6-K
BARCLAYS BANK PLC (FIYY)
UNITED
STATES
SECURITIES
AND
EXCHANGE
COMMISSION
Washington,
DC
20549
FORM
6-K
Report
of
Foreign
Private
Issuer
Pursuant
to
Rule
13a-16
or
15d-16
of
the
Securities
Exchange
Act
of
1934
July
29,
2020
Commission
File
Number:
001-10257
Barclays
Bank
PLC
(Name
of
Registrant)
1
Churchill
Place
London
E14
5HP
England
(Address
of
Principal
Executive
Office)
Interim
Results
Announcement
Indicate
by
check
mark
whether
the
registrant
files
or
will
file
annual
reports
under
cover
of
Form
20-F
or
Form
40-F.
Form
20-F
X
Form
40-F
Indicate
by
check
mark
whether
the
registrant
is
submitting
the
Form
6-K
in
paper
as
permitted
by
Regulation
S-T
Rule
101(b)(1):
____
Indicate
by
check
mark
whether
the
registrant
is
submitting
the
Form
6-K
in
paper
as
permitted
by
Regulation
S-T
Rule
101(b)(7):
____
This
report
on
Form
6-K
shall
be
deemed
to
be
incorporated
by
reference
in
the
registration
statemen
ts
on
Form
S-8
(No.
333-
153723,
333-167232,
333-173899,
333-183110,
333-195098,
333
-216361
and
333-225082)
and
Form
F-3
(333-212571
and
333-
232144)
of
Barclays
Bank
PLC
and
to
be
a
part
thereof
from
the
date
on
which
this
report
is
furnished,
to
the
extent
not
superseded
by
documents
or
reports
subsequently
filed
or
furnished.
Barclays
Bank
PLC
1
The
Report
comprises
the
following:
Results
of
Barclays
Bank
PLC
Group
as
of,
and
for
the
six
months
ended,
30
June
2020.
A
table
setting
forth
the
issued
share
capital
of
Barclays
Bank
PLC
and
the
Barclays
Bank
PLC
Group’s
total
shareholders’
equity,
indebtedness
and
contingent
liabilities
as
at
30
June
2020,
the
most
recent
reported
statement
of
position,
and
updated
for
any
significant
or
material
items
since
that
reporting
date.
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
2
SIGNATURES
Pursuant
to
the
requirements
of
the
Securities
Exchange
Act
of
1934,
the
registrant
has
duly
caused
this
report
to
be
signed
on
its
behalf
by
the
undersigned,
thereunto
duly
authorised.
BARCLAYS
BANK
PLC
(Registrant)
Date:
July
29,
2020
By:
/s/
Garth
Wright
Name:
Garth
Wright
Title:
Assistant
Secretary
h120ex991
Barclays
Bank
PLC
1
Exhibit
99.1
Barclays
Bank
PLC
This
exhibit
includes
portions
from
the
previously
published
Results
Announcement
of
Barclays
Bank
PLC
relating
to
the
six
months
ended
30
June
2020,
as
amended
in
part
to
comply
with
the
requirements
of
Regulation
G
and
Item
10(e)
of
Regulation
S-K
promulgated
by
the
US
Securities
and
Exchange
Commission
(SEC),
including
the
reconciliation
of
certain
financial
information
to
comparable
measures
prepared
in
accordance
with
International
Financial
Reporting
Standards
(IFRS).
The
purpose
of
this
document
is
to
provide
such
additional
disclosure
as
required
by
Regulation
G
and
Regulation
S-K
item
10(e),
to
delete
certain
information
not
in
compliance
with
SEC
regulations
and
to
include
reconcil
iations
of
certain
non-IFRS
figures
to
the
most
directly
equivalent
IFRS
figures
for
the
periods
presented.
This
document
does
not
update
or
otherwise
supplement
the
information
contained
in
the
previously
published
Results
Announcement.
Any
reference
to
a
website
in
this
document
is
made
for
informational
purposes
only,
and
information
found
at
such
websites
is
not
incorporated
by
reference
into
this
document.
An
audit
opinion
has
not
been
rendered
in
respect
of
this
document.
