have
 
related
 
to
 
Barclays
 
PLC’s
 
capital
raising
 
s
 
in
 
June
 
and
 
November
 
2008
 
(the
 
Capital
 
Raisings)
 
and
 
therefore
 
should
 
have
 
been
 
disclosed
 
in
 
the
 
announcements
 
or
public
 
documents
 
relating
 
to
 
the
 
Capital
 
Raisings.
 
In
 
2013,
 
the
 
FCA
 
issued
 
warning
 
notices
 
(the
 
Notices)
 
finding
 
that
 
Barclays
 
PLC
and
 
Barcl
 
ays
 
Bank
 
PLC
 
acted
 
recklessly
 
and
 
in
 
breach
 
of
 
certain
 
disclosure-related
 
listing
 
rules,
 
and
 
that
 
Barclays
 
PLC
 
was
 
also
 
in
breach
 
of
 
Listing
 
Principle
 
3.
 
The
 
financial
 
penalty
 
provided
 
in
 
the
 
Notices
 
is
 
£50m.
 
Barclays
 
PLC
 
and
 
Barclays
 
Bank
 
PLC
 
continue
 
to
contest
 
the
 
findings.
 
Following
 
the
 
conclusion
 
of
 
the
 
Serious
 
Fraud
 
Office
 
(SFO)
 
proceedings
 
against
 
certain
 
former
 
Barclays
executives
 
resulting
 
in
 
their
 
acquittals,
 
the
 
FCA
 
proceedings,
 
which
 
were
 
stayed,
 
have
 
resumed.
 
All
 
charges
 
brought
 
by
 
the
 
SFO
agai
 
nst
 
Barclays
 
PLC
 
and
 
Barclays
 
Bank
 
PLC
 
in
 
relation
 
to
 
the
 
Agreements
 
were
 
dismissed
 
in
 
2018.
 
Civil
 
action
 
PCP
 
Capital
 
Partners
 
LLP
 
and
 
PCP
 
International
 
Finance
 
Limited
 
(PCP)
 
are
 
seeking
 
damages
 
of
 
approximately
 
£1.6bn
 
from
 
Barclays
Bank
 
PLC
 
for
 
fraudulent
 
misrepresentation
 
and
 
deceit,
 
arising
 
from
 
alleged
 
statements
 
made
 
by
 
Barclays
 
Bank
 
PLC
 
to
 
PCP
 
in
relation
 
to
 
the
 
terms
 
on
 
which
 
securities
 
were
 
to
 
be
 
issued
 
to
 
potential
 
investors,
 
allegedly
 
including
 
PCP,
 
in
 
the
 
November
 
2008
capital
 
raising.
 
Barclays
 
Bank
 
PLC
 
is
 
defending
 
the
 
claim
 
and
 
trial
 
commenced
 
in
 
June
 
2020.
 
Investigations
 
into
 
LIBOR
 
and
 
other
 
benchmarks
 
and
 
related
 
civil
 
actions
 
 
Regulators
 
and
 
law
 
enforcement
 
agencies,
 
including
 
certain
 
competition
 
authorities,
 
from
 
a
 
number
 
of
 
governments
 
have
conducted
 
investigations
 
relating
 
to
 
Barclays
 
Bank
 
PLC’s
 
involvement
 
in
 
allegedly
 
manipulating
 
certain
 
financial
 
benchmarks,
 
such
as
 
LIBOR.
 
The
 
SFO
 
has
 
closed
 
its
 
investigation
 
with
 
no
 
action
 
to
 
be
 
taken
 
against
 
the
 
Barclays
 
Group.
 
Various
 
individuals
 
and
corporates
 
in
 
a
 
range
 
of
 
jurisdictions
 
have
 
threatened
 
or
 
brought
 
civil
 
actions
 
against
 
the
 
Barclays
 
Group
 
and
 
other
 
banks
 
in
relation
 
to
 
the
 
alleged
 
manipulation
 
of
 
LIBOR
 
and/or
 
other
 
benchmarks.
 
Certain
 
actions
 
remain
 
pending.
 
USD
 
LIBOR
 
civil
 
actions
 
The
 
majority
 
of
 
the
 
USD
 
LIBOR
 
cases,
 
which
 
have
 
been
 
filed
 
in
 
various
 
US
 
jurisdictions,
 
have
 
been
 
consolidated
 
for
 
pre-trial
purposes
 
in
 
the
 
US
 
District
 
Court
 
in
 
the
 
Southern
 
District
 
of
 
New
 
York
 
(SDNY).
 
The
 
complaints
 
are
 
substantially
 
similar
 
and
 
allege,
among
 
other
 
things,
 
that
 
Barclays
 
PLC,
 
Barclays
 
Bank
 
PLC,
 
Barclays
 
Capital
 
Inc.
 
(BCI)
 
and
 
other
 
financial
 
institutions
 
individually
 
and
 
 
bbplch120p2i0.gif
Financial
 
Statement
 
Notes
 
 
 
 
Barclays
 
Bank
 
PLC
 
39
 
 
collectively
 
violated
 
provisions
 
of
 
the
 
US
 
Sherman
 
Antitrust
 
Act
 
(Antitrust
 
Act),
 
the
 
US
 
Commodity
 
Exchange
 
Act
 
(CEA),
 
the
 
US
Racketeer
 
Influenced
 
and
 
Corrupt
 
Organizations
 
Act
 
(RICO),
 
the
 
Securities
 
Exchange
 
Act
 
of
 
1934
 
and
 
various
 
state
 
laws
 
by
manipulating
 
USD
 
LIBOR
 
rates.
 
Putative
 
class
 
actions
 
and
 
individual
 
actions
 
seek
 
unspecified
 
damages
 
with
 
the
 
exception
 
of
 
three
 
lawsuits,
 
in
 
which
 
the
 
plaintiffs
are
 
seeking
 
a
 
combined
 
total
 
of
 
approximately
 
$900m
 
in
 
actual
 
damages
 
and
 
additional
 
punitive
 
damages
 
against
 
all
 
defendants,
including
 
Barclays
 
Bank
 
PLC.
 
Some
 
of
 
the
 
lawsuits
 
also
 
seek
 
trebling
 
of
 
damages
 
under
 
the
 
Antitrust
 
Act
 
and
 
RICO.
 
Barclays
 
has
previously
 
settled
 
certai
 
n
 
claims.
 
Two
 
of
 
the
 
class
 
action
 
settlements
 
where
 
Barclays
 
has
 
paid
 
$20m
 
and
 
$7.1m,
 
respectively,
remain
 
subject
 
to
 
final
 
court
 
approval
 
and/or
 
the
 
right
 
of
 
class
 
members
 
to
 
opt
 
out
 
of
 
the
 
settlement
 
to
 
file
 
their
 
own
 
claims.
 
Sterling
 
LIBOR
 
civil
 
actions
 
In
 
2016,
 
two
 
putative
 
class
 
actions
 
filed
 
in
 
the
 
SDNY
 
against
 
Barclays
 
Bank
 
PLC,
 
BCI
 
and
 
other
 
Sterling
 
LIBOR
 
panel
 
banks
 
alleging,
among
 
other
 
things,
 
that
 
the
 
defendants
 
manipulated
 
the
 
Sterling
 
LIBOR
 
rate
 
in
 
violation
 
of
 
the
 
Antitrust
 
Act,
 
CEA
 
and
 
RICO,
 
were
consolidated.
 
The
 
defendants’
 
motion
 
to
 
dismiss
 
the
 
claims
 
was
 
granted
 
in
 
December
 
2018.
 
The
 
plaintiffs
 
have
 
appealed
 
the
dismissal.
 
Japanese
 
Yen
 
LIBOR
 
civil
 
actions
 
In
 
2012,
 
a
 
putative
 
class
 
action
 
was
 
filed
 
in
 
the
 
SDNY
 
against
 
Barclays
 
Bank
 
PLC
 
and
 
other
 
Japanese
 
Yen
 
LIBOR
 
panel
 
banks
 
by
 
a
 
lead
plaintiff
 
involved
 
in
 
exchange
 
-traded
 
derivatives
 
and
 
members
 
of
 
the
 
Japanese
 
Bankers
 
Association’s
 
Euroyen
 
Tokyo
 
Interbank
Offered
 
Rate
 
(Euroyen
 
TIBOR)
 
panel.
 
The
 
complaint
 
alleges,
 
among
 
other
 
things,
 
manipulation
 
of
 
the
 
Euroyen
 
TIBOR
 
and
 
Yen
 
LIBOR
rates
 
and
 
breaches
 
of
 
the
 
CEA
 
and
 
the
 
Antitrust
 
Act.
 
In
 
2014,
 
the
 
court
 
dismissed
 
the
 
plaintiff’s
 
antitrust
 
claims
 
in
 
full,
 
but
 
the
plaintiff’s
 
CEA
 
claims
 
remain
 
pending.
 
In
 
2015,
 
a
 
second
 
putative
 
class
 
action,
 
making
 
similar
 
allegations
 
to
 
the
 
above
 
class
 
action,
 
was
 
filed
 
in
 
the
 
SDNY
 
against
 
Barclays
PLC,
 
Barclays
 
Bank
 
PLC
 
and
 
BCI.
 
In
 
2017,
 
this
 
action
 
was
 
dismissed
 
in
 
full
 
and
 
the
 
plaintiffs
 
appealed
 
the
 
dismissal.
 
The
 
appellate
court
 
reversed
 
the
 
dismissal
 
and
 
the
 
matter
 
has
 
been
 
remanded
 
to
 
the
 
lower
 
court.
 
 
SIBOR/SOR
 
civil
 
action
 
In
 
2016,
 
a
 
putative
 
class
 
action
 
was
 
filed
 
in
 
the
 
SDNY
 
against
 
Barclays
 
PLC,
 
Barclays
 
Bank
 
PLC,
 
BCI
 
and
 
other
 
defendants,
 
alleging
manipulation
 
of
 
the
 
Singapore
 
Interbank
 
Offered
 
Rate
 
(SIBOR)
 
and
 
Singapore
 
Swap
 
Offer
 
Rate
 
(SOR).
 
In
 
October
 
2018,
 
the
 
court
dismissed
 
all
 
claims
 
against
 
Barclays
 
PLC,
 
Barclays
 
Bank
 
PLC
 
and
 
BCI.
 
The
 
plaintiffs
 
have
 
appealed
 
the
 
dismissal.
 
 
ICE
 
LIBOR
 
civil
 
actions
In
 
2019,
 
several
 
putative
 
class
 
actions
 
have
 
been
 
filed
 
in
 
the
 
SDNY
 
against
 
Barclays
 
PLC,
 
Barclays
 
Bank
 
PLC,
 
BCI,
 
other
 
financial
institution
 
defendants
 
and
 
Intercontinental
 
Exchange
 
Inc.
 
and
 
certain
 
of
 
its
 
affiliates
 
(ICE),
 
asserting
 
antitrust
 
claims
 
that
defendants
 
manipulated
 
USD
 
LIBOR
 
through
 
defendants’
 
submissions
 
to
 
ICE.
 
These
 
actions
 
have
 
been
 
consolidated.
 
The
defendants’
 
motion
 
to
 
dismiss
 
was
 
granted
 
in
 
March
 
2020.
 
The
 
plaintiffs
 
have
 
appealed
 
the
 
dismissal.
 
Non
 
-US
 
benchmarks
 
civil
 
actions
 
Legal
 
proceedings
 
(which
 
include
 
the
 
claims
 
referred
 
to
 
below
 
in
 
‘Local
 
authority
 
civil
 
actions
 
concerning
 
LIBOR’)
 
have
 
been
 
brought
or
 
threatened
 
against
 
Barclays
 
Bank
 
PLC
 
(and,
 
in
 
certain
 
cases,
 
Barclays
 
Bank
 
UK
 
PLC)
 
in
 
the
 
UK
 
in
 
connection
 
with
 
alleged
manipulation
 
of
 
LIBOR,
 
EURIBOR
 
and
 
other
 
benchmarks.
 
Proceedings
 
have
 
also
 
been
 
brought
 
in
 
a
 
number
 
of
 
other
 
jurisdictions
 
in
Europe
 
and
 
Israel.
 
Additional
 
proceedings
 
in
 
other
 
jurisdictions
 
may
 
be
 
brought
 
in
 
the
 
future.
 
Foreign
 
Exchange
 
investigations
 
and
 
related
 
civil
 
actions
 
In
 
2015,
 
the
 
Barclays
 
Group
 
reached
 
settlements
 
totalling
 
approximately
 
$2.38bn
 
with
 
various
 
US
 
federal
 
and
 
state
 
authorities
 
and
the
 
FCA
 
in
 
relation
 
to
 
investigations
 
into
 
certain
 
sales
 
and
 
trading
 
practices
 
in
 
the
 
Foreign
 
Exchange
 
market.
 
Under
 
the
 
related
 
plea
agreement
 
with
 
the
 
US
 
Department
 
of
 
Justice
 
(DoJ),
 
which
 
received
 
final
 
court
 
approval
 
in
 
January
 
2017,
 
the
 
Barclays
 
Group
 
agreed
to
 
a
 
term
 
of
 
probation
 
of
 
three
 
years,
 
which
 
expired
 
in
 
January
 
2020.
 
The
 
Barclays
 
Group
 
also
 
continues
 
to
 
provide
 
relevant
information
 
to
 
certain
 
authorities.
 
 
The
 
European
 
Commission
 
is
 
one
 
of
 
a
 
number
 
of
 
authorities
 
still
 
conducting
 
an
 
investigation
 
into
 
certain
 
trading
 
practices
 
in
Foreign
 
Exc
 
hange
 
markets.
 
The
 
European
 
Commission
 
announced
 
two
 
settlements
 
in
 
May
 
2019
 
and
 
the
 
Barclays
 
Group
 
paid
penalties
 
totalling
 
approximately
 
€210m.
 
In
 
June
 
2019,
 
the
 
Swiss
 
Competition
 
Commission
 
announced
 
two
 
settlements
 
and
 
the
Barclays
 
Group
 
paid
 
penalties
 
totalling
 
approximately
 
CHF
 
27m.
 
The
 
financial
 
impact
 
of
 
the
 
ongoing
 
matters
 
is
 
not
 
expected
 
to
 
be
material
 
to
 
the
 
Barclays
 
Bank
 
Group’s
 
operating
 
results,
 
cash
 
flows
 
or
 
financial
 
position.
 
A
 
number
 
of
 
individuals
 
and
 
corporates
 
in
 
a
 
range
 
of
 
jurisdictions
 
have
 
also
 
threatened
 
or
 
brought
 
civil
 
actions
 
against
 
the
 
Barclays
Group
 
and
 
other
 
banks
 
in
 
relation
 
to
 
alleged
 
manipulation
 
of
 
Foreign
 
Exchange
 
markets,
 
and
 
may
 
do
 
so
 
in
 
the
 
future.
 
Certain
actions
 
remain
 
pending.
 
 
FX
 
opt
 
out
 
civil
 
action
 
In
 
2018,
 
Barclays
 
Bank
 
PLC
 
and
 
BCI
 
settled
 
a
 
consolidated
 
action
 
filed
 
in
 
the
 
SDNY,
 
alleging
 
manipulation
 
of
 
Foreign
 
Exchange
markets
 
(Consolidated
 
FX
 
Action),
 
for
 
a
 
total
 
amount
 
of
 
$384m.
 
Also
 
in
 
2018,
 
a
 
group
 
of
 
plaintiffs
 
who
 
opted
 
out
 
of
 
the
 
 
bbplch120p2i0.gif
Financial
 
Statement
 
Notes
 
 
 
 
Barclays
 
Bank
 
PLC
 
40
 
 
Consolidated
 
FX
 
Action
 
filed
 
a
 
complaint
 
in
 
the
 
SDNY
 
against
 
Barclays
 
PLC,
 
Barclays
 
Bank
 
PLC,
 
BCI
 
and
 
other
 
defendants.
 
Some
 
of
the
 
plaintiff’s
 
claims
 
were
 
dismissed
 
in
 
May
 
2020.
 
Retail
 
basis
 
civil
 
action
 
In
 
2015,
 
a
 
putative
 
class
 
action
 
was
 
filed
 
against
 
several
 
international
 
banks,
 
including
 
Barclays
 
PLC
 
and
 
BCI,
 
on
 
behalf
 
of
 
a
proposed
 
class
 
of
 
individuals
 
who
 
exchanged
 
currencies
 
on
 
a
 
retail
 
basis
 
at
 
bank
 
branches
 
(Retail
 
Basis
 
Claims).
 
The
 
SDNY
 
has
 
ruled
that
 
the
 
Retail
 
Basis
 
Claims
 
are
 
not
 
co
 
vered
 
by
 
the
 
settlement
 
agreement
 
in
 
the
 
Consolidated
 
FX
 
Action.
 
The
 
Court
 
subsequently
dismissed
 
all
 
Retail
 
Basis
 
Claims
 
against
 
the
 
Barclays
 
Group
 
and
 
all
 
other
 
defendants.
 
The
 
plaintiffs
 
have
 
filed
 
an
 
amended
complaint.
 
State
 
law
 
FX
 
civil
 
action
 
In
 
2017,
 
the
 
SDNY
 
dismissed
 
consolidated
 
putative
 
class
 
actions
 
brought
 
under
 
federal
 
and
 
various
 
state
 
laws
 
on
 
behalf
 
of
 
proposed
classes
 
of
 
(i)
 
stockholders
 
of
 
Exchange
 
Traded
 
Funds
 
and
 
others
 
who
 
purportedly
 
were
 
indirect
 
investors
 
in
 
FX
 
instruments,
 
and
 
(ii)
investors
 
who
 
traded
 
FX
 
instruments
 
through
 
FX
 
dealers
 
or
 
brokers
 
not
 
alleged
 
to
 
have
 
manipulated
 
Foreign
 
Exchange
 
Rates.
Barclays
 
Bank
 
PLC
 
and
 
BCI
 
have
 
settled
 
the
 
claim,
 
which
 
is
 
subject
 
to
 
court
 
approval.
 
Non
 
-US
 
FX
 
civil
 
actions
 
In
 
addition
 
to
 
the
 
actions
 
described
 
above,
 
legal
 
proceedings
 
have
 
been
 
brought
 
or
 
are
 
threatened
 
against
 
Barclays
 
PLC,
 
Barclays
Bank
 
PLC,
 
BCI
 
and
 
Barclays
 
Execution
 
Services
 
Limited
 
(BX)
 
in
 
connection
 
with
 
alleged
 
manipulation
 
of
 
Foreign
 
Exchange
 
in
 
the
 
UK,
a
 
number
 
of
 
other
 
jurisdictions
 
in
 
Europe,
 
Israel
 
and
 
Australia
 
and
 
additional
 
proceedings
 
may
 
be
 
brought
 
in
 
the
 
future.
 
Metals
 
investigations
 
and
 
related
 
civil
 
actions
 
Barclays
 
Bank
 
PLC
 
previously
 
provided
 
information
 
to
 
the
 
DoJ,
 
the
 
US
 
Commodity
 
Futures
 
Trading
 
Commission
 
and
 
other
authorities
 
in
 
connection
 
with
 
investigations
 
into
 
metals
 
and
 
metals
 
-based
 
financial
 
instruments.
 
 
A
 
number
 
of
 
US
 
civil
 
complaints,
 
each
 
on
 
behalf
 
of
 
a
 
proposed
 
class
 
of
 
plaintiffs,
 
have
 
been
 
consolidated
 
and
 
transferred
 
to
 
the
SDNY.
 
The
 
complaints
 
allege
 
that
 
Barclays
 
Bank
 
PLC
 
and
 
other
 
members
 
of
 
The
 
London
 
Gold
 
Market
 
Fixing
 
Ltd.
 
manipulated
 
the
prices
 
of
 
gold
 
and
 
gold
 
derivative
 
contracts
 
in
 
violation
 
of
 
US
 
antitrust
 
and
 
other
 
federal
 
laws.
 
This
 
consolidated
 
putative
 
class
action
 
remains
 
pending.
 
A
 
separate
 
US
 
civil
 
complaint
 
by
 
a
 
proposed
 
class
 
of
 
plaintiffs
 
against
 
a
 
number
 
of
 
banks,
 
including
 
Barclays
Bank
 
PLC,
 
BCI
 
and
 
BX,
 
alleging
 
manipulation
 
of
 
the
 
price
 
of
 
silver
 
in
 
violation
 
of
 
the
 
CEA,
 
the
 
Antitrust
 
Act
 
and
 
state
 
antitrust
 
and
consumer
 
protection
 
laws,
 
has
 
been
 
dismissed
 
as
 
against
 
the
 
Barclays
 
entities.
 
The
 
plaintiffs
 
have
 
the
 
option
 
to
 
seek
 
the
 
court’s
permission
 
to
 
appeal.
 
Civil
 
actions
 
have
 
also
 
been
 
filed
 
in
 
Canadian
 
courts
 
against
 
Barclays
 
PLC,
 
Barclays
 
Bank
 
PLC,
 
Barclays
 
Capital
 
Canada
 
Inc.
 
and
 
BCI
 
on
behalf
 
of
 
proposed
 
classes
 
of
 
plaintiffs
 
alleging
 
manipulation
 
of
 
gold
 
and
 
silver
 
prices.
 
 
US
 
residential
 
mortgage
 
relat
 
ed
 
civil
 
actions
 
There
 
are
 
various
 
pending
 
civil
 
actions
 
relating
 
to
 
US
 
Residential
 
Mortgage
 
-Backed
 
Securities
 
(RMBS),
 
including
 
four
 
actions
 
arising
from
 
unresolved
 
repurchase
 
requests
 
submitted
 
by
 
Trustees
 
for
 
certain
 
RMBS,
 
alleging
 
breaches
 
of
 
various
 
loan-level
representations
 
and
 
warranties
 
(R&Ws)
 
made
 
by
 
Barclays
 
Bank
 
PLC
 
and/or
 
a
 
subsidiary
 
acquired
 
in
 
2007
 
(the
 
Acquired
 
Subsidiary).
The
 
unresolved
 
repurchase
 
requests
 
received
 
as
 
at
 
31
 
December
 
2019
 
had
 
an
 
original
 
unpaid
 
principal
 
balance
 
of
 
approx
 
imately
$2.1bn.
 
The
 
Trustees
 
have
 
also
 
alleged
 
that
 
the
 
relevant
 
R&Ws
 
may
 
have
 
been
 
breached
 
with
 
respect
 
to
 
a
 
greater
 
(but
 
unspecified)
amount
 
of
 
loans
 
than
 
previously
 
stated
 
in
 
the
 
unresolved
 
repurchase
 
requests.
 
 
These
 
repurchase
 
actions
 
are
 
ongoing.
 
In
 
one
 
repurchase
 
action,
 
the
 
New
 
York
 
Court
 
of
 
Appeals
 
held
 
that
 
claims
 
related
 
to
 
certain
R&Ws
 
are
 
time-barred.
 
Barclays
 
Bank
 
PLC
 
has
 
reached
 
a
 
settlement
 
to
 
resolve
 
two
 
of
 
the
 
repurchase
 
actions,
 
which
 
is
 
subject
 
to
final
 
court
 
approval.
 
The
 
financial
 
impact
 
of
 
the
 
settlement
 
is
 
not
 
expected
 
to
 
be
 
material
 
to
 
the
 
Barclays
 
Bank
 
Group’s
 
operating
results,
 
cash
 
flows
 
or
 
financial
 
position.
 
The
 
remaining
 
two
 
repurchase
 
actions
 
are
 
pending.
 
Government
 
and
 
agency
 
securities
 
civil
 
actions
 
and
 
related
 
matters
Certain
 
governmental
 
authorities
 
are
 
conducting
 
investigations
 
into
 
activities
 
relating
 
to
 
the
 
trading
 
of
 
certain
 
government
 
and
agency
 
securities
 
in
 
various
 
markets.
 
The
 
Barclays
 
Group
 
provided
 
information
 
in
 
cooperation
 
with
 
such
 
investigations.
 
Civil
 
actions
have
 
also
 
been
 
filed
 
on
 
the
 
basis
 
of
 
similar
 
allegations,
 
as
 
described
 
below.
 
Treasury
 
auction
 
securities
 
civil
 
actions
Consolidated
 
putative
 
class
 
action
 
complaints
 
filed
 
in
 
US
 
federal
 
court
 
against
 
Barclays
 
Bank
 
PLC,
 
BCI
 
and
 
other
 
financial
 
institutions
under
 
the
 
Antitrust
 
Act
 
and
 
state
 
common
 
law
 
allege
 
that
 
the
 
defendants
 
(i)
 
conspired
 
to
 
manipulate
 
the
 
US
 
Treasury
 
securities
market
 
and/or
 
(ii)
 
conspired
 
to
 
prevent
 
the
 
creation
 
of
 
certain
 
platforms
 
by
 
boycotting
 
or
 
threatening
 
to
 
boycott
 
such
 
trading
platforms.
 
The
 
defendants
 
have
 
filed
 
a
 
motion
 
to
 
dismiss.
 
In
 
addition,
 
certain
 
plaintiffs
 
have
 
filed
 
a
 
related,
 
direct
 
action
 
against
 
BCI
 
and
 
certain
 
other
 
financial
 
institutions,
 
alleging
 
that
defendants
 
conspired
 
to
 
fix
 
and
 
manipulate
 
the
 
US
 
Treasury
 
securities
 
market
 
in
 
violation
 
of
 
the
 
Antitrust
 
Act,
 
the
 
CEA
 
and
 
state
common
 
law.
 
 
 
bbplch120p2i0.gif
Financial
 
Statement
 
Notes
 
 
 
 
Barclays
 
Bank
 
PLC
 
41
 
 
Supranational,
 
Sovereign
 
and
 
Agency
 
bonds
 
civil
 
actions
Civil
 
antitrust
 
actions
 
have
 
been
 
filed
 
in
 
the
 
SDNY
 
and
 
Federal
 
Court
 
of
 
Canada
 
in
 
Toronto
 
against
 
Barclays
 
Bank
 
PLC,
 
BCI,
 
BX,
Barclays
 
Capital
 
Securities
 
Limited
 
and,
 
with
 
respect
 
to
 
the
 
civil
 
action
 
filed
 
in
 
Canada
 
only,
 
Barclays
 
Capital
 
Canada,
 
Inc.
 
and
 
other
financial
 
institutions
 
alleging
 
that
 
the
 
defendants
 
conspired
 
to
 
fix
 
prices
 
and
 
restrain
 
competition
 
in
 
the
 
market
 
for
 
US
 
dollar-
denominated
 
Supranational,
 
Sovereign
 
and
 
Agency
 
bonds.
 
 
In
 
one
 
of
 
the
 
actions
 
filed
 
in
 
the
 
SDNY,
 
the
 
court
 
granted
 
the
 
defend
 
ants’
 
motion
 
to
 
dismiss
 
the
 
plaintiffs’
 
complaint,
 
which
 
the
plaintiffs
 
have
 
appealed.
 
The
 
plaintiffs
 
have
 
voluntarily
 
dismissed
 
the
 
other
 
SDNY
 
action.
 
Variable
 
Rate
 
Demand
 
Obligations
 
civil
 
actions
Civil
 
actions
 
have
 
been
 
filed
 
against
 
Barclays
 
Bank
 
PLC
 
and
 
BCI
 
and
 
other
 
financial
 
institutions
 
alleging
 
the
 
defendants
 
conspired
 
or
colluded
 
to
 
artificially
 
inflate
 
interest
 
rates
 
set
 
for
 
Variable
 
Rate
 
Demand
 
Obligations
 
(VRDOs).
 
VRDOs
 
are
 
municipal
 
bonds
 
with
interest
 
rates
 
that
 
reset
 
on
 
a
 
periodic
 
basis,
 
most
 
commonly
 
weekly.
 
Two
 
actions
 
in
 
state
 
court
 
have
 
been
 
filed
 
by
 
private
 
plaintiffs
on
 
behalf
 
of
 
the
 
states
 
of
 
Illinois
 
and
 
California.
 
Two
 
putative
 
class
 
action
 
complaints,
 
which
 
have
 
been
 
consolidated,
 
have
 
been
filed
 
in
 
the
 
SDNY.
 
 
Government
 
bond
 
civil
 
actions
In
 
a
 
putative
 
class
 
action
 
filed
 
in
 
the
 
SDNY
 
in
 
2019,
 
plaintiffs
 
alleged
 
that
 
BCI
 
and
 
certain
 
other
 
bond
 
dealers
 
conspired
 
to
 
fix
 
the
prices
 
of
 
US
 
government
 
sponsored
 
entity
 
bonds
 
in
 
violation
 
of
 
US
 
antitrust
 
law.
 
