UNITED
STATES
SECURITIES
AND
EXCHANGE
COMMISSION
WASHINGTON,
DC
20549
FORM
20-F
(Mark
One)
☐
OR
☑
For
the
fiscal
year
ended
December
31,
2020
OR
☐
For
the
transition
period
from
to
OR
☐
Date
of
event
requiring
this
shell
company
report
Commission
file
number
Barclays
Bank
PLC
1-10257
BARCLAYS
BANK
PLC
ENGLAND
(Jurisdiction
of
Incorporation
or
Organization)
1
CHURCHILL
PLACE,
LONDON
E14
5HP,
ENGLAND
(Address
of
Principal
Executive
Offices)
GARTH
WRIGHT,
+44
(0)20
7116
3170,
GARTH.WRIGHT@BARCLAYS.COM
1
CHURCHILL
PLACE,
LONDON
E14
5HP,
ENGLAND
(Name,
Telephone,
E-mail
and/or
Facsimile
number
and
Address
of
Company
Contact
Person)
As
a
wholly-owned
subsidiary
of
Barclays
PLC,
which
is
a
reporting
company
under
the
Securities
Exchange
Act
of
1934,
Barclays
Bank
PLC
meets
the
conditions
set
forth
in
General
Instruction
I(1)(a)
and
(b)
of
Form
10-K,
as
applied
to
annual
reports
on
Form
20-F,
and
is
therefore
filing
this
Form
20-F
with
a
reduced
disclosure
format.
Securities
registered
or
to
be
registered
pursuant
to
Section
12(b)
of
the
Act:
Title
of
Each
Class
Trading
Symbol(s)
Name
of
Each
Exchange
On
Which
Registered
1.700%
Fixed
Rate
Senior
Notes
due
2022
BCS22A
New
York
Stock
Exchange
iPath
®
SM
DJP
NYSE
Arca
iPath
®
SM
JJA
NYSE
Arca
iPath
®
SM
JJU
NYSE
Arca
iPath
®
SM
NIB
NYSE
Arca
iPath
®
SM
JO
NYSE
Arca
iPath
®
SM
JJC
NYSE
Arca
iPath
®
SM
BAL
NYSE
Arca
iPath
®
SM
JJE
NYSE
Arca
iPath
®
SM
JJG
NYSE
Arca
iPath
®
SM
JJM
NYSE
Arca
iPath
®
SM
LD
NYSE
Arca
iPath
®
SM
COW
NYSE
Arca
iPath
®
SM
JJN
NYSE
Arca
iPath
®
SM
PGM
NYSE
Arca
iPath
®
SM
JJP
NYSE
Arca
iPath
®
SM
JJS
NYSE
Arca
iPath
®
SM
SGG
NYSE
Arca
iPath
®
SM
JJT
NYSE
Arca
iPath
®
SM
GAZ
NYSE
Arca
iPath
®
®
GSP
NYSE
Arca
iPath
®
BCM
NYSE
Arca
iPath
®
OLEM
NYSE
Arca
iPath
®
GRN
NYSE
Arca
Pacer
®
®
GBUG
NYSE
Arca
iPath
®
SBUG
NYSE
Arca
Barclays
ETN+
Shiller
CAPE
TM
CAPE
NYSE
Arca
iPath
®
TM
VXX
CBOE
BZX
Exchange
iPath
®
TM
VXZ
CBOE
BZX
Exchange
iPath
®
IMLP
CBOE
BZX
Exchange
iPath
®
XVZ
CBOE
BZX
Exchange
Barclays
ETN+
Select
MLP
ETN
ATMP
CBOE
BZX
Exchange
Barclays
Women
in
Leadership
ETN
WIL
CBOE
BZX
Exchange
Barclays
Return
on
Disability
ETN
RODI
CBOE
BZX
Exchange
iPath
®
DFVL
CBOE
BZX
Exchange
iPath
®
DFVS
CBOE
BZX
Exchange
Securities
registered
or
to
be
registered
pursuant
to
Section
12(g)
of
the
Act:
None
Securities
for
which
there
is
a
reporting
obligation
pursuant
to
Section
15(d)
of
the
Act:
None
Indicate
the
number
of
outstanding
shares
of
each
of
the
issuer’s
classes
of
capital
or
common
stock
as
of
the
close
of
the
period
covered
by
the
annual
report.
£1
ordinary
shares
2,342,558,515
£1
preference
shares
1,000
€100
preference
shares
31,856
$100
preference
shares
58,133
Indicate
by
check
mark
if
the
registrant
is
a
well-known
seasoned
issuer,
as
defined
in
Rule
405
of
the
Securities
Act.
Yes
☑
☐
If
this
report
is
an
annual
or
transition
report,
indicate
by
check
mark
if
the
registrant
is
not
required
to
file
reports
pursuant
to
Section
13
or
15(d)
of
the
Securities
Exchange
Act
1934.
Yes
☐
☑
Note
–
Checking
the
box
above
will
not
relieve
any
registrant
required
to
file
reports
pursuant
to
Section
13
or
15(d)
of
the
Securities
Exchange
Act
of
1934
from
their
obligations
under
those
Sections.
Indicate
by
check
mark
whether
the
registrant
(1)
has
filed
all
reports
required
to
be
filed
by
Section
13
or
15(d)
of
the
Securities
Exchange
Act
of
1934
during
the
preceding
12
months
(or
for
such
shorter
period
that
the
registrant
was
required
to
file
such
reports),
and
(2)
has
been
subject
to
such
filing
requirements
for
the
past
90
days.
Yes
☑
☐
Indicate
by
check
mark
whether
the
registrant
has
submitted
electronically
every
Interactive
Data
File
required
to
be
submitted
pursuant
to
Rule
405
of
Regulation
S-T
(§
232.405
of
this
chapter)
during
the
preceding
12
months
(or
for
such
shorter
period
that
the
registrant
was
required
to
submit
such
files).
Yes
☑
☐
Indicate
by
check
mark
whether
the
registrant
is
a
large
accelerated
filer,
an
accelerated
filer,
a
non-accelerated
filer,
or
an
emerging
growth
company.
See
definition
of
“large
accelerated
filer”,
“accelerated
filer”
and
“emerging
growth
company”
in
Rule
12b-2
of
the
Exchange
Act:
Large
Accelerated
Filer
☐
Accelerated
Filer
☐
Non-Accelerated
Filer
☑
Emerging
growth
company
☐
If
an
emerging
growth
company
that
prepares
its
financial
statements
in
accordance
with
U.S.
GAAP,
indicate
by
check
mark
if
the
registrant
has
elected
not
to
use
the
extended
transition
period
for
complying
with
any
new
or
revised
financial
accounting
standards†
provided
pursuant
to
Section
13(a)
of
the
Exchange
Act.
☐
†
The
term
“new
or
revised
financial
accounting
standard”
refers
to
any
update
issued
by
the
Financial
Accounting
Standards
Board
to
its
Accounting
Standards
Codification
after
April
5,
2012.
Indicate
by
check
mark
whether
the
registrant
has
filed
a
report
on
and
attestation
to
its
management’s
assessment
of
the
effectiveness
of
its
internal
control
over
financial
reporting
under
Section
404(b)
of
the
Sarbanes-Oxley
Act
(15
U.S.C.
7262(b))
by
the
registered
public
accounting
firm
that
prepared
or
issued
its
audit
report.
☐
*Indicate
by
check
mark
which
basis
of
accounting
the
registrant
has
used
to
prepare
the
financial
statements
included
in
this
filing:
U.S.
GAAP
☐
International
Financial
Reporting
Standards
as
issued
by
the
International
Accounting
Standards
Board
☑
Other
☐
*If
“Other”
has
been
checked
in
response
to
the
previous
question,
indicate
by
check
mark
which
financial
statement
item
the
registrant
has
elected
to
follow:
Item
17
☐
Item
18
☐
If
this
is
an
annual
report,
indicate
by
check
mark
whether
the
registrant
is
a
shell
company
(as
defined
in
Rule
12b-2
of
the
Exchange
Act).
Yes
☐
☑
(APPLICABLE
ONLY
TO
ISSUERS
INVOLVED
IN
BANKRUPTCY
PROCEEDINGS
DURING
THE
PAST
FIVE
YEARS)
Indicate
by
check
mark
whether
the
registrant
has
filed
all
documents
and
reports
required
to
be
filed
by
Section
12,
13
or
15(d)
of
the
Securities
Exchange
Act
of
1934
subsequent
to
the
distribution
of
securities
under
a
plan
confirmed
by
a
court.
Yes
☐
☐
SEC
Form
20-F
Cross
reference
information
Form
20-F
item
number
Page
and
caption
references
in
this
document*
1
Identity
of
Directors,
Senior
Management
and
Advisers
Not
applicable
2
Offer
Statistics
and
Expected
Timetable
Not
applicable
3
Key
Information
A.
Selected
financial
data
Omitted
B.
Capitalization
and
indebtedness
Not
applicable
C.
Reason
for
the
offer
and
use
of
proceeds
Not
applicable
D.
Risk
factors
24-38
4
Information
on
the
Company
A.
History
and
development
of
the
company
Omitted
B.
Business
overview
i
(Market
and
other
data),
94-99,
116
-117
(Note
2),
208
C.
Organizational
structure
181-185
(Notes
32
and
33),
205-207
D.
Property,
plants
and
equipment
153-156
(Note
20)
4A
Unresolved
staff
comments
Not
applicable
5
Operating
and
Financial
Review
and
Prospects
A.
Operating
results
27-38,
41-45,
85,
90-99,
131-139
(Note
13),
208
B.
Liquidity
and
capital
resources
Omitted
C.
Research
and
development,
patents
and
licenses,
etc.
Omitted
D.
Trend
information
27-38,
208
E.
Off
-balance
sheet
arrangements
Omitted
F.
Tabular
disclosure
of
contractual
obligations
Omitted
G.
Safe
harbor
i
(Forward-looking
statements)
6
Directors,
Senior
Management
and
Employees
A.
Directors
and
senior
management
Omitted
B.
Compensation
Omitted
C.
Board
practices
6-12
D.
Employees
Omitted
E.
Share
ownership
Omitted
7
Major
Shareholders
and
Related
Party
Transactions
A.
Major
shareholders
Omitted
B.
Related
party
transactions
C.
Interests
of
experts
and
counsel
Omitted
Not
applicable
8
Financial
Information
A.
Consolidated
statements
and
other
financial
information
101-196
B.
Significant
changes
Not
applicable
9
The
Offer
and
Listing
A.
Offer
and
listing
details
Not
applicable
B.
Plan
of
distribution
Not
applicable
C.
Markets
Not
applicable
D.
Selling
shareholders
Not
applicable
E.
Dilution
Not
applicable
F.
Expenses
of
the
issue
Not
applicable
10
Additional
Information
A.
Share
capital
Not
applicable
B.
Memorandum
and
Articles
of
Association
197-199
C.
Material
contracts
Not
applicable
D.
Exchange
controls
203
E.
Taxation
200-203
F.
Dividends
and
paying
assets
Not
applicable
G.
Statement
by
experts
Not
applicable
H.
Documents
on
display
203
I.
Subsidiary
information
181-182
(Note
32),
205-207
11
Quantitative
and
Qualitative
Disclosure
about
Market
Risk
21-99,
131-151
(Notes
13-16)
12
Description
of
Securities
Other
than
Equity
Securities
A.
Debt
Securities
Not
applicable
B.
Warrants
and
Rights
Not
applicable
C.
Other
Securities
Not
applicable
D.
American
Depositary
Shares
Not
applicable
13
Defaults,
Dividends
Arrearages
and
Delinquencies
Not
applicable
14
Material
Modifications
to
the
Rights
of
Security
Holders
and
Use
of
Proceeds
Not
applicable
15
Controls
and
Procedures
A.
Disclosure
controls
and
procedures
203
B.
Management’s
annual
report
on
internal
control
over
financial
reporting
13
C.
Attestation
report
of
the
registered
public
accounting
firm
Not
applicable
D.
Changes
in
internal
control
over
financial
reporting
14
16A
Audit
Committee
Financial
Expert
Omitted
16B
Code
of
Ethics
Omitted
16C
Principal
Accountant
Fees
and
Services
17,
192
(Note
39)
16D
Exemptions
from
the
Listing
Standards
for
Audit
Committees
Not
applicable
16E
Purchases
of
Equity
Securities
by
the
Issuer
and
Affiliated
Purchasers
15
16F
Change
in
Registrant’s
Certifying
Accountant
Not
applicable
16G
Corporate
Governance
3-14
17
Financial
Statements
Not
applicable
(See
Item
8)
18
Financial
Statements
Not
applicable
(See
Item
8)
19
Exhibits
Exhibit
Index
*
Certain
items
are
indicated
as
omitted
as
Barclays
Bank
PLC
is
a
wholly
owned
subsidiary
of
Barclays
PLC,
which
is
a
reporting
company
under
the
Securities
Exchange
Act
of
1934,
and
meets
the
conditions
set
forth
in
General
Instruction
I(1)(a)
and
(b)
of
Form
10-K,
as
applied
to
annual
reports
on
Form
20-F,
and
is
therefore
filing
this
Form
20-F
with
a
reduced
disclosure
format.
Notes
The
term
Barclays
Bank
Group
refers
to
Barclays
Bank
PLC
together
with
its
subsidiaries.
Unless
otherwise
stated,
the
income
statement
analysis
compares
the
year
ended
31
December
2020
to
the
corresponding
twelve
months
of
2019
and
balance
sheet
analysis
as
at
31
December
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.
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
forward-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’,
‘expect’,
‘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,
capital
distributions
(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.
Forward-looking
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,
the
Group's
ability
along
with
government
and
other
stakeholders
to
manage
and
mitigate
the
impacts
of
climate
change
effectively,
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
(EU),
the
effects
of
the
EU-UK
Trade
and
Cooperation
Agreement
and
the
disruption
that
may
subsequently
result
in
the
UK
and
globally;
the
risk
of
cyber-attacks,
information
or
security
breaches
or
technology
failures
on
the
Group's
business
or
operations;
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,
capital
distributions,
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.
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.
Market
and
other
data
This
document
contains
information,
including
statistical
data,
about
certain
Barclays
markets
and
its
competitive
position.
Except
as
otherwise
indicated,
this
information
is
taken
or
derived
from
Datastream
and
other
external
sources.
Barclays
cannot
guarantee
the
accuracy
of
information
taken
from
external
sources,
or
that,
in
respect
of
internal
estimates,
a
third
party
using
different
methods
would
obtain
the
same
estimates
as
Barclays.
Uses
of
Internet
addresses
This
document
contains
inactive
textual
addresses
to
internet
websites
operated
by
us
and
third
parties.
Reference
to
such
websites
is
made
for
information
purposes
only,
and
information
found
at
such
websites
is
not
incorporated
by
reference
into
this
document.
Governance
Contents
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
1
Our
corporate
governance
processes
and
the
role
they
play
in
supporting
the
delivery
of
our
strategy.
Governance
Page
◾
2
◾
3
◾
15
◾
19
Governance
Chairman’s
introduction
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
2
The
2020
corporate
governance
report
(Governance
Report)
for
Barclays
Bank
PLC
(BBPLC
or
the
Company)
provides
an
overview
of
how
the
BBPLC
governance
framework
operates
and
of
the
Board’s
key
areas
of
focus
during
the
year.
Strategy
and
performance
Barclays
Bank
PLC
is
the
non
ring-fenced
bank
within
the
Barclays
Group
(Barclays
PLC
together
with
its
subsidiaries).
The
Barclays
Bank
Group
(Barclays
Bank
PLC
together
with
its
subsidiaries)
contains
the
majority
of
the
Barclays
Group’s
Barclays
International
division,
which
is
comprised
of
the
CIB
and
CC&P
businesses.
The
Board
of
BBPLC
comprises
a
subset
of
the
BPLC
Board,
with
all
members
of
the
BPLC
board,
except
the
Senior
Independent
Director,
the
Chairman
of
Barclays
Bank
UK
PLC
and
one
other
Non-Executive
Director,
serving
on
the
Board
of
BBPLC.
During
a
challenging
year
due
to
the
COVID-19
pandemic,
the
businesses
in
our
CIB
have
seen
heightened
activity
from
our
clients
and
customers
during
2020,
with
our
Markets
business
in
particular
benefitting
from
increased
trading
volumes
and
wider
margins.
At
the
same
time,
our
CC&P
businesses
have
faced
challenges
as
a
result
of
the
economic
shock
and
long-term
low
interest
rate
environment.
Looking
ahead,
across
our
CIB
we
will
remain
focused
on
maintaining
our
client-centric
approach
and,
in
doing
so,
developing
opportunities
to
grow
our
business
and
increase
returns.
Within
our
CC&P
businesses,
we
intend
to
accelerate
our
strategy
to
invest
in
and
build
world-class
technology
and
digital
capabilities.
The
Board
I
am
very
grateful
for
the
support
and
hard
work
of
all
my
Board
colleagues
during
2020,
not
least
for
the
additional
commitment
required
of
each
of
them
in
order
to
oversee
our
response
to
the
COVID-19
pandemic.
During
the
course
of
the
year,
scheduled
Board
meetings
were
supplemented
by
additional
Board
meetings
(including
a
number
scheduled
at
short
notice)
in
order
to
discuss
key
issues
arising
throughout
the
pandemic.
We
were
fortunate
to
welcome
Mohamed
El-Erian
to
the
Board
in
January
2020
who
brought
with
him
a
wealth
of
valuable
insight
and
experience,
relevant
to
the
markets
and
geographies
in
which
we
operate.
Matthew
Lester
stepped
down
from
the
Board
on
1
January
2020
and
Mary
Anne
Citrino
stepped
down
from
the
Board
on
30
September
2020
and
I
would
like
to
extend
my
personal
thanks
and
those
of
the
Board
to
Matthew
and
Mary
Anne
for
their
service
to
the
Company.
The
future
With
positive
progress
being
made
on
the
rollout
of
COVID-19
vaccines,
there
is
cause
for
optimism.
Whilst
undoubtedly
the
ongoing
pandemic
will
continue
to
weaken
the
global
economy
for
some
time
to
come
and
impact
our
businesses,
I
believe
that
we
are
well
placed
to
respond
to
any
challenges
that
lie
ahead.
My
thanks
to
all
those
with
whom
we
have
worked
alongside
this
year
-
our
clients,
customers,
regulators
and
governments.
But
let
me
finish
by
thanking,
most
wholeheartedly,
all
our
colleagues
around
the
globe
who
have
responded
so
magnificently
to
the
challenges
we
have
faced.
Nigel
Higgins
Chairman
–
Barclays
Bank
Group
17
February
2021
Governance
Corporate
Governance
Statement
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
3
Introduction
Following
the
structural
reform
programme
to
realign
the
Barclays
Group
and
ring-fence
the
Barclays
Group's
UK
consumer
banking
business
in
April
2018,
and
a
further
review
(post
structural
reform
programme)
of
the
corporate
governance
structure
of
BBPLC
and
Barclays
PLC
(Barclays
or
BPLC)
(reflecting
outcomes
of
discussions
with
the
Barclays
Group's
regulators)
in
2019,
the
membership
of
the
BBPLC
and
BPLC
boards
was
consolidated,
such
that
membership
of
the
BBPLC
Board
now
comprises
a
subset
of
the
BPLC
Board,
with
all
members
of
the
BPLC
board,
except
the
Senior
Independent
Director,
the
Chairman
of
BBUKPLC
and
one
other
Non-Executive
Director,
also
serving
on
the
board
of
BBPLC.
This
has
helped
improve
coordination
and
efficiency
between
the
two
boards
and
reduced
complexity
and
unnecessary
duplication.
This
structure
vests
oversight
over
the
activities
of
BBPLC
in
a
board
the
members
of
which
also
have
direct
accountability
to
BPLC’s
shareholders
through
their
separate
responsibilities
as
members
of
the
BPLC
board.
The
Board
aspires
to
have
high
standards
of
corporate
governance
and,
in
accordance
with
the
Companies
(Miscellaneous
Reporting)
Regulations
2018
(the
2018
Regulations),
has
adopted
its
own
corporate
governance
arrangements,
which
it
believes
are
appropriate
to
apply
and
are
designed
to
ensure
effective
decision-
making
to
promote
the
Company’s
success
for
the
long
term.
The
Board
chose
not
to
adopt
and
report
against
the
2018
UK
Corporate
Governance
Code,
which
is
designed
for
premium
listed
companies
and,
whilst
fully
supportive
of
the
Wates
Corporate
Governance
Principles
for
Large
Private
Companies
(in
particular
the
focus
on
purpose,
culture
and
employee
and
stakeholder
engagement),
the
Board
considers
that
those
Principles
are
less
appropriate
for
a
wholly-owned
subsidiary
of
a
premium
listed
company,
which
is
also
a
complex
financial
institution
subject
to
a
comprehensive
regulatory
regime.
This
approach
is
consistent
with
the
approach
of
other
significant
subsidiaries
within
the
Barclays
Group,
which
are
subject
to
the
2018
Regulations.
The
Board’s
primary
aim
is
that
its
governance
arrangements:
●
●
●
●
Set
out
below
are
the
principles
which
underpin
our
corporate
governance
arrangements
and
how
these
principles
have
been
applied
during
2020.
Our
Group-wide
governance
framework
is
set
by
Barclays
and
has
been
designed
to
facilitate
the
effective
management
of
the
Barclays
Group.
This
includes
the
setting
of
Barclays
Bank
Group
policies
and
approach
in
relation
to
matters
such
as
Barclays’
purpose
and
values,
Barclays’
Remuneration
Policy
and
the
Barclays’
Charter
of
Expectations.
Where
appropriate,
this
corporate
governance
statement
makes
reference
to
those
Group
policies,
which
are
relevant
to
the
way
in
which
the
Company
is
governed.
The
Company’s
corporate
governance
principles
and
how
the
Company
has
applied
them
during
2020
and
to
the
date
of
this
report
Principle
One:
Board
leadership
and
company
purpose
A
successful
company
is
led
by
an
effective
and
entrepreneurial
board,
whose
role
is
to
establish
the
company’s
purpose,
values
and
strategy,
aligned
to
its
culture
and
make
decisions
to
promote
its
success
for
the
long
term
benefit
of
its
shareholder,
having
regard
to
the
interests
of
other
relevant
stakeholders
and
factors.
◾
strategy
and
culture
of
the
organisation.
This
is
embedded
at
every
level
of
management.
◾
particular,
embedding
it
in
our
response
to
the
pandemic.
We
want
to
reinforce
that
clarity
and
conviction
about
our
purpose
and
our
values,
and
stay
true
to
that
way
of
thinking
about
how
we
take
action
at
pace.
Accordingly,
during
2020,
the
Board
adopted
a
new,
extended
narrative
of
the
Barclays
Group’s
purpose
and
the
refreshed
descriptions
of
our
values
to
make
sure
they
are
still
relevant
for
the
challenges
ahead.
◾
Culture
remains
a
core
area
of
focus
for
the
Board
and
is
reviewed
in
a
number
of
ways.
The
Board
supports
The
Barclays
Way
which
sets
the
framework
for
achieving
a
dynamic
and
positive
culture.
◾
environment
brings
a
significant
degree
of
uncertainty.
This
has
far-reaching
impacts
across
our
business
and
raised
significant
matters
for
consideration
by
the
Board
in
the
context
of
the
Board’s
responsibility
for
the
Company’s
long-term
sustainable
success.
To
clearly
establish
and
implement
the
Company’s
strategy,
and
be
effective,
with
management,
in
addressing
the
challenges
arising
from
the
pandemic,
the
Board
has
continued
to
deepen
its
understanding
of
our
business
and
the
risks
and
opportunities
it
faces.
◾
considering
longer-term
and
strategic
issues
and
the
Company’s
operational
resilience,
with
strategy
considered
at
every
Board
meeting.
Deep
dive
topics
were
informed
by
discussions
with
our
shareholder
and
other
stakeholders,
as
well
as
formal
and
informal
Board
discussions.
In
response
to
the
growing
pandemic,
during
2020
our
deep
dives
programme
was
kept
under
review
to
give
time
to
the
discussion
of
new
topics
flowing
directly
from
the
COVID-19
pandemic.
◾
the
Company’s
strategy
on
page
7
'What
The
Board
did
in
2020'
available
at
home.barclays/annualreport.
Principle
Two:
Division
of
responsibilities
Governance
Corporate
Governance
Statement
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
4
An
effective
board
requires
a
clear
division
of
responsibilities
with
the
Chair
leading
the
board
and
being
responsible
for
its
overall
effectiveness,
and
the
executive
leadership
of
the
company’s
business
being
delegated
to
the
Chief
Executive
Officer.
The
board
should
consist
of
an
appropriate
combination
of
executive
and
independent
non-executive
directors,
each
with
a
clear
understanding
of
their
accountability
and
responsibilities.
The
board’s
policies
and
procedures
should
support
effective
decision-making
and
independent
challenge.
◾
6
of
this
report.
Page
6
sets
out
details
of
who
is
on
the
Board
with
a
majority
of
the
Board
comprised
of
independent
Non-Executive
Directors.
◾
Expectations,
setting
out
clearly
the
role
and
responsibilities
of
each
Director.
The
Chairman
meets
privately
with
the
Non-Executive
Directors
when
appropriate,
to
promote
required
independence.
◾
matters
delegated
to
them
by
the
Board.
Detail
on
the
principal
Committees
and
their
core
responsibilities
and
activities
in
2020
is
set
out
on
pages
8
to
14
of
this
report.
◾
responsibilities.
See
page
6
for
further
details.
◾
Boards
and
Board
committees
should
interact,
while
also
providing
guidance
and
clarity
for
management
and
directors
as
to
how
these
relationships
and
processes
should
work
in
practice.
It
is
a
dynamic
document
that
continues
to
evolve
with
the
changing
nature
of
the
Barclays
Group.
Principle
Three:
Composition,
succession
and
evaluation
A
board
with
the
right
balance
of
skills,
experience
and
diversity
is
critical
to
the
sustainable
delivery
of
value
to
the
company’s
shareholder
and
broader
stakeholders.
The
size
of
the
board
should
be
guided
by
the
scale
and
complexity
of
the
company
and
appointments
should
be
based
on
merit
and
objective
criteria,
with
a
view
to
promoting
diversity
and
subject
to
a
formal,
rigorous
and
transparent
procedure,
which
is
underpinned
by
an
effective
succession
plan
for
board
and
senior
management.
A
successful
board
is
a
cohesive
board
that
provides
informed
and
constructive
challenge
to
the
management
team
and
measures
its
effectiveness.
◾
between
Executive
and
independent
Non-Executive
Directors,
with
the
Non-Executive
Directors
providing
independent
challenge.
The
Board
members
have
a
strong
combination
of
technical,
finance
(including
significant
financial
services
experience)
and
commercial
skills
and
have
broader
experience
in
culture
and
colleague
engagement.
◾
◾
of
diversity
(of
gender,
social
and
ethnic
backgrounds,
cognitive
and
personal
strengths)
for
an
effective
Board
and
organisation.
This
will
remain
a
key
area
of
focus
as
the
Company
continues
to
strive
to
build
a
workforce
that
reflects
the
diversity
of
its
customers
and
the
communities
it
serves.
◾
succession
pipeline
at
the
Board,
Executive
and
key
management
level.
This
remains
a
key
focus
to
maintain
the
quality
of
leadership
that
is
in
place
to
lead
the
business
in
the
delivery
of
the
strategy,
against
a
challenging
economic
and
operating
environment.
◾
report.
◾
Committee
on
pages
8
to
14
of
this
report.
◾
the
business,
contributing
to
informed
and
sound
decision-making.
Further
detail
on
'training
and
induction'
can
be
found
on
page
14
of
this
report.
◾
explaining
Barclays’
Diversity
&
Inclusion
strategy
and
progress
during
2020.
Principle
Four:
Audit,
Risk
and
Internal
Control
A
board
should
establish
formal
and
transparent
policies
and
procedures
to
(i)
identify
the
nature
and
extent
of
principal
risks
the
company
is
willing
to
take
in
order
to
achieve
its
long-term
strategic
objectives;
(ii)
manage
such
risks
effectively;
(iii)
oversee
the
internal
control
framework;
(iv)
promote
the
independence
and
effectiveness
of
internal
and
external
audit
functions;
and
(v)
satisfy
itself
on
the
integrity
of
financial
reporting.
◾
oversight
by
the
Risk
Committee
and
the
Board.
A
key
component
of
the
risk
management
framework
is
the
ERMF,
which
supports
the
business
in
its
aim
to
embed
effective
risk
management
and
a
strong
risk
management
culture.
The
ERMF
is
designed
to
identify
and
set
Governance
Corporate
Governance
Statement
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
5
minimum
requirements,
in
respect
of
the
m
ain
risks,
to
achieve
the
Company’s
strategic
objectives
and
to
provide
reasonable
assurance
that
internal
controls
are
effective.
Further
detail
on
the
principal
risks
and
management
of
them
can
be
found
on
pages
39
to
45.
◾
parameters
set
by
the
BPLC
Risk
Committee.
Significant
steps
have
been
taken
in
recent
years
to
de-risk
the
business,
to
support
sustainable
growth
and
value
creation
in
the
future.
◾
current
and
potential
future
risk
exposures)
and
the
Audit
Committee
(responsible
for
controls,
including
reviewing
audit
reports,
internal
controls
and
risk
management
systems).
Please
see
pages
8
to
11
for
further
detail
on
the
role
of
these
Committees.
◾
(including
independence
and
effectiveness).
Further
detail
can
be
found
on
pages
8
to
9
of
this
report.
Principle
Five:
Remuneration
The
remuneration
policies
and
practices
should
support
strategy
and
promote
long-term
sustainable
success,
and
be
developed
in
accordance
with
formal
and
transparent
procedures,
ensuring
no
director
is
involved
in
deciding
their
own
remuneration
outcome.
Executive
remuneration
should
be
aligned
to
the
company’s
purpose
and
values
and
the
successful
delivery
of
the
strategy;
with
outcomes
taking
account
of
company
and
individual
performance,
and
wider
circumstances
such
as
pay
across
the
Company’s
workforce
and
Barclays’
Fair
Pay
agenda.
◾
Committee.
Remuneration
is
aligned
to
the
Company’s
strategy
and
risk
management
approach
and
designed
to
promote
the
long-term
success
of
the
Company.
◾
Director
is
involved
in
deciding
their
own
remuneration
outcome)
and
having
regard
to
workforce
remuneration
policies
and
alignment
of
incentives
and
rewards
with
culture
and
performance
as
reviewed
annually
by
the
BPLC
Remuneration
Committee
and
shared
with
the
Company’s
Remuneration
Committee.
◾
framework
to
ensure
an
appropriate
level
of
oversight
of
senior
remuneration
decisions,
as
well
as
annual
consideration
of
the
Company
incentive
pool
to
ensure
alignment
with
delivery
of
the
Company’s
strategic
ambitions.
◾
Government’s
Gender
Pay
Gap
reporting
portal
before
the
end
of
February
2021,
along
with
the
voluntary
disclosure
of
Barclays’
Ethnicity
Pay
Gap
in
the
UK.
For
2020,
Barclays
will
also
publish
a
Fair
Pay
report
summarising
its
approach
to
pay
fairness.
Principle
Six:
Stakeholder
relationships
and
engagement
Directors
should
foster
effective
stakeholder
relationships
aligned
to
the
company’s
purpose.
The
board
should
recognise
the
importance
of
listening
to,
and
understanding
the
views
of
its
stakeholders,
including
the
workforce,
and
specifically
the
impact
of
the
company’s
behaviour
and
business
on
customers
and
clients,
colleagues,
suppliers,
communities
and
society
more
broadly;
having
regard
to
these
views
and
impact
when
taking
decisions.
◾
◾
clients,
colleagues,
suppliers,
communities
and
society
more
broadly.
◾
◾
most
valued
asset.
Governance
Corporate
Governance
Statement
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
6
The
Board
The
Directors
who
served
during
the
period
ended
31
December
2020
are
set
out
in
the
table
below,
together
with
the
composition
of
each
of
the
Board’s
Committees.
Matthew
Lester
resigned
on
1
January
2020
and
is
not
reflected
in
the
table
below.
Board
Audit
Committee
Risk
Committee
Remuneration
Committee
Nominations
Committee
Nigel
Higgins
Chair
of
the
Board
C
C
Mike
Ashely
Independent
Non-Executive
Director
M
C
M
M
Tim
Breedon
Independent
Non-Executive
Director
M
M
C
C
M
Mary
Anne
Citrino*
Independent
Non-Executive
Director
M
M
Mohamed
El-Erian
Independent
Non-Executive
Director
M
M+
Dawn
Fitzpatrick
Independent
Non-Executive
Director
M
M
Mary
Francis
Independent
Non-Executive
Director
M
M
Diane
Schueneman
Independent
Non-Executive
Director
M
M
M
M
Jes
Staley
Chief
Executive
Officer
M
Tushar
Morzaria
M
C
M
Member
of
Board
or
Committee
*
Resigned
30
September
2020
+
Mohamed
El-Erian
joined
the
Risk
Committee
with
effect
from
1
July
2020
The
Board
Executive
and
Non-Executive
Directors
share
the
same
duties
and
are
subject
to
the
same
constraints.
However,
a
clear
division
of
responsibilities
has
been
established.
The
Chairman
is
responsible
for
leading
the
Board
and
its
overall
effectiveness,
demonstrating
objective
judgement
and
promoting
a
culture
of
openness
and
constructive
debate
between
all
Directors.
The
Chairman
facilitates
the
effective
contribution
of
all
Non-Executive
Directors
and
ensures
Directors
receive
accurate,
clear
and
timely
information.
It
is
the
Board’s
responsibility
to
ensure
that
management
deliver
on
short-term
objectives,
whilst
promoting
the
long-term
success
of
the
Company
and
the
Barclays
Group.
The
Board
is
also
responsible
for
ensuring
that
management
maintains
an
effective
system
of
internal
control
which
should
provide
assurance
of
effective
and
efficient
operations,
internal
financial
controls
and
compliance
with
law
and
regulation.
In
meeting
this
responsibility,
the
Board
considers
what
is
appropriate
for
the
Company’s
business
and
reputation,
the
materiality
of
financial
and
other
risks
and
the
relevant
costs
and
benefits
of
implementing
controls.
The
Board
is
responsible
for
the
Barclays
Bank
Group,
which
contains
the
majority
of
the
Barclays
Group’s
Barclays
International
division,
which
is
comprised
of
the
CIB
and
CC&P
businesses.
The
BBPLC
Schedule
of
Matters
Reserved
to
the
Board
ensures
that
appropriate
coordination
with
the
governance
of
the
consolidated
boards
is
in
place.
The
Schedule
of
Matters
Reserved
specifies
those
decisions
to
be
taken
by
the
Board,
including
but
not
limited
to
material
decisions
relating
to
strategy,
risk
appetite,
medium
term
plans,
capital
and
liquidity
plans,
risk
management
and
controls
frameworks,
approval
of
financial
statements,
approval
of
large
transactions,
approval
of
share
allotments
and
dividends.
The
Board
has
delegated
the
responsibility
for
making
and
implementing
operational
decisions
and
running
the
Company’s
business
on
a
day-to-day
basis
to
the
Chief
Executive
Officer
and
his
senior
management
team.
The
current
Board
comprises
a
Chairman,
who
was
independent
on
appointment,
two
Executive
Directors
and
six
independent
Non-Executive
Directors.
The
majority
of
the
Board
are
independent
Non-Executive
Directors
bringing
significant
expertise
(including
external
perspectives)
and
independent
challenge.
The
independence
of
the
Non-Executive
Directors
is
considered
annually.
Governance
Corporate
Governance
Statement
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
7
Attendance
Directors
are
expected
to
attend
every
Board
meeting.
During
2020
there
were
a
number
of
additional
Board
meetings
convened
(often
at
short
notice)
due
to
the
COVID-19
pandemic
in
addition
to
the
usual
schedule
of
Board
meetings.
Attendance
was
very
strong
at
both
scheduled
and
ad
hoc
meetings,
as
reflected
in
the
table
below:
Director
Scheduled
eligible
meetings
attendance
Additional
eligible
meetings
attendance
Appointment/Resignation
Dates
Nigel
Higgins
7/7
6/6
Appointed
1
March
2019
Mike
Ashley
7/7
6/6
Appointed
25
September
2019
Tim
Breedon
7/7
5/6
Appointed
25
September
2019
Mohamed
El-Erian
7/7
6/6
Appointed
1
January
2020
Mary
Francis
7/7
6/6
Appointed
25
September
2019
Dawn
Fitzpatrick
7/7
6/6
Appointed
25
September
2019
Tushar
Morzaria*
7/7
4/4
Appointed
7
February
2020
Diane
Schueneman
7/7
6/6
Appointed
25
September
2019
Jes
Staley
7/7
4/4
Appointed
26
March
2019
Mary
Anne
Citrino
5/7
5/6
Appointed
25
September
2019;
resigned
30
September
2020
*
Tushar
Morzaria
was
appointed
as
an
Executive
Director,
pending
regulatory
approval,
on
25
September
2019.
Regulatory
approval
was
given
on
7
February
2020,
the
date
on
which
his
formal
appointment
became
effective.
What
the
Board
did
in
2020
During
2020,
the
Board
focused
on
the
following
specific
areas:
Strategy
and
operational
matters
◾
range
of
stakeholder
interests
and
matters
key
to
reputation
and
considered
and
maintained
oversight
of
our
response
to
the
crisis.
◾
colleagues’
needs
during
the
pandemic).
◾
◾
strategy
and
business
performance,
operational
and
technology
matters.
The
Board
received
increased
reporting
on
operational
matters
in
particular,
during
the
height
of
the
pandemic.
◾
relevant
for
the
challenges
ahead.
Finance
and
liquidity
◾
BBPLC
Chief
Financial
Officer
and
through
business
specific
updates
to
the
Board.
◾
◾
◾
Governance
and
risk
(including
regulatory
issues)
◾
Capital
Adequacy
Assessment
Process
and
Internal
Liquidity
Adequacy
Assessment
Process.
◾
◾
Execution
Services
Limited,
the
Barclays
Group
service
company.
◾
creation
of
the
roles
of
Co-President
of
the
Company
to
ensure
our
Corporate
Bank,
Banking
and
Markets
businesses
work
more
closely
together.
Mr
Venkatakrishnan
was
appointed
as
Co-President
alongside
Mr
Compton.
The
Board
also
approved
changes
to
the
BBPLC
Executive
Committee,
and
the
appointment
of
a
new
BBPLC
Chief
Risk
Officer.
◾
page.
◾
◾
Board
Committees
The
main
Board
Committees
are
the
Audit
Committee,
the
Nominations
Committee,
the
Remuneration
Committee
and
the
Risk
Committee.
Pursuant
to
authority
granted
under
the
Company’s
Articles
of
Association,
each
Board
Committee
has
had
specific
responsibilities
delegated
to
it
by
the
Board.
You
can
read
about
what
each
of
the
Committees
did
during
2020
on
the
following
pages.
The
Chair
of
each
Board
Committee
provides
a
report
on
Committee
business
at
each
Board
meeting,
including
any
matters
being
recommended
by
the
Committee
for
Board
approval.
Governance
Corporate
Governance
Statement
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
8
Board
Audit
Committee
The
Audit
Committee
is
comprised
solely
of
independent
Non-Executive
Directors,
with
membership
of
the
Audit
Committee
aligned
with
the
BPLC
Audit
Committee
and
designed
to
provide
the
breadth
of
financial
expertise
and
commercial
acumen
it
needs
to
fulfil
its
responsibilities.
Its
members
as
a
whole
have
recent
and
relevant
experience
of
the
banking
and
financial
services
sector,
in
addition
to
general
management
and
commercial
experience,
and
are
financially
literate.
The
Audit
Committee
is
chaired
by
Mike
Ashley
who
has
over
20
years
accounting
and
audit
experience.
Diane
Schueneman
and
Tim
Breedon
are
members
of
the
Committee.
Audit
Committee
meetings
were
attended
by
representatives
from
Barclays
Group
and/or
BBPLC
management
in
respect
of
matters
relevant
to
their
function
or
business
area,
including
the
BBPLC
Chief
Financial
Officer,
Chief
Compliance
Officer,
Chief
Controls
Officer,
Chief
Operating
Officer,
Chief
Internal
Auditor,
and
General
Counsel,
as
appropriate,
and
the
Company’s
External
Auditors,
KPMG.
The
Audit
Committee
held
a
number
of
separate
private
sessions
with
each
of
the
Chief
Internal
Auditor
and
the
lead
audit
engagement
partner
of
the
external
auditor,
which
were
not
attended
by
management.
As
part
of
the
Company’s
commitment
to
effective
oversight
and
allocation
of
responsibilities
between
the
BPLC
Audit
Committee,
the
Barclays
Bank
UK
PLC
Audit
Committee
and
the
Committee,
Mike
Ashley
met
regularly
during
2020
with
the
Barclays
Bank
UK
PLC
Audit
Committee
Chair
to
share
relevant
information
and
to
ensure
embedment
of
information
flows
and
governance
practice.
In
addition,
regular
dialogue
has
been
held
with
the
Audit
Committee
Chairs
of
the
Company’s
major
subsidiaries,
Barclays
Bank
Ireland
PLC
and
Barclays
US
LLC.
Attendance
at
the
Audit
Committee
during
2020
was
as
follows:
Member
Appointment
Dates
Mike
Ashley
(Chairman)
10/10
Appointed
25
September
2019
Tim
Breedon
10/10
Appointed
25
September
2019
Diane
Schueneman
10/10
Appointed
25
September
2019
The
principal
role
and
responsibilities
of
the
Audit
Committee,
pursuant
to
its
Terms
of
Reference,
are:
◾
management
are
sound
◾
◾
◾
◾
◾
accounts.
During
2020,
the
principal
activities
of
the
Audit
Committee
included:
◾
IFRS9
and
in
particular
Expected
Credit
Loss
(ECL)
judgements
and
disclosures
from
an
IFRS
perspective
in
light
of
guidance
issued
by
regulators
as
part
of
their
response
to
the
COVID-19
pandemic
◾
appropriate.
As
part
of
its
monitoring,
the
Committee
considered
a
number
of
reports
from
management
(among
others)
on
the
economic
impact
of
the
COVID-19
pandemic,
and
the
continued
development
and
embedding
of
controls
over
internal
processes
supporting
the
ECL
calculation
and
related
assessment
of
US
Sarbanes
Oxley
Act
(SOx)
compliance
◾
◾
considering
the
adequacy
of
disclosures;
assessing
management’s
judgements
and
estimates
regarding
provisions
◾
◾
◾
including
the
Barclays
Group
Internal
Control
Enhancement
Programme
(which
was
substantially
concluded
in
March
2020);
monitored
and
evaluated
the
status
of
significant
control
issues
across
the
business
of
the
Barclays
Bank
Group
and
functions
through
regular
reports
from
the
Chief
Controls
Officer,
including
updates
on
progress
of
the
related
remediation
programmes
and
lessons
learned
from
critical
risk
events;
utilising
the
output
from
the
Risk
and
Control
Self
Assessments
to
review
and
monitor
the
control
environment
and
related
risks
◾
Group’s
whistleblowing
procedures
and
controls.
Monitoring
whistleblowing
metrics
and
instances
of
retaliation
reports,
including
whether
any
instances
had
been
substantiated
◾
audit
reports;
evaluating
reports
regarding
Barclays
Internal
Audit’s
assessment
of
the
management
control
approach
and
control
environment
in
the
Barclays
Bank
Group
◾
the
progress
of
the
2020
audit.
The
Audit
Committee
also
reviewed
audit
quality
and
discussed
KPMG’s
feedback
on
the
Company’s
critical
accounting
estimates
and
judgements.
An
internal
review
of
the
effectiveness
of
the
Audit
Committee
was
undertaken
in
respect
of
the
Committee’s
performance
in
2020.
The
results
confirm
that
the
Committee
is
operating
effectively.
It
is
considered
well-constituted
and
provides
an
effective
and
appropriately
broad
level
of
challenge
and
oversight
of
the
areas
within
its
remit.
Governance
Corporate
Governance
Statement
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
9
Following
the
consolidation
of
the
membership
of
the
Committee
with
the
BPLC
Board
Audit
Committee
in
September
2019,
coverage
of
BBPLC
within
concurrent
meetings
was
considered
adequate.
Board
Nominations
Committee
The
Nominations
Committee
is
comprised
solely
of
independent
Non-Executive
Directors.
The
Nominations
Committee
members
are
Nigel
Higgins,
as
Chairman
of
the
BBPLC
Board
along
with
Mike
Ashley,
Tim
Breedon
and
Diane
Schueneman.
In
addition
to
scheduled
meetings,
the
Nominations
Committee
also
held
a
number
of
additional
meetings
during
2020.
Attendance
by
the
Nominations
Committee
members
is
shown
in
the
table
below.
Nominations
Committee
meetings
were
attended
during
the
year
by
the
Chief
Executive
Officer,
the
BPLC
HR
Director
and
the
BBPLC
HR
Director,
as
appropriate.
Attendance
at
the
Nominations
Committee
during
2020
was
as
follows:
Member
Meetings
attended/eligible
to
attend
Appointment
Dates
Nigel
Higgins
(Chairman)
6/6
Appointed
1
March
2019
Mike
Ashley
6/6
Appointed
25
September
2019
Tim
Breedon
6/6
Appointed
25
September
2019
Diane
Schueneman
6/6
Appointed
25
September
2019
The
principal
role
and
responsibilities
of
the
Nominations
Committee,
pursuant
to
its
Terms
of
Reference,
are:
◾
◾
◾
◾
◾
◾
◾
◾
During
2020,
the
principal
activities
of
the
Committee
included:
◾
diversity
of
the
Directors,
and
identifying
any
desirable
skills
to
aid
the
Company
in
operating
and
competing
effectively
◾
remotely
in
order
to
comply
with
Government
guidelines
◾
Executive
Committee,
the
succession
planning
review
process
for
the
Executive
Committee
and
the
global
Barclays
Group
campaigns
to
promote
a
diverse
and
inclusive
workforce.
◾
racism
and
improve
opportunities
and
representation
for
ethnically
diverse
colleagues.
This
included
a
review
of
the
Race
at
Work
action
plan
focussed
on
opening
up
opportunities
to
attract,
develop
and
add
to
our
Black
talent,
which
was
implemented
during
the
year.
More
information
on
diversity
and
inclusion,
including
Barclays’
Global
Race
at
Work
agenda
and
latest
Ethnicity
data,
is
available
in
Barclays
Diversity
and
Inclusion
Report
published
on
18
February
2021
◾
Barclays
US
LLC,
Barclays
Bank
Delaware
and
Barclays
Capital
Securities
Limited
◾
◾
An
internal
review
of
the
effectiveness
of
the
Nominations
Committee
was
undertaken
in
respect
of
Committee
performance
in
2020.
The
results
confirm
that
the
Committee
is
operating
effectively.
This
year’s
review
highlights
that
the
Committee
continues
to
be
well
constituted
and
that
the
role
and
responsibilities
of
the
Committee
are
clear
and
well
understood.
The
Committee’s
interaction
with
the
Board,
Board
Committees
and
senior
management
is
considered
effective.
This
year’s
review
noted
that
the
Committee
continued
to
operate
effectively
in
the
context
of
the
COVID-19
pandemic.
The
review
noted
that
the
Committee
may
benefit
from
a
more
formalised
meeting
schedule.
Due
to
the
nature
of
the
Committee’s
roles
and
responsibilities
this
may
not
always
be
possible,
but
further
consideration
will
be
given
to
this
during
the
year.
Following
the
consolidation
of
the
membership
of
the
Committee
with
the
BPLC
Board
Nominations
Committee
in
September
2019,
coverage
of
BBPLC
within
concurrent
meetings
was
considered
effective.
Board
Remuneration
Committee
The
Remuneration
Committee
is
comprised
solely
of
independent
Non-Executive
Directors.
The
Remuneration
Committee
is
chaired
by
Tim
Breedon,
with
Mary
Francis
as
the
other
member.
The
principal
role
and
responsibilities
of
the
Remuneration
Committee,
pursuant
to
its
Terms
of
Reference,
are
to:
◾
Committee
◾
specified
individuals
as
determined
by
the
Remuneration
Committee
from
time
to
time
◾
Governance
Corporate
Governance
Statement
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
10
◾
In
addition
to
scheduled
meetings,
the
Remuneration
Committee
also
held
a
number
of
additional
meetings
during
2020.
Attendance
by
the
Remuneration
Committee
members
is
shown
in
the
table
below.
Remuneration
Committee
meetings
are
attended
by
management,
including
the
Chief
Executive
Officer
and
the
BPLC
HR
Director.
Attendance
at
the
Remuneration
Committee
during
2020
was
as
follows:
Member
Meetings
attended/eligible
to
attend
Appointment
Dates
Tim
Breedon
(Chairman)
6/6
Appointed
25
September
2019
Mary
Francis
6/6
Appointed
25
September
2019
During
2020,
the
principal
activities
of
the
Committee
included:
◾
Funding
Frameworks
◾
◾
◾
◾
◾
An
internal
review
of
the
effectiveness
of
the
Remuneration
Committee
was
undertaken
in
respect
of
Committee
performance
in
2020.
The
results
confirm
that
the
Committee
is
operating
effectively.
The
Committee
continues
to
provide
an
effective
level
of
challenge
and
oversight
of
the
areas
within
its
remit.
The
Committee’s
interaction
with
the
Board,
Board
Committees
and
senior
management
is
considered
effective,
with
continued
positive
engagement
and
dialogue
with
senior
management.
Following
the
consolidation
of
the
membership
of
the
Committee
with
the
BPLC
Board
Remuneration
Committee
in
September
2019,
coverage
of
BBPLC
matters
within
aligned
meetings
was
considered
adequate.
Board
Risk
Committee
The
Risk
Committee
is
comprised
solely
of
independent
Non-Executive
Directors
with
membership
of
the
Committee
broadly
aligned
with
the
BPLC
Risk
Committee.
The
Risk
Committee
is
chaired
by
Tim
Breedon.
Mike
Ashley,
Mohamed
El-Erian
(with
effect
from
1
July
2020),
Dawn
Fitzpatrick
and
Diane
Schueneman
are
the
other
members
of
the
Committee.
Mary
Anne
Citrino
was
a
member
of
the
Committee
until
she
stepped
down
from
the
Board
on
30
September
2020.
In
addition
to
scheduled
meetings,
the
Risk
Committee
also
held
a
number
of
additional
meetings
during
2020.
One
of
the
key
roles
of
the
Risk
Committee
is
to
review
and
challenge
the
risk
profile
and
risk
appetite
of
the
Barclays
Bank
Group
and
to
consider
key
risk
issues
and
internal
control
and
risk
policies
concerning
the
Barclays
Bank
Group.
Risk
Committee
meetings
are
attended
by
management,
including
the
Barclays
Group
Finance
Director
and
Barclays
Group
and/or
BBPLC
Chief
Risk
Officer,
Chief
Compliance
Officer,
Chief
Internal
Auditor,
General
Counsel,
as
appropriate,
and
the
Company’s
external
auditors,
KPMG.
Following
the
BPLC
and
BBPLC
consolidation,
the
Committee
continued
to
invite
the
relevant
BBPLC
Senior
management
to
attend
meetings
for
the
appropriate
agenda
items.
Attendance
at
the
Risk
Committee
during
2020
was
as
follows:
Member
Appointment/Resignation
Dates
Tim
Breedon
(Chairman)
12/12
Appointed
25
September
2019
Mike
Ashley
12/12
Appointed
25
September
2019
Mohamed
El-Erian
5/5
Appointed
1
July
2020
Dawn
Fitzpatrick
10/12
Appointed
1
January
2020
Diane
Schueneman
9/12
Appointed
25
September
2019
Mary
Anne
Citrino
7/9
Appointed
25
September
2019;
resigned
30
September
2020
The
principal
role
and
responsibilities
of
the
Risk
Committee,
pursuant
to
its
Terms
of
Reference,
are:
◾
matter
reserved
to
the
Board
◾
for
those
principal
risks
◾
◾
During
2020,
the
principal
activities
of
the
Risk
Committee
included:
◾
recommending
to
the
Board
for
approval
the
proposed
overall
risk
appetite
statement
and
risk
limits
for
the
Company.
The
Committee
continued,
periodically,
to
review
and
/or
approve
risk
appetite
and
risk
limits
throughout
the
year
◾
assumptions,
including
both
internal
stress
tests
and
a
climate
change
stress
test
in
the
context
of
consideration
of
the
MTP
and
risk
appetite
for
2021
Governance
Corporate
Governance
Statement
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
11
◾
◾
and
Review
following
submission
of
the
CCAR
stress
test
results
to
the
Federal
Reserve
Bank
(the
FRB).
The
FRB
also
required
US
banks,
including
Barclays
US
LLC,
to
resubmit
capital
plans
using
new
supervisory
and
internal
baseline
stress
scenarios,
which
were
reviewed
by
the
Committee
◾
into
account
potential
impacts
for
the
COVID-19
pandemic
and
other
macro-economic
factors
◾
approval
of
the
operational
risk
tolerance
statement.
The
Committee
focussed
particular
attention
on
the
financial
and
capital
implications
of
operational
risk
throughout
the
year,
including
in
light
of
the
COVID-19
pandemic
as
the
workforce
largely
switched
to
remote
working
◾
relation
to
managing
model
risk
◾
◾
requirements,
approving
the
Company’s
Internal
Capital
Adequacy
Assessment
Process
and
Individual
Liquidity
Adequacy
Assessment
Process,
including
reviewing
later
updates
to
reflect
the
impact
of
the
COVID-19
pandemic
◾
◾
◾
management
systems
made
in
the
Company’s
Strategic
Report,
Annual
Report,
and
BBPLC
elements
of
the
BPLC
Pillar
3
reporting.
The
Risk
Committee
continually
considers
the
impact
of
issues
on
the
Barclays
Bank
Group
and
the
risk
environment
in
which
it
operates.
It
reviews
steps
taken
by
the
business
to
manage
exposures
in
this
context.
The
Risk
Committee
also
received
focused
presentations
on
a
number
of
areas
specific
to
the
business
and
activities
of
Barclays
Bank
Group
(including
through
joint
presentations
with
the
BPLC
Risk
Committee),
including:
◾
prudential
and
financial
environment
and
their
impact
on
the
Company’s
risk
appetite
and
risk
profile.
This
included
responses
to
the
COVID
–
19
pandemic
and
management
actions
to
manage
its
impact
◾
Compliance
function
in
the
management
of
conduct
risk.
This
included
a
review
of
the
Compliance
functions
contribution
in
supporting
the
Company’s
response
to
the
COVID-19
pandemic
through
monitoring
areas
of
heightened
conduct
risk
and
overseeing
the
implementation
of
additional
controls,
particularly
in
the
context
of
ongoing
remediation
activities,
monitoring
working
from
home
arrangements
and
reprioritisation
of
risks
◾
◾
19
pandemic,
including
updates
on
risks
from
the
CIB.
An
internal
review
of
the
effectiveness
of
the
Risk
Committee
was
undertaken
in
respect
of
Committee
performance
in
2020.
The
results
of
the
review
were
positive
and
indicated
that
the
Committee
is
operating
effectively;
and
that
it
is
well
constituted
and
provides
an
effective
and
broad
level
of
challenge
and
oversight
of
the
areas
within
its
remit.
The
Committee
was
considered
to
be
both
challenging
and
influential,
providing
strong
support
to
the
new
Chief
Risk
Officer.
The
review
noted
that
the
Committee
has
a
broad
remit
having
taken
on
oversight
of
Conduct
and
Compliance
matters
in
2019
following
the
disbanding
of
the
Reputation
Committee
and
that
a
continued
focus
on
these
areas
was
considered
to
be
beneficial.
The
review
concluded
that
the
Committee’s
interaction
with
the
Board,
Board
Committees
and
senior
management
is
considered
effective.
Following
the
consolidation
of
the
membership
of
the
Committee
with
the
BPLC
Board
Risk
committee
in
September
2019,
coverage
of
BBPLC
matters
within
concurrent
meetings
was
considered
appropriate.
Leadership
Individual
roles
on
the
Board
and
their
responsibilities
are
set
out
in
the
Company’s
Charter
of
Expectations.
This
includes
role
profiles
and
the
behaviours
and
competencies
required
for
each
role
on
the
Board,
namely
the
Chair,
Non-Executive
Directors,
Executive
Directors
and
Committee
Chairs.
In
accordance
with
the
Charter
of
Expectations,
Non-Executive
Directors
provide
effective
oversight
and
scrutiny,
strategic
guidance
and
constructive
challenge
whilst
holding
the
Executive
Directors
to
account
against
their
agreed
performance
objectives.
A
copy
of
the
Charter
of
Expectations
can
be
found
at
home.barclays/who-we-are/ourgovernance/board-responsibilities.
Appointment
and
retirement
of
Directors
The
appointment
and
retirement
of
Directors
is
governed
by
the
Company’s
Articles
of
Association
(the
Articles),
the
Companies
Act
2006
(the
Act)
and
related
legislation.
The
Articles
may
be
amended
only
by
a
special
resolution
of
the
shareholders.
The
Board
has
the
power
to
appoint
additional
Directors
or
to
fill
a
casual
vacancy
amongst
the
Directors.
Any
such
Director
holds
office
only
until
the
next
Annual
General
Meeting
(AGM)
and
may
offer
himself/herself
for
re-election.
All
Directors
will
stand
for
election
or
re-election
at
the
2021
AGM.
All
appointments
to
the
Board
and
senior
management
are
viewed
through
a
diversity
lens
and
are
based
on
merit
and
objective
criteria,
which
focus
on
the
skills
and
experience
required
for
the
Board’s
effectiveness
and
the
delivery
of
the
Company’s
strategy.
Board
appointments
are
made
following
a
rigorous
and
transparent
process
facilitated
by
the
Nominations
Committee,
with
the
aid
of
an
external
search
consultancy
firm.
You
can
read
more
about
the
work
of
the
Nominations
Committee
on
page
9.
Governance
Corporate
Governance
Statement
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
12
Diversity
across
the
Barclays
Group
remains
a
key
area
of
focus.
For
more
detail
on
the
Barclays
Bank
Group
actions
to
increase
diversity
please
see
page
14.
The
Nominations
Committee
regularly
reviews
the
composition
of
the
Board,
Board
Committees
and
Executive
Committee
and
the
core
competencies,
diversity
and
experience
required.
For
the
Board,
it
is
standard
practice
to
appoint
any
new
Non-Executive
Director
or
Chair
for
an
initial
three-year
term,
subject
to
annual
re-election
at
the
AGM,
which
may
be
extended
for
up
to
a
further
three-year
term.
As
such,
Non-
Executive
directors
typically
serve
up
to
a
total
of
six
years.
Effectiveness
Appointments
to
the
Board
are
made
via
a
formal,
rigorous
and
transparent
process,
based
on
merit,
taking
into
account
the
skills,
experience
and
diversity
needed
on
the
Board
in
the
context
of
the
Company’s
strategic
direction.
As
at
the
date
of
this
report,
we
have
met
the
Board
gender
diversity
target
of
33%
with
three
female
directors.
The
Board
is
committed
to
regularly
reviewing
its
broad
diversity
profile.
The
Company
considers
the
composition
of
principal
Board
Committees
to
meet
the
independence
criteria
of
the
2018
UK
Corporate
Governance
Code,
notwithstanding
that
the
Company
has
chosen
not
to
adopt
and
report
against
the
2018
UK
Corporate
Governance
Code,
as
stated
above,
and
there
is
appropriate
cross-membership
on
the
Board
Committees
to
further
promote
effectiveness.
All
Directors
are
expected
to
commit
sufficient
time
to
fulfil
their
duties
to
the
Company.
This
includes
attending,
and
being
well-prepared
for,
all
Board
and
Committee
meetings,
as
well
as
making
time
to
understand
the
business
and
meet
with
executives.
The
Company’s
Charter
of
Expectations
sets
out
responsibilities
for
providing
the
Board
with
accurate,
timely
and
high-quality
information
necessary
for
it
to
fulfil
its
duties.
An
internal
evaluation
of
the
Board
and
Board
Committees,
led
by
the
Senior
Independent
Director
of
Barclays
PLC
Chair
and
the
Company
Secretary
has
been
concluded,
relating
to
2020
activity.
The
results
confirm
the
Board
was
operating
effectively,
Challenge
by
the
Board
was
considered
to
be
strong
yet
constructive
and
collegiate.
In
its
2020
Annual
Report
Barclays
PLC
has
disclosed
the
following
in
relation
to
its
annual
director
effectiveness
assessment:
In
accordance
with
the
Code,
all
of
the
current
Directors
of
Barclays
PLC,
other
than
Sir
Ian
Cheshire
who
is
stepping
down
from
the
Board
at
the
end
of
the
AGM,
will
be
submitting
themselves
for
election
or
re-election
at
the
2021
AGM
to
be
held
on
5
May
2021
and
will
be
unanimously
recommended
by
the
Board
for
election
or
re-election
as
appropriate.
As
part
of
its
decision
in
respect
of
Mr
Staley,
the
Board
has
had
regard
to
the
conclusions
it
reached
last
year,
which
conclusions
remain
unchanged,
in
relation
to
the
investigations
by
the
PRA
and
the
FCA,
details
of
which
were
disclosed
in
our
2019
Annual
Report
and
which
remain
ongoing.
Accountability
The
Board
is
responsible
for
setting
the
Barclays
Bank
Group
risk
appetite
within
the
overall
parameters
set
by
the
Barclay’s
Group,
being
the
level
of
risk
it
is
prepared
to
take
in
the
context
of
achieving
the
Barclays’
Group
strategic
objectives.
The
ERMF
is
designed
to
identify
and
set
minimum
requirements
in
respect
of
the
main
risks
to
achieving
Barclays’
strategic
objectives
and
to
provide
reasonable
assurance
that
internal
controls
are
effective.
The
Board,
assisted
by
the
Risk
Committee,
conducts
robust
assessments
of
the
principal
risks
facing
the
Company,
including
those
that
would
threaten
its
business
model,
future
performance,
solvency
or
liquidity.
The
Audit
Committee
oversees
the
effectiveness
of
BBPLC
internal
and
external
auditors.
The
Directors
also
review
the
effectiveness
of
the
Barclays
Bank
Group’s
systems
of
internal
control
and
risk
management.
The
Board
has
put
in
place
processes
to
support
the
presentation
to
stakeholders
of
fair,
balanced
and
understandable
information.
Remuneration
The
Remuneration
Committee
reviews
and
adopts
the
Barclays
Group’s
Remuneration
Policy
for
use
in
the
Barclays
Bank
Group.
The
purpose
and
activities
of
this
Committee
are
contained
in
the
Remuneration
Committee
report
on
pages
9-10
of
this
report.
The
Board
has
delegated
responsibility
to
the
Remuneration
Committee
for
the
consideration
and
approval
of
the
remuneration
arrangements
of
the
Chair,
Executive
Directors,
other
senior
executives
and
certain
Barclays
Bank
Group
employees.
The
Remuneration
Committee
when
considering
the
remuneration
policies
and
practices,
seeks
to
ensure
that
they
support
the
Company’s
strategy
and
promote
the
long-term
success
of
the
Company
and
that
they
are
aligned
to
successful
delivery
of
the
Barclays
Group’s
strategy.
All
executive
and
senior
management
remuneration
policies
will
be
developed
only
in
accordance
with
the
Barclays
Group’s
formal
and
transparent
procedures
(ensuring
that
no
Director
is
involved
in
deciding
his/her
own
remuneration
outcome)
and
having
regard
to
workforce
remuneration
and
related
policies
and
the
alignment
of
incentives
and
rewards
with
culture.
All
Remuneration
Committee
members
are
expected
to
demonstrate
independent
judgement
and
discretion
when
determining
and
approving
remuneration
outcomes.
The
Board
as
a
whole,
with
the
Non-Executive
Directors
abstaining,
considers
annually
the
fees
paid
to
Non-Executive
Directors.
Governance
Corporate
Governance
Statement
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
13
Controls
over
financial
reporting
A
framework
of
disclosure
controls
and
procedures
is
in
place
to
support
the
approval
of
the
financial
statements
of
the
Barclays
Bank
Group.
Specific
governance
committees
are
responsible
for
examining
the
financial
reports
and
disclosures
to
ensure
that
they
have
been
subject
to
adequate
verification
and
comply
with
applicable
standards
and
legislation.
These
committees
report
their
conclusions
to
the
Audit
Committee,
which
debates
the
conclusions
and
provides
further
challenge.
Finally,
the
Board
scrutinises
and
approves
results
announcements
and
the
BBPLC
Annual
Report,
and
ensures
that
appropriate
disclosures
have
been
made.
This
governance
process
ensures
that
both
management
and
the
Board
are
given
sufficient
opportunity
to
debate
and
challenge
the
financial
statements
of
the
Barclays
Bank
Group
and
other
significant
disclosures
before
they
are
made
public.
Audit,
Risk
and
Internal
Control
The
Company
is
committed
to
operating
within
a
strong
system
of
internal
control
that
enables
business
to
be
transacted
and
risk
taken
without
exposure
to
unacceptable
potential
losses
or
reputational
damage.
As
referenced
above,
the
Board
is
responsible
for
ensuring
that
management
maintains
an
effective
system
of
risk
management
and
internal
control
and
for
assessing
its
effectiveness.
Such
a
system
is
designed
to
identify,
evaluate
and
manage,
rather
than
eliminate,
the
risk
of
failure
to
achieve
business
objectives
and
can
provide
only
reasonable,
rather
than
absolute,
assurance
against
material
misstatement
or
loss.
Processes
are
in
place
for
identifying,
evaluating
and
managing
the
Principal
Risks
facing
the
Company.
A
key
component
of
the
framework
is
the
ERMF
which
supports
the
business
in
its
aim
to
embed
effective
risk
management
and
a
strong
risk
management
culture.
The
ERMF
is
designed
to
identify
and
set
minimum
requirements,
in
respect
of
the
main
risks,
to
achieve
the
Company’s
strategic
objectives
and
to
provide
reasonable
assurance
that
internal
controls
are
effective.
The
effectiveness
of
the
risk
management
and
internal
control
systems
is
reviewed
regularly
by
the
Risk
Committee
and
the
Audit
Committee
(as
detailed
above).
The
Risk
Committee
is
responsible
for
providing
oversight
and
advice
to
the
Board
in
relation
to
current
and
potential
future
risk
exposures
examining
reports
covering
the
Principal
Risks
including
those
that
would
threaten
its
business
model,
future
performance,
solvency
or
liquidity,
as
well
as
reports
on
risk
measurement
methodologies
and
risk
appetite.
Further
detail
of
the
work
of
the
Risk
Committee
can
be
found
on
pages
10
to
11
of
this
report.
As
referenced
above,
the
Audit
Committee
carries
out
several
duties,
delegated
to
it
by
the
Board,
including
oversight
of
financial
reporting
processes,
reviewing
the
effectiveness
of
internal
controls,
considering
whistle-blowing
arrangements
and
oversight
of
the
work
of
the
external
and
internal
auditors.
Throughout
the
year
ended
31
December
2020
and
to
date,
the
Company
has
operated
a
system
of
internal
control
that
provides
reasonable
assurance
of
effective
operations
covering
all
controls,
including
financial
and
operational
controls
and
compliance
with
laws
and
regulations.
The
Board,
together
with
the
Audit
Committee,
is
responsible
for
ensuring
the
independence
and
effectiveness
of
the
internal
and
external
audit
functions.
For
this
reason,
the
Audit
Committee
members
met
regularly
with
the
Chief
Barclays
Internal
Auditor
and
the
Lead
Audit
Engagement
Partner
of
the
external
auditor
without
management
present.
Further
details
of
the
work
of
the
Audit
Committee
can
be
found
on
pages
8
to
9
of
this
report.
Management
is
responsible
for
establishing
and
maintaining
adequate
internal
controls
over
financial
reporting
under
the
supervision
of
the
principal
executive
and
financial
officers,
to
provide
reasonable
assurance
regarding
the
reliability
of
financial
reporting
and
the
preparation
of
financial
statements,
in
accordance
with
International
Financial
Reporting
Standards
(IFRS).
Internal
control
over
financial
reporting
includes
policies
and
procedures
that
pertain
to
the
maintenance
of
records
that,
in
reasonable
detail:
◾
◾
with
IFRS
and
that
receipts
and
expenditures
are
being
made
only
in
accordance
with
authorisations
of
management
and
the
respective
Directors
◾
have
a
material
effect
on
the
financial
statements.
Internal
control
systems,
no
matter
how
well
designed,
have
inherent
limitations
and
may
not
prevent
or
detect
misstatements.
Also,
projections
of
any
evaluation
of
effectiveness
to
future
periods
are
subject
to
the
risk
that
internal
controls
may
become
inadequate
because
of
changes
in
conditions,
or
that
the
degree
of
compliance
with
the
policies
or
procedures
may
deteriorate.
Management
has
assessed
the
internal
control
over
financial
reporting
as
of
31
December
2020.
In
making
its
assessment,
management
utilised
the
criteria
set
out
in
the
2013
COSO
framework
and
concluded
that,
based
on
its
assessment,
the
internal
control
over
financial
reporting
was
effective
as
of
31
December
2020.
The
system
of
internal
financial
and
operational
controls
is
also
subject
to
regulatory
oversight
in
the
UK
and
overseas.
Further
information
on
supervision
by
the
financial
services
regulators
is
provided
under
Supervision
and
Regulation
in
the
Risk
review
section
on
pages
94
to
99.
Governance
Corporate
Governance
Statement
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
14
Changes
in
internal
control
over
financial
reporting
There
have
been
no
changes
in
the
Barclays
Bank
Group’s
internal
control
over
financial
reporting
that
occurred
during
the
period,
covered
by
this
report,
which
have
materially
affected
or
are
reasonably
likely
to
materially
affect
the
Barclays
Bank
Group’s
internal
control
over
financial
reporting.
Executive
Committee
During
2020,
the
Executive
Committee
membership
included
the
Chief
Executive
Officer,
Global
Heads
of
Markets
and
Banking
(the
Co-
Presidents
of
BBPLC),
Corporate
Banking
and
Consumer
Banking
&
Payments
along
with
their
functional
partners,
the
Chief
Financial
Officer,
Chief
Risk
Officer
and
other
functional
partners.
The
Executive
Committee
meets
monthly
and
is
chaired
by
the
Chief
Executive
Officer.
In
addition
to
the
day-to-day
management
of
the
Company,
the
Executive
Committee
supports
the
Chief
Executive
Officer
in
ensuring
that
the
values,
strategy
and
culture
align,
are
implemented
and
are
communicated
consistently
to
colleagues
–
for
example
through
regular
leadership
team
conferences,
and
communications
that
are
available
to
all
colleagues
.
Non-Executive
Directors
time
commitment
and
conflict
of
interest
Non-Executive
Directors,
including
the
Chairman,
are
informed
of
the
minimum
time
commitment
prior
to
their
appointment
and
they
are
required
to
devote
sufficient
time
to
the
Company
to
discharge
their
responsibilities
effectively.
The
time
commitments
of
Directors
are
considered
by
the
Board
on
appointment
and
are
reviewed
when
appropriate.
External
appointments
must
be
agreed
with
the
Chairman
and
disclosed
to
the
Board,
before
appointment,
with
an
indication
of
the
time
involved.
The
Board
is
satisfied
that
there
are
no
Directors
whose
time
commitment
is
considered
to
be
a
matter
for
concern.
In
accordance
with
the
Act
and
the
Articles,
the
Board
has
authority
to
authorise
conflicts
of
interest,
and
this
ensures
that
the
influence
of
third
parties
does
not
compromise
or
override
independent
judgement
of
the
Board.
The
Company
Secretary
maintains
a
conflicts
register,
which
is
a
record
of
actual
and
potential
conflicts,
together
with
any
Board
authorisation
of
the
conflict.
Training
and
induction
During
2020,
Directors
engaged
regularly
(albeit
virtually
for
the
majority
of
the
year)
with
senior
management,
as
well
as
attending
town
halls
and
senior
leadership
gatherings
(virtually).
In
addition,
Directors
are
regularly
provided
with
the
opportunity
to
take
part
in
ongoing
training
and
development
and
can
also
request
specific
training
they
may
consider
necessary
or
useful.
Opportunities
for
in-person
Director
training
were
more
limited
in
2020
as
a
result
of
social
distancing
and
as
the
Board
and
senior
management
focussed
on
the
response
to
the
COVID-19
pandemic.
However,
training
and
development
was
supported
through
Board
deep
dives.
The
Board
also
received
an
annual
briefing
on
regulatory
responsibilities
including
the
Senior
Mangers
Regime
and
on
Barclays’
conduct
and
financial
crime
policies
and
standards.
There
is
an
induction
programme
for
all
new
Directors
which
is
tailored
to
their
specific
experience
and
knowledge,
providing
access
to
all
parts
of
the
business,
to
support
Directors
in
understanding
the
nature
of
the
business
and
the
key
issues
the
Company
faces.
When
a
Director
joins
a
Board
Committee,
the
schedule
includes
an
induction
to
the
operation
of
that
Board
Committee.
Diversity
and
inclusion
The
Board
recognises
the
importance
of
ensuring
that
there
is
broad
diversity
among
the
Directors
inclusive
of,
but
not
limited
to,
gender,
ethnicity,
geography
and
business
experience.
In
addition,
the
Company
aims
to
ensure
that
employees
of
all
backgrounds
are
treated
equally
and
have
the
opportunity
to
be
successful.
The
Barclays
Group’s
Global
Diversity
and
Inclusion
(D&I)
strategy
sets
objectives,
initiatives
and
plans
across
five
core
pillars:
Gender,
LGBT+,
Disability,
Multicultural
and
Multigenerational,
in
support
of
that
ambition.
Further
information
on
the
Barclays
Group’s
Board
Diversity
Policy,
as
adopted
by
the
Board,
and
D&I
strategy
can
be
found
on
page
84
of
the
Barclays
PLC
Annual
Report
2020
available
at
home.barclays/annualreport.
Governance
Directors’
report
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
15
The
Directors
present
their
report
together
with
the
audited
accounts
for
the
Company
for
the
year
ended
31
December
2020.
Other
information
that
is
relevant
to
the
Directors’
Report,
and
which
is
incorporated
by
reference
into
this
report,
can
be
located
at:
Pages
Corporate
Governance
Report
3
Risk
Management
24
Principal
Risks
39
Disclosures
required
pursuant
to
Large
and
Medium-sized
Companies
and
Groups
(Accounts
and
Reports)
Regulations
2008
as
updated
by
the
2018
Regulations
can
be
found
on
the
following
pages:
Engagement
with
employees
(Sch.7
Para
11
and
11A
Regs
2008/2018
and
S172(1)
Statement)
19
Policy
concerning
the
employment
of
disabled
persons
(Sch.7
Para
10
Regs
2008)
20
Financial
Instruments
(Sch.7
Para
6
Regs
2008
)
130
Hedge
accounting
policy
(Sch.7
Para
6
Regs
2008
)
131
Profits
and
dividends
The
results
of
the
Barclays
Bank
Group
show
statutory
profit
after
tax
of
£2,451m
(2019:
£2,780m).
The
Barclays
Bank
Group
had
net
assets
of
£53,710m
at
31
December
2020
(2019:
£50,615m).
Barclays
PLC
will
pay
a
full
year
dividend
in
respect
of
2020
of
1p
(2019:
nil)
per
ordinary
share
on
1
April
2021
to
shareholders
on
the
share
register
on
26
February
2021.
The
Company
will
pay
a
£174m
dividend
to
Barclays
PLC
in
order
to
fund
Barclays
PLC’s
external
dividend
payment.
In
addition,
the
Company
will
pay
a
£520m
dividend
to
Barclays
PLC
in
order
to
partially
fund
a
share
buy-back.
Further
details
on
total
dividends
on
ordinary
shares
paid
in
2020
are
set
out
in
Note
10
to
the
financial
statements.
Dividends
paid
on
preference
shares
for
the
year
ended
31
December
2020
amounted
to
£42m
(2019:
£41m).
Share
Capital
There
was
no
increase
in
ordinary
share
capital
during
the
year.
Barclays
PLC
owns
100%
of
the
issued
ordinary
shares.
There
are
no
restrictions
on
the
transfer
of
ordinary
shares
or
agreements
between
holders
of
ordinary
shares
known
to
the
Company
which
may
result
in
restrictions
on
the
transfer
of
securities
or
voting
rights.
Further
information
on
the
Company’s
share
capital,
including
preference
shares
can
be
found
in
Note
27
of
the
financial
statements.
Powers
of
Directors
to
issue
or
buy
back
the
Company’s
shares
The
powers
of
the
Directors
are
determined
by
the
Act
and
the
Articles.
No
shares
were
issued
or
bought
back
in
2020.
The
Directors
are
authorised
to
issue
and
allot
shares
and
to
buy
back
shares
subject
to
annual
shareholder
approval
at
the
AGM.
Such
authorities
were
granted
by
shareholders
at
the
2020
AGM.
It
will
be
proposed
at
the
2021
AGM
that
the
Directors
be
granted
new
authorities
to
allot
and
buy-back
shares.
Repurchase
of
preference
shares
No
preference
shares
were
redeemed
by
the
Company
during
2020.
Governance
Directors’
report
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
16
Directors
The
list
of
current
Directors
of
the
Company
can
be
found
in
the
Corporate
Governance
Statement.
Changes
to
Directors
during
the
year
and
up
to
the
date
of
signing
this
report
are
set
out
below.
Name
Role
Effective
date
of
appointment/resignation
Mohamed
El
Erian
Non-Executive
Director
Appointed
1
January
2020
Tushar
Morzaria*
Executive
Director
Appointed
7
February
2020
Matthew
Lester
Non-Executive
Director
Resigned
1
January
2020
Mary
Anne
Citrino
Non-Executive
Director
Resigned
30
September
2020
*Tushar
Morzaria
was
appointed
as
an
Executive
Director,
pending
regulatory
approval,
on
25
September
2019.
Regulatory
approval
was
given
on
7
February
2020,
the
date
on
which
his
formal
appointment
became
effective.
Directors’
indemnities
Qualifying
third
party
indemnity
provisions
(as
defined
by
section
234
of
the
Act)
were
in
force
during
the
course
of
the
financial
year
ended
31
December
2020
for
the
benefit
of
the
then
Directors
and,
at
the
date
of
this
report,
are
in
force
for
the
benefit
of
the
Directors
in
relation
to
certain
losses
and
liabilities
which
they
may
incur
(or
have
incurred)
in
connection
with
their
duties,
powers
or
office.
In
addition,
the
Company
maintains
Directors’
&
Off
icers’
Liability
Insurance
which
gives
appropriate
cover
for
legal
action
brought
against
its
Directors.
Qualifying
pension
scheme
indemnity
provisions
(as
defined
by
section
235
of
the
Act)
were
in
force
during
the
course
of
the
financial
year
ended
31
December
2020
for
the
benefit
of
the
then
directors;
and
at
the
date
of
this
report
are
in
force
for
the
benefit
of
directors
of
Barclays
Pension
Funds
Trustees
Limited
as
trustee
of
the
Barclays
Bank
UK
Retirement
Fund,
Barclays
Capital
International
Pension
Scheme
(No.1)
and
Barclays
PLC
Funded
Unapproved
Retirement
Benefits
Scheme.
The
directors
of
the
trustee
are
indemnified
against
liability
incurred
in
connection
with
the
trustee’s
activities
in
relation
to
the
aforementioned
schemes.
Political
donations
The
Barclays
Bank
Group
did
not
give
any
money
for
political
purposes
in
the
UK,
the
EU
or
outside
the
EU,
nor
did
it
make
any
political
donations
to
political
parties
or
other
political
organisations
or
to
any
independent
election
candidates,
or
incur
any
political
expenditure
during
the
year.
Details
of
any
political
contributions
made
by
the
wider
Barclays
Group
can
be
found
in
the
Barclays
PLC
Annual
Report
2020
available
at
home.barclays/annualreport.
Environment
The
Barclays
Group
focuses
on
addressing
environmental
issues
where
it
felt
that
there
is
the
greatest
potential
to
make
a
difference.
As
the
global
effort
to
tackle
climate
change
grows,
the
Barclays
Group
is
moving
rapidly
to
take
a
leading
role
in
contributing
to
the
transition
to
a
low
carbon
economy.
In
March
2020,
Barclays
Group
set
out
its
ambition
to
be
a
net
zero
bank
by
2050.
In
November
2020,
on
its
way
to
achieving
that
ambition,
Barclays
Group
set
out
the
methodology
and
targets
that
begin
to
align
the
emissions
Barclays
finances
with
the
Paris
Climate
Agreement.
More
information
is
set
out
in
the
Barclays
Group
Environmental
Social
Governance
Report,
published
alongside
the
Barclays
PLC
Annual
Report
2020
available
at
home.barclays/annualreport.
Barclays
Group
focusses
on
managing
its
own
carbon
footprint
and
reducing
its
absolute
carbon
emissions,
developing
products
and
services
to
help
enable
the
transition
to
a
low-carbon
economy
and
managing
the
risks
of
climate
change
to
its
operations,
clients,
customers
and
society
at
large.
Barclays
Group
invests
in
improving
the
energy
efficiency
of
its
operations
and
offsets
the
emissions
remaining
through
the
purchase
of
carbon
credits.
Barclays
Group
also
has
a
long-standing
commitment
to
managing
the
environmental
and
social
risks
associated
with
its
lending
practices,
which
is
embedded
into
its
risk
management
processes.
A
governance
structure
is
in
place
to
facilitate
clear
dialogue
across
the
business
and
with
suppliers
around
issues
of
potential
environmental
and
social
risk.
For
more
information
about
how
Barclays
Group’s
is
helping
to
tackle
climate
change
please
see
the
Barclays
PLC
Annual
Report
2020
available
at
home.barclays/annualreport.
Disclosure
of
global
greenhouse
gas
emissions
is
done
at
a
Barclays
Group
level
with
information
available
in
the
Barclays
PLC
Annual
Report
2020
available
at
home.barclays/annualreport
with
fuller
disclosure
available
on
the
Barclays
Group
website
at
home.barclays.com/esg.
Engagement
with
customers,
suppliers
and
others
in
a
business
relationship
with
the
Company
Our
engagement
with
suppliers
is
important.
The
Directors
have
regard,
via
management
oversight,
to
the
need
to
foster
business
relationships
with
suppliers
and,
as
such,
engage
with
them
to
ensure
adherence
to
the
Barclays’
Supplier
Code
of
Conduct
and
Supply
Control
obligations
which
cover
our
expectations
of
suppliers.
Adherence
is
confirmed
through
pre-contract
attestation.
Further,
Barclays
is
a
signatory
to
the
Prompt
Payment
Code
in
the
UK,
committing
to
pay
our
suppliers
within
clearly
defined
terms.
For
further
information
on
managing
our
supply
chain,
please
see
our
ESG
Report
at
home.barclays/esg
.
Branches
and
Country-by-Country
reporting
The
Barclays
Bank
Group
operates
through
branches,
offices
and
subsidiaries
in
the
UK
and
overseas.
Those
branches
are
in
a
number
of
different
jurisdictions
including
in
Hong
Kong,
Singapore
and
New
York.
The
Company
is
exempt
from
publishing
information
required
by
The
Capital
Requirements
(Country-by-Country
Reporting)
Regulations
2013
as
this
information
is
published
by
its
parent
Barclays
PLC.
This
information
is
available
on
the
Barclays
website;
hone.barclays/annualreport.
Research
and
development
In
the
ordinary
course
of
business,
the
Barclays
Bank
Group
develops
new
products
and
services
in
each
of
its
business
divisions.
Governance
Directors’
report
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
17
Change
of
control
There
are
no
significant
agreements
to
which
the
Company
is
a
party
that
are
affected
by
a
change
of
control
of
the
Company
following
a
takeover
bid.
There
are
no
agreements
between
the
Company
and
its
Directors
or
employees
providing
for
compensation
for
loss
of
office
or
employment
that
occurs
because
of
a
takeover
bid.
The
Auditors
The
BPLC
Audit
Committee
reviews
the
appointment
of
the
external
auditors,
as
well
as
their
relationship
with
the
Barclays
Group,
including
monitoring
the
Barclays
Group’s
use
of
the
external
auditors
for
non-audit
services
and
the
balance
of
audit
and
non-audit
fees
paid
to
them.
The
BBPLC
Audit
Committee
also
monitors
the
use
of
the
external
auditors
for
non-audit
services
within
BBPLC.
More
details
on
this
can
be
found
in
Note
39
to
the
financial
statements.
An
external
audit
tender
was
conducted
in
2015
and
the
decision
was
made
to
appoint
KPMG
as
Barclays
Group’s
external
auditor
with
effect
from
the
2017
financial
year,
with
PwC
resigning
as
Barclays
Group’s
statutory
auditor
at
the
conclusion
of
the
2016
audit.
The
Company
is
in
compliance
with
the
requirements
of
The
Statutory
Audit
Services
for
Large
Companies
Market
Investigation
(Mandatory
Use
of
Competitive
Tender
Processes
and
Audit
Committee
Responsibilities)
Order
2014,
which
relates
to
the
frequency
and
governance
of
tenders
for
the
appointment
of
the
external
auditor
and
the
setting
of
a
policy
on
the
provision
of
non-audit
services.
Provided
that
KPMG
continue
to
maintain
its
independence
and
objectivity,
and
the
BPLC
Audit
Committee
remains
satisfied
with
its
performance,
the
Barclays
Group
has
no
intention
of
appointing
an
alternative
external
auditor
before
the
end
of
the
current
required
period
of
10
years.
Non-audit
services
In
order
to
safeguard
the
auditor’s
independence
and
objectivity,
the
Barclays
Group
has
in
place
a
policy
setting
out
the
circumstances
in
which
the
auditor
may
be
engaged
to
provide
services
other
than
those
covered
by
the
Barclays
Group
audit.
The
Barclays
Group
Policy
on
the
Provision
of
Services
by
the
Group
Statutory
Auditor
(the
Policy)
applies
to
all
Barclays’
subsidiaries
and
other
material
entities
over
which
Barclays
has
significant
influence.
The
core
principle
of
the
Policy
is
that
non-audit
services
(other
than
those
legally
required
to
be
carried
out
by
the
Barclays
Group’s
auditor)
should
be
performed
by
the
auditor
only
in
certain
controlled
circumstances.
The
Policy
sets
out
those
types
of
services
that
are
strictly
permitted.
Under
the
Policy,
except
for
specific
categories
of
‘permitted’
services
that
require
explicit
Committee
approval,
the
BPLC
audit
committee
has
pre-approved
all
permitted
services
for
which
fees
are
less
than
£100,000.
All
requests
to
engage
the
auditor
are
assessed
by
independent
management
before
work
can
commence.
Requests
for
permitted
service
types
in
respect
of
which
the
fees
are
expected
to
meet
or
exceed
the
above
threshold
must
be
approved
by
the
Chairman
of
the
BPLC
audit
committee
before
work
is
permitted
to
begin.
Services
where
the
fees
are
expected
to
be
£250,000
or
higher
must
be
approved
by
the
BPLC
Audit
Committee
as
a
whole.
All
expenses
and
disbursements
must
be
included
in
the
fees
calculation.
More
information
on
this
can
be
found
in
the
Barclays
PLC
Annual
Report
2020
available
at
home.barclays/annualreport.
The
fees
payable
to
KPMG
for
the
year
ended
31
December
2020
amounted
to
£38m
(2019:£35m),
of
which
£8m
(2019:£7m)
was
payable
in
respect
of
non-audit
services.
A
breakdown
of
the
fees
payable
to
the
auditor
for
statutory
audit
and
non-audit
work
can
be
found
in
Note
39
to
the
financial
statements.
Disclosure
of
information
to
the
Auditor
Each
Director
confirms
that,
so
far
as
he/she
is
aware,
there
is
no
relevant
audit
information
of
which
the
Company’s
auditors
are
unaware
and
that
each
of
the
Directors
has
taken
all
the
steps
that
he/she
ought
to
have
taken
as
a
Director
to
make
himself/herself
aware
of
any
relevant
audit
information
and
to
establish
that
the
Company's
auditors
are
aware
of
that
information.
This
confirmation
is
given
pursuant
to
section
418
of
the
Act
and
should
be
interpreted
in
accordance
with
and
subject
to
those
provisions.
Directors’
responsibilities
The
following
statement,
which
should
be
read
in
conjunction
with
the
auditor’s
report
set
out
on
pages
101
to
104,
is
made
with
a
view
to
distinguishing
for
shareholders
the
respective
responsibilities
of
the
Directors
and
of
the
auditor
in
relation
to
the
accounts.
Going
concern
The
Directors
considered
it
appropriate
to
prepare
the
financial
statements
on
a
going
concern
basis.
In
preparing
each
of
the
Barclays
Bank
Group
and
Company
financial
statements,
the
Directors
are
required
to:
●
concern;
and
●
realistic
alternative
but
to
do
so.
The
Barclays
Bank
Group’s
business
activities,
financial
position,
capital,
factors
likely
to
affect
its
future
development
and
performance,
and
its
objectives
and
policies
in
managing
the
financial
risks
to
which
it
is
exposed
are
discussed
in
the
Strategic
Report
available
at
home.barclays/annualreport
and
Risk
Management
sections.
The
Directors
have
evaluated
these
risks
in
the
preparation
of
the
financial
statements
and
consider
it
appropriate
to
prepare
the
financial
statements
on
a
going
concern
basis.
Preparation
of
accounts
The
Directors
are
required
by
the
Act
to
prepare
the
Company
and
the
Barclays
Bank
Group
accounts
for
each
financial
year
and,
with
regard
to
Barclays
Bank
Group
accounts,
in
accordance
with
article
4
of
the
IAS
regulation.
The
Directors
have
prepared
these
accounts
a)
in
accordance
with
international
accounting
standards
in
conformity
with
the
requirements
of
the
Companies
Act
2006;
and
b)
international
financial
reporting
standards
as
issued
by
the
IASB
and
adopted
pursuant
to
Regulation
EC
No.
1606/2002
as
it
applies
in
the
European
Union.
Pursuant
to
the
Governance
Directors’
report
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
18
Companies
Act
2006,
the
Directors
must
not
approve
the
accounts
unless
they
are
satisfied
that
they
give
a
true
and
fair
view
of
the
state
of
affairs
of
the
Barclays
Bank
Group
and
the
Company
and
of
their
profit
or
loss
for
that
period.
The
Directors
consider
that,
in
preparing
the
financial
statements,
the
Barclays
Bank
Group
and
the
Company
have
used
appropriate
accounting
policies,
supported
by
reasonable
judgements
and
estimates,
and
that
all
accounting
standards
which
they
consider
to
be
applicable
have
been
followed.
The
Directors
are
satisfied
that
the
Annual
Report
and
Financial
Statements,
taken
as
a
whole,
are
fair,
balanced
and
understandable,
and
provide
the
information
necessary
for
shareholders
to
assess
the
Company’s
position
and
performance,
business
model
and
strategy.
Directors
are
responsible
for
such
internal
control
as
they
determine
is
necessary
to
enable
the
preparation
of
financial
statements
that
are
free
from
material
misstatement,
whether
due
to
fraud
or
error.
Directors’
responsibility
statement
The
Directors
have
responsibility
for
ensuring
that
the
Company
and
the
Barclays
Bank
Group
keeps
accounting
records
which
disclose,
with
reasonable
accuracy,
the
financial
position
of
the
Company
and
the
Barclays
Bank
Group,
and
which
enable
them
to
ensure
that
the
accounts
comply
with
the
Act.
The
Directors
are
also
responsible
for
preparing
a
Strategic
Report,
Directors’
Report
and
Corporate
Governance
Statement
in
accordance
with
applicable
law
and
regulations.
The
Directors
are
responsible
for
the
ma
intenance
and
integrity
of
the
Annual
Report
and
Financial
Statements
as
they
appear
on
the
Company’s
website.
Legislation
in
the
UK
governing
the
preparation
and
dissemination
of
financial
statements
may
differ
from
legislation
in
other
jurisdictions.
The
Directors
have
a
general
responsibility
for
taking
such
steps
as
are
reasonably
open
to
them
to
safeguard
the
assets
of
the
Company
and
to
prevent
and
detect
fraud
and
other
irregularities.
The
Directors,
whose
names
and
functions
are
set
out
on
page
6,
confirm
to
the
best
of
their
knowledge
that:
(a)
the
financial
statements,
prepared
in
accordance
with
the
applicable
set
of
accounting
standards,
give
a
true
and
fair
view
of
the
assets,
liabilities,
financial
position
and
profit
or
loss
of
the
Company
and
the
undertakings
included
in
the
consolidation
taken
as
a
whole;
and
(b)
the
management
report,
in
Strategic
Report
within
Barclays
Bank
PLC
Annual
Report
on
pages
1
to
10,
which
is
incorporated
in
the
Directors’
Report,
includes
a
fair
review
of
the
development
and
performance
of
the
business
and
the
position
of
the
Company
and
the
undertakings
included
in
the
consolidation
taken
as
a
whole,
together
with
a
description
of
the
principal
risks
and
uncertainties
that
they
face.
By
order
of
the
Board
Stephen
Shapiro
Company
Secretary
17
February
2021
Barclays
Bank
PLC
Registered
in
England.
Company
No.
1026167
Governance
People
and
Culture
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
19
The
strength
and
success
of
Barclays
is
in
our
people.
We
want
to
support
their
health
and
wellbeing,
enable
them
to
build
their
career
and
empower
and
motivate
them
to
be
able
to
provide
excellent
service.
The
following
sub-sections
are
consistent
with
those
detailed
in
the
People
Section
of
the
Barclays
PLC
Annual
Report
2020
and
figures
mentioned
are
for
the
Barclays
Group
other
than
where
specifically
mentioned.
Adapting
to
challenge
Events
over
the
last
12
months
have
affected
all
our
lives,
and
the
potential
for
disruption
has
been
significant.
Nevertheless,
we
have
continued
to
invest
in
our
colleagues
in
order
to
strengthen
our
business
and
protect
our
culture.
Our
people
have
shown
extraordinary
adaptability
and
resilience,
and
thanks
to
them
so
has
Barclays.
Throughout
the
COVID-19
pandemic,
colleagues
around
the
world
have
been
working
incredibly
hard
to
continue
to
support
our
customers
and
clients.
Many
were
designated
as
frontline
or
critical
workers
in
the
countries
in
which
they
work.
At
all
times,
we
have
worked
tirelessly
to
prioritise
each
other’s
safety
and
wellbeing,
as
well
as
taking
all
necessary
steps
to
slow
the
spread
of
the
virus.
We
put
in
place
a
set
of
global
principles
to
ensure
we
were
doing
as
much
as
possible
to
support
our
people.
This
included
instigation
of
new
working
patterns
and
technology.
We
also
helped
colleagues
cope
with
some
of
the
personal
challenges
the
COVID-19
pandemic
created,
including
offering
paid
leave
to
support
self-quarantine,
sickness
or
care
for
dependents,
financial
help
with
childcare
and
advice
made
available
to
help
protect
physical
and
mental
health.
Through
our
colleague
surveys,
we
have
also
regularly
checked
in
with
our
people
to
better
understand
the
impact
that
working
through
the
COVID-19
pandemic
has
had.
Barclays
continues
to
believe
that
people
working
together
in
the
same
physical
location
reinforces
our
culture
and
helps
with
collaboration
and
inspiration.
Where
possible,
and
in
line
with
local
government
guidance,
we
have
instigated
gradual
returns
to
the
office
in
certain
parts
of
the
business
and
in
certain
parts
of
the
world.
In
time,
with
the
safety
and
wellbeing
of
colleagues
as
our
first
priority,
we
envisage
more
people
will
return
to
on-site
working.
In
advance
of
this,
we
have
already
put
in
place
additional
measures
to
ensure
we
are
COVID-secure,
including
risk
assessments
at
our
sites
and
Return
to
Office
Crews
to
support
social
distancing
and
minimise
risks.
Over
the
last
12
months,
we
have
learnt
an
enormous
amount
about
the
benefits
and
challenges
of
working
more
flexibly.
Ultimately,
we
believe
this
will
inform
our
ambitions
for
future
ways
of
working.
A
continuous
conversation
with
colleagues
We
think
colleague
engagement
should
be
a
two-way
exercise,
with
equal
weight
placed
on
listening
to
our
people
as
it
is
on
keeping
them
informed.
We
want
to
be
able
to
consider
our
colleagues’
perspective
when
we
make
decisions,
including
at
the
most
senior
level.
Our
regular
Here
to
Listen
and
Your
View
surveys
are
a
key
part
of
how
we
track
engagement.
In
2020,
in
part
in
response
to
the
challenge
of
the
COVID-19
pandemic,
we
improved
the
effectiveness
and
regularity
of
how
we
do
this.
We
saw
a
3
percentage
point
increase
in
the
response
rate
to
our
annual
Your
View
employee
engagement
survey
with
62%
of
Barclays
Bank
PLC
colleagues
responding.
The
results
showed
an
increase
in
Barclays
Bank
PLC
engagement
levels,
up
9
percentage
points
to
82%,
and
an
increase
of
9
percentage
points
to
86%
of
colleagues
saying
they
would
recommend
Barclays
as
a
good
place
to
work.
We
were
also
very
pleased
to
see
that
our
colleagues
have
continued
their
focus
on
customer
and
client
feedback,
with
83%
of
Barclays
Bank
PLC
respondents
responding
favourably
to
this
question.
In
addition,
93%
of
Barclays
Bank
PLC
respondents
said
they
believe
they
and
their
teams
do
a
good
job
of
role
modelling
the
values
every
day,
an
increase
of
2
percentage
points.
Overall,
we
are
encouraged
by
our
ability
to
work
remotely
in
many
more
roles
than
we
had
previously
thought
possible.
Our
colleagues
told
us
that
they
enjoyed
having
more
flexibility
in
their
lives,
with
73%
of
Barclays
Bank
PLC
respondents
saying
they
have
been
able
to
balance
personal
and
work
demands,
and
78%
saying
there
is
effective
collaboration
between
teams.
With
that
said,
we
recognise
there
are
also
areas
where
we
need
to
do
more.
We
saw
a
3
percentage
point
decrease
this
year
to
77%
in
the
number
of
Barclays
Bank
PLC
colleagues
who
feel
it
is
safe
to
speak
up,
while
colleague
feedback
also
indicates
we
have
room
to
make
our
internal
processes
more
user
friendly,
with
only
52%
of
Barclays
Bank
PLC
colleagues
saying
work
processes
make
it
easy
for
employees
to
be
productive.
We
maintain
an
engagement
approach
that
is
in
line
with
the
UK’s
Financial
Reporting
Council
(FRC)
governance
requirements.
This
extends
to
those
who
work
for
us
indirectly
as
well,
such
as
contractors,
although
in
a
more
limited
way.
As
of
2020,
our
supplier
code
of
conduct
requires
organisations
with
more
than
250
employees
to
demonstrate
that
they
have
an
effective
workforce
engagement
approach
of
their
own.
The
results
from
our
surveys
are
an
important
part
of
the
conversations
our
Executive
Committee
and
Board
have
about
our
culture
and
how
we
run
Barclays.
We
also
update
the
Board
and
its
relevant
sub-committees
throughout
the
year.
We
monitor
our
culture
across
the
organisation,
and
in
individual
business
areas,
through
culture
dashboards.
These
combine
colleague
survey
data
with
other
metrics
about
our
business,
so
wider
leadership
can
identify
areas
of
continued
strength
of
our
culture
and
areas
of
focus
for
leaders.
In
addition
to
these
data
sources,
our
leaders
engage
regularly
with
colleagues
locally
to
hear
what
they
think.
Where
possible
this
year,
leaders
visited
branches
or
trading
floors
to
support
colleagues
during
the
COVID-19
pandemic.
However,
the
majority
of
engagement
activities
moved
to
virtual
forums,
with
opportunities
for
face
to
face
engagement
being
more
limited
due
to
social
distancing
requirements,
including
large-scale
virtual
town
halls,
training
and
development
activity,
mentoring,
informal
breakfast
sessions,
committee
membership,
ex-officio
roles,
diversity
and
wellbeing
programmes,
focus
and
consultative
groups.
Governance
People
and
Culture
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
20
Direct
engagement,
a
comprehensive
reporting
approach
and
dedicated
time
at
board
meetings,
helps
our
Board
take
the
issues
of
interest
to
our
colleagues
into
account
in
their
decision
making.
This
has
enabled
them
to
confirm
that
our
workforce
engagement
approach
is
effective.
We
make
sure
we
are
keeping
everyone
up
to
date
on
the
strategy,
performance
and
progress
of
the
organisation
through
a
strategic,
multichannel
approach.
This
combines
leader-led
engagement,
digital
and
print
communication,
blogs,
vlogs
and
podcasts.
In
response
to
the
COVID-19
pandemic,
this
year
we
also
provided
additional
regular
updates
to
colleagues
to
provide
practical
advice
and
support,
including
via
a
dedicated
COVID-19
pandemic
intranet-page.
We
also
engage
with
our
people
collectively
through
a
strong
and
effective
partnership
with
Unite,
as
well
as
the
Barclays
Group
European
Forum,
which
represents
all
colleagues
within
the
European
Union.
In
2020
we
worked
together
closely
with
the
specific
goal
of
ensuring
the
safety
and
wellbeing
of
our
colleagues
throughout
the
COVID-19
pandemic.
Unite
strongly
supported
the
transition
of
many
colleagues
to
homeworking,
as
well
as
the
introduction
of
measures
to
protect
colleagues
working
in
our
branches
and
offices.
As
we
progress
to
return
more
colleagues
to
work,
our
union
partners
remain
centrally
involved.
We
regularly
brief
our
union
partners
on
the
strategy
and
progress
of
the
business,
seeking
their
input
on
ways
in
which
we
can
improve
the
colleague
experience
of
working
for
Barclays.
The
collective
bargaining
coverage
of
Unite
in
the
UK
represents
around
84%
of
the
Barclays
Group
UK
workforce
and
50%
of
the
global
Barclays
workforce.
We
consult
in
detail
with
colleague
representatives
on
major
change
programmes
affecting
our
people.
We
do
this
to
help
us
minimise
compulsory
job
losses
wherever
possible,
including
through
voluntary
redundancy
and
redeployment.
Creating
an
inclusive
and
supportive
culture
Creating
an
inclusive
and
supportive
culture
is
not
only
the
right
thing
to
do,
but
also
best
for
our
business.
It
creates
a
sense
of
belonging
and
value
and
enables
colleagues
to
perform
at
their
best.
In
2020,
we
increased
our
focus
on
embedding
a
culture
of
inclusion
and
encouraged
colleagues
to
become
allies
in
the
workplace.
Through
a
new
toolkit
we
supported
them
to
take
conscious,
positive
steps
to
make
everyone
feel
that
they
belong,
and
develop
empathy
towards
another
group’s
challenges
or
issues.
In
our
Your
View
survey,
83%
of
Barclays
Bank
PLC
colleagues
told
us
they
believe
we
are
all
in
this
together.
Events
last
year
rightly
prompted
organisations
like
ours
to
appraise
what
we
have
been
doing
to
aid
the
fight
against
racism,
and
to
ask
ourselves
whether
we
can
do
m
ore.
Over
recent
months,
Barclays
has
worked
extensively
with
its
Black
colleague
forums
in
both
the
UK
and
the
US
to
produce
a
Race
at
Work
Action
Plan.
The
plan
comprises
a
thorough
set
of
actions
that
will
open
up
new
opportunities
to
attract,
develop,
and
add
to
our
great
Black
talent,
using
data
to
measure
success.
From
2021,
we
will
expand
our
plan
to
include
all
ethnically
diverse
groups
as
well
as
actions
to
enhance
our
long-standing
support
for
citizenship
programmes
dedicated
to
tackling
racial
inequalities
in
communities,
as
well
as
support
of
this
agenda
for
customers
and
clients.
We
want
to
become
one
of
the
most
accessible
and
inclusive
FTSE
companies
for
all
our
customers,
clients
and
colleagues.
We
require
managers
to
give
full
and
fair
consideration
to
those
with
a
disability
on
the
basis
of
strengths,
potential
and
ability,
both
when
hiring
and
managing.
We
also
ensure
opportunities
for
training,
career
development
and
promotion
are
available
to
all.
As
part
of
the
UK
Government
Disability
Confident
scheme,
we
encourage
applications
from
people
with
a
disability,
or
a
physical
or
mental
health
condition.
Through
our
BeWell
programme,
we
continue
to
provide
expert
advice
and
guidance
on
the
practical
steps
colleagues
can
take
to
look
after
their
physical
and
mental
health.
In
2020,
our
Mental
Health
Awareness
e-learning
became
mandatory,
and
we
regularly
check-in
with
managers
to
ensure
they
are
supporting
colleagues’
wellbeing.
We
were
also
one
of
the
first
businesses
to
sign
up
to
the
Mental
Health
at
Work
Commitment.
In
our
Your
View
survey,
77%
of
Barclays
Bank
PLC
colleagues
told
us
that
Barclays
supports
their
efforts
to
enhance
their
wellbeing.
We
encourage
our
people
to
benefit
from
Barclays’
performance
by
enrolling
in
our
share
ownership
plans,
further
strengthening
their
commitment
to
the
organisation.
Risk
review
Contents
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
21
The
management
of
risk
is
a
critical
underpinning
to
the
execution
of
the
Barclays
Bank
Group’s
strategy.
The
material
risks
and
uncertainties
the
Barclays
Bank
Group
faces
across
its
business
and
portfolios
are
key
areas
of
management
focus.
Risk
managem
ent
strategy
Page
Overview
of
the
Barclays
Bank
Group’s
approach
to
risk
management.
◾
◾
◾
◾
◾
◾
24
24
24
24
25
25
Material
existing
and
emerging
risks
Insight
into
the
level
of
risk
across
our
business
and
portfolios,
the
material
existing
and
emerging
risks
and
uncertainties
we
face
and
the
key
areas
of
management
focus.
◾
one
principal
risk
27
◾
32
◾
33
◾
33
◾
34
◾
36
◾
37
◾
37
◾
38
Climate
change
risk
management
Overview
of
the
Barclays
Bank
Group’s
approach
to
managing
climate
change
risk.
◾
◾
38
38
◾
39
Principal
risk
management
The
Barclays
Bank
Group’s
approach
to
risk
management
for
each
principal
risk
with
focus
on
organisation
and
structure
and
roles
and
responsibilities.
◾
39
◾
41
◾
41
◾
43
◾
44
◾
44
◾
44
◾
45
Risk
performance
Credit
risk:
Group
from
the
failure
of
clients,
customers
or
counterparties,
including
sovereigns,
to
fully
honour
their
obligations
to
the
Barclays
Bank
Group,
including
the
whole
and
timely
payment
of
principal,
interest,
collateral
and
other
receivables.
◾
47
◾
48
◾
51
◾
56
◾
57
◾
68
◾
70
◾
75
Risk
review
Contents
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
22
Risk
performance
continued
Page
Market
risk:
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.
◾
◾
76
76
Treasury
and
capital
risk
–
Liquidity:
The
risk
that
the
Barclays
Bank
Group
is
unable
to
meet
its
contractual
or
contingent
obligations
or
that
it
does
not
have
the
appropriate
amount,
tenor
and
composition
of
funding
and
liquidity
to
support
its
assets.
◾
◾
◾
79
79
79
Treasury
and
capital
risk
–
Capital:
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
also
includes
the
risk
from
the
Barclays
Bank
Group’s
pension
plans.
◾
84
Treasury
and
capital
risk
–
Interest
rate
risk
in
the
banking
book:
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.
◾
performance
◾
◾
◾
(FVOCI)
portfolio
in
the
liquidity
pool
87
88
88
89
Operational
risk:
The
risk
of
loss
to
the
Barclays
Bank
Group
from
inadequate
or
failed
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.
◾
◾
90
90
Model
risk:
The
risk
of
the
potential
adverse
consequences
from
financial
assessments
or
decisions
based
on
incorrect
or
misused
model
outputs
and
reports.
◾
93
Conduct
risk:
The
risk
of
detriment
to
customers,
clients,
market
integrity,
effective
competition
or
Barclays
from
the
inappropriate
supply
of
financial
services,
including
instances
of
wilful
or
negligent
misconduct.
◾
93
Reputation
risk:
The
risk
that
an
action,
transaction,
investment,
event,
decision,
or
business
relationship
will
reduce
trust
in
the
Barclays
Bank
Group’s
integrity
and/or
competence.
◾
93
Risk
review
Contents
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
23
Page
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.
◾
93
Supervision
and
regulation
The
Barclays
Bank
Group’s
operations,
including
its
overseas
offices,
subsidiaries
and
associates,
are
subject
to
a
significant
body
of
rules
and
regulations.
◾
94
Risk
review
Risk
management
Barclays’
risk
management
strategy
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
24
The
Barclays
Bank
Group’s
risk
management
strategy
This
section
introduces
the
Barclays
Bank
Group’s
approach
to
managing
and
identifying
risks,
and
for
fostering
a
strong
risk
culture.
Enterprise
Risk
Management
Framework
(ERMF)
The
ERMF
sets
the
strategic
approach
for
risk
management
by
defining
standards,
objectives
and
responsibilities
for
all
areas
of
the
Barclays
Group.
It
is
approved
by
the
Barclays
PLC
Board
on
recommendation
of
the
Barclays
Group
Chief
Risk
Officer
(CRO);
it
is
then
adopted
by
the
Barclays
Bank
Group
with
modifications
where
needed.
It
supports
senior
management
in
effective
risk
management
and
developing
a
strong
risk
culture.
The
ERMF
sets
out:
◾
◾
management
and
reporting
of
risks.
◾
◾
managers,
as
well
as
the
Barclays
Bank
Group
committees.
The
ERMF
is
complemented
by
frameworks,
policies
and
standards
which
are
mainly
aligned
to
individual
Principal
Risks:
◾
◾
◾
out.
St
andards
describe
“how”
controls
should
be
undertaken.
Segregation
of
duties
-
the
"Three
Lines
of
Defence"
model
The
ERMF
sets
out
a
clear
lines
of
defence
model.
All
colleagues
are
responsible
for
understanding
and
managing
risks
within
the
context
of
their
individual
roles
and
responsibilities,
as
set
out
below:
◾
support
functions,
including
Finance,
Treasury,
and
Human
Resources.
The
first
line
is
responsible
for
identifying
and
managing
the
risks
they
generate,
establishing
a
control
framework,
and
escalating
risk
events
to
Risk
and
Compliance.
◾
under
which
first
line
activities
shall
be
performed,
consistent
with
the
risk
appetite
of
the
Barclays
Bank
Group,
and
to
monitor
the
performance
of
the
first
line
against
these
limits
and
constraints.
Note
that
limits
for
a
number
of
first
line
activities,
related
to
operational
risk,
will
be
set
by
the
first
line
and
overseen
by
the
Chief
Controls
Office.
These
will
remain
subject
to
supervision
by
the
second
line.
◾
management
and
control
over
current,
systemic
and
evolving
risks.
◾
line
oversight.
Principal
risks
The
ERMF
identifies
eight
principal
risks
(see
managing
risks
in
the
strategic
report
section)
and
sets
out
associated
responsibilities
and
expectations
around
risk
management.
The
principal
risks
are:
credit
risk,
market
risk,
treasury
and
capital
risk,
operational
risk,
model
risk,
conduct
risk,
reputation
risk
and
legal
risk.
Each
of
the
principal
risks
is
overseen
by
an
accountable
executive
within
the
Barclays
Group
who
is
responsible
for
the
framework,
policies
and
standards
that
detail
the
related
requirements.
Risk
reports
to
executive
and
Board
committees
are
clearly
organised
by
principal
risk.
In
addition,
certain
risks
span
more
than
one
principal
risk;
these
are
also
subject
to
the
ERMF
and
are
reported
to
executive
and
Board
committees.
Risk
appetite
for
the
principal
risks
Risk
appetite
is
defined
as
the
level
of
risk
which
the
Barclays
Bank
Group’s
businesses
are
prepared
to
accept
in
the
conduct
of
their
activities.
It
provides
a
basis
for
ongoing
dialogue
between
management
and
Board
with
respect
to
the
Barclays
Bank
Group’s
current
and
evolving
risk
profile,
allowing
strategic
and
financial
decisions
to
be
made
on
an
informed
basis.
The
Barclays
Group’s
total
risk
appetite
and
its
allocation
to
the
Barclays
Bank
Group
are
supported
by
limits
to
control
exposures
and
activities
that
have
material
concentration
risk
implications.
Risk
review
Risk
management
Barclays’
risk
management
strategy
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
25
Risk
Committees
Barclays
Bank
Group
Product/Risk
Type
Committees
consider
risk
matters
relevant
to
their
business,
and
escalate
as
required
to
the
Barclays
Group
Risk
Committee,
whose
Chairman,
in
turn,
escalates
to
the
Barclays
Bank
PLC
Board
Committees
and
the
Barclays
Bank
PLC
Board.
There
are
two
Board-level
forums
which
oversee
the
application
of
the
ERMF
and
review
and
monitor
risk
across
Barclays
Bank
PLC.
These
are:
the
Barclays
Bank
PLC
Board
Risk
Committee
and
the
Barclays
Bank
PLC
Board
Audit
Committee.
Additionally,
the
Barclays
Bank
PLC
Board
Remuneration
Committee
oversees
pay
practices
focusing
on
aligning
pay
to
sustainable
performance
in
line
with
policies.
Finally,
the
Barclays
Bank
PLC
Board
receives
regular
information
on
the
risk
profile
of
Barclays
Bank
Group,
and
has
ultimate
responsibility
for
risk
appetite
and
capital
plans,
within
the
parameters
set
by
the
Barclays
PLC
Board.
◾
The
Barclays
Bank
PLC
Board:
is
approved
by
the
Barclays
PLC
Board
and
disseminated
across
legal
entities,
including
the
Barclays
Bank
Group.
The
Barclays
Bank
Group
may
choose
to
adopt
a
lower
risk
appetite
than
allocated
to
it
by
the
Barclays
Group.
The
Barclays
Bank
PLC
Board
is
also
responsible
for
the
adoption
of
the
ERMF.
◾
The
Barclays
Bank
PLC
Board
Risk
Committee
(BRC
):
The
BRC
monitors
Barclays
Bank
Group’s
risk
profile
against
the
agreed
appetite.
Where
actual
performance
differs
from
expectations,
the
actions
taken
by
management
are
reviewed
to
ascertain
that
the
BRC
is
comfortable
with
them.
The
Barclays
Bank
Group
CRO
regularly
presents
a
report
to
the
BRC
summarising
developments
in
the
risk
environment
and
performance
trends
in
the
key
portfolios.
The
BRC
also
reviews
certain
key
risk
methodologies,
the
effectiveness
of
risk
management,
and
the
Barclays
Bank
Group
risk
profile,
including
the
material
issues
affecting
each
business
portfolio
and
forward
risk
trends.
The
committee
also
commissions
in-depth
analyses
of
significant
risk
topics,
which
are
presented
by
the
Barclays
Bank
Group
CRO
or
senior
risk
managers
in
the
businesses.
All
members
are
independent
non-executive
Directors.
The
Chairman
of
the
BRC
also
sits
on
the
BAC.
◾
The
Barclays
Bank
PLC
Board
Audit
Committee
(BAC):
The
BAC
receives
regular
reports
on
the
effectiveness
of
internal
control
systems,
on
material
control
issues
of
significance,
and
on
accounting
judgements
(including
impairment),
and
a
quarterly
review
of
the
adequacy
of
impairment
allowances,
relative
to
the
risk
inherent
in
the
portfolios,
the
business
environment,
and
Barclays
policies
and
methodologies.
◾
The
Barclays
Bank
PLC
Board
Remuneration
Committee
(RemCo):
performance
and
risk
profile,
and
proposals
on
ex-ante
and
ex-post
risk
adjustments
to
variable
remuneration.
These
inputs
are
considered
in
the
setting
of
performance
incentives.
A
small
number
of
risk
management
forums,
supported
by
reporting
processes,
include
representation
from
the
Barclays
Group
risk
management
executives,
as
well
as
from
the
operating
entities
(including
the
Barclays
Bank
Group)
as
appropriate.
This
is
typically
to
consider
matters
that
are
relevant
to
the
risk
profile
of
the
Barclays
Group,
and/or
where
it
is
appropriate
to
make
decisions
that
apply
uniformly
across
the
Barclays
Group
(for
instance,
the
Barclays
Group
Impairment
Committee
approves
impairment
results).
Role
of
the
Barclays
Group
Risk
Management
Processes
and
Forums
in
the
Barclays
Bank
Group
The
Barclays
Group
Risk
teams
and
Board
Committees
conduct
risk
management
activity,
and
oversight,
in
respect
of
the
Barclays
Bank
Group:
◾
◾
Bank
Group
that
are
relevant
to
the
risk
profile
of
the
Barclays
Group;
◾
specific
addenda
are
agreed
with
the
Barclays
Group
where
local
regulations
would
otherwise
preclude
adoption,
or
to
clarify
or
emphasise
particular
aspects.
Barclays’
risk
culture
Risk
culture
can
be
defined
as
the
norms,
attitudes
and
behaviours
related
to
risk
awareness,
risk
taking
and
risk
management.
This
is
reflected
in
how
the
Barclays
Bank
Group
identifies,
escalates
and
manages
risk
matters.
The
Barclays
Bank
Group
is
committed
to
maintaining
a
robust
risk
culture
in
which:
◾
Risk
review
Risk
management
Barclays’
risk
management
strategy
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
26
◾
Specifically,
all
employees
regardless
of
their
positions,
functions
or
locations
must
play
their
part
in
the
Barclays
Bank
Group’s
risk
management.
Employees
are
required
to
be
familiar
with
risk
management
policies
which
are
relevant
to
their
responsibilities,
know
how
to
escalate
actual
or
potential
risk
issues,
and
have
a
role-appropriate
level
of
awareness
of
the
risk
management
process
as
defined
by
the
ERMF.
Our
Code
of
Conduct
–
the
Barclays
Way
Globally,
all
colleagues
must
attest
to
the
“Barclays
Way”,
our
Code
of
Conduct,
and
comply
with
all
frameworks,
policies
and
standards
applicable
to
their
roles.
The
Code
of
Conduct
outlines
the
purpose
and
values
which
govern
our
“Barclays
Way”
of
working
across
our
business
globally.
It
constitutes
a
reference
point
covering
the
aspects
of
colleagues’
working
relationships,
with
other
Barclays
employees,
customers
and
clients,
governments
and
regulators,
business
partners,
suppliers,
competitors
and
the
broader
community.
Risk
review
Material
existing
and
emerging
risks
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
27
Material
existing
and
emerging
risks
to
the
Barclays
Bank
Group’s
future
performance
The
Barclays
Bank
Group
has
identified
a
broad
range
of
risks
to
which
its
businesses
are
exposed.
Material
risks
are
those
to
which
senior
management
pay
particular
attention
and
which
could
cause
the
delivery
of
the
Barclays
Bank
Group’s
strategy,
results
of
operations,
financial
condition
and/or
prospects
to
differ
materially
from
expectations.
Emerging
risks
are
those
which
have
unknown
components,
the
impact
of
which
could
crystallise
over
a
longer
time
period.
In
addition,
certain
other
factors
beyond
the
Barclays
Bank
Group’s
control,
including
escalation
of
terrorism
or
global
conflicts,
natural
disasters,
pandemics
and
similar
events,
although
not
detailed
below,
could
have
a
similar
impact
on
the
Barclays
Bank
Group.
Material
existing
and
emerging
risks
potentially
impacting
more
than
one
principal
risk
i)
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
restrictions
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
or
extension
of
restrictions)
may
vary
from
jurisdiction
to
jurisdiction
and/or
within
jurisdictions.
It
remains
unclear
how
the
COVID-19
pandemic
will
evolve
through
2021
(including
whether
there
will
be
further
waves
of
the
COVID-19
pandemic,
whether
COVID-19
vaccines
approved
for
use
by
regulatory
authorities
will
be
deployed
successfully
with
desired
results,
whether
further
new
strains
of
COVID-19
will
emerge
and
whether,
and
in
what
manner,
additional
restrictions
will
be
imposed
and/or
existing
restrictions
extended)
and
the
Barclays
Bank
Group
continues
to
monitor
the
situation
closely.
However,
despite
the
COVID-19
contingency
plans
established
by
the
Barclays
Bank
Group,
the
ability
to
conduct
business
may
be
adversely
affected
by
disruptions
to
infrastructure,
business
processes
and
technology
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
full
extent
of
how
these
schemes
will
impact
the
Barclays
Bank
Group’s
customers
and
therefore
the
impact
on
the
Barclays
Bank
Group
remains
uncertain
at
this
stage.
However,
certain
actions
(such
as
the
introduction
of
payment
holidays
for
various
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
may
reduce
fee
income
being
earned
on
certain
products
and
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
expires).
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
or
if
the
Barclays
Bank
Group
is
unable
to
rely
on
guarantees
provided
by
governments
in
connection
with
financial
support
schemes
as
a
result
of
the
Barclays
Banks
Group’s
failure
to
comply
with
scheme
requirements
or
otherwise.
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,
economic
growth
may
be
negatively
impacted
which
may
impact
the
Barclays
Bank
Group’s
results
of
operations
and
profitability.
In
addition,
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,
refer
to
“viii)
Legal
risk
and
legal,
competition
and
regulatory
matters”
below.
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
gross
domestic
product
(GDP)
in
most
jurisdictions
in
which
the
Barclays
Bank
Group
operates
and
an
expectation
of
higher
unemployment
in
those
same
jurisdictions.
These
factors
all
have
a
significant
impact
on
the
modelling
of
expected
credit
losses
(ECLs)
by
the
Barclays
Bank
Group.
As
a
result,
the
Barclays
Bank
Group
experienced
higher
ECLs
in
2020
compared
to
prior
periods
and
this
trend
ma
y
continue
in
2021.
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
and
the
efficacy
of
any
COVID-19
vaccines,
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
the
credit
risk
performance
section.
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).
Risk
review
Material
existing
and
emerging
risks
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
28
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
“(v)
Model
risk”
below.
The
disruption
to
economic
activity
globally
caused
by
the
COVID-19
pandemic
could
adversely
impact
the
Barclays
Bank
Group's
other
assets
such
as
goodwill
and
intangibles,
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
capital
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.
Furthermore,
in
order
to
support
lending
activity
to
promote
economic
growth,
governments
and/or
regulators
may
limit
management’s
flexibility
in
managing
its
business,
require
the
deployment
of
capital
in
particular
business
lines
or
otherwise
restrict
or
limit
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.
ii)
The
Barclays
Bank
Group’s
operations
are
subject
to
potentially
unfavourable
global
and
local
economic
and
market
conditions,
as
well
as
geopolitical
developments,
which
may
have
a
material
effect
on
the
Barclays
Bank
Group’s
business,
results
of
operations,
financial
condition
and
prospects.
A
deterioration
in
global
or
local
economic
and
market
conditions
may
lead
to
(among
other
things):
(i)
deteriorating
business,
consumer
or
investor
confidence
and
lower
levels
of
fixed
asset
investment
and
productivity
growth,
which
in
turn
may
lead
to
lower
client
activity,
including
lower
demand
for
borrowing
from
creditworthy
customers;
(ii)
higher
default
rates,
delinquencies,
write-offs
and
impairment
charges
as
borrowers
struggle
with
the
burden
of
additional
debt;
(iii)
subdued
asset
prices
and
payment
patterns,
including
the
value
of
any
collateral
held
by
the
Barclays
Bank
Group;
(iv)
mark-to-market
losses
in
trading
portfolios
resulting
from
changes
in
factors
such
as
credit
ratings,
share
prices
and
solvency
of
counterparties;
and
(v)
revisions
to
calculated
ECLs
leading
to
increases
in
impairment
allowances.
In
addition,
the
Barclays
Bank
Group’s
ability
to
borrow
from
other
financial
institutions
or
raise
funding
from
external
investors
may
be
affected
by
deteriorating
economic
conditions
and
market
disruption.
Geopolitical
events
may
lead
to
further
financial
instability
and
affect
economic
growth.
In
particular:
◾
governments
implemented
financial
stimulus
packages
to
counter
the
economic
impact
of
the
pandemic,
recovery
has
been
slower
than
anticipated
and
concerns
remain
as
to
whether
(a)
there
will
be
subsequent
waves
of
the
COVID-19
pandemic,
(b)
further
financial
stimulus
will
be
required
and/or
(c)
governments
will
be
required
to
significantly
increase
taxation
to
fund
these
commitments.
All
of
these
factors
could
adversely
affect
economic
growth,
affect
specific
industries
or
countries
or
affect
the
Barclays
Bank
Group’s
employees
and
business
operations
in
affected
countries.
See
“i)
Risks
relating
to
the
impact
of
COVID-19”
above
for
further
details.
◾
investment
and
market
confidence
in
the
UK
and
the
remainder
of
EU.
See
“(iii)
The
UK’s
withdrawal
from
the
European
Union”
below
for
further
details.
◾
corporate
and
investment
banking
exposures.
The
possibility
of
significant
continued
changes
in
US
policy
in
certain
sectors
(including
trade,
healthcare
and
commodities)
may
have
an
impact
on
the
Barclays
Bank
Group’s
associated
portfolios.
Stress
in
the
US
economy,
weakening
GDP
and
the
associated
exchange
rate
fluctuations,
heightened
trade
tensions
(such
as
the
current
dispute
between
the
US
and
China),
an
unexpected
rise
in
unemployment
and/or
an
increase
in
interest
rates
could
lead
to
increased
levels
of
impairment,
resulting
in
a
negative
impact
on
the
Barclays
Bank
Group’s
profitability.
◾
An
escalation
in
geopolitical
tensions
or
increased
use
of
protectionist
measures
may
negatively
impact
the
Barclays
Bank
Group’s
business
in
the
affected
regions.
◾
stronger
than
expected
slowdown
could
result
if
authorities
fail
to
appropriately
manage
growth
during
the
transition
from
manufacturing
towards
services
and
the
end
of
the
investment
and
credit-led
boom.