Table
of
Contents
Barclays
Bank
PLC
2
Results
Announcement
Page
Notes
3
Financial
Review
4
Risk
Management
●
Risk
Management
and
Principal
Risks
6
●
Credit
Risk
8
●
Market
Risk
16
●
Treasury
and
Capital
Risk
17
Condensed
Consolidated
Financial
Statements
19
Financial
Statement
Notes
25
Other
Information
45
Glossary
of
Terms
46
Capitalisation and Indebtedness
69
BARCLAYS
BANK
PLC,
1
CHURCHILL
PLACE,
LONDON,
E14
5HP,
UNITED
KINGDOM.
TELEPHONE:
+44
(0)
20
7116
1000.
COMPANY
NO.
1026167.
Notes
Barclays
Bank
PLC
3
The
term
Barclays
Bank
Group
refers
to
Barclays
Bank
PLC
together
with
its
subsidiaries.
Unless
otherwise
stated,
the
income
statement
analysis
compares
the
six
months
ended
30
June
2020
to
the
corresponding
six
months
of
2019
and
balance
sheet
analysis
as
at
30
June
2020
with
comparatives
relating
to
31
December
2019.
The
abbreviations
‘£m’
and
‘£bn’
represent
millions
and
thousands
of
millions
of
Pounds
Sterling
respectively;
the
abbreviations
‘$m’
and
‘$bn’
represent
millions
and
thousands
of
millions
of
US
Dollars
respectively;
and
the
abbreviations
‘€m’
and
‘€bn’
represent
millions
and
thousands
of
millions
of
Euros
respectively.
There
are
a
number
of
key
judgement
areas,
for
example
impairment
calculations,
which
are
based
on
models
and
which
are
subject
to
ongoing
adjustment
and
modifications.
Reported
numbers
reflect
best
estimates
and
judgements
at
the
given
point
in
time.
Relevant
terms
that
are
used
in
this
document
but
are
not
defined
under
applicable
regulatory
guidance
or
International
Financial
Reporting
Standards
(IFRS)
are
explained
in
the
results
glossary
that
can
be
accessed
at
home.barclays/investor
-relations/reports-and-events/latest-financial-results.
The
information
in
this
announcement,
which
was
approved
by
the
Board
of
Directors
on
28
July
2020,
does
not
comprise
statutory
accounts
within
the
meaning
of
Section
434
of
the
Companies
Act
2006.
Statutory
accounts
for
the
year
ended
31
December
2019,
which
contained
an
unmodified
audit
report
under
Section
495
of
the
Companies
Act
2006
(which
did
not
make
any
statements
under
Section
498
of
the
Companies
Act
2006)
have
been
delivered
to
the
Registrar
of
Companies
in
accordance
with
Section
441
of
the
Companies
Act
2006.
Barclays
Bank
Group
is
a
frequent
issuer
in
the
debt
capital
markets
and
regularly
meets
with
investors
via
formal
road-shows
and
other
ad
hoc
meetings.
Consistent
with
its
usual
practice,
Barclays
Bank
Group
expects
that
from
time
to
time
over
the
coming
half
year
it
will
meet
with
investors
globally
to
discuss
these
results
and
other
matters
relating
to
the
Barclays
Bank
Group.
Forward
-looking
statements
This
document
contains
certain
forward-looking
statements
within
the
meaning
of
Section
21E
of
the
US
Securities
Exchange
Act
of
1934,
as
amended,
and
Section
27A
of
the
US
Securities
Act
of
1933,
as
amended,
with
respect
to
the
Barclays
Bank
Group.
Barclays
cautions
readers
that
no
forward
-looking
statement
is
a
guarantee
of
future
performance
and
that
actual
results
or
other
financial
condition
or
performance
measures
could
differ
materially
from
those
contained
in
the
forward
-looking
statements.
These
fo
rward
-looking
statements
can
be
identified
by
the
fact
that
they
do
not
relate
only
to
historical
or
current
facts.
Forward-looking
statements
sometimes
use
words
such
as
‘may’,
‘will’,
‘seek’,
‘continue’,
‘aim’,
‘anticipate’,
‘target’,
‘projected’,
‘expec
t’,
‘estimate’,
‘intend’,
‘plan’,
‘goal’,
‘believe’,
‘achieve’
or
other
words
of
similar
meaning.