BCI
 
agreed
 
to
 
a
 
settlement
 
of
 
$87m,
 
which
received
 
final
 
court
 
approval
 
in
 
June
 
2020.
 
Separately,
 
various
 
entities
 
in
 
Louisiana,
 
including
 
the
 
Louisiana
 
Attorney
 
General
 
and
the
 
City
 
of
 
Baton
 
Rouge,
 
have
 
filed
 
complaints
 
against
 
Barclays
 
Bank
 
PLC
 
and
 
other
 
financial
 
institutions
 
making
 
similar
 
allegations
as
 
the
 
class
 
action
 
plaintiffs
 
.
 
In
 
2018,
 
a
 
separate
 
putative
 
class
 
action
 
against
 
various
 
financial
 
institutions
 
including
 
Barclays
 
PLC,
 
Barclays
 
Bank
 
PLC,
 
BCI,
Barclays
 
Bank
 
Mexico,
 
S.A.,
 
and
 
certain
 
other
 
subsidiaries
 
of
 
the
 
Barclays
 
Bank
 
Group
 
was
 
consolidated
 
in
 
the
 
SDNY.
 
The
 
plaintiffs
asserted
 
antitrust
 
and
 
state
 
law
 
claims
 
arising
 
out
 
of
 
an
 
alleged
 
conspiracy
 
to
 
fix
 
the
 
prices
 
of
 
Mexican
 
Government
 
bonds.
 
Barclays
PLC
 
has
 
settled
 
the
 
claim
 
for
 
$5.7m,
 
which
 
is
 
subject
 
to
 
court
 
approval.
 
 
BDC
 
Finance
 
L.L.C.
 
In
 
2008,
 
BDC
 
Finance
 
L.L.C.
 
(BDC)
 
filed
 
a
 
complaint
 
in
 
the
 
NY
 
Supreme
 
Court,
 
demanding
 
damages
 
of
 
$298m,
 
alleging
 
that
 
Barclays
Bank
 
PLC
 
had
 
breached
 
a
 
contract
 
in
 
connection
 
with
 
a
 
portfolio
 
of
 
total
 
return
 
swaps
 
governed
 
by
 
an
 
ISDA
 
Master
 
Agreement
(collectively,
 
the
 
Agreement).
 
Following
 
a
 
trial
 
on
 
certain
 
liability
 
issues,
 
the
 
court
 
ruled
 
in
 
December
 
2018
 
that
 
Barclays
 
Bank
 
PLC
was
 
not
 
a
 
defaulting
 
party,
 
which
 
was
 
affirmed
 
on
 
appeal.
 
Barclays
 
Bank
 
PLC’s
 
counterclaim
 
against
 
BDC
 
remains
 
pending.
 
In
 
2011,
 
BDC’s
 
investment
 
advisor,
 
BDCM
 
Fund
 
Adviser,
 
L.L.C.
 
and
 
its
 
parent
 
company,
 
Black
 
Diamond
 
Capital
 
Holdings,
 
L.L.C.
 
also
sued
 
Barclays
 
Bank
 
PLC
 
and
 
BCI
 
in
 
Connecticut
 
State
 
Court
 
for
 
unspecified
 
damages
 
allegedly
 
resulting
 
from
 
Barclays
 
Bank
 
PLC’s
conduct
 
relating
 
to
 
the
 
Agreement,
 
asserting
 
claims
 
for
 
violation
 
of
 
the
 
Connecticut
 
Unfair
 
Trade
 
Practices
 
Act
 
and
 
tortious
interference
 
with
 
business
 
and
 
prospective
 
business
 
relations.
 
This
 
case
 
is
 
curren
 
tly
 
stayed.
 
Civil
 
actions
 
in
 
respect
 
of
 
the
 
US
 
Anti-Terrorism
 
Act
 
There
 
are
 
a
 
number
 
of
 
civil
 
actions,
 
on
 
behalf
 
of
 
more
 
than
 
4,000
 
plaintiffs,
 
filed
 
in
 
US
 
federal
 
courts
 
in
 
the
 
US
 
District
 
Court
 
in
 
the
Eastern
 
District
 
of
 
New
 
York
 
(EDNY)
 
and
 
SDNY
 
against
 
Barclays
 
Bank
 
PLC
 
and
 
a
 
number
 
of
 
other
 
banks.
 
The
 
complaints
 
gene
 
rally
allege
 
that
 
Barclays
 
Bank
 
PLC
 
and
 
those
 
banks
 
engaged
 
in
 
a
 
conspiracy
 
to
 
facilitate
 
US
 
dollar-
 
denominated
 
transactions
 
for
 
the
Government
 
of
 
Iran
 
and
 
various
 
Iranian
 
banks,
 
which
 
in
 
turn
 
funded
 
acts
 
of
 
terrorism
 
that
 
injured
 
or
 
killed
 
plaintiffs
 
or
 
plaintiffs’
family
 
members.
 
The
 
plaintiffs
 
seek
 
to
 
recover
 
damages
 
for
 
pain,
 
suffering
 
and
 
mental
 
anguish
 
under
 
the
 
provisions
 
of
 
the
 
US
 
Anti-
Terrorism
 
Act,
 
which
 
allow
 
for
 
the
 
trebling
 
of
 
any
 
proven
 
damages.
 
 
The
 
court
 
granted
 
the
 
defendants’
 
motion
 
to
 
dismiss
 
three
 
actions
 
in
 
the
 
EDNY.
 
Plaintiffs
 
have
 
appealed
 
in
 
one
 
action.
 
The
 
court
also
 
granted
 
the
 
defendants’
 
motion
 
to
 
dismiss
 
another
 
action
 
in
 
the
 
SDNY.
 
The
 
remaining
 
actions
 
are
 
stayed
 
pending
 
decisions
 
in
these
 
cases.
 
 
Interest
 
rate
 
swap
 
and
 
credit
 
default
 
swap
 
US
 
civil
 
actions
 
Barclays
 
PLC,
 
Barclays
 
Bank
 
PLC
 
and
 
BCI,
 
together
 
with
 
other
 
financial
 
institutions
 
that
 
act
 
as
 
market
 
makers
 
for
 
interest
 
rat
 
e
 
swaps
(IRS)
 
are
 
named
 
as
 
defendants
 
in
 
several
 
antitrust
 
class
 
actions
 
which
 
were
 
consolidated
 
in
 
the
 
SDNY
 
in
 
2016.
 
The
 
complaints
 
allege
the
 
defendants
 
conspired
 
to
 
prevent
 
the
 
development
 
of
 
exchanges
 
for
 
IRS
 
and
 
demand
 
unspecified
 
money
 
damages.
 
 
In
 
2018,
 
trueEX
 
LLC
 
filed
 
an
 
antitrust
 
class
 
action
 
in
 
the
 
SDNY
 
against
 
a
 
number
 
of
 
financial
 
institutions
 
including
 
Barclays
 
PLC,
Barclays
 
Bank
 
PLC
 
and
 
BCI
 
based
 
on
 
similar
 
allegations
 
with
 
respect
 
to
 
trueEX
 
LLC’s
 
development
 
of
 
an
 
IRS
 
platform.
 
In
 
2017,
 
Ter
 
a
Group
 
Inc.
 
filed
 
a
 
separate
 
civil
 
antitrust
 
action
 
in
 
the
 
SDNY
 
claiming
 
that
 
certain
 
conduct
 
alleged
 
in
 
the
 
IRS
 
cases
 
also
 
caused
 
the
plaintiff
 
to
 
suffer
 
harm
 
with
 
respect
 
to
 
the
 
Credit
 
Default
 
Swaps
 
market.
 
In
 
November
 
2018
 
and
 
July
 
2019,
 
respectively,
 
the
 
court
dismissed
 
certain
 
claims
 
in
 
both
 
cases
 
for
 
unjust
 
enrichment
 
and
 
tortious
 
interference
 
but
 
denied
 
motions
 
to
 
dismiss
 
the
 
federal
and
 
state
 
antitrust
 
claims,
 
which
 
remain
 
pending.
 
 
 
 
bbplch120p2i0.gif
Financial
 
Statement
 
Notes
 
 
 
 
Barclays
 
Bank
 
PLC
 
42
 
 
Odd-lot
 
corporate
 
bonds
 
antitrust
 
class
 
action
 
 
In
 
2020,
 
BCI,
 
together
 
with
 
other
 
financial
 
institutions,
 
were
 
named
 
as
 
defendants
 
in
 
a
 
putative
 
class
 
action.
 
The
 
complaint
 
alleges
 
a
conspiracy
 
to
 
boycott
 
developing
 
electronic
 
trading
 
platforms
 
for
 
odd-lots
 
and
 
price
 
fixing.
 
Plaintiffs
 
demand
 
unspecified
 
money
damages.
 
 
Investigation
 
into
 
collections
 
and
 
recoveries
 
relating
 
to
 
unsecured
 
lending
 
 
Since
 
February
 
2018,
 
the
 
FCA
 
has
 
been
 
investigating
 
whether
 
the
 
Barclays
 
Group
 
implemented
 
effective
 
systems
 
and
 
controls
 
with
respect
 
to
 
collections
 
and
 
recoveries
 
and
 
whether
 
it
 
paid
 
due
 
consideration
 
to
 
the
 
interests
 
of
 
customers
 
in
 
default
 
and
 
arrears.
The
 
FCA
 
investigation
 
is
 
at
 
an
 
advanced
 
stage.
 
HM
 
Revenue
 
&
 
Customs
 
(HMRC)
 
assessments
 
concerning
 
UK
 
Value
 
Added
 
Tax
 
In
 
2018,
 
HMRC
 
issued
 
notices
 
that
 
have
 
the
 
effect
 
of
 
removing
 
certain
 
overseas
 
subsidiaries
 
that
 
have
 
operations
 
in
 
the
 
UK
 
from
Barclays
 
’
 
UK
 
VAT
 
group,
 
in
 
which
 
group
 
supplies
 
between
 
members
 
are
 
generally
 
free
 
from
 
VAT.
 
The
 
notices
 
have
 
retrospective
effect
 
and
 
correspond
 
to
 
assessments
 
of
 
£181m
 
(inclusive
 
of
 
interest),
 
of
 
which
 
Barclays
 
would
 
expect
 
to
 
attribute
 
an
 
amount
 
of
approximatel
 
y
 
£128m
 
to
 
Barclays
 
Bank
 
UK
 
PLC
 
and
 
£53m
 
to
 
Barclays
 
Bank
 
PLC.
 
HMRC’s
 
decision
 
has
 
been
 
appealed
 
to
 
the
 
First
 
Tier
Tribunal
 
(Tax
 
Chamber).
 
Local
 
authority
 
civil
 
actions
 
concerning
 
LIBOR
 
Following
 
settlement
 
by
 
Barclays
 
Bank
 
PLC
 
of
 
various
 
governmental
 
investigations
 
concerning
 
certain
 
benchmark
 
interest
 
rate
submissions
 
referred
 
to
 
above
 
in
 
‘Investigations
 
into
 
LIBOR
 
and
 
other
 
benchmarks
 
and
 
related
 
civil
 
actions’,
 
in
 
the
 
UK,
 
certain
 
local
authorities
 
have
 
brought
 
claims
 
against
 
Barclays
 
Bank
 
PLC
 
(and,
 
in
 
certain
 
cases,
 
Barclays
 
Bank
 
UK
 
PLC)
 
asserting
 
that
 
they
 
entered
into
 
loans
 
in
 
reliance
 
on
 
misrepresentations
 
made
 
by
 
Barclays
 
Bank
 
PLC
 
in
 
respect
 
of
 
its
 
conduct
 
in
 
relation
 
to
 
LIBOR.
 
Barclays
 
has
applied
 
to
 
strike
 
out
 
the
 
claims.
 
General
The
 
Barclays
 
Bank
 
Group
 
is
 
engaged
 
in
 
various
 
other
 
legal,
 
competition
 
and
 
regulatory
 
matters
 
in
 
the
 
UK,
 
the
 
US
 
and
 
a
 
number
 
of
other
 
overseas
 
jurisdictions.
 
It
 
is
 
subject
 
to
 
legal
 
proceedings
 
brought
 
by
 
and
 
against
 
the
 
Barclays
 
Bank
 
Group
 
which
 
arise
 
in
 
the
ordinary
 
course
 
of
 
business
 
from
 
time
 
to
 
time,
 
including
 
(but
 
not
 
limited
 
to)
 
disputes
 
in
 
relation
 
to
 
contracts,
 
securities,
 
debt
collection,
 
consumer
 
credit,
 
fraud,
 
trusts,
 
client
 
assets,
 
competition,
 
data
 
management
 
and
 
protection,
 
money
 
laundering,
 
financial
crime,
 
employment,
 
environmental
 
and
 
other
 
statutory
 
and
 
common
 
law
 
issues.
 
The
 
Barclays
 
Bank
 
Group
 
is
 
also
 
subject
 
to
 
enquiries
 
and
 
examinations,
 
requests
 
for
 
information,
 
audits,
 
investigations
 
and
 
legal
and
 
other
 
proceedings
 
by
 
regulators,
 
gov
 
ernmental
 
and
 
other
 
public
 
bodies
 
in
 
connection
 
with
 
(but
 
not
 
limited
 
to)
 
consumer
protection
 
measures,
 
compliance
 
with
 
legislation
 
and
 
regulation,
 
wholesale
 
trading
 
activity
 
and
 
other
 
areas
 
of
 
banking
 
and
business
 
activities
 
in
 
which
 
the
 
Barclays
 
Bank
 
Gro
 
up
 
is
 
or
 
has
 
been
 
engaged.
 
The
 
Barclays
 
Bank
 
Group
 
is
 
cooperating
 
with
 
the
relevant
 
authorities
 
and
 
keeping
 
all
 
relevant
 
agencies
 
briefed
 
as
 
appropriate
 
in
 
relation
 
to
 
these
 
matters
 
and
 
others
 
described
 
in
this
 
note
 
on
 
an
 
ongoing
 
basis.
 
At
 
the
 
present
 
time,
 
Barclays
 
Bank
 
PLC
 
does
 
not
 
expect
 
the
 
ultimate
 
resolution
 
of
 
any
 
of
 
these
 
other
 
matters
 
to
 
have
 
a
 
material
adverse
 
effect
 
on
 
its
 
financial
 
position.
 
However,
 
in
 
light
 
of
 
the
 
uncertainties
 
involved
 
in
 
such
 
matters
 
and
 
the
 
matters
 
specifically
described
 
in
 
this
 
note,
 
there
 
can
 
be
 
no
 
assurance
 
that
 
the
 
outcome
 
of
 
a
 
particular
 
matter
 
or
 
matters
 
(including
 
formerly
 
active
matters
 
or
 
those
 
matters
 
arising
 
after
 
the
 
date
 
of
 
this
 
note)
 
will
 
not
 
be
 
material
 
to
 
Barclays
 
Bank
 
PLC’s
 
results,
 
operations
 
or
 
cash
flow
 
for
 
a
 
particular
 
period,
 
depending
 
on,
 
among
 
other
 
things,
 
the
 
amount
 
of
 
the
 
loss
 
resulting
 
from
 
the
 
matter(s)
 
and
 
the
 
amount
of
 
profit
 
otherwise
 
reported
 
for
 
the
 
reporting
 
period.
 
 
 
bbplch120p2i0.gif
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Financial
 
Statement
 
Notes
 
 
 
 
Barclays
 
Bank
 
PLC
 
43
 
 
15.
 
Related
 
party
 
transactions
 
Related
 
party
 
transactions
 
in
 
the
 
half
 
year
 
ended
 
30
 
June
 
2020
 
were
 
similar
 
in
 
nature
 
to
 
those
 
disclosed
 
in
 
the
 
Barclays
 
Bank
 
PLC
Annual
 
Report
 
2019.
 
Amounts
 
included
 
in
 
the
 
Barclays
 
Bank
 
Group’s
 
financial
 
statements
 
with
 
other
 
Barclays
 
Group
 
companies
 
are
 
as
 
follows:
 
Half
 
year
 
ended
 
30.06.20
Half
 
year
 
ended
 
30.06.19
Parent
Fellow
subsidiaries
Parent
Fellow
subsidiaries
£m
£m
£m
£m
Total
 
income
(346)
31
(275)
32
Operating
 
expenses
(34)
(1,443)
(46)
(1,546)
As
 
at
 
30.06.20
As
 
at
 
31.12.19
Parent
Fellow
subsidiaries
Parent
Fellow
subsidiaries
£m
£m
£m
£m
Total
 
assets
5,793
1,952
2,097
2,165
Total
 
liabilities
27,262
2,531
24,876
1,600
 
Except
 
for
 
the
 
above,
 
no
 
related
 
party
 
transactions
 
that
 
have
 
taken
 
place
 
in
 
the
 
half
 
year
 
ended
 
30
 
June
 
2020
 
have
 
materially
affected
 
the
 
financial
 
position
 
or
 
performance
 
of
 
the
 
Barclays
 
Bank
 
Group
 
during
 
this
 
period.
 
 
 
bbplch120p2i0.gif
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Financial
 
Statement
 
Notes
 
 
 
 
Barclays
 
Bank
 
PLC
 
44
 
 
16.
 
Barclays
 
Bank
 
PLC
 
parent
 
condensed
 
balance
 
sheet
As
 
at
As
 
at
30.06.20
31.12.19
Assets
£m
£m
Cash
 
and
 
balances
 
at
 
central
 
banks
 
128,461
112,287
Cash
 
collateral
 
and
 
settlement
 
balances
115,391
75,822
Loans
 
and
 
advances
 
at
 
amortised
 
cost
186,606
161,663
Reverse
 
repurchase
 
agreements
 
and
 
other
 
similar
 
secured
 
lending
 
22,926
4,939
Trading
 
portfolio
 
assets
 
73,646
79,079
Financial
 
assets
 
at
 
fair
 
value
 
through
 
the
 
income
 
statement
187,575
162,500
Derivative
 
financial
 
instruments
304,807
229,338
Financial
 
assets
 
at
 
fair
 
value
 
through
 
other
 
comprehensive
 
income
53,475
43,760
Investment
 
in
 
associates
 
and
 
joint
 
ventures
16
119
Investment
 
in
 
subsidiaries
16,653
16,105
Goodwill
 
and
 
intangible
 
assets
 
114
115
Property,
 
plant
 
and
 
equipment
419
426
Current
 
tax
 
assets
 
1,045
946
Deferred
 
tax
 
assets
1,203
1,115
Retirement
 
benefit
 
assets
2,797
2,062
Other
 
assets
1,234
845
Total
 
assets
1,096,368
891,121
Liabilities
Deposits
 
at
 
amortised
 
cost
268,286
240,631
Cash
 
collateral
 
and
 
settlement
 
balances
 
94,744
59,448
Repurchase
 
agreements
 
and
 
other
 
similar
 
secured
 
borrowing
 
9,778
9,185
Debt
 
securities
 
in
 
issue
34,926
19,883
Subordinated
 
liabilities
 
36,937
33,205
Trading
 
portfolio
 
liabilities
 
53,953
45,130
Financial
 
liabilities
 
designated
 
at
 
fair
 
value
 
234,510
207,765
Derivative
 
financial
 
instruments
 
306,288
225,607
Current
 
tax
 
liabilities
 
287
221
Deferred
 
tax
 
liabilities
 
1,083
80
Retirement
 
benefit
 
liabilities
105
104
Other
 
liabilities
3,297
2,807
Provisions
885
630
Total
 
liabilities
1,045,079
844,696
Equity
Called
 
up
 
share
 
capital
 
and
 
share
 
premium
2,348
2,348
Other
 
equity
 
instruments
 
11,089
11,089
Other
 
reserves
2,763
678
Retained
 
earnings
 
35,089
32,310
Total
 
equity
51,289
46,425
Total
 
liabilities
 
and
 
equity
1,096,368
891,121
 
In
 
H120,
 
Barclays
 
Bank
 
PLC
 
sold
 
its
 
investments
 
in
 
Barclaycard
 
International
 
Payments
 
Limited,
 
Entercard
 
Group
 
AB,
 
Carnegie
Holdings
 
Limited
 
and
 
Barclays
 
Mercantile
 
Business
 
Finance
 
Limited
 
to
 
Barclays
 
Principal
 
Investments
 
Limited,
 
a
 
fellow
 
group
company,
 
at
 
their
 
fair
 
values
 
of
 
£102m,
 
£292m,
 
£188m
 
and
 
£154m
 
respectively.
 
Barclays
 
Bank
 
PLC
 
recorded
 
profit
 
on
 
disposal
 
of
 
£56m,
 
£192m,
 
£133m
 
and
 
£23m
 
in
 
respect
 
of
 
these
 
transactions.
 
The
 
Barclays
Bank
 
Group
 
recorded
 
profit
 
on
 
disposal
 
of
 
£45m,
 
£13m,
 
£57m
 
and
 
£11m.
 
Barclays
 
Bank
 
PLC
 
considers
 
the
 
carrying
 
value
 
of
 
its
 
investment
 
in
 
subsidiaries
 
to
 
be
 
fully
 
recoverable
 
.
 
 
bbplch120p2i0.gif
 
 
 
 
 
 
 
 
 
 
Other
 
Information
 
 
 
 
 
Barclays
 
Bank
 
PLC
 
45
 
 
Results
 
timetable
1
Date
2020
 
Annual
 
Report
11
 
February
 
2021
%
 
Change
3
Exchange
 
rates
2
30.06.20
31.12.19
30.06.19
31.12.19
30.06.19
Period
 
end
 
-
 
USD/GBP
1.24
1.33
1.27
(7%)
(2%)
6
 
month
 
average
 
-
 
USD/GBP
1.26
1.26
1.29
-
(2%)
3
 
month
 
average
 
-
 
USD/GBP
1.24
1.29
1.29
(4%)
(4%)
Period
 
end
 
-
 
EUR/GBP
1.10
1.18
1.12
(7%)
(2%)
6
 
month
 
average
 
-
 
EUR/GBP
1.14
1.14
1.15
-
(1%)
3
 
month
 
average
 
-
 
EUR/GBP
1.13
1.16
1.14
(3%)
(1%)
For
 
further
 
information
 
please
 
contact
Investor
 
relations
Media
 
relations
Chris
 
Manners
 
+44
 
(0)
 
20
 
7773
 
2136
Thomas
 
Hoskin
 
+44
 
(0)
 
20
 
7116
 
4755
More
 
information
 
on
 
Barclays
 
Bank
 
PLC
 
can
 
be
 
found
 
on
 
our
 
website:
 
home.barclays.
Registered
 
office
1
 
Churchill
 
Place,
 
London,
 
E14
 
5HP,
 
United
 
Kingdom.
 
Tel:
 
+44
 
(0)
 
20
 
7116
 
1000.
 
Company
 
number:
 
1026167.
1
 
Note
 
that
 
this
 
date
 
is
 
provisional
 
and
 
subject
 
to
 
change
 
.
2
 
The
 
average
 
rates
 
shown
 
above
 
are
 
derived
 
from
 
daily
 
spot
 
rates
 
during
 
the
 
year.
3
 
The
 
change
 
is
 
the
 
impact
 
to
 
GBP
 
reported
 
information.
 
 
 
 
bbplch120p2i0.gif
Glossary
 
of
 
Terms
 
 
 
 
Barclays
 
Bank
 
PLC
 
46
 
 
‘A
 
-IRB’
 
/
 
‘Advanced
 
-Internal
 
Ratings
 
Based’
 
See
 
‘Internal
 
Ratings
 
Based
 
(IRB)’.
 
‘Acceptances
 
and
 
endorsements’
 
An
 
acceptance
 
is
 
an
 
undertaking
 
by
 
a
 
bank
 
to
 
pay
 
a
 
bill
 
of
 
exchange
 
drawn
 
on
 
a
 
customer.
 
The
Barclays
 
Bank
 
Group
 
expects
 
most
 
acceptances
 
to
 
be
 
presented,
 
but
 
reimbursement
 
by
 
the
 
customer
 
is
 
normally
 
immediate.
Endorsements
 
are
 
residual
 
liabilities
 
of
 
the
 
Barclays
 
Bank
 
Group
 
in
 
respect
 
of
 
bills
 
of
 
exchange
 
which
 
have
 
been
 
paid
 
and
subsequently
 
rediscounted.
 
‘Additional
 
Tier
 
1
 
(AT1)
 
capital’
 
AT1
 
capital
 
largely
 
comprises
 
eligible
 
non-common
 
equity
 
capital
 
securities
 
and
 
any
 
related
 
share
 
premium.
 
‘Additi
 
onal
 
Tier
 
1
 
(AT1)
 
securities’
 
Non-common
 
equity
 
securities
 
that
 
are
 
eligible
 
as
 
AT1
 
capital.
 
 
‘Advanced
 
Measurement
 
Approach
 
(AMA)’
 
Under
 
the
 
AMA,
 
banks
 
are
 
allowed
 
to
 
develop
 
their
 
own
 
empirical
 
model
 
to
 
quantify
required
 
capital
 
for
 
operational
 
risk.
 
Banks
 
can
 
only
 
use
 
this
 
approach
 
subject
 
to
 
approval
 
from
 
their
 
local
 
regulators.
 
‘Agencies’
 
Bonds
 
issued
 
by
 
state
 
and
 
/
 
or
 
governmen
 
t
 
agencies
 
or
 
government
 
-
 
sponsored
 
entities.
 
‘Agency
 
Mortgage
 
-Backed
 
Securities’
 
Mortgage
 
-Backed
 
Securities
 
issued
 
by
 
government
 
-sponsored
 
entities.
 
‘All
 
price
 
risk
 
(APR)’
An
 
estimate
 
of
 
all
 
the
 
material
 
market
 
risks,
 
including
 
rating
 
migration
 
and
 
defaul
 
t
 
for
 
the
 
correlation
 
trading
portfolio.
‘American
 
Depository
 
Receipts
 
(ADR)’
A
 
negotiable
 
certificate
 
that
 
represents
 
the
 
ownership
 
of
 
shares
 
in
 
a
 
non-US
 
company
 
(for
example
 
Barclays)
 
trading
 
in
 
US
 
financial
 
markets.
 
‘Americas’
 
Geographic
 
segment
 
comprising
 
the
 
US,
 
Canada
 
and
 
countries
 
where
 
Barclays
 
Bank
 
Group
 
operates
 
within
 
Latin
America.
‘Annual
 
Earnings
 
at
 
Risk
 
(AEaR)’
 
A
 
measure
 
of
 
the
 
potential
 
change
 
in
 
Net
 
Interest
 
Income
 
(NII)
 
due
 
to
 
an
 
interest
 
rate
 
movement
over
 
a
 
one-year
 
period.
‘Annualised
 
cumulative
 
weighted
 
average
 
lifetime
 
PD’
 
The
 
probability
 
of
 
default
 
over
 
the
 
remaining
 
life
 
of
 
the
 
asset,
 
expressed
 
as
an
 
annual
 
rate,
 
reflecting
 
a
 
range
 
of
 
possible
 
economic
 
scenarios.
‘Application
 
scorecards’
Algorithm
 
based
 
decision
 
tools
 
used
 
to
 
aid
 
business
 
decisions
 
and
 
manage
 
credit
 
risk
 
based
 
on
 
available
customer
 
data
 
at
 
the
 
point
 
of
 
application
 
for
 
a
 
product.
 
‘Arrears’
 
Customers
 
are
 
said
 
to
 
be
 
in
 
arrears
 
when
 
they
 
are
 
behind
 
in
 
fulfilling
 
their
 
obligations
 
with
 
the
 
result
 
that
 
an
 
outstanding
loan
 
is
 
unpaid
 
or
 
overdue.
 
Such
 
customers
 
are
 
also
 
said
 
to
 
be
 
in
 
a
 
state
 
of
 
delinquency.
 
When
 
a
 
customer
 
is
 
in
 
arrears,
 
their
 
entire
outstanding
 
balance
 
is
 
said
 
to
 
be
 
delinquent,
 
meaning
 
that
 
delinquent
 
balances
 
are
 
the
 
total
 
outstanding
 
loans
 
on
 
which
 
payments
are
 
overdue.
 
‘Asia’
 
Geographic
 
segment
 
comprising
 
countries
 
where
 
Barclays
 
Bank
 
Group
 
operates
 
within
 
Asia
 
and
 
the
 
Middle
 
East.
 
‘Asset
 
Backed
 
Commercial
 
Paper’
 
Typically
 
short-term
 
notes
 
secured
 
on
 
specified
 
assets
 
issued
 
by
 
consolidated
 
special
 
purpose
entities
 
for
 
funding
 
purposes.
 
‘Asset
 
Backed
 
Securities
 
(ABS)’
 
Securities
 
that
 
represent
 
an
 
interest
 
in
 
an
 
underlying
 
pool
 
of
 
referenced
 
assets.
 