Deterioration
in
emerging
markets
could
affect
the
Barclays
Bank
Group
if
it
results
in
higher
impairment
charges
via
sovereign
or
counterparty
defaults.
iii)
The
UK’s
withdrawal
from
the
European
Union
There
are
a
number
of
factors
associated
with
the
UK’s
withdrawal
from
the
EU,
which
could
have
a
material
adverse
effect
on
the
Barclays
Bank
Group’s
business,
results
of
operations,
financial
condition
and
prospects.
Trade
and
economic
activity
between
the
EU
and
UK
The
EU-UK
Trade
and
Cooperation
Agreement
(TCA),
which
provides
a
new
economic
and
social
partnership
between
the
EU
and
UK
(including
zero
tariffs
and
zero
quotas
on
all
goods
that
comply
with
the
appropriate
rules
of
origin)
came
into
force
provisionally
on
1
January
2021.
Risk
review
Material
existing
and
emerging
risks
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
29
The
TCA
is
a
new,
unprecedented
arrangement
between
the
EU
and
the
UK,
and
there
is
some
uncertainty
as
to
its
operation
and
the
manner
in
which
trading
arrangements
will
be
enforced
by
both
the
EU
and
the
UK.
Furthermore,
the
EU
and/or
the
UK
can
invoke
trade
remedies
(such
as
tariffs
and
non-tariff
barriers)
against
each
other
in
certain
circumstances
under
the
TCA.
Resultant
trading
disruption
may
have
a
significant
impact
on
economic
activity
in
the
EU
and
the
UK
which
(in
turn)
could
have
a
material
adverse
effect
on
the
Barclays
Bank
Group’s
business,
results
of
operations,
financial
condition
and
prospects.
Unstable
economic
conditions
could
result
in
(among
other
things):
◾
falling
property
prices,
which
could
lead
to
increased
impairments
in
relation
to
a
number
of
the
Barclays
Bank
Group’s
portfolios
(including,
but
not
limited
to,
its
UK
mortgage
portfolio,
unsecured
lending
portfolio
(including
credit
cards)
and
commercial
real
estate
exposures);
◾
positions
and
affect
the
underlying
value
of
assets
in
the
banking
book
and
securities
held
by
the
Barclays
Bank
Group
for
liquidity
purposes;
◾
the
UK
sovereign
credit
ratings),
which
could
significantly
increase
the
Barclays
Bank
Group’s
cost
of
and/or
reduce
its
access
to
funding,
widen
credit
spreads
and
materially
adversely
affect
the
Barclays
Bank
Group’s
interest
margins
and
liquidity
position;
and/or
◾
negatively
impact
the
Barclays
Bank
Group’s
cost
of
and/or
access
to
funding.
Current
provision
of
financial
services
The
TCA
does
not
cover
financial
services
regulation.
Accordingly,
UK-based
entities
within
the
Barclays
Group
(such
as
Barclays
Bank
PLC
and
Barclays
Bank
UK
PLC)
are
no
longer
able
to
rely
on
the
European
passporting
framework
for
financial
services.
Barclays
Bank
PLC
and
Barclays
Capital
Securities
Limited
have
put
in
place
new
arrangements
in
the
provision
of
cross-border
banking
and
investment
services
to
customers
and
counterparties
in
the
EEA
(including
by
servicing
EEA
clients
through
the
Barclays
Group’s
EEA
hub
(Barclays
Bank
Ireland
PLC),
whilst
Barclays
Bank
UK
PLC
remains
focused
on
UK
customers.
The
TCA
was
accompanied
by
a
Joint
Declaration
on
Financial
Services,
requiring
the
parties
to
agree
a
Memorandum
of
Understanding
(MoU),
by
March
2021,
establishing
the
framework
for
cooperation
in
financial
services.
The
MoU
will
also
cover
how
to
move
forward
on
equivalence
determinations
between
the
EU
and
the
UK.
There
can
be
no
assurance
that
the
EU
and
the
UK
will
reach
further
agreement
on
equivalence
decisions.
As
a
result,
equivalence
decisions
which
would
enable
UK
firms
to
access
EEA
clients
on
a
cross
border
basis
for
certain
markets
products,
cannot
be
relied
upon
to
allow
UK-
based
entities
within
the
Barclays
Bank
Group
to
meet
all
of
the
needs
of
customers
and
clients
based
in
the
EEA.
However,
there
are
certain
other
types
of
equivalence
decisions
which
are
material
to
the
operations
of
the
Barclays
Bank
Group.
To
date,
the
EU
and
the
UK
have
only
agreed
a
temporary
position
on
mutual
equivalence
in
relation
to
clearing
and
settlement
(CCP
equivalence).
If
the
current
mutual,
temporary
equivalence
decision
in
relation
to
CCP
equivalence
expires
and
is
not
replaced,
this
could
have
a
material
adverse
effect
on
the
Barclays
Bank
Group’s
business
as
well
as
its
clients.
In
addition,
HM
Treasury
has
made
certain
unilateral
equivalence
decisions,
(including
under
the
Capital
Requirements
Regulation
(CRR)
and
the
removal
of
such
decisions
could
have
a
material
impact
on
the
operations
of
the
Barclays
Bank
Group.
The
Barclays
Bank
Group
provides
the
majority
of
its
cross-border
banking
and
investment
services
to
EEA
clients
via
Barclays
Bank
Ireland
PLC.
Additionally,
in
certain
EEA
Member
States,
Barclays
Bank
PLC
and
Barclays
Capital
Securities
Limited
(BCSL)
have
applied
for
and
received
cross
border
licences
to
enable
them
to
continue
to
conduct
a
limited
range
of
activities,
including
accessing
EEA
trading
venues
and
interdealer
trading.
As
a
result
of
the
onshoring
of
EU
legislation
in
the
UK
and
the
exercise
of
the
UK
regulators’
Temporary
Transitional
Powers,
UK-based
entities
within
the
Barclays
Bank
Group
are
currently
subject
to
substantially
the
same
rules
and
regulations
as
prior
to
the
UK’s
withdrawal
from
the
EU.
It
is
the
UK’s
intention
eventually
to
recast
onshored
EU
legislation
as
part
of
UK
legislation
and
PRA
and
FCA
rules,
which
could
result
in
changes
to
regulatory
requirements
in
the
UK.
If
the
regulatory
regimes
for
EU
and
UK
financial
services
change
further,
or
if
temporary
permissions
and
equivalence
decisions
expire,
and
are
not
replaced,
the
provision
of
cross-border
banking
and
investment
services
across
the
Barclays
Bank
Group
may
become
more
complex
and
costly
which
could
have
a
material
adverse
effect
on
the
Barclays
Bank
Group’s
business
and
results
of
operations
and
could
result
in
the
Barclays
Bank
Group
modifying
its
legal
entity,
capital
and
funding
structures
and
business
mix,
exiting
certain
business
activities
altogether
or
not
expanding
in
areas
despite
otherwise
attractive
potential
returns.
This
may
also
be
exacerbated
if,
Barclays
Bank
Ireland
PLC
expands
further
and,
as
a
result
of
its
growth
and
importance
to
the
Barclays
Bank
Group
and
the
EEA
banking
system
as
a
whole,
Barclays
Bank
Ireland
PLC
is
made
subject
to
higher
capital
requirements
or
restrictions
are
imposed
by
regulators
on
capital
allocation
and
capital
distributions
by
Barclays
Bank
Ireland
PLC.
Risk
review
Material
existing
and
emerging
risks
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
30
iv)
The
impact
of
interest
rate
changes
on
the
Barclays
Bank
Group’s
profitability
Changes
to
interest
rates
are
significant
for
the
Barclays
Bank
Group,
especially
given
the
uncertainty
as
to
the
direction
of
interest
rates
and
the
pace
at
which
they
may
change
particularly
in
the
Barclays
Bank
Group’s
main
markets
of
the
UK
and
the
US.
A
continued
period
of
low
interest
rates
and
flat
yield
curves,
including
any
further
rate
cuts
and/or
negative
interest
rates,
may
affect
and
continue
to
put
pressure
on
the
Barclays
Bank
Group’s
net
interest
margins
(the
difference
between
its
lending
income
and
borrowing
costs)
and
could
adversely
affect
the
profitability
and
prospects
of
the
Barclays
Bank
Group.
Interest
rate
rises
could
positively
impact
the
Barclays
Bank
Group’s
profitability
as
retail
and
corporate
business
income
increases
due
to
margin
de-compression.
However,
further
increases
in
interest
rates,
if
larger
or
more
frequent
than
expected,
could
lead
to
generally
weaker
than
expected
growth,
reduced
business
confidence
and
higher
unemployment.
This,
in
turn,
could
cause
stress
in
the
lending
portfolio
and
underwriting
activity
of
the
Barclays
Bank
Group
with
resultant
higher
credit
losses
driving
an
increased
impairment
charge
which
would
most
notably
impact
retail
unsecured
portfolios
and
wholesale
non-investment
grade
lending
and
could
have
a
material
effect
on
the
Barclays
Bank
Group’s
business,
results
of
operations,
financial
condition
and
prospects.
In
addition,
changes
in
interest
rates
could
have
an
adverse
impact
on
the
value
of
the
securities
held
in
the
Barclays
Bank
Group’s
liquid
asset
portfolio.
Consequently,
this
could
create
more
volatility
than
expected
through
the
Barclays
Bank
Group’s
Fair
Value
through
Other
Comprehensive
Income
(FVOCI)
reserves.
v)
Competition
in
the
banking
and
financial
services
industry
The
Barclays
Bank
Group
operates
in
a
highly
competitive
environment
(in
particular,
in
the
UK
and
US)
in
which
it
must
evolve
and
adapt
to
the
significant
changes
as
a
result
of
financial
regulatory
reform,
technological
advances,
increased
public
scrutiny
and
current
economic
conditions.
The
Barclays
Bank
Group
expects
that
competition
in
the
financial
services
industry
will
continue
to
be
intense
and
may
have
a
material
adverse
effect
on
the
Barclays
Bank
Group’s
future
business,
results
of
operations
and
prospects.
New
competitors
in
the
financial
services
industry
continue
to
emerge.
For
example,
technological
advances
and
the
growth
of
e-commerce
have
made
it
possible
for
non-banks
to
offer
products
and
services
that
traditionally
were
banking
products.
This
has
allowed
financial
institutions
and
other
companies
to
provide
electronic
and
internet-based
financial
solutions,
including
electronic
securities
trading,
payments
processing
and
online
automated
algorithmic-based
investment
advice.
Furthermore,
both
financial
institutions
and
their
non-banking
competitors
face
the
risk
that
payments
processing
and
other
services
could
be
significantly
disrupted
by
technologies,
such
as
cryptocurrencies,
that
require
no
intermediation.
New
technologies
have
required
and
could
require
the
Barclays
Bank
Group
to
spend
more
to
modify
or
adapt
its
products
or
make
additional
capital
investments
in
its
businesses
to
attract
and
retain
clients
and
customers
or
to
match
products
and
services
offered
by
its
competitors,
including
technology
companies.
Ongoing
or
increased
competition
may
put
pressure
on
the
pricing
for
the
Barclays
Bank
Group’s
products
and
services,
which
could
reduce
the
Barclays
Bank
Group's
revenues
and
profitability,
or
may
cause
the
Barclays
Bank
Group
to
lose
market
share,
particularly
with
respect
to
traditional
banking
products
such
as
deposits,
bank
accounts
and
mortgage
lending.
This
competition
may
be
on
the
basis
of
quality
and
variety
of
products
and
services
offered,
transaction
execution,
innovation,
reputation
and
price.
The
failure
of
any
of
the
Barclays
Bank
Group’s
businesses
to
meet
the
expectations
of
clients
and
customers,
whether
due
to
general
market
conditions,
under-performance,
a
decision
not
to
offer
a
particular
product
or
service,
changes
in
client
and
customer
expectations
or
other
factors,
could
affect
the
Barclays
Bank
Group’s
ability
to
attract
or
retain
clients
and
customers.
Any
such
impact
could,
in
turn,
reduce
the
Barclays
Bank
Group’s
revenues.
vi)
Regulatory
change
agenda
and
impact
on
business
model
The
Barclays
Bank
Group
remains
subject
to
ongoing
significant
levels
of
regulatory
change
and
scrutiny
in
many
of
the
countries
in
which
it
operates
(including,
in
particular,
the
UK
and
the
US).
As
a
result,
regulatory
risk
will
remain
a
focus
for
senior
management.
Furthermore,
a
more
intensive
regulatory
approach
and
enhanced
requirements
together
with
the
potential
lack
of
international
regulatory
co-ordination
as
enhanced
supervisory
standards
are
developed
and
implemented
may
adversely
affect
the
Barclays
Bank
Group’s
business,
capital
and
risk
management
strategies
and/or
may
result
in
the
Barclays
Bank
Group
deciding
to
modify
its
legal
entity,
capital
and
funding
structures
and
business
mix,
or
to
exit
certain
business
activities
altogether
or
not
to
expand
in
areas
despite
otherwise
attractive
potential.
There
are
several
significant
pieces
of
legislation
and
areas
of
focus
which
will
require
significant
management
attention,
cost
and
resource,
including:
◾
for
internal
MREL),
leverage,
liquidity
or
funding
requirements,
applicable
buffers
and/or
add-ons
to
such
minimum
requirements
and
risk
weighted
assets
calculation
methodologies
all
as
may
be
set
by
international,
EU
or
national
authorities.
Such
or
similar
changes
to
prudential
requirements
or
additional
supervisory
and
prudential
expectations,
either
individually
or
in
aggregate,
may
result
in,
among
other
things,
a
need
for
further
management
actions
to
meet
the
changed
requirements,
such
as:
-
-
-
-
-
-
◾
regulations
introduced
which
require
the
reporting
and
clearing
of
standardised
over
the
counter
(OTC)
derivatives
and
the
mandatory
margining
of
non-cleared
OTC
derivatives.
These
regulations
may
increase
costs
for
market
participants,
as
well
as
reduce
liquidity
in
the
derivatives
markets,
in
particular
if
there
are
areas
of
overlapping
or
conflicting
regulation.
More
broadly,
changes
to
the
regulatory
framework
(in
particular,
the
review
of
the
second
Markets
in
Financial
Instruments
Directive
and
the
implementation
of
the
Benchmarks
Regulation)
could
entail
significant
costs
for
market
participants
and
may
have
a
significant
impact
on
certain
markets
in
which
the
Barclays
Bank
Group
operates.
Risk
review
Material
existing
and
emerging
risks
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
31
◾
number
of
jurisdictions.
These
exercises
currently
include
the
programmes
of
the
Bank
of
England,
the
European
Banking
Authority
(EBA),
the
Federal
Deposit
Insurance
Corporation
(FDIC)
and
the
Federal
Reserve
Board
(FRB).
Failure
to
meet
the
requirements
of
regulatory
stress
tests,
or
the
failure
by
regulators
to
approve
the
stress
test
results
and
capital
plans
of
the
Barclays
Group,
could
result
in
the
Barclays
Group
or
certain
of
its
members
(including
Barclays
Bank
PLC)
being
required
to
enhance
their
capital
position,
limit
capital
distributions
or
position
additional
capital
in
specific
subsidiaries.
For
further
details
on
the
regulatory
supervision
of,
and
regulations
applicable
to,
the
Barclays
Bank
Group,
see
the
Supervision
and
regulation
section.
vii)
The
impact
of
climate
change
on
the
Barclays
Bank
Group’s
business
The
risks
associated
with
climate
change
are
subject
to
rapidly
increasing
societal,
regulatory
and
political
focus,
both
in
the
UK
and
internationally.
Embedding
climate
risk
into
the
Barclays
Bank
Group’s
risk
framework
in
line
with
regulatory
expectations,
and
adapting
the
Barclays
Bank
Group’s
operations
and
business
strategy
to
address
the
financial
risks
resulting
from
both:
(i)
the
physical
risk
of
climate
change;
and
(ii)
the
risk
from
the
transition
to
a
low
carbon
economy,
could
have
a
significant
impact
on
the
Barclays
Bank
Group’s
business.
Physical
risks
from
climate
change
arise
from
a
number
of
factors
and
relate
to
specific
weather
events
and
longer-term
shifts
in
the
climate.
The
nature
and
timing
of
extreme
weather
events
are
uncertain
but
they
are
increasing
in
frequency
and
their
impact
on
the
economy
is
predicted
to
be
more
acute
in
the
future.
The
potential
impact
on
the
economy
includes,
but
is
not
limited
to,
lower
GDP
growth,
higher
unemployment
and
significant
changes
in
asset
prices
and
profitability
of
industries.
Damage
to
the
properties
and
operations
of
borrowers
could
impair
asset
values
and
the
creditworthiness
of
customers
leading
to
increased
default
rates,
delinquencies,
write-offs
and
impairment
charges
in
the
Barclays
Bank
Group’s
portfolios.
In
addition,
the
Barclays
Bank
Group’s
premises
and
resilience
may
also
suffer
physical
damage
due
to
weather
events
leading
to
increased
costs
for
the
Barclays
Bank
Group.
As
the
economy
transitions
to
a
low-carbon
economy,
financial
institutions
such
as
the
Barclays
Bank
Group
may
face
significant
and
rapid
developments
in
stakeholder
expectations,
policy,
law
and
regulation
which
could
impact
the
lending
activities
the
Barclays
Bank
Group
undertakes,
as
well
as
the
risks
associated
with
its
lending
portfolios,
and
the
value
of
the
Barclays
Bank
Group’s
financial
assets.
As
sentiment
towards
climate
change
shifts
and
societal
preferences
change,
the
Barclays
Bank
Group
may
face
greater
scrutiny
of
the
type
of
business
it
conducts,
adverse
media
coverage
and
reputational
damage,
which
may
in
turn
impact
customer
demand
for
the
Barclays
Bank
Group's
products,
returns
on
certain
business
activities
and
the
value
of
certain
assets
and
trading
positions
resulting
in
impairment
charges.
In
addition,
the
impacts
of
physical
and
transition
climate
risks
can
lead
to
second
order
connected
risks,
which
have
the
potential
to
affect
the
Barclays
Bank
Group’s
retail
and
wholesale
portfolios.
The
impacts
of
climate
change
may
increase
losses
for
those
sectors
sensitive
to
the
effects
of
physical
and
transition
risks.
Any
subsequent
increase
in
defaults
and
rising
unemployment
could
create
recessionary
pressures,
which
may
lead
to
wider
deterioration
in
the
creditworthiness
of
the
Barclays
Bank
Group’s
clients,
higher
ECLs,
and
increased
charge-offs
and
defaults
among
retail
customers.
If
the
Barclays
Bank
Group
does
not
adequately
embed
risks
associated
with
climate
change
into
its
risk
framework
to
appropriately
measure,
manage
and
disclose
the
various
financial
and
operational
risks
it
faces
as
a
result
of
climate
change,
or
fails
to
adapt
its
strategy
and
business
model
to
the
changing
regulatory
requirements
and
market
expectations
on
a
timely
basis,
it
may
have
a
material
and
adverse
impact
on
the
Barclays
Bank
Group’s
level
of
business
growth,
competitiveness,
profitability,
capital
requirements,
cost
of
funding,
and
financial
condition.
For
further
details
on
the
Barclays
Bank
Group’s
approach
to
climate
change,
see
the
climate
change
risk
management
section.
viii)
Impact
of
benchmark
interest
rate
reforms
on
the
Barclays
Bank
Group
For
several
years,
global
regulators
and
central
banks
have
been
driving
international
efforts
to
reform
key
benchmark
interest
rates
and
indices,
such
as
the
London
Interbank
Offered
Rate
(LIBOR),
which
are
used
to
determine
the
amounts
payable
under
a
wide
range
of
transactions
and
make
them
more
reliable
and
robust.
This
has
resulted
in
significant
changes
to
the
methodology
and
operation
of
certain
benchmarks
and
indices,
the
adoption
of
alternative
“risk-free”
reference
rates
and
the
proposed
discontinuation
of
certain
reference
rates
(including
LIBOR),
with
further
changes
anticipated,
including
UK,
EU
and
US
legislative
proposals
to
deal
with
‘tough
legacy’
contracts
that
cannot
convert
into
or
cannot
add
fall-back
risk-free
reference
rates.
The
consequences
of
reform
are
unpredictable
and
may
have
an
adverse
impact
on
any
financial
instruments
linked
to,
or
referencing,
any
of
these
benchmark
interest
rates.
Uncertainty
as
to
the
nature
of
such
potential
changes,
the
availability
and/or
suitability
of
alternative
“risk-free”
reference
rates
and
other
reforms
may
adversely
affect
a
broad
range
of
transactions
(including
any
securities,
loans
and
derivatives
which
use
LIBOR
to
determine
the
amount
of
interest
payable
that
are
included
in
the
Barclays
Bank
Group’s
financial
assets
and
liabilities)
that
use
these
reference
rates
and
indices
and
introduce
a
number
of
risks
for
the
Barclays
Bank
Group,
including,
but
not
limited
to:
◾
Conduct
risk:
the
Barclays
Bank
Group
faces
conduct
risks.
These
may
lead
to
customer
complaints,
regulatory
sanctions
or
reputational
impact
if
the
Barclays
Bank
Group
is
considered
to
be
(among
other
things)
(i)
undertaking
market
activities
that
are
manipulative
or
create
a
false
or
misleading
impression,
(ii)
misusing
sensitive
information
or
not
identifying
or
appropriately
managing
or
m
itigating
conflicts
of
interest,
(iii)
providing
customers
with
inadequate
advice,
misleading
information,
unsuitable
products
or
unacceptable
service,
(iv)
not
taking
a
consistent
approach
to
remediation
for
customers
in
similar
circumstances,
(v)
unduly
delaying
the
communication
and
migration
activities
in
relation
to
client
exposure,
leaving
them
insufficient
time
to
prepare
or
(vi)
colluding
or
inappropriately
sharing
information
with
competitors;
◾
Financial
risks:
alternative
“risk-free”
reference
rates
may
impact
the
ability
of
members
of
the
Barclays
Bank
Group
to
calculate
and
model
amounts
receivable
by
them
on
certain
financial
assets
and
determine
the
amounts
payable
on
certain
financial
liabilities
(such
as
debt
securities
issued
by
them)
because
currently
alternative
“risk-free”
reference
rates
(such
as
the
Sterling
Overnight
Index
Average
(SONIA)
and
the
Secured
Overnight
Financing
Rate
(SOFR))
are
look-back
rates
whereas
term
rates
(such
as
LIBOR)
allow
borrowers
to
calculate
at
the
start
of
any
interest
period
exactly
how
much
is
payable
at
the
end
of
such
interest
period.
This
may
have
a
material
adverse
effect
on
the
Barclays
Bank
Group’s
cashflows;
◾
Pricing
risk:
“risk-free”
reference
rates
may
impact
the
pricing
mechanisms
used
by
the
Barclays
Bank
Group
on
certain
transactions;
Risk
review
Material
existing
and
emerging
risks
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
32
◾
Operational
risk:
“risk-free”
reference
rates
may
require
changes
to
the
Barclays
Bank
Group’s
IT
systems,
trade
reporting
infrastructure,
operational
processes,
and
controls.
In
addition,
if
any
reference
rate
or
index
(such
as
LIBOR)
is
no
longer
available
to
calculate
amounts
payable,
the
Barclays
Bank
Group
may
incur
additional
expenses
in
amending
documentation
for
new
and
existing
transactions
and/or
effecting
the
transition
from
the
original
reference
rate
or
index
to
a
new
reference
rate
or
index;
and
◾
Accounting
risk:
Group’s
financial
results
and
performance.
Any
of
these
factors
may
have
a
material
adverse
effect
on
the
Barclays
Bank
Group’s
business,
results
of
operations,
financial
condition
and
prospects.
For
further
details
on
the
impacts
of
benchmark
interest
rate
reforms
on
the
Barclays
Bank
Group,
see
Note
40
to
the
financial
statements.
Material
existing
and
emerging
risks
impacting
individual
principal
risks
i)
Credit
risk
Credit
risk
is
the
risk
of
loss
to
the
Barclays
Bank
Group
from
the
failure
of
clients,
customers
or
counterparties,
including
sovereigns,
to
fully
honour
their
obligations
to
members
of
the
Barclays
Bank
Group,
including
the
whole
and
timely
payment
of
principal,
interest,
collateral
and
other
receivables.
a)
Impairment
The
introduction
of
the
impairment
requirements
of
IFRS
9
Financial
Instruments,
resulted
in
impairment
loss
allowances
that
are
recognised
earlier,
on
a
more
forward-looking
basis
and
on
a
broader
scope
of
financial
instruments,
and
may
continue
to
have,
a
material
impact
on
the
Barclays
Bank
Group’s
business,
results
of
operations,
financial
condition
and
prospects.
Measurement
involves
complex
judgement
and
impairment
charges
could
be
volatile,
particularly
under
st
ressed
conditions.
Unsecured
products
with
longer
expected
lives,
such
as
credit
cards,
are
the
most
impacted.
Taking
into
account
the
transitional
regime,
the
capital
treatment
on
the
increased
reserves
has
the
potential
to
adversely
impact
the
Barclays
Bank
Group’s
regulatory
capital
ratios.
In
addition,
the
move
from
incurred
losses
to
ECLs
has
the
potential
to
impact
the
Barclays
Bank
Group’s
performance
under
stressed
economic
conditions
or
regulatory
stress
tests.
For
more
information,
refer
to
Note
7
to
the
financial
statements.
b)
Specific
sectors
and
concentrations
The
Barclays
Bank
Group
is
subject
to
risks
arising
from
changes
in
credit
quality
and
recovery
rates
of
loans
and
advances
due
from
borrowers
and
counterparties
in
any
specific
portfolio.
Any
deterioration
in
credit
quality
could
lead
to
lower
recoverability
and
higher
impairment
in
a
specific
sector.
The
following
are
areas
of
uncertainties
to
the
Barclays
Bank
Group’s
portfolio
which
could
have
a
material
impact
on
performance:
◾
UK
retail,
hospitality
and
leisure.
Softening
demand,
rising
costs
and
a
structural
shift
to
online
shopping
is
fuelling
pressure
on
the
UK
High
Street
and
other
sectors
heavily
reliant
on
consumer
discretionary
spending.
As
these
sectors
continue
to
reposition
themselves,
the
trend
represents
a
potential
risk
in
the
Barclays
Bank
Group’s
UK
corporate
portfolio
from
the
perspective
of
its
interactions
with
both
retailers
and
their
landlords.
◾
Consumer
affordability
unemployment,
that
impact
a
customer’s
ability
to
service
unsecured
debt
payments
could
lead
to
increased
arrears
in
both
unsecured
and
secured
products.
The
Barclays
Bank
Group
is
exposed
to
the
adverse
credit
performance
of
unsecured
products,
particularly
in
the
US
through
its
US
Cards
business.
◾
UK
real
estate
market.
Barclays
Bank
Group’s
corporate
credit
exposure
is
vulnerable
to
the
impacts
of
the
ongoing
COVID-19
stress,
with
particular
weakness
in
retail
property
as
a
result
of
reduced
rent
collections
and
residential
development,
and
faces
the
risk
of
increased
impairment
from
a
material
fall
in
property
prices.
◾
Leverage
finance
underwriting
.
The
Barclays
Bank
Group
takes
on
sub-investment
grade
underwriting
exposure,
including
single
name
risk,
particularly
in
the
US
and
Europe.
The
Barclays
Bank
Group
is
exposed
to
credit
events
and
market
volatility
during
the
underwriting
period.
Any
adverse
events
during
this
period
may
potentially
result
in
loss
for
the
Barclays
Bank
Group,
or
an
increased
capital
requirement
should
there
be
a
need
to
hold
the
exposure
for
an
extended
period.
◾
talian
mortgage
and
wholesale
exposure
.
The
Barclays
Bank
Group
is
exposed
to
a
decline
in
the
Italian
economic
environment
through
a
mortgage
portfolio
in
run-off
and
positions
to
wholesale
customers.
The
Italian
economy
was
severely
impacted
by
the
COVID-19
pandemic
in
2020
and
recovery
has
been
slower
than
anticipated.
Should
the
Italian
economy
deteriorate
further
or
any
recovery
take
longer
to
materialise,
there
could
be
a
material
adverse
effect
on
the
Barclays
Bank
Group’s
results
of
operations
including,
but
not
limited
to,
increased
credit
losses
and
higher
impairment
charges.
◾
Oil
&
Gas
sector.
The
Barclays
Bank
Group’s
corporate
credit
exposure
includes
companies
whose
performance
is
dependent
on
the
oil
and
gas
sector.
Weaker
demand
for
energy
products,
in
particular
as
a
result
of
the
COVID-19
pandemic,
combined
with
a
sustained
period
of
lower
energy
prices
has
led
to
the
erosion
of
balance
sheet
strength,
particularly
for
higher
cost
producers
and
those
businesses
who
supply
goods
and
services
to
the
oil
and
gas
sector.
Any
recovery
from
the
drop
in
demand
is
likely
to
remain
volatile
and
energy
prices
could
remain
subdued
at
low
levels
for
the
foreseeable
future,
below
the
break-even
point
for
some
companies.
Furthermore,
in
the
longer
term,
costs
associated
with
the
transition
towards
renewable
sources
of
energy
may
place
great
demands
on
companies
that
the
Barclays
Bank
Group
has
exposure
to
globally.
These
factors
could
have
a
material
adverse
effect
on
the
Barclays
Bank
Group’s
business,
results
of
operations
and
financial
condition
through
increased
impairment
charges.
Risk
review
Material
existing
and
emerging
risks
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
33
The
Barclays
Bank
Group
also
has
large
individual
exposures
to
single
name
counterparties,
both
in
its
lending
activities
and
in
its
financial
services
and
trading
activities,
including
transactions
in
derivatives
and
transactions
with
brokers,
central
clearing
houses,
dealers,
other
banks,
mutual
and
hedge
funds
and
other
institutional
clients.
The
default
of
such
counterparties
could
have
a
significant
impact
on
the
carrying
value
of
these
assets.
In
addition,
where
such
counterparty
risk
has
been
mitigated
by
taking
collateral,
credit
risk
may
remain
high
if
the
collateral
held
cannot
be
realised,
or
has
to
be
liquidated
at
prices
which
are
insufficient
to
recover
the
full
amount
of
the
loan
or
derivative
exposure.
Any
such
defaults
could
have
a
material
adverse
effect
on
the
Barclays
Bank
Group’s
results
due
to,
for
example,
increased
credit
losses
and
higher
impairment
charges.
For
further
details
on
the
Barclays
Bank
Group’s
approach
to
credit
risk,
see
the
credit
risk
management
and
credit
risk
performance
sections.
ii)
Market
risk
Market
risk
is
the
risk
of
loss
arising
from
potential
adverse
change
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.
Economic
and
financial
market
uncertainties
remain
elevated,
as
the
path
of
the
COVID-19
pandemic
is
inherently
difficult
to
predict.
Further
waves
of
the
COVID-19
pandemic,
deployment
of
COVID-19
vaccines
not
being
as
successful
as
desired,
intensifying
social
unrest
that
weighs
on
market
sentiment,
and
deteriorating
trade
and
geopolitical
tensions
are
some
of
the
factors
that
could
heighten
market
risks
for
the
Barclays
Bank
Group’s
portfolios.
In
addition,
the
Barclays
Bank
Group’s
trading
business
is
generally
exposed
to
a
prolonged
period
of
elevated
asset
price
volatility,
particularly
if
it
negatively
affects
the
depth
of
marketplace
liquidity.
Such
a
scenario
could
impact
the
Barclays
Bank
Group’s
ability
to
execute
client
trades
and
may
also
result
in
lower
client
flow-driven
income
and/or
market-based
losses
on
its
existing
portfolio
of
market
risks.
These
can
include
having
to
absorb
higher
hedging
costs
from
rebalancing
risks
that
need
to
be
managed
dynamically
as
market
levels
and
their
associated
volatilities
change.
It
is
difficult
to
predict
changes
in
market
conditions,
and
such
changes
could
have
a
material
adverse
effect
on
the
Barclays
Bank
Group’s
business,
results
of
operations,
financial
condition
and
prospects.
For
further
details
on
the
Barclays
Bank
Group’s
approach
to
market
risk,
see
the
market
risk
management
and
market
risk
performance
sections.
iii)
Treasury
and
capital
risk
There
are
three
primary
types
of
treasury
and
capital
risk
faced
by
the
Barclays
Bank
Group:
a)
Liquidity
risk
Liquidity
risk
is
the
risk
that
the
Barclays
Bank
Group
is
unable
to
meet
its
contractual
or
contingent
obligations
or
that
it
does
not
have
the
appropriate
amount,
tenor
and
composition
of
funding
and
liquidity
to
support
its
assets.
This
could
cause
the
Barclays
Bank
Group
to
fail
to
meet
regulatory
liquidity
standards
or
be
unable
to
support
day-to-day
banking
activities.
Key
liquidity
risks
that
the
Barclays
Bank
Group
faces
include:
◾
The
stability
of
the
Barclays
Bank
Group’s
current
funding
profile:
In
particular,
that
part
which
is
based
on
accounts
and
deposits
payable
on
demand
or
at
short
notice,
could
be
affected
by
the
Barclays
Bank
Group
failing
to
preserve
the
current
level
of
customer
and
investor
confidence.
The
Barclays
Bank
Group
also
regularly
accesses
the
money
and
capital
markets
to
provide
short-term
and
long-term
funding
to
support
its
operations.
Several
factors,
including
adverse
macroeconomic
conditions,
adverse
outcomes
in
conduct
and
legal,
competition
and
regulatory
matters
and
loss
of
confidence
by
investors,
counterparties
and/or
customers
in
the
Barclays
Bank
Group,
can
affect
the
ability
of
the
Barclays
Bank
Group
to
access
the
capital
markets
and/or
the
cost
and
other
terms
upon
which
the
Barclays
Bank
Group
is
able
to
obtain
m
arket
funding.
◾
Credit
rating
changes
and
the
impact
on
funding
costs:
Rating
agencies
regularly
review
credit
ratings
given
to
Barclays
Bank
PLC
and
certain
members
of
the
Barclays
Bank
Group.
Credit
ratings
are
based
on
a
number
of
factors,
including
some
which
are
not
within
the
Barclays
Bank
Group’s
control
(such
as
political
and
regulatory
developments,
changes
in
rating
methodologies,
macroeconomic
conditions
and
the
sovereign
credit
ratings
of
the
countries
in
which
the
Barclays
Bank
Group
operates).
Whilst
the
impact
of
a
credit
rating
change
will
depend
on
a
number
of
factors
(including
the
type
of
issuance
and
prevailing
market
conditions),
any
reductions
in
a
credit
rating
(in
particular,
any
downgrade
below
investment
grade)
may
affect
the
Barclays
Bank
Group’s
access
to
the
money
or
capital
markets
and/or
terms
on
which
the
Barclays
Bank
Group
is
able
to
obtain
market
funding,
increase
costs
of
funding
and
credit
spreads,
reduce
the
size
of
the
Barclays
Bank
Group’s
deposit
base,
trigger
additional
collateral
or
other
requirements
in
derivative
contracts
and
other
secured
funding
arrangements
or
limit
the
range
of
counterparties
who
are
willing
to
enter
into
transactions
with
the
Barclays
Bank
Group.
Any
of
these
factors
could
have
a
material
adverse
effect
on
the
Barclays
Bank
Group’s
business,
results
of
operations,
financial
condition
and
prospects.
b)
Capital
risk
Capital
risk
is
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
stress
testing
purposes).
This
includes
the
risk
from
the
Barclays
Bank
Group’s
pension
plans.
Key
capital
risks
that
the
Barclays
Bank
Group
faces
include:
◾
Failure
to
meet
prudential
capital
requirements:
This
could
lead
to
the
Barclays
Bank
Group
being
unable
to
support
some
or
all
of
its
business
activities,
a
failure
to
pass
regulatory
stress
tests,
increased
cost
of
funding
due
to
deterioration
in
investor
appetite
or
credit
ratings,
restrictions
on
distributions
including
the
ability
to
meet
dividend
targets,
and/or
the
need
to
take
additional
measures
to
strengthen
the
Barclays
Bank
Group's
capital
or
leverage
position.
◾
Adverse
changes
in
FX
rates
impacting
capital
ratios:
The
Barclays
Bank
Group
has
capital
resources,
risk
weighted
assets
and
leverage
exposures
denominated
in
foreign
currencies.
Changes
in
foreign
currency
exchange
rates
may
adversely
impact
the
Sterling
equivalent
value
of
these
items.
As
a
result,
the
Barclays
Bank
Group’s
regulatory
capital
ratios
are
sensitive
to
foreign
currency
movements.
Failure
to
appropriately
manage
the
Barclays
Bank
Group’s
balance
sheet
to
take
account
of
foreign
currency
movements
could
result
in
an
adverse
impact
on
the
Barclays
Bank
Group’s
regulatory
capital
and
leverage
ratios.
Risk
review
Material
existing
and
emerging
risks
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
34
◾
Adverse
movements
in
the
pension
fund:
Adverse
movements
in
pension
assets
and
liabilities
for
defined
benefit
pension
schemes
could
result
in
deficits
on
a
funding
and/or
accounting
basis.
This
could
lead
to
the
Barclays
Bank
Group
making
substantial
additional
contributions
to
its
pension
plans
and/or
a
deterioration
in
its
capital
position.
Under
IAS
19,
the
liabilities
discount
rate
is
derived
from
the
yields
of
high
quality
corporate
bonds.
Therefore,
the
valuation
of
the
Barclays
Bank
Group’s
defined
benefits
schemes
would
be
adversely
affected
by
a
prolonged
fall
in
the
discount
rate
due
to
a
persistent
low
interest
rate
and/or
credit
spread
environment.
Inflation
is
another
significant
risk
driver
to
the
pension
fund
as
the
liabilities
are
adversely
impacted
by
an
increase
in
long-term
inflation
expectations.
c)
Interest
rate
risk
in
the
banking
book
Interest
rate
risk
in
the
banking
book
is
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.
The
Barclays
Bank
Group’s
hedge
programmes
for
interest
rate
risk
in
the
banking
book
rely
on
behavioural
assumptions
and,
as
a
result,
the
success
of
the
hedging
strategy
cannot
be
guaranteed.
A
potential
mismatch
in
the
balance
or
duration
of
the
hedge
assumptions
could
lead
to
earnings
deterioration.
A
decline
in
interest
rates
in
G3
currencies
may
also
compress
net
interest
margin
on
retail
portfolios.
In
addition,
the
Barclays
Bank
Group’s
liquid
asset
portfolio
is
exposed
to
potential
capital
and/or
income
volatility
due
to
movements
in
market
rates
and
prices.
For
further
details
on
the
Barclays
Bank
Group’s
approach
to
treasury
and
capital
risk,
see
the
treasury
and
capital
risk
management
and
treasury
and
capital
risk
performance
sections.
iv)
Operational
risk
Operational
risk
is
the
risk
of
loss
to
the
Barclays
Bank
Group
from
inadequate
or
failed
processes
or
systems,
human
factors
or
due
to
external
events
where
the
root
cause
is
not
due
to
credit
or
market
risks.
Examples
include:
a)
Operational
resilience
The
Barclays
Bank
Group
functions
in
a
highly
competitive
market,
with
market
participants
that
expect
consistent
and
smooth
business
processes.
The
loss
of
or
disruption
to
business
processing
is
a
material
inherent
risk
within
the
Barclays
Bank
Group
and
across
the
financial
services
industry,
whether
arising
through
impacts
on
the
Barclays
Bank
Group’s
technology
systems
or
availability
of
personnel
or
services
supplied
by
third
parties.
Failure
to
build
resilience
and
recovery
capabilities
into
business
processes
or
into
the
services
of
technology,
real
estate
or
suppliers
on
which
the
Barclays
Bank
Group’s
business
processes
depend,
may
result
in
significant
customer
detriment,
costs
to
reimburse
losses
incurred
by
the
Barclays
Bank
Group’s
customers,
and
reputational
damage.
b)
Cyber-attacks
Cyber-attacks
continue
to
be
a
global
threat
that
is
inherent
across
all
industries,
with
a
spike
in
both
number
and
severity
of
attacks
observed
recently.
The
financial
sector
remains
a
primary
target
for
cyber
criminals,
hostile
nation
states,
opportunists
and
hacktivists.
The
Barclays
Bank
Group,
like
other
financial
institutions,
experiences
numerous
attempts
to
compromise
its
cyber
security.
The
Barclays
Bank
Group
dedicates
significant
resources
to
reducing
cyber
security
risks,
but
it
cannot
provide
absolute
security
against
cyber-
attacks.
Malicious
actors
are
increasingly
sophisticated
in
their
methods,
seeking
to
steal
money,
gain
unauthorised
access
to,
destroy
or
manipulate
data,
and
disrupt
operations,
and
some
of
their
attacks
may
not
be
recognised
until
launched,
such
as
zero-day
attacks
that
are
launched
before
patches
and
defences
can
be
readied.
Cyber-attacks
can
originate
from
a
wide
variety
of
sources
and
target
the
Barclays
Bank
Group
in
numerous
ways,
including
attacks
on
networks,
systems,
or
devices
used
by
the
Barclays
Bank
Group
or
parties
such
as
service
providers
and
other
suppliers,
counterparties,
employees,
contractors,
customers
or
clients,
presenting
the
Barclays
Bank
Group
with
a
vast
and
complex
defence
perimeter.
Moreover,
the
Barclays
Bank
Group
does
not
have
direct
control
over
the
cyber
security
of
the
systems
of
its
clients,
customers,
counterparties
and
third-party
service
providers
and
suppliers,
limiting
the
Barclays
Bank
Group’s
ability
to
effectively
defend
against
certain
threats.
A
failure
in
the
Barclays
Bank
Group’s
adherence
to
its
cyber
security
policies,
procedures
or
controls,
employee
malfeasance,
and
human,
governance
or
technological
error
could
also
compromise
the
Barclays
Bank
Group’s
ability
to
successfully
defend
against
cyber-attacks.
Furthermore,
certain
legacy
technologies
that
are
at
or
approaching
end-of-life
may
not
be
able
to
be
able
to
maintained
to
acceptable
levels
of
security.
The
Barclays
Bank
Group
has
experienced
cyber
security
incidents
and
near-misses
in
the
past,
and
it
is
inevitable
that
additional
incidents
will
occur
in
the
future.
Cyber
security
risks
will
continue
to
increase,
due
to
factors
such
as
the
increasing
demand
across
the
industry
and
customer
expectations
for
continued
expansion
of
services
delivered
over
the
Internet;
increasing
reliance
on
Internet-based
products,
applications
and
data
storage;
and
changes
in
ways
of
working
by
the
Barclays
Bank
Group’s
employees,
contractors,
and
third
party
service
providers
and
suppliers
and
their
sub-contractors
in
response
to
the
COVID-19
pandemic.
Bad
actors
have
taken
advantage
of
remote
working
practices
and
modified
customer
behaviours
during
the
COVID-19
pandemic,
exploiting
the
situation
in
novel
ways
that
may
elude
defences.
Common
types
of
cyber-attacks
include
deployment
of
malware,
including
destructive
ransomware;
denial
of
service
and
distributed
denial
of
service
(DDoS)
attacks;
infiltration
via
business
email
compromise,
including
phishing,
or
via
social
engineering,
including
vishing
and
smishing;
automated
attacks
using
botnets;
and
credential
validation
or
stuffing
attacks
using
login
and
password
pairs
from
unrelated
breaches.
A
successful
cyber-attack
of
any
type
has
the
potential
to
cause
serious
harm
to
the
Barclays
Bank
Group
or
its
clients
and
customers,
including
exposure
to
potential
contractual
liability,
litigation,
regulatory
or
other
government
action,
loss
of
existing
or
potential
customers,
damage
to
the
Barclays
Bank
Group’s
brand
and
reputation,
and
other
financial
loss.
The
impact
of
a
successful
cyber-attack
also
is
likely
to
include
operational
consequences
(such
as
unavailability
of
services,
networks,
systems,
devices
or
data)
remediation
of
which
could
come
at
significant
cost.
Risk
review
Material
existing
and
emerging
risks
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
35
Regulators
worldwide
continue
to
recognise
cyber
security
as
an
increasing
systemic
risk
to
the
financial
sector
and
have
highlighted
the
need
for
financial
institutions
to
improve
their
monitoring
and
control
of,
and
resilience
to
cyber-attacks.
A
successful
cyber-attack
may,
therefore,
result
in
significant
regulatory
fines
on
the
Barclays
Bank
Group.
For
further
details
on
the
Barclays
Bank
Group’s
approach
to
cyber-attacks,
see
the
operational
risk
performance
section.
c)
New
and
emergent
technology
Technology
is
fundamental
to
the
Barclays
Bank
Group’s
business
and
the
financial
services
industry.
Technol
ogical
advancements
present
opportunities
to
develop
new
and
innovative
ways
of
doing
business
across
the
Barclays
Bank
Group,
with
new
solutions
being
developed
both
in-house
and
in
association
with
third-party
companies.
For
example,
payment
services
and
securities,
futures
and
options
trading
are
increasingly
occurring
electronically,
both
on
the
Barclays
Bank
Group’s
own
systems
and
through
other
alternative
systems,
and
becoming
automated.
Whilst
increased
use
of
electronic
payment
and
trading
systems
and
direct
electronic
access
to
trading
markets
could
significantly
reduce
the
Barclays
Bank
Group’s
cost
base,
it
may,
conversely,
reduce
the
commissions,
fees
and
margins
made
by
the
Barclays
Bank
Group
on
these
transactions
which
could
have
a
material
adverse
effect
on
the
Barclays
Bank
Group’s
business,
results
of
operations,
financial
condition
and
prospects.
Introducing
new
forms
of
technology,
however,
has
the
potential
to
increase
inherent
risk.
Failure
to
evaluate,
actively
manage
and
closely
monitor
risk
exposure
during
all
phases
of
business
development
could
introduce
new
vulnerabilities
and
security
flaws
and
have
a
material
adverse
effect
on
the
Barclays
Bank
Group’s
business,
results
of
operations,
financial
condition
and
prospects.
d)
External
fraud
The
nature
of
fraud
is
wide-ranging
and
continues
to
evolve,
as
criminals
continually
seek
opportunities
to
target
the
Barclays
Bank
Group’s
business
activities
and
exploit
changes
to
customer
behaviour
and
product
and
channel
use
(such
as
the
increased
use
of
digital
products
and
enhanced
online
services).
Fraud
attacks
can
be
very
sophisticated
and
are
often
orchestrated
by
highly
organised
crime
groups
who
use
ever
more
sophisticated
techniques
to
target
customers
and
clients
directly
to
obtain
confidential
or
personal
information
that
can
be
used
to
commit
fraud.
The
impact
from
fraud
can
lead
to
customer
detriment,
financial
losses
(including
the
reimbursement
of
losses
incurred
by
customers),
loss
of
business,
missed
business
opportunities
and
reputational
damage,
all
of
which
could
have
a
material
adverse
impact
on
the
Barclays
Bank
Group’s
business,
results
of
operations,
financial
condition
and
prospects.
e)
Data
management
and
information
protection
The
Barclays
Bank
Group
holds
and
processes
large
volumes
of
data,
including
personally
identifiable
information,
intellectual
property,
and
financial
data
and
the
Barclays
Bank
Group’s
businesses
are
subject
to
complex
and
evolving
laws
and
regulations
governing
the
privacy
and
protection
of
personal
information
of
individuals,
including
Regulation
(EU)
2016/679
(General
Data
Protection
Regulation
(GDPR)).
The
protected
parties
can
include:
(i)
the
Barclays
Bank
Group’s
clients
and
customers,
and
prospective
clients
and
customers;
(ii)
clients
and
customers
of
the
Barclays
Bank
Group’s
clients
and
customers;
(iii)
employees
and
prospective
employees;
and
(iv)
employees
of
the
Barclays
Bank
Group’s
suppliers,
counterparties
and
other
external
parties.
The
international
nature
of
both
the
Barclays
Bank
Group’s
business
and
its
IT
infrastructure
also
means
that
personal
information
may
be
available
in
countries
other
than
those
from
where
it
originated.
Accordingly,
the
Barclays
Bank
Group
needs
to
ensure
that
its
collection,
use,
transfer
and
storage
of
personal
information
complies
with
all
applicable
laws
and
regulations
in
all
relevant
jurisdictions,
which
could:
(i)
increase
the
Barclays
Bank
Group’s
compliance
and
operating
costs;
(ii)
impact
the
development
of
new
products
or
services,
impact
the
offering
of
existing
products
or
services,
or
affect
how
products
and
services
are
offered
to
clients
and
customers;
(iii)
demand
significant
oversight
by
the
Barclays
Bank
Group’s
management;
and
(iv)
require
the
Barclays
Bank
Group
to
review
some
elements
of
the
structure
of
its
businesses,
operations
and
systems
in
less
efficient
ways.
Concerns
regarding
the
effectiveness
of
the
Barclays
Bank
Group’s
measures
to
safeguard
personal
information,
or
even
the
perception
that
those
measures
are
inadequate,
could
expose
the
Barclays
Bank
Group
to
the
risk
of
loss
or
unavailability
of
data
or
data
integrity
issues
and/or
cause
the
Barclays
Bank
Group
to
lose
existing
or
potential
clients
and
customers,
and
thereby
reduce
the
Barclays
Bank
Group’s
revenues.
Furthermore,
any
failure
or
perceived
failure
by
the
Barclays
Bank
Group
to
comply
with
applicable
privacy
or
data
protection
laws
and
regulations
may
subject
it
to
potential
contractual
liability,
litigation,
regulatory
or
other
government
action
(including
significant
regulatory
fines)
and
require
changes
to
certain
operations
or
practices
which
could
also
inhibit
the
Barclays
Bank
Group’s
development
or
marketing
of
certain
products
or
services,
or
increase
the
costs
of
offering
them
to
customers.
Any
of
these
events
could
damage
the
Barclays
Bank
Group’s
reputation
and
otherwise
materially
adversely
affect
its
business,
results
of
operations,
financial
condition
and
prospects.
f)
Algorithmic
trading
In
some
areas
of
the
investment
banking
business,
trading
algorithms
are
used
to
price
and
risk
manage
client
and
principal
transactions.
An
algorithmic
error
could
result
in
erroneous
or
duplicated
transactions,
a
system
outage,
or
impact
the
Barclays
Bank
Group’s
pricing
abilities,
which
could
have
a
material
adverse
effect
on
the
Barclays
Bank
Group’s
business,
results
of
operations,
financial
condition
and
prospects
and
reputation.
Risk
review
Material
existing
and
emerging
risks
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
36
g)
Processing
error
The
Barclays
Bank
Group’s
businesses
are
highly
dependent
on
its
ability
to
process
and
monitor,
on
a
daily
basis,
a
very
large
number
of
transactions,
many
of
which
are
highly
complex
and
occur
at
high
volumes
and
frequencies,
across
numerous
and
diverse
markets
in
many
currencies.
As
the
Barclays
Bank
Group’s
customer
base
and
geographical
reach
expand
and
the
volume,
speed,
frequency
and
complexity
of
transactions,
especially
electronic
transactions
(as
well
as
the
requirements
to
report
such
transactions
on
a
real-time
basis
to
clients,
regulators
and
exchanges)
increase,
developing,
maintaining
and
upgrading
operational
systems
and
infrastructure
becomes
more
challenging,
and
the
risk
of
systems
or
human
error
in
connection
with
such
transactions
increases,
as
well
as
the
potential
consequences
of
such
errors
due
to
the
speed
and
volume
of
transactions
involved
and
the
potential
difficulty
associated
with
discovering
errors
quickly
enough
to
limit
the
resulting
consequences.
Furthermore,
events
that
are
wholly
or
partially
beyond
the
Barclays
Bank
Group’s
control,
such
as
a
spike
in
transaction
volume,
could
adversely
affect
the
Barclays
Bank
Group’s
ability
to
process
transactions
or
provide
banking
and
payment
services.
Processing
errors
could
result
in
the
Barclays
Bank
Group,
among
other
things,
(i)
failing
to
provide
information,
services
and
liquidity
to
clients
and
counterparties
in
a
timely
manner;
(ii)
failing
to
settle
and/or
confirm
transactions;
(iii)
causing
funds
transfers,
capital
markets
trades
and/or
other
transactions
to
be
executed
erroneously,
illegally
or
with
unintended
consequences;
and
(iv)
adversely
affecting
financial,
trading
or
currency
markets.
Any
of
these
events
could
materially
disadvantage
the
Barclays
Bank
Group’s
customers,
clients
and
counterparties
(including
them
suffering
financial
loss)
and/or
result
in
a
loss
of
confidence
in
the
Barclays
Bank
Group
which,
in
turn,
could
have
a
material
adverse
effect
on
the
Barclays
Bank
Group’s
business,
results
of
operations,
financial
condition
and
prospects.
h)
Supplier
exposure
The
Barclays
Bank
Group
depends
on
suppliers
for
the
provision
of
many
of
its
services
and
the
development
of
technology.
Whilst
the
Barclays
Bank
Group
depends
on
suppliers,
it
remains
fully
accountable
for
any
risk
arising
from
the
actions
of
suppliers.
The
dependency
on
suppliers
and
sub-contracting
of
outsourced
services
introduces
concentration
risk
where
the
failure
of
specific
suppliers
could
have
an
impact
on
the
Barclays
Bank
Group’s
ability
to
continue
to
provide
material
services
to
its
customers.
Failure
to
adequately
manage
supplier
risk
could
have
a
material
adverse
effect
on
the
Barclays
Bank
Group’s
business,
results
of
operations,
financial
condition
and
prospects.
i)
Estimates
and
judgements
relating
to
critical
accounting
policies
and
capital
disclosures
The
preparation
of
financial
statements
requires
the
application
of
accounting
policies
and
judgements
to
be
made
in
accordance
with
IFRS.
Regulatory
returns
and
capital
disclosures
are
prepared
in
accordance
with
the
relevant
capital
reporting
requirements
and
also
require
assumptions
and
estimates
to
be
made.
The
key
areas
involving
a
higher
degree
of
judgement
or
complexity,
or
areas
where
assumptions
are
significant
to
the
consolidated
and
individual
financial
statements,
include
credit
impairment
charges,
taxes,
fair
value
of
financial
instruments,
pensions
and
post-retirement
benefits,
and
provisions
including
conduct
and
legal,
competition
and
regulatory
matters
(see
the
notes
to
the
audited
financial
statements
for
further
details).
There
is
a
risk
that
if
the
judgement
exercised,
or
the
estimates
or
assumptions
used,
subsequently
turn
out
to
be
incorrect,
this
could
result
in
material
losses
to
the
Barclays
Bank
Group,
beyond
what
was
anticipated
or
provided
for.
Further
development
of
accounting
standards
and
capital
interpretations
could
also
materially
impact
the
Barclays
Bank
Group’s
results
of
operations,
financial
condition
and
prospects.
j)
Tax
risk
The
Barclays
Bank
Group
is
required
to
comply
with
the
domestic
and
international
tax
laws
and
practice
of
all
countries
in
which
it
has
business
operations.
There
is
a
risk
that
the
Barclays
Bank
Group
could
suffer
losses
due
to
additional
tax
charges,
other
financial
costs
or
reputational
damage
as
a
result
of
failing
to
comply
with
such
laws
and
practice,
or
by
failing
to
manage
its
tax
affairs
in
an
appropriate
manner,
with
much
of
this
risk
attributable
to
the
international
structure
of
the
Barclays
Bank
Group.
In
addition,
increasing
reporting
and
disclosure
requirements
around
the
world
and
the
digitisation
of
the
administration
of
tax
has
potential
to
increase
the
Barclays
Bank
Group’s
tax
compliance
obligations
further.
k)
Ability
to
hire
and
retain
appropriately
qualified
employees
As
a
regulated
financial
institution,
the
Barclays
Bank
Group
requires
diversified
and
specialist
skilled
colleagues.
The
Barclays
Bank
Group’s
ability
to
attract,
develop
and
retain
a
diverse
mix
of
talent
is
key
to
the
delivery
of
its
core
business
activity
and
strategy.
This
is
impacted
by
a
range
of
external
and
internal
factors,
such
as
the
UK’s
decision
to
leave
the
EU
and
the
enhanced
individual
accountability
applicable
to
the
banking
industry.
Failure
to
attract
or
prevent
the
departure
of
appropriately
qualified
and
skilled
employees
could
have
a
material
adverse
effect
on
the
Barclays
Bank
Group’s
business,
results
of
operations,
financial
condition
and
prospects.
Additionally,
this
may
result
in
disruption
to
service
which
could
in
turn
lead
to
disenfranchising
certain
customer
groups,
customer
detriment
and
reputational
damage.
For
further
details
on
the
Barclays
Bank
Group’s
approach
to
operational
risk,
see
the
operational
risk
management
and
operational
risk
performance
sections.
v)
Model
risk
Model
risk
is
the
risk
of
potential
adverse
consequences
from
financial
assessments
or
decisions
based
on
incorrect
or
misused
model
outputs
and
reports.
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,
assessing
capital
adequacy,
supporting
new
business
acceptance
and
risk
and
reward
evaluation,
managing
client
assets,
and
meeting
reporting
requirements.
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
instance,
the
quality
of
the
data
used
in
models
across
the
Barclays
Bank
Group
has
a
material
impact
on
the
accuracy
and
completeness
of
its
risk
and
financial
metrics.
Model
errors
or
misuse
may
result
in
(among
other
things)
the
Barclays
Bank
Group
making
inappropriate
business
decisions
and/or
inaccuracies
or
errors
being
identified
in
the
Barclays
Bank
Group’s
risk
management
and
regulatory
reporting
processes.
This
could
result
in
significant
financial
loss,
imposition
of
additional
capital
requirements,
enhanced
regulatory
supervision
and
reputational
damage,
all
of
which
could
have
a
material
adverse
effect
on
the
Barclays
Bank
Group’s
business,
results
of
operations,
financial
condition
and
prospects.
For
further
details
on
the
Barclays
Bank
Group’s
approach
to
model
risk,
see
the
model
risk
management
and
model
risk
performance
sections.
Risk
review
Material
existing
and
emerging
risks
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
37
vi)
Conduct
risk
Conduct
risk
is
the
risk
of
detriment
to
customers,
clients,
market
integrity,
effective
competition
or
the
Barclays
Bank
Group
from
the
inappropriate
supply
of
financial
services,
including
instances
of
wilful
or
negligent
misconduct.
This
risk
could
manifest
itself
in
a
variety
of
ways:
a)
Employee
misconduct
The
Barclays
Bank
Group’s
businesses
are
exposed
to
risk
from
potential
non-compliance
with
its
policies
and
standards
and
instances
of
wilful
and
negligent
misconduct
by
employees,
all
of
which
could
result
in
potential
customer
and
client
detriment,
enforcement
action
(including
regulatory
fines
and/or
sanctions),
increased
operation
and
compliance
costs,
redress
or
remediation
or
reputational
damage
which
in
turn
could
have
a
material
adverse
effect
on
the
Barclays
Bank
Group’s
business,
results
of
operations,
financial
condition
and
prospects.
Examples
of
employee
misconduct
which
could
have
a
material
adverse
effect
on
the
Barclays
Bank
Group’s
business
include
(i)
employees
improperly
selling
or
marketing
the
Barclays
Bank
Group’s
products
and
services;
(ii)
employees
engaging
in
insider
trading,
market
manipulation
or
unauthorised
trading;
or
(iii)
employees
misappropriating
confidential
or
proprietary
information
belonging
to
the
Barclays
Bank
Group,
its
customers
or
third
parties.
These
risks
may
be
exacerbated
in
circumstances
where
the
Barclays
Bank
Group
is
unable
to
rely
on
physical
oversight
and
supervision
of
employees
(such
as
during
the
COVID-19
pandemic
where
employees
have
worked
remotely).
b)
Customer
engagement
The
Barclays
Bank
Group
must
ensure
that
its
customers,
particularly
those
that
are
vulnerable,
are
able
to
make
well-informed
decisions
on
how
best
to
use
the
Barclays
Bank
Group’s
financial
services
and
understand
that
they
are
appropriately
protected
if
something
goes
wrong.
Poor
customer
outcomes
can
result
from
the
failure
to:
(i)
communicate
fairly
and
clearly
with
customers;
(ii)
provide
services
in
a
timely
and
fair
manner;
and
(iii)
undertake
appropriate
activity
to
address
customer
detriment,
including
the
adherence
to
regulatory
and
legal
requirements
on
complaint
handling.
The
Barclays
Bank
Group
is
at
risk
of
financial
loss
and
reputational
damage
as
a
result.
c)
Product
design
and
review
risk
Products
and
services
must
meet
the
needs
of
clients,
customers,
markets
and
the
Barclays
Bank
Group
throughout
their
lifecycle,
However,
there
is
a
risk
that
the
design
and
review
of
the
Barclays
Bank
Group
products
and
services
fail
to
reasonably
consider
and
address
potential
or
actual
negative
outcomes,
which
may
result
in
customer
detriment,
enforcement
action
(including
regulatory
fines
and/or
sanctions),
redress
and
remediation
and
reputational
damage.
Both
the
design
and
review
of
products
and
services
are
a
key
area
of
focus
for
regulators
and
the
Barclays
Bank
Group,
and
this
focus
is
set
to
continue
in
2021.
d)
Financial
crime
The
Barclays
Bank
Group
may
be
adversely
affected
if
it
fails
to
effectively
mitigate
the
risk
that
third
parties
or
its
employees
facilitate,
or
that
its
products
and
services
are
used
to
facilitate,
financial
crime
(money
laundering,
terrorist
financing,
breaches
of
economic
and
financial
sanctions,
bribery
and
corruption,
and
the
facilitation
of
tax
evasion).
UK
and
US
regulations
covering
financial
institutions
continue
to
focus
on
combating
financial
crime.
Failure
to
comply
may
lead
to
enforcement
action
by
the
Barclays
Bank
Group’s
regulators,
including
severe
penalties,
which
may
have
a
material
adverse
effect
on
the
Barclays
Bank
Group’s
business,
financial
condition
and
prospects.
e)
Regulatory
focus
on
culture
and
accountability
Regulators
around
the
world
continue
to
emphasise
the
importance
of
culture
and
personal
accountability
and
enforce
the
adoption
of
adequate
internal
reporting
and
whistleblowing
procedures
to
help
to
promote
appropriate
conduct
and
drive
positive
outcomes
for
customers,
colleagues,
clients
and
markets.
The
requirements
and
expectations
of
the
UK
Senior
Managers
Regime,
Certification
Regime
and
Conduct
Rules
have
reinforced
additional
accountabilities
for
individuals
across
the
Barclays
Bank
Group
with
an
increased
focus
on
governance
and
rigour.
Failure
to
meet
these
requirements
and
expectations
may
lead
to
regulatory
sanctions,
both
for
the
individuals
and
the
Barclays
Bank
Group.
For
further
details
on
the
Barclays
Bank
Group’s
approach
to
conduct
risk,
see
the
conduct
risk
management
and
conduct
risk
performance
sections.
vii)
Reputation
risk
Reputation
risk
is
the
risk
that
an
action,
transaction,
investment,
event,
decision
or
business
relationship
will
reduce
trust
in
the
Barclays
Bank
Group’s
integrity
and
competence.
Any
material
lapse
in
standards
of
integrity,
compliance,
customer
service
or
operating
efficiency
may
represent
a
potential
reputation
risk.
Stakeholder
expectations
constantly
evolve,
and
so
reputation
risk
is
dynamic
and
varies
between
geographical
regions,
groups
and
individuals.
A
risk
arising
in
one
business
area
can
have
an
adverse
effect
upon
the
Barclays
Bank
Group’s
overall
reputation
and
any
one
transaction,
investment
or
event
(in
the
perception
of
key
stakeholders)
can
reduce
trust
in
the
Barclays
Bank
Group’s
integrity
and
competence.
The
Barclays
Bank
Group’s
association
with
sensitive
topics
and
sectors
has
been,
and
in
some
instances
continues
to
be,
an
area
of
concern
for
stakeholders,
including
(i)
the
financing
of,
and
investments
in,
businesses
which
operate
in
sectors
that
are
sensitive
because
of
their
relative
carbon
intensity
or
local
environmental
impact;
(ii)
potential
association
with
human
rights
violations
(including
combating
modern
slavery)
in
the
Barclays
Bank
Group’s
operations
or
supply
chain
and
by
clients
and
customers;
and
(iii)
the
financing
of
businesses
which
manufacture
and
export
military
and
riot
control
goods
and
services.
Reputation
risk
could
also
arise
from
negative
public
opinion
about
the
actual,
or
perceived,
manner
in
which
the
Barclays
Bank
Group
conducts
its
business
activities,
or
the
Barclays
Bank
Group’s
financial
performance,
as
well
as
actual
or
perceived
practices
in
banking
and
the
financial
services
industry
generally.
Modern
technologies,
in
particular
online
social
media
channels
and
other
broadcast
tools
that
facilitate
communication
with
large
audiences
in
short
time
frames
and
with
minimal
costs,
may
significantly
enhance
and
accelerate
the
distribution
and
effect
of
damaging
information
and
allegations.
Negative
public
opinion
m
ay
adversely
affect
the
Barclays
Bank
Group’s
ability
to
retain
and
attract
customers,
in
particular,
corporate
and
retail
depositors,
and
to
retain
and
motivate
staff,
and
could
have
a
material
adverse
effect
on
the
Barclays
Bank
Group’s
business,
results
of
operations,
financial
condition
and
prospects.
In
addition
to
the
above,
reputation
risk
has
the
potential
to
arise
from
operational
issues
or
conduct
matters
which
cause
detriment
to
customers,
clients,
market
integrity,
effective
competition
or
the
Barclays
Bank
Group
(see
“iv)
Operational
risk”
above).
Risk
review
Material
existing
and
emerging
risks
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
38
For
further
details
on
the
Barclays
Bank
Group’s
approach
to
reputation
risk,
see
reputation
risk
management
and
reputation
risk
performance
sections.
viii)
Legal
risk
and
legal,
competition
and
regulatory
matters
The
Barclays
Bank
Group
conducts
activities
in
a
highly
regulated
market
which
exposes
it
and
its
employees
to
legal
risk
arising
from
(i)
the
multitude
of
laws
and
regulations
that
apply
to
the
businesses
it
operates,
which
are
highly
dynamic,
may
vary
between
jurisdictions,
and
are
often
unclear
in
their
application
to
particular
circumstances
especially
in
new
and
emerging
areas;
and
(ii)
the
diversified
and
evolving
nature
of
the
Barclays
Bank
Group’s
businesses
and
business
practices.
In
each
case,
this
exposes
the
Barclays
Bank
Group
and
its
employees
to
the
risk
of
loss
or
the
imposition
of
penalties,
damages
or
fines
from
the
failure
of
members
of
the
Barclays
Bank
Group
to
meet
their
respective
legal
obligations,
including
legal
or
contractual
requirements.
Legal
risk
may
arise
in
relation
to
any
number
of
the
risk
material
existing
and
emerging
risks
identified
above.
A
breach
of
applicable
legislation
and/or
regulations
by
the
Barclays
Bank
Group
or
its
employees
could
result
in
criminal
prosecution,
regulatory
censure,
potentially
significant
fines
and
other
sanctions.
Where
clients,
customers
or
other
third
parties
are
harmed
by
the
Barclays
Bank
Group’s
conduct,
this
may
also
give
rise
to
civil
legal
proceedings,
including
class
actions.
Other
legal
disputes
may
also
arise
between
the
Barclays
Bank
Group
and
third
parties
relating
to
matters
such
as
breaches
or
enforcement
of
legal
rights
or
obligations
arising
under
contracts,
statutes
or
common
law.
Adverse
findings
in
any
such
matters
may
result
in
the
Barclays
Bank
Group
being
liable
to
third
parties
or
may
result
in
the
Barclays
Bank
Group’s
rights
not
being
enforced
as
intended.
Details
of
legal,
competition
and
regulatory
matters
to
which
the
Barclays
Bank
Group
is
currently
exposed
are
set
out
in
Note
25.
In
addition
to
matters
specifically
described
in
Note
25,
the
Barclays
Bank
Group
is
engaged
in
various
other
legal
proceedings
which
arise
in
the
ordinary
course
of
business.
The
Barclays
Bank
Group
is
also
subject
to
requests
for
information,
investigations
and
other
reviews
by
regulators,
governmental
and
other
public
bodies
in
connection
with
business
activities
in
which
the
Barclays
Bank
Group
is,
or
has
been,
engaged.
The
outcome
of
legal,
competition
and
regulatory
matters,
both
those
to
which
the
Barclays
Bank
Group
is
currently
exposed
and
any
others
which
may
arise
in
the
future,
is
difficult
to
predict.
In
connection
with
such
matters,
the
Barclays
Bank
Group
may
incur
significant
expense,
regardless
of
the
ultimate
outcome,
and
any
such
matters
could
expose
the
Barclays
Bank
Group
to
any
of
the
following
outcomes:
substantial
monetary
damages,
settlements
and/or
fines;
remediation
of
affected
customers
and
clients;
other
penalties
and
injunctive
relief;
additional
litigation;
criminal
prosecution;
the
loss
of
any
existing
agreed
protection
from
prosecution;
regulatory
restrictions
on
the
Barclays
Bank
Group’s
business
operations
including
the
withdrawal
of
authorisations;
increased
regulatory
compliance
requirements
or
changes
to
laws
or
regulations;
suspension
of
operations;
public
reprimands;
loss
of
significant
assets
or
business;
a
negative
effect
on
the
Barclays
Bank
Group’s
reputation;
loss
of
confidence
by
investors,
counterparties,
clients
and/or
customers;
risk
of
credit
rating
agency
downgrades;
potential
negative
impact
on
the
availability
and/or
cost
of
funding
and
liquidity;
and/or
dismissal
or
resignation
of
key
individuals.
In
light
of
the
uncertainties
involved
in
legal,
competition
and
regulatory
matters,
there
can
be
no
assurance
that
the
outcome
of
a
particular
matter
or
matters
(including
formerly
active
matters
or
those
arising
after
the
date
of
this
Annual
Report)
will
not
have
a
material
adverse
effect
on
the
Barclays
Bank
Group’s
business,
results
of
operations,
financial
condition
and
prospects.
Climate
Change
Risk
Management
Overview
The
Barclays
Group
has
a
longstanding
commitment
to
Environmental
Risk
Management
(ERM)
and
its
approach,
aided
by
regulatory
initiatives,
has
continued
to
evolve,
incorporating
climate
change
in
recent
years
as
the
understanding
of
associated
risks
has
grown.
A
dedicated
Sustainability
team
considers
how
the
Barclays
Group
approaches
wider
sustainability
and
environmental,
social
and
governance
(ESG)
matters,
working
closely
with
the
ERM
function.
In
2020
the
bank
has
implemented
a
Financial
and
Operational
Risks
of
Climate
Change
Plan
built
around
three
ma
in
pillars:
1.
Embedding
climate
risk
into
ERMF,
via
the
Climate
Change
Financial
and
Operational
Risk
Policy.
2.
Developing
methodologies
and
including
climate
in
stress
testing
(see
Barclays
PLC
Climate-related
financial
disclosures
2020
in
the
Risk
Management
Section).
3.
Developing
a
carbon
methodology
to
assess
risk
within
high
emitting
sectors
(see
Barclays
PLC
Climate-related
financial
disclosures
2020
in
the
Strategy
Section).
For
more
detail
on
how
climate
change
risks
arise
and
their
impact
on
the
Barclays
Bank
Group,
refer
to
the
‘material
existing
and
emerging
risks’
section.
Organisation
and
Structure
The
matters
and
risks
associated
with
climate
change
are
managed
at
a
Barclays
Group
level,
with
additional
input
and
oversight
provided
by
the
Barclays
Bank
Group
CRO
for
matters
pertaining
to
the
Barclays
Bank
Group.
On
behalf
of
the
Barclays
PLC
Board,
the
Barclays
PLC
BRC
reviews
and
approves
the
Barclays
Group’s
approach
to
managing
the
financial
and
operational
risks
associated
with
climate
change.
Reputation
risk
is
the
responsibility
of
the
Barclays
PLC
Board,
which
directly
handles
the
most
material
issues
facing
the
Barclays
Group.
Broader
sustainability
matters
and
other
reputation
risks
associated
with
climate
change
are
co-
ordinated
by
the
Sustainability
team.
Two
new
roles
were
introduced
in
2020:
a
Barclays
Group
Head
of
Public
Policy
and
Corporate
Responsibility,
reporting
to
the
CEO;
and
a
Barclays
Group
Head
of
Climate
Risk
appointed
to
develop
Barclays’
climate
risk
methodologies
and
manage
climate
risk
in
the
portfolio.
Working
groups
have
been
established
to
support
management
of
climate
risk
at
Barclays
International
and
Barclays
Bank
UK
Group.
Risk
review
Climate
change
risk
management
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
39
Risk
management
–
Policy
Financial
and
Operational
Risks:
The
Barclays
Group’s
‘Climate
Change
Financial
Risk
and
Operational
Risk
Policy’
certain
principal
risks:
credit
risk,
market
risk,
treasury
&
capital
risk
and
operational
risk.
The
policy
is
jointly
owned
by
the
relevant
Principal
Risk
Delegates
with
oversight
by
the
Barclays
PLC
BRC
and
applies
across
the
Barclays
Group
including
within
the
Barclays
Bank
Group.
Each
relevant
Principal
Risk
Delegate
has
developed
a
methodology
and
implementation
plan
for
quantifying
climate
change
risk.
Linking
with
ESG
and
Reputation
Risk:
The
Barclays
Group
has
developed
an
internal
standard
to
reflect
its
net
zero
carbon
ambition
in
more
detail
and
together
with
other
climate-
related
Standards
(such
as
the
Forestry
&
Palm
Oil
Standard),
these
now
determine
the
approach
to
climate
change
and
relevant
sensitive
sectors.
These
standards
sit
under
the
management
of
reputation
risk
within
the
ERMF
and
are
enforced
through
an
existing
transaction
origination,
review
and
approval
process.
Credit
risk
management
(audited)
The
risk
of
loss
to
the
Barclays
Bank
Group
from
the
failure
of
clients,
customers
or
counterparties,
including
sovereigns,
to
fully
honour
their
obligations
to
the
Barclays
Bank
Group,
including
the
whole
and
timely
payment
of
principal,
interest,
collateral
and
other
receivables.
Overview
The
credit
risk
that
the
Barclays
Bank
Group
faces
arises
from
wholesale
and
retail
loans
and
advances
together
with
the
counterparty
credit
Risk
review
Principal
risk
management
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
40
risk
arising
from
derivative
contracts
with
clients;
trading
activities,
including:
debt
securities,
settlement
balances
with
market
counterparties,
FVOCI
assets
and
reverse
repurchase
loans.
Credit
risk
management
objectives
are
to:
◾
◾
level
of
individual
facilities
up
to
the
total
portfolio;
◾
◾
Organisation,
roles
and
responsibilities
The
first
line
of
defence
has
primary
responsibility
for
managing
credit
risk
within
the
risk
appetite
and
limits
set
by
the
Risk
function,
supported
by
a
defined
set
of
policies,
standards
and
controls.
In
the
Barclays
Bank
Group,
business
risk
committees
(attended
by
the
first
line)
monitor
and
review
the
credit
risk
profile
of
each
business
unit
where
the
most
material
issues
are
escalated
to
the
Retail
Credit
Risk
Management
Committee,
Wholesale
Credit
Risk
Management
Committee
and
the
Barclays
Group
Risk
Committee.
Wholesale
and
retail
portfolios
are
managed
separately
to
reflect
the
differing
nature
of
the
assets;
wholesale
balances
tend
to
be
larger
and
are
managed
on
an
individual
basis,
while
retail
balances
are
greater
in
number
but
lesser
in
value
and
are,
therefore,
managed
in
aggregated
segments.
The
responsibilities
of
the
credit
risk
management
teams
in
the
businesses,
the
sanctioning
team
and
other
shared
services
include:
sanctioning
new
credit
agreements
(principally
wholesale);
setting
strategies
for
approval
of
transactions
(principally
retail);
setting
risk
appetite;
monitoring
risk
against
limits
and
other
parameters;
maintaining
robust
processes,
data
gathering,
quality,
storage
and
reporting
methods
for
effective
credit
risk
management;
performing
effective
turnaround
and
workout
scenarios
for
wholesale
portfolios
via
dedicated
restructuring
and
recoveries
teams;
maintaining
robust
collections
and
recovery
processes/units
for
retail
portfolios;
and
review
and
validation
of
credit
risk
measurement
models.
The
credit
risk
management
teams
in
the
Barclays
Bank
Group
are
accountable
to
the
Barclays
Bank
PLC
CRO,
who
reports
to
the
Barclays
Group
CRO.
For
wholesale
portfolios,
credit
risk
managers
are
organised
in
sanctioning
teams
by
geography,
industry
and/or
product.
In
wholesale
portfolios,
credit
risk
approval
is
undertaken
by
experienced
credit
risk
professionals
operating
within
a
clearly
defined
delegated
authority
framework,
with
only
the
most
senior
credit
officers
assigned
the
higher
levels
of
delegated
authority.
The
largest
credit
exposures,
which
are
outside
the
Risk
Sanctioning
Unit
or
Risk
Distribution
Committee
authority,
require
the
support
of
the
Barclays
Bank
PLC
Senior
Credit
Officers.
For
exposures
in
excess
of
the
Barclays
Bank
PLC
Senior
Credit
Officers’
authority,
approval
by
the
Barclays
Group
Senior
Credit
Officer/Barclays
PLC
Board
Risk
Committee
is
also
required.
The
Barclays
Group
Credit
Risk
Committee,
attended
by
the
Barclays
Bank
PLC
Senior
Credit
Officers,
provides
a
formal
mechanism
for
the
Barclays
Group
Senior
Credit
Officer
to
exercise
the
highest
level
of
credit
authority
over
the
most
material
Barclays
Group
single
name
exposures.
Credit
risk
mitigation
The
Barclays
Bank
Group
employs
a
range
of
techniques
and
strategies
to
actively
mitigate
credit
risks.
These
can
broadly
be
divided
into
three
types:
◾
◾
◾
Netting
and
set-off
Credit
risk
exposures
can
be
reduced
by
applying
netting
and
set-off.
For
derivative
transactions,
the
Barclays
Bank
Group’s
normal
practice
is
to
enter
into
standard
master
agreements
with
counterparties
(e.g.
ISDAs).
These
master
agreements
typically
allow
for
netting
of
credit
risk
exposure
to
a
counterparty
resulting
from
derivative
transactions
against
the
obligations
to
the
counterparty
in
the
event
of
default,
and
so
produce
a
lower
net
credit
exposure.
These
agreements
may
also
reduce
settlement
exposure
(e.g.
for
foreign
exchange
transactions)
by
allowing
payments
on
the
same
day
in
the
same
currency
to
be
set-off
against
one
another.
Collateral
The
Barclays
Bank
Group
has
the
ability
to
call
on
collateral
in
the
event
of
default
of
the
counterparty,
comprising:
◾
home
loans:
◾
wholesale
lending:
◾
other
retail
lending:
finance
lease
receivables.
◾
derivatives:
which
the
Barclays
Bank
Group
has
master
netting
agreements
in
place.
These
annexes
to
master
agreements
provide
a
mechanism
for
further
reducing
credit
risk,
whereby
collateral
(margin)
is
posted
on
a
regular
basis
(typically
daily)
to
collateralise
the
mark
to
market
exposure
of
a
derivative
portfolio
measured
on
a
net
basis.
◾
reverse
repurchase
agreements:
Bank
Group
subject
to
an
agreement
to
return
them
for
a
fixed
price.
◾
financial
guarantees
and
similar
off-balance
sheet
commitments:
Risk
transfer
A
range
of
instruments
including
guarantees,
credit
insurance,
credit
derivatives
and
securitisation
can
be
used
to
transfer
credit
risk
from
one
counterparty
to
another.
These
mitigate
credit
risk
in
two
main
ways:
◾
Risk
review
Principal
risk
management
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
41
◾
of
either
counterparty
individually
so
credit
risk
is
reduced.
Market
risk
management
(audited)
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.
Overview
Market
risk
arises
primarily
as
a
result
of
client
facilitation
in
wholesale
markets,
involving
market
making
activities,
risk
management
solutions
and
execution
of
syndications.
Upon
execution
of
a
trade
with
a
client,
the
Barclays
Bank
Group
will
look
to
hedge
against
the
risk
of
the
trade
moving
in
an
adverse
direction.
Mismatches
between
client
transactions
and
hedges
result
in
market
risk
due
to
changes
in
asset
prices,
volatility
or
correlations.
Organisation,
roles
and
responsibilities
Market
risk
in
the
businesses
resides
primarily
in
CIB
and
Treasury.
These
businesses
have
the
mandate
to
assume
market
risk.
The
front
office
and
Treasury
trading
desks
are
responsible
for
managing
market
risk
on
a
day-to-day
basis,
where
they
are
required
to
understand
and
adhere
to
all
limits
applicable
to
their
businesses.
The
Market
Risk
team
support
the
trading
desks
with
the
day-to-day
limit
management
of
market
risk
exposures
through
governance
processes
which
are
outlined
in
supporting
market
risk
policies
and
standards.
Market
risk
oversight
and
challenge
is
provided
by
business
committees
and
Barclays
Group
committees,
including
the
Market
Risk
Committee
(MRC).
The
objectives
of
market
risk
management
are
to:
◾
◾
◾
To
meet
the
above
objectives,
a
governance
structure
is
in
place
to
manage
these
risks
consistent
with
the
ERMF.
The
Barclays
Bank
PLC
Board
Risk
Committee
recommends
market
risk
appetite
to
the
Barclays
Bank
PLC
Board
for
their
approval,
within
the
parameters
set
by
the
Barclays
PLC
Board.
The
Market
Risk
Committee
(MRC)
reviews
and
makes
recommendations
concerning
the
Barclays
Group-wide
market
risk
profile.
This
includes
overseeing
the
operation
of
the
Market
Risk
Framework
and
associated
standards
and
policies;
reviewing
market
or
regulatory
issues
and
limits
and
utilisation.
The
committee
is
chaired
by
the
Market
Risk
Principal
Risk
Lead
and
attendees
include
the
business
heads
of
market
risk
and
business
aligned
market
risk
managers.
In
addition
to
MRC,
the
Corporate
and
Investment
Bank
Risk
Committee
(CIBRC)
is
the
main
forum
in
which
market
risk
exposures
are
discussed
and
reviewed
with
senior
business
heads.
The
Committee
is
chaired
by
the
CRO
of
Barclays
International
and
meets
weekly,
covering
current
market
events,
notable
market
risk
exposures,
and
key
risk
topics.
New
business
initiatives
are
generally
socialised
at
CIBRC
before
any
changes
to
risk
appetite
or
associated
limits
are
considered
in
other
governance
committees.
Management
value
at
risk
(VaR)
VaR
is
an
estimate
of
the
potential
loss
arising
from
unfavourable
market
movements
if
the
current
positions
were
to
be
held
unchanged
for
one
business
day.
For
internal
market
risk
management
purposes,
a
historical
simulation
methodology
with
a
two-year
equally
weighted
historical
period,
at
the
95%
confidence
level
is
used
for
all
trading
books
and
some
banking
books.
In
some
instances,
historical
data
is
not
available
for
particular
market
risk
factors
for
the
entire
look-back
period,
for
example,
complete
historical
data
would
not
be
available
for
an
equity
security
following
an
initial
public
offering.
In
these
cases,
market
risk
managers
will
proxy
the
unavailable
market
risk
factor
data
with
available
data
for
a
related
market
risk
factor.
Limits
are
applied
at
the
total
level
as
well
as
by
risk
factor
type,
which
are
then
cascaded
down
to
particular
trading
desks
and
businesses
by
the
market
risk
management
function.
See
page
76
for
a
review
of
management
VaR
in
2020.
Treasury
and
capital
risk
management
This
comprises:
Liquidity
risk:
The
risk
that
Barclays
Bank
PLC
is
unable
to
meet
its
contractual
or
contingent
obligations
or
that
it
does
not
have
the
appropriate
amount,
tenor
and
composition
of
funding
and
liquidity
to
support
its
assets.
Capital
risk:
The
risk
that
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
also
includes
the
risk
from
Barclays
Bank
Group’s
pension
plans.
Interest
rate
risk
in
the
banking
book:
The
risk
that
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.
The
Barclays
Bank
Group
Treasury
manages
treasury
and
capital
risk
exposure
on
a
day-to-day
basis
with
the
Barclays
Group
Treasury
Committee
acting
as
the
principal
management
body.
The
Barclays
Group
Treasury
and
Capital
Risk
function
is
responsible
for
oversight
and
provide
insight
into
key
capital,
liquidity,
interest
rate
risk
in
the
banking
book
(IRRBB)
and
pension
risk
management
activities.
Risk
review
Principal
risk
management
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
42
Liquidity
risk
management
(audited)
Overview
The
efficient
management
of
liquidity
is
essential
to
Barclays
Bank
PLC
in
order
to
retain
the
confidence
of
the
financial
markets
and
maintain
the
sustainability
of
the
business.
The
liquidity
risk
control
framework
is
used
to
manage
all
liquidity
risk
exposures
under
both
BAU
and
stressed
conditions.
The
framework
is
designed
to
maintain
liquidity
resources
that
are
sufficient
in
amount,
quality
and
funding
tenor
profile
to
support
the
liquidity
risk
appetite
as
expressed
by
the
Barclays
Bank
PLC
Board.
The
liquidity
risk
appetite
is
monitored
against
both
internal
and
regulatory
liquidity
metrics.
Organisation,
roles
and
responsibilities
Treasury
has
the
primary
responsibility
for
managing
liquidity
risk
within
the
set
risk
appetite.
Both
Risk
and
Treasury
contribute
to
the
production
of
the
Internal
Liquidity
Adequacy
Assessment
Process
(ILAAP).
The
Treasury
and
Capital
Risk
function
is
responsible
for
the
management
and
governance
of
the
liquidity
risk
mandate,
as
defined
by
the
Barclays
Bank
PLC
Board.
The
liquidity
risk
control
framework
is
designed
to
deliver
the
appropriate
term
and
structure
of
funding,
consistent
with
the
liquidity
risk
appetite
set
by
the
Barclays
Bank
PLC
Board.
The
control
framework
incorporates
a
range
of
ongoing
business
management
tools
to
monitor,
limit
and
stress
test
the
Barclays
Bank
PLC
balance
sheet
and
contingent
liabilities.
Limit
setting
and
transfer
pricing
are
tools
that
are
designed
to
control
the
level
of
liquidity
risk
taken
and
drive
the
appropriate
mix
of
funds.
In
addition,
Barclays
maintains
a
Group
recovery
plan
which
includes
application
to
Barclays
Bank
PLC.
Together,
these
tools
reduce
the
likelihood
that
a
liquidity
stress
event
could
lead
to
an
inability
to
meet
Barclays
Bank
PLC
obligations
as
they
fall
due.
The
Barclays
Bank
PLC
Board
approves
the
Barclays
Bank
PLC
funding
plan,
internal
stress
tests
and
of
regulatory
stress
tests
results,
recovery
plan
and
Liquidity
Risk
Appetite.
Barclays
Bank
PLC’s
Asset
and
Liability
Committee
(‘ALCO’)
is
responsible
for
monitoring
and
managing
liquidity
risk
in
line
with
Barclays
Bank
PLC’s
funding
management
objectives,
funding
plan
and
risk
appetite.
.
The
Barclays
Group
Treasury
and
Capital
Risk
Committee
monitors
and
reviews
the
liquidity
risk
profile
and
control
environment,
providing
second
line
oversight
of
the
management
of
liquidity
risk.
The
Barclays
Bank
PLC
Board
Risk
Committee
reviews
the
risk
profile,
and
annually
reviews
risk
appetite
and
the
impact
of
stress
scenarios
on
Barclays
Bank
PLC’s
funding
plan/forecast
in
order
to
agree
Barclays
Bank
PLC’s
projected
funding
abilities.
Capital
risk
management
(audited)
Overview
Capital
risk
is
managed
through
ongoing
monitoring
and
management
of
the
capital
position,
regular
stress
testing
and
a
robust
capital
governance
framework.
The
objectives
of
the
framework
are
to
maintain
adequate
capital
for
the
Barclays
Bank
Group
and
its
legal
entities
to
withstand
the
impact
of
the
risks
that
may
arise
under
normal
and
stressed
conditions,
and
maintain
adequate
capital
to
cover
current
and
forecast
business
needs
and
associated
risks
to
provide
a
viable
and
sustainable
business
offering.
Organisation,
roles
and
responsibilities
Treasury
has
the
primary
responsibility
for
managing
and
monitoring
capital.
The
Barclays
Bank
Group
Treasury
and
Capital
Risk
function
provides
oversight
of
capital
risk
and
is
an
independent
risk
function
that
reports
to
the
Barclays
Bank
Group
CRO.
Production
of
the
Barclays
Bank
PLC
Internal
Capital
Adequacy
Assessment
Process
(ICAAP)
is
the
responsibility
of
Treasury.
Capital
risk
management
is
underpinned
by
a
control
framework
and
policy.
The
capital
management
strategy,
outlined
in
the
relevant
legal
entity
capital
plans,
is
developed
in
alignment
with
the
control
framework
and
policy
for
capital
risk,
and
is
implemented
consistently
in
order
to
deliver
on
the
Barclays
Bank
Group’s
objectives,
which
are
aligned
to
those
of
the
Barclays
Group.
The
Barclays
Bank
PLC
Board
approves
the
Barclays
Bank
PLC
capital
plan,
internal
stress
tests
and
results
of
regulatory
stress
tests
and
those
of
the
relevant
Barclays
Bank
Group
entities.
The
Barclays
PLC
Board
also
approves
the
Barclays
Group
recovery
plan
which
takes
into
account
management
actions
identified
at
the
Barclays
Bank
Group
level.
The
Barclays
Bank
PLC
Treasury
Committee
together
with
the
Barclays
Group
Treasury
Committee
are
responsible
for
monitoring
and
managing
capital
risk
in
line
with
Barclays
Bank
Group’s
capital
management
objectives,
capital
plan
and
risk
frameworks.
The
BRC
monitors
and
reviews
the
capital
risk
profile
and
control
environment,
providing
second
line
oversight
of
the
management
of
capital
risk.
For
the
relevant
Barclays
Bank
Group
subsidiaries,
local
management
assures
compliance
with
an
entity’s
minimum
regulatory
capital
requirements
by
reporting
to
local
Asset
and
Liability
Committees
(or
equivalents)
with
oversight
by
the
Barclays
Bank
PLC
Treasury
Committee
and
the
Barclays
Group
Treasury
Committee,
as
required.
In
2020,
Barclays
complied
with
all
regulatory
minimum
capital
requirements.
Pension
risk
The
Barclays
Bank
Group
maintains
a
number
of
defined
benefit
pension
schemes
for
past
and
current
employees.
The
ability
of
schemes
to
meet
pension
payments
is
achieved
with
investments
and
contributions.
Pension
risk
arises
because
the
market
value
of
pension
fund
assets
might
decline;
investment
returns
might
reduce;
or
the
estimated
value
of
pension
liabilities
might
increase.
The
Barclays
Bank
Group
monitors
the
pension
risks
arising
from
its
defined
benefit
pension
schemes
and
works
with
Trustees
to
address
shortfalls.
In
these
circumstances
the
Barclays
Bank
Group
could
be
required
or
might
choose
to
make
extra
contributions
to
the
pension
fund.
The
Barclays
Bank
Group’s
main
defined
benefit
scheme
was
closed
to
new
entrants
in
2012.
Interest
rate
risk
in
the
banking
book
management
(IRRBB)
Overview
Interest
rate
risk
in
the
banking
book
is
driven
by
customer
deposit
taking
and
lending
activities,
investments
in
the
liquid
asset
portfolio
and
funding
activities.
As
per
the
Barclays
Bank
Group’s
policy
to
remain
within
the
defined
risk
appetite,
hedging
strategies
are
executed
to
mitigate
the
risks.
However,
the
Barclays
Bank
Group
remains
susceptible
to
interest
rate
risk
and
other
non-traded
market
risks
from
key
sources:
◾
Interest
rate
and
repricing
risk:
timing
of
interest
rate
changes
between
assets
and
liabilities,
and
other
constraints
on
interest
rate
changes
as
per
product
terms
and
conditions.
Risk
review
Principal
risk
management
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
43
◾
Customer
behavioural
risk:
the
risk
that
net
interest
income
could
be
adversely
impacted
by
the
discretion
that
customers
and
counterparties
may
have
in
respect
of
being
able
to
vary
their
contractual
obligations
with
the
Barclays
Bank
Group.
This
risk
is
often
referred
to
by
industry
regulators
as
‘embedded
option
risk’.
◾
Investment
risks
in
the
liquid
asset
portfolio:
the
risk
that
the
fair
value
of
assets
held
in
the
liquid
asset
portfolio
and
associated
risk
management
portfolios
could
be
adversely
impacted
by
market
volatility,
creating
volatility
in
capital
directly.
Organisation,
roles
and
responsibilities
The
Barclays
Bank
PLC
Treasury
Committee,
together
with
the
Barclays
Group
Treasury
Committee,
are
responsible
for
monitoring
and
managing
IRRBB
risk
in
line
with
Barclays
Bank’s
management
objectives
and
risk
frameworks.
The
BRC
and
Treasury
and
Capital
Risk
Committee
monitors
and
reviews
the
IRRBB
risk
profile
and
control
environment,
providing
second
line
oversight
of
the
management
of
IRRBB.
The
BRC
reviews
the
interest
rate
risk
profile,
including
annual
review
of
the
risk
appetite
and
the
impact
of
stress
scenarios
on
the
interest
rate
risk
of
the
Barclays
Bank
PLC’s
banking
books.
In
addition,
the
Barclays
Bank
Group’s
IRRBB
policy
sets
out
the
processes
and
key
controls
required
to
identify
all
IRRBB
risks
arising
from
banking
book
operations,
to
monitor
the
risk
exposures
via
a
set
of
metrics
with
a
frequency
in
line
with
the
risk
management
horizon,
and
to
manage
these
risks
within
agreed
risk
appetite
and
limits.
Operational
risk
management
The
risk
of
loss
to
Barclays
Bank
Group
from
inadequate
or
failed
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.
Overview
The
management
of
operational
risk
has
three
key
objectives:
◾
◾
defence
provides
robust,
independent,
and
effective
oversight
and
challenge;
and
◾
management
actions
can
be
taken
to
keep
the
operational
risk
profile
consistent
with
the
Barclays
Bank
Group’s
strategy,
the
stated
risk
appetite
and
stakeholder
needs.
The
Barclays
Bank
Group
operates
within
a
system
of
internal
controls
that
enables
business
to
be
transacted
and
risk
taken
without
exposing
it
to
unacceptable
potential
losses
or
reputational
damages.
Organisation,
roles
and
responsibilities
The
prime
responsibility
for
the
management
of
operational
risk
and
the
compliance
with
control
requirements
rests
within
the
business
and
functional
units
where
the
risk
arises.
The
operational
risk
profile
and
control
environment
is
reviewed
by
management
through
business
risk
committees
and
control
committees.
Operational
risk
issues
escalated
from
these
meetings
are
considered
through
the
second
line
of
defence
review
meetings.
Depending
on
their
nature,
the
outputs
of
these
meetings
are
presented
to
the
Operational
Risk
Profile
Forum,
the
Operational
Risk
Committee,
the
Barclays
Bank
Risk
Forum,
the
Barclays
Bank
PLC
Board
Risk
Committee
or
the
Barclays
Bank
PLC
Board
Audit
Committee.
In
addition,
specific
reports
are
prepared
by
Operational
Risk
on
a
regular
basis
for
the
Barclays
Bank
Risk
Forum,
GRC
and
the
Barclays
Bank
PLC
Board
Risk
Committee.
Businesses
and
functions
are
required
to
report
their
operational
risks
on
both
a
regular
and
an
event-driven
basis.
The
reports
include
a
profile
of
the
material
risks
that
may
threaten
the
achievement
of
their
objectives
and
the
effectiveness
of
key
controls,
operational
risk
events
and
a
review
of
scenarios.
The
Barclays
Group
Head
of
Operational
Risk
is
responsible
for
establishing,
owning
and
maintaining
an
appropriate
Barclays
Group-wide
Operational
Risk
Management
Framework,
meanwhile
the
Barclays
Bank
PLC
Head
of
Operational
Risk
is
responsible
for
overseeing
the
portfolio
of
operational
risk
across
all
businesses.
The
Operational
Risk
function
acts
in
a
second
line
of
defence
capacity,
and
is
responsible
for
defining
and
overseeing
the
implementation
of
the
framework
and
monitoring
Barclays
Bank
Group’s
operational
risk
profile.
The
Operational
Risk
function
alerts
management
when
risk
levels
exceed
acceptable
tolerance
in
order
to
drive
timely
decision
making
and
actions
by
the
first
line
of
defence.
Operational
risk
categories
Operational
risks
are
grouped
into
risk
categories
to
support
effective
risk
management,
measurement
and
reporting.
These
comprise:
Data
Management
Risk;
Financial
Reporting
Risk;
Fraud
Risk;
Information
Security
Risk;
Operational
Resilience
Planning
Risk;
Payments
Process
Risk;
People
Risk;
Premises
Risk;
Physical
Security
Risk;
Strategic
Investment
Change
Management
Risk;
Supplier
Risk;
Tax
Risk;
Technology
Risk;
and
Transaction
Operations
Risk.
In
addition
to
the
above,
operational
risk
encompasses
risks
associated
with
prudential
regulation.
This
includes
the
risk
of
failing
to:
adhere
to
prudential
regulatory
requirements,
provide
regulatory
submissions;
or
monit
or
and
manage
adherence
to
new
prudential
regulatory
requirements.
Risk
themes
The
Barclays
Bank
Group
also
recognises
that
there
are
certain
threats/risk
drivers
that
are
more
thematic
and
have
the
potential
to
impact
the
Barclays
Bank
Group’s
strategic
objectives.
These
are
risk
themes
which
require
an
overarching
and
integrated
risk
management
approach.
The
Barclays
Bank
Group’s
risk
themes
include
Cyber,
Data
and
Resilience.
For
definitions
of
the
Barclays
Bank
Group’s
operational
risk
categories
and
enterprise
risk
themes,
refer
to
pages
202
to
203
of
the
Barclays
PLC
Pillar
3
Report
2020.
Risk
review
Principal
risk
management
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
44
Model
risk
management
The
risk
of
the
potential
adverse
consequences
from
financial
assessments
or
decisions
based
on
incorrect
or
misused
model
outputs
and
reports.
Overview
The
Barclays
Bank
Group
uses
models
to
support
a
broad
range
of
activities,
including
informing
business
decisions
and
strategies,
measuring
and
limiting
risk,
valuing
exposures,
conducting
stress
testing,
assessing
capital
adequacy,
managing
client
assets,
and
meeting
reporting
requirements.
Since
models
are
imperfect
and
incomplete
representations
of
reality,
they
may
be
subject
to
errors
affecting
the
accuracy
of
their
output.
Model
errors
and
misuse
are
the
primary
sources
of
model
risk.
Organisation,
roles
and
responsibilities
The
Barclays
Group
has
a
dedicated
Model
Risk
Management
(MRM)
function
that
consists
of
four
teams:
(i)
Independent
Validation
Unit
(IVU),
responsible
for
model
validation
and
approval;
(ii)
Model
Governance
and
Controls
(MGC),
responsible
for
regulatory,
audit,
policy,
standards,
conformance
and
controls;
(iii)
Strategy
and
Transformation
responsible
for
inventory,
strategy,
communications
and
business
management
and
(iv)
Model
Risk
Measurement
and
Quantification
(MRMQ),
responsible
for
the
design
of
the
framework
and
methodology
to
accurately
measure
and
quantify
model
risk.
The
model
risk
management
framework
consists
of
the
model
risk
policy
and
standards.
The
policy
prescribes
the
Barclays
Group-wide,
end-to-
end
requirements
for
the
identification,
measurement
and
management
of
model
risk,
covering
model
documentation,
development,
implementation,
monitoring,
annual
review,
independent
validation
and
approval,
change
and
reporting
processes.
The
policy
is
supported
by
global
standards
covering
model
inventory,
documentation,
validation,
complexity
and
materiality,
testing
and
monitoring,
overlays,
risk
appetite,
as
well
as
vendor
models
and
stress
testing
challenger
models.
The
function
reports
to
the
Barclays
Group
CRO
and
operates
a
global
framework.
Implementation
of
best
practice
standards
is
a
central
objective
of
the
Barclays
Group.
The
key
model
risk
management
activities
include:
◾
Database
(GMD),
the
Barclays
Group-wide
model
inventory.
◾
IVU
for
validation
and
maintain
that
the
model
presented
to
IVU
is
and
remains
fit
for
purpose.
◾
◾
Conduct
risk
management
The
risk
of
detriment
to
customers,
clients,
market
integrity,
effective
competition
or
Barclays
from
the
inappropriate
supply
of
financial
services,
including
instances
of
wilful
or
negligent
misconduct.
Overview
The
Barclays
Bank
Group
defines,
manages
and
mitigates
conduct
risk
with
the
objective
of
providing
good
customer
and
client
outcomes,
protecting
market
integrity
and
promoting
effective
competition.
Conduct
risk
incorporates
risks
associated
with
the
maintenance
of
market
integrity,
customer
protection,
and
product
and
services
lifecycle
governance
and
the
prevention
of
financial
crime.
Organisation,
roles
and
responsibilities
The
Conduct
Risk
Management
Framework
(CRMF)
outlines
how
the
Barclays
Bank
Group
manages
and
measures
its
Conduct
Risk
Profile.
The
Barclays
Group
Chief
Compliance
Officer
is
accountable
for
developing,
maintaining
and
overseeing
a
group-wide
CRMF.
The
Barclays
Bank
Group
Chief
Compliance
Officer
is
responsible
for
providing
effective
oversight,
management
and
escalation
of
conduct
risk
in
line
with
the
CRMF.
This
includes
overseeing
the
development
and
maintenance
of
the
relevant
conduct
risk
policies
and
standards
and
monitoring
and
reporting
on
the
consistent
application
and
effectiveness
of
the
implementation
of
controls
to
manage
conduct
risk.
It
is
the
responsibility
of
the
first
line
of
defence
to
establish
controls
to
manage
its
performance
and
assess
conformance
to
these
policies
and
controls.
Senior
managers
are
accountable
within
their
areas
of
responsibility
for
owning
and
managing
conduct
risk
in
accordance
with
the
CRMF,
as
defined
within
their
regulatory
Statement
of
Responsibilities.
Compliance
as
an
independent
second
line
function
is
designed
to
help
prevent,
detect
and
manage
breaches
of
applicable
laws,
rules,
regulations
and
procedures
and
has
a
key
role
in
helping
Barclays
Bank
Group
achieve
the
right
conduct
outcomes
and
evolve
a
conduct-focused
culture.
The
governance
of
conduct
risk
within
the
Barclays
Bank
Group
is
fulfilled
through
management
committees
and
forums
operated
by
the
first
and
second
lines
of
defence
with
clear
escalation
and
reporting
lines
to
the
Board.
The
Barclays
Group
and
Barclays
Bank
Group
Risk
Committee
is
the
primary
second
line
governance
committees
for
the
oversight
of
the
Conduct
Risk
Profile.
The
risk
committee’s
responsibilities
include
the
identification
and
discussion
of
any
emerging
conduct
risks
exposures
in
the
Barclays
Group
and
Barclays
Bank
Group.
Reputation
risk
management
The
risk
that
an
action,
transaction,
investment,
event,
decision,
or
business
relationship
will
reduce
trust
in
Barclays
Bank
Group’s
integrity
and/or
competence.
Overview
A
reduction
of
trust
in
the
Barclays
Bank
Group’s
integrity
and
competence
may
reduce
the
attractiveness
of
Barclays
Bank
Group
to
customers
and
clients
and
other
stakeholders
and
could
lead
to
negative
publicity,
loss
of
revenue,
regulatory
or
legislative
action,
loss
of
existing
and
Risk
review
Principal
risk
management
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
45
potential
client
business,
reduce
workforce
morale
and
difficulties
in
recruiting
talent.
Ultimately
it
may
destroy
shareholder
value.
Organisation,
roles
and
responsibilities
The
governance
of
reputation
risk
within
the
Barclays
Bank
Group
is
fulfilled
through
management
committees
and
forums
operated
by
the
First
and
Second
Lines
of
Defence,
with
clear
escalation
and
reporting
lines
to
the
relevant
Barclays
Bank
Group
Board
committees.
The
Barclays
Bank
Group
Risk
Committee
is
the
most
senior
executive
body
responsible
for
reviewing
and
monitoring
the
effectiveness
of
the
Barclays
Bank
Group
management
of
reputation
risk.
The
Reputation
Risk
Management
Framework
(RRMF)
comprises
a
number
of
elements
that
allow
the
Barclays
Bank
Group
to
manage
and
measure
its
reputation
risk
profile.
The
RRMF
sets
out
what
is
required
to
manage
reputation
risk
across
the
Barclays
Bank
Group.
The
Barclays
Bank
PLC
Chief
Compliance
Officer
is
responsible
for
assessing
the
appropriateness
of
the
relevant
reputation
risk
policy
and
standards
and
oversight
of
the
implementation
of
controls
to
manage
the
risk.
The
Barclays
Bank
Group
is
required
to
prepare
reports
for
the
Barclays
Bank
Group
Risk
Committee
highlighting
the
most
significant
current
and
potential
reputation
risks
and
issues
and
how
they
are
being
managed.
Legal
risk
management
The
risk
of
loss
or
imposition
of
penalties,
damages
or
fines
from
the
failure
of
Barclays
Bank
Group
to
meet
its
legal
obligations
including
regulatory
or
contractual
requirements.
Overview
The
Barclays
Bank
Group
has
no
tolerance
for
wilful
breaches
of
laws,
regulations
or
other
legal
obligations.
However,
the
multitude
of
laws
and
regulations
across
the
globe
are
highly
dynamic
and
their
application
to
particular
circumstances
is
often
unclear.
This
results
in
a
high
level
of
inherent
legal
risk
which
Barclays
Bank
Group
seeks
to
mitigate
through
the
operation
of
a
Group-wide
legal
risk
management
framework,
including
the
implementation
of
Group-wide
legal
risk
policies
requiring
the
engagement
of
legal
professionals
in
situations
that
have
the
potential
for
legal
risk.
Notwithstanding
these
mitigating
actions,
Barclays
Bank
Group
operates
with
a
level
of
residual
legal
risk,
for
which
the
Barclays
Bank
Group
has
limited
tolerance.
Organisation,
roles
and
responsibilities
The
Barclays
Bank
Group’s
businesses
and
functions
have
primary
responsibility
for
identifying
and
escalating
legal
risk
in
their
area
as
well
as
responsibility
for
adherence
to
minimum
control
requirements.
The
Legal
Function
organisation
and
coverage
model
aligns
legal
expertise
to
businesses,
functions,
products,
activities
and
geographic
locations
so
that
the
Barclays
Bank
Group
receives
support
from
appropriate
legal
professionals,
working
in
partnership
to
manage
legal
risk.
The
senior
management
of
the
Legal
Function
oversees,
challenges
and
monitors
the
legal
risk
profile
and
effectiveness
of
the
legal
risk
control
environment
across
the
Barclays
Group.
The
Legal
Function
does
not
sit
in
any
of
the
Three
Lines
of
Defence
but
supports
them
all.
The
Barclays
Group
General
Counsel
is
responsible
for
maintaining
a
Barclays
Group-wide
legal
risk
management
framework.
This
includes
defining
the
relevant
legal
risk
policies
and
oversight
of
the
implementation
of
controls
to
manage
and
escalate
legal
risk.
The
legal
risk
profile
and
control
environment
is
reviewed
by
management
through
business
risk
committees
and
control
committees.
The
Barclays
Bank
Group
Board
Risk
Committee
is
the
most
senior
body
responsible
for
reviewing
and
monitoring
the
effectiveness
of
risk
management
across
the
Barclays
Bank
Group.
Escalation
paths
from
this
committee
exist
to
the
Barclays
Group
Risk
Committee.
Risk
review
Risk
performance
Credit
risk
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
46
Summary
of
Contents
Page
Credit
risk
represents
a
significant
risk
to
the
Barclays
Bank
Group
and
mainly
arises
from
exposure
to
wholesale
and
retail
loans
and
advances
together
with
the
counterparty
credit
risk
arising
from
derivative
contracts
entered
into
with
clients.
◾
◾
47
48
This
section
outlines
the
expected
credit
loss
allowances,
the
movements
in
allowances
during
the
period,
material
management
adjustments
to
model
output
and
measurement
uncertainty
and
sensitivity
analysis.
◾
-
-
and
advances
at
amortised
cost
including
provisions
for
loan
commitments
and
financial
guarantees
-
-
◾
◾
51
51
52
56
56
56
57
The
Barclays
Bank
Group
reviews
and
monitors
risk
concentrations
in
a
variety
of
ways.
This
section
outlines
performance
against
key
concentration
risks.
◾
-
-
◾
-
-
-
-
68
68
69
70
70
70
70
72
Credit
Risk
monitors
exposure
performance
across
a
range
of
significant
portfolios.
◾
-
75
75
Risk
review
Risk
performance
Credit
risk
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
47
All
disclosures
in
this
section
pages
47
to
75
are
unaudited
unless
otherwise
stated.
Overview
Credit
risk
represents
a
significant
risk
to
the
Barclays
Bank
Group
and
mainly
arises
from
exposure
to
wholesale
and
retail
loans
and
advances
together
with
the
counterparty
credit
risk
arising
from
derivative
contracts
entered
into
with
clients.
The
impact
of
the
COVID-19
pandemic
has
increased
the
level
of
judgement
that
management
has
been
required
to
exercise
over
the
course
of
2020.
Customer
and
client
default
rates
have
remained
relatively
stable
despite
the
impact
of
the
pandemic
and
volatile
macroeconomic
environment.
In
retail
cards,
credit
profiles
improved
or
were
stable
versus
pre-pandemic
levels
as
a
result
of
government
support
measures
and
customer
deleveraging.
In
wholesale,
furlough
and
liquidity
funding
schemes
are
supporting
businesses
through
the
pandemic,
with
limited
credit
deterioration.
This
lack
of
deterioration,
combined
in
some
cases
with
improving
economics,
is
leading
to
large
scale
credit
loss
stock
releases
on
a
modelled
basis
in
pockets
of
the
portfolio.
Given
this
backdrop,
management
has
applied
COVID-19
specific
adjustments
to
modelled
outputs
to
ensure
the
full
potential
impacts
of
stress
are
provided
for.
These
adjustments
address
the
temporary
nature
of
ongoing
government
support,
the
uncertainty
in
relation
to
the
timing
of
stress
and
the
degree
to
which
economic
consensus
has
yet
captured
the
range
of
economic
uncertainty,
particularly
in
the
UK.
Refer
to
the
Management
adjustment
to
models
for
impairment
section
on
pages
56
to
57
for
further
details.
Further
detail
can
be
found
in
the
financial
statements
section
in
Note
7
Credit
impairment
charges.
Descriptions
of
terminology
can
be
found
in
the
glossary,
available
at
home.barclays/annualreport.
Summary
of
performance
in
the
period
Credit
impairment
charges
increased
to
£3,377m
(2019:
£1,202m).
CIB
credit
impairment
charges
increased
to
£1,565m
(2019:
£157m)
and
CC&P
credit
impairment
charges
increased
to
£1,720m
(2019:
£1,016m)
due
to
the
deterioration
in
economic
outlook
driven
by
the
COVID-19
pandemic.
The
current
year
charge
is
broadly
driven
by
non-default
provision
for
potential
future
customer
and
client
stress
of
£711m
in
CIB
and
£752m
in
CC&P,
and
£800m
of
single
name
wholesale
charges.
As
at
31
December
2020,
30
and
90
days
arrears
rates
in
US
cards
were
2.5%
(2019:
2.7%)
and
1.4%
(2019:
1.4%)
respectively.
Key
metrics
Increase
of
£1,887m
impairment
allowance
Impairment
allowances
on
loans
and
advances
at
amortised
cost,
including
off-balance
sheet
elements
of
the
allowance
in
Barclays
Bank
Group
increased
by
£1,887m
to
£5,835m
(2019:
£3,948m)
during
the
year.
This
is
driven
by
an
increase
in
Wholesale
Loans
of
£922m,
Credit
cards,
unsecured
loans
and
other
retail
lending
of
£362m
and
Home
Loans
£86m
and
an
increase
in
off-balance
sheet
provisions
of
£517m.
Please
refer
to
page
51
Expected
Credit
loss
section
for
further
details.
Please
see
risk
management
section
on
pages
39
to
41
for
details
of
governance,
policies
and
procedures.
Risk
review
Risk
performance
Credit
risk
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
48
Analysis
of
the
Balance
Sheet
Barclays
Bank
Group’s
maximum
exposure
and
effects
of
netting,
collateral
and
risk
transfer
The
following
tables
present
a
reconciliation
between
the
Barclays
Bank
Group’s
maximum
exposure
and
its
net
exposure
to
credit
risk,
reflecting
the
financial
effects
of
risk
mitigation
reducing
the
Barclays
Bank
Group’s
exposure.
For
financial
assets
recognised
on
the
balance
sheet,
maximum
exposure
to
credit
risk
represents
the
balance
sheet
carrying
value
after
allowance
for
impairment.
For
off-balance
sheet
guarantees,
the
maximum
exposure
is
the
maximum
amount
that
the
Barclays
Bank
Group
would
have
to
pay
if
the
guarantees
were
to
be
called
upon.
For
loan
and
other
credit
related
commitments,
the
maximum
exposure
is
the
full
amount
of
the
committed
facilities.
This
and
subsequent
analyses
of
credit
risk
exclude
other
financial
assets
not
subject
to
credit
risk,
mainly
equity
securities.
The
Barclays
Bank
Group
mitigates
the
credit
risk
to
which
it
is
exposed
through
netting
and
set-off,
collateral
and
risk
transfer.
Further
detail
on
these
forms
of
credit
enhancement
is
presented
on
page
40
of
the
credit
risk
management
section.
Overview
As
at
31
December
2020,
the
Barclays
Bank
Group’s
net
exposure
to
credit
risk,
after
taking
into
account
credit
risk
mitigation,
increased
9%
to
£719.6bn.
Overall,
the
extent
to
which
the
Barclays
Bank
Group
holds
mitigation
against
its
total
exposure
increased
to
43%
(2019:
40%).
Of
the
unmitigated
on
balance
sheet
exposure,
a
significant
portion
relates
to
cash
held
at
central
banks,
cash
collateral
and
settlement
balances,
and
debt
securities
issued
by
governments,
all
of
which
are
considered
to
be
lower
risk.
The
increase
in
the
Barclays
Bank
Group’s
net
exposure
to
credit
risk
has
been
driven
by
increases
in
cash
and
balances
at
central
banks,
cash
collateral
and
settlement
balances,
trading
portfolio
assets
and
derivative
financial
instruments.
Trading
portfolio
liability
positions,
which
to
a
significant
extent
economically
hedge
trading
portfolio
assets
but
which
are
not
held
specifically
for
risk
m
anagement
purposes,
are
excluded
from
the
analysis.
The
credit
quality
of
counterparties
to
derivatives,
financial
investments
and
wholesale
loan
assets
are
predominantly
investment
grade
and
there
are
no
significant
changes
from
prior
year.
Further
analysis
on
the
credit
quality
of
assets
is
presented
on
pages
70
to
75.
Collateral
obtained
Where
collateral
has
been
obtained
in
the
event
of
default,
the
Barclays
Bank
Group
does
not,
ordinarily,
use
such
assets
for
its
own
operations
and
they
are
usually
sold
on
a
timely
basis.
The
carrying
value
of
assets
held
by
the
Barclays
Bank
Group
as
at
31
December
2020,
as
a
result
of
the
enforcement
of
collateral,
was
£6m
(2019:
£6m).
Risk
review
Risk
performance
Credit
risk
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
49
Maximum
exposure
and
effect
of
netting,
collateral
and
risk
transfer
(audited)
Maximum
exposure
Netting
and
set-off
Cash
collateral
Non-cash
collateral
Risk
transfer
Net
exposure
Barclays
Bank
Group
As
at
31
December
2020
£m
£m
£m
£m
£m
£m
On-balance
sheet:
Cash
and
balances
at
central
banks
155,902
-
-
-
-
155,902
Cash
collateral
and
settlement
balances
97,616
-
-
-
-
97,616
Loans
and
advances
at
amortised
cost:
Home
loans
11,193
-
(283)
(10,782)
(85)
43
Credit
cards,
unsecured
loans
and
other
retail
lending
23,368
-
(827)
(3,459)
(195)
18,887
Wholesale
loans
99,706
(6,988)
(50)
(24,328)
(4,419)
63,921
Total
loans
and
advances
at
amortised
cost
134,267
(6,988)
(1,160)
(38,569)
(4,699)
82,851
723
-
(13)
(708)
-
2
600
-
(10)
(218)
(2)
370
1,327
-
(4)
(167)
(85)
1,071
2,650
-
(27)
(1,093)
(87)
1,443
Reverse
repurchase
agreements
and
other
similar
secured
lending
8,981
-
-
(8,981)
-
-
Trading
portfolio
assets:
Debt
securities
56,196
-
-
(391)
-
55,805
Traded
loans
8,348
-
-
(374)
-
7,974
Total
trading
portfolio
assets
64,544
-
-
(765)
-
63,779
Financial
assets
at
fair
value
through
the
income
statement:
Loans
and
advances
27,449
-
(9)
(21,819)
-
5,621
Debt
securities
1,697
-
-
(292)
-
1,405
Reverse
repurchase
agreements
138,558
-
(685)
(137,466)
-
407
Other
financial
assets
315
-
-
-
-
315
Total
financial
assets
at
fair
value
through
the
income
statement
168,019
-
(694)
(159,577)
-
7,748
Derivative
financial
instruments
302,693
(233,088)
(43,164)
(4,656)
(6,409)
15,376
Financial
assets
at
fair
value
through
other
comprehensive
income
51,901
-
-
(106)
(1,065)
50,730
Other
assets
614
-
-
-
-
614
Total
on-balance
sheet
984,537
(240,076)
(45,018)
(212,654)
(12,173)
474,616
Off-balance
sheet:
Contingent
liabilities
20,932
-
(1,095)
(2,135)
(282)
17,420
Loan
commitments
265,022
-
(56)
(35,970)
(1,479)
227,517
Total
off-balance
sheet
285,954
-
(1,151)
(38,105)
(1,761)
244,937
Total
1,270,491
(240,076)
(46,169)
(250,759)
(13,934)
719,553
Off
-balance
sheet
exposures
are
shown
gross
of
provisions
of
£769m
(2019:
£252m).
See
Note
24
for
further
details.
In
addition
to
the
above,
Barclays
Bank
Group
holds
forward
starting
reverse
repos
amounting
to
£30.8bn
(2019:
£31.1bn).
The
balances
are
fully
collateralised.
Wholesale
loans
and
advances
at
amortised
cost
include
£1bn
of
CBILs
and
CLBILs
supported
by
UK
government
guarantees.
For
further
information
on
credit
risk
mitigation
techniques,
refer
to
page
40
within
the
credit
risk
management
section.
Risk
review
Risk
performance
Credit
risk
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
50
Maximum
exposure
and
effects
of
netting,
collateral
and
risk
transfer
(audited)
Maximum
exposure
Netting
and
set-off
Cash
collateral
Non-cash
collateral
Risk
transfer
Net
exposure
Barclays
Bank
Group
As
at
31
December
2019
£m
£m
£m
£m
£m
£m
On-balance
sheet:
Cash
and
balances
at
central
banks
125,940
-
-
-
-
125,940
Cash
collateral
and
settlement
balances
79,486
-
-
-
-
79,486
Loans
and
advances
at
amortised
cost:
Home
loans
10,986
-
(293)
(10,582)
(69)
42
Credit
cards,
unsecured
loans
and
other
retail
lending
33,503
-
(695)
(4,753)
(256)
27,799
Corporate
loans
97,147
(7,636)
(146)
(25,915)
(4,550)
58,900
Total
loans
and
advances
at
amortised
cost
141,636
(7,636)
(1,134)
(41,250)
(4,875)
86,741
764
-
(2)
(749)
(13)
-
658
-
(7)
(271)
(3)
377
780
-
(9)
(209)
(19)
543
2,202
-
(18)
(1,229)
(35)
920
Reverse
repurchase
agreements
and
other
similar
secured
lending
1,731
-
-
(1,731)
-
-
Trading
portfolio
assets:
Debt
securities
51,880
-
-
(423)
-
51,457
Traded
loans
5,378
-
-
(134)
-
5,244
Total
trading
portfolio
assets
57,258
-
-
(557)
-
56,701
Financial
assets
at
fair
value
through
the
income
statement:
Loans
and
advances
19,137
-
(14)
(14,791)
(57)
4,275
Debt
securities
5,220
-
-
-
-
5,220
Reverse
repurchase
agreements
97,823
-
(1,132)
(96,672)
-
19
Other
financial
assets
742
-
-
-
-
742
Total
financial
assets
at
fair
value
through
the
income
statement
122,922
-
(1,146)
(111,463)
(57)
10,256
Derivative
financial
instruments
229,641
(176,022)
(33,469)
(5,403)
(5,564)
9,183
Financial
assets
at
fair
value
through
other
comprehensive
income
45,405
-
-
(305)
(727)
44,373
Other
assets
614
-
-
-
-
614
Total
on-balance
sheet
804,633
(183,658)
(35,749)
(160,709)
(11,223)
413,294
Off-balance
sheet:
Contingent
liabilities
23,777
-
(400)
(4,412)
(159)
18,806
Loan
commitments
270,027
-
(48)
(42,420)
(1,913)
225,646
Total
off-balance
sheet
293,804
-
(448)
(46,832)
(2,072)
244,452
Total
1,098,437
(183,658)
(36,197)
(207,541)
(13,295)
657,746
Risk
review
Risk
performance
Credit
risk
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
51
Expected
Credit
Losses
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.
Barclays
Bank
Group
(audited)
Stage
2
As
at
31
December
2020
Stage
1
Not
past
due
<=30
days
past
due
past
due
Total
Stage
3
Total
a
Gross
exposure
£m
£m
£m
£m
£m
£m
£m
Home
loans
9,627
761
53
87
901
1,099
11,627
Credit
cards,
unsecured
loans
and
other
retail
lending
18,923
4,987
393
191
5,571
1,853
26,347
Wholesale
loans
83,254
14,184
1,066
688
15,938
2,167
101,359
Total
111,804
19,932
1,512
966
22,410
5,119
139,333
Impairment
allowance
Home
loans
6
40
6
6
52
376
434
Credit
cards,
unsecured
loans
and
other
retail
lending
399
1,092
111
124
1,327
1,253
2,979
Wholesale
loans
280
475
49
9
533
840
1,653
Total
685
1,607
166
139
1,912
2,469
5,066
Net
exposure
Home
loans
9,621
721
47
81
849
723
11,193
Credit
cards,
unsecured
loans
and
other
retail
lending
18,524
3,895
282
67
4,244
600
23,368
Wholesale
loans
82,974
13,709
1,017
679
15,405
1,327
99,706
Total
111,119
18,325
1,346
827
20,498
2,650
134,267
Coverage
ratio
%
%
%
%
%
%
%
Home
loans
0.1
5.3
11.3
6.9
5.8
34.2
3.7
Credit
cards,
unsecured
loans
and
other
retail
lending
2.1
21.9
28.2
64.9
23.8
67.6
11.3
Wholesale
loans
0.3
3.3
4.6
1.3
3.3
38.8
1.6
Total
0.6
8.1
11.0
14.4
8.5
48.2
3.6
As
at
31
December
2019
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
Note
a
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
£150.3bn
(December
2019:
£125.5bn)
and
impairment
allowance
of
£145m
(December
2019:
£22m).
This
comprises
£7m
(December
2019:
£10
m)
ECL
on
£
146.3bn
(December
2019:
£124.7bn)
Stage
1
assets,
£6m
(December
2019:
£2m)
on
£3.8bn
(December
2019:
£0.8bn)
Stage
2
fair
value
through
other
comprehensive
income
assets,
cash
collateral
and
settlement
assets
and
£132m
(December
201
9:
£10m)
on
£132m
(December
2019:
£10m)
Stage
3
other
assets.
Loan
commitme
nts
and
financial
guarantee
contracts
have
total
ECL
of
£769m
(December
2019:
£252
m).
Risk
review
Risk
performance
Credit
risk
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
52
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
page
121.
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
12-month
period.