Forward-looking
statements
can
be
made
in
writing
but
also
may
be
made
verbally
by
members
of
the
management
of
the
Barclays
Bank
Group
(including,
without
limitation,
during
management
presentations
to
financial
analysts)
in
connection
with
this
document.
Examples
of
forward
-looking
statements
include,
among
others,
statements
or
guidance
regarding
or
relating
to
the
Barclays
Bank
Group’s
future
financial
position,
income
growth,
assets,
impairment
charges,
provisions,
business
strategy,
capital,
leverage
and
other
regulatory
ratios,
payment
of
dividends
(including
dividend
payout
ratios
and
expected
payment
strategies),
projected
levels
of
growth
in
the
banking
and
financial
markets,
projected
costs
or
savings,
any
commitments
and
targets,
estimates
of
capital
expenditures,
plans
and
objectives
for
future
operations,
projected
employee
numbers,
IFRS
impacts
and
other
statements
that
are
not
historical
fact.
By
their
nature,
forward
-looking
statements
involve
risk
and
uncertainty
because
they
relate
to
future
events
and
circumstances.
The
forward
-looking
statements
speak
only
as
at
the
date
on
which
they
are
made
and
such
statements
may
be
affected
by
changes
in
legislation,
the
development
of
standards
and
interpretations
under
IFRS,
including
evolving
practices
with
regard
to
the
interpretation
and
application
of
accounting
and
regulatory
standards,
the
outcome
of
current
and
future
legal
proceedings
and
regulatory
investigations,
future
levels
of
conduct
provisions,
the
policies
and
actions
of
governmental
and
regulatory
authorities,
geopolitical
risks
and
the
impact
of
competition.
In
addition,
factors
including
(but
not
limited
to)
the
following
may
have
an
effect:
capital,
leverage
and
other
regulatory
rules
applicable
to
past,
current
and
future
periods;
UK,
US,
Eurozone
and
global
macroeconomic
and
business
conditions;
the
effects
of
any
volatility
in
credit
markets;
market
related
risks
such
as
changes
in
interest
rates
and
foreign
exchange
rates;
effects
of
changes
in
valuation
of
credit
market
exposures;
changes
in
valuation
of
issued
securities;
volatility
in
capital
markets;
changes
in
credit
ratings
of
any
entity
within
the
Barclays
Bank
Group
or
any
securities
issued
by
such
entities;
direct
and
indirect
impacts
of
the
coronavirus
(COVID-19)
pandemic;
instability
as
a
result
of
the
exit
by
the
UK
from
the
European
Union
and
the
disruption
that
may
subsequently
result
in
the
UK
and
globally;
and
the
success
of
future
acquisitions,
disposals
and
other
strategic
transactions.
A
number
of
these
influences
and
factors
are
beyond
the
Barclays
Bank
Group’s
control.
As
a
result,
the
Barclays
Bank
Group’s
actual
financial
position,
future
results,
dividend
payments,
capital,
leverage
or
other
regulatory
ratios
or
other
financial
and
non-financial
metrics
or
performance
measures
may
differ
materially
from
the
statements
or
guidance
set
forth
in
the
Barclays
Bank
Group’s
forward
-looking
statements.
Additional
risks
and
factors
which
may
impact
the
Barclays
Bank
Group’s
future
financial
condition
and
performance
are
identified
in
our
filings
with
the
SEC
(including,
without
limitation,
our
Annual
Report
on
Form
20-F
for
the
fiscal
year
ended
31
December
2019
and
our
2020
Interim
Results
Announcement
for
the
six
months
ended
30
June
2020
filed
on
Form
6-K),
which
are
available
on
the
SEC’s
website
at
www.sec.gov.
Subject
to
our
obligations
under
the
applicable
laws
and
regulations
of
any
relevant
jurisdiction,
(including,
without
limitation,
the
UK
and
the
US),
in
relation
to
disclosure
and
ongoing
information,
we
undertake
no
obligation
to
update
publicly
or
revise
any
forward
-looking
statements,
whether
as
a
result
of
new
information,
future
events
or
otherwise.