The
 
referenced
 
pool
can
 
comprise
 
any
 
assets
 
which
 
attract
 
a
 
set
 
of
 
associated
 
cash
 
flows
 
but
 
are
 
commonly
 
pools
 
of
 
residential
 
or
 
commercial
mortgages
 
and,
 
in
 
the
 
case
 
of
 
Collateralised
 
Debt
 
Obligations
 
(CDOs),
 
the
 
referenced
 
pool
 
may
 
be
 
ABS
 
or
 
other
 
classes
 
of
 
assets.
 
‘Attributable
 
profit’
 
Profit
 
after
 
tax
 
that
 
is
 
attributable
 
to
 
ordinary
 
equity
 
holders
 
of
 
Barclays
 
Bank
 
Group
 
adjusted
 
for
 
the
 
after
 
tax
amounts
 
of
 
capital
 
securities
 
classified
 
as
 
equity.
 
‘Average
 
allocated
 
tangible
 
equity’
Calculated
 
as
 
the
 
average
 
of
 
the
 
previous
 
month’s
 
period
 
end
 
allocated
 
tangible
 
equity
 
and
 
the
current
 
month’s
 
period
 
end
 
allocated
 
tangible
 
equity.
 
The
 
average
 
allocated
 
tangible
 
equity
 
for
 
the
 
period
 
is
 
the
 
average
 
of
 
the
monthly
 
averages
 
within
 
that
 
period.
 
 
 
bbplch120p2i0.gif
Glossary
 
of
 
Terms
 
 
 
 
Barclays
 
Bank
 
PLC
 
47
 
 
‘Average
 
tangible
 
shareholders’
 
equity’
Calculated
 
as
 
the
 
average
 
of
 
the
 
previous
 
month’s
 
period
 
end
 
tangible
 
equity
 
and
 
the
current
 
month’s
 
period
 
end
 
tangible
 
equity.
 
The
 
average
 
tangible
 
shareholders’
 
equity
 
for
 
the
 
period
 
is
 
the
 
average
 
of
 
the
 
monthly
averages
 
within
 
that
 
period.
 
‘Average
 
UK
 
leverage
 
ratio’
 
As
 
per
 
the
 
PRA
 
rulebook,
 
is
 
calculated
 
as
 
the
 
average
 
capital
 
measure
 
based
 
on
 
the
 
last
 
day
 
of
 
each
month
 
in
 
the
 
quarter
 
divided
 
by
 
the
 
average
 
exposure
 
measure
 
for
 
the
 
quarter,
 
where
 
the
 
average
 
exposure
 
is
 
based
 
on
 
each
 
day
in
 
the
 
quarter.
 
‘Back
 
testing’
Includes
 
a
 
number
 
of
 
techniques
 
that
 
assess
 
the
 
continued
 
statistical
 
validity
 
of
 
a
 
model
 
by
 
simulating
 
how
 
the
 
model
would
 
have
 
predicted
 
recent
 
experience.
‘Barclays
 
Africa’
 
or
 
‘Absa’
Barclays
 
Africa
 
Group
 
Limited
 
(now
 
Absa
 
Group
 
Limited),
 
which
 
was
 
previously
 
a
 
subsidiary
 
of
 
the
Barclays
 
Group.
 
Following
 
a
 
sell
 
down
 
of
 
shares
 
resulting
 
in
 
a
 
loss
 
of
 
control,
 
the
 
Barclays
 
Group’s
 
shareholding
 
in
 
Absa
 
Group
Limited
 
is
 
now
 
classified
 
as
 
a
 
financial
 
asset
 
at
 
fair
 
value
 
through
 
other
 
comprehensive
 
income.
‘Balance
 
weighted
 
Loan
 
to
 
Value
 
(LTV)
 
ratio’
 
In
 
the
 
context
 
of
 
the
 
credit
 
risk
 
disclosures
 
on
 
secured
 
home
 
loans,
 
a
 
means
 
of
calculating
 
marked
 
to
 
market
 
LTVs
 
derived
 
by
 
calculating
 
individual
 
LTVs
 
at
 
account
 
level
 
and
 
weighting
 
it
 
by
 
the
 
balances
 
to
 
arrive
at
 
the
 
average
 
position.
 
Balance
 
weighted
 
loan
 
to
 
value
 
is
 
calculated
 
using
 
the
 
following
 
formula:
 
LTV
 
=
 
((loan
 
balance
 
1
 
x
 
MTM
LTV%
 
for
 
loan
 
1)
 
+
 
(loan
 
balance
 
2
 
x
 
MTM
 
LTV%
 
for
 
loan
 
2)
 
+
 
...)
 
/
 
total
 
outstandings
 
in
 
portfolio.
‘Barclaycard’
 
An
 
international
 
consumer
 
payments
 
business
 
serving
 
the
 
needs
 
of
 
businesses
 
and
 
consumers
 
through
 
credit
 
cards,
consumer
 
lending,
 
merchant
 
acquiring,
 
commercial
 
cards
 
and
 
point
 
of
 
sale
 
finance.
 
Barclaycard
 
has
 
scaled
 
operations
 
in
 
the
 
UK,
 
US,
Germany
 
and
 
Scandinavia.
 
‘Barclaycard
 
Consumer
 
UK’
 
The
 
UK
 
Barclaycard
 
business.
‘Barclays’
 
or
 
’Barclays
 
Group’
 
Barclays
 
PLC,
 
together
 
with
 
its
 
subsidiaries.
 
‘Barclays
 
Bank
 
Group’
 
Barclays
 
Bank
 
PLC,
 
together
 
with
 
its
 
subsidiaries.
 
‘Barclays
 
Bank
 
UK
 
Group’
 
Barclays
 
Bank
 
UK
 
PLC,
 
together
 
with
 
its
 
subsidiaries.
 
‘Barclays
 
Bank
 
Group
 
Operating
 
businesses’
The
 
core
 
Barclays
 
Bank
 
Group
 
businesses
 
operated
 
by
 
Corporate
 
and
 
Investment
 
Bank
(which
 
include
 
the
 
the
 
large
 
UK
 
Corporate
 
business;
 
the
 
international
 
Corporate
 
and
 
the
 
Investment
 
Bank)
 
and
 
Consumer,
 
Cards
and
 
Payments
 
(the
 
Private
 
Bank
 
businesses;
 
the
 
international
 
Barclaycard
 
business;
 
and
 
payments).
‘Barclays
 
Execution
 
Services’
 
or
 
‘BX’
 
or
 
‘BSerL’
 
or
 
‘Group
 
Service
 
Company’
Barclays
 
Execution
 
Services
 
Limited,
 
the
 
Barclays
 
Group
services
 
company
 
set
 
up
 
to
 
provide
 
services
 
to
 
Barclays
 
UK
 
and
 
Barclays
 
International
 
to
 
deliver
 
operational
 
continuity.
 
‘Barclays
 
International’
The
 
segment
 
of
 
Barclays
 
Bank
 
held
 
by
 
Barclays
 
Bank
 
PLC.
 
The
 
division
 
includes
 
the
 
large
 
UK
 
Corporate
business;
 
the
 
international
 
Corporate
 
and
 
Private
 
Bank
 
businesses;
 
the
 
Investment
 
Bank;
 
the
 
international
 
Barclaycard
 
business;
and
 
payments.
‘Barclays
 
UK’
The
 
segment
 
of
 
Barclays
 
held
 
by
 
Barclays
 
Bank
 
UK
 
PLC.
 
The
 
division
 
includes
 
the
 
UK
 
Personal
 
banking;
 
UK
 
business
banking
 
and
 
the
 
Barclaycard
 
consumer
 
UK
 
businesses.
 
‘Basel
 
3’
 
The
 
third
 
of
 
the
 
Basel
 
Accords,
 
setting
 
minimum
 
requirements
 
and
 
standards
 
that
 
apply
 
to
 
internationally
 
active
 
banks.
 
Basel
 
3
 
is
 
a
 
set
 
of
 
measures
 
developed
 
by
 
the
 
Basel
 
Committee
 
on
 
Banking
 
Supervision
 
aiming
 
to
 
strengthen
 
the
 
regulation,
supervision
 
and
 
risk
 
management
 
of
 
banks.
‘Basel
 
Committee
 
of
 
Banking
 
Supervision
 
(BCBS
 
or
 
The
 
Basel
 
Committee)’
 
A
 
forum
 
for
 
regular
 
cooperation
 
on
 
banking
 
supervisory
matters
 
which
 
develops
 
global
 
supervisory
 
standards
 
for
 
the
 
banking
 
industry.
 
Its
 
45
 
members
 
are
 
officials
 
from
 
central
 
banks
 
or
prudential
 
supervisors
 
from
 
28
 
jurisdictions.
 
‘Basic
 
Indicator
 
Approach
 
(BIA)’
Under
 
the
 
BIA,
 
banks
 
are
 
required
 
to
 
hold
 
regulatory
 
capital
 
for
 
operational
 
risk
 
equal
 
to
 
15%
 
of
 
the
annual
 
average,
 
calculated
 
over
 
a
 
rolling
 
three-year
 
period,
 
of
 
the
 
relevant
 
income
 
indicator
 
for
 
the
 
bank
 
as
 
whole.
‘Basis
 
point(s)’
 
/
 
‘bp(s)’
 
One
 
hundredth
 
of
 
a
 
per
 
cent
 
(0.01%);
 
100
 
basis
 
points
 
is
 
1%.
 
The
 
measure
 
is
 
used
 
in
 
quoting
 
movements
 
in
interest
 
rates,
 
yields
 
on
 
securities
 
and
 
for
 
other
 
purposes.
 
 
 
bbplch120p2i0.gif
Glossary
 
of
 
Terms
 
 
 
 
Barclays
 
Bank
 
PLC
 
48
 
 
‘Basis
 
risk’
 
Index/Tenor
 
risk,
 
that
 
arises
 
when
 
floating
 
rate
 
products
 
are
 
linked
 
to
 
different
 
interest
 
rate
 
indices,
 
which
 
are
imperfectly
 
correlated,
 
especially
 
under
 
stressed
 
market
 
conditions.
‘Behavioural
 
scorecards’
Algorithm
 
based
 
decision
 
tools
 
used
 
to
 
aid
 
business
 
decisions
 
and
 
manage
 
credit
 
risk
 
based
 
on
 
existing
customer
 
data
 
derived
 
from
 
account
 
usage.
‘Book
 
quality’
In
 
the
 
context
 
of
 
the
 
Capital
 
Risk
 
section,
 
changes
 
in
 
RWAs
 
caused
 
by
 
factors
 
such
 
as
 
underlying
 
customer
 
behaviour
or
 
demographics
 
leading
 
to
 
changes
 
in
 
risk
 
profile.
‘Book
 
size’
In
 
the
 
con
 
text
 
of
 
the
 
Capital
 
Risk
 
section
,
 
changes
 
in
 
RWAs
 
driven
 
by
 
business
 
activity,
 
including
 
net
 
originations
 
or
repayments
 
.
 
‘Bounce
 
Back
 
Loan
 
Scheme
 
(BBLS)’
A
 
government
 
(British
 
Business
 
Bank)
 
backed
 
loan
 
scheme
 
which
 
allows
 
small
 
and
 
medium-
 
sized
businesses
 
to
 
borrow
 
between
 
£2,000
 
and
 
£50,000.
 
The
 
UK
 
government
 
guarantees
 
100%
 
of
 
the
 
loan
 
and
 
pays
 
the
 
first
 
12
 
months
of
 
interest
 
on
 
behalf
 
of
 
the
 
borrowers,
 
subject
 
to
 
terms
 
and
 
conditions.
‘Business
 
Banking’
 
Offers
 
specialist
 
advice,
 
products
 
and
 
services
 
to
 
small
 
and
 
medium
 
enterprises
 
in
 
the
 
UK.
 
‘Business
 
scenario
 
stresses’
 
Multi
 
asset
 
scenario
 
analysis
 
of
 
extreme,
 
but
 
plausible
 
events
 
that
 
may
 
impact
 
the
 
market
 
risk
exposures
 
of
 
the
 
Investment
 
Bank.
 
‘Buy
 
to
 
let
 
mortgage’
A
 
mortgage
 
where
 
the
 
intention
 
of
 
the
 
customer
 
(investor)
 
was
 
to
 
let
 
the
 
property
 
at
 
origination.
‘Capital
 
Conservation
 
Buffer
 
(CCB)’
A
 
capital
 
buffer
 
of
 
2.5%
 
of
 
a
 
bank’s
 
total
 
exposures
 
that
 
needs
 
to
 
be
 
met
 
with
 
an
 
additional
amount
 
of
 
Common
 
Equity
 
Tier
 
1
 
capital
 
above
 
the
 
4.5%
 
minimum
 
requirement
 
for
 
Common
 
Equity
 
Tier
 
1
 
set
 
out
 
in
 
CRR.
 
Its
objective
 
is
 
to
 
conserve
 
a
 
bank’s
 
capital
 
by
 
ensuring
 
that
 
banks
 
build
 
up
 
surplus
 
capital
 
outside
 
periods
 
of
 
stress
 
which
 
can
 
be
drawn
 
down
 
if
 
losses
 
are
 
incurred.
 
‘Capital
 
ratios’
 
Key
 
financial
 
ratios
 
measuring
 
the
 
Bank's
 
capital
 
adequacy
 
or
 
financial
 
strength
 
expressed
 
as
 
a
 
percentage
 
of
 
RWAs.
 
‘Capital
 
Requirements
 
Directive
 
(CRD)’
Directive
 
2013/36/EU,
 
a
 
component
 
of
 
the
 
CRD
 
IV
 
package
 
which
 
accompanies
 
the
 
Capital
Requirements
 
Regulation
 
and
 
sets
 
out
 
macroprudential
 
standards
 
including
 
the
 
countercyclical
 
capital
 
buffer
 
and
 
capital
 
buffers
 
for
systemically
 
important
 
institutions.
 
Directive
 
(EU)
 
2019/878,
 
published
 
as
 
part
 
of
 
the
 
EU
 
Risk
 
Reduction
 
Measure
 
package
 
amends
CRD.
 
These
 
amendments
 
enter
 
into
 
force
 
from
 
27
 
June
 
2019,
 
with
 
EU
 
member
 
states
 
required
 
to
 
adopt
 
the
 
measures
 
within
 
the
Directive
 
by
 
28
 
December
 
2020.
 
‘Capital
 
Requirements
 
Regulation
 
(CRR)’
Regulation
 
(EU)
 
No
 
575/2013,
 
a
 
component
 
of
 
the
 
CRD
 
IV
 
package
 
which
 
accompanies
 
the
Capital
 
Requirements
 
Direct
 
ive
 
and
 
sets
 
out
 
detailed
 
rules
 
for
 
capital
 
eligibility,
 
the
 
calculation
 
of
 
RWAs,
 
the
 
measurement
 
of
leverage,
 
the
 
management
 
of
 
large
 
exposures
 
and
 
minimum
 
standards
 
for
 
liquidity.
 
Between
 
27
 
June
 
2019
 
and
 
28
 
June
 
2023,
 
this
regulation
 
will
 
be
 
amended
 
in
 
line
 
with
 
the
 
requirements
 
of
 
amending
 
Regulation
 
(EU)
 
2019/876
 
(CRR
 
II).
 
‘Capital
 
Requirements
 
Regulation
 
II
 
(CRR
 
II)’
Regulation
 
(EU)
 
2019/876,
 
amending
 
Regulation
 
(EU)
 
No
 
575/2013
 
(CRR).
 
This
 
is
 
a
component
 
of
 
the
 
EU
 
Risk
 
Reduction
 
Measure
 
package.
 
The
 
requirements
 
set
 
out
 
in
 
CRR
 
II
 
will
 
be
 
introduced
 
between
 
27
 
June
2019
 
and
 
28
 
June
 
2023.
‘Capital
 
requirements
 
on
 
the
 
underlying
 
exposures
 
(KIRB)’
An
 
approach
 
available
 
to
 
banks
 
when
 
calculating
 
RWAs
 
for
 
securitisation
exposures.
 
This
 
is
 
based
 
upon
 
the
 
RWA
 
amounts
 
that
 
would
 
be
 
calculated
 
under
 
the
 
IRB
 
approach
 
for
 
the
 
underlying
 
pool
 
of
securitised
 
exposures
 
in
 
the
 
program,
 
had
 
such
 
exposures
 
not
 
been
 
securitised.
‘Capital
 
resources’
 
Common
 
Equity
 
Tier
 
1,
 
Additional
 
Tier
 
1
 
and
 
Tier
 
2
 
capital
 
that
 
are
 
eligible
 
to
 
satisfy
 
capital
 
requirements
 
under
CRD.
 
Referred
 
to
 
as
 
‘own
 
funds’
 
within
 
EU
 
regulatory
 
texts.
 
‘Capital
 
risk’
 
The
 
risk
 
that
 
the
 
Barclays
 
Bank
 
Group
 
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
 
or
 
stressed
 
conditions
 
(both
 
actual
and
 
as
 
defined
 
for
 
internal
 
planning
 
or
 
regulatory
 
testing
 
purposes).
 
This
 
includes
 
the
 
risk
 
from
 
the
 
Barclays
 
Bank
 
Group’s
 
pension
plans.
 
 
bbplch120p2i0.gif
Glossary
 
of
 
Terms
 
 
 
 
Barclays
 
Bank
 
PLC
 
49
 
 
‘Central
 
Counterparty’
 
/
 
‘Central
 
Clearing
 
Counterparties
 
(CCPs)’
 
A
 
clearing
 
house
 
mediating
 
between
 
the
 
buyer
 
and
 
the
 
seller
 
in
 
a
financial
 
transaction,
 
such
 
as
 
a
 
derivative
 
contract
 
or
 
repurchase
 
agreement
 
(repo).
 
Where
 
a
 
central
 
counterparty
 
is
 
used,
 
a
 
single
bi-lateral
 
contract
 
between
 
the
 
buyer
 
and
 
seller
 
is
 
replaced
 
with
 
two
 
contracts,
 
one
 
between
 
the
 
buyer
 
and
 
the
 
CCP
 
and
 
one
between
 
the
 
CCP
 
and
 
the
 
seller.
 
The
 
use
 
of
 
CCPs
 
allows
 
for
 
greater
 
oversight
 
and
 
improved
 
credit
 
risk
 
mitigation
 
in
 
over
 
-the-
counter
 
(OTC)
 
markets.
 
‘Charge
 
-off’
 
In
 
the
 
re
 
tail
 
segment
 
this
 
refers
 
to
 
the
 
point
 
in
 
time
 
when
 
collections
 
activity
 
changes
 
from
 
the
 
collection
 
of
 
arrears
 
to
the
 
recovery
 
of
 
the
 
full
 
balance.
 
This
 
is
 
normally
 
when
 
six
 
payments
 
are
 
in
 
arrears.
 
‘Client
 
Assets’
Assets
 
managed
 
or
 
administered
 
by
 
Barcla
 
ys
 
Bank
 
Group
 
on
 
behalf
 
of
 
clients
 
including
 
assets
 
under
 
management
(AUM),
 
custody
 
assets,
 
assets
 
under
 
administration
 
and
 
client
 
deposits.
‘CLOs
 
and
 
Other
 
insured
 
assets’
 
Highly
 
rated
 
CLO
 
positions
 
wrapped
 
by
 
monolines,
 
non-CLOs
 
wrapped
 
by
 
monolines
 
and
 
other
assets
 
wrapped
 
with
 
Credit
 
Support
 
Annex
 
(CSA)
 
protection.
‘Collateralised
 
Debt
 
Obligation
 
(CDO)’
 
Securities
 
issued
 
by
 
a
 
third
 
party
 
which
 
reference
 
Asset
 
Backed
 
Securities
 
(ABSs)
 
(defined
above)
 
and/or
 
certain
 
other
 
related
 
assets
 
purchased
 
by
 
the
 
issuer.
 
CDOs
 
may
 
feature
 
exposure
 
to
 
sub-prime
 
mortgage
 
assets
through
 
the
 
underlying
 
assets.
 
‘Collateralised
 
Loan
 
Obligation
 
(CLO)’
 
A
 
security
 
backed
 
by
 
the
 
repayments
 
from
 
a
 
pool
 
of
 
commercial
 
loans.
 
The
 
payments
 
may
 
be
made
 
to
 
different
 
classes
 
of
 
owners
 
(in
 
tranches).
 
‘Collateralised
 
Mortgage
 
Obligation
 
(CMO)’
 
A
 
type
 
of
 
security
 
backed
 
by
 
mortgages.
 
A
 
special
 
purpose
 
entity
 
receives
 
income
 
from
the
 
mortgages
 
and
 
passes
 
them
 
on
 
to
 
investors
 
of
 
the
 
security.
‘Combined
 
Buffer
 
Requirement’
In
 
the
 
context
 
of
 
the
 
CRD
 
capital
 
obligations,
 
the
 
combined
 
requirements
 
of
 
the
 
Capital
Conservation
 
Buffer,
 
the
 
GSII
 
Buffer,
 
the
 
OSII
 
buffer,
 
the
 
Systemic
 
Risk
 
buffer
 
and
 
an
 
institution
 
specific
 
counter
 
-cyclical
 
buffer.
‘Commercial
 
paper
 
(CP)’
 
Short-term
 
notes
 
issued
 
by
 
entities,
 
including
 
banks,
 
for
 
funding
 
purposes.
 
‘Commercia
 
l
 
real
 
estate
 
(CRE)’
Commercial
 
real
 
estate
 
includes
 
office
 
buildings,
 
industrial
 
property,
 
medical
 
centres,
 
hotels,
 
retail
stores,
 
shopping
 
centres,
 
farm
 
land,
 
multifamily
 
housing
 
buildings,
 
warehouses,
 
garages,
 
and
 
industrial
 
properties
 
and
 
other
 
similar
properties.
 
Commercial
 
real
 
estate
 
loans
 
are
 
loans
 
backed
 
by
 
a
 
package
 
of
 
commercial
 
real
 
estate.
 
Note:
 
for
 
the
 
purposes
 
of
 
the
Credit
 
Risk
 
section,
 
the
 
UK
 
CRE
 
portfolio
 
includes
 
property
 
investment,
 
development,
 
trading
 
and
 
housebuilders
 
but
 
excludes
 
social
housing
 
contractors.
‘Commissions
 
and
 
other
 
incentives’
 
Includes
 
commission-based
 
arrangements,
 
guaranteed
 
incentives
 
and
 
Long
 
Term
 
Incentive
 
Plan
awards.
 
‘Committee
 
of
 
Sponsoring
 
Organisations
 
of
 
the
 
Treadway
 
Commission
 
Framework
 
(COSO)’
A
 
joint
 
initiative
 
of
 
five
 
private
 
sector
organisations
 
dedicated
 
to
 
the
 
development
 
of
 
frameworks
 
and
 
providing
 
guidance
 
on
 
enterprise
 
risk
 
management,
 
internal
control
 
and
 
fraud
 
deterrence.
‘Commodity
 
derivatives’
 
Exchange
 
traded
 
and
 
over
 
-the-counter
 
(OTC)
 
derivatives
 
based
 
on
 
an
 
underlying
 
commodity
 
(e.g.
 
metals,
precious
 
metals,
 
oil
 
and
 
oil
 
related,
 
power
 
and
 
natural
 
gas).
 
‘Commodity
 
risk’
 
Measures
 
the
 
impact
 
of
 
changes
 
in
 
commodity
 
prices
 
and
 
volatilities,
 
including
 
the
 
basis
 
between
 
related
commodities
 
(e.g.
 
Brent
 
vs.
 
WTI
 
crude
 
prices).
 
‘Common
 
Equity
 
Tier
 
1
 
(CET1)
 
capital’
 
The
 
highest
 
quality
 
form
 
of
 
regulatory
 
capital
 
under
 
CRR
 
that
 
comprises
 
common
 
shares
issued
 
and
 
related
 
share
 
premium,
 
retained
 
earnings
 
and
 
other
 
reserves,
 
less
 
specified
 
regulatory
 
adjustments.
‘Common
 
Equity
 
Tier
 
1
 
(CET1)
 
ratio’
 
A
 
measure
 
of
 
Common
 
Equity
 
Tier
 
1
 
capital
 
expressed
 
as
 
a
 
percentage
 
of
 
RWAs.
‘Compensation:
 
income
 
ratio’
The
 
ratio
 
of
 
compensation
 
expense
 
over
 
total
 
income.
 
Compensation
 
represents
 
total
 
staff
 
costs
 
less
non-compensation
 
items
 
consisting
 
of
 
outsourcing,
 
staff
 
training,
 
redundancy
 
costs
 
and
 
retirement
 
costs.
 
 
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Glossary
 
of
 
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Barclays
 
Bank
 
PLC
 
50
 
 
‘
Comprehensive
 
Capital
 
Analysis
 
and
 
Review
 
(CCAR)’
An
 
annual
 
exercise,
 
required
 
by
 
and
 
evaluated
 
by
 
the
 
Federal
 
Reserve,
through
 
which
 
the
 
largest
 
bank
 
holding
 
companies
 
operating
 
in
 
the
 
US
 
assess
 
whether
 
they
 
have
 
sufficient
 
capital
 
to
 
continue
operations
 
through
 
periods
 
of
 
economic
 
and
 
financial
 
stress
 
and
 
have
 
robust
 
capital
 
-planning
 
processes
 
that
 
account
 
for
 
their
unique
 
risks.
‘Comprehensive
 
Risk
 
Measure
 
(CRM)’
An
 
estimate
 
of
 
all
 
the
 
material
 
market
 
risks,
 
including
 
rating
 
migration
 
and
 
default
 
for
 
the
correlation
 
trading
 
portfolio.
 
Also
 
referred
 
to
 
as
 
All
 
Price
 
Risk
 
(APR)
 
and
 
Comprehensive
 
Risk
 
Capital
 
Charge
 
(CRCC).
‘Conduct
 
risk’
 
The
 
risk
 
of
 
detriment
 
to
 
customers,
 
clients,
 
market
 
integrity,
 
competition
 
or
 
Barclays
 
Bank
 
Group
 
from
 
the
inappropriate
 
supply
 
of
 
financial
 
services,
 
including
 
instances
 
of
 
wilful
 
or
 
negligent
 
misconduct.
‘Constant
 
Currency
 
Basis’
Excluding
 
the
 
impact
 
of
 
foreign
 
currency
 
conversion
 
to
 
GBP
 
when
 
comparing
 
financial
 
results
 
in
 
two
different
 
financial
 
periods.
‘Consumer,
 
Cards
 
and
 
Payments’
Barclays
 
US
 
Consumer
 
Bank,
 
Barclaycard
 
Germany,
 
Barclaycard
 
Commercial
 
Payments,
Barclaycard
 
Payment
 
Solutions
 
(including
 
merchant
 
acquiring)
 
and
 
the
 
international
 
Wealth
 
business.
‘Contingent
 
capital
 
notes
 
(CCNs)’
 
Interest
 
bearing
 
debt
 
securities
 
issued
 
by
 
Barclays
 
Bank
 
Group
 
or
 
its
 
subsidiaries
 
that
 
are
 
either
permanently
 
written
 
off
 
or
 
converted
 
into
 
an
 
equity
 
instrument
 
from
 
the
 
issuer's
 
perspective
 
in
 
the
 
event
 
of
 
the
 
Common
 
Equity
Tier
 
1
 
(CET1)
 
ratio
 
of
 
the
 
relevant
 
Barclays
 
Bank
 
Group
 
entity
 
falling
 
below
 
a
 
specific
 
level,
 
or
 
at
 
the
 
direction
 
of
 
regulators.
 
 
‘Conversion
 
Trigger’
Used
 
in
 
the
 
context
 
of
 
Contingent
 
Capital
 
Notes
 
and
 
AT1
 
securities.
 
A
 
capital
 
adequacy
 
trigger
 
event
 
occurs
when
 
the
 
CET1
 
ratio
 
of
 
the
 
bank
 
falls
 
below
 
a
 
certain
 
level
 
(the
 
trigger)
 
as
 
defined
 
in
 
the
 
Terms
 
&
 
Conditions
 
of
 
the
 
instruments
issued.
 
See
 
‘Contingent
 
capital
 
notes’.
‘Coronavirus
 
Business
 
Interr
 
uption
 
Loan
 
Scheme
 
(CBILS)’
A
 
loan
 
scheme
 
by
 
the
 
British
 
Business
 
Bank
 
(BBB)
 
to
 
support
 
UK
 
based
small
 
and
 
medium-
 
sized
 
businesses
 
(turnover
 
of
 
up
 
to
 
£45
 
million)
 
adversely
 
impacted
 
by
 
COVID
 
-19,
 
.
 