Loans
and
advances
at
amortised
cost
(audited)
Stage
1
Stage
2
Stage
3
Total
Barclays
Bank
Group
Gross
ECL
Gross
ECL
Gross
ECL
Gross
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
(537)
(1)
537
1
-
-
-
-
Transfers
from
Stage
2
to
Stage
1
204
7
(204)
(7)
-
-
-
-
Transfers
to
Stage
3
(157)
-
(52)
(7)
209
7
-
-
Transfers
from
Stage
3
29
-
55
1
(84)
(1)
-
-
Business
activity
in
the
year
1,193
1
-
-
1
-
1,194
1
Net
drawdowns,
repayments,
net
re-
measurement
and
movements
due
to
exposure
and
risk
parameter
changes
133
(17)
(62)
25
32
96
103
104
Final
repayments
(842)
-
(47)
(1)
(98)
(1)
(987)
(2)
Disposals
b
-
-
-
-
-
-
-
-
Write
-offs
c
-
-
-
-
(17)
(17)
(17)
(17)
As
at
31
December
2020
d
9,627
6
901
52
1,099
376
11,627
434
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
(4,116)
(92)
4,116
92
-
-
-
-
Transfers
from
Stage
2
to
Stage
1
994
139
(994)
(139)
-
-
-
-
Transfers
to
Stage
3
(464)
(19)
(516)
(188)
980
207
-
-
Transfers
from
Stage
3
21
12
59
8
(80)
(20)
-
-
Business
activity
in
the
year
3,467
35
130
32
29
7
3,626
74
Net
drawdowns,
repayments,
net
re-
measurement
and
movements
due
to
exposure
and
risk
parameter
changes
(4,613)
15
(1,231)
806
38
731
(5,806)
1,552
Final
repayments
(2,232)
(29)
(168)
(23)
(68)
(8)
(2,468)
(60)
Transfers
to
Barclays
Group
a
(2,182)
(16)
(92)
(25)
(47)
(41)
(2,321)
(82)
Disposals
b
(1,493)
(8)
(183)
(20)
(92)
(58)
(1,768)
(86)
Write
-offs
c
-
-
-
-
(1,036)
(1,036)
(1,036)
(1,036)
As
at
31
December
2020
d
18,923
399
5,571
1,327
1,853
1,253
26,347
2,979
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
(10,213)
(31)
10,213
31
-
-
-
-
Transfers
from
Stage
2
to
Stage
1
2,651
25
(2,651)
(25)
-
-
-
-
Transfers
to
Stage
3
(772)
(3)
(642)
(50)
1,414
53
-
-
Transfers
from
Stage
3
189
-
34
1
(223)
(1)
-
-
Business
activity
in
the
year
19,773
44
1,954
144
393
67
22,120
255
Net
drawdowns,
repayments,
net
re-
measurement
and
movements
due
to
exposure
and
risk
parameter
changes
7,033
154
2,969
248
5
687
10,007
1,089
Final
repayments
(24,098)
(22)
(2,844)
(28)
(283)
(59)
(27,225)
(109)
Transfers
to
Barclays
Group
a
(509)
(1)
(600)
(22)
(18)
(6)
(1,127)
(29)
Disposals
b
-
-
(10)
-
-
-
(10)
-
Write
-offs
c
-
-
-
-
(284)
(284)
(284)
(284)
As
at
31
December
2020
d
83,254
280
15,938
533
2,167
840
101,359
1,653
Notes
a
Transfers
to
Barclays
Group
include
a
£2.3
bn
transfer
of
the
Barclays
Partner
Finance
retail
portfolio
reported
within
Credit
cards,
unsecured
loans
and
other
retail
lending
and
£1.1bn
transfer
of
the
Barclays
Mercantile
Business
Finance
Limited
reported
within
Wholesale
loans
to
Barclay
s
Principa
l
Investments
Limited.
b
The
£1.8bn
disposals
reported
within
Credit
cards,
unsecured
loans
and
other
retail
lending
portfolio
include
sale
of
motor
financing
business
within
the
Barclays
Partner
Finance
business.
Disposal
within
W
holesale
loans
include
sale
of
debt
securities
as
part
of
Group
Treasury
Operations.
c
In
2020,
gross
write
-offs
amounted
to
£
1,337m
(2019:
£1,293m)
and
post
write
-off
recoveries
amounted
to
£
4m
(2019:
£73
m).
Net
write
-offs
represent
gross
write
-offs
less
post
write
-off
recoverie
s
and
amounted
to
£1,333m
(2019:
£1,220m).
d
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
£150.3bn
(December
2019:
£125.5bn)
and
impairment
allowance
of
£145m
(December
2019:
£22m).
This
comprises
£7m
(December
2019:
£10m)
ECL
on
£146.3bn
(December
2019:
£124.7bn)
Stage
1
assets,
£6m
(December
2019:
£2m)
on
£3.8bn
(December
2019:
£0.8bn)
Stage
2
fair
value
through
other
comprehensive
income
assets,
cash
collateral
and
settlement
assets
and
£132m
(December
2019:
£10m)
on
£132m
(December
2019:
£10m)
Stage
3
other
assets.
Loan
commitments
and
financial
guarantee
contracts
have
total
ECL
of
£769m
(December
2019:
£252m).
Risk
review
Risk
performance
Credit
risk
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
53
Reconciliation
of
ECL
movement
to
impairment
charge/(release)
for
the
period
£m
Home
loans
103
Credit
cards,
unsecured
loans
and
other
retail
lending
1,484
Wholesale
loans
1,206
ECL
movement
excluding
assets
derecognised
due
to
disposals
and
write-offs
2,793
Recoveries
and
reimbursements
a
(368)
Exchange
and
other
adjustments
b
267
Impairment
charge
on
loan
commitments
and
financial
guarantees
547
Impairment
charge
on
other
financial
assets
c
138
Income
statement
charge
for
the
period
3,377
Notes
a
Recoveries
and
reimbursements
includes
£364m
for
reimbursements
expected
to
be
received
under
the
arrangement
where
Group
has
entered
into
financial
guarantee
contracts
which
provide
credit
protection
over
certain
loans
assets
with
third
parties.
Cash
recoveries
of
previ
ously
written
off
amounts
to
£4m.
b
Includes
foreign
exchange
and
interest
and
fees
in
suspense
c
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
£150.3bn
(December
2019:
£125.5bn)
and
impairment
allowance
of
£145m
(December
2019:
£22m).
This
comprises
£7m
(December
2019:
£10m)
ECL
on
£146.3bn
(December
2019:
£124.7bn)
Stage
1
assets,
£6m
(December
2019:
£2m)
on
£3.8bn
(December
2019:
£0.8bn)
Stage
2
fair
value
through
other
comprehensiv
e
income
assets,
cash
collateral
and
settlement
assets
and
£132m
(December
2019:
£10m)
on
£132m
(December
2019:
£10m)
Stage
3
other
assets.
Loan
commitments
and
financial
guarantee
contracts
have
total
ECL
of
£769m
(December
2019:
£252m).
Loan
commitments
and
financial
guarantees
(audited)
Stage
1
Stage
2
Stage
3
Total
Barclays
Bank
Group
Gross
ECL
Gross
ECL
Gross
ECL
Gross
ECL
£m
£m
£m
£m
£m
£m
£m
£m
Home
loans
As
at
1
January
2020
34
-
-
-
-
-
34
-
Net
transfers
between
stages
(4)
-
4
-
-
-
-
-
Business
activity
in
the
year
113
-
-
-
-
-
113
-
Net
drawdowns,
repayments,
net
re-
measurement
and
movement
due
to
exposure
and
risk
parameter
changes
1
-
-
-
4
-
5
-
Limit
management
and
final
repayments
(19)
-
(2)
-
-
-
(21)
-
As
at
31
December
2020
125
-
2
-
4
-
131
-
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
(4,124)
6
3,603
(2)
521
(4)
-
-
Business
activity
in
the
year
4,591
2
128
1
1
1
4,720
4
Net
drawdowns,
repayments,
net
re-
measurement
and
movement
due
to
exposure
and
risk
parameter
changes
1,471
5
1,076
20
(553)
15
1,994
40
Limit
management
and
final
repayments
(11,984)
(1)
(616)
(1)
(6)
(3)
(12,606)
(5)
As
at
31
December
2020
68,211
34
6,244
33
30
23
74,485
90
Wholesale
loans
As
at
1
January
2020
183,001
63
12,053
97
636
41
195,690
201
Net
transfers
between
stages
(28,048)
67
27,052
(72)
996
5
-
-
Business
activity
in
the
year
42,904
32
4,705
102
774
2
48,383
136
Net
drawdowns,
repayments,
net
re-
measurement
and
movement
due
to
exposure
and
risk
parameter
changes
12,755
50
(219)
334
(79)
(19)
12,457
365
Limit
management
and
final
repayments
(50,208)
(7)
(4,165)
(15)
(296)
(1)
(54,669)
(23)
As
at
31
December
2020
160,404
205
39,426
446
2,031
28
201,861
679
Risk
review
Risk
performance
Credit
risk
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
54
Loans
and
advances
at
amortised
cost
(audited)
Stage
1
Stage
2
Stage
3
Total
Barclays
Bank
Group
Gross
ECL
Gross
ECL
Gross
ECL
Gross
ECL
£m
£m
£m
£m
£m
£m
£m
£m
Home
loans
As
at
1
January
2019
11,486
26
860
47
1,194
307
13,540
380
Transfers
from
Stage
1
to
Stage
2
(320)
(1)
320
1
-
-
-
-
Transfers
from
Stage
2
to
Stage
1
301
11
(301)
(11)
-
-
-
-
Transfers
to
Stage
3
(103)
-
(94)
(12)
197
12
-
-
Transfers
from
Stage
3
13
-
70
2
(83)
(2)
-
-
Business
activity
in
the
year
785
1
-
-
-
-
785
1
Changes
to
models
used
for
calculation
a
-
-
-
-
-
-
-
-
Net
drawdowns,
repayments,
net
re-
measurement
and
movements
due
to
exposure
and
risk
parameter
changes
(793)
(19)
(58)
19
(70)
1
(921)
1
Final
repayments
(1,042)
(1)
(61)
(2)
(159)
(5)
(1,262)
(8)
Disposals
b
(723)
(1)
(62)
(4)
(2)
-
(787)
(5)
Write
-offs
c
-
-
-
-
(21)
(21)
(21)
(21)
As
at
31
December
2019
d
9,604
16
674
40
1,056
292
11,334
348
Credit
cards,
unsecured
loans
and
other
retail
lending
As
at
1
January
2019
29,548
356
4,926
972
2,078
1,433
36,552
2,761
Transfers
from
Stage
1
to
Stage
2
(1,611)
(41)
1,611
41
-
-
-
-
Transfers
from
Stage
2
to
Stage
1
2,134
312
(2,134)
(312)
-
-
-
-
Transfers
to
Stage
3
(585)
(15)
(524)
(244)
1,109
259
-
-
Transfers
from
Stage
3
4
3
16
8
(20)
(11)
-
-
Business
activity
in
the
year
6,007
75
311
56
45
10
6,363
141
Changes
to
models
used
for
calculation
a
-
16
-
(57)
-
(7)
-
(48)
Net
drawdowns,
repayments,
net
re-
measurement
and
movements
due
to
exposure
and
risk
parameter
changes
(3,690)
(318)
410
346
341
1,018
(2,939)
1,046
Final
repayments
(2,266)
(26)
(166)
(26)
(202)
(31)
(2,634)
(83)
Disposals
b
-
-
-
-
(54)
(32)
(54)
(32)
Write
-offs
c
-
-
-
-
(1,168)
(1,168)
(1,168)
(1,168)
As
at
31
December
2019
d
29,541
362
4,450
784
2,129
1,471
36,120
2,617
Wholesale
loans
As
at
1
January
2019
81,555
107
8,238
236
917
359
90,710
702
Transfers
from
Stage
1
to
Stage
2
(2,465)
(6)
2,465
6
-
-
-
-
Transfers
from
Stage
2
to
Stage
1
2,905
42
(2,905)
(42)
-
-
-
-
Transfers
to
Stage
3
(305)
(1)
(381)
(13)
686
14
-
-
Transfers
from
Stage
3
52
-
92
15
(144)
(15)
-
-
Business
activity
in
the
year
31,714
44
1,496
22
31
-
33,241
66
Changes
to
models
used
for
calculation
a
-
(9)
-
(19)
-
-
-
(28)
Net
drawdowns,
repayments,
net
re-
measurement
and
movements
due
to
exposure
and
risk
parameter
changes
7,366
(33)
615
70
139
220
8,120
257
Final
repayments
(31,622)
(30)
(2,105)
(41)
(362)
(91)
(34,089)
(162)
Disposals
b
-
-
-
-
-
-
-
-
Write
-offs
c
-
-
-
-
(104)
(104)
(104)
(104)
As
at
31
December
2019
d
89,200
114
7,515
234
1,163
383
97,878
731
Notes
a
Changes
to
models
used
for
calculation
include
a
£48m
movement
in
Credit
cards,
unsecured
loans
and
other
retail
lending
and
a
£28m
movement
in
Wholesale
loans.
These
reflect
methodology
changes
made
during
the
year.
Barclays
continually
review
the
output
of
models
to
determine
accuracy
of
the
ECL
calculation
including
review
of
model
monitoring,
external
benchmarking
and
experience
of
model
operation
over
an
extended
period
of
time.
This
ensures
that
the
models
used
continue
to
reflect
the
risks
inherent
across
the
businesses.
b
The
£787m
movement
of
gross
loans
and
advances
disposed
of
across
Home
Loans
relates
to
the
sale
of
a
portfolio
of
mortgages
from
the
Italian
loan
book.
The
£54m
disposal
reported
within
Credit
cards,
unsecured
loans
and
other
retail
lending
portfolio
relates
to
debt
sales
undertaken
during
the
year.
c
In
2019,
gross
write
-offs
amounted
to
£1,
293
m
(2018:
£1,456m)
and
post
write
-off
recoveries
amounted
to
£73m
(2018:
£86m).
Net
write
-offs
represent
gross
write
-offs
less
post
write
-off
recoverie
s
and
amounted
to
£1,220m
(2018:
£1,370m).
d
Other
financial
assets
subject
to
impairment
not
included
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
£125.5bn
(Decemb
er
2018:
£120.1bn)
and
impairment
allowance
of
£22m
(December
2018:
£11m).
This
comprises
£10m
ECL
(December
2018
£9m)
on
£124.7bn
stage
1
assets
(December
2018:
£119.6bn)
and
£2m
(December
2018:
£2m)
on
£0.8bn
stage
2
fair
value
through
other
comprehensiv
e
income
assets,
cash
collateral
and
settlement
assets
(December
2018:
£0.5bn)
and
£10m
(December
2018:
£
nil
)
on
£10m
Stage
3
other
assets
(December
2018:
£nil
).
Risk
review
Risk
performance
Credit
risk
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
55
Reconciliation
of
ECL
movement
to
impairment
charge/(release)
for
the
period
£m
Home
loans
(6)
Credit
cards,
unsecured
loans
and
other
retail
lending
1,056
Wholesale
loans
133
ECL
movement
excluding
assets
derecognised
due
to
disposals
and
write-offs
1,183
Recoveries
and
reimbursements
(73)
Exchange
and
other
adjustments
a
31
Impairment
charge
on
loan
commitments
and
financial
guarantees
55
Impairment
charge
on
other
financial
assets
b
6
Income
statement
charge
for
the
period
1,202
Notes
a
Includes
foreign
exchange
and
interest
and
fees
in
suspense.
b
Other
financial
assets
subject
to
impairment
not
included
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
£
125.5bn
(December
201
8
:
£120.1bn)
and
impairment
allow
ance
of
£22m
(December
2018
:
£11
m).
This
comprises
£10m
ECL
(December
2018
:
£9m)
on
£124.7
bn
stage
1
assets
(December
2018:
£119
.6bn)
and
£2
m
(December
2018:
£2m)
on
£0.8bn
stage
2
fair
value
through
other
comprehensive
income
assets,
cash
collateral
and
settle
ment
assets
(December
201
8:
£0.5bn)
and
£10
m
(December
2018:
£
nil)
on
£10m
Stage
3
other
assets
(December
201
8:
£
nil).
Loan
commitments
and
financial
guarantees
(audited)
Stage
1
Stage
2
Stage
3
Total
Barclays
Bank
Group
Gross
ECL
Gross
ECL
Gross
ECL
Gross
ECL
£m
£m
£m
£m
£m
£m
£m
£m
Home
loans
As
at
1
January
2019
15
-
1
-
-
-
16
-
Net
transfers
between
stages
-
-
-
-
-
-
-
-
Business
activity
in
the
year
18
-
-
-
-
-
18
-
Net
drawdowns,
repayments,
net
re-
measurement
and
movement
due
to
exposure
and
risk
parameter
changes
1
-
(1)
-
-
-
-
-
Limit
management
and
final
repayments
-
-
-
-
-
-
-
-
As
at
31
December
2019
34
-
-
-
-
-
34
-
Credit
cards,
unsecured
loans
and
other
retail
lending
As
at
1
January
2019
74,624
32
4,304
21
69
20
78,997
73
Net
transfers
between
stages
251
4
(981)
(3)
730
(1)
-
-
Business
activity
in
the
year
13,322
2
173
-
6
6
13,501
8
Net
drawdowns,
repayments,
net
re-
measurement
and
movement
due
to
exposure
and
risk
parameter
changes
1,169
(15)
(810)
(2)
(725)
(10)
(366)
(27)
Limit
management
and
final
repayments
(11,109)
(1)
(633)
(1)
(13)
(1)
(11,755)
(3)
As
at
31
December
2019
78,257
22
2,053
15
67
14
80,377
51
Wholesale
loans
As
at
1
January
2019
173,951
59
12,139
83
352
2
186,442
144
Net
transfers
between
stages
(881)
7
585
(8)
296
1
-
-
Business
activity
in
the
year
53,666
22
2,777
22
16
-
56,459
44
Net
drawdowns,
repayments,
net
re-
measurement
and
movement
due
to
exposure
and
risk
parameter
changes
686
(1)
1,211
36
238
41
2,135
76
Limit
management
and
final
repayments
(44,421)
(24)
(4,659)
(36)
(266)
(3)
(49,346)
(63)
As
at
31
December
2019
183,001
63
12,053
97
636
41
195,690
201
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56
Stage
2
decomposition
Loans
and
advances
at
amortised
cost
a
2020
2019
Gross
Exposure
Impairment
allowance
Gross
Exposure
Impairment
allowance
As
at
31
December
£m
£m
Quantitative
test
17,434
1,698
8,415
848
Qualitative
test
3,228
180
3,365
181
30
days
past
due
backstop
1,748
34
859
29
Total
Stage
2
22,410
1,912
12,639
1,058
Note
a
Where
balances
satisfy
more
than
one
of
the
above
three
criteria
for
determining
a
significant
increase
in
credit
risk,
the
corresponding
gross
exposure
and
ECL
has
been
assigned
in
order
of
categories
presented.
Stage
2
exposures
are
predominantly
identified
using
quantitative
tests
where
the
lifetime
probability
of
default
(PD)
has
deteriorated
more
than
a
pre-determined
amount
since
origination
during
the
year
driven
by
changes
in
macro-economic
variables.
This
is
augmented
by
inclusion
of
accounts
meeting
the
designated
high
risk
criteria
(including
watchlist)
for
the
portfolio
under
the
qualitative
test.
Qualitative
tests
include
£2bn
(2019:
£1.7bn)
relating
to
Corporate
and
Investment
Bank,
£0.3bn
(2019:
£0.9bn)
relating
to
Barclaycard
International
and
£0.7bn
(2019:
£0.7bn)
relating
to
Private
Bank.
A
small
number
of
other
accounts
(2%
of
impairment
allowances
and
8%
of
gross
exposure)
are
included
in
Stage
2.
These
accounts
are
not
otherwise
identified
by
the
quantitative
or
qualitative
tests
but
are
more
than
30
days
past
due.
The
percentage
triggered
by
these
backstop
criteria
is
a
measure
of
the
effectiveness
of
the
Stage
2
criteria
in
identifying
deterioration
prior
to
delinquency.
These
balances
include
items
in
Corporate
and
Investment
Bank
for
reasons
such
as
outstanding
interest
and
fees
rather
than
principal
balances.
For
further
detail
on
the
three
criteria
for
determining
a
significant
increase
in
credit
risk
required
for
Stage
2
classification,
refer
to
Note
7.
Stage
3
decomposition
Loans
and
advances
at
amortised
cost
2020
2019
Gross
Exposure
Impairment
allowance
Gross
Exposure
Impairment
allowance
As
at
31
December
£m
£m
Exposures
not
charged-off
including
within
cure
period
a
1,294
398
1,429
490
Exposures
individually
assessed
or
in
recovery
book
b
3,825
2,071
2,919
1,656
Total
Stage
3
5,119
2,469
4,348
2,146
Notes
a
Includes
£0.6bn
(2019:
£0.6
bn)
of
gross
exposure
in
a
cure
period
that
must
remain
in
Stage
3
for
a
minimum
of
12
months
before
moving
to
Stage
2.
b
Exposures
individually
assessed
or
in
recovery
book
cannot
cure
out
of
Stage
3.
Management
adjustments
to
models
for
impairment
(audited)
Management
adjustments
to
impairment
models
are
applied
in
order
to
factor
in
certain
conditions
or
changes
in
policy
that
are
not
fully
incorporated
into
the
impairment
models,
or
to
reflect
additional
facts
and
circumstances
at
the
period
end.
Management
adjustments
are
reviewed
and
incorporated
into
future
model
development
where
applicable.
Total
management
adjustments
to
impairment
allowance
are
presented
by
product
below.
Management
adjustments
to
models
for
impairment
(audited)
a
2020
2019
Management
adjustments
to
impairment
allowances
Proportion
of
total
impairment
allowances
Management
adjustments
to
impairment
allowances
Proportion
of
total
impairment
allowances
b
As
at
31
December
£m
%
£m
%
Home
loans
54
12.4
-
-
Credit
cards,
unsecured
loans
and
other
retail
lending
960
31.3
3
0.1
Wholesale
loans
(78)
(3.3)
(40)
(4.3)
Total
936
16.0
(37)
(0.9)
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Management
adjustments
to
models
for
impairment
charges
(audited)
a
Impairment
allowance
pre
management
adjustments
c
Economic
uncertainty
adjustments
Other
adjustments
Total
impairment
allowance
As
at
31
December
2020
£m
£m
£m
£m
Home
loans
380
21
33
434
Credit
cards,
unsecured
loans
and
other
retail
lending
2,109
986
(26)
3,069
Wholesale
loans
2,410
379
(457)
2,332
Total
4,899
1,386
(450)
5,835
Note
a
Positive
values
relate
to
an
increase
in
impairment
allowance
.
b
The
2019
comparative
figures
have
been
restated
to
include
impairment
allowance
on
both
drawn
and
undrawn
exposures.
c
Includes
£3.9
bn
of
modelled
ECL,
£0.8bn
of
individual
ly
assessed
impairments
and
£0.2bn
ECL
from
non-modelled
exposures.
Economic
uncertainty
adjustments:
longer
term
impacts
will
result
in
higher
unemployment
levels
and
customer
and
client
stress.
However,
to
date,
little
real
credit
deterioration
has
occurred,
largely
as
a
result
of
government
and
bank
support.
Observed
30
day
arrears
rates
in
consumer
loans
in
particular
have
remained
stable
in
US
cards
(2020:
2.5%;
2019:
2.7%).
A
similar
phenomenon
is
observed
in
wholesale,
where
the
average
risk
profile
of
the
portfolio
has
broadly
remained
stable
between
Dec’19
and
Dec’20
and
has
not
deteriorated
in
line
with
the
macro-economic
crisis.
Given
this
backdrop,
management
has
applied
COVID-19
specific
adjustments
to
modelled
outputs
to
ensure
the
full
potential
impacts
of
stress
are
provided
for.
These
adjustments
address
the
temporary
nature
of
ongoing
government
support,
the
uncertainty
in
relation
to
the
timing
of
stress
and
the
degree
to
which
economic
consensus
has
not
yet
captured
the
range
of
economic
uncertainty.
The
COVID-19
adjustments
of
£1.4bn
are
broadly
comprised
as
follows:
●
Use
of
expert
judgement
to
adjust
the
probability
of
default
£0.1bn
to
pre-COVID
levels
to
reflect
the
impact
of
temporary
support
measures
on
underlying
customer
behaviour.
●
Adjusting
macro-economic
variables
deemed
temporarily
influenced
by
support
measures,
enabling
models
to
consume
the
expected
stress,
£1.0bn.
●
average
Stage
2
coverage
of
the
respective
sector.
This
adjustment
is
materially
in
response
to
the
increased
stress
in
these
sectors
not
captured
through
the
ECL
models.
Other
adjustments:
Wholesale
loans:
Federal
Tax
Receipts
and
a
correction
to
Corporate
and
Investment
Bank
ECL
to
adjust
for
model
inaccuracies
informed
by
back-testing.
Management
adjustments
of
£37m
in
2019
represent
a
number
of
small
adjustments
to
PDs
and
losses
given
default
(LGD)
partially
offset
by
£50m
for
UK
economic
uncertainty,
now
subsumed
within
managements
broader
approach
to
economic
uncertainty.
Measurement
uncertainty
and
sensitivity
analysis
The
measurement
of
ECL
involves
complexity
and
judgement,
including
estimation
of
PDs,
LGD,
a
range
of
unbiased
future
economic
scenarios,
estimation
of
expected
lives,
estimation
of
exposures
at
default
(EAD)
and
assessing
significant
increases
in
credit
risk.
The
Group
uses
a
five-scenario
model
to
calculate
ECL.
An
external
consensus
forecast
is
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),
which
forms
the
Baseline
scenario.
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
calibrated
to
a
broadly
similar
severity
to
Barclays’
internal
stress
tests
and
stress
scenarios
provided
by
regulators
whilst
also
considering
IFRS
9
specific
sensitivities
and
non-linearity.
Downside
2
is
benchmarked
to
the
Bank
of
England’s
stress
scenarios
and
to
the
most
severe
scenario
from
Moody’s
inventory,
but
is
not
designed
to
be
the
same.
The
favourable
scenarios
are
calibrated
to
reflect
upside
risks
to
the
Baseline
scenario
to
the
extent
that
is
broadly
consistent
with
recent
favourable
benchmark
scenarios.
All
scenarios
are
regenerated
at
a
minimum
annually.
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.
Scenarios
used
to
calculate
the
Group’s
ECL
charge
were
reviewed
and
updated
regularly
throughout
2020,
following
the
outbreak
of
the
COVID-19
pandemic
in
the
first
quarter.
The
current
Baseline
scenario
reflects
the
latest
consensus
economic
forecasts
with
a
steady
recovery
in
GDP
in
the
UK
and
the
US,
and
unemployment
continuing
to
decrease
in
the
US
and
peaking
at
Q221
in
the
UK
followed
by
a
steady
decline.
In
the
downside
scenarios,
an
economic
downturn
in
early
2021
in
the
UK
and
the
US
begins
to
recover
later
in
the
year,
with
unemployment
increasing
to
the
end
of
2021.
In
the
upside
scenarios,
the
strong
rebound
in
UK
and
US
GDP
continues
into
2021,
following
the
bounce-back
in
growth
in
Q320
and,
subsequently,
the
projections
stay
above
the
year
on
year
growth
rates
seen
in
the
Baseline
for
a
prolonged
period
of
time
before
finally
reverting
to
the
long
term
run
rate.
This
reflects
the
assumption
of
approved
vaccines
being
successfully
rolled
out
throughout
2021
and
pent
up
savings
being
deployed
into
a
more
certain
consumer
environment
to
drive
significant
growth.
Scenario
weights
have
been
updated
to
reflect
the
latest
economics.
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58
As
a
result
of
government
and
bank
support
measures,
significant
credit
deterioration
has
not
yet
occurred.
This
delay
increases
uncertainty
on
the
timing
of
the
stress
and
the
realisation
of
defaults.
Management
has
applied
COVID-19
specific
adjustments
to
modelled
outputs
to
reflect
the
temporary
nature
of
ongoing
government
support,
the
uncertainty
in
relation
to
the
timing
of
stress
and
the
degree
to
which
economic
consensus
has
yet
captured
the
range
of
economic
uncertainty,
particularly
in
the
UK.
As
a
result,
ECL
is
higher
than
would
be
the
case
if
it
were
based
on
the
forecast
economic
scenarios
alone.
Scenario
weights
(audited)
The
methodology
for
estimating
probability
weights
for
each
of
the
scenarios
involves
a
comparison
of
the
distribution
of
key
historical
UK
and
US
macroeconomic
variables
against
the
forecast
paths
of
the
five
scenarios.
The
methodology
works
such
that
the
Baseline
(reflecting
current
consensus
outlook)
has
the
highest
weight
and
the
weights
of
adverse
and
favourable
scenarios
depend
on
the
deviation
from
the
Baseline;
the
further
from
the
Baseline,
the
smaller
the
weight.
This
is
reflected
in
the
table
below
where
the
probability
weights
of
the
scenarios
are
shown.
A
single
set
of
five
scenarios
is
used
across
all
portfolios
and
all
five
weights
are
normalised
to
equate
to
100%.
The
same
scenarios
and
weights
that
are
used
in
the
estimation
of
expected
credit
losses
are
also
used
for
Barclays
internal
planning
purposes.
The
impacts
across
the
portfolios
are
different
because
of
the
sensitivities
of
each
of
the
portfolios
to
specific
macroeconomic
variables,
for
example,
mortgages
are
highly
sensitive
to
house
prices
and
credit
cards
and
unsecured
consumer
loans
are
highly
sensitive
to
unemployment.
The
range
of
forecast
paths
generated
in
the
calculation
of
the
weights
at
31
December
2020
is
much
wider
than
in
previous
periods
due
to
the
uncertainty
caused
by
COVID-19,
thus
the
Upside
and
Downside
scenarios
are
further
away
from
the
tails
of
the
distribution
than
previously
resulting
in
a
more
even
spread
of
weights
than
at
31
December
2019.
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
the
next
page
show
the
key
consensus
macroeconomic
variables
used
in
the
five
scenarios
(Three-year
annual
paths),
the
probability
weights
applied
to
each
scenario
and
the
macroeconomic
variables
by
scenario
using
‘specific
bases’
i.e.
the
most
extreme
position
of
each
variable
in
the
context
of
the
scenario,
for
example,
the
highest
unemployment
for
downside
scenarios
and
the
lowest
unemployment
for
upside
scenarios.
Five-year
average
tables
and
movement
over
time
graphs
provide
additional
transparency.
Annual
paths
show
quarterly
averages
for
the
year
(unemployment
and
base
rate)
or
change
in
the
year
(GDP
and
HPI).
Expected
worst
point
is
the
most
negative
quarter,
in
the
relevant
3
year
period,
which
is
calculated
relative
to
the
start
point
for
GDP
and
HPI.
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Baseline
average
macroeconomic
variables
used
in
the
calculation
of
ECL
2021
2022
2023
Expected
Worst
Point
As
at
31.12.20
%
UK
GDP
a
6.3
3.3
2.6
1.2
UK
unemployment
b
6.7
6.4
5.8
7.4
UK
HPI
c
2.4
2.3
5.0
0.6
UK
bank
rate
–
(0.1)
-
(0.1)
US
GDP
a
3.9
3.1
2.9
1.0
US
unemployment
d
6.9
5.7
5.6
7.5
US
HPI
e
2.8
4.7
4.7
0.7
US
federal
funds
rate
0.3
0.3
0.3
0.3
2020
2021
2022
Expected
Worst
Point
As
at
31.12.19
%
UK
GDP
a
1.3
1.5
1.6
0.3
UK
unemployment
b
4.1
4.2
4.2
4.2
UK
HPI
c
1.9
3.1
3.6
0.3
UK
bank
rate
0.6
0.5
0.8
0.5
US
GDP
a
2.1
1.9
1.9
0.5
US
unemployment
d
3.6
3.9
4.0
4.0
US
HPI
e
3.4
2.9
2.8
1.0
US
federal
funds
rate
1.7
1.5
1.7
1.5
Downside
2
average
macroeconomic
variables
used
in
the
calculation
of
ECL
2021
2022
2023
Expected
Worst
Point
As
at
31.12.20
%
UK
GDP
a
(3.9)
6.5
2.6
(11.0)
UK
unemployment
b
8.0
9.3
7.8
10.1
UK
HPI
c
(13.6)
(10.8)
0.5
(23.0)
UK
bank
rate
(0.2)
(0.2)
(0.1)
(0.2)
US
GDP
a
(2.4)
3.6
2.1
(6.0)
US
unemployment
d
13.4
11.9
10.1
13.7
US
HPI
e
(17.2)
(0.7)
0.6
(17.8)
US
federal
funds
rate
0.3
0.3
0.3
0.3
2020
2021
2022
Expected
Worst
Point
As
at
31.12.19
%
UK
GDP
a
(2.3)
(2.7)
(0.3)
(5.7)
UK
unemployment
b
5.7
8.2
8.7
8.8
UK
HPI
c
(7.8)
(22.2)
(5.8)
(32.4)
UK
bank
rate
2.7
4.0
4.0
1.5
US
GDP
a
(1.2)
(2.6)
(0.6)
(5.3)
US
unemployment
d
4.9
7.7
8.5
8.5
US
HPI
e
(4.4)
(13.6)
(2.9)
(19.8)
US
federal
funds
rate
3.1
3.5
3.5
2.5
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Downside
1
average
macroeconomic
variables
used
in
the
calculation
of
ECL
2021
2022
2023
Expected
Worst
Point
As
at
31.12.20
%
UK
GDP
a
0.1
6.6
3.2
(7.0)
UK
unemployment
b
7.3
8.0
6.9
8.4
UK
HPI
c
(6.7)
(3.5)
1.7
(10.0)
UK
bank
rate
(0.1)
(0.1)
-
(0.1)
US
GDP
a
0.4
3.6
2.3
(3.0)
US
unemployment
d
11.0
8.9
6.9
11.5
US
HPI
e
(5.9)
1.8
2.6
(5.9)
US
federal
funds
rate
0.3
0.3
0.3
0.3
2020
2021
2022
Expected
Worst
Point
As
at
31.12.19
%
UK
GDP
a
0.6
0.3
0.6
0.1
UK
unemployment
b
4.7
5.7
5.7
5.8
UK
HPI
c
(2.6)
(4.1)
(1.7)
(8.2)
UK
bank
rate
1.7
2.8
2.8
0.8
US
GDP
a
1.2
0.4
0.8
0.2
US
unemployment
d
4.0
5.1
5.3
5.4
US
HPI
e
1.2
0.5
0.8
0.5
US
federal
funds
rate
2.6
3.0
3.0
2.0
Upside
2
average
macroeconomic
variables
used
in
the
calculation
of
ECL
2021
2022
2023
Expected
Worst
Point
As
at
31.12.20
%
UK
GDP
a
12.2
5.3
3.9
5.0
UK
unemployment
b
6.2
5.5
4.8
7.4
UK
HPI
c
6.6
10.4
10.8
1.1
UK
bank
rate
0.1
0.3
0.3
0.1
US
GDP
a
7.1
4.6
4.0
3.4
US
unemployment
d
5.5
4.3
4.1
6.1
US
HPI
e
8.8
9.1
8.9
1.7
US
federal
funds
rate
0.3
0.4
0.6
0.3
2020
2021
2022
Expected
Worst
Point
As
at
31.12.19
%
UK
GDP
a
3.0
4.0
3.4
0.9
UK
unemployment
b
3.7
3.4
3.5
3.9
UK
HPI
c
6.8
10.8
9.9
1.0
UK
bank
rate
0.6
0.5
0.5
0.5
US
GDP
a
3.4
4.2
3.6
1.0
US
unemployment
d
3.3
3.0
3.0
3.5
US
HPI
e
7.4
7.6
7.2
1.6
US
federal
funds
rate
1.7
1.5
1.5
1.5
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Upside
1
average
macroeconomic
variables
used
in
the
calculation
of
ECL
2021
2022
2023
Expected
Worst
Point
As
at
31.12.20
%
UK
GDP
a
9.3
3.9
3.4
3.5
UK
unemployment
b
6.4
6.0
5.2
7.4
UK
HPI
c
4.6
6.1
6.1
0.8
UK
bank
rate
0.1
0.1
0.3
0.1
US
GDP
a
5.5
4.0
3.7
2.1
US
unemployment
d
6.0
4.8
4.6
6.7
US
HPI
e
6.8
6.7
6.3
1.4
US
federal
funds
rate
0.3
0.3
0.5
0.3
2020
2021
2022
Expected
Worst
Point
As
at
31.12.19
%
UK
GDP
a
2.2
2.8
2.5
0.6
UK
unemployment
b
3.9
3.8
3.9
4.0
UK
HPI
c
5.0
7.0
6.8
0.7
UK
bank
rate
0.6
0.5
0.5
0.5
US
GDP
a
2.8
3.3
2.9
0.8
US
unemployment
d
3.5
3.6
3.7
3.7
US
HPI
e
5.1
4.7
4.4
1.4
US
federal
funds
rate
1.7
1.5
1.5
1.5
Notes
a
Average
Real
GDP
seasonally
adjusted
change
in
year;
expected
worst
point
is
the
minimum
growth
relative
to
Q420
(2019:
Q419)
based
on
a
12
quarter
period.
b
Averag
e
UK
unemployment
rate
16-year+;
expected
worst
point
is
the
highest
rate
in
the
12
quarter
period
starting
Q121
(2019:
Q120).
c
Change
in
year
end
UK
HPI
=
Halifax
All
Houses,
All
Buyers
index,
relative
to
prior
year
end;
worst
point
is
based
on
minimum
growth
relative
to
Q420
(2019:
Q419)
based
on
a
12
quarter
period.
d
Average
US
civilian
unemployment
rate
16-year+;
expected
worst
point
is
the
highest
rate
in
the
12
quarter
period
starting
Q121
(2019:
Q120).
e
Change
in
year
end
US
HPI
=
FHFA
house
price
index,
relative
to
prior
year
end;
worst
point
is
based
on
minimum
growth
relative
to
Q420
(2019:
Q419)
based
on
a
12
quarter
period.
Scenario
probability
weighting
(audited)
Upside
2
Upside
1
Baseline
Downside
1
Downside
2
As
at
31
December
2020
Scenario
probability
weighting
20.2
24.2
24.7
15.5
15.4
As
at
31
December
2019
Scenario
probability
weighting
10.1
23.1
40.8
22.7
3.3
Specific
bases
show
the
most
extreme
position
of
each
variable
in
the
context
of
the
scenario,
for
example,
the
highest
unemployment
for
downside
scenarios,
average
unemployment
for
baseline
scenarios
and
lowest
unemployment
for
upside
scenarios.
GDP
and
HPI
downside
and
upside
scenario
data
represents
the
lowest
and
highest
points
relative
to
the
start
point
in
the
20
quarter
period.
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62
Macroeconomic
variables
used
in
the
calculation
of
ECL
(specific
bases)
(audited)
a
Upside
2
Upside
1
Baseline
Downside
1
Downside
2
As
at
31
December
2020
UK
GDP
b
14.2
8.8
0.7
(22.1)
(22.1)
UK
unemployment
c
4.0
4.0
5.7
8.4
10.1
UK
HPI
d
48.2
30.8
3.6
(4.5)
(18.3)
UK
bank
rate
c
0.1
0.1
–
0.6
0.6
US
GDP
b
15.7
12.8
1.6
(10.6)
(10.6)
US
unemployment
c
3.8
3.8
6.4
13.0
13.7
US
HPI
d
42.2
30.9
3.8
(3.7)
(15.9)
US
federal
funds
rate
c
0.1
0.1
0.3
1.3
1.3
As
at
31
December
2019
UK
GDP
b
15.4
11.7
1.5
0.2
(4.6)
UK
unemployment
c
3.4
3.8
4.1
5.8
8.8
UK
HPI
d
41.1
28.8
2.8
(6.3)
(31.1)
UK
bank
rate
c
0.5
0.5
0.7
2.8
4.0
US
GDP
b
17.9
14.9
2.1
0.5
(3.0)
US
unemployment
c
3.0
3.5
3.9
5.4
8.5
US
HPI
d
35.8
23.7
3.2
0.3
(16.7)
US
federal
funds
rate
c
1.5
1.5
1.8
3.0
3.5
Average
basis
represents
the
average
quarterly
value
of
variables
in
the
20
quarter
period
with
GDP
and
HPI
based
on
yearly
average
and
quarterly
CAGRs
respectively.
Macroeconomic
variables
used
in
the
calculation
of
ECL
(5-year
averages)
(audited)
a
Upside
2
Upside
1
Baseline
Downside
1
Downside
2
As
at
31
December
2020
UK
GDP
e
2.5
1.6
0.7
0.1
(0.9)
UK
unemployment
f
5.0
5.3
5.7
6.5
7.2
UK
HPI
g
8.2
5.5
3.6
(0.2)
(3.6)
UK
bank
rate
f
0.3
0.2
–
–
(0.1)
US
GDP
e
2.9
2.4
1.6
0.8
0.1
US
unemployment
f
5.3
5.7
6.4
8.3
10.4
US
HPI
g
7.3
5.5
3.8
0.8
(3.0)
US
federal
funds
rate
f
0.5
0.5
0.3
0.3
0.3
As
at
31
December
2019
UK
GDP
e
2.9
2.2
1.5
0.8
(0.6)
UK
unemployment
f
3.6
3.9
4.1
5.1
7.0
UK
HPI
g
7.1
5.2
2.8
(1.1)
(6.9)
UK
bank
rate
f
0.6
0.6
0.7
2.1
3.1
US
GDP
e
3.4
2.9
2.1
1.3
(0.1)
US
unemployment
f
3.2
3.7
3.9
4.7
6.6
US
HPI
g
6.3
4.3
3.2
1.6
(3.4)
US
federal
funds
rate
f
1.7
1.7
1.8
2.8
3.2
Notes
a
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.
b
Maximum
growth
relative
to
Q419
(2019:
Q418),
based
on
20
quarter
period
in
Upside
scenarios;
5-year
yearly
average
CAGR
in
Baseline;
minimum
growth
relative
to
Q419
(2019:
Q418),
based
on
20
quarter
period
in
Downside
scenarios.
c
Lowest
quarter
in
Upside
sce
narios;
5-year
average
in
Baseline;
highest
quarter
in
Downside
scenarios.
Period
based
on
20
quarters
from
Q120
(2019:
Q119).
d
Maximum
growth
relative
to
Q419
(2019:
Q418),
based
on
20
quarter
period
in
Upside
scenarios;
5-year
quarter
end
CAGR
in
Baseline;
minimum
growth
relative
to
Q419
(2019:
Q418),
based
on
20
quarter
period
in
Downside
scenarios.
e
5-year
yearly
average
CAGR,
starting
2019
(2019:
2018)
f
5-year
average.
Period
based
on
20
quarters
from
Q120
(2019:
Q1
19)
g
5-year
quarter
end
CAGR,
starting
Q419
(2019:
Q418)
2019
data
presented
on
a
revised,
simplified
basis
for
ease
of
comparison.
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63
-25
-15
-5
5
15
25
35
2017
2019
2021
2023
2025
2027
2029
%
UK
GDP
U2
U1
BL
D1
D2
0
2
4
6
8
10
12
2017
2019
2021
2023
2025
2027
2029
%
UK
Unemployment
U2
U1
BL
D1
D2
-15
-10
-5
0
5
10
15
2017
2019
2021
2023
2025
2027
2029
%
US
GDP
U2
U1
BL
D1
D2
0
2
4
6
8
10
12
14
16
2017
2019
2021
2023
2025
2027
2029
%
US
Unemployment
U2
U1
BL
D1
D2
GDP
growth
based
on
year
on
year
growth
each
quarter
(Q/(Q-4))
ECL
under
100%
weighted
scenarios
for
modelled
portfolios
(audited)
The
table
below
shows
the
Expected
Credit
Risk
(ECL)
assuming
scenarios
have
been
100%
weighted.
Model
exposures
are
allocated
to
a
stage
based
on
the
individual
scenario
rather
than
through
a
probability-weighted
approach
as
required
for
Barclays
reported
impairment
allowances.
As
a
result,
it
is
not
possible
to
back
solve
to
the
final
reported
weighted
ECL
from
the
individual
scenarios
as
a
balance
may
be
assigned
to
a
different
stage
dependent
on
the
scenario.
Model
exposure
uses
Exposure
at
default
(EAD)
values
and
is
not
directly
comparable
to
gross
exposure
used
in
prior
disclosures.
For
Credit
cards,
unsecured
loans
and
other
retail
lending,
an
average
EAD
measure
is
used
(12
month
or
lifetime
depending
on
stage
allocation
in
each
scenario).
Therefore,
the
model
exposure
movement
into
Stage
2
is
higher
than
the
corresponding
Stage
1
reduction.
All
ECL
using
a
model
is
included,
with
the
exception
of
Treasury
assets
(£8.8m
of
ECL),
providing
additional
coverage
as
compared
to
the
2019
year-end
disclosure.
Non-modelled
exposures
and
management
adjustments
are
excluded.
Management
adjustments
can
be
found
on
pages
56
to
57.
Model
Exposures
allocated
to
Stage
3
do
not
change
in
any
of
the
scenarios
as
the
transition
criteria
relies
only
on
observable
evidence
of
default
as
at
31
December
2020
and
not
on
macroeconomic
scenarios.
The
Downside
2
scenario
represents
a
severe
global
recession
with
substantial
falls
in
UK
GDP.
Unemployment
rises
towards
10%
in
UK
markets
and
14%
in
US
markets
and
there
are
substantial
falls
in
asset
prices
including
housing.
Under
the
Downside
2
scenario,
model
exposure
moves
between
stages
as
the
economic
environment
weakens.
This
can
be
seen
in
the
movement
of
£17bn
of
model
exposure
into
Stage
2
between
the
Weighted
and
Downside
2
scenario.
ECL
increases
in
Stage
2
predominantly
due
to
unsecured
portfolios
as
economic
conditions
deteriorate.
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on
Form
20
-F
64
Scenarios
As
at
31
December
2020
Weighted
Upside
2
Upside
1
Baseline
Downside
1
Downside
2
Stage
1
Model
Exposure
(£m)
Home
loans
4,404
4,422
4,416
4,407
4,387
4,365
Credit
cards,
unsecured
loans
and
other
retail
lending
24,980
24,929
25,097
24,820
24,411
24,247
Wholesale
loans
115,949
121,769
120,741
118,930
113,027
101,759
Stage
1
Model
ECL
(£m)
Home
loans
4
4
4
4
5
5
Credit
cards,
unsecured
loans
and
other
retail
lending
236
187
204
230
258
263
Wholesale
loans
219
239
231
205
218
221
Stage
1
Coverage
(%)
Home
loans
0.1
0.1
0.1
0.1
0.1
0.1
Credit
cards,
unsecured
loans
and
other
retail
lending
0.9
0.8
0.8
0.9
1.1
1.1
Wholesale
loans
0.2
0.2
0.2
0.2
0.2
0.2
Stage
2
Model
Exposure
(£m)
Home
loans
557
539
545
554
575
597
Credit
cards,
unsecured
loans
and
other
retail
lending
3,171
2,111
2,462
3,215
4,721
5,796
Wholesale
loans
29,834
24,015
25,043
26,853
32,757
44,024
Stage
2
Model
ECL
(£m)
Home
loans
33
31
31
32
36
40
Credit
cards,
unsecured
loans
and
other
retail
lending
512
327
382
481
796
1,045
Wholesale
loans
1,358
922
1,010
1,174
1,683
2,751
Stage
2
Coverage
(%)
Home
loans
5.9
5.8
5.7
5.8
6.3
6.7
Credit
cards,
unsecured
loans
and
other
retail
lending
16.1
15.5
15.5
15.0
16.9
18.0
Wholesale
loans
4.6
3.8
4.0
4.4
5.1
6.2
Stage
3
Model
Exposure
(£m)
Home
loans
728
728
728
728
728
728
Credit
cards,
unsecured
loans
and
other
retail
lending
1,279
1,279
1,279
1,279
1,279
1,279
Wholesale
loans
a
863
863
863
863
863
863
Stage
3
Model
ECL
(£m)
Home
loans
298
278
281
284
306
363
Credit
cards,
unsecured
loans
and
other
retail
lending
1,190
1,170
1,180
1,191
1,211
1,210
Wholesale
loans
a
25
20
21
23
29
40
Stage
3
Coverage
(%)
Home
loans
40.9
38.2
38.6
39.0
42.0
49.9
Credit
cards,
unsecured
loans
and
other
retail
lending
93.0
91.5
92.3
93.1
94.7
94.6
Wholesale
loans
a
2.9
2.3
2.4
2.7
3.4
4.6
Total
Model
ECL
(£m)
Home
loans
335
313
316
320
347
408
Credit
cards,
unsecured
loans
and
other
retail
lending
1,938
1,684
1,766
1,902
2,265
2,518
Wholesale
loans
a
1,602
1,181
1,262
1,402
1,930
3,012
Total
ECL
3,875
3,178
3,344
3,624
4,542
5,938
Note
a
Material
wholesale
loan
defaults
are
individually
assessed
across
different
recovery
strategies.
As
a
result,
ECL
of
£835m
is
reported
as
individually
assessed
impairments
in
the
table
below.
Risk
review
Risk
performance
Credit
risk
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
65
Reconciliation
to
total
ECL
£m
Total
model
ECL
3,875
ECL
from
individually
assessed
impairments
835
ECL
from
non-modelled
and
other
management
adjustments
a
1,125
Total
ECL
5,835
Note
a
Includes
£0.9bn
of
post
model
adjustments
and
£0.2bn
ECL
from
non-modelled
exposures.
The
dispersion
of
results
around
the
Baseline
is
an
indication
of
uncertainty
around
the
future
projections.
The
disclosure
highlights
the
results
of
the
alternative
scenarios
enabling
the
reader
to
understand
the
extent
of
the
impact
on
exposure
and
ECL
from
the
upside/downside
scenarios.
Consequently,
the
use
of
five
scenarios
with
associated
weightings
results
in
a
total
weighted
ECL
uplift
from
the
Baseline
ECL
of
7%,
largely
driven
wholesale
loans.
Home
loans:
Credit
cards,
unsecured
loans
and
other
retail
lending:
(£1,902m)
reflecting
the
range
of
economic
scenarios
used,
mainly
impacted
by
Unemployment
and
key
retail
variables.
Total
ECL
increases
to
£2,518m
under
the
Downside
2
scenario,
mainly
driven
by
Stage
2,
where
coverage
rates
increase
to
18%
from
a
weighted
scenario
approach
of
16.1%
and
a
£3bn
increase
in
model
exposure
that
meets
the
Significant
Increase
in
Credit
Risk
criteria
and
transitions
from
Stage
1
to
Stage
2.
Wholesale
loans:
economic
scenarios
used,
with
exposures
in
the
Investment
Bank
particularly
sensitive
to
the
Downside
2
scenario.
Risk
review
Risk
performance
Credit
risk
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
66
Scenarios
As
at
31
December
2019
Weighted
Upside
2
Upside
1
Baseline
Downside
1
Downside
2
Stage
1
Model
Exposure
(£m)
Home
loans
4,887
4,902
4,894
4,887
4,876
4,863
Credit
cards,
unsecured
loans
and
other
retail
lending
37,599
37,361
37,534
37,269
37,921
38,414
Wholesale
loans
141,272
142,393
142,125
141,806
139,227
126,882
Stage
1
Model
ECL
(£m)
Home
loans
5
4
4
5
5
5
Credit
cards,
unsecured
loans
and
other
retail
lending
350
344
347
342
349
356
Wholesale
loans
184
141
152
164
244
268
Stage
1
Coverage
(%)
Home
loans
0.1
0.1
0.1
0.1
0.1
0.1
Credit
cards,
unsecured
loans
and
other
retail
lending
0.9
0.9
0.9
0.9
0.9
0.9
Wholesale
loans
0.1
0.1
0.1
0.1
0.2
0.2
Stage
2
Model
Exposure
(£m)
Home
loans
511
496
505
512
522
535
Credit
cards,
unsecured
loans
and
other
retail
lending
4,228
3,350
3,540
4,025
5,615
7,204
Wholesale
loans
13,099
11,979
12,246
12,566
15,145
27,489
Stage
2
Model
ECL
(£m)
Home
loans
36
32
34
35
41
47
Credit
cards,
unsecured
loans
and
other
retail
lending
784
584
638
739
1,115
2,450
Wholesale
loans
352
253
280
314
493
1,240
Stage
2
Coverage
(%)
Home
loans
7.1
6.6
6.7
6.8
7.8
8.8
Credit
cards,
unsecured
loans
and
other
retail
lending
18.5
17.4
18.0
18.4
19.8
34.0
Wholesale
loans
2.7
2.1
2.3
2.5
3.3
4.5
Stage
3
Model
Exposure
(£m)
Home
loans
711
711
711
711
711
711
Credit
cards,
unsecured
loans
and
other
retail
lending
1,697
1,697
1,697
1,697
1,697
1,697
Wholesale
loans
a
279
279
279
279
279
279
Stage
3
Model
ECL
(£m)
Home
loans
260
258
259
260
261
264
Credit
cards,
unsecured
loans
and
other
retail
lending
1,382
1,367
1,374
1,380
1,395
1,418
Wholesale
loans
a
3
2
2
3
4
5
Stage
3
Coverage
(%)
Home
loans
36.5
36.3
36.4
36.5
36.7
37.2
Credit
cards,
unsecured
loans
and
other
retail
lending
81.5
80.5
81.0
81.3
82.2
83.6
Wholesale
loans
a
1.0
0.8
0.9
0.9
1.3
1.9
Total
Model
ECL
(£m)
Home
loans
301
294
297
300
307
316
Credit
cards,
unsecured
loans
and
other
retail
lending
2,516
2,295
2,359
2,461
2,859
4,224
Wholesale
loans
a
539
396
434
481
741
1,513
Total
ECL
3,356
2,985
3,090
3,242
3,907
6,053
Note
a
Material
wholesale
loan
defaults
are
individually
assessed
across
different
recovery
strategies.
As
a
result,
ECL
of
£398m
is
reported
as
individually
assessed
impairments
in
the
table
below
.
Risk
review
Risk
performance
Credit
risk
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
67
Reconciliation
to
total
ECL
a
£m
Total
model
ECL
3,355
ECL
from
individually
assessed
impairments
398
ECL
from
non-modelled
and
other
management
adjustments
195
Total
ECL
3,948
Note
a
The
table
has
been
re-presented
to
separately
show
the
impact
of
individually
assessed
impairments
of
£398m.
This
was
included
in
the
Barclays
Bank
PLC
Annual
Report
2019
with
non-modelled
and
other
adjustments
of
£232m.
Non-modelled
and
other
adjustments
are
now
disclosed
within
the
other
management
adjustments
category
of
£195m.
Staging
sensitivity
(audited)
An
increase
of
1%
(£1,393m)
of
total
gross
exposure
into
Stage
2
(from
Stage
1),
would
result
in
an
increase
in
ECL
impairment
allowance
of
£110
m
based
on
applying
the
difference
in
Stage
2
and
Stage
1
average
impairment
coverage
ratios
to
the
movement
in
gross
exposure
(refer
to
Loans
and
advances
at
amortised
cost
by
product
on
page
51).
Risk
review
Risk
performance
Credit
risk
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
68
Analysis
of
the
concentration
of
credit
risk
A
concentration
of
credit
risk
exists
when
a
number
of
counterparties
are
located
in
a
common
geographical
region
or
are
engaged
in
similar
activities
and
have
similar
economic
characteristics
that
would
cause
their
ability
to
meet
contractual
obligations
to
be
similarly
affected
by
changes
in
economic
or
other
conditions.
Barclays
Bank
Group
implements
limits
on
concentrations
in
order
to
mitigate
the
risk.
The
analyses
of
credit
risk
concentrations
presented
below
are
based
on
the
location
of
the
counterparty
or
customer
or
the
industry
in
which
they
are
engaged.
Geographic
concentrations
Exposure
is
concentrated
in
the
Americas
41%
(2019:
43%),
in
the
UK
25%
(2019:
26%)
and
Europe
26%
(2019:
24%).
Credit
risk
concentrations
by
geography
(audited)
Barclays
Bank
Group
United
Kingdom
Americas
Europe
Asia
Africa
and
Middle
East
Total
As
at
31
December
2020
£m
£m
£m
£m
£m
£m
On-balance
sheet:
Cash
and
balances
at
central
banks
31,235
36,063
69,962
17,987
655
155,902
Cash
collateral
and
settlement
balances
30,261
27,255
30,105
9,487
508
97,616
Loans
and
advances
at
amortised
cost
61,754
40,403
23,931
4,859
3,320
134,267
Reverse
repurchase
agreements
and
other
similar
secured
lending
10
152
323
8,285
211
8,981
Trading
portfolio
assets
9,787
31,003
16,861
5,947
946
64,544
Financial
assets
at
fair
value
through
the
income
statement
31,745
88,302
25,706
14,742
7,524
168,019
Derivative
financial
instruments
93,685
90,796
101,099
14,532
2,581
302,693
Financial
assets
at
fair
value
through
other
comprehensive
income
6,921
19,451
22,138
3,276
115
51,901
Other
assets
392
185
37
-
-
614
Total
on-balance
sheet
265,790
333,610
290,162
79,115
15,860
984,537
Off-balance
sheet:
Contingent
liabilities
5,200
10,121
3,809
1,222
580
20,932
Loan
commitments
46,746
175,893
36,713
4,132
1,538
265,022
Total
off-balance
sheet
51,946
186,014
40,522
5,354
2,118
285,954
Total
317,736
519,624
330,684
84,469
17,978
1,270,491
As
at
31
December
2019
On-balance
sheet:
Cash
and
balances
at
central
banks
29,791
28,273
52,003
15,128
745
125,940
Cash
collateral
and
settlement
balances
23,775
23,593
25,955
5,326
837
79,486
Loans
and
advances
at
amortised
cost
62,568
45,863
24,450
5,881
2,874
141,636
Reverse
repurchase
agreements
and
other
similar
secured
lending
12
15
401
470
833
1,731
Trading
portfolio
assets
11,538
27,249
12,922
4,786
763
57,258
Financial
assets
at
fair
value
through
the
income
statement
26,363
70,832
11,272
12,534
1,921
122,922
Derivative
financial
instruments
70,256
63,337
83,165
11,189
1,694
229,641
Financial
investments
-
debt
securities
8,383
16,092
17,884
2,945
101
45,405
Other
assets
407
124
81
2
-
614
Total
on-balance
sheet
233,093
275,378
228,133
58,261
9,768
804,633
Off-balance
sheet:
Contingent
liabilities
6,789
10,838
3,862
1,562
726
23,777
Loan
commitments
39,247
192,857
33,182
3,130
1,611
270,027
Total
off-balance
sheet
46,036
203,695
37,044
4,692
2,337
293,804
Total
279,129
479,073
265,177
62,953
12,105
1,098,437
Risk
review
Risk
performance
Credit
risk
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
69
Industry
concentrations
Total
exposures
concentrated
in
banks
and
other
financial
institutions
is
51%
(2019:
46%),
predominantly
within
derivative
financial
instruments
and
financial
assets.
The
proportion
of
the
overall
exposure
concentrated
in
governments
and
central
banks
is
21%
(2019:
20%).
Further
details
on
material
and
emerging
risks
can
be
found
on
pages
27
to
38.
Credit
risk
concentrations
by
industry
(audited)
Barclays
Bank
Group
Banks
Other
financial
insti-
tutions
Manu-
facturing
Const-
ruction
and
property
Govern-
ment
and
central
bank
Energy
and
water
Wholesale
and
retail
distributio
n
leisure
Business
and
other
services
Home
loans
Cards,
unsecured
loans
and
other
personal
lending
Other
Total
As
at
31
December
2020
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
On-balance
sheet:
Cash
and
balances
at
central
banks
3
-
-
-
155,899
-
-
-
-
-
-
155,902
Cash
collateral
and
settlement
balances
17,961
66,696
375
35
10,828
871
30
576
-
-
244
97,616
Loans
and
advances
at
amortised
cost
8,649
24,766
7,122
12,889
13,759
4,554
7,814
13,528
11,193
23,955
6,038
134,267
Reverse
repurchase
agreements
and
other
similar
secured
lending
656
7,964
-
-
361
-
-
-
-
-
-
8,981
Trading
portfolio
assets
2,752
11,464
4,104
516
35,607
3,052
1,883
2,625
-
-
2,541
64,544
Financial
assets
at
fair
value
through
the
income
statement
22,766
131,929
603
2,481
5,519
13
64
3,479
971
-
194
168,019
Derivative
financial
instruments
155,986
116,421
4,126
2,725
11,649
3,288
1,235
2,496
-
-
4,767
302,693
Financial
assets
at
fair
value
through
other
comprehensive
income
13,003
4,258
1
333
33,774
-
-
527
-
-
5
51,901
Other
assets
303
193
5
3
1
10
1
95
-
-
3
614
Total
on-balance
sheet
222,079
363,691
16,336
18,982
267,397
11,788
11,027
23,326
12,164
23,955
13,792
984,537
Off-balance
sheet:
Contingent
liabilities
1,150
5,501
3,187
1,260
1,028
3,223
978
2,283
-
155
2,167
20,932
Loan
commitments
1,773
51,900
39,447
12,843
1,398
25,766
16,626
24,001
134
69,646
21,488
265,022
Total
off-balance
sheet
2,923
57,401
42,634
14,103
2,426
28,989
17,604
26,284
134
69,801
23,655
285,954
Total
225,002
421,092
58,970
33,085
269,823
40,777
28,631
49,610
12,298
93,756
37,447
1,270,491
As
at
31
December
2019
On-balance
sheet:
Cash
and
balances
at
central
banks
4
-
-
-
125,936
-
-
-
-
-
-
125,940
Cash
collateral
and
settlement
balances
16,638
54,582
516
64
6,122
536
51
642
-
-
335
79,486
Loans
and
advances
at
amortised
cost
9,185
20,230
7,940
13,610
11,402
5,278
8,226
14,588
10,986
33,560
6,631
141,636
Reverse
repurchase
agreements
and
other
similar
secured
lending
1,172
486
-
-
73
-
-
-
-
-
-
1,731
Trading
portfolio
assets
2,806
9,050
2,787
1,053
32,298
2,996
842
3,158
-
-
2,268
57,258
Financial
assets
at
fair
value
through
the
income
statement
11,694
97,824
620
3,609
5,340
37
-
3,318
358
-
122
122,922
Derivative
financial
instruments
125,612
83,286
2,049
2,273
7,811
3,077
562
1,635
-
2
3,334
229,641
Financial
assets
at
fair
value
through
other
comprehensive
income
13,158
2,938
-
208
28,489
-
-
415
-
-
197
45,405
Other
assets
180
312
1
-
2
7
-
104
-
2
6
614
Total
on-balance
sheet
180,449
268,708
13,913
20,817
217,473
11,931
9,681
23,860
11,344
33,564
12,893
804,633
Off-balance
sheet:
Contingent
liabilities
1,250
8,043
3,549
703
1,231
3,318
1,072
2,831
-
109
1,671
23,777
Loan
commitments
1,861
47,619
42,001
13,358
1,703
29,865
14,320
22,491
49
73,573
23,187
270,027
Total
off-balance
sheet
3,111
55,662
45,550
14,061
2,934
33,183
15,392
25,322
49
73,682
24,858
293,804
Total
183,560
324,370
59,463
34,878
220,407
45,114
25,073
49,182
11,393
107,246
37,751
1,098,437
Risk
review
Risk
performance
Credit
risk
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
70
Approach
to
management
and
representation
of
credit
quality
Asset
credit
quality
The
credit
quality
distribution
is
based
on
the
IFRS
9
12
month
probability
of
default
(PD)
at
the
reporting
date
to
ensure
comparability
with
other
ECL
disclosures
on
pages
51
to
56.
The
Barclays
Bank
Group
uses
the
following
internal
measures
to
determine
credit
quality
for
loans:
Retail
and
Wholesale
lending
Default
Grade
Probability
of
default
Credit
Quality
Description
1-3
0.0
to
<
0.05%
Strong
4-5
0.05
to
<
0.15%
6-8
0.15
to
<
0.30%
9-11
0.30
to
<
0.60%
12-14
0.60
to
<
2.15%
Satisfactory
15-19
19
11.35%
20-21
100%
Higher
Risk
22
100%
Credit
Impaired
For
retail
clients,
a
range
of
analytical
tools
is
used
to
derive
the
probability
of
default
of
clients
at
inception
and
on
an
ongoing
basis.
These
credit
quality
descriptions
can
be
summarised
as
follows:
Strong:
Satisfactory:
the
asset
may
not
be
collateralised,
or
may
relate
to
unsecured
retail
facilities.
At
the
lower
end
of
this
grade
there
are
customers
that
are
being
more
carefully
monitored,
for
example,
corporate
customers
which
are
indicating
some
evidence
of
deterioration,
mortgages
with
a
high
loan
to
value,
and
unsecured
retail
loans
operating
outside
normal
product
guidelines.
Higher
risk:
actual
delinquency.
There
may
also
be
doubts
over
the
value
of
collateral
or
security
provided.
However,
the
borrower
or
counterparty
is
continuing
to
make
payments
when
due
and
is
expected
to
settle
all
outstanding
amounts
of
principal
and
interest.
Debt
securities
For
assets
held
at
fair
value,
the
carrying
value
on
the
balance
sheet
will
include,
among
other
things,
the
credit
risk
of
the
issuer.
Most
listed
and
some
unlisted
securities
are
rated
by
external
rating
agencies.
The
Barclays
Bank
Group
mainly
uses
external
credit
ratings
provided
by
Standard
&
Poor’s,
Fitch
or
Moody’s.
Where
such
ratings
are
not
available
or
are
not
current,
the
Barclays
Bank
Group
will
use
its
own
internal
ratings
for
the
securities.
Balance
sheet
credit
quality
The
following
tables
present
the
credit
quality
of
Barclays
Bank
Group
assets
exposed
to
credit
risk.
Overview
As
at
31
December
2020,
the
ratio
of
the
Barclays
Bank
Group’s
on-balance
sheet
assets
classified
as
strong
(0.0
<
0.60%)
remained
stable
at
86%
(2019:
85%)
of
total
assets
exposed
to
credit
risk.
Risk
review
Risk
performance
Credit
risk
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
71
Balance
sheet
credit
quality
(audited)
Barclays
Bank
Group
PD
Range
0.0
to
<0.60%
0.60
to
<11.35%
11.35%
to
100%
Total
0.0
to
<0.60%
0.60
to
<11.35%
11.35%
to
100%
Total
As
at
31
December
2020
£m
£m
£m
£m
%
%
%
%
Cash
and
balances
at
central
banks
155,902
-
-
155,902
100
-
-
100
Cash
collateral
and
settlement
balances
86,882
10,725
9
97,616
89
11
-
100
Loans
and
advances
at
amortised
cost
Home
loans
7,582
2,840
771
11,193
68
25
7
100
Credit
cards,
unsecured
loans
and
other
retail
lending
10,742
11,259
1,367
23,368
46
48
6
100
Wholesale
loans
75,672
20,828
3,206
99,706
76
21
3
100
Total
loans
and
advances
at
amortised
cost
93,996
34,927
5,344
134,267
70
26
4
100
Reverse
repurchase
agreements
and
other
similar
secured
lending
8,969
12
-
8,981
100
-
-
100
Trading
portfolio
assets:
Debt
securities
51,109
4,871
216
56,196
91
9
-
100
Traded
loans
704
5,107
2,537
8,348
9
61
30
100
Total
trading
portfolio
assets
51,813
9,978
2,753
64,544
80
16
4
100
Financial
assets
at
fair
value
through
the
income
statement:
Loans
and
advances
13,174
14,232
43
27,449
48
52
-
100
Debt
securities
1,136
515
46
1,697
67
30
3
100
Reverse
repurchase
agreements
96,318
41,566
674
138,558
70
30
-
100
Other
financial
assets
302
13
-
315
96
4
-
100
Total
financial
assets
at
fair
value
through
the
income
statement
110,930
56,326
763
168,019
66
34
-
100
Derivative
financial
instruments
282,864
19,352
477
302,693
94
6
-
100
Financial
assets
at
fair
value
through
other
comprehensive
income
51,893
8
-
51,901
100
-
-
100
Other
assets
572
42
-
614
93
7
-
100
Total
on-balance
sheet
843,821
131,370
9,346
984,537
86
13
1
100
As
at
31
December
2019
Cash
and
balances
at
central
banks
125,940
-
-
125,940
100
-
-
100
Cash
collateral
and
settlement
balances
69,351
10,135
-
79,486
87
13
-
100
Loans
and
advances
at
amortised
cost
Home
loans
7,536
2,626
824
10,986
68
24
8
100
Credit
cards,
unsecured
loans
and
other
retail
lending
13,631
18,019
1,853
33,503
40
54
6
100
Wholesale
loans
75,638
19,716
1,793
97,147
78
20
2
100
Total
loans
and
advances
at
amortised
cost
96,805
40,361
4,470
141,636
69
28
3
100
Reverse
repurchase
agreements
and
other
similar
secured
lending
1,642
89
-
1,731
95
5
-
100
Trading
portfolio
assets:
Debt
securities
48,258
3,479
143
51,880
93
7
-
100
Traded
loans
864
3,219
1,295
5,378
16
60
24
100
Total
trading
portfolio
assets
49,122
6,698
1,438
57,258
85
12
3
100
Financial
assets
at
fair
value
through
the
income
statement:
Loans
and
advances
11,030
7,880
227
19,137
58
41
1
100
Debt
securities
4,786
404
30
5,220
91
8
1
100
Reverse
repurchase
agreements
63,411
34,232
180
97,823
65
35
-
100
Other
financial
assets
736
6
-
742
99
1
-
100
Total
financial
assets
at
fair
value
through
the
income
statement
79,963
42,522
437
122,922
65
35
-
100
Derivative
financial
instruments
216,508
13,012
121
229,641
94
6
-
100
Financial
assets
at
fair
value
through
other
comprehensive
income
45,405
-
-
45,405
100
-
-
100
Other
assets
501
113
-
614
82
18
-
100
Total
on-balance
sheet
685,237
112,930
6,466
804,633
85
14
1
100
Risk
review
Risk
performance
Credit
risk
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
72
Credit
exposures
by
internal
PD
grade
The
below
tables
represents
credit
risk
profile
by
PD
grade
for
loans
and
advances
at
amortised
cost,
contingent
liabilities
and
loan
commitments.
Stage
1
higher
risk
assets,
presented
gross
of
associated
collateral
held,
are
of
weaker
credit
quality
but
have
not
significantly
deteriorated
since
origination.
Examples
would
include
leveraged
corporate
loans
or
non-prime
credit
cards.
IFRS
9
Stage
1
and
Stage
2
classification
is
not
dependent
solely
on
the
absolute
probability
of
default
but
on
elements
that
determine
a
Significant
Increase
in
Credit
Risk
(see
Note
7
to
the
financial
statements
on
page
121),
including
relative
movement
in
probability
of
default
since
initial
recognition.
There
is
therefore
no
direct
relationship
between
credit
quality
and
IFRS
9
stage
classification.
Barclays
Bank
Group
As
at
31
December
2020
Credit
risk
profile
by
internal
PD
grade
for
loans
and
advances
at
amortised
cost
(audited)
Gross
carrying
amount
Allowance
for
ECL
Net
exposure
Coverage
ratio
PD
range
Credit
quality
description
Stage
1
Stage
2
Stage
3
Total
Stage
1
Stage
2
Stage
3
Total
Grading
%
£m
£m
£m
£m
£m
£m
£m
£m
£m
%
1-3
0.0
to
<
0.05%
Strong
36,388
689
-
37,077
2
3
-
5
37,072
–
4-5
0.05
to
<
0.15%
Strong
17,008
627
-
17,635
17
4
-
21
17,614
0.1
6-8
0.15
to
<
0.30%
Strong
13,667
2,463
-
16,130
34
52
-
86
16,044
0.5
9-11
0.30
to
<
0.60%
Strong
21,049
2,432
-
23,481
88
127
-
215
23,266
0.9
12-14
0.60
to
<
2.15%
Satisfactory
16,951
4,913
-
21,864
293
351
-
644
21,220
2.9
15-19
2.15
to
<
10%
Satisfactory
5,264
6,661
-
11,925
183
651
-
834
11,091
7.0
19
10
to
<
11.35%
Satisfactory
1,042
1,698
-
2,740
25
99
-
124
2,616
4.5
20-21
11.35
to
<
100%
Higher
Risk
435
2,927
-
3,362
43
625
-
668
2,694
19.9
22
100%
Credit
Impaired
-
-
5,119
5,119
-
-
2,469
2,469
2,650
48.2
Total
111,804
22,410
5,119
139,333
685
1,912
2,469
5,066
134,267
3.6
As
at
31
December
2019
Credit
risk
profile
by
internal
PD
grade
for
loans
and
advances
at
amortised
cost
(audited)
Gross
carrying
amount
Allowance
for
ECL
Net
exposure
Coverage
ratio
PD
range
Credit
quality
description
Stage
1
Stage
2
Stage
3
Total
Stage
1
Stage
2
Stage
3
Total
Grading
%
£m
£m
£m
£m
£m
£m
£m
£m
£m
%
1-3
0.0
to
<
0.05%
Strong
37,430
564
-
37,994
9
15
-
24
37,970
0.1
4-5
0.05
to
<
0.15%
Strong
17,117
783
-
17,900
6
-
-
6
17,894
-
6-8
0.15
to
<
0.30%
Strong
15,020
581
-
15,601
16
1
-
17
15,584
0.1
9-11
0.30
to
<
0.60%
Strong
24,490
944
-
25,434
71
6
-
77
25,357
0.3
12-14
0.60
to
<
2.15%
Satisfactory
24,211
1,740
-
25,951
134
102
-
236
25,715
0.9
15-19
2.15
to
<
10%
Satisfactory
7,491
5,450
-
12,941
185
339
-
524
12,417
4.0
19
10
to
<
11.35%
Satisfactory
1,945
339
-
2,284
21
34
-
55
2,229
2.4
20-21
11.35
to
<
100%
Higher
Risk
641
2,238
-
2,879
50
561
-
611
2,268
21.2
22
100%
Credit
Impaired
-
-
4,348
4,348
-
-
2,146
2,146
2,202
49.4
Total
128,345
12,639
4,348
145,332
492
1,058
2,146
3,696
141,636
2.5
Risk
review
Risk
performance
Credit
risk
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
73
As
at
31
December
2020
Credit
risk
profile
by
internal
PD
grade
for
contingent
liabilities
a
Gross
carrying
amount
Allowance
for
ECL
Net
exposure
Coverage
ratio
PD
range
Credit
quality
description
Stage
1
Stage
2
Stage
3
Total
Stage
1
Stage
2
Stage
3
Total
Grading
%
£m
£m
£m
£m
£m
£m
£m
£m
£m
%
1-3
0.0
to
<
0.05%
Strong
5,502
188
-
5,690
1
-
-
1
5,689
–
4-5
0.05
to
<
0.15%
Strong
2,765
428
-
3,193
3
2
-
5
3,188
0.2
6-8
0.15
to
<
0.30%
Strong
1,468
165
-
1,633
3
4
-
7
1,626
0.4
9-11
0.30
to
<
0.60%
Strong
3,524
552
-
4,076
5
33
-
38
4,038
0.9
12-14
0.60
to
<
2.15%
Satisfactory
2,712
546
-
3,258
8
25
-
33
3,225
1.0
15-19
2.15
to
<
10%
Satisfactory
305
398
-
703
7
21
-
28
675
4.0
19
10
to
<
11.35%
Satisfactory
264
423
-
687
17
83
-
100
587
14.6
20-21
11.35
to
<
100%
Higher
Risk
40
769
-
809
-
61
-
61
748
7.5
22
100%
Credit
Impaired
-
-
654
654
-
-
10
10
644
1.5
Total
16,580
3,469
654
20,703
44
229
10
283
20,420
1.4
As
at
31
December
2019
Credit
risk
profile
by
internal
PD
grade
for
contingent
liabilities
a
Gross
carrying
amount
Allowance
for
ECL
Net
exposure
Coverage
ratio
PD
range
Credit
quality
description
Stage
1
Stage
2
Stage
3
Total
Stage
1
Stage
2
Stage
3
Total
Grading
%
£m
£m
£m
£m
£m
£m
£m
£m
£m
%
1-3
0.0
to
<
0.05%
Strong
6,198
118
-
6,316
1
-
-
1
6,315
-
4-5
0.05
to
<
0.15%
Strong
4,199
40
-
4,239
1
-
-
1
4,238
-
6-8
0.15
to
<
0.30%
Strong
2,953
103
-
3,056
1
-
-
1
3,055
-
9-11
0.30
to
<
0.60%
Strong
4,551
136
-
4,687
2
2
-
4
4,683
0.1
12-14
0.60
to
<
2.15%
Satisfactory
2,529
654
-
3,183
7
8
-
15
3,168
0.5
15-19
2.15
to
<
10%
Satisfactory
663
244
-
907
4
8
-
12
895
1.3
19
10
to
<
11.35%
Satisfactory
421
172
-
593
9
9
-
18
575
3.0
20-21
11.35
to
<
100%
Higher
Risk
117
282
-
399
-
30
-
30
369
7.5
22
100%
Credit
Impaired
-
-
354
354
-
-
5
5
349
1.4
Total
21,631
1,749
354
23,734
25
57
5
87
23,647
0.4
Risk
review
Risk
performance
Credit
risk
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
74
As
at
31
December
2020
Credit
risk
profile
by
internal
PD
grade
for
loan
commitments
a
Gross
carrying
amount
Allowance
for
ECL
Net
exposure
Coverage
ratio
PD
range
Credit
quality
description
Stage
1
Stage
2
Stage
3
Total
Stage
1
Stage
2
Stage
3
Total
Grading
%
£m
£m
£m
£m
£m
£m
£m
£m
£m
%
1-3
0.0
to
<
0.05%
Strong
52,522
5,311
-
57,833
3
1
-
4
57,829
–
4-5
0.05
to
<
0.15%
Strong
62,677
5,730
-
68,407
11
8
-
19
68,388
–
6-8
0.15
to
<
0.30%
Strong
41,621
6,260
-
47,881
15
20
-
35
47,846
0.1
9-11
0.30
to
<
0.60%
Strong
25,461
6,187
-
31,648
14
19
-
33
31,615
0.1
12-14
0.60
to
<
2.15%
Satisfactory
20,730
6,978
-
27,708
113
18
-
131
27,577
0.5
15-19
2.15
to
<
10%
Satisfactory
3,621
2,991
-
6,612
23
44
-
67
6,545
1.0
19
10
to
<
11.35%
Satisfactory
4,778
4,971
-
9,749
11
25
-
36
9,713
0.4
20-21
11.35
to
<
100%
Higher
Risk
750
3,775
-
4,525
5
115
-
120
4,405
2.7
22
100%
Credit
Impaired
-
-
1,411
1,411
-
-
41
41
1,370
2.9
Total
212,160
42,203
1,411
255,774
195
250
41
486
255,288
0.2
As
at
31
December
2019
Credit
risk
profile
by
internal
PD
grade
for
loan
commitments
a
Gross
carrying
amount
Allowance
for
ECL
Net
exposure
Coverage
ratio
PD
range
Credit
quality
description
Stage
1
Stage
2
Stage
3
Total
Stage
1
Stage
2
Stage
3
Total
Grading
%
£m
£m
£m
£m
£m
£m
£m
£m
£m
%
1-3
0.0
to
<
0.05%
Strong
77,725
990
-
78,715
4
-
-
4
78,711
-
4-5
0.05
to
<
0.15%
Strong
53,910
1,480
-
55,390
3
-
-
3
55,387
-
6-8
0.15
to
<
0.30%
Strong
43,728
811
-
44,539
6
1
-
7
44,532
-
9-11
0.30
to
<
0.60%
Strong
28,813
1,294
-
30,107
10
2
-
12
30,095
-
12-14
0.60
to
<
2.15%
Satisfactory
27,115
2,066
-
29,181
26
9
-
35
29,146
0.1
15-19
2.15
to
<
10%
Satisfactory
4,322
2,050
-
6,372
7
21
-
28
6,344
0.4
19
10
to
<
11.35%
Satisfactory
3,454
1,814
-
5,268
4
7
-
11
5,257
0.2
20-21
11.35
to
<
100%
Higher
Risk
594
1,852
-
2,446
-
15
-
15
2,431
0.6
22
100%
Credit
Impaired
-
-
349
349
-
-
50
50
299
14.3
Total
239,661
12,357
349
252,367
60
55
50
165
252,202
0.1
Note
a
Excludes
loan
commitments
and
financial
guarantees
carried
at
fair
value
of
£9.5bn
(2019:
£17.7bn)
for
Barclays
Bank
Group
.
Risk
review
Risk
performance
Credit
risk
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
75
Analysis
of
specific
portfolios
and
asset
types
Credit
cards,
unsecured
loans
and
other
retail
lending
The
principal
portfolios
listed
below
accounted
for
77%
(2019:
83%)
of
Barclays
Bank
Group’s
total
credit
cards,
unsecured
loans
and
other
retail
lending.
Credit
cards
and
unsecured
loans
principal
portfolios
Gross
exposure
30
day
arrears
rate,
excluding
recovery
book
90
day
arrears
rate,
excluding
recovery
book
Annualised
gross
write
-off
rate
Annualised
net
write
-off
rate
£m
%
%
%
%
As
at
31
December
2020
US
cards
16,845
2.5
1.4
5.6
5.6
Germany
consumer
lending
3,458
1.9
0.8
1.2
1.1
As
at
31
December
2019
US
cards
22,041
2.7
1.4
4.5
4.4
Barclays
Partner
Finance
a
4,134
0.9
0.3
1.7
1.7
Germany
consumer
lending
3,683
1.8
0.7
1.1
1.0
Notes
a
On
1
April
2020,
the
Barclays
Partner
Finance
business
moved
from
Barclays
International
to
Barclays
UK.
The
2019
comparative
figures
have
not
been
restated.
US
cards:
accounts
entering
into
delinquency.
90
day
arrears
rate
remained
stable
at
1.4%.
Write
-off
rates
were
in
line
with
seasonal
trends.
A
total
of
251k
payment
holidays
were
provided
to
customers
in
the
year.
At
31
December
2020,
the
book
value
of
the
portfolio
where
payment
holidays
remain
in
place
was
£54.7m,
representing
0.3%
of
the
portfolio.
Germany
consumer
lending:
payment
holidays
were
provided
to
customers
in
the
year.
At
31
December
2020,
the
book
value
of
the
portfolio
where
payment
holidays
remain
in
place
was
£0.24m,
representing
0.01%
of
the
portfolio.
Risk
review
Risk
performance
Market
risk
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
76
Summary
of
Contents
Page
◾
◾
accounting
measures
◾
76
76
76
Outlines
key
measures
used
to
summarise
the
market
risk
profile
of
the
Barclays
Bank
Group
such
as
VaR.
◾
◾
-
management
VaR
-
76
76
77
77
The
Barclays
Bank
Group
discloses
details
on
management
measures
of
market
risk.
Total
management
VaR
includes
all
trading
positions
and
is
presented
on
a
diversified
basis
by
risk
factor.
This
section
also
outlines
the
macroeconomic
conditions
modelled
as
part
of
the
Barclays
Bank
Group’s
risk
management
framework.
All
disclosures
in
this
section
(pages
76
to
77)
are
unaudited
unless
otherwise
stated.
Overview
This
section
contains
key
statistics
describing
the
market
risk
profile
of
the
Barclays
Bank
Group:
●
Measures
of
market
risk
in
the
Barclays
Bank
Group
and
accounting
measures
Traded
market
risk
measures
such
as
VaR
and
balance
sheet
exposure
measures
have
fundamental
differences:
●
●
●
For
these
reasons,
it
is
not
possible
to
present
direct
reconciliations
of
traded
market
risk
and
accounting
measures.
Summary
of
performance
in
the
period
Average
management
VaR
increased
to
£31m
(2019:
£23m),
driven
by
an
increase
in
market
volatility
in
late
Q1
and
Q2
during
the
initial
phase
of
the
COVID-19
pandemic.
Management
VaR
stabilised
and
declined
in
the
second
half
of
the
year.
Traded
market
risk
review
Review
of
management
measures
The
following
disclosures
provide
details
of
management
measures
of
market
risk.
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
the
supporting
Barclays
Bank
Group
Treasury
desks.
Limits
are
applied
against
each
risk
factor
VaR
as
well
as
total
m
anagement
VaR,
which
are
then
cascaded
further
by
risk
managers
to
each
business.
Risk
review
Risk
performance
Market
risk
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
77
The
daily
average,
maximum
and
minimum
values
of
management
VaR
Management
VaR
(95%,
one
day)
(audited)
2020
2019
Average
High
Low
Average
High
Low
For
the
year
ended
31
December
£m
£m
£m
£m
£m
£m
Credit
risk
20
38
10
12
17
8
Interest
rate
risk
10
17
6
6
11
3
Equity
risk
13
35
6
10
22
5
Basis
risk
9
14
7
8
11
6
Spread
risk
5
9
3
4
5
3
Foreign
exchange
risk
4
7
2
3
5
2
Commodity
risk
1
1
–
1
2
-
Inflation
risk
2
3
1
2
3
1
Diversification
effect
a
(33)
n/a
n/a
(23)
n/a
n/a
Total
management
VaR
31
57
17
23
29
16
Notes
a
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
diversification
effect
balance
for
the
high
and
low
VaR
figures
would
not
be
meaningful
and
is
therefore
omitted
from
the
above
table.
Barclays
Bank
Group
Management
VaR
a
Business
scenario
stresses
As
part
of
the
Barclays
Bank
Group’s
risk
management
framework,
on
a
regular
basis
the
performance
of
the
trading
business
in
hypothetical
scenarios
characterised
by
severe
macroeconomic
conditions
is
modelled.
Up
to
seven
global
scenarios
are
modelled
on
a
regular
basis,
for
example,
a
sharp
deterioration
in
liquidity,
a
slowdown
in
the
global
economy,
global
recession
and
a
sharp
increase
in
economic
growth.
In
2020
the
scenario
analyses
showed
that
the
largest
market
risk
related
impacts
would
be
due
to
a
severe
deterioration
in
financial
liquidity
and
a
global
recession.
Risk
review
Risk
performance
Treasury
and
Capital
risk
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
78
Summary
of
Contents
Page
Liquidity
risk
performance
◾
◾
79
79
The
risk
that
the
firm
is
unable
to
meet
its
contractual
or
contingent
obligations
or
that
it
does
not
have
the
appropriate
amount,
tenor
and
composition
of
funding
and
liquidity
to
support
its
assets
.
This
section
provides
an
overview
of
the
Barclays
Bank
Group’s
liquidity
risk.
◾
79
Provides
details
on
the
contractual
maturity
of
all
financial
instruments
and
other
assets
and
liabilities.
Capital
risk
performance
◾
-
Capital
ratios
-
Capital
resources
-
Capital
Requirements
Regulation
(CRR)
leverage
ratio
84
84
84
84
Capital
risk
is
the
risk
that
the
firm
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
also
includes
the
risk
from
the
firm’s
pension
plans.
This
section
details
Barclays
Bank
Group’s
capital
and
leverage
position.
◾
-
-
-
85
85
85
85
Barclays
Bank
Group
discloses
the
two
sources
of
foreign
exchange
risk
that
it
is
exposed
to.
◾
-
-
-
-
86
86
86
87
87
A
review
focusing
on
the
UK
retirement
fund,
which
represents
the
majority
of
Barclays
Bank
Group’s
total
retirement
benefit
obligation.
Interest
rate
risk
in
the
banking
book
performance
◾
of
performance
◾
◾
◾
87
88
88
89
A
description
of
the
non-traded
market
risk
framework
is
provided.
Barclays
Bank
Group
discloses
a
sensitivity
analysis
on
pre-tax
net
interest
income
for
non-trading
financial
assets
and
liabilities.
The
analysis
is
carried
out
by
currency.
Barclays
Bank
Group
discloses
the
overall
impact
of
a
parallel
shift
in
interest
rates
on
other
comprehensive
income
and
cash
flow
hedges.
Barclays
Bank
Group
measures
the
volatility
of
the
value
of
the
FVOCI
instruments
in
the
liquidity
pool
through
non-traded
market
risk
VaR.
Risk
review
Risk
performance
Treasury
and
Capital
risk
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
79
Liquidity
risk
All
disclosures
in
this
section
(pages
79
to
83)
are
unaudited
unless
otherwise
stated.
Overview
The
efficient
management
of
liquidity
is
essential
to
the
Barclays
Bank
Group
in
order
to
retain
the
confidence
of
markets
and
maintain
the
sustainability
of
the
business.
The
liquidity
risk
control
framework
is
used
to
manage
all
liquidity
risk
exposures
under
both
BAU
and
stressed
conditions.
The
framework
is
designed
to
maintain
liquidity
resources
that
are
sufficient
in
amount,
quality
and
funding
tenor
profile
to
support
the
liquidity
risk
appetite
as
expressed
by
the
Barclays
Bank
PLC
Board.
The
liquidity
risk
appetite
is
monitored
against
both
internal
and
regulatory
liquidity
metrics.
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
a
Domestic
Liquidity
Sub-Group
(Barclays
Bank
PLC
DoLSub)
arrangement.
Liquidity
risk
stress
testing
The
liquidity
risk
assessment
measures
the
potential
contractual
and
contingent
stress
outflows
under
a
range
of
stress
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
(amended
by
CRR
II)
Liquidity
Coverage
Ratio
(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
31
December
2020,
Barclays
Bank
PLC
DoLSub
held
eligible
liquid
assets
well
above
100%
of
net
stressed
outflows
to
its
internal
and
regulatory
requirements.
The
split
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
proportion
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.
The
liquidity
pool
increased
to
£206bn
(December
2019:
£169bn)
and
the
LCR
remained
above
the
100%
regulatory
requirement
at
145%
(December
2019:141%).
The
increase
in
the
liquidity
pool
was
driven
by
a
14%
growth
in
deposits
and
lower
unsecured
lending
in
Consumer,
Cards
and
Payments.
The
growth
in
deposits
was
largely
a
consequence
of
government
and
central
bank
policy
response
to
the
COVID19
pandemic.
As
at
As
at
31.12.20
31.12.19
£bn
£bn
Barclays
Bank
Group
liquidity
pool
206
169
%
%
Barclays
Bank
PLC
DoLSub
Liquidity
Coverage
Ratio
145
141
The
Barclays
Bank
Group
has
direct
access
to
US,
European
and
Asian
capital
markets
through
its
global
investment
banking
operations
and
to
long-term
investors
through
its
clients
worldwide.
Key
sources
of
wholesale
funding
include
money
markets,
certificates
of
deposit,
commercial
paper,
medium
term
issuances
(including
structured
notes)
and
securitisations.
This
funding
capacity
enables
the
Barclays
Bank
Group
to
maintain
a
stable
and
diversified
funding
base.
The
Barclays
Bank
Group
also
supports
various
central
bank
monetary
initiatives,
such
as
the
Bank
of
England’s
Term
Funding
Scheme
(TFS)
and
Term
Funding
Scheme
with
additional
incentives
for
SMEs
(TFSME),
and
the
European
Central
Bank’s
Targeted
Long-Term
Refinancing
Operations
(TLTRO).
These
are
reported
under
‘repurchase
agreements
and
other
similar
secured
borrowing’
on
the
balance
sheet.
In
addition
to
the
£1.4bn
TFS
balance
outstanding
at
the
beginning
of
the
year,
the
Barclays
Bank
Group
drew
£3.6bn
under
TFSME
and
£2.2bn
under
TLTRO
during
the
year.
These
balances
were
outstanding
at
the
year-end.
Contractual
maturity
of
financial
assets
and
liabilities
The
table
on
the
next
page
provides
detail
on
the
contractual
maturity
of
all
financial
instruments
and
other
assets
and
liabilities.
Derivatives
(other
than
those
designated
in
a
hedging
relationship)
and
trading
portfolio
assets
and
liabilities
are
included
in
the
‘on
demand’
column
at
their
fair
value.
Liquidity
risk
on
these
items
is
not
managed
on
the
basis
of
contractual
maturity
since
these
items
are
not
held
for
settlement
according
to
such
maturity
and
will
frequently
be
settled
before
contractual
maturity
at
fair
value.
Derivatives
designated
in
a
hedging
relationship
are
included
according
to
their
contractual
maturity.
Risk
review
Risk
performance
Treasury
and
Capital
risk
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
80
Contractual
maturity
of
financial
assets
and
liabilities
(audited)
Barclays
Bank
Group
On
demand
Not
more
than
three
months
Over
three
months
but
not
more
than
six
months
Over
six
months
but
not
more
than
nine
months
Over
nine
months
but
not
more
than
one
year
Over
one
year
but
not
more
than
two
years
Over
two
years
but
not
more
than
three
years
Over
three
years
but
not
more
than
five
years
Over
five
years
but
not
more
than
ten
years
Over
ten
years
Total
As
at
31
December
2020
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
Assets
Cash
and
balances
at
central
banks
155,122
182
598
-
-
-
-
-
-
-
155,902
Cash
collateral
and
settlement
balances
1,281
96,335
-
-
-
-
-
-
-
-
97,616
Loans
and
advances
at
amortised
cost
12,854
11,149
6,291
3,770
4,314
21,271
16,663
22,387
14,127
21,441
134,267
Reverse
repurchase
agreements
and
other
similar
secured
lending
150
8,648
-
-
-
-
183
-
-
-
8,981
Trading
portfolio
assets
127,664
-
-
-
-
-
-
-
-
-
127,664
Financial
assets
at
fair
value
through
the
income
statement
17,377
123,948
7,547
6,959
4,027
4,294
1,216
2,284
1,853
2,256
171,761
Derivative
financial
instruments
302,429
24
-
-
-
15
15
112
77
21
302,693
Financial
assets
at
fair
value
through
other
comprehensive
income
-
3,086
1,627
151
95
3,059
3,770
12,741
19,236
8,137
51,902
Other
financial
assets
213
286
107
5
-
3
-
-
-
-
614
Total
financial
assets
617,090
243,658
16,170
10,885
8,436
28,642
21,847
37,524
35,293
31,855
1,051,400
Other
assets
8,331
Total
assets
1,059,731
Liabilities
Deposits
at
amortised
cost
181,455
39,409
13,975
3,665
2,283
1,144
532
602
1,252
379
244,696
Cash
collateral
and
settlement
balances
1,944
83,605
-
-
-
-
-
-
-
-
85,549
Repurchase
agreements
and
other
similar
secured
borrowing
4
2,545
-
-
-
1,400
2,329
4,073
-
92
10,443
Debt
securities
in
issue
-
12,207
3,808
3,833
1,791
2,124
640
2,815
1,995
210
29,423
Subordinated
liabilities
-
3,708
3,222
459
143
3,545
4,811
6,241
5,629
4,247
32,005
Trading
portfolio
liabilities
46,139
-
-
-
-
-
-
-
-
-
46,139
Financial
liabilities
designated
at
fair
value
15,555
172,250
8,677
5,067
2,928
8,593
6,939
8,576
8,344
12,697
249,626
Derivative
financial
instruments
299,637
-
50
-
-
66
67
174
183
403
300,580
Other
financial
liabilities
70
2,072
15
15
16
233
50
90
187
62
2,810
Total
financial
liabilities
544,804
315,796
29,747
13,039
7,161
17,105
15,368
22,571
17,590
18,090
1,001,271
Other
liabilities
4,750
Total
liabilities
1,006,021
Cumulative
liquidity
gap
72,286
148
(13,429)
(15,583)
(14,308)
(2,771)
3,708
18,661
36,364
50,129
53,710
Risk
review
Risk
performance
Treasury
and
Capital
risk
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
81
Contractual
maturity
of
financial
assets
and
liabilities
(audited)
Barclays
Bank
Group
On
demand
Not
more
than
three
months
Over
three
months
but
not
more
than
six
months
Over
six
months
but
not
more
than
nine
months
Over
nine
months
but
not
more
than
one
year
Over
one
year
but
not
more
than
two
years
Over
two
years
but
not
more
than
three
years
Over
three
years
but
not
more
than
five
years
Over
five
years
but
not
more
than
ten
years
Over
ten
years
Total
As
at
31
December
2019
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
Assets
Cash
and
balances
at
central
banks
125,065
766
109
-
-
-
-
-
-
-
125,940
Cash
collateral
and
settlement
balances
2,122
77,361
3
-
-
-
-
-
-
-
79,486
Loans
and
advances
at
amortised
cost
11,396
10,376
9,764
4,513
6,227
17,780
18,460
26,294
14,565
22,261
141,636
Reverse
repurchase
agreements
and
other
similar
secured
lending
13
1,449
-
-
-
77
190
-
-
2
1,731
Trading
portfolio
assets
113,337
-
-
-
-
-
-
-
-
-
113,337
Financial
assets
at
fair
value
through
the
income
statement
14,257
90,292
13,969
3,431
1,150
1,082
313
888
1,803
2,285
129,470
Derivative
financial
instruments
229,460
49
-
-
-
7
21
1
78
25
229,641
Financial
investments
-
-
-
-
-
-
-
-
-
-
-
Financial
assets
at
fair
value
through
other
comprehensive
income
-
3,176
1,672
817
455
3,510
4,305
9,737
17,544
4,190
45,406
Other
financial
assets
307
168
126
-
13
-
-
-
-
-
614
Total
financial
assets
495,957
183,637
25,643
8,761
7,845
22,456
23,289
36,920
33,990
28,763
867,261
Other
assets
9,411
Total
assets
876,672
Liabilities
Deposits
at
amortised
cost
158,218
39,831
7,127
2,291
3,147
1,102
536
530
545
554
213,881
Cash
collateral
and
settlement
balances
3,077
64,592
13
-
-
-
-
-
-
-
67,682
Repurchase
agreements
and
other
similar
secured
borrowing
7
1,489
-
-
-
-
-
470
-
66
2,032
Debt
securities
in
issue
-
12,418
4,601
3,262
3,036
2,989
131
3,444
3,366
289
33,536
Subordinated
liabilities
-
207
834
397
832
7,999
6,836
7,627
4,784
3,909
33,425
Trading
portfolio
liabilities
35,212
-
-
-
-
-
-
-
-
-
35,212
Financial
liabilities
designated
at
fair
value
13,952
128,078
10,890
6,519
3,797
6,968
6,235
7,702
7,127
13,178
204,446
Derivative
financial
instruments
228,338
-
-
8
-
36
41
42
88
387
228,940
Other
financial
liabilities
217
1,388
19
18
16
777
29
86
183
70
2,803
Total
financial
liabilities
439,021
248,003
23,484
12,495
10,828
19,871
13,808
19,901
16,093
18,453
821,957
Other
liabilities
4,100
Total
liabilities
826,057
Cumulative
liquidity
gap
56,936
(7,430)
(5,271)
(9,005)
(11,988)
(9,403)
78
17,097
34,994
45,304
50,615
Expected
maturity
date
may
differ
from
the
contractual
dates,
to
account
for:
◾
Group’s
trading
strategies.
◾
practice,
their
behavioural
maturity
is
typically
longer
than
their
contractual
maturity,
and
therefore
provide
stable
funding
for
the
Barclays
Bank
Group’s
operations
and
liquidity
needs.
◾
may
be
repaid
earlier
in
line
with
terms
and
conditions
of
the
contract.
◾
Risk
review
Risk
performance
Treasury
and
Capital
risk
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
82
Contractual
maturity
of
financial
liabilities
on
an
undiscounted
basis
The
following
table
presents
the
cash
flows
payable
by
the
Barclays
Bank
Group
under
financial
liabilities
by
remaining
contractual
maturities
at
the
balance
sheet
date.
The
amounts
disclosed
in
the
table
are
the
contractual
undiscounted
cash
flows
of
all
financial
liabilities
(i.e.
nominal
values).
The
balances
in
the
below
table
do
not
agree
directly
to
the
balances
in
the
consolidated
balance
sheet
as
the
table
incorporates
all
cash
flows,
on
an
undiscounted
basis,
related
to
both
principal
as
well
as
those
associated
with
all
future
coupon
payments.
Derivative
financial
instruments
held
for
trading
and
trading
portfolio
liabilities
are
included
in
the
on
demand
column
at
their
fair
value.
Contractual
maturity
of
financial
liabilities
-
undiscounted
(audited)
Barclays
Bank
Group
On
demand
Not
more
than
three
months
Over
three
months
but
not
more
than
six
months
Over
six
months
but
not
more
than
one
year
Over
one
year
but
not
more
than
three
years
Over
three
years
but
not
more
than
five
years
Over
five
years
but
not
more
than
ten
years
Over
ten
years
Total
£m
£m
£m
£m
£m
£m
£m
£m
£m
As
at
31
December
2020
Deposits
at
amortised
cost
181,455
39,409
13,975
5,949
1,686
600
1,258
385
244,717
Cash
collateral
and
settlement
balances
1,944
83,605
-
-
-
-
-
-
85,549
Repurchase
agreements
and
other
similar
secured
borrowing
4
2,545
-
-
3,729
4,087
-
154
10,519
Debt
securities
in
issue
-
12,226
3,818
5,629
2,799
2,923
2,098
277
29,770
Subordinated
liabilities
-
3,716
3,342
703
8,845
6,555
6,922
6,500
36,583
Trading
portfolio
liabilities
46,139
-
-
-
-
-
-
-
46,139
Financial
liabilities
designated
at
fair
value
15,555
172,282
8,684
7,998
15,599
8,586
8,369
20,398
257,471
Derivative
financial
instruments
299,637
4
50
-
133
175
190
442
300,631
Other
financial
liabilities
70
2,076
19
39
313
113
227
86
2,943
Total
financial
liabilities
544,804
315,863
29,888
20,318
33,104
23,039
19,064
28,242
1,014,322
As
at
31
December
2019
Deposits
at
amortised
cost
158,218
39,844
7,138
5,457
1,648
532
554
595
213,986
Cash
collateral
and
settlement
balances
3,077
64,614
13
-
-
-
-
-
67,704
Repurchase
agreements
and
other
similar
secured
borrowing
7
1,491
-
-
-
485
-
149
2,132
Debt
securities
in
issue
-
12,473
4,627
6,332
3,229
3,582
3,508
290
34,041
Subordinated
liabilities
-
207
845
1,302
18,750
9,875
6,364
8,617
45,960
Trading
portfolio
liabilities
35,212
-
-
-
-
-
-
-
35,212
Financial
liabilities
designated
at
fair
value
13,952
128,203
11,020
10,597
13,500
8,054
7,519
19,392
212,237
Derivative
financial
instruments
228,338
-
-
8
79
45
99
396
228,965
Other
financial
liabilities
217
1,388
19
34
819
99
197
98
2,871
Total
financial
liabilities
439,021
248,220
23,662
23,730
38,025
22,672
18,241
29,537
843,108
Maturity
of
off-balance
sheet
commitments
received
and
given
The
table
below
presents
the
maturity
split
of
the
Barclays
Bank
Group’s
off-balance
sheet
commitments
received
and
given
at
the
balance
sheet
date.
The
amounts
disclosed
in
the
table
are
the
undiscounted
cash
flows
(i.e.
nominal
values)
on
the
basis
of
earliest
opportunity
at
which
they
are
available.
Risk
review
Risk
performance
Treasury
and
Capital
risk
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
83
Maturity
analysis
of
off-balance
sheet
commitments
received
(audited)
On
demand
Not
more
than
three
months
Over
three
months
but
not
more
than
six
months
Over
six
months
but
not
more
than
nine
months
Over
nine
months
but
not
more
than
one
year
Over
one
year
but
not
more
than
two
years
Over
two
years
but
not
more
than
three
years
Over
three
years
but
not
more
than
five
years
Over
five
years
but
not
more
than
ten
years
Over
ten
years
Total
Barclays
Bank
Group
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
As
at
31
December
2020
Guarantees,
letters
of
credit
and
credit
insurance
6,462
86
37
68
8
18
14
47
40
25
6,805
Other
commitments
received
92
-
-
-
-
-
-
-
-
-
92
Total
off-balance
sheet
commitments
received
6,554
86
37
68
8
18
14
47
40
25
6,897
As
at
31
December
2019
Guarantees,
letters
of
credit
and
credit
insurance
5,205
106
22
81
-
11
12
21
12
34
5,504
Other
commitments
received
91
-
-
2,373
-
-
-
-
-
-
2,464
Total
off
-balance
sheet
commitments
received
5,296
106
22
2,454
-
11
12
21
12
34
7,968
Maturity
analysis
of
off-balance
sheet
commitments
given
(audited)
On
demand
Not
more
than
three
months
Over
three
months
but
not
more
than
six
months
Over
six
months
but
not
more
than
nine
months
Over
nine
months
but
not
more
than
one
year
Over
one
year
but
not
more
than
two
years
Over
two
years
but
not
more
than
three
years
Over
three
years
but
not
more
than
five
years
Over
five
years
but
not
more
than
ten
years
Over
ten
years
Total
Barclays
Bank
Group
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
As
at
31
December
2020
Contingent
liabilities
20,630
213
57
6
1
25
-
-
-
-
20,932
Documentary
credits
and
other
short-term
trade
related
transactions
1,084
1
1
-
-
-
-
-
-
-
1,086
Standby
facilities,
credit
lines
and
other
commitments
262,586
564
93
123
95
49
196
202
21
7
263,936
Total
off-balance
sheet
commitments
given
284,300
778
151
129
96
74
196
202
21
7
285,954
As
at
31
December
2019
Contingent
liabilities
22,836
366
86
125
140
143
42
28
3
8
23,777
Documentary
credits
and
other
short-term
trade
related
transactions
1,287
3
1
-
-
-
-
-
-
-
1,291
Standby
facilities,
credit
lines
and
other
commitments
264,346
1,134
792
973
638
118
98
273
139
225
268,736
Total
off-balance
sheet
commitments
given
288,469
1,503
879
1,098
778
261
140
301
142
233
293,804
Risk
review
Risk
performance
Treasury
and
Capital
risk
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
84
Capital
risk
All
disclosures
in
this
section
(pages
84
to
87)
are
unaudited
unless
otherwise
stated.
Overview
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
2020,
due
to
be
published
on
18
February
2021
and
which
will
be
available
at
home.barclays/investor-relations/reports-and-events/annual-reports.
Under
the
withdrawal
agreement
between
the
UK
and
the
EU,
the
11
-month
transition
period
expired
at
11pm
on
31
December
2020.
Any
references
to
CRR
as
amended
by
CRR
II
mean,
unless
otherwise
specified,
CRR
as
amended
by
CRR
II,
as
it
forms
part
of
UK
law
pursuant
to
the
European
Union
(Withdrawal)
Act
2018
and
subject
to
the
temporary
transitional
powers
(TTP)
available
to
UK
regulators
to
delay
or
phase-in
on-shoring
changes
to
UK
regulatory
requirements
arising
at
the
end
of
the
transition
period
until
31
March
2022,
as
at
the
applicable
reporting
date.
Throughout
the
TTP
period,
the
Bank
of
England
and
PRA
are
expected
to
review
the
UK
legislation
framework
and
any
disclosures
made
by
the
Barclays
Bank
Group
will
be
subject
to
any
resulting
guidance.
Following
its
stated
intention
to
consult,
on
12
February
2021
the
PRA
launched
a
consultation
on
certain
items
within
the
Basel
standards
that
remain
to
be
implemented
in
the
UK
as
well
as
setting
out
proposed
new
PRA
CRR
rules.
The
following
regulatory
updates
formed
part
of
CRR
as
amended
by
CRR
II
prior
to
31
December
2020
and
subsequently
form
part
of
UK
law
as
defined
above.
On
22
April
2020,
the
regulatory
technical
standards
on
prudent
valuation
were
amended
to
include
an
increase
to
diversification
factors
applied
to
certain
additional
valuation
adjustments.
The
amendments
temporarily
reduced
the
additional
value
adjustment
deduction
(PVA)
and
were
applied
until
31
December
2020
inclusive.
On
27
June
2020,
CRR
as
amended
by
CRR
II
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.
Capital
ratios
a,b,c
As
at
31
December
2020
2019
CET1
14.2%
13.9%
Tier
1
(T1)
18.1%
18.1%
Total
regulatory
capital
21.0%
22.1%
Capital
resources
(audited)
2020
2019
As
at
31
December
£m
£m
CET1
capital
25,227
22,080
T1
capital
32,172
28,600
Total
regulatory
capital
37,493
34,955
Total
risk
weighted
assets
(RWAs)
(unaudited)
178,156
158,393
Capital
Requirements
Regulation
(CRR)
leverage
ratio
a,d,e
2020
2019
As
at
31
December
£m
£m
CRR
leverage
ratio
3.9%
3.9%
T1
capital
32,172
28,600
CRR
leverage
exposure
826,371
731,715
Notes
a
Capital,
RWAs
and
leverage
are
calculated
applying
the
transitional
arrangements
of
the
CRR
as
amended
by
CRR
II.
This
includes
IFRS
9
transitional
arrangements
and
the
grandfathering
of
CRR
and
CRR
II
non
-compliant
capital
instruments.
b
The
fully
loaded
CET1
ratio
was
13.6%,
with
£24.1bn
of
CET1
capital
and
£177
.3
bn
of
RWAs,
calculated
without
applying
the
transitional
arrangements
of
the
CRR
as
amended
by
CRR
II.
Risk
review
Risk
performance
Treasury
and
Capital
risk
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
85
c
The
Barclays
PLC
CET1
ratio,
as
is
relevant
for
assessing
against
the
conversion
trigger
in
Barclays
Bank
PLC
7.625%
Contingent
Capital
Notes,
was
15.1%.
For
this
calculation
CET1
capital
and
RWAs
are
calculated
applying
the
transitional
arrangements
under
the
CRR,
as
amended
by
CRR
II,
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.
d
Barclays
Bank
PLC
solo
-consolidated
is
not
subject
to
the
UK
leverage
framework
and
discloses
the
CRR
Leverage
ratio
which
had
no
binding
requirement
as
at
31
December
2020.
Had
the
UK
leverage
rules
been
applied,
which
provides
a
similar
exclusion
on
qualifying
claims
on
central
banks
as
under
CRR
II,
the
31
December
2020
leverage
exposure
would
have
reduced
to
£731.4bn
and
the
leverage
ratio
would
have
increased
to
4.3%.
The
exclusion
for
qualifying
claims
on
central
banks
under
CRR
II
is
subject
to
PRA
approval
for
all
UK
banks
and
as
at
31
December
2020
this
approval
had
not
been
given.
e
The
Financial
Policy
Committee
intends
to
review
the
UK
leverage
framework
in
2021.
Foreign
exchange
risk
(audited)
The
Barclays
Bank
Group
is
exposed
to
two
sources
of
foreign
exchange
risk.
a)
Transactional
foreign
currency
exposure
Transactional
foreign
currency
exposures
represent
exposure
on
banking
assets
and
liabilities,
denominated
in
currencies
other
than
the
functional
currency
of
the
transacting
entity.
The
Barclays
Bank
Group’s
risk
management
policies
are
designed
to
prevent
the
holding
of
significant
open
positions
in
foreign
currencies
outside
the
trading
portfolio
managed
by
Barclays
International
which
is
monitored
through
VaR.
Banking
book
transactional
foreign
exchange
risk
outside
of
Barclays
International
is
monitored
on
a
daily
basis
by
the
market
risk
function
and
minimised
by
the
businesses.
b)
Translational
foreign
exchange
exposure
The
Barclays
Bank
Group
investments
in
overseas
subsidiaries
and
branches
create
capital
resources
denominated
in
foreign
currencies,
principally
USD
and
EUR.
Changes
in
the
GBP
value
of
the
net
investments
due
to
foreign
currency
movements
are
captured
in
the
currency
translation
reserve,
resulting
in
a
movement
in
shareholders’
equity.
Functional
currency
of
operations
(audited)
Foreign
currency
net
investments
Borrowings
which
hedge
the
net
investments
Derivatives
which
hedge
the
net
investments
Structural
currency
exposures
pre-
economic
hedges
Economic
hedges
Remaining
structural
currency
exposures
£m
£m
£m
£m
£m
£m
As
at
31
December
2020
USD
24,262
(4,512)
(764)
18,986
(5,918)
13,068
EUR
5,174
(278)
(3)
4,893
(286)
4,607
JPY
582
-
-
582
-
582
Other
1,596
(42)
(24)
1,530
-
1,530
Total
31,614
(4,832)
(791)
25,991
(6,204)
19,787
As
at
31
December
2019
USD
25,628
(8,073)
(1,111)
16,443
(5,339)
11,104
EUR
2,987
(3)
-
2,984
(1,122)
1,862
JPY
533
-
-
533
-
533
Other
1,741
-
(34)
1,707
-
1,707
Total
30,889
(8,076)
(1,145)
21,667
(6,461)
15,206
Economic
hedges
relate
to
exposures
arising
on
foreign
currency
denominated
preference
share
and
AT1
instruments.
These
instruments
are
accounted
for
at
historical
cost
under
IFRS
and
do
not
qualify
as
hedges
for
accounting
purposes.
The
gain
or
loss
arising
from
changes
in
the
GBP
value
of
these
instruments
is
recognised
on
redemption
in
retained
earnings.
During
2020,
total
structural
currency
exposure
net
of
hedging
instruments
increased
by
£4.6bn
to
£19.8bn
(2019:
£15.2bn).
Foreign
currency
net
investments
increased
by
£0.7bn
to
£31.6bn
(2019:
£30.9bn)
driven
predominantly
by
a
£2.2bn
increase
in
Euro
offset
by
a
£1.4bn
decrease
in
US
dollars
and
£0.1bn
decrease
in
other
currencies.
The
hedges
associated
with
these
foreign
currency
investments
decreased
by
£3.6bn
to
£5.6bn
(2019:
£9.2bn).
Risk
review
Risk
performance
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and
Capital
risk
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
86
0.7%
4.7%
12.2%
23.9%
31.1%
27.5%
0-10
Years
11-20
Years
21-30
Years
31-40
Years
41-50
Years
51
Years
+
Pension
risk
review
The
UK
Retirement
Fund
(UKRF)
represents
approximately
97%
(2019:
97%)
of
the
Barclays
Bank
Group’s
total
retirement
benefit
obligations
globally.
As
such
this
risk
review
section
focuses
exclusively
on
the
UKRF.
The
UKRF
is
closed
to
new
entrants
and
there
is
no
new
final
salary
benefit
being
accrued.
Existing
active
members
accrue
a
combination
of
a
cash
balance
benefit
and
a
defined
contribution
element.
Pension
risk
arises
as
the
market
value
of
the
pension
fund
assets
may
decline,
investment
returns
may
reduce
or
the
estimated
value
of
the
pension
liabilities
may
increase.
Assets
The
Trustee
Board
of
the
UKRF
defines
its
overall
long-term
investment
strategy
with
investments
across
a
broad
range
of
asset
classes.
This
results
in
an
appropriate
mix
of
return
seeking
assets
as
well
as
liability
matching
assets
to
better
match
future
pension
obligations.
The
two
largest
market
risks
within
the
asset
portfolio
relate
to
interest
rates
and
equities.
The
split
of
scheme
assets
is
shown
within
Note
31
to
the
financial
statements.
The
fair
value
of
the
UKRF
assets
was
£33.9bn
as
at
31
December
2020
(2019:
£31.4bn).
Liabilities
The
UKRF
retirement
benefit
obligations
are
a
series
of
future
cash
flows
with
relatively
long
duration.
On
an
IAS
19
basis
these
cash
flows
are
sensitive
to
changes
in
the
expected
long-term
price
inflation
rate
(RPI)
and
the
discount
rate
(GBP
AA
corporate
bond
yield):
◾
◾
Pension
risk
is
generated
through
the
Barclays
Bank
Group’s
defined
benefit
schemes
and
this
risk
is
set
to
reduce
over
time
as
the
main
defined
benefit
scheme
is
closed
to
new
entrants.
The
chart
below
outlines
the
shape
of
the
UKRF’s
liability
cash
flow
profile
as
at
31
December
2020
that
takes
account
of
the
future
inflation
indexing
of
payments
to
beneficiaries.
The
majority
of
the
cash
flows
(approximately
95%)
fall
between
0
and
40
years,
peaking
between
11
and
20
years
and
reducing
thereafter.
The
shape
may
vary
depending
on
changes
to
inflation
and
longevity
expectations
and
any
members
who
elect
to
transfer
out.
Transfers
out
will
bring
forward
the
liability
cash
flows.
For
more
detail
on
the
UKRF’s
financial
and
demographic
valuation
assumptions
see
Note
31
to
the
financial
statements.
Proportion
of
liability
cash
flows
Risk
review
Risk
performance
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and
Capital
risk
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
87
IAS
19
pension
position
in
2019
The
graph
above
shows
the
evolution
of
the
UKRF’s
net
IAS
19
position
over
the
last
two
years.
During
2020
the
reduction
in
the
IAS
19
position
was
driven
by
the
net
effect
of
bank
contributions
and
a
structured
transaction
agreed
between
the
Barclays
Bank
Group
and
the
Trustee
which
deferred
the
regulatory
capital
impact
of
the
contributions
until
2023-2025.
Credit
spreads
tightening
during
the
year
had
a
negative
impact
which
was
broadly
offset
by
changes
in
other
market
levels,
in
particular
equity
prices
and
interest
rates,
and
updates
to
the
discount
rate
methodology
and
demographic
assumptions.
Refer
to
Note
31
to
the
financial
statements
for
the
sensitivity
of
the
UKRF
to
changes
in
key
assumptions
and
further
information
on
the
structured
transaction.
Risk
measurement
In
line
with
the
Barclays
Bank
Group’s
risk
management
framework
the
assets
and
liabilities
of
the
UKRF
are
modelled
within
a
VaR
framework
to
show
the
volatility
of
the
pension
position
at
a
total
portfolio
level.
This
enables
the
risks,
diversification
and
liability
matching
characteristics
of
the
UKRF
obligations
and
investments
to
be
adequately
captured.
VaR
is
measured
and
monitored
on
a
monthly
basis.
Risks
are
reviewed
and
reported
regularly
at
forums
including
the
Barclays
PLC
Board
Risk
Committee,
the
Barclays
Group
Risk
Committee,
the
Pensions
Management
Group
and
the
Pension
Executive
Board.
The
VaR
model
takes
into
account
the
valuation
of
the
liabilities
on
an
IAS
19
basis
(see
Note
31
to
the
financial
statements).
The
Trustee
receives
quarterly
Va
R
measures
on
a
funding
basis.
The
pension
liability
is
also
sensitive
to
post-retirement
mortality
assumptions
which
are
reviewed
regularly
(see
Note
31
to
the
financial
statements
for
more
details).
To
mitigate
part
of
this
risk
the
UKRF
has
entered
into
a
longevity
swap
hedging
approximately
a
quarter
of
current
pensioner
liabilities.
In
addition,
the
impact
of
pension
risk
to
the
Barclays
Bank
Group
is
taken
into
account
as
part
of
the
stress
testing
process.
Stress
testing
is
performed
internally
on
at
least
an
annual
basis.
The
UKRF
exposure
is
also
included
as
part
of
regulatory
stress
tests.
The
Barclays
Bank
Group’s
defined
benefit
pension
schemes
affects
shareholders’
equity
in
two
ways:
◾
IAS19
position
due
to
remeasurements,
including
actuarial
losses,
are
recognised
immediately
through
Other
Comprehensive
Income
and
as
such
impact
shareholders’
equity.
◾
respectively.
Interest
rate
risk
in
the
banking
book
All
disclosures
in
this
section
(pages
87
to
89)
are
unaudited
unless
otherwise
stated.
Overview
The
treasury
and
capital
risk
framework
covers
interest
rate
sensitive
exposures
held
in
the
banking
book,
mostly
relating
to
accrual
accounted
and
FVOCI
instruments.
The
potential
volatility
of
net
interest
income
is
measured
by
an
Annual
Earnings
at
Risk
(AEaR)
metric
which
is
monitored
regularly
and
reported
to
senior
management
and
the
Barclays
Bank
PLC
Board
Risk
Committee
as
part
of
the
limit
monitoring
framework.
Risk
review
Risk
performance
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and
Capital
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Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
88
Summary
of
performance
in
the
period
◾
cuts
and
growth
in
customer
deposit
balances
through
the
year.
The
increase
in
margin
compression
exposure
is
partially
mitigated
by
hedging
and
potential
margin
decompression
benefit
on
variable
rate
loans.
Key
metrics
-£263m
AEaR
across
the
Barclays
Bank
Group
from
a
negative
25bps
shock
to
forward
interest
rate
curves.
Net
interest
income
sensitivity
The
table
below
shows
a
sensitivity
analysis
on
pre-tax
net
interest
income
for
non-traded
financial
assets
and
liabilities,
including
the
effect
of
any
hedging.
NII
sensitivity
uses
the
Annual
Earnings
at
Risk
(AEaR)
metric.
Note
that
this
metric
assumes
an
instantaneous
parallel
change
to
forward
interest
rate
curves.
The
model
does
not
apply
floors
to
shocked
market
rates,
but
does
recognise
contractual
product
specific
interest
rate
floors
where
relevant.
The
main
model
assumptions
are:
(i)
one-year
ahead
time
horizon;
(ii)
balance
sheet
is
held
constant;
(iii)
balances
are
adjusted
for
assumed
behavioural
profiles
(i.e.
considers
that
customers
may
prepay
the
mortgages
before
the
contractual
maturity);
and
(iv)
behavioural
assumptions
are
kept
unchanged
in
all
rate
scenarios.
Net
Interest
Income
sensitivity
(AEaR)
by
currency
(audited)
2020
2019
+25
basis
points
-25
basis
points
+25
basis
points
-25
basis
points
Barclays
Bank
Group
£m
£m
£m
£m
GBP
32
(169)
19
(34)
USD
47
(61)
29
(32)
EUR
9
(32)
(14)
(16)
Other
currencies
(2)
(1)
(9)
8
Total
86
(263)
25
(74)
NII
sensitivity
asymmetry
arises
due
to
the
current
low
interest
rate
levels
as
some
customer
products
have
embedded
floors.
NII
sensitivity
to
a
-25bp
shock
to
rates
has
increased
year
on
year
due
to
additional
margin
compression
exposure
driven
by
central
bank
rate
cuts
and
growth
in
customer
deposit
balances
through
the
year.
NII
Sensitivity
to
a
+25bps
shock
has
increased
year
on
year
primarily
driven
by
the
growth
in
customer
deposit
balances.
Analysis
of
equity
sensitivity
The
analysis
of
equity
sensitivity
table
measures
the
overall
impact
of
a
+/-
25bps
movement
in
interest
rates
on
profit
after
tax,
the
FVOCI
reserve
and
the
cash
flow
hedging
reserve;
encompassing
pension
obligations.
For
non-NII
items
a
DV01
metric
is
used,
which
is
an
indicator
of
the
shift
in
value
for
a
1
basis
point
movement
in
the
yield
curve.
Risk
review
Risk
performance
Treasury
and
Capital
risk
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
89
Analysis
of
equity
sensitivity
(audited)
31
December
2020
31
December
2019
+25
basis
points
-25
basis
points
+25
basis
points
-25
basis
points
Barclays
Bank
Group
£m
£m
£m
£m
Net
interest
income
86
(263)
25
(74)
Taxation
effects
on
the
above
(21)
63
(6)
18
Effect
on
profit
for
the
year
65
(200)
19
(56)
As
percentage
of
net
profit
after
tax
2.7%
(8.2%)
0.7%
(2.0%)
Effect
on
profit
for
the
year
(per
above)
65
(200)
19
(56)
Fair
value
through
other
comprehensive
income
reserve
(417)
433
(295)
303
Cash
flow
hedging
reserve
(554)
554
(497)
497
Taxation
effects
on
the
above
262
(266)
198
(200)
Effect
on
equity
(644)
521
(575)
544
As
percentage
of
equity
(1.2%)
1.0%
(1.1%)
1.1%
Movements
in
the
FVOCI
reserve
impact
CET1
capital.
However,
movements
in
the
pensions
remeasurement
reserve
recognised
in
FVOCI
only
affect
CET1
capital
if
there
is
an
IAS
19
pension
deficit.
Movements
in
the
cash
flow
hedge
reserve
do
not
affect
CET1
capital.
Volatility
of
the
FVOCI
portfolio
in
the
liquidity
pool
Changes
in
value
of
FVOCI
exposures
directly
impact
through
capital
via
the
FVOCI
reserve.
The
volatility
in
the
value
of
the
FVOCI
investments
in
the
liquidity
pool
is
captured
and
managed
through
a
value
measure
rather
than
an
earning
measure,
i.e.
non-traded
market
risk
VaR.
Although
the
underlying
methodology
to
calculate
the
non-traded
VaR
is
identical
to
the
one
used
in
traded
management
VaR,
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.
Analysis
of
volatility
of
the
FVOCI
portfolio
in
the
liquidity
pool
2020
2019
Average
High
Low
Average
High
Low
For
the
year
ended
31
December
£m
£m
£m
£m
£m
£m
Non-traded
market
value
at
risk
(daily,
95%)
47
59
31
42
49
34
Daily
VaR
trended
upwards
in
H1
2020
due
to
an
increase
in
time
series
volatility
caused
by
the
COVID-19
pandemic
stress.
Risk
in
the
liquidity
pool
was
reduced
at
the
start
of
Q320,
which
caused
a
downward
trend
in
daily
VaR,
and
daily
VaR
was
stable
in
Q420.
Risk
review
Risk
performance
Operational
risk
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
90
All
disclosures
in
this
section
on
pages
90
to
92
are
unaudited
unless
otherwise
stated.
Overview
Operational
risks
are
inherent
in
the
Barclays
Bank
Group’s
business
activities
and
it
is
not
cost
effective
or
possible
to
attempt
to
eliminate
all
operational
risks.
The
Operational
Risk
Framework
is
therefore
focused
on
identifying
operational
risks,
assessing
them
and
managing
them
within
the
Barclays
Bank
Group’s
approved
risk
appetite.
The
Operational
Risk
principal
risk
comprises
the
following
risks:
Data
Management
Risk;
Financial
Reporting
Risk;
Fraud
Risk;
Information
Security
Risk,
Operational
Resilience
Planning
Risk,
Payments
Process
Risk;
People
Risk;
Physical
Security
Risk;
Premises
Risk;
Supplier
Risk;
Tax
Risk;
Technology
Risk
and
Transaction
Operations
Risk.
The
operational
risk
profile
is
also
informed
by
a
number
of
risk
themes:
Cyber;
Data;
and
Resilience.
These
themes
represent
threats
to
the
Barclays
Bank
Group
that
extend
across
multiple
risk
types,
and
therefore
require
an
integrated
risk
management
approach.
For
definitions
of
these
risks
refer
to
pages
121
to
122
of
the
Barclays
PLC
Pillar
3
Report
2020.
In
order
to
provide
complete
coverage
of
the
potential
adverse
impacts
on
the
Barclays
Bank
Group
arising
from
operational
risk,
the
operational
risk
taxonomy
extends
beyond
the
risks
listed
above
to
cover
operational
risks
associated
with
other
principal
risks
too.
This
section
provides
an
analysis
of
the
Barclays
Bank
Group’s
operational
risk
profile,
including
events
above
the
Barclays
Bank
Group’s
reportable
threshold,
which
have
had
a
financial
impact
in
2020.
The
Barclays
Bank
Group’s
operational
risk
profile
is
informed
by
bottom-up
risk
assessments
undertaken
by
each
business
unit
and
top-down
qualitative
review
by
the
Operational
Risk
specialists
for
each
risk
type.
Fraud,
Transacti
on
Operations,
Information
Security
and
Technology
continue
to
be
highlighted
as
key
operational
risk
exposures.