Financial
Review
Barclays
Bank
PLC
4
Barclays
Bank
Group
results
for
the
half
year
ended
30.06.20
30.06.19
£m
£m
%
Change
Total
income
8,637
7,122
21
Credit
impairment
charges
(2,674)
(510)
Net
operating
income
5,963
6,612
(10)
Operating
expenses
(4,548)
(4,842)
6
Litigation
and
conduct
(19)
(68)
72
Total
operating
expenses
(4,567)
(4,910)
7
Other
net
income
127
23
Profit
before
tax
1,523
1,725
(12)
Tax
charge
(230)
(260)
12
Profit
after
tax
1,293
1,465
(12)
Other
equity
instrument
holders
(333)
(294)
(13)
Attributable
profit
960
1,171
(18)
As
at
30.06.20
As
at
31.12.19
Balance
sheet
information
£bn
£bn
Cash
and
balances
at
central
banks
155.8
125.9
Cash
collateral
and
settlement
assets
130.9
79.5
Loans
and
advances
at
amortised
cost
150.2
141.6
Trading
portfolio
assets
109.5
113.3
Financial
assets
at
fair
value
through
the
income
statement
155.5
129.5
Derivative
financial
instrument
assets
307.7
229.6
Total
assets
1,096.0
876.7
Deposits
at
amortised
cost
245.7
213.9
Cash
collateral
and
settlement
liabilities
113.3
67.7
Financial
liabilities
designated
at
fair
value
222.1
204.4
Derivative
financial
instrument
liabilities
308.0
228.9
As
at
30.06.20
As
at
31.12.19
Capital
and
liquidity
metrics
£bn
£bn
Common
equity
tier
1
(CET1)
ratio
1,2
14.3%
13.9%
Barclays
Bank
PLC
DoLSub
liquidity
coverage
ratio
166%
141%
Barclays
Bank
Group
liquidity
pool
234
169
1
Barclays
Bank
PLC
is
currently
regulated
by
the
Prudential
Regulation
Authority
(PRA)
on
a
solo-consolidated
basis.
The
disclosure
above
provides
a
capital
metric
for
Barclays
Bank
PLC
solo-consolidated
.
For
further
information,
refer
to
Treasury
and
Capital
Risk
on
page
17.
2
The
CET
1
ratio
is
calculated
applying
the
IFRS
9
transitional
arrangement
of
the
Capital
Requirements
Regulation
(CRR)
as
amended
by
the
Capital
Requirements
Regulation
II
(CRR
II)
applicable
as
at
the
reporting
date
.
For
further
information
on
the
implementation
of
CRR
II
see
page
17.
Barclays
Bank
Group
Overview
Barclays
Bank
PLC
is
the
non-ring
-fenced
bank
which
forms
part
of
the
Barclays
Group
and
consists
of
Corporate
and
Investment
Bank
(CIB),
Consumer,
Cards
and
Payments
(CC&P)
and
Head
Office.
Group
performance
Barclays
Bank
PLC
continued
to
support
its
customers
and
clients
through
the
COVID
-19
pandemic
by
providing
or
facilitating
lending,
through
the
range
of
support
programmes
which
have
been
introduced,
as
well
as
enabling
the
raising
of
debt
and
equity
financing
in
the
capital
markets
.
Support
actions,
including
over
200k
payment
holidays,
have
also
been
introduced
to
help
customers
and
clients
through
the
difficulties
they
may
be
experiencing.
Profit
before
tax
decreased
12%
to
£1,523m
driven
by
a
£1,105m
decrease
in
CC&P
to
a
loss
before
tax
of
£503m.
This
was
partially
offset
by
a
£750m
increase
in
CIB
to
£2,203m
and
a
lower
loss
in
Head
Office
of
£177m
(H119:
£330m).