The
 
CBILS
 
scheme
 
provides
loans
 
up
 
to
 
£5
 
million
 
which
 
are
 
backed
 
by
 
an
 
80%
 
government
 
(BBB)
 
guarantee.
 
The
 
UK
 
government
 
will
 
pay
 
interest
 
and
 
fees
 
for
the
 
first
 
12
 
months
 
on
 
behalf
 
of
 
the
 
borrowers,
 
subject
 
to
 
terms
 
and
 
conditions.
 
Coronavirus
 
Large
 
Business
 
Interruption
 
Loan
 
Scheme
 
(CLBILS)’
A
 
loan
 
scheme
 
by
 
the
 
British
 
Business
 
Bank
 
(BBB)
 
to
 
support
 
UK
based
 
medium-sized
 
businesses
 
(turnover
 
above
 
£45
 
million,
 
but
 
with
 
no
 
access
 
to
 
CCFF)
 
adversely
 
impacted
 
by
 
COVID
 
-19,
 
The
CBILS
 
scheme
 
provides
 
loans
 
up
 
to
 
£50
 
million
 
which
 
are
 
backed
 
by
 
an
 
80%
 
government
 
(BBB)
 
guarantee.
 
‘Corporate
 
and
 
Investment
 
Bank
 
(CIB)’
Barclays
 
Bank
 
Corporate
 
and
 
Investment
 
Bank
 
businesses.
 
‘Correlation
 
risk’
 
Refers
 
to
 
the
 
change
 
in
 
marked
 
to
 
market
 
value
 
of
 
a
 
security
 
when
 
the
 
correlation
 
between
 
the
 
underlying
 
assets
changes
 
over
 
time.
‘Cost:
 
income
 
ratio’
 
Total
 
operating
 
expenses
 
divided
 
by
 
total
 
income.
 
‘Cost
 
of
 
Equity’
 
The
 
rate
 
of
 
return
 
targeted
 
by
 
the
 
equity
 
holders
 
of
 
a
 
company.
 
‘Cost:
 
income
 
jaws’
 
Relationship
 
of
 
the
 
percentage
 
change
 
movement
 
in
 
operating
 
expenses
 
relative
 
to
 
total
 
income.
‘Countercyclical
 
Capital
 
Buffer
 
(CCyB)’
An
 
additional
 
buffer
 
introduced
 
as
 
part
 
of
 
the
 
CRD
 
IV
 
package
 
that
 
requires
 
banks
 
to
 
have
 
an
additional
 
cushion
 
of
 
CET
 
1
 
capital
 
with
 
which
 
to
 
absorb
 
potential
 
losses,
 
enhancing
 
their
 
resilience
 
and
 
contributing
 
to
 
a
 
stable
financial
 
system.
 
‘Countercyclical
 
leverage
 
ratio
 
buffer
 
(CCLB)’
A
 
macroprudential
 
buffer
 
that
 
has
 
applied
 
to
 
specific
 
PRA
 
regulated
 
institutions
 
since
2018
 
and
 
is
 
calculated
 
at
 
35%
 
of
 
any
 
risk
 
weighted
 
countercyclical
 
capital
 
buffer
 
set
 
by
 
the
 
Financial
 
Policy
 
Committee
 
(FPC).
 
The
CCLB
 
applies
 
in
 
addition
 
to
 
the
 
minimum
 
of
 
3.25%
 
and
 
any
 
G-SII
 
additional
 
Leverage
 
Ratio
 
Buffer
 
that
 
applies.
‘Counterparty
 
credit
 
risk’
 
The
 
risk
 
related
 
to
 
a
 
counterparty
 
defaulting
 
before
 
the
 
final
 
settlement
 
of
 
a
 
transaction’s
 
cash
 
flows.
 
In
the
 
context
 
of
 
RWAs,
 
a
 
component
 
of
 
RWAs
 
that
 
represents
 
the
 
risk
 
of
 
loss
 
in
 
derivatives,
 
repurchase
 
agreements
 
and
 
similar
transactions
 
resulting
 
from
 
the
 
default
 
of
 
the
 
counterparty.
‘Coverage
 
ratio’
 
This
 
represents
 
the
 
percentage
 
of
 
impairment
 
allowance
 
reserve
 
against
 
the
 
gross
 
exposure.
 
 
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of
 
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Bank
 
PLC
 
51
 
 
‘Covered
 
bonds’
 
Debt
 
securities
 
backed
 
by
 
a
 
portfolio
 
of
 
mortgages
 
that
 
are
 
segregated
 
from
 
the
 
issuer’s
 
other
 
assets
 
solely
 
for
 
the
benefit
 
of
 
the
 
holders
 
of
 
the
 
covered
 
bonds.
 
‘Covid
 
Corporate
 
Finance
 
Facility
 
(CCFF)’:
 
Bank
 
of
 
England
 
(BOE)
 
scheme
 
to
 
support
 
liquidity
 
among
 
larger
 
investment
 
grade
 
firms
which
 
make
 
a
 
material
 
UK
 
contribution,
 
helping
 
to
 
bridge
 
coronavirus
 
disruption
 
to
 
their
 
cash
 
flows.
 
The
 
Bank
 
of
 
England
 
provides
liquidity
 
by
 
purchasing
 
short-term
 
debt
 
in
 
the
 
form
 
of
 
commercial
 
paper
 
from
 
corporates
 
.
 
Barclays
 
Bank
 
Group
 
acts
 
as
 
dealer.
‘CRD
 
IV’
The
 
Fourth
 
Capital
 
Requirements
 
Directive,
 
an
 
EU
 
Directive
 
and
 
an
 
accompanying
 
Regulation
 
(CRR)
 
that
 
together
 
prescribe
EU
 
capital
 
adequacy
 
and
 
liquidity
 
requirements
 
and
 
implements
 
Basel
 
3
 
in
 
the
 
European
 
Union.
‘CRD
 
V’
The
 
Fifth
 
Capital
 
Requirements
 
Directive,
 
comprising
 
an
 
EU
 
amending
 
Directive
 
and
 
an
 
accompanying
 
amending
 
Regulation
(CRR
 
II)
 
that
 
together
 
prescribe
 
EU
 
capital
 
adequacy
 
and
 
liquidity
 
requirements
 
and
 
implements
 
enhanced
 
Basel
 
3
 
proposals
 
in
 
the
European
 
Union.
 
‘Credit
 
conversion
 
factor
 
(CCF)’
Factor
 
used
 
to
 
estimate
 
the
 
risk
 
from
 
off
 
-balance
 
sheet
 
commitments
 
for
 
the
 
purpose
 
of
 
calculating
the
 
total
 
Exposure
 
at
 
Default
 
(EAD)
 
used
 
to
 
calculate
 
RWAs.
‘Credit
 
default
 
swaps
 
(CDS)’
 
A
 
contract
 
under
 
which
 
the
 
protection
 
seller
 
receives
 
premiums
 
or
 
interest
 
-related
 
payments
 
in
 
return
for
 
contracting
 
to
 
make
 
payments
 
to
 
the
 
protection
 
buyer
 
in
 
the
 
event
 
of
 
a
 
defined
 
credit
 
event.
 
Credit
 
events
 
normally
 
include
bankruptcy,
 
payment
 
defau
 
lt
 
on
 
a
 
reference
 
asset
 
or
 
assets,
 
or
 
downgrades
 
by
 
a
 
rating
 
agency.
 
‘Credit
 
derivatives
 
(CDs)’
 
An
 
arrangement
 
whereby
 
the
 
credit
 
risk
 
of
 
an
 
asset
 
(the
 
reference
 
asset)
 
is
 
transferred
 
from
 
the
 
buyer
 
to
the
 
seller
 
of
 
the
 
protection.
 
‘Credit
 
impairment
 
charges’
 
Also
 
known
 
as
 
‘credit
 
impairment’.
 
Impairment
 
charges
 
on
 
loans
 
and
 
advances
 
to
 
customers
 
and
 
banks
and
 
impairment
 
charges
 
on
 
fair
 
value
 
through
 
other
 
comprehensive
 
income
 
assets
 
and
 
reverse
 
repurchase
 
agreements.
 
‘Credit
 
market
 
exposures’
 
Assets
 
and
 
other
 
instruments
 
relating
 
to
 
commercial
 
real
 
estate
 
and
 
leveraged
 
finance
 
businesses
 
that
have
 
been
 
significantly
 
impacted
 
by
 
the
 
deterioration
 
in
 
the
 
global
 
credit
 
markets.
 
The
 
exposures
 
include
 
positions
 
subject
 
to
 
fair
value
 
movements
 
in
 
the
 
Income
 
Statement,
 
positions
 
that
 
are
 
classified
 
as
 
loans
 
and
 
advances
 
and
 
available
 
for
 
sale
 
and
 
other
assets.
‘Credit
 
quality
 
step’
 
In
 
the
 
context
 
of
 
the
 
Standardised
 
Approach
 
to
 
calculating
 
credit
 
risk
 
RWAs,
 
a
 
“credit
 
quality
 
assessment
 
scale”
maps
 
the
 
credit
 
assessments
 
of
 
a
 
recognised
 
credit
 
rating
 
agency
 
or
 
export
 
credit
 
agency
 
to
 
credit
 
quality
 
steps
 
that
 
determine
 
the
risk
 
weight
 
to
 
be
 
applied
 
to
 
an
 
exposure.
 
‘Credit
 
Rating’
An
 
evaluation
 
of
 
the
 
creditworthiness
 
of
 
an
 
entity
 
seeking
 
to
 
enter
 
into
 
a
 
credit
 
agreement.
 
‘Credit
 
risk’
 
The
 
risk
 
of
 
loss
 
to
 
Barclays
 
Bank
 
Group
 
from
 
the
 
failure
 
of
 
clients,
 
custo
 
mers
 
or
 
counterparties,
 
including
 
sovereigns,
 
to
fully
 
honour
 
their
 
obligations
 
to
 
Barclays
 
Bank
 
Group,
 
including
 
the
 
whole
 
and
 
timely
 
payment
 
of
 
principal,
 
interest,
 
collateral
 
and
other
 
receivables.
 
In
 
the
 
context
 
of
 
RWAs,
 
it
 
is
 
the
 
component
 
of
 
RWAs
 
that
 
represents
 
the
 
risk
 
of
 
loss
 
in
 
loans
 
and
 
advances
 
and
similar
 
transactions
 
resulting
 
from
 
the
 
default
 
of
 
the
 
counterparty.
‘Credit
 
risk
 
mitigation’
 
A
 
range
 
of
 
techniques
 
and
 
strategies
 
to
 
actively
 
mitigate
 
credit
 
risks
 
to
 
which
 
the
 
bank
 
is
 
exposed.
 
These
 
can
be
 
broadly
 
divided
 
into
 
three
 
types;
 
collateral,
 
netting
 
and
 
set-off,
 
and
 
risk
 
transfer.
 
‘Credit
 
spread’
 
The
 
premium
 
over
 
the
 
benchmark
 
or
 
risk-free
 
rate
 
required
 
by
 
the
 
market
 
to
 
accept
 
a
 
lower
 
credit
 
quality.
 
‘Credit
 
Valuation
 
Adjustment
 
(CVA)’
 
The
 
difference
 
between
 
the
 
risk-free
 
value
 
of
 
a
 
portfolio
 
of
 
trades
 
and
 
the
 
market
 
value
 
which
takes
 
into
 
account
 
the
 
counterparty’s
 
risk
 
of
 
default.
 
The
 
CVA
 
therefore
 
represents
 
an
 
estimate
 
of
 
the
 
adjustment
 
to
 
fair
 
value
 
that
a
 
market
 
participant
 
would
 
make
 
to
 
incorporate
 
the
 
credit
 
risk
 
of
 
the
 
counterparty
 
due
 
to
 
any
 
failure
 
to
 
perform
 
on
 
contractual
agreements.
 
‘CRR
 
leverage
 
exposure’
 
Is
 
calculated
 
in
 
accordance
 
with
 
article
 
429
 
as
 
per
 
the
 
CRR.
‘CRR
 
leverage
 
ratio’
Is
 
calculated
 
using
 
the
 
CRR
 
definition
 
of
 
Tier
 
1
 
capital
 
for
 
the
 
numerator
 
and
 
the
 
CRR
 
definition
 
of
 
leverage
exposure
 
as
 
the
 
denominator.
 
 
 
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Barclays
 
Bank
 
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52
 
 
‘Customer
 
assets’
 
Represents
 
loans
 
and
 
advances
 
to
 
customers.
 
Average
 
balances
 
are
 
calculated
 
as
 
the
 
sum
 
of
 
all
 
daily
 
balances
 
for
the
 
year
 
to
 
date
 
divided
 
by
 
number
 
of
 
days
 
in
 
the
 
year
 
to
 
date.
 
‘Customer
 
deposits’
 
In
 
the
 
context
 
of
 
the
 
Liquidity
 
Risk
 
section,
 
money
 
deposited
 
by
 
all
 
individuals
 
and
 
companies
 
that
 
are
 
not
credit
 
institutions.
 
Such
 
funds
 
are
 
recorded
 
as
 
liabilities
 
in
 
the
 
Barclays
 
Bank
 
Group’s
 
balance
 
sheet
 
under
 
deposits
 
at
 
amortised
cost.
 
‘Customer
 
liabilities’
 
See
 
‘Customer
 
deposits’.
 
 
‘Daily
 
Value
 
at
 
Risk
 
(DVaR)’
 
An
 
estimate
 
of
 
the
 
potential
 
loss
 
which
 
might
 
arise
 
from
 
market
 
movements
 
under
 
normal
 
market
conditions,
 
if
 
the
 
current
 
positions
 
were
 
to
 
be
 
held
 
unchanged
 
for
 
one
 
business
 
day,
 
measured
 
to
 
a
 
specified
 
confidence
 
level.
 
‘DBRS’
 
A
 
credit
 
rating
 
agency.
 
‘Debit
 
Valuation
 
Adjustment
 
(DVA)’
 
The
 
opposite
 
of
 
Credit
 
Valuation
 
Adjustment
 
(CVA).
 
It
 
is
 
the
 
difference
 
between
 
the
 
risk-free
value
 
of
 
a
 
portfolio
 
of
 
trades
 
and
 
the
 
market
 
value
 
which
 
takes
 
into
 
account
 
the
 
Barclays
 
Bank
 
Group’s
 
risk
 
of
 
default.
 
The
 
DVA,
therefore,
 
represents
 
an
 
estimate
 
of
 
the
 
adjustment
 
to
 
fair
 
value
 
that
 
a
 
market
 
participant
 
would
 
make
 
to
 
incorporate
 
the
 
credit
risk
 
of
 
the
 
Barclays
 
Bank
 
Group
 
due
 
to
 
any
 
failure
 
to
 
perform
 
on
 
contractual
 
obligations.
 
The
 
DVA
 
decreases
 
the
 
value
 
of
 
a
 
liability
to
 
take
 
into
 
account
 
a
 
reduction
 
in
 
the
 
remaining
 
balance
 
that
 
would
 
be
 
settled
 
should
 
the
 
Barclays
 
Bank
 
Group
 
default
 
or
 
not
perform
 
any
 
contractual
 
obligations.
 
‘Debt
 
buybacks’
 
Purchases
 
of
 
the
 
Barclays
 
Bank
 
Group’s
 
issued
 
debt
 
securities,
 
including
 
equity
 
accounted
 
instruments,
 
leading
 
to
their
 
de-recognition
 
from
 
the
 
balance
 
sheet.
 
‘Debt
 
securities
 
in
 
issue’
 
Transferable
 
securities
 
evidencing
 
indebtedness
 
of
 
the
 
Barclays
 
Bank
 
Group.
 
These
 
are
 
liabilities
 
of
 
the
Barclays
 
Bank
 
Group
 
and
 
include
 
certificates
 
of
 
deposit
 
and
 
commercial
 
paper.
 
‘Default
 
grades’
 
Barclays
 
Bank
 
Group
 
classify
 
ranges
 
of
 
default
 
probabilities
 
into
 
a
 
set
 
of
 
21
 
intervals
 
called
 
default
 
grades,
 
in
 
order
to
 
distinguish
 
differences
 
in
 
the
 
probability
 
of
 
default
 
risk.
‘Default
 
fund
 
contributions’
 
The
 
amount
 
of
 
contribution
 
made
 
by
 
members
 
of
 
a
 
central
 
counterparty
 
(CCP).
 
All
 
members
 
are
required
 
to
 
contribute
 
to
 
this
 
fund
 
in
 
advance
 
of
 
using
 
a
 
CCP.
 
The
 
default
 
fund
 
can
 
be
 
used
 
by
 
the
 
CCP
 
to
 
cover
 
losses
 
incurred
 
by
the
 
CCP
 
where
 
losses
 
are
 
greater
 
than
 
the
 
margins
 
provided
 
by
 
that
 
member.
 
‘Derivatives
 
netting’
 
Adjustments
 
applied
 
across
 
asset
 
and
 
liability
 
mark-to
 
-market
 
derivative
 
positions
 
pursuant
 
to
 
legally
enforceable
 
bilateral
 
netting
 
agreements
 
and
 
eligible
 
cash
 
co
 
llateral
 
received
 
in
 
derivative
 
transactions
 
that
 
meet
 
the
 
requirements
of
 
BCBS
 
270.
‘Diversification
 
effect’
 
Reflects
 
the
 
fact
 
the
 
risk
 
of
 
a
 
diversified
 
portfolio
 
is
 
smaller
 
than
 
the
 
sum
 
of
 
the
 
risks
 
of
 
its
 
constituent
 
parts.
It
 
is
 
measured
 
as
 
the
 
sum
 
of
 
the
 
individual
 
asset
 
class
 
DVaR
 
estimates
 
less
 
the
 
total
 
DVaR.
 
‘Dodd-Frank
 
Act
 
(DFA)’
 
The
 
US
 
Dodd-Frank
 
Wall
 
Street
 
Reform
 
and
 
Consumer
 
Protection
 
Act
 
of
 
2010.
 
‘Economic
 
Value
 
of
 
Equity
 
(EVE)’
 
A
 
measure
 
of
 
the
 
potential
 
change
 
in
 
value
 
of
 
expected
 
future
 
cash
 
flows
 
due
 
to
 
an
 
adverse
interest
 
rate
 
movement,
 
based
 
on
 
existing
 
balance
 
sheet
 
run-off
 
profile.
'Effec
 
tive
 
Expected
 
Positive
 
Exposure
 
(EEPE)'
 
The
 
weighted
 
average
 
over
 
time
 
of
 
effective
 
expected
 
exposure.
 
The
 
weights
 
are
 
the
proportion
 
that
 
an
 
individual
 
exposure
 
represents
 
of
 
the
 
entire
 
exposure
 
horizon
 
time
 
interval.
‘Eligible
 
liabilities’
Liabilities
 
and
 
capital
 
instruments
 
that
 
are
 
eligible
 
to
 
meet
 
MREL
 
that
 
do
 
not
 
already
 
qualify
 
as
 
own
 
funds.
 
‘Encumbrance’
The
 
use
 
of
 
assets
 
to
 
secure
 
liabilities,
 
such
 
as
 
by
 
way
 
of
 
a
 
lien
 
or
 
charge.
 
‘Enterprise
 
Risk
 
Management
 
Framework
 
(ERMF)’
 
Barclays
 
Bank
 
Group
 
risk
 
management
 
responsibilities
 
are
 
laid
 
out
 
in
 
the
Enterprise
 
Risk
 
Management
 
Framework,
 
which
 
describes
 
how
 
Barclays
 
Bank
 
Group
 
identifies
 
and
 
manages
 
risk.
 
The
 
framework
identifies
 
the
 
principal
 
risks
 
faced
 
by
 
the
 
Barclays
 
Bank
 
Gro
 
up;
 
sets
 
out
 
risk
 
appetite
 
requirements;
 
sets
 
out
 
roles
 
and
responsibilities
 
for
 
risk
 
management;
 
and
 
sets
 
out
 
risk
 
committee
 
structure.
‘Equities’
 
Trading
 
businesses
 
encompassing
 
Cash
 
Equities,
 
Equity
 
Derivatives
 
&
 
Equity
 
Financing
 
 
bbplch120p2i0.gif
 
 
Glossary
 
of
 
Terms
 
 
 
 
Barclays
 
Bank
 
PLC
 
53
 
 
‘Equity
 
and
 
stock
 
index
 
derivatives’
 
Derivatives
 
whose
 
value
 
is
 
derived
 
from
 
equity
 
securities.
 
This
 
category
 
includes
 
equity
 
and
stock
 
index
 
swaps
 
and
 
options
 
(including
 
warrants,
 
which
 
are
 
equity
 
options
 
listed
 
on
 
an
 
exchange).
 
The
 
Barclays
 
Bank
 
Group
 
also
enters
 
into
 
fund-linked
 
derivatives,
 
being
 
swaps
 
and
 
options
 
whose
 
underlyings
 
include
 
mutual
 
funds,
 
hedge
 
funds,
 
indices
 
and
multi-asset
 
portfolios.
 
An
 
equity
 
swap
 
is
 
an
 
agreement
 
between
 
two
 
parties
 
to
 
exchange
 
periodic
 
payments,
 
based
 
upon
 
a
 
notional
principal
 
amount,
 
with
 
one
 
side
 
paying
 
fixed
 
or
 
floating
 
interest
 
and
 
the
 
other
 
side
 
paying
 
based
 
on
 
the
 
actual
 
return
 
of
 
the
 
stock
 
or
stock
 
index.
 
An
 
equity
 
option
 
provides
 
the
 
buyer
 
with
 
the
 
right,
 
but
 
not
 
the
 
obligation,
 
either
 
to
 
purchase
 
or
 
sell
 
a
 
specified
 
stock,
basket
 
of
 
stocks
 
or
 
stock
 
index
 
at
 
a
 
specified
 
price
 
or
 
level
 
on
 
or
 
before
 
a
 
specified
 
date.
 
‘Equity
 
risk’
 
In
 
the
 
context
 
of
 
trading
 
book
 
capital
 
requirements,
 
the
 
risk
 
of
 
change
 
in
 
market
 
value
 
of
 
an
 
equity
 
investment.
 
‘Equity
 
structural
 
hedge’
 
An
 
interest
 
rate
 
hedge
 
in
 
place
 
to
 
reduce
 
earnings
 
volatility
 
of
 
the
 
overnight
 
/
 
short
 
term
 
equity
investment
 
and
 
to
 
smoothen
 
the
 
income
 
over
 
a
 
medium/long
 
term.
 
‘EU
 
Risk
 
Reduction
 
Measure
 
package’
A
 
collection
 
of
 
amending
 
Regulations
 
and
 
Directives
 
that
 
update
 
core
 
EU
 
regulatory
 
texts
 
and
which
 
came
 
into
 
force
 
on
 
27
 
June
 
2019.
‘Euro
 
Interbank
 
Offered
 
Rate
 
(EURIBOR)’
 
A
 
benchmark
 
interest
 
rate
 
at
 
which
 
banks
 
can
 
borrow
 
funds
 
from
 
other
 
banks
 
in
 
the
European
 
interbank
 
market.
 
‘Europe’
 
Geographic
 
segment
 
comprising
 
countries
 
in
 
which
 
Barclays
 
Bank
 
Group
 
operates
 
within
 
the
 
EU
 
(excluding
 
UK),
 
Northern
Continental
 
and
 
Eastern
 
Europe.
 
‘European
 
Banking
 
Authority
 
(EBA)’
 
The
 
European
 
Banking
 
Authority
 
(EBA)
 
is
 
an
 
independent
 
EU
 
Authority
 
which
 
works
 
to
 
ensure
effective
 
and
 
consistent
 
prudential
 
regulation
 
and
 
supervision
 
across
 
the
 
European
 
banking
 
sector.
 
Its
 
overall
 
objectives
 
are
 
to
maintain
 
financial
 
stability
 
in
 
the
 
EU
 
and
 
to
 
safeguard
 
the
 
integrity,
 
efficiency
 
and
 
orderly
 
functioning
 
of
 
the
 
banking
 
sector.
‘European
 
Securities
 
and
 
Markets
 
Authority
 
(ESMA)’
An
 
independent
 
European
 
Supervisory
 
Authority
 
with
 
the
 
remit
 
of
 
enhancing
the
 
protection
 
of
 
investors
 
and
 
reinforcing
 
stable
 
and
 
well-functioning
 
financial
 
markets
 
in
 
the
 
Euro
 
pean
 
Union.
 
‘Eurozone’
Represents
 
the
 
19
 
European
 
Union
 
countries
 
that
 
have
 
adopted
 
the
 
euro
 
as
 
their
 
common
 
currency.
 
The
 
19
 
countries
are
 
Austria,
 
Belgium,
 
Cyprus,
 
Estonia,
 
Finland,
 
France,
 
Germany,
 
Greece,
 
Ireland,
 
Italy,
 
Latvia,
 
Lithuania,
 
Luxembourg,
 
Malta,
Netherlands,
 
Portugal,
 
Slovakia,
 
Slovenia
 
and
 
Spain.
‘Expected
 
Credit
 
Losses
 
(ECL)’
 
A
 
present
 
value
 
measure
 
of
 
the
 
credit
 
losses
 
expected
 
to
 
result
 
from
 
default
 
events
 
that
 
may
 
occur
during
 
a
 
specified
 
period
 
of
 
time.
 
ECLs
 
must
 
reflect
 
the
 
present
 
value
 
of
 
cash
 
shortfalls,
 
and
 
must
 
reflect
 
the
 
unbiased
 
and
probability
 
weighted
 
assessment
 
of
 
a
 
range
 
of
 
outcomes.
 
‘Expected
 
Losses’
 
A
 
regulatory
 
measure
 
of
 
anticipated
 
losses
 
for
 
exposures
 
captured
 
under
 
an
 
internals
 
ratings
 
based
 
credit
 
risk
approach
 
for
 
capital
 
adequacy
 
calculations.
 
It
 
is
 
measured
 
as
 
the
 
Barclays
 
Bank
 
Group's
 
modelled
 
view
 
of
 
anticipated
 
losses
 
based
on
 
Probability
 
of
 
Default
 
(PD),
 
Loss
 
Given
 
Default
 
(LGD)
 
and
 
Exposure
 
at
 
Default
 
(EAD),
 
with
 
a
 
one-
 
year
 
time
 
horizon.
’Expert
 
lender
 
models’
 
Models
 
of
 
risk
 
measures
 
that
 
are
 
used
 
for
 
parts
 
of
 
the
 
portfolio
 
where
 
the
 
risk
 
drivers
 
are
 
specific
 
to
 
a
particular
 
counterparty,
 
but
 
where
 
there
 
is
 
insufficient
 
data
 
to
 
support
 
the
 
construction
 
of
 
a
 
statistical
 
model.
 
These
 
models
 
utilise
the
 
knowledge
 
of
 
credit
 
experts
 
that
 
have
 
in
 
depth
 
experience
 
of
 
the
 
specific
 
customer
 
type
 
being
 
modelled.
‘Exposure’
 
Generally
 
refers
 
to
 
positions
 
or
 
actions
 
taken
 
by
 
the
 
bank,
 
or
 
consequences
 
thereof,
 
that
 
may
 
put
 
a
 
certain
 
amount
 
of
 
a
bank’s
 
resource
 
s
 
at
 
risk.
‘Exposure
 
at
 
Default
 
(EAD)’
 
The
 
estimation
 
of
 
the
 
extent
 
to
 
which
 
Barclays
 
Bank
 
Group
 
may
 
be
 
exposed
 
to
 
a
 
customer
 
or
counterparty
 
in
 
the
 
event
 
of,
 
and
 
at
 
the
 
time
 
of,
 
that
 
counterparty’s
 
default.
 
At
 
default,
 
the
 
customer
 
may
 
not
 
have
 
drawn
 
the
 
loan
fully
 
or
 
may
 
already
 
have
 
repaid
 
some
 
of
 
the
 
principal,
 
so
 
that
 
exposure
 
may
 
be
 
less
 
than
 
the
 
approved
 
loan
 
limit.
‘External
 
Credit
 
Assessment
 
Institutions
 
(ECAI)’
Institutions
 
whose
 
credit
 
assessments
 
may
 
be
 
used
 
by
 
credit
 
institutions
 
for
 
the
determination
 
of
 
risk
 
weight
 
exposures
 
according
 
to
 
CRR.
‘Federal
 
Reserve
 
Board
 
(FRB)’
Is
 
the
 
governing
 
board
 
of
 
the
Federal
 
Reserve
 
System
 
of
 
the
 
US,
 
in
 
charge
 
of
 
making
 
the
country's
monetary
 
policy
.
 