For
information
on
conduct
risk
events,
see
the
conduct
risk
section.
Summary
of
performance
in
the
period
During
2020,
total
operational
risk
losses
a
from
1,044
events
recorded
during
the
prior
year.
The
total
operational
risk
losses
for
the
year
were
mainly
driven
by
events
falling
within
the
Execution,
Delivery
&
Process
Management
category,
which
tend
to
be
high
volume
but
low
impact
events.
Key
metrics
70%
of
the
Barclays
Bank
Group’s
net
reportable
operational
risk
events
had
a
loss
value
of
£50,000
or
less
56%
of
events
by
number
are
due
to
Execution,
Delivery
and
Process
Management
86%
of
losses
are
from
events
aligned
to
Execution,
Delivery
and
Process
Management
Operational
risk
profile
Within
operational
risk,
there
are
a
large
number
of
small
value
risk
events.
In
2020,
70%
(2019:
79%)
of
the
Barclays
Bank
Group’s
reportable
operational
risk
events
by
volume
had
a
value
of
less
than
£50,000
each.
Cumulatively,
events
under
this
£50,000
threshold
accounted
for
only
11%
(2019:
12%)
of
the
Barclays
Bank
Group’s
total
net
operational
risk
losses.
A
small
proportion
of
operational
risk
events
have
a
material
impact
on
the
financial
results
of
the
Barclays
Bank
Group.
The
analysis
below
presents
the
Barclays
Bank
Group’s
operational
risk
events
by
Basel
event
category:
Risk
review
Risk
performance
Operational
risk
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
91
Note
a
The
data
disclosed
includes
operational
risk
losses
for
reportable
events
impacting
the
Barclays
Bank
Group
business
areas,
having
impact
of
>
£10,000
and
excludes
Gain
or
Insurance
Recovery
impacts,
events
that
are
Conduct
or
Legal
risk,
aggregate
and
boundary
events.
A
boundary
event
is
an
operational
risk
event
that
results
in
a
credit
risk
impact.
Due
to
the
nature
of
risk
events
that
keep
evolving,
data
for
prior
year
losses
are
updated.
◾
higher
proportion,
86%
of
total
operational
risk
losses
(2019:
69%).
The
events
in
this
category
are
typical
of
the
banking
industry
as
a
whole
where
high
volumes
of
transactions
are
processed
on
a
daily
basis,
mapping
mainly
to
Barclays
Transaction
Operations
risk
type.
The
overall
frequency
of
events
in
this
category
increased
in
2020
to
56%
of
total
events
by
volume
(2019:
41%).
◾
526
in
the
previous
year.
In
this
category,
high
volume,
low
value
events
are
driven
by
transactional
fraud
often
related
to
debit
and
credit
card
usage.
Ratio
of
losses
in
this
category
dropped
to
8%
of
total
2020
losses
(2019:
21%).
◾
to
£6m
(2019:
£11m)
and
volume
of
events
fell
down
to
39
(2019:
76).
Investment
continues
to
be
made
in
improving
the
control
environment
across
the
Barclays
Bank
Group.
Particular
areas
of
focus
include
new
and
enhanced
fraud
prevention
systems
and
tools
to
combat
the
increasing
level
of
fraud
attempts
being
made
and
to
minimise
any
disruption
to
genuine
transactions.
Fraud
remains
an
industry-wide
threat
and
the
Barclays
Bank
Group
continues
to
work
closely
with
external
partners
on
various
prevention
initiatives.
Operational
Resilience
is
and
has
been
a
key
area
of
focus
for
the
Barclays
Bank
Group.
The
COVID-19
pandemic
is
the
most
severe
global
health
emergency
the
World
Health
Organization
(WHO)
has
ever
declared.
Whilst
overall
the
Barclays
Bank
Group
proved
to
be
resilient,
the
COVID-19
pandemic
has
caused
disruption
to
the
Barclays
Bank
Group’s
customers,
suppliers,
and
staff
globally.
The
COVID-19
pandemic
has
reinforced
our
continued
focus
on
resilience
risk.
Due
to
the
COVID-19
pandemic,
the
Barclays
Bank
Group
experienced
operational
disruptions
primarily
during
the
Barclays
Bank
Group’s
and
its
suppliers’
transition
to
a
Work
-from-Home
environment
and
in
response
to
high
market
volatility.
Further,
the
prolonged
nature
of
the
event
identified
the
need
to
enhance
our
resilience
planning
programme
to
improve
our
response
to
similar
events
with
an
extreme
and
prolonged
impact.
Despite
these
issues,
the
early
activation
of
our
Crisis
Leadership
Team
facilitated
swift
and
decisive
actions
to
limit
and
manage
the
impacts
which
resulted
in
normal
risk
exposures
as
reported
above.
For
additional
information
on
the
risk
exposure
due
to
the
COVID-19
pandemic,
see
the
operational
risk
management
section.
Likewise,
operational
risk
associated
with
cyber-security
remains
a
top
focus
for
the
Barclays
Bank
Group.
The
sophistication
of
threat
actors
continues
to
grow
as
noted
by
multiple
external
risk
events
observed
throughout
the
year.
Multiple
ransomware
attacks
across
the
global
Barclays
supplier
base
were
observed
and
we
worked
closely
with
the
affected
suppliers
to
manage
potential
impacts
to
the
Barclays
Bank
Risk
review
Risk
performance
Operational
risk
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
92
Group
and
its
clients
and
customers.
The
Barclays
Bank
Group’s
cyber-security
events
were
managed
within
its
risk
tolerances
and
there
were
limited
to
no
loss
events
associated
with
cyber-security
recorded
within
the
event
categories
above.
For
additional
information
on
the
Barclays
Bank
Group’s
cyber-security
risk
exposure,
see
the
operational
risk
management
section.
For
further
information,
refer
to
the
operational
risk
management
section.
Risk
review
Risk
performance
Model
risk,
Conduct
risk,
Reputation
risk,
Legal
risk
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
93
All
disclosures
in
these
model
risk,
conduct
risk,
reputation
risk
and
legal
risk
sections
on
page
93
are
unaudited
unless
otherwise
stated.
Model
risk
Since
the
inception
of
model
risk
as
a
principal
risk,
key
achievements
to
date
include
creating
a
Barclays
Group-wide
model
inventory,
design
and
roll
out
of
a
robust
Model
Risk
Management
(MRM)
framework
and
the
validation
of
high
materiality
models.
In
2020
the
framework
and
governance
of
model
risk
was
further
improved
by:
◾
infrastructure
by
moving
onto
a
new
strategic
technology
platform,
which
will
enable
future
enhancements
and
automation
of
controls;
◾
achieve
95%
target
for
models
under
governance;
and
◾
establishment
of
dedicated
MRM
forums
which
bring
together
model
developers,
model
owners
and
model
validators.
In
2021
MRM
will
continue
to
focus
on
the
validation
of
low
materiality
models,
further
embedding
of
validation
and
governance
activities
and
on
expanding
the
coverage
of
the
MRM
framework
to
new
model
types.
Conduct
risk
The
Barclays
Bank
Group
is
committed
to
continuing
to
drive
the
right
culture
throughout
all
levels
of
the
organisation.
The
Barclays
Bank
Group
will
continue
to
enhance
effective
management
of
conduct
risk
and
appropriately
consider
the
relevant
tools,
governance
and
management
information
in
decision-making
processes.
Focus
on
management
of
conduct
risk
is
ongoing
and,
alongside
other
relevant
business
and
control
management
information,
the
Barclays
Bank
Group
Conduct
Risk
Dashboards
are
a
key
component
of
this.
The
Barclays
Bank
Group
continues
to
review
the
role
and
impact
of
conduct
risk
events
and
issues
in
remuneration
decisions
at
both
the
individual
and
business
level.
During
2020,
the
COVID-19
pandemic
created
new
risks
and
heightened
existing
ones.
To
date,
the
Barclays
Bank
Group
has
focused
on
managing
the
heightened
inherent
conduct
risks
and
continues
to
monitor
these
as
the
pandemic
continues.
Businesses
have
continued
to
assess
the
potential
customer,
client
and
market
impacts
of
strategic
change.
As
part
of
the
2020
Medium-Term
Planning
Process
and
associated
Strategic
Risk
Assessment,
material
conduct
risks
associated
with
strategic
and
financial
plans
were
assessed.
Throughout
2020,
conduct
risks
were
raised
by
each
business
area
for
consideration
by
the
Barclays
PLC
and
Barclays
Bank
PLC
Board
Risk
Committees.
The
Committees
reviewed
the
risks
raised
and
whether
management’s
proposed
actions
were
appropriate
to
mitigate
the
risks
effectively.
The
Barclays
Bank
Group
continued
to
incur
costs
in
relation
to
litigation
and
conduct
matters,
please
refer
to
Note
25
to
the
financial
statements
(Legal,
competition
and
regulatory
matters)
and
Note
23
to
the
financial
statements
(Provisions),
for
further
details.
Related
costs
include
customer
redress
and
remediation,
as
well
as
fines
and
settlements.
Resolution
of
these
litigation
and
conduct
matters
remains
a
necessary
and
important
part
of
delivering
the
Barclays
Bank
Group’s
strategy
and
an
ongoing
commitment
to
improve
oversight
of
culture
and
conduct.
The
Barclays
Bank
PLC
Board
Risk
Committee
and
senior
management
received
Conduct
Risk
Dashboards
setting
out
key
indicators
in
relation
to
Conduct,
Financial
Crime,
Culture
and
Complaints.
These
continue
to
be
evolved
and
enhanced
to
allow
effective
oversight
and
decision-making.
The
Barclays
Bank
Group
has
operated
at
the
overall
set
tolerance
for
conduct
risk
throughout
2020.
The
tolerance
adherence
is
assessed
by
the
business
through
key
indicators
which
are
aggregated
to
provide
an
overall
risk
profile
rating
and
reported
to
the
Barclays
Bank
PLC
Board
Risk
Committee
as
part
of
the
Conduct
Risk
Dashboard.
The
Barclays
Bank
Group
remains
focused
on
continuous
improvements
being
made
to
manage
risk
effectively
with
an
emphasis
on
enhancing
governance
and
management
information
to
identify
risk
at
earlier
stages.
Reputation
risk
The
Barclays
Bank
Group
is
committed
to
continuing
to
drive
the
right
culture
throughout
all
levels
of
the
organisation.
The
Barclays
Bank
Group
will
continue
to
enhance
effective
management
of
reputation
risk
and
appropriately
consider
the
relevant
tools,
governance
and
management
information
in
decision-making
processes.
The
Barclays
Bank
PLC
Board
considers
reputation
risks
raised
by
businesses.
The
Board
has
also
considered
whether
management’s
proposed
actions
have
been
appropriate
to
mitigate
the
risks
effectively.
The
Barclays
Bank
Group
continued
to
incur
costs
in
relation
to
litigation
and
conduct
matters,
please
refer
to
Note
25
to
the
financial
statements
(Legal,
competition
and
regulatory
matters)
and
Note
23
to
the
financial
statements
(Provisions),
for
further
details.
Related
costs
include
customer
redress
and
remediation,
as
well
as
fines
and
settlements.
Resolution
of
these
litigation
and
conduct
matters
is
an
ongoing
commitment
to
improve
oversight
of
culture
and
conduct
and
management
of
reputation
risks
arising.
The
Barclays
Bank
Group
remains
focused
on
the
continuous
improvements
being
made
to
manage
risk
effectively,
with
an
emphasis
on
enhancing
governance
and
management
information
to
help
identify
risks
at
earlier
stages.
Legal
risk
Summary
of
performance
in
the
period
The
Barclays
Bank
Group
remains
committed
to
continuous
improvements
to
manage
legal
risk
effectively.
A
number
of
enhancements
have
been
implemented
during
2020,
including
a
refresh
of
the
Barclays
Group-wide
legal
risk
management
framework
and
a
review
and
update
of
the
supporting
legal
risk
policies,
legal
risk
tolerances
and
risk
appetite.
Legal
risk
reporting
has
been
enhanced
both
in
terms
of
format
and
content.
There
has
also
been
a
re-write
of
the
Barclays
Group-wide
legal
risk
mandatory
training,
reinforced
by
ongoing
engagement
with
and
education
of
the
Barclays
Group’s
businesses
and
functions
by
Legal
Function
colleagues.
Throughout
2020,
the
Barclays
Bank
Group
has
operated
within
set
tolerances
for
legal
risk.
Tolerance
adherence
is
assessed
through
key
indicators,
which
are
also
used
to
evaluate
the
legal
risk
profile
and
are
reviewed,
at
least
annually,
through
the
relevant
risk
and
control
committees.
Minimum
mandatory
controls
to
manage
legal
risks
are
set
out
in
the
legal
risk
standards
and
are
subject
to
ongoing
monitoring.
Risk
review
Supervision
and
regulation
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
94
Supervision
of
the
Barclays
Bank
Group
The
Barclays
Bank
Group’s
operations,
including
its
overseas
branches,
subsidiaries
and
associates,
are
subject
to
a
large
number
of
rules
and
regulations
that
are
a
condition
for
authorisation
to
conduct
banking
and
financial
services
business
in
each
of
the
jurisdictions
in
which
the
Barclays
Bank
Group
operates.
These
apply
to
business
operations,
impact
financial
returns
and
include
capital,
leverage
and
liquidity
requirements,
authorisation,
registration
and
reporting
requirements,
restrictions
on
certain
activities,
conduct
of
business
regulations
and
many
others.
Regulatory
developments
impact
the
Barclays
Bank
Group
globally.
We
focus
particularly
on
UK,
US
and
EU
regulation
due
to
the
location
of
the
Barclays
Bank
Group’s
principal
areas
of
business.
Regulations
elsewhere
may
also
have
a
significant
impact
on
the
Barclays
Bank
Group
due
to
the
location
of
its
branches,
subsidiaries
and,
in
some
cases,
clients.
For
more
information
on
the
risks
related
to
the
supervision
and
regulation
of
the
Barclays
Bank
Group,
including
regulatory
change,
see
the
material
existing
and
emerging
risk
entitled
‘Regulatory
Change
agenda
and
impact
on
Business
Model’
in
the
Material
existing
and
emerging
risks
section.
Supervision
in
the
UK
In
the
UK,
day-to-day
regulation
and
supervision
of
the
Barclays
Bank
Group
is
divided
between
the
Prudential
Regulation
Authority
(PRA)
(a
division
of
the
Bank
of
England
(BoE))
and
the
Financial
Conduct
Authority
(FCA).
In
addition,
the
Financial
Policy
Committee
(FPC)
of
the
BoE
has
influence
on
the
prudential
requirements
that
may
be
imposed
on
the
banking
system
through
its
powers
of
direction
and
recommendation.
Barclays
Bank
PLC
is
an
authorised
credit
institution
and
subject
to
prudential
supervision
by
the
PRA
and
subject
to
conduct
regulation
and
supervision
by
the
FCA.
The
Barclays
Group
is
also
subject
to
prudential
supervision
by
the
PRA
on
a
group
consolidated
basis.
Barclays
Capital
Securities
Limited
is
authorised
and
supervised
by
the
PRA
as
a
PRA-designated
investment
firm
and
subject
to
conduct
regulation
and
supervision
by
the
FCA.
Barclays
Execution
Services
Limited
is
an
appointed
representative
of
Barclays
Bank
PLC,
Barclays
Bank
UK
PLC
and
Clydesdale
Financial
Services
Limited.
The
Barclays
Group
is
also
subject
to
regulatory
initiatives
undertaken
by
the
UK
Payment
Systems
Regulator
(PSR),
as
a
participant
in
payment
systems
regulated
by
the
PSR.
The
PRA’s
supervision
of
the
Barclays
Group
is
conducted
through
a
variety
of
regulatory
tools,
including
the
collection
of
information
by
way
of
prudential
returns
or
cross-firm
reviews,
reports
obtained
from
skilled
persons,
regular
supervisory
visits
to
firms
and
regular
meetings
with
management
and
directors
to
discuss
issues
such
as
strategy,
governance,
financial
resilience,
operational
resilience,
risk
management,
and
recovery
and
resolution.
Both
the
PRA
and
the
FCA
apply
standards
that
either
anticipate
or
go
beyond
requirements
established
by
global
or
EU
standards,
whether
in
relation
to
capital,
leverage
and
liquidity,
resolvability
and
resolution
or
matters
of
conduct.
The
FCA’s
supervision
of
the
UK
firms
in
the
Barclays
Group
is
carried
out
through
a
combination
of
proactive
engagement,
regular
thematic
work
and
project
work
based
on
the
FCA’s
sector
assessments,
which
analyse
the
different
areas
of
the
market
and
the
risks
that
may
lie
ahead.
The
FCA
and
the
PRA
also
apply
the
Senior
Managers
and
Certification
Regime
(the
SMCR)
which
imposes
a
regulatory
approval,
individual
accountability
and
fitness
and
propriety
framework
in
respect
of
senior
or
key
individuals
within
relevant
firms.
FCA
supervision
has
focused
on
conduct
risk
and
customer/client
outcomes,
including
product
design,
customer
behaviour,
market
operations,
LIBOR
transition,
fair
pricing,
affordability,
access
to
cash,
and
fair
treatment
of
vulnerable
customers.
PRA
supervision
has
focused
on
capital
management,
credit
risk
management,
Board
effectiveness,
operational
resilience
and
resolvability.
Both
the
PRA
and
the
FCA
have
assessed
the
impact
of
COVID-19
and
Brexit
on
UK
financial
markets
and
customers.
Supervision
in
the
EU
The
Barclays
Bank
Group’s
operations
in
Europe
are
authorised
and
regulated
by
a
combination
of
its
home
regulators
and
host
regulators
in
the
European
countries
where
the
Barclays
Bank
Group
operates.
Barclays
Bank
Ireland
PLC
is
licensed
as
a
credit
institution
by
the
Central
Bank
of
Ireland
(CBI)
and
is
designated
as
a
significant
institution
falling
under
direct
supervision
on
a
solo
basis
by
the
European
Central
Bank
(ECB)
for
prudential
purposes.
Barclays
Bank
Ireland
PLC’s
EU
branches
are
supervised
by
the
ECB
and
are
also
subject
to
direct
supervision
for
local
conduct
purposes
by
national
supervisory
authorities
in
the
jurisdictions
where
they
are
established.
Barclays
Bank
Ireland
PLC
is
also
subject
to
supervision
by
the
CBI
as
home
state
or
competent
authority
under
various
EU
financial
services
directives
and
regulations.
Brexit
The
EU-UK
Trade
and
Cooperation
Agreement
(TCA),
which
provides
a
new
economic
and
social
partnership
between
the
EU
and
UK,
came
into
force
provisionally
on
1
January
2021.
The
TCA
does
not
cover
the
provision
of
financial
services
into
the
EU
and
there
is
no
agreement
on
passporting,
equivalence
or
regulatory
cooperation.
Therefore,
UK-based
entities
within
the
Barclays
Group
(such
as
Barclays
Bank
PLC
and
Barclays
Bank
UK
PLC)
are
no
longer
able
to
rely
on
the
EU
passporting
framework
for
the
provision
of
financial
services
to
EU
clients.
Accordingly,
Barclays
Bank
PLC
and
Barclays
Capital
Securities
Limited
have
put
in
place
new
arrangements
in
the
provision
of
cross-border
banking
and
investment
services
to
customers
and
counterparties
in
the
EEA,
including
by
servicing
EEA
clients
through
the
Barclays
Group’s
EEA
hub
(Barclays
Bank
Ireland
PLC).
The
EU
and
the
UK
have
agreed
to
establish
structured
regulatory
cooperation
on
financial
services,
with
the
aim
of
establishing
a
durable
and
stable
relationship,
based
on
a
shared
commitment
to
preserve
financial
stability,
market
integrity,
and
the
protection
of
investors
and
consumers.
The
EU
and
the
UK
have
committed
to
agreeing
a
Memorandum
of
Understanding
setting
out
a
“framework”
for
regulatory
cooperation
in
financial
services
by
March
2021.
We
anticipate
that
consideration
will
be
given
to
equivalence
determinations
as
part
of
the
discussions.
Mutual
equivalence
decisions
between
the
UK
and
EU
relating
to
market
access
would
allow
UK-based
entities
within
the
Barclays
Group
to
offer
a
restricted
number
of
financial
products
and
services
to
customers
and
clients
based
in
the
EEA,
including
permanent
access
to
EU
Risk
review
Supervision
and
regulation
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
95
trading
venues
as
well
as
allowing
EEA
based
clients
to
access
some
UK
originated
products
and
services,
including
permanent
access
to
UK
trading
venues.
However,
the
EU
equivalence
regime
is
very
different
to
benefiting
from
passporting
rights;
the
equivalence
regimes
that
facilitate
access
to
customers
and
clients
based
in
the
EEA
under
EU
law
differ
significantly
in
their
scope,
operation
and
impact.
Equivalence
decisions
do
not
cover
services
to
retail
customers,
for
example.
Under
the
current
framework,
equivalence
decisions
can
be
revoked
at
any
time.
To
date,
the
EU
and
UK
have
only
agreed
a
temporary
position
on
mutual
equivalence
in
relation
to
clearing
and
settlement
(CCPs).
In
addition,
HM
Treasury
has
made
certain
unilateral
equivalence
decisions,
including
under
the
Capital
Requirements
Regulation
(CRR)
and
European
Market
Infrastructure
Regulation
(EMIR).
‘Onshoring’
was
the
process
of
amending
EU
legislation
and
regulatory
requirements
in
the
UK
so
that
they
work
in
a
UK-only
context,
including
directly
applicable
EU
legislation
such
as
EU
regulations
and
decisions
that
form
part
of
UK
law
by
virtue
of
the
European
Union
(Withdrawal)
Act
2018,
now
that
the
Brexit
transition
period
has
ended.
The
onshoring
process
means
that
there
are
some
areas
where
the
requirements
on
UK
firms
and
other
regulated
persons
have
changed.
To
help
UK
firms
adapt
to
their
new
requirements,
HM
Treasury
gave
UK
financial
regulators
the
power
to
make
transitional
provisions
to
financial
services
legislation
for
a
temporary
period.
This
is
known
as
the
Temporary
Transitional
Power
(TTP).
The
FCA
has
applied
the
TTP
on
a
broad
basis
from
the
end
of
the
transition
period
until
31
March
2022.
This
means
UK
firms
and
other
regulated
persons
do
not
generally
need
to
adjust
to
the
changes
to
their
UK
regulatory
obligations
brought
about
by
onshoring
straight
away,
although
there
are
some
exceptions
to
this
and
obligations
which
have
changed
and
which
took
effect
from
1
January
2021
include
reporting
obligations
under
various
EU
financial
services
directives
and
regulations,
certain
requirements
under
the
Market
Abuse
Regulation,
issuer
rules,
contractual
recognition
of
bail-in,
securitisation,
use
of
credit
ratings,
mortgage
lending
after
the
transition
period
against
land
in
the
EEA,
payments
services
and
certain
other
matters.
On
31
December,
the
FCA
published
a
statement
on
its
use
of
the
TTP
to
modify
the
UK’s
derivatives
trading
obligation
(the
UK
DTO).
Without
mutual
equivalence,
some
firms
and
EEA
clients
will
be
caught
by
a
conflict
of
law
between
the
EU
DTO
and
the
UK
DTO.
The
FCA
is
therefore
using
the
TTP
to
modify
the
application
of
the
UK
DTO.
Where
firms
that
are
subject
to
the
UK
DTO
trade
with,
or
on
behalf
of,
EU
clients
that
are
subject
to
the
EU
DTO,
they
will
be
able
to
transact
or
execute
those
trades
on
EU
venues
providing
that:
(i)
firms
take
reasonable
steps
to
be
satisfied
the
client
does
not
have
arrangements
in
place
to
execute
the
trade
on
a
trading
venue
to
which
both
the
UK
and
EU
have
granted
equivalence
(for
example,
a
US
venue
such
as
a
swap
execution
facility);
and
(ii)
the
EU
venue
has
the
necessary
regulatory
status
to
do
business
in
the
UK
(such
venues
include
those
that
are
a
Recognised
Overseas
Investment
Exchange,
have
been
granted
the
relevant
temporary
permission,
or
are
certain
that
they
benefit
from
the
Overseas
Person
Exclusion).
This
modification
of
the
application
of
the
UK
DTO
applies
to
UK
firms,
EU
firms
using
the
UK’s
temporary
permissions
regime,
and
branches
of
overseas
firms
in
the
UK.
Transactions
concluded
by
an
EEA
UCITS
fund
or
an
EEA
AIF
are
currently
outside
the
scope
of
the
UK
DTO.
The
relief
under
the
TTP
does
not
apply
to
trades
with
non-EU
clients,
proprietary
trading
conducted,
for
example,
to
hedge
a
firm’s
own
risk
exposure,
and
trades
between
UK
branches
of
EU
firms.
These
trades
remain
subject
to
the
UK
DTO
and
firms
are
required
to
take
reasonable
steps
to
ensure
compliance
during
Q1
2021.
The
FCA
will
consider
by
31
March
2021
whether
market
or
regulatory
developments
warrant
a
review
of
its
approach.
On
28
December
2020,
the
PRA
published
a
policy
statement
(PS30/20)
on
changes
to
its
rules,
as
well
as
the
use
of
temporary
transitional
directions.
The
PRA’s
transitional
direction
and
the
majority
of
the
provisions
in
the
rulebook
instrument
came
into
force
at
the
end
of
the
transition
period
on
31
December
2020.
The
transitional
direction
delays
onshoring
changes
that
fall
within
the
PRA's
remit.
The
PRA
TTP
will
apply
until
31
March
2022,
unless
otherwise
stated
in
the
direction
or
it
is
varied
or
revoked
before
then.
As
a
result
of
the
onshoring
of
EU
legislation
in
the
UK
and
the
exercise
of
the
TTPs,
UK
firms
in
the
Barclays
Group
are
currently
subject
to
substantially
the
same
rules
and
regulations
as
before
Brexit.
The
UK
intends
to
recast
onshored
EU
legislation
into
PRA
and
FCA
rules
and
to
complete
UK
implementation
of
the
remaining
Basel
III
reforms.
The
regulatory
regimes
for
EU
and
UK
financial
services
may
change
further,
and
temporary
permissions
and
equivalence
decisions
may
expire,
and
not
be
replaced,
which
would
result
in
further
adjustments
to
the
UK
regulatory
landscape.
Supervision
in
the
US
Barclays
PLC,
Barclays
Bank
PLC
and
its
New
York
branch,
and
Barclays
Bank
PLC’s
US
subsidiaries
are
subject
to
a
comprehensive
regulatory
framework
involving
numerous
statutes,
rules
and
regulations
in
the
US.
For
example,
the
Barclays
Bank
Group’s
US
activities
and
operations
are
subject
to
supervision
and
regulation
by
the
Board
of
Governors
of
the
Federal
Reserve
System
(FRB),
as
well
as
additional
supervision,
requirements
and
restrictions
imposed
by
other
federal
and
state
regulators
and
self-regulatory
organisations
(SROs).
In
some
cases,
US
requirements
may
impose
restrictions
on
the
Barclays
Bank
Group’s
global
activities,
in
addition
to
its
activities
in
the
US.
Barclays
PLC,
Barclays
Bank
PLC,
Barclays
US
Holdings
Limited
(BUSHL),
Barclays
US
LLC
(BUSL)
and
Barclays
Group
US
Inc.
(BGUS)
are
regulated
as
bank
holding
companies
(BHCs)
by
the
FRB.
BUSL
is
the
Barclays
Bank
Group’s
top-tier
US
holding
company
that
holds
substantially
all
of
the
Barclays
Bank
Group’s
US
subsidiaries
(including
Barclays
Capital
Inc.
and
Barclays
Bank
Delaware).
BUSL
is
subject
to
requirements
in
respect
of
capital
adequacy,
capital
planning
and
stress
testing,
risk
management
and
governance,
liquidity,
leverage
limits,
large
exposure
limits,
activities
restrictions
and
financial
regulatory
reporting.
Barclays
Bank
PLC’s
New
York
branch
is
also
subject
to
enhanced
prudential
standards
relating
to,
among
other
things,
liquidity
and
risk
management.
Barclays
PLC,
Barclays
Bank
PLC,
BUSHL
and
BUSL
have
elected
to
be
treated
as
financial
holding
companies
(FHCs)
under
the
Bank
Holding
Company
Act
of
1956.
FHC
status
allows
these
entities
to
engage
in
a
variety
of
financial
and
related
activities,
directly
or
through
subsidiaries,
including
underwriting,
dealing
and
market
making
in
securities.
Failure
to
maintain
FHC
status
could
result
in
increasingly
stringent
penalties
and,
ultimately,
in
the
closure
or
cessation
of
certain
operations
in
the
US.
In
addition
to
oversight
by
the
FRB,
Barclays
Bank
PLC’s
New
York
branch
and
many
of
the
Barclays
Bank
Group’s
subsidiaries
are
regulated
by
additional
authorities
based
on
the
location
or
activities
of
those
entities.
The
New
York
branch
of
Barclays
Bank
PLC
is
subject
to
supervision
and
regulation
by
the
New
York
State
Department
of
Financial
Services
(NYSDFS).
Barclays
Bank
Delaware,
a
Delaware
chartered
bank,
is
subject
to
supervision
and
regulation
by
the
Delaware
Office
of
the
State
Bank
Commissioner,
the
Federal
Deposit
Insurance
Corporation
(FDIC),
the
Federal
Reserve
Bank
of
New
York
and
the
Consumer
Financial
Protection
Bureau
(CFPB).
The
deposits
of
Barclays
Bank
Delaware
are
insured
by
the
FDIC.
Barclays
PLC,
Barclays
Bank
PLC,
BUSHL,
BUSL,
and
BGUS
are
required
to
act
as
a
source
of
strength
for
Barclays
Bank
Delaware.
This
could,
among
other
things,
require
these
entities
to
inject
capital
into
Barclays
Bank
Delaware
if
it
fails
to
meet
applicable
regulatory
capital
requirements.
Risk
review
Supervision
and
regulation
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
96
The
Barclays
Bank
Group’s
US
securities
broker/dealer
and
investment
banking
operations,
are
conducted
primarily
through
Barclays
Capital
Inc.,
and
are
also
subject
to
ongoing
supervision
and
regulation
by
the
Securities
and
Exchange
Commission
(SEC),
the
Financial
Industry
Regulatory
Authority
(FINRA)
and
other
government
agencies
and
SROs
under
US
federal
and
state
securities
laws.
The
Barclays
Bank
Group’s
US
futures,
options
and
swaps-related
activities,
including
client
clearing
operations
are
subject
to
ongoing
supervision
and
regulation
by
the
Commodity
Futures
Trading
Commission
(CFTC),
the
National
Futures
Association
and
other
SROs.
Barclays
Bank
PLC
is
also
a
US
registered
swap
dealer
and
is
subject
to
the
FRB
swaps
rules
with
respect
to
margin
and
capital
requirements.
Supervision
in
Asia
Pacific
The
Barclays
Bank
Group’s
operations
in
Asia
Pacific
are
supervised
and
regulated
by
a
broad
range
of
national
banking
and
financial
services
regulators.
Prudential
regulation
Certain
Basel
III
standards
were
implemented
in
EU
law
through
the
Capital
Requirements
Regulation
(CRR)
and
the
Capital
Requirements
Directive
IV
(CRD
IV),
as
amended
by
CRR
II
and
CRD
V.
Under
the
terms
of
the
EU-UK
Withdrawal
Agreement
of
24
January
2020,
Barclays
Bank
PLC
plus
certain
additional
subsidiaries
remained
subject
to
the
EU
regulatory
framework
until
the
end
of
the
transition
period
on
31
December
2020.
Beyond
the
minimum
standards
required
by
CRR,
the
PRA
has
expected
the
Barclays
Group,
in
common
with
other
major
UK
banks
and
building
societies,
to
meet
a
7%
Common
Equity
Tier
1
(CET1)
ratio
at
the
level
of
the
consolidated
group
since
1
January
2016.
Global
systemically
important
banks
(G-SIBs),
such
as
the
Barclays
Group,
are
subject
to
a
number
of
additional
prudential
requirements,
including
the
requirement
to
hold
additional
loss-absorbing
capacity
and
additional
capital
buffers
above
the
level
required
by
Basel
III
standards.
The
level
of
the
G-SIB
buffer
is
set
by
the
Financial
Stability
Board
(FSB)
according
to
a
bank’s
systemic
importance
and
can
range
from
1%
to
3.5%
of
risk-weighted
assets
(RWAs).
The
G-SIB
buffer
must
be
met
with
CET1.
In
November
2020,
the
FSB
published
an
update
to
its
list
of
G-SIBs,
maintaining
the
1.5%
G-SIB
buffer
that
applies
to
the
Barclays
Group.
The
Barclays
Group
is
also
subject
to
a
‘combined
buffer
requirement’
consisting
of
(i)
a
capital
conservation
buffer,
and
(ii)
a
countercyclical
capital
buffer
(CCyB).
The
CCyB
is
based
on
rates
determined
by
the
regulatory
authorities
in
each
jurisdiction
in
which
the
Barclays
Group
maintains
exposures.
In
March
2020,
the
FPC
cut
the
UK
CCyB
rate
to
0%
with
immediate
effect
in
order
to
support
the
supply
of
credit
expected
as
a
result
of
the
COVID-19
pandemic.
The
PRA
requires
UK
firms
to
hold
additional
capital
to
cover
risks
which
the
PRA
assesses
are
not
fully
captured
by
the
Pillar
1
capital
requirement.
The
PRA
sets
this
additional
capital
requirement
(Pillar
2A)
at
least
annually,
derived
from
each
firm's
individual
capital
guidance.
Under
current
PRA
rules,
the
Pillar
2A
must
be
met
with
at
least
56%
CET1
capital
and
no
more
than
25%
tier
2
capital.
In
addition,
the
capital
that
firms
use
to
meet
their
minimum
requirements
(Pillar
1
and
Pillar
2A)
cannot
be
counted
towards
meeting
the
combined
buffer
requirement.
The
PRA
may
also
impose
a
'PRA
buffer'
to
cover
risks
over
a
forward
looking
planning
horizon,
including
with
regard
to
firm-specific
stresses
or
management
and
governance
weaknesses.
If
the
PRA
buffer
is
imposed
on
a
specific
firm,
it
must
be
met
separately
to
the
combined
buffer
requirement,
and
must
be
met
fully
with
CET1
capital.
In
the
US,
in
October
2019,
the
FRB
and
other
US
regulatory
agencies
released
final
rules
to
tailor
the
applicability
of
prudential
requirements
for
large
domestic
US
banking
organisations,
foreign
banking
organisations
and
their
intermediate
holding
companies
(IHCs),
including
BUSL.
BUSL
is
a
“Category
III”
IHC.
BUSL
(and
Barclays
Bank
Delaware)
is
therefore
subject
to
reduced
(calibrated
at
85%)
standardised
liquidity
requirements,
including
the
liquidity
coverage
ratio,
which
has
been
implemented
by
the
US
regulatory
agencies,
and
the
NSFR,
which
will
become
effective
on
1
July
2021.
In
June
2018
and
October
2019,
the
FRB
finalised
rules
regarding
single
counterparty
credit
limits
(SCCL).
The
SCCL
apply
to
the
largest
US
BHCs
and
foreign
banks’
(including
the
Barclays
Bank
Group’s)
US
operations.
The
SCCL
creates
two
separate
limits
for
foreign
banks,
the
first
on
combined
US
operations
(CUSO)
and
the
second
on
the
US
IHC
(BUSL).
The
SCCL
for
US
BHCs,
including
BUSL,
requires
that
exposure
to
an
unaffiliated
counterparty
of
BUSL
not
exceed
25%
of
BUSL’s
tier
1
capital.
With
respect
to
the
CUSO,
the
SCCL
rule
allows
certification
to
the
FRB
that
a
foreign
bank
complies
with
comparable
home
country
regulation.
Barclays
Bank
PLC
is
not
required
to
comply
with
the
CUSO
requirement
until
1
July
2021.
Stress
testing
The
Barclays
Group
and
certain
of
its
members,
including
Barclays
Bank
PLC,
are
subject
to
supervisory
stress
testing
exercises
in
a
number
of
jurisdictions,
designed
to
assess
the
resilience
of
banks
to
adverse
economic
or
financial
developments
and
ensure
that
they
have
robust,
forward-looking
capital
planning
processes
that
account
for
the
risks
associated
with
their
business
profile.
Assessment
by
regulators
is
on
both
a
quantitative
and
qualitative
basis,
the
latter
focusing
on
such
elements
as
data
provision,
stress
testing
capability
including
model
risk
management
and
internal
management
processes
and
controls.
Recovery
and
Resolution
Stabilisation
and
resolution
framework
The
UK
framework
for
recovery
and
resolution
was
established
by
the
Banking
Act
2009,
as
amended.
The
EU
framework
was
established
by
the
2014
Bank
Recovery
and
Resolution
Directive
(BRRD),
as
amended
by
BRRD
II.
The
BoE,
as
the
UK
resolution
authority,
has
the
power
to
resolve
a
UK
financial
institution
that
is
failing
or
likely
to
fail
by
exercising
several
stabilisation
options,
including
transferring
such
institution’s
business
or
securities
to
a
commercial
purchaser
or
a
‘bridge
bank’
owned
by
the
BoE
or
transferring
the
institution
into
temporary
public
ownership.
When
exercising
any
of
its
stabilisation
powers,
the
BoE
must
generally
provide
that
shareholders
bear
first
losses,
followed
by
creditors
in
accordance
with
the
priority
of
their
claims
in
insolvency.
In
order
to
enable
the
exercise
of
its
stabilisation
powers,
the
BoE
may
impose
a
temporary
stay
on
the
rights
of
creditors
to
terminate,
accelerate
or
close
out
contracts,
or
override
events
of
default
or
termination
rights
that
might
otherwise
be
invoked
as
a
result
of
a
resolution
action
and
modify
contractual
arrangements
in
certain
circumstances
(including
a
variation
of
the
terms
of
any
securities).
HM
Treasury
may
also
amend
the
law
for
the
purpose
of
enabling
it
to
use
its
powers
under
this
regime
effectively,
potentially
with
retrospective
effect.
Risk
review
Supervision
and
regulation
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
97
In
addition,
the
BoE
has
the
power
to
permanently
write-down,
or
convert
into
equity,
tier
1
capital
instruments,
tier
2
capital
instruments
and
internal
eligible
liabilities
at
the
point
of
non-viability
of
the
bank.
The
BoE’s
preferred
approach
for
the
resolution
of
the
Barclays
Group
is
a
bail-in
strategy
with
a
single
point
of
entry
at
Barclays
PLC.
Under
such
a
strategy,
Barclays
PLC’s
subsidiaries
would
remain
operational
while
Barclays
PLC’s
capital
instruments
and
eligible
liabilities
would
be
written
down
or
converted
to
equity
in
order
to
recapitalise
the
Barclays
Group
and
allow
for
the
continued
provision
of
services
and
operations
throughout
the
resolution.
The
order
in
which
the
bail-in
tool
is
applied
reflects
the
hierarchy
of
capital
instruments
under
CRD
IV
and
otherwise
respecting
the
hierarchy
of
claims
in
an
ordinary
insolvency.
Accordingly,
the
more
subordinated
the
claim,
the
more
likely
losses
will
be
suffered
by
owners
of
the
claim.
The
PRA
has
made
rules
that
require
authorised
firms
to
draw
up
recovery
plans
and
resolution
packs,
as
required
by
the
BRRD.
Recovery
plans
are
designed
to
outline
credible
actions
that
authorised
firms
could
implement
in
the
event
of
severe
stress
in
order
to
restore
their
business
to
a
stable
and
sustainable
condition.
Removal
of
potential
impediments
to
an
orderly
resolution
of
a
banking
group
or
one
or
more
of
its
subsidiaries
is
considered
as
part
of
the
BoE’s
and
PRA’s
supervisory
strategy
for
each
firm,
and
the
PRA
can
require
firms
to
make
significant
changes
in
order
to
enhance
resolvability.
The
Barclays
Group
currently
provides
the
PRA
with
a
recovery
plan
annually
and
with
a
resolution
pack
as
requested.
In
July
2019,
the
BoE
and
PRA
published
final
policies
on
the
Resolvability
Assessment
Framework
(RAF),
designed
to
increase
transparency
and
accountability
and
clarify
the
responsibilities
on
firms
with
respect
to
resolution.
Firms
are
required
to
develop
capabilities
by
1
January
2022
covering
three
resolvability
outcomes:
(i)
adequate
financial
resources;
(ii)
being
able
to
continue
to
do
business
through
resolution
and
restructuring;
and
(iii)
being
able
to
communicate
and
co-ordinate
within
the
firm
and
with
authorities.
The
first
self-assessment
report
on
these
capabilities
is
expected
to
be
submitted
to
the
PRA/BoE
by
October
2021
with
public
disclosures
by
both
firms
and
the
PRA/BoE
in
June
2022
(and
every
two
years
thereafter).
While
regulators
in
many
jurisdictions
have
indicated
a
preference
for
single
point
of
entry
resolution
for
the
Barclays
Group,
additional
resolution
or
bankruptcy
provisions
may
apply
to
certain
Barclays
Bank
Group
entities
or
branches.
In
the
US,
BUSL
is
subject
to
the
Orderly
Liquidation
Authority
established
by
Title
II
of
the
Dodd-Frank
Act
(DFA),
a
regime
for
the
orderly
liquidation
of
systemically
important
financial
institutions
by
the
FDIC,
as
an
alternative
to
proceedings
under
the
US
Bankruptcy
Code.
In
addition,
the
licensing
authorities
of
Barclays
Bank
PLC
New
York
branch
and
of
Barclays
Bank
Delaware
have
the
authority
to
take
possession
of
the
business
and
property
of
the
applicable
branch
or
entity
they
license
and/or
to
revoke
or
suspend
such
licence.
In
the
US,
Title
I
of
the
DFA,
as
amended,
and
the
implementing
regulations
issued
by
the
FRB
and
the
FDIC
require
each
bank
holding
company
with
assets
of
$250bn
or
more,
including
those
within
the
Barclays
Group,
to
prepare
and
submit
a
plan
for
the
orderly
resolution
of
subsidiaries
and
operations
in
the
event
of
future
material
financial
distress
or
failure.
The
Barclays
Group’s
next
submission
of
the
US
Resolution
Plan
in
respect
of
its
US
operations
will
be
a
“targeted
plan”
due
on
17
December
2021.
Barclays
Bank
Ireland
PLC,
as
a
significant
institution
under
the
Single
Resolution
Mechanism
Regulation
(SRMR),
is
subject
to
the
powers
of
the
Single
Resolution
Board
(SRB)
as
the
Eurozone
resolution
authority.
The
CBI
and
the
ECB
require
Barclays
Bank
Ireland
PLC
to
submit
a
standalone
BRRD-compliant
recovery
plan
on
an
annual
basis.
The
SRB
has
the
power
to
require
data
submissions
specific
to
Barclays
Bank
Ireland
PLC
under
powers
conferred
upon
it
by
the
BRRD
and
the
SRMR.
The
SRB
will
exercise
these
powers
to
determine
the
optimal
resolution
strategy
for
Barclays
Bank
Ireland
PLC
in
the
context
of
the
BoE’s
preferred
resolution
strategy
of
single
point
of
entry
with
bail-in
at
Barclays
PLC.
The
SRB
also
has
the
power
under
the
BRRD
and
the
SRMR
to
develop
a
resolution
plan
for
Barclays
Bank
Ireland
PLC.
TLAC
and
MREL
The
Barclays
Group
is
subject
to
a
Minimum
Requirement
for
own
funds
and
Eligible
Liabilities
(MREL),
which
includes
a
component
reflecting
the
FSB’s
standards
on
total
loss
absorbency
capacity
(TLAC).
The
MREL
requirements
will
be
fully
implemented
by
1
January
2022,
at
which
time
G-SIBs
with
resolution
entities
incorporated
in
the
UK
will
be
required
to
meet
an
MREL
equivalent
to
the
higher
of:
(i)
two
times
the
sum
of
their
Pillar
1
and
Pillar
2A
requirements;
or
(ii)
the
higher
of
two
times
their
leverage
ratio
or
6.75%
of
leverage
exposures.
Internal
MREL
for
operating
subsidiaries
is
subject
to
a
scalar
in
the
75-90%
range
of
the
external
requirement
that
would
apply
to
the
subsidiary
if
it
were
a
resolution
entity.
The
starting
point
for
the
scalar
is
90%
for
ring-
fenced
bank
sub-groups.
Barclays
Bank
Ireland
PLC
is
subject
to
the
SRB’s
MREL
policy,
as
issued
in
May
2020,
in
respect
of
the
internal
MREL
that
it
will
be
required
to
issue
to
Barclays
Bank
Group.
The
SRB’s
current
calibration
of
internal
MREL
for
non-resolution
entities
is
expressed
as
two
ratios
that
have
to
be
met
in
parallel:
(a)
two
times
the
sum
of:
(i)
the
firm’s
Pillar
1
requirement;
(ii)
its
Pillar
2
requirement;
and
(b)
two
times
the
leverage
ratio.
The
SRB’s
policy
does
not
envisage
the
application
of
any
scalar
in
respect
of
the
internal
MREL
requirement.
In
the
US,
the
FRB’s
TLAC
rule
includes
provisions
that
require
BUSL
to
have:
(i)
a
specified
outstanding
amount
of
eligible
long-term
debt;
(ii)
a
specified
outstanding
amount
of
TLAC
(consisting
of
common
and
preferred
equity
regulatory
capital
plus
eligible
long-term
debt);
and
(iii)
a
specified
common
equity
buffer.
In
addition,
the
FRB’s
TLAC
rule
prohibits
BUSL,
for
so
long
as
the
Barclays
Group’s
overall
resolution
plan
treats
BUSL
as
a
non-resolution
entity,
from
issuing
TLAC
to
entities
other
than
those
within
the
Barclays
Group.
Bank
Levy
and
FSCS
The
BRRD
established
a
requirement
for
EU
member
states
to
set
up
a
pre-funded
resolution
financing
arrangement
with
funding
equal
to
1%
of
covered
deposits
by
31
December
2024
to
cover
the
costs
of
bank
resolutions.
The
UK
has
implemented
this
requirement
by
way
of
a
tax
on
the
balance
sheets
of
banks
known
as
the
‘Bank
Levy’.
In
addition,
the
UK
has
a
statutory
compensation
fund
called
the
Financial
Services
Compensation
Scheme
(FSCS),
which
is
funded
by
way
of
annual
levies
on
most
authorised
financial
services
firms.
Structural
reform
In
the
UK,
the
Financial
Services
(Banking
Reform)
Act
2013
put
in
place
a
framework
for
ring-fencing
certain
operations
of
large
banks.
Ring-
fencing
requires,
among
other
things,
the
separation
of
the
retail
and
smaller
deposit-taking
business
activities
of
UK
banks
into
a
legally
distinct,
operationally
separate
and
economically
independent
entity,
which
is
not
permitted
to
undertake
a
range
of
activities.
Risk
review
Supervision
and
regulation
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
98
US
regulation
places
further
substantive
limits
on
the
activities
that
may
be
conducted
by
banks
and
holding
companies,
including
foreign
banking
organisations
such
as
the
Barclays
Group.
The
‘Volcker
Rule’,
which
was
part
of
the
DFA
and
which
came
into
effect
in
the
US
in
2015,
prohibits
banking
entities
from
undertaking
certain
proprietary
trading
activities
and
limits
such
entities’
ability
to
sponsor
or
invest
in
certain
private
equity
funds
and
hedge
funds
(in
each
case
broadly
defined).
As
required
by
the
rule,
the
Barclays
Group
has
developed
and
implemented
an
extensive
compliance
and
monitoring
programme
addressing
proprietary
trading
and
covered
fund
activities
(both
inside
and
outside
of
the
US).
Market
infrastructure
regulation
In
recent
years,
regulators
as
well
as
global-standard
setting
bodies
such
as
the
International
Organisation
of
Securities
Commissions
(IOSCO)
have
focused
on
improving
transparency
and
reducing
risk
in
markets,
particularly
risks
related
to
over-the-counter
(OTC)
transactions.
This
focus
has
resulted
in
a
variety
of
new
regulations
across
the
G20
countries
and
beyond
that
require
or
encourage
on-venue
trading,
clearing,
posting
of
margin
and
disclosure
of
pre-trade
and
post-trade
information.
The
European
Market
Infrastructure
Regulation
(EMIR)
has
introduced
requirements
designed
to
improve
transparency
and
reduce
the
risks
associated
with
the
derivatives
market.
EMIR
has
potential
operational
and
financial
impacts
on
the
Barclays
Group,
including
by
imposing
new
collateral
requirements.
Over
the
coming
months
alterations
to
the
existing
derivative
margin
rules
are
expected
to
be
finalised.
The
Markets
in
Financial
Instruments
Directive
and
Markets
in
Financial
Instruments
Regulation
(collectively
referred
to
as
MiFID
II)
have
affected
many
of
the
markets
in
which
the
Barclays
Group
operates,
the
instruments
in
which
it
trades
and
the
way
it
transacts
with
market
counterparties
and
other
customers.
MiFID
II
is
currently
undergoing
a
review
process,
including
as
part
of
the
EU’s
ongoing
focus
on
the
development
of
a
stronger
Capital
Markets
Union.
The
EU
Regulation
on
Sustainability-Related
Disclosures
introduces
disclosure
obligations
requiring
financial
institutions
to
explain
how
they
integrate
environmental,
social
and
governance
factors
in
their
investment
decisions
for
certain
financial
products.
In
addition,
the
EU
Taxonomy
Regulation
provides
for
a
general
framework
for
the
development
of
an
EU-wide
classification
system
for
environmentally
sustainable
economic
activities.
Finally,
the
UK
and
EU
regulators
are
consulting
on,
amongst
other
things,
proposals
for
regulatory
measures
to
enhance
climate
and
environmental
disclosures
and
climate
risk
assessments,
which
will
have
an
impact
on
the
Barclays
Bank
Group’s
existing
practices
in
these
areas.
The
EU
Benchmarks
Regulation
applies
to
the
administration,
contribution
and
use
of
benchmarks
within
the
EU.
Financial
institutions
within
the
EU
are
prohibited
from
using
benchmarks
unless
their
administrators
are
authorised,
registered
or
otherwise
recognised
in
the
EU,
subject
to
transitional
provisions
expiring
on
1
January
2022
(or
31
December
2022
under
the
UK
onshored
Benchmarks
Regulation).
Amendments
to
extend
these
provisions
are
underway
for
both
the
EU
and
UK
Benchmarks
Regulations.
The
FCA
has
stated
that
it
does
not
intend
to
support
LIBOR
after
the
end
of
2021.
International
initiatives
in
conjunction
with
global
regulators
are
therefore
underway
to
develop
alternative
benchmarks
and
risk-free
rate
fallback
arrangements,
including
updates
to
existing,
as
well
as
new,
applicable
legislation.
US
regulators
have
imposed
similar
rules
as
the
EU
with
respect
to
the
mandatory
on-venue
trading
and
clearing
of
certain
derivatives,
and
post-trade
transparency,
as
well
as
in
relation
to
the
margining
of
OTC
derivatives.
US
regulators
have
finalised
certain
aspects
of
their
rules
with
respect
to
their
application
on
a
cross-border
basis,
including
with
respect
to
their
registration
requirements
in
relation
to
non-US
swap
dealers
and
security-based
swap
dealers.
The
regulators
may
adopt
further
rules,
or
provide
further
guidance,
regarding
cross-border
applicability.
In
December
2017,
the
CFTC
and
the
European
Commission
recognised
the
trading
venues
of
each
other’s
jurisdiction
to
allow
market
participants
to
comply
with
mandatory
on-venue
trading
requirements
while
trading
on
certain
venues
recognised
by
the
other
jurisdiction.
In
November
2020,
the
CFTC
extended
temporary
relief
that
would
permit
trading
venues
and
market
participants
located
in
the
UK
to
continue
to
rely
on
this
mutual
recognition
framework
following
the
withdrawal
of
the
UK
from
the
EU.
Certain
participants
in
US
swap
markets
are
required
to
register
with
the
CFTC
as
‘swap
dealers’
or
‘major
swap
participants’
and/or,
beginning
in
November
2021,
with
the
SEC
as
‘security-based
swap
dealers’
or
‘major
security-based
swap
participants’.
Such
registrants
are
subject
to
CFTC,
and
will
be
subject
to
SEC,
regulation
and
oversight.
Entities
required
to
register
as
swap
dealers
are
subject
to
business
conduct,
record-keeping
and
reporting
requirements
under
CFTC
rules.
Barclays
Bank
PLC
is
subject
to
regulation
by
the
FRB,
and
has
provisionally
registered
with
the
CFTC
as
a
swap
dealer.
Accordingly,
Barclays
Bank
PLC
is
subject
to
CFTC
rules
on
business
conduct,
record-keeping
and
reporting
and
to
FRB
rules
on
capital
and
margin.
The
CFTC
has
approved
certain
comparability
determinations
that
permit
substituted
compliance
with
non-US
regulatory
regimes
for
certain
swap
regulations.
Substituted
compliance
is
permitted
for
certain
transaction-level
requirements,
where
applicable,
only
with
respect
to
transactions
between
a
non-US
swap
dealer
and
a
non-US
counterparty,
whereas
entity-level
determinations
generally
apply
on
an
entity-wide
basis
regardless
of
counterparty
status.
In
November
2020,
the
CFTC
extended
temporary
relief
that
would
permit
swap
dealers
located
in
the
UK
to
continue
to
rely
on
existing
CFTC
substituted
compliance
determinations
with
respect
to
EU
requirements
in
the
event
of
a
withdrawal
of
the
UK
from
the
EU.
In
addition,
the
CFTC
has
issued
guidance
that
would
require
a
non-US
swap
dealer
to
comply
with
certain
CFTC
rules
in
connection
with
transactions
that
are
“arranged,
negotiated
or
executed”
from
the
US.
The
CFTC
has
provided
temporary
no-action
relief
from
application
of
the
guidance.
In
July
2020
the
CFTC
adopted
rules
that,
for
certain
CFTC
requirements,
codify
on
a
permanent
basis,
the
temporary
no-action
relief
for
transactions
that
are
arranged,
negotiated
or
executed
in
the
US.
The
final
rules
also
codify
certain
aspects
of
the
CFTC’s
current
cross-border
framework
with
respect
to
internal
and
external
business
conduct
requirements,
and
it
is
expected
that
the
CFTC
will
introduce
additional
rules
addressing
the
application
of
the
cross-border
framework
to
mandatory
clearing,
trading
and
reporting
requirements.
In
October
2017,
the
CFTC
issued
an
order
permitting
substituted
compliance
with
EU
margin
rules
for
certain
uncleared
derivatives.
However,
as
the
Barclays
Bank
Group
is
subject
to
the
margin
rules
of
the
FRB,
it
will
not
benefit
from
the
CFTC’s
action
unless
the
FRB
takes
a
similar
approach.
The
SEC
has
finalised
the
rules
governing
security
based
swap
dealer
registration
in
2015,
and
registration
of
security-based
swap
dealers,
as
well
as
compliance
with
applicable
security
based
swap
dealer
requirements,
is
expected
to
begin
in
November
2021.
It
is
anticipated
that
Barclays
Bank
PLC
and/or
one
or
more
of
its
affiliates
will
be
required
to
register
as
a
security-based
swap
dealer
and
will
be
required
to
comply
with
the
SEC’s
rules
for
security-based
swap
dealers.
These
rules
may
impose
costs
and
other
requirements
or
restrictions
that
could
impact
our
business.
As
with
similar
CFTC
rules,
it
is
expected
that
substituted
compliance
will
be
available
for
certain
security-based
swap
dealer
requirements;
however,
the
SEC
is
currently
considering
applications
for
substituted
compliance
but
has
only
issued
a
final
comparability
determination
for
Germany,
and
the
ultimate
scope
and
applicability
of
other
determinations,
including
in
respect
of
the
UK,
remains
unclear.
Risk
review
Supervision
and
regulation
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
99
Other
regulation
Culture
Our
regulators
have
enhanced
their
focus
on
the
promotion
of
cultural
values
as
a
key
area
for
banks,
although
they
generally
view
the
responsibility
for
reforming
culture
as
primarily
sitting
with
the
industry.
Data
protection
and
PSD2
Most
countries
where
Barclays
Group
operates
have
comprehensive
laws
requiring
openness
and
transparency
about
the
collection
and
use
of
personal
information,
and
protection
against
loss
and
unauthorised
or
improper
access.
The
EU’s
General
Data
Protection
Regulation
(GDPR)
created
a
broadly
harmonised
privacy
regime
across
EU
member
states,
introducing
mandatory
breach
notification,
enhanced
individual
rights,
a
need
to
openly
demonstrate
compliance,
and
significant
penalties
for
breaches.
The
extraterritorial
effect
of
the
GDPR
means
entities
established
outside
the
EU
may
fall
within
the
Regulation’s
ambit
when
offering
goods
or
services
to
European
based
customers
or
clients.
Following
the
UK’s
withdrawal
from
the
EU,
the
UK
continues
to
apply
the
GDPR
framework
(as
onshored
into
UK
law
and
hence
now
referred
to
as
the
‘UK
GDPR’
-
this
sits
alongside
an
amended
version
of
the
UK
Data
Protection
Act
2018).
Two
years
after
its
introduction
the
GDPR
has
become
the
global
touchstone
as
countries
around
the
world
either
usher
in
or
contemplate
similar
data
privacy
laws,
or
align
their
existing
legislation.
During
2020
new
privacy
laws
have
been
passed
in
Switzerland,
took
effect
in
Brazil
and
Dubai,
and
were
proposed
in
India
and
China.
In
the
US,
Barclays
US
Consumer
Bank
is
subject
to
the
US
Federal
Gramm-Leach-Bliley
Act
(GLBA)
and
the
California
Consumer
Privacy
Act
of
2018,
which
came
into
effect
on
1
January
2020
(CCPA).
The
GLBA
limits
the
use
and
disclosure
of
non-public
personal
information
to
non-
affiliated
third
parties
and
requires
financial
institutions
to
provide
written
notice
of
their
privacy
policies
and
practices.
Any
violations
of
the
GLBA
could
subject
the
US
Consumer
Bank
to
additional
reporting
requirements
or
regulatory
investigation
or
audits
by
the
financial
regulators.
The
CCPA
only
applies
to
personal
information
that
is
not
collected,
processed,
sold
or
disclosed
pursuant
to
the
GLBA,
and
it
requires
the
US
Consumer
Bank
to
provide
California
consumers
with
additional
disclosures
regarding
the
collection,
use
and
sharing
of
personal
information,
and
grants
California
consumers
access,
deletion,
and
other
rights
with
respect
to
their
personal
information.
The
CCPA
subjects
the
US
Consumer
Bank
to
enforcement
penalties
by
the
Attorney
General
of
the
State
of
California,
and
grants
a
private
right
of
action
with
respect
to
certain
data
breaches.
From
14
September
2019,
new
rules
apply
under
the
revised
Payment
Services
Directive
(PSD2)
that
affect
the
way
banks
and
other
payment
services
providers
check
that
the
person
requesting
access
to
an
account
or
trying
to
make
a
payment
is
permitted
to
do
so.
This
is
referred
to
as
strong
customer
authentication
(SCA).
In
April
2020,
the
FCA
provided
an
additional
six
months
(to
14
September
2021)
for
the
industry
to
implement
SCA
for
e-commerce.
Cyber
security
and
operational
resilience
Regulators
in
the
UK,
the
EU
and
the
US
continue
to
focus
on
cyber
security
risk
management,
organisational
operational
resilience
and
overall
soundness
across
all
financial
services
firms,
with
customer
and
market
expectations
of
continuous
access
to
financial
services
at
an
all-time
high.
This
is
evidenced
by
the
publication
of
a
number
of
proposed
laws
and
changes
to
regulatory
frameworks.
For
example,
the
UK
regulators
published
for
consultation
a
new
framework
for
operational
resilience
that
focuses
on
the
identification
of
important
business
services,
setting
impact
tolerances
for
them,
and
then
testing
against
them.
The
European
Commission
has
proposed
legislation
on
cyber
security
and
operational
resilience
for
the
financial
services
sector,
including
oversight
of
third
party
service
providers.
The
regulatory
focus
has
been
further
heightened
by
the
COVID-19
pandemic.
The
existing
and
anticipated
requirements
for
increased
controls
will
serve
to
improve
industry
standardisation
and
resilience
capabilities,
enhancing
our
ability
to
deliver
services
during
periods
of
potential
disruption.
However,
such
measures
are
likely
to
result
in
increased
technology
and
compliance
costs
for
the
Barclays
Bank
Group.
Sanctions
and
financial
crime
The
UK
Bribery
Act
2010
introduced
a
new
form
of
corporate
criminal
liability
focused
broadly
on
a
company’s
failure
to
prevent
bribery
on
its
behalf.
The
Criminal
Finances
Act
2017
introduced
new
corporate
criminal
offences
of
failing
to
prevent
the
facilitation
of
UK
and
overseas
tax
evasion.
Both
pieces
of
legislation
have
broad
application
and
in
certain
circumstances
may
have
extraterritorial
impact
on
entities,
persons
or
activities
located
outside
the
UK,
including
Barclays
PLC’s
subsidiaries
outside
the
UK.
The
UK
Bribery
Act
requires
the
Barclays
Bank
Group
to
have
adequate
procedures
to
prevent
bribery
which,
due
to
the
extraterritorial
nature
of
the
Act,
makes
this
both
complex
and
costly.
Additionally,
the
Criminal
Finances
Act
requires
the
Barclays
Group
to
have
reasonable
prevention
procedures
in
place
to
prevent
the
criminal
facilitation
of
tax
evasion
by
persons
acting
for,
or
on
behalf
of,
the
Barclays
Group.
In
May
2018,
the
Sanctions
and
Anti-Money
Laundering
Act
became
law
in
the
UK.
The
Act
allows
for
the
adoption
of
an
autonomous
UK
sanctions
regime,
as
well
as
a
more
flexible
licensing
regime
post-Brexit.
On
6
July
2020,
the
UK
Government
announced
the
first
sanctions
that
have
been
implemented
independently
by
the
UK
outside
the
auspices
of
the
UN
and
EU.
The
autonomous
UK
sanctions
regime
came
into
force
on
1
January
2021.
Those
sanctions
apply
within
the
UK
and
in
relation
to
the
conduct
of
all
UK
persons
wherever
they
are
in
the
world;
they
also
apply
to
overseas
branches
of
UK
companies.
In
the
US,
the
Bank
Secrecy
Act,
the
USA
PATRIOT
Act
2001,
the
Anti-Money
Laundering
Act
of
2020
and
regulations
thereunder
contain
numerous
anti-money
laundering
and
anti-terrorist
financing
requirements
for
financial
institutions.
In
addition,
the
Barclays
Bank
Group
is
subject
to
the
US
Foreign
Corrupt
Practices
Act,
which
prohibits,
among
other
things,
corrupt
payments
to
foreign
government
officials.
It
is
also
subject
to
various
economic
sanctions
laws,
regulations
and
executive
orders
administered
by
the
US
government,
which
prohibit
or
restrict
some
or
all
business
activities
and
other
dealings
with
or
involving
certain
individuals,
entities,
groups,
countries
and
territories.
In
some
cases,
US
state
and
federal
regulations
addressing
sanctions,
money
laundering
and
other
financial
crimes
may
impact
entities,
persons
or
activities
located
or
undertaken
outside
the
US,
including
Barclays
PLC
and
its
subsidiaries.
US
government
authorities
have
aggressively
enforced
these
laws
against
financial
institutions
in
recent
years.
Failure
of
a
financial
institution
to
ensure
compliance
with
such
laws
could
have
serious
legal,
financial
and
reputational
consequences
for
the
institution.
Financial
statements
Contents
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
100
Detailed
analysis
of
our
consolidated
financial
statements
,
independently
audited
and
providing
in-depth
disclosure
on
the
financial
performance
of
Barclays
Bank
Group.
Consolidated
financial
statements
Page
Note
◾
101
n/a
◾
105
n/a
◾
106
n/a
◾
107
n/a
◾
108
n/a
◾
110
n/a
Notes
to
the
financial
statements
◾
112
1
Performance/return
◾
116
2
◾
117
3
◾
118
4
◾
120
5
◾
121
6
◾
121
7
◾
125
8
◾
125
9
◾
128
10
Assets
and
liabilities
held
at
fair
value
◾
130
11
◾
130
12
◾
131
13
◾
139
14
◾
140
15
◾
140
16
◾
151
17
Assets
at
amortised
cost
and
other
◾
153
18
investments
◾
153
19
◾
154
20
◾
156
21
Accruals,
provisions,
contingent
◾
160
22
liabilities
and
legal
proceedings
◾
160
23
◾
160
24
◾
161
25
Capital
instruments,
equity
and
◾
166
26
reserves
◾
169
27
◾
171
28
Employee
benefits
◾
173
29
◾
173
30
◾
175
31
Scope
of
consolidation
◾
181
32
◾
182
33
◾
185
34
◾
185
35
◾
186
36
Other
disclosure
matters
◾
189
37
◾
191
38
◾
192
39
◾
193
40
Report
of
Independent
Registered
Public
Accounting
Firm
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
101
Report
of
Independent
Registered
Public
Accounting
Firm
To
the
Shareholders
and
Board
of
Directors
Barclays
Bank
PLC:
Opinion
on
the
Consolidated
Financial
Statements
We
have
audited
the
accompanying
consolidated
balance
sheets
of
Barclays
Bank
PLC
and
subsidiaries
(the
Company)
as
of
December
31,
2020
and
2019,
the
related
consolidated
income
statements,
consolidated
statements
of
comprehensive
income,
consolidated
statements
of
changes
in
equity,
and
consolidated
cash
flows
statements
for
each
of
the
years
in
the
three-year
period
ended
December
31,
2020
and
the
related
notes
and
specific
disclosures
described
in
Note
1
of
the
consolidated
financial
statements
as
being
part
of
the
consolidated
financial
statements
(collectively,
the
consolidated
financial
statements).
In
our
opinion,
the
consolidated
financial
statements
present
fairly,
in
all
material
respects,
the
financial
position
of
the
Company
as
of
December
31,
2020
and
2019,
and
the
results
of
its
operations
and
its
cash
flows
for
each
of
the
years
in
the
three-year
period
ended
December
31,
2020,
in
conformity
with
International
Financial
Reporting
Standards,
as
issued
by
the
International
Accounting
Standards
Board.
Basis
for
Opinion
These
consolidated
financial
statements
are
the
responsibility
of
the
Company’s
management.
Our
responsibility
is
to
express
an
opinion
on
these
consolidated
financial
statements
based
on
our
audits.
We
are
a
public
accounting
firm
registered
with
the
Public
Company
Accounting
Oversight
Board
(United
States)
(PCAOB)
and
are
required
to
be
independent
with
respect
to
the
Company
in
accordance
with
the
U.S.
federal
securities
laws
and
the
applicable
rules
and
regulations
of
the
Securities
and
Exchange
Commission
and
the
PCAOB.
We
conducted
our
audits
in
accordance
with
the
standards
of
the
PCAOB.
Those
standards
require
that
we
plan
and
perform
the
audit
to
obtain
reasonable
assurance
about
whether
the
consolidated
financial
statements
are
free
of
material
misstatement,
whether
due
to
error
or
fraud.
The
Company
is
not
required
to
have,
nor
were
we
engaged
to
perform,
an
audit
of
its
internal
control
over
financial
reporting.
As
part
of
our
audits,
we
are
required
to
obtain
an
understanding
of
internal
control
over
financial
reporting
but
not
for
the
purpose
of
expressing
an
opinion
on
the
effectiveness
of
the
Company’s
internal
control
over
financial
reporting.
Accordingly,
we
express
no
such
opinion.
Our
audits
included
performing
procedures
to
assess
the
risks
of
material
misstatement
of
the
consolidated
financial
statements,
whether
due
to
error
or
fraud,
and
performing
procedures
that
respond
to
those
risks.
Such
procedures
included
examining,
on
a
test
basis,
evidence
regarding
the
amounts
and
disclosures
in
the
consolidated
financial
statements.
Our
audits
also
included
evaluating
the
accounting
principles
used
and
significant
estimates
made
by
management,
as
well
as
evaluating
the
overall
presentation
of
the
consolidated
financial
statements.
We
believe
that
our
audits
provide
a
reasonable
basis
for
our
opinion.
Critical
Audit
Matters
The
critical
audit
matters
communicated
below
are
matters
arising
from
the
current
period
audit
of
the
consolidated
financial
statements
that
were
communicated
or
required
to
be
communicated
to
the
audit
committee
and
that:
(1)
relate
to
accounts
or
disclosures
that
are
material
to
the
consolidated
financial
statements
and
(2)
involved
our
especially
challenging,
subjective,
or
complex
judgments.
The
communication
of
critical
audit
matters
does
not
alter
in
any
way
our
opinion
on
the
consolidated
financial
statements,
taken
as
a
whole,
and
we
are
not,
by
communicating
the
critical
audit
matters
below,
providing
separate
opinions
on
the
critical
audit
m
atters
or
on
the
accounts
or
disclosures
to
which
they
relate.
Impairment
allowance
for
loans
and
advances
at
amortized
cost,
including
off-balance
sheet
elements
of
the
allowance
As
discussed
in
the
credit
risk
disclosures
on
pages
47
to
75,
the
Company’s
impairment
allowance
for
loans
and
advances,
including
off-
balance
sheet
elements
at
amortized
cost
was
£5.8bn
as
at
31
December
2020.
We
identified
the
assessment
of
impairment
allowance
for
loans
and
advances
at
amortized
cost,
including
off
-balance
sheet
elements
as
a
critical
audit
matter.
A
high
degree
of
audit
effort,
including
specialized
skills
and
knowledge,
was
required
because
it
involved
significant
measurement
uncertainty.
Specifically,
complex
and
subjective
auditor
judgement
was
required
to
assess
the
following:
◾
Credit
Losses
(“ECL”)
due
to
the
inherently
judgmental
nature
of
the
underlying
models,
namely
the
IFRS
9
Probability
of
Default
(“PD”),
the
Loss
Given
Default
(“LGD”),
the
Probability
of
Survival
(“PS”)
and
the
Exposure
at
Default
(“EAD”).
The
IFRS
9
PD
and
revolving
PS
models
Report
of
Independent
Registered
Public
Accounting
Firm
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
102
are
the
key
drivers
of
complexity
in
the
Company’s
calculation
of
impairment
allowance
for
loans
and
advances
at
amortized
cost,
including
off
-balance
sheet
elements,
and
also
impact
the
staging
of
assets;
◾
the
Company
and
the
probability
weightings
applied
to
them,
especially
when
considering
the
uncertain
economic
environment;
and,
◾
balance
sheet
elements
are
raised
by
the
Company
to
address
known
model
limitations
or
emerging
trends
as
well
as
risks
not
captured
by
models.
These
adjustments
represent
approximately
16.0%
of
the
impairment
allowance
for
loans
and
advances
at
amortized
cost,
including
off-balance
sheet
elements.
Complex
and
subjective
auditor
judgement
was
applied
in
assessing
qualitative
adjustments
to
the
model-driven
impairment
allowance
due
to
the
inherent
estimation
uncertainty
associated
with
these
adjustments,
especially
in
relation
to
adjustments
introduced
to
respond
to
the
impact
of
economic
uncertainty.
In
addition,
auditor
judgement
was
required
to
evaluate
the
sufficiency
of
audit
evidence
obtained.
The
following
are
the
primary
procedures
we
performed
to
address
this
critical
audit
matter.
◾
impairment
allowance
for
loans
and
advances
at
amortized
cost,
including
off
-balance
sheet
elements.
This
included
controls
relating
to
the
(1)
application
of
the
staging
criteria,
(2)
model
validation,
implementation
and
monitoring,
(3)
authorization
and
calculation
of
qualitative
adjustments
and
management
overlays,
and
(4)
selection
and
implementation
of
economic
variables
and
the
controls
over
the
economic
scenario
selection
and
probabilities.
◾
o
o
assess
its
consistency
with
the
Company’s
approved
staging
criteria
and
the
output
of
the
model;
o
model
code)
were
appropriate
by
assessing
the
updated
model
methodology
against
the
applicable
accounting
standard;
o
evaluating
the
model
output
for
a
selection
of
models
by
inspecting
the
corresponding
model
functionality
and
independently
implementing
the
model
by
rebuilding
the
model
code
and
comparing
our
independent
output
with
management’s
output;
and
o
results
and
evaluating
the
resulting
differences.
◾
o
weightings
applied
to
them;
o
o
and
o
calculation
based
on
external
sources.
We
evaluated
the
collective
results
of
the
procedures
performed
to
assess
the
sufficiency
of
the
audit
evidence
obtained
related
to
the
Company’s
impairment
allowance
for
loans
and
advances
at
amortized
cost,
including
off-balance
sheet
elements
of
the
allowance.
Valuation
of
certain
difficult-to-value
financial
instruments
recorded
at
fair
value
As
discussed
in
Note
16
to
the
Company’s
consolidated
financial
statements,
the
balance
of
financial
assets
and
liabilities
recorded
at
fair
value
as
at
December
31,
2020
was
£654.0bn
and
£596.3bn,
respectively.
Of
these
amounts,
Level
3
assets
(£10.9bn)
and
liabilities
(£6.6bn)
represented
1.7%
of
the
Company’s
financial
assets
carried
at
fair
value
and
1.1%
of
the
Company’s
financial
liabilities
carried
at
fair
value.
The
Report
of
Independent
Registered
Public
Accounting
Firm
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
103
Company
has
Level
2
financial
assets
at
fair
value
of
£556.8bn
and
financial
liabilities
at
fair
value
of
£557.5bn.
Included
in
these
amounts
are
certain
difficult-to-value
fair
value
financial
instruments
for
which
the
Company
is
required
to
apply
valuation
techniques
which
often
involve
the
exercise
of
significant
judgment
and
the
use
of
assumptions
and
valuation
models.
We
identified
the
valuation
of
certain
difficult
-to-value
financial
instruments
recorded
at
fair
value
as
a
critical
audit
matter.
This
is
because
there
was
significant
measurement
uncertainty
associated
with
the
fair
value
estimates
of
these
instruments
and
subjective
auditor
judgment
was
required
to
evaluate
pricing
data
inputs,
valuation
models
and
fair
value
adjustments
(“FVA”),
including
portfolio-level
FVAs
related
to
credit
and
funding
(commonly
referred
to
as
“XVAs”).
The
following
are
the
primary
procedures
we
performed
to
address
this
critical
audit
matter:
◾
value
of
these
portfolios.
This
included
controls
related
to
(1)
the
independent
price
verification
(‘IPV’)
of
certain
market
pricing
data
inputs,
(2)
the
determination
or
calculation
of
FVAs,
including
exit
adjustments
(to
mark
the
portfolio
to
bid
or
offer
prices),
model
shortcoming
reserves
to
address
model
limitations
and
XVAs
and
(3)
the
validation,
implementation
and
usage
of
valuation
models
including
assessment
of
the
impact
of
model
limitations
and
assumptions;
◾
significant
fair
value
differences
were
observable
through
comparison
with
the
market
participant’s
valuation
on
the
other
side
of
the
trade;
◾
that
are
subject
to
collateral
disputes,
developed
an
independent
estimate
of
fair
value
for
those
trades
based
on
external
datasets;
◾
restructurings
and
evaluated
whether
these
data
points
indicated
elements
of
fair
value
not
incorporated
in
the
current
valuation
methodologies;
◾
accounting
standards;
◾
o
calculating
FVAs;
and
o
their
valuations
were
outside
our
tolerance.
Valuation
of
the
defined
benefit
pension
obligation
and
certain
difficult-to-value
pension
assets
in
respect
of
UK
Retirement
Fund
(‘UKRF’)
As
discussed
in
Note
31
to
the
consolidated
financial
statements,
the
Company
operates
defined
benefit
pension
plans
and
the
majority
of
the
balance
relates
to
the
UKRF.
The
total
fair
value
of
the
defined
benefit
pension
obligation
and
the
associated
assets
offsetting
these
obligations
as
of
31
December
2020
was
£33.2bn
and
£34.7bn,
respectively.
Of
these
amounts,
£32.1bn
of
the
obligation
and
£33.9bn
of
the
asset
related
to
UKRF.
The
determination
of
the
Company’s
defined
benefit
pension
asset
with
respect
to
these
plans
is
dependent
on
the
selection
of
certain
actuarial
assumptions,
including
the
discount
rate
used.
In
addition,
the
UKRF
is
invested
in
a
diverse
portfolio
which
includes
certain
difficult-to-
value
pension
plan
assets,
including
property
and
private
equity
investments.
We
identified
the
valuation
of
the
defined
benefit
pension
obligation
in
respect
of
UKRF
as
a
critical
audit
matter.
Subjective
and
complex
auditor
judgement,
including
specialized
skills
and
knowledge,
was
required
in
evaluating
the
discount
rates,
retail
price
index
(‘RPI’)
volatility
impact
on
pension
increases
and
mortality
assumptions
used,
as
well
as
the
methodology
used
by
Company
to
determine
these
assumptions,
as
small
changes
would
have
a
significant
impact
on
the
measurement
of
the
defined
benefit
pension
obligation.
In
addition,
specialized
skills
and
knowledge
were
required
in
assessing
the
valuation
of
certain
difficult-to-value
pension
plan
assets,
specifically
property
and
private
equity
investments,
due
to
the
subjective
nature
of
judgements
required
of
management
and
the
measurement
uncertainty
associated
with
the
use
of
lagged
prices.
The
following
are
the
primary
procedures
we
performed
to
address
this
critical
audit
matter.
Report
of
Independent
Registered
Public
Accounting
Firm
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
104
◾
obligation
process.
This
included
controls
related
to
(1)
management’s
review
of
IAS19
assumptions
including
discount
rate,
RPI
volatility
impact
on
pension
increases
and
mortality
assumptions
as
well
as
the
methodology
used,
(2)
investment
controls
including
over
property
valuation
and
(3)
private
equity
retrospective
review
controls.
◾
used,
as
well
as
the
following
for
the
discount
rate,
pension
increases,
and
mortality
rates
used
by
the
Company:
o
actuarial
methods;
and
o
◾
o
o
of
specific
properties
within
the
portfolio
on
the
basis
of
equivalent
yields
observed
in
the
applicable
property
market.
◾
of
the
net
asset
value
(‘NAV’)
to
the
NAVs
audited
by
third
parties
to
assess
the
Company’s
ability
to
accurately
estimate
fair
value.
◾
independent
estimate
of
market
movement
based
on
the
Company’s
specific
portfolio
and
its
associated
market
exposure
and
equivalent
indices.
We
have
served
as
the
Company’s
auditor
since
2017.
London,
United
Kingdom
February
17,
2021
Consolidated
financial
statements
Consolidated
income
statement
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
105
2020
2019
2018
For
the
year
ended
31
December
Notes
£m
£m
£m
Continuing
operations
Interest
and
similar
income
3
6,006
8,085
7,459
Interest
and
similar
expense
3
(2,846)
(4,178)
(4,329)
Net
interest
income
3,160
3,907
3,130
Fee
and
commission
income
4
7,417
7,664
7,392
Fee
and
commission
expense
4
(1,758)
(1,992)
(1,785)
Net
fee
and
commission
income
5,659
5,672
5,607
Net
trading
income
5
7,076
4,073
4,364
Net
investment
(expense)/income
6
(121)
420
394
Other
income
4
79
105
Total
income
15,778
14,151
13,600
Credit
impairment
charges
7
(3,377)
(1,202)
(643)
Net
operating
income
12,401
12,949
12,957
Staff
costs
29
(4,365)
(4,565)
(4,874)
Infrastructure
costs
8
(816)
(835)
(935)
Administration
and
general
expenses
8
(4,202)
(4,318)
(4,224)
Litigation
and
conduct
8
(76)
(264)
(1,706)
Operating
expenses
8
(9,459)
(9,982)
(11,739)
Share
of
post-tax
results
of
associates
and
joint
ventures
7
57
68
Profit
on
disposal
of
subsidiaries,
associates
and
joint
ventures
126
88
-
Profit
before
tax
3,075
3,112
1,286
Taxation
9
(624)
(332)
(229)
Profit
after
tax
in
respect
of
continuing
operations
2,451
2,780
1,057
Loss
after
tax
in
respect
of
discontinued
operations
38
-
-
(47)
Profit
after
tax
2,451
2,780
1,010
Attributable
to:
Equity
holders
of
the
parent
1,774
2,120
363
Other
equity
instrument
holders
677
660
647
Total
equity
holders
of
the
parent
2,451
2,780
1,010
Profit
after
tax
2,451
2,780
1,010
Consolidated
financial
statements
Consolidated
statement
of
comprehensive
income
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
106
2020
2019
2018
For
the
year
ended
31
December
£m
£m
£m
Profit
after
tax
2,451
2,780
1,010
Profit
after
tax
in
respect
of
continuing
operations
2,451
2,780
1,057
Loss
after
tax
in
respect
of
discontinuing
operations
-
-
(47)
Other
comprehensive
income/(loss)
that
may
be
recycled
to
profit
or
loss
from
continuing
operations:
Currency
translation
reserve
Currency
translation
differences
a
(647)
(544)
844
Fair
value
through
other
comprehensive
income
reserve
movement
relating
to
debt
securities
Net
gains/(losses)
from
changes
in
fair
value
2,402
2,465
(475)
Net
(gains)/losses
transferred
to
net
profit
on
disposal
(251)
(454)
74
Net
losses
transferred
to
net
profit
due
to
impairment
1
1
4
Net
(losses)/gains
due
to
fair
value
hedging
(1,640)
(1,782)
165
Other
movements
-
(8)
(25)
Tax
(130)
(63)
53
Cash
flow
hedging
reserve
Net
gains/(losses)
from
changes
in
fair
value
1,366
823
(197)
Net
gains
transferred
to
net
profit
(282)
(141)
(213)
Tax
(291)
(171)
103
Other
3
16
27
Other
comprehensive
income
that
may
be
recycled
to
profit
or
loss
from
continuing
operations
531
142
360
Other
comprehensive
(loss)/income
not
recycled
to
profit
or
loss
from
continuing
operations:
Retirement
benefit
remeasurements
(77)
(280)
412
Fair
value
through
other
comprehensive
income
reserve
movements
relating
to
equity
instruments
1
-
(141)
Own
credit
(810)
(316)
77
Tax
198
150
(118)
Other
comprehensive
(loss)/income
not
recycled
to
profit
or
loss
from
continuing
operations
(688)
(446)
230
Other
comprehensive
(loss)/income
for
the
year
from
continuing
operations
(157)
(304)
590
Other
comprehensive
loss
for
the
year
from
discontinued
operation
-
-
(3)
Total
comprehensive
income/(loss)
for
the
year
Total
comprehensive
income
for
the
year,
net
of
tax
from
continuing
operations
2,294
2,476
1,647
Total
comprehensive
loss
for
the
year,
net
of
tax
from
discontinued
operation
-
-
(50)
Total
comprehensive
income
for
the
year
2,294
2,476
1,597
Attributable
to:
Equity
holders
of
the
parent
2,294
2,476
1,597
Total
comprehensive
income
for
the
year
2,294
2,476
1,597
Note
a
Includes
£8m
loss
(2019:
£15m
profit;
2018:
£41m
loss)
on
recycling
of
currency
translation
differences.
Consolidated
financial
statements
Consolidated
balance
sheet
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
107
2020
2019
As
at
31
December
Notes
£m
£m
Assets
Cash
and
balances
at
central
banks
155,902
125,940
Cash
collateral
and
settlement
balances
97,616
79,486
Loans
and
advances
at
amortised
cost
18
134,267
141,636
Reverse
repurchase
agreements
and
other
similar
secured
lending
8,981
1,731
Trading
portfolio
assets
11
127,664
113,337
Financial
assets
at
fair
value
through
the
income
statement
12
171,761
129,470
Derivative
financial
instruments
13
302,693
229,641
Financial
assets
at
fair
value
through
other
comprehensive
income
14
51,902
45,406
Investments
in
associates
and
joint
ventures
34
24
295
Goodwill
and
intangible
assets
21
1,154
1,212
Property,
plant
and
equipment
19
1,537
1,631
Current
tax
assets
424
898
Deferred
tax
assets
9
2,552
2,460
Retirement
benefit
assets
31
1,814
2,108
Other
assets
1,440
1,421
Total
assets
1,059,731
876,672
Liabilities
Deposits
at
amortised
cost
18
244,696
213,881
Cash
collateral
and
settlement
balances
85,549
67,682
Repurchase
agreements
and
other
similar
secured
borrowing
10,443
2,032
Debt
securities
in
issue
29,423
33,536
Subordinated
liabilities
26
32,005
33,425
Trading
portfolio
liabilities
11
46,139
35,212
Financial
liabilities
designated
at
fair
value
15
249,626
204,446
Derivative
financial
instruments
13
300,580
228,940
Current
tax
liabilities
644
320
Deferred
tax
liabilities
9
225
80
Retirement
benefit
liabilities
31
232
313
Other
liabilities
22
5,251
5,239
Provisions
23
1,208
951
Total
liabilities
1,006,021
826,057
Equity
Called
up
share
capital
and
share
premium
27
2,348
2,348
Other
equity
instruments
27
8,621
8,323
Other
reserves
28
3,183
3,235
Retained
earnings
39,558
36,709
Total
equity
53,710
50,615
Total
liabilities
and
equity
1,059,731
876,672
The
Board
of
Directors
approved
the
financial
statements
on
pages
105
to
196
on
17
February
2021
James
E
Staley
Barclays
Bank
Group
–
Chief
Executive
Officer
Steven
Ewart
Barclays
Bank
Group
–
Chief
Financial
Officer
Consolidated
financial
statements
Consolidated
statement
of
changes
in
equity
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
108
Called
up
share
capital
and
share
premium
a
Other
equity
instruments
a
Other
reserves
b
Retained
earnings
Total
equity
excluding
non-
controlling
interests
Non-
controlling
interests
Total
equity
£m
£m
£m
£m
£m
£m
£m
Balance
as
at
1
January
2020
2,348
8,323
3,235
36,709
50,615
-
50,615
Profit
after
tax
-
677
-
1,774
2,451
-
2,451
Currency
translation
movements
-
-
(647)
-
(647)
-
(647)
Fair
value
through
other
comprehensive
income
reserve
-
-
383
-
383
-
383
Cash
flow
hedges
-
-
793
-
793
-
793
Retirement
benefit
remeasurement
-
-
-
(108)
(108)
-
(108)
Own
credit
reserve
-
-
(581)
-
(581)
-
(581)
Other
-
-
-
3
3
-
3
Total
comprehensive
income
for
the
year
-
677
(52)
1,669
2,294
-
2,294
Issue
and
exchange
of
other
equity
instruments
-
298
-
(53)
245
-
245
Other
equity
instruments
coupons
paid
-
(677)
-
-
(677)
-
(677)
Equity
settled
share
schemes
-
-
-
349
349
-
349
Vesting
of
Barclays
PLC
shares
under
share-based
payment
schemes
-
-
-
(300)
(300)
-
(300)
Dividends
on
ordinary
shares
-
-
-
(263)
(263)
-
(263)
Dividends
on
preference
shares
and
other
shareholders
equity
-
-
-
(42)
(42)
-
(42)
Capital
contribution
from
Barclays
Plc
-
-
-
1,500
1,500
-
1,500
Other
reserve
movements
-
-
-
(11)
(11)
-
(11)
Balance
as
at
31
December
2020
2,348
8,621
3,183
39,558
53,710
-
53,710
Consolidated
financial
statements
Consolidated
statement
of
changes
in
equity
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
109
Called
up
share
capital
and
share
premiuma
Other
equity
instruments
a
Other
reserves
b
Retained
earnings
Total
equity
excluding
non-
controlling
interests
Non-
controlling
interests
Total
equity
£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
-
660
-
2,120
2,780
-
2,780
Currency
translation
movements
-
-
(544)
-
(544)
-
(544)
Fair
value
through
other
comprehensive
income
reserve
-
-
159
-
159
-
159
Cash
flow
hedges
-
-
511
-
511
-
511
Retirement
benefit
remeasurement
-
-
-
(194)
(194)
-
(194)
Own
credit
reserve
-
-
(252)
-
(252)
-
(252)
Other
-
-
-
16
16
-
16
Total
comprehensive
income
for
the
year
-
660
(126)
1,942
2,476
-
2,476
Issue
and
exchange
of
other
equity
instruments
-
728
-
(406)
322
-
322
Other
equity
instruments
coupons
paid
-
(660)
-
-
(660)
-
(660)
Equity
settled
share
schemes
-
-
-
392
392
-
392
Vesting
of
Barclays
PLC
shares
under
share-based
payment
schemes
-
-
-
(349)
(349)
-
(349)
Dividends
on
ordinary
shares
-
-
-
(233)
(233)
-
(233)
Dividends
on
preference
shares
and
other
shareholders
equity
-
-
-
(41)
(41)
-
(41)
Capital
contribution
from
Barclays
Plc
-
-
-
995
995
-
995
Other
reserve
movements
-
-
-
4
4
(2)
2
Balance
as
at
31
December
2019
2,348
8,323
3,235
36,709
50,615
-
50,615
Notes
a
For
further
details
refer
to
Note
27.
b
For
further
details
refer
to
Note
28.
Consolidated
financial
statements
Consolidated
cash
flow
statement
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
110
2020
2019
a
2018
a
For
the
year
ended
31
December
Notes
£m
£m
£m
Continuing
operations
Reconciliation
of
profit
before
tax
to
net
cash
flows
from
operating
activities:
Profit
before
tax
3,075
3,112
1,286
Adjustment
for
non
-cash
items:
Credit
impairment
charges
3,377
1,202
643
Depreciation,
amortisation
and
impairment
of
property,
plant
and
equipment
and
intangibles
441
459
397
Other
provisions,
including
pensions
634
417
2,274
Net
profit
on
disposal
of
investments
and
property,
plant
and
equipment
(119)
(84)
-
Other
non-cash
movements
including
exchange
rate
movements
c
(2,362)
(742)
(4,097)
Changes
in
operating
assets
and
liabilities
Net
decrease/(increase)
in
cash
collateral
and
settlement
balances
b
4,098
(5,762)
(4,862)
Net
decrease/(increase)
in
loans
and
advances
at
amortised
cost
c
7,142
3,937
(7,215)
Net
increase
in
reverse
repurchase
agreements
and
other
similar
secured
lending
(7,250)
(118)
(434)
Net
increase
in
deposits
31,148
14,544
16,316
Net
(decrease)/increase
debt
securities
in
issue
(4,113)
(5,762)
14
Net
increase/(decrease)
in
repurchase
agreements
and
other
similar
secured
borrowing
8,411
(5,346)
2
Net
(increase)/decrease
in
derivative
financial
instruments
(1,604)
2,390
(6,419)
Net
(increase)/decrease
in
trading
assets
(14,327)
(9,299)
10,102
Net
increase/(decrease)
in
trading
liabilities
10,927
(1,402)
1,688
Net
decrease/(increase)
in
financial
assets
and
liabilities
designated
at
fair
value
2,889
2,485
(6,284)
Net
(increase)/decrease
in
other
assets
(93)
(44)
949
Net
increase/(decrease)
in
other
liabilities
13
(991)
(6,099)
Corporate
income
tax
(paid)/received
(12)
894
(409)
Net
cash
from
operating
activities
42,275
(110)
(2,148)
Purchase
of
debt
securities
at
amortised
cost
c
(7,890)
(8,565)
(1,564)
Proceeds
from
sale
or
redemption
of
debt
securities
at
amortised
cost
c
3,527
1,305
5,109
Purchase
of
financial
assets
at
fair
value
through
other
comprehensive
income
(57,640)
(67,056)
(106,330)
Proceeds
from
sale
or
redemption
of
financial
assets
at
fair
value
through
other
comprehensive
income
53,367
67,743
108,038
Purchase
of
property,
plant
and
equipment
and
intangibles
(303)
(610)
(422)
Proceeds
from
sale
of
property,
plant
and
equipment
and
intangibles
-
-
35
Disposal
of
discontinued
operation,
net
of
cash
disposed
-
-
(39,703)
Disposal
of
subsidiaries
and
associates,
net
of
cash
disposed
736
617
-
Other
cash
flows
associated
with
investing
activities
11
95
1,191
Net
cash
from
investing
activities
(8,192)
(6,471)
(33,646)
Dividends
paid
and
coupon
payments
on
other
equity
instruments
(982)
(934)
(1,142)
Issuance
of
subordinated
debt
26
3,856
6,785
221
Redemption
of
subordinated
debt
(4,746)
(6,574)
(3,246)
Issue
of
shares
and
other
equity
instruments
1,134
2,292
1,925
Redemption
of
shares
and
other
equity
instruments
(903)
(1,970)
(3,588)
Capital
contribution
from
Barclays
PLC
-
-
2,000
Vesting
of
shares
under
employee
share
schemes
(300)
(349)
(418)
Net
cash
from
financing
activities
(1,941)
(750)
(4,248)
Effect
of
exchange
rates
on
cash
and
cash
equivalents
1,669
(3,345)
4,159
Net
increase/(decrease)
in
cash
and
cash
equivalents
from
continuing
operations
33,811
(10,676)
(35,883)
Net
cash
from
discontinued
operation
38
-
-
(468)
Net
increase/(decrease)
in
cash
and
cash
equivalents
33,811
(10,676)
(36,351)
Cash
and
cash
equivalents
at
beginning
of
year
139,314
149,990
186,341
Cash
and
cash
equivalents
at
end
of
year
173,125
139,314
149,990
Cash
and
cash
equivalents
comprise:
Cash
and
balances
at
central
banks
155,902
125,940
136,359
Loans
and
advances
to
banks
with
original
maturity
less
than
three
months
7,281
8,158
7,404
Cash
collateral
balances
with
central
banks
with
original
maturity
less
than
three
months
b
9,086
4,736
5,310
Treasury
and
other
eligible
bills
with
original
maturity
less
than
three
months
856
480
917
173,125
139,314
149,990
Notes
a
2019
and
2018
comparative
figures
have
been
restated
to
make
the
cash
flow
statement
more
relevant
following
a
review
of
the
disclosure
and
the
accounting
policies
applied.
Amendments
have
been
made
to
the
classification
of
cash
collateral
reported
within
cash
and
cash
equivalents
and
to
the
presentation
of
items
within
net
cash
flows
from
operating
and
investing
activities.
Footnotes
b
and
c
below
quantify
the
impact
of
the
changes
to
the
respective
cash
flow
categories
in
prior
periods
and
provide
further
detail.
b
“Cash
collateral
balances
with
central
banks
with
original
maturity
less
than
three
months”
was
previously
labelled
“Cash
collateral
and
settlement
balances
with
banks
with
original
maturity
less
than
three
months”.
schemes.
Previously,
cash
collateral
and
settlement
balances
with
non-central
bank
counterparties
were
also
classified
as
cash
equivalents
and
included
within
this
balance.
Comparatives
have
been
restated.
The
effect
of
this
change
decreased
cash
equivalents
by
£16,702m
as
at
31
December
2019
,
£17,367m
as
at
31
December
2018
and
£18,111m
as
at
31
December
2017.
As
a
result,
net
cash
from
operating
activi
ties
increased
by
£665m
in
2019
and
£744m
in
2018
representing
the
net
decrease/(increase)
in
the
cash
collateral
and
settlement
balances
line
item
in
those
periods
.
c
Movements
in
cash
and
cash
equivalents
relating
to
debt
securities
at
amortised
cost
were
previously
shown
within
loans
and
advances
to
banks
and
customers
in
operating
activities.
These
debt
securities
holdings
are
now
considered
to
be
part
of
the
investing
activity
performed
by
the
Barclays
Bank
Group
following
a
change
in
accounting
policy
and
have
been
presented
within
investing
activities
in
2020.
Comparatives
have
been
restated.
The
effect
of
this
change
was
to
reclassify
£7,260m
of
net
cash
outflows
from
operating
activities
to
investing
activities
in
2019
and
inflows
of
£3,544m
i
n
2018.
Interest
received
by
the
Barclays
Bank
Group
was
£12,860m
(2019:
£26,637m)
and
interest
paid
by
the
Barclays
Bank
Group
was
£8,653m
(2019:
£21,314m).
Consolidated
financial
statements
Consolidated
cash
flow
statement
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
111
The
Barclays
Bank
Group
is
required
to
maintain
balances
with
central
banks
and
other
regulatory
authorities
and
these
amounted
to
£3,119
m
(2019:
£4,505m).
For
the
purposes
of
the
cash
flow
statement,
cash
comprises
cash
on
hand
and
demand
deposits
and
cash
equivalents
comprise
highly
liquid
investments
that
are
convertible
into
cash
with
an
insignificant
risk
of
changes
in
value
with
original
maturities
of
three
months
or
less.
Repurchase
and
reverse
repurchase
agreements
are
not
considered
to
be
part
of
cash
equivalents.
Notes
to
the
financial
statements
For
the
year
ended
31
December
2020
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
112
This
section
describes
Barclays
Bank
Group’s
significant
policies
and
critical
accounting
estimates
that
relate
to
the
financial
statements
and
notes
as
a
whole.
If
an
accounting
policy
or
a
critical
accounting
estimate
relates
to
a
particular
note,
the
accounting
policy
and/or
critical
accounting
estimate
is
contained
with
the
relevant
note.
1
Significant
accounting
policies
1.
Reporting
entity
Barclays
Bank
PLC
is
a
public
limited
company,
registered
in
England
under
company
number
1026167.
These
financial
statements
are
prepared
for
Barclays
Bank
PLC
and
its
subsidiaries
(the
Barclays
Bank
Group)
under
Section
399
of
the
Companies
Act
2006.
The
Barclays
Bank
Group
is
a
major
global
financial
services
provider
engaged
in
credit
cards,
wholesale
banking,
investment
banking,
wealth
management
and
investment
management
services.
In
addition,
separate
financial
statements
have
been
presented
for
the
holding
company.
2.
Compliance
with
International
Financial
Reporting
Standards
The
consolidated
financial
statements
of
the
Barclays
Bank
Group,
and
the
separate
financial
statements
of
Barclays
Bank
PLC,
have
been
prepared
in
accordance
with
international
accounting
standards
in
conformity
with
the
requirements
of
the
Company
Act
2006
and
in
accordance
with
International
Financial
Reporting
Standards
(IFRS)
and
interpretations
(IFRICs)
as
issued
by
the
IASB
and
adopted
pursuant
to
Regulation
(EC)
No
1606/2002
as
it
applies
in
the
European
Union.
These
standards
have
also
been
endorsed
by
the
UK.
The
principal
accounting
policies
applied
in
the
preparation
of
the
consolidated
and
separate
financial
statements
are
set
out
below,
and
in
the
relevant
notes
to
the
financial
statements.
These
policies
have
been
consistently
applied
with
the
exception
of
the
early
adoption
of
Interest
Rate
Benchmark
Reform
–
Phase
2
which
was
applied
from
1
January
2020.
3.
Basis
of
preparation
The
consolidated
and
separate
financial
statements
have
been
prepared
under
the
historical
cost
convention
modified
to
include
the
fair
valuation
of
investment
property,
and
particular
financial
instruments,
to
the
extent
required
or
permitted
under
IFRS
as
set
out
in
the
relevant
accounting
policies.
They
are
stated
in
millions
of
pounds
Sterling
(£m),
the
functional
currency
of
Barclays
Bank
PLC.
The
financial
statements
have
been
prepared
on
a
going
concern
basis,
in
accordance
with
the
Companies
Act
2006
as
applicable
to
companies
using
IFRS.
The
financial
statements
are
prepared
on
a
going
concern
basis,
as
the
Board
is
satisfied
that
the
Barclays
Bank
Group
and
parent
company
have
the
resources
to
continue
in
business
for
a
period
of
at
least
12
months
from
approval
of
the
financial
statements.
In
making
this
assessment,
the
Board
has
considered
a
wide
range
of
information
relating
to
present
and
future
conditions.
This
involved
a
review
of
a
working
capital
report
(WCR)
for
the
Barclays
Bank
Group.
The
WCR
is
used
by
the
Barclays
Bank
Group
and
the
Board
to
assess
the
future
performance
of
the
business
and
that
it
has
the
resources
in
place
that
are
required
to
meet
its
ongoing
regulatory
requirements.
The
assessment
is
based
upon
business
plans
which
contain
future
forecasts
of
profitability
taken
from
the
Barclays
Bank
Group’s
three-year
medium
term
plan
as
well
as
projections
of
future
regulatory
capital
requirements
and
business
funding
needs.
The
WCR
also
includes
details
of
the
impact
of
internally
generated
stress
testing
scenarios
on
the
liquidity
and
capital
requirement
forecasts.
The
stress
tests
used
were
based
an
assessment
of
reasonably
possible
downside
economic
scenarios
that
the
Barclays
Bank
Group
could
experience.
The
WCR
showed
that
the
Barclays
Bank
Group
had
sufficient
capital
in
place
to
support
its
future
business
requirements
and
remained
above
its
regulatory
minimum
requirements
in
the
stress
scenarios.
It
also
showed
that
the
Barclays
Bank
Group
has
an
expectation
that
it
can
continue
to
meet
its
funding
requirements
during
the
scenarios.
Accordingly,
the
Board
concluded
that
there
was
a
reasonable
expectation
that
the
Barclays
Bank
Group
has
adequate
resources
to
continue
as
a
going
concern
for
a
period
of
at
least
12
months
from
the
date
of
approval
of
the
financial
statements.
4.
Accounting
policies
The
Barclays
Bank
Group
prepares
financial
statements
in
accordance
with
IFRS.
The
Barclays
Bank
Group’s
significant
accounting
policies
relating
to
specific
financial
statement
items,
together
with
a
description
of
the
accounting
estimates
and
judgements
that
were
critical
to
preparing
them,
are
set
out
under
the
relevant
notes.
Accounting
policies
that
affect
the
financial
statements
as
a
whole
are
set
out
below.
(i)
Consolidation
The
Barclays
Bank
Group
applies
IFRS
10
Consolidated
financial
statements
.
The
consolidated
financial
statements
combine
the
financial
statements
of
Barclays
Bank
PLC
and
all
its
subsidiaries.
Subsidiaries
are
entities
over
which
Barclays
Bank
PLC
has
control.
The
Barclays
Bank
Group
has
control
over
another
entity
when
the
Barclays
Bank
Group
has
all
of
the
following:
1)
power
over
the
relevant
activities
of
the
investee,
for
example
through
voting
or
other
rights
2)
exposure
to,
or
rights
to,
variable
returns
from
its
involvement
with
the
investee
and
3)
the
ability
to
affect
those
returns
through
its
power
over
the
investee.
The
assessment
of
control
is
based
on
the
consideration
of
all
facts
and
circumstances.
The
Barclays
Bank
Group
reassesses
whether
it
controls
an
investee
if
facts
and
circumstances
indicate
that
there
are
changes
to
one
or
more
of
the
three
elements
of
control.
Intra-group
transactions
and
balances
are
eliminated
on
consolidation.
Consistent
accounting
policies
are
used
throughout
the
Barclays
Bank
Group
for
the
purposes
of
the
consolidation.
Changes
in
ownership
interests
in
subsidiaries
are
accounted
for
as
equity
transactions
if
they
occur
after
control
has
already
been
obtained
and
they
do
not
result
in
loss
of
control.
As
the
consolidated
financial
statements
include
partnerships
where
the
Barclays
Bank
Group
member
is
a
partner,
advantage
has
been
taken
of
the
exemption
under
Regulation
7
of
the
Partnership
(Accounts)
Regulations
2008
with
regard
to
preparing
and
filing
of
individual
partnership
financial
statements.
Details
of
the
principal
subsidiaries
are
given
in
Note
32.
Notes
to
the
financial
statements
For
the
year
ended
31
December
2020
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
113
(ii)
Foreign
currency
translation
The
Barclays
Bank
Group
applies
IAS
21
The
Effects
of
Changes
in
Foreign
Exchange
Rates
.
Transactions
in
foreign
currencies
are
translated
into
Sterling
at
the
rate
ruling
on
the
date
of
the
transaction.
Foreign
currency
monetary
balances
are
translated
into
Sterling
at
the
period
end
exchange
rates.
Exchange
gains
and
losses
on
such
balances
are
taken
to
the
income
statement.
Non-monetary
foreign
currency
balances
in
relation
to
items
measured
in
terms
of
historical
cost
are
carried
at
historical
transaction
date
exchange
rates.
Non-monetary
foreign
currency
balances
in
relation
to
items
measured
at
fair
value
are
translated
using
the
exchange
rate
at
the
date
when
the
fair
value
was
measured.
The
Barclays
Bank
Group’s
foreign
operations
(including
subsidiaries,
joint
ventures,
associates
and
branches)
based
mainly
outside
the
UK
may
have
different
functional
currencies.
The
functional
currency
of
an
operation
is
the
currency
of
the
main
economy
to
which
it
is
exposed.
Prior
to
consolidation
(or
equity
accounting)
the
assets
and
liabilities
of
non-Sterling
operations
are
translated
at
the
period
end
exchange
rate
and
items
of
income,
expense
and
other
comprehensive
income
are
translated
into
Sterling
at
the
rate
on
the
date
of
the
transactions.
Exchange
differences
arising
on
the
translation
of
foreign
operations
are
included
in
currency
translation
reserves
within
equity.
These
are
transferred
to
the
income
statement
when
the
Barclays
Bank
Group
disposes
of
the
entire
interest
in
a
foreign
operation,
when
partial
disposal
results
in
the
loss
of
control
of
an
interest
in
a
subsidiary,
when
an
investment
previously
accounted
for
using
the
equity
method
is
accounted
for
as
a
financial
asset,
or
on
the
disposal
of
an
autonomous
foreign
operation
within
a
branch.
The
Barclays
Bank
Group
applies
IFRS
9
Financial
Instruments
financial
assets
and
financial
liabilities
and
the
impairment
of
financial
assets.
The
Barclays
Bank
Group
applies
the
requirements
of
IAS
39
Financial
Instruments:
Recognition
and
Measurement
Recognition
The
Barclays
Bank
Group
recognises
financial
assets
and
liabilities
when
it
becomes
a
party
to
the
terms
of
the
contract.
Trade
date
or
settlement
date
accounting
is
applied
depending
on
the
classification
of
the
financial
asset.
Classification
and
measurement
Financial
assets
are
classified
on
the
basis
of
two
criteria:
i)
the
business
model
within
which
financial
assets
are
managed;
and
ii)
their
contractual
cash
flow
characteristics
(whether
the
cash
flows
represent
‘solely
payments
of
principal
and
interest’
(SPPI)).
The
Barclays
Bank
Group
assesses
the
business
model
criteria
at
a
portfolio
level.
Information
that
is
considered
in
determining
the
applicable
business
model
includes
(i)
policies
and
objectives
for
the
relevant
portfolio,
(ii)
how
the
performance
and
risks
of
the
portfolio
are
managed,
evaluated
and
reported
to
management,
and
(iii)
the
frequency,
volume
and
timing
of
sales
in
prior
periods,
sales
expectation
for
future
periods,
and
the
reasons
for
such
sales.
The
contractual
cash
flow
characteristics
of
financial
assets
are
assessed
with
reference
to
whether
the
cash
flows
represent
SPPI.
In
assessing
whether
contractual
cash
flows
are
SPPI
compliant,
interest
is
defined
as
consideration
primarily
for
the
time
value
of
money
and
the
credit
risk
of
the
principal
outstanding.
The
time
value
of
money
is
defined
as
the
element
of
interest
that
provides
consideration
only
for
the
passage
of
time
and
not
consideration
for
other
risks
or
costs
associated
with
holding
the
financial
asset.
Terms
that
could
change
the
contractual
cash
flows
so
that
it
would
not
meet
the
condition
for
SPPI
are
considered,
including:
(i)
contingent
and
leverage
features,
(ii)
non-recourse
arrangements
and
(iii)
features
that
could
modify
the
time
value
of
money.
Financial
assets
are
measured
at
amortised
cost
if
they
are
held
within
a
business
model
whose
objective
is
to
hold
financial
assets
in
order
to
collect
contractual
cash
flows,
and
their
contractual
cash
flows
represent
SPPI.
Financial
assets
are
measured
at
fair
value
through
other
comprehensive
income
if
they
are
held
within
a
business
model
whose
objective
is
achieved
by
both
collecting
contractual
cash
flows
and
selling
financial
assets,
and
their
contractual
cash
flows
represent
SPPI.
Other
financial
assets
are
measured
at
fair
value
through
profit
and
loss.
There
is
an
option
to
make
an
irrevocable
election
on
initial
recognition
for
non
traded
equity
investments
to
be
measured
at
fair
value
through
other
comprehensive
income,
in
which
case
dividends
are
recognised
in
profit
or
loss,
but
gains
or
losses
are
not
reclassified
to
profit
or
loss
upon
derecognition,
and
the
impairment
requirements
of
IFRS
9
do
not
apply.
The
accounting
policy
for
each
type
of
financial
asset
or
liability
is
included
within
the
relevant
note
for
the
item.
The
Barclays
Bank
Group’s
policies
for
determining
the
fair
values
of
the
assets
and
liabilities
are
set
out
in
Note
16.
Derecognition
The
Barclays
Bank
Group
derecognises
a
financial
asset,
or
a
portion
of
a
financial
asset,
from
its
balance
sheet
where
the
contractual
rights
to
cash
flows
from
the
asset
have
expired,
or
have
been
transferred,
usually
by
sale,
and
with
them
either
substantially
all
the
risks
and
rewards
of
the
asset
or
significant
risks
and
rewards,
along
with
the
unconditional
ability
to
sell
or
pledge
the
asset.
Financial
liabilities
are
de-recognised
when
the
liability
has
been
settled,
has
expired
or
has
been
extinguished.
An
exchange
of
an
existing
financial
liability
for
a
new
liability
with
the
same
lender
on
substantially
different
terms
–
generally
a
difference
of
10%
or
more
in
the
present
value
of
the
cash
flows
or
a
substantive
qualitative
amendment
–
is
accounted
for
as
an
extinguishment
of
the
original
financial
liability
and
the
recognition
of
a
new
financial
liability.
Transactions
in
which
the
Barclays
Bank
Group
transfers
assets
and
liabilities,
portions
of
them,
or
financial
risks
associated
with
them
can
be
complex
and
it
may
not
be
obvious
whether
substantially
all
of
the
risks
and
rewards
have
been
transferred.
It
is
often
necessary
to
perform
a
quantitative
analysis.
Such
an
analysis
compares
the
Barclays
Bank
Group’s
exposure
to
variability
in
asset
cash
flows
before
the
transfer
with
its
retained
exposure
after
the
transfer.
A
cash
flow
analysis
of
this
nature
may
require
judgement.
In
particular,
it
is
necessary
to
estimate
the
asset’s
expected
future
cash
flows
as
well
as
potential
variability
around
this
expectation.
The
method
of
estimating
expected
future
cash
flows
depends
on
the
nature
of
the
asset,
with
market
and
market-implied
data
used
to
the
greatest
extent
possible.
The
potential
variability
around
this
expectation
is
typically
determined
Notes
to
the
financial
statements
For
the
year
ended
31
December
2020
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
114
by
stressing
underlying
parameters
to
create
reasonable
alternative
upside
and
downside
scenarios.
Probabilities
are
then
assigned
to
each
scenario.
Stressed
parameters
may
include
default
rates,
loss
severity,
or
prepayment
rates.
Accounting
for
reverse
repurchase
and
repurchase
agreements
including
other
similar
lending
and
borrowing
Reverse
repurchase
agreements
(and
stock
borrowing
or
similar
transaction)
are
a
form
of
secured
lending
whereby
the
Barclays
Bank
Group
provides
a
loan
or
cash
collateral
in
exchange
for
the
transfer
of
collateral,
generally
in
the
form
of
marketable
securities
subject
to
an
agreement
to
transfer
the
securities
back
at
a
fixed
price
in
the
future.
Repurchase
agreements
are
where
the
Barclays
Bank
Group
obtains
such
loans
or
cash
collateral,
in
exchange
for
the
transfer
of
collateral.
The
Barclays
Bank
Group
purchases
(a
reverse
repurchase
agreement)
or
borrows
securities
subject
to
a
commitment
to
resell
or
return
them.
The
securities
are
not
included
in
the
balance
sheet
as
the
Barclays
Bank
Group
does
not
acquire
the
risks
and
rewards
of
ownership.
Consideration
paid
(or
cash
collateral
provided)
is
accounted
for
as
a
loan
asset
at
amortised
cost,
unless
it
is
designated
or
mandatorily
at
fair
value
through
profit
and
loss.
The
Barclays
Bank
Group
may
also
sell
(a
repurchase
agreement)
or
lend
securities
subject
to
a
commitment
to
repurchase
or
redeem
them.
The
securities
are
retained
on
the
balance
sheet
as
the
Barclays
Bank
Group
retains
substantially
all
the
risks
and
rewards
of
ownership.
Consideration
received
(or
cash
collateral
provided)
is
accounted
for
as
a
financial
liability
at
amortised
cost,
unless
it
is
designated
at
fair
value
through
profit
and
loss.
The
Barclays
Bank
Group
applies
IAS
32,
Financial
Instruments:
Presentation
,
to
determine
whether
funding
is
either
a
financial
liability
(debt)
or
equity.
Issued
financial
instruments
or
their
components
are
classified
as
liabilities
if
the
contractual
arrangement
results
in
the
Barclays
Bank
Group
having
an
obligation
to
either
deliver
cash
or
another
financial
asset,
or
a
variable
number
of
equity
shares,
to
the
holder
of
the
instrument.
If
this
is
not
the
case,
the
instrument
is
generally
an
equity
instrument
and
the
proceeds
included
in
equity,
net
of
transaction
costs.
Dividends
and
other
returns
to
equity
holders
are
recognised
when
paid
or
declared
by
the
members
at
the
AGM
and
treated
as
a
deduction
from
equity.
Where
issued
financial
instruments
contain
both
liability
and
equity
components,
these
are
accounted
for
separately.
The
fair
value
of
the
debt
is
estimated
first
and
the
balance
of
the
proceeds
is
included
within
equity.
5.
New
and
amended
standards
and
interpretations
The
accounting
policies
adopted
are
consistent
with
those
of
the
previous
financial
year,
with
the
exception
of
the
early
adoption
of
Interest
Rate
Benchmark
Reform
–
Phase
2
IFRS
9,
IAS
39,
IFRS
7,
IFRS
4
and
IFRS
16
–
Amendments
relating
to
Interest
Rate
Benchmark
Reform
(Phase
2
amendments)
IFRS
9,
IAS
39,
IFRS
7,
IFRS
4
and
IFRS
16
were
amended
in
August
2020,
which
are
effective
for
periods
beginning
on
or
after
1
January
2021
with
earlier
adoption
permitted.
The
Barclays
Bank
Group
elected
to
early
adopt
the
amendments
with
effect
from
1
January
2020.
The
amendments
have
been
endorsed
by
the
EU
and
by
the
UK.
IFRS
9
allows
companies
when
they
first
apply
IFRS
9,
to
make
an
accounting
policy
choice
to
continue
to
apply
the
hedge
accounting
requirements
of
IAS
39.
The
Barclays
Bank
Group
made
the
election
to
continue
to
apply
the
IAS
39
hedge
accounting
requirements,
and
consequently,
the
amendments
to
IAS
39
in
respect
of
hedge
accounting
have
been
adopted
by
the
Barclays
Bank
Group.
The
objective
of
the
amendments
is
to
provide
certain
reliefs
to
companies
when
changes
are
made
to
the
contractual
cash
flows
or
hedging
relationships
resulting
from
interest
rate
benchmark
reform.
The
reliefs
adopted
by
the
Barclays
Bank
Group
have
been
described
below.
Changes
in
the
basis
for
determining
contractual
cash
flows
A
change
in
the
basis
of
determining
the
contractual
cash
flows
of
a
financial
instrument
that
are
required
by
the
reform
is
accounted
for
by
updating
the
effective
interest
rate,
without
the
recognition
of
an
immediate
gain
or
loss.
This
practical
expedient
is
only
applied
where
(1)
the
change
to
the
contractual
cash
flows
is
necessary
as
a
direct
consequence
of
the
reform
and
(2)
the
new
basis
for
determining
the
contractual
cash
flows
is
economically
equivalent
to
the
previous
basis.
For
changes
made
in
addition
to
those
required
by
the
reform,
the
practical
expedient
is
applied
first,
after
which
the
normal
IFRS
9
requirements
for
modifications
of
financial
instruments
is
applied.
Hedge
accounting
The
IAS
39
requirements
in
respect
of
hedge
accounting
have
been
amended
in
two
phases.
The
Phase
1
amendments,
which
were
adopted
by
the
Barclays
Bank
Group
in
2019,
provide
relief
to
the
hedge
accounting
requirements
prior
to
changing
a
hedge
relationship
due
to
the
interest
rate
benchmark
reform
(refer
to
Note
13).
The
Phase
2
amendments
provide
relief
when
changes
are
made
to
hedge
relationships
as
a
result
of
the
interest
rate
benchmark
reform.
The
Phase
2
amendments
adopted
by
the
Barclays
Bank
Group
are
described
below.
◾
not
constitute
the
discontinuation
of
the
hedge
relationship
nor
the
designation
of
a
new
hedging
relationship.
◾
cumulative
fair
value
changes
to
zero
when
the
exception
to
the
retrospective
assessment
ends
(Phase
1
relief).
Any
hedge
ineffectiveness
will
continue
to
be
measured
and
recognised
in
full
in
profit
or
loss.
◾
future
cash
flows
are
determined)
when
there
is
a
change
in
basis
for
determining
the
contractual
cash
flows.
◾
within
a
designated
group
of
items
that
are
amended
for
changes
directly
required
by
the
reform.
◾
this
requirement
when
an
alternative
risk
free
rate
(RFR)
financial
instrument
is
designated
as
a
risk
component.
These
amendments
allow
entities
upon
designation
of
the
hedge
to
assume
that
the
separately
identifiable
requirement
is
met
if
the
entity
reasonably
expects
the
RFR
risk
will
become
separately
identifiable
within
the
next
24
months.
This
relief
applies
to
each
RFR
on
a
rate-by-rate
basis
and
starts
when
the
entity
first
designates
the
RFR
as
a
non-contractually
specified
risk
component.
Notes
to
the
financial
statements
For
the
year
ended
31
December
2020
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
115
The
amendments
to
IFRS
7
require
certain
disclosures
to
be
made
to
enable
users
of
financial
statements
to
understand
the
effect
of
interest
rate
benchmark
reform
on
an
entity’s
financial
instruments
and
risk
management
strategy.
Refer
to
Note
40
where
these
disclosures
have
been
included.
Future
accounting
developments
The
following
accounting
standards
have
been
issued
by
the
IASB
but
are
not
yet
effective:
IFRS
17
–
Insurance
contracts
In
May
2017,
the
IASB
issued
IFRS
17
Insurance
Contracts
,
a
comprehensive
new
accounting
standard
for
insurance
contracts
covering
recognition
and
measurement,
presentation
and
disclosure.
Once
effective,
IFRS
17
will
replace
IFRS
4
Insurance
Contracts
2005.
IFRS
17
applies
to
all
types
of
insurance
contracts
(i.e.
life,
non-life,
direct
insurance
and
re-insurance),
regardless
of
the
type
of
entities
that
issue
them,
as
well
as
to
certain
guarantees
and
financial
instruments
with
discretionary
participation
features.
A
few
scope
exceptions
will
apply.
In
June
2020,
the
IASB
published
amendments
to
IFRS
17.
The
amendments
that
are
relevant
to
the
Barclays
Bank
Group
are
the
scope
exclusion
for
credit
card
contracts
and
similar
contracts
that
provide
insurance
coverage,
the
optional
scope
exclusion
for
loan
contracts
that
transfer
significant
insurance
risk,
and
clarification
that
only
financial
guarantees
issued
are
in
scope
of
IFRS
9.
The
amendments
also
defer
the
effective
date
of
IFRS
17,
including
the
above
amendments,
to
annual
reporting
periods
beginning
on
or
after
1
January
2023.
IFRS
17,
including
the
amendments
to
IFRS
17,
has
not
yet
been
endorsed
by
the
EU
as
of
the
date
that
the
financial
statements
are
authorised
for
issue.
Following
the
UK’s
withdrawal
from
the
EU
on
31
December
2020,
the
UK-adopted
international
accounting
standards
will
be
applicable.
IFRS
17,
including
the
amendments
to
IFRS
17,
has
not
yet
been
endorsed
by
the
UK.
The
Barclays
Bank
Group
is
currently
assessing
the
expected
impact
of
adopting
this
standard.
6.
Critical
accounting
estimates
and
judgements
The
preparation
of
financial
statements
in
accordance
with
IFRS
requires
the
use
of
estimates.
It
also
requires
management
to
exercise
judgement
in
applying
the
accounting
policies.
The
key
areas
involving
a
higher
degree
of
judgement
or
complexity
or
areas
where
assumptions
are
significant
to
the
consolidated
and
individual
financial
statements
are
highlighted
under
the
relevant
note.
Critical
accounting
estimates
and
judgements
are
disclosed
in:
◾
◾
◾
◾
◾
7.
Other
disclosures
To
improve
transparency
and
ease
of
reference,
by
concentrating
related
information
in
one
place,
certain
disclosures
required
under
IFRS
have
been
included
within
the
Risk
review
section
as
follows:
◾
◾
◾
◾
These
disclosures
are
covered
by
the
Audit
opinion
(included
on
pages
101
to
104)
where
referenced
as
audited.
Notes
to
the
financial
statements
Financial
performance
and
returns
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
116
The
notes
included
in
this
section
focus
on
the
results
and
performance
of
the
Barclays
Bank
Group.
Information
on
the
segmental
performance,
income
generated,
expenditure
incurred,
tax,
and
dividends
are
included
here.
2
Segmental
reporting
Presentation
of
segmental
reporting
The
Barclays
Bank
Group’s
segmental
reporting
is
in
accordance
with
IFRS
8
Operating
Segments
.
Operating
segments
are
reported
in
a
manner
consistent
with
the
internal
reporting
provided
to
the
Executive
Committee,
which
is
responsible
for
allocating
resources
and
assessing
performance
of
the
operating
segments,
and
has
been
identified
as
the
chief
operating
decision
maker.
All
transactions
between
business
segments
are
conducted
on
an
arm’s-length
basis,
with
intra-segment
revenue
and
costs
being
eliminated
in
Head
Office.
Income
and
expenses
directly
associated
with
each
segment
are
included
in
determining
business
segment
performance.
The
Barclays
Bank
Group
divisions
have
been
for
segmental
reporting
purposes
defined
as
Corporate
and
Investment
Bank
and
Consumer,
Cards
and
Payments.
◾
Corporate
and
Investment
Bank
◾
Consumer,
Cards
and
Payments
Bank.
The
below
table
also
includes
Head
Office
which
comprises
head
office
and
certain
central
support
functions
including
the
Barclays
Bank
Group
service
company
full
time
equivalent
employees.
Analysis
of
results
by
business
Corporate
and
Consumer,
Cards
and
Payments
Head
Barclays
Bank
Group
£m
£m
£m
£m
For
the
year
ended
31
December
2020
Total
income
12,607
3,490
(319)
15,778
Credit
impairment
charges
(1,565)
(1,720)
(92)
(3,377)
Net
operating
income/(expenses)
11,042
1,770
(411)
12,401
Operating
expenses
(7,125)
(2,132)
(126)
(9,383)
Litigation
and
conduct
(4)
(44)
(28)
(76)
Total
operating
expenses
(7,129)
(2,176)
(154)
(9,459)
Other
net
income/(expenses)
a
16
114
3
133
Profit/(loss)
before
tax
3,929
(292)
(562)
3,075
Total
assets
(£bn)
990.9
57.8
11.0
1,059.7
Number
of
employees
(full
time
equivalent)
7,800
3,000
10,100
20,900
Average
number
of
employees
(full
time
equivalent)
20,145
Corporate
and
Investment
Bank
Consumer,
Cards
Head
Barclays
Bank
Group
£m
£m
£m
£m
For
the
year
ended
31
December
2019
Total
income
10,009
4,462
(320)
14,151
Credit
impairment
charges
(157)
(1,016)
(29)
(1,202)
Net
operating
income/(expenses)
9,852
3,446
(349)
12,949
Operating
expenses
(7,267)
(2,359)
(92)
(9,718)
Litigation
and
conduct
(108)
(7)
(149)
(264)
Total
operating
expenses
(7,375)
(2,366)
(241)
(9,982)
Other
net
income/(expenses)
a
113
40
(8)
145
Profit/(loss)
before
tax
2,590
1,120
(598)
3,112
Total
assets
(£bn)
799.6
65.7
11.4
876.7
Number
of
employees
(full
time
equivalent)
8,100
3,100
9,300
20,500
Average
number
of
employees
(full
time
equivalent)
21,700
Note
a
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.
Notes
to
the
financial
statements
Financial
performance
and
returns
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
117
Corporate
and
Investment
Bank
Consumer,
Card
s
and
Payments
Head
Barclays
Bank
Group
£m
£m
£m
£m
For
the
year
ended
31
December
2018
Total
income
9,741
4,267
(408)
13,600
Credit
impairment
releases/(charges)
152
(808)
13
(643)
Net
operating
income/(expenses)
9,893
3,459
(395)
12,957
Operating
expenses
(7,459)
(2,304)
(130)
(9,893)
GMP
charge
-
-
(140)
(140)
Litigation
and
conduct
(68)
(59)
(1,579)
(1,706)
Total
operating
expenses
(7,527)
(2,363)
(1,849)
(11,739)
Other
net
income/(expenses)
a
28
41
(1)
68
Profit/(loss)
before
tax
2,394
1,137
(2,245)
1,286
Total
assets
(£bn)
792.5
71.6
13.6
877.7
Number
of
employees
(full
time
equivalent)
9,100
3,300
10,000
22,400
Note
a
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
acquisitio
ns.