●
Total
income
increased
21%
to
£8,637m
–
CIB
income
increased
35%
to
£6,973m
driven
by
a
73%
increase
in
Markets,
reflecting
increased
client
activity,
spread
widening
and
higher
levels
of
volatility,
an
8%
increase
in
Banking
fees,
partially
offset
by
a
17%
decline
in
Corporate
due
to
the
impact
of
losses
on
fair
value
lending
positions
and
losses
on
mark
-to
-market
and
carry
costs
on
related
hedges
in
H120
Financial
Review
Barclays
Bank
PLC
5
–
CC&P
income
decreased
21%
to
£1,742m
as
the
impacts
of
the
COVID
-19
pandemic
resulted
in
lower
balances
on
co-
branded
cards,
margin
compression
and
reduced
payments
activity.
Q220
included
a
c.£100m
valuation
loss
on
Barclays’
preference
shares
in
Visa
Inc.
resulting
from
the
Q220
Supreme
Court
ruling
concerning
charges
paid
by
merchants
–
Head
Office
income
expense
improved
by
65%
to
£78m
mainly
driven
by
lower
legacy
capital
funding
costs
●
Credit
impairment
charges
increased
to
£2,674m
(H119:
£510m)
–
CIB
credit
impairment
charges
increased
to
£1,320m
(H119:
£96m),
reflecting
£591m
in
respect
of
single
name
wholesale
loan
charges
and
impacts
from
the
COVID
-19
scenarios
1
,
partially
offset
by
the
estimated
impact
of
central
bank,
government
and
other
support
measures
–
CC&P
credit
impairment
charges
increased
to
£1,299m
(H119:
£396m)
reflecting
the
impact
from
the
revised
COVID
-19
scenarios,
partially
offset
by
the
estimated
impact
of
central
bank,
government
and
other
support
measures
–
Head
Office
credit
impairment
charges
increased
to
£55m
(H119:
£18m)
due
to
impacts
from
the
COVID
-19
scenarios
on
the
Italian
home
loan
portfolio
●
Total
operating
expenses
decreased
7%
to
£4,567m
–
CIB
total
operating
expenses
decreased
4%
to
£3,462m
due
to
cost
efficiencies
and
discipline
in
the
current
environment
–
CC&P
total
operating
expenses
decre
ased
12%
to
£1,061m
reflecting
cost
efficiencies
and
lower
marketing
spend
due
to
the
impacts
of
the
COVID
-19
pandemic
–
Head
Office
total
operating
expenses
decreased
48%
to
£44m
due
to
lower
litigation
and
conduct
charges
●
Other
net
income
increased
£104m
to
£127m
reflecting
gains
on
disposals
following
the
sale
of
a
number
of
subsidiaries
within
the
Barclays
Group
●
The
tax
charge
for
H120
was
£230m
(H119:
£260m),
representing
an
effective
tax
rate
of
15.1%
(H119:
15.1%)
Balance
sheet,
capital
and
liquidity
●
Cash
and
balances
at
central
banks
increased
£29.9bn
to
£155.8bn
within
the
liquidity
pool
●
Cash
collateral
and
settlement
assets
and
liabilities
increased
£51.4bn
to
£130.9bn
and
£45.6bn
to
£113.3bn
respectively
predominantly
due
to
increased
activity
●
Loans
and
advances
increased
£8.6bn
to
£150.2bn
due
to
increased
lending
within
CIB,
partially
offset
by
lower
card
balances
in
CC&P
●
Financial
assets
at
fair
value
through
the
income
statement
increased
£26.0bn
to
£155.5bn
driven
by
increased
secured
lending
●
Derivative
financial
instrument
assets
and
liabilities
increased
£78.1bn
to
£307.7bn
and
£79.1bn
to
£308.0bn
respectively
driven
by
a
decrease
in
major
interest
rate
curves
and
increased
trading
volumes
●
Deposits
at
amortised
cost
increased
£31.8bn
to
£245.7bn
due
to
CIB
clients
increasing
liquidity
●
Financial
liabilities
designated
at
fair
value
increased
£17.7bn
to
£222.1bn
driven
by
increased
secured
borrowing
●
The
Barclays
Bank
PLC
solo-consolidated
CET1
ratio
as
at
30
June
2020
was
14.3%,
which
is
above
regulatory
capital
minimum
requirements
●
The
Barclays
Bank
Group
liquidity
pool
increased
to
£234bn
(December
2019:
£169bn)
driven
by
customer
deposit
growth
and
actions
to
maintain
a
prudent
funding
and
liquidity
position
in
the
current
environment
1.