'FICC'
Represents
 
Macro
 
(including
 
rates
 
and
 
currency),
 
Credit
 
and
 
Securitised
 
products.
 
 
 
bbplch120p2i0.gif
Glossary
 
of
 
Terms
 
 
 
 
Barclays
 
Bank
 
PLC
 
54
 
 
'Financial
 
Policy
 
Committee
 
(FPC)'
 
The
 
Bank
 
of
 
England’s
 
Financial
 
Policy
 
Committee
 
(FPC)
 
identifies,
 
monitors
 
and
 
takes
 
action
 
to
remove
 
or
 
reduce
 
systemic
 
risks
 
with
 
a
 
view
 
to
 
protecting
 
and
 
enhancing
 
the
 
resilience
 
of
 
the
 
UK
 
financial
 
system.
 
The
 
FPC
 
also
 
has
a
 
secondary
 
objective
 
to
 
support
 
the
 
economic
 
policy
 
of
 
the
 
UK
 
Government.
‘F-IRB’/
 
'Foundation-Internal
 
Ratings
 
Based’
 
See
 
‘Internal
 
Ratings
 
Based
 
(IRB)’.
 
‘Financial
 
Conduct
 
Authority
 
(FCA)’
 
The
 
statutory
 
body
 
responsible
 
for
 
conduct
 
of
 
business
 
regulation
 
and
 
supervision
 
of
 
UK
authorised
 
firms.
 
The
 
FCA
 
also
 
has
 
responsibility
 
for
 
the
 
prudential
 
regulation
 
of
 
firms
 
that
 
do
 
not
 
fall
 
within
 
the
 
PRA’s
 
scope.
 
‘Financial
 
Services
 
Compensation
 
Scheme
 
(FSCS)’
 
The
 
UK’s
 
fund
 
for
 
compensation
 
of
 
authorised
 
financial
 
services
 
firms
 
that
 
are
unable
 
to
 
pay
 
claims.
 
‘Financial
 
collateral
 
comprehensive
 
method
 
(FCCM)’
 
A
 
counterparty
 
credit
 
risk
 
exposure
 
calculation
 
approach
 
which
 
applies
volatility
 
adjustments
 
to
 
the
 
market
 
value
 
of
 
exposure
 
and
 
collateral
 
when
 
calculating
 
RWA
 
values.
‘Financial
 
Stability
 
Board
 
(FSB)’
An
 
international
 
body
 
that
 
monitors
 
and
 
makes
 
recommendations
 
about
 
the
 
global
 
financial
system.
 
It
 
promotes
 
international
 
financial
 
stability
 
by
 
coordinating
 
national
 
financial
 
authorities
 
and
 
international
 
standard
 
-
 
setting
bodies
 
as
 
they
 
work
 
toward
 
developing
 
strong
 
regulatory,
 
supervisory
 
and
 
other
 
financial
 
sector
 
policies.
 
It
 
fosters
 
a
 
level
 
playing
field
 
by
 
encouraging
 
coherent
 
implementation
 
of
 
these
 
policies
 
across
 
sectors
 
and
 
jurisdictions.
 
‘Fitch’
 
A
 
credit
 
rating
 
agency.
 
‘Forbearance
 
Programmes’
 
Forbearance
 
programmes
 
to
 
assist
 
customers
 
in
 
financial
 
difficulty
 
through
 
agreements
 
to
 
accept
 
less
than
 
contractual
 
amounts
 
due
 
where
 
financial
 
distress
 
would
 
otherwise
 
prevent
 
satisfactory
 
repayment
 
within
 
the
 
original
 
terms
and
 
conditions
 
of
 
the
 
contract.
 
These
 
agreements
 
may
 
be
 
initiated
 
by
 
the
 
customer,
 
Barclays
 
Bank
 
Group
 
or
 
a
 
third
 
party
 
and
include
 
approved
 
debt
 
counselling
 
plans,
 
minimum
 
due
 
reductions,
 
interest
 
rate
 
concessions
 
and
 
switches
 
from
 
capital
 
and
 
interest
repayments
 
to
 
interest
 
-only
 
payments.
 
‘Foreclosures
 
in
 
Progress’
The
 
process
 
by
 
which
 
the
 
bank
 
initiates
 
legal
 
action
 
against
 
a
 
customer
 
with
 
the
 
intention
 
of
 
terminating
a
 
loan
 
agreement
 
whereby
 
the
 
bank
 
may
 
repossess
 
the
 
property
 
subject
 
to
 
local
 
law
 
and
 
recover
 
amounts
 
it
 
is
 
owed.
 
‘Foreign
 
exchange
 
derivatives’
 
The
 
Barclays
 
Bank
 
Group’s
 
principal
 
exchange
 
rate
 
-
 
related
 
contracts
 
are
 
forward
 
foreign
 
exchange
co
 
ntracts,
 
currency
 
swaps
 
and
 
currency
 
options.
 
Forward
 
foreign
 
exchange
 
contracts
 
are
 
agreements
 
to
 
buy
 
or
 
sell
 
a
 
specified
quantity
 
of
 
foreign
 
currency,
 
usually
 
on
 
a
 
specified
 
future
 
date
 
at
 
an
 
agreed
 
rate.
 
Currency
 
swaps
 
generally
 
involves
 
the
 
exchange,
or
 
notional
 
exchange,
 
of
 
equivalent
 
amounts
 
of
 
two
 
currencies
 
and
 
a
 
commitment
 
to
 
exchange
 
interest
 
periodically
 
until
 
the
principal
 
amounts
 
are
 
re
 
-exchanged
 
on
 
a
 
future
 
date.
 
Currency
 
options
 
provide
 
the
 
buyer
 
with
 
the
 
right,
 
but
 
not
 
the
 
obligation,
either
 
to
 
purchase
 
or
 
sell
 
a
 
fixed
 
amount
 
of
 
a
 
currency
 
at
 
a
 
specified
 
exchange
 
rate
 
on
 
or
 
before
 
a
 
future
 
date.
 
As
 
compensation
 
for
assuming
 
the
 
option
 
risk,
 
the
 
option
 
writer
 
generally
 
receives
 
a
 
premium
 
at
 
the
 
start
 
of
 
the
 
option
 
period.
‘Foreign
 
exchange
 
risk’
 
In
 
the
 
context
 
of
 
DVaR,
 
the
 
impact
 
of
 
changes
 
in
 
foreign
 
exchange
 
rates
 
and
 
volatilities.
 
 
‘Full
 
time
 
equivalent’
 
Full
 
time
 
equivalent
 
units
 
are
 
the
 
on-job
 
hours
 
paid
 
for
 
employee
 
services
 
divided
 
by
 
the
 
number
 
of
 
ordinary-
time
 
hours
 
normally
 
paid
 
for
 
a
 
full-time
 
staff
 
member
 
when
 
on
 
the
 
job
 
(or
 
contract
 
employees
 
where
 
applicable).
 
‘Fully
 
loaded’
 
When
 
a
 
measure
 
is
 
presented
 
or
 
described
 
as
 
being
 
on
 
a
 
fully
 
loaded
 
basis,
 
it
 
is
 
calculated
 
without
 
applying
 
the
transitional
 
provisions
 
set
 
out
 
in
 
Part
 
Ten
 
of
 
CRR.
 
‘Funded
 
credit
 
protection’
 
Is
 
a
 
technique
 
of
 
credit
 
risk
 
mitigation
 
where
 
the
 
reduction
 
of
 
the
 
credit
 
risk
 
on
 
the
 
exposure
 
of
 
an
institution
 
derives
 
from
 
the
 
right
 
of
 
that
 
institution,
 
in
 
the
 
event
 
of
 
the
 
default
 
of
 
the
 
counterparty
 
or
 
on
 
the
 
occurrence
 
of
 
other
specified
 
credit
 
events
 
relating
 
to
 
the
 
counterparty,
 
to
 
liquidate,
 
or
 
to
 
obtain
 
transfer
 
or
 
appropriation
 
of,
 
or
 
to
 
retain
 
certain
 
assets
or
 
amounts,
 
or
 
to
 
reduce
 
the
 
amount
 
of
 
the
 
exposure
 
to,
 
or
 
to
 
replace
 
it
 
with,
 
the
 
amount
 
of
 
the
 
difference
 
between
 
the
 
amount
 
of
the
 
exposure
 
and
 
the
 
amount
 
of
 
a
 
claim
 
on
 
the
 
institution.
‘Gains
 
on
 
acquisitions’
 
The
 
amount
 
by
 
which
 
the
 
acquirer’s
 
interest
 
in
 
the
 
net
 
fair
 
val
 
ue
 
of
 
the
 
identifiable
 
assets,
 
liabilities
 
and
contingent
 
liabilities,
 
recognised
 
in
 
a
 
business
 
combination,
 
exceeds
 
the
 
cost
 
of
 
the
 
combination.
 
‘General
 
Data
 
Protection
 
Regulation
 
(GDPR)’
GDPR
 
(Regulation
 
(EU)
 
2016/679)
 
is
 
a
 
regulation
 
by
 
which
 
the
 
Euro
 
pean
 
Parliament,
the
 
Council
 
of
 
the
 
European
 
Union
 
and
 
the
 
European
 
Commission
 
intend
 
to
 
strengthen
 
and
 
unify
 
data
 
protection
 
for
 
all
 
individuals
within
 
the
 
European
 
Union.
 
 
 
bbplch120p2i0.gif
Glossary
 
of
 
Terms
 
 
 
 
Barclays
 
Bank
 
PLC
 
55
 
 
‘General
 
market
 
risk’
 
The
 
risk
 
of
 
a
 
price
 
change
 
in
 
a
 
financial
 
instrument
 
due
 
to
 
a
 
change
 
in
 
level
 
of
 
interest
 
rates
 
or
 
owing
 
to
 
a
broad
 
equity
 
market
 
movement
 
unrelated
 
to
 
any
 
specific
 
attributes
 
of
 
individual
 
securities.
‘Global
 
-Systemically
 
Important
 
Banks
 
(G-SIBs
 
or
 
G-SIIs)’
 
Global
 
financial
 
institutions
 
whose
 
size,
 
complexity
 
and
 
systemic
interconnectedness,
 
mean
 
that
 
their
 
distress
 
or
 
failure
 
would
 
cause
 
significant
 
disruption
 
to
 
the
 
wider
 
financial
 
system
 
and
economic
 
activity.
 
The
 
Financial
 
Stability
 
Board
 
and
 
the
 
Basel
 
Committee
 
on
 
Banking
 
Supervision
 
publish
 
a
 
list
 
of
 
globally
systemically
 
important
 
banks.
 
‘G
 
-SII
 
additional
 
leverage
 
ratio
 
buffer
 
(G-SII
 
ALRB)’
A
 
macroprudential
 
buffer
 
that
 
applies
 
to
 
globally
 
systemically
 
important
 
banks
(G-SIBs)
 
and
 
other
 
major
 
domestic
 
UK
 
banks
 
and
 
building
 
societies,
 
including
 
banks
 
that
 
are
 
subject
 
to
 
ring-fencing
 
requirements.
The
 
G-SII
 
ALRB
 
will
 
be
 
calibrated
 
as
 
35%
 
(on
 
a
 
phased
 
basis)
 
of
 
the
 
combined
 
systemic
 
risk
 
buffers
 
that
 
applies
 
to
 
the
 
bank.
‘GSII
 
Buffer’
Common
 
Equity
 
Tier
 
1
 
capital
 
required
 
to
 
be
 
held
 
under
 
CRD
 
to
 
ensure
 
that
 
G-
 
SIBs
 
build
 
up
 
surplus
 
capital
 
to
compensate
 
for
 
the
 
systemic
 
risk
 
that
 
such
 
institutions
 
represent
 
to
 
the
 
financial
 
system.
’Grandfathering’
 
In
 
the
 
context
 
of
 
capital
 
resources,
 
the
 
phasing
 
in
 
of
 
the
 
application
 
of
 
instrument
 
eligibility
 
rules
 
which
 
allows
 
CRR
and
 
CRR
 
II
 
non-compliant
 
capital
 
instruments
 
to
 
be
 
included
 
in
 
regulatory
 
capital
 
subject
 
to
 
certain
 
thresholds
 
which
 
decrease
 
over
the
 
transitional
 
period.
‘Gross
 
charge-off
 
rates’
 
Represent
 
s
 
the
 
balances
 
charged
 
-off
 
to
 
recoveries
 
in
 
the
 
reporting
 
period,
 
expressed
 
as
 
a
 
percentage
 
of
average
 
outstanding
 
balances
 
excluding
 
balances
 
in
 
recoveries.
 
Charge-off
 
to
 
recoveries
 
generally
 
occurs
 
when
 
the
 
collections
 
focus
switches
 
from
 
the
 
collection
 
of
 
arrears
 
to
 
the
 
recovery
 
of
 
the
 
entire
 
outstanding
 
balance,
 
and
 
represents
 
a
 
fundamental
 
change
 
in
the
 
relationship
 
between
 
the
 
bank
 
and
 
the
 
customer.
 
This
 
is
 
a
 
measure
 
of
 
the
 
proportion
 
of
 
customers
 
that
 
have
 
gone
 
into
 
default
during
 
the
 
period.
 
‘Gros
 
s
 
write-off
 
rates’
 
Expressed
 
as
 
a
 
percentage
 
and
 
represents
 
balances
 
written
 
off
 
in
 
the
 
reporting
 
period
 
divided
 
by
 
gross
 
loans
and
 
advances
 
held
 
at
 
amortised
 
cost
 
at
 
the
 
balance
 
sheet
 
date.
‘Gross
 
new
 
lending’
 
New
 
lending
 
advanced
 
to
 
customers
 
during
 
the
 
period.
 
‘Guarantee’
 
Unless
 
otherwise
 
described,
 
an
 
undertaking
 
by
 
a
 
third
 
party
 
to
 
pay
 
a
 
creditor
 
should
 
a
 
debtor
 
fail
 
to
 
do
 
so.
 
It
 
is
 
a
 
form
of
 
credit
 
substitution.
 
‘Head
 
Office’
 
A
 
division
 
comprising
 
Brand
 
and
 
Marketing,
 
Finance,
 
Head
 
Office,
 
Human
 
Res
 
ources,
 
Internal
 
Audit,
 
Legal,
Compliance,
 
Risk,
 
Treasury
 
and
 
Tax
 
and
 
other
 
operations.
 
‘High-Net-Worth’
 
Businesses
 
that
 
provide
 
banking
 
and
 
other
 
services
 
to
 
high
 
net
 
worth
 
customers.
 
‘High
 
Risk’
In
 
retail
 
banking,
 
‘High
 
Risk’
 
is
 
defined
 
as
 
the
 
subset
 
of
 
up-to
 
-date
 
customers
 
who,
 
either
 
through
 
an
 
event
 
or
 
observed
behaviour
 
exhibit
 
potential
 
financial
 
difficulty.
 
Where
 
appropriate,
 
these
 
customers
 
are
 
proactively
 
contacted
 
to
 
assess
 
whether
assistance
 
is
 
required.
‘Home
 
loan’
 
A
 
loan
 
to
 
purchase
 
a
 
residential
 
property.
 
The
 
property
 
is
 
then
 
used
 
as
 
collateral
 
to
 
guarantee
 
repayment
 
of
 
the
 
loan.
The
 
borrower
 
gives
 
the
 
lender
 
a
 
lien
 
against
 
the
 
property
 
and
 
the
 
lender
 
can
 
foreclose
 
on
 
the
 
property
 
if
 
the
 
borrower
 
does
 
not
repay
 
the
 
loan
 
per
 
the
 
agreed
 
terms.
 
Also
 
known
 
as
 
a
 
residential
 
mortgage.
 
‘IHC’
 
or
 
‘US
 
IHC’
 
Barclays
 
US
 
LLC,
 
the
 
intermediate
 
holding
 
company
 
established
 
by
 
Barclays
 
Bank
 
Group
 
in
 
July
 
2016,
 
which
 
holds
most
 
of
 
Barclays
 
Bank’
 
subsidiaries
 
and
 
assets
 
in
 
the
 
US.
‘IMA’
 
/
 
'Internal
 
Model
 
Approach’
In
 
the
 
context
 
of
 
RWAs,
 
RWAs
 
for
 
which
 
the
 
exposure
 
amount
 
has
 
been
 
derived
 
via
 
the
 
use
 
of
 
a
PRA
 
approved
 
internal
 
market
 
risk
 
model.
 
‘IMM’
 
/
 
'Internal
 
Model
 
Method’
In
 
the
 
context
 
of
 
RWAs,
 
RWAs
 
for
 
which
 
the
 
exposure
 
amount
 
has
 
been
 
derived
 
via
 
the
 
use
 
of
 
a
PRA
 
approved
 
internal
 
counterparty
 
credit
 
risk
 
model.
‘Identified
 
Impairment
 
(II)’
 
Specific
 
impairment
 
allowances
 
for
 
financial
 
assets,
 
individually
 
estimated.
‘IFRS
 
9
 
transitional
 
arrangements’
Following
 
the
 
application
 
of
 
IFRS
 
9
 
as
 
of
 
1
 
January
 
2018,
 
Article
 
473a
 
of
 
CRR
 
permits
 
institutions
to
 
phase-in
 
the
 
impact
 
on
 
capital
 
and
 
leverage
 
ratios
 
of
 
the
 
impairment
 
requirements
 
under
 
the
 
new
 
accounting
 
standard.
 
 
 
bbplch120p2i0.gif
Glossary
 
of
 
Terms
 
 
 
 
Barclays
 
Bank
 
PLC
 
56
 
 
‘Impairment
 
Allowances’
 
A
 
provision
 
held
 
on
 
the
 
balance
 
sheet
 
as
 
a
 
result
 
of
 
the
 
raising
 
of
 
a
 
charge
 
against
 
profit
 
for
 
expected
losses
 
in
 
the
 
lending
 
book.
 
An
 
impairment
 
allowance
 
may
 
either
 
be
 
identified
 
or
 
unidentified
 
and
 
individual
 
or
 
collective.
 
‘Income’
 
Total
 
income,
 
unless
 
otherwise
 
specified.
 
‘Incremental
 
Risk
 
Charge
 
(IRC)’
An
 
estimate
 
of
 
the
 
incremental
 
risk
 
arising
 
from
 
rating
 
migrations
 
and
 
defaults
 
for
 
traded
 
debt
instruments
 
beyond
 
what
 
is
 
already
 
captured
 
in
 
specific
 
market
 
risk
 
VaR
 
for
 
the
 
non-correlation
 
trading
 
portfolio.
‘Independent
 
Validation
 
Unit
 
(IVU)’
The
 
function
 
within
 
the
 
bank
 
responsible
 
for
 
independent
 
review,
 
challenge
 
and
 
approval
 
of
 
all
models.
‘Individual
 
liquidity
 
guidance
 
(ILG)’
 
Guidance
 
given
 
to
 
a
 
bank
 
about
 
the
 
amount,
 
quality
 
and
 
funding
 
profile
 
of
 
liquidity
 
resources
that
 
the
 
PRA
 
has
 
asked
 
the
 
bank
 
to
 
maintain.
 
‘Inflation
 
risk’
 
In
 
the
 
context
 
of
 
DVaR,
 
the
 
impact
 
of
 
changes
 
in
 
inflation
 
rates
 
and
 
volatilities
 
on
 
cash
 
instruments
 
and
 
derivatives.
 
‘Insurance
 
Risk’
 
The
 
risk
 
of
 
the
 
Barclays
 
Bank
 
Group’s
 
aggregate
 
insurance
 
premiums
 
received
 
from
 
policyholders
 
under
 
a
 
portfolio
of
 
insurance
 
contracts
 
being
 
inadequate
 
to
 
cover
 
the
 
claims
 
arising
 
from
 
those
 
policies.
 
‘Interchange’
 
Income
 
paid
 
to
 
a
 
credit
 
card
 
issuer
 
for
 
the
 
clearing
 
and
 
settlement
 
of
 
a
 
sale
 
or
 
cash
 
advance
 
transaction.
‘Interest
 
-only
 
home
 
loans’
Under
 
the
 
terms
 
of
 
these
 
loans,
 
the
 
customer
 
makes
 
payments
 
of
 
interest
 
only
 
for
 
the
 
entire
 
term
 
of
 
the
mortgage,
 
although
 
customers
 
may
 
make
 
early
 
repayments
 
of
 
the
 
principal
 
within
 
the
 
terms
 
of
 
their
 
agreement.
 
The
 
customer
 
is
responsible
 
for
 
repaying
 
the
 
entire
 
outstanding
 
principal
 
on
 
maturity,
 
which
 
may
 
require
 
the
 
sale
 
of
 
the
 
mortgaged
 
property.
‘Interest
 
rate
 
derivatives’
 
Derivatives
 
linked
 
to
 
interest
 
rates.
 
This
 
category
 
includes
 
interest
 
rate
 
swaps,
 
collars,
 
floors
 
options
 
and
swaptions.
 
An
 
interest
 
rate
 
swap
 
is
 
an
 
agreement
 
between
 
two
 
parties
 
to
 
exchange
 
fixed
 
rate
 
and
 
floating
 
rate
 
interest
 
by
 
means
 
of
periodic
 
payments
 
based
 
upon
 
a
 
notional
 
principal
 
amount
 
and
 
the
 
intere
 
st
 
rates
 
defined
 
in
 
the
 
contract.
 
Certain
 
agreements
combine
 
interest
 
rate
 
and
 
foreign
 
currency
 
swap
 
transactions,
 
which
 
may
 
or
 
may
 
not
 
include
 
the
 
exchange
 
of
 
principal
 
amounts.
 
A
basis
 
swap
 
is
 
a
 
form
 
of
 
interest
 
rate
 
swap,
 
in
 
which
 
both
 
parties
 
exchange
 
interest
 
payments
 
based
 
on
 
floating
 
rates,
 
where
 
the
floating
 
rates
 
are
 
based
 
upon
 
different
 
underlying
 
reference
 
indices.
 
In
 
a
 
forward
 
rate
 
agreement,
 
two
 
parties
 
agree
 
a
 
future
settlement
 
of
 
the
 
difference
 
between
 
an
 
agreed
 
rate
 
and
 
a
 
future
 
interest
 
rat
 
e,
 
applied
 
to
 
a
 
notional
 
principal
 
amount.
 
The
settlement,
 
which
 
generally
 
occurs
 
at
 
the
 
start
 
of
 
the
 
contract
 
period,
 
is
 
the
 
discounted
 
present
 
value
 
of
 
the
 
payment
 
that
 
would
otherwise
 
be
 
made
 
at
 
the
 
end
 
of
 
that
 
period.
‘Interest
 
rate
 
risk’
 
The
 
risk
 
of
 
interest
 
rate
 
volatility
 
adversely
 
impacting
 
the
 
Barclays
 
Bank
 
Group’s
 
net
 
interest
 
margin.
 
In
 
the
context
 
of
 
the
 
calculation
 
of
 
market
 
risk
 
DVaR,
 
measures
 
the
 
impact
 
of
 
changes
 
in
 
interest
 
(swap)
 
rates
 
and
 
volatilities
 
on
 
cash
instruments
 
and
 
derivatives.
‘Interest
 
rate
 
risk
 
in
 
the
 
banking
 
book
 
(IRRBB)’
The
 
risk
 
that
 
the
 
Barclays
 
Bank
 
Group
 
is
 
exposed
 
to
 
capital
 
or
 
income
 
volatility
because
 
of
 
a
 
mismatch
 
between
 
the
 
interest
 
rate
 
exposures
 
of
 
its
 
(non-traded)
 
assets
 
and
 
liabilities.
‘Internal
 
Assessment
 
Approach
 
(IAA)’
One
 
of
 
three
 
types
 
of
 
calculation
 
that
 
a
 
bank
 
with
 
permission
 
to
 
use
 
the
 
Internal
 
Ratings
Based
 
(IRB)
 
approach
 
may
 
apply
 
to
 
securitisation
 
exposures.
 
It
 
consists
 
of
 
mapping
 
a
 
bank's
 
internal
 
rating
 
methodology
 
for
 
credi
 
t
exposures
 
to
 
those
 
of
 
an
 
External
 
Credit
 
Assessment
 
Institution
 
(ECAI)
 
to
 
determine
 
the
 
appropriate
 
risk
 
weight
 
based
 
on
 
the
ratings
 
based
 
approach.
 
Its
 
applicability
 
is
 
limited
 
to
 
ABCP
 
programmes
 
related
 
to
 
liquidity
 
facilities
 
and
 
credit
 
enhancement.
‘Internal
 
Capital
 
Adequacy
 
Assessment
 
Process
 
(ICAAP)’
Companies
 
are
 
required
 
to
 
perform
 
a
 
formal
 
Internal
 
Capital
 
Adequacy
Assessment
 
Process
 
(ICAAP)
 
as
 
part
 
of
 
the
 
Pillar
 
2
 
requirements
 
(BIPRU)
 
and
 
to
 
provide
 
this
 
document
 
to
 
the
 
PRA
 
on
 
a
 
yearly
 
basis.
The
 
ICAAP
 
document
 
summarises
 
the
 
Barclays
 
Bank
 
Group’s
 
risk
 
management
 
framework,
 
including
 
approach
 
to
 
managing
 
all
 
risks
(i.e.
 
Pillar
 
1
 
and
 
non-Pillar
 
1
 
risks);
 
and,
 
the
 
Barclays
 
Bank
 
Group’s
 
risk
 
appetite,
 
economic
 
capital
 
and
 
stress
 
testing
 
frameworks.
 
‘Internal
 
Ratings
 
Based
 
(IRB)’
 
An
 
approach
 
under
 
the
 
CRR
 
framework
 
that
 
relies
 
on
 
the
 
bank’s
 
internal
 
models
 
to
 
derive
 
the
 
risk
weights.
 
The
 
IRB
 
approach
 
is
 
divided
 
into
 
two
 
alternative
 
applications,
 
Advanced
 
and
 
Foundation:
 
–
Advanced
 
IRB
 
(A-IRB):
 
the
 
bank
 
uses
 
its
 
own
 
estimates
 
of
 
probability
 
of
 
default
 
(PD),
 
loss
 
given
 
default
 
(LGD)
 
and
 
credit
conversion
 
factor
 
to
 
model
 
a
 
given
 
risk
 
exposure.
 
–
Foundation
 
IRB:
 
the
 
bank
 
applies
 
its
 
own
 
PD
 
as
 
for
 
Advanced,
 
but
 
it
 
uses
 
standard
 
parameters
 
for
 
the
 
LGD
 
and
 
the
 
credit
conversion
 
factor.
 
The
 
Foundation
 
IRB
 
approach
 
is
 
specifically
 
designed
 
for
 
wholesale
 
credit
 
exposures.
 
Hence
 
retail,
equity,
 
securitisation
 
positions
 
and
 
non-credit
 
obligations
 
asset
 
exposures
 
are
 
treated
 
under
 
standardised
 
or
 
A-IRB.
 
 
 
bbplch120p2i0.gif
Glossary
 
of
 
Terms
 
 
 
 
Barclays
 
Bank
 
PLC
 
57
 
 
‘Investme
 
nt
 
Bank’
The
 
Barclays
 
Bank
 
Group’s
 
investment
 
bank
 
which
 
consists
 
of
 
origination
 
led
 
and
 
returns
 
focused
 
markets
 
and
banking
 
business
 
which
 
forms
 
part
 
of
 
the
 
Corporate
 
and
 
Investment
 
Bank
 
segment.
‘Investment
 
Banking
 
Fees’
 
In
 
the
 
context
 
of
 
Investment
 
Bank
 
Analysis
 
of
 
Total
 
Income,
 
fees
 
generated
 
from
 
origination
 
activity
businesses
 
–
 
including
 
financial
 
advisory,
 
debt
 
and
 
equity
 
underwriting.
 
‘Investment
 
grade’
 
A
 
debt
 
security,
 
treasury
 
bill
 
or
 
similar
 
instrument
 
with
 
a
 
credit
 
rating
 
of
 
AAA
 
to
 
BBB
 
as
 
measured
 
by
 
external
credit
 
rating
 
agencies.
 
‘ISDA
 
Master
 
Agreement’
 
The
 
most
 
commonly
 
used
 
master
 
contract
 
for
 
OTC
 
derivative
 
transactions
 
internationally.
 
It
 
is
 
part
 
of
 
a
framework
 
of
 
documents,
 
designed
 
to
 
enable
 
OTC
 
derivatives
 
to
 
be
 
documented
 
fully
 
and
 
flexibly.
 
The
 
framework
 
consists
 
of
 
a
master
 
agreement,
 
a
 
schedule,
 
confirmations,
 
definition
 
booklets,
 
and
 
a
 
credit
 
support
 
annex.
 