Income
by
geographic
region
a
2020
2019
2018
For
the
year
ended
31
December
£m
£m
£m
United
Kingdom
4,954
4,084
4,007
Europe
2,119
1,752
1,615
Americas
7,590
7,251
7,048
Africa
and
Middle
East
37
62
44
Asia
1,078
1,002
886
Total
15,778
14,151
13,600
Income
from
individual
countries
which
represent
more
than
5%
of
total
income
a
2020
2019
2018
For
the
year
ended
31
December
£m
£m
£m
United
Kingdom
4,954
4,084
4,007
United
States
7,471
7,121
6,916
Note
a
The
geographical
analysis
is
based
on
the
location
of
the
office
where
the
transactions
are
recorded.
3
Net
interest
income
Accounting
for
interest
income
and
expenses
Interest
income
on
loans
and
advances
at
amortised
cost
and
financial
assets
at
fair
value
through
other
comprehensive
income,
and
interest
expense
on
financial
liabilities
held
at
amortised
cost,
are
calculated
using
the
effective
interest
method
which
allocates
interest,
and
direct
and
incremental
fees
and
costs,
over
the
expected
lives
of
the
assets
and
liabilities.
The
effective
interest
method
requires
the
Barclays
Bank
Group
to
estimate
future
cash
flows,
in
some
cases
based
on
its
experience
of
customers’
behaviour,
considering
all
contractual
terms
of
the
financial
instrument,
as
well
as
the
expected
lives
of
the
assets
and
liabilities.
The
Barclays
Bank
Group
incurs
certain
costs
to
originate
credit
card
balances
with
the
most
significant
being
co-brand
partner
fees.
To
the
extent
these
costs
are
attributed
to
customers
that
continuously
carry
an
outstanding
balance
(revolvers)
and
incremental
to
the
origination
of
credit
card
balances,
they
are
capitalised
and
subsequently
included
within
the
calculation
of
the
effective
interest
rate.
They
are
amortised
to
interest
income
over
the
period
of
expected
repayment
of
the
originated
balance.
Costs
attributed
to
customers
that
settle
their
outstanding
balances
each
period
(transactors)
are
deferred
on
the
balance
sheet
as
a
cost
of
obtaining
a
contract
and
amortised
to
fee
and
commission
expense
over
the
life
of
the
customer
relationship
(refer
to
Note
4).
There
are
no
other
individual
estimates
involved
in
the
calculation
of
effective
interest
rates
that
are
material
to
the
results
or
financial
position.
Notes
to
the
financial
statements
Financial
performance
and
returns
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
118
2020
2019
a
2018
a
£m
£m
£m
Cash
and
balances
at
central
banks
226
919
919
Loans
and
advances
at
amortised
cost
4,510
5,514
5,554
Fair
value
through
other
comprehensive
income
604
831
662
Negative
interest
on
liabilities
68
13
35
Other
598
808
289
Interest
and
similar
income
6,006
8,085
7,459
Deposits
at
amortised
cost
(644)
(1,778)
(1,591)
Debt
securities
in
issue
b
(424)
(873)
(493)
Subordinated
liabilities
(1,112)
(1,096)
(1,397)
Negative
interest
on
assets
(325)
(250)
(228)
Other
(341)
(181)
(620)
Interest
and
similar
expense
(2,846)
(4,178)
(4,329)
Net
interest
income
3,160
3,907
3,130
Notes
a
Comparatives
for
negative
interest
income
on
liabilities
and
negative
interest
expense
on
assets
have
been
re-presented
from
Other
interest
income
and
Other
interest
expense.
b
Barclays
Bank
Group
has
amended
the
presentation
of
the
premium
paid
for
purchased
financial
guarantees
which
are
embedded
in
notes
it
issues
directly
to
the
market.
From
2020
onwards,
the
full
note
coupon
(£99m)
is
presented
as
interest
and
similar
expense
within
net
interest
income.
The
financial
guarantee
element
of
the
coupon
had
previously
been
recognised
in
net
investment
income
(2019:
£24m,
2018:
£1m).
The
comparatives
have
not
been
restated.
Interest
and
similar
income
presented
above
represents
interest
revenue
calculated
using
the
effective
interest
method.
Costs
to
originate
credit
card
balances
of
£687m
(2019:
£684m;
2018:
£585m)
have
been
amortised
to
interest
and
similar
income
during
the
period.
Interest
and
similar
income
includes
£9m
(2019:
£9m;
2018:
£9m)
accrued
on
impaired
loans.
Other
interest
expense
includes
£23m
(2019:
£25m)
relating
to
IFRS
16
lease
interest
expenses.
4
Net
fee
and
commission
income
Accounting
for
net
fee
and
commission
income
The
Barclays
Bank
Group
applies
IFRS
15
Revenue
from
Contracts
with
Customers.
IFRS
15
establishes
a
five-step
model
governing
revenue
recognition.
The
five-step
model
requires
the
Barclays
Bank
Group
to
(i)
identify
the
contract
with
the
customer,
(ii)
identify
each
of
the
performance
obligations
included
in
the
contract,
(iii)
determine
the
amount
of
consideration
in
the
contract,
(iv)
allocate
the
consideration
to
each
of
the
identified
performance
obligations
and
(v)
recognise
revenue
as
each
performance
obligation
is
satisfied.
The
Barclays
Bank
Group
recognises
fee
and
commission
income
charged
for
services
provided
by
the
Barclays
Bank
Group
as
the
services
are
provided,
for
example,
on
completion
of
the
underlying
transaction.
Where
the
contractual
arrangements
also
result
in
the
Barclays
Bank
Group
recognising
financial
instruments
in
scope
of
IFRS
9,
such
financial
instruments
are
initially
recognised
at
fair
value
in
accordance
with
IFRS
9
before
applying
the
provisions
of
IFRS
15.
Fee
and
commission
income
is
disaggregated
below
by
fee
types
that
reflect
the
nature
of
the
services
offered
across
the
Barclays
Bank
Group
and
operating
segments,
in
accordance
with
IFRS
15.
The
below
table
includes
a
total
for
fees
in
scope
of
IFRS
15.
Refer
to
Note
2
for
more
detailed
information
about
operating
segments.
2020
Corporate
and
Investment
Bank
Consumer,
Cards
and
Payments
Head
Office
Total
£m
£m
£m
£m
Fee
type
Transactional
357
1,973
-
2,330
Advisory
593
100
-
693
Brokerage
and
execution
1,116
57
-
1,173
Underwriting
and
syndication
2,867
-
-
2,867
Other
54
152
29
235
Total
revenue
from
contracts
with
customers
4,987
2,282
29
7,298
Other
non-contract
fee
income
114
5
-
119
Fee
and
commission
income
5,101
2,287
29
7,417
Fee
and
commission
expense
(768)
(988)
(2)
(1,758)
Net
fee
and
commission
income
4,333
1,299
27
5,659
Notes
to
the
financial
statements
Financial
performance
and
returns
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
119
2019
Corporate
and
Investment
Bank
Consumer,
Cards
and
Payments
Head
Office
Total
£m
£m
£m
£m
Fee
type
Transactional
391
2,418
-
2,809
Advisory
821
83
-
904
Brokerage
and
execution
1,082
49
-
1,131
Underwriting
and
syndication
2,358
-
-
2,358
Other
90
227
30
347
Total
revenue
from
contracts
with
customers
4,742
2,777
30
7,549
Other
non-contract
fee
income
110
5
-
115
Fee
and
commission
income
4,852
2,782
30
7,664
Fee
and
commission
expense
(743)
(1,249)
-
(1,992)
Net
fee
and
commission
income
4,109
1,533
30
5,672
2018
Corporate
and
Investment
Bank
Consumer,
Cards
and
Payments
Head
Office
Total
£m
£m
£m
£m
Fee
type
Transactional
366
2,248
-
2,614
Advisory
772
78
-
850
Brokerage
and
execution
1,002
71
-
1,073
Underwriting
and
syndication
2,462
-
-
2,462
Other
24
222
29
275
Total
revenue
from
contracts
with
customers
4,626
2,619
29
7,274
Other
non-contract
fee
income
114
4
-
118
Fee
and
commission
income
4,740
2,623
29
7,392
Fee
and
commission
expense
(657)
(1,128)
-
(1,785)
Net
fee
and
commission
income
4,083
1,495
29
5,607
Fee
types
Transactional
Transactional
fees
are
service
charges
on
deposit
accounts,
cash
management
services
and
transactional
processing
fees.
These
include
interchange
and
merchant
fee
income
generated
from
credit
and
bank
card
usage.
Transaction
and
processing
fees
are
recognised
at
the
point
in
time
the
transaction
occurs
or
service
is
performed.
Interchange
and
merchant
fees
are
recognised
upon
settlement
of
the
card
transaction
payment.
The
Barclays
Bank
Group
incurs
certain
card
related
costs
including
those
related
to
cardholder
reward
programmes
and
payments
to
co-brand
partners.
Cardholder
reward
programmes
costs
related
to
customers
that
settle
their
outstanding
balance
each
period
(transactors)
are
expensed
when
incurred
and
presented
in
fee
and
commission
expense
while
costs
related
to
customers
that
continuously
carry
an
outstanding
balance
(revolvers)
are
included
in
the
effective
interest
rate
of
the
receivable
(refer
to
Note
3).
Payments
to
partners
for
new
cardholder
account
originations
related
to
transactor
accounts
are
deferred
as
costs
to
obtain
a
contract
under
IFRS
15,
while
costs
related
to
revolver
accounts
are
included
in
the
effective
interest
rate
of
the
receivable
(refer
to
Note
3).
Those
costs
deferred
under
IFRS
15
are
capitalised
and
amortised
over
the
estimated
life
of
the
customer
relationship.
Payments
to
co-brand
partners
based
on
revenue
sharing
are
presented
as
a
reduction
of
fee
and
commission
income
while
payments
based
on
profitability
are
presented
in
fee
and
commission
expense.
Advisory
Advisory
fees
are
generated
from
wealth
management
services
and
investment
banking
advisory
services
related
to
mergers,
acquisitions
and
financial
restructurings.
Wealth
management
advisory
fees
are
earned
over
the
period
the
services
are
provided
and
are
generally
recognised
quarterly
when
the
market
value
of
client
assets
is
determined.
Investment
banking
advisory
fees
are
recognised
at
the
point
in
time
when
the
services
related
to
the
transaction
have
been
completed
under
the
terms
of
the
engagement.
Investment
banking
advisory
costs
are
recognised
as
incurred
in
fee
and
commission
expense
if
direct
and
incremental
to
the
advisory
services
or
are
otherwise
recognised
in
operating
expenses.
Brokerage
and
execution
Brokerage
and
execution
fees
are
earned
for
executing
client
transactions
with
various
exchanges
and
over-the-counter
markets
and
assisting
clients
in
clearing
transactions.
Brokerage
and
execution
fees
are
recognised
at
the
point
in
time
the
associated
service
has
been
completed
which
is
generally
the
trade
date
of
the
transaction.
Notes
to
the
financial
statements
Financial
performance
and
returns
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
120
Underwriting
and
syndication
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.
Underwriting
fees
are
generally
recognised
on
trade
date
if
there
is
no
remaining
contingency,
such
as
the
transaction
being
conditional
on
the
closing
of
an
acquisition
or
another
transaction.
Underwriting
costs
are
deferred
and
recognised
in
fee
and
commission
expense
when
the
associated
underwriting
fees
are
recorded.
Syndication
fees
are
earned
for
arranging
and
administering
a
loan
syndication;
however,
the
associated
fee
may
be
subject
to
variability
until
the
loan
has
been
syndicated
to
other
syndicate
members
or
until
other
contingencies
have
been
resolved
and
therefore
the
fee
revenue
is
deferred
until
the
uncertainty
is
resolved.
Included
in
underwriting
and
syndication
fees
are
loan
commitment
fees
which
are
not
presented
as
part
of
the
carrying
value
of
the
loan
in
accordance
with
IFRS
9.
Such
commitment
fees
are
recognised
over
time
through
to
the
contractual
maturity
of
the
commitment.
Contract
assets
and
contract
liabilities
The
Barclays
Bank
Group
had
no
material
contract
assets
or
contract
liabilities
as
at
31
December
2020
(2019:
nil;
2018:
nil).
Impairment
of
fee
receivables
and
contract
assets
During
2020,
there
have
been
no
material
impairments
recognised
in
relation
to
fees
receivable
and
contract
assets
(2019:
nil;
2018:
nil).
Fees
in
relation
to
transactional
business
can
be
added
to
outstanding
customer
balances.
These
amounts
may
be
subsequently
impaired
as
part
of
the
overall
loans
and
advances
balance.
Remaining
performance
obligations
The
Barclays
Bank
Group
applies
the
practical
expedient
of
IFRS
15
and
does
not
disclose
information
about
remaining
performance
obligations
that
have
original
expected
durations
of
one
year
or
less
or
because
the
Barclays
Bank
Group
has
a
right
to
consideration
that
corresponds
directly
with
the
value
of
the
service
provided
to
the
client
or
customer.
Costs
incurred
in
obtaining
or
fulfilling
a
contract
The
Barclays
Bank
Group
expects
that
incremental
costs
of
obtaining
a
contract
such
as
success
fee
and
commission
fees
paid
are
recoverable
and
therefore
capitalised
such
contract
costs
in
the
amount
of
£135m
at
31
December
2020
(2019:
£153m;
2018:
£125m).
Capitalised
contract
costs
are
amortised
based
on
the
transfer
of
services
to
which
the
asset
relates
which
typically
ranges
over
the
expected
life
of
the
relationship.
In
2020,
the
amount
of
amortisation
was
£35m
(2019:
£29m;
2018:
£30m)
and
there
was
no
impairment
loss
recognised
in
connection
with
the
capitalised
contract
costs
(2019:
nil;
2018:
nil).
5
Net
trading
income
Accounting
for
net
trading
income
In
accordance
with
IFRS
9,
trading
positions
are
held
at
fair
value,
and
the
resulting
gains
and
losses
are
included
in
the
income
statement,
together
with
interest
and
dividends
arising
from
long
and
short
positions
and
funding
costs
relating
to
trading
activities.
Income
arises
from
both
the
sale
and
purchase
of
trading
positions,
margins
which
are
achieved
through
market
making
and
customer
business
and
from
changes
in
fair
value
caused
by
movements
in
interest
and
exchange
rates,
equity
prices
and
other
market
variables.
Gains
or
losses
on
non-trading
financial
instruments
designated
or
mandatorily
at
fair
value
with
changes
in
fair
value
recognised
in
the
income
statement
are
included
in
net
trading
income
where
the
business
model
is
to
manage
assets
and
liabilities
on
a
fair
value
basis
which
includes
use
of
derivatives
or
where
an
instrument
is
designated
at
fair
value
to
eliminate
an
accounting
mismatch
and
the
related
instrument's
gain
and
losses
are
reported
in
trading
income.
2020
2019
2018
£m
£m
£m
Net
gains
from
financial
instruments
held
for
trading
5,392
2,795
3,101
Net
gains
from
financial
instruments
designated
at
fair
value
695
240
259
Net
gains
from
financial
instruments
mandatorily
at
fair
value
989
1,038
1,004
Net
trading
income
7,076
4,073
4,364
Notes
to
the
financial
statements
Financial
performance
and
returns
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
121
6
Net
investment
(expense)/income
Accounting
for
net
investment
income
Dividends
are
recognised
when
the
right
to
receive
the
dividend
has
been
established.
Other
accounting
policies
relating
to
net
investment
income
are
set
out
in
Note
12
and
Note
14.
2020
2019
2018
£m
£m
£m
Net
(losses)/gains
from
financial
assets
mandatorily
at
fair
value
(39)
218
172
Net
gains
from
disposal
of
debt
instruments
at
fair
value
through
other
comprehensive
income
251
454
131
Net
(losses)/gains
from
disposal
of
financial
assets
and
liabilities
measured
at
amortised
cost
a
(128)
(38)
(20)
Dividend
income
-
-
55
Net
(losses)/gains
on
other
investments
b
(205)
(214)
56
Net
investment
(expense)/income
(121)
420
394
Notes
a
Included
within
the
2020
balance
are
losses
of
£115m
relating
to
the
partial
redemption
of
contingent
capital
notes.
b
Barclays
has
amended
the
presentation
of
the
premium
paid
for
purchased
financial
guarantees
which
are
embedded
in
notes
it
issues
directly
to
the
market.
From
2020
onwards,
the
full
note
coupon
is
presented
as
interest
expense
within
net
interest
income.
The
financial
guarantee
element
of
the
coupon
had
previously
been
recognised
in
net
investment
income.
The
reclassification
into
interest
expense
is
£99m
for
2020
(2019:
£25m,
2018:
£1m).
The
comparatives
have
not
been
restated.
7
Credit
impairment
charges
Accounting
for
the
impairment
of
financial
assets
Impairment
In
accordance
with
IFRS
9,
the
Barclays
Bank
Group
is
required
to
recognise
expected
credit
losses
(ECLs)
based
on
unbiased
forward-looking
information
for
all
financial
assets
at
amortised
cost,
lease
receivables,
debt
financial
assets
at
fair
value
through
other
comprehensive
income,
loan
commitments
and
financial
guarantee
contracts.
Intercompany
exposures
in
the
individual
financial
statements,
including
loan
commitments
and
financial
guarantee
contracts,
are
also
in
scope
of
IFRS
9
for
ECL
purposes.
At
the
reporting
date,
an
allowance
(or
provision
for
loan
commitments
and
financial
guarantees)
is
required
for
the
12
month
(Stage
1)
ECLs.
If
the
credit
risk
has
significantly
increased
since
initial
recognition
(Stage
2),
or
if
the
financial
instrument
is
credit
impaired
(Stage
3),
an
allowance
(or
provision)
should
be
recognised
for
the
lifetime
ECLs.
The
measurement
of
ECL
is
calculated
using
three
main
components:
(i)
probability
of
default
(PD)
(ii)
loss
given
default
(LGD)
and
(iii)
the
exposure
at
default
(EAD).
The
12
month
and
lifetime
ECLs
are
calculated
by
multiplying
the
respective
PD,
LGD
and
the
EAD.
The
12
month
and
lifetime
PDs
represent
the
PD
occurring
over
the
next
12
months
and
the
remaining
maturity
of
the
instrument
respectively.
The
EAD
represents
the
expected
balance
at
default,
taking
into
account
the
repayment
of
principal
and
interest
from
the
balance
sheet
date
to
the
default
event
together
with
any
expected
drawdowns
of
committed
facilities.
The
LGD
represents
expected
losses
on
the
EAD
given
the
event
of
default,
taking
into
account,
among
other
attributes,
the
mitigating
effect
of
collateral
value
at
the
time
it
is
expected
to
be
realised
and
the
time
value
of
money.
Determining
a
significant
increase
in
credit
risk
since
initial
recognition:
The
Barclays
Bank
Group
assesses
when
a
significant
increase
in
credit
risk
has
occurred
based
on
quantitative
and
qualitative
assessments.
The
credit
risk
of
an
exposure
is
considered
to
have
significantly
increased
when:
i)
Quantitative
test
The
annualised
lifetime
PD
has
increased
by
more
than
an
agreed
threshold
relative
to
the
equivalent
at
origination.
PD
deterioration
thresholds
are
defined
as
percentage
increases,
and
are
set
at
an
origination
score
band
and
segment
level
to
ensure
the
test
appropriately
captures
significant
increases
in
credit
risk
at
all
risk
levels.
Generally,
thresholds
are
inversely
correlated
to
the
origination
PD,
i.e.
as
the
origination
PD
increases,
the
threshold
value
reduces.
The
assessment
of
the
point
at
which
a
PD
increase
is
deemed
‘significant’,
is
based
upon
analysis
of
the
portfolio’s
risk
profile
against
a
common
set
of
principles
and
performance
metrics
(consistent
across
both
retail
and
wholesale
businesses),
incorporating
expert
credit
judgement
where
appropriate.
Application
of
quantitative
PD
floors
does
not
represent
the
use
of
the
low
credit
risk
exemption
as
exposures
can
separately
move
into
stage
2
via
the
qualitative
route
described
below.
Wholesale
assets
apply
a
100%
increase
in
PD
and
0.2%
PD
floor
to
determine
a
significant
increase
in
credit
risk.
Retail
assets
apply
bespoke
relative
increase
and
absolute
PD
thresholds
based
on
product
type
and
origination
PD.
Thresholds
are
subject
to
maximums
defined
by
Barclays
Bank
Group
policy
and
typically
apply
minimum
relative
thresholds
of
50-100%
and
a
maximum
relative
threshold
of
400%.
For
existing/historical
exposures
where
origination
point
scores
or
data
are
no
longer
available
or
do
not
represent
a
comparable
estimate
of
lifetime
PD,
a
proxy
origination
score
is
defined,
based
upon:
◾
data
start
point
no
later
than
1
January
2015);
or
Notes
to
the
financial
statements
Financial
performance
and
returns
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
122
◾
PD.
ii)
Qualitative
test
This
is
relevant
for
accounts
that
meet
the
portfolio’s
‘high
risk’
criteria
and
are
subject
to
closer
credit
monitoring.
High
risk
customers
may
not
be
in
arrears
but
either
through
an
event
or
an
observed
behaviour
exhibit
credit
distress.
The
definition
and
assessment
of
high
risk
includes
as
wide
a
range
of
information
as
reasonably
available,
such
as
industry
and
Group-wide
customer
level
data,
including
but
not
limited
to
bureau
scores
and
high
consumer
indebtedness
index,
wherever
possible
or
relevant.
Whilst
the
high
risk
populations
applied
for
IFRS
9
impairment
purposes
are
aligned
with
risk
management
processes,
they
are
also
regularly
reviewed
and
validated
to
ensure
that
they
capture
any
incremental
segments
where
there
is
evidence
of
credit
deterioration.
iii)
Backstop
criteria
This
is
relevant
for
accounts
that
are
more
than
30
calendar
days
past
due.
The
30
days
past
due
criteria
is
a
backstop
rather
than
a
primary
driver
of
moving
exposures
into
Stage
2.
The
criteria
for
determining
a
significant
increase
in
credit
risk
for
assets
with
bullet
repayments
follows
the
same
principle
as
all
other
assets,
i.e.
quantitative,
qualitative
and
backstop
tests
are
all
applied.
Exposures
will
move
back
to
Stage
1
once
they
no
longer
meet
the
criteria
for
a
significant
increase
in
credit
risk.
This
means
that,
at
a
minimum
all
payments
must
be
up-to-date,
the
PD
deterioration
test
is
no
longer
met,
the
account
is
no
longer
classified
as
high
risk,
and
the
customer
has
evidenced
an
ability
to
maintain
future
payments.
Exposures
are
only
removed
from
Stage
3
and
re-assigned
to
Stage
2
once
the
original
default
trigger
event
no
longer
applies.
Exposures
being
removed
from
Stage
3
must
no
longer
qualify
as
credit
impaired,
and:
a)
the
obligor
will
also
have
demonstrated
consistently
good
payment
behaviour
over
a
12-month
period,
by
making
all
consecutive
contractual
payments
due
and,
for
forborne
exposures,
the
relevant
EBA
defined
probationary
period
has
also
been
successfully
completed
or;
b)
(for
non-forborne
exposures)
the
performance
conditions
are
defined
and
approved
within
an
appropriately
sanctioned
restructure
plan,
including
12
months’
payment
history
have
been
met.
Management
overlays
and
other
exceptions
to
model
outputs
are
applied
only
if
consistent
with
the
objective
of
identifying
significant
increases
in
credit
risk.
Forward-looking
information
The
measurement
of
ECL
involves
complexity
and
judgement,
including
estimation
of
PD,
LGD,
a
range
of
unbiased
future
economic
scenarios,
estimation
of
expected
lives
(where
contractual
life
is
not
appropriate),
and
estimation
of
EAD
and
assessing
significant
increases
in
credit
risk.
Credit
losses
are
the
expected
cash
shortfalls
from
what
is
contractually
due
over
the
expected
life
of
the
financial
instrument,
discounted
at
the
original
effective
interest
rate
(EIR).
ECLs
are
the
unbiased
probability-weighted
credit
losses
determined
by
evaluating
a
range
of
possible
outcomes
and
considering
future
economic
conditions.
The
Barclays
Bank
Group
uses
a
five-scenario
model
to
calculate
ECL.
An
external
consensus
forecast
is
assembled
from
key
sources,
including
HM
Treasury
(short
and
medium
term
forecasts),
Bloomberg
(based
on
median
of
economic
forecasters)
and
the
Urban
Land
Institute
(for
US
House
Prices),
which
forms
the
baseline
scenario.
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
calibrated
to
a
similar
severity
to
internal
stress
tests,
whilst
also
considering
IFRS
9
specific
sensitivities
and
non-linearity.
Downside
2
is
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
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.
The
methodology
for
estimating
probability
weights
for
each
of
the
scenarios
involves
a
comparison
of
the
distribution
of
key
historical
UK
and
US
macroeconomic
variables
against
the
forecast
paths
of
the
five
scenarios.
The
m
ethodology
works
such
that
the
baseline
(reflecting
current
consensus
outlook)
has
the
highest
weight
and
the
weights
of
adverse
and
favourable
scenarios
depend
on
the
deviation
from
the
baseline;
the
further
from
the
baseline,
the
smaller
the
weight.
A
single
set
of
five
scenarios
is
used
across
all
portfolios
and
all
five
weights
are
normalised
to
equate
to
100%.
The
same
scenarios
and
weights
that
are
used
in
the
estimation
of
expected
credit
losses
are
also
used
for
the
Barclays
Bank
Group’s
internal
planning
purposes.
The
impacts
across
the
portfolios
are
different
because
of
the
sensitivities
of
each
of
the
portfolios
to
specific
macroeconomic
variables,
for
example,
mortgages
are
highly
sensitive
to
house
prices,
and
credit
cards
and
unsecured
consumer
loans
are
highly
sensitive
to
unemployment.
Definition
of
default,
credit
impaired
assets,
write-offs,
and
interest
income
recognition
The
definition
of
default
for
the
purpose
of
determining
ECLs,
and
for
internal
credit
risk
management
purposes,
has
been
aligned
to
the
Regulatory
Capital
CRR
Article
178
definition
of
default,
to
maintain
a
consistent
approach
with
IFRS
9
and
associated
regulatory
guidance.
The
Regulatory
Capital
CRR
Article
178
definition
of
default
considers
indicators
that
the
debtor
is
unlikely
to
pay,
includes
exposures
in
forbearance
and
is
no
later
than
when
the
exposure
is
more
than
90
days
past
due
or
180
days
past
due
in
the
case
of
UK
mortgages.
When
exposures
are
identified
as
credit
impaired
at
the
time
when
they
are
purchased
or
originated
interest
income
is
calculated
on
the
carrying
value
net
of
the
impairment
allowance.
An
asset
is
considered
credit
impaired
when
one
or
more
events
occur
that
have
a
detrimental
impact
on
the
estimated
future
cash
flows
of
the
financial
asset.
This
comprises
assets
defined
as
defaulted
and
other
individually
assessed
exposures
where
imminent
default
or
actual
loss
is
Notes
to
the
financial
statements
Financial
performance
and
returns
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
123
identified.
Uncollectible
loans
are
written
off
against
the
related
allowance
for
loan
impairment
on
completion
of
the
Barclays
Bank
Group’s
internal
processes
and
when
all
reasonably
expected
recoverable
amounts
have
been
collected.
Subsequent
recoveries
of
amounts
previously
written
off
are
credited
to
the
income
statement.
The
timing
and
extent
of
write-offs
may
involve
some
element
of
subjective
judgement.
Nevertheless,
a
write-off
will
often
be
prompted
by
a
specific
event,
such
as
the
inception
of
insolvency
proceedings
or
other
formal
recovery
action,
which
makes
it
possible
to
establish
that
some
or
the
entire
advance
is
beyond
realistic
prospect
of
recovery.
Accounting
for
purchased
financial
guarantee
contracts
The
Barclays
Bank
Group
may
enter
into
a
financial
guarantee
contract
which
requires
the
issuer
of
such
contract
to
reimburse
the
Barclays
Bank
Group
for
a
loss
it
incurs
because
a
specified
debtor
fails
to
make
payment
when
due
in
accordance
with
the
terms
of
a
debt
instrument.
For
these
separate
financial
guarantee
contracts,
the
Barclays
Bank
Group
recognises
a
reimbursement
asset
aligned
with
the
recognition
of
the
underlying
ECLs,
if
it
is
considered
virtually
certain
that
a
reimbursement
would
be
received
if
the
specified
debtor
fails
to
make
payment
when
due
in
accordance
with
the
terms
of
the
debt
instrument.
Loan
modifications
and
renegotiations
that
are
not
credit-impaired
When
modification
of
a
loan
agreement
occurs
as
a
result
of
commercial
restructuring
activity
rather
than
due
to
the
credit
risk
of
the
borrower,
an
assessment
must
be
performed
to
determine
whether
the
terms
of
the
new
agreement
are
substantially
different
from
the
terms
of
the
existing
agreement.
This
assessment
considers
both
the
change
in
cash
flows
arising
from
the
modified
terms
as
well
as
the
change
in
overall
instrument
risk
profile.
In
respect
of
payment
holidays
granted
to
borrowers
which
are
not
due
to
forbearance,
if
the
revised
cash
flows
on
a
present
value
basis
(based
on
the
original
EIR)
are
not
substantially
different
from
the
original
cash
flows,
the
loan
is
not
considered
to
be
substantially
modified.
Where
terms
are
substantially
different,
the
existing
loan
will
be
derecognised
and
a
new
loan
will
be
recognised
at
fair
value,
with
any
difference
in
valuation
recognised
immediately
within
the
income
statement,
subject
to
observability
criteria.
Where
terms
are
not
substantially
different,
the
loan
carrying
value
will
be
adjusted
to
reflect
the
present
value
of
modified
cash
flows
discounted
at
the
original
EIR,
with
any
resulting
gain
or
loss
recognised
immediately
within
the
income
statement
as
a
modification
gain
or
loss.
Note
1
sets
out
details
for
changes
in
the
basis
of
determining
the
contractual
cash
flows
of
a
financial
instrument
that
are
required
by
interest
rate
benchmark
reform.
Expected
life
Lifetime
ECLs
must
be
measured
over
the
expected
life.
This
is
restricted
to
the
maximum
contractual
life
and
takes
into
account
expected
prepayment,
extension,
call
and
similar
options.
The
exceptions
are
certain
revolver
financial
instruments,
such
as
credit
cards
and
bank
overdrafts,
that
include
both
a
drawn
and
an
undrawn
component
where
the
entity’s
contractual
ability
to
demand
repayment
and
cancel
the
undrawn
commitment
does
not
limit
the
entity’s
exposure
to
credit
losses
to
the
contractual
notice
period.
For
revolving
facilities,
expected
life
is
analytically
derived
to
reflect
behavioural
life
of
the
asset,
i.e.
the
full
period
over
which
the
business
expects
to
be
exposed
to
credit
risk.
Behavioural
life
is
typically
based
upon
historical
analysis
of
the
average
time
to
default,
closure
or
withdrawal
of
facility.
Where
data
is
insufficient
or
analysis
inconclusive,
an
additional
‘maturity
factor’
may
be
incorporated
to
reflect
the
full
estimated
life
of
the
exposures,
based
upon
experienced
judgement
and/or
peer
analysis.
Potential
future
modifications
of
contracts
are
not
taken
into
account
when
determining
the
expected
life
or
EAD
until
they
occur.
Discounting
ECLs
are
discounted
at
the
EIR
at
initial
recognition
or
an
approximation
thereof
and
consistent
with
income
recognition.
For
loan
commitments
the
EIR
is
the
rate
that
is
expected
to
apply
when
the
loan
is
drawn
down
and
a
financial
asset
is
recognised.
Issued
financial
guarantee
contracts
are
discounted
at
the
risk
free
rate.
Lease
receivables
are
discounted
at
the
rate
implicit
in
the
lease.
For
variable/floating
rate
financial
assets,
the
spot
rate
at
the
reporting
date
is
used
and
projections
of
changes
in
the
variable
rate
over
the
expected
life
are
not
made
to
estimate
future
interest
cash
flows
or
for
discounting.
Modelling
techniques
ECLs
are
calculated
by
multiplying
three
main
components,
being
the
PD,
LGD
and
the
EAD,
discounted
at
the
original
EIR.
The
regulatory
Basel
Committee
of
Banking
Supervisors
(BCBS)
ECL
calculations
are
leveraged
for
IFRS
9
modelling
but
adjusted
for
key
differences
which
include:
◾
conditions
at
the
reporting
date
and
multiple
forecasts
of
the
future
economic
conditions
over
the
expected
lives;
◾
date
at
the
original
EIR
rather
than
using
the
cost
of
capital
to
the
date
of
default;
◾
not
been
considered
in
the
modelling
process,
for
example
forecast
economic
scenarios
for
uncertain
political
events;
and
◾
characteristics
are
grouped
together,
with
apportionment
to
individual
financial
instruments,
is
used
where
effects
can
only
be
seen
at
a
collective
level,
for
example
for
forward-looking
information.
For
the
IFRS
9
impairment
assessment,
the
Barclays
Bank
Group’s
risk
models
are
used
to
determine
the
PD,
LGD
and
EAD.
For
Stage
2
and
3,
the
Barclays
Bank
Group
applies
lifetime
PDs
but
uses
12
month
PDs
for
Stage
1.
The
ECL
drivers
of
PD,
EAD
and
LGD
are
modelled
at
an
account
level
which
considers
vintage,
among
other
credit
factors.
Also,
the
assessment
of
significant
increase
in
credit
risk
is
based
on
the
initial
lifetime
PD
curve,
which
accounts
for
the
different
credit
risk
underwritten
over
time.
Forbearance
A
financial
asset
is
subject
to
forbearance
when
it
is
modified
due
to
the
credit
distress
of
the
borrower.
A
modification
made
to
the
terms
of
an
asset
due
to
forbearance
will
typically
be
assessed
as
a
non-substantial
modification
that
does
not
result
in
derecognition
of
the
original
loan,
Notes
to
the
financial
statements
Financial
performance
and
returns
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
124
except
in
circumstances
where
debt
is
exchanged
for
equity.
Both
performing
and
non-performing
forbearance
assets
are
classified
as
Stage
3
except
where
it
is
established
that
the
concession
granted
has
not
resulted
in
diminished
financial
obligation
and
that
no
other
regulatory
definitions
of
default
criteria
have
been
triggered,
in
which
case
the
asset
is
classified
as
Stage
2.
The
minimum
probationary
period
for
non-performing
forbearance
is
12
months
and
for
performing
forbearance,
24
months.
Hence,
a
minimum
of
36
months
is
required
for
non-performing
forbearance
to
move
out
of
a
forborne
state.
No
financial
instrument
in
forbearance
can
transfer
back
to
Stage
1
until
all
of
the
Stage
2
thresholds
are
no
longer
met
and
can
only
move
out
of
Stage
3
when
no
longer
credit
impaired.
Critical
accounting
estimates
and
judgements
IFRS
9
impairment
involves
several
important
areas
of
judgement,
including
estimating
forward
looking
modelled
parameters
(PD,
LGD
and
EAD),
developing
a
range
of
unbiased
future
economic
scenarios,
estimating
expected
lives
and
assessing
significant
increases
in
credit
risk,
based
on
the
Barclays
Bank
Group’s
experience
of
managing
credit
risk.
The
determination
of
expected
life
is
most
material
for
Barclays
credit
card
portfolios
which
is
obtained
via
behavioural
life
analysis
to
materially
capture
the
risk
of
these
facilities.
Within
the
retail
and
small
businesses
portfolios,
which
comprise
large
numbers
of
small
homogenous
assets
with
similar
risk
characteristics
where
credit
scoring
techniques
are
generally
used,
the
impairment
allowance
is
calculated
using
forward
looking
modelled
parameters
which
are
typically
run
at
account
level.
There
are
many
models
in
use,
each
tailored
to
a
product,
line
of
business
or
customer
category.
Judgement
and
knowledge
is
needed
in
selecting
the
statistical
methods
to
use
when
the
models
are
developed
or
revised.
The
impairment
allowance
reflected
in
the
financial
statements
for
these
portfolios
is
therefore
considered
to
be
reasonable
and
supportable.
For
individually
significant
assets
in
Stage
3,
impairment
allowances
are
calculated
on
an
individual
basis
and
all
relevant
considerations
that
have
a
bearing
on
the
expected
future
cash
flows
across
a
range
of
economic
scenarios
are
taken
into
account.
These
considerations
can
be
particularly
subjective
and
can
include
the
business
prospects
for
the
customer,
the
realisable
value
of
collateral,
the
Barclays
Bank
Group’s
position
relative
to
other
claimants,
the
reliability
of
customer
information
and
the
likely
cost
and
duration
of
the
work-out
process.
The
level
of
the
impairment
allowance
is
the
difference
between
the
value
of
the
discounted
expected
future
cash
flows
(discounted
at
the
loan’s
original
effective
interest
rate),
and
its
carrying
amount.
Furthermore,
judgements
change
with
time
as
new
information
becomes
available
or
as
work-
out
strategies
evolve,
resulting
in
frequent
revisions
to
the
impairment
allowance
as
individual
decisions
are
taken.
Changes
in
these
estimates
would
result
in
a
change
in
the
allowances
and
have
a
direct
impact
on
the
impairment
charge.
Temporary
adjustments
to
calculated
IFRS9
impairment
allowances
may
be
applied
in
limited
circumstances
to
account
for
situations
where
known
or
expected
risk
factors
or
information
have
not
been
considered
in
the
ECL
assessment
or
modelling
process.
For
further
information
please
see
page
56
in
credit
risk
performance.
2020
2019
2018
Impairment
Charges
Recoveries
and
Reimbursements
a
Total
Impairment
Charges
Recoveries
and
Reimbursements
Total
Impairment
Charges
Recoveries
and
Reimbursements
Total
£m
£m
£m
£m
£m
£m
£m
£m
£m
Loans
and
advances
3,060
(368)
2,692
1,214
(73)
1,141
774
(86)
688
Provision
for
undrawn
contractually
committed
facilities
and
guarantees
provided
547
-
547
55
-
55
(48)
-
(48)
Loans
impairment
3,607
(368)
3,239
1,269
(73)
1,196
726
(86)
640
Cash
collateral
and
settlement
balances
2
-
2
1
-
1
(1)
-
(1)
Financial
instruments
at
fair
value
through
OCI
-
-
-
-
-
-
4
-
4
Other
financial
assets
measured
at
cost
136
-
136
5
-
5
-
-
-
Credit
impairment
charges
b
3,745
(368)
3,377
1,275
(73)
1,202
729
(86)
643
Notes
a
Recoveries
and
reimbursements
includes
£364m
for
reimbursements
expected
to
be
received
under
the
arrangement
where
Group
has
entered
into
financial
guarantee
contracts
which
provide
credit
protection
over
certain
loans
assets
with
third
parties.
Cash
recoveries
of
previously
written
off
amounts
to
£4m.
b
Barclays
Bank
PLC
transferred
its
UK
banking
business
on
1
April
2018
to
Barclays
Bank
UK
PLC.
Results
relating
to
the
UK
banking
business
for
the
three
months
ended
31
March
2018
(Impairment
charges:
£217m
and
recoveries:
£16m)
have
been
repo
rted
as
discontinued
operations.
Write-offs
subject
to
enforcement
activity
The
contractual
amount
outstanding
on
financial
assets
that
were
written
off
during
the
period
ended
31
December
2020
and
that
are
still
subject
to
enforcement
activity
is
£816m
(2019:
£1,119
m
).
This
is
lower
than
the
write-offs
presented
in
the
movement
in
gross
exposures
and
impairment
allowance
table
due
to
assets
sold
during
the
year
post
write-offs
and
post
write-off
recoveries.
Modification
of
financial
assets
Financial
assets
of
£3,781m
(2019:
£1,311
m)
were
subject
to
non-substantial
modification
during
the
period,
with
a
resulting
loss
of
£21m
(2019:
£20m).
The
gross
carrying
amount
at
31
December
2020
of
financial
assets
for
which
the
loss
allowance
has
changed
to
a
12
month
ECL
during
the
year
amounts
to
£1,194m
(2019:
£401m).
Notes
to
the
financial
statements
Financial
performance
and
returns
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
125
8
Operating
expenses
2020
2019
2018
£m
£m
£m
Infrastructure
costs
Property
and
equipment
373
368
380
Depreciation
and
amortisation
a
421
457
395
Lease
payments
a
1
7
158
Impairment
of
property,
equipment
and
intangible
assets
21
3
2
Total
infrastructure
costs
816
835
935
Administration
and
general
expenses
Consultancy,
legal
and
professional
fees
345
362
400
Marketing
and
advertising
176
258
316
UK
bank
levy
249
185
223
Other
administration
and
general
expenses
3,432
3,513
3,285
Total
administration
and
general
expenses
4,202
4,318
4,224
Staff
costs
4,365
4,565
4,874
Litigation
and
conduct
76
264
1,706
Operating
expenses
9,459
9,982
11,739
Note
a
With
adoption
of
IFRS
16
from
1
January
2019,
the
depreciation
charge
associated
with
right
of
use
assets
is
reported
within
the
depreciation
and
amortisation
charge
for
2019
and
2020.
For
further
details
on
staff
costs
including
accounting
policies,
refer
to
Note
29.
9
Tax
Accounting
for
income
taxes
The
Barclays
Bank
Group
applies
IAS
12
Income
Taxes
in
accounting
for
taxes
on
income.
Income
tax
payable
on
taxable
profits
(current
tax)
is
recognised
as
an
expense
in
the
periods
in
which
the
profits
arise.
Withholding
taxes
are
also
treated
as
income
taxes.
Income
tax
recoverable
on
tax
allowable
losses
is
recognised
as
a
current
tax
asset
only
to
the
extent
that
it
is
regarded
as
recoverable
by
offsetting
against
taxable
profits
arising
in
the
current
or
prior
periods.
Current
tax
is
measured
using
tax
rates
and
tax
laws
that
have
been
enacted
or
substantively
enacted
at
the
balance
sheet
date.
Deferred
tax
assets
are
recognised
to
the
extent
that
it
is
probable
that
taxable
profit
will
be
available
against
which
the
deductible
temporary
differences,
and
the
carry
forward
of
unused
tax
credits
and
unused
tax
losses
can
be
utilised,
except
in
certain
circumstances
where
the
deferred
tax
asset
relating
to
the
deductible
temporary
difference
arises
from
the
initial
recognition
of
an
asset
or
liability
in
a
transaction
that
is
not
a
business
combination
and,
at
the
time
of
the
transaction,
affects
neither
the
accounting
profit
nor
taxable
profit
or
loss.
Deferred
tax
is
determined
using
tax
rates
and
legislation
enacted
or
substantively
enacted
by
the
balance
sheet
date
which
are
expected
to
apply
when
the
deferred
tax
asset
is
realised
or
the
deferred
tax
liability
is
settled.
Deferred
tax
assets
and
liabilities
are
only
offset
when
there
is
both
a
legal
right
to
set-off
and
an
intention
to
settle
on
a
net
basis.
The
Barclays
Bank
Group
considers
an
uncertain
tax
position
to
exist
when
it
considers
that
ultimately,
in
the
future,
the
amount
of
profit
subject
to
tax
may
be
greater
than
the
amount
initially
reflected
in
the
Barclays
Bank
Group’s
tax
returns.
The
Barclays
Bank
Group
accounts
for
provisions
in
respect
of
uncertain
tax
positions
in
two
different
ways.
A
current
tax
provision
is
recognised
when
it
is
considered
probable
that
the
outcome
of
a
review
by
a
tax
authority
of
an
uncertain
tax
position
will
alter
the
amount
of
cash
tax
due
to,
or
from,
a
tax
authority
in
the
future.
From
recognition,
the
current
tax
provision
is
then
measured
at
the
amount
the
Barclays
Bank
Group
ultimately
expects
to
pay
the
tax
authority
to
resolve
the
position.
Effective
from
1
January
2019,
the
Barclays
Bank
Group
changed
its
accounting
policy
on
the
accrual
of
interest
and
penalty
amounts
in
respect
of
uncertain
income
tax
positions
and
now
recognises
such
amounts
as
an
expense
within
profit
before
tax
and
will
continue
to
do
so
in
future
periods.
The
prior
periods’
tax
charges
have
not
been
restated
because
the
accrual
for
interest
and
penalties
in
those
periods
in
respect
of
uncertain
tax
positions
was
not
material.
Deferred
tax
provisions
are
adjustments
made
to
the
carrying
value
of
deferred
tax
assets
in
respect
of
uncertain
tax
positions.
A
deferred
tax
provision
is
recognised
when
it
is
considered
probable
that
the
outcome
of
a
review
by
a
tax
authority
of
an
uncertain
tax
position
will
result
in
a
reduction
in
the
carrying
value
of
the
deferred
tax
asset.
From
recognition
of
a
provision,
measurement
of
the
underlying
deferred
tax
asset
is
adjusted
to
take
into
account
the
expected
impact
of
resolving
the
uncertain
tax
position
on
the
loss
or
temporary
difference
giving
rise
to
the
deferred
tax
asset.
The
approach
taken
to
measurement
takes
account
of
whether
the
uncertain
tax
position
is
a
discrete
position
that
will
be
reviewed
by
the
tax
authority
in
isolation
from
any
other
position,
or
one
of
a
number
of
issues
which
are
expected
to
be
reviewed
together
concurrently
and
resolved
simultaneously
with
a
tax
authority.
The
Barclays
Bank
Group’s
measurement
of
provisions
is
based
upon
its
best
estimate
of
the
additional
profit
that
will
become
subject
to
tax.
For
a
discrete
position,
consideration
is
given
only
to
the
merits
of
that
position.
Where
a
number
of
issues
are
expected
to
be
reviewed
and
resolved
together,
the
Barclays
Bank
Group
will
take
into
account
not
only
the
merits
of
its
position
in
respect
of
each
particular
issue
but
also
the
overall
level
of
provision
relative
to
the
aggregate
of
the
uncertain
tax
positions
across
all
the
issues
that
are
expected
to
be
resolved
at
the
same
time.
In
addition,
in
assessing
provision
levels,
it
is
assumed
that
tax
authorities
will
review
uncertain
tax
positions
and
that
all
facts
will
be
fully
and
transparently
disclosed.
Notes
to
the
financial
statements
Financial
performance
and
returns
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
126
Critical
accounting
estimates
and
judgements
There
are
two
key
areas
of
judgement
that
impact
the
reported
tax
position.
Firstly,
the
level
of
provisioning
for
uncertain
tax
positions;
and
secondly,
the
recognition
and
measurement
of
deferred
tax
assets.
The
Barclays
Bank
Group
does
not
consider
there
to
be
a
significant
risk
of
a
material
adjustment
to
the
carrying
amount
of
current
and
deferred
tax
balances,
including
provisions
for
uncertain
tax
positions
in
the
next
financial
year.
The
provisions
for
uncertain
tax
positions
cover
a
diverse
range
of
issues
and
reflect
advice
from
external
counsel
where
relevant.
It
should
be
noted
that
only
a
proportion
of
the
total
uncertain
tax
positions
will
be
under
audit
at
any
point
in
time,
and
could
therefore
be
subject
to
challenge
by
a
tax
authority
over
the
next
year.
Deferred
tax
assets
have
been
recognised
based
on
business
profit
forecasts.
Details
on
the
recognition
of
deferred
tax
assets
are
provided
in
this
note.
2020
2019
2018
£m
£m
£m
Current
tax
charge/(credit)
Current
year
993
327
94
Adjustments
in
respect
of
prior
years
3
(50)
(200)
996
277
(106)
Deferred
tax
charge/(credit)
Current
year
(563)
157
372
Adjustments
in
respect
of
prior
years
191
(102)
(37)
(372)
55
335
Tax
charge
624
332
229
The
table
below
shows
the
reconciliation
between
the
actual
tax
charge
and
the
tax
charge
that
would
result
from
applying
the
standard
UK
corporation
tax
rate
to
the
Barclays
Bank
Group’s
profit
before
tax.
2020
2020
2019
2019
2018
2018
£m
%
£m
%
£m
%
Profit
before
tax
from
continuing
operations
3,075
3,112
1,286
Tax
charge
based
on
the
standard
UK
corporation
tax
rate
of
19%
(2019:
19%,
2018:
19%)
584
19.0%
593
19.0%
244
19.0%
Impact
of
profits/losses
earned
in
territories
with
different
statutory
rates
to
the
UK
(weighted
average
tax
rate
is
25.0%
(2019:
26.0%,
2018:
27.1%))
183
6.0%
217
7.0%
104
8.1%
Recurring
items:
Adjustments
in
respect
of
prior
years
194
6.3%
(152)
(4.9%)
(237)
(18.4%)
Non-creditable
taxes
including
withholding
taxes
107
3.4%
146
4.7%
156
12.1%
Impact
of
UK
bank
levy
being
non-deductible
48
1.6%
35
1.1%
42
3.3%
Non-deductible
expenses
28
0.9%
34
1.1%
67
5.2%
Impact
of
Barclays
Bank
PLC's
overseas
branches
being
taxed
both
locally
and
in
the
UK
25
0.8%
15
0.5%
16
1.2%
Tax
adjustments
in
respect
of
share-based
payments
14
0.5%
(7)
(0.2%)
11
0.9%
Banking
surcharge
and
other
items
(70)
(2.3%)
(103)
(3.3%)
(69)
(5.4%)
Changes
in
recognition
of
deferred
tax
and
effect
of
unrecognised
tax
losses
(123)
(4.0%)
(85)
(2.7%)
(104)
(8.1%)
AT1
tax
credit
(124)
(4.0%)
(121)
(3.9%)
(123)
(9.6%)
Non-taxable
gains
and
income
(200)
(6.5%)
(240)
(7.7%)
(232)
(18.0%)
Non-recurring
items:
One
off
re-measurement
of
UK
deferred
tax
assets
due
to
cancellation
of
rate
change
(43)
(1.4%)
-
-
-
-
Non-deductible
provisions
for
UK
customer
redress
7
0.2%
-
-
8
0.6%
Non-deductible
provisions
for
investigations
and
litigation
(6)
(0.2%)
-
-
346
26.9%
Total
tax
charge
624
20.3%
332
10.7%
229
17.8%
Factors
driving
the
effective
tax
rate
The
effective
tax
rate
of
20.3%
is
higher
than
the
UK
corporation
tax
rate
of
19%
primarily
due
to
profits
earned
outside
the
UK
being
taxed
at
local
statutory
tax
rates
that
are
higher
than
the
UK
tax
rate,
adjustments
in
respect
of
prior
years,
non-creditable
taxes
and
non-deductible
Notes
to
the
financial
statements
Financial
performance
and
returns
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
127
expenses
including
UK
bank
levy.
These
factors,
which
have
each
increased
the
effective
tax
rate,
are
largely
offset
by
the
impact
of
non-
taxable
gains
and
income,
the
use
of
unrecognised
tax
losses
in
the
period
and
tax
relief
on
payments
made
under
AT1
instruments.
Barclays
Bank
Group’s
future
tax
charge
will
be
sensitive
to
the
geographic
mix
of
profits
earned,
the
tax
rates
in
force
and
changes
to
the
tax
rules
in
the
jurisdictions
that
the
Group
operates
in.
Tax
in
the
consolidated
statement
of
comprehensive
income
Tax
relating
to
each
component
of
other
comprehensive
income
on
page
106
can
be
found
in
the
consolidated
statement
of
comprehensive
income
which
includes
within
Other
a
tax
credit
of
£3m
(2019:
£16m)
on
other
items
including
share-based
payments.
Deferred
tax
assets
and
liabilities
The
deferred
tax
amounts
on
the
balance
sheet
were
as
follows:
Barclays
Bank
Group
2020
2019
£m
£m
US
Intermediate
Holding
Company
Tax
Group
("IHC
Tax
Group")
1,001
1,037
US
Branch
Tax
Group
1,048
1,015
Other
(outside
the
UK
and
US
tax
groups)
503
408
Deferred
tax
asset
2,552
2,460
Deferred
tax
liability
-
UK
Tax
Group
(225)
(80)
Net
deferred
tax
2,327
2,380
US
deferred
tax
assets
in
the
IHC
and
the
US
Branch
The
deferred
tax
asset
in
the
IHC
Tax
Group
of
£1,001m
(2019:
£1,037m)
relates
entirely
to
temporary
differences
and
includes
£nil
(2019:
£54m)
relating
to
tax
losses
and
the
deferred
tax
asset
in
Barclays
Bank
PLC’s
US
Branch
Tax
Group
of
£1,048m
(2019:
£1,015m)
also
relates
entirely
to
temporary
differences
and
includes
£nil
(2019:
£84m)
relating
to
tax
losses.
The
deferred
tax
asset
in
the
IHC
Tax
Group
of
£1,001m
(2019:
£1,037m)
also
includes
£330m
(2019:
£359m)
arising
from
prior
net
operating
loss
conversion.
Under
New
York
State
and
City
tax
rules
the
amounts
can
be
carried
forward
and
will
expire
in
2034.
Business
profit
forecasts
indicate
these
amounts
will
be
fully
recovered
before
expiry.
They
are
included
within
the
other
category
in
the
table
below.
UK
Tax
Group
deferred
tax
assets/liabilities
The
deferred
tax
liability
in
the
UK
Tax
Group
of
£225m
(2019:
£80m)
includes
a
deferred
tax
asset
of
£541m
(2019:
£268m)
relating
to
tax
losses
which
is
offset
by
a
deferred
tax
liability
of
£766m
(2019:
£348m)
relating
to
temporary
differences.
There
is
no
time
limit
on
utilisation
of
UK
tax
losses
and
business
profit
forecasts
indicate
these
will
be
fully
recovered.
Other
deferred
tax
assets
(outside
the
UK
and
US
tax
groups)
The
deferred
tax
asset
of
£503m
(2019:
£408m)
in
other
entities
within
the
Barclays
Bank
Group
includes
£170m
(2019:
£117m)
relating
to
tax
losses.
These
deferred
tax
assets
relate
to
a
number
of
different
territories
and
their
recognition
is
based
on
profit
forecasts
or
local
country
law
which
indicate
that
it
is
probable
that
those
deferred
tax
assets
will
be
fully
recovered.
Of
the
deferred
tax
asset
of
£503m
(2019:
£408m),
an
amount
of
£8m
(2019:
£8m)
relates
to
entities
which
have
suffered
a
loss
in
either
the
current
or
prior
year
and
the
utilisation
of
which
is
dependent
upon
future
taxable
profits.
This
has
been
taken
into
account
in
reaching
the
above
conclusion
that
these
deferred
tax
assets
will
be
fully
recovered
in
the
future.
The
table
below
shows
movements
on
deferred
tax
assets
and
liabilities
during
the
year.
The
amounts
are
different
from
those
disclosed
on
the
balance
sheet
and
in
the
preceding
table
as
they
are
presented
before
offsetting
asset
and
liability
balances
where
there
is
a
legal
right
to
set-off
and
an
intention
to
settle
on
a
net
basis.
Notes
to
the
financial
statements
Financial
performance
and
returns
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
128
Barclays
Bank
Group
Fixed
asset
timing
differences
Fair
value
through
other
comprehensiv
e
income
Cash
flow
hedges
Retirement
benefit
obligations
Loan
impairment
allowance
Other
provisions
Share
based
payments
and
deferred
compensati
on
Other
temporary
differences
Tax
losses
carried
forward
Total
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
Assets
719
110
-
31
284
127
305
1,329
523
3,428
Liabilities
(29)
(18)
(139)
(640)
-
-
-
(222)
-
(1,048)
At
1
January
2020
690
92
(139)
(609)
284
127
305
1,107
523
2,380
Income
statement
(39)
-
-
-
164
18
15
23
191
372
Other
comprehensive
income
and
reserves
-
(112)
(291)
(191)
-
-
3
238
-
(353)
Other
movements
(25)
(1)
(11)
4
7
(6)
(6)
(31)
(3)
(72)
626
(21)
(441)
(796)
455
139
317
1,337
711
2,327
Assets
659
-
-
30
455
139
317
1,377
711
3,688
Liabilities
(33)
(21)
(441)
(826)
-
-
-
(40)
-
(1,361)
At
31
December
2020
626
(21)
(441)
(796)
455
139
317
1,337
711
2,327
Assets
758
175
38
39
359
112
309
1,336
529
3,655
Liabilities
(16)
(35)
(2)
(434)
-
-
-
(198)
-
(685)
At
1
January
2019
742
140
36
(395)
359
112
309
1,138
529
2,970
Income
statement
66
-
-
(5)
(55)
23
(7)
(94)
17
(55)
Other
comprehensive
income
and
reserves
-
(46)
(175)
(205)
(10)
2
8
71
-
(355)
Other
movements
(118)
(2)
-
(4)
(10)
(10)
(5)
(8)
(23)
(180)
690
92
(139)
(609)
284
127
305
1,107
523
2,380
Assets
719
110
-
31
284
127
305
1,329
523
3,428
Liabilities
(29)
(18)
(139)
(640)
-
-
-
(222)
-
(1,048)
At
31
December
2019
690
92
(139)
(609)
284
127
305
1,107
523
2,380
Other
movements
include
the
impact
of
changes
in
foreign
exchange
rates
as
well
as
deferred
tax
amounts
relating
to
acquisitions
and
disposals.
The
amount
of
deferred
tax
asset
expected
to
be
recovered
after
more
than
12
months
for
the
Barclays
Bank
Group
is
£3,356m
(2019:
£2,958m).
The
amount
of
deferred
tax
liability
expected
to
be
settled
after
more
than
12
months
for
the
Barclays
Bank
Group
is
£1,359m
(2019:
£1,050m).
These
amounts
are
before
offsetting
asset
and
liability
balances
where
there
is
a
legal
right
to
set-off
and
an
intention
to
settle
on
a
net
basis.
Unrecognised
deferred
tax
Tax
losses
and
temporary
differences
The
Barclays
Bank
Group
has
deferred
tax
assets
not
recognised
in
respect
of
gross
deductible
temporary
differences
of
£123m
(2019:
£208m),
unused
tax
credits
of
£236m
(2019:
£247m),
and
gross
tax
losses
of
£19,953m
(2019:
£18,582m).
The
tax
losses
include
capital
losses
of
£2,987m
(2019:
£2,980m).
Of
these
tax
losses,
£139m
(2019:
£41m)
expire
within
five
years,
£236m
(2019:
£239m)
expire
within
six
to
ten
years,
£7,271m
(2019:
£5,178m)
expire
within
11
to
20
years
and
£12,307m
(2019:
£13,124m)
can
be
carried
forward
indefinitely.
Deferred
tax
assets
have
not
been
recognised
in
respect
of
these
items
because
it
is
not
probable
that
future
taxable
profits
and
gains
will
be
available
against
which
they
can
be
utilised.
Barclays
Bank
Group
investments
in
subsidiaries,
branches
and
associates
Deferred
tax
is
not
recognised
in
respect
of
the
value
of
Barclays
Bank
Group's
investments
in
subsidiaries,
branches
and
associates
where
the
Barclays
Bank
Group
is
able
to
control
the
timing
of
the
reversal
of
the
temporary
differences
and
it
is
probable
that
such
differences
will
not
reverse
in
the
foreseeable
future.
The
aggregate
amount
of
these
temporary
differences
for
which
deferred
tax
liabilities
have
not
been
recognised
was
£0.8bn
(2019:
£0.7bn).
10
Dividends
on
ordinary
shares
and
other
equity
instruments
The
2020
financial
statements
include
£263m
(2019:
£233m)
of
dividend
paid.
This
includes
the
final
dividend
declared
in
relation
to
the
prior
year
of
£263m
(2019:
£nil)
and
half
year
dividends
of
£nil
(2019:
£233m).
This
results
in
a
total
dividend
for
the
year
of
0.11p
(2019:
£0.10p)
per
ordinary
share.
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,
Barclays
PLC
took
steps
to
provide
additional
capital
to
Barclays
Bank
PLC
as
part
of
the
£1.5bn
of
capital
contributions
made
during
H120.
Dividends
paid
on
preference
shares
amounted
to
£42m
(2019:
£41m).
Dividends
paid
on
the
4.75%
€100
preference
shares
amounted
to
£439.21
per
share
(2019:
£409.44).
Dividends
paid
on
the
6.278%
US$100
preference
shares
amounted
to
£485.75
per
share
(2019:
£485.94).
Notes
to
the
financial
statements
Financial
performance
and
returns
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
129
Dividends
paid
on
other
equity
instruments
amounted
to
£677m
(2019:
£660m).
For
further
detail
on
other
equity
instruments,
please
refer
to
Note
27.
The
Directors
have
approved
a
full
year
dividend
in
respect
of
2020
of
£174m.
In
addition,
the
Company
will
pay
a
£520m
dividend
to
Barclays
PLC
in
order
to
partially
fund
a
share
buy-back.
The
aggregate
dividend
of
£694m
will
be
paid
on
9
March
2021.
The
financial
statements
for
the
year
ended
31
December
2020
do
not
reflect
this
aggregate
dividend,
which
will
be
accounted
for
in
shareholders’
equity
as
an
appropriation
of
retained
profits
in
the
year
ending
31
December
2021.
Dividends
are
funded
out
of
distributable
reserves.
Notes
to
the
financial
statements
Assets
and
liabilities
held
at
fair
value
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
130
The
notes
included
in
this
section
focus
on
assets
and
liabilities
the
Barclays
Bank
Group
holds
and
recognises
at
fair
value.
Fair
value
refers
to
the
price
that
would
be
received
to
sell
an
asset
or
the
price
that
would
be
paid
to
transfer
a
liability
in
an
orderly
transaction
between
market
participants
at
the
measurement
date,
which
may
be
an
observable
market
price
or,
where
there
is
no
quoted
price
for
the
instrument,
may
be
an
estimate
based
on
available
market
data.
Detail
regarding
the
Barclays
Bank
Group’s
approach
to
managing
market
risk
can
be
found
on
page
39.
11
Trading
portfolio
Accounting
for
trading
portfolio
assets
and
liabilities
In
accordance
with
IFRS
9,
all
assets
and
liabilities
held
for
trading
purposes
are
held
at
fair
value
with
gains
and
losses
in
the
changes
in
fair
value
taken
to
the
income
statement
in
net
trading
income
(Note
5).
Barclays
Bank
Group
2020
2019
£m
£m
Debt
securities
and
other
eligible
bills
56,196
51,881
Equity
securities
62,192
56,000
Traded
loans
8,348
5,378
Commodities
928
78
Trading
portfolio
assets
127,664
113,337
Debt
securities
and
other
eligible
bills
(28,836)
(22,038)
Equity
securities
(17,303)
(13,174)
Trading
portfolio
liabilities
(46,139)
(35,212)
12
Financial
assets
at
fair
value
through
the
income
statement
Accounting
for
financial
assets
mandatorily
at
fair
value
Financial
assets
that
are
held
for
trading
are
recognised
at
fair
value
through
profit
or
loss.
In
addition,
financial
assets
are
held
at
fair
value
through
profit
or
loss
if
they
do
not
contain
contractual
terms
that
give
rise
on
specified
dates
to
cash
flows
that
are
SPPI,
or
if
the
financial
asset
is
not
held
in
a
business
model
that
is
either
(i)
a
business
model
to
collect
the
contractual
cash
flows
or
(ii)
a
business
model
that
is
achieved
by
both
collecting
contractual
cash
flows
and
selling.
Accounting
for
financial
assets
designated
at
fair
value
Financial
assets,
other
than
those
held
for
trading,
are
classified
in
this
category
if
they
are
so
irrevocably
designated
at
inception
and
the
use
of
the
designation
removes
or
significantly
reduces
an
accounting
mismatch.
Subsequent
changes
in
fair
value
for
these
instruments
are
recognised
in
the
income
statement
in
net
investment
income,
except
if
reporting
it
in
trading
income
reduces
an
accounting
mismatch.
The
details
on
how
the
fair
value
amounts
are
derived
for
financial
assets
at
fair
value
are
described
in
Note
16.
Barclays
Bank
Group
2020
2019
£m
£m
Loans
and
advances
2,170
1,333
Debt
securities
291
3,995
Reverse
repurchase
agreements
and
other
similar
secured
lending
19
40
Financial
assets
designated
at
fair
value
2,480
5,368
Loans
and
advances
25,279
17,804
Debt
securities
1,406
1,225
Equity
securities
3,742
6,548
Reverse
repurchase
agreements
and
other
similar
secured
lending
138,539
97,783
Other
financial
assets
315
742
Financial
assets
mandatorily
at
fair
value
169,281
124,102
Total
171,761
129,470
Notes
to
the
financial
statements
Assets
and
liabilities
held
at
fair
value
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
131
Credit
risk
of
financial
assets
designated
at
fair
value
and
related
credit
derivatives
The
following
table
shows
the
maximum
exposure
to
credit
risk,
the
changes
in
fair
value
attributable
to
changes
in
credit
risk,
and
the
cumulative
changes
in
fair
value
since
initial
recognition
for
loans
and
advances.
The
table
does
not
include
debt
securities
and
reverse
repurchase
agreements
and
other
similar
secured
lending
designated
at
FV
as
they
have
minimal
exposure
to
credit
risk.
Reverse
repurchase
agreements
are
collateralised
and
debt
securities
are
primarily
relating
to
high
quality
sovereigns.
Barclays
Bank
Group
Maximum
exposure
as
at
31
December
Changes
in
fair
value
during
the
year
ended
Cumulative
changes
in
fair
value
from
inception
2020
2019
2020
2019
2020
2019
£m
£m
£m
£m
£m
£m
Loans
and
advances
designated
at
fair
value,
attributable
to
credit
risk
2,170
1,333
(46)
2
(51)
(5)
Value
mitigated
by
related
credit
derivatives
795
-
3
-
3
-
13
Derivative
financial
instruments
Accounting
for
derivatives
Derivative
instruments
are
contracts
whose
value
is
derived
from
one
or
more
underlying
financial
instruments
or
indices
defined
in
the
contract.
They
include
swaps,
forward-rate
agreements,
futures,
options
and
combinations
of
these
instruments
and
primarily
affect
the
Barclays
Bank
Group’s
net
interest
income,
net
trading
income
and
derivative
assets
and
liabilities.
Notional
amounts
of
the
contracts
are
not
recorded
on
the
balance
sheet.
Derivatives
are
used
to
hedge
interest
rate,
credit
risk,
inflation
risk,
exchange
rate,
commodity,
equity
exposures
and
exposures
to
certain
indices
such
as
house
price
indices
and
retail
price
indices
related
to
non-trading
positions
All
derivative
instruments
are
held
at
fair
value
through
profit
or
loss,
except
for
derivatives
that
are
in
a
designated
cash
flow
or
net
investment
hedge
accounting
relationship.
Derivatives
are
classified
as
assets
when
their
fair
value
is
positive
or
as
liabilities
when
their
fair
value
is
negative.
This
includes
terms
included
in
a
contract
or
financial
liability
(the
host),
which,
had
it
been
a
standalone
contract,
would
have
met
the
definition
of
a
derivative.
If
these
are
separated
from
the
host,
i.e.
when
the
economic
characteristics
of
the
embedded
derivative
are
not
closely
related
with
those
of
the
host
contract
and
the
combined
instrument
is
not
measured
at
fair
value
through
profit
or
loss,
then
they
are
accounted
for
in
the
same
way
as
derivatives.
For
financial
assets,
the
requirements
are
whether
the
financial
assets
contain
contractual
terms
that
give
rise
on
specified
dates
to
cash
flows
that
are
SPPI,
and
consequently
the
requirements
for
accounting
for
embedded
derivatives
are
not
applicable
to
financial
assets.
Hedge
accounting
The
Barclays
Bank
Group
applies
the
requirements
of
IAS
39
Financial
Instruments:
Recognition
and
Measurement
purposes.
The
Barclays
Bank
Group
applies
hedge
accounting
to
represent
the
economic
effects
of
its
interest
rate,
currency
and
contractually
linked
inflation
risk
management
strategies.
Where
derivatives
are
held
for
risk
management
purposes,
and
when
transactions
meet
the
required
criteria
for
documentation
and
hedge
effectiveness,
the
Barclays
Bank
Group
applies
fair
value
hedge
accounting,
cash
flow
hedge
accounting,
or
hedging
of
a
net
investment
in
a
foreign
operation,
as
appropriate
to
the
risks
being
hedged.
The
Barclays
Bank
Group
has
applied
the
‘Amendments
to
IFRS
9,
IAS
39
and
IFRS
7
Interest
Rate
Benchmark
Reform’
issued
in
September
2019.
In
accordance
with
the
transition
provisions,
the
amendments
have
been
adopted
retrospectively
to
hedging
relationships
that
existed
at
the
start
of
the
reporting
period
or
were
designated
thereafter,
and
to
the
amount
accumulated
in
the
cash
flow
hedge
reserve
at
that
date.
The
amendments
provide
temporary
relief
from
applying
specific
hedge
accounting
requirements
to
hedging
relationships
directly
affected
by
IBOR
(‘Interbank
Offered
Rates’)
reform.
The
reliefs
have
the
effect
that
IBOR
reform
should
not
generally
cause
hedge
accounting
to
terminate.
However,
any
hedge
ineffectiveness
continues
to
be
recorded
in
the
income
statement.
Furthermore,
the
amendments
set
out
triggers
for
when
the
reliefs
will
end,
which
include
the
uncertainty
arising
from
interest
rate
benchmark
reform
no
longer
being
present.
In
summary,
the
reliefs
provided
by
the
amendments
that
apply
to
the
Barclays
Bank
Group
are:
◾
hedged
items
are
based
do
not
change
as
a
result
of
IBOR
Reform.
◾
IBOR
interest
rates
upon
which
the
cash
flows
of
the
hedged
items
and
the
interest
rate
swaps
that
hedge
them
are
based
are
not
altered
by
IBOR
reform.
◾
retrospective
effectiveness
falls
outside
the
required
80–125%
range.
◾
◾
designates
a
hedged
item
in
a
fair
value
hedge
and
not
on
an
ongoing
basis.
The
Barclays
Bank
Group
has
elected
to
early
adopt
the
‘Amendments
to
IFRS
9,
IAS
39,
IFRS
7,
IFRS
4
and
IFRS
16
Interest
Rate
Benchmark
Reform
–
Phase
2’
issued
in
August
2020.
The
Phase
2
amendments
provide
relief
when
changes
are
made
to
hedge
relationships
as
a
result
of
the
interest
rate
benchmark
reform.
The
Phase
2
amendments
adopted
by
the
Barclays
Bank
Group
are:
◾
to
the
interest
rate
benchmark
reform
would
not
constitute
the
discontinuation
of
the
hedge
relationship
nor
the
designation
of
a
new
hedging
relationship.
Notes
to
the
financial
statements
Assets
and
liabilities
held
at
fair
value
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
132
◾
cumulative
fair
value
changes
to
zero
when
the
exception
to
the
retrospective
assessment
ends
(Phase
1
relief).
Any
hedge
ineffectiveness
will
continue
to
be
measured
and
recognised
in
full
in
profit
or
loss.
◾
rate
(on
which
the
hedge
future
cash
flows
are
determined)
when
there
is
a
change
in
basis
for
determining
the
contractual
cash
flows.
◾
within
a
designated
group
of
items
that
are
amended
for
changes
directly
required
by
the
reform.
◾
this
requirement
when
an
alternative
risk
free
rate
(RFR)
financial
instrument
is
designated
as
a
risk
component.
These
amendments
allow
the
Barclays
Bank
Group
upon
designation
of
the
hedge
to
assume
that
the
separately
identifiable
requirement
is
met
if
the
Barclays
Bank
Group
reasonably
expects
the
RFR
risk
will
become
separately
identifiable
within
the
next
24
mo
nths.
The
Barclays
Bank
Group
applies
this
relief
to
each
RFR
on
a
rate-by-rate
basis
and
starts
when
the
Barclays
Bank
Group
first
designates
the
RFR
as
a
non-contractually
specified
risk
component.
Fair
value
hedge
accounting
Changes
in
fair
value
of
derivatives
that
qualify
and
are
designated
as
fair
value
hedges
are
recorded
in
the
income
statement,
together
with
changes
in
the
fair
value
of
the
hedged
asset
or
liability
that
are
attributable
to
the
hedged
risk.
The
fair
value
changes
adjust
the
carrying
value
of
the
hedged
asset
or
liability
held
at
amortised
cost.
If
hedge
relationships
no
longer
meet
the
criteria
for
hedge
accounting,
hedge
accounting
is
discontinued.
For
fair
value
hedges
of
interest
rate
risk,
the
fair
value
adjustment
to
the
hedged
item
is
amortised
to
the
income
statement
over
the
period
to
maturity
of
the
previously
designated
hedge
relationship
using
the
effective
interest
method.
If
the
hedged
item
is
sold
or
repaid,
the
unamortised
fair
value
adjustment
is
recognised
immediately
in
the
income
statement.
For
items
classified
as
fair
value
through
other
comprehensive
income,
the
hedge
accounting
adjustment
is
included
in
other
comprehensive
income.
Cash
flow
hedge
accounting
For
qualifying
cash
flow
hedges,
the
fair
value
gain
or
loss
associated
with
the
effective
portion
of
the
cash
flow
hedge
is
recognised
initially
in
other
comprehensive
income,
and
then
recycled
to
the
income
statement
in
the
periods
when
the
hedged
item
will
affect
profit
or
loss.
Any
ineffective
portion
of
the
gain
or
loss
on
the
hedging
instrument
is
recognised
in
the
income
statement
immediately.
When
a
hedging
instrument
expires
or
is
sold,
or
when
a
hedge
no
longer
meets
the
criteria
for
hedge
accounting,
any
cumulative
gain
or
loss
existing
in
equity
at
that
time
remains
in
equity
and
is
recognised
when
the
hedged
item
is
ultimately
recognised
in
the
income
statement.
When
a
forecast
transaction
is
no
longer
expected
to
occur,
the
cumulative
gain
or
loss
that
was
recognised
in
equity
is
immediately
transferred
to
the
income
statement.
Hedges
of
net
investments
The
Barclays
Bank
Group’s
net
investments
in
foreign
operations,
including
monetary
items
accounted
for
as
part
of
the
net
investment,
are
hedged
for
foreign
currency
risks
using
both
derivatives
and
foreign
currency
borrowings.
Hedges
of
net
investments
are
accounted
for
similarly
to
cash
flow
hedges;
the
effective
portion
of
the
gain
or
loss
on
the
hedging
instrument
is
being
recognised
directly
in
other
comprehensive
income
and
the
ineffective
portion
being
recognised
immediately
in
the
income
statement.
The
cumulative
gain
or
loss
recognised
in
other
comprehensive
income
is
recognised
in
the
income
statement
on
the
disposal
or
partial
disposal
of
the
foreign
operation,
or
other
reductions
in
the
Barclays
Bank
Group’s
investment
in
the
operation.
Barclays
Bank
Group
2020
2019
Notional
contract
amount
Fair
value
Notional
contract
amount
Fair
value
Assets
Liabilities
Assets
Liabilities
£m
£m
£m
£m
£m
£m
Total
derivative
assets/(liabilities)
held
for
trading
42,515,577
302,429
(299,637)
41,778,195
229,459
(228,338)
Total
derivative
assets/(liabilities)
held
for
risk
management
110,028
264
(943)
109,762
182
(602)
Derivative
assets/(liabilities)
42,625,605
302,693
(300,580)
41,887,957
229,641
(228,940)
Notes
to
the
financial
statements
Assets
and
liabilities
held
at
fair
value
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
133
Further
information
on
netting
arrangements
of
derivative
financial
instruments
can
be
found
within
Note
17.
The
fair
values
and
notional
amounts
of
derivatives
held
for
trading
are
set
out
in
the
following
table:
Derivatives
held
for
trading
and
risk
management
2020
2019
Barclays
Bank
Group
Notional
contract
amount
Fair
value
Notional
contract
amount
Fair
value
Assets
Liabilities
Assets
Liabilities
£m
£m
£m
£m
£m
£m
Derivatives
held
for
trading
Foreign
exchange
derivatives
OTC
derivatives
5,463,632
84,518
(83,912)
4,910,084
56,535
(56,793)
Derivatives
cleared
by
central
counterparty
78,946
335
(335)
74,136
84
(145)
Exchange
traded
derivatives
14,034
3
(3)
18,520
12
(31)
Foreign
exchange
derivatives
5,556,612
84,856
(84,250)
5,002,740
56,631
(56,969)
Interest
rate
derivatives
OTC
derivatives
13,551,506
171,244
(161,223)
12,631,723
140,553
(133,408)
Derivatives
cleared
by
central
counterparty
18,330,003
965
(795)
17,088,755
862
(859)
Exchange
traded
derivatives
2,971,966
371
(360)
5,041,948
1,251
(1,265)
Interest
rate
derivatives
34,853,475
172,580
(162,378)
34,762,426
142,666
(135,532)
Credit
derivatives
OTC
derivatives
384,900
3,674
(3,909)
399,386
5,253
(5,399)
Derivatives
cleared
by
central
counterparty
462,945
931
(1,095)
426,130
2,962
(2,687)
Credit
derivatives
847,845
4,605
(5,004)
825,516
8,215
(8,086)
Equity
and
stock
index
derivatives
OTC
derivatives
213,078
18,803
(26,091)
232,050
10,628
(15,785)
Exchange
traded
derivatives
927,114
20,165
(20,521)
841,994
10,178
(10,849)
Equity
and
stock
index
derivatives
1,140,192
38,968
(46,612)
1,074,044
20,806
(26,634)
Commodity
derivatives
OTC
derivatives
4,244
89
(110)
7,327
303
(256)
Exchange
traded
derivatives
113,209
1,331
(1,283)
106,142
838
(861)
Commodity
derivatives
117,453
1,420
(1,393)
113,469
1,141
(1,117)
Derivative
assets/(liabilities)
held
for
trading
42,515,577
302,429
(299,637)
41,778,195
229,459
(228,338)
Total
OTC
derivatives
19,617,360
278,328
(275,245)
18,180,570
213,272
(211,641)
Total
derivatives
cleared
by
central
counterparty
18,871,894
2,231
(2,225)
17,589,021
3,908
(3,691)
Total
exchange
traded
derivatives
4,026,323
21,870
(22,167)
6,008,604
12,279
(13,006)
Derivative
assets/(liabilities)
held
for
trading
42,515,577
302,429
(299,637)
41,778,195
229,459
(228,338)
Derivatives
held
for
risk
management
Derivatives
designated
as
cash
flow
hedges
Currency
Swaps
1,000
67
-
-
-
-
Interest
rate
swaps
1,819
49
-
2,085
28
(1)
Interest
rate
derivatives
cleared
by
central
counterparty
43,499
-
-
43,594
-
-
Derivatives
designated
as
cash
flow
hedges
46,318
116
-
45,679
28
(1)
Derivatives
designated
as
fair
value
hedges
Interest
rate
swaps
7,986
123
(943)
7,619
124
(601)
Forward
foreign
exchange
-
-
-
-
-
-
Interest
rate
derivatives
cleared
by
central
counterparty
54,933
-
-
55,319
-
-
Derivatives
designated
as
fair
value
hedges
62,919
123
(943)
62,938
124
(601)
Derivatives
designated
as
hedges
of
net
investments
Forward
foreign
exchange
791
25
-
1,145
30
-
Derivatives
designated
as
hedges
of
net
investments
791
25
-
1,145
30
-
Derivative
assets/(liabilities)
held
for
risk
management
110,028
264
(943)
109,762
182
(602)
Total
OTC
derivatives
11,596
264
(943)
10,849
182
(602)
Total
derivatives
cleared
by
central
counterparty
98,432
-
-
98,913
-
-
Derivative
assets/(liabilities)
held
for
risk
management
110,028
264
(943)
109,762
182
(602)
Hedge
accounting
Hedge
accounting
is
applied
predominantly
for
the
following
risks:
◾
inflation
risk
for
certain
types
of
investments.
Notes
to
the
financial
statements
Assets
and
liabilities
held
at
fair
value
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
134
◾
At
a
consolidated
level,
currency
risk
also
arises
when
the
functional
currency
of
subsidiaries
are
different
from
the
parent.
◾
not
hedge
inflation
risk
that
arises
from
other
activities.
In
order
to
hedge
these
risks,
the
Barclays
Bank
Group
uses
the
following
hedging
instruments:
◾
◾
◾
In
some
cases,
certain
items
which
are
economically
hedged
may
be
ineligible
hedged
items
for
the
purposes
of
IAS
39,
such
as
core
deposits
and
equity.
In
these
instances,
a
proxy
hedging
solution
can
be
utilised
whereby
portfolios
of
floating
rate
assets
are
designated
as
eligible
hedged
items
in
cash
flow
hedges.
In
some
hedging
relationships,
the
Barclays
Bank
Group
designates
risk
components
of
hedged
items
as
follows:
◾
◾
◾
◾
Using
the
benchmark
interest
rate
risk
results
in
other
risks,
such
as
credit
risk
and
liquidity
risk,
being
excluded
from
the
hedge
accounting
relationship.
LIBOR
is
considered
the
predominant
interest
rate
risk
and
therefore
the
hedged
items
change
in
fair
value
on
a
fully
proportionate
basis
with
reference
to
this
risk.
In
respect
of
many
of
the
Barclays
Bank
Group’s
hedge
accounting
relationships,
the
hedged
item
and
hedging
instrument
change
frequently
due
to
the
dynamic
nature
of
the
risk
management
and
hedge
accounting
strategy.
The
Barclays
Bank
Group
applies
hedge
accounting
to
dynamic
scenarios,
predominantly
in
relation
to
interest
rate
risk,
with
a
combination
of
hedged
items
in
order
for
its
financial
statements
to
reflect
as
closely
as
possible
the
economic
risk
management
undertaken.
In
some
cases,
if
the
hedge
accounting
objective
changes,
the
relevant
hedge
accounting
relationship
is
de-designated
and
is
replaced
with
a
different
hedge
accounting
relationship.
Changes
in
the
GBP
value
of
net
investments
due
to
foreign
currency
movements
are
captured
in
the
currency
translation
reserve,
resulting
in
a
movement
in
CET1
capital.
The
Barclays
Bank
Group
mitigates
this
by
matching
the
CET1
capital
movements
to
the
revaluation
of
the
foreign
currency
RWA
exposures.
Net
investment
hedges
are
designated
where
necessary
to
reduce
the
exposure
to
movement
in
a
particular
exchange
rate
to
within
limits
mandated
by
Risk.
As
far
as
possible,
existing
external
currency
liabilities
are
designated
as
the
hedging
instruments.
The
hedging
instruments
share
the
same
risk
exposures
as
the
hedged
items.
Hedge
effectiveness
is
determined
with
reference
to
quantitative
tests,
predominantly
regression
testing,
but
to
the
extent
hedging
instruments
are
exposed
to
different
risks
than
the
hedged
items,
this
could
result
in
hedge
ineffectiveness
or
hedge
accounting
failures.
Sources
of
ineffectiveness
include
the
following:
◾
◾
◾
period
falls
below
the
amount
of
the
hedging
instrument.
◾
◾
items
and
hedging
instruments.
Across
all
benchmarks
which
Barclays
is
materially
exposed
to,
there
is
still
uncertainty
regarding
the
precise
timing
and
effects
of
IBOR
reform.
There
is
yet
to
be
full
consensus
regarding
methodologies
for
converging
existing
IBORs
to
their
final
benchmark
rates.
As
such,
Barclays
has
not
incorporated
any
change
in
assumptions
for
affected
benchmarks
into
its
expectations
or
calculations.
Barclays
does,
however,
assume
sufficient
liquidity
in
IBOR
linked
benchmarks
to
provide
reliable
valuation
calculations
of
both
hedged
items
and
hedging
instruments
(notwithstanding
reliefs
already
applied
within
the
financial
reporting).
Notes
to
the
financial
statements
Assets
and
liabilities
held
at
fair
value
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
135
The
following
table
summarises
the
significant
hedge
accounting
exposures
impacted
by
the
IBOR
reform
as
at
31
December
2020:
Barclays
Bank
Group
Nominal
amount
of
hedged
items
directly
impacted
by
IBOR
reform
Nominal
amount
of
hedging
instruments
directly
impacted
by
IBOR
reform
Current
benchmark
rate
Expected
convergence
to
RFR
£m
£m
GBP
London
Interbank
Offered
rate
(LIBOR)
Reformed
Sterling
Overnight
Index
Average
(SONIA)
20,796
20,621
USD
LIBOR
Secured
Overnight
Financing
Rate
(SOFR)
23,618
22,151
Euro
Overnight
Index
Average
(EONIA)
Euro
Short-Term
Rate
(€STR)
1,912
1,912
JPY
LIBOR
Tokyo
Overnight
Average
(TONA)
1,404
1,404
CHF
LIBOR
Swiss
Average
Rate
Overnight
(SARON)
145
145
All
Other
IBORs
Various
Other
RFRs
111
111
Total
IBOR
Notionals
47,986
46,344
Notes
to
the
financial
statements
Assets
and
liabilities
held
at
fair
value
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
136
Hedged
items
in
fair
value
hedges
Barclays
Bank
Group
Accumulated
fair
value
adjustment
included
in
carrying
amount
Carrying
amount
Total
Of
which:
Accumulated
fair
value
adjustment
on
items
no
longer
in
a
hedge
relationship
Change
in
fair
value
used
as
a
basis
to
determine
ineffectiveness
Hedge
ineffectiveness
recognised
in
the
income
statement
a
Hedged
item
statement
of
financial
position
classification
and
risk
category
£m
£m
£m
£m
£m
2020
Assets
Loans
and
advances
at
amortised
cost
-
Interest
rate
risk
835
99
2
55
-
-
Inflation
risk
545
345
-
25
3
Debt
securities
classified
as
amortised
cost
-
Interest
rate
risk
1,440
23
-
17
(7)
-
Inflation
risk
4,071
(43)
-
453
3
Financial
assets
at
fair
value
through
other
comprehensive
income
-
Interest
rate
risk
27,959
964
322
864
(33)
-
Inflation
risk
7,782
319
(9)
249
(9)
Total
Assets
42,632
1,707
315
1,663
(43)
Liabilities
Debt
securities
in
issue
-
Interest
rate
risk
(26,978)
(1,477)
(414)
(797)
(6)
Total
Liabilities
(26,978)
(1,477)
(414)
(797)
(6)
Total
Hedged
Items
15,654
230
(99)
866
(49)
2019
Assets
Loans
and
advances
at
amortised
cost
-
Interest
rate
risk
1,083
91
24
36
(1)
-
Inflation
risk
525
325
-
3
-
Debt
securities
classified
as
amortised
cost
-
Interest
rate
risk
600
-
-
-
-
-
Inflation
risk
2,258
(41)
-
(41)
1
Financial
assets
at
fair
value
through
other
comprehensive
income
-
Interest
rate
risk
21,243
734
467
1,699
(15)
-
Inflation
risk
7,146
94
-
118
(13)
Total
Assets
32,855
1,203
491
1,815
(28)
Liabilities
Debt
securities
in
issue
-
Interest
rate
risk
(32,304)
(782)
(460)
(938)
27
Total
Liabilities
(32,304)
(782)
(460)
(938)
27
Total
Hedged
Items
551
421
31
877
(1)
Note
a
Hedge
ineffectiveness
is
recognised
in
net
interest
income.
For
items
classified
as
fair
value
through
other
comprehensive
income,
the
hedge
accounting
adjustment
is
not
included
in
the
carrying
amount,
but
rather
adjusts
other
comprehensive
income.
Notes
to
the
financial
statements
Assets
and
liabilities
held
at
fair
value
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
137
Amount,
timing
and
uncertainty
of
future
cash
flows
The
following
table
shows
the
fair
value
hedging
instruments
which
are
carried
on
the
Barclays
Bank
Group’s
balance
sheet:
Barclays
Bank
Group
Carrying
value
Nominal
amount
Change
in
fair
value
used
as
a
basis
to
determine
ineffectiveness
Nominal
amount
directly
impacted
by
IBOR
reform
Derivative
assets
Derivative
liabilities
Loan
liabilities
Hedge
type
Risk
category
£m
£m
£m
£m
£m
£m
As
at
31
December
2020
Fair
value
Interest
rate
risk
117
(164)
-
55,093
(185)
17,697
Inflation
risk
6
(779)
-
7,826
(730)
1,487
Total
123
(943)
-
62,919
(915)
19,184
As
at
31
December
2019
Fair
value
Interest
rate
risk
111
(104)
-
55,691
(786)
33,805
Inflation
risk
13
(497)
-
7,247
(92)
5,345
Total
124
(601)
-
62,938
(878)
39,150
The
following
table
profiles
the
expected
notional
values
of
current
hedging
instruments
for
fair
value
hedging
in
future
years:
2020
2021
2022
2023
2024
2025
2026
and
later
As
at
31
December
2020
£m
£m
£m
£m
£m
£m
£m
Barclays
Bank
Group
Fair
value
hedges
of:
Interest
rate
risk
(outstanding
notional
amount)
55,093
51,499
44,596
37,615
30,174
26,054
23,859
Inflation
risk
(outstanding
notional
amount)
7,826
7,020
6,368
5,524
4,525
3,536
2,910
For
Barclays
Bank
Group,
there
are
586
(2019:
876)
interest
rate
risk
fair
value
hedges
with
an
average
fixed
rate
of
1.2%
(2019:
1.6%)
across
the
relationships
and
70
(2019:
82)
inflation
risk
fair
value
hedges
with
an
average
rate
of
0.52%
(2019:
0.8%)
across
the
relationships.
Notes
to
the
financial
statements
Assets
and
liabilities
held
at
fair
value
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
138
Hedged
items
in
cash
flow
hedges
and
hedges
of
net
investments
in
foreign
operations
Barclays
Bank
Group
Change
in
value
of
hedged
item
used
as
the
basis
for
recognising
ineffectiveness
Balance
in
cash
flow
hedging
reserve
for
continuing
hedges
Balance
in
currency
translation
reserve
for
continuing
hedges
Balances
remaining
in
cash
flow
hedging
reserve
for
which
hedge
accounting
is
no
longer
applied
Balances
remaining
in
currency
translation
reserve
for
which
hedge
accounting
is
no
longer
applied
Hedging
gains
or
losses
recognised
in
other
comprehensi
ve
income
Hedge
ineffectivene
ss
recognised
in
the
income
statement
a
Description
of
hedge
relationship
and
hedged
risk
£m
£m
£m
£m
£m
£m
£m
2020
Cash
flow
hedge
of:
Interest
rate
risk
Loans
and
advances
at
amortised
cost
(1,260)
(758)
-
(780)
-
(1,260)
40
Foreign
exchange
risk
Loans
and
advances
at
amortised
cost
(70)
(15)
-
-
-
(70)
-
Inflation
risk
Debt
securities
classified
at
amortised
cost
(41)
(65)
-
-
-
(41)
1
Total
cash
flow
hedges
(1,371)
(838)
-
(780)
-
(1,371)
41
Hedge
of
net
investment
in
foreign
operations
USD
foreign
operations
(83)
-
1,097
-
-
(83)
-
EUR
foreign
operations
(2)
-
16
-
-
(2)
-
Other
foreign
operations
(9)
-
55
-
162
(9)
-
Total
foreign
operations
(94)
-
1,168
-
162
(94)
-
2019
Cash
flow
hedge
of:
Interest
rate
risk
Loans
and
advances
at
amortised
cost
(826)
(142)
-
(366)
-
(802)
(10)
Inflation
risk
Debt
securities
classified
as
amortised
cost
(28)
(26)
-
-
-
(26)
3
Total
cash
flow
hedges
(854)
(168)
-
(366)
-
(828)
(7)
Hedge
of
net
investment
in
foreign
operations
USD
foreign
operations
209
-
1,092
-
-
209
-
EUR
foreign
operations
70
-
(1)
-
15
70
-
Other
foreign
operations
3
-
1
-
217
3
-
Total
foreign
operations
282
-
1,092
-
232
282
-
Note
a
Hedge
ineffectiveness
is
recognised
in
net
interest
income.
Notes
to
the
financial
statements
Assets
and
liabilities
held
at
fair
value
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
139
The
following
table
shows
the
cash
flow
and
net
investment
hedging
instruments
which
are
carried
on
the
Barclays
Bank
Group’s
balance
sheet:
Barclays
Bank
Group
Carrying
value
Nominal
amount
Change
in
fair
value
used
as
a
basis
to
determine
ineffectiveness
Nominal
amount
directly
impacted
by
IBOR
reform
Derivative
assets
Derivative
liabilities
Loan
liabilities
Hedge
type
Risk
category
£m
£m
£m
£m
£m
£m
As
at
31
December
2020
Cash
flow
Interest
rate
risk
47
-
-
42,520
1,300
27,160
Foreign
exchange
risk
67
-
-
1,000
70
-
Inflation
risk
2
-
-
2,798
42
-
Total
116
-
-
46,318
1,412
27,160
Net
investment
Foreign
exchange
risk
25
-
(4,832)
5,623
94
-
As
at
31
December
2019
Cash
flow
Interest
rate
risk
24
(1)
-
44,421
816
26,896
Inflation
risk
4
-
-
1,258
31
-
Total
28
(1)
-
45,679
847
26,896
Net
investment
Foreign
exchange
risk
30
-
(8,076)
9,221
(282)
-
For
Barclays
Bank
Group,
there
is
1
(2019:
0)
foreign
exchange
risk
cash
flow
hedge
with
an
average
foreign
exchange
rate
of
JPY133.03:
GBP
(2019:
0).
The
Group’s
risk
exposure
is
directly
affected
by
interest
rate
benchmark
reform,
across
both
its
cash
flow
hedge
accounting
activities;
where
IBOR-linked
derivatives
are
designated
as
a
cash
flow
hedge
of
IBOR-linked
cash
flows,
and
its
fair
value
hedge
accounting
activities;
where
IBOR-linked
derivatives
are
designated
as
a
fair
value
hedge
of
fixed
interest
rate
assets
and
liabilities.
Further
information
on
the
group’s
risk
exposure
and
response
can
be
found
in
Note
40.
The
effect
on
the
income
statement
and
other
comprehensive
income
of
recycling
amounts
in
respect
of
cash
flow
hedges
and
net
investment
hedges
of
foreign
operations
is
set
out
in
the
following
table:
Barclays
Bank
Group
2020
2019
Amount
recycled
from
other
comprehensive
income
due
to
hedged
item
affecting
income
statement
Amount
recycled
from
other
comprehensive
income
due
to
sale
of
investment,
or
cash
flows
no
longer
expected
to
occur
Amount
recycled
from
other
comprehensive
income
due
to
hedged
item
affecting
income
statement
Amount
recycled
from
other
comprehensive
income
due
to
sale
of
investment,
or
cash
flows
no
longer
expected
to
occur
Description
of
hedge
relationship
and
hedged
risk
£m
£m
£m
£m
Cash
flow
hedge
of
interest
rate
risk
Recycled
to
net
interest
income
239
37
105
36
Cash
flow
hedge
of
foreign
exchange
risk
Recycled
to
net
interest
income
55
–
–
–
Hedge
of
net
investment
in
foreign
operations
Recycled
to
other
income
–
(4)
–
(15)
14
Financial
assets
at
fair
value
through
other
comprehensive
income
Accounting
for
financial
assets
at
fair
value
through
other
comprehensive
income
(FVOCI)
Financial
assets
that
are
debt
instruments
held
in
a
business
model
that
is
achieved
by
both
collecting
contractual
cash
flows
and
selling
and
that
contain
contractual
terms
that
give
rise
on
specified
dates
to
cash
flows
that
are
SPPI
are
measured
at
FVOCI.
They
are
subsequently
re-
measured
at
fair
value
and
changes
therein
(except
for
those
relating
to
impairment,
interest
income
and
foreign
currency
exchange
gains
and
losses)
are
recognised
in
other
comprehensive
income
until
the
assets
are
sold.
Interest
(calculated
using
the
effective
interest
method)
is
recognised
in
the
income
statement
in
net
interest
income
(Note
3).
Upon
disposal,
the
cumulative
gain
or
loss
recognised
in
other
comprehensive
income
is
included
in
net
investment
income
(Note
6).
In
determining
whether
the
business
model
is
achieved
by
both
collecting
contractual
cash
flows
and
selling
financial
assets,
it
is
determined
that
both
collecting
contractual
cash
flows
and
selling
financial
assets
are
integral
to
achieving
the
objective
of
the
business
model.
The
Barclays
Bank
Group
will
consider
past
sales
and
expectations
about
future
sales
to
establish
if
the
business
model
is
achieved.
Notes
to
the
financial
statements
Assets
and
liabilities
held
at
fair
value
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
140
For
equity
securities
that
are
not
held
for
trading,
the
Barclays
Bank
Group
may
make
an
irrevocable
election
on
initial
recognition
to
present
subsequent
changes
in
the
fair
value
of
the
instrument
in
other
comprehensive
income
(except
for
dividend
income
which
is
recognised
in
profit
or
loss).
Gains
or
losses
on
the
de-recognition
of
these
equity
securities
are
not
transferred
to
profit
or
loss.
These
assets
are
also
not
subject
to
the
impairment
requirements
and
therefore
no
amounts
are
recycled
to
the
income
statement.
Where
the
Barclays
Bank
Group
has
not
made
the
irrevocable
election
to
present
subsequent
changes
in
the
fair
value
of
the
instrument
in
other
comprehensive
income,
equity
securities
are
measured
at
fair
value
through
profit
or
loss.
Barclays
Bank
Group
2020
2019
£m
£m
Debt
securities
and
other
eligible
bills
51,710
44,781
Equity
securities
1
1
Loans
and
advances
191
624
Financial
assets
at
fair
value
through
other
comprehensive
income
51,902
45,406
15
Financial
liabilities
designated
at
fair
value
Accounting
for
liabilities
designated
at
fair
value
through
profit
and
loss
In
accordance
with
IFRS
9,
financial
liabilities
may
be
designated
at
fair
value,
with
gains
and
losses
taken
to
the
income
statement
within
net
trading
income
(Note
5)
and
net
investment
income
(Note
6).
Movements
in
own
credit
are
reported
through
other
comprehensive
income,
unless
the
effects
of
changes
in
the
liability's
credit
risk
would
create
or
enlarge
an
accounting
mismatch
in
profit
and
loss.
In
these
scenarios,
all
gains
and
losses
on
that
liability
(including
the
effects
of
changes
in
the
credit
risk
of
the
liability)
are
presented
in
profit
and
loss.
On
derecognition
of
the
financial
liability
no
amount
relating
to
own
credit
risk
are
recycled
to
the
income
statement.
The
Barclays
Bank
Group
has
the
ability
to
make
the
fair
value
designation
when
holding
the
instruments
at
fair
value
reduces
an
accounting
mismatch
(caused
by
an
offsetting
liability
or
asset
being
held
at
fair
value),
or
is
managed
by
the
Barclays
Bank
Group
on
the
basis
of
its
fair
value,
or
includes
terms
that
have
substantive
derivative
characteristics
(Note
13).
The
details
on
how
the
fair
value
amounts
are
arrived
at
for
financial
liabilities
designated
at
fair
value
are
described
in
Note
16.
Barclays
Bank
Group
2020
2019
Fair
value
Contractual
amount
due
on
maturity
Fair
value
Contractual
amount
due
on
maturity
£m
£m
£m
£m
Debt
securities
50,216
57,650
49,559
56,891
Deposits
21,718
22,120
25,526
25,725
Repurchase
agreements
and
other
similar
secured
borrowing
177,455
177,513
128,686
128,845
Other
financial
liabilities
237
237
675
675
Financial
liabilities
designated
at
fair
value
249,626
257,520
204,446
212,136
The
cumulative
own
credit
net
loss
recognised
for
Barclays
Bank
Group
is
£954m
(2019:
£373m).
16
Fair
value
of
financial
instruments
Accounting
for
financial
assets
and
liabilities
–
fair
values
Financial
instruments
that
are
held
for
trading
are
recognised
at
fair
value
through
profit
or
loss.
In
addition,
financial
assets
are
held
at
fair
value
through
profit
or
loss
if
they
do
not
contain
contractual
terms
that
give
rise
on
specified
dates
to
cash
flows
that
are
SPPI,
or
if
the
financial
asset
is
not
held
in
a
business
model
that
is
either
(i)
a
business
model
to
collect
the
contractual
cash
flows
or
(ii)
a
business
model
that
is
achieved
by
both
collecting
contractual
cash
flows
and
selling.
Subsequent
changes
in
fair
value
for
these
instruments
are
recognised
in
the
income
statement
in
net
investment
income,
except
if
reporting
it
in
trading
income
reduces
an
accounting
mismatch.
All
financial
instruments
are
initially
recognised
at
fair
value
on
the
date
of
initial
recognition
(including
transaction
costs,
other
than
financial
instruments
held
at
fair
value
through
profit
or
loss)
and
depending
on
the
subsequent
classification
of
the
financial
asset
or
liability,
may
continue
to
be
held
at
fair
value
either
through
profit
or
loss
or
other
comprehensive
income.
The
fair
value
of
a
financial
instrument
is
the
price
that
would
be
received
to
sell
an
asset
or
paid
to
transfer
a
liability
in
an
orderly
transaction
between
market
participants
at
the
measurement
date.
Wherever
possible,
fair
value
is
determined
by
reference
to
a
quoted
market
price
for
that
instrument.
For
many
of
the
Barclays
Bank
Group’s
financial
assets
and
liabilities,
especially
derivatives,
quoted
prices
are
not
available
and
valuation
models
are
used
to
estimate
fair
value.
The
models
calculate
the
expected
cash
flows
under
the
terms
of
each
specific
contract
and
then
discount
these
values
back
to
a
present
value.
These
models
use
as
their
basis
independently
sourced
market
inputs
including,
for
example,
interest
rate
yield
curves,
equities
and
commodities
prices,
option
volatilities
and
currency
rates.
For
financial
liabilities
measured
at
fair
value,
the
carrying
amount
reflects
the
effect
on
fair
value
of
changes
in
own
credit
spreads
derived
from
observable
market
data
such
as
in
primary
issuance
and
redemption
activity
for
structured
notes.
On
initial
recognition,
it
is
presumed
that
the
transaction
price
is
the
fair
value
unless
there
is
observable
information
available
in
an
active
market
to
the
contrary.
The
best
evidence
of
an
instrument’s
fair
value
on
initial
recognition
is
typically
the
transaction
price.
However,
if
fair
value
can
be
evidenced
by
comparison
with
other
observable
current
market
transactions
in
the
same
instrument,
or
is
based
on
a
valuation
Notes
to
the
financial
statements
Assets
and
liabilities
held
at
fair
value
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
141
technique
whose
inputs
include
only
data
from
observable
markets,
then
the
instrument
should
be
recognised
at
the
fair
value
derived
from
such
observable
market
data.
For
valuations
that
have
made
use
of
unobservable
inputs,
the
difference
between
the
model
valuation
and
the
initial
transaction
price
(Day
One
profit)
is
recognised
in
profit
or
loss
either:
on
a
straight-line
basis
over
the
term
of
the
transaction;
or
over
the
period
until
all
model
inputs
will
become
observable
where
appropriate;
or
released
in
full
when
previously
unobservable
inputs
become
observable.
Various
factors
influence
the
availability
of
observable
inputs
and
these
may
vary
from
product
to
product
and
change
over
time.
Factors
include
the
depth
of
activity
in
the
relevant
market,
the
type
of
product,
whether
the
product
is
new
and
not
widely
traded
in
the
marketplace,
the
maturity
of
market
modelling
and
the
nature
of
the
transaction
(bespoke
or
generic).
To
the
extent
that
valuation
is
based
on
models
or
inputs
that
are
not
observable
in
the
market,
the
determination
of
fair
value
can
be
more
subjective,
dependent
on
the
significance
of
the
unobservable
input
to
the
overall
valuation.
Unobservable
inputs
are
determined
based
on
the
best
information
available,
for
example
by
reference
to
similar
assets,
similar
maturities
or
other
analytical
techniques.
The
sensitivity
of
valuations
used
in
the
financial
statements
to
possible
changes
in
significant
unobservable
inputs
is
shown
on
page
147.
Critical
accounting
estimates
and
judgements
The
valuation
of
financial
instruments
often
involves
a
significant
degree
of
judgement
and
complexity,
in
particular
where
valuation
models
make
use
of
unobservable
inputs
(‘Level
3’
assets
and
liabilities).
This
note
provides
information
on
these
instruments,
including
the
related
unrealised
gains
and
losses
recognised
in
the
period,
a
description
of
significant
valuation
techniques
and
unobservable
inputs,
and
a
sensitivity
analysis.
Valuation
IFRS
13
Fair
value
measurement
significant
market
inputs.
The
three
levels
of
the
fair
value
hierarchy
are
defined
below.
Quoted
market
prices
–
Level
1
Assets
and
liabilities
are
classified
as
Level
1
if
their
value
is
observable
in
an
active
market.
Such
instruments
are
valued
by
reference
to
unadjusted
quoted
prices
for
identical
assets
or
liabilities
in
active
markets
where
the
quoted
price
is
readily
available,
and
the
price
represents
actual
and
regularly
occurring
market
transactions.
An
active
market
is
one
in
which
transactions
occur
with
sufficient
volume
and
frequency
to
provide
pricing
information
on
an
ongoing
basis.
Valuation
technique
using
observable
inputs
–
Level
2
Assets
and
liabilities
classified
as
Level
2
have
been
valued
using
models
whose
inputs
are
observable
either
directly
or
indirectly.
Valuations
based
on
observable
inputs
include
assets
and
liabilities
such
as
swaps
and
forwards
which
are
valued
using
market
standard
pricing
techniques,
and
options
that
are
commonly
traded
in
markets
where
all
the
inputs
to
the
market
standard
pricing
models
are
observable.
Valuation
technique
using
significant
unobservable
inputs
–
Level
3
Assets
and
liabilities
are
classified
as
Level
3
if
their
valuation
incorporates
significant
inputs
that
are
not
based
on
observable
market
data
(unobservable
inputs).
A
valuation
input
is
considered
observable
if
it
can
be
directly
observed
from
transactions
in
an
active
market,
or
if
there
is
compelling
external
evidence
demonstrating
an
executable
exit
price.
Unobservable
input
levels
are
generally
determined
via
reference
to
observable
inputs,
historical
observations
or
using
other
analytical
techniques.
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:
Assets
and
liabilities
held
at
fair
value
2020
2019
Valuation
technique
using
Valuation
technique
using
Level
1
Level
2
Level
3
Total
Level
1
Level
2
Level
3
Total
Barclays
Bank
Group
£m
£m
£m
£m
£m
£m
£m
£m
Trading
portfolio
assets
60,619
65,182
1,863
127,664
59,968
51,105
2,264
113,337
Financial
assets
at
fair
value
through
the
income
statement
4,439
162,930
4,392
171,761
10,300
115,008
4,162
129,470
Derivative
financial
assets
9,154
289,071
4,468
302,693
5,439
221,048
3,154
229,641
Financial
assets
at
fair
value
through
other
comprehensive
income
12,150
39,599
153
51,902
11,577
33,400
429
45,406
Investment
property
-
-
10
10
-
-
13
13
Total
assets
86,362
556,782
10,886
654,030
87,284
420,561
10,022
517,867
Trading
portfolio
liabilities
(23,331)
(22,780)
(28)
(46,139)
(19,645)
(15,567)
-
(35,212)
Financial
liabilities
designated
at
fair
value
(159)
(249,126)
(341)
(249,626)
(82)
(204,021)
(343)
(204,446)
Derivative
financial
liabilities
(8,762)
(285,579)
(6,239)
(300,580)
(5,305)
(219,646)
(3,989)
(228,940)
Total
liabilities
(32,252)
(557,485)
(6,608)
(596,345)
(25,032)
(439,234)
(4,332)
(468,598)
Notes
to
the
financial
statements
Assets
and
liabilities
held
at
fair
value
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
142
The
following
table
shows
Barclays
Bank
Group’s
Level
3
assets
and
liabilities
that
are
held
at
fair
value
disaggregated
by
product
type:
Level
3
Assets
and
liabilities
held
at
fair
value
by
product
type
2020
2019
Assets
Liabilities
Assets
Liabilities
Barclays
Bank
Group
£m
£m
£m
£m
Interest
rate
derivatives
1,613
(1,615)
605
(812)
Foreign
exchange
derivatives
144
(143)
291
(298)
Credit
derivatives
196
(351)
539
(342)
Equity
derivatives
2,497
(4,112)
1,710
(2,528)
Commodity
derivatives
18
(18)
9
(9)
Corporate
debt
698
(3)
521
-
Reverse
repurchase
and
repurchase
agreements
-
(174)
-
(167)
Non-asset
backed
loans
3,093
-
3,280
-
Asset
backed
securities
767
(24)
756
-
Equity
cash
products
542
-
1,228
-
Private
equity
investments
84
-
112
-
Other
a
1,234
(168)
971
(176)
Total
10,886
(6,608)
10,022
(4,332)
Note
a
Other
includes
commercial
real
estate
loans,
funds
and
fund
-linked
products,
issued
debt,
government
sponsored
debt
and
investment
property.
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
the
valuation
techniques
used,
as
well
as
the
availability
and
reliability
of
observable
proxy
and
historical
data
and
the
impact
of
using
alternative
models.
Sensitivities
are
dynamically
calculated
on
a
monthly
basis.
The
calculation
is
based
on
range
or
spread
data
of
a
reliable
reference
source
or
a
scenario
based
on
relevant
market
analysis
alongside
the
impact
of
using
alternative
models.
Sensitivities
are
calculated
without
reflecting
the
impact
of
any
diversification
in
the
portfolio.
The
valuation
techniques
used,
observability
and
sensitivity
analysis
for
material
products
within
Level
3,
are
described
below.
Interest
rate
derivatives
Description:
caps,
floors,
inflation
options,
balance
guaranteed
swaps
and
other
exotic
interest
rate
derivatives.
Valuation:
discount
the
expected
future
cash
flows
of
trades.
Instruments
with
optionality
are
valued
using
volatilities
implied
from
market
inputs,
and
use
industry
standard
or
bespoke
models
depending
on
the
product
type.
Observability:
underlying.
Unobservable
inputs
are
generally
set
by
referencing
liquid
market
instruments
and
applying
extrapolation
techniques
or
inferred
via
another
reasonable
method.
Foreign
exchange
derivatives
Description:
Derivatives
linked
to
the
foreign
exchange
(FX)
market.
The
category
includes
FX
forward
contracts,
FX
swaps
and
FX
options.
The
majority
are
traded
as
over
the
counter
(OTC)
derivatives.
Valuation:
rates,
interest
rates,
FX
volatilities,
interest
rate
volatilities,
FX
interest
rate
correlations
and
others
as
appropriate.
Observability:
input
and
underlying.
Unobservable
inputs
are
set
by
referencing
liquid
market
instruments
and
applying
extrapolation
tec
hniques,
or
inferred
via
another
reasonable
method.
Credit
derivatives
Description:
(e.g.
a
securitised
product).
The
category
includes
single
name
and
index
credit
default
swaps
(CDS)
and
total
return
swaps
(TRS).
Valuation:
directly
from
broker
data,
third
party
vendors
or
priced
to
proxies.
Observability:
considered
observable
if
products
with
significant
sensitivity
to
the
inputs
are
actively
traded
in
a
liquid
market.
Unobservable
valuation
inputs
are
generally
determined
with
reference
to
recent
transactions
or
inferred
from
observable
trades
of
the
same
issuer
or
similar
entities.
Notes
to
the
financial
statements
Assets
and
liabilities
held
at
fair
value
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
143
Equity
derivatives
Description
:
Exchange
traded
or
OTC
derivatives
linked
to
equity
indices
and
single
names.
The
category
includes
vanilla
and
exotic
equity
products.
Valuation:
rates,
equity
repurchase
curves
and,
for
multi-asset
products,
correlations.
Observability:
Unobservable
inputs
are
set
by
referencing
liquid
market
instruments
and
applying
extrapolation
techniques,
or
inferred
via
another
reasonable
method.
Commodity
derivatives
Description:
agricultural,
power
and
natural
gas.
Valuation:
modelling
techniques.
Valuation
inputs
include
forward
curves,
volatilities
implied
from
market
observable
inputs
and
correlations.
Observability:
for
each
input
and
underlying.
Unobservable
inputs
are
set
with
reference
to
similar
observable
products,
or
by
applying
extrapolation
techniques
to
observable
inputs.
Corporate
debt
Description:
Valuation:
sources.
Observability:
bond
yields
or
CDS
spreads
for
actively
traded
instruments
issued
by
or
referencing
the
same
(or
a
similar)
issuer.
Level
3
sensitivity:
the
market
for
similar
bonds.
Reverse
repurchase
and
repurchase
agreements
Description:
lending
agreements.
The
agreements
are
primarily
short-term
in
nature.
Valuation:
standard
models
that
incorporate
market
interest
rates
and
repurchase
rates,
based
on
the
specific
details
of
the
transaction.
Observability:
Unobservable
inputs
are
generally
set
by
referencing
liquid
market
instruments
and
applying
extrapolation
techniques,
or
inferred
via
another
reasonable
method.
Non-asset
backed
loans
Description:
Valuation:
Observability:
incorporating
funding
costs,
the
level
of
comparable
assets
such
as
gilts,
issuer
credit
quality
and
other
factors.
Asset
backed
securities
Description:
mortgage
backed
securities,
commercial
mortgage
backed
securities,
CDOs,
collateralised
loan
obligations
(CLOs)
and
other
asset
backed
securities.
Valuation:
valuations
are
determined
using
industry
standard
discounted
cash
flow
analysis
that
calculates
the
fair
value
based
on
valuation
inputs
such
as
constant
default
rate,
conditional
prepayment
rate,
loss
given
default
and
yield.
These
inputs
are
determined
by
reference
to
a
number
of
sources
including
proxying
to
observed
transactions,
market
indices
or
market
research,
and
by
assessing
underlying
collateral
performance.
Proxying
to
observed
transactions,
indices
or
research
requires
an
assessment
and
comparison
of
the
relevant
securities’
underlying
attributes
including
collateral,
tranche,
vintage,
underlying
asset
composition
(historical
losses,
borrower
characteristics
and
loan
attributes
such
as
loan
to
value
ratio
and
geographic
concentration)
and
credit
ratings
(original
and
current).
Observability:
cash
flow
analysis,
the
instrument
is
considered
unobservable.
Equity
cash
products
Description:
Notes
to
the
financial
statements
Assets
and
liabilities
held
at
fair
value
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
144
Valuation:
Observability:
by
reference
to
actively
traded
instruments
that
are
similar
in
nature,
or
inferred
via
another
reasonable
method.
Private
equity
investments
Description:
Valuation:
which
require
the
use
of
a
number
of
individual
pricing
benchmarks
such
as
the
prices
of
recent
transactions
in
the
same
or
similar
entities,
discounted
cash
flow
analysis
and
comparison
with
the
earnings
multiples
of
listed
companies.
While
the
valuation
of
unquoted
equity
instruments
is
subjective
by
nature,
the
relevant
methodologies
are
commonly
applied
by
other
market
participants
and
have
been
consistently
applied
over
time.
Observability:
Unobservable
inputs
include
earnings
estimates,
multiples
of
comparative
companies,
marketability
discounts
and
discount
rates.
Other
Description:
investment
property.
Assets
and
liabilities
reclassified
between
Level
1
and
Level
2
During
the
period,
there
were
no
material
transfers
between
Level
1
to
Level
2.
(2019:
there
were
no
material
transfers
between
Level
1
and
Level
2).
Level
3
movement
analysis
The
following
table
summarises
the
movements
in
the
Level
3
balances
during
the
period.
Transfers
have
been
reflected
as
if
they
had
taken
place
at
the
beginning
of
the
year.
Assets
and
liabilities
included
in
disposal
groups
classified
as
held
for
sale
and
measured
at
fair
value
less
cost
to
sell
are
not
included
as
these
are
measured
at
fair
value
on
a
non-recurring
basis.
Asset
and
liability
transfers
between
Level
2
and
Level
3
are
primarily
due
to
1)
an
increase
or
decrease
in
observable
market
activity
related
to
an
input
or
2)
a
change
in
the
significance
of
the
unobservable
input,
with
assets
and
liabilities
classified
as
Level
3
if
an
unobservable
input
is
deemed
significant.
Notes
to
the
financial
statements
Assets
and
liabilities
held
at
fair
value
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
145
Analysis
of
movements
in
Level
3
assets
and
liabilities
As
at
1
January
2020
Total
gains
and
losses
in
the
period
recognised
in
the
income
statement
Total
gains
or
losses
recognised
in
OCI
Transfers
As
at
31
December
2020
Purchases
Sales
Issues
Settlements
Trading
income
Other
income
In
Out
Barclays
Bank
Group
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
Corporate
debt
120
77
(6)
(35)
12
(17)
151
Non-asset
backed
loans
974
1,955
(2,182)
(12)
(10)
39
(55)
709
Asset
backed
securities
656
458
(428)
(40)
(25)
99
(34)
686
Equity
cash
products
392
5
(149)
(41)
11
(4)
214
Other
122
(21)
2
103
Trading
portfolio
assets
2,264
2,495
(2,765)
(52)
(132)
163
(110)
1,863
Non-asset
backed
loans
1,964
1,102
(283)
(293)
142
(352)
2,280
Equity
cash
products
835
9
(404)
(93)
(36)
9
320
Private
equity
investments
113
2
(20)
(1)
(9)
15
(12)
88
Other
1,250
3,716
(3,606)
(26)
32
(48)
386
1,704
Financial
assets
at
fair
value
through
the
income
statement
4,162
4,829
(4,313)
(320)
81
(93)
410
(364)
4,392
Non-asset
backed
loans
343
(237)
106
Asset
backed
securities
86
(35)
(4)
47
Financial
assets
at
fair
value
through
other
comprehensive
income
429
(35)
(237)
(4)
153
Investment
property
13
(2)
(1)
10
Trading
portfolio
liabilities
(27)
(1)
(28)
Financial
liabilities
designated
at
fair
value
(343)
1
(21)
1
21
(38)
38
(341)
Interest
rate
derivatives
(206)
17
(12)
85
109
(18)
23
(2)
Foreign
exchange
derivatives
(7)
21
(16)
(19)
22
1
Credit
derivatives
198
(125)
24
(371)
24
(21)
116
(155)
Equity
derivatives
(820)
(699)
(43)
105
(101)
(13)
(44)
(1,615)
Net
derivative
financial
instruments
a
(835)
(807)
(31)
(160)
16
(71)
117
(1,771)
Total
5,690
6,490
(7,145)
(21)
(768)
(15)
(94)
(4)
464
(319)
4,278
Notes
to
the
financial
statements
Assets
and
liabilities
held
at
fair
value
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
146
Analysis
of
movements
in
Level
3
assets
and
liabilities
As
at
1
January
2019
Purchases
Sales
Issues
Settlements
Total
gains
and
losses
in
the
period
recognised
in
the
income
statement
Total
gains
or
losses
recognised
in
OCI
Transfers
As
at
31
December
2019
Trading
income
Other
income
In
Out
Barclays
Bank
Group
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
Corporate
debt
388
126
(52)
(311)
1
45
(77)
120
Non-asset
backed
loans
2,263
1,844
(2,799)
(134)
24
200
(424)
974
Asset
backed
securities
664
202
(166)
(30)
16
(30)
656
Equity
cash
products
136
62
(40)
(31)
293
(28)
392
Other
162
(1)
(24)
(15)
122
Trading
portfolio
assets
3,613
2,234
(3,057)
(446)
(60)
554
(574)
2,264
Non-asset
backed
loans
1,836
235
(204)
99
(1)
(1)
1,964
Equity
cash
products
559
66
(2)
3
209
835
Private
equity
investments
191
5
(9)
(2)
(17)
(55)
113
Other
2,064
5,716
(5,720)
(9)
12
(33)
24
(804)
1,250
Financial
assets
at
fair
value
through
the
income
statement
4,650
6,022
(5,729)
(217)
114
158
24
(860)
4,162
Non-asset
backed
loans
283
60
343
Asset
backed
securities
116
(30)
86
Equity
cash
products
2
(1)
(1)
Other
353
(135)
(218)
Financial
assets
at
fair
value
through
other
comprehensive
income
355
399
(31)
(135)
59
(218)
429
Investment
property
9
5
(1)
13
Trading
portfolio
liabilities
(3)
-
-
-
-
-
-
-
-
3
-
Financial
liabilities
designated
at
fair
value
(261)
(179)
10
(42)
41
67
(2)
-
(27)
50
(343)
Interest
rate
derivatives
22
(9)
-
-
88
(92)
-
-
(177)
(38)
(206)
Foreign
exchange
derivatives
7
-
-
-
25
(12)
-
-
(32)
5
(7)
Credit
derivatives
1,050
(59)
3
-
(866)
76
-
-
(9)
3
198
Equity
derivatives
(607)
(296)
(35)
-
(2)
(296)
-
-
(37)
453
(820)
Net
derivative
financial
instruments
a
472
(364)
(32)
-
(755)
(324)
-
-
(255)
423
(835)
Total
8,835
8,117
(8,839)
(42)
(1,512)
(203)
155
59
296
(1,176)
5,690
Note
a
The
derivative
financial
instruments
are
represented
on
a
net
basis.
On
a
gross
basis,
derivative
financial
assets
are
£4,468m
(2019:
£3,154m)
and
derivative
financial
liabilit
ies
are
£6,239m
(2019:
£3,989m).
Notes
to
the
financial
statements
Assets
and
liabilities
held
at
fair
value
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
147
Unrealised
gains
and
losses
on
Level
3
financial
assets
and
liabilities
The
following
tables
disclose
the
unrealised
gains
and
losses
recognised
in
the
year
arising
on
Level
3
financial
assets
and
liabilities
held
at
year
end.
Unrealised
gains
and
losses
recognised
during
the
period
on
Level
3
assets
and
liabilities
held
at
year
end
2020
2019
Income
statement
Other
compre-
hensive
income
Income
statement
Other
compre-
hensive
income
Barclays
Bank
Group
Trading
income
Other
income
Total
Trading
income
Other
income
Total
As
at
31
December
£m
£m
£m
£m
£m
£m
£m
£m
Trading
portfolio
assets
(114)
-
-
(114)
(57)
-
-
(57)
Financial
assets
at
fair
value
through
the
income
statement
115
(89)
-
26
101
199
-
300
Fair
value
through
other
comprehensive
income
-
-
(1)
(1)
-
-
60
60
Investment
property
-
(1)
-
(1)
-
(1)
-
(1)
Trading
portfolio
liabilities
-
-
-
-
-
-
-
-
Financial
liabilities
designated
at
fair
value
20
(1)
-
19
64
-
-
64
Net
derivative
financial
instruments
(91)
-
-
(91)
(459)
-
-
(459)
Total
(70)
(91)
(1)
(162)
(351)
198
60
(93)
Significant
unobservable
inputs
The
following
table
discloses
the
valuation
techniques
and
significant
unobservable
inputs
for
assets
and
liabilities
recognised
at
fair
value
and
classified
as
Level
3
along
with
the
range
of
values
used
for
those
significant
unobservable
inputs:
Valuation
technique(s)
a
Significant
unobservable
inputs
2020
Range
2019
Range
Min
Max
Min
Max
Units
b
Derivative
financial
instruments
c
Interest
rate
derivatives
Discounted
cash
flows
Inflation
forwards
1
3
1
3
%
Credit
spread
17
1,831
41
1,620
bps
Comparable
pricing
Price
-
84
-
37
points
Option
model
Inflation
volatility
31
227
47
190
bps
vol
Interest
rate
volatility
6
489
8
431
bps
vol
FX
-
IR
correlation
(30)
78
(30)
78
%
IR
-
IR
correlation
(20)
99
(30)
100
%
Credit
derivatives
Discounted
cash
flows
Credit
spread
5
480
72
200
bps
Comparable
pricing
Price
-
100
-
155
points
Equity
derivatives
Option
model
Equity
volatility
1
110
1
200
%
Equity
-
equity
correlation
(45)
100
(20)
100
%
Discounted
cash
flow
Discounted
margin
(225)
3,000
(500)
1,100
bps
Non-derivative
financial
instruments
Non-asset
backed
loans
Discounted
cash
flows
Loan
spread
32
477
31
624
bps
Credit
spread
200
300
180
1,223
bps
Price
-
104
-
133
points
Yield
5
8
6
12
%
Comparable
pricing
Price
-
137
-
123
points
Asset
backed
securities
Comparable
pricing
Price
-
112
-
99
points
Corporate
debt
Comparable
pricing
Price
-
127
-
100
points
Other
d
Discounted
cash
flows
Credit
spread
146
483
126
649
bps
Notes
a
A
range
has
not
been
provided
for
Net
Asset
Value
as
there
would
be
a
wide
range
reflecting
the
diverse
nature
of
the
positions.
b
The
units
used
to
disclose
ranges
for
significant
unobservable
inputs
are
percentages,
points
and
basis
points.
Points
are
a
percentage
of
par;
for
example,
100
points
equals
100%
of
par.
A
basis
point
equals
1/100th
of
1%;
for
example,
150
basis
points
equals
1.5%.
c
Certain
derivative
instruments
are
classified
as
Level
3
due
to
a
significant
unobservable
credit
spread
i
nput
into
the
calculation
of
the
Credit
Valuation
Adjustment
for
the
instruments.
The
range
of
significant
unobservable
credit
spreads
is
between
17-1,831bps
(2019:
41-1,620bps).
d
Other
includes
commercial
real
estate
loans.
Notes
to
the
financial
statements
Assets
and
liabilities
held
at
fair
value
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
148
The
following
section
describes
the
significant
unobservable
inputs
identified
in
the
table
above,
and
the
sensitivity
of
fair
value
measurement
of
the
instruments
categorised
as
Level
3
assets
or
liabilities
to
increases
in
significant
unobservable
inputs.
Where
sensitivities
are
described,
the
inverse
relationship
will
also
generally
apply.
Where
reliable
interrelationships
can
be
identified
between
significant
unobservable
inputs
used
in
fair
value
measurement,
a
description
of
those
interrelationships
is
included
below.
Forwards
A
price
or
rate
that
is
applicable
to
a
financial
transaction
that
will
take
place
in
the
future.