See
Measurement
uncertainty,
page
10,
for
a
description
of
the
COVID
-19
Scenarios.
Risk
Management
Barclays
Bank
PLC
6
Risk
management
and
principal
risks
The
roles
and
responsibilities
of
the
business
groups,
Risk
and
Compliance,
in
the
management
of
risk
in
the
firm
are
defined
in
the
Enterprise
Risk
Management
Framework.
The
purpose
of
the
framework
is
to
identify
the
principal
risks
of
Barclays
Bank
Group,
the
process
by
which
Barclays
Bank
Group
sets
its
appetite
for
these
risks
in
its
business
activities,
and
the
consequent
limits
which
it
places
on
related
risk
taking.
The
framework
identifies
eight
principal
risks:
credit
risk;
market
risk;
treasury
and
capital
risk;
operational
risk;
model
risk;
conduct
risk;
reputation
risk;
and
legal
risk.
Further
detail
on
these
risks
and
how
they
are
managed
is
available
in
the
Barclays
Bank
PLC
Annual
Report
2019
(pages
44
to
49)
or
online
at
home.barclays/annualreport.
There
have
been
no
significant
changes
to
these
principal
risks
or
previously
identified
material
existing
and
emerging
risks
in
the
period,
save
that
details
of
an
additional
material
risk
identified
in
H120
which
potentially
impacts
more
than
one
principal
risk
are
set
out
below.
The
following
section
also
gives
an
overview
of
credit
risk,
market
risk,
and
treasury
and
capital
risk
for
the
period.
Risks
relating
to
the
impact
of
COVID
-19
The
COVID
-19
pandemic
has
had,
and
continues
to
have,
a
material
impact
on
businesses
around
the
world
and
the
economic
environments
in
which
they
operate.
There
are
a
number
of
factors
associated
with
the
pandemic
and
its
impact
on
global
economies
that
could
have
a
material
adverse
effect
on
(among
other
things)
the
profitability,
capital
and
liquidity
of
financial
institutions
such
as
Barclays
Bank
Group.
The
COVID
-19
pandemic
has
caused
disruption
to
the
Barclays
Bank
Group's
customers,
suppliers
and
staff
globally.
Most
jurisdictions
in
which
the
Barclays
Bank
Group
operates
have
implemented
severe
restrictions
on
the
movement
of
their
respective
populations,
with
a
resultant
significant
impact
on
economic
activity
in
those
jurisdictions.
These
restric
tions
are
being
determined
by
the
governments
of
individual
jurisdictions
(including
through
the
implementation
of
emergency
powers)
and
impacts
(including
the
timing
of
implementation
and
any
subsequent
lifting
of
restrictions)
may
vary
from
jurisdiction
to
jurisdiction.
It
remains
unclear
how
this
will
evolve
through
2020
(including
whether
there
will
be
subsequent
waves
of
the
COVID
-19
pandemic
and
whether
and
in
what
manner
previously
lifted
restrictions
will
be
re-imposed)
and
the
Barclays
Bank
Group
continues
to
monitor
the
situation
closely.
However,
despite
the
COVID
-19
contingency
plans
established
by
the
Barclays
Bank
Group,
its
ability
to
conduct
business
may
be
adversely
affected
by
disruptions
to
its
infrastructure,
business
processes
and
techno
logy
services,
resulting
from
the
unavailability
of
staff
due
to
illness
or
the
failure
of
third
parties
to
supply
services.
This
may
cause
significant
customer
detriment,
costs
to
reimburse
losses
incurred
by
the
Barclays
Bank
Group’s
customers,
potential
litigation
costs
(including
regulatory
fines,
penalties
and
other
sanctions),
and
reputational
damage.
In
many
of
the
jurisdictions
in
which
the
Barclays
Bank
Group
operates,
schemes
have
been
initiated
by
central
banks,
national
governments
and
regulators
to
provide
financial
support
to
parts
of
the
economy
most
impacted
by
the
COVID
-19
pandemic.