The
 
ISDA
 
master
 
agreement
 
is
published
 
by
 
the
 
International
 
Swaps
 
and
 
Derivatives
 
Association
 
(ISDA).
 
‘Key
 
Risk
 
Scenarios
 
(KRS)’
Key
 
Risk
 
Scenarios
 
are
 
a
 
summary
 
of
 
the
 
extreme
 
potential
 
risk
 
exposure
 
for
 
each
 
Key
 
Risk
 
in
 
each
business
 
and
 
function,
 
including
 
an
 
assessment
 
of
 
the
 
potential
 
frequency
 
of
 
risk
 
events,
 
the
 
average
 
size
 
of
 
losses
 
and
 
three
extreme
 
scenarios.
 
The
 
Key
 
Risk
 
Scenario
 
assessments
 
are
 
a
 
key
 
input
 
to
 
the
 
Advanced
 
Measurement
 
Approach
 
calculation
 
of
regulatory
 
and
 
economic
 
capital
 
requirements.
‘Large
 
exposure’
A
 
large
 
exposure
 
is
 
defined
 
as
 
the
 
total
 
exposure
 
of
 
a
 
bank
 
to
 
a
 
counterparty
 
or
 
group
 
of
 
connected
 
clients,
whether
 
in
 
the
 
banking
 
book
 
or
 
trading
 
book
 
or
 
both,
 
which
 
in
 
aggregate
 
equals
 
or
 
exceeds
 
10%
 
of
 
the
 
bank's
 
eligible
 
capital.
‘Legal
 
risk’
 
The
 
risk
 
of
 
loss
 
or
 
imposition
 
of
 
penalties,
 
damages
 
or
 
fines
 
from
 
the
 
failure
 
of
 
the
 
Barclays
 
Bank
 
Group
 
to
 
meet
 
its
 
legal
obligations
 
including
 
regulatory
 
or
 
contractual
 
requirements.
‘Lending’
In
 
the
 
context
 
of
 
Investment
 
Bank
 
Analysis
 
of
 
Total
 
Income,
 
lending
 
income
 
includes
 
net
 
interest
 
income,
 
gains
 
or
 
losses
on
 
loan
 
sale
 
activity,
 
and
 
risk
 
management
 
activity
 
relating
 
to
 
the
 
loan
 
portfolio.
‘Letters
 
of
 
credit’
 
A
 
letter
 
typically
 
used
 
for
 
the
 
purposes
 
of
 
international
 
trade
 
guaranteeing
 
that
 
a
 
debtor’s
 
payment
 
to
 
a
 
creditor
will
 
be
 
made
 
on
 
time
 
and
 
in
 
full.
 
In
 
the
 
event
 
that
 
the
 
debtor
 
is
 
unable
 
to
 
make
 
payment,
 
the
 
bank
 
will
 
be
 
required
 
to
 
cover
 
the
 
full
or
 
remaining
 
amount
 
of
 
the
 
purchase.
‘Level
 
1
 
assets’
High
 
quality
 
liquid
 
assets
 
under
 
the
 
Basel
 
Committee’s
 
Liquidity
 
Coverage
 
Ratio
 
(LCR),
 
including
 
cash,
 
central
 
bank
reserves
 
and
 
higher
 
quality
 
government
 
securities.
 
‘Level
 
2
 
assets’
 
Under
 
the
 
Basel
 
Committee’s
 
Liquidity
 
Coverage
 
Ratio
 
high
 
quality
 
liquid
 
assets
 
(HQLA)
 
are
 
comprised
 
of
 
Level
 
1
 
and
Level
 
2
 
assets,
 
with
 
the
 
latter
 
comprised
 
of
 
Level
 
2A
 
and
 
Level
 
2B
 
assets.
 
Level
 
2A
 
assets
 
include,
 
for
 
example,
 
lower
 
quality
government
 
securities,
 
covered
 
bonds
 
and
 
corporate
 
debt
 
securities.
 
Level
 
2B
 
assets
 
include,
 
for
 
example,
 
lower
 
rated
 
corporate
bonds,
 
residential
 
mortgage
 
backed
 
securities
 
and
 
equities
 
that
 
meet
 
certain
 
conditions.
‘Lifetime
 
expected
 
credit
 
losses’
 
An
 
assessment
 
of
 
expected
 
losses
 
associated
 
with
 
default
 
events
 
that
 
may
 
occur
 
during
 
the
 
life
 
of
an
 
exposure,
 
reflecting
 
the
 
present
 
value
 
of
 
cash
 
shortfalls
 
over
 
the
 
remaining
 
expected
 
life
 
of
 
the
 
asset.
‘Lifetime
 
Probability’
 
The
 
likelihood
 
of
 
accounts
 
entering
 
default
 
during
 
the
 
expected
 
remaining
 
life
 
of
 
the
 
asset.
‘Liquidity
 
Coverage
 
Ratio
 
(LCR)’
 
The
 
ratio
 
of
 
the
 
stock
 
of
 
high
 
quality
 
liquid
 
assets
 
to
 
expected
 
net
 
cash
 
outflows
 
over
 
the
 
next
 
30
days.
 
High-
 
quality
 
liquid
 
assets
 
should
 
be
 
unencumbered,
 
liquid
 
in
 
markets
 
during
 
a
 
time
 
of
 
stress
 
and,
 
ideally,
 
be
 
central
 
bank
eligible.
 
These
 
include,
 
for
 
example,
 
cash
 
and
 
claims
 
on
 
central
 
governments
 
and
 
central
 
banks.
 
‘Liquidity
 
Pool’
 
The
 
Barclays
 
Bank
 
Group
 
liquidity
 
pool
 
comprises
 
cash
 
at
 
central
 
banks
 
and
 
highly
 
liquid
 
collateral
 
specifically
 
held
by
 
the
 
Barclays
 
Bank
 
Group
 
as
 
a
 
contingenc
 
y
 
to
 
enable
 
the
 
bank
 
to
 
meet
 
cash
 
outflows
 
in
 
the
 
event
 
of
 
stressed
 
market
 
conditions.
 
‘Liquidity
 
Risk’
The
 
risk
 
that
 
the
 
Barclays
 
Bank
 
Group
 
is
 
unable
 
to
 
meet
 
its
 
contractual
 
or
 
contingent
 
obligations
 
or
 
that
 
is
 
does
 
not
have
 
the
 
appropriate
 
amount,
 
tenor
 
and
 
composition
 
of
 
funding
 
and
 
liquidity
 
to
 
support
 
its
 
assets.
 
‘Liquidity
 
risk
 
appetite
 
(LRA)’
 
The
 
level
 
of
 
liquidity
 
risk
 
that
 
the
 
Barclays
 
Bank
 
Group
 
chooses
 
to
 
take
 
in
 
pursuit
 
of
 
its
 
business
objectives
 
and
 
in
 
meeting
 
its
 
regulatory
 
obligations.
 
 
bbplch120p2i0.gif
Glossary
 
of
 
Terms
 
 
 
 
Barclays
 
Bank
 
PLC
 
58
 
 
‘Liquidity
 
Risk
 
Management
 
Framework
 
(the
 
Liquidity
 
Framework)’
The
 
Liquidity
 
Risk
 
Management
 
Framework
 
(the
 
Liquidity
Framework),
 
which
 
is
 
sanctioned
 
by
 
the
 
Board
 
Risk
 
Committee
 
(BRC)
 
and
 
which
 
incorporates
 
liquidity
 
policies,
 
systems
 
and
 
controls
that
 
the
 
Barclays
 
Bank
 
Group
 
has
 
implemented
 
to
 
manage
 
liquidity
 
risk
 
within
 
tolerances
 
approved
 
by
 
the
 
Board
 
and
 
re
 
gulatory
agencies.
 
‘Litigation
 
and
 
conduct
 
charges’
 
or
 
‘Litigation
 
and
 
conduct’
Litigation
 
and
 
conduct
 
charges
 
include
 
regulatory
 
fines,
 
litigation
settlements
 
and
 
conduct
 
related
 
customer
 
redress.
‘Loan
 
loss
 
rate’
 
Quoted
 
in
 
basis
 
points
 
and
 
represents
 
total
 
annualised
 
impairment
 
charges
 
divided
 
by
 
gross
 
loans
 
and
 
advances
held
 
at
 
amortised
 
cost
 
at
 
the
 
balance
 
sheet
 
date.
‘Loan
 
to
 
deposit
 
ratio’
 
Loans
 
and
 
advances
 
at
 
amortised
 
costs
 
divided
 
by
 
deposits
 
at
 
amortised
 
cost.
‘Loan
 
to
 
value
 
(LTV)
 
ratio’
 
Expresses
 
the
 
amount
 
borrowed
 
against
 
an
 
asset
 
(i.e.
 
a
 
mortgage)
 
as
 
a
 
percentage
 
of
 
the
 
appraised
 
value
of
 
the
 
asset.
 
The
 
ratios
 
are
 
used
 
in
 
determining
 
the
 
appropriate
 
level
 
of
 
risk
 
for
 
the
 
loan
 
and
 
are
 
generally
 
reported
 
as
 
an
 
average
for
 
new
 
mortgages
 
or
 
an
 
entire
 
portfolio.
 
Also
 
see
 
‘Marked
 
to
 
market
 
(MTM)
 
LTV
 
ratio.’
 
‘London
 
Interbank
 
Offered
 
Rate
 
(LIBOR)’
 
A
 
benchmark
 
interest
 
rate
 
at
 
which
 
banks
 
can
 
borrow
 
funds
 
from
 
other
 
banks
 
in
 
the
London
 
interbank
 
market.
 
‘Loss
 
Given
 
Default
 
(LGD)’
 
The
 
percentage
 
of
 
Exposure
 
at
 
Default
 
(EAD)
 
(defined
 
above)
 
that
 
will
 
not
 
be
 
recovered
 
following
default.
 
LGD
 
comprises
 
the
 
actual
 
loss
 
(the
 
part
 
that
 
is
 
not
 
expected
 
to
 
be
 
recovered),
 
together
 
with
 
the
 
economic
 
costs
 
associated
with
 
the
 
recovery
 
process.
 
‘Management
 
VaR’
 
A
 
measure
 
of
 
the
 
potential
 
loss
 
of
 
value
 
arising
 
from
 
unfavourable
 
market
 
movements
 
at
 
a
 
specific
 
confidence
level,
 
if
 
current
 
positions
 
were
 
to
 
be
 
held
 
unchanged
 
for
 
predefined
 
period.
 
Corporate
 
and
 
Investment
 
Bank
 
uses
 
Management
 
VaR
with
 
a
 
two
 
-year
 
equally
 
weighted
 
historical
 
period,
 
at
 
a
 
95%
 
confidence
 
level,
 
with
 
a
 
one
 
day
 
holding
 
period.
 
‘Mandatory
 
break
 
clause’
 
In
 
the
 
context
 
of
 
counterparty
 
credit
 
risk,
 
a
 
contract
 
clause
 
that
 
means
 
a
 
trade
 
will
 
be
 
ended
 
on
 
a
particular
 
date.
‘Marked
 
to
 
market
 
approach’
 
A
 
counterparty
 
credit
 
risk
 
exposure
 
calculation
 
approach
 
which
 
uses
 
the
 
current
 
mark
 
to
 
market
value
 
of
 
derivative
 
positions
 
as
 
well
 
as
 
a
 
potential
 
future
 
exposure
 
add-on
 
to
 
calculate
 
an
 
exposure
 
to
 
which
 
a
 
risk
 
weight
 
can
 
be
applied.
 
This
 
is
 
also
 
known
 
as
 
the
 
Current
 
Exposure
 
Method.
‘Marked
 
to
 
market
 
(MTM)
 
LTV
 
ratio’
 
The
 
loan
 
amount
 
as
 
a
 
percentage
 
of
 
the
 
current
 
value
 
of
 
the
 
asset
 
used
 
to
 
secure
 
the
 
loan.
Also
 
see
 
‘Balance
 
weighted
 
Loan
 
to
 
Value
 
(LTV)
 
ratio’
 
and
 
‘Valuation
 
weighte
 
d
 
Loan
 
to
 
Value
 
(LTV)
 
ratio.’
‘Market
 
risk’
 
The
 
risk
 
of
 
loss
 
arising
 
from
 
potential
 
adverse
 
changes
 
in
 
the
 
value
 
of
 
the
 
Barclays
 
Bank
 
Group’s
 
assets
 
and
 
liabilities
from
 
fluctuation
 
in
 
market
 
variables
 
including,
 
but
 
not
 
limited
 
to,
 
interest
 
rates,
 
foreign
 
exchange,
 
equity
 
prices,
 
commodity
 
prices,
credit
 
spreads,
 
implied
 
volatilities
 
and
 
asset
 
correlations.
 
‘Master
 
netting
 
agreements’
 
An
 
agreement
 
that
 
provides
 
for
 
a
 
single
 
net
 
settlement
 
of
 
all
 
financial
 
instruments
 
and
 
collateral
covered
 
by
 
the
 
agreemen
 
t
 
in
 
the
 
event
 
of
 
the
 
counterparty’s
 
default
 
or
 
bankruptcy
 
or
 
insolvency,
 
resulting
 
in
 
a
 
reduced
 
exposure.
‘Master
 
trust
 
securitisation
 
programmes’
 
A
 
securitisation
 
structure
 
where
 
a
 
trust
 
is
 
set
 
up
 
for
 
the
 
purpose
 
of
 
acquiring
 
a
 
pool
 
of
receivables.
 
The
 
trust
 
issues
 
multiple
 
series
 
of
 
securities
 
backed
 
by
 
these
 
receivables.
‘Material
 
Risk
 
Takers
 
(MRTs)’
Categories
 
of
 
staff
 
whose
 
professional
 
activities
 
have
 
or
 
are
 
deemed
 
to
 
have
 
a
 
material
 
impact
 
on
Barclays
 
Bank
 
Group’
 
risk
 
profile,
 
as
 
determined
 
in
 
accor
 
dance
 
with
 
the
 
European
 
Banking
 
Authority
 
regulatory
 
technical
 
standard
on
 
the
 
identification
 
of
 
such
 
staff.
‘Maximum
 
Distributable
 
Amount
 
(MDA)’
The
 
MDA
 
is
 
a
 
factor
 
representing
 
the
 
available
 
distributable
 
profit
 
whilst
 
remaining
 
in
excess
 
of
 
its
 
combined
 
buffer
 
requirement.
 
CRD
 
IV
 
places
 
restrictions
 
on
 
a
 
bank’s
 
dividend
 
decisions
 
depending
 
on
 
its
 
proximity
 
to
meeting
 
the
 
buffer.
 
 
bbplch120p2i0.gif
Glossary
 
of
 
Terms
 
 
 
 
Barclays
 
Bank
 
PLC
 
59
 
 
‘Medium-Term
 
Notes’
 
Corporate
 
notes
 
(or
 
debt
 
securities)
 
continuously
 
offered
 
by
 
a
 
company
 
to
 
investors
 
through
 
a
 
dealer.
Investors
 
can
 
choose
 
from
 
differing
 
maturities,
 
ranging
 
from
 
nine
 
months
 
to
 
30
 
years.
 
They
 
can
 
be
 
issued
 
on
 
a
 
fixed
 
or
 
floating
coupon
 
basis
 
or
 
with
 
an
 
exotic
 
coupon;
 
with
 
a
 
fixed
 
maturity
 
date
 
(non-callable)
 
or
 
with
 
embedded
 
call
 
or
 
put
 
options
 
or
 
early
repayment
 
triggers.
 
MTNs
 
are
 
most
 
generally
 
issued
 
as
 
senior,
 
unsecured
 
debt.
‘Methodology
 
and
 
policy’
In
 
the
 
context
 
of
 
the
 
Capital
 
Risk
 
section,
 
the
 
effect
 
on
 
RWAs
 
of
 
methodology
 
changes
 
driven
 
by
regulatory
 
policy
 
changes.
 
‘MiFID
 
II’
The
 
Markets
 
in
 
Financial
 
Instruments
 
Directive
 
2004/39/EC
 
(known
 
as
 
"MiFID"
 
I)
 
as
 
subsequently
 
amended
 
to
 
MiFID
 
II
 
is
 
a
European
 
Union
 
law
 
that
 
provides
 
harmonised
 
regulation
 
for
 
investment
 
services
 
across
 
the
 
31
 
member
 
states
 
of
 
the
 
European
Economic
 
Area.
 
‘Minimum
 
requirement
 
for
 
own
 
funds
 
and
 
eligible
 
liabilities
 
(MREL)’
 
A
 
European
 
Union
 
wide
 
requirement
 
under
 
the
 
Bank
 
Recovery
and
 
Resolution
 
Directive
 
for
 
all
 
European
 
banks
 
and
 
investment
 
banks
 
to
 
hold
 
a
 
minimum
 
level
 
of
 
equity
 
and/or
 
loss
 
absorbing
eligible
 
liabilities
 
to
 
ensure
 
the
 
operation
 
of
 
the
 
bail-in
 
tool
 
to
 
absorb
 
losses
 
and
 
recapitalise
 
an
 
institution
 
in
 
resolution.
 
An
institution’s
 
MREL
 
requirement
 
is
 
set
 
by
 
its
 
resolution
 
authority.
 
Amendments
 
in
 
the
 
EU
 
Risk
 
Reduction
 
Measure
 
package
 
are
designed
 
to
 
align
 
MREL
 
and
 
TLAC
 
for
 
EU
 
G-SIBs.
‘Model
 
risk’
The
 
risk
 
of
 
the
 
potential
 
adverse
 
consequences
 
from
 
financial
 
assessments
 
or
 
decisions
 
based
 
on
 
incorrect
 
or
 
misused
model
 
outputs
 
and
 
reports.
 
‘Model
 
updates’
In
 
the
 
context
 
of
 
the
 
Capital
 
Risk
 
section,
 
changes
 
in
 
RWAs
 
caused
 
by
 
model
 
implementation,
 
changes
 
in
 
model
scope
 
or
 
any
 
changes
 
required
 
to
 
address
 
model
 
malfunctions.
 
‘Model
 
validation’
 
Process
 
through
 
which
 
models
 
are
 
independently
 
challenged,
 
tested
 
and
 
verified
 
to
 
prove
 
that
 
they
 
hav
 
e
 
been
built,
 
implemented
 
and
 
used
 
correctly,
 
and
 
that
 
they
 
continue
 
to
 
be
 
fit-for
 
-purpose.
 
‘Modelled—VaR’
 
In
 
the
 
context
 
of
 
RWAs,
 
Market
 
risk
 
calculated
 
using
 
value
 
at
 
risk
 
models
 
laid
 
down
 
by
 
the
 
CRR
 
and
 
supervised
 
by
the
 
PRA.
 
‘Money
 
market
 
funds’
 
Investment
 
funds
 
typically
 
invested
 
in
 
short-term
 
debt
 
securities.
 
‘Monoline
 
derivatives’
 
Derivatives
 
with
 
a
 
monoline
 
insurer
 
such
 
as
 
credit
 
default
 
swaps
 
referencing
 
the
 
underlying
 
exposures
 
held.
‘Moody’s’
 
A
 
credit
 
rating
 
agency.
 
‘Mortgage
 
Servicing
 
Rights
 
(MSR)’
A
 
contractual
 
agreement
 
in
 
which
 
the
 
right
 
to
 
service
 
an
 
existing
 
mortgage
 
is
 
sold
 
by
 
the
 
original
lender
 
to
 
another
 
party
 
that
 
specialises
 
in
 
the
 
various
 
functions
 
involved
 
with
 
servicing
 
mortgages.
‘Multilateral
 
development
 
banks’
 
Financial
 
institutions
 
created
 
for
 
the
 
purposes
 
of
 
development,
 
where
 
membership
 
transcends
national
 
boundaries.
 
‘National
 
discretion’
 
Discretions
 
in
 
CRD
 
given
 
to
 
member
 
states
 
to
 
allow
 
the
 
local
 
regulator
 
additional
 
powers
 
in
 
the
 
application
 
of
certain
 
CRD
 
rules
 
in
 
its
 
jurisdiction.
 
‘Net
 
asset
 
value
 
per
 
share’
 
Calculated
 
by
 
dividing
 
shareholders’
 
equity,
 
excluding
 
non-controlling
 
interests
 
and
 
other
 
equity
instruments,
 
by
 
the
 
number
 
of
 
issued
 
ordinary
 
shares.
 
‘Net
 
interest
 
income
 
(NII)’
 
The
 
difference
 
between
 
interest
 
income
 
on
 
assets
 
and
 
interest
 
expense
 
on
 
liabilities.
 
‘Net
 
interest
 
margin
 
(NIM)’
 
Annualised
 
net
 
interest
 
income
 
divided
 
by
 
the
 
sum
 
of
 
average
 
customer
 
assets.
‘Net
 
investment
 
income’
 
Changes
 
in
 
the
 
fair
 
value
 
of
 
financial
 
instruments
 
designated
 
at
 
fair
 
value,
 
dividend
 
income
 
and
 
the
 
net
result
 
on
 
disposal
 
of
 
available
 
for
 
sale
 
assets.
 
 
 
bbplch120p2i0.gif
Glossary
 
of
 
Terms
 
 
 
 
Barclays
 
Bank
 
PLC
 
60
 
 
‘Net
 
Stable
 
Funding
 
Ratio
 
(NSFR)’
 
The
 
ratio
 
of
 
available
 
stable
 
funding
 
to
 
required
 
stable
 
funding
 
over
 
a
 
one
 
year
 
time
 
horizon,
assuming
 
a
 
stressed
 
scenario.
 
The
 
ratio
 
is
 
required
 
to
 
be
 
over
 
100%.
 
Available
 
stable
 
funding
 
would
 
include
 
such
 
items
 
as
 
equity
capital,
 
preferred
 
stock
 
with
 
a
 
maturity
 
of
 
over
 
1
 
year,
 
or
 
liabilities
 
with
 
a
 
maturity
 
of
 
over
 
1
 
year.
 
The
 
required
 
amount
 
of
 
stable
funding
 
is
 
calculated
 
as
 
the
 
sum
 
of
 
the
 
value
 
of
 
the
 
assets
 
held
 
and
 
funded
 
by
 
the
 
institution,
 
multiplied
 
by
 
a
 
specific
 
required
stable
 
funding
 
(RSF)
 
fa
 
ctor
 
assigned
 
to
 
each
 
particular
 
asset
 
type,
 
added
 
to
 
the
 
amount
 
of
 
potential
 
liquidity
 
exposure
 
multiplied
 
by
its
 
associated
 
RSF
 
factor.
 
‘Net
 
trading
 
income’
 
Gains
 
and
 
losses
 
arising
 
from
 
trading
 
positions
 
which
 
are
 
held
 
at
 
fair
 
value,
 
in
 
respect
 
of
 
both
 
market
 
-making
and
 
customer
 
business,
 
together
 
with
 
interest,
 
dividends
 
and
 
funding
 
costs
 
relating
 
to
 
trading
 
activities.
‘Net
 
write-off
 
rate’
 
Expressed
 
as
 
a
 
percentage
 
and
 
represents
 
balances
 
written
 
off
 
in
 
the
 
reporting
 
period
 
less
 
any
 
post
 
write-off
rec
 
overies
 
divided
 
by
 
gross
 
loans
 
and
 
advances
 
held
 
at
 
amortised
 
cost
 
at
 
the
 
balance
 
sheet
 
date.
‘Net
 
written
 
credit
 
protection’
 
In
 
the
 
context
 
of
 
leverage
 
exposure,
 
the
 
net
 
notional
 
value
 
of
 
credit
 
derivatives
 
protection
 
sold
 
and
credit
 
derivatives
 
protectio
 
n
 
bought.
 
‘New
 
bookings’
The
 
total
 
of
 
the
 
original
 
balance
 
on
 
accounts
 
opened
 
in
 
the
 
reporting
 
period,
 
including
 
any
 
applicable
 
fees
 
and
charges
 
included
 
in
 
the
 
loan
 
amount.
‘Non-asset
 
backed
 
debt
 
instruments’
 
Debt
 
instruments
 
not
 
backed
 
by
 
collateral,
 
including
 
government
 
bonds;
 
US
 
agency
 
bonds;
corporate
 
bonds;
 
commercial
 
paper;
 
certificates
 
of
 
deposit;
 
convertible
 
bonds;
 
corporate
 
bonds
 
and
 
issued
 
notes.
 
‘Non-model
 
method
 
(NMM)’
 
In
 
the
 
context
 
of
 
RWAs,
 
Counterparty
 
credit
 
risk,
 
RWAs
 
where
 
the
 
exposure
 
amount
 
has
 
been
 
derived
through
 
the
 
use
 
of
 
CRR
 
norms,
 
as
 
opposed
 
to
 
an
 
internal
 
model.
 
‘Non-Traded
 
Market
 
Risk’
The
 
risk
 
that
 
the
 
current
 
or
 
future
 
exposure
 
in
 
the
 
banking
 
book
 
(i.e.
 
non-traded
 
book)
 
will
 
impact
 
bank's
capital
 
and/or
 
earnings
 
due
 
to
 
adverse
 
movements
 
in
 
Interest
 
or
 
foreign
 
exchange
 
rates.
‘Non-Traded
 
VaR’
Reflects
 
the
 
volatility
 
in
 
the
 
value
 
of
 
the
 
fair
 
value
 
through
 
other
 
comprehensive
 
income
 
(FVOCI)
 
investments
 
in
the
 
liquidity
 
pool
 
which
 
flow
 
directly
 
through
 
capital
 
via
 
the
 
FVOCI
 
reserve.
 
The
 
underlying
 
methodology
 
to
 
calculate
 
non-traded
VaR
 
is
 
similar
 
to
 
Traded
 
Management
 
VaR,
 
but
 
the
 
two
 
measures
 
are
 
not
 
directly
 
comparable.
 
The
 
Non-Traded
 
VaR
 
represents
 
the
volatility
 
to
 
capital
 
driven
 
by
 
the
 
FVOCI
 
exposures.
 
These
 
exposures
 
are
 
in
 
the
 
banking
 
book
 
and
 
do
 
not
 
meet
 
the
 
criteria
 
for
 
trading
book
 
treatment.
 
‘Notch’
 
A
 
single
 
unit
 
of
 
measurement
 
in
 
a
 
credit
 
rating
 
scale.
 
‘Notional
 
amount’
The
 
nominal
 
or
 
face
 
amount
 
of
 
a
 
financial
 
instrument,
 
such
 
as
 
a
 
loan
 
or
 
a
 
derivative,
 
that
 
is
 
used
 
to
 
calculate
payments
 
made
 
on
 
that
 
instrument.
 
‘Open
 
Banking’
The
 
Payment
 
Services
 
Directive
 
(PSD2)
 
and
 
the
 
Open
 
API
 
standards
 
and
 
data
 
sharing
 
remedy
 
imposed
 
by
 
the
 
UK
Competition
 
and
 
Markets
 
Authority
 
following
 
its
 
Retail
 
Banking
 
Market
 
Investigation
 
Order.
‘Operating
 
leverage’
 
Operating
 
expenses
 
compared
 
to
 
total
 
income
 
less
 
credit
 
impairment
 
charges
 
and
 
other
 
provisions.
 
‘Operational
 
risk’
 
The
 
risk
 
of
 
loss
 
to
 
the
 
bank
 
from
 
inadequate
 
or
 
fai
 
led
 
processes
 
or
 
systems,
 
human
 
factors
 
or
 
due
 
to
 
external
events
 
(for
 
example,
 
fraud)
 
where
 
the
 
root
 
cause
 
is
 
not
 
due
 
to
 
credit
 
or
 
market
 
risks.
‘Operational
 
Riskdata
 
eXchange
 
(ORX)’
 
The
 
Operational
 
Riskdata
 
eXchange
 
Association
 
(ORX)
 
is
 
a
 
not
 
-for
 
-profit
 
industry
 
association
dedicated
 
to
 
advancing
 
the
 
measurement
 
and
 
management
 
of
 
operational
 
risk
 
in
 
the
 
global
 
financial
 
services
 
industry.
 
Barclays
Bank
 
is
 
a
 
member
 
of
 
ORX.
‘Origination
 
led’
 
Focus
 
on
 
high
 
margin,
 
low
 
capital
 
fee
 
based
 
activities
 
and
 
related
 
hedging
 
opportunities.
 
‘OSII’
Other
 
systemically
 
important
 
institutions
 
are
 
institutions
 
that
 
are
 
deemed
 
to
 
create
 
risk
 
to
 
financial
 
stability
 
due
 
to
 
their
systemic
 
importance.
 