In
general,
a
significant
increase
in
a
forward
in
isolation
will
result
in
a
fair
value
increase
for
the
contracted
receiver
of
the
underlying
(currency,
bond,
commodity,
etc.),
but
the
sensitivity
is
dependent
on
the
specific
terms
of
the
instrument.
Credit
spread
Credit
spreads
typically
represent
the
difference
in
yield
between
an
instrument
and
a
benchmark
security
or
reference
rate.
Credit
spreads
reflect
the
additional
yield
that
a
market
participant
demands
for
taking
on
exposure
to
the
credit
risk
of
an
instrument
and
form
part
of
the
yield
used
in
a
discounted
cash
flow
calculation.
In
general,
a
significant
increase
in
credit
spread
in
isolation
will
result
in
a
movement
in
a
fair
value
decrease
for
a
cash
asset.
For
a
derivative
instrument,
a
significant
increase
in
credit
spread
in
isolation
can
result
in
a
fair
value
increase
or
decrease
depending
on
the
specific
terms
of
the
instrument.
Volatility
Volatility
is
a
measure
of
the
variability
or
uncertainty
in
return
for
a
given
derivative
underlying.
It
is
an
estimate
of
how
much
a
particular
underlying
instrument
input
or
index
will
change
in
value
over
time.
In
general,
volatilities
are
implied
from
observed
option
prices.
For
unobservable
options
the
implied
volatility
may
reflect
additional
assumptions
about
the
nature
of
the
underlying
risk,
and
the
strike/maturity
profile
of
a
specific
contract.
In
general
a
significant
increase
in
volatility
in
isolation
will
result
in
a
fair
value
increase
for
the
holder
of
a
simple
option,
but
the
sensitivity
is
dependent
on
the
specific
terms
of
the
instrument.
There
may
be
interrelationships
between
unobservable
volatilities
and
other
unobservable
inputs
(e.g.
when
equity
prices
fall,
implied
equity
volatilities
generally
rise)
but
these
are
generally
specific
to
individual
markets
and
may
vary
over
time.
Correlation
Correlation
is
a
measure
of
the
relationship
between
the
movements
of
two
variables.
Correlation
can
be
a
significant
input
into
valuation
of
derivative
contracts
with
more
than
one
underlying
instrument.
Credit
correlation
generally
refers
to
the
correlation
between
default
processes
for
the
separate
names
that
make
up
the
reference
pool
of
a
CDO
structure.
A
significant
increase
in
correlation
in
isolation
can
result
in
a
fair
value
increase
or
decrease
depending
on
the
specific
terms
of
the
instrument.
Comparable
price
Comparable
instrument
prices
are
used
in
valuation
by
calculating
an
implied
yield
(or
spread
over
a
liquid
benchmark)
from
the
price
of
a
comparable
observable
instrument,
then
adjusting
that
yield
(or
spread)
to
account
for
relevant
differences
such
as
maturity
or
credit
quality.
Alternatively,
a
price-to-price
basis
can
be
assumed
between
the
comparable
and
unobservable
instruments
in
order
to
establish
a
value.
In
general,
a
significant
increase
in
comparable
price
in
isolation
will
result
in
an
increase
in
the
price
of
the
unobservable
instrument.
For
derivatives,
a
change
in
the
comparable
price
in
isolation
can
result
in
a
fair
value
increase
or
decrease
depending
on
the
specific
terms
of
the
instrument.
Loan
spread
Loan
spreads
typically
represent
the
difference
in
yield
between
an
instrument
and
a
benchmark
security
or
reference
rate.
Loan
spreads
typically
reflect
credit
quality,
the
level
of
comparable
assets
such
as
gilts
and
other
factors,
and
form
part
of
the
yield
used
in
a
discounted
cash
flow
calculation.
The
ESHLA
portfolio
primarily
consists
of
long-dated
fixed
rate
loans
extended
to
counterparties
in
the
UK
Education,
Social
Housing
and
Local
Authority
sectors.
The
loans
are
categorised
as
Level
3
in
the
fair
value
hierarchy
due
to
their
illiquid
nature
and
the
significance
of
unobservable
loan
spreads
to
the
valuation.
Valuation
uncertainty
arises
from
the
long-dated
nature
of
the
portfolio,
the
lack
of
secondary
market
in
the
loans
and
the
lack
of
observable
loan
spreads.
The
majority
of
ESHLA
loans
are
to
borrowers
in
heavily
regulated
sectors
that
are
considered
extremely
low
credit
risk,
and
have
a
history
of
near
zero
defaults
since
inception.
Wh
ile
the
overall
loan
spread
range
is
from
32bps
to
477bps
(2019:
31bps
to
624bps),
the
vast
majority
of
spreads
are
concentrated
towards
the
bottom
end
of
this
range,
with
98%
of
the
loan
notional
being
valued
with
spreads
less
than
200bps
consistently
for
both
years.
In
general,
a
significant
increase
in
loan
spreads
in
isolation
will
result
in
a
fair
value
decrease
for
a
loan.
Notes
to
the
financial
statements
Assets
and
liabilities
held
at
fair
value
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
149
Sensitivity
analysis
of
valuations
using
unobservable
inputs
2020
2019
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
82
-
(123)
-
44
-
(127)
-
Foreign
exchange
derivatives
6
-
(11)
-
5
-
(7)
-
Credit
derivatives
55
-
(44)
-
73
-
(47)
-
Equity
derivatives
174
-
(179)
-
114
-
(119)
-
Commodity
derivatives
2
-
(2)
-
-
-
-
-
Corporate
debt
16
-
(14)
-
11
-
(16)
-
Non
asset
backed
loans
104
3
(190)
(3)
125
8
(228)
(8)
Equity
cash
products
158
-
(141)
-
123
-
(175)
-
Private
equity
investments
15
-
(15)
-
16
-
(25)
-
Other
a
21
-
(21)
-
1
-
(1)
-
Total
633
3
(740)
(3)
512
8
(745)
(8)
Note
a
Other
includes
commercial
real
estate
loans,
funds
and
fund
-linked
products,
issued
debt,
government
sponsored
debt
and
investment
property.
The
effect
of
stressing
unobservable
inputs
to
a
range
of
reasonably
possible
alternatives,
alongside
considering
the
impact
of
using
alternative
models,
would
be
to
increase
fair
values
by
up
to
£636m
(2019:
£520m)
or
to
decrease
fair
values
by
up
to
£743m
(2019:
£753m)
with
substantially
all
the
potential
effect
impacting
profit
and
loss
rather
than
reserves.
Fair
value
adjustments
Key
balance
sheet
valuation
adjustments
are
quantified
below:
2020
2019
£m
£m
Exit
price
adjustments
derived
from
market
bid-offer
spreads
(483)
(420)
Uncollateralised
derivative
funding
(115)
(57)
Derivative
credit
valuation
adjustments
(268)
(135)
Derivative
debit
valuation
adjustments
113
155
Exit
price
adjustments
derived
from
market
bid-offer
spreads
Barclays
Bank
Group
uses
mid-market
pricing
where
it
is
a
market
maker
and
has
the
ability
to
transact
at,
or
better
than,
mid
price
(which
is
the
case
for
certain
equity,
bond
and
vanilla
derivative
markets).
For
other
financial
assets
and
liabilities,
bid-offer
adjustments
are
recorded
to
reflect
the
exit
level
for
the
expected
close
out
strategy.
The
methodology
for
determining
the
bid-offer
adjustment
for
a
derivative
portfolio
involves
calculating
the
net
risk
exposure
by
offsetting
long
and
short
positions
by
strike
and
term
in
accordance
with
the
risk
management
and
hedging
strategy.
Bid-offer
levels
are
generally
derived
from
market
quotes
such
as
broker
data.
Less
liquid
instruments
may
not
have
a
directly
observable
bid-
offer
level.
In
such
instances,
an
exit
price
adjustment
may
be
derived
from
an
observable
bid-offer
level
for
a
comparable
liquid
instrument,
or
determined
by
calibrating
to
derivative
prices,
or
by
scenario
or
historical
analysis.
Exit
price
adjustments
derived
from
market
bid-offer
spreads
have
increased
by
£63m
to
£483m
as
a
result
of
movements
in
market
bid
offer
spreads.
Discounting
approaches
for
derivative
instruments
Collateralised
In
line
with
market
practice,
the
methodology
for
discounting
collateralised
derivatives
takes
into
account
the
nature
and
currency
of
the
collateral
that
can
be
posted
within
the
relevant
credit
support
annex
(CSA).
The
CSA
aware
discounting
approach
recognises
the
‘cheapest
to
deliver’
option
that
reflects
the
ability
of
the
party
posting
collateral
to
change
the
currency
of
the
collateral.
Uncollateralised
A
fair
value
adjustment
of
£115m
is
applied
to
account
for
the
impact
of
incorporating
the
cost
of
funding
into
the
valuation
of
uncollateralised
and
partially
collateralised
derivative
portfolios
and
collateralised
derivatives
where
the
terms
of
the
agreement
do
not
allow
the
rehypothecation
of
collateral
received.
This
adjustment
is
referred
to
as
the
Funding
Fair
Valu
e
Adjustment
(FFVA).
FFVA
has
increased
by
£58m
to
£115m
as
a
result
of
moves
in
input
funding
spreads
and
an
update
to
methodology.
FFVA
incorporates
a
scaling
factor
which
is
an
estimate
of
the
extent
to
which
the
cost
of
funding
is
incorporated
into
observed
traded
levels.
On
calibrating
the
scaling
factor,
it
is
with
the
assumption
that
Credit
Valuation
Adjustments
(CVA)
and
Debit
Valuation
Adjustments
(DVA)
are
retained
as
valuation
components
incorporated
into
such
levels.
The
effect
of
incorporating
this
scaling
factor
at
31
December
2020
was
to
reduce
FFVA
by
£115
m
(2019:
£170m).
Notes
to
the
financial
statements
Assets
and
liabilities
held
at
fair
value
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
150
Derivative
credit
and
debit
valuation
adjustments
CVA
and
DVA
are
incorporated
into
derivative
valuations
to
reflect
the
impact
on
fair
value
of
counterparty
credit
risk
and
Barclays
Bank
Group’s
own
credit
quality
respectively.
These
adjustments
are
calculated
for
uncollateralised
and
partially
collateralised
derivatives
across
all
asset
classes.
CVA
and
DVA
are
calculated
using
estimates
of
exposure
at
default,
probability
of
default
and
recovery
rates,
at
a
counterparty
level.
Counterparties
include
(but
are
not
limited
to)
corporates,
sovereigns
and
sovereign
agencies
and
supranationals.
Exposure
at
default
is
generally
estimated
through
the
simulation
of
underlying
risk
factors
through
approximating
with
a
more
vanilla
structure,
or
by
using
current
or
scenario-based
mark
to
market
as
an
estimate
of
future
exposure.
Probability
of
default
and
recovery
rate
information
is
generally
sourced
from
the
CDS
markets.
Where
this
information
is
not
available,
or
considered
unreliable,
alternative
approaches
are
taken
based
on
mapping
internal
counterparty
ratings
onto
historical
or
market-based
default
and
recovery
information.
In
particular,
this
applies
to
sovereign
related
names
where
the
effect
of
using
the
recovery
assumptions
implied
in
CDS
levels
would
imply
a
£32m
(2019:
£36m)
increase
in
CVA.
CVA
increased
by
£133m
to
£268m
as
a
result
of
an
increased
uncollateralised
and
partially
collateralised
derivative
asset
and
widening
input
counterparty
credit
spreads.
DVA
decreased
by
£42m
to
£113m,
as
a
result
of
an
update
to
methodology
partially
offset
by
widening
input
own
credit
spreads.
Correlation
between
counterparty
credit
and
underlying
derivative
risk
factors,
termed
‘wrong-way,’
or
‘right-way’
risk,
is
not
systematically
incorporated
into
the
CVA
calculation
but
is
adjusted
where
the
underlying
exposure
is
directly
related
to
the
counterparty.
Barclays
continues
to
monitor
market
practices
and
activity
to
ensure
the
approach
to
uncollateralised
derivative
valuation
remains
appropriate.
Portfolio
exemptions
Barclays
Bank
Group
uses
the
portfolio
exemption
in
IFRS
13
Fair
Value
Measurement
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,
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
m
easurement
date.
Unrecognised
gains
as
a
result
of
the
use
of
valuation
models
using
unobservable
inputs
The
amount
that
has
yet
to
be
recognised
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
£103m
(2019:
£100m)
for
financial
instruments
measured
at
fair
value
and
£30m
(2019:
£31m)
for
financial
instruments
carried
at
amortised
cost.
The
increase
in
financial
instruments
measured
at
fair
value
of
£3m
(2019:
£27m
decrease)
was
driven
by
additions
of
£26m
(2019:
£40m)
and
£23m
(2019:
£67m)
of
amortisation
and
releases.
The
decrease
of
£1m
(2019:
£nil)
in
financial
instruments
carried
at
amortised
cost
was
driven
by
£2m
(2019:
£2m)
of
amortisation
and
releases
offset
by
additions
of
£1m
(2019:
£2m).
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
US.
The
FDIC
is
funded
by
premiums
that
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
£1,494m
(2019:
£3,218m).
Comparison
of
carrying
amounts
and
fair
values
The
following
tables
summarises
the
fair
value
of
financial
assets
and
liabilities
m
easured
at
amortised
cost
on
Barclays
Bank
Group’s
balance
sheet:
Barclays
Bank
Group
2020
2019
Carrying
amount
Fair
value
Level
1
Level
2
Level
3
Carrying
amount
Fair
value
Level
1
Level
2
Level
3
As
at
31
December
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
Financial
assets
Loans
and
advances
at
amortised
cost
134,267
134,537
8,824
65,267
60,446
141,636
141,251
6,827
69,289
63,133
Reverse
repurchase
agreements
and
other
similar
secured
lending
8,981
8,981
-
8,981
-
1,731
1,731
-
1,731
-
Financial
liabilities
Deposits
at
amortised
cost
(244,696)
(244,738)
(165,909)
(78,769)
(60)
(213,881)
(213,897)
(135,398)
(78,494)
(5)
Repurchase
agreements
and
other
similar
secured
borrowing
(10,443)
(10,443)
-
(10,443)
-
(2,032)
(2,032)
-
(2,032)
-
Debt
securities
in
issue
(29,423)
(29,486)
-
(27,630)
(1,856)
(33,536)
(33,529)
-
(31,652)
(1,877)
Subordinated
liabilities
(32,005)
(33,356)
-
(33,356)
-
(33,425)
(34,861)
-
(34,861)
-
The
fair
value
is
an
estimate
of
the
price
that
would
be
received
to
sell
an
asset
or
paid
to
transfer
a
liability
in
an
orderly
transaction
between
market
participants
at
the
measurement
date.
As
a
wide
range
of
valuation
techniques
are
available,
it
may
not
be
appropriate
to
directly
Notes
to
the
financial
statements
Assets
and
liabilities
held
at
fair
value
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
151
compare
this
fair
value
information
to
independent
market
sources
or
other
financial
institutions.
Different
valuation
methodologies
and
assumptions
can
have
a
significant
impact
on
fair
values
which
are
based
on
unobservable
inputs.
Financial
assets
The
carrying
value
of
financial
assets
held
at
amortised
cost
(including
loans
and
advances
to
banks
and
customers,
and
other
lending
such
as
reverse
repurchase
agreements
and
cash
collateral
on
securities
borrowed)
is
determined
in
accordance
with
the
relevant
accounting
policy
in
Note
18.
Loans
and
advances
at
amortised
cost
The
fair
value
of
loans
and
advances,
for
the
purpose
of
this
disclosure,
is
derived
from
discounting
expected
cash
flows
in
a
way
that
reflects
the
current
market
price
for
lending
to
issuers
of
similar
credit
quality.
Where
market
data
or
credit
information
on
the
underlying
borrowers
is
unavailable,
a
number
of
proxy/extrapolation
techniques
are
employed
to
determine
the
appropriate
discount
rates.
Reverse
repurchase
agreements
and
other
similar
secured
lending
The
fair
value
of
reverse
repurchase
agreements
approximates
carrying
amount
as
these
balances
are
generally
short
dated
and
fully
collateralised.
Financial
liabilities
The
carrying
value
of
financial
liabilities
held
at
amortised
cost
(including
customer
accounts,
other
deposits,
repurchase
agreements
and
cash
collateral
on
securities
lent,
debt
securities
in
issue
and
subordinated
liabilities)
is
determined
in
accordance
with
the
accounting
policy
in
Note
1.
Deposits
at
amortised
cost
In
many
cases,
the
fair
value
disclosed
approximates
carrying
value
because
the
instruments
are
short
term
in
nature
or
have
interest
rates
that
reprice
frequently,
such
as
customer
accounts
and
other
deposits
and
short-term
debt
securities.
The
fair
value
for
deposits
with
longer-term
maturities,
mainly
time
deposits,
are
estimated
using
discounted
cash
flows
applying
either
market
rates
or
current
rates
for
deposits
of
similar
remaining
maturities.
Consequently
the
fair
value
discount
is
minimal.
Repurchase
agreements
and
other
similar
secured
borrowing
The
fair
value
of
repurchase
agreements
approximates
carrying
amounts
as
these
balances
are
generally
short
dated.
Debt
securities
in
issue
Fair
values
of
other
debt
securities
in
issue
are
based
on
quoted
prices
where
available,
or
where
the
instruments
are
short
dated,
carrying
amount
approximates
fair
value.
Subordinated
liabilities
Fair
values
for
dated
and
undated
convertible
and
non-convertible
loan
capital
are
based
on
quoted
market
rates
for
the
issuer
concerned
or
issuers
with
similar
terms
and
conditions.
17
Offsetting
financial
assets
and
financial
liabilities
In
accordance
with
IAS
32
Financial
Instruments:
Presentation
,
the
Barclays
Bank
Group
reports
financial
assets
and
financial
liabilities
on
a
net
basis
on
the
balance
sheet
only
if
there
is
a
legally
enforceable
right
to
set-off
the
recognised
amounts
and
there
is
intention
to
settle
on
a
net
basis,
or
to
realise
the
asset
and
settle
the
liability
simultaneously.
The
following
table
shows
the
impact
of
netting
arrangements
on:
◾
◾
agreements
that
are
subject
to
enforceable
master
netting
arrangements
or
similar
agreements,
but
do
not
qualify
for
balance
sheet
netting.
The
‘Net
amounts’
presented
in
the
table
below
are
not
intended
to
represent
the
Barclays
Bank
Group’s
actual
exposure
to
credit
risk,
as
a
variety
of
credit
mitigation
strategies
are
employed
in
addition
to
netting
and
collateral
arrangements.
Notes
to
the
financial
statements
Assets
and
liabilities
held
at
fair
value
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
152
Barclays
Bank
Group
Amounts
subject
to
enforceable
netting
arrangements
Amounts
not
subject
to
enforceable
netting
arrangements
c
Balance
sheet
total
d
Effects
of
offsetting
on-balance
sheet
Related
amounts
not
offset
Gross
amounts
Amounts
offset
a
Net
amounts
reported
on
the
balance
sheet
Financial
instruments
Financial
collateral
b
Net
amount
As
at
31
December
2020
£m
£m
£m
£m
£m
£m
£m
£m
Derivative
financial
assets
342,896
(44,305)
298,591
(233,088)
(47,820)
17,683
4,102
302,693
Reverse
repurchase
agreements
and
other
similar
secured
lending
e
448,377
(305,749)
142,628
-
(142,244)
384
4,911
147,539
Total
assets
791,273
(350,054)
441,219
(233,088)
(190,064)
18,067
9,013
450,232
Derivative
financial
liabilities
(333,748)
41,982
(291,766)
233,088
46,592
(12,086)
(8,814)
(300,580)
Repurchase
agreements
and
other
similar
secured
borrowing
e
(475,616)
305,749
(169,867)
-
169,867
-
(18,031)
(187,898)
Total
liabilities
(809,364)
347,731
(461,633)
233,088
216,459
(12,086)
(26,845)
(488,478)
As
at
31
December
2019
Derivative
financial
assets
260,611
(32,546)
228,065
(176,022)
(38,872)
13,171
1,576
229,641
Reverse
repurchase
agreements
and
other
similar
secured
lending
e
373,775
(276,234)
97,541
-
(97,541)
-
2,013
99,554
Total
assets
634,386
(308,780)
325,606
(176,022)
(136,413)
13,171
3,589
329,195
Derivative
financial
liabilities
(255,005)
31,180
(223,825)
176,022
38,343
(9,460)
(5,115)
(228,940)
Repurchase
agreements
and
other
similar
secured
borrowing
e
(405,166)
276,234
(128,932)
-
128,930
(2)
(1,786)
(130,718)
Total
liabilities
(660,171)
307,414
(352,757)
176,022
167,273
(9,462)
(6,901)
(359,658)
Notes
a
Amounts
offset
for
derivative
financial
assets
additionally
includes
cash
collateral
netted
of
£4,990m
(2019:
£4,099m).
Amounts
offset
for
derivative
financial
liabilities
additionally
includes
cash
collateral
netted
of
£7,313m
(2019:
£5,465
m).
Settlements
assets
and
liabilities
have
been
offset
amounting
to
£18,143
m
(2019:
£14,079
m).
b
Financial
collateral
of
£47,820m
(2019:
£38,872m)
was
received
in
respect
of
derivative
assets,
including
£43,164
m
(2019:
£33,469
m)
of
cash
collateral
and
£4,656m
(2019:
£5,403m)
of
non-cash
collateral.
Financial
collateral
of
£46,592m
(2019:
£38,343
m)
was
placed
in
respect
of
derivat
ive
liabilities,
including
£42,518
m
(2019:
£35,423
m)
of
cash
collateral
and
£4,074
m
(2019:
£
2,920
m)
of
non-cash
collateral.
The
collateral
amounts
are
limited
to
net
balance
sheet
exposure
so
as
to
not
include
over-
collateralisation.
c
This
column
includes
contractual
rights
of
set-off
that
are
subject
to
uncertainty
under
the
laws
of
the
relevant
jurisdiction.
d
The
balance
sheet
total
is
the
sum
of
‘Net
amounts
reported
on
the
balance
sheet’
that
are
subject
to
enforceable
netting
arrang
ements
and
‘Amounts
not
subject
to
enforceable
netting
arrangements’.
e
Reverse
Repurchase
agreements
and
other
similar
secured
lending
of
£147,539m
(2019:
£99,554
m)
is
split
by
fair
value
£138,558m
(2019:
£97,823
m)
and
amortised
cost
£8,981m
(2019:
£1,731m).
Repurchase
agreements
and
other
similar
secured
borrowing
of
£187,898
m
(2019:
£130,718
m)
is
split
by
fair
value
£177,455m
(2019:
£128,686
m)
and
amortised
cost
£10,443m
(2019:
£
2,032
m).
Derivative
assets
and
liabilities
The
‘Financial
instruments’
column
identifies
financial
assets
and
liabilities
that
are
subject
to
set
off
under
netting
agreements,
such
as
the
ISDA
Master
Agreement
or
derivative
exchange
or
clearing
counterparty
agreements,
whereby
all
outstanding
transactions
with
the
same
counterparty
can
be
offset
and
close-out
netting
applied
across
all
outstanding
transactions
covered
by
the
agreements
if
an
event
of
default
or
other
predetermined
events
occur.
Financial
collateral
refers
to
cash
and
non-cash
collateral
obtained,
typically
daily
or
weekly,
to
cover
the
net
exposure
between
counterparties
by
enabling
the
collateral
to
be
realised
in
an
event
of
default
or
if
other
predetermined
events
occur.
Reverse
repurchase
and
repurchase
agreements
and
other
similar
secured
lending
and
borrowing
The
‘Amounts
offset’
column
identifies
financial
assets
and
liabilities
that
are
subject
to
set
off
under
netting
agreements,
such
as
Global
Master
Repurchase
Agreements
and
Global
Master
Securities
Lending
Agreements,
whereby
all
outstanding
transactions
with
the
same
counterparty
can
be
offset
and
close-out
netting
applied
across
all
outstanding
transactions
covered
by
the
agreements
if
an
event
of
default
or
other
predetermined
events
occur.
Financial
collateral
typically
comprises
highly
liquid
securities
which
are
legally
transferred
and
can
be
liquidated
in
the
event
of
counterparty
default.
These
offsetting
and
collateral
arrangements
and
other
credit
risk
mitigation
strategies
used
by
the
Barclays
Bank
Group
are
further
explained
in
the
Credit
risk
mitigation
section
on
pages
38
and
39.
Notes
to
the
financial
statements
Assets
at
amortised
cost
and
other
investments
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
153
The
notes
included
in
this
section
focus
on
the
Barclays
Bank
Group’s
loans
and
advances
and
deposits
at
amortised
cost,
leases,
property,
plant
and
equipment
and
goodwill
and
intangible
assets.
Details
regarding
the
Barclays
Bank
Group’s
liquidity
and
capital
position
can
be
found
on
pages
76
to
85.
18
Loans
and
advances
and
deposits
at
amortised
cost
Accounting
for
loans
and
advances
and
deposits
held
at
amortised
cost
Loans
and
advances
to
customers
and
banks,
customer
accounts,
debt
securities
and
most
financial
liabilities,
are
held
at
amortised
cost.
That
is,
the
initial
fair
value
(which
is
normally
the
amount
advanced
or
borrowed)
is
adjusted
for
repayments
and
the
amortisation
of
coupon,
fees
and
expenses
to
represent
the
effective
interest
rate
of
the
asset
or
liability.
Balances
deferred
on-balance
sheet
as
effective
interest
rate
adjustments
are
amortised
to
interest
income
over
the
life
of
the
financial
instrument
to
which
they
relate.
Financial
assets
that
are
held
in
a
business
model
to
collect
the
contractual
cash
flows
and
that
contain
contractual
terms
that
give
rise
on
specified
dates
to
cash
flows
that
are
SPPI,
are
measured
at
amortised
cost.
The
carrying
value
of
these
financial
assets
at
initial
recognition
includes
any
directly
attributable
transaction
costs.
Refer
to
Note
1
for
details
on
‘solely
payments
of
principal
and
interest’.
In
determining
whether
the
business
model
is
a
‘hold
to
collect’
model,
the
objective
of
the
business
model
must
be
to
hold
the
financial
asset
to
collect
contractual
cash
flows
rather
than
holding
the
financial
asset
for
trading
or
short-term
profit
taking
purposes.
While
the
objective
of
the
business
model
must
be
to
hold
the
financial
asset
to
collect
contractual
cash
flows
this
does
not
mean
the
Barclays
Bank
Group
is
required
to
hold
the
financial
assets
until
maturity.
When
determining
if
the
business
model
objective
is
to
collect
contractual
cash
flows
the
Barclays
Bank
Group
will
consider
past
sales
and
expectations
about
future
sales.
Loans
and
advances
and
deposits
at
amortised
cost
Barclays
Bank
Group
2020
2019
As
at
31
December
£m
£m
Loans
and
advances
at
amortised
cost
to
banks
9,003
9,722
Loans
and
advances
at
amortised
cost
to
customers
110,101
121,015
Debt
securities
at
amortised
cost
15,163
10,899
Total
loans
and
advances
at
amortised
cost
134,267
141,636
Deposits
at
amortised
cost
from
banks
17,348
18,144
Deposits
at
amortised
cost
from
customers
227,348
195,737
Total
deposits
at
amortised
cost
244,696
213,881
19
Property,
plant
and
equipment
Accounting
for
property,
plant
and
equipment
The
Barclays
Bank
Group
applies
IAS
16
Property
Plant
and
Equipment
Investment
Properties
.
Property,
plant
and
equipment
is
stated
at
cost,
which
includes
direct
and
incremental
acquisition
costs
less
accumulated
depreciation
and
provisions
for
impairment,
if
required.
Subsequent
costs
are
capitalised
if
these
result
in
enhancement
of
the
asset.
Depreciation
is
provided
on
the
depreciable
amount
of
items
of
property,
plant
and
equipment
on
a
straight-line
basis
over
their
estimated
useful
economic
lives.
Depreciation
rates,
methods
and
the
residual
values
underlying
the
calculation
of
depreciation
of
items
of
property,
plant
and
equipment
are
kept
under
review
to
take
account
of
any
change
in
circumstances.
The
Barclays
Bank
Group
uses
the
following
annual
rates
in
calculating
depreciation:
Annual
rates
in
calculating
depreciation
Depreciation
rate
Freehold
land
Freehold
buildings
and
long-leasehold
property
(more
than
50
years
to
run)
Leasehold
property
over
the
remaining
life
of
the
lease
(less
than
50
years
to
run)
Costs
of
adaptation
of
freehold
and
leasehold
property
Equipment
installed
in
freehold
and
leasehold
property
Computers
and
similar
equipment
Fixtures
and
fittings
and
other
equipment
Not
depreciated
2-3.3%
Over
the
remaining
life
of
the
lease
6-10%
6-10%
17-33%
9-20%
Costs
of
adaptation
and
installed
equipment
are
depreciated
over
the
shorter
of
the
life
of
the
lease
or
the
depreciation
rates
noted
in
the
table
above.
Investment
property
The
Barclays
Bank
Group
initially
recognises
investment
property
at
cost,
and
subsequently
at
fair
value
at
each
balance
sheet
date,
reflecting
market
conditions
at
the
reporting
date.
Gains
and
losses
on
remeasurement
are
included
in
the
income
statement.
Notes
to
the
financial
statements
Assets
at
amortised
cost
and
other
investments
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
154
Barclays
Bank
Group
Investment
property
Property
Equipment
Leased
assets
Right
of
use
assets
a
Total
£m
£m
£m
£m
£m
£m
Cost
As
at
1
January
2020
13
1,635
1,071
9
621
3,349
Additions
-
39
35
-
28
102
Disposals
(1)
(25)
(88)
(9)
(6)
(129)
Exchange
and
other
movements
(2)
(30)
(31)
-
45
(18)
As
at
31
December
2020
10
1,619
987
-
688
3,304
Accumulated
depreciation
and
impairment
As
at
1
January
2020
-
(697)
(866)
(9)
(146)
(1,718)
Depreciation
charge
-
(72)
(61)
-
(77)
(210)
Impairment
charge
-
-
-
-
(2)
(2)
Disposals
-
22
84
9
1
116
Exchange
and
other
movements
-
17
22
-
8
47
As
at
31
December
2020
-
(730)
(821)
-
(216)
(1,767)
Net
book
value
10
889
166
-
472
1,537
Cost
As
at
1
January
2019
9
1,463
1,079
9
580
3,140
Additions
5
233
182
-
45
465
Disposals
-
(19)
(144)
-
(6)
(169)
Exchange
and
other
movements
(1)
(42)
(46)
-
2
(87)
As
at
31
December
2019
13
1,635
1,071
9
621
3,349
Accumulated
depreciation
and
impairment
As
at
1
January
2019
-
(658)
(946)
(9)
(71)
(1,684)
Additions
-
-
(31)
-
-
(31)
Depreciation
charge
-
(72)
(65)
-
(75)
(212)
Disposals
-
13
142
-
-
155
Exchange
and
other
movements
-
20
34
-
-
54
As
at
31
December
2019
-
(697)
(866)
(9)
(146)
(1,718)
Net
book
value
13
938
205
-
475
1,631
Note
a
Right
of
use
(ROU)
asset
balances
relate
to
Property
Leases
under
IFRS
16.
Refer
to
Note
20
for
further
details.
Property
rentals
of
£8m
(2019:
£10m)
have
been
included
in
other
income
within
The
Barclays
Bank
Group.
The
fair
value
of
investment
property
is
determined
by
reference
to
current
market
prices
for
similar
properties,
adjusted
as
necessary
for
condition
and
location,
or
by
reference
to
recent
transactions
updated
to
reflect
current
economic
conditions.
Discounted
cash
flow
techniques
may
be
employed
to
calculate
fair
value
where
there
have
been
no
recent
transactions,
using
current
external
market
inputs
such
as
market
rents
and
interest
rates.
Valuations
are
carried
out
by
management
with
the
support
of
appropriately
qualified
independent
valuers.
Refer
to
Note
16
for
further
details.
20
Leases
Accounting
for
leases
under
IFRS
16
effective
from
1
January
2019
IFRS
16
applies
to
all
leases
with
the
exception
of
licenses
of
intellectual
property,
rights
held
by
licensing
agreement
within
the
scope
of
IAS
38
Intangible
Assets,
Agriculture
oil,
natural
gas
and
similar
non-regenerative
resources.
IFRS
16
includes
an
accounting
policy
choice
for
a
lessee
to
elect
not
to
apply
IFRS
16
to
remaining
assets
within
the
scope
of
IAS
38
When
the
Barclays
Bank
Group
is
the
lessee,
it
is
required
to
recognise
both:
◾
◾
commencement
date,
initial
direct
costs,
and
estimated
costs
of
restoring
the
underlying
asset
to
the
condition
required
by
the
lease,
less
any
lease
incentives
received.
Subsequently
the
lease
liability
will
increase
for
the
accrual
of
interest,
resulting
in
a
constant
rate
of
return
throughout
the
life
of
the
lease,
and
reduce
when
payments
are
made.
The
right
of
use
asset
will
amortise
to
the
income
statement
over
the
life
of
the
lease.
The
lease
liability
is
remeasured
when
there
is
a
change
in
the
one
of
the
following:
◾
◾
◾
When
the
lease
liability
is
remeasured
a
corresponding
adjustment
is
made
to
the
carrying
amount
of
the
ROU
asset,
or
is
recorded
in
the
income
statement
if
the
carrying
amount
of
the
ROU
asset
has
been
reduced
to
nil.
Notes
to
the
financial
statements
Assets
at
amortised
cost
and
other
investments
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
155
On
the
balance
sheet,
the
ROU
assets
are
included
within
property,
plant
and
equipment
and
the
lease
liabilities
are
included
within
other
liabilities.
The
Barclays
Bank
Group
applies
the
recognition
exemption
in
IFRS
16
for
leases
with
a
term
not
exceeding
12
months.
For
these
leases
the
lease
payments
are
recognised
as
an
expense
on
a
straight
line
basis
over
the
lease
term
unless
another
systematic
basis
is
more
appropriate.
When
the
Barclays
Bank
Group
is
the
lessor,
the
lease
must
be
classified
as
either
a
finance
lease
or
an
operating
lease.
A
finance
lease
is
a
lease
which
confers
substantially
all
the
risks
and
rewards
of
the
leased
assets
on
the
lessee.
An
operating
lease
is
a
lease
where
substantially
all
of
the
risks
and
rewards
of
the
leased
asset
remain
with
the
lessor.
When
the
lease
is
deemed
a
finance
lease,
the
leased
asset
is
not
held
on
the
balance
sheet;
instead
a
finance
lease
receivable
is
recognised
representing
the
minimum
lease
payments
receivable
under
the
terms
of
the
lease,
discounted
at
the
rate
of
interest
implicit
in
the
lease.
When
the
lease
is
deemed
an
operating
lease,
the
lease
income
is
recognised
on
a
straight-line
basis
over
the
period
of
the
lease
unless
another
systematic
basis
is
more
appropriate.
The
Barclays
Bank
Group
holds
the
leased
assets
on-balance
sheet
within
property,
plant
and
equipment.
Accounting
for
finance
leases
under
IAS
17
for
2018
Under
IAS
17,
a
finance
lease
is
a
lease
which
confers
substantially
all
the
risks
and
rewards
of
the
leased
assets
on
the
lessee.
Where
the
Barclays
Bank
Group
is
the
lessor,
the
leased
asset
is
not
held
on
the
balance
sheet;
instead
a
finance
lease
receivable
is
recognised
representing
the
minimum
lease
payments
receivable
under
the
terms
of
the
lease,
discounted
at
the
rate
of
interest
implicit
in
the
lease.
Where
the
Barclays
Bank
Group
is
the
lessee,
the
leased
asset
is
recognised
in
property,
plant
and
equipment
and
a
finance
lease
liability
is
recognised,
representing
the
minimum
lease
payments
payable
under
the
lease,
discounted
at
the
rate
of
interest
implicit
in
the
lease.
Interest
income
or
expense
is
recognised
in
interest
receivable
or
payable,
allocated
to
accounting
periods
to
reflect
a
constant
periodic
rate
of
return.
Accounting
for
operating
leases
under
IAS
17
for
2018
An
operating
lease
under
IAS
17
is
a
lease
where
substantially
all
of
the
risks
and
rewards
of
the
leased
assets
remain
with
the
lessor.
Where
the
Barclays
Bank
Group
is
the
lessor,
lease
income
is
recognised
on
a
straight-line
basis
over
the
period
of
the
lease
unless
another
systematic
basis
is
more
appropriate.
The
Barclays
Bank
Group
holds
the
leased
assets
on-balance
sheet
within
property,
plant
and
equipment.
Where
the
Barclays
Bank
Group
is
the
lessee,
rentals
payable
are
recognised
as
an
expense
in
the
income
statement
on
a
straight-line
basis
over
the
lease
term
unless
another
systematic
basis
is
more
appropriate.
As
a
Lessor
Finance
lease
receivables
are
included
within
loans
and
advances
at
amortised
cost.
The
Barclays
Bank
Group
specialises
in
the
provision
of
leasing
and
other
asset
finance
facilities
across
a
broad
range
of
asset
types
to
business
and
individual
customers.
The
following
table
sets
out
a
maturity
analysis
of
lease
receivables,
showing
the
lease
payments
to
be
received
after
the
reporting
date:
2020
2019
Gross
investment
in
finance
lease
receivables
Future
finance
income
Present
value
of
minimum
lease
payments
receivable
Un-
guaranteed
residual
values
Gross
investment
in
finance
lease
receivables
Future
finance
income
Present
value
of
minimum
lease
payments
receivable
Un-
guaranteed
residual
values
£m
£m
£m
£m
£m
£m
£m
£m
Barclays
Bank
Group
-
-
-
-
Not
more
than
one
year
-
-
-
-
1,403
(115)
1,288
77
One
to
two
year
-
-
-
-
909
(76)
833
53
Two
to
three
year
-
-
-
-
593
(49)
544
45
Three
to
four
year
-
-
-
-
354
(28)
326
43
Four
to
five
year
-
-
-
-
123
(8)
115
19
Over
five
years
-
-
-
-
115
(17)
98
22
Total
-
-
-
-
3,497
(293)
3,204
259
investment
in
finance
lease
receivables.
The
remaining
balance
was
transferred
to
the
Barclays
Group
during
the
year.
The
Barclays
Bank
Group
does
not
have
any
material
operating
leases
as
a
lessor.
There
is
no
impairment
allowance
for
finance
lease
receivables
in
current
year
(2019:
£55m).
Finance
lease
income
Finance
lease
income
is
included
within
interest
income.
The
following
table
shows
amounts
recognised
in
the
income
statement
during
the
year.
Notes
to
the
financial
statements
Assets
at
amortised
cost
and
other
investments
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
156
2020
2019
£m
£m
Finance
income
from
net
investment
in
lease
10
141
(Loss)/Profit
on
sales
(27)
6
As
a
Lessee
The
Barclays
Bank
Group
leases
various
offices,
branches
and
other
premises
under
non-cancellable
lease
arrangements
to
meet
its
operational
business
requirements.
In
some
instances,
the
Barclays
Bank
Group
will
sublease
property
to
third
parties
when
it
is
no
longer
needed
to
meet
business
requirements.
Currently,
the
Barclays
Bank
Group
does
not
have
any
material
subleasing
arrangements.
ROU
asset
balances
relate
to
property
leases
only.
Refer
to
Note
19
for
a
breakdown
of
the
carrying
amount
of
ROU
assets.
The
Barclays
Bank
Group
has
not
recognised
any
expense
related
to
short
term
leases
during
the
year
(2019:
£3m).
The
portfolio
of
short
term
leases
to
which
the
Barclays
Bank
Group
is
exposed
at
the
end
of
the
year
is
not
dissimilar
to
the
expenses
recognised
in
the
year.
Lease
liabilities
2020
2019
£m
£m
As
at
1
January
529
569
Interest
expense
23
25
New
leases
27
43
Disposals
(5)
(7)
Cash
payments
(114)
(106)
Exchange
and
other
movements
55
5
As
at
31
December
(see
Note
22)
515
529
The
below
table
sets
out
a
maturity
analysis
of
undiscounted
lease
liabilities,
showing
the
lease
payments
to
be
paid
after
the
reporting
date.
Undiscounted
lease
liabilities
maturity
analysis
Barclays
Bank
Group
2020
2019
£m
£m
Not
more
than
one
year
91
112
One
to
two
years
70
86
Two
to
three
years
60
66
Three
to
four
years
58
57
Four
to
five
years
55
52
Five
to
ten
years
227
199
Greater
than
ten
years
68
84
Total
undiscounted
lease
liabilities
as
at
31
December
629
656
In
addition
to
the
cash
flows
identified
above,
the
Barclays
Bank
Group
is
exposed
to:
◾
Currently,
the
Barclays
Bank
Group
has
59
leases
(2019:
71
leases)
out
of
the
total
121
leases
(2019:
143
leases)
which
have
variable
lease
payment
terms
based
on
market
based
pricing
adjustments.
Of
the
gross
cash
flows
identified
above,
£121m
(2019:
£403m)
is
attributable
to
leases
with
some
degree
of
variability
predominately
linked
to
market
based
pricing
adjustments.
◾
including
assumptions
regarding
the
exercising
of
contractual
extension
and
termination
options.
The
above
gross
cash
flows
have
been
reduced
by
£395m
(2019:
£408m)
for
leases
where
the
Barclays
Bank
Group
are
highly
expected
to
exercise
an
early
termination
option.
However,
there
is
no
significant
impact
where
the
Barclays
Bank
Group
is
expected
to
exercise
an
extension
option.
The
Barclays
Bank
Group
currently
does
not
have
any
significant
sale
and
lease
back
transactions.
The
Barclays
Bank
Group
does
not
have
any
restrictions
or
covenants
imposed
by
the
lessor
on
its
property
leases
which
restrict
its
businesses.
21
Goodwill
and
intangible
assets
Accounting
for
goodwill
and
intangible
assets
Goodwill
The
carrying
value
of
goodwill
is
determined
in
accordance
with
IFRS
3
Business
Combinations
Impairment
of
Assets.
Notes
to
the
financial
statements
Assets
at
amortised
cost
and
other
investments
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
157
Goodwill
arising
on
the
acquisition
of
subsidiaries
represents
the
excess
of
the
fair
value
of
the
purchase
consideration
over
the
fair
value
of
the
Barclays
Bank
Group’s
share
of
the
assets
acquired
and
the
liabilities
and
contingent
liabilities
assumed
on
the
date
of
the
acquisition.
Goodwill
is
reviewed
annually
for
impairment,
or
more
frequently
when
there
are
indications
that
impairment
may
have
occurred.
The
test
involves
comparing
the
carrying
value
of
the
cash
generating
unit
(CGU)
including
goodwill
with
the
present
value
of
the
pre-tax
cash
flows,
discounted
at
a
rate
of
interest
that
reflects
the
inherent
risks,
of
the
CGU
to
which
the
goodwill
relates,
or
the
CGU’s
fair
value
if
this
is
higher.
Intangible
assets
Intangible
assets
other
than
goodwill
are
accounted
for
in
accordance
with
IAS
38
Intangible
Assets
.
Intangible
assets
are
initially
recognised
when
they
are
separable
or
arise
from
contractual
or
other
legal
rights,
the
cost
can
be
measured
reliably
and,
in
the
case
of
intangible
assets
not
acquired
in
a
business
combination,
where
it
is
probable
that
future
economic
benefits
attributable
to
the
assets
will
flow
from
their
use.
For
internally
generated
intangible
assets,
only
costs
incurred
during
the
development
phase
are
capitalised.
Expenditures
in
the
research
phase
are
expensed
when
it
is
incurred.
Intangible
assets
are
stated
at
cost
(which
is,
in
the
case
of
assets
acquired
in
a
business
combination,
the
acquisition
date
fair
value)
less
accumulated
amortisation
and
provisions
for
impairment,
if
any,
and
are
amortised
over
their
useful
lives
in
a
manner
that
reflects
the
pattern
to
which
they
contribute
to
future
cash
flows,
generally
using
the
amortisation
periods
set
out
below:
Annual
rates
in
calculating
amortisation
Amortisation
period
Goodwill
Internally
generated
software
a
Other
software
Customer
lists
Licences
and
other
Not
amortised
12
months
to
6
years
12
months
to
6
years
12
months
to
25
years
12
months
to
25
years
Intangible
assets
are
reviewed
for
impairment
when
there
are
indications
that
impairment
may
have
occurred.
Intangible
assets
not
yet
available
for
use
are
reviewed
annually
for
impairment.
Note
a
Exceptions
to
the
above
rate
relate
to
useful
lives
of
certain
core
banking
platforms
that
are
assessed
individually
and,
if
appropriate,
amortised
over
longer
periods
ranging
from
10
to
15
years.
Intangible
assets
Goodwill
Internally
generated
software
Other
software
Customer
lists
Licences
and
other
Total
£m
£m
£m
£m
£m
£m
Barclays
Bank
Group
Cost
As
at
1
January
2020
Additions
and
disposals
(77)
-
Exchange
and
other
movements
(5)
(60)
(46)
(21)
(128)
As
at
31
December
2020
Accumulated
amortisation
and
impairment
As
at
1
January
2020
(111)
(870)
(54)
(1,159)
(340)
(2,534)
Disposals
-
Amortisation
charge
-
(132)
(8)
(40)
(31)
(211)
Impairment
charge
-
(18)
-
-
-
(18)
Exchange
and
other
movements
-
(2)
As
at
31
December
2020
(68)
(964)
(55)
(1,158)
(352)
(2,597)
Net
book
value
Notes
to
the
financial
statements
Assets
at
amortised
cost
and
other
investments
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
158
Goodwill
Internally
generated
software
Other
software
Customer
lists
Licences
and
other
Total
£m
£m
£m
£m
£m
£m
Barclays
Bank
Group
Cost
As
at
1
January
2019
445
1,342
100
1,540
532
3,959
Additions
and
disposals
(33)
133
(15)
(128)
(39)
(82)
Exchange
and
other
movements
(6)
(45)
(4)
(41)
(35)
(131)
As
at
31
December
2019
406
1,430
81
1,371
458
3,746
Accumulated
amortisation
and
impairment
As
at
1
January
2019
(111)
(812)
(78)
(1,277)
(354)
(2,632)
Disposals
-
63
31
128
36
258
Amortisation
charge
-
(154)
(13)
(44)
(34)
(245)
Impairment
charge
-
(2)
-
-
-
(2)
Exchange
and
other
movements
-
35
6
34
12
87
As
at
31
December
2019
(111)
(870)
(54)
(1,159)
(340)
(2,534)
Net
book
value
295
560
27
212
118
1,212
Goodwill
Goodwill
is
allocated
to
business
operations
according
to
business
segments
as
follows:
Barclays
Bank
Group
2020
2019
£m
£m
Consumer,
Cards
and
Payments
256
295
Total
net
book
value
of
goodwill
256
295
2020
impairment
review
The
2020
impairment
review
was
performed
during
Q4
2020.
Given
the
change
in
the
macroeconomic
and
interest
rate
outlook,
this
review
was
performed
across
all
material
CGUs.
A
detailed
assessment
has
been
performed,
with
the
approach
and
results
of
this
analysis
set
out
below.
Determining
the
carrying
value
of
CGUs
The
Carrying
Value
for
each
CGU
is
the
sum
of
the
tangible
equity,
goodwill
and
intangible
balances
associated
with
that
CGU.
The
Barclays
Bank
Group
manages
the
assets
and
liabilities
of
its
CGUs
with
reference
to
tangible
equity
of
the
respective
businesses.
That
tangible
equity
is
derived
from
the
level
of
risk
weighted
assets
(RWAs)
and
capital
required
to
be
deployed
in
the
CGU
and
therefore
reflects
its
relative
risk,
as
well
as
the
level
of
capital
management
consider
a
market
participant
would
require
to
hold
and
retain
to
support
business
growth.
The
goodwill
held
across
the
Barclays
Bank
Group
has
been
allocated
to
the
CGU
where
it
originated,
based
upon
historical
records.
The
intangible
balances
are
allocated
to
the
CGUs
based
upon
their
expected
usage
of
these
assets.
Cash
flows
The
5-year
cash
flows
used
in
the
calculation
are
based
on
the
formally
agreed
medium
term
plans
approved
by
the
Board.
These
are
prepared
using
macroeconomic
assumptions
which
management
consider
reasonable
and
supportable,
and
reflect
business
agreed
initiatives
for
the
forecast
period.
Discount
rates
IAS
36
requires
that
the
discount
rate
used
in
a
value
in
use
calculation
reflects
the
pre-tax
rate
an
investor
would
require
if
they
were
to
choose
an
investment
that
would
generate
similar
cash
flows
to
those
that
the
entity
expects
to
generate
from
the
asset.
In
determining
the
discount
rate,
management
have
identified
the
cost
of
equity
associated
with
market
participants
that
closely
resemble
our
cash
generating
units
and
adjusted
them
for
tax
to
arrive
at
the
pre-tax
equivalent
rate.
A
range
of
discount
rates
have
been
used
across
the
CGU’s
ranging
from
12%
to
16.3%
(2019:
11.0%
to
13.2%).
Terminal
growth
rate
The
terminal
growth
rate
is
used
to
estimate
the
effect
of
projecting
cash
flows
to
the
end
of
an
asset’s
useful
economic
life.
It
is
management’s
judgement
that
the
cash
flows
associated
with
the
CGUs
will
grow
in
line
with
the
major
economies
in
which
we
operate.
In
prior
years,
the
growth
rate
used
had
been
based
upon
estimated
economic
growth
rates
(GDP).
Given
macroeconomic
uncertainty,
inflation
rates
are
now
considered
a
better
approximation
of
future
growth
rates
and
are
therefore
the
basis
of
terminal
growth
rates
applied.
The
terminal
growth
rate
used
is
2.0%
(2019:1.5%).
Outcome
of
goodwill
and
intangibles
review
Based
on
management’s
plans
and
assumptions
the
value
in
use
exceeds
the
carrying
value
of
the
CGUs
and
no
impairment
has
been
indicated.
Notes
to
the
financial
statements
Assets
at
amortised
cost
and
other
investments
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
159
Other
intangible
assets
Determining
the
estimated
useful
lives
of
intangible
assets
(such
as
those
arising
from
contractual
relationships)
requires
an
analysis
of
circumstances.
The
assessment
of
whether
an
asset
is
exhibiting
indicators
of
impairment
as
well
as
the
calculation
of
impairment,
which
requires
the
estimate
of
future
cash
flows
and
fair
values
less
costs
to
sell,
also
requires
the
preparation
of
cash
flow
forecasts
and
fair
values
for
assets
that
may
not
be
regularly
bought
and
sold.
Notes
to
the
financial
statements
Accruals,
provisions,
contingent
liabilities
and
legal
proceedings
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
160
The
notes
included
in
this
section
focus
on
the
Barclays
Bank
Group’s
accruals,
provisions
and
contingent
liabilities.
Provisions
are
recognised
for
present
obligations
arising
as
consequences
of
past
events
where
it
is
probable
that
a
transfer
of
economic
benefit
will
be
necessary
to
settle
the
obligation,
and
it
can
be
reliably
estimated.
Contingent
liabilities
reflect
potential
liabilities
that
are
not
recognised
on
the
balance
sheet.
22
Other
liabilities
Barclays
Bank
Group
2020
2019
£m
£m
Accruals
and
deferred
income
2,428
2,419
Other
creditors
2,250
2,116
Items
in
the
course
of
collection
due
to
other
banks
58
175
Lease
liabilities
(refer
to
Note
20)
515
529
Other
liabilities
5,251
5,239
23
Provisions
Accounting
for
provisions
The
Barclays
Bank
Group
applies
IAS
37
Provisions,
Contingent
Liabilities
and
Contingent
Assets
in
accounting
for
non-financial
liabilities.
Provisions
are
recognised
for
present
obligations
arising
as
consequences
of
past
events
where
it
is
more
likely
than
not
that
a
transfer
of
economic
benefit
will
be
necessary
to
settle
the
obligation,
which
can
be
reliably
estimated.
Provision
is
made
for
the
anticipated
cost
of
restructuring,
including
redundancy
costs,
when
an
obligation
exists;
for
example,
when
the
Barclays
Bank
Group
has
a
detailed
formal
plan
for
restructuring
a
business
and
has
raised
valid
expectations
in
those
affected
by
the
restructuring
by
announcing
its
main
features
or
starting
to
implement
the
plan.
Critical
accounting
estimates
and
judgements
The
financial
reporting
of
provisions
involves
a
significant
degree
of
judgement
and
is
complex.
Identifying
whether
a
present
obligation
exists
and
estimating
the
probability,
timing,
nature
and
quantum
of
the
outflows
that
may
arise
from
past
events
requires
judgements
to
be
made
based
on
the
specific
facts
and
circumstances
relating
to
individual
events
and
often
requires
specialist
professional
advice.
When
matters
are
at
an
early
stage,
accounting
judgements
and
estimates
can
be
difficult
because
of
the
high
degree
of
uncertainty
involved.
Management
continues
to
monitor
matters
as
they
develop
to
re-evaluate
on
an
ongoing
basis
whether
provisions
should
be
recognised,
however
there
can
remain
a
wide
range
of
possible
outcomes
and
uncertainties,
particularly
in
relation
to
legal,
competition
and
regulatory
matters,
and
as
a
result
it
is
often
not
practicable
to
make
meaningful
estimates
even
when
matters
are
at
a
more
advanced
stage.
The
complexity
of
such
matters
often
requires
the
input
of
specialist
professional
advice
in
making
assessments
to
produce
estimates.
Customer
redress
and
legal,
competition
and
regulatory
matters
are
areas
where
a
higher
degree
of
professional
judgement
is
required.
The
amount
that
is
recognised
as
a
provision
can
also
be
very
sensitive
to
the
assumptions
made
in
calculating
it.
This
gives
rise
to
a
large
range
of
potential
outcomes
which
require
judgement
in
determining
an
appropriate
provision
level.
See
below
for
information
on
payment
protection
redress
and
Note
25
for
more
detail
of
legal,
competition
and
regulatory
matters.
Undrawn
contractually
committed
facilities
and
guarantees
provided
a
Legal,
competition
and
regulatory
matters
Onerous
contracts
Redundancy
and
restructuring
Customer
redress
Sundry
provisions
Total
£m
£m
£m
£m
£m
£m
£m
Barclays
Bank
Group
As
at
1
January
2020
20
63
252
71
374
171
951
Additions
3
66
575
29
63
57
793
Amounts
utilised
(4)
(54)
-
(16)
(162)
(53)
(289)
Unused
amounts
reversed
(13)
(26)
(28)
(10)
(45)
(46)
(168)
Exchange
and
other
movements
-
(5)
(30)
(30)
(8)
(6)
(79)
As
at
31
December
2020
6
44
769
44
222
123
1,208
Note
a
Undrawn
contractually
committed
facilities
and
guarantees
provisions
are
accounted
for
under
IFRS
9.
Provisions
expected
to
be
recovered
or
settled
within
no
more
than
12
months
after
31
December
2020
for
Barclays
Bank
Group
were
£787m
(2019:
£739m).
Onerous
contracts
Onerous
contract
provisions
comprise
an
estimate
of
the
costs
involved
with
fulfilling
the
terms
and
conditions
of
contracts
net
of
any
expected
benefits
to
be
received.
Redundancy
and
restructuring
Notes
to
the
financial
statements
Accruals,
provisions,
contingent
liabilities
and
legal
proceedings
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
161
These
provisions
comprise
the
estimated
cost
of
restructuring,
including
redundancy
costs
where
an
obligation
exists.
Additions
made
during
the
year
relate
to
formal
restructuring
plans
and
have
either
been
utilised,
or
reversed,
where
total
costs
are
now
expected
to
be
lower
than
the
original
provision
amount.
Undrawn
contractually
committed
facilities
and
guarantees
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.
For
further
information,
refer
to
Credit
Risk
section
for
loan
commitments
and
financial
guarantees
on
pages
53
to
55.
Customer
redress
Customer
redress
provisions
comprise
the
estimated
cost
of
making
redress
payments
to
customers,
clients
and
counterparties
for
losses
or
damages
associated
with
inappropriate
judgement
in
the
execution
of
the
Barclays
Bank
Group’s
business
activities.
There
are
no
significant
individual
customer
redress
provisions
at
31
December
2020.
Legal,
competition
and
regulatory
matters
The
Barclays
Bank
Group
is
engaged
in
various
legal
proceedings,
both
in
the
UK
and
a
number
of
other
overseas
jurisdictions,
including
the
US.
For
further
information
in
relation
to
legal
proceedings
and
discussion
of
the
associated
uncertainties,
please
refer
to
Note
25.
Sundry
provisions
This
category
includes
provisions
that
do
not
fit
into
any
of
the
other
categories,
such
as
fraud
losses
and
dilapidation
provisions
.
24
Contingent
liabilities
and
commitments
Accounting
for
contingent
liabilities
Contingent
liabilities
are
possible
obligations
whose
existence
will
be
confirmed
only
by
uncertain
future
events,
and
present
obligations
where
the
transfer
of
economic
resources
is
uncertain
or
cannot
be
reliably
measured.
Contingent
liabilities
are
not
recognised
on
the
balance
sheet
but
are
disclosed
unless
the
likelihood
of
an
outflow
of
economic
resources
is
remote.
The
following
table
summarises
the
nominal
principal
amount
of
contingent
liabilities
and
commitments
which
are
not
recorded
on-balance
sheet:
Barclays
Bank
Group
2020
2019
£m
£m
Guarantees
and
letters
of
credit
pledged
as
collateral
security
15,138
17,006
Performance
guarantees,
acceptances
and
endorsements
5,794
6,771
Total
contingent
liabilities
20,932
23,777
229
43
Documentary
credits
and
other
short-term
trade
related
transactions
1,086
1,291
Standby
facilities,
credit
lines
and
other
commitments
263,936
268,736
Total
commitments
265,022
270,027
9,248
17,660
Expected
credit
losses
held
against
contingent
liabilities
and
commitments
equal
£769m
(2019:
£252m)
for
Barclays
Bank
Group
are
reported
in
Note
23.
Further
details
on
contingent
liabilities
relating
to
legal
and
competition
and
regulatory
matters
can
be
found
in
Note
25.
25
Legal,
competition
and
regulatory
matters
Barclays
Bank
Group
faces
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
23,
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.
Notes
to
the
financial
statements
Accruals,
provisions,
contingent
liabilities
and
legal
proceedings
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
162
Investigations
into
certain
advisory
services
agreements
and
related
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
raisings
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
Barclays
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
against
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
up
to
approximately
£819m
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.
The
trial
took
place
in
2020
and
the
High
Court
has
indicated
that
judgment
is
imminent.
The
outcome
of
the
judgment,
and
any
financial
impact
on
the
Barclays
Bank
Group,
is
unknown.
Barclays
Bank
PLC
is
defending
the
claim.
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
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.
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
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
Bank
PLC
has
previously
settled
certain
claims.
Two
class
action
settlements
where
Barclays
Bank
PLC
has
respectively
paid
$7.1m
and
$20m
have
received
final
court
approval.
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
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,
and,
in
2020,
the
court
dismissed
the
plaintiff’s
remaining
CEA
claims.
The
plaintiff
has
appealed
the
lower
court’s
dismissal
of
such
claims.
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.
The
plaintiffs
filed
an
amended
complaint
in
2020,
and
the
defendants
have
filed
a
motion
to
dismiss.
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
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
were
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
2020.
The
plaintiffs
have
appealed
the
dismissal.
In
August
2020,
an
ICE
LIBOR-related
action
was
filed
in
the
US
District
Court
for
the
Northern
District
of
California
on
behalf
of
individual
borrowers
and
consumers
of
loans
and
credit
cards
with
variable
interest
rates
linked
to
USD
ICE
LIBOR.
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.
Notes
to
the
financial
statements
Accruals,
provisions,
contingent
liabilities
and
legal
proceedings
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
163
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
Exchange
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.
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
alleged
manipulation
of
Foreign
Exchange
markets.
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
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
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
covered
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
has
received
final
court
approval.
The
financial
impact
of
the
settlement
is
not
material
to
the
Barclays
Bank
Group’s
operating
results,
cash
flows
or
financial
position.
Non-US
FX
civil
actions
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.
These
include
two
purported
class
actions
filed
against
Barclays
PLC,
Barclays
Bank
PLC,
BX,
BCI
and
other
financial
institutions
in
the
UK
Competition
Appeal
Tribunal
in
2019
following
the
settlements
with
the
European
Commission
described
above.
Also
in
2019,
a
separate
claim
was
filed
in
the
UK
in
the
High
Court
of
Justice
by
various
banks
and
asset
management
firms
against
Barclays
Bank
PLC
and
other
financial
institutions
alleging
breaches
of
European
and
UK
competition
laws
related
to
FX
trading.
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
the
Antitrust
Act
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
related
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
had
an
original
principal
balance
of
approximately
$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.
In
2020,
a
civil
litigation
claim
was
filed
in
the
New
Mexico
First
Judicial
District
Court
by
the
State
of
New
Mexico
against
seven
banks,
including
BCI,
on
behalf
of
two
New
Mexico
state
pension
funds
and
the
New
Mexico
State
Investment
Council
relating
to
legacy
RMBS
Notes
to
the
financial
statements
Accruals,
provisions,
contingent
liabilities
and
legal
proceedings
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
164
purchases.
As
to
BCI,
the
complaint
alleges
that
the
funds
purchased
approximately
$22m
in
RMBS
underwritten
by
BCI.
The
plaintiffs
have
asserted
claims
under
New
Mexico
state
law,
which
provides
for
the
ability
to
claim
treble
damages
and
civil
penalties.
Government
and
agency
securities
civil
actions
and
related
matters
Certain
governmental
authorities
have
conducted
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.
In
January
2021,
the
Mexican
Competition
Authority
concluded
its
investigation
into
activities
relating
to
the
trading
of
Mexican
government
bonds
and
granted
Barclays
Bank
Mexico
S.A.
immunity
from
fines.
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.
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
defendants’
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.
In
the
SDNY
class
action,
certain
of
the
plaintiff’s
claims
were
dismissed
in
November
2020.
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
2020.
Separately,
various
entities
in
Louisiana,
including
the
Louisiana
Attorney
General
and
the
City
of
Baton
Rouge,
have
commenced
litigation
against
Barclays
Bank
PLC
and
other
financial
institutions
making
similar
allegations
as
the
SDNY
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
final
court
approval.
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.
The
defendants
have
filed
a
motion
to
dismiss.
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
rate
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,
Tera
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
2018
and
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.
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,
the
court
ruled
in
2018
that
Barclays
Bank
PLC
was
not
a
defaulting
party,
which
was
affirmed
on
appeal.
In
October
2020,
the
trial
court
granted
Barclays
Bank
PLC’s
motion
for
summary
judgment
on
its
counterclaims
against
BDC.
BDC
has
appealed.
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
currently
stayed.
Notes
to
the
financial
statements
Accruals,
provisions,
contingent
liabilities
and
legal
proceedings
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
165
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
generally
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.
Shareholder
derivative
action
A
purported
Barclays
shareholder
filed
a
putative
derivative
action
in
New
York
state
court
against
BCI
and
a
number
of
current
and
former
members
of
the
Board
of
Directors
of
Barclays
PLC
and
senior
executives
or
employees
of
the
Barclays
Group.
The
shareholder
filed
the
claim
on
behalf
of
Barclays
PLC,
alleging
that
the
individual
defendants
harmed
the
company
through
breaches
of
their
duties
under
the
Companies
Act
2006.
The
plaintiff
seeks
damages
for
the
losses
that
Barclays
PLC
allegedly
suffered.
Investigation
into
collections
and
recoveries
relating
to
unsecured
lending
Since
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.
In
December
2020,
Barclays
Bank
UK
PLC
and
Barclays
Bank
PLC
settled
with
the
FCA
and
agreed
to
pay
a
total
penalty
of
£26m.
Investigation
into
UK
cards’
affordability
The
FCA
is
investigating
certain
aspects
of
the
affordability
assessment
processes
used
by
Barclays
Bank
UK
PLC
and
Barclays
Bank
PLC
for
credit
card
applications
ma
de
to
Barclays’
UK
credit
card
business.
Barclays
is
providing
information
in
cooperation
with
the
investigation.
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
approximately
£128m
to
Barclays
Bank
UK
PLC
and
£53m
to
Barclays
Bank
PLC.
HMRC’s
decision
has
been
appealed
to
the
First
Tier
Tribu
nal
(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
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
Bank
PLC
and
Barclays
Bank
UK
PLC
have
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,
intellectual
property,
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,
governmental
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
Group
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.
Notes
to
the
financial
statements
Capital
instruments,
equity
and
reserves
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
166
The
notes
included
in
this
section
focus
on
the
Barclays
Bank
Group’s
loan
capital
and
shareholders’
equity
including
issued
share
capital,
retained
earnings,
other
equity
balances
and
interests
of
minority
shareholders
in
our
subsidiary
entities
(non-controlling
interests).
For
more
information
on
capital
management
and
how
the
Barclays
Bank
Group
maintains
sufficient
capital
to
meet
our
regulatory
requirements
refer
to
page
42.
26
Subordinated
liabilities
Accounting
for
subordinated
liabilities
Subordinated
liabilities
are
measured
at
amortised
cost
using
the
effective
interest
method
under
IFRS
9,
unless
they
are
irrevocably
designated
at
fair
value
through
profit
or
loss
at
initial
recognition
because
such
designation
eliminates
or
significantly
reduces
an
accounting
mismatch.
Refer
to
Note
15
for
details
about
accounting
for
liabilities
designated
at
fair
value
through
profit
or
loss.
Barclays
Bank
Group
2020
2019
£m
£m
As
at
1
January
33,425
35,327
Issuances
3,856
6,785
Redemptions
(5,954)
(7,804)
Other
678
(883)
As
at
31
December
32,005
33,425
Issuances
of
£3,856m
comprise
£3,700m
intra-group
loans
from
Barclays
PLC
and
£156m
USD
Floating
Rate
Notes
issued
externally
by
a
Barclays
Bank
PLC
subsidiary.
Redemptions
of
£5,954m
comprise
£3,456m
intra-group
loans
from
Barclays
PLC
and
£2,498m
externally
issued
notes
comprising
a
£1,126m
partial
redemption
of
USD
7.625%
Contingent
Capital
Notes
and
the
redemption
of
£842m
USD
5.14%
Lower
Tier
2
Notes
and
£158m
7.125%
Undated
Subordinated
Notes.
Barclays
Bank
PLC
subsidiaries
redeemed
£342m
USD
Floating
Rate
Notes
and
£30m
USD
Fixed
Rate
Notes.
Other
movements
predominantly
include
fair
value
hedge
adjustments,
partially
offset
by
amortisation
and
foreign
exchange
movements.
Subordinated
liabilities
include
accrued
interest
and
comprise
undated
and
dated
subordinated
liabilities
as
follows:
Barclays
Bank
Group
2020
2019
£m
£m
Undated
subordinated
liabilities
905
1,073
Dated
subordinated
liabilities
31,100
32,352
Total
subordinated
liabilities
32,005
33,425
None
of
the
Barclays
Bank
Group’s
subordinated
liabilities
are
secured.
Notes
to
the
financial
statements
Capital
instruments,
equity
and
reserves
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
167
Undated
subordinated
liabilities
a
Barclays
Bank
Group
2020
2019
Initial
call
date
£m
£m
Barclays
Bank
PLC
externally
issued
subordinated
liabilities
Tier
One
Notes
(TONs)
6%
Callable
Perpetual
Core
Tier
One
Notes
2032
17
16
6.86%
Callable
Perpetual
Core
Tier
One
Notes
(USD
179m)
2032
205
203
Reserve
Capital
Instruments
(RCIs)
5.3304%
Step-up
Callable
Perpetual
Reserve
Capital
Instruments
2036
56
53
Undated
Notes
7.125%
Undated
Subordinated
Notes
2020
-
165
6.125%
Undated
Subordinated
Notes
2027
43
42
Junior
Undated
Floating
Rate
Notes
(USD
38m)
Any
interest
payment
date
28
29
Undated
Floating
Rate
Primary
Capital
Notes
Series
1
(USD
167m)
Any
interest
payment
date
89
92
Undated
Floating
Rate
Primary
Capital
Notes
Series
2
(USD
295m)
Any
interest
payment
date
186
191
Undated
Floating
Rate
Primary
Capital
Notes
Series
3
Any
interest
payment
date
21
21
Bonds
9.25%
Perpetual
Subordinated
Bonds
(ex-Woolwich
Plc)
2021
78
81
9%
Permanent
Interest
Bearing
Capital
Bonds(GBP
40m)
At
any
time
44
44
Loans
5.03%
Reverse
Dual
Currency
Undated
Subordinated
Loan
(JPY
8,000m)
2028
57
55
5%
Reverse
Dual
Currency
Undated
Subordinated
Loan
(JPY
12,000m)
2028
83
81
Total
undated
subordinated
liabilities
905
1,073
Note
a
Instrument
values
are
disclosed
to
the
nearest
million
Undated
subordinated
liabilities
Undated
subordinated
liabilities
are
issued
by
Barclays
Bank
PLC
and
its
subsidiaries
for
the
development
and
expansion
of
their
business
and
to
strengthen
their
capital
bases.
The
principal
terms
of
the
undated
subordinated
liabilities
are
described
below:
Subordination
All
undated
subordinated
liabilities
rank
behind
the
claims
against
the
bank
of
depositors
and
other
unsecured
unsubordinated
creditors
and
holders
of
dated
subordinated
liabilities
in
the
following
order:
Junior
Undated
Floating
Rate
Notes;
other
issues
of
Undated
Notes,
Bonds
and
Loans
ranking
pari
passu
with
each
other;
followed
by
TONs
and
RCIs
ranking
pari
passu
with
each
other.
Interest
All
undated
subordinated
liabilities
bear
a
fixed
rate
of
interest
until
the
initial
call
date,
with
the
exception
of
the
9%
Bonds
which
are
fixed
for
the
life
of
the
issue,
and
the
Junior
and
Series
1,
Series
2
and
Series
3
Undated
Notes
which
are
floating
rate
at
rates
fixed
periodically
in
advance
based
on
the
related
market
rate.
After
the
initial
call
date,
in
the
event
that
they
are
not
redeemed,
the
6.125%
Undated
Notes,
and
the
9.25%
Bonds
will
bear
interest
at
rates
fixed
periodically
in
advance
for
five-year
periods
based
on
market
rates.
All
other
undated
subordinated
liabilities
will
bear
interest
at
rates
fixed
periodically
in
advance
based
on
market
rates.
Payment
of
interest
Apart
from
the
Junior
Undated
Floating
Rate
Notes,
Barclays
Bank
PLC
is
not
obliged
to
make
a
payment
of
interest
on
its
Undated
Notes,
Bonds
and
Loans
excluding
the
9.25%
Bonds
if,
in
the
preceding
six
months,
a
dividend
has
not
been
declared
or
paid
on
any
class
of
shares
of
Barclays
PLC
or,
in
certain
cases,
any
class
of
preference
shares
of
Barclays
Bank
PLC.
Barclays
Bank
PLC
is
not
obliged
to
make
a
payment
of
interest
on
its
9.25%
Perpetual
Subordinated
Bonds
if,
in
the
immediately
preceding
12
month
interest
period,
a
dividend
has
not
been
paid
on
any
class
of
its
share
capital.
Interest
not
paid
becomes
payable
in
each
case
if
such
a
dividend
is
subsequently
paid
or
in
certain
other
circumstances.
During
the
year,
During
the
year,
Barclays
Bank
PLC
paid
interest
on
each
of
its
Undated
Notes,
Bonds
and
Loans.
No
payment
of
principal
or
any
interest
may
be
made
unless
Barclays
Bank
PLC
satisfies
a
specified
solvency
test.
Barclays
Bank
PLC
may
elect
to
defer
any
payment
of
interest
on
the
RCIs.
Any
such
deferred
payment
of
interest
must
be
paid
on
the
earlier
of:
(i)
the
date
of
redemption
of
the
RCIs,
and
(ii)
the
coupon
payment
date
falling
on
or
nearest
to
the
tenth
anniversary
of
the
date
of
deferral
of
such
payment.
Whilst
such
deferral
is
continuing,
(i)
neither
Barclays
Bank
PLC
nor
Barclays
PLC
may
declare
or
pay
a
dividend,
subject
to
certain
exceptions,
on
any
of
its
ordinary
shares
or
preference
shares
and
(ii)
certain
restrictions
on
the
redemption,
purchase
or
reduction
of
their
respective
share
capital
and
certain
other
securities
also
apply.
Barclays
Bank
PLC
may
elect
to
defer
any
payment
of
interest
on
the
TONs
if
it
determines
that
it
is,
or
such
payment
would
result
in
it
being,
in
non-compliance
with
capital
adequacy
requirements
and
policies
of
the
PRA.
Any
such
deferred
payment
of
interest
will
only
be
payable
on
a
redemption
of
the
TONs.
Until
such
time
as
Barclays
Bank
PLC
next
makes
a
payment
of
interest
on
the
TONs,
(i)
neither
Barclays
Bank
PLC
nor
Barclays
PLC
may
declare
or
pay
a
dividend,
subject
to
certain
exceptions,
on
any
of
their
respective
ordinary
shares
or
preference
shares,
Notes
to
the
financial
statements
Capital
instruments,
equity
and
reserves
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
168
or
make
payments
of
interest
in
respect
of
Barclays
Bank
PLC’s
Reserve
Capital
Instruments
and
(ii)
certain
restrictions
on
the
redemption,
purchase
or
reduction
of
their
respective
share
capital
and
certain
other
securities
also
apply.
Repayment
All
undated
subordinated
liabilities
are
repayable,
at
the
option
of
Barclays
Bank
PLC
generally
in
whole
at
the
initial
call
date
and
on
any
subsequent
coupon
or
interest
payment
date
or
in
the
case
of
the
6.125%
Undated
Notes
and
the
9.25%
Bonds
on
any
fifth
anniversary
after
the
initial
call
date.
In
addition,
each
issue
of
undated
subordinated
liabilities
is
repayable,
at
the
option
of
Barclays
Bank
PLC,
in
whole
for
certain
tax
reasons,
either
at
any
time,
or
on
an
interest
payment
date.
There
are
no
events
of
default
except
non-payment
of
principal
or
mandatory
interest.
Any
repayments
require
the
prior
consent
of
the
PRA.
Other
All
issues
of
undated
subordinated
liabilities
are
non-convertible.
Dated
subordinated
liabilities
a
Barclays
Bank
Group
2020
2019
Initial
call
date
Maturity
date
£m
£m
Barclays
Bank
PLC
externally
issued
subordinated
liabilities
5.14%
Lower
Tier
2
Notes
(USD
1,094m)
2020
-
832
6%
Fixed
Rate
Subordinated
Notes
(EUR
1,500m)
2021
1,427
1,375
9.5%
Subordinated
Bonds
(ex-Woolwich
Plc)
2021
221
239
Subordinated
Floating
Rate
Notes
(EUR
100m)
2021
90
85
10%
Fixed
Rate
Subordinated
Notes
2021
2,108
2,157
10.179%
Fixed
Rate
Subordinated
Notes
(USD
1,521m)
2021
1,101
1,123
Subordinated
Floating
Rate
Notes
(EUR
50m)
2022
45
43
6.625%
Fixed
Rate
Subordinated
Notes
(EUR
1,000m)
2022
982
957
7.625%
Contingent
Capital
Notes
(USD
3,000m)
2022
1,189
2,453
Subordinated
Floating
Rate
Notes
(EUR
50m)
2023
45
42
5.75%
Fixed
Rate
Subordinated
Notes
2026
351
350
5.4%
Reverse
Dual
Currency
Subordinated
Loan
(JPY
15,000m)
2027
108
105
6.33%
Subordinated
Notes
2032
64
62
Subordinated
Floating
Rate
Notes
(EUR
68m)
2040
61
58
External
issuances
by
other
subsidiaries
2025
146
358
Barclays
Bank
PLC
notes
issued
intra-group
to
Barclays
PLC
2%
Fixed
Rate
Subordinated
Callable
Notes
(EUR
1,500m)
2023
2028
1,388
1,309
3.75%
Fixed
Rate
Resetting
Subordinated
Callable
Notes
(SGD
200m)
2025
2030
119
116
5.20%
Fixed
Rate
Subordinated
Notes
(USD
1,367m)
2026
1,069
1,036
4.836%
Fixed
Rate
Subordinated
Callable
Notes
(USD
1,200m)
2027
2028
973
944
5.088%
Fixed-to-Floating
Rate
Subordinated
Callable
Notes
(USD
1,300m)
2029
2030
1,049
994
5.25%
Fixed
Rate
Subordinated
Notes
(USD
827m)
2045
660
651
4.95%
Fixed
Rate
Subordinated
Notes
(USD
1,250m)
2047
960
849
Floating
Rate
Subordinated
Notes
(USD
456m)
2047
337
350
Barclays
Bank
PLC
intra-group
loans
from
Barclays
PLC
Various
Fixed
Rate
Subordinated
Loans
9,563
7,548
Various
Subordinated
Floating
Rate
Loans
489
1,094
Various
Fixed
Rate
Subordinated
Callable
Loans
5,838
5,225
Various
Subordinated
Floating
Rate
Callable
Loans
500
1,997
Zero
Coupon
Callable
Loans
2050
221
-
Total
dated
subordinated
liabilities
31,100
32,352
Notes
a
Instrument
values
are
disclosed
to
the
nearest
million
Dated
subordinated
liabilities
Dated
subordinated
liabilities
are
issued
by
Barclays
Bank
PLC
and
its
subsidiaries
for
the
development
and
expansion
of
their
business
and
to
strengthen
their
respective
capital
bases.
The
principal
terms
of
the
dated
subordinated
liabilities
are
described
below:
Currency
and
maturity
In
addition
to
the
individual
dated
subordinated
liabilities
listed
in
the
table,
the
£16,607m
(2019:
£15,864m)
of
intra-group
loans
is
made
up
of
various
fixed,
fixed
to
floating
floating
rate
and
zero
coupon
loans
from
Barclays
PLC
with
notional
amounts
denominated
in
USD
14,409m,
EUR
5,024m,
GBP
1,250m,
JPY
233,600m,
AUD
1,715m,
SEK
500m,
NOK
970m
and
CHF
175m,
with
maturities
ranging
from
2021to
2050.
Certain
intra-group
loans
have
a
call
date
one
year
prior
to
their
maturity.
Notes
to
the
financial
statements
Capital
instruments,
equity
and
reserves
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
169
Subordination
All
dated
subordinated
liabilities,
both
externally
issued
and
issued
intra-group
to
Barclays
PLC,
rank
behind
the
claims
against
the
bank
of
depositors
and
other
unsecured
unsubordinated
creditors
but
before
the
claims
of
the
undated
subordinated
liabilities
and
the
holders
of
Barclays
Bank
PLC
equity.
The
Barclays
Bank
PLC
intra-group
loans
from
Barclays
PLC
rank
pari
passu
amongst
themselves
but
ahead
of
the
Barclays
Bank
PLC
notes
issued
intra-group
to
Barclays
PLC
and
the
Barclays
Bank
PLC
externally
issued
subordinated
liabilities.
The
external
dated
subordinated
liabilities
issued
by
subsidiaries
are
similarly
subordinated
as
the
external
subordinated
liabilities
issued
by
Barclays
Bank
PLC.
Interest
Interest
on
floating
rate
notes
and
loans
is
set
by
reference
to
market
rates
at
the
time
of
issuance
and
fixed
periodically
in
advance,
based
on
the
related
market
rates.
Interest
on
fixed
rate
notes
and
loans
is
set
by
reference
to
market
rates
at
the
time
of
issuance
and
fixed
until
maturity.
Interest
on
fixed
rate
callable
notes
and
loans
is
set
by
reference
to
market
rates
at
the
time
of
issuance
and
fixed
until
the
call
date.
After
the
call
date,
in
the
event
that
the
notes
or
loans
are
not
redeemed,
the
interest
rate
will
be
re-set
to
either
a
fixed
or
floating
rate
until
maturity
based
on
market
rates.
No
interest
is
paid
on
zero
coupon
notes.
Repayment
Those
subordinated
liabilities
with
a
call
date
are
repayable
at
the
option
of
the
issuer,
on
conditions
governing
the
respective
debt
obligations,
some
in
whole
or
in
part,
and
some
only
in
whole.
The
remaining
dated
subordinated
liabilities
outstanding
at
31
December
2020
are
redeemable
only
on
maturity,
subject
in
particular
cases,
to
provisions
allowing
an
early
redemption
in
the
event
of
certain
changes
in
tax
law
or,
to
certain
changes
in
legislation
or
regulations.
Any
repayments
prior
to
maturity
may
require,
in
the
case
of
Barclays
Bank
PLC,
the
prior
consent
of
the
PRA
or
BoE,
or
in
the
case
of
the
overseas
issues,
the
consent
of
the
local
regulator
for
that
jurisdiction
and
of
the
PRA
in
certain
circumstances.
There
are
no
committed
facilities
in
existence
at
the
balance
sheet
date
which
permit
the
refinancing
of
debt
beyond
the
date
of
maturity.
Other
The
7.625%
Contingent
Capital
Notes
will
be
automatically
transferred
from
investors
to
Barclays
PLC
(or
another
entity
within
the
Barclays
Group)
for
nil
consideration
in
the
event
the
Barclays
PLC
transitional
CET1
ratio
falls
below
7.0%.
27
Ordinary
shares,
preference
shares
and
other
equity
Called
up
share
capital,
allotted
and
fully
paid
and
other
equity
instruments
Ordinary
share
capital
Preference
share
capital
Total
share
capital
Other
equity
instruments
£m
£m
£m
£m
As
at
1
January
2020
2,342
6
2,348
8,323
AT1
securities
issuance
-
-
-
1,134
AT1
securities
redemption
-
-
-
(836)
As
at
31
December
2020
2,342
6
2,348
8,621
As
at
1
January
2019
2,342
6
2,348
7,595
AT1
securities
issuance
-
-
-
2,302
AT1
securities
redemption
-
-
-
(1,574)
As
at
31
December
2019
2,342
6
2,348
8,323
Capital
reorganisation
The
share
premium
account
of
Barclays
Bank
PLC
was
cancelled
in
2018,
following
the
confirmation
of
the
High
Court
of
Justice
in
England
and
Wales.
The
balance
of
£12,092m
was
credited
to
retained
earnings.
Ordinary
shares
The
issued
ordinary
share
capital
of
Barclays
Bank
PLC,
as
at
31
December
2020,
comprised
2,342m
(2019:
2,342m)
ordinary
shares
of
£1
each.
Preference
shares
The
issued
preference
share
capital
of
Barclays
Bank
PLC,
as
at
31
December
2020,
comprised
1,000
Sterling
Preference
Shares
of
£1
each
(2019:
1,000);
31,856
Euro
Preference
Shares
of
€100
each
(2019:
31,856);
and
58,133
US
Dollar
Preference
Shares
of
$100
each
(2019:
58,133).
Ordinary
share
capital
and
preference
share
capital
constitutes
100%
(2019:
100%)
of
total
share
capital
issued.
Notes
to
the
financial
statements
Capital
instruments,
equity
and
reserves
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
170
Sterling
£1
Preference
Shares
1,000
Sterling
cumulative
callable
preference
shares
of
£1
each
(the
£1
Preference
Shares)
were
issued
on
31
December
2004
at
nil
premium.
The
£1
Preference
Shares
entitle
the
holders
thereof
to
receive
Sterling
cumulative
cash
dividends
out
of
distributable
profits
of
Barclays
Bank
PLC,
semi-annually
at
a
rate
reset
semi-annually
equal
to
the
Sterling
interbank
offered
rate
for
six-month
sterling
deposits.
Barclays
Bank
PLC
shall
be
obliged
to
pay
such
dividends
if:
(1)
it
has
profits
available
for
the
purpose
of
distribution
under
the
Companies
Act
2006
as
at
each
dividend
payment
date;
and
(2)
it
is
solvent
on
the
relevant
dividend
payment
date,
provided
that
a
capital
regulations
condition
is
satisfied
on
such
dividend
payment
date.
The
dividends
shall
not
be
due
and
payable
on
the
relevant
dividend
payment
date
except
to
the
extent
that
Barclays
Bank
PLC
could
make
such
payment
and
still
be
solvent
immediately
thereafter.
Barclays
Bank
PLC
shall
be
considered
solvent
on
any
date
if:
(1)
it
is
able
to
pay
its
debts
to
senior
creditors
as
they
fall
due;
and
(2)
its
auditors
have
reported
within
the
previous
six
months
that
its
assets
exceed
its
liabilities.
If
Barclays
Bank
PLC
shall
not
pay,
or
shall
pay
only
in
part,
a
dividend
for
a
period
of
seven
days
or
more
after
the
due
date
for
payment,
the
holders
of
the
£1
Preference
Shares
may
institute
proceedings
for
the
winding-up
of
Barclays
Bank
PLC.
No
remedy
against
Barclays
Bank
PLC
shall
be
available
to
the
holder
of
any
£1
Preference
Shares
for
the
recovery
of
amounts
owing
in
respect
of
£1
Preference
Shares
other
than
the
institution
of
proceedings
for
the
winding-up
of
Barclays
Bank
PLC
and/or
proving
in
such
winding-up.
On
a
winding-up
or
other
return
of
capital
(other
than
a
redemption
or
purchase
by
Barclays
Bank
PLC
of
any
of
its
issued
shares,
or
a
reduction
of
share
capital,
permitted
by
the
Articles
of
Barclays
Bank
PLC
and
under
applicable
law),
the
assets
of
Barclays
Bank
PLC
available
to
shareholders
shall
be
applied
in
priority
to
any
payment
to
the
holders
of
ordinary
shares
and
any
other
class
of
shares
in
the
capital
of
Barclays
Bank
PLC
then
in
issue
ranking
junior
to
the
£1
Preference
Shares
on
such
a
return
of
capital
and
pari
passu
on
such
a
return
of
capital
with
the
holders
of
any
other
class
of
shares
in
the
capital
of
Barclays
Bank
PLC
then
in
issue
(other
than
any
class
of
shares
in
the
capital
of
Barclays
Bank
PLC
then
in
issue
ranking
in
priority
to
the
£1
Preference
Shares
on
a
winding-up
or
other
such
return
of
capital),
in
payment
to
the
holders
of
the
£1
Preference
Shares
of
a
sum
equal
to
the
aggregate
of:
(1)
an
amount
equal
to
the
dividends
accrued
thereon
for
the
then
current
dividend
period
(and
any
accumulated
arrears
thereof)
to
the
date
of
the
commencement
of
the
winding-up
or
other
such
return
of
capital;
and
(2)
an
amount
equal
to
£1
per
£1
Preference
Share.
After
payment
of
the
full
amount
of
the
liquidating
distributions
to
which
they
are
entitled,
the
holders
of
the
£1
Preference
Shares
will
have
no
right
or
claim
to
any
of
the
remaining
assets
of
Barclays
Bank
PLC
and
will
not
be
entitled
to
any
further
participation
in
such
return
of
capital.
The
£1
Preference
Shares
are
redeemable
at
the
option
of
Barclays
Bank
PLC,
in
whole
but
not
in
part
only,
subject
to
the
Companies
Act
2006
and
its
Articles.
Holders
of
the
£1
Preference
Shares
are
not
entitled
to
receive
notice
of,
or
to
attend,
or
vote
at,
any
general
meeting
of
Barclays
Bank
PLC.
Euro
Preference
Shares
140,000
Euro
non-cumulative
callable
preference
shares
of
€100
each
(the
Euro
Preference
Shares)
were
issu
ed
on
15
March
2005
for
a
consideration
of
€1,383.3m
(£966.7m),
of
which
the
nominal
value
was
€14m
and
the
balance
was
share
premium.
The
Euro
Preference
Shares
entitled
the
holders
thereof
to
receive
Euro
non-cumulative
cash
dividends
out
of
distributable
profits
of
Barclays
Bank
PLC,
annually
at
a
fixed
rate
of
4.75%
per
annum
on
the
amount
of
€10,000
per
preference
share
until
15
March
2020,
and
since
15
March
2020
quarterly
at
a
rate
reset
quarterly
equal
to
0.71%
per
annum
above
the
Euro
interbank
offered
rate
for
three-month
Euro
deposits.
The
board
of
directors
of
Barclays
Bank
PLC
may
resolve,
in
its
absolute
discretion,
not
to
pay
in
full,
or
at
all,
the
dividend
on
the
Euro
Preference
Shares
in
respect
of
a
particular
dividend
period.
The
Euro
Preference
Shares
are
redeemable
at
the
option
of
Barclays
Bank
PLC,
in
whole
but
not
in
part
only,
on
each
dividend
payment
date
at
€10,000
per
share
plus
any
dividends
accrued
for
the
then
current
dividend
period
to
the
date
fixed
for
redemption.
US
Dollar
Preference
Shares
100,000
US
Dollar
non-cumulative
callable
preference
shares
of
$100
each
(the
US
Dollar
Preference
Shares),
represented
by
100,000
American
Depositary
Shares,
Series
1,
were
issued
on
8
June
2005
for
a
consideration
of
$995.4m
(£548.1m),
of
which
the
nominal
value
was
$10m
and
the
balance
was
share
premium.
The
US
Dollar
Preference
Shares
entitle
the
holders
thereof
to
receive
US
Dollar
non-cumulative
cash
dividends
out
of
distributable
profits
of
Barclays
Bank
PLC,
semi-annually
at
a
fixed
rate
of
6.278%
per
annum
on
the
amount
of
$10,000
per
preference
share
until
15
December
2034,
and
thereafter
quarterly
at
a
rate
reset
quarterly
equal
to
1.55%
per
annum
above
the
London
interbank
offered
rate
for
three-month
US
Dollar
deposits.
The
board
of
directors
of
Barclays
Bank
PLC
may
resolve,
for
any
reason
and
in
its
absolute
discretion,
not
to
declare
or
pay
in
full
or
in
part
any
dividends
on
the
US
Dollar
Preference
Shares
in
respect
of
a
particular
dividend
period.
The
US
Dollar
Preference
Shares
are
redeemable
at
the
option
of
Barclays
Bank
PLC,
in
whole
but
not
in
part
only,
on
15
December
2034,
and
on
each
dividend
payment
date
thereafter
at
$10,000
per
share
plus
any
dividends
accrued
for
the
then
current
dividend
period
to
the
date
fixed
for
redemption.
No
redemption
or
purchase
of
any
Euro
Preference
Shares
and
US
Dollar
Preference
Shares
(together,
the
Preference
Shares)
may
be
made
by
Barclays
Bank
PLC
without
the
prior
consent
of
the
PRA
and
any
such
redemption
will
be
subject
to
the
Companies
Act
2006
and
the
Articles
of
Barclays
Bank
PLC.
On
a
winding-up
of
Barclays
Bank
PLC
or
other
return
of
capital
(other
than
a
redemption
or
purchase
of
shares
of
Barclays
Bank
PLC,
or
a
reduction
of
share
capital),
a
holder
of
Preference
Shares
will
rank
in
the
application
of
assets
of
Barclays
Bank
PLC
available
to
shareholders:
(1)
junior
to
the
holder
of
any
shares
of
Barclays
Bank
PLC
in
issue
ranking
in
priority
to
the
Preference
Shares;
(2)
equally
in
all
respects
with
holders
of
other
preference
shares
and
any
other
shares
of
Barclays
Bank
PLC
in
issue
ranking
pari
passu
with
the
Preference
Shares;
and
(3)
in
priority
to
the
holders
of
ordinary
shares
and
any
other
shares
of
Barclays
Bank
PLC
in
issue
ranking
junior
to
the
Preference
Shares.
The
holders
of
the
£13m
6%
Callable
Perpetual
Core
Tier
One
Notes
and
the
$179m
6.86%
Callable
Perpetual
Core
Tier
One
Notes
of
Barclays
Bank
PLC
(together,
the
TONs)
and
the
holders
of
the
£35m
5.3304%
Step-up
Callable
Perpetual
Reserve
Capital
Instruments
of
Barclays
Bank
PLC
(the
RCIs)
would,
for
the
purposes
only
of
calculating
the
amounts
payable
in
respect
of
such
securities
on
a
winding-up
of
Barclays
Notes
to
the
financial
statements
Capital
instruments,
equity
and
reserves
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
171
Bank
PLC,
subject
to
limited
exceptions
and
to
the
extent
that
the
TONs
and
the
RCIs
are
then
in
issue,
rank
pari
passu
with
the
holders
of
the
most
senior
class
or
classes
of
preference
shares
then
in
issue
in
the
capital
of
Barclays
Bank
PLC.
Accordingly,
the
holders
of
the
preference
shares
would
rank
equally
with
the
holders
of
such
TONs
and
RCIs
on
such
a
winding-up
of
Barclays
Bank
PLC
(unless
one
or
more
classes
of
shares
of
Barclays
Bank
PLC
ranking
in
priority
to
the
preference
shares
are
in
issue
at
the
time
of
such
winding-up,
in
which
event
the
holders
of
such
TONs
and
RCIs
would
rank
equally
with
the
holders
of
such
shares
and
in
priority
to
the
holders
of
the
preference
shares).
Subject
to
such
ranking,
in
such
event,
holders
of
the
preference
shares
will
be
entitled
to
receive
out
of
assets
of
Barclays
Bank
PLC
available
for
distributions
to
shareholders,
liquidating
distributions
in
the
amount
of
€10,000
per
Euro
Preference
Share
and
$10,000
per
US
Dollar
Preference
Share,
plus,
in
each
case,
an
amount
equal
to
the
accrued
dividend
for
the
then
current
dividend
period
to
the
date
of
the
commencement
of
the
winding-up
or
other
such
return
of
capital.
If
a
dividend
is
not
paid
in
full
on
any
preference
shares
on
any
dividend
payment
date,
then
a
dividend
restriction
shall
apply.
This
dividend
restriction
will
mean
that
neither
Barclays
Bank
PLC
nor
Barclays
PLC
may
(a)
declare
or
pay
a
dividend
(other
than
payment
by
Barclays
PLC
of
a
final
dividend
declared
by
its
shareholders
prior
to
the
relevant
dividend
payment
date,
or
a
dividend
paid
by
Barclays
Bank
PLC
to
Barclays
PLC)
on
any
of
their
respective
ordinary
shares,
other
preference
shares
or
other
share
capital
or
(b)
redeem,
purchase,
reduce
or
otherwise
acquire
any
of
their
respective
share
capital,
other
than
shares
of
Barclays
Bank
PLC
held
by
Barclays
PLC
or
a
wholly
owned
subsidiary,
until
the
earlier
of:
(1)
the
date
on
which
Barclays
Bank
PLC
next
declares
and
pays
in
full
a
preference
share
dividend;
and
(2)
the
date
on
or
by
which
all
the
preference
shares
are
redeemed
in
full
or
purchased
by
Barclays
Bank
PLC.
Holders
of
the
preference
shares
are
not
entitled
to
receive
notice
of,
or
to
attend,
or
vote
at,
any
general
meeting
of
Barclays
Bank
PLC.
Barclays
Bank
PLC
is
not
permitted
to
create
a
class
of
shares
ranking
as
regards
participation
in
the
profits
or
assets
of
Barclays
Bank
PLC
in
priority
to
the
preference
shares,
save
with
the
sanction
of
a
special
resolution
of
a
separate
general
meeting
of
the
holders
of
the
preference
shares
(requiring
a
majority
of
not
less
than
three-fourths
of
the
holders
of
the
preference
shares
voting
at
the
separate
general
meeting)
or
with
the
consent
in
writing
of
the
holders
of
three-fourths
of
the
preference
shares.
Except
as
described
above,
the
holders
of
the
preference
shares
have
no
right
to
participate
in
the
surplus
assets
of
Barclays
Bank
PLC.
Other
equity
instruments
Other
equity
instruments
of
£8,621m
(2019:
£8,323m)
include
AT1
securities
issued
to
Barclays
PLC.
Barclays
PLC
uses
funds
from
its
own
market
issuance
of
AT1
securities
to
purchase
AT1
securities
from
the
Barclays
Bank
Group.
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.
In
2020,
there
was
one
issuance
of
AT1
instruments,
in
the
form
of
Fixed
Rate
Resetting
Perpetual
Subordinated
Contingent
Convertible
Securities
(2019:
three
issuances)
totalling
£1,134m
(2019:
£2,302m).
There
was
also
one
redemption
in
2020
(2019:
two
redemptions)
totalling
£836m
(2019:
£1,574m).
AT1
equity
instruments
2020
2019
Initial
call
date
£m
£m
AT1
equity
instruments
-
Barclays
Bank
Group
8.0%
Perpetual
Subordinated
Contingent
Convertible
Securities
(EUR
1,000m)
2020
-
836
7.875%
Perpetual
Subordinated
Contingent
Convertible
Securities
2022
1,000
1,000
7.875%
Perpetual
Subordinated
Contingent
Convertible
Securities
(USD
1,500m)
2022
1,136
1,136
7.25%
Perpetual
Subordinated
Contingent
Convertible
Securities
2023
500
500
7.75%
Perpetual
Subordinated
Contingent
Convertible
Securities
(USD
2,500m)
2023
1,925
1,925
5.875%
Perpetual
Subordinated
Contingent
Convertible
Securities
2024
623
623
8%
Perpetual
Subordinated
Contingent
Convertible
Securities
(USD
2,000m)
2024
1,509
1,509
7.125%
Perpetual
Subordinated
Contingent
Convertible
Securities
2025
299
299
6.375%
Perpetual
Subordinated
Contingent
Convertible
Securities
2025
495
495
6.125%
Perpetual
Subordinated
Contingent
Convertible
Securities
(USD
1,500m)
2025
1,134
-
Total
AT1
equity
instruments
8,621
8,323
28
Reserves
Currency
translation
reserve
The
currency
translation
reserve
represents
the
cumulative
gains
and
losses
on
the
retranslation
of
the
Barclays
Bank
Group
net
investment
in
foreign
operations,
net
of
the
effects
of
hedging.
Fair
value
through
other
comprehensive
income
reserve
The
fair
value
through
other
comprehensive
income
reserve
represents
the
changes
in
the
fair
value
of
fair
value
through
other
comprehensive
income
investments
since
initial
recognition.
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.
Notes
to
the
financial
statements
Capital
instruments,
equity
and
reserves
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
172
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.
Other
reserves
and
other
shareholders’
equity
Other
reserves
relate
to
redeemed
ordinary
and
preference
shares
issued
by
the
Barclays
Bank
Group.
Included
in
other
shareholders’
equity
are
capital
notes
which
bear
interest
at
rates
fixed
periodically
in
advance,
based
on
London
interbank
rates.
These
notes
are
repayable
at
the
option
of
the
Barclays
Bank
PLC,
in
whole
on
any
interest
payment
date.
Barclays
Bank
PLC
is
not
obliged
to
make
a
payment
of
interest
on
its
capital
notes
if,
in
the
preceding
six
months,
a
dividend
has
not
been
declared
or
paid
on
any
class
of
shares
of
Barclays
PLC.
Barclays
Bank
Group
2020
2019
£m
£m
Currency
translation
reserve
2,736
3,383
Fair
value
through
other
comprehensive
income
reserve
244
(139)
Cash
flow
hedging
reserve
1,181
388
Own
credit
reserve
(954)
(373)
Other
reserves
and
other
shareholders'
equity
(24)
(24)
Total
3,183
3,235
Notes
to
the
financial
statements
Employee
benefits
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
173
The
notes
included
in
this
section
focus
on
the
costs
and
commitments
associated
with
employing
our
staff.
29
Staff
costs
Accounting
for
staff
costs
The
Barclays
Bank
Group
applies
IAS
19
Employee
benefits
Short-term
employee
benefits
provide
the
services
to
which
the
payments
relate.
Performance
costs
reliably
and
are
recognised
over
the
period
of
service
that
employees
are
required
to
work
to
qualify
for
the
payments.
Deferred
cash
and
share
awards
are
made
to
employees
to
incentivise
performance
over
the
period
employees
provide
services.
To
receive
payment
under
an
award,
employees
must
provide
service
over
the
vesting
period.
The
period
over
which
the
expense
for
deferred
cash
and
share
awards
is
recognised
is
based
upon
the
period
employees
consider
their
services
contribute
to
the
awards.
For
past
awards,
the
Barclays
Bank
Group
considers
that
it
is
appropriate
to
recognise
the
awards
over
the
period
from
the
date
of
grant
to
the
date
that
the
awards
vest.
In
relation
to
awards
granted
from
2017,
the
Barclays
Bank
Group,
taking
into
account
the
changing
employee
understanding
surrounding
those
awards,
considered
it
appropriate
for
expense
to
be
recognised
over
four
years
including
the
financial
year
prior
to
the
grant
date.
The
accounting
policies
for
share-based
payments,
and
pensions
and
other
post-retirement
benefits
are
included
in
Note
30
and
Note
31
respectively.
2020
2019
2018
£m
£m
£m
Performance
costs
1,145
1,104
1,300
Salaries
a
2,285
2,373
2,269
Social
security
costs
295
269
263
Post-retirement
benefits
b
176
184
302
Other
compensation
costs
208
237
246
Total
compensation
costs
4,109
4,167
4,380
Other
resourcing
costs
Outsourcing
142
211
287
Redundancy
and
restructuring
47
69
87
Temporary
staff
costs
14
48
54
Other
53
70
66
Total
other
resourcing
costs
256
398
494
Total
staff
costs
4,365
4,565
4,874
Notes
a
£156m
(2019:
£
123m;
2018
:
£54m)
of
compensation
was
capitalised
as
internally
generated
software.
b
Post-retirem
ent
benefits
charge
includes
£127m
(2019:
£126m;
2018
:
£99m)
in
respect
of
defined
contribution
schemes
and
£49
m
(2019:
£57
m;
2018:
£
203m)
in
respect
of
defined
benefit
schemes.
30
Share-based
payments
Accounting
for
share-based
payments
The
Barclays
Bank
Group
applies
IFRS
2
Share-based
Payments
Employee
incentives
include
awards
in
the
form
of
shares
and
share
options,
as
well
as
offering
employees
the
opportunity
to
purchase
shares
on
favourable
terms.
The
cost
of
the
employee
services
received
in
respect
of
the
shares
or
share
options
granted
is
recognised
in
the
income
statement
over
the
period
that
employees
provide
services.
The
overall
cost
of
the
award
is
calculated
using
the
number
of
shares
and
options
expected
to
vest
and
the
fair
value
of
the
shares
or
options
at
the
date
of
grant.
The
number
of
shares
and
options
expected
to
vest
takes
into
account
the
likelihood
that
performance
and
service
conditions
included
in
the
terms
of
the
awards
will
be
met.
Failure
to
meet
the
non-vesting
condition
is
treated
as
a
cancellation,
resulting
in
an
acceleration
of
recognition
of
the
cost
of
the
employee
services.
The
fair
value
of
shares
is
the
market
price
ruling
on
the
grant
date,
in
some
cases
adjusted
to
reflect
restrictions
on
transferability.
The
fair
value
of
options
granted
is
determined
using
option
pricing
models
to
estimate
the
numbers
of
shares
likely
to
vest.
These
take
into
account
the
exercise
price
of
the
option,
the
current
share
price,
the
risk-free
interest
rate,
the
expected
volatility
of
the
share
price
over
the
life
of
the
option
and
other
relevant
factors.
Market
conditions
that
must
be
met
in
order
for
the
award
to
vest
are
also
reflected
in
the
fair
value
of
the
award,
as
are
any
other
non-vesting
conditions
–
such
as
continuing
to
make
payments
into
a
share-based
savings
scheme.
The
charge
for
the
year
arising
from
share
based
payment
schemes
was
as
follows:
Notes
to
the
financial
statements
Employee
benefits
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
174
Charge
for
the
year
2020
2019
2018
£m
£m
£m
Deferred
Share
Value
Plan
/
Share
Value
Plan
220
244
235
Others
129
148
131
Total
equity
settled
349
392
366
Cash
settled
2
3
1
Total
share
based
payments
351
395
367
The
terms
of
the
main
current
plans
are
as
follows:
Share
Value
Plan
(SVP)
The
SVP
was
introduced
in
March
2010.
SVP
awards
have
been
granted
to
participants
in
the
form
of
a
conditional
right
to
receive
Barclays
PLC
shares
or
provisional
allocations
of
Barclays
PLC
shares
which
vest
or
are
considered
for
release
over
a
period
of
three,
five
or
seven
years.
Participants
do
not
pay
to
receive
an
award
or
to
receive
a
release
of
shares.
For
awards
granted
before
December
2017,
the
grantor
may
also
make
a
dividend
equivalent
payment
to
participants
on
release
of
a
SVP
award.
SVP
awards
are
also
made
to
eligible
employees
for
recruitment
purposes.
All
awards
are
subject
to
potential
forfeiture
in
certain
leaver
scenarios.
Deferred
Share
Value
Plan
(DSVP)
The
DSVP
was
introduced
in
February
2017.
The
terms
of
the
DSVP
are
materially
the
same
as
the
terms
of
the
SVP
as
described
above,
save
that
Executive
Directors
are
not
eligible
to
participate
in
the
DSVP
and
the
DSVP
operates
over
market
purchase
shares
only.
Other
schemes
In
addition
to
the
SVP
and
DSVP,
the
Barclays
Group
operates
a
number
of
other
schemes
settled
in
Barclays
PLC
Shares
including
Sharesave
(both
UK
and
Ireland),
Sharepurchase
(both
UK
and
overseas),
and
the
Barclays
Group
Long
Term
Incentive
Plan.
A
delivery
of
upfront
shares
to
‘Material
Risk
Takers’
can
be
made
as
a
Share
Incentive
Award
(Holding
Period).
Share
option
and
award
plans
The
weighted
average
fair
value
per
award
granted,
weighted
average
share
price
at
the
date
of
exercise/release
of
shares
during
the
year,
weighted
average
contractual
remaining
life
and
number
of
options
and
awards
outstanding
(including
those
exercisable)
at
the
balance
sheet
date
were
as
follows:
2020
2019
Weighted
average
fair
value
per
award
granted
in
year
Weighted
average
share
price
at
exercise/
release
during
year
Weighted
average
remaining
contractual
life
in
years
Number
of
options/
awards
outstanding
(000s)
Weighted
average
fair
value
per
award
granted
in
year
Weighted
average
share
price
at
exercise/
release
during
year
Weighted
average
remaining
contractual
life
in
years
Number
of
options/
awards
outstanding
(000s)
£
£
£
£
DSVP
/
SVP
a,b
1.04
1.24
1
370,006
1.43
1.60
1
297,149
Others
a
0.24-1.24
1.19-1.67
0-4
53,767
0.40-1.60
1.57-1.70
0-3
37,481
SVP
and
DSVP
are
nil
cost
awards
on
which
the
performance
conditions
are
substantially
completed
at
the
date
of
grant.
Consequently,
the
fair
value
of
these
awards
is
based
on
the
market
value
at
that
date.
Movements
in
options
and
awards
The
movement
in
the
number
of
options
and
awards
for
the
major
schemes
and
the
weighted
average
exercise
price
of
options
was:
Notes
to
the
financial
statements
Employee
benefits
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
175
DSVP
/
SVP
a,b
Others
a,c
Number
(000s)
Number
(000s)
Weighted
average
ex.
price
(£)
2020
2019
2020
2019
2020
2019
Outstanding
at
beginning
of
year/acquisition
date
297,149
242,332
37,481
38,092
1.27
1.39
Transfers
in
the
year
d
953
2,934
140
(3,042)
-
-
Granted
in
the
year
203,157
198,884
136,227
101,881
0.84
1.19
Exercised/released
in
the
year
(117,355)
(130,695)
(99,465)
(91,337)
1.21
1.21
Less:
forfeited
in
the
year
(13,898)
(16,306)
(18,285)
(7,081)
1.23
1.51
Less:
expired
in
the
year
-
-
(2,331)
(1,032)
1.33
2.00
Outstanding
at
end
of
year
370,006
297,149
53,767
37,481
0.95
1.27
Of
which
exercisable:
-
-
4,746
5,499
1.64
1.31
Notes
a
Options/award
granted
over
Barclays
PLC
shares.
b
Weighted
average
exercise
price
is
not
applicable
for
SVP
and
DSVP
awards
as
these
are
not
share
option
schemes.
c
The
number
of
awards
within
Others
at
the
end
of
the
year
principally
relates
to
Sharesave
(number
of
awards
exercisable
at
end
of
year
was
1,673,362)
.
The
weighted
average
exercise
price
relates
to
Sharesave.
d
Awards
of
employees
transferred
between
the
Barclays
Bank
Group
and
the
rest
of
the
Barclays
PLC
Group.
Awards
and
options
granted
to
employees
and
former
employees
of
the
Barclays
Bank
Group
under
the
Barclays
PLC
Group
share
plans
may
be
satisfied
using
new
issue
shares,
treasury
shares
and
market
purchase
shares
of
Barclays
PLC.
Awards
granted
to
employees
and
former
employees
of
the
Barclays
Bank
Group
under
DSVP
may
only
be
satisfied
using
market
purchase
shares
of
Barclays
PLC.
There
were
no
significant
modifications
to
the
share
based
payments
arrangements
in
2020
and
2019.
As
at
31
December
2020,
the
total
liability
arising
from
cash-settled
share
based
payments
transactions
was
£2m
(2019:
£3m).
31
Pensions
and
post-retirement
benefits
Accounting
for
pensions
and
post-retirement
benefits
The
Barclays
Bank
Group
operates
a
number
of
pension
schemes
and
post-employment
benefit
schemes.
Defined
contribution
schemes
statement.
Any
contributions
unpaid
at
the
balance
sheet
date
are
included
as
a
liability.
Defined
benefit
schemes
of
the
scheme
assets
after
applying
the
asset
ceiling
test.
Each
scheme’s
obligations
are
calculated
using
the
projected
unit
credit
method.
Scheme
assets
are
stated
at
fair
value
as
at
the
period
end.
Changes
in
pension
scheme
liabilities
or
assets
(remeasurements)
that
do
not
arise
from
regular
pension
cost,
net
interest
on
net
defined
benefit
liabilities
or
assets,
past
service
costs,
settlements
or
contributions
to
the
scheme,
are
recognised
in
other
comprehensive
income.
Remeasurements
comprise
experience
adjustments
(differences
between
previous
actuarial
assumptions
and
what
has
actually
occurred),
the
effects
of
changes
in
actuarial
assumptions,
return
on
scheme
assets
(excluding
amounts
included
in
the
interest
on
the
assets)
and
any
changes
in
the
effect
of
the
asset
ceiling
restriction
(excluding
amounts
included
in
the
interest
on
the
restriction).
Post-employment
benefit
schemes
statements
over
the
period
that
the
employees
provide
services
to
the
Barclays
Bank
Group,
using
a
methodology
similar
to
that
for
defined
benefit
pension
schemes.
Pension
schemes
UK
Retirement
Fund
(UKRF)
The
UKRF
is
the
Barclays
Bank
Group’s
main
scheme,
representing
97%
of
the
Barclays
Bank
Group’s
total
retirement
benefit
obligations.
Barclays
Bank
PLC
is
the
principal
employer
of
the
UKRF.
The
UKRF
was
closed
to
new
entrants
on
1
October
2012,
and
comprises
10
sections,
the
two
most
significant
of
which
are:
◾
balance
element
is
accrued
each
year
and
revalued
until
Normal
Retirement
Age
in
line
with
the
increase
in
Retail
Price
Index
(RPI)
(up
to
a
maximum
of
5%
p.a.).
An
increase
of
up
to
2%
a
year
may
also
be
added
at
Barclays
Bank
PLC’s
discretion.
The
costs
of
ill-health
retirements
and
death
in
service
benefits
for
Afterwork
members
are
borne
by
the
UKRF.
The
main
risks
that
the
Barclays
Bank
Group
runs
in
relation
to
Afterwork
are
limited
although
additional
contributions
are
required
if
pre-retirement
investment
returns
are
not
sufficient
to
provide
for
the
benefits.
◾
respect
of
service
up
to
31
March
2010.
Pensions
were
calculated
by
reference
to
service
and
pensionable
salary.
From
1
April
2010,
members
became
eligible
to
accrue
future
service
benefits
in
either
Afterwork
or
the
Pension
Investment
Plan
(PIP),
a
historic
defined
contribution
section
which
is
now
closed
to
future
contributions.
The
risks
that
the
Barclays
Bank
Group
runs
in
relation
to
the
1964
section
are
typical
of
final
salary
pension
schemes,
principally
that
investment
returns
fall
short
of
expectations,
that
inflation
exceeds
expectations,
and
that
retirees
live
longer
than
expected.
Barclays
Pension
Savings
Plan
(BPSP)
The
BPSP
is
a
defined
contribution
scheme
providing
benefits
for
all
new
UK
hires
from
1
October
2012,
BPSP
is
not
subject
to
the
same
investment
return,
inflation
or
life
expectancy
risks
for
the
Barclays
Bank
Group
that
defined
benefit
schemes
are.
Members’
benefits
reflect
contributions
paid
and
the
level
of
investment
returns
achieved.
Notes
to
the
financial
statements
Employee
benefits
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
176
Other
Apart
from
the
UKRF
and
the
BPSP,
the
Barclays
Bank
Group
operates
a
number
of
smaller
pension
and
long-term
employee
benefits
and
post-retirement
health
care
plans
globally,
the
largest
of
which
are
the
US
defined
benefit
schemes.
Many
of
the
schemes
are
funded,
with
assets
backing
the
obligations
held
in
separate
legal
vehicles
such
as
trusts.
Others
are
operated
on
an
unfunded
basis.
The
benefits
provided,
the
approach
to
funding,
and
the
legal
basis
of
the
schemes,
reflect
local
environments.
Governance
The
UKRF
operates
under
trust
law
and
is
managed
and
administered
on
behalf
of
the
members
in
accordance
with
the
terms
of
the
Trust
Deed
and
Rules
and
all
relevant
legislation.
The
Corporate
Trustee
is
Barclays
Pension
Funds
Trustees
Limited,
a
private
limited
company
and
a
wholly
owned
subsidiary
of
Barclays
Bank
PLC.
The
Trustee
is
the
legal
owner
of
the
assets
of
the
UKRF
which
are
held
separately
from
the
assets
of
the
Barclays
Bank
Group.
The
Trustee
Board
comprises
six
Management
Directors
selected
by
Barclays
Bank
PLC,
of
whom
three
are
independent
Directors
with
no
relationship
with
the
Barclays
Bank
Group
(and
who
are
not
members
of
the
UKRF),
plus
three
Member
Nominated
Directors
selected
from
eligible
active
members
of
the
UKRF,
deferred
members
or
pensioner
members
who
apply
for
the
role.
The
BPSP
is
a
Group
Personal
Pension
arrangement
which
operates
as
a
collection
of
personal
pension
plans.
Each
personal
pension
plan
is
a
direct
contract
between
the
employee
and
the
BPSP
provider
(Legal
&
General
Assurance
Society
Limited),
and
is
regulated
by
the
FCA.
Similar
principles
of
pension
governance
apply
to
the
Barclays
Bank
Group’s
other
pension
schemes,
depending
on
local
legislation.
Amounts
recognised
The
following
tables
include
amounts
recognised
in
the
income
statement
and
an
analysis
of
benefit
obligations
and
scheme
assets
for
all
Barclays
Bank
Group
defined
benefit
schemes.
The
net
position
is
reconciled
to
the
assets
and
liabilities
recognised
on
the
balance
sheet.
The
tables
include
funded
and
unfunded
post-retirement
benefits.
Income
statement
charge
2020
2019
£m
£m
Current
service
cost
53
58
Net
finance
cost
(40)
(48)
Past
service
cost
(4)
–
Other
movements
–
1
Total
9
11
The
Barclays
Bank
PLC
is
the
principal
employer
of
the
UKRF
and
hence
Scheme
Assets
and
Defined
Benefit
Obligations
relating
to
the
UKRF
are
recognised
within
the
Barclays
Bank
Group.
Barclays
Bank
UK
Plc
and
Barclays
Execution
Services
Limited
are
participating
employers
in
the
UKRF
and
their
share
of
the
UKRF
service
cost
is
borne
by
them.
Of
the
£232m
current
service
cost
in
the
table
on
the
next
page,
£93m
relates
to
Barclays
Bank
UK
Plc
and
£86m
relates
to
Barclays
Execution
Services
Limited.
While
the
entire
current
service
cost
is
accounted
for
in
the
Barclays
Bank
Group
on
balance
sheet,
the
income
statement
charge
is
accounted
for
across
all
the
participating
employers.
Notes
to
the
financial
statements
Employee
benefits
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
177
Balance
sheet
reconciliation
2020
2019
Barclays
Bank
Group
Total
Of
which
relates
to
UKRF
Barclays
Bank
Group
Total
Of
which
relates
to
UKRF
£m
£m
£m
£m
Benefit
obligation
at
beginning
of
the
year
(30,298)
(29,304)
(28,237)
(27,301)
Current
service
cost
(232)
(217)
(226)
(210)
Interest
costs
on
scheme
liabilities
(573)
(549)
(747)
(718)
Past
service
cost
4
Remeasurement
(loss)/gain
-
financial
(3,439)
(3,358)
(3,087)
(2,964)
Remeasurement
(loss)/gain
-
demographic
(281)
(286)
223
214
Remeasurement
(loss)/gain
-
experience
243
237
277
266
Employee
contributions
(5)
(1)
(5)
(1)
Benefits
paid
1,406
1,370
1,459
1,410
Exchange
and
other
movements
44
45
Benefit
obligation
at
end
of
the
year
(33,131)
(32,108)
(30,298)
(29,304)
Fair
value
of
scheme
assets
at
beginning
of
the
year
32,093
31,362
29,722
29,036
Interest
income
on
scheme
assets
613
595
795
774
Employer
contribution
265
248
755
731
Settlements
(2)
Remeasurement
-
return
on
plan
assets
greater
than
discount
rate
3,411
3,328
2,312
2,230
Employee
contributions
5
1
5
1
Benefits
paid
(1,406)
(1,370)
(1,459)
(1,410)
Exchange
and
other
movements
(268)
(249)
(35)
Fair
value
of
scheme
assets
at
the
end
of
the
year
34,713
33,915
32,093
31,362
Net
surplus/(deficit)
1,582
1,807
1,795
2,058
Retirement
benefit
assets
1,814
1,807
2,108
2,058
Retirement
benefit
liabilities
(232)
(313)
Net
retirement
benefit
assets/(liabilities)
1,582
1,807
1,795
2,058
Included
within
the
Barclays
Bank
Group’s
benefit
obligation
was
£866m
(2019:
£760m)
relating
to
overseas
pensions
and
£157m
(2019:
£166m)
relating
to
other
post-employment
benefits.
As
at
31
December
2020,
the
UKRF’s
scheme
assets
were
in
surplus
versus
IAS
19
obligations
by
£1,807m
(2019:
£2,058m).
The
movement
for
the
UKRF
was
driven
by
a
net
decrease
in
the
discount
rate
and
changes
to
pension
increase
assumptions,
offset
partially
by
higher
than
assumed
asset
returns.
During
the
year
the
UKRF
invested
in
non-transferable
listed
senior
gilt-backed
notes
for
£750m,
partially
financed
by
£500m
deficit
contributions
(the
“Heron
2”
transaction).
The
net
impact
of
£250m
on
plan
assets
is
shown
as
an
outflow
under
“Exchange
and
other
movements”;
further
details
of
Heron
2
can
be
found
on
page
180.
The
weighted
average
duration
of
the
benefit
payments
reflected
in
the
defined
benefit
obligation
for
the
UKRF
is
17
years.
The
UKRF
expected
benefits
are
projected
to
be
paid
out
for
in
excess
of
50
years,
although
25%
of
the
total
benefits
are
expected
to
be
paid
in
the
next
10
years;
30%
in
years
11
to
20
and
25%
in
years
20
to
30.
The
remainder
of
the
benefits
are
expected
to
be
paid
beyond
30
years.
Of
the
£1,370m
(2019:
£1,410m)
UKRF
benefits
paid
out,
£520m
(2019:
£580m)
related
to
transfers
out
of
the
fund.
Where
a
scheme’s
assets
exceed
its
obligation,
an
asset
is
recognised
to
the
extent
that
it
does
not
exceed
the
present
value
of
future
contribution
holidays
or
refunds
of
contributions
(the
asset
ceiling).
In
the
case
of
the
UKRF
the
asset
ceiling
is
not
applied
as,
in
certain
specified
circumstances
such
as
wind-up,
the
Barclays
Bank
Group
expects
to
be
able
to
recover
any
surplus.
Similarly,
a
liability
in
respect
of
future
minimum
funding
requirements
is
not
recognised.
The
UKRF
Trustee
does
not
have
a
substantive
right
to
augment
benefits,
nor
does
it
have
the
right
to
wind
up
the
plan
except
in
the
dissolution
of
Barclays
Bank
PLC
or
termination
of
contributions
by
Barclays
Bank
PLC.
The
application
of
the
asset
ceiling
to
other
plans
and
recognition
of
additional
liabilities
in
respect
of
future
minimum
funding
requirements
are
considered
on
an
individual
plan
basis.
Critical
accounting
estimates
and
judgements
Actuarial
valuation
of
the
schemes’
obligation
is
dependent
upon
a
series
of
assumptions.
Below
is
a
summary
of
the
main
financial
and
demographic
assumptions
adopted
for
the
UKRF.
Key
UKRF
financial
assumptions
2020
2019
%
p.a.
%
p.a.
Discount
rate
1.29
1.92
Inflation
rate
(RPI)
2.99
3.02
Notes
to
the
financial
statements
Employee
benefits
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
178
The
UKRF
discount
rate
assumption
for
2020
was
based
on
a
standard
Willis
Towers
Watson
RATE
Link
model.
The
UKRF
discount
rate
assumption
for
2019
was
based
on
a
variant
of
the
standard
Willis
Towers
Watson
RATE
Link
model
that
included
all
bonds
rated
AA
by
at
least
one
of
the
four
major
ratings
agencies,
and
assumed
that
forward
rates
after
year
30
were
flat.
The
change
in
discount
rate
methodology
as
at
31
December
2020
led
to
a
remeasurement
gain
of
£1.2bn.
The
RPI
inflation
assumption
for
2020
was
set
by
reference
to
the
Bank
of
England’s
implied
inflation
curve.
The
inflation
assumption
incorporates
a
deduction
of
20
basis
points
as
an
allowance
for
an
inflation
risk
premium.
The
methodology
used
to
derive
the
inflation
assumptions
is
consistent
with
that
used
at
the
prior
year
end.
The
UKRF’s
post-retirement
mortality
assumptions
are
based
on
a
best
estimate
assumption
derived
from
an
analysis
in
2019
of
the
UKRF’s
own
post-retirement
mortality
experience,
and
taking
account
of
recent
evidence
from
published
mortality
surveys.
An
allowance
has
been
made
for
future
mortality
improvements
based
on
the
2019
core
projection
model
published
by
the
Continuous
Mortality
Investigation
Bureau
subject
to
a
long-term
trend
of
1.5%
per
annum
in
future
improvements.
The
methodology
used
is
consistent
with
the
prior
year
end,
except
that
the
2018
core
projection
model
was
used
at
2019.
The
table
below
shows
how
the
assumed
life
expectancy
at
60,
for
members
of
the
UKRF,
has
varied
over
the
past
three
years.
Assumed
life
expectancy
2020
2019
2018
Life
expectancy
at
60
for
current
pensioners
(years)
–
Males
27.2
27.1
27.7
–
Females
29.4
29.3
29.4
Life
expectancy
at
60
for
future
pensioners
currently
aged
40
(years)
–
Males
29.0
28.9
29.2
–
Females
31.2
31.1
31.0
On
11
December
2020,
the
UKRF
entered
into
a
£5bn
longevity
swap
to
hedge
around
a
quarter
of
current
pensioner
liabilities
against
unexpected
increases
in
life
expectancy.
The
swap
will
form
part
of
the
UKRF’s
investment
portfolio
and
provide
income
in
the
event
that
pensions
are
paid
out
for
longer
than
expected.
The
UKRF
Trustee
established
a
Guernsey
based
captive
insurer
(Barclays
UKRF
No.1
IC
Limited)
to
act
as
an
insurance
intermediary
between
the
UKRF
and
swap
provider.
The
swap
is
not
included
directly
within
the
balance
sheet
of
Barclays
Bank
Group
as
it
is
an
asset
of
the
UKRF.
At
31
December
2020,
the
swap
is
valued
at
nil
fair
value
as
it
is
considered
to
remain
at
fair
market
value
for
both
parties
over
the
very
limited
period
from
11
December
2020
to
31
December
2020.
Sensitivity
analysis
on
actuarial
assumptions
The
sensitivity
analysis
has
been
calculated
by
valuing
the
UKRF
liabilities
using
the
amended
assumptions
shown
in
the
table
below
and
keeping
the
remaining
assumptions
the
same
as
disclosed
in
the
table
above,
except
in
the
case
of
the
inflation
sensitivity
where
other
assumptions
that
depend
on
assumed
inflation
have
also
been
amended
correspondingly.
The
difference
between
the
recalculated
liability
figure
and
that
stated
in
the
balance
sheet
reconciliation
table
above
is
the
figure
shown.
The
selection
of
these
movements
to
illustrate
the
sensitivity
of
the
defined
benefit
obligation
to
key
assumptions
should
not
be
interpreted
as
Barclays
Bank
Group
expressing
any
specific
view
of
the
probability
of
such
movements
happening.
Change
in
key
assumptions
2020
2019
(Decrease)/Incre
ase
in
UKRF
defined
benefit
obligation
(Decrease)/Increa
se
in
UKRF
defined
benefit
obligation
£bn
£bn
Discount
rate
0.50%
p.a.
increase
(2.5)
(2.3)
0.25%
p.a.
increase
(1.3)
(1.2)
0.25%
p.a.
decrease
1.4
1.2
0.50%
p.a.
decrease
2.9
2.6
Assumed
RPI
0.50%
p.a.
increase
1.8
1.5
0.25%
p.a.
increase
0.9
0.8
0.25%
p.a.
decrease
(0.9)
(0.7)
0.50%
p.a.
decrease
(1.8)
(1.4)
Life
expectancy
at
60
One
year
increase
1.2
1.0
One
year
decrease
(1.2)
(1.0)
Assets
A
long-term
investment
strategy
has
been
set
for
the
UKRF,
with
its
asset
allocation
comprising
a
mixture
of
equities,
bonds,
property
and
other
appropriate
assets.