These
schemes
have
been
designed
and
implemented
at
pace,
meaning
lenders
(including
Barclays
)
continue
to
address
operational
issues
which
have
arisen
in
connection
with
the
implementation
of
the
schemes,
including
resolving
the
interaction
between
the
schemes
and
existing
law
and
regulation.
In
addition,
the
details
of
how
these
schemes
will
impact
the
Barclays
Bank
Group’s
customers
and
therefore
the
impact
on
the
Barclays
Bank
Group
remain
s
uncertain
at
this
stage.
However,
certain
actions
(such
as
the
introduction
of
payment
holidays
for
certain
consumer
lending
products
or
the
cancellation
or
waiver
of
fees
associated
with
certain
products
)
may
negatively
impact
the
effective
interest
rate
earned
on
certain
of
the
Barclays
Bank
Group's
portfolios
and
lower
fee
income
being
earned
on
certain
products.
Lower
interest
rates
globally
will
negatively
impact
net
interest
income
earned
on
certain
of
the
Barclays
Bank
Group's
portfolios.
Both
of
these
factors
may
in
turn
negatively
impact
the
Barclays
Bank
Group's
profitability.
Furthermore,
the
introduction
of,
and
participation
in,
central
-
bank
supported
loan
and
other
financing
schemes
introduced
as
a
result
of
the
COVID
-19
pandemic
may
negatively
impact
the
Barclays
Bank
Group's
risk
weighted
assets
(RWAs),
level
of
impairment
and,
in
turn,
capital
position
(particularly
when
any
transitional
relief
applied
to
the
calculation
of
RWAs
and
impairment
exp
ires).
This
may
be
exacerbated
if
the
Barclays
Bank
Group
is
required
by
any
government
or
regulator
to
offer
forbearance
or
additional
financial
relief
to
borrowers
.
As
these
schemes
and
other
financial
support
schemes
provided
by
national
governments
(such
as
job
retention
and
furlough
schemes)
expire,
are
withdrawn
or
are
no
longer
supported,
the
Barclays
Bank
Group
may
experience
a
higher
volume
of
defaults
and
delinquencies
in
certain
portfolios
and
may
initiate
collection
and
enforcement
actions
to
recover
defaulted
debts.
Where
defaulting
borrowers
are
harmed
by
the
Barclays
Bank
Group’s
conduct,
this
may
give
rise
to
civil
legal
proceedings,
including
class
actions,
regulatory
censure,
potentially
significant
fines
and
other
sanctions,
and
reputational
damage.
Other
legal
disputes
may
also
arise
between
the
Barclays
Bank
Group
and
defaulting
borrowers
relating
to
matters
such
as
breaches
or
enforcement
of
legal
rights
or
obligations
arising
under
loan
and
other
credit
agreements.
Adverse
findings
in
any
such
matters
may
result
in
the
Barclays
Bank
Group’s
rights
not
being
enforced
as
intended.
For
further
details
on
legal
risk
and
legal,
competition
and
regulatory
matters,
refer
to
Note
14
on
page
38.
The
actions
taken
by
various
governments
and
central
banks,
in
particular
in
the
United
Kingdom
and
the
United
States,
may
indicate
a
view
on
the
potential
severity
of
any
economic
downturn
and
post
recovery
environment,
which
from
a
commercial,
regulatory
and
risk
perspective
could
be
significantly
different
to
past
crises
and
persist
for
a
prolonged
period.
The
COVID
-19
pandemic
has
led
to
a
weakening
in
GDP
in
most
jurisdictions
in
which
the
Barclays
Bank
Group
operates
and
an
expectation
of
higher
unemployment
and
lower
house
prices
in
those
same
jurisdictions.
These
factors
all
have
a
significant
impact
on
the
Risk
Management
Barclays
Bank
PLC
7
modelling
of
expected
credit
losses
(ECL)
by
the
Barclays
Bank
Group
.
As
a
result,
the
Barclays
Bank
Group
has
experienced
higher
ECLs
during
the
first
half
of
2020
compared
to
prior
periods
and
this
trend
may
continue
in
the
second
half
of
2020.
The
economic
environment