‘Over
 
-the-counter
 
(OTC)
 
derivatives’
 
Derivative
 
contracts
 
that
 
are
 
traded
 
(and
 
privately
 
negotiated)
 
directly
 
between
 
two
 
parties.
They
 
offer
 
flexibility
 
because,
 
unlike
 
standardised
 
exchange
 
-traded
 
products,
 
they
 
can
 
be
 
tailored
 
to
 
fit
 
specific
 
needs.
 
 
bbplch120p2i0.gif
Glossary
 
of
 
Terms
 
 
 
 
Barclays
 
Bank
 
PLC
 
61
 
 
‘Ov
 
erall
 
capital
 
requirement’
 
The
 
overall
 
capital
 
requirement
 
is
 
the
 
sum
 
of
 
capital
 
required
 
to
 
meet
 
the
 
total
 
of
 
a
 
Pillar
 
1
requirement,
 
a
 
Pillar
 
2A
 
requirement,
 
a
 
Global
 
Systemically
 
Important
 
Institution
 
(G-
 
SII)
 
buffer,
 
a
 
Capital
 
Conservation
 
Buffer
 
(CCB)
and
 
a
 
Countercyclical
 
Capital
 
Buffer
 
(CCyB).
 
‘Own
 
credit’
 
The
 
effect
 
of
 
changes
 
in
 
the
 
Barclays
 
Bank
 
Group’s
 
own
 
credit
 
standing
 
on
 
the
 
fair
 
value
 
of
 
financial
 
liabilities.
 
‘Owner
 
occupied
 
mortgage’
A
 
mortgage
 
where
 
the
 
intention
 
of
 
the
 
customer
 
was
 
to
 
occupy
 
the
 
property
 
at
 
origination.
 
‘Own
 
funds’
The
 
sum
 
of
 
Tier
 
1
 
and
 
Tier
 
2
 
capital.
‘Past
 
due
 
items’
Refers
 
to
 
loans
 
where
 
the
 
borrower
 
has
 
failed
 
to
 
make
 
a
 
payment
 
when
 
due
 
under
 
the
 
terms
 
of
 
the
 
loan
 
contract.
 
‘Payment
 
Protection
 
Insurance
 
(PPI)
 
redress’
 
Provision
 
for
 
the
 
settlement
 
of
 
PPI
 
miss-selling
 
claims
 
and
 
related
 
claims
 
management
costs.
‘Pension
 
Risk’
The
 
risk
 
of
 
the
 
Barclays
 
Bank
 
Group’s
 
earnings
 
and
 
capital
 
being
 
adversely
 
impacted
 
by
 
the
 
Barclays
 
Bank
 
Group’s
defined
 
benefit
 
obligations
 
increasing
 
or
 
the
 
value
 
of
 
the
 
assets
 
backing
 
these
 
defined
 
benefit
 
obligations
 
decreasing
 
due
 
to
changes
 
in
 
both
 
the
 
level
 
and
 
volatility
 
of
 
prices.
 
‘Performance
 
costs’
 
The
 
accounting
 
charge
 
recognised
 
in
 
the
 
period
 
for
 
performance
 
awards.
 
For
 
deferred
 
incentives
 
and
 
long-
term
 
incentives,
 
the
 
accounting
 
charge
 
is
 
spread
 
over
 
the
 
relevant
 
periods
 
in
 
which
 
the
 
employee
 
delivers
 
service.
 
‘Personal
 
Banking’
Offers
 
retail
 
advice,
 
products
 
and
 
services
 
to
 
community
 
and
 
premier
 
customers
 
in
 
the
 
UK.
 
‘Per
 
iod
 
end
 
allocated
 
tangible
 
equity’
 
Allocated
 
tangible
 
equity
 
is
 
calculated
 
as
 
13.0%
 
(2018:
 
13.0%)
 
of
 
RWAs
 
for
 
each
 
business,
adjusted
 
for
 
capital
 
deductions,
 
excluding
 
goodwill
 
and
 
intangible
 
assets,
 
reflecting
 
assumptions
 
the
 
Barclays
 
Bank
 
Group
 
uses
 
for
capital
 
planning
 
purposes.
 
Head
 
Office
 
allocated
 
tangible
 
equity
 
represents
 
the
 
difference
 
between
 
the
 
Barclays
 
Bank
 
Group’s
tangible
 
shareholders’
 
equity
 
and
 
the
 
amounts
 
allocated
 
to
 
businesses.
 
‘Pillar
 
1
 
requirements’
The
 
minimum
 
regulatory
 
capital
 
requirements
 
to
 
meet
 
the
 
sum
 
of
 
credit
 
(including
 
counterparty
 
credit),
market
 
and
 
operational
 
risk.
‘Pillar
 
2A
 
requirements’
The
 
additional
 
regulatory
 
capital
 
requirement
 
to
 
meet
 
risks
 
not
 
captured
 
under
 
Pillar
 
1
 
requirements.
 
This
requirement
 
is
 
the
 
outcome
 
of
 
the
 
bank’s
 
Internal
 
Capital
 
Adequacy
 
Assessment
 
Process
 
(ICAAP)
 
and
 
the
 
complementary
supervisory
 
review
 
and
 
evaluation
 
carried
 
out
 
by
 
the
 
PRA.
 
‘Post
 
-model
 
adjustment
 
(PMA)’
 
In
 
the
 
context
 
of
 
Basel
 
models,
 
a
 
PMA
 
is
 
a
 
short
 
term
 
increase
 
in
 
regulatory
 
capital
 
applied
 
at
portfolio
 
level
 
to
 
account
 
for
 
model
 
input
 
data
 
deficiencies,
 
inadequate
 
model
 
performance
 
or
 
changes
 
to
 
regulatory
 
definitions
(e.g.
 
definition
 
of
 
default)
 
to
 
ensure
 
the
 
model
 
output
 
is
 
accurate,
 
complete
 
and
 
appropriate.
‘Potential
 
Future
 
Exposure
 
(PFE)
 
on
 
Derivatives’
 
A
 
regulatory
 
calculation
 
in
 
respect
 
of
 
the
 
Barclays
 
Bank
 
Group’s
 
potential
 
future
credit
 
exposure
 
on
 
both
 
exchange
 
traded
 
and
 
OTC
 
derivative
 
contracts,
 
calculated
 
by
 
assigning
 
a
 
standardised
 
percentage
 
(based
on
 
the
 
underlying
 
risk
 
category
 
and
 
residual
 
trade
 
maturity)
 
to
 
the
 
gross
 
notional
 
value
 
of
 
each
 
contract.
‘PRA
 
waivers’
 
PRA
 
approvals
 
that
 
specifically
 
give
 
permission
 
to
 
the
 
bank
 
to
 
either
 
modify
 
or
 
waive
 
existing
 
rules.
 
Waivers
 
are
specific
 
to
 
an
 
orga
 
nisation
 
and
 
require
 
applications
 
being
 
submitted
 
to
 
and
 
approved
 
by
 
the
 
PRA.
‘Primary
 
securitisations’
 
The
 
issuance
 
of
 
securities
 
(bonds
 
and
 
commercial
 
papers)
 
for
 
fund-raising.
‘Primary
 
Stress
 
Tests’
 
In
 
the
 
context
 
of
 
Traded
 
Market
 
Risk,
 
Stress
 
Testing
 
provides
 
an
 
estimate
 
of
 
potentially
 
significant
 
future
losses
 
that
 
might
 
arise
 
from
 
extreme
 
market
 
moves
 
or
 
scenarios.
 
Primary
 
Stress
 
Tests
 
apply
 
stress
 
moves
 
to
 
key
 
liquid
 
risk
 
factors
for
 
each
 
of
 
the
 
major
 
trading
 
asset
 
classes.
‘Prime
 
Services’
 
Involves
 
financing
 
of
 
fixed
 
income
 
and
 
equity
 
positions
 
using
 
Repo
 
and
 
stock
 
lending
 
facilities.
 
The
 
Prime
 
Services
business
 
also
 
provides
 
brokerage
 
facilitation
 
services
 
for
 
hedge
 
fund
 
clients
 
offering
 
executi
 
on
 
and
 
clearance
 
facilities
 
for
 
a
 
variety
of
 
asset
 
classes.
 
‘Principal’
 
In
 
the
 
context
 
of
 
a
 
loan,
 
the
 
amount
 
borrowed,
 
or
 
the
 
part
 
of
 
the
 
amount
 
borrowed
 
which
 
remains
 
unpaid
 
(excluding
interest).
 
 
 
bbplch120p2i0.gif
Glossary
 
of
 
Terms
 
 
 
 
Barclays
 
Bank
 
PLC
 
62
 
 
‘Principal
 
Investments’
 
/
 
‘Private
 
equity
 
investments’
 
Investments
 
in
 
equity
 
securities
 
in
 
operating
 
companies
 
not
 
quoted
 
on
 
a
public
 
exchange.
 
Investment
 
in
 
private
 
equity
 
often
 
involves
 
the
 
investment
 
of
 
capital
 
in
 
private
 
companies
 
or
 
the
 
acquisition
 
of
 
a
public
 
company
 
that
 
results
 
in
 
the
 
delisting
 
of
 
public
 
equity.
 
Capital
 
for
 
private
 
equity
 
investment
 
is
 
raised
 
by
 
retail
 
or
 
institutional
investors
 
and
 
used
 
to
 
fund
 
investment
 
strategies
 
such
 
as
 
leveraged
 
buyouts,
 
venture
 
capital,
 
growth
 
capital,
 
distressed
 
investments
and
 
mezzanine
 
capital.
 
‘Principal
 
Risks’
 
The
 
principal
 
risks
 
affecting
 
the
 
Barclays
 
Bank
 
Group
 
described
 
in
 
the
 
risk
 
review
 
section
 
of
 
the
 
Barclays
 
Bank
 
PLC
Annual
 
Report.
‘Pro
 
-cyclicality’
 
Movements
 
in
 
financial
 
variables
 
(including
 
capital
 
requirements)
 
following
 
natural
 
fluctuations
 
in
 
the
 
economic
cycle,
 
where
 
the
 
subsequent
 
impact
 
on
 
lending
 
or
 
other
 
market
 
behaviours
 
acts
 
as
 
an
 
amplification
 
of
 
the
 
economic
 
cycle
 
by
 
the
financial
 
sector.
‘Probability
 
of
 
Default
 
(PD)’
 
The
 
likelihood
 
that
 
a
 
loan
 
will
 
not
 
be
 
repaid
 
and
 
will
 
fall
 
into
 
default.
 
PD
 
may
 
be
 
calculated
 
for
 
each
client
 
who
 
has
 
a
 
loan
 
(normally
 
applicable
 
to
 
wholesale
 
customers/clients)
 
or
 
for
 
a
 
portfolio
 
of
 
clients
 
with
 
similar
 
attributes
(normally
 
applicable
 
to
 
retail
 
customers).
 
To
 
calculate
 
PD,
 
Barclays
 
Bank
 
Group
 
assesses
 
the
 
credit
 
quality
 
of
 
borrowers
 
and
 
other
counterparties
 
and
 
assigns
 
them
 
an
 
internal
 
risk
 
rating.
 
Multiple
 
rating
 
methodologies
 
may
 
be
 
used
 
to
 
inform
 
the
 
rating
 
decision
 
on
individual
 
large
 
credits,
 
such
 
as
 
internal
 
and
 
external
 
models,
 
ra
 
ting
 
agency
 
ratings,
 
and
 
for
 
wholesale
 
assets
 
market
 
information
such
 
as
 
credit
 
spreads.
 
For
 
smaller
 
credits,
 
a
 
single
 
source
 
may
 
suffice
 
such
 
as
 
the
 
result
 
from
 
an
 
internal
 
rating
 
model.
‘Product
 
structural
 
hedge’
 
An
 
interest
 
rate
 
hedge
 
in
 
place
 
to
 
reduce
 
earnings
 
volatility
 
on
 
product
 
balances
 
with
 
an
 
instant
 
access
(such
 
as
 
non-interest
 
bearing
 
current
 
accounts
 
and
 
managed
 
rate
 
deposits)
 
and
 
to
 
smoothen
 
the
 
income
 
over
 
a
 
medium/long
 
term.
 
‘Properties
 
in
 
Possession
 
held
 
as
 
’Loans
 
and
 
Advances
 
to
 
Customers’’
Properties
 
in
 
the
 
UK
 
and
 
Italy
 
where
 
the
 
customer
 
continues
to
 
retain
 
legal
 
title
 
but
 
where
 
the
 
bank
 
has
 
enforced
 
the
 
possession
 
order
 
as
 
part
 
of
 
the
 
foreclosure
 
process
 
to
 
allow
 
for
 
the
disposal
 
of
 
the
 
asset
 
or
 
the
 
court
 
has
 
ordered
 
the
 
auction
 
of
 
the
 
property.
‘Properties
 
in
 
Possession
 
held
 
as
 
‘Other
 
Real
 
Estate
 
Owned’’
Properties
 
in
 
South
 
Africa,
 
where
 
the
 
bank
 
has
 
taken
 
legal
 
ownership
of
 
the
 
title
 
as
 
a
 
result
 
of
 
purchase
 
at
 
an
 
auction
 
or
 
similar
 
and
 
treated
 
as
 
‘Other
 
Real
 
Estate
 
Owned’
 
within
 
other
 
assets
 
on
 
the
bank’s
 
balance
 
sheet.
‘Proprietary
 
trading’
 
When
 
a
 
bank,
 
brokerage
 
or
 
other
 
financial
 
institution
 
trades
 
on
 
its
 
own
 
account,
 
at
 
its
 
own
 
risk,
 
rather
 
than
 
on
behalf
 
of
 
customers
 
,
 
so
 
as
 
to
 
make
 
a
 
profit
 
for
 
itself.
 
‘Prudential
 
Regulation
 
Authority
 
(PRA)’
 
The
 
statutory
 
body
 
responsible
 
for
 
the
 
prudential
 
supervision
 
of
 
banks,
 
building
 
societies,
insurers
 
and
 
a
 
small
 
number
 
of
 
significant
 
investment
 
banks
 
in
 
the
 
UK.
 
The
 
PRA
 
is
 
a
 
subsidiary
 
of
 
the
 
Bank
 
of
 
England.
 
‘Prudential
 
valuation
 
adjustment
 
(PVA)’
 
A
 
calculation
 
which
 
adjusts
 
the
 
accounting
 
values
 
of
 
positions
 
held
 
on
 
balance
 
sheet
 
at
 
fair
value
 
to
 
comply
 
with
 
regulatory
 
valuation
 
standards,
 
which
 
place
 
greater
 
emphasis
 
on
 
the
 
inherent
 
uncertainty
 
around
 
the
 
value
 
at
which
 
a
 
trading
 
book
 
position
 
could
 
be
 
exited.
‘Public
 
benchmark’
 
Unsecured
 
medium
 
term
 
notes
 
issued
 
in
 
public
 
syndicated
 
transactions.
 
‘Qualifying
 
central
 
bank
 
claims’
An
 
amount
 
calculated
 
in
 
line
 
with
 
the
 
PRA
 
policy
 
statement
 
allowing
 
banks
 
to
 
exclude
 
claims
 
on
 
the
central
 
bank
 
from
 
the
 
calculation
 
of
 
the
 
leverage
 
exposure
 
measure,
 
as
 
long
 
as
 
these
 
are
 
matched
 
by
 
deposits
 
denominated
 
in
 
the
same
 
currency
 
and
 
of
 
identical
 
or
 
longer
 
maturity.
 
‘Qualifying
 
Revolving
 
Retail
 
Exposure
 
(QRRE)’
 
In
 
the
 
context
 
of
 
the
 
IRB
 
approach
 
to
 
credit
 
risk
 
RWA
 
calculations,
 
an
 
exposure
meeting
 
the
 
criteria
 
set
 
out
 
in
 
BIPRU
 
4.6.42
 
R
 
(2).
 
It
 
includes
 
most
 
types
 
of
 
credit
 
card
 
exposure.
‘Rates’
 
In
 
the
 
context
 
of
 
Investment
 
Bank
 
income
 
analysis,
 
trading
 
revenue
 
relating
 
to
 
government
 
bonds
 
and
 
linear
 
interest
 
rate
derivatives.
‘Re
 
-aging’
The
 
returning
 
of
 
a
 
delinquent
 
account
 
to
 
up-to
 
-date
 
status
 
without
 
collecting
 
the
 
full
 
arrears
 
(principal,
 
interest
 
and
fees).
‘Real
 
Estate
 
Mortgage
 
Investment
 
Conduits
 
(REMICs)’
An
 
entity
 
that
 
holds
 
a
 
fixed
 
pool
 
of
 
mortgages
 
and
 
that
 
is
 
separated
 
into
multiple
 
classes
 
of
 
interests
 
for
 
issuance
 
to
 
investors.
 
 
bbplch120p2i0.gif
Glossary
 
of
 
Terms
 
 
 
 
Barclays
 
Bank
 
PLC
 
63
 
 
‘Recovery
 
book’
 
Represents
 
the
 
total
 
amount
 
of
 
exposure
 
which
 
has
 
been
 
transferred
 
to
 
recovery
 
units
 
who
 
set
 
and
 
implement
strategies
 
to
 
recover
 
the
 
Group’s
 
exposure.
 
‘Recovery
 
book
 
Impairment
 
Coverage
 
Ratio’
 
Impairment
 
allowance
 
held
 
against
 
recoveries
 
balances
 
express
 
ed
 
as
 
a
 
percentage
 
of
balance
 
in
 
recoveries.
 
‘Recovery
 
book
 
proportion
 
of
 
outstanding
 
balances’
 
Represents
 
the
 
amount
 
of
 
recoveries
 
(gross
 
month-end
 
customer
 
balances
 
of
all
 
accounts
 
that
 
have
 
charged
 
-off)
 
as
 
at
 
the
 
period
 
end
 
compared
 
to
 
total
 
outstanding
 
balances.
 
The
 
size
 
of
 
the
 
recoveries
 
book
would
 
ultimately
 
have
 
an
 
impact
 
on
 
the
 
overall
 
impairment
 
requirement
 
on
 
the
 
portfolio.
 
Balances
 
in
 
recoveries
 
will
 
decrease
 
if:
assets
 
are
 
written
 
-off;
 
amounts
 
are
 
collected;
 
or
 
assets
 
are
 
sold
 
to
 
a
 
third
 
party
 
(i.e.
 
debt
 
sale).
 
‘Regulatory
 
capital’
 
The
 
amount
 
of
 
capital
 
that
 
a
 
bank
 
holds
 
to
 
satisfy
 
regulatory
 
requirements.
 
‘Renegotiated
 
loans’
 
Loans
 
are
 
generally
 
renegotiated
 
either
 
as
 
part
 
of
 
an
 
ongoing
 
customer
 
relationship
 
or
 
in
 
response
 
to
 
an
adverse
 
change
 
in
 
the
 
circumstances
 
of
 
the
 
borrower.
 
In
 
the
 
latter
 
case
 
renegotiation
 
can
 
result
 
in
 
an
 
extension
 
of
 
the
 
due
 
date
 
of
payment
 
or
 
repayment
 
plans
 
under
 
which
 
the
 
Barclays
 
Bank
 
Group
 
offers
 
a
 
concessionary
 
rate
 
of
 
interest
 
to
 
genuinely
 
distressed
borrowers.
 
This
 
will
 
result
 
in
 
the
 
asset
 
continuing
 
to
 
be
 
overdue
 
and
 
will
 
be
 
individually
 
impaired
 
where
 
the
 
renegotiated
 
payments
of
 
interest
 
and
 
principal
 
will
 
not
 
recover
 
the
 
original
 
carrying
 
amount
 
of
 
the
 
asset.
 
In
 
other
 
cases,
 
renegotiation
 
will
 
lead
 
to
 
a
 
new
agreement,
 
which
 
is
 
treated
 
as
 
a
 
new
 
loan.
‘Repurchase
 
agreement
 
(Repo)’
 
/
 
‘Reverse
 
repurchase
 
agreement
 
(Reverse
 
repo)’
 
Arrangements
 
that
 
allow
 
counterparties
 
to
 
use
financial
 
securities
 
as
 
collateral
 
for
 
an
 
interest
 
bearing
 
cash
 
loan.
 
The
 
borrower
 
agrees
 
to
 
sell
 
a
 
security
 
to
 
the
 
lender
 
subject
 
to
 
a
commitment
 
to
 
repurchase
 
the
 
asset
 
at
 
a
 
specified
 
price
 
on
 
a
 
given
 
date.
 
For
 
the
 
party
 
selling
 
the
 
security
 
(and
 
agreeing
 
to
repurchase
 
it
 
in
 
the
 
future)
 
it
 
is
 
a
 
Repurchase
 
agreement
 
or
 
Repo;
 
for
 
the
 
counterp
 
arty
 
to
 
the
 
transaction
 
(buying
 
the
 
security
 
and
agreeing
 
to
 
sell
 
in
 
the
 
future)
 
it
 
is
 
a
 
Reverse
 
repurchase
 
agreement
 
or
 
Reverse
 
repo.
 
‘Reputation
 
risk’
 
The
 
risk
 
that
 
an
 
action,
 
transaction,
 
investment
 
or
 
event
 
will
 
reduce
 
trust
 
in
 
the
 
Barclays
 
Bank
 
Group’s
 
integrity
and
 
competence
 
by
 
clients,
 
counterparties,
 
investors,
 
regulators,
 
employees
 
or
 
the
 
public.
‘Re
 
-securitisations’
 
The
 
repackaging
 
of
 
Securitised
 
Products
 
into
 
securities.
 
The
 
resulting
 
securities
 
are
 
therefore
 
securitisation
positions
 
where
 
the
 
underlying
 
assets
 
are
 
also
 
predominantly
 
securitisation
 
positions.
 
‘Reserve
 
Capital
 
Instruments
 
(RCIs)’
 
Hybrid
 
issued
 
capit
 
al
 
securities
 
which
 
may
 
be
 
debt
 
or
 
equity
 
accounted,
 
depending
 
on
 
the
terms.
 
‘Residential
 
Mortgage
 
-Backed
 
Securities
 
(RMBS)’
 
Securities
 
that
 
represent
 
interests
 
in
 
a
 
group
 
of
 
residential
 
mortgages.
 
Investors
 
in
these
 
securities
 
have
 
the
 
right
 
to
 
cash
 
received
 
from
 
future
 
mortgage
 
payments
 
(interest
 
and/or
 
principal).
 
‘Residual
 
maturity’
The
 
remaining
 
contractual
 
term
 
of
 
a
 
credit
 
obligation
 
associated
 
with
 
a
 
credit
 
exposure.
‘Restructured
 
loans’
 
Comprises
 
loans
 
where,
 
for
 
economic
 
or
 
legal
 
reasons
 
related
 
to
 
the
 
debtor’s
 
financial
 
difficulties,
 
a
 
concession
has
 
been
 
granted
 
to
 
the
 
debtor
 
that
 
would
 
not
 
otherwise
 
be
 
considered.
 
Where
 
the
 
concession
 
results
 
in
 
the
 
expected
 
cash
 
flows
discounted
 
at
 
the
 
original
 
effective
 
interest
 
rate
 
being
 
less
 
than
 
the
 
loan’s
 
carrying
 
value,
 
an
 
impairment
 
allowance
 
will
 
be
 
raised.
 
‘Retail
 
Loans’
 
Loans
 
to
 
individuals
 
or
 
small
 
and
 
medium
 
sized
 
enterprises
 
rather
 
than
 
to
 
financial
 
institutions
 
and
 
larger
 
businesses.
It
 
includes
 
both
 
secured
 
and
 
unsecured
 
loans
 
such
 
as
 
mortgages
 
and
 
credit
 
card
 
balances,
 
as
 
well
 
as
 
loans
 
to
 
certain
 
smaller
business
 
customers,
 
typically
 
with
 
exposures
 
up
 
to
 
£3m
 
or
 
with
 
a
 
turnover
 
up
 
to
 
£5m.
 
‘Return
 
on
 
average
 
Risk
 
Weighted
 
Assets’
 
Stat
 
utory
 
profit
 
after
 
tax
 
as
 
a
 
proportion
 
of
 
average
 
RWAs.
 
‘Return
 
on
 
average
 
tangible
 
shareholders’
 
equity’
 
(RoTE)
 
Annualised
profit
 
after
 
tax
 
attributable
 
to
 
ordinary
 
equity
 
holders
 
of
 
the
parent,
 
as
 
a
 
proportion
 
of
 
average
 
shareholders’
 
equity
 
excluding
 
non-controlling
 
interests
 
and
 
other
 
equity
 
instruments
 
adjusted
for
 
the
 
deduction
 
of
 
intangible
 
assets
 
and
 
goodwill.
 
 
‘Return
 
on
 
average
 
allocated
 
tangible
 
equity’
 
Annualised
profit
 
after
 
tax
 
attributable
 
to
 
ordinary
 
equity
 
holders
 
of
 
the
 
parent,
 
as
 
a
proportion
 
of
 
average
 
allocated
 
tangible
 
equity.
‘Risk
 
appetite’
 
The
 
level
 
of
 
risk
 
that
 
Barclays
 
Bank
 
Group
 
is
 
prepared
 
to
 
accept
 
whilst
 
pursuing
 
its
 
business
 
strategy,
 
recognising
 
a
range
 
of
 
possible
 
outcomes
 
as
 
business
 
plans
 
are
 
implemented.
 
 
bbplch120p2i0.gif
Glossary
 
of
 
Terms
 
 
 
 
Barclays
 
Bank
 
PLC
 
64
 
 
‘Risk
 
weighted
 
assets
 
(RWAs)’
 
A
 
measure
 
of
 
a
 
bank’s
 
assets
 
adjusted
 
for
 
their
 
associated
 
risks.
 
Risk
 
weightings
 
are
 
established
 
in
accordance
 
with
 
the
 
Basel
 
rules
 
as
 
implemented
 
by
 
CRR
 
and
 
local
 
regulators.
‘Risks
 
not
 
in
 
VaR
 
(RNIVS)’
 
Refers
 
to
 
all
 
the
 
key
 
market
 
risks
 
which
 
are
 
not
 
captured
 
or
 
not
 
well
 
captured
 
within
 
the
 
VaR
 
model
framework.
‘Sarbanes-Oxley
 
requirements’
 
The
 
Sarbanes-Oxley
 
Act
 
2002
 
(SOX),
 
which
 
was
 
introduced
 
by
 
the
 
US
 
Government
 
to
 
safeguard
against
 
corporate
 
governance
 
scandals
 
such
 
as
 
Enron,
 
WorldCom
 
and
 
Tyco.
 
All
 
US-listed
 
companies
 
must
 
comply
 
with
 
SOX.
‘Second
 
Lien’
 
Debt
 
that
 
is
 
issued
 
against
 
the
 
same
 
collateral
 
as
 
higher
 
lien
 
debt
 
but
 
that
 
is
 
subordinate
 
to
 
it.
 
In
 
the
 
case
 
of
 
default,
compensation
 
for
 
this
 
debt
 
will
 
only
 
be
 
received
 
after
 
the
 
first
 
lien
 
has
 
been
 
repaid
 
and
 
thus
 
represents
 
a
 
riskier
 
investm
 
ent
 
than
the
 
first
 
lien.
 
‘Secondary
 
Stress
 
Tests’
 
Secondary
 
stress
 
tests
 
are
 
used
 
in
 
measuring
 
potential
 
losses
 
arising
 
from
 
illiquid
 
market
 
risks
 
that
 
cannot
be
 
hedged
 
or
 
reduced
 
within
 
the
 
time
 
period
 
covered
 
in
 
Primary
 
Stress
 
Tests.
‘Secured
 
Overnight
 
Financing
 
Rate
 
(SOFR)’
A
 
broad
 
measure
 
of
 
the
 
cost
 
of
 
borrowing
 
cash
 
overnight
 
collateralized
 
by
 
U.S.
 
Treasury
securities
 
in
 
the
 
repurchase
 
agreement
 
(repo)
 
market.
 
 
‘Securities
 
Financing
 
Transactions
 
(SFT)’
 
In
 
the
 
context
 
of
 
RWAs,
 
any
 
of
 
the
 
following
 
transactions:
 
a
 
repurchase
 
transaction,
 
a
securities
 
or
 
commodities
 
lending
 
or
 
borrowing
 
transaction,
 
or
 
a
 
margin
 
lending
 
transaction
 
whereby
 
cash
 
collateral
 
is
 
received
 
or
paid
 
in
 
respect
 
of
 
the
 
transfer
 
of
 
a
 
related
 
asset.
 