This
recognises
that
different
asset
classes
are
likely
to
produce
different
long-term
returns
and
some
asset
classes
may
be
more
volatile
than
others.
The
long-term
investment
strategy
ensures,
among
other
aims,
that
investments
are
adequately
diversified.
The
UKRF
also
employs
derivative
instruments,
where
appropriate,
to
achieve
a
desired
exposure
or
return,
or
to
match
assets
more
closely
to
liabilities.
The
value
of
assets
shown
reflects
the
assets
held
by
the
schemes,
with
any
derivative
holdings
reflected
on
a
fair
value
basis.
Notes
to
the
financial
statements
Employee
benefits
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
179
The
value
of
the
assets
of
the
schemes
and
their
percentage
in
relation
to
total
scheme
assets
were
as
follows:
Analysis
of
scheme
assets
Barclays
Bank
Group
Total
Of
which
relates
to
UKRF
Quoted
a
Unquoted
a
Value
%
of
total
fair
value
of
scheme
assets
Quoted
a
Unquoted
a
Value
%
of
total
fair
value
of
scheme
assets
£m
£m
£m
%
£m
£m
£m
%
As
at
31
December
2020
Equities
567
1,498
2,065
5.9
378
1,498
1,876
5.5
Private
equities
-
2,233
2,233
6.4
-
2,233
2,233
6.6
Bonds
-
fixed
government
4,205
110
4,315
12.4
3,932
110
4,042
11.9
Bonds
-
index-linked
government
10,706
1,014
11,720
33.8
10,697
1,014
11,711
34.6
Bonds
-
corporate
and
other
7,439
1,678
9,117
26.3
7,214
1,678
8,892
26.2
Property
10
1,416
1,426
4.1
-
1,416
1,416
4.2
Infrastructure
-
1,812
1,812
5.2
-
1,812
1,812
5.3
Cash
and
liquid
assets
64
1,830
1,894
5.5
46
1,830
1,876
5.5
Mixed
investment
funds
9
-
9
–
-
-
-
-
Other
14
108
122
0.4
-
57
57
0.2
Fair
value
of
scheme
assets
23,014
11,699
34,713
100.0
22,267
11,648
33,915
100.0
As
at
31
December
2019
b
Equities
942
1,568
2,510
7.8
768
1,568
2,336
7.4
Private
equities
-
2,083
2,083
6.5
-
2,083
2,083
6.6
Bonds
-
fixed
government
3,574
300
3,874
12.1
3,303
299
3,602
11.5
Bonds
-
index-linked
government
10,355
681
11,036
34.4
10,345
682
11,027
35.2
Bonds
-
corporate
and
other
6,260
2,297
8,557
26.6
6,069
2,295
8,364
26.7
Property
11
1,633
1,644
5.1
-
1,633
1,633
5.2
Infrastructure
-
1,558
1,558
4.9
-
1,558
1,558
5.0
Cash
and
liquid
assets
596
170
766
2.4
576
169
745
2.4
Other
-
65
65
0.2
-
14
14
–
Fair
value
of
scheme
assets
21,738
10,355
32,093
100.0
21,061
10,301
31,362
100.0
Notes
a
Valuations
on
unquoted
assets
are
provided
by
the
underlying
managers
or
qualified
independent
valuers.
Valuations
on
complex
instruments
are
based
on
UKRF
custodian
valuations.
All
valuations
are
determined
in
accordance
with
relevant
industry
guidance.
b
Analysis
of
scheme
assets
for
2019
is
restated
with
a
quoted/unquoted
split.
Included
within
the
fair
value
of
scheme
assets
were
nil
(2019:
nil)
relating
to
shares
in
Barclays
PLC
and
nil
(2019:
nil)
relating
to
bonds
issued
by
Barclays
PLC
or
Barclays
Bank
Group.
The
UKRF
also
invests
in
pooled
investment
vehicles
which
may
hold
shares
or
debt
issued
by
Barclays
PLC.
The
UKRF
assets
above
do
not
include
the
Senior
Notes
asset
referred
to
in
the
section
below
on
Triennial
Valuation,
as
these
are
non-
transferable
instruments
and
not
recognised
under
IAS19.
Approximately
45%
of
the
UKRF
assets
are
invested
in
liability-driven
investment
strategies;
primarily
UK
gilts
as
well
as
interest
rate
and
inflation
swaps.
These
are
used
to
better
match
the
assets
to
its
liabilities.
The
swaps
are
used
to
reduce
the
scheme’s
inflation
and
duration
risks
against
its
liabilities.
Triennial
Valuation
The
latest
annual
update
as
at
30
September
2020
showed
the
funding
deficit
had
improved
to
£0.9bn
from
the
£2.3bn
shown
at
the
30
September
2019
triennial
valuation.
The
improvement
was
mainly
due
to
£1.0bn
of
deficit
contributions
paid
over
the
year.
The
main
differences
between
the
funding
and
accounting
assumptions
are
a
different
approach
to
setting
the
discount
rate
and
a
more
conservative
longevity
assumption
for
funding.
The
deficit
reduction
contributions
agreed
with
the
UKRF
Trustee
as
part
of
the
30
September
2019
triennial
valuation
recovery
plan
are
shown
in
the
table
below.
Notes
to
the
financial
statements
Employee
benefits
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
180
Deficit
reduction
contributions
under
the
30
September
2019
valuation
Year
£m
Cash
paid:
2020
500
Future
commitments:
2021
700
2022
294
2023
286
2024
-
2026
-
On
12
June
2020,
Barclays
Bank
PLC
paid
the
£500m
deficit
reduction
contribution
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.
As
the
UKRF's
investment
in
the
Senior
Notes
does
not
qualify
as
a
plan
asset
under
IAS
19,
the
£500m
deficit
reduction
contribution
does
not
appear
in
the
IAS19
plan
assets
nor
as
an
employer
contribution
as
at
31
December
2020,
and
the
additional
£250m
scheme
investment
appears
as
an
outflow
in
the
balance
sheet
reconciliation
under
'Exchange
and
other
movements’.
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.
A
transaction
with
a
similar
structure
was
agreed
as
part
of
the
2019
triennial
actuarial
valuation.
On
11
December
2019,
Barclays
Bank
PLC
paid
the
£500m
deficit
reduction
contribution
agreed
for
2019
and
at
the
same
time
the
UKRF
subscribed
for
non-transferrable
listed
senior
fixed
rate
notes
for
£500m,
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
at
maturity
in
2024.
As
the
UKRF's
investment
in
these
Senior
Notes
does
not
qualify
as
a
plan
asset
under
IAS
19,
the
2019
£500m
deficit
reduction
contribution
also
does
not
appear
in
the
IAS19
plan
assets.
No
liability
is
recognised
under
IAS19
for
the
obligation
to
make
deficit
reduction
contributions
or
to
repay
the
Senior
Notes,
as
settlement
gives
rise
to
both
a
reduction
in
cash
and
a
corresponding
increase
in
net
defined
benefit
assets.
The
deficit
reduction
contributions
are
in
addition
to
the
regular
contributions
to
meet
the
Barclays
Bank
Group’s
share
of
the
cost
of
benefits
accruing
over
each
year.
The
next
funding
valuation
of
the
UKRF
is
due
to
be
completed
in
2023
with
an
effective
date
of
30
September
2022.
Other
support
measures
agreed
which
remain
in
place
Collateral
–
The
UKRF
Trustee
and
Barclays
Bank
PLC
have
entered
into
an
arrangement
whereby
a
collateral
pool
has
been
put
in
place
to
provide
security
for
the
UKRF
funding
deficit
as
it
increases
or
decreases
over
time.
The
collateral
pool
is
currently
made
up
of
government
securities,
and
agreement
was
made
with
the
Trustee
to
cover
at
least
100%
of
the
funding
deficit
with
an
overall
cap
of
£9bn.
The
arrangement
provides
the
UKRF
Trustee
with
dedicated
access
to
the
pool
of
assets
in
the
event
of
Barclays
Bank
PLC
not
paying
a
deficit
reduction
contribution
to
the
UKRF
or
in
the
event
of
Barclays
Bank
PLC’s
insolvency.
These
assets
are
included
within
Note
37
Assets
pledged,
collateral
received
and
assets
transferred.
Support
from
Barclays
PLC
–
In
the
event
of
Barclays
Bank
PLC
not
paying
a
deficit
reduction
contribution
payment
required
by
a
specified
pre-
payment
date,
Barclays
PLC
has
entered
into
an
arrangement
whereby
it
will
be
required
to
use,
in
first
priority,
dividends
received
from
Barclays
Bank
UK
PLC
(if
any)
to
invest
the
proceeds
in
Barclays
Bank
PLC
(up
to
the
maximum
amount
of
the
deficit
reduction
contribution
unpaid
by
Barclays
Bank
PLC).
The
proceeds
of
the
investment
will
be
used
to
discharge
Barclays
Bank
PLC’s
unpaid
deficit
reduction
contribution.
Participation
–
As
permitted
under
the
Financial
Services
and
Markets
Act
2000
(Banking
Reform)
(Pensions)
Regulations
2015,
Barclays
Bank
UK
PLC
is
a
participating
employer
in
the
UKRF
and
will
remain
so
during
a
transitional
phase
until
September
2025
as
set
out
in
a
deed
of
participation.
Barclays
Bank
UK
PLC
will
make
contributions
for
the
future
service
of
its
employees
who
are
currently
Afterwork
members
and,
in
the
event
of
Barclays
Bank
PLC’s
insolvency
during
this
period
provision
has
been
made
to
require
Barclays
Bank
UK
PLC
to
become
the
principal
employer
of
the
UKRF.
Barclays
Bank
PLC’s
Section
75
debt
would
be
triggered
by
the
insolvency
(the
debt
would
be
calculated
after
allowing
for
the
payment
to
the
UKRF
of
the
collateral
above).
Defined
benefit
contributions
paid
with
respect
to
the
UKRF
were
as
follows:
Contributions
paid
£m
2020
748
2019
1,231
2018
741
There
were
nil
(2019:
nil)
Section
75
contributions
included
within
the
Barclays
Bank
Group’s
contributions
paid
as
no
participating
employers
left
the
UKRF
in
2020.
The
Barclays
Bank
Group’s
expected
contribution
to
the
UKRF
in
respect
of
defined
benefits
in
2021
is
£783m
(2020:
£560m).
In
addition,
the
expected
contributions
to
UK
defined
contribution
schemes
in
2021
is
£9m
(2020:
£7m)
to
the
UKRF
and
£47m
(2020:
£41m)
to
the
BPSP.
Notes
to
the
financial
statements
Scope
of
consolidation
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
181
The
section
presents
information
on
the
Barclays
Bank
Group’s
investments
in
subsidiaries,
joint
ventures
and
associates
and
its
interests
in
structured
entities.
Detail
is
also
given
on
securitisation
transactions
the
Barclays
Bank
Group
has
entered
into
and
arrangements
that
are
held
off
-balance
sheet.
32
Principal
subsidiaries
Barclays
Bank
Group
applies
IFRS
10
Consolidated
Financial
Statements
.
The
consolidated
financial
statements
combine
the
financial
statements
of
Barclays
Bank
PLC
and
all
of
its
subsidiaries.
Subsidiaries
are
entities
over
which
Barclays
Bank
Group
has
control.
Under
IFRS
10,
this
is
when
Barclays
Bank
Group
is
exposed
or
has
rights
to
variable
returns
from
its
involvement
in
the
entity
and
has
the
ability
to
affect
those
returns
through
its
power
over
the
entity.
Barclays
Bank
Group
reassesses
whether
it
controls
an
entity
if
facts
and
circumstances
indicate
that
there
have
been
changes
to
its
power,
its
rights
to
variable
returns
or
its
ability
to
use
its
power
to
affect
the
amount
of
its
returns.
Intra-group
transactions
and
balances
are
eliminated
on
consolidation
and
consistent
accounting
policies
are
used
throughout
the
Barclays
Bank
Group
for
the
purposes
of
the
consolidation.
Changes
in
ownership
interests
in
subsidiaries
are
accounted
for
as
equity
transactions
if
they
occur
after
control
has
been
obtained
and
they
do
not
result
in
loss
of
control.
The
significant
judgements
used
in
applying
this
policy
are
set
out
below.
Accounting
for
investment
in
subsidiaries
In
the
individual
financial
statements
of
Barclays
Bank
PLC,
investments
in
subsidiaries
are
stated
at
cost
less
impairment.
Investments
in
subsidiaries,
the
majority
of
which
are
engaged
in
banking
related
activities,
are
recorded
on
the
balance
sheet
at
historical
cost
less
any
impairment.
At
31
December
2020
the
historical
cost
of
investments
in
subsidiaries
was
£18,059m
(2019:
£16,606m),
and
impairment
allowances
recognised
against
these
investments
totalled
£279m
(2019:
£501m).
The
increase
in
historical
cost
is
predominantly
due
to
capital
injections
into
Barclays
Bank
Ireland
PLC.
The
reduction
in
impairment
is
predominantly
due
to
the
liquidation
of
subsidiaries
which
had
been
previously
impaired.
At
the
end
of
each
reporting
period
an
impairment
review
is
undertaken
in
respect
of
investment
in
subsidiaries.
Impairment
is
indicated
where
the
investment
exceeds
the
recoverable
amount.
The
recoverable
amount
is
an
estimate
of
fair
value
less
costs
to
sell.
The
investment
in
Barclays
Investment
Management
Limited
of
£704m
showed
a
recoverable
amount
of
£688m
resulting
in
an
impairment
being
recognised
of
£16m.
Also,
the
investment
in
BNC
Brazil
Consultoria
Empresarial
Limitada
of
£35m
showed
a
recoverable
amount
of
£24m
resulting
in
an
impairment
being
recognised
of
£11m.
The
recoverable
amount
was
higher
than
the
carrying
value
of
all
other
investments
in
subsidiaries.
Principal
subsidiaries
of
the
Barclays
Bank
Group
are
set
out
below.
This
includes
those
subsidiaries
that
are
most
significant
in
the
context
of
the
Barclays
Bank
Group’s
business,
results
or
financial
position.
Principal
place
of
business
or
incorporation
Percentage
of
voting
rights
held
Non-controlling
interests
-
proportion
of
ownership
interests
Non-controlling
interests
-
proportion
of
voting
interests
Company
Name
Nature
of
business
%
%
%
Barclays
Bank
Ireland
PLC
Ireland
Banking
100
-
-
Barclays
Capital
Inc.
United
States
Securities
dealing
100
-
-
Barclays
Capital
Securities
Limited
United
Kingdom
Securities
dealing
100
-
-
Barclays
Securities
Japan
Limited
Japan
Securities
dealing
100
-
-
Barclays
US
LLC
United
States
Holding
company
100
-
-
Barclays
Bank
Delaware
United
States
Credit
card
issuer
100
-
-
The
country
of
registration
or
incorporation
is
also
the
principal
area
of
operation
of
each
of
the
above
subsidiaries.
Ownership
interests
are
in
some
cases
different
to
voting
interests
due
to
the
existence
of
non-voting
equity
interests,
such
as
preference
shares.
Significant
judgements
and
assumptions
used
to
determine
the
scope
of
the
consolidation
Determining
whether
the
Barclays
Bank
Group
has
control
of
an
entity
is
generally
straightforward
based
on
ownership
of
the
majority
of
the
voting
capital.
However,
in
certain
instances,
this
determination
will
involve
significant
judgement,
particularly
in
the
case
of
structured
entities
where
voting
rights
are
often
not
the
determining
factor
in
decisions
over
the
relevant
activities.
This
judgement
will
involve
assessing
the
purpose
and
design
of
the
entity.
It
will
also
often
be
necessary
to
consider
whether
the
Barclays
Bank
Group,
or
another
involved
party
with
power
over
the
relevant
activities,
is
acting
as
a
principal
in
its
own
right
or
as
an
agent
on
behalf
of
others.
There
is
also
often
considerable
judgement
involved
in
the
ongoing
assessment
of
control
over
structured
entities.
In
this
regard,
where
market
conditions
have
deteriorated
such
that
the
other
investors’
exposures
to
the
structure’s
variable
returns
have
been
substantively
eliminated,
the
Barclays
Bank
Group
may
conclude
that
the
managers
of
the
structured
entity
are
acting
as
its
agent
and
therefore
will
consolidate
the
structured
entity.
An
interest
in
equity
voting
rights
exceeding
50%
would
typically
indicate
that
the
Barclays
Bank
Group
has
control
of
an
entity.
However,
the
entity
set
out
below
is
excluded
from
consolidation
because
the
Barclays
Bank
Group
does
not
have
exposure
to
its
variable
returns.
Notes
to
the
financial
statements
Scope
of
consolidation
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
182
Country
of
registration
or
incorporation
Company
name
Percentage
of
voting
rights
held
(%)
Equity
shareholders'
funds
(£m)
Retained
profit
for
the
year
(£m)
Cayman
Islands
Palomino
Limited
100
–
–
This
entity
is
managed
by
an
external
counterparty
and
consequently
is
not
controlled
by
the
Barclays
Bank
Group.
Interests
relating
to
this
entity
are
included
in
Note
33.
Significant
restrictions
As
is
typical
for
a
group
of
its
size
and
international
scope,
there
are
restrictions
on
the
ability
of
the
Barclays
Bank
Group
to
obtain
distributions
of
capital,
access
the
assets
or
repay
the
liabilities
of
members
of
its
Group
due
to
the
statutory,
regulatory
and
contractual
requirements
of
its
subsidiaries
and
due
to
the
protective
rights
of
non-controlling
interests.
These
are
considered
below.
Regulatory
requirements
The
Barclays
Bank
Group’s
principal
subsidiary
companies
have
assets
and
liabilities
before
intercompany
eliminations
of
£417bn
(2019:
£307bn)
and
£393bn
(2019:
£285bn)
respectively.
Certain
of
these
assets
and
liabilities
are
subject
to
prudential
regulation
and
regulatory
capital
requirements
in
the
countries
in
which
they
are
regulated.
These
require
entities
to
maintain
minimum
capital
levels
which
cannot
be
returned
to
the
parent
company,
Barclays
Bank
PLC,
on
a
going
concern
basis.
In
order
to
meet
capital
requirements,
subsidiaries
may
issue
certain
equity
accounted
and
debt
accounted
financial
instruments
such
as
Tier
1
and
Tier
2
capital
instruments
and
other
forms
of
subordinated
liabilities.
Refer
to
Note
26
and
Note
27
for
particulars
of
these
instruments.
These
instruments
may
be
subject
to
cancellation
clauses
or
preference
share
restrictions
that
would
limit
the
ability
of
the
entity
to
repatriate
the
capital
on
a
timely
basis.
Liquidity
requirements
Regulated
subsidiaries
of
the
Barclays
Bank
Group
are
required
to
meet
PRA
or
local
regulatory
requirements
pertaining
to
liquidity.
Some
of
the
regulated
subsidiaries
include
Barclays
Capital
Securities
Limited
(which
is
regulated
on
a
combined
basis
with
Barclays
Bank
PLC
under
a
Domestic
Liquidity
Sub-Group
(DoLSub)
arrangement),
Barclays
Bank
Ireland
PLC,
Barclays
Capital
Inc.
and
Barclays
Bank
Delaware
Inc.
See
pages
55
to
57
for
further
details
of
liquidity
requirements,
including
those
of
the
Barclays
Bank
Group’s
significant
subsidiaries.
Statutory
requirements
The
Barclays
Bank
Group’s
subsidiaries
are
subject
to
statutory
requirements
not
to
make
distributions
of
capital
and
unrealised
profits
and
generally
to
maintain
solvency.
These
requirements
restrict
the
ability
of
subsidiaries
to
make
remittances
of
dividends
to
Barclays
Bank
PLC,
the
parent,
except
in
the
event
of
a
legal
capital
reduction
or
liquidation.
In
m
ost
cases
the
regulatory
restrictions
referred
to
above
exceed
the
statutory
restrictions.
Asset
encumbrance
The
Barclays
Bank
Group
uses
its
financial
assets
to
raise
finance
in
the
form
of
securitisations
and
through
the
liquidity
schemes
of
central
banks,
as
well
as
to
provide
security
to
the
UK
Retirement
Fund.
Once
encumbered,
the
assets
are
not
available
for
transfer
around
the
Barclays
Bank
Group.
The
assets
typically
affected
are
disclosed
in
Note
36.
Other
restrictions
The
Barclays
Bank
Group
is
required
to
maintain
balances
with
central
banks
and
other
regulatory
authorities
and
these
amounted
to
£3,119m
(2019:
£4,505m).
33
Structured
entities
A
structured
entity
is
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.
Depending
on
the
Barclays
Bank
Group’s
power
over
the
activities
of
the
entity
and
its
exposure
to
and
ability
to
influence
its
own
returns,
it
may
consolidate
the
entity.
In
other
cases,
it
may
sponsor
or
have
exposure
to
such
an
entity
but
not
consolidate
it.
Consolidated
structured
entities
The
Barclays
Bank
Group
has
contractual
arrangements
which
may
require
it
to
provide
financial
support
to
the
following
types
of
consolidated
structured
entities:
◾
for
further
detail.
◾
contractual
backstop
liquidity
facilities
to
CP
conduits.
◾
obligations
to
employees
in
relation
to
share-based
remuneration
arrangements.
◾
Unconsolidated
structured
entities
in
which
the
Barclays
Bank
Group
has
an
interest
An
interest
in
a
structured
entity
is
any
form
of
contractual
or
non-contractual
involvement
which
creates
variability
in
returns
arising
from
the
performance
of
the
entity
for
the
Barclays
Bank
Group.
Such
interests
include
holdings
of
debt
or
equity
securities,
derivatives
that
transfer
financial
risks
from
the
entity
to
the
Barclays
Bank
Group,
lending,
loan
commitments,
financial
guarantees
and
investment
management
agreements.
Notes
to
the
financial
statements
Scope
of
consolidation
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
183
Interest
rate
swaps,
foreign
exchange
derivatives
that
are
not
complex
and
which
expose
the
Barclays
Bank
Group
to
insignificant
credit
risk
by
being
senior
in
the
payment
waterfall
of
a
securitisation
and
derivatives
that
are
determined
to
introduce
risk
or
variability
to
a
structured
entity
are
not
considered
to
be
an
interest
in
an
entity
and
have
been
excluded
from
the
disclosures
below.
The
nature
and
extent
of
the
Barclays
Bank
Group’s
interests
in
structured
entities
is
summarised
below:
Summary
of
interests
in
unconsolidated
structured
entities
Secured
financing
Short-term
traded
interests
Traded
derivatives
Other
interests
Total
£m
£m
£m
£m
£m
As
at
31
December
2020
Assets
Trading
portfolio
assets
-
11,361
-
-
11,361
Financial
assets
at
fair
value
through
the
income
statement
56,265
-
-
2,780
59,045
Derivative
financial
instruments
-
-
2,968
-
2,968
Financial
assets
at
fair
value
through
other
comprehensive
income
-
-
-
153
153
Loans
and
advances
at
amortised
cost
-
-
-
18,418
18,418
Reverse
repurchase
agreements
and
other
similar
secured
lending
10
-
-
-
10
Other
assets
-
-
-
11
11
Total
assets
56,275
11,361
2,968
21,362
91,966
Liabilities
Derivative
financial
instruments
-
-
7,075
-
7,075
As
at
31
December
2019
Assets
Trading
portfolio
assets
-
9,585
-
76
9,661
Financial
assets
at
fair
value
through
the
income
statement
32,859
-
-
2,500
35,359
Derivative
financial
instruments
-
-
2,369
-
2,369
Financial
assets
at
fair
value
through
other
comprehensive
income
-
-
-
391
391
Loans
and
advances
at
amortised
cost
-
-
-
17,092
17,092
Reverse
repurchase
agreements
and
other
similar
secured
lending
77
-
-
-
77
Other
assets
-
-
-
22
22
Total
assets
32,936
9,585
2,369
20,081
64,971
Liabilities
Derivative
financial
instruments
-
-
3,171
2,437
5,608
Secured
financing
arrangements,
short-term
traded
interests
and
traded
derivatives
are
typically
managed
under
market
risk
management
policies
described
in
the
Market
risk
management
section
which
includes
an
indication
of
the
change
of
risk
measures
compared
to
last
year.
For
this
reason,
the
total
assets
of
these
entities
are
not
considered
meaningful
for
the
purposes
of
understanding
the
related
risks
and
so
have
not
been
presented.
Other
interests
include
conduits
and
lending
where
the
interest
is
driven
by
normal
customer
demand.
Secured
financing
The
Barclays
Bank
Group
routinely
enters
into
reverse
repurchase
contracts,
stock
borrowing
and
similar
arrangements
on
normal
commercial
terms
where
the
counterparty
to
the
arrangement
is
a
structured
entity.
Due
to
the
nature
of
these
arrangements,
especially
the
transfer
of
collateral
and
ongoing
margining,
the
Barclays
Bank
Group
has
minimal
exposure
to
the
performance
of
the
structured
entity
counterparty.
This
includes
margin
lending
which
is
presented
under
financial
assets
at
fair
value
through
the
income
statement
to
align
to
the
balance
sheet
presentation.
Short-term
traded
interests
The
Barclays
Bank
Group
buys
and
sells
interests
in
structured
entities
as
part
of
its
trading
activities,
for
example,
retail
mortgage-backed
securities,
collateralised
debt
obligations
and
similar
interests.
Such
interests
are
typically
held
individually
or
as
part
of
a
larger
portfolio
for
no
more
than
90
days.
In
such
cases,
the
Barclays
Bank
Group
typically
has
no
other
involvement
with
the
structured
entity
other
than
the
securities
it
holds
as
part
of
trading
activities
and
its
maximum
exposure
to
loss
is
restricted
to
the
carrying
value
of
the
asset.
As
at
31
December
2020,
£10,682m
(2019:
£8,903m)
of
the
Barclays
Bank
Group’s
£11,361
m
(2019:
£9,585m)
short-term
traded
interests
were
comprised
of
debt
securities
issued
by
asset
securitisation
vehicles.
Traded
derivatives
The
Barclays
Bank
Group
enters
into
a
variety
of
derivative
contracts
with
structured
entities
which
reference
market
risk
variables
such
as
interest
rates,
foreign
exchange
rates
and
credit
indices
among
other
things.
The
main
derivative
types
which
are
considered
interests
in
structured
entities
include
index-based
and
entity
specific
credit
default
swaps,
balance
guaranteed
swaps,
total
return
swaps,
commodities
swaps,
and
equity
swaps.
A
description
of
the
types
of
derivatives
and
the
risk
management
practices
are
detailed
in
Note
13.
The
risk
of
loss
Notes
to
the
financial
statements
Scope
of
consolidation
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
184
may
be
mitigated
through
ongoing
margining
requirements
as
well
as
a
right
to
cash
flows
from
the
structured
entity
which
are
senior
in
the
payment
waterfall.
Such
margining
requirements
are
consistent
with
market
practice
for
many
derivative
arrangements
and
in
line
with
the
Barclays
Bank
Group’s
normal
credit
policies.
Derivative
transactions
require
the
counterparty
to
provide
cash
or
other
collateral
under
margining
agreements
to
mitigate
counterparty
credit
risk.
The
Barclays
Bank
Group
is
mainly
exposed
to
settlement
risk
on
these
derivatives
which
is
mitigated
through
daily
margining.
Total
notional
contract
amounts
were
£153,894m
(2019:
£314,170m).
Except
for
credit
default
swaps
where
the
maximum
exposure
to
loss
is
the
swap
notional
amount,
it
is
not
possible
to
estimate
the
maximum
exposure
to
loss
in
respect
of
derivative
positions
as
the
fair
value
of
derivatives
is
subject
to
changes
in
market
rates
of
interest,
exchange
rates
and
credit
indices
which
by
their
nature
are
uncertain.
In
addition,
the
Barclays
Bank
Group’s
losses
would
be
subject
to
mitigating
action
under
its
traded
market
risk
and
credit
risk
policies
that
require
the
counterparty
to
provide
collateral
in
cash
or
other
assets
in
most
cases.
Other
interests
in
unconsolidated
structured
entities
The
Barclays
Bank
Group’s
interests
in
structured
entities
not
held
for
the
purposes
of
short-term
trading
activities
are
set
out
below,
summarised
by
the
purpose
of
the
entities
and
limited
to
significant
categories,
based
on
maximum
exposure
to
loss.
Nature
of
interest
Multi-seller
conduit
programmes
Lending
Other
Total
£m
£m
£m
£m
As
at
31
December
2020
Trading
portfolio
assets
-
-
-
-
Financial
assets
at
fair
value
through
the
income
statement
-
15
2,765
2,780
Financial
assets
at
fair
value
through
other
comprehensive
income
-
106
47
153
Loans
and
advances
at
amortised
cost
5,146
12,475
797
18,418
Other
assets
8
3
-
11
Total
on-balance
sheet
exposures
5,154
12,599
3,609
21,362
Total
off
-balance
sheet
notional
amounts
11,750
7,531
-
19,281
Maximum
exposure
to
loss
16,904
20,130
3,609
40,643
Total
assets
of
the
entity
87,004
153,990
14,110
255,104
As
at
31
December
2019
Trading
portfolio
assets
-
-
76
76
Financial
assets
at
fair
value
through
the
income
statement
-
-
2,500
2,500
Financial
assets
at
fair
value
through
other
comprehensive
income
-
-
391
391
Loans
and
advances
at
amortised
cost
5,930
7,874
3,288
17,092
Other
assets
17
4
1
22
Total
on-balance
sheet
exposures
5,947
7,878
6,256
20,081
Total
off
-balance
sheet
notional
amounts
8,649
3,732
1,621
14,002
Maximum
exposure
to
loss
14,596
11,610
7,877
34,083
Total
assets
of
the
entity
78,716
139,210
16,139
234,065
Maximum
exposure
to
loss
Unless
specified
otherwise
below,
the
Barclays
Bank
Group’s
maximum
exposure
to
loss
is
the
total
of
its
on-balance
sheet
positions
and
its
off-
balance
sheet
arrangements,
being
loan
commitments
and
financial
guarantees.
Exposure
to
loss
is
mitigated
through
collateral,
financial
guarantees,
the
availability
of
netting
and
credit
protection
held.
Multi-seller
conduit
programme
The
multi-seller
conduit
engages
in
providing
financing
to
various
clients
and
holds
whole
or
partial
interests
in
pools
of
receivables
or
similar
obligations.
These
instruments
are
protected
from
loss
through
over-collateralisation,
seller
guarantees,
or
other
credit
enhancements
provided
to
the
conduit.
The
Barclays
Bank
Group’s
off
-balance
sheet
exposure
included
in
the
table
above
represents
liquidity
facilities
that
are
provided
to
the
conduit
for
the
benefit
of
the
holders
of
the
commercial
paper
issued
by
the
conduit
and
will
only
be
drawn
where
the
conduit
is
unable
to
access
the
commercial
paper
market.
If
these
liquidity
facilities
are
drawn,
the
Barclays
Bank
Group
is
protected
from
loss
through
over-
collateralisation,
seller
guarantees,
or
other
credit
enhancements
provided
to
the
conduit.
Lending
The
portfolio
includes
lending
provided
by
the
Barclays
Bank
Group
to
unconsolidated
structured
entities
in
the
normal
course
of
its
lending
business
to
earn
income
in
the
form
of
interest
and
lending
fees
and
includes
loans
to
structured
entities
that
are
generally
collateralised
by
property,
equipment
or
other
assets.
All
loans
are
subject
to
the
Barclays
Bank
Group’s
credit
sanctioning
process.
Collateral
arrangements
are
specific
to
the
circumstances
of
each
loan
with
additional
guarantees
and
collateral
sought
from
the
sponsor
of
the
structured
entity
for
certain
arrangements.
During
the
period
the
Barclays
Bank
Group
incurred
an
impairment
of
£22m
(2019:
£7m)
against
such
facilities.
Notes
to
the
financial
statements
Scope
of
consolidation
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
185
Other
This
includes
fair
value
loans
with
structured
entities
where
the
market
risk
is
materially
hedged
with
corresponding
derivative
contracts,
interests
in
debt
securities
issued
by
securitisation
vehicles
and
drawn
and
undrawn
loan
facilities
to
these
entities.
In
addition,
other
includes
investment
funds
with
interests
restricted
to
management
fees
based
on
the
performance
of
the
fund
and
trusts
held
on
behalf
of
beneficiaries
with
interests
restricted
to
unpaid
fees.
Assets
transferred
to
sponsored
unconsolidated
structured
entities
Assets
transferred
to
sponsored
unconsolidated
structured
entities
were
£730m
(2019:
£471m).
34
Investments
in
associates
and
joint
ventures
Accounting
for
associates
and
joint
ventures
The
Barclays
Bank
Group
applies
IAS
28
Investments
in
Associates
Joint
Arrangements
.
Associates
are
entities
in
which
the
Barclays
Bank
Group
has
significant
influence,
but
not
control,
over
the
operating
and
financial
policies.
Generally
the
Barclays
Bank
Group
holds
more
than
20%,
but
less
than
50%,
of
their
voting
shares.
Joint
ventures
are
arrangements
where
the
Barclays
Bank
Group
has
joint
control
and
rights
to
the
net
assets
of
the
entity.
The
Barclays
Bank
Group’s
investments
in
associates
and
joint
ventures
are
initially
recorded
at
cost
and
increased
(or
decreased)
each
year
by
the
Barclays
Bank
Group’s
share
of
the
post
acquisition
profit/(loss).
The
Barclays
Bank
Group
ceases
to
recognise
its
share
of
the
losses
of
equity
accounted
associates
when
its
share
of
the
net
assets
and
amounts
due
from
the
entity
have
been
written
off
in
full,
unless
it
has
a
contractual
or
constructive
obligation
to
make
good
its
share
of
the
losses.
In
some
cases,
investments
in
these
entities
may
be
held
at
fair
value
through
profit
or
loss,
for
example,
those
held
by
private
equity
businesses.
There
are
no
individually
significant
investments
in
joint
ventures
or
associates
held
by
Barclays
Bank
Group.
2020
2019
Associates
Joint
ventures
Total
Associates
Joint
ventures
Total
£m
£m
£m
£m
£m
£m
Equity
accounted
(Group)
24
-
24
30
265
295
Summarised
financial
information
for
the
Barclays
Bank
Group’s
equity
accounted
associates
and
joint
ventures
is
set
out
below.
The
amounts
shown
are
the
Barclays
Bank
Group’s
share
of
the
net
income
of
the
investees
for
the
year
ended
31
December
2020,
with
the
exception
of
certain
undertakings
for
which
the
amounts
are
based
on
accounts
made
up
to
dates
not
earlier
than
three
months
before
the
balance
sheet
date.
Associates
Joint
ventures
2020
2019
2020
2019
£m
£m
£m
£m
Profit/(loss)
from
continuing
operations
(1)
19
2
43
Other
comprehensive
income
/
(expenses)
(3)
-
-
2
Total
comprehensive
income/(loss)
from
continuing
operations
(4)
19
2
45
Unrecognised
shares
of
the
losses
of
individually
immaterial
associates
and
joint
ventures
were
£nil
(2019:
£nil).
The
Barclays
Bank
commitments
and
contingencies
to
its
associates
and
joint
ventures
comprised
unutilised
credit
facilities
provided
to
customers
of
£nil
(2019:
£1,726m).
35
Securitisations
Accounting
for
securitisations
The
Barclays
Bank
Group
uses
securitisations
as
a
source
of
finance
and
a
means
of
risk
transfer.
Such
transactions
generally
result
in
the
transfer
of
contractual
cash
flows
from
portfolios
of
financial
assets
to
holders
of
issued
debt
securities.
Securitisations
may,
depending
on
the
individual
arrangement,
result
in
continued
recognition
of
the
securitised
assets
and
the
recognition
of
the
debt
securities
issued
in
the
transaction;
lead
to
partial
continued
recognition
of
the
assets
to
the
extent
of
the
Barclays
Bank
Group’s
continuing
involvement
in
those
assets
or
lead
to
derecognition
of
the
assets
and
the
separate
recognition,
as
assets
or
liabilities,
of
any
rights
and
obligations
created
or
retained
in
the
transfer.
Full
derecognition
only
occurs
when
the
Barclays
Bank
Group
transfers
both
its
contractual
right
to
receive
cash
flows
from
the
financial
assets,
or
retains
the
contractual
rights
to
receive
the
cash
flows,
but
assumes
a
contractual
obligation
to
pay
the
cash
flows
to
another
party
without
materia
l
delay
or
reinvestment,
and
also
transfers
substantially
all
the
risks
and
rewards
of
ownership,
including
credit
risk,
prepayment
risk
and
interest
rate
risk.
In
the
course
of
its
normal
banking
activities,
the
Barclays
Bank
Group
makes
transfers
of
financial
assets,
either
where
legal
rights
to
the
cash
flows
from
the
asset
are
passed
to
the
counterparty
or
beneficially,
where
the
Barclays
Bank
Group
retains
the
rights
to
the
cash
flows
but
assumes
a
responsibility
to
transfer
them
to
the
counterparty.
Depending
on
the
nature
of
the
transaction,
this
may
result
in
derecognition
of
the
assets
in
their
entirety,
partial
derecognition
or
no
derecognition
of
the
assets
subject
to
the
transfer.
A
summary
of
the
main
transactions,
and
the
assets
and
liabilities
and
the
financial
risks
arising
from
these
transactions,
is
set
out
below:
Transfers
of
financial
assets
that
do
not
result
in
derecognition
Securitisations
Notes
to
the
financial
statements
Scope
of
consolidation
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
186
The
Barclays
Bank
Group
was
party
to
securitisation
transactions
involving
its
credit
card
balances.
In
these
transactions,
the
assets,
interests
in
the
assets,
or
beneficial
interests
in
the
cash
flows
arising
from
the
assets,
are
transferred
to
a
special
purpose
entity,
which
then
issues
interest
bearing
debt
securities
to
third
party
investors.
Securitisations
may,
depending
on
the
individual
arrangement,
result
in
continued
recognition
of
the
securitised
assets
and
the
recognition
of
the
debt
securities
issued
in
the
transaction.
Partial
continued
recognition
of
the
assets
to
the
extent
of
the
Barclays
Bank
Group’s
continuing
involvement
in
those
assets
can
also
occur
or
derecognition
of
the
assets
and
the
separate
recognition,
as
assets
or
liabilities,
of
any
rights
and
obligations
created
or
retained
in
the
transfer.
The
following
table
shows
the
carrying
amount
of
securitised
assets
that
have
not
resulted
in
full
derecognition,
together
with
the
associated
liabilities,
for
each
category
of
asset
on
the
balance
sheet:
2020
2019
Assets
Liabilities
Assets
Liabilities
Carrying
amount
Fair
value
Carrying
amount
Fair
value
Carrying
amount
Fair
value
Carrying
amount
Fair
value
£m
£m
£m
£m
£m
£m
£m
£m
Barclays
Bank
Group
Loans
and
advances
at
amortised
cost
Credit
cards,
unsecured
loans
and
other
retail
lending
963
1,051
(952)
(966)
3,035
3,183
(2,426)
(2,429)
Balances
included
within
loans
and
advances
at
amortised
cost
represent
securitisations
where
substantially
all
the
risks
and
rewards
of
the
asset
have
been
retained
by
Barclays
Bank
Group.
The
relationship
between
the
transferred
assets
and
the
associated
liabilities
is
that
holders
of
notes
may
only
look
to
cash
flows
from
the
securitised
assets
for
payments
of
principal
and
interest
due
to
them
under
the
terms
of
their
notes,
although
the
contractual
terms
of
their
notes
may
be
different
to
the
maturity
and
interest
of
the
transferred
assets.
For
transfers
of
assets
in
relation
to
repurchase
agreements,
see
Note
36.
Continuing
involvement
in
financial
assets
that
have
been
derecognised
In
some
cases,
the
Barclays
Bank
Group
may
have
transferred
a
financial
asset
in
its
entirety
but
may
have
continuing
involvement
in
it.
This
arises
in
asset
securitisations
where
loans
and
asset
backed
securities
were
derecognised
as
a
result
of
the
Barclays
Bank
Group’s
involvement
with
asset
backed
securities,
residential
mortgage
backed
securities
and
commercial
mortgage
securities.
Continuing
involvement
largely
arises
from
providing
financing
into
these
structures
in
the
form
of
retained
notes,
which
do
not
bear
first
losses.
The
table
below
shows
the
potential
financial
implications
of
such
continuing
involvement:
Continuing
involvement
a
Gain/(loss)
from
continuing
involvement
Carrying
amount
Fair
value
Maximum
exposure
to
loss
For
the
year
ended
Cumulative
to
31
December
Type
of
transfer
£m
£m
£m
£m
£m
2020
Asset
Backed
Securities
56
56
56
1
1
Residential
mortgage
backed
securities
49
49
49
1
1
Commercial
mortgage
backed
securities
243
237
243
2
6
Total
348
342
348
4
8
2019
Commercial
mortgage
backed
securities
189
188
189
1
4
Total
189
188
189
1
4
Note
a
Assets
which
represent
the
Barclays
Bank
Group’s
continuing
involvement
in
derecognised
assets
are
recorded
in
Loans
and
advances
at
amortised
cost
and
Debt
Securities
at
FVTP&L.
36
Assets
pledged,
collateral
received
and
assets
transferred
Assets
are
pledged
or
transferred
as
collateral
to
secure
liabilities
under
repurchase
agreements,
securitisations
and
stock
lending
agreements
or
as
security
deposits
relating
to
derivatives.
Assets
transferred
are
non-cash
assets
transferred
to
a
third
party
that
do
not
qualify
for
derecognition
from
the
Barclays
Bank
Group’s
balance
sheet,
for
example
because
the
Barclays
Bank
Group
retains
substantially
all
the
exposure
to
those
assets
under
an
agreement
to
repurchase
them
in
the
future
for
a
fixed
price.
Notes
to
the
financial
statements
Scope
of
consolidation
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
187
Where
non-cash
assets
are
pledged
or
transferred
as
collateral
for
cash
received,
the
asset
continues
to
be
recognised
in
full,
and
a
related
liability
is
also
recognised
on
the
balance
sheet.
Where
non-cash
assets
are
pledged
or
transferred
as
collateral
in
an
exchange
for
non-cash
assets,
the
transferred
asset
continues
to
be
recognised
in
full,
and
there
is
no
associated
liability
as
the
non-cash
collateral
received
is
not
recognised
on
the
balance
sheet.
The
Barclays
Bank
Group
is
unable
to
use,
sell
or
pledge
the
transferred
assets
for
the
duration
of
the
transaction
and
remains
exposed
to
interest
rate
risk
and
credit
risk
on
these
pledged
assets.
Unless
stated,
the
counterparty's
recourse
is
not
limited
to
the
transferred
assets.
The
following
table
summarises
the
nature
and
carrying
amount
of
the
assets
pledged
as
security
against
these
liabilities:
Barclays
Bank
Group
2020
2019
£m
£m
Cash
collateral
and
settlements
69,271
61,158
Loans
and
advances
at
amortised
cost
25,437
18,726
Trading
portfolio
assets
76,750
65,341
Financial
assets
at
fair
value
through
the
income
statement
5,584
8,107
Financial
assets
at
fair
value
through
other
comprehensive
income
15,303
8,011
Assets
pledged
192,345
161,343
Notes
to
the
financial
statements
Scope
of
consolidation
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
188
The
following
table
summarises
the
transferred
financial
assets
and
the
associated
liabilities:
Barclays
Bank
Group
Transferred
assets
Associated
liabilities
£m
£m
At
31
December
2020
Derivatives
72,732
(72,732)
Repurchase
agreements
58,398
(39,044)
Securities
lending
arrangements
59,824
-
Other
1,391
(1,134)
192,345
(112,910)
At
31
December
2019
Derivatives
64,061
(64,061)
Repurchase
agreements
35,562
(22,981)
Securities
lending
arrangements
53,099
-
Other
8,621
(4,430)
161,343
(91,472)
Included
within
Other
are
agreements
where
a
counterparty's
recourse
is
limited
to
the
transferred
assets.
The
relationship
between
the
transferred
assets
and
the
associated
liabilities
is
that
holders
of
notes
may
only
look
to
cash
flows
from
the
securitised
assets
for
payments
of
principal
and
interest
due
to
them
under
the
terms
of
their
notes.
Carrying
value
Fair
value
Transferred
assets
Associated
liabilities
Transferred
assets
Associated
liabilities
Net
position
£m
£m
£m
£m
£m
Barclays
Bank
Group
2020
Recourse
to
transferred
assets
only
963
(952)
1,051
(966)
85
2019
Recourse
to
transferred
assets
only
3,035
(2,426)
3,183
(2,429)
754
The
Barclays
Bank
Group
has
an
additional
£3.1bn
(2019:
£2.5bn)
of
loans
and
advances
within
its
asset
backed
funding
programmes
that
can
readily
be
used
to
raise
additional
secured
funding
and
are
available
to
support
future
issuances.
Total
assets
pledged
includes
a
collateral
pool
put
in
place
to
provide
security
for
the
UKRF
funding
deficit,
as
referred
to
in
Note
31.
Collateral
held
as
security
for
assets
Under
certain
transactions,
including
reverse
repurchase
agreements
and
stock
borrowing
transactions,
the
Barclays
Bank
Group
is
allowed
to
resell
or
re-pledge
the
collateral
held.
The
fair
value
at
the
balance
sheet
date
of
collateral
accepted
and
re-pledged
to
others
was
as
follows:
Barclays
Bank
Group
2020
2019
£m
£m
Fair
value
of
securities
accepted
as
collateral
792,317
660,999
Of
which
fair
value
of
securities
re-pledged/transferred
to
others
684,389
554,111
Additional
disclosure
has
been
included
in
collateral
and
other
credit
enhancements
on
pages
48
to
50.
Notes
to
the
financial
statements
Other
disclosure
matters
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
189
The
notes
included
in
this
section
focus
on
related
party
transactions,
Auditors’
remuneration,
Directors’
remuneration
and
Transition
disclosures.
Related
parties
include
any
subsidiaries,
associates,
joint
ventures
and
Key
Management
Personnel.
37
Related
party
transactions
and
Directors’
remuneration
Related
party
transactions
Parties
are
considered
to
be
related
if
one
party
has
the
ability
to
control
the
other
party
or
exercise
significant
influence
over
the
other
party
in
making
financial
or
operational
decisions,
or
one
other
party
controls
both.
Parent
company
The
parent
company,
which
is
also
the
ultimate
parent
company,
is
Barclays
PLC,
which
holds
100%
of
the
issued
ordinary
shares
of
Barclays
Bank
PLC.
Subsidiaries
Transactions
between
Barclays
Bank
PLC
and
its
subsidiaries
also
meet
the
definition
of
related
party
transactions.
Where
these
are
eliminated
on
consolidation,
they
are
not
disclosed
in
the
Barclays
Bank
Group’s
financial
statements.
A
list
of
the
Barclays
Bank
Group’s
principal
subsidiaries
is
shown
in
Note
32.
Fellow
subsidiaries
Transactions
between
the
Barclays
Bank
Group
and
other
subsidiaries
of
the
parent
company
also
meet
the
definition
of
related
party
transactions.
Associates,
joint
ventures
and
other
entities
The
Barclays
Bank
Group
provides
banking
services
to
its
associates,
joint
ventures
and
the
Barclays
Bank
Group
pension
funds
(principally
the
UK
Retirement
Fund),
providing
loans,
overdrafts,
interest
and
non-interest
bearing
deposits
and
current
accounts
to
these
entities
as
well
as
other
services.
Barclays
Bank
Group
companies
also
provide
investment
management
and
custodian
services
to
the
Barclays
Bank
Group
pension
schemes.
All
of
these
transactions
are
conducted
on
the
same
terms
as
third
party
transactions.
Summarised
financial
information
for
the
Barclays
Bank
Group’s
investments
in
associates
and
joint
ventures
is
set
out
in
Note
34.
Amounts
included
in
the
Barclays
Bank
Group’s
financial
statements,
in
aggregate,
by
category
of
related
party
entity
are
as
follows:
Parent
Fellow
subsidiaries
Associates
Joint
ventures
Pension
funds
£m
£m
£m
£m
£m
For
the
year
ended
and
as
at
31
December
2020
Total
income
(606)
41
-
-
3
Credit
impairment
charges
-
-
-
-
-
Operating
expenses
(62)
(2,937)
-
-
(1)
Total
assets
6,803
1,917
-
-
4
Total
liabilities
25,819
3,954
66
-
69
For
the
year
ended
and
as
at
31
December
2019
Total
income
(717)
53
-
12
3
Credit
impairment
charges
-
-
-
-
-
Operating
expenses
(90)
(3,023)
(5)
-
-
Total
assets
2,097
2,165
-
1,303
3
Total
liabilities
24,876
1,600
-
-
75
Total
liabilities
includes
derivatives
transacted
on
behalf
of
the
pensions
funds
of
£13m
(2019:
£6m).
Key
Management
Personnel
Key
Management
Personnel
are
defined
as
those
persons
having
authority
and
responsibility
for
planning,
directing
and
controlling
the
activities
of
Barclays
Bank
PLC
(directly
or
indirectly)
and
comprise
the
Directors
and
Officers
of
Barclays
Bank
PLC,
certain
direct
reports
of
the
Chief
Executive
Officer
and
the
heads
of
major
business
units
and
functions.
The
Barclays
Bank
Group
provides
banking
services
to
Key
Management
Personnel
and
persons
connected
to
them.
Transactions
during
the
year
and
the
balances
outstanding
were
as
follows:
Notes
to
the
financial
statements
Other
disclosure
matters
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
190
Loans
outstanding
2020
2019
£m
£m
As
at
1
January
-
14.6
Loans
issued
during
the
year
a
-
0.1
Loan
repayments
during
the
year
b
-
(14.7)
As
at
31
December
-
-
Notes
a
Includes
loans
issued
to
existing
Key
Management
Personnel
and
new
or
existing
loans
issued
to
newly
appointed
Key
Management
Personnel.
b
Includes
loan
repayments
by
existing
Key
Management
Personnel
and
loans
to
former
Key
Management
Personnel.
No
allowances
for
impairment
were
recognised
in
respect
of
loans
to
Key
Management
Personnel
(or
any
connected
person).
Deposits
outstanding
2020
2019
£m
£m
As
at
1
January
4.2
2.9
Deposits
received
during
the
year
a
13.3
11.5
Deposits
repaid
during
the
year
b
(14.1)
(10.2)
As
at
31
December
3.4
4.2
Notes
a
Includes
deposits
received
from
existing
Key
Management
Personnel
and
new
or
existing
deposits
received
from
newly
appointed
Key
Management
Personnel.
b
Includes
deposits
repaid
by
existing
Key
Management
Personnel
and
deposits
of
former
Key
Management
Personnel.
Total
commitments
outstanding
Total
commitments
outstanding
refer
to
the
total
of
any
undrawn
amounts
on
credit
card
and/or
overdraft
facilities
provided
to
Key
Management
Personnel.
Total
commitments
outstanding
as
at
31
December
2020
were
£0.2m
(2019:
£0.1m).
All
loans
to
Key
Management
Personnel
(and
persons
connected
to
them)
were
made
in
the
ordinary
course
of
business;
were
made
on
substantially
the
same
terms,
including
interest
rates
and
collateral,
as
those
prevailing
at
the
same
time
for
comparable
transactions
with
other
persons;
and
did
not
involve
more
than
a
normal
risk
of
collectability
or
present
other
unfavourable
features.
Remuneration
of
Key
Management
Personnel
Total
remuneration
awarded
to
Key
Management
Personnel
below
represents
the
awards
made
to
individuals
that
have
been
approved
by
the
Board
Remuneration
Committee
as
part
of
the
latest
remuneration
decisions.
Costs
recognised
in
the
income
statement
reflect
the
accounting
charge
for
the
year
included
within
operating
expenses.
The
difference
between
the
values
awarded
and
the
recognised
income
statement
charge
principally
relates
to
the
recognition
of
deferred
costs
for
prior
year
awards.
Figures
are
provided
for
the
period
that
individuals
met
the
definition
of
Key
Management
Personnel.
2020
2019
£m
£m
Salaries
and
other
short-term
benefits
37.5
37.6
Pension
costs
0.1
0.2
Other
long-term
benefits
7.2
9.1
Share-based
payments
12.4
14.2
Employer
social
security
charges
on
emoluments
6.0
6.0
Costs
recognised
for
accounting
purposes
63.2
67.1
Employer
social
security
charges
on
emoluments
(6.0)
(6.0)
Other
long-term
benefits
–
difference
between
awards
granted
and
costs
recognised
0.4
(1.0)
Share-based
payments
–
difference
between
awards
granted
and
costs
recognised
1.3
(0.7)
Total
remuneration
awarded
58.9
59.4
Disclosure
required
by
the
Companies
Act
2006
The
following
information
regarding
the
Barclays
Bank
PLC
Board
of
Directors
is
presented
in
accordance
with
the
Companies
Act
2006:
Notes
to
the
financial
statements
Other
disclosure
matters
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
191
2020
2019
£m
£m
Aggregate
emoluments
a
6.4
7.6
Amounts
paid
under
LTIPs
b
-
0.2
6.4
7.8
Notes
a
The
aggregate
emoluments
include
amounts
paid
for
the
2020
year
.
In
addition,
deferr
ed
cash
and
share
awards
for
2020
with
a
total
value
at
grant
of
£0.6m
(2019:
£1.9m)
will
be
made
to
Directors
which
will
only
vest
subjec
t
to
meeting
certain
conditions
.
b
No
LTIP
amo
unts
were
received
by
the
Executive
Directors
in
2020
as
the
release
of
the
first
tranche
of
the
2017
-2019
LTIP
was
delayed
from
June
2020
to
March
2021.
There
were
no
pension
contributions
paid
to
defined
contribution
schemes
on
behalf
of
Directors
(2019:
£11,932
).
There
were
no
notional
pension
contributions
to
defined
contribution
schemes.
As
at
31
December
2020,
there
were
no
Directors
accruing
benefits
under
a
defined
benefit
scheme
(2019:
nil).
The
aggregate
amount
of
compensation
payable
to
departing
officers
in
respect
of
loss
of
office
was
£1,850,713.
Of
the
figures
in
the
table
above,
the
amounts
attributable
to
the
highest
paid
Director
in
respect
of
qualifying
services
are
as
follows:
2020
2019
£m
£m
Aggregate
emoluments
a
3.0
3.2
Amounts
paid
under
LTIPs
-
-
3.0
3.2
Note
a
The
aggregate
emoluments
i
nclude
amounts
paid
for
the
2020
year.
In
addition,
a
deferred
share
award
for
20
20
with
a
value
at
grant
of
£0.4
m
(2019:
£1.2m)
will
be
made
to
the
highest
paid
Director
which
will
only
vest
subject
to
meeting
certain
conditions.
There
were
no
actual
pension
contributions
to
defined
contribution
schemes
on
behalf
of
the
highest
paid
Director
(2019:
£nil).
There
were
no
notional
pension
contributions
to
defined
contribution
schemes.
Advances
and
credit
to
Directors
and
guarantees
on
behalf
of
Directors
In
accordance
with
Section
413
of
the
Companies
Act
2006,
the
total
amount
of
advances
and
credits
made
available
in
2020
to
persons
who
served
as
Directors
during
the
year
was
£nil
(2019:
£nil).
The
total
value
of
guarantees
entered
into
on
behalf
of
Directors
during
2020
was
£nil
(2019:
£nil).
38
Discontinued
operations
and
assets
included
in
disposal
groups
classified
as
held
for
sale
and
associated
liabilities
Accounting
for
non-current
assets
held
for
sale
and
associated
liabilities
The
Barclays
Bank
Group
applies
IFRS
5
Non-current
Assets
Held
for
Sale
and
Discontinued
Operations.
Non-current
assets
(or
disposal
groups)
are
classified
as
held
for
sale
when
their
carrying
amount
is
to
be
recovered
principally
through
a
sale
transaction
rather
than
continuing
use.
In
order
to
be
classified
as
held
for
sale,
the
asset
must
be
available
for
immediate
sale
in
its
present
condition
subject
only
to
terms
that
are
usual
and
customary
and
the
sale
must
be
highly
probable.
Non-current
assets
(or
disposal
groups)
held
for
sale
are
measured
at
the
lower
of
carrying
amount
and
fair
value
less
cost
to
sell.
A
component
of
the
Barclays
Bank
Group
that
has
either
been
disposed
of
or
is
classified
as
held
for
sale
is
presented
as
a
discontinued
operation
if
it
represents
a
separate
major
line
of
business
or
geographical
area
of
operations,
is
part
of
a
single
coordinated
plan
to
dispose
of
the
separate
major
line
or
geographical
area
of
operations,
or
if
it
is
a
subsidiary
acquired
exclusively
with
a
view
to
re-sale.
Barclays
Bank
Group
During
the
year,
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
Barclays
PLC
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.
UK
banking
business
Following
the
court
approval
of
the
ring-fencing
transfer
scheme
on
9
March
2018,
the
UK
banking
business
largely
comprising
Personal
Banking,
Barclaycard
Consumer
UK
and
Business
Banking
customers,
and
related
assets
and
liabilities
was
transferred
to
Barclays
Bank
UK
PLC
on
1
April
2018,
to
meet
the
regulatory
ring-fencing
requirement
under
the
Financial
Services
(Banking
Reform)
Act
2013
and
related
legislation.
Following
the
transfer
of
the
UK
banking
business,
Barclays
Bank
PLC
transferred
the
equity
ownership
in
Barclays
Bank
UK
PLC
to
Barclays
PLC
through
a
dividend
in
specie
on
the
same
day.
Accordingly,
Barclays
Bank
UK
PLC
ceased
to
be
a
subsidiary
of
Barclays
Bank
PLC
and
became
a
direct
subsidiary
of
the
ultimate
parent,
Barclays
PLC.
The
results
of
Barclays
Bank
UK
PLC
and
its
subsidiaries
for
the
three
months
ended
31
March
2018,
the
date
prior
to
the
transfer
of
ownership
to
Barclays
PLC,
are
included
in
the
consolidated
financial
statements
of
the
Barclays
Bank
Group.
The
transfer
of
the
ownership
of
Barclays
Bank
UK
PLC
to
Barclays
PLC
resulted
in
a
material
change
to
the
consolidated
financial
position
and
results
of
the
Barclays
Bank
Group
in
2018,
in
comparison
to
prior
periods.
The
transfer
had
no
impact
on
the
share
capital
and
share
premium
Notes
to
the
financial
statements
Other
disclosure
matters
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
192
of
Barclays
Bank
PLC.
Other
equity
instruments
reduced
by
£2,070m
relating
to
additional
tier
1
(AT1)
securities
transferred
to
Barclays
Bank
UK
PLC.
The
fair
value
through
other
comprehensive
income
reserve
increased
by
£16m
and
retained
earnings
reduced
by
£14,187m.
Upon
disposal
of
the
equity
ownership
of
Barclays
Bank
UK
PLC
on
1
April
2018,
the
UK
banking
business
met
the
requirements
for
presentation
as
a
discontinued
operation.
As
such,
the
results,
which
have
been
presented
as
the
profit
after
tax
in
respect
of
discontinued
operations
on
the
face
of
the
Barclays
Bank
Group
income
statement,
are
analysed
in
the
income
statement
below.
In
2018,
discontinued
operations
relating
to
the
UK
banking
business
incurred
a
loss
after
tax
of
£47m.
The
income
statement
and
cash
flow
statement
below
represent
three
months
of
results
as
a
discontinued
operation
to
31
March
2018.
UK
banking
business
disposal
group
income
statement
2020
2019
2018
For
the
year
ended
31
December
£m
£m
£m
Net
interest
income
-
-
1,449
Net
fee
and
commission
income
-
-
296
Net
trading
income
-
-
(5)
Net
investment
income
-
-
6
Other
income
-
-
2
Total
income
-
-
1,748
Credit
impairment
charges
and
other
provisions
-
-
(201)
Net
operating
income
-
-
1,547
Staff
costs
-
-
(321)
Administration
and
general
expenses
-
-
(1,135)
Operating
expenses
-
-
(1,456)
Profit
before
tax
-
-
91
Taxation
-
-
(138)
(Loss)/profit
after
tax
-
-
(47)
Attributable
to:
Equity
holders
of
the
parent
-
-
(47)
(Loss)/profit
after
tax
-
-
(47)
The
cash
flows
attributed
to
the
UK
banking
business
discontinued
operation
are
as
follows:
2020
2019
2018
For
the
year
ended
31
December
£m
£m
£m
Net
cash
flows
from
operating
activities
-
-
(522)
Net
cash
flows
from
investing
activities
-
-
54
Net
(decrease)/increase
in
cash
and
cash
equivalents
-
-
(468)
39
Auditor’s
remuneration
Auditor’s
remuneration
is
included
within
consultancy,
legal
and
professional
fees
in
administration
and
general
expenses
and
comprises:
2020
2019
2018
£m
£m
£m
Audit
of
the
Barclays
Bank
Group's
annual
accounts
17
16
14
Other
services:
Audit
of
the
Barclays
Bank
PLC
subsidiaries
a
13
12
10
Other
audit
related
fees
b
7
6
6
Other
services
1
1
1
Total
Auditor's
remuneration
38
35
31
Notes
a
Comprises
the
fees
for
the
statutory
audit
of
the
subsidiaries
both
inside
and
outside
UK
and
fees
for
the
work
performed
by
associates
of
KPMG
in
respect
of
the
consolidated
financial
statements
of
the
Company.
b
Comprises
services
in
relation
to
statutory
and
regulatory
filings.
These
include
audit
services
for
the
review
of
the
interim
financial
information
under
the
Listing
Rul
es
of
the
UK
listing
authority.
Under
SEC
regulations,
the
remuneration
of
our
auditors
is
required
to
be
presented
as
follows:
audit
fees
£33m
(2019:
£31m,
2018:
£27m),
audit-related
fees
£5m
(2019:
£3m,
2018:
£3m),
tax
fees
£nil
(2019:
£nil,
2018:
£nil),
and
all
other
fees
£nil
(2019:
£1m,
2018:
£1m).
Notes
to
the
financial
statements
Other
disclosure
matters
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
193
40
Interest
rate
benchmark
reform
Following
the
financial
crisis,
the
reform
and
replacement
of
benchmark
interest
rates
such
as
LIBOR
has
become
a
priority
for
global
regulators.
The
UK’s
Financial
Conduct
Authority
(FCA)
and
other
global
regulators
have
instructed
market
participants
to
prepare
for
the
cessation
of
LIBOR
after
the
end
of
2021,
and
to
adopt
“near
Risk-Free
Rates”
(RFRs).
While
it
is
expected
that
most
reforms
affecting
the
Barclays
Bank
Group
will
be
completed
by
the
end
of
2021,
consultations
and
possible
regulatory
changes
are
in
progress.
This
may
mean
that
some
LIBORs
continue
to
be
published
beyond
that
date.
The
Barclays
Bank
Group’s
risk
exposure
is
predominately
to
GBP,
USD,
JPY
and
CHF
LIBOR
and
Euro
Overnight
Index
Average
(EONIA)
with
the
vast
majority
concentrated
in
derivatives
within
the
Corporate
and
Investment
Bank.
Some
additional
exposure
resides
on
floating
rate
loans
and
advances,
repurchase
agreements
and
debt
securities
held
and
issued
within
the
Corporate
and
Investment
Bank.
The
Barclays
Bank
Group
does
not
consider
there
to
be
risk
in
respect
of
the
Euro
Interbank
Offered
Rate
(EURIBOR)
arising
from
IBOR
reform
as
at
31
December
2020.
This
is
because
the
calculation
methodology
of
EURIBOR
changed
during
2019
and
the
reform
of
EURIBOR
is
complete.
In
July
2019,
the
Belgian
Financial
Services
and
Markets
Authority
(as
the
administrator
of
EURIBOR)
granted
authorisation
with
respect
to
EURIBOR
under
the
European
Union
Benchmarks
Regulation.
This
allows
market
participants
to
continue
to
use
EURIBOR
after
1
January
2021
for
both
existing
and
new
contracts.
The
EUR
Risk
Free
Rate
Working
Group
has
not
contemplated
the
cessation
of
EURIBOR.
There
are
key
differences
between
IBORs
and
RFRs.
IBORs
are
‘term
rates’,
which
means
that
they
are
published
for
a
borrowing
period
(for
example
three
months),
and
they
are
‘forward-looking’,
because
they
are
published
at
the
beginning
of
a
borrowing
period,
based
upon
an
estimated
inter-bank
borrowing
cost
for
the
period.
RFRs
are
based
upon
overnight
rates
from
actual
transactions,
and
are
therefore
published
after
the
end
of
the
overnight
borrowing
period.
Furthermore,
IBORs
include
a
credit
spread
over
the
RFRs.
Therefore,
to
transition
existing
contracts
and
agreements
to
RFRs,
adjustments
for
term
and
credit
differences
may
need
to
be
applied
to
RFR-linked
rates.
The
methodologies
for
determining
these
adjustments
are
undergoing
in-depth
consultations
by
industry
working
groups,
on
behalf
of
the
respective
global
regulators
and
related
market
participants.
How
the
Group
is
managing
the
transition
to
alternative
benchmark
rates
The
Barclays
Group
has
established
a
Group-wide
LIBOR
Transition
Programme,
with
oversight
from
the
Group
Finance
Director.
The
Programme
spans
all
business
lines
and
has
cross-functional
governance
which
includes
Legal,
Conduct
Risk,
Client
Engagement
and
Communications,
Risk,
and
Finance.
The
Transition
Programme
aims
to
drive
strategic
execution,
and
identify,
manage
and
resolve
key
risks
and
issues
as
they
arise.
Accountable
Executives
are
in
place
within
key
working
groups
across
businesses
and
workstreams.
Barclays’
transition
plans
primarily
focus
on
G5
currencies
while
providing
quarterly
updates
on
progress
and
exposures
to
the
PRA/FCA
and
other
regulators
as
required.
The
Transition
Programme
follows
a
risk
based
approach,
using
recognised
‘change
delivery’
control
standards,
to
drive
strategic
execution,
and
identify,
manage
and
resolve
key
risks
and
issues
as
they
arise.
Accountable
Executives
are
in
place
within
key
working
groups,
with
overall
Board
oversight
delegated
to
the
Board
Risk
Committee.
Barclays
performs
a
prominent
stewardship
role
to
drive
orderly
transition
via
our
representation
on
official
sector
and
industry
working
groups
across
all
major
jurisdictions
and
product
classes.
Additionally,
the
Barclays
Group
Finance
Director
is
Chair
of
the
UK’s
‘Working
Group
on
Sterling
Risk-Free
Reference
Rates’,
whose
mandate
is
to
catalyse
a
broad-
based
transition
to
using
SONIA
(‘Sterling
Overnight
Index
Average’)
as
the
primary
sterling
interest
rate
benchmark
in
bond,
loan
and
derivatives
markets.
Approaches
to
transition
exposure
expiring
post
the
expected
end
dates
for
LIBOR
vary
by
product
and
nature
of
counterparty.
The
Barclays
Bank
Group
is
actively
engaging
with
the
counterparties
to
transition
or
include
appropriate
fallback
provisions
and
transition
mechanisms
in
its
floating
rate
assets
and
liabilities
with
maturities
after
2021,
when
most
IBORs
are
expected
to
cease
to
be
published.
For
the
derivative
population,
adherence
to
the
ISDA
IBOR
Fallbacks
Protocol
now
provides
the
Group
with
an
efficient
mechanism
to
amend
outstanding
trades
to
incorporate
fallbacks.
Beyond
the
ISDA
IBOR
Fallbacks
Protocol,
there
will
be
options
to
terminate
or
bilaterally
agree
new
terms
with
counterparties.
The
Barclays
Bank
Group
expects
derivative
contracts
facing
central
clearing
counterparties
to
follow
a
market-wide,
standardised
approach
to
reform.
Market
participants
are
currently
awaiting
publication
of
the
results
of
ICE
Benchmark
Administration’s
consultation
on
plans
to
cease
publication
of
most
LIBORs
at
end
2021,
with
certain,
actively
used
USD
LIBOR
tenors
continuing
to
be
provided
until
end
June
2023.
The
FCA
expects
to
enable
publication
of
a
synthetic
LIBOR
rate
for
at
least
certain
actively
used
GBP
LIBOR
tenors
to
facilitate
roll-off
of
relevant
contracts
that
cannot
be
actively
transitioned
by
end
2021.
Progress
made
during
2020
During
2020,
the
Barclays
Bank
Group
has
successfully
delivered
Alternative
RFR
product
capabilities
and
alternatives
to
LIBOR
across
loans,
bonds
and
derivatives.
Good
progress
has
been
made
in
relation
to
client
outreach
and
we
have
been
actively
engaging
with
customers
and
counterparties
to
transition
or
include
the
appropriate
fallback
provisions.
The
Barclays
Bank
Group
has
in
place
detailed
plans,
processes
and
procedures
to
support
the
transition
of
the
remainder
during
2021.
Barclays
Bank
Group
has
adhered
to
the
ISDA
IBOR
Fallbacks
Protocol
for
its
major
derivative
dealing
entities
and
we
continue
to
track
progress
and
engage
with
clients
on
their
own
adherence.
Following
the
progress
made
during
2020,
the
Barclays
Bank
Group
continues
to
deliver
technology
and
business
process
changes
to
ensure
operational
readiness
in
preparation
for
LIBOR
cessation
and
transitions
to
RFRs
that
will
be
necessary
during
2021
in
line
with
official
sector
expectations
and
milestones.
Risks
to
which
the
Group
is
exposed
as
a
result
of
the
transition
IBOR
reform
exposes
the
Barclays
Bank
Group
to
various
risks,
which
are
being
managed
through
the
LIBOR
Transition
Programme.
The
material
risks
identified
include
those
set
out
below:
Notes
to
the
financial
statements
Other
disclosure
matters
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
194
●
Conduct
and
Legal
risk:
negligent
conduct
on
the
part
of
Barclays
Bank
Group,
in
connection
with
LIBOR
transition.
●
Operational
Risk:
The
LIBOR
Transition
Programme
cuts
across
all
businesses
and
functions.
There
are
a
number
of
implementation
challenges
arising
from
transition,
including
technology,
operations,
client
communication
and
the
measurement
of
valuation,
giving
rise
to
additional
operational
risks.
●
Market
Risk:
Changes
to
Barclays
Bank
Group
Market
Risk
profile
are
expected
due
to
IBOR
transition.
These
changes
are
expected
to
be
managed
within
risk
appetite.
IBOR
transition
will
also
impact
the
basis
risk
profile
both
at
the
cessation
event
(when
broadly
all
LIBOR
contracts
fall
back
to
alternatives)
as
well
as
in
the
interim
period
when
alternative
rates
are
referenced
in
contracts.
●
Counterparty
Credit
Risk:
transactions.
This
is
dependent
on
client
behaviour
and
the
outcome
of
resulting
negotiations
and
could
change
the
credit
risk
profile
of
client
exposure.
●
Financial
risk:
give
rise
to
financial
losses
should
the
Barclays
Bank
Group
be
unable
to
operate
effectively
in
financial
markets.
●
Accounting
risk:
were
to
transition
away
from
IBORs:
at
different
times;
to
different
benchmarks;
or
using
divergent
methodologies
resulting
in
significant
volatility
to
the
income
statement
either
through
hedge
accounting
ineffectiveness
or
failure
of
the
hedge
accounting
relationships
A
disorderly
cessation
of
LIBOR
would
carry
substantial
economic,
legal,
regulatory,
reputational
and
operational
risks
for
the
Barclays
bank
Group
and
the
industry
in
general.
The
Barclays
Bank
Group’s
expectation
is
that
the
transition
away
from
LIBOR
will
be
carefully
managed
and
that
measures
including
the
broad
adoption
of
ISDA
IBOR
Fallbacks
Protocol,
the
approach
the
Central
Clearing
Counterparties
are
expected
to
follow,
proactive
client
engagement,
regulatory
action
and/or
terminating
or
bilaterally
amending
contracts
where
clients
do
not
wish
to
adopt
new
conventions
(e.g.
ISDA
IBOR
Fallbacks
Protocol),
can
mitigate
the
risks
associated
with
a
disorderly
cessation.
The
Barclays
Bank
Group
does
not
expect
material
changes
to
its
risk
management
approach
and
strategy
as
a
result
of
interest
rate
benchmark
reform.
The
following
table
summarises
the
significant
exposures
impacted
by
interest
rate
benchmark
reform
as
at
31
December
2020:
GBP
LIBOR
USD
LIBOR
JPY
LIBOR
CHF
LIBOR
Others
Total
£m
£m
£m
£m
£m
£m
Non-derivative
financial
assets
Loans
and
advances
at
amortised
cost
19,317
17,990
173
11
1,725
39,216
Reverse
repurchase
agreements
and
other
similar
secured
lending
-
334
-
-
-
334
Financial
assets
at
fair
value
through
the
income
statement
1,190
6,373
-
283
209
8,055
Financial
assets
at
fair
value
through
other
comprehensive
income
186
106
-
-
8
300
Non-derivative
financial
assets
20,693
24,803
173
294
1,942
47,905
Non-derivative
financial
liabilities
Debt
securities
in
issue
-
(1,430)
(22)
-
-
(1,452)
Subordinated
liabilities
(21)
(876)
-
-
-
(897)
Financial
liabilities
designated
at
fair
value
(149)
(1,273)
(759)
-
(139)
(2,320)
Non-derivative
financial
liabilities
(170)
(3,579)
(781)
-
(139)
(4,669)
Equity
Other
equity
instruments
(2,122)
(3,062)
-
-
-
(5,184)
Standby
facilities,
credit
lines
and
other
commitments
18,169
74,008
-
74
15,951
108,202
The
table
above
represents
the
derivatives
exposures
to
interest
rate
benchmark
reform,
which
have
yet
to
transition.
The
exposure
disclosed
is
for
positions
with
contractual
maturities
after
31
December
2021.
Balances
reported
at
amortised
cost
are
disclosed
at
their
gross
carrying
value
and
do
not
include
any
expected
credit
losses
that
may
be
held
against
them.
Balances
reported
at
fair
value
are
disclosed
at
their
fair
value
on
the
balance
sheet
date.
Notes
to
the
financial
statements
Other
disclosure
matters
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
195
The
Barclays
Bank
Group
also
has
exposure
to
interest
rate
benchmark
reform
in
respect
of
its
cash
collateral
balances
across
some
of
its
Credit
Support
Annex
agreements,
predominantly
in
EONIA.
This
exposure
is
not
included
within
the
table
above
due
to
its
short
dated
nature.
GBP
LIBOR
USD
LIBOR
EONIA
JPY
LIBOR
CHF
LIBOR
Others
Total
£m
£m
£m
£m
£m
£m
£m
Derivative
notional
contract
amount
OTC
interest
rate
derivatives
596,564
2,832,339
457,844
754,206
25,681
41,782
4,708,416
OTC
interest
rate
derivatives
-
cleared
by
central
counterparty
1,552,637
2,872,962
623,802
1,091,479
119,382
198,113
6,458,375
Exchange
traded
interest
rate
derivatives
300,182
333,705
-
-
2,494
-
636,381
OTC
foreign
exchange
derivatives
155,285
589,332
-
93,108
31,257
1,921
870,903
OTC
equity
and
stock
index
derivatives
1,845
7,946
544
1,929
491
2,141
14,896
Derivative
notional
contract
amount
2,606,513
6,636,284
1,082,190
1,940,722
179,305
243,957
12,688,971
The
table
above
represents
the
derivative
exposures
to
interest
rate
benchmark
reform,
which
have
yet
to
transition.
The
exposure
disclosed
is
for
positions
with
contractual
maturities
after
31
December
2021.
Derivatives
are
reported
by
using
the
notional
contract
amount
and
where
derivatives
have
both
pay
and
receive
legs
with
exposure
to
benchmark
reform
such
as
cross
currency
swaps,
the
notional
contract
amount
is
disclosed
for
both
legs.
As
at
31
December
2020,
there
were
£264bn
of
cross
currency
swaps
where
both
the
pay
and
receive
legs
are
impacted
by
interest
rate
benchmark
reform.
The
Barclays
Bank
Group
also
had
£23bn
of
Barclays
issued
debt
retained
by
the
group,
impacted
by
the
interest
rate
benchmark
reform,
predominately
in
GBP
and
USD
LIBOR.
The
table
below
provides
detail
on
the
contractual
maturity
of
the
above
exposures:
Notes
to
the
financial
statements
Other
disclosure
matters
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
196
Over
one
year
but
not
more
than
two
years
Over
two
years
but
not
more
than
five
years
Over
five
years
but
not
more
than
ten
years
Over
ten
years
Total
Current
benchmark
rate
£m
£m
£m
£m
£m
Non-derivative
financial
assets
GBP
LIBOR
4,520
10,781
1,544
3,848
20,693
USD
LIBOR
8,381
14,653
1,715
54
24,803
JPY
LIBOR
11
144
-
18
173
CHF
LIBOR
22
73
88
111
294
Other
931
713
60
238
1,942
Non-derivative
financial
assets
13,865
26,364
3,407
4,269
47,905
Non-derivative
financial
liabilities
GBP
LIBOR
(32)
(117)
-
(21)
(170)
USD
LIBOR
(464)
(1,124)
(1,591)
(400)
(3,579)
JPY
LIBOR
(213)
(43)
(240)
(285)
(781)
CHF
LIBOR
-
-
-
-
-
Other
(12)
(5)
-
(122)
(139)
Non-derivative
financial
liabilities
(721)
(1,289)
(1,831)
(828)
(4,669)
Equity
GBP
LIBOR
-
-
-
(2,122)
(2,122)
USD
LIBOR
-
-
-
(3,062)
(3,062)
Equity
-
-
-
(5,184)
(5,184)
Derivative
notional
contract
amount
GBP
LIBOR
872,516
745,834
473,388
514,775
2,606,513
USD
LIBOR
2,019,027
2,563,020
1,344,292
709,945
6,636,284
EONIA
395,558
416,670
207,656
62,306
1,082,190
JPY
LIBOR
327,669
582,200
731,942
298,911
1,940,722
CHF
LIBOR
46,868
73,792
46,010
12,635
179,305
Other
50,777
96,657
72,125
24,398
243,957
Derivative
notional
contract
amount
3,712,415
4,478,173
2,875,413
1,622,970
12,688,971
Standby
facilities,
credit
lines
and
other
commitments
GBP
LIBOR
4,827
11,752
441
1,149
18,169
USD
LIBOR
15,366
56,579
455
1,608
74,008
CHF
LIBOR
-
74
-
-
74
Other
2,897
12,170
862
22
15,951
Standby
facilities,
credit
lines
and
other
commitments
23,090
80,575
1,758
2,779
108,202
Additional
information
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
197
Additional
shareholder
information
Articles
of
Association
Barclays
Bank
PLC
(the
“Company”)
is
a
public
limited
company
registered
in
England
and
Wales
under
company
number
01026167
(formerly
called
Barclays
Bank
International
Limited,
a
company
incorporated
under
the
name
The
Colonial
Bank
by
the
Colonial
Bank
Act
1925
and
which
changed
its
name
on
15
September
1925
to
Barclays
Bank
(Dominion,
Colonial
and
Overseas)
and
further
changed
its
name
on
22
September
1954
to
Barclays
Bank
D.C.O.
and
on
1
October
1971
to
Barclays
Bank
International
Limited)
was
incorporated
under
the
Companies
Acts
1948
to
1967
as
a
limited
company
on
4
October
1971
and
changed
its
name
on
1
January
1985
to
Barclays
Bank
PLC.
Under
the
Companies
Act
2006
a
company’s
Memorandum
of
Association
now
need
only
contain
the
names
of
the
subscribers
and
the
number
of
shares
each
subscriber
has
agreed
to
take.
For
companies
in
existence
as
of
1
October
2009,
all
other
provisions
which
were
contained
in
the
company’s
Memorandum
of
Association,
including
the
company’s
objects,
are
now
deemed
to
be
contained
in
the
company’s
articles.
The
Companies
Act
2006
also
states
that
a
company’s
objects
are
unrestricted
unless
the
company’s
articles
provide
otherwise.
The
Articles
of
Association
were
adopted
by
Special
Resolution
on
30
April
2010.
The
following
is
a
summary
and
explanation
of
the
current
Articles
of
Association,
which
are
available
for
inspection.
Directors
(i)
The
minimum
number
of
Directors
(excluding
alternate
Directors)
is
five.
There
is
no
maximum
limit.
There
is
no
age
limit
for
Directors.
A
director
shall
not
be
required
to
hold
any
shares
in
the
Company
by
way
of
qualification.
(ii)
Excluding
executive
remuneration
and
any
other
entitlement
to
remuneration
for
extra
services
(including
service
on
board
committees)
under
the
Articles,
a
Director
is
entitled
to
a
fee
at
a
rate
determined
by
the
Board
but
the
aggregate
fees
paid
to
all
Directors
shall
not
exceed
£2,000,000
per
annum
or
such
higher
amount
as
may
be
approved
by
an
ordinary
resolution
of
the
Company.
Each
Director
is
entitled
to
reimbursement
for
all
reasonable
travelling,
hotel
and
other
expenses
properly
incurred
by
him/her
in
or
about
the
performance
of
his/her
duties.
(iii)
A
Director
may
hold
any
other
office
of
the
Company
on
such
terms
as
the
Board
shall
determine.
(iv)
No
director
shall
be
required
to
retire
from
office
at
any
annual
general
meeting
by
rotational
retirement.
(v)
The
Board
has
the
power
to
appoint
additional
Directors
or
to
fill
a
casual
vacancy
amongst
the
Directors.
Any
Director
so
appointed
holds
office
until
the
next
AGM,
when
he/she
may
offer
himself/herself
for
reappointment.
(vi)
The
Board
may
appoint
any
Director
to
any
executive
position
or
employment
in
the
Company
on
such
terms
as
they
determine.
(vii)
The
Company
may
by
ordinary
resolution
remove
a
Director
before
the
expiry
of
his/her
period
of
office
(without
prejudice
to
a
claim
for
damages
for
breach
of
contract
or
otherwise)
and
may
by
ordinary
resolution
appoint
another
person
who
is
willing
to
act
to
be
a
Director
in
his/her
place.
(viii)
A
Director
may
appoint
either
another
Director
or
some
other
person
approved
by
the
Board
to
act
as
his/her
alternate
with
power
to
attend
Board
meetings
and
generally
to
exercise
the
functions
of
the
appointing
Director
in
his/her
absence
(other
than
the
power
to
appoint
an
alternate).
(ix)
The
Board
may
authorise
any
matter
in
relation
to
which
a
Director
has,
or
can
have,
a
direct
interest
that
conflicts,
or
possibly
may
conflict
with,
the
Company’s
interests.
Only
Directors
who
have
no
interest
in
the
matter
being
considered
will
be
able
to
authorise
the
relevant
matter
and
they
may
impose
limits
or
conditions
when
giving
authorisation
if
they
think
this
is
appropriate.
(x)
A
Director
may
hold
positions
with
or
be
interested
in
other
companies
and,
subject
to
legislation
applicable
to
the
Company
and
the
FCA’s
requirements,
may
contract
with
the
Company
or
any
other
company
in
which
the
Company
is
interested.
A
Director
may
not
vote
or
count
towards
the
quorum
on
any
resolution
concerning
any
proposal
in
which
he/she
(or
any
person
connected
with
him/her)
has
a
material
interest
(other
than
by
virtue
of
his/her
interest
in
securities
of
the
Company)
or
if
he/she
has
a
duty
which
conflicts
or
may
conflict
with
the
interests
of
the
Company,
unless
the
resolution
relates
to
any
proposal:
(a)
to
indemnify
a
Director
or
provide
him/her
with
a
guarantee
or
security
in
respect
of
money
lent
by
him/her
to,
or
any
obligation
incurred
by
him/her
or
any
other
person
for
the
benefit
of
(or
at
the
request
of),
the
Company
(or
any
other
member
of
the
Group);
(b)
to
indemnify
or
give
security
or
a
guarantee
to
a
third
party
in
respect
of
a
debt
or
obligation
of
the
Company
(or
any
other
member
of
the
Group)
for
which
the
Director
has
personally
assumed
responsibility;
(c)
to
obtain
insurance
for
the
benefit
of
Directors;
(d)
involving
the
acquisition
by
a
Director
of
any
securities
of
the
Company
(or
any
other
member
of
the
Group)
pursuant
to
an
offer
to
existing
holders
of
securities
or
to
the
public;
(e)
concerning
any
other
company
in
which
the
Director
is
interested
as
an
officer
or
creditor
or
Shareholder
but,
broadly,
only
if
he/she
(together
with
his/her
connected
persons)
is
directly
or
indirectly
interested
in
less
than
1%
of
either
any
class
of
the
issued
equity
share
capital
or
of
the
voting
rights
of
that
company;
and
Additional
information
Barclays
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PLC
2020
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20
-F
198
(f)
concerning
any
other
arrangement
for
the
benefit
of
employees
of
the
Company
(or
any
other
member
of
the
Group)
under
which
the
Director
benefits
or
stands
to
benefit
in
a
similar
manner
to
the
employees
concerned
and
which
does
not
give
the
Director
any
advantage
which
the
employees
to
whom
the
arrangement
relates
would
not
receive.
Classes
of
Shares
The
Company
authorized
capital
comprise
of
Ordinary
Shares,
Euro,
US
Dollar
and
Sterling
Preference
Shares
(collectively,
the
“Preference
Shares”)
and
Series
1
Sterling
Preference
Shares.
A
list
and
description
the
outstanding
Ordinary
Shares
and
Preference
Shares
of
the
Company
is
included
in
Note
27
to
the
Financial
Statements
(Ordinary
shares,
share
premium,
and
other
equity).
Dividends
Subject
to
the
provisions
of
the
Articles
and
applicable
legislation,
the
Company
in
general
meeting
may
declare
dividends
on
the
Ordinary
Shares
by
ordinary
resolution,
but
any
such
dividend
may
not
exceed
the
amount
recommended
by
the
Board.
The
Board
may
also
pay
interim
or
final
dividends
if
it
appears
they
are
justified
by
the
Company’s
financial
position.
Each
Preference
Share
confers
the
right
to
a
preferential
dividend
(“Preference
Dividend”)
payable
in
such
currency
at
such
rates
(whether
fixed
or
calculated
by
reference
to
or
in
accordance
with
a
specified
procedure
or
mechanism),
on
such
dates
and
on
such
other
terms
as
may
be
determined
by
the
Board
prior
to
allotment
thereof.
The
Preference
Shares
rank
in
regard
to
payment
of
dividends
in
priority
to
the
holders
of
Ordinary
Shares
and
any
other
class
of
shares
in
the
Company
ranking
junior
to
the
Preference
Shares.
Dividends
may
be
paid
on
the
Preference
Shares
if,
in
the
opinion
of
the
Board,
the
Company
has
sufficient
distributable
profits,
after
payment
in
full
or
the
setting
aside
of
a
sum
to
provide
for
all
dividends
payable
on
(or
in
the
case
of
shares
carrying
a
cumulative
right
to
dividends,
before)
the
relevant
dividend
payment
date
on
any
class
of
shares
in
the
Company
ranking
pari
passu
with
or
in
priority
to
the
relevant
series
of
Preference
Shares
as
regards
participation
in
the
profits
of
the
Company.
If
the
Board
considers
that
the
distributable
profits
of
the
Company
available
for
distribution
are
insufficient
to
cover
the
payment
in
full
of
Preference
Dividends,
Preference
Dividends
shall
be
paid
to
the
extent
of
the
distributable
profits
on
a
pro
rata
basis.
Notwithstanding
the
above,
the
Board
may,
at
its
absolute
discretion,
determine
that
any
Preference
Dividend
which
would
otherwise
be
payable
may
either
not
be
payable
at
all
or
only
payable
in
part.
If
any
Preference
Dividend
on
a
series
of
Preference
Shares
is
not
paid,
or
is
only
paid
in
part,
for
the
reasons
described
above,
holders
of
Preference
Shares
will
not
have
a
claim
in
respect
of
such
non-payment.
If
any
dividend
on
a
series
of
Preference
Shares
is
not
paid
in
full
on
the
relevant
dividend
payment
date,
a
dividend
restriction
shall
apply.
The
dividend
restriction
means
that,
subject
to
certain
exceptions,
neither
the
Company
nor
Barclays
Bank
may
(a)
pay
a
dividend
on,
or
(b)
redeem,
purchase,
reduce
or
otherwise
acquire,
any
of
their
respective
ordinary
shares,
other
preference
shares
or
other
share
capital
ranking
equal
or
junior
to
the
relevant
series
of
Preference
Shares
until
the
earlier
of
such
time
as
the
Company
next
pays
in
full
a
dividend
on
the
relevant
series
of
Preference
Shares
or
the
date
on
which
all
of
the
relevant
series
of
Preference
Shares
are
redeemed.
All
unclaimed
dividends
payable
in
respect
of
any
share
may
be
invested
or
otherwise
made
use
of
by
the
Board
for
the
benefit
of
the
Company
until
claimed.
If
a
dividend
is
not
claimed
after
12
years
of
it
becoming
payable,
it
is
forfeited
and
reverts
to
the
Company.
Redemption
and
Purchase
Subject
to
applicable
legislation
and
the
rights
of
the
other
shareholders,
any
share
may
be
issued
on
terms
that
it
is,
at
the
option
of
the
Company
or
the
holder
of
such
share,
redeemable.
The
Directors
are
authorised
to
determine
the
terms,
conditions
and
manner
of
redemption
of
any
such
shares
under
the
Articles
of
Association.
Calls
on
capital
The
Directors
may
make
calls
upon
the
members
in
respect
of
any
monies
unpaid
on
their
shares.
A
person
upon
whom
a
call
is
made
remains
liable
even
if
the
shares
in
respect
of
which
the
call
is
made
have
been
transferred.
Interest
will
be
chargeable
on
any
unpaid
amount
called
at
a
rate
determined
by
the
Board
(of
not
more
than
20%
per
annum).
If
a
member
fails
to
pay
any
call
in
full
(following
notice
from
the
Board
that
such
failure
will
result
in
forfeiture
of
the
relevant
shares),
such
shares
(including
any
dividends
declared
but
not
paid)
may
be
forfeited
by
a
resolution
of
the
Board,
and
will
become
the
property
of
the
Company.
Forfeiture
shall
not
absolve
a
previous
member
for
amounts
payable
by
him/her
(which
may
continue
to
accrue
interest).
The
Company
also
has
a
lien
over
all
partly
paid
shares
of
the
Company
for
all
monies
payable
or
called
on
that
share
and
over
the
debts
and
liabilities
of
a
member
to
the
Company.
If
any
monies
which
are
the
subject
of
the
lien
remain
unpaid
after
a
notice
from
the
Board
demanding
payment,
the
Company
may
sell
such
shares.
Annual
and
other
general
meetings
The
Company
is
required
to
hold
an
AGM
in
addition
to
such
other
general
meetings
as
the
Directors
think
fit.
The
type
of
the
meeting
will
be
specified
in
the
notice
calling
it.
Under
the
Companies
Act
2006,
the
AGM
must
be
held
within
six
months
of
the
accounting
reference
date.
A
general
meeting
may
be
convened
by
the
Board
on
requisition
in
accordance
with
the
applicable
legislation.
In
the
case
of
an
AGM,
a
minimum
of
21
clear
days’
notice
is
required.
The
notice
must
be
in
writing
and
must
specify
the
place,
the
day
and
the
hour
of
the
meeting,
and
the
general
nature
of
the
business
to
be
transacted.
A
notice
convening
a
meeting
to
pass
a
special
resolution
shall
Additional
information
Barclays
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2020
Annual
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20
-F
199
specify
the
intention
to
propose
the
resolution
as
such.
The
accidental
failure
to
give
notice
of
a
general
meeting
or
the
non-receipt
of
such
notice
will
not
invalidate
the
proceedings
at
such
meeting.
Subject
as
noted
above,
all
Shareholders
are
entitled
to
attend
and
vote
at
general
meetings.
The
Articles
do,
however,
provide
that
arrangements
may
be
made
for
simultaneous
attendance
at
a
satellite
meeting
place
or,
if
the
meeting
place
is
inadequate
to
accommodate
all
members
and
proxies
entitled
to
attend,
another
meeting
place
may
be
arranged
to
accommodate
such
persons
other
than
that
specified
in
the
notice
of
meeting,
in
which
case
Shareholders
may
be
excluded
from
the
principal
place.
Holders
of
Preference
Shares
have
no
right
to
receive
notice
of,
attend
or
vote
at,
any
general
meetings
of
the
Company
as
a
result
of
holding
Preference
Shares.
Notices
Save
where
the
articles
expressly
require
otherwise,
a
document
or
information
may
be
sent
by
the
Company
in
hard
copy
form,
electronic
form,
by
being
made
available
on
a
website,
or
by
another
means
agreed
with
the
recipient,
in
accordance
with
the
provisions
set
out
in
the
Companies
Act
2006.
Accordingly,
a
document
or
information
may
only
be
sent
in
electronic
form
to
a
person
who
has
agreed
to
receive
it
in
that
form
or,
in
the
case
of
a
company,
who
has
been
deemed
to
have
so
agreed
pursuant
to
applicable
legislation.
A
document
or
information
may
only
be
sent
by
being
made
available
on
a
website
if
the
recipient
has
agreed
to
receive
it
in
that
form
or
has
been
deemed
to
have
so
agreed
pursuant
to
applicable
legislation,
and
has
not
revoked
that
agreement.
In
respect
of
joint
holdings,
documents
or
information
shall
be
sent
to
the
joint
holder
whose
name
stands
first
in
the
register.
A
member
who
(having
no
registered
address
within
the
UK)
has
not
supplied
an
address
in
the
UK
at
which
documents
or
information
may
be
sent
in
hard
copy
form,
or
an
address
to
which
notices,
documents
or
information
may
be
sent
or
supplied
by
electronic
means,
is
not
entitled
to
have
documents
or
information
sent
to
him/her.
In
addition,
the
Company
may
cease
to
send
notices
to
any
member
who
has
been
sent
documents
on
two
consecutive
occasions
over
a
period
of
at
least
12
months
and
when
each
of
those
documents
is
returned
undelivered
or
notification
is
received
that
they
have
not
been
delivered.
Capitalisation
of
profits
The
Company
may,
by
ordinary
resolution,
upon
the
recommendation
of
the
Board
capitalise
all
or
any
part
of
an
amount
standing
to
the
credit
of
a
reserve
or
fund
to
be
set
free
for
distribution
provided
that
amounts
from
the
share
premium
account,
capital
redemption
reserve
or
any
profits
not
available
for
distribution
should
be
applied
only
in
paying
up
unissued
shares
to
be
allotted
to
members
credited
as
fully
paid
and
no
unrealised
profits
shall
be
applied
in
paying
up
debentures
of
the
Company
or
any
amount
unpaid
on
any
share
in
the
capital
of
the
Company.
Indemnity
Subject
to
applicable
legislation,
every
current
and
former
Director
or
other
officer
of
the
Company
(other
than
any
person
engaged
by
the
company
as
auditor)
shall
be
indemnified
by
the
Company
against
any
liability
in
relation
to
the
Company,
other
than
(broadly)
any
liability
to
the
Company
or
a
member
of
the
Group,
or
any
criminal
or
regulatory
fine.
Variation
of
Rights
The
rights
attached
to
any
class
of
shares
may
be
varied
either
with
the
consent
in
writing
of
the
holders
of
at
least
75%
in
nominal
value
of
the
issued
shares
of
that
class,
or
with
the
sanction
of
a
special
resolution
passed
at
a
separate
meeting
of
the
holders
of
the
shares
of
that
class.
The
rights
of
shares
shall
not
(unless
expressly
provided
by
the
rights
attached
to
such
shares)
be
deemed
varied
by
the
creation
of
further
shares
ranking
equally
with
them
or
subsequent
to
them.
Limitations
on
foreign
shareholders
There
are
no
restrictions
imposed
by
the
Articles
of
Association
or
(subject
to
the
effect
of
any
economic
sanctions
that
may
be
in
force
from
time
to
time)
by
current
UK
laws
which
relate
only
to
non-residents
of
the
UK
and
which
limit
the
rights
of
such
non-residents
to
hold
or
(when
entitled
to
do
so)
vote
the
ordinary
shares.
Special
rights
There
are
no
persons
holding
securities
that
carry
special
rights
with
regard
to
the
control
of
the
company.
Additional
information
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
200
Taxation
of
UK
holders
The
following
is
a
summary
of
certain
UK
tax
issues
which
are
likely
to
be
material
to
the
holding
and
disposal
of
Preference
Shares
of
Barclays
Bank
PLC
or
ADSs
representing
such
Preference
Shares
(the
‘Shares’).
It
is
based
on
the
current
laws
of
England
and
Wales,
UK
tax
law
and
the
practice
of
Her
Majesty’s
Revenue
and
Customs
(‘HMRC’),
each
of
which
may
be
subject
to
change,
possibly
with
retrospective
effect.
It
is
a
general
guide
for
information
purposes
and
should
be
treated
with
appropriate
caution.
It
is
not
intended
as
tax
advice
and
it
does
not
purport
to
describe
all
of
the
tax
considerations
that
may
be
relevant
to
a
prospective
purchaser,
holder
or
disposer
of
Shares.
In
particular,
save
where
expressly
stated
to
the
contrary,
this
summary
deals
with
shareholders
who
are
resident
and,
in
the
case
of
individuals,
domiciled
in
(and
only
in)
the
UK
for
UK
tax
purposes,
who
hold
their
Shares
as
investments
(other
than
under
an
individual
savings
account)
and
who
are
the
absolute
beneficial
owners
of
their
Shares
and
any
dividends
paid
on
them.
The
statements
are
not
addressed
to:
(i)
shareholders
who
own
(or
are
deemed
to
own)
10%
or
more
of
the
voting
power
of
Barclays
Bank
PLC;
(ii)
shareholders
who
hold
Shares
as
part
of
hedging
transactions;
(iii)
investors
who
have
(or
are
deemed
to
have)
acquired
their
Shares
by
virtue
of
an
office
or
employment;
and
(iv)
shareholders
who
hold
Shares
in
connection
with
a
trade,
profession
or
vocation
carried
on
in
the
UK
(whether
through
a
branch
or
agency
or,
in
the
case
of
a
corporate
shareholder,
through
a
permanent
establishment,
or
otherwise).
It
does
not
discuss
the
tax
treatment
of
classes
of
shareholder
subject
to
special
rules,
such
as
dealers
in
securities.
Persons
who
are
in
any
doubt
as
to
their
tax
position
should
consult
their
professional
advisers.
Persons
who
may
be
liable
to
taxation
in
jurisdictions
other
than
the
UK
in
respect
of
their
acquisition,
holding
or
disposal
of
Shares
are
particularly
advised
to
consult
their
professional
advisers
as
to
whether
they
are
so
liable.
(i)
Taxatio
n
of
dividends
In
accordance
with
UK
law,
Barclays
Bank
PLC
pays
dividends
on
the
Shares
without
any
deduction
or
withholding
for
or
on
account
of
any
taxes
imposed
by
the
UK
government
or
any
UK
taxing
authority.
The
total
dividends
(including
any
dividends
paid
by
Barclays
Bank
PLC)
paid
to
a
UK
resident
individual
shareholder
in
a
tax
year
(the
‘Total
Dividend
Income’)
will
generally
form
part
of
that
shareholder’s
total
income
for
UK
income
tax
purposes,
and
will
be
subject
to
UK
income
tax
at
the
rates
discussed
below.
For
dividends
paid
on
or
after
6
April
2016,
the
rate
of
UK
income
tax
applicable
to
the
Total
Dividend
Income
will
depend
on
the
amount
of
the
Total
Dividend
Income
and
the
UK
income
tax
band(s)
that
the
Total
Dividend
Income
falls
within
when
included
as
part
of
the
shareholder’s
total
income
for
UK
income
tax
purposes
for
that
tax
year.
For
the
tax
year
from
6
April
2020
to
5
April
2021
(inclusive),
a
nil
rate
of
UK
income
tax
applies
to
the
first
£2,000
of
Total
Dividend
Income
received
by
an
individual
shareholder
in
that
tax
year
(the
‘Nil
Rate
Amount’).
For
the
2018-2019
and
2019-2020
tax
years,
the
Nil
Rate
Amount
was
£2,000.
For
the
2016-2017
and
2017-2018
tax
years,
the
Nil
Rate
Amount
was
£5,000.
Where
the
Total
Dividend
Income
received
by
an
individual
shareholder
in
a
tax
year
exceeds
the
relevant
Nil
Rate
Amount
for
that
tax
year,
the
excess
amount
(the
‘Remaining
Dividend
Income’)
will
be
subject
to
UK
income
tax
at
the
following
rates:
(a)
at
the
rate
of
7.5%
on
any
portion
of
the
Remaining
Dividend
Income
that
falls
within
the
basic
tax
band;
(b)
at
the
rate
of
32.5%
on
any
portion
of
the
Remaining
Dividend
Income
that
falls
within
the
higher
tax
band;
and
(c)
at
the
rate
of
38.1%
on
any
portion
of
the
Remaining
Dividend
Income
that
falls
within
the
additional
tax
band.
In
determining
the
tax
band
the
Remaining
Dividend
Income
falls
within
for
a
tax
year,
the
individual
shareholder’s
Total
Dividend
Income
for
the
tax
year
in
question
(including
the
portion
comprising
the
Nil
Rate
Amount)
will
be
treated
as
the
top
slice
of
the
shareholder’s
total
income
for
UK
income
tax
purposes.
Subject
to
special
rules
for
small
companies,
UK
resident
shareholders
within
the
charge
to
UK
corporation
tax
will
not
generally
be
subject
to
UK
corporation
tax
on
the
dividends
paid
on
the
Shares,
provided
the
dividend
falls
within
an
exempt
class
and
certain
conditions
are
met.
(ii)
Taxation
of
capital
gains
The
disposal
of
Shares
may,
depending
on
the
shareholder’s
circumstances,
give
rise
to
a
liability
to
UK
tax
on
chargeable
capital
gains.
Where
Shares
are
sold,
a
liability
to
UK
tax
may
result
if
the
proceeds
from
that
sale
exceed
the
sum
of
the
base
cost
of
the
Shares
sold
and
any
other
allowable
deductions
such
as
share
dealing
costs
and,
in
certain
circumstances,
indexation
relief
(discussed
further
below).
For
this
purpose,
current
legislation
permits
the
market
valuation
at
31
March
1982
to
be
substituted
for
the
original
cost
of
shares
purchased
before
that
date,
subject
to
certain
exceptions
for
shareholders
within
the
charge
to
UK
corporation
tax.
Shareholders
other
than
those
within
the
charge
to
UK
corporation
tax
should
note
that,
following
the
Finance
Act
2008,
no
indexation
allowance
will
be
available.
Following
the
Finance
Act
2018,
shareholders
within
the
charge
to
UK
corporation
tax
may
be
eligible
for
indexation
allowance
for
the
period
of
ownership
of
their
Shares
up
to
December
2017,
but
no
indexation
allowance
will
be
available
in
respect
of
the
period
of
ownership
starting
on
or
after
1
January
2018.
Chargeable
capital
gains
may
also
arise
from
the
gifting
of
Shares
to
connected
parties
such
as
relatives
(although
not
spouses
or
civil
partners)
and
family
trusts.
The
calculations
required
to
compute
chargeable
capital
gains
may
be
complex.
Shareholders
are
advised
to
consult
their
personal
financial
adviser
if
further
information
regarding
a
possible
tax
liability
in
respect
of
their
holdings
of
shares
is
required.
(iii)
Stamp
duty
and
stamp
duty
reserve
tax
Dealings
in
Shares
will
generally
be
subject
to
UK
stamp
duty
or
stamp
duty
reserve
tax
(although
see
the
comments
below
as
regards
ADSs
in
the
section
‘Taxation
of
US
holders
–
UK
stamp
duty
and
stamp
duty
reserve
tax’).
Any
document
effecting
the
transfer
on
sale
of
Shares
will
generally
be
liable
to
stamp
duty
at
0.5%
of
the
consideration
paid
for
that
transfer
(rounded
up
to
the
next
£5).
An
unconditional
agreement
to
transfer
Shares,
or
any
interest
therein,
will
generally
be
subject
to
stamp
duty
reserve
tax
at
0.5%
of
the
consideration
given.
Such
liability
to
Additional
information
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Bank
PLC
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20
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stamp
duty
reserve
tax
will
be
cancelled,
or
a
right
to
a
repayment
(generally
with
interest)
in
respect
of
the
stamp
duty
reserve
tax
liability
will
arise,
if
the
agreement
is
completed
by
a
duly
stamped
transfer
within
six
years
of
the
agreement
having
become
unconditional.
Both
stamp
duty
and
stamp
duty
reserve
tax
are
normally
the
liability
of
the
transferee.
Paperless
transfers
of
Shares
within
CREST
are
liable
to
stamp
duty
reserve
tax
rather
than
stamp
duty.
Stamp
duty
reserve
tax
on
transactions
settled
within
the
CREST
system
or
reported
through
it
for
regulatory
purposes
will
be
collected
by
CREST.
Special
rules
apply
to
certain
categories
of
person,
including
intermediaries,
market
makers,
brokers,
dealers
and
persons
connected
with
depositary
arrangements
and
clearance
services.
(iv)
Inheritance
tax
An
individual
may
be
liable
to
inheritance
tax
on
the
transfer
of
Shares.
Where
an
individual
is
so
liable,
inheritance
tax
may
be
charged
on
the
amount
by
which
the
value
of
his
or
her
estate
is
reduced
as
a
result
of
any
transfer
by
way
of
gift
or
other
gratuitous
transaction
made
by
them
or
treated
as
made
by
them.
Taxation
of
US
Holders
The
following
is
a
summary
of
certain
US
federal
income
tax
considerations
and
certain
UK
tax
considerations
to
the
purchase,
ownership,
and
disposition
of
Preference
Shares
of
Barclays
Bank
PLC
or
ADSs
representing
such
Preference
Shares
(the
"
Shares
")
that
are
likely
to
be
relevant
for
US
Holders
(as
defined
below)
who
own
the
Shares
as
capital
assets
for
tax
purposes.
This
discussion
is
not
a
comprehensive
analysis
of
all
the
potential
US
or
UK
tax
consequences
that
may
be
relevant
to
US
Holders
and
does
not
discuss
particular
tax
consequences
that
may
be
applicable
to
US
Holders
who
may
be
subject
to
special
tax
rules
such
as
banks,
brokers
or
dealers
in
securities
or
currencies,
traders
in
securities
that
elect
to
use
a
mark-to-market
method
of
accounting
for
securities
holdings,
financial
institutions,
tax-exempt
organisations,
regulated
investment
companies,
life
insurance
companies,
entities
or
arrangements
that
are
treated
as
partnerships
for
US
federal
income
tax
purposes
(or
partners
therein),
holders
that
own
or
are
treated
as
owning
10%
or
more
of
the
stock
of
Barclays
Bank
PLC
measured
either
by
voting
power
or
value,
holders
that
hold
Shares
as
part
of
a
straddle
or
a
hedging
or
conversion
transaction,
holders
that
purchase
or
sell
Shares
as
part
of
a
wash
sale,
holders
whose
functional
currency
is
not
the
US
Dollar,
or
holders
who
are
resident,
or
who
are
carrying
on
a
trade,
in
the
UK.
The
summary
also
does
not
address
state
or
local
taxes
or
any
aspect
of
US
federal
taxation
other
than
US
federal
income
taxation
(such
as
the
estate
and
gift
tax,
the
alternative
minimum
tax
or
the
Medicare
tax
on
net
investment
income).
Investors
are
advised
to
consult
their
tax
advisers
regarding
the
tax
implications
of
their
particular
holdings,
including
the
consequences
under
applicable
state
and
local
law,
and
in
particular
whether
they
are
eligible
for
the
benefits
of
the
Treaty
(as
defined
below).
This
discussion
is
based
on
the
Internal
Revenue
Code
of
1986,
as
amended
(the
‘Code’),
its
legislative
history,
existing
and
proposed
regulations,
published
rulings
and
court
decisions,
and
on
the
Double
Taxation
Convention
between
the
UK
and
the
US
as
entered
into
force
in
March
2003
(the
‘Treaty’),
and,
in
respect
of
UK
tax,
the
Estate
and
Gift
Tax
Convention
between
the
UK
and
the
US
as
entered
into
force
on
11
November
1979
(the
‘Estate
and
Gift
Tax
Convention’),
the
current
UK
tax
law
and
the
practice
of
HMRC,
all
of
which
are
subject
to
change,
possibly
on
a
retroactive
basis.
This
discussion
is
based
in
part
upon
the
representations
of
the
ADR
Depositary
and
the
assumption
that
each
obligation
of
the
Deposit
Agreement
and
any
related
agreement
will
be
performed
in
accordance
with
its
terms.
A
“US
Holder”
is
a
beneficial
owner
of
Shares
that
is
a
citizen
or
resident
of
the
United
States
or
a
US
domestic
corporation
or
that
otherwise
is
subject
to
US
federal
income
taxation
on
a
net
income
basis
in
respect
of
such
Shares
and
that
is
fully
eligible
for
benefits
under
the
Treaty.
In
general,
the
holders
of
ADRs
evidencing
ADSs
will
be
treated
as
owners
of
the
underlying
Preference
Shares
for
the
purposes
of
the
Treaty,
the
Estate
and
Gift
Tax
Convention,
and
the
Code.
Generally,
exchanges
of
shares
for
ADRs
and
ADRs
for
shares
will
not
be
subject
to
US
federal
income
tax
or
to
UK
capital
gains
tax.
Taxation
of
dividends
Subject
to
the
PFIC
rules
discussed
below,
the
gross
amount
of
any
distribution
of
cash
or
property
with
respect
to
the
Shares
(including
any
amount
withheld
in
respect
of
UK
taxes)
that
is
paid
out
of
Barclays
Bank
PLC’s
current
or
accumulated
earnings
and
profits
(as
determined
for
US
federal
income
tax
purposes)
will
be
includible
in
a
US
Holder’s
taxable
income
as
ordinary
dividend
income
on
the
day
such
US
Holder
receives
the
dividend,
in
the
case
of
Preference
Shares,
or
the
date
the
Depositary
receives
the
dividends,
in
the
case
of
ADRs,
and
will
not
be
eligible
for
the
dividends-received
deduction
allowed
to
corporations
under
the
Code.
Subject
to
certain
exceptions
for
short-term
positions,
dividends
paid
by
Barclays
Bank
PLC
to
an
individual
with
respect
to
the
Shares
will
generally
be
subject
to
taxation
at
a
preferential
rate
if
the
dividends
are
“qualified
dividend
income.”
Dividends
paid
on
the
Shares
will
be
treated
as
qualified
dividend
income
if
(i)
the
Shares
are
readily
tradable
on
an
established
securities
market
in
the
United
States
or
Barclays
Bank
PLC
is
eligible
for
the
benefits
of
a
comprehensive
tax
treaty
with
the
United
States
that
the
US
Treasury
determines
is
satisfactory
for
purposes
of
this
provision
and
that
includes
an
exchange
of
information
program,
and
(ii)
Barclays
Bank
PLC
was
not
a
PFIC
(as
defined
below)
in
the
year
of
the
distribution
or
the
immediately
preceding
taxable
year.
The
US
Treasury
has
determined
that
the
Treaty
meets
the
requirements
for
reduced
rates
of
taxation,
and
Barclays
Bank
PLC
believes
that
it
is
eligible
for
the
benefits
of
the
Treaty.
Based
on
its
audited
financial
statements
and
relevant
market
and
shareholder
date,
Barclays
Bank
PLC
believes
that
it
was
not
treated
as
a
PFIC
for
US
federal
income
tax
purposes
with
respect
to
its
2019
or
2020
taxable
years.
In
addition,
based
on
its
audited
financial
statements
and
current
expectations
regarding
the
value
and
nature
of
its
assets,
the
sources
and
nature
of
its
income,
and
relevant
market
and
shareholder
data,
Barclays
Bank
PLC
does
not
anticipate
becoming
a
PFIC
for
its
current
taxable
year
or
in
the
foreseeable
future.
Dividends
paid
by
Barclays
Bank
PLC
to
a
US
Holder
with
respect
to
the
Shares
will
not
be
subject
to
UK
withholding
tax.
For
foreign
tax
credit
purposes,
dividends
will
generally
be
income
from
sources
outside
the
US
and
will
generally
be
“passive”
income
for
purposes
of
computing
the
foreign
tax
credit
allowable
to
a
US
Holder.
The
amount
of
the
dividend
distribution
includable
in
income
will
be
the
US
Dollar
value
of
the
distribution,
determined
at
the
spot
Pound
Sterling/US
Dollar
rate
on
the
date
the
dividend
distribution
is
includable
in
income,
regardless
of
whether
the
payment
is
in
fact
converted
into
US
Dollars.
Generally,
any
gain
or
loss
resulting
from
currency
exchange
fluctuations
during
the
period
from
the
date
the
dividend
payment
is
Additional
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Barclays
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PLC
2020
Annual
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20
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includable
in
income
to
the
date
the
payment
is
converted
into
US
Dollars
will
be
treated
as
ordinary
income
or
loss
and,
for
foreign
tax
credit
limitation
purposes,
from
sources
within
the
US,
and
will
not
be
eligible
for
the
special
tax
rates
applicable
to
qualified
dividend
income.
Distributions
in
excess
of
current
or
accumulated
earnings
and
profits,
as
determined
for
US
federal
income
tax
purposes,
will
be
treated
as
a
return
of
capital
to
the
extent
of
the
US
Holder’s
basis
in
the
Shares
and
thereafter
as
capital
gain.
Because
Barclays
Bank
PLC
does
not
currently
maintain
calculations
of
earnings
and
profits
for
US
federal
income
tax
purposes,
US
Holders
should
expect
that
distributions
with
respect
to
the
Shares
will
generally
be
treated
as
dividends.
Taxable
sale
or
other
disposition
of
Shares
Subject
to
the
PFIC
rules
discussed
below,
upon
a
sale
or
other
taxable
disposition
of
the
Shares,
US
Holders
generally
will
not
be
subject
to
UK
tax,
but
will
realise
gain
or
loss
for
US
federal
income
tax
purposes
in
an
amount
equal
to
the
difference
between
the
US
Dollar
value
of
the
amount
realised
on
the
disposition
and
the
US
Holder’s
adjusted
tax
basis
in
the
Shares,
as
determined
in
US
Dollars.
Such
gain
or
loss
will
be
capital
gain
or
loss,
and
will
generally
be
long-term
capital
gain
or
loss
if
the
Shares
have
been
held
for
more
than
one
year.
Long-term
capital
gain
of
a
noncorporate
US
Holder
is
generally
taxed
at
preferential
rates.
The
gain
or
loss
will
generally
be
income
or
loss
from
sources
within
the
United
States
for
foreign
tax
credit
limitation
purposes.
The
deductibility
of
capital
losses
is
subject
to
limitations.
Taxation
of
passive
foreign
investment
companies
(PFICs)
Barclays
Bank
PLC
believes
that
its
Shares
should
not
be
treated
as
stock
of
a
passive
foreign
investment
company
(“PFIC”)
for
US
federal
income
tax
purposes,
but
this
conclusion
is
a
factual
determination
that
is
made
annually
and
thus
may
be
subject
to
change.
In
general,
Barclays
Bank
PLC
will
be
a
PFIC
with
respect
to
a
US
Holder
if,
for
any
taxable
year
in
which
a
US
Holder
holds
the
Shares,
either
(i)
at
least
75%
of
the
gross
income
of
Barclays
Bank
PLC
for
the
taxable
year
is
passive
income,
or
(ii)
at
least
50%
of
the
value,
determined
on
the
basis
of
a
quarterly
average,
of
Barclays
Bank
PLC’s
assets
is
attributable
to
assets
that
produce
or
are
held
for
the
production
of
passive
income
(including
cash).
With
certain
exceptions,
a
US
Holder’s
Shares
will
be
treated
as
stock
of
a
PFIC
if
Barclays
Bank
PLC
was
a
PFIC
at
any
time
during
such
holder’s
holding
period
in
its
Shares.
If
Barclays
Bank
PLC
were
to
be
treated
as
a
PFIC
with
respect
to
a
US
Holder,
unless
such
US
Holder
elected
to
be
taxed
annually
on
a
mark-
to-market
basis
with
respect
to
its
Shares,
such
gain
and
certain
‘excess
distributions’
would
be
treated
as
having
been
realised
ratably
over
a
US
Holder’s
holding
period
for
the
Shares
and
generally
would
be
taxed
at
the
highest
tax
rate
in
effect
for
each
such
year
to
which
the
gain
was
allocated,
together
with
an
interest
charge
in
respect
of
the
tax
attributable
to
each
such
year.
UK
stamp
duty
and
stamp
duty
reserve
tax
No
obligation
to
pay
UK
stamp
duty
will
arise
on
the
transfer
on
sale
of
an
ADS,
provided
that
any
instrument
of
transfer
is
not
executed
in,
and
remains
at
all
times
outside,
the
UK.
No
UK
stamp
duty
reserve
tax
is
payable
in
respect
of
an
agreement
to
transfer
an
ADS.
For
the
UK
stamp
duty
and
stamp
duty
reserve
tax
implications
of
dealings
in
Preference
Shares,
see
the
section
“Taxation
of
UK
holders
–
(iii)
Stamp
duty
and
stamp
duty
reserve
tax”
above.
UK
estate
and
gift
tax
Under
the
Estate
and
Gift
Tax
Convention,
Shares
held
by
an
individual
US
holder
who
is
US
domiciled
for
the
purposes
of
the
Estate
and
Gift
Tax
Convention
and
who
is
not
for
such
purposes
a
UK
national
generally
will
not,
provided
any
US
federal
estate
or
gift
tax
chargeable
has
been
paid,
be
subject
to
UK
inheritance
tax
on
the
individual’s
death
or
on
a
lifetime
transfer
of
Shares,
except
in
certain
cases
where
the
Shares
are
comprised
in
a
settlement
(unless
the
settlor
was
US
domiciled
and
not
a
UK
national
at
the
time
of
the
settlement),
are
part
of
the
business
property
of
a
UK
permanent
establishment
of
an
enterprise,
or
pertain
to
a
UK
fixed
base
of
an
individual
used
for
the
performance
of
independent
personal
services.
In
cases
where
the
Shares
are
subject
to
both
UK
inheritance
tax
and
US
federal
estate
or
gift
tax,
the
Estate
and
Gift
Tax
Convention
generally
provides
a
credit
against
US
federal
tax
liability
for
the
amount
of
any
inheritance
tax
paid
in
the
UK.
Foreign
Financial
Asset
Reporting
Certain
US
Holders
that
own
“specified
foreign
financial
assets”
with
an
aggregate
value
in
excess
of
US$50,000
on
the
last
day
of
the
taxable
year
or
US$75,000
at
any
time
during
the
taxable
year
are
generally
required
to
file
an
information
statement
along
with
their
tax
returns,
currently
on
Form
8938,
with
respect
to
such
assets.
“Specified
foreign
financial
assets”
include
any
financial
accounts
held
at
a
non-US
financial
institution,
as
well
as
securities
issued
by
a
non-US
issuer
that
are
not
held
in
accounts
maintained
by
financial
institutions.
The
understatement
of
income
attributable
to
“specified
foreign
financial
assets”
in
excess
of
US$5,000
extends
the
statute
of
limitations
with
respect
to
the
tax
return
to
six
years
after
the
return
was
filed.
US
Holders
who
fail
to
report
the
required
information
could
be
subject
to
substantial
penalties.
Prospective
investors
are
encouraged
to
consult
with
their
own
tax
advisors
regarding
the
possible
application
of
these
rules,
including
the
application
of
the
rules
to
their
particular
circumstances.
Backup
Withholding
and
Information
Reporting
Dividends
paid
on,
and
proceeds
from
the
sale
or
other
disposition
of,
the
Shares
to
a
US
Holder
generally
may
be
subject
to
the
information
reporting
requirements
of
the
Code
and
may
be
subject
to
backup
withholding
unless
the
US
Holder
provides
an
accurate
taxpayer
identification
number
and
makes
any
other
required
certification
or
otherwise
establishes
an
exemption.
Backup
withholding
is
not
an
additional
tax.
The
amount
of
any
backup
withholding
from
a
payment
to
a
US
Holder
will
be
allowed
as
a
refund
or
credit
against
the
US
Holder’s
US
federal
income
tax
liability,
provided
the
required
information
is
furnished
to
the
US
Internal
Revenue
Service
(“IRS”)
in
a
timely
manner.
A
holder
that
is
not
a
US
Holder
may
be
required
to
comply
with
certification
and
identification
procedures
in
order
to
establish
its
exemption
from
information
reporting
and
backup
withholding.
FATCA
Risk
Factor
In
certain
circumstances,
payments
on
shares
or
ADSs
may
be
subject
to
US
withholding
taxes
on
“passthru
payments,”
starting
on
the
date
that
is
two
years
after
the
date
on
which
final
regulations
defining
this
concept
are
adopted
in
the
United
States.
Under
the
“Foreign
Account
Tax
Compliance
Act”
(or
“FATCA”),
as
well
as
intergovernmental
agreements
between
the
United
States
and
other
countries
and
implementing
laws
in
respect
of
the
foregoing,
certain
US-source
payments
(including
dividends
and
interest)
and
certain
payments
made
by,
and
financial
accounts
held
with,
entities
that
are
classified
as
financial
institutions
under
FATCA
are
subject
to
a
special
information
reporting
and
Additional
information
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
203
withholding
tax
regime.
Regulations
implementing
withholding
in
respect
of
“passthru
payments”
under
FATCA
have
not
yet
been
adopted
or
proposed.
The
United
States
has
entered
into
an
intergovernmental
agreement
regarding
the
implementation
of
FATCA
with
the
UK
(the
“UK
IGA”).
Under
the
UK
IGA,
as
currently
drafted,
it
is
not
expected
that
Barclays
Bank
PLC
will
be
required
to
withhold
tax
under
FATCA
on
payments
made
with
respect
to
the
shares
or
ADSs.
However,
significant
aspects
of
when
and
how
FATCA
will
apply
remain
unclear,
and
no
assurance
can
be
given
that
withholding
under
FATCA
will
not
become
relevant
with
respect
to
payments
made
on
or
with
respect
to
the
shares
or
ADSs
in
the
future.
Investors
should
consult
their
own
tax
advisers
regarding
the
potential
impact
of
FATCA.
The
Barclays
Group
has
registered
with
the
Internal
Revenue
Service
(‘IRS’)
for
FATCA.
The
Global
Intermediary
Identification
Number
(GIIN)
for
Barclays
Bank
PLC
in
the
United
Kingdom
is
E1QAZN.00001.ME.826
and
it
is
a
Reporting
Model
1
FFI.
The
GIINs
for
other
parts
of
the
Barclays
Group
or
Barclays
branches
outside
of
the
UK
may
be
obtained
from
your
usual
Barclays
contact
on
request.
The
IRS
list
of
registered
Foreign
Financial
Institutions
is
publicly
available
on
the
IRS
website.
Exchange
controls
and
other
limitations
affecting
security
holders
Other
than
certain
economic
sanctions
which
may
be
in
force
from
time
to
time,
there
are
currently
no
UK
laws,
decrees
or
regulations
which
would
affect
the
transfer
of
capital
or
remittance
of
dividends,
interest
and
other
payments
to
holders
of
Barclays
securities
who
are
not
residents
of
the
UK.
There
are
also
no
restrictions
under
the
Articles
of
Association
of
Barclays
Bank
PLC,
or
(subject
to
the
effect
of
any
such
economic
sanctions)
under
current
UK
laws,
which
relate
only
to
non-residents
of
the
UK,
and
which
limit
the
right
of
such
non-residents
to
hold
Barclays
securities
or,
when
entitled
to
vote,
to
do
so.
Documents
on
display
It
is
possible
to
read
and
copy
documents
that
have
been
filed
by
Barclays
Bank
PLC
with
the
US
Securities
and
Exchange
Commission
via
commercial
document
retrieval
services,
and
from
the
website
maintained
by
the
US
Securities
and
Exchange
Commission
at
www.sec.gov
.
Disclosure
controls
and
procedures
The
Chief
Executive
Officer,
Jes
Staley,
and
the
Chief
Financial
Officer,
Steven
Ewart,
conducted
with
Barclays
Bank
Group
Management
an
evaluation
of
the
effectiveness
of
the
design
and
operation
of
the
Barclays
Bank
Group’s
disclosure
controls
and
procedures
of
Barclays
Bank
PLC
as
at
31
December
2020,
which
are
defined
as
those
controls
and
procedures
designed
to
ensure
that
information
required
to
be
disclosed
in
reports
filed
or
submitted
under
the
US
Securities
Exchange
Act
of
1934
is
recorded,
processed,
summarised
and
reported
within
the
time
periods
specified
in
the
US
Securities
and
Exchange
Commission’s
rules
and
forms.
As
of
the
date
of
the
evaluation,
the
Chief
Executive
Officer
and
Chief
Financial
Officer
concluded
that
the
design
and
operation
of
these
disclosure
controls
and
procedures
were
effective.
Section
13(r)
to
the
US
Securities
Exchange
Act
of
1934
(Iran
sanctions
and
related
disclosure)
Section
13(r)
of
the
U.S.
Securities
Exchange
Act
of
1934
as
amended
(the
“Exchange
Act”)
requires
each
SEC
reporting
issuer
to
disclose
in
its
annual
and,
if
applicable,
quarterly
reports
whether
it
or
any
of
its
affiliates
have
knowingly
engaged
in
certain
activities,
transactions
or
dealings
relating
to
Iran
or
with
the
Government
of
Iran
or
certain
designated
natural
persons
or
entities
involved
in
terrorism
or
the
proliferation
of
weapons
of
mass
destruction
during
the
period
covered
by
the
report.
The
requirement
includes
disclosure
of
activities
not
prohibited
by
U.S.
or
other
law
even
if
conducted
outside
the
U.S.
by
non-U.S.
companies
or
affiliates
in
compliance
with
local
law.
Pursuant
to
Section
13(r)
of
the
Exchange
Act
we
note
the
following
in
relation
to
activity
occurring
in
2020,
the
period
covered
by
this
annual
report,
or
in
relation
to
activity
we
became
aware
of
in
2020
relating
to
disclosable
activity
prior
to
the
reporting
period.
Except
as
noted
below,
Barclays
intends
to
continue
the
activities
described.
Barclays
does
not
allocate
profits
at
the
level
of
these
activities,
which
in
any
event
would
not
be
significant,
and
we
therefore
report
only
gross
revenue
where
measurable.
Barclays
attributed
revenue
of
approximately
GBP
425
in
2020
in
relation
to
the
activities
disclosed
below.
Legacy
Guarantees
Between
1993
and
2006,
Barclays
entered
into
several
guarantees
for
the
benefit
of
Iranian
banks
in
connection
with
the
supply
of
goods
and
services
by
Barclays
customers
to
Iranian
buyers.
These
were
counter
guarantees
issued
to
Iranian
banks
to
support
guarantees
issued
by
these
banks
to
the
Iranian
buyers.
The
Iranian
banks
and
a
number
of
the
Iranian
buyers
were
subsequently
designated
as
Specially
Designated
Nationals
and
Blocked
Persons
(“SDN”)
by
the
U.S.
Department
of
the
Treasury,
Office
of
Foreign
Assets
Control
(“OFAC”).
In
addition,
between
1993
and
2005,
Barclays
entered
into
similar
guarantees
for
the
benefit
of
a
Syrian
bank
that
was
subsequently
designated
pursuant
to
the
Weap
ons
of
Mass
Destruction
Proliferators
Sanctions
Regulations
(“WMDPSR”)
in
August
2011.
These
guarantees
were
issued
either
on:
(i)
an
“extend
or
pay”
basis,
which
means
that,
although
the
guarantee
is
of
limited
duration
on
its
face,
until
there
is
full
performance
under
the
contract
to
provide
goods
and
services,
the
terms
of
the
guarantee
require
Barclays
to
maintain
the
guarantee
or
pay
the
beneficiary
bank
the
full
amount
of
the
guarantee;
or
(ii)
the
basis
that
Barclays
obligations
can
only
be
discharged
with
the
consent
of
the
beneficiary
counterparty.
Barclays
is
not
able
to
exit
its
obligations
under
the
above
guarantees
unilaterally,
and
thus
it
maintains
a
limited
legacy
portfolio
of
these
guarantees,
which
were
in
compliance
with
applicable
laws
and
regulations
at
the
time
they
were
entered
into.
Barclays
intends
to
terminate
the
guarantees
where
an
agreement
can
be
reached
with
the
counterparty,
in
accordance
with
applicable
laws
and
regulations.
Barclays
attributed
no
revenue
in
2020
in
relation
to
this
activity.
Lease
Payments
Barclays
is
party
to
a
long-term
lease,
entered
into
in
1979,
with
the
National
Iranian
Oil
Company
(“NIOC”),
pursuant
to
which
Barclays
rents
part
of
NIOC
House
in
London
for
a
Barclays
branch.
The
lease
is
for
60
years,
contains
no
early
termination
clause,
and
has
19
years
remaining.
Barclays
makes
quarterly
lease
payments
in
GBP
to
an
entity
that
is
owned
by
the
Government
of
Iran.
The
payments
are
made
in
accordance
with
applicable
laws
and
regulations.
Barclays
attributed
no
revenue
in
2020
in
relation
to
this
activity.
Local
Clearing
Systems
Banks
based
in
the
United
Arab
Emirates
(“UAE”),
including
certain
Iranian
banks
that
are
SDNs,
participate
in
the
various
banking
payment
and
settlement
systems
used
in
the
UAE
(the
“UAE
Clearing
Systems”).
Barclays,
by
virtue
of
its
banking
activities
in
the
UAE,
participates
in
the
UAE
Clearing
Systems,
in
accordance
with
applicable
laws
and
regulations.
In
order
to
mitigate
the
risk
of
engaging
in
transactions
in
which
Additional
information
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
204
participant
Iranian
SDN
banks
may
be
involved,
Barclays
has
implemented
restrictions
relating
to
its
involvement
in
the
UAE
Clearing
Systems.
Barclays
attributed
no
revenue
in
2020
in
relation
to
this
activity.
Payments
Notified
A
Barclays
customer
was
designated
pursuant
to
the
Global
Terrorism
Sanctions
Regulations
in
March
2016.
Barclays
continues
to
receive
credit
card
repayments
from
this
customer
in
accordance
with
applicable
laws
and
regulations.
A
block
continues
to
be
applied
to
the
card
to
prevent
any
further
spending.
Barclays
attributed
revenue
of
approximately
GBP
345
in
2020
in
relation
to
this
activity.
Barclays
maintains
customer
relationships
with
certain
UK-incorporated
medical
manufacturing
companies.
In
2020,
Barclays
processed
two
payments,
for
the
benefit
of
our
customers,
relating
to
the
export
of
medical
devices
to
privately-owned
Iranian
entities.
The
end
users
of
these
medical
devices
include
hospitals,
medical
universities,
or
clinics
that
may
be
owned
or
controlled
by,
or
affiliated
with,
the
Government
of
Iran.
The
payments
were
made
in
accordance
with
applicable
laws
and
regulations
and
all
payments
were
received
from
the
privately-owned
Iranian
entities;
no
payments
were
received
directly
from
any
SDN
or
entity
owned
or
controlled
by,
or
affiliated
with,
the
Government
of
Iran.
Although
OFAC
has
issued
general
licenses
relating
to
the
sale
of
medical
devices,
these
licenses
do
not
apply
to
sales
of
non-U.S.
origin
items
by
non-
U.S.
persons.
Barclays
attributed
revenue
of
approximately
GBP
10
in
2020
in
relation
to
this
activity.
Barclays
maintains
customer
relationships
with
several
individuals
who
work
for
UK-based
entities
that
are
ultimately
owned
by
the
Government
of
Iran
and
are
SDNs.
Payments
are
received,
in
GBP,
from
a
UK-based
payment
services
company
or
in
cash,
and
are
credited
to
the
customers’
accounts
with
Barclays.
The
payments
are
processed
in
accordance
with
applicable
laws
and
regulations.
No
payments
are
received
directly
from
any
entity
owned
by
the
Government
of
Iran
or
any
SDN.
Barclays
attributed
no
revenue
in
2020
in
relation
to
this
activity.
Barclays
maintains
a
relationship
with
Her
Majesty's
Revenue
&
Customs
(“HMRC”),
a
UK
Government
agency,
which
receives
funds
from
Iranian
SDN
financial
institutions
in
relation
to
the
settlement
of
tax
liabilities
with
the
UK
Government.
The
payments
are
received
by
Barclays
and
credited
to
the
HMRC
account.
The
payment
activity
is
covered
by
a
license
issued
by
UK
Her
Majesty’s
Treasury
(“HMT”),
another
UK
Government
agency.
Barclays
also
received
a
one-off
credit
to
HMRC’s
accounts,
from
HMT,
to
settle
the
tax
liabilities
of
an
Iranian
SDN
financial
institution.
Barclays
attributed
revenue
of
approximately
GBP
30
in
2020
in
relation
to
this
activity.
Barclays
processed
four
transactions
to
embassies
of
the
Government
of
Iran
in
the
European
Union
(“EU”)
in
relation
to
fees
for
renewing
Iranian
passports
or
replacing
Iranian
passports
that
had
been
lost
or
stolen.
The
payments
were
processed
in
accordance
with
applicable
laws
and
regulations.
Barclays
attributed
no
revenue
in
2020
in
relation
to
this
activity.
In
November
2020,
a
Barclays
customer
was
designated
as
an
SDN
pursuant
to
the
W
MDPSR.
The
customer
had
two
accounts
with
Barclays,
containing
total
credits
of
less
than
GBP
1,
both
of
which
were
inactive
since
2010.
Barclays
exited
the
relationship
with
the
customer
and
closed
the
accounts.
Barclays
attributed
no
revenue
in
2020
in
relation
to
this
activity.
In
2020,
Barclays
processed
one
GBP
through
payment
from
an
entity
in
the
Netherlands,
affiliated
with
the
Government
of
Iran,
to
a
UK-based
barristers’
chambers.
Neither
entity
is
a
customer
of
Barclays.
The
payment
was
for
legal
services
provided
by
the
barristers’
chambers
related
to
two
pending
cases
between
Iran
and
the
U.S.
before
the
International
Court
of
Justice
(“ICJ”)
in
The
Hague.
The
payment
was
processed
in
accordance
with
applicable
laws
and
regulations.
OFAC’s
regulations
generally
authorize
the
provision
of
legal
services
to
the
Government
of
Iran
related
to
the
conduct
of
legal
proceedings
before
the
ICJ
involving
Iran
and
the
United
States.
However,
the
payment
for
legal
fees
did
not
fall
within
the
scope
of
any
authorization
from
OFAC
(nor
was
it
required
to,
as
there
was
no
U.S.
jurisdictional
nexus).
Barclays
attributed
revenue
of
approximately
GBP
15
in
2020
in
relation
to
this
activity.
Barclays
maintains
a
customer
relationship
with
a
UK-incorporated
charity
that
works
in
the
areas
of
blood
cancer
and
stem
cell
transplantation.
In
2020,
Barclays
processed
one
EUR
payment,
on
behalf
of
our
customer,
where
the
ultimate
beneficiary
of
the
payment
was
affiliated
with
the
Government
of
Iran.
The
payment
was
for
the
procurement
of
a
blood
sample
from
an
individual
in
Iran
and
shipping
of
the
sample
to
the
UK
to
determine
whether
the
individual
was
a
potential
donor
match
to
a
patient
in
the
UK.
The
payment
was
processed
in
accordance
with
applicable
laws
and
regulations.
Barclays
attributed
revenue
of
approximately
GBP
10
in
2020
in
relation
to
this
activity.
Barclays
maintains
a
customer
relationship
with
a
UK
university
specialising
in
medicine.
They
are
part
of
a
consortium
that
includes
a
Government
of
Iran
university,
which
has
received
funding
from
the
EU
to
conduct
research
into
a
tropical
disease.
Our
customer
is
the
administrator
for
the
consortium
and
is
responsible
for
distributing
the
funding.
Barclays
processes
grant
payments
to
the
Government
of
Iran
university’s
account
at
an
Iranian
SDN
financial
institution.
All
payments
were
processed
in
accordance
with
applicable
laws
and
regulations.
Barclays
attributed
revenue
of
approximately
GBP
15
in
2020
in
relation
to
this
activity.
Additional
information
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
205
Related
undertakings
The
Barclays
Bank
PLC
Group’s
corporate
structure
consists
of
a
number
of
related
undertakings,
comprising
subsidiaries,
joint
ventures,
associates
and
significant
other
interests.
A
full
list
of
these
undertakings,
the
country
of
incorporation
and
the
ownership
of
each
share
class
is
set
out
below.
The
information
is
provided
as
at
31
December
2020.
The
entities
are
grouped
by
the
countries
in
which
they
are
incorporated.
The
profits
earned
by
the
activities
of
these
entities
are
in
some
cases
taxed
in
countries
other
than
the
country
of
incorporation.
Barclays
PLC
2020
Country
Snapshot
provides
details
of
where
the
Barclays
PLC
Group
carries
on
its
business,
where
its
profits
are
subject
to
tax
and
the
taxes
it
pays
in
each
country
it
operates
in.
Wholly
owned
subsidiaries
Unless
otherwise
stated
the
undertakings
below
are
wholly
owned
and
consolidated
by
Barclays
Bank
PLC
and
the
share
capital
disclosed
comprises
ordinary
and/or
common
shares,
100%
of
the
nominal
value
of
which
is
held
by
Barclays
Bank
PLC
or
its
subsidiaries.
Notes
A
Directly
held
by
Barclays
Bank
PLC
Class
F
Preference
Shares,
Class
H
2012
B
Partnership
Interest
Ordinary
Shares,
Class
H
2012
Preference
C
Membership
Interest
Shares,
Class
H
Ordinary
Shares,
Class
H
D
Trust
Interest
Preference
Shares,
Class
I
Preference
Shares,
E
Guarantor
Class
J
Ordinary
Shares,
Class
J
Preference
Shares
F
Preference
Shares
W
First
Class
Common
Shares,
Second
Class
G
A
Preference
Shares
Common
Shares
H
B
Preference
Shares
X
Class
B
Redeemable
Preference
Shares
I
Ordinary/Common
Shares
in
addition
to
other
Y
EUR
Tracker
1
Shares,
GBP
Tracker
1
shares
Shares,
USD
Tracker
1
Shares,
USD
Tracker
2
J
A
Ordinary
Shares
Shares,
USD
Tracker
3
Shares
K
B
Ordinary
Shares
Z
Not
Consolidated
(see
Note
33
Structured
L
C
Ordinary
Shares
entities)
M
F
Ordinary
Shares
AA
USD
Linked
Ordinary
Shares
N
W
Ordinary
Shares
BB
Redeemable
Class
B
Shares
O
First
Preference
Shares,
Second
Preference
CC
Class
A
Redeemable
Preference
Shares
Shares
DD
Nominal
Shares
P
Registered
Address
not
in
country
of
incorporation
Q
Core
Shares,
Insurance
(Classified)
Shares
R
Capital
Contribution
Shares
S
A
Unit
Shares,
B
Unit
Shares
T
Non-Redeemable
Ordinary
Shares
U
C
Preference
Shares,
D
Preference
Shares
V
Class
A
Ordinary
Shares,
Class
B
Ordinary
Shares,
Class
C
Ordinary
Shares,
Class
C
Preference
Shares,
Class
D
Ordinary
Shares,
Class
D
Preference
Shares,
Class
E
Ordinary
Shares,
Class
E
Preference
Shares,
Class
F
Ordinary
Shares,
Wholly
owned
subsidiaries
Note
Wholly
owned
subsidiaries
Note
Wholly
owned
subsidiaries
Note
United
Kingdom
Durlacher
Nominees
Limited
A
Gerrard
Management
Services
Limited
(In
A
-
1
Churchill
Place,
London,
E14
5HP
Eagle
Financial
and
Leasing
Services
(UK)
A
Liquidation)
Aequor
Investments
Limited
Limited
Lombard
Street
Nominees
Limited
(In
A
Ardencroft
Investments
Limited
A
Equity
Value
Investments
No.1
Limited
A
Liquidation)
B
D
&
B
Investments
Limited
Equity
Value
Investments
No.2
Limited
Ruthenium
Investments
Limited
A
B.P.B.
(Holdings)
Limited
A
Finpart
Nominees
Limited
A
Liquidation)
Barclays
(Barley)
Limited
(In
Liquidation)
J,
K,
A
Foltus
Investments
Limited
Woolwich
Plan
Managers
Limited
(In
A
Barclays
Aldersgate
Investments
Limited
A
Hawkins
Funding
Limited
A
liquidation)
Barclays
Capital
Asia
Holdings
Limited
A
Heraldglen
Limited
I,
O
Woolwich
Surveying
Services
Limited
(In
A
Barclays
Capital
Finance
Limited
A
Isle
of
Wight
Home
Loans
Limited
A
liquidation)
Barclays
Capital
Japan
Securities
Holdings
J.V.
Estates
Limited
A
-
5
The
North
Colonnade,
London,
E14
4BB
Limited
Kirsche
Investments
Limited
A
Leonis
Investments
LLP
A,
B
Barclays
Capital
Nominees
(No.2)
Limited
Long
Island
Assets
Limited
-
9,
allée
Scheffer,
L-2520,
Luxembourg
Barclays
Capital
Nominees
(No.3)
Limited
A
Maloney
Investments
Limited
A
Barclays
Claudas
Investments
Partnership
B,
P
Barclays
Capital
Nominees
Limited
A
Menlo
Investments
Limited
A
Barclays
Pelleas
Investments
Limited
B,
P
Barclays
Capital
Securities
Client
Nominee
A
Mercantile
Credit
Company
Limited
A
Partnership
Limited
Mercantile
Leasing
Company
(No.132)
A
Barclays
Blossom
Finance
General
Partnership
B,
P
Barclays
Capital
Securities
Limited
A,
F,
I
Limited
Barclays
CCP
Funding
LLP
A,
B
MK
Opportunities
LP
B
Argentina
Barclays
Directors
Limited
A
Murray
House
Investment
Management
A
-
855
Leandro
N.Alem
Avenue,
8th
Floor,
Barclays
Executive
Schemes
Trustees
Limited
A
Limited
(In
Liquidation)
Buenos
Aires
Barclays
Group
Holdings
Limited
A
Naxos
Investments
Limited
A
Compañía
Sudamerica
S.A.
A
Barclays
International
Holdings
Limited
A
Northwharf
Nominees
Limited
A
-
Marval,
O’Farrell
&
Mairal,
Av.
Leandro
N.
Barclays
Investment
Management
Limited
A
Real
Estate
Participation
Management
Alem
882,
Buenos
Aires,
C1001AAQ
Barclays
Long
Island
Limited
A
Limited
Compañia
Regional
del
Sur
S.A.
A
Barclays
Marlist
Limited
A
Real
Estate
Participation
Services
Limited
Barclays
Nominees
(George
Yard)
Limited
A,
Z
Relative
Value
Investments
UK
Limited
B
Brazil
Barclays
Pension
Funds
Trustees
Limited
A
Liability
Partnership
-
Av.
Brigadeiro
Faria
Lima,
No.
4.440,
12th
Barclays
Private
Bank
Relative
Value
Trading
Limited
Floor,
Bairro
Itaim
Bibi,
Sao
Paulo,
CEP,
Barclays
Services
(Japan)
Limited
A
Roder
Investments
No.
1
Limited
A,
I,
Y
04538-132
Barclays
Shea
Limited
A
Roder
Investments
No.
2
Limited
A,
I,
Y
Barclays
Brasil
Assessoria
Financeira
Ltda
A
Barclays
Term
Funding
Limited
Liability
B
RVT
CLO
Investments
LLP
B
BNC
Brazil
Consultoria
Empresarial
Ltda
A
Partnership
Surety
Trust
Limited
A
Barclays
Wealth
Nominees
Limited
A
Swan
Lane
Investments
Limited
Canada
Barcosec
Limited
A
US
Real
Estate
Holdings
No.1
Limited
-
333
Bay
Street,
Suite
4910,
Toronto
ON
M5H
Barsec
Nominees
Limited
A
US
Real
Estate
Holdings
No.2
Limited
2R2
BB
Client
Nominees
Limited
A
US
Real
Estate
Holdings
No.3
Limited
Barclays
Capital
Canada
Inc.
BMBF
(No.24)
Limited
US
Real
Estate
Holdings
No.4
Limited
-
Stikeman
Elliot
LLP,
199
Bay
Street,
5300
BMI
(No.9)
Limited
Wedd
Jefferson
(Nominees)
Limited
A
Commerce
Court
West,
Toronto
ON
M5L
1B9
Chapelcrest
Investments
Limited
Westferry
Investments
Limited
A
Barclays
Corporation
Limited
A
Clydesdale
Financial
Services
Limited
Woolwich
Qualifying
Employee
Share
A
Cobalt
Investments
Limited
A
Ownership
Trustee
Limited
Cayman
Islands
Cornwall
Homes
Loans
Limited
A
Zeban
Nominees
Limited
A
-
Maples
Corporate
Services
Limited,
PO
Box
CP
Flower
Guaranteeco
(UK)
Limited
(In
A,
E
-
Hill
House,
1
Little
New
Street,
London,
Liquidation)
EC4A
3TR
Cayman,
KY1-1104
DMW
Realty
Limited
A
Barclays
Nominees
(Branches)
Limited
(In
A
Alymere
Investments
Limited
G,
H,
I
Dorset
Home
Loans
Limited
A
Liquidation)
Analytical
Trade
UK
Limited
Wholly
owned
subsidiaries
Note
Wholly
owned
subsidiaries
Note
Wholly
owned
subsidiaries
Note
Barclays
Capital
(Cayman)
Limited
A
-
25-28
North
Wall
Quay,
Dublin
1,
Mexico
Barclays
Securities
Financing
Limited
F,
I
D01H104
-
Paseo
de
la
Reforma
505,
41
Floor,
Torre
Braven
Investments
No.1
Limited
Erimon
Home
Loans
Ireland
Limited
A
Mayor,
Col.
Cuauhtemoc,
CP
06500
Calthorpe
Investments
Limited
Barclays
Bank
Mexico,
S.A.
Additional
information
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
206
Capton
Investments
Limited
A
Isle
of
Man
Barclays
Capital
Casa
de
Bolsa,
S.A.
de
C.V.
Claudas
Investments
Limited
A,
I,
CC,
X
-
P
O
Box
9,
Victoria
Street,
Grupo
Financiero
Barclays
Mexico,
A,
K,
M
Claudas
Investments
Two
Limited
Douglas,
IM99
1AJ
S.A.
de
C.V.
Gallen
Investments
Limited
Barclays
Holdings
(Isle
of
Man)
Limited
(In
A
Servicios
Barclays,
S.A.
de
C.V.
Hurley
Investments
No.1
Limited
Liquidation)
JV
Assets
Limited
L
Barclays
Nominees
(Manx)
Limited
A
Monaco
Mintaka
Investments
No.
4
Limited
Barclays
Private
Clients
International
A,
J,
K
-
31
Avenue
de
la
Costa,
Monte
Carlo
OGP
Leasing
Limited
Limited
BP
339
Palomino
Limited
A,
Z
Barclays
Private
Asset
Management
Pelleas
Investments
Limited
A
Japan
(Monaco)
S.A.M
Pippin
Island
Investments
Limited
A
-
10-1,
Roppongi
6
-chome,
Minato
-ku,
Razzoli
Investments
Limited
A,
F,
I
Tokyo
Philippines
RVH
Limited
A,
F,
I
Barclays
Funds
and
Advisory
Japan
Limited
-
21/F,
Philamlife
Tower,
8767
Paseo
de
Wessex
Investments
Limited
Barclays
Securities
Japan
Limited
Roxas,
Makati
City,
1226
-
Walkers
Corporate
Limited,
Cayman
Barclays
Wealth
Services
Limited
Meridian
(SPV-AMC)
Corporation
Corporate
Centre,
27
Hospital
Road,
George
Town,
KY1-
9008
Jersey
Saudi
Arabia
Long
Island
Holding
B
Limited
A
-
2
nd
-
3
rd
Esplanade,
St.
Helier,
JE1
1GH
Street,
PO
Box
1454,
Riyadh
11431
Germany
Barclays
Services
Jersey
Limited
A
Barclays
Saudi
Arabia
(In
Liquidation)
A
-
TaunusTurm,
Taunustor
1,
60310,
-
5
Esplanade,
St.
Helier,
JE2
3QA
Barclays
Wealth
Management
Jersey
A
Singapore
Barclays
Capital
Effekten
GmbH
A
Limited
-
10
Marina
Boulevard,
#24-
01
Marina
Bay
-
Stuttgarter
Straße
55-57,
73033
BIFML
PTC
Limited
A
Göppingen
-
13
Castle
Street,
St.
Helier,
JE4
5UT
Barclays
Capital
Futures
(Singapore)
Private
Holding
Stuttgarter
Straße
GmbH
(In
Barclays
Index
Finance
Trust
S
Limited
Liquidation)
-
Lime
Grove
House,
Green
Street,
Barclays
Capital
Holdings
(Singapore)
A
St
Helier,
JE1
2ST
Private
Limited
Guernsey
Barbridge
Limited
(In
Liquidation)
A,
I,
DD
Barclays
Merchant
Bank
(Singapore)
Ltd.
-
P.O.
Box
33,
Dorey
Court,
Admiral
Park,
St.
-
13
Library
Place,
St
Helier,
JE4
8NE
Barclays
Nominees
(Jersey)
Limited
A
Spain
Barclays
Insurance
Guernsey
PCC
Limited
A,
Q
Barclaytrust
Channel
Islands
Limited
A
-
Calle
Jose,
Abascal
51,
28003,
Madrid
Barclays
UKRF
No.1
IC
Limited
Z
-
Estera
Trust
(Jersey)
Limited,
13-14
Barclays
Tenedora
De
Inmuebles
SL.
A
Barclays
UKRF
ICC
Limited
Z
Esplanade,
St
Helier,
JE1
1EE
BVP
Galvani
Global,
S.A.U.
A
-
PO
BOX
41,
Floor
2,
Le
Marchant
House,
Le
MK
Opportunities
GP
Ltd
A
Switzerland
Barclays
Nominees
(Guernsey)
Limited
(In
A
Luxembourg
-
Chemin
de
Grange
Canal
18
-20,
PO
Box
Liquidation)
-
9,
allée
Scheffer,
L-2520
3941,
1211,
Geneva
Barclays
Alzin
Investments
S.à
r.l.
Barclays
Bank
(Suisse)
SA
Hong
Kong
Barclays
Bayard
Investments
S.à
r.l.
J,
K
BPB
Holdings
SA
-
42nd
floor
Citibank
Tower,
Citibank
Plaza,
Barclays
Bedivere
Investments
S.à
r.l.
3
Garden
Road
Barclays
Bordang
Investments
S.à
r.l.
United
States
Barclays
Bank
(Hong
Kong
Nominees)
Limited
A
Barclays
BR
Investments
S.à
r.l.
(in
Liquidation)
Barclays
Cantal
Investments
S.à
r.l.
251
Little
Falls
Drive,
Wilmington,
Barclays
Capital
Asia
Nominees
Limited
(In
Barclays
Capital
Luxembourg
S.à
r.l.
DE
19808
Liquidation)
Barclays
Capital
Trading
Luxembourg
S.à
r.l.
J,
K
Analytical
Trade
Holdings
LLC
-
Level
41,
Cheung
Kong
Center,
2
Queen's
Barclays
Claudas
Investments
S.à
r.l.
Analytical
Trade
Investments
LLC
BB
Road,
Central
Barclays
Equity
Index
Investments
S.à
r.l.
Archstone
Equity
Holdings
Inc
Barclays
Capital
Asia
Limited
A
Barclays
International
Luxembourg
Dollar
Barclays
Bank
Delaware
F,
I
Holdings
S.à
r.l.
Barclays
Capital
Derivatives
Funding
LLC
C
India
Barclays
Lamorak
Investments
S.à
r.l.
T
Barclays
Capital
Energy
Inc.
-
208
Ceejay
House,
Shivsagar
Estate,
Dr
A
Barclays
Leto
Investments
S.à
r.l.
Barclays
Capital
Holdings
Inc.
G,
H,
I
Beasant
Road,
Worli,
Mumbai,
400
018
Barclays
Luxembourg
EUR
Holdings
S.à
r.l
T
Barclays
Capital
Real
Estate
Finance
Inc.
Barclays
Securities
(India)
Private
Limited
Barclays
Luxembourg
Finance
S.à
r.l.
Barclays
Capital
Real
Estate
Holdings
Inc.
Barclays
Wealth
Trustees
(India)
Private
Barclays
Luxembourg
GBP
Holdings
S.à
r.l.
T
Barclays
Capital
Real
Estate
Inc.
Limited
Barclays
Luxembourg
Global
Funding
S.à
r.l.
Barclays
Commercial
Mortgage
Securities
C
-
Level
10,
Block
B6,
Nirlon
Knowledge
Barclays
Luxembourg
Holdings
S.à
r.l.
I,
AA
LLC
Park,
Off
Western
Express
Highway
Barclays
Luxembourg
Holdings
SSC
B
Barclays
Capital
Equities
Trading
GP
B
Barclays
Pelleas
Investments
S.à
r.l.
Barclays
Dryrock
Funding
LLC
C
Barclays
Investments
&
Loans
(India)
A,
F,
I
-
68-70
Boulevard
de
la
Petrusse,
L-
2320
Barclays
Electronic
Commerce
Holdings
Inc.
Private
Limited
Adler
Toy
Holding
Sarl
Barclays
Financial
LLC
C
Barclays
Group
US
Inc.
G,
I
Ireland
Mauritius
Barclays
Insurance
U.S.
Inc.
-
One
Molesworth
Street,
Dublin
2,
-
C/O
Rogers
Capital
Corporate
Services
Barclays
Oversight
Management
Inc.
D02RF29
Limited,
3
rd
Barclays
Receivables
LLC
C
Additional
information
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
207
Barclays
Bank
Ireland
Public
Limited
A
President
John
Kennedy
Street,
Port
Louis
Barclays
Services
Corporation
Company
Barclays
Capital
Mauritius
Limited
A
Barclays
Services
LLC
C
Barclays
Europe
Client
Nominees
Barclays
Capital
Securities
Mauritius
A
Barclays
US
CCP
Funding
LLC
C
Designated
Activity
Company
Limited
Barclays
US
Funding
LLC
C
Barclays
Europe
Firm
Nominees
Designated
-
Fifth
Floor,
Ebene
Esplanade,
24
Barclays
US
Investments
Inc.
J,
K
Activity
Company
Cybercity,
Ebene
Barclays
US
LLC
G,H,I,
U
Barclays
Europe
Nominees
Designated
Barclays
Mauritius
Overseas
Holdings
A
BCAP
LLC
C
Limited
Crescent
Real
Estate
Member
LLC
C
Wholly
owned
subsidiaries
Note
Other
Related
Undertakings
Unless
otherwise
stated,
the
undertakings
below
are
consolidated
and
the
share
capital
disclosed
comprises
ordinary
and/or
common
shares
which
are
held
by
subsidiaries
of
the
Barclays
Bank
PLC
Group.
The
Barclays
Bank
PLC
Group’s
overall
ownership
percentage
is
provided
for
each
undertaking.
Other
Related
Undertakings
%
Note
Curve
Investments
GP
B
Monaco
Gracechurch
Services
Corporation
-
31
Avenue
de
la
Costa,
Monte
Lagalla
Investments
LLC
Carlo
Long
Island
Holding
A
LLC
C
Societe
Civile
Immobiliere
31
75.00
A
LTDL
Holdings
LLC
C
Marbury
Holdings
LLC
Portugal
Procella
Investments
No.2
LLC
C
Costa
no.
15-
A,
2750
-423
Procella
Investments
No.3
LLC
C
Cascais
Preferred
Liquidity,
LLC
J
Other
Related
Undertakings
%
Note
Projepolska,
S.A.
(In
Liquidation)
24.50
Z
Relative
Value
Holdings,
LLC
United
Kingdom
Surrey
Funding
Corporation
-
1
Churchill
Place,
London,
E14
5HP
United
States
of
America
Sussex
Purchasing
Corporation
PSA
Credit
Company
Limited
50.00
A,
J,
L
-
Corporation
Service
Company,
Sutton
Funding
LLC
C
(In
Liquidation)
251
Little
Falls
Drive,
TPProperty
LLC
C
-
3
-
5
London
Road,
Rainham,
Kent,
1209
Orange
Street,
US
Secured
Investments
LLC
R
ME8
7RG
Wilmington
DE
,19808
Verain
Investments
LLC
Trade
Ideas
Limited
20.00
A,
Z
DG
Solar
Lessee
II,
LLC
75.00
C,
Z
Wilmington
Riverfront
Receivables
LLC
J,
K
-
50
Lothian
Road,
Festival
Square,
DG
Solar
Lessee,
LLC
75.00
C,
Z
-
Corporation
Service
Company,
100
Pearl
Edinburgh,
EH3
9WJ
-
Corporation
Trust
Company,
Street,
17
th
Equistone
Founder
Partner
II
L.P.
20.00
A,
B,
Z
Corporation
Trust
Centre,
1209
CT
06103
Equistone
Founder
Partner
III
L.P.
35.00
A,
B,
Z
Orange
Street,
Wilmington
DE
Barclays
Capital
Inc.
-
Enigma,
Wavendon
Business
Park
19801
-
Corporation
Service
Company,
80
State
Milton
Keynes,
MK17
8LX
VS
BC
Solar
Lessee
I
LLC
50.00
C,
Z
Street,
Albany,
NY,
12207-
2543
Intelligent
Processing
Solutions
Limited
19.50
A,
Z
Subsidiaries
by
virtue
of
control
The
related
undertakings
below
are
Subsidiaries
in
accordance
with
s.1162
Companies
Act
2006
as
Barclays
can
exercise
dominant
influence
or
control
over
them.
Barclays
Payment
Solutions
Inc.
-
65A
Basinghall
Street,
London,
-Corporation
Service
Company,
2626
EC2V
5DZ
Glenwood
Ave,
Suite
550,
Raleigh,
NC,
Cyber
Defence
Alliance
Limited
25.00
A,
E,
Z
27608
Barclays
US
GPF
Inc.
Cayman
Islands
Equifirst
Corporation
(In
Liquidation)
-PO
Box
309GT,
Ugland
House,
-
745
Seventh
Avenue,
New
York
NY
10019
South
Church
Street,
Grand
Subsidiaries
by
virtue
of
control
%
Note
Alynore
Investments
Limited
Partnership
B
Cayman,
KY1-1104
United
Kingdom
Barclays
US
Holdings
Limited
90
A,
J
-
1
Churchill
Place,
London,
Zimbabwe
E14
5HP
-
2
Premium
Close,
Mount
Pleasant
Business
Korea,
Republic
of
Oak
Pension
Asset
0.00
Z
Park,
Mount
Pleasant,
Harare
-
18
th
Management
Limited
Branchcall
Computers
(Pvt)
Limited
A
343,
Samil-daero,
Jung-go,
Seoul
Water
Street
Investments
0.00
Z
Woori
BC
Pegasus
70.00
A,
W
Limited
Securitization
Specialty
Co.,
Limited
Cayman
Islands
-
PO
Box
309GT,
Ugland
Luxembourg
House
South
Church
Street,
-
9,
allée
Scheffer,
L-2520
Grand
Cayman,
KY1-1104
Preferred
Funding
S.à
r.l.
33.33
X
Hornbeam
Limited
0.00
Z
Preferred
Investments
S.à
r.l.
33.33
I,
X
Malta
-
RS2
Buildings,
Fort
Road,
Mosta
MST
1859
RS2
Software
PLC
18.25
A,
Z
Additional
information
Income
statement
commentary
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
208
Income
Statement
commentary
Barclays
Bank
PLC
continued
to
support
its
customers
and
clients
through
the
COVID-19
pandemic
by
providing
or
facilitating
lending,
through
a
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
payment
holidays,
were
introduced
to
help
customers
and
clients.
2020
compared
to
2019
●
Profit
before
tax
decreased
1%
to
£3,075m
driven
by
a
£1,412m
decrease
in
CC&P
to
a
loss
before
tax
of
£292m.
This
was
partially
offset
by
a
£1,339m
increase
in
CIB
to
£3,929m
and
a
lower
loss
in
Head
Office
of
£562m
(2019:
£598m)
●
Total
income
increased
11%
to
£15,778m
–
CIB
income
increased
26%
to
£12,607m
driven
by
a
52%
increase
in
Markets,
reflecting
gains
in
market
share
as
well
as
an
increase
in
market
size
a
,
wider
spreads,
higher
levels
of
client
activity
and
volatility,
an
8%
increase
in
Banking
fees,
partially
offset
by
a
12%
decline
in
Corporate
as
deposit
balance
growth
was
more
than
offset
by
margin
compression
and
due
to
the
impact
of
losses
on
the
mark
to
market
of
lending
and
related
hedge
positions,
and
the
carry
costs
of
those
hedges
–
CC&P
income
decreased
22%
to
£3,490m
reflecting
lower
cards
balances,
margin
compression
and
reduced
payments,
which
were
impacted
by
the
COVID-19
pandemic,
and
disposal
of
Barclays
Partner
Finance
(BPF)
within
the
Barclays
Group
in
Q220.
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
was
an
expense
of
£319m
(2019:
£320m)
which
included
hedge
accounting
and
funding
costs
on
legacy
capital
instruments,
including
£85m
from
repurchases
of
the
Barclays
Bank
PLC
7.625%
Contingent
Capital
Note.
●
Credit
impairment
charges
increased
to
£3,377m
(2019:
£1,202m)
–
CIB
credit
impairment
charges
increased
to
£1,565m
(2019:
£157m)
due
to
the
deterioration
in
economic
outlook
driven
by
the
COVID-19
pandemic.
The
current
year
charge
is
broadly
driven
by
£711m
of
non
default
provisions
for
future
expected
customer
and
client
stress
and
c.£800m
of
single
name
wholesale
loan
charges
–
CC&P
credit
impairment
charges
increased
to
£1,720m
(2019:
£1,016m)
due
to
the
deterioration
in
economic
outlook
driven
by
the
COVID-19
pandemic.
The
current
year
charge
is
broadly
driven
by
£752m
of
non
default
provisions
for
future
expected
customer
and
client
stress.
As
at
31
December
2020,
30
and
90
day
arrears
in
US
cards
were
2.5%
(Q419:
2.7%)
and
1.4%
(Q419:
1.4%)
respectively
–
Head
Office
credit
impairment
charges
increased
to
£92m
(2019:
£29m)
due
to
the
deterioration
in
economic
outlook
driven
by
the
COVID-19
pandemic.
The
incremental
£63m
charge
is
primarily
driven
by
provision
for
future
expected
customer
stress
in
the
Italian
home
loan
portfolio
●
Total
operating
expenses
decreased
5%
to
£9,459m
–
CIB
total
operating
expenses
decreased
3%
to
£7,129m
due
to
cost
efficiencies
and
discipline
in
the
current
environment,
partially
offset
by
higher
bank
levy
charge
mainly
due
to
the
non
recurrence
of
prior
year
adjustments
–
CC&P
total
operating
expenses
decreased
8%
to
£2,176m
reflecting
cost
efficiencies,
lower
marketing
spend
due
to
the
impacts
of
the
COVID-19
pandemic
and
disposal
of
BPF
–
Head
Office
total
operating
expenses
decreased
36%
to
£154m
due
to
lower
litigation
and
conduct
charges,
partially
offset
by
charitable
donations
from
Barclays’
COVID-19
Community
Aid
Package
●
Other
net
income
of
£133m
(2019:
£145m)
reflects
gains
on
disposals
following
the
sale
of
a
number
of
subsidiaries
within
the
Barclays
Group
Please
refer
to
the
Financial
review
section
in
the
Annual
Report
on
form
20-F
2019
for
a
comparative
discussion
of
2019
financial
results
compared
to
2018.
Notes
a
Data
source:
Coalition
Greenwich,
Preliminary
FY20
Competitor
Analysis.
Market
share
represents
Barclays
share
of
the
Global
Industry
Revenue
Pool.
Analysis
is
based
on
Barclays
internal
business
structure
and
internal
revenues.
For
the
year
ended
31
December
2020
2019
Return
on
average
total
assets
0.16%
0.21%
Dividend
payout
ratio
15%
11
%
Average
total
equity
to
average
total
assets
4.9%
5.0%
Guide
3
ratios
Additional
information
Balance
sheet
commentary
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
209
Total
assets
Total
assets
increased
by
£183bn
to
£1,060bn.
Cash
and
balances
at
central
banks
increased
£30bn
to
£156bn
due
to
an
increase
in
the
liquidity
pool
predominantly
driven
by
an
increase
in
customer
deposits.
Cash
collateral
and
settlement
balances
increased
£18bn
to
£98bn,
predominantly
due
to
increased
activity.
Loans
and
advances
decreased
£7bn
to
£134bn
mainly
due
to
lower
unsecured
lending
balances
in
CC&P.
Reverse
repurchase
agreements
and
other
similar
secured
lending
increased
£7bn
driven
by
an
increase
in
liquidity
pool
assets.
Trading
portfolio
assets
increased
£14bn
to
£128bn
due
to
increased
client
activity.
Financial
assets
at
fair
value
through
the
income
statement
increased
£42bn
to
£172bn
driven
by
reverse
repurchase
agreements
and
similar
secured
lending.
Derivative
financial
instruments
increased
£73bn
to
£303bn,
driven
by
a
decrease
in
major
interest
rate
curves
and
increased
client
activity.
Financial
assets
at
fair
value
through
other
comprehensive
income
increased
£6bn
to
£52bn
due
to
an
increase
in
the
liquidity
pool
predominantly
driven
by
an
increase
in
customer
deposits.
Total
liabilities
Total
liabilities
increased
£180bn
to
£1,006bn.
Deposits
at
amortised
cost
increased
£31bn
to
£245bn
primarily
due
to
CIB
clients
increasing
liquidity.
Cash
collateral
and
settlement
balances
increased
£18bn
to
£86bn,
predominantly
due
to
increased
activity.
Repurchase
agreements
and
other
similar
secured
borrowing
increased
£8bn
to
£10bn
driven
by
increased
secured
borrowing.
Debt
securities
in
issue
and
subordinated
liabilities
had
a
net
decrease
of
£6bn
due
to
the
maturity
of
a
number
of
issuances
which
were
not
refinanced.
Trading
portfolio
liabilities
increased
£11bn
to
£46bn
due
to
increased
client
activity.
Financial
liabilities
designated
at
fair
value
increased
£45bn
to
£250bn
primarily
driven
by
repurchase
agreements
and
secured
lending.
Derivative
financial
instruments
increased
£72bn
to
£301bn,
driven
by
a
decrease
in
major
interest
rate
curves
and
increased
client
activity.
This
is
consistent
with
the
movement
in
derivative
financial
instrument
assets.
Total
shareholders’
equity
Total
shareholders’
equity
increased
£3bn
to
£54bn.
Other
equity
instruments
increased
£0.3bn
to
£8.6bn
driven
by
AT1
instrument
issuances
of
£1.1bn,
partially
offset
by
AT1
redemptions
during
the
year
with
principal
amounts
of
£0.8bn.
AT1
securities
are
perpetual
subordinated
contingent
convertible
securities
structured
to
qualify
as
AT1
instruments
under
prevailing
capital
rules
applicable
as
at
the
relevant
issue
date.
The
fair
value
through
other
comprehensive
income
reserve
increased
£0.4bn
driven
by
an
increase
in
the
fair
value
of
bonds
due
to
decreasing
bond
yields.
The
cash
flow
hedging
reserve
increased
£0.8bn
as
a
result
of
the
fair
value
movements
of
interest
rate
swaps
held
for
hedging
purposes
due
to
a
decrease
in
major
interest
rate
curves.
The
currency
translation
reserve
decreased
£0.6bn
to
£2.7bn
reflecting
the
increase
in
value
of
period
end
GBP
against
USD
partially
offset
by
the
decrease
in
value
of
period
end
GBP
against
EUR.
The
own
credit
reserve
decreased
£0.6bn
to
£1.0bn
debit
due
to
a
tightening
of
Barclays’
credit
spreads
increasing
the
fair
value
of
liabilities
on
balance
sheet.
Retained
earnings
increased
£2.9bn
driven
by
£1.8bn
profit
after
tax
and
a
£1.5bn
capital
contribution
received
from
Barclays
PLC,
partially
offset
by
dividends
paid
on
ordinary
and
preference
shares
totalling
£0.3bn.
Additional
information
Additional
financial
disclosure
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
210
Deposits
and
short-term
borrowings
Deposits
Deposits
include
deposits
from
banks
and
customer
accounts.
2020
2019
2018
Average
for
the
year
ended
31
December
£m
£m
£m
Deposits
at
amortised
cost
UK
148,711
130,726
272,730
Europe
46,353
39,496
32,886
Americas
36,841
31,815
44,562
Asia
12,269
9,268
6,062
Africa
8,290
7,802
6,702
Total
deposits
at
amortised
cost
252,464
219,107
362,942
2020
2019
2018
For
the
year
ended
31
December
a
£m
£m
£m
Deposits
at
amortised
cost
244,696
213,881
399,189
In
offices
in
the
United
Kingdom:
Current
and
demand
accounts
-
interest
free
44,371
31,865
92,008
-
interest
bearing
29,655
25,040
35,442
Savings
accounts
17,251
14,059
121,600
Other
time
deposits
-
retail
4,683
4,846
12,467
Other
time
deposits
-
wholesale
67,192
62,949
60,475
Total
repayable
in
offices
in
the
United
Kingdom
163,152
138,759
321,992
In
offices
outside
the
United
Kingdom:
Current
and
demand
accounts
-
interest
free
15,309
10,613
8,950
-
interest
bearing
13,772
12,932
9,606
Savings
accounts
14,940
14,110
12,738
Other
time
deposits
37,523
37,467
45,903
Total
repayable
in
offices
outside
the
United
Kingdom
81,544
75,122
77,197
Deposits
at
amortised
cost
amounts
in
offices
in
the
United
Kingdom
received
from
non-residents
amounted
to
£31,818m
(2019:
£32,499m).
Note
a
The
UK/Non-UK
deposit
analysis
is
based
on
the
location
of
the
office
where
the
transactions
are
recorded.
Short-term
borrowings
Short-term
borrowings
include
deposits
from
banks,
commercial
paper,
negotiable
certificates
of
deposit
and
repurchase
agreements.
Deposits
from
banks
Deposits
from
banks
are
taken
from
a
wide
range
of
counterparties
and
generally
have
maturities
of
less
than
one
year.
2020
2019
£m
£m
Year
-end
balance
17,331
18,144
Average
balance
a
25,208
24,812
Maximum
balance
a
38,199
29,754
Average
interest
rate
during
year
0.3%
1.5%
Year
-end
interest
rate
0.5%
2.2%
Notes
a
Calculated
based
on
month
-end
balances.
Commercial
paper
Commercial
paper
is
issued
by
the
Group,
mainly
in
the
United
States,
generally
in
denominations
of
not
less
than
$100,000,
with
maturities
of
up
to
270
days.
Additional
information
Additional
financial
disclosure
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
211
2020
2019
£m
£m
Year
-end
balance
13,528
13,874
Average
balance
a
17,912
17,475
Maximum
balance
a
21,250
20,381
Average
interest
rate
during
year
1.1%
1.0%
Year
-end
interest
rate
1.4%
1.2%
Note
a
Calculated
based
on
month
-end
balances.
Negotiable
certificates
of
deposit
Negotiable
certificates
of
deposits
are
issued
mainly
in
the
United
Kingdom
and
United
States,
generally
in
denominations
of
not
less
than
$100,000.
2020
2019
£m
£m
Year
-end
balance
6,803
7,716
Average
balance
a
11,965
10,619
Maximum
balance
a
17,667
13,315
Average
interest
rate
during
year
0.8%
3.0%
Year
-end
interest
rate
1.4%
4.1%
Note
a
Calculated
based
on
month
-end
balances.
Repurchase
agreements
Repurchase
agreements
are
entered
into
with
both
customers
and
banks
and
generally
have
maturities
of
not
more
than
three
months.
2020
2019
£m
£m
Year
-end
balance
10,443
2,032
Average
balance
a
8,566
4,542
Maximum
balance
a
19,129
9,739
Average
interest
rate
during
year
0.4%
0.7%
Year
-end
interest
rate
0.3%
1.5%
Note
a
Calculated
based
on
month
-end
balances.
Commitments
and
contractual
obligations
Commercial
commitments
include
guarantees,
contingent
liabilities
and
standby
facilities.
Commercial
commitments
Amount
of
commitment
expiration
per
period
Less
than
one
year
Between
one
to
three
years
Between
three
to
five
years
After
five
years
Total
amounts
committed
£m
£m
£m
£m
£m
As
at
31
December
2020
Guarantees
and
letters
of
credit
pledged
as
collateral
security
-
-
Performance
guarantees,
acceptances
and
endorsements
-
-
Documentary
credits
and
other
short-term
trade
related
transactions
-
-
-
Standby
facilities,
credit
lines
and
other
commitments
As
at
31
December
2019
Guarantees
and
letters
of
credit
pledged
as
collateral
security
-
Performance
guarantees,
acceptances
and
endorsements
Documentary
credits
and
other
short-term
trade
related
transactions
-
-
-
Standby
facilities,
credit
lines
and
other
commitments
Contractual
obligations
include
debt
securities.
Additional
information
Additional
financial
disclosure
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
212
Contractual
obligations
Less
than
one
year
Between
one
to
three
years
Between
three
to
five
years
After
five
years
Total
£m
£m
£m
£m
£m
As
at
31
December
2020
Long-term
debt
a
29,434
11,644
9,478
15,797
66,353
As
at
31
December
2019
Long-term
debt
a
25,786
21,979
13,457
18,779
80,001
Note
a
Long-term
debt
has
been
prepared
to
reflect
cash
flows
on
an
undiscounted
basis
,
which
includes
interest
payments.
Net
cash
flows
from
derivatives
used
to
hedge
long-term
debt
amount
to
£2.3bn
(2019:
£1.6bn).
Further
information
on
the
contractual
maturity
of
the
Barclays
Bank
Group’s
assets
and
liabilities
is
given
in
the
Liquidity
risk
section.
Securities
Investment
securities
include
securities
reported
within
loans
and
advances
at
amortised
cost
and
financial
assets
at
fair
value
through
other
comprehensive
income.
Other
securities
include
securities
reported
within
trading
portfolio
and
financial
assets
at
fair
value
through
the
income
statement
.
Analysis
of
securities
2020
2019
2018
As
at
31
December
£m
£m
£m
Investment
securities
US
government,
other
public
bodies
and
agencies
13,731
11,628
9,078
United
Kingdom
government
13,617
12,880
7,516
Other
government
16,929
11,685
15,483
Mortgage
and
asset
backed
securities
1,702
1,019
617
Corporate
and
other
issuers
20,894
18,476
13,466
Debt
securities
66,873
55,688
46,160
Equity
securities
1
1
11
Investment
securities
66,874
55,689
46,171
Other
securities
US
government,
other
public
bodies
and
agencies
21,004
19,410
23,890
United
Kingdom
government
7,141
10,380
10,005
Other
government
17,582
11,622
9,825
Mortgage
and
asset
backed
securities
1,733
2,354
2,023
Corporate
and
other
issuers
10,433
13,334
15,906
Debt
securities
57,893
57,100
61,649
Equity
securities
65,934
62,549
44,737
Other
securities
123,827
119,649
106,386
Investment
debt
securities
include
government
securities
held
as
part
of
the
Group’s
treasury
management
portfolio
for
asset
and
liability,
liquidity
and
regulatory
purposes
and
are
for
use
on
a
continuing
basis
in
the
activities
of
the
Group.
In
addition,
the
Group
holds
as
investments
listed
and
unlisted
corporate
securities.
Additional
information
Additional
financial
disclosure
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
213
Maturities
and
yield
of
investment
debt
securities
Maturing
within
one
year
Maturing
after
one
but
within
five
years
Maturing
after
five
but
within
ten
years
Maturing
after
ten
years
Total
Amount
Yield
Amount
Yield
Amount
Yield
Amount
Yield
Amount
Yield
As
at
31
December
2020
£m
%
£m
%
£m
%
£m
%
£m
%
US
government,
other
public
bodies
and
agencies
1,344
0.4%
6,800
0.6%
4,248
1.2%
1,339
2.5%
13,731
1.0%
United
Kingdom
government
653
1.3%
5,716
1.5%
1,482
2.6%
5,766
1.1%
13,617
1.4%
Other
government
1,593
2.6%
3,990
1.7%
7,728
0.6%
3,618
1.6%
16,929
1.3%
Other
issuers
2,313
0.4%
11,464
1.7%
6,267
1.1%
2,552
1.2%
22,596
1.3%
Total
book
value
5,903
1.1%
27,970
1.4%
19,725
1.0%
13,275
1.4%
66,873
1.3%
The
yield
for
each
range
of
maturities
is
calculated
by
dividing
the
annualised
interest
income
prevailing
at
reporting
date
by
the
book
value
of
securities
held
at
that
date.
The
above
table
is
only
for
debt
securities
held
at
the
reporting
date
and
does
not
include
associated
hedges.
Additional
information
Additional
financial
disclosure
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
214
Average
balance
sheet
Average
balances
are
based
upon
monthly
averages.
Assets
2020
Average
balance
Interest
income
Interest
expenseᵃ
Total
interest
Rate
£m
£m
£m
£m
%
Cash
and
balances
at
central
banks
UK
44,950
84
-
84
0.2
Cash
and
balances
at
central
banks
Non-UK
123,162
142
(281)
(139)
(0.1)
Cash
and
balances
at
central
banks
Total
168,112
226
(281)
(55)
-
Loans
and
advances
at
amortised
cost
UK
78,833
1,500
-
1,500
1.9
Loans
and
advances
at
amortised
cost
Non-UK
73,781
3,010
(4)
3,006
4.1
Loans
and
advances
at
amortised
cost
b
Total
152,614
4,510
(4)
4,506
3.0
Cash
collateral
UK
61,503
196
(31)
165
0.3
Cash
collateral
Non-UK
18,110
36
-
36
0.2
Cash
collateral
Total
79,613
232
(31)
201
0.3
Reverse
repurchase
agreements
UK
675
8
-
8
1.2
Reverse
repurchase
agreements
Non-UK
8,917
4
(9)
(5)
(0.1)
Reverse
repurchase
agreements
Total
9,592
12
(9)
3
-
Interest
earning
assets
at
fair
value
through
other
comprehensive
income
UK
47,665
549
-
549
1.2
Interest
earning
assets
at
fair
value
through
other
comprehensive
income
Non-UK
2,927
55
-
55
1.9
Interest
earning
assets
at
fair
value
through
other
comprehensive
income
Total
50,592
604
-
604
1.2
Other
interest
and
similar
income
c
-
422
-
422
-
Total
interest
earning
assets
not
at
fair
value
through
P&L
460,523
6,006
(325)
5,681
1.2
Less
interest
and
similar
expense
-
(2,846)
325
(2,521)
-
Net
interest
460,523
3,160
-
3,160
-
Interest
earning
assets
at
fair
value
through
P&L
UK
184,701
Interest
earning
assets
at
fair
value
through
P&L
Non-UK
76,369
Interest
earning
assets
at
fair
value
through
P&L
Total
261,070
Total
interest
earning
assets
721,593
Impairments
(4,852)
Non-interest
earning
assets
412,510
Total
1,129,251
Percentage
of
total
average
interest
earning
assets
in
offices
outside
the
UK
42%
Notes
a
For
the
purposes
of
the
average
balance
sheet,
negative
interest
earned
on
assets
(which
is
presented
within
interest
and
similar
expense
in
the
statutory
accounts)
is
included
in
determining
the
total
net
interest
figure.
This
presentation
is
deemed
appro
priate
to
represent
the
return
associated
with
each
asset
class
in
the
table.
b
Loans
and
advances
at
amortised
cost
include
all
doubtful
lendings,
including
non-accrual
lendings.
Interest
receivable
on
such
lendings
has
been
included
to
the
extent
to
which
either
cash
payments
have
been
received
or
interest
has
been
accrued
in
accordance
with
the
income
recognition
policy
of
the
Barclays
Bank
Group
c
Other
interest
and
similar
income
principally
relates
to
hedging
activity.
Additional
information
Additional
financial
disclosure
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
215
Assets
2019
Average
balance
Interest
income
Interest
Total
net
interest
Rate
£m
£m
£m
£m
%
Cash
and
balances
at
central
banks
UK
38,450
293
-
293
0.8
Cash
and
balances
at
central
banks
Non-UK
101,371
626
(233)
393
0.4
Cash
and
balances
at
central
banks
Total
139,821
919
(233)
686
0.5
Loans
and
advances
at
amortised
cost
UK
74,894
1,746
1,746
2.3
Loans
and
advances
at
amortised
cost
Non-UK
71,925
3,768
(3)
3,765
5.2
Loans
and
advances
at
amortised
cost
b
Total
146,819
5,514
(3)
5,511
3.8
Cash
collateral
UK
56,091
394
(14)
380
0.7
Cash
collateral
Non-UK
7,400
49
-
49
0.7
Cash
collateral
Total
63,491
443
(14)
429
0.7
Reverse
repurchase
agreements
UK
1,284
46
-
46
3.6
Reverse
repurchase
agreements
Non-UK
2,041
11
-
11
0.5
Reverse
repurchase
agreements
Total
3,325
57
-
57
1.7
Interest
earning
assets
at
fair
value
through
other
comprehensive
income
UK
49,399
756
-
756
1.5
Interest
earning
assets
at
fair
value
through
other
comprehensive
income
Non-UK
2,961
75
-
75
2.5
Interest
earning
assets
at
fair
value
through
other
comprehensive
income
Total
52,360
831
-
831
1.6
Other
interest
and
similar
income
c
321
-
321
-
Total
interest
earning
assets
not
at
fair
value
through
P&L
405,816
8,085
(250)
7,835
1.9
Less
interest
and
similar
expense
(4,178)
250
(3,928)
-
Net
interest
405,816
3,907
-
3,907
-
Interest
earning
assets
at
fair
value
through
P&L
UK
188,811
Interest
earning
assets
at
fair
value
through
P&L
Non-UK
68,031
Interest
earning
assets
at
fair
value
through
P&L
Total
256,842
Total
interest
earning
assets
662,658
Impairments
(3,776)
Non-interest
earning
assets
348,215
Total
1,007,097
Percentage
of
total
average
interest
earning
assets
in
offices
outside
the
UK
38%
Notes
a
Comparatives
for
negative
interest
income
on
liabilities
and
negative
interest
expense
on
assets
have
been
re
-presented.
Negative
interest
earned
on
assets
(which
is
presented
within
interest
and
similar
expense
in
the
statutory
accounts)
is
included
in
determining
the
total
net
interest
figure.
This
presentation
is
deemed
appropriate
to
represent
the
return
associated
with
each
asset
class
in
the
table.
b
Loans
and
advances
at
amortised
cost
include
all
doubtful
lendings,
including
non-accrual
lendings.
Interest
receivable
on
such
lendings
has
been
included
to
the
extent
to
which
either
cash
payments
have
been
received
or
interest
has
been
accrued
in
accordance
with
the
income
recognition
policy
of
the
Barclays
Bank
Group.
c
Other
interest
and
similar
income
principally
relates
to
hedging
activity.
Additional
information
Additional
financial
disclosure
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
216
Assets
2018
Average
balance
Interest
income
Interest
expense
a
Discontinued
operations
Total
net
interest
Rate
£m
£m
£m
£m
£m
%
Cash
and
balances
at
central
banks
UK
42,611
93
(6)
127
214
0.5
Cash
and
balances
at
central
banks
Non-UK
106,344
826
(208)
-
618
0.6
Cash
and
balances
at
central
banks
Total
148,955
919
(214)
127
832
0.6
Loans
and
advances
at
amortised
cost
UK
133,590
2,225
-
1,518
3,743
2.8
Loans
and
advances
at
amortised
cost
Non-UK
65,851
3,329
(2)
-
3,327
5.1
Loans
and
advances
at
amortised
cost
b
Total
199,441
5,554
(2)
1,518
7,070
3.5
Cash
collateral
UK
50,437
324
(12)
-
312
0.6
Cash
collateral
Non-UK
5,343
47
-
-
47
0.9
Cash
collateral
Total
55,780
371
(12)
-
359
0.6
Reverse
repurchase
agreements
UK
580
2
-
-
2
0.3
Reverse
repurchase
agreements
Non-UK
855
10
-
-
10
1.2
Reverse
repurchase
agreements
Total
1,435
12
-
-
12
0.8
Interest
earning
assets
at
fair
value
through
other
comprehensive
income
UK
49,733
589
-
132
721
1.4
Interest
earning
assets
at
fair
value
through
other
comprehensive
income
Non-UK
2,857
73
-
-
73
2.6
Interest
earning
assets
at
fair
value
through
other
comprehensive
income
Total
52,590
662
-
132
794
1.5
Other
interest
and
similar
income
c
-
(59)
-
(11)
(70)
-
Total
interest
earning
assets
not
at
fair
value
through
P&L
458,201
7,459
(228)
1,766
8,997
2.0
Less
interest
and
similar
expense
(4,329)
228
(317)
(4,418)
-
Net
interest
458,201
3,130
-
1,449
4,579
-
Interest
earning
assests
at
fair
value
through
P&L
UK
170,459
Interest
earning
assests
at
fair
value
through
P&L
Non-UK
77,129
Interest
earning
assests
at
fair
value
through
P&L
Total
247,588
Total
interest
earning
assets
705,789
Impairments
(4,851)
Non-interest
earning
assets
335,903
Total
1,036,841
Percentage
of
total
average
interest
earning
assets
in
offices
outside
the
UK
37%
Notes
a
Comparatives
for
negative
interest
income
on
liabilities
and
negative
interest
expense
on
assets
have
been
re-
presented.
Negative
interest
earned
on
assets
(which
is
presented
within
interest
and
similar
expense
in
the
statutory
accounts)
is
included
in
determining
the
total
net
interest
figure.
This
presentation
is
deemed
appropriate
to
represent
the
return
associated
with
each
asset
class
in
the
table.
b
Loans
and
advances
at
amortised
cost
include
all
doubtful
lending.
Interest
receivable
on
such
lending
has
been
included
to
the
extent
to
which
either
cash
payments
have
been
received
or
interest
has
been
accrued
in
accordance
with
the
income
recognition
policy
of
the
Barclays
Bank
Group.
c
Other
interest
and
similar
income
principally
includes
interest
income
relating
to
hedging
activity.
Additional
information
Additional
financial
disclosure
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
217
Liabilities
2020
Average
balance
Interest
expense
Interest
incomeᵃ
Total
net
interest
Rate
£m
£m
£m
£m
%
Deposits
at
amortised
cost
UK
130,760
200
(15)
185
0.1
Deposits
at
amortised
cost
Non-UK
70,707
444
(15)
429
0.6
Deposits
at
amortised
cost
Total
201,467
644
(30)
614
0.3
Cash
collateral
UK
53,245
96
(31)
65
0.1
Cash
collateral
Non-UK
13,921
38
-
38
0.3
Cash
collateral
Total
67,166
134
(31)
103
0.2
Debt
securities
in
issue
UK
17,935
70
-
70
0.4
Debt
securities
in
issue
Non-UK
23,543
354
(2)
352
1.5
Debt
securities
in
issue
Total
41,478
424
(2)
422
1.0
Subordinated
liabilities
UK
34,573
1,104
-
1,104
3.2
Subordinated
liabilities
Non-UK
220
8
-
8
3.6
Subordinated
liabilities
Total
34,793
1,112
-
1,112
3.2
Repurchase
agreements
UK
7,245
29
-
29
0.4
Repurchase
agreements
Non-UK
1,321
7
(5)
2
0.2
Repurchase
agreements
Total
8,566
36
(5)
31
0.4
Other
interest
and
similar
expense
b
-
496
-
496
-
Total
interest
bearing
liabilities
not
at
fair
value
through
P&L
353,470
2,846
(68)
2,778
0.8
Interest
bearing
liabilities
at
fair
value
through
P&L
UK
239,987
Interest
bearing
liabilities
at
fair
value
through
P&L
Non-UK
51,887
Interest
bearing
liabilities
at
fair
value
through
P&L
Total
291,874
Total
interest
bearing
liabilities
645,344
Interest
free
customer
deposits
UK
38,136
Interest
free
customer
deposits
Non-UK
12,860
Interest
free
customer
deposits
Total
50,996
Other
non-interest
bearing
liabilities
377,157
Shareholders'
equity
55,754
Total
1,129,251
Percentage
of
total
average
interest
bearing
liabilities
in
offices
outside
the
UK
25%
Notes
a
For
the
purposes
of
the
average
balance
sheet,
negative
interest
earned
on
liabilities
(which
is
presented
within
interest
and
similar
income
in
the
statutory
accounts)
is
included
in
determining
the
total
net
interest
figure.
This
presentation
is
deemed
appropriate
to
represent
the
return
associated
with
each
asset
class
in
the
table.
b
Other
interest
and
similar
expense
principally
relates
to
hedging
activity
.
Additional
information
Additional
financial
disclosure
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
218
Liabilities
2019
Average
balance
Interest
expense
Interest
incomeᵃ
Total
net
interest
Rate
£m
£m
£m
£m
%
Deposits
at
amortised
cost
UK
110,455
636
-
636
0.6
Deposits
at
amortised
cost
Non-UK
67,628
1,142
(1)
1,141
1.7
Deposits
at
amortised
cost
Total
178,083
1,778
(1)
1,777
1.0
Cash
collateral
UK
50,985
214
(10)
204
0.4
Cash
collateral
Non-UK
8,332
82
-
82
1.0
Cash
collateral
Total
59,317
296
(10)
286
0.5
Debt
securities
in
issue
UK
15,832
101
-
101
0.6
Debt
securities
in
issue
Non-UK
25,730
772
(2)
770
3.0
Debt
securities
in
issue
Total
41,562
873
(2)
871
2.1
Subordinated
liabilities
UK
35,590
1,072
-
1,072
3.0
Subordinated
liabilities
Non-UK
374
24
-
24
6.4
Subordinated
liabilities
Total
35,964
1,096
-
1,096
3.0
Repurchase
agreements
UK
2,160
11
-
11
0.5
Repurchase
agreements
Non-UK
2,381
20
-
20
0.8
Repurchase
agreements
Total
4,541
31
-
31
0.7
Other
interest
and
similar
expense
b
-
104
-
104
-
Total
interest
bearing
liabilities
not
at
fair
value
through
P&L
319,467
4,178
(13)
4,165
1.3
Interest
bearing
liabilities
at
fair
value
through
P&L
UK
231,224
Interest
bearing
liabilities
at
fair
value
through
P&L
Non-UK
62,304
Interest
bearing
liabilities
at
fair
value
through
P&L
Total
293,528
Total
interest
bearing
liabilities
612,995
Interest
free
customer
deposits
UK
30,688
Interest
free
customer
deposits
Non-UK
10,375
Interest
free
customer
deposits
Total
41,063
Other
non-interest
bearing
liabilities
303,005
Shareholders'
equity
50,034
Total
1,007,097
Percentage
of
total
average
interest
bearing
liabilities
in
offices
outside
the
UK
27%
Notes
a
Comparatives
for
negative
interest
income
on
liabilities
and
negative
interest
expense
on
assets
have
been
re
-presented.
Negative
interest
earned
on
liabilities
(which
is
presented
within
interest
and
similar
income
in
the
statutory
accounts)
is
included
in
determining
the
total
net
interest
figure.
This
presentation
is
deemed
appropriate
to
represent
the
return
associated
with
each
asset
class
in
the
table.
b
Other
interest
and
similar
expense
principally
relates
to
hedging
activity.
Additional
information
Additional
financial
disclosure
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
219
Liabilities
2018
Average
balance
Interest
expense
Interest
income
a
Discontinued
operations
Total
net
interest
Rate
£m
£m
£m
£m
%
Deposits
at
amortised
cost
UK
154,191
641
-
218
859
0.6
Deposits
at
amortised
cost
Non-UK
57,664
950
-
-
950
1.6
Deposits
at
amortised
cost
Total
211,855
1,591
-
218
1,809
0.9
Cash
collateral
UK
44,782
176
(7)
-
169
0.4
Cash
collateral
Non-UK
5,498
70
-
-
70
1.3
Cash
collateral
Total
50,280
246
(7)
-
239
0.5
Debt
securities
in
issue
UK
22,570
75
-
233
308
1.4
Debt
securities
in
issue
Non-UK
32,176
418
(28)
-
390
1.2
Debt
securities
in
issue
Total
54,746
493
(28)
233
698
1.3
Subordinated
liabilities
UK
20,753
1,382
-
-
1,382
6.7
Subordinated
liabilities
Non-UK
143
15
-
-
15
10.5
Subordinated
liabilities
Total
20,896
1,397
-
-
1,397
6.7
Repurchase
agreements
UK
5,416
9
-
-
9
0.2
Repurchase
agreements
Non-UK
6,302
12
-
-
12
0.2
Repurchase
agreements
Total
11,718
21
-
-
21
0.2
Other
interest
and
similar
expense
b
581
-
(134)
447
-
Total
interest
bearing
liabilities
not
at
fair
value
through
P&L
349,495
4,329
(35)
317
4,611
1.3
Interest
bearing
liabilities
at
fair
value
through
P&L
UK
250,273
Interest
bearing
liabilities
at
fair
value
through
P&L
Non-UK
51,249
Interest
bearing
liabilities
at
fair
value
through
P&L
Total
301,522
Total
interest
bearing
liabilities
651,017
Interest
free
customer
deposits
UK
49,380
Interest
free
customer
deposits
Non-UK
9,496
Interest
free
customer
deposits
Total
58,876
Other
non-interest
bearing
liabilities
276,409
Shareholders'
equity
50,539
Total
1,036,841
Percentage
of
total
average
interest
bearing
liabilities
in
offices
outside
the
UK
24%
Notes
a
Comparatives
for
negative
interest
income
on
liabilities
and
negative
interest
expense
on
assets
have
been
re
-presented.
Negative
interest
earned
on
liabilities
(which
is
presented
within
interest
and
similar
income
in
the
statutory
accounts)
is
included
in
determining
the
total
net
interest
figure.
This
presentation
is
deemed
appropriate
to
represent
the
return
associated
with
each
asset
class
in
the
table.
b
Other
interest
and
similar
expense
principally
includes
interest
expense
relating
to
hedging
activity.
Additional
information
Additional
financial
disclosure
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
220
Changes
in
total
interest
–
volume
and
rate
analysis
The
following
tables
allocate
changes
in
interest
between
changes
in
volume
and
changes
in
interest
rates
for
the
last
two
years.
Volume
and
rate
variances
have
been
calculated
on
the
movement
in
the
average
balances
and
the
change
in
the
interest
rates
on
average
interest
earning
assets
and
average
interest
bearing
liabilities.
Where
variances
have
arisen
from
changes
in
both
volumes
and
interest
rates,
these
have
been
allocated
proportionately
between
the
two.
Interest
income
2020/2019
Change
due
to
increase/(decrease)
in:
2019/2018
Change
due
to
increase/(decrease)
in:
Total
change
Volume
Rate
Total
change
Volume
Rate
£m
£m
£m
£m
£m
£m
Cash
and
balances
at
central
banks
UK
(209)
(252)
(23)
Cash
and
balances
at
central
banks
Non-UK
(532)
(601)
(225)
(28)
(197)
Cash
and
balances
at
central
banks
Total
(741)
(853)
(146)
(51)
(95)
Loans
and
advances
at
amortised
cost
UK
(246)
(334)
(1,997)
(1,445)
(552)
Loans
and
advances
at
amortised
cost
Non-UK
(759)
(854)
Loans
and
advances
at
amortised
cost
Total
(1,005)
(1,188)
(1,559)
(1,130)
(429)
Cash
collateral
UK
(215)
(249)
Cash
collateral
Non-UK
(13)
(51)
(14)
Cash
collateral
Total
(228)
(300)
Reverse
repurchase
agreements
UK
(38)
(16)
(22)
Reverse
repurchase
agreements
Non-UK
(16)
(19)
(7)
Reverse
repurchase
agreements
Total
(54)
(13)
(41)
Interest
earning
assets
at
fair
value
through
other
comprehensive
income
UK
(207)
(26)
(181)
(5)
Interest
earning
assets
at
fair
value
through
other
comprehensive
income
Non-UK
(20)
(1)
(19)
(1)
Interest
earning
assets
at
fair
value
through
other
comprehensive
income
Total
(227)
(27)
(200)
(2)
Other
interest
income
-
-
Total
interest
receivable
(2,154)
(2,481)
(1,162)
(1,118)
(44)
Interest
expense
2020/2019
Change
due
to
increase/(decrease)
in:
2019/2018
Change
due
to
increase/(decrease)
in:
Total
change
Volume
Rate
Total
change
Volume
Rate
£m
£m
£m
£m
£m
£m
Deposits
at
amortised
cost
UK
(451)
(550)
(223)
(251)
Deposits
at
amortised
cost
Non-UK
(712)
(762)
Deposits
at
amortised
cost
Total
(1,163)
(1,312)
(32)
(83)
Cash
collateral
liabilities
UK
(139)
(148)
Cash
collateral
liabilities
Non-UK
(44)
(80)
(18)
Cash
collateral
liabilities
Total
(183)
(228)
(7)
Debt
securities
in
issue
UK
(31)
(43)
(205)
(74)
(131)
Debt
securities
in
issue
Non-UK
(418)
(60)
(358)
(92)
Debt
securities
in
issue
Total
(449)
(48)
(401)
(166)
Subordinated
liabilities
UK
(32)
(310)
(992)
Subordinated
liabilities
Non-UK
(16)
(8)
(8)
(8)
Subordinated
liabilities
Total
(40)
(301)
(1,000)
Repurchase
agreements
UK
(2)
(7)
Repurchase
agreements
Non-UK
(18)
(6)
(12)
(11)
Repurchase
agreements
Total
-
(14)
(18)
Other
interest
expense
-
(343)
-
(343)
Total
interest
payable
(1,387)
(1,507)
(446)
(930)
Additional
information
Additional
financial
disclosure
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
221
Credit
risk
additional
disclosure
This
section
of
the
report
contains
supplementary
information
that
is
more
detailed
or
contains
longer
histories
than
the
data
presented
in
the
Risk
review
section.
Risk
elements
in
loans
and
advances
at
amortised
cost
There
are
three
main
higher
credit
risk
elements
identified
in
loans
and
advances:
Loans
assessed
as
Stage
3
credit
impaired
Stage
3
credit
impaired
loans
are
loans
in
default
assessed
for
lifetime
expected
credit
losses.
Further
details
on
the
approach
to
expected
credit
loss
provisioning,
including
the
classification
into
stages
of
gross
exposures
and
approach
to
the
measurement
of
lifetime
expected
credit
losses,
can
be
found
in
Note
1
Significant
Accounting
Policies
.
Loans
greater
than
90
days
past
due
not
considered
Stage
3
credit
impaired
Under
a
US
reporting
framework,
all
accruing
loans
greater
than
90
days
past
due
are
considered
to
be
at
higher
risk
of
loss.
Barclays
Bank
Group
classifies
all
loans
and
advances
past
due
90
days
except
mortgages
as
Stage
3
credit
impaired
loans
and
therefore
these
are
already
considered
a
higher
credit
risk.
However,
in
addition
to
Stage
3
gross
loans
and
advances
past
due
90
days
as
at
31
December
2020,
there
are
a
further
£21m
of
Stage
2
mortgages
loans
between
90
to
180
days
past
due.
Restructured
loans
not
included
above
Restructured
loans:
comprises
loans
not
included
above
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.
These
risk
elements
in
loans
and
advances
at
amortised
cost
may
be
analysed
between
the
United
Kingdom
and
Rest
of
the
World
as
follows:
Risk
elements
in
loans
and
advances
at
amortised
cost
2020
2019
2018
As
at
31
December
£m
£m
£m
Gross
stage
3
credit
impaired
loans
United
Kingdom
1,016
1,037
872
Rest
of
the
world
4,103
3,311
3,317
Total
5,119
4,348
4,189
Accruing
gross
loans
which
are
not
stage
3
credit
impaired
loans
and
are
contractually
overdue
90
days
or
more
as
to
principal
or
interest
United
Kingdom
21
8
19
Rest
of
the
world
–
–
–
Total
21
8
19
Other
gross
restructured
loans
a
United
Kingdom
–
–
–
Rest
of
the
world
–
–
–
Total
–
–
–
Total
risk
elements
in
loans
and
advances
at
amortised
cost
United
Kingdom
1,037
1,045
891
Rest
of
the
world
4,103
3,311
3,317
Total
5,140
4,356
4,208
Notes
a
Prior
year
comparatives
have
been
restated
to
ensure
the
consistent
basis
of
reporting
with
2020.
Interest
forgone
on
risk
elements
in
loans
and
advances
2020
2019
a
2018
a
£m
£m
£m
Interest
income
that
would
have
been
recognised
under
the
original
contractual
terms
United
Kingdom
–
–
–
Rest
of
the
World
69
83
77
Total
69
83
77
Additional
information
Additional
financial
disclosure
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
222
Potential
Problem
Loans
Potential
problem
loans
are
those
loans
for
which
serious
doubt
exists
as
to
the
ability
of
the
borrower
to
continue
to
comply
with
repayment
terms
in
the
near
future.
Loans
and
advances
at
amortised
cost
by
product
on
page
49
includes
gross
exposure
and
associated
impairment
allowance
for
assets
classified
as
Stage
2,
but
not
past
due
i.e.
assets
satisfying
the
criteria
for
a
Significant
Increase
in
Credit
Risk,
but
which
are
still
complying
with
repayment
terms.
Forbearance
measures
consist
of
concessions
towards
a
debtor
that
is
experiencing
or
is
about
to
experience
difficulties
in
meeting
their
financial
commitments.
Both
performing
and
non-performing
forbearance
assets
are
classified
as
Stage
3
except
where
it
is
established
that
the
concession
granted
has
not
resulted
in
diminished
financial
obligation
and
that
no
other
regulatory
definition
of
default
criteria
has
been
triggered,
in
which
case
the
asset
is
classified
as
Stage
2.
The
minimum
probationary
period
for
non-performing
forbearance
is
12
months
and
for
performing
forbearance,
24
months.
Hence,
a
minimum
of
36
months
is
required
for
non-performing
forbearance
to
move
out
of
a
forborne
state.
In
order
to
assess
asset
credit
quality,
12-month
PDs
are
used
to
map
assets
into
strong,
satisfactory,
higher
risk
or
credit
impaired.
A
credit
risk
profile
by
internal
PD
grade
for
gross
loans
and
advances
at
amortised
cost
and
allowance
for
ECL
is
shown
in
the
credit
risk
section
on
page
65,
analysing
each
of
these
categories
by
stage.
Wholesale
accounts
that
are
deemed
to
contain
heightened
levels
of
risk
are
recorded
on
graded
watchlists
comprising
four
categories,
graded
in
line
with
the
perceived
severity
of
the
risk
attached
to
the
lending,
and
its
probability
of
default.
Where
a
counterparty’s
financial
health
gives
grounds
for
concern,
it
is
immediately
placed
into
the
appropriate
category.
Once
an
account
has
been
placed
on
a
watchlist,
the
exposure
is
monitored
and,
where
appropriate,
exposure
reductions
are
effected.
Additional
information
Additional
financial
disclosure
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
223
Impairment
Movements
in
allowance
for
impairment
by
geography
2020
2019
2018
£m
£m
£m
Allowance
for
impairment
as
at
1
January
3,696
3,843
7,102
Exchange
and
other
adjustments
(355)
(168)
(2,837)
Amounts
written
off:
United
Kingdom
(91)
(146)
(514)
Europe
(201)
(96)
(62)
Americas
(1,042)
(1,036)
(862)
Africa
and
Middle
East
(3)
(9)
-
Asia
-
(6)
(18)
New
and
increased/(released)
impairment
allowance:
United
Kingdom
481
147
91
Europe
423
116
84
Americas
1,931
1,071
809
Africa
and
Middle
East
191
(30)
32
Asia
35
10
18
Allowance
for
impairment
as
at
31
December
5,066
3,696
3,843
Average
loans
and
advances
at
amortised
cost
for
the
year
152,614
146,819
199,441
Analysis
of
impairment
charges
2020
2019
2018
As
at
31
December
£m
£m
£m
Impairment
charges:
United
Kingdom
315
93
(163)
Europe
470
127
52
Americas
1,685
927
758
Africa
and
Middle
East
188
(14)
16
Asia
34
8
25
Loans
and
advances
at
amortised
cost
2,692
1,141
688
Provision
for
undrawn
contractually
committed
facilities
and
guarantees
provided
547
55
(48)
Loans
impairment
3,239
1,196
640
Cash
collateral
and
settlement
balances
2
1
(1)
Financial
instruments
at
fair
value
through
other
comprehensive
income
-
–
4
Other
financial
assets
measured
at
amortised
cost
136
5
-
Impairment
charges
3,377
1,202
643
The
industry
classifications
in
the
tables
below
have
been
prepared
at
the
level
of
the
borrowing
entity.
This
means
that
a
loan
to
a
subsidiary
of
a
major
corporation
is
classified
by
the
industry
in
which
the
subsidiary
operates,
even
though
the
Parent’s
predominant
business
may
be
in
a
different
industry.
Additional
information
Additional
financial
disclosure
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
224
Total
impairment
charges
on
loans
and
advances
at
amortised
cost
by
industry
2020
2019
2018
As
at
31
December
£m
£m
£m
United
Kingdom:
Financial
institutions
(37)
(4)
66
Manufacturing
23
(7)
(4)
Construction
21
(6)
(2)
Property
64
(5)
(26)
Energy
and
water
12
6
(1)
Wholesale
and
retail
distribution
and
leisure
46
32
(45)
Business
and
other
services
124
10
(116)
Home
loans
(2)
-
(15)
Cards,
unsecured
and
other
personal
lending
21
43
54
Other
43
24
(74)
Total
United
Kingdom
315
93
(163)
Overseas
2,377
1,048
851
Total
Impairment
charges
2,692
1,141
688
Allowance
for
impairment
by
industry
2020
a
2019
2018
As
at
31
December
£m
%
£m
%
£m
%
United
Kingdom:
Financial
institutions
78
1.5
63
1.7
66
1.7
Manufacturing
33
0.7
33
0.9
30
0.8
Construction
35
0.7
25
0.7
27
0.7
Property
97
1.9
38
1.0
39
1.0
Government
and
central
bank
1
–
–
–
-
-
Energy
and
water
56
1.1
20
0.5
5
0.1
Wholesale
and
retail
distribution
and
leisure
274
5.4
103
2.8
93
2.4
Business
and
other
services
138
2.7
138
3.7
135
3.5
Home
loans
10
0.2
11
0.3
19
0.5
Cards,
unsecured
and
other
personal
lending
54
1.1
181
4.9
193
5.0
Other
66
1.3
33
0.9
38
1.0
Total
United
Kingdom
841
16.6
645
17.4
645
16.8
Overseas
4,225
83.4
3,051
82.6
3,198
83.2
Total
5,066
100.0
3,696
100.0
3,843
100.0
Note
a
Other
financial
assets
subject
to
impairment
not
included
in
the
table
above
include
£146m
impairment
allowance
relating
to
cash
collateral
and
settlement
balances,
financial
assets
at
fair
value
through
other
comprehensive
income
and
other
assets.
Additional
information
Additional
financial
disclosure
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
225
Amounts
written
off
and
recovered
by
industry
Amounts
written
off
Recoveries
of
amounts
previously
written
off
2020
2019
2018
2020
a
2019
2018
As
at
31
December
£m
£m
£m
£m
£m
£m
United
Kingdom:
Financial
institutions
26
6
2
18
5
1
Manufacturing
3
2
11
14
4
3
Construction
6
6
7
3
1
-
Property
2
2
31
3
5
4
Energy
and
water
3
–
4
12
–
-
Wholesale
and
retail
distribution
and
leisure
20
12
34
35
19
14
Business
and
other
services
17
39
214
39
6
6
Home
loans
-
4
5
-
-
-
Cards,
unsecured
and
other
personal
lending
8
71
191
-
-
-
Other
6
4
15
30
4
2
Total
United
Kingdom
91
146
514
154
44
30
Overseas
1,246
1,147
942
214
29
56
Total
1,337
1,293
1,456
368
73
86
Impairment
ratios
2020
2019
2018
%
%
%
Impairment
charges
as
a
percentage
of
average
loans
and
advances
at
amortised
cost
2.12
0.82
0.32
Amounts
written
off
(net
of
recoveries)
as
a
percentage
of
average
loans
and
advances
at
amortised
cost
0.63
0.83
0.69
Allowance
for
impairment
balance
as
a
percentage
of
loans
and
advances
at
amortised
cost
as
at
31
December
3.64
2.54
2.73
Additional
information
Additional
financial
disclosure
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
226
Maturity
analysis
of
Gross
loans
and
advances
at
amortised
cost
Maturity
analysis
of
Gross
loans
and
advances
at
amortised
cost
On
demand
Not
more
than
three
months
Over
three
months
but
not
more
than
six
months
Over
six
months
but
not
more
than
one
year
Over
one
year
but
not
more
than
three
years
Over
three
years
but
not
more
than
five
years
Over
five
years
but
not
more
than
ten
years
Over
ten
years
Total
As
at
31
December
2020
£m
£m
£m
£m
£m
£m
£m
£m
£m
United
Kingdom
Corporate
lending
2,630
3,892
1,270
2,864
14,258
8,178
5,472
8,183
46,747
Other
lending
to
customers
in
the
United
Kingdom
1,977
178
929
216
3,299
3,343
528
5,379
15,849
Total
United
Kingdom
4,607
4,070
2,199
3,080
17,557
11,521
6,000
13,562
62,596
Europe
3,376
2,731
847
1,654
7,821
3,154
2,415
2,952
24,950
Americas
3,866
2,721
1,828
2,802
12,818
7,721
5,973
5,581
43,310
Africa
and
Middle
East
716
802
232
420
417
431
414
120
3,552
Asia
1,116
1,272
1,378
385
411
266
69
28
4,925
Total
loans
and
advances
at
amortised
cost
13,681
11,596
6,484
8,341
39,024
23,093
14,871
22,243
139,333
As
at
31
December
2019
United
Kingdom
Corporate
lending
2,150
3,063
937
2,987
13,614
10,105
3,844
8,592
45,292
Other
lending
to
customers
in
the
United
Kingdom
1,156
930
3,646
1,020
4,869
1,354
1,204
3,742
17,921
Total
United
Kingdom
3,306
3,993
4,583
4,007
18,483
11,459
5,048
12,334
63,213
Europe
2,762
1,892
961
2,405
6,833
4,303
2,573
3,514
25,243
Americas
4,450
2,454
2,473
3,907
10,748
9,732
7,285
6,978
48,027
Africa
and
Middle
East
482
662
267
126
375
761
167
95
2,935
Asia
1,245
1,414
1,634
455
531
532
84
19
5,914
Total
loans
and
advances
at
amortised
cost
12,245
10,415
9,918
10,900
36,970
26,787
15,157
22,940
145,332
Industrial
and
geographical
concentrations
of
Gross
loans
and
advances
at
amortised
cost
Gross
Loans
and
advances
at
amortised
cost
by
industry
2020
2019
2018
As
at
31
December
£m
£m
£m
Financial
institutions
33,603
29,516
27,540
Manufacturing
7,252
8,000
8,444
Construction
2,190
2,574
2,486
Property
10,851
11,121
10,745
Government
and
central
bank
13,762
11,404
3,476
Energy
and
water
4,773
5,373
5,508
Wholesale
and
retail
distribution
and
leisure
8,156
8,363
9,831
Business
and
other
services
13,988
14,816
17,438
Home
loans
11,627
11,334
13,530
Cards,
unsecured
loans
and
other
personal
lending
26,857
36,109
35,498
Other
6,274
6,722
6,306
Loans
and
advances
at
amortised
cost
139,333
145,332
140,802
Additional
information
Additional
financial
disclosure
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
227
Gross
Loans
and
advances
at
amortised
cost
in
the
UK
2020
2019
2018
As
at
31
December
£m
£m
£m
Financial
institutions
11,951
7,821
5,605
Manufacturing
4,706
4,512
4,035
Construction
2,025
2,320
2,277
Property
8,318
8,373
7,892
Government
and
central
bank
10,141
7,997
1,012
Energy
and
water
2,284
2,707
2,595
Wholesale
and
retail
distribution
and
leisure
6,370
6,686
7,993
Business
and
other
services
8,211
9,859
12,542
Home
loans
2,690
2,502
2,521
Cards,
unsecured
loans
and
other
personal
lending
2,983
6,903
6,122
Other
2,917
3,533
2,751
Loans
and
advances
at
amortised
cost
in
the
UK
62,596
63,213
55,345
Loans
and
advances
at
amortised
cost
in
Europe
2020
2019
2018
As
at
31
December
£m
£m
£m
Financial
institutions
5,519
5,668
5,937
Manufacturing
906
1,072
1,335
Construction
127
133
85
Property
512
504
708
Government
and
central
bank
2,370
1,459
1,778
Energy
and
water
831
828
675
Wholesale
and
retail
distribution
and
leisure
615
752
735
Business
and
other
services
898
907
991
Home
loans
7,764
7,985
10,157
Cards,
unsecured
loans
and
other
personal
lending
4,917
5,090
5,055
Other
491
845
839
Loans
and
advances
at
amortised
cost
in
Europe
24,950
25,243
28,295
Gross
Loans
and
advances
at
amortised
cost
in
the
Americas
2020
2019
2018
As
at
31
December
£m
£m
£m
Financial
institutions
12,289
12,308
12,430
Manufacturing
1,096
1,782
2,426
Construction
5
77
71
Property
1,804
2,123
2,071
Government
and
central
bank
311
319
424
Energy
and
water
1,397
1,437
1,667
Wholesale
and
retail
distribution
and
leisure
774
635
612
Business
and
other
services
4,379
3,620
2,970
Home
loans
513
380
433
Cards,
unsecured
loans
and
other
personal
lending
18,234
23,439
23,746
Other
2,508
1,907
2,187
Loans
and
advances
at
amortised
cost
in
the
Americas
43,310
48,027
49,037
Additional
information
Additional
financial
disclosure
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
228
Gross
Loans
and
advances
at
amortised
cost
in
Africa
and
Middle
East
2020
2019
2018
As
at
31
December
£m
£m
£m
Financial
institutions
1,422
948
1,319
Manufacturing
138
160
51
Property
72
55
52
Government
and
central
bank
297
269
262
Energy
and
water
59
116
200
Wholesale
and
retail
distribution
and
leisure
100
67
123
Business
and
other
services
326
363
221
Home
loans
536
391
331
Cards,
unsecured
loans
and
other
personal
lending
559
530
484
Other
43
36
96
Loans
and
advances
at
amortised
cost
in
Africa
and
Middle
East
3,552
2,935
3,139
Gross
Loans
and
advances
at
amortised
cost
in
Asia
2020
2019
2018
As
at
31
December
£m
£m
£m
Financial
institutions
2,422
2,771
2,249
Manufacturing
406
474
597
Construction
33
44
53
Property
145
66
22
Government
and
central
bank
643
1,360
-
Energy
and
water
202
285
371
Wholesale
and
retail
distribution
and
leisure
297
223
368
Business
and
other
services
174
67
714
Home
loans
124
76
88
Cards,
unsecured
loans
and
other
personal
lending
164
147
91
Other
315
401
433
Loans
and
advances
at
amortised
cost
in
Asia
4,925
5,914
4,986
Interest
rate
sensitivity
of
gross
loans
and
advances
at
amortised
cost
2020
2019
Fixed
rate
Variable
rate
Total
Fixed
rate
Variable
rate
Total
As
at
31
December
£m
£m
£m
£m
£m
£m
Gross
loans
and
advances
at
amortised
cost
34,734
104,599
139,333
39,282
106,050
145,332
Foreign
outstandings
for
countries
where
this
exceeds
0.75%
of
total
Group
assets
a
As
%
of
assets
Total
Banks
and
other
financial
institutions
Government
and
official
institutions
Commercial
industrial
and
other
private
sectors
Financial
guarantees
%
£m
£m
£m
£m
£m
As
at
31
December
2020
b
United
States
11.6
123,328
85,560
18,290
18,387
1,091
France
1.4
14,781
12,004
1,968
781
28
Germany
0.9
9,142
6,359
502
2,095
186
As
at
31
December
2019
b
United
States
11.5
100,677
64,463
15,053
20,378
783
Germany
1.3
11,031
9,488
-
1,447
96
France
1.2
10,314
9,158
-
1,097
59
Netherlands
1.1
9,988
7,018
686
2,084
200
As
at
31
December
2018
b
United
States
10.8
95,199
61,382
14,375
18,241
1,201
France
2.2
19,556
11,976
3,508
4,037
35
Germany
0.9
8,101
4,554
1,612
1,819
116
Notes
a
Foreign
outstanding
includes
cross
border
exposure
in
non-local
currency
of
the
Barclays
branches
and
subsidiaries,
and
in
country
foreign
currency
exp
osure.
b
Figures
are
net
of
short
securities.
Additional
information
Additional
financial
disclosure
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
229
Off-balance
sheet
and
other
credit
exposures
2020
2019
2018
As
at
31
December
£m
£m
£m
Off-balance
sheet
exposures
Contingent
liabilities
20,932
23,777
19,394
Commitments
265,022
270,027
257,768
On-balance
sheet
exposures
Trading
portfolio
assets
127,664
113,337
104,038
Financial
assets
at
fair
value
through
the
income
statement
171,761
129,470
145,250
Derivative
financial
instruments
302,693
229,641
222,683
Financial
assets
at
fair
value
through
other
comprehensive
income
51,902
45,406
44,994
Notional
principal
amounts
of
credit
derivatives
2020
2019
2018
As
at
31
December
£m
£m
£m
Credit
derivatives
held
or
issued
for
trading
purposes
a
847,845
825,516
759,075
Note
a
Includes
credit
derivatives
held
as
economic
hedges
which
are
not
designated
as
hedges
for
accounting
purposes.
Glossary
of
terms
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
230
‘Advanced
-Internal
Ratings
Based
(A-IRB)’
‘Acceptances
and
endorsements’
Reimbursement
of
an
acceptance
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’
share
‘Additional
Tier
1
(AT1)
securities’
‘Advanced
Measurement
Approach
(AMA)’
required
capital
for
operational
risk.
Banks
can
only
use
this
approach
subject
to
approval
from
their
local
regulators.
‘Agencies’
‘Agency
Mortgage-Backed
Securities’
‘All
price
risk
(APR)’
An
estimate
of
all
the
material
market
risks,
including
rating
migration
and
default
for
the
correlation
trading
portfolio.
‘American
Depository
Receipts
(ADR)’
A
negotiable
certificate
that
represents
the
ownership
of
shares
in
a
non
-US
company
(e.g.
Barclays)
trading
in
US
financial
markets.
‘Americas’
‘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’
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’
‘Asset
Backed
Commercial
Paper
(ABCP)’
special
purpose
entities
for
funding
purposes.
‘Asset
Backed
Securities
(ABS)’
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
a
Collateralised
Debt
Obligation
(CDO),
the
referenced
pool
may
be
ABS
or
other
classes
of
assets.
‘Attributable
profit’
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.
Glossary
of
terms
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
231
‘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,
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.
‘Bank
of
England
(BoE)’
The
central
bank
of
the
United
Kingdom
with
devolved
responsibility
for
managing
monetary
policy
and
to
oversee
regulation
of
the
UK’s
financial
sector.
Through
the
Prudential
Regulation
Committee,
the
BoE
exercises
control
over
the
PRA.
‘Barclays
Africa’
or
‘Absa’
or
‘Absa
Group
Limited’
Barclays
Africa
Group
Limited
(now
Absa
Group
Limited),
which
was
previously
a
subsidiary
of
the
Barclays
Group.
‘Balance
weighted
Loan
to
Value
(LTV)
ratio’
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
ratio
is
calculated
using
the
following
formula:
LTV
=
((loan
1
balance
x
Marked
to
market
(MTM)
LTV%
for
loan
1)
+
(loan
2
balance
x
Marked
to
market
(MTM)
LTV%
for
loan
2)
+
...)
/
total
outstandings
in
portfolio.
‘Barclaycard’
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’
‘Barclays’
or
’Barclays
Group’
‘Barclays
Bank
Group’
‘Barclays
Bank
UK
Group’
‘Barclays
Operating
businesses’
The
core
Barclays
businesses
operated
by
Barclays
UK
(which
include
the
UK
Personal
Banking;
UK
Business
Banking
and
the
Barclaycard
Consumer
UK
businesses)
and
Barclays
International
(the
large
UK
Corporate
business;
the
International
Corporate
and
Private
Bank
businesses;
the
Investment
Bank;
the
Barclaycard
International
business;
and
Payments).
‘Barclays
Execution
Services’
or
‘BX’
or
‘Group
Service
Company’
Barclays
Execution
Services
Limited,
the
Group
services
company
set
up
to
provide
services
to
Barclays
UK
and
Barclays
International
to
deliver
operational
continuity.
‘Barclays
International’
The
segment
of
Barclays
held
by
Barclays
Bank
PLC.
The
division
includes
the
large
UK
Corporate
business;
the
International
Corporate
and
Private
Bank
businesses;
the
Investment
Bank;
the
Barclaycard
International
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.
Following
a
transfer
from
Barclays
International
in
Q2
2020,
this
also
includes
Barclays
Partner
Finance
(BPF).
‘Basel
3’
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
on
Banking
Supervision
(BCBS)’
or
‘The
Basel
Committee’
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.
Glossary
of
terms
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
232
‘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)’
or
‘bp(s)’
movements
in
interest
rates,
yields
on
securities
and
for
other
purposes.
‘Basis
risk’
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
of
the
Barclays
PLC
Annual
Report,
changes
in
RWAs
caused
by
factors
such
as
underlying
customer
behaviour
or
demographics
leading
to
changes
in
risk
profile.
‘Book
size’
In
the
context
of
the
Capital
Risk
section
of
the
Barclays
PLC
Annual
Report
,
activity,
including
net
originations
or
repayments.
‘Bounce
Back
Loan
Scheme
(BBLS)’
A
UK
Government
(British
Business
Bank)
backe
d
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
Lending’
Business
Lending
in
Barclays
UK
primarily
relates
to
small
and
medium
enterprises
typically
with
a
turnover
up
to
£16m.
‘Business
scenario
stresses’
exposures
of
the
Investment
Bank.
‘Buy
to
let
mortgage’
A
mortgage
where
the
intention
of
the
customer
is
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’
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
entered
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
Directive
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
securitise
d.
Glossary
of
terms
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
233
‘Capital
resources’
requirements
under
CRD.
Referred
to
as
‘own
funds’
within
EU
regulatory
texts.
‘Capital
risk’
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.
‘Central
Counterparty’
or
‘Central
Clearing
Counterparties
(CCPs)’
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’
to
the
recovery
of
the
full
balance.
This
is
normally
when
six
payments
are
in
arrears.
‘Client
Assets’
Assets
managed
or
administered
by
the
Barclays
Bank
Group
on
behalf
of
clients
including
assets
under
management
(AUM),
custody
assets,
assets
under
administration
and
client
deposits.
‘CLOs
and
Other
insured
assets’
other
assets
wrapped
with
Credit
Support
Annex
(CSA)
protection.
‘Collateralised
Debt
Obligation
(CDO)’
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)’
be
made
to
different
classes
of
owners
(in
tranches).
‘Collateralised
Mortgage
Obligation
(CMO)’
mortgages
and
passes
them
on
to
investors
in
the
security.
‘Combined
Buffer
Requirement
(CBR)’
In
the
context
of
the
CRD
capital
obligations,
the
total
Common
Equity
Tier
1
capital
required
to
meet
the
combined
requirements
of
the
Capital
Conservation
Buffer,
the
GSII
Buffer
or
the
OSII
buffer
as
applicable,
the
Systemic
Risk
buffer
and
an
institution
specific
counter-cyclical
buffer.
‘Commercial
paper
(CP)’
‘Commercial
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,
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’
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’
metals,
precious
metals,
oil
and
oil
related
products,
power
and
natural
gas).
‘Commodity
risk’
commodities
(e.g.
Brent
vs.
WTI
crude
prices).
Glossary
of
terms
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
234
‘Common
Equity
Tier
1
(CET1)
capital’
issued
and
related
share
premium,
retained
earnings
and
other
reserves,
less
specified
regulatory
adjustments.
‘Common
Equity
Tier
1
(CET1)
ratio’
‘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.
‘
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
Capital
Charge
(CRCC)’
An
estimate
of
all
the
material
market
risks,
including
rating
migration
and
default
for
the
correlation
trading
portfolio.
‘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’
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,
Payments
(including
merchant
acquiring
and
commercial
payments),
Barclaycard
Germany
and
the
Private
Bank.
‘Contingent
Capital
Notes
(CCNs)’
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
(CCNs)’.
‘Coronavirus
Business
Interruption
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%
UK
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
of
up
to
£200
million
which
are
backed
by
an
80%
UK
Government
(BBB)
guarantee.
‘Corporate
and
Investment
Bank
(CIB)’
Barclays
Corporate
and
Investment
Bank
businesses
which
form
part
of
Barclays
International.
‘Correlation
risk’
assets
changes
over
time.
‘Cost
of
Equity’
‘Cost:
income
jaws’
‘Cost:
income
ratio’
Glossary
of
terms
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
235
‘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
(CCR)’
transaction’s
cash
flows.
In
the
context
of
RWAs,
a
component
of
RWAs
that
represents
the
risk
of
loss
from
derivatives,
repurchase
agreements
and
similar
transactions
as
a
result
of
the
default
of
the
counterparty.
‘Coverage
ratio’
‘Covered
bonds’
the
benefit
of
the
holders
of
the
covered
bonds.
‘Covid
Corporate
Finance
Facility
(CCFF)’:
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
acts
as
dealer.
‘CRD
IV’
The
Fourth
Capital
Requirements
Directive,
comprising
an
EU
Directive
and
an
accompanying
Regulation
(CRR)
that
together
prescribe
EU
capital
adequacy
and
liquidity
requirements,
and
which
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
which
implements
enhanced
Basel
3
proposals
in
the
European
Union.
‘Credit
conversion
factor
(CCF)’
A
f
actor
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)’
return
for
contracting
to
make
payments
to
the
protection
buyer
in
the
event
of
a
defined
credit
event.
Credit
events
normally
include
bankruptcy,
payment
default
on
a
reference
asset
or
assets,
or
downgrades
by
a
rating
agency.
‘Credit
derivatives
(CDs)’
to
the
seller
of
the
protection.
‘Credit
impairment
charges’
banks
and
impairment
charges
on
fair
value
through
other
comprehensive
income
assets
and
reverse
repurchase
agreements.
‘Credit
market
exposures’
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’
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’
honour
their
obligations
to
Barclays,
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
counter
party.
‘Credit
risk
mitigation’
can
be
broadly
divided
into
three
types:
collateral,
netting
and
set
-off,
and
risk
transfer.
Glossary
of
terms
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
236
‘Credit
spread’
‘Credit
Valuation
Adjustment
(CVA)’
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’
‘CRR
leverage
ratio’
Calculated
using
the
CRR
definition
of
“Tier
1
capital”
for
the
numerator
and
the
CRR
definition
of
“leverage
exposure”
as
the
denominator.
‘Customer
assets’
balances
for
the
year
to
date
divided
by
number
of
days
in
the
year
to
date.
‘Customer
deposits’
credit
institutions.
Such
funds
are
recorded
as
liabilities
in
the
Barclays
Bank
Group’s
balance
sheet
under
“deposits
at
amortised
cost”.
‘Customer
liabilities’
‘Daily
Value
at
Risk
(DVaR)’
conditions,
if
the
current
positions
were
to
be
held
unchanged
for
one
business
day,
measured
to
a
specified
confidence
level.
‘DBRS’
‘Debit
Valuation
Adjustment
(DVA)’
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’
leading
to
their
de-recognition
from
the
balance
sheet.
‘Debt
securities
in
issue’
the
Barclays
Bank
Group
and
include
certificates
of
deposit
and
commercial
paper.
‘Default
grades’
grades,
in
order
to
distinguish
differences
in
the
probability
of
default
risk.
‘Default
fund
contributions’
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
a
defaulting
member.
‘Derivatives
netting’
enforceable
bilateral
netting
agreements
and
eligible
cash
collateral
received
in
derivative
transactions
that
meet
the
requirements
of
BCBS
270
(Basel
III
leverage
ratio
framework
and
disclosure
requirements).
‘Diversification
effect’
parts.
It
is
measured
as
the
sum
of
the
individual
asset
class
DVaR
estimates
less
the
total
DVaR.
‘Dodd
-Frank
Act
(DFA)’
‘Economic
Value
of
Equity
(EVE)’
interest
rate
movement,
based
on
existing
balance
sheet
run-off
profile.
Glossary
of
terms
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
237
'Effective
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)’
the
Enterprise
Risk
Management
Framework,
which
describes
how
Barclays
identifies
and
manages
risk.
The
framework
identifies
the
principal
risks
faced
by
the
Barclays
Bank
Group;
sets
out
risk
appetite
requirements;
sets
out
roles
and
responsibilities
for
risk
management;
and
sets
out
risk
committee
structure.
‘Equities’
‘Equity
and
stock
index
derivatives’
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’
‘Equity
structural
hedge’
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)’
European
interbank
market.
‘Europe’
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
European
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)’
occur
during
a
specified
period
of
time.
ECLs
must
reflect
the
present
value
of
cash
shortfalls,
and
the
unbiased
and
probability
weighted
assessment
of
a
range
of
outcomes.
‘Expected
Losses’
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’
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.
Glossary
of
terms
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
238
‘Exposure’
Generally
refers
to
positions
or
actions
taken
by
a
bank,
or
consequences
thereof,
that
may
put
a
certain
amount
of
a
bank’s
resources
at
risk.
‘Exposure
at
Default
(EAD)’
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.
‘External
ratings
based
approach
/
internal
assessment
approach
(Sec
ERBA
/
IAA)’
capital
is
assigned
to
securitisation
tranches
on
the
basis
of
their
external
credit
rating.
SEC-ERBA
approach
can
also
be
used
for
unrated
ABCP
exposures
where
the
institution
has
the
regulatory
permission
to
use
the
Internal
Assessment
approach
(IAA)
to
assign
a
credit
rating
to
the
unrated
ABCP
exposure.
‘Federal
Reserve
Board
(FRB)’
The
Board
of
Governors
of
the
Federal
Reserve
System,
commonly
known
as
the
Federal
Reserve
Board,
is
responsible
for-
amongst
other
things
–
setting
monetary
policy
in
the
US.
'FICC'
Represents
Macro
(including
rates
and
currency),
Credit
and
Securitised
products.
'Financial
Policy
Committee
(FPC)'
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.
'Foundation
Internal
Ratings
Based
(F-IRB)’
‘Financial
Conduct
Authority
(FCA)’
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)’
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’
‘Forbearance
Programmes’
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
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’
exchange
contracts,
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
involve
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’
Glossary
of
terms
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Bank
PLC
2020
Annual
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‘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’
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’
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
European
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.
‘General
market
risk’
a
broad
equity
market
movement
unrelated
to
any
specific
attributes
of
individual
securities.
‘Global-Systemically
Important
Banks
(G-SIBs
or
G-SIIs)’
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
global
systemically
important
banks.
‘G-SII
additional
leverage
ratio
buffer
(G-SII
ALRB)’
A
macroprudential
buffer
that
applies
to
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
apply
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’
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’
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.
‘Gross
write-off
rates’
loans
and
advances
held
at
amortised
cost
at
the
balance
sheet
date.
‘Gross
new
lending’
‘Guarantee’
form
of
credit
substitution.
‘Head
Office’
‘High
-Net-Worth’
worth
customers.
Glossary
of
terms
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240
‘High
quality
liquidity
assets
(HQLA)’
little
or
no
loss
of
value
in
private
markets,
to
meet
liquidity
needs
arising
from
a
liquidity
stress
scenario
or
event.
Please
refer
to
‘Level
1
assets’
and
‘Level
2
assets’.
‘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’
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
in
July
2016,
which
holds
most
of
Barclays’
subsidiaries
and
assets
in
the
US.
'Internal
Model
Approach
(IMA)’
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.
'Internal
Model
Method
(IMM)’
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)’
‘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.
‘Impairment
Allowances’
losses
in
the
lending
book.
An
impairment
allowance
may
either
be
identified
or
unidentified
and
individual
or
collective.
‘Income’
‘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)’
that
the
PRA
has
asked
the
bank
to
maintain.
‘Inflation
risk’
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’
‘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’
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
interest
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
Glossary
of
terms
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2020
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241
parties
agree
a
future
settlement
of
the
difference
between
an
agreed
rate
and
a
future
interest
rate,
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’
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
credit
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)’
It
describes
how
the
firm
identifies,
manages
and
qualifies
the
risks
it
is
exposed
to,
in
pursuit
of
its
business
strategy.
It
assesses
whether
the
quality
and
quantity
of
capital
is
available
to
absorb
capital
losses
for
the
risks
the
firm
undertakes.
The
capital
adequacy
is
assessed
on
a
point
of
time
basis
and
on
a
forward
looking
basis
taking
into
account
baseline
and
stressed
economic
capital
conditions.
‘Internal
Ratings
Based
(IRB)’
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
(F-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.
‘Internal
Ratings
Based
approach
(SEC-IRBA)’
This
is
a
method
to
calculate
risk-weighted
exposure
amounts
for
securitisation
positions.
Under
this
method,
an
institution
must
be
able
to
model
regulatory
capital
requirements
for
underlying
exposures
in
the
securitisation
as
if
these
had
not
been
securitised
(‘K
IRB
’),
subject
to
certain
other
inputs
and
criteria.
‘Investment
Bank’
The
Barclays
Bank
Group’s
investment
bank
which
consists
of
origination
led
and
returns
focused
markets
and
banking
business,
and
which
forms
part
of
the
Corporate
and
Investment
Bank
segment
of
Barclays
International.
‘Investment
Banking
Fees’
businesses
–
including
financial
advisory,
debt
and
equity
underwriting.
‘Investment
grade’
credit
rating
agencies.
‘ISDA
Master
Agreement’
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,
definitions
booklets,
and
a
credit
support
annex.
The
ISDA
Master
Agreement
is
published
by
the
International
Swaps
and
Derivatives
Association,
commonly
known
as
“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’
legal
obligations
including
regulatory
or
contractual
requirements.
Glossary
of
terms
Barclays
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2020
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on
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20
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‘Lending’
In
the
context
of
Investment
Bank
analysis
of
Total
Income,
lending
income
includes
Net
Interest
Income
(NII),
gains
or
losses
on
loan
sale
activity,
and
risk
management
activity
relating
to
the
loan
portfolio.
‘Letters
of
credit’
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’
including,
e.g.
lower
quality
government
securities,
covered
bonds
and
corporate
debt
securities,
and
Level
2B
assets,
including,
e.g.
lower
rated
corporate
bonds,
residential
mortgage
backed
securities
and
equities
that
meet
certain
conditions.
‘Lifetime
expected
credit
losses’
of
an
exposure,
reflecting
the
present
value
of
cash
shortfalls
over
the
remaining
expected
life
of
the
asset.
‘Lifetime
Probability’
‘Liquidity
Coverage
Ratio
(LCR)’
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,
e.g.
cash
and
claims
on
central
governments
and
central
banks.
‘Liquidity
Pool’
held
by
the
Barclays
Bank
Group
as
a
contingency
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
it
does
not
have
the
appropriate
amount,
tenor
and
composition
of
funding
and
liquidity
to
support
its
assets.
‘Liquidity
risk
appetite
(LRA)’
objectives
and
in
meeting
its
regulatory
obligations.
‘Liquidity
Risk
Management
Framework
(the
Liquidity
Framework)’
The
Liquidity
Risk
Management
Framework,
which
is
sanctioned
by
the
Board
Risk
Committee,
incorporates
liquidity
policies,
systems
and
controls
that
the
Barclays
Bank
Group
has
implemented
to
manage
liquidity
risk
within
tolerances
approved
by
the
Board
and
regulatory
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’
amortised
cost
at
the
balance
sheet
date.
‘Loan
to
deposit
ratio’
or
‘Loan:
deposit
ratio’
‘Loan
to
value
(LTV)
ratio’
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)’
London
interbank
market.
‘Loss
Given
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’
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.
Glossary
of
terms
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
243
‘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’
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’
Also
see
‘Balance
weighted
Loan
to
Value
(LTV)
ratio’
and
‘Valuation
weighted
Loan
to
Va
lue
(LTV)
ratio.’
‘Market
risk’
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
agreement’
covered
by
the
agreement
in
the
event
of
the
counterparty’s
default
or
bankruptcy
or
insolvency,
resulting
in
a
reduced
exposure.
‘Master
trust
securitisation
programme’
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’
risk
profile,
as
determined
in
accordance
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.
‘Medium-Term
Notes’
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
of
the
Barclays
PLC
Annual
Report,
the
effec
t
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
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
of
the
Barclays
PLC
Annual
Report,
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
have
been
built,
implemented
and
used
correctly,
and
that
they
continue
to
be
fit-for-purpose.
‘ModelledVaR’
by
the
PRA.
‘Money
market
funds’
Glossary
of
terms
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
244
‘Monoline
derivatives’
held.
‘Moody’s’
‘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’
national
boundaries.
‘National
discretion’
of
certain
CRD
rules
in
its
jurisdiction.
‘Net
asset
value
per
share’
instruments,
by
the
number
of
issued
ordinary
shares.
‘Net
Interest
Income
(NII)’
‘Net
Interest
Margin
(NIM)’
‘Net
investment
income’
result
on
disposal
of
available
for
sale
assets.
‘Net
Stable
Funding
Ratio
(NSFR)’
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
one
year,
or
liabilities
with
a
maturity
of
over
one
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
factor
assigned
to
each
particular
asset
type,
added
to
the
amount
of
potential
liquidity
exposure
multiplied
by
its
associated
required
stable
funding
factor.
‘Net
trading
income’
making
and
customer
business,
together
with
interest,
dividends
and
funding
costs
relating
to
trading
activities.
‘Net
write-off
rate’
recoveries
divided
by
gross
loans
and
advances
held
at
amortised
cost
at
the
balance
sheet
date.
‘Net
written
credit
protection’
credit
derivatives
protection
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’
corporate
bonds;
commercial
paper;
certificates
of
deposit;
convertible
bonds;
corporate
bonds
and
issued
notes.
‘Non-Model
Method
(NMM)’
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
the
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’
Glossary
of
terms
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
245
‘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’
‘Operational
risk’
events
(e.g.
fraud)
where
the
root
cause
is
not
due
to
credit
or
market
risks.
‘Operational
Riskdata
eXchange
Association
(ORX)’
industry
association
dedicated
to
advancing
the
measurement
and
management
of
operational
risk
in
the
global
financial
services
industry.
Barclays
is
a
member
of
ORX.
‘Origination
led’
‘Other
systemically
important
institutions
(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’
They
offer
flexibility
because,
unlike
standardised
exchange-traded
products,
they
can
be
tailored
to
fit
specific
needs.
‘Overall
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’
‘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.
‘Own
funds
and
eligible
liabilities
ratio’
expressed
as
a
percentage
of
total
RWAs.
‘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’
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’
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.
‘Period
end
allocated
tangible
equity’
business,
adjusted
for
capital
deducti
ons,
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
risk
and
operational
risk.
Glossary
of
terms
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
246
‘Pillar
2A
requirements’
The
additional
regulatory
capital
requirement
to
meet
risks
not
captured
under
Pillar
1
requirements.
These
requirements
are
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)’
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’
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’
specific
to
an
organisation
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’
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’
Services
business
also
provides
brokerage
facilitation
services
for
hedge
fund
clients
offering
execution
and
clearance
facilities
for
a
variety
of
asset
classes.
‘Principal’
interest).
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’
Bank
PLC
Annual
Report.
‘Pro-cyclicality’
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
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,
rating
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’
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.
Glossary
of
terms
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
247
‘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’
on
behalf
of
customers,
so
as
to
make
a
profit
for
itself.
‘Prudential
Regulation
Authority
(PRA)’
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)’
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’
‘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
Capital
Requirements
Regulation
(CRR
Article
154.4).
It
includes
most
types
of
credit
card
exposure.
‘Rates’
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.
‘Recovery
book’
strategies
to
recover
the
Group’s
exposure.
‘Recovery
book
Impairment
Coverage
Ratio’
percentage
of
balance
in
recoveries.
‘Recovery
book
proportion
of
outstanding
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
recovery
will
decrease
if:
assets
are
written-off;
amounts
are
collected;
or
assets
are
sold
to
a
third
party
(i.e.
debt
sale).
‘Regulatory
capital’
‘Renegotiated
loans’
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
individually
impaired
if
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)’
or
‘Reverse
repurchase
agreement
(Reverse
repo)’
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
counterparty
to
the
transaction
(buying
the
security
and
agreeing
to
sell
in
the
future),
it
is
a
Reverse
repurchase
agreement
or
Reverse
repo.
Glossary
of
terms
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
248
‘Reputation
risk’
and
competence
by
clients,
counterparties,
investors,
regulators,
employees
or
the
public.
‘Re-securitisations’
positions
where
the
underlying
assets
are
also
predominantly
securitisation
positions.
‘Reserve
Capital
Instruments
(RCIs)’
terms.
‘Residential
Mortgage-Backed
Securities
(RMBS)’
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’
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’
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
of
up
to
£5m.
‘Return
on
average
Risk
Weighted
Assets’
‘Return
on
average
tangible
shareholders’
equity
(RoTE)’
P
rofit
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’
Profit
after
tax
attributable
to
ordinary
equity
holders
of
the
parent,
as
a
proportion
of
average
allocated
tangible
equity.
‘Risk
appetite’
possible
outcomes
as
business
plans
are
implemented.
‘Risk
weighted
assets
(RWAs)’
established
in
accordance
with
the
Basel
rules
as
implemented
by
CRR
and
local
regulators.
‘Risks
not
in
VaR
(RNIVS)’
framework.
‘Sarbanes
-Oxley
requirements’
safeguard
against
corporate
governance
scandals
such
as
Enron,
WorldCom
and
Tyco.
All
US-listed
companies
must
comply
with
SOX.
‘Second
Lien’
default,
compensation
for
this
debt
will
only
be
received
after
the
first
lien
has
been
repaid
and
thus
represents
a
riskier
investment
than
the
first
lien.
‘Secondary
Stress
Tests’
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)’
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.
Glossary
of
terms
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
249
‘Securities
Financing
Transactions
adjustments’
collateral,
taking
into
account
master
netting
agreements.
‘Securities
lending
arrangements’
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’
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
to
set
off
amounts
owed
to
us
by
a
counterparty
against
amounts
owed
by
us
to
the
counterparty.
‘Settlement
balances’
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
Netting’
their
exposure
value
of
regular
way
purchases
and
sales
awaiting
settlement
in
accordance
with
Article
429g
of
CRR,
as
amended
by
Regulation
(EU)
2019/876
(CRR
2).
‘Settlement
risk’
on
one
or
more
settlement
obligations.
‘Significant
Increase
in
Credit
Risk
(SICR)’
quantitative
and
qualitative
assessments.
‘Small
and
Medium-Sized
Enterprises
(SME)’
turnover
which
does
not
exceed
EUR
50
million,
and
/
or
an
annual
balance
sheet
total
not
exceeding
EUR
43
million.
Within
the
SME
category,
a
small
enterprise
is
defined
as
an
enterprise
which
employs
fewer
than
50
persons
and
whose
annual
turnover
and/or
annual
balance
sheet
total
does
not
exceed
EUR
10
million.
This
is
defined
in
accordance
with
Commission
Recommendation
2003/361/EC
of
6
May
2003
concerning
the
definition
of
micro,
small
and
medium
sized
enterprises.
‘Slotting’
described
in
Capital
Requirements
Regulation
(CRR
Article
147.8).
A
standard
set
of
rules
are
required
to
be
used
in
credit
risk
RWA
calculations,
based
upon
an
assessment
of
factors
such
as
the
financial
strength
of
the
counterparty.
The
requirements
for
the
application
of
the
Specialised
Lending
approach
are
detailed
in
CRR
Article
153.5.
‘Sovereign
exposure(s)’
bonds.
‘Specific
market
risk’
change
in
an
investment
due
to
factors
related
to
the
issuer
or,
in
the
case
of
a
derivative,
the
issuer
of
the
underlying
investment.
‘Sprea
d
risk’
yields.
‘SRB
ALRB’
The
Systemic
Risk
Buffer
(SRB)
Additional
Leverage
Ratio
Buffer
is
firm
specific
requirement
set
by
the
PRA
using
its
powers
under
section
55M
of
the
Financial
Services
and
Markets
Act
2000.
Barclays
is
required
to
hold
an
amount
of
CET1
capital
that
is
equal
to
or
greater
than
its
Additional
Leverage
Ratio
Buffer.
‘Stage
1’
since
initial
recognition.
Stage
1
financial
instruments
are
required
to
recognise
a
12
month
expected
credit
loss
allowance.
‘Stage
2’
initial
recognition.
Stage
2
financial
instruments
are
required
to
recognise
a
lifetime
expected
credit
loss
allowance.
Glossary
of
terms
Barclays
Bank
PLC
2020
Annual
Report
on
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250
‘Stage
3’
instruments
are
required
to
recognise
a
lifetime
expected
credit
loss
allowance.
‘Standard
&
Poor’s’
‘Standardised
approach
(SEC-SA)’
Under
this
method,
an
institution
must
be
able
calculate
regulatory
capital
requirements
per
standardized
approach
for
underlying
exposures
in
the
securitisation
as
if
these
had
not
been
securitised
(‘K
SA
’),
subject
to
certain
other
inputs
and
criteria.
‘Standby
facilities,
credit
lines
and
other
commitments’
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’
the
UK
Companies
Act
2006
and
the
requirements
of
International
Financial
Reporting
Standards
(IFRS).
‘Statutory
return
on
average
shareholders’
equity’
of
average
shareholders’
equity.
‘STD’
/
‘Standardised
Approach’
derive
risk
weights
based
on
counterparty
type
and
a
credit
rating
provided
by
an
External
Credit
Assessment
Institute.
‘Sterling
Over
Night
Index
Average
(SONIA)’
sterling
unsecured
market
administrated
and
calculated
by
the
Bank
of
England
.
‘Stress
Testing’
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’
are
generally
created
to
achieve
a
narrow
and
well
defined
objective
with
restrictions
around
their
ongoing
activities.
‘Structural
hedge’
or
‘hedging’
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’
exposures
to
structured
credit
vehicles.
‘Structured
finance
or
structured
notes’
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’
delinquencies
and
potentially
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.
‘Subordinated
liabilities’
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).
Glossary
of
terms
Barclays
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2020
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‘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)’
intangible
assets
and
goodwill.
‘Tangible
Net
Asset
Value
per
share’
equity
instruments,
less
goodwill
and
intangible
assets,
by
the
number
of
issued
ordinary
shares.
‘Tangible
shareholders’
equity’
for
the
deduction
of
intangible
assets
and
goodwill.
‘Term
premium’
‘The
Fundamental
Review
of
the
Trading
Book
(FRTB)’
Committee
on
Banking
Supervision
as
part
of
Basel
III
and
applicable
to
banks’
wholesale
trading
activities.
‘The
Standardised
Approach
(TSA)’
Under
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
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
monitor
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’
‘Tier
1
capital
ratio’
‘Tier
2
(T2)
capita
l’
share
premium
accounts
where
qualifying
conditions
have
been
met.
‘Tier
2
(T2)
securities’
‘Total
balances
on
forbearance
programmes
coverage
ratio’
expressed
as
a
percentage
of
balance
in
forbearance.
‘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’
and
change
in
the
capital
value
of
the
asset.
The
buyer
of
the
protection
in
return
receives
a
predetermined
amount.
The
risk
of
a
reduction
to
earnings
or
capital
due
to
volatility
of
trading
book
positions.
Glossary
of
terms
Barclays
Bank
PLC
2020
Annual
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on
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252
‘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’
transitional
provisions
set
out
in
Part
Ten
of
CRR.
‘Treasury
and
Capital
Risk’
‘Twelve
month
expected
credit
losses’
date
(or
shorter
period
if
the
expected
life
is
less
than
12
months),
weighted
by
the
probability
of
said
default
occurring.
‘Twelve
month
PD’
‘Unencumbered’
‘United
Kingdom
(UK)’
‘UK
Bank
Levy’
based
on
a
percentage
of
the
chargeable
equity
and
liabilities
of
the
bank
on
its
balance
sheet
date.
‘UK
leverage
exposure’
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
leverage
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’
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’
retail
and
financial
sectors.
‘US
Residential
Mortgages’
‘Valuation
weighted
Loan
to
Value
(LTV)
ratio’
calculating
marked
to
market
LTVs
derived
by
comparing
total
outstanding
balance
and
the
value
of
total
collateral
we
hold
agains
t
these
balances.
Valuation
weighted
Loan
to
Value
ratio
is
calculated
using
the
following
formula:
LTV
=
total
outstandings
in
portfolio/total
property
values
of
total
outstandings
in
portfolio.
‘Value
at
Risk
(VaR)’
confidence
level
and
within
a
specific
timeframe.
‘Weighted
off
balance
sheet
commitments’
factors
used
in
the
Standardised
Approach
to
credit
risk.
‘Wholesale
loans’
or
‘wholesale
lending’
‘Write
-off
(gross)’
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
Glossary
of
terms
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
253
of
a
wrong-way
trade,
analysts
take
into
account
the
correlation
between
the
counterparty
and
the
underlying
asset
as
part
of
the
sanctioning
process.
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
254
EXHIBIT
INDEX
Exhibit
Description
1.1
2.1
Long
Term
Debt
Instruments:
Barclays
Bank
PLC
is
not
party
to
any
single
instrument
relating
to
long-term
debt
pursuant
to
which
a
total
amount
of
securities
exceeding
10%
of
its
total
assets
(on
a
consolidated
basis)
is
authorised
to
be
issued.
Barclays
PLC
hereby
agrees
to
furnish
to
the
Securities
and
Exchange
Commission
(the
“Commission”),
upon
its
request,
a
copy
of
any
instrument
defining
the
rights
of
holders
of
its
long-term
debt
or
the
rights
of
holders
of
the
long-term
debt
of
any
of
its
subsidiaries
for
which
consolidated
or
unconsolidated
financial
statements
are
required
to
be
filed
with
the
Commission.
2.2
4.1
4.2
4.3
4.4
12.1
13.1
15.1
99.1
101.INS
XBRL
Instance
Document
101.SCH
XBRL
Taxonomy
Extension
Schema
101.CAL
XBRL
Taxonomy
Extension
Schema
Calculation
Linkbase
101.DEF
XBRL
Taxonomy
Extension
Schema
Definition
Linkbase
101.LAB
XBRL
Taxonomy
Extension
Schema
Label
Linkbase
101.PRE
XBRL
Taxonomy
Extension
Schema
Presentation
Linkbase
Barclays
Bank
PLC
2020
Annual
Report
on
Form
20
-F
255
Signatures
The
registrant
hereby
certifies
that
it
meets
all
of
the
requirements
for
filing
on
Form
20-F
and
that
it
has
duly
caused
and
authorised
the
undersigned
to
sign
this
annual
report
on
its
behalf.
Date
February
18,
2021
Barclays
Bank
PLC
(Registrant)
By
/s/
Steven
Ewart
Steven
Ewart,
Chief
Financial
Officer
TABLE OF CONTENTS
Item Affecting IncomeNote 16 For Further Details