‘Securities
 
financing
 
transactions
 
adjustments’
 
In
 
the
 
context
 
of
 
leverage
 
ratio,
 
a
 
regulatory
 
add-
 
on
 
calculated
 
as
 
exposure
 
less
collateral,
 
taking
 
into
 
account
 
master
 
netting
 
agreements.
‘Securities
 
lending
 
arrangements’
 
Arrangements
 
whereby
 
securities
 
are
 
legally
 
transferred
 
to
 
a
 
third
 
party
 
subject
 
to
 
an
 
agreement
to
 
return
 
them
 
at
 
a
 
future
 
date.
 
The
 
counterparty
 
generally
 
provides
 
collateral
 
against
 
non
 
performance
 
in
 
the
 
form
 
of
 
cash
 
or
other
 
assets.
 
‘Securitisation’
 
Typically,
 
a
 
process
 
by
 
which
 
debt
 
instruments
 
such
 
as
 
mortgage
 
loans
 
or
 
credit
 
card
 
balances
 
are
 
aggregated
 
into
 
a
pool,
 
which
 
is
 
used
 
to
 
back
 
new
 
securities.
 
A
 
company
 
sells
 
assets
 
to
 
a
 
special
 
purpose
 
vehicle
 
(SPV)
 
which
 
then
 
issues
 
securities
backed
 
by
 
the
 
assets.
 
This
 
allows
 
the
 
credit
 
quality
 
of
 
the
 
assets
 
to
 
be
 
separated
 
from
 
the
 
credit
 
rating
 
of
 
the
 
original
 
borrower
 
and
transfers
 
risk
 
to
 
external
 
investors.
 
‘Set-off
 
clauses’
 
In
 
the
 
context
 
of
 
Counterparty
 
credit
 
risk,
 
contract
 
clauses
 
that
 
allow
 
Barclays
 
Bank
 
Group
 
to
 
set
 
off
 
amounts
 
owed
to
 
us
 
by
 
a
 
counterparty
 
against
 
amounts
 
owed
 
by
 
us
 
to
 
the
 
counterparty.
‘Settlement
 
balances’
 
Are
 
receivables
 
or
 
payables
 
recorded
 
between
 
the
 
date
 
(the
 
trade
 
date)
 
a
 
financial
 
instrument
 
(such
 
as
 
a
bond)
 
is
 
sold,
 
purchased
 
or
 
otherwise
 
closed
 
out,
 
and
 
the
 
date
 
the
 
asset
 
is
 
delivered
 
by
 
or
 
to
 
the
 
entity
 
(the
 
settlement
 
date)
 
and
cash
 
is
 
received
 
or
 
paid.
‘Settlement
 
risk’
 
The
 
risk
 
that
 
settlement
 
in
 
a
 
transfer
 
system
 
will
 
not
 
take
 
place
 
as
 
expected,
 
usually
 
owing
 
to
 
a
 
party
 
defaulting
 
on
one
 
or
 
more
 
settlement
 
obligations.
‘Significant
 
Increase
 
in
 
Credit
 
Risk
 
(SICR)’
 
Barclays
 
Bank
 
Group
 
assesses
 
when
 
a
 
significant
 
increase
 
in
 
credit
 
risk
 
has
 
occurred
 
based
on
 
quantitative
 
and
 
qualitative
 
assessments.
‘Slotting’
 
Slotting
 
is
 
a
 
Basel
 
2
 
approach
 
that
 
requires
 
a
 
standard
 
set
 
of
 
rules
 
to
 
be
 
used
 
in
 
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
 
BIPRU
 
4.5.
‘Sovereign
 
exposure(s)’
 
Exposures
 
to
 
central
 
governments,
 
including
 
holdings
 
in
 
government
 
bonds
 
and
 
local
 
government
 
bonds.
 
‘Specific
 
market
 
risk’
 
A
 
risk
 
that
 
is
 
due
 
to
 
the
 
individual
 
nature
 
of
 
an
 
asset
 
and
 
can
 
potentially
 
be
 
diversified
 
or
 
the
 
risk
 
of
 
a
 
price
change
 
in
 
an
 
investment
 
due
 
to
 
factors
 
related
 
to
 
the
 
issuer
 
or,
 
in
 
the
 
case
 
of
 
a
 
derivative,
 
the
 
issuer
 
of
 
the
 
underlying
 
investment.
‘Spread
 
risk’
 
Measures
 
the
 
impact
 
of
 
changes
 
to
 
the
 
swap
 
spread,
 
i.e.
 
the
 
difference
 
between
 
swap
 
rates
 
and
 
government
 
bond
yields.
 
 
 
bbplch120p2i0.gif
Glossary
 
of
 
Terms
 
 
 
 
Barclays
 
Bank
 
PLC
 
65
 
 
‘SRB
 
ALRB’
 
The
 
systemic
 
risk
 
buffer
 
(SRB)
 
additional
 
leverage
 
ratio
 
buffer
 
(ALRB)
 
is
 
firm
 
specific
 
requirement
 
set
 
by
 
the
 
PRA
 
using
 
its
powers
 
under
 
section
 
55M
 
of
 
the
 
Financial
 
Services
 
and
 
Markets
 
Act
 
(2000).
 
Barclays
 
Bank
 
PLC
 
is
 
required
 
to
 
hold
 
an
 
amount
 
of
CET1
 
capital
 
that
 
is
 
equal
 
to
 
or
 
greater
 
than
 
its
 
ALRB.
 
‘Stage
 
1’
 
This
 
represents
 
financial
 
instruments
 
where
 
the
 
credit
 
risk
 
of
 
the
 
financial
 
instrument
 
has
 
not
 
increased
 
significantly
 
since
initial
 
recognition.
 
Stage
 
1
 
financial
 
instruments
 
are
 
required
 
to
 
recognise
 
a
 
12
 
month
 
expected
 
credit
 
loss
 
allowance.
‘Stage
 
2’
 
This
 
represents
 
financial
 
instruments
 
where
 
the
 
credit
 
risk
 
of
 
the
 
financial
 
instrument
 
has
 
increased
 
significantly
 
since
initial
 
recognition.
 
Stage
 
2
 
financial
 
instruments
 
are
 
re
 
quired
 
to
 
recognise
 
a
 
lifetime
 
expected
 
credit
 
loss
 
allowance.
‘Stage
 
3’
 
This
 
represents
 
financial
 
instruments
 
where
 
the
 
financial
 
instrument
 
is
 
considered
 
impaired.
 
Stage
 
3
 
financial
 
instruments
are
 
required
 
to
 
recognise
 
a
 
lifetime
 
expected
 
credit
 
loss
 
allowance.
‘Standard
 
&
 
Poor’s’
 
A
 
credit
 
rating
 
agency.
 
‘Standby
 
facilities,
 
credit
 
lines
 
and
 
other
 
commitments’
 
Agreements
 
to
 
lend
 
to
 
a
 
customer
 
in
 
the
 
future,
 
subject
 
to
 
certain
conditions.
 
Such
 
commitments
 
are
 
either
 
made
 
for
 
a
 
fixed
 
period,
 
or
 
have
 
no
 
specific
 
maturity
 
but
 
are
 
cancellable
 
by
 
the
 
lender
subject
 
to
 
notice
 
requirements.
 
‘Statutory’
 
Line
 
items
 
of
 
income,
 
expense,
 
profit
 
or
 
loss,
 
assets,
 
liabilities
 
or
 
equity
 
stated
 
in
 
accordance
 
with
 
the
 
requirements
 
of
the
 
UK
 
Companies
 
Act
 
2006
 
and
 
the
 
requirements
 
of
 
International
 
Financial
 
Reporting
 
Standards
 
(IFRS).
‘Statutory
 
return
 
on
 
average
 
shareholders’
 
equity’
 
Statutory
 
profit
 
after
 
tax
 
attributable
 
to
 
ordinary
 
shareholders
 
as
 
a
 
proportion
 
of
average
 
shareholders’
 
equity.
 
‘STD’
 
/
 
‘Standardised
 
Approach’
 
A
 
method
 
of
 
calculating
 
RWAs
 
that
 
relies
 
on
 
a
 
mandatory
 
framework
 
set
 
by
 
the
 
regulator
 
to
 
derive
risk
 
weights
 
based
 
on
 
counterparty
 
type
 
and
 
a
 
credit
 
rating
 
provided
 
by
 
an
 
External
 
Credit
 
Assessment
 
Institute.
 
‘Sterling
 
Over
 
Night
 
Index
 
Average
 
(SONIA)’
 
Reflects
 
bank
 
and
 
building
 
societies’
 
wholesale
 
overnight
 
funding
 
rates
 
in
 
the
 
sterling
unsecured
 
market
 
administrated
 
and
 
calculated
 
by
 
the
 
Bank
 
of
 
England.
‘Stress
 
Testing’
 
A
 
process
 
which
 
involves
 
identifying
 
possible
 
future
 
adverse
 
events
 
or
 
changes
 
in
 
economic
 
conditions
 
that
 
could
have
 
unfavourable
 
effects
 
on
 
the
 
Barclays
 
Bank
 
Group
 
(either
 
financial
 
or
 
non-financial),
 
assessing
 
the
 
Barclays
 
Bank
 
Group’s
 
ability
to
 
withstand
 
such
 
changes,
 
and
 
identifying
 
management
 
actions
 
to
 
mitigate
 
the
 
impact.
 
‘Stressed
 
Value
 
at
 
Risk
 
(SVaR)’
An
 
estimate
 
of
 
the
 
potential
 
loss
 
arising
 
from
 
a
 
12-month
 
period
 
of
 
significant
 
financial
 
stress
calibrated
 
to
 
99%
 
confidence
 
level
 
over
 
a
 
10-day
 
holding
 
period.
‘Structured
 
entity’
 
An
 
entity
 
in
 
which
 
voting
 
or
 
similar
 
rights
 
are
 
not
 
the
 
dominant
 
factor
 
in
 
deciding
 
control.
 
Structured
 
entities
 
are
generally
 
created
 
to
 
achieve
 
a
 
narrow
 
and
 
well
 
defined
 
objective
 
with
 
restrictions
 
around
 
their
 
ongoing
 
activities.
‘Structural
 
hedge’
 
/
 
‘hedging’
 
An
 
interest
 
rate
 
hedge
 
in
 
place
 
to
 
reduce
 
earnings
 
volatility
 
and
 
to
 
smoothen
 
the
 
income
 
over
 
a
medium/long
 
term
 
on
 
positions
 
that
 
exist
 
within
 
the
 
balance
 
sheet
 
and
 
do
 
not
 
re-
 
price
 
in
 
line
 
with
 
market
 
rates.
 
See
 
also
 
‘Equity
structural
 
hedge’
 
and
 
‘Product
 
structural
 
hedge’.
 
‘Structural
 
model
 
of
 
default’
A
 
model
 
based
 
on
 
the
 
assumption
 
that
 
an
 
obligor
 
will
 
default
 
when
 
its
 
assets
 
are
 
insufficient
 
to
 
cover
its
 
liabilities.
‘Structured
 
credit’
 
Includes
 
legacy
 
structured
 
credit
 
portfolio
 
primarily
 
comprising
 
derivative
 
exposure
 
and
 
financing
 
exposure
 
to
structured
 
credit
 
vehicles.
‘Structured
 
finance/notes’
 
A
 
structured
 
note
 
is
 
an
 
investment
 
tool
 
that
 
pays
 
a
 
return
 
linked
 
to
 
the
 
value
 
or
 
level
 
of
 
a
 
specified
 
asset
or
 
index
 
and
 
sometimes
 
offers
 
capital
 
protection
 
if
 
the
 
value
 
declines.
 
Structured
 
notes
 
can
 
be
 
linked
 
to
 
equities,
 
interest
 
rates,
funds,
 
commodities
 
and
 
foreign
 
currency.
‘Sub-prime’
 
Sub-
 
prime
 
is
 
defined
 
as
 
loans
 
to
 
borrowers
 
typically
 
having
 
weakened
 
credit
 
histories
 
that
 
include
 
payment
delinquencies
 
and
 
potentia
 
lly
 
more
 
severe
 
problems
 
such
 
as
 
court
 
judgments
 
and
 
bankruptcies.
 
They
 
may
 
also
 
display
 
reduced
repayment
 
capacity
 
as
 
measured
 
by
 
credit
 
scores,
 
high
 
debt-to
 
-income
 
ratios,
 
or
 
other
 
criteria
 
indicating
 
heightened
 
risk
 
of
 
default.
 
 
bbplch120p2i0.gif
Glossary
 
of
 
Terms
 
 
 
 
Barclays
 
Bank
 
PLC
 
66
 
 
‘Subordinated
 
liabilities’
 
Liabilities
 
which,
 
in
 
the
 
event
 
of
 
insolvency
 
or
 
liquidation
 
of
 
the
 
issuer,
 
are
 
subordinated
 
to
 
the
 
claims
 
of
depositors
 
and
 
other
 
creditors
 
of
 
the
 
issuer.
 
‘Supranational
 
bonds’
 
Bonds
 
issued
 
by
 
an
 
international
 
organisation,
 
where
 
membership
 
transcends
 
national
 
boundaries
 
(e.g.
 
the
European
 
Union
 
or
 
World
 
Trade
 
Organisation).
‘Synthetic
 
Securitisation
 
Transactions’
 
Securitisation
 
transactions
 
effected
 
through
 
the
 
use
 
of
 
derivatives.
‘Systemic
 
Risk
 
Buffer’
 
CET1
 
capital
 
that
 
may
 
be
 
required
 
to
 
be
 
held
 
as
 
part
 
of
 
the
 
Combined
 
Buffer
 
Requirement
 
increasing
 
the
capacity
 
of
 
UK
 
banks
 
to
 
absorb
 
stress
 
and
 
limiting
 
the
 
damage
 
to
 
the
 
economy
 
as
 
a
 
result
 
of
 
restricted
 
lending.
‘Tangible
 
net
 
asset
 
value
 
(TNAV)’
 
Shareholders’
 
equity
 
excluding
 
non-controllin
 
g
 
interests
 
adjusted
 
for
 
the
 
deduction
 
of
 
intangible
assets
 
and
 
goodwill.
 
‘Tangible
 
net
 
asset
 
value
 
per
 
share’
 
Calculated
 
by
 
dividing
 
shareholders’
 
equity,
 
excluding
 
non-controlling
 
interests
 
and
 
other
equity
 
instruments,
 
less
 
goodwill
 
and
 
intangible
 
assets,
 
by
 
the
 
number
 
of
 
issued
 
ordinary
 
shares.
 
‘Tangible
 
shareholders’
 
equity’
 
Shareholders’
 
equity
 
excluding
 
non-controlling
 
interests
 
and
 
other
 
equity
 
instruments
 
adjusted
 
for
the
 
deduction
 
of
 
intangible
 
assets
 
and
 
goodwill.
 
‘Term
 
premium’
 
Additional
 
interest
 
required
 
by
 
investors
 
to
 
hold
 
assets
 
with
 
a
 
longer
 
period
 
to
 
maturity.
 
‘The
 
Fundamental
 
Review
 
of
 
the
 
Trading
 
Book
 
(FRTB)’
 
Is
 
a
 
comprehensive
 
suite
 
of
 
capital
 
rules
 
developed
 
by
 
the
 
Basel
 
Committee
on
 
Banking
 
Supervision
 
as
 
part
 
of
 
Basel
 
III
 
applicable
 
to
 
banks’
 
wholesale
 
trading
 
activities.
‘The
 
Standardised
 
Approach
 
(TSA)’
Under
 
the
 
TSA,
 
banks
 
are
 
required
 
to
 
hold
 
regulatory
 
capital
 
for
 
operational
 
risk
 
equal
 
to
 
the
annual
 
average,
 
calculated
 
over
 
a
 
rolling
 
three-year
 
period,
 
of
 
the
 
relevant
 
income
 
indicator
 
(across
 
all
 
business
 
lines),
 
multiplied
 
by
a
 
supervisory
 
defined
 
percentage
 
factor
 
by
 
business
 
lines.
 
‘The
 
three
 
lines
 
of
 
defence’
The
 
three
 
lines
 
of
 
defence
 
operating
 
model
 
enables
 
Barclays
 
Bank
 
Group
 
to
 
separate
 
risk
 
management
activities
 
between
 
those
 
client
 
facing
 
areas
 
of
 
the
 
Barclays
 
Bank
 
Group
 
and
 
associated
 
support
 
functions
 
responsible
 
for
 
identifying
risk,
 
operating
 
within
 
applicable
 
limits
 
and
 
escalating
 
risk
 
events
 
(first
 
line);
 
colleagues
 
in
 
Risk
 
and
 
Compliance
 
who
 
establish
 
the
limits,
 
rules
 
and
 
constraints
 
under
 
which
 
the
 
first
 
line
 
operates
 
and
 
monitors
 
their
 
performance
 
against
 
those
 
limits
 
and
 
constraints
(second
 
line);
 
and,
 
colleagues
 
in
 
Internal
 
Audit
 
who
 
provide
 
assurance
 
to
 
the
 
Board
 
and
 
Executive
 
Management
 
over
 
the
effectiveness
 
of
 
governance,
 
risk
 
management
 
and
 
control
 
over
 
risks
 
(third
 
line).
 
The
 
Legal
 
function
 
does
 
not
 
sit
 
in
 
any
 
of
 
the
 
three
lines,
 
but
 
supports
 
them
 
all.
 
The
 
Legal
 
function
 
is,
 
however,
 
subject
 
to
 
oversight
 
from
 
Risk
 
and
 
Compliance
 
with
 
respect
 
to
operational
 
and
 
conduct
 
risks.
‘Tier
 
1
 
capital’
 
The
 
sum
 
of
 
the
 
Common
 
Equity
 
Tier
 
1
 
capital
 
and
 
Additional
 
Tier
 
1
 
capital.
 
‘Tier
 
1
 
capital
 
ratio’
 
The
 
ratio
 
which
 
expresses
 
Tier
 
1
 
capital
 
as
 
a
 
percentage
 
of
 
RWAs
 
under
 
CRR.
 
‘Tier
 
2
 
(T2)
 
capita
l’
 
A
 
type
 
of
 
capital
 
as
 
defined
 
in
 
the
 
CRR
 
principally
 
composed
 
of
 
capital
 
instruments,
 
subordinated
 
loans
 
and
share
 
premium
 
accounts
 
where
 
qualifying
 
conditions
 
have
 
been
 
met.
‘Tier
 
2
 
(T2)
 
securities’
 
Securities
 
that
 
are
 
treated
 
as
 
Tier
 
2
 
(T2)
 
capital
 
in
 
the
 
context
 
of
 
CRR.
 
‘Total
 
capital
 
ratio’
Total
 
Regulatory
 
capital
 
as
 
a
 
percentage
 
of
 
RWAs.
‘Total
 
Loss
 
Absorbing
 
Capacity
 
(TLAC)’
 
A
 
standard
 
published
 
by
 
the
 
FSB
 
which
 
is
 
applicable
 
to
 
G-SIBs
 
and
 
requires
 
a
 
G-SIB
 
to
 
hold
 
a
prescriptive
 
minimum
 
level
 
of
 
instruments
 
and
 
liabilities
 
that
 
should
 
be
 
readily
 
available
 
for
 
bail-in
 
within
 
resolution
 
to
 
absorb
losses
 
and
 
recapitalise
 
the
 
institution.
‘Total
 
outstanding
 
balance’
In
 
retail
 
banking,
 
total
 
outstanding
 
balance
 
is
 
defined
 
as
 
the
 
gross
 
month-end
 
customer
 
balances
 
on
 
all
accounts
 
including
 
accounts
 
charged
 
off
 
to
 
recoveries.
 
‘Total
 
return
 
swap’
 
An
 
instrument
 
whereby
 
the
 
seller
 
of
 
pro
 
tection
 
receives
 
the
 
full
 
return
 
of
 
the
 
asset,
 
including
 
both
 
the
 
income
and
 
change
 
in
 
the
 
capital
 
value
 
of
 
the
 
asset.
 
The
 
buyer
 
of
 
the
 
protection
 
in
 
return
 
receives
 
a
 
predetermined
 
amount.
 
 
bbplch120p2i0.gif
Glossary
 
of
 
Terms
 
 
 
 
Barclays
 
Bank
 
PLC
 
67
 
 
‘Total
 
balances
 
on
 
forbearance
 
programmes
 
coverage
 
ratio’
 
Impairment
 
allowance
 
held
 
against
 
Forbearance
 
balances
 
expressed
 
as
a
 
percentage
 
of
 
balance
 
in
 
forbearance.
‘Traded
 
Market
 
Risk’
The
 
risk
 
of
 
a
 
reduction
 
to
 
earnings
 
or
 
capital
 
due
 
to
 
volatility
 
of
 
trading
 
book
 
positions.
 
‘Trading
 
book’
All
 
positions
 
in
 
financial
 
instruments
 
and
 
commodities
 
held
 
by
 
an
 
institution
 
either
 
with
 
trading
 
intent,
 
or
 
in
 
order
 
to
hedge
 
positions
 
held
 
with
 
trading
 
intent.
‘Traditional
 
Securitisation
 
Transactions’
 
Securitisation
 
transactions
 
in
 
which
 
an
 
underlying
 
pool
 
of
 
assets
 
generates
 
cash
 
flows
 
to
service
 
payments
 
to
 
investors.
‘Transitional’
 
When
 
a
 
measure
 
is
 
presented
 
or
 
described
 
as
 
being
 
on
 
a
 
transitional
 
basis,
 
it
 
is
 
calculated
 
in
 
accordance
 
with
 
the
transitional
 
provisions
 
set
 
out
 
in
 
Part
 
Ten
 
of
 
CRR.
‘Treasury
 
and
 
Capital
 
Risk’
 
This
 
comprises
 
of
 
Liquidity
 
Risk,
 
Capital
 
Risk
 
and
 
Interest
 
Rate
 
Risk
 
in
 
the
 
Banking
 
Book.
‘Twelve
 
month
 
expected
 
credit
 
losses’
 
The
 
portion
 
of
 
the
 
lifetime
 
ECL
 
arising
 
if
 
default
 
occurs
 
within
 
12
 
months
 
of
 
the
 
reporting
date
 
(or
 
shorter
 
period
 
if
 
the
 
expected
 
life
 
is
 
less
 
than
 
12
 
months),
 
weighted
 
by
 
the
 
probability
 
of
 
said
 
default
 
occurring.
‘Twelve
 
month
 
PD’
 
The
 
likelihood
 
of
 
accounts
 
entering
 
default
 
within
 
12
 
months
 
of
 
the
 
reporting
 
date.
‘Unencumbered’
 
Assets
 
not
 
used
 
to
 
secure
 
liabilities
 
or
 
otherwise
 
pledged.
 
‘United
 
Kingdom
 
(UK)’
 
Geographic
 
segment
 
where
 
Barclays
 
Bank
 
Group
 
operates
 
comprising
 
the
 
UK.
 
Also
 
see
 
‘Europe’.
 
‘UK
 
Bank
 
levy’
 
A
 
levy
 
that
 
applies
 
to
 
UK
 
banks,
 
building
 
societies
 
and
 
the
 
UK
 
operations
 
of
 
foreign
 
banks.
 
The
 
levy
 
is
 
payable
 
based
on
 
a
 
percentage
 
of
 
the
 
chargeable
 
equity
 
and
 
liabilities
 
of
 
the
 
bank
 
on
 
its
 
balance
 
sheet
 
date.
 
‘UK
 
leverage
 
exposure’
Is
 
calculated
 
as
 
per
 
the
 
PRA
 
rulebook,
 
where
 
the
 
exposure
 
calculation
 
also
 
includes
 
the
 
FPC’s
recommendation
 
to
 
allow
 
banks
 
to
 
exclude
 
claims
 
on
 
the
 
central
 
bank
 
from
 
the
 
calculation
 
of
 
the
 
leverage
 
exposure
 
measure,
 
as
long
 
as
 
these
 
are
 
matched
 
by
 
deposits
 
denominated
 
in
 
the
 
same
 
currency
 
and
 
of
 
identical
 
or
 
longer
 
maturity.
‘UK
 
levera
 
ge
 
ratio’
As
 
per
 
the
 
PRA
 
rulebook,
 
means
 
a
 
bank’s
 
tier
 
1
 
capital
 
divided
 
by
 
its
 
total
 
exposure
 
measure,
 
with
 
this
 
ratio
expressed
 
as
 
a
 
percentage.
‘Unfunded
 
credit
 
protection’
 
Is
 
a
 
technique
 
of
 
credit
 
risk
 
mitigation
 
where
 
the
 
reduction
 
of
 
the
 
credit
 
risk
 
on
 
the
 
exposure
 
of
 
an
institution
 
derives
 
from
 
the
 
obligation
 
of
 
a
 
third
 
party
 
to
 
pay
 
an
 
amount
 
in
 
the
 
event
 
of
 
the
 
default
 
of
 
the
 
borrower
 
or
 
the
occurrence
 
of
 
other
 
specified
 
credit
 
events.
‘US
 
Partner
 
Portfolio’
 
Co-branded
 
credit
 
card
 
programs
 
with
 
comp
 
anies
 
across
 
various
 
sectors
 
including
 
travel,
 
entertainment,
retail
 
and
 
financial
 
sectors.
 
‘US
 
Residential
 
Mortgages’
 
Securities
 
that
 
represent
 
interests
 
in
 
a
 
group
 
of
 
US
 
residential
 
mortgages.
 
‘Valuation
 
weighted
 
Loan
 
to
 
Value
 
(LTV)
 
Ratio’
 
In
 
the
 
contex
 
t
 
of
 
credit
 
risk
 
disclosures
 
on
 
secured
 
home
 
loans,
 
a
 
means
 
of
calculating
 
marked
 
to
 
market
 
LTVs
 
derived
 
by
 
comparing
 
total
 
outstanding
 
balance
 
and
 
the
 
value
 
of
 
total
 
collateral
 
we
 
hold
 
against
these
 
balances.
 
Valuation
 
weighted
 
loan
 
to
 
value
 
is
 
calculated
 
using
 
the
 
following
 
formula:
 
LTV
 
=
 
total
 
outstandings
 
in
portfolio/total
 
property
 
values
 
of
 
total
 
outstandings
 
in
 
portfolio.
‘Value
 
at
 
Risk
 
(VaR)’
 
A
 
measure
 
of
 
the
 
potential
 
loss
 
of
 
value
 
arising
 
from
 
unfavourable
 
market
 
movements
 
at
 
a
 
specific
 
confidence
level
 
and
 
within
 
a
 
specific
 
timeframe.
‘Weighted
 
off
 
balance
 
sheet
 
commitments’
 
Regulatory
 
add-ons
 
to
 
the
 
leverage
 
exposure
 
measure
 
based
 
on
 
credit
 
conversion
factors
 
used
 
in
 
the
 
Standardised
 
Approach
 
to
 
credit
 
risk.
‘Wholesale
 
loans’
 
/
 
‘lending’
 
Lending
 
to
 
larger
 
businesses,
 
financial
 
institutions
 
and
 
sovereign
 
entities.
 
 
 
bbplch120p2i0.gif
Glossary
 
of
 
Terms
 
 
 
 
Barclays
 
Bank
 
PLC
 
68
 
 
‘Write
 
-off
 
(gross)’
 
The
 
point
 
where
 
it
 
is
 
determined
 
that
 
an
 
asset
 
is
 
irrecov
 
erable,
 
or
 
it
 
is
 
no
 
longer
 
considered
 
economically
 
viable
to
 
try
 
to
 
recover
 
the
 
asset
 
or
 
it
 
is
 
deemed
 
immaterial
 
or
 
full
 
and
 
final
 
settlement
 
is
 
reached
 
and
 
the
 
shortfall
 
written
 
off.
 
In
 
the
event
 
of
 
write-off,
 
the
 
customer
 
balance
 
is
 
removed
 
from
 
the
 
balance
 
sheet
 
and
 
the
 
impairment
 
allowance
 
held
 
against
 
the
 
asset
 
is
released.
 
Net
 
write-offs
 
represent
 
gross
 
write-offs
 
less
 
post
 
write
 
-
 
off
 
recoveries.
 
‘Wrong
 
-way
 
risk’
Arises,
 
in
 
a
 
trading
 
exposure,
 
when
 
there
 
is
 
significant
 
correlation
 
between
 
the
 
underlying
 
asset
 
and
 
the
counterparty,
 
which
 
in
 
the
 
event
 
of
 
default
 
would
 
lead
 
to
 
a
 
significant
 
mark
 
to
 
market
 
loss.
 
When
 
assessing
 
the
 
credit
 
exposure
 
of
 
a
wrong
 
-way
 
trade,
 
analysts
 
take
 
into
 
account
 
the
 
correlation
 
between
 
the
 
counterparty
 
and
 
the
 
underlying
 
asset
 
as
 
part
 
of
 
the
sanctioning
 
process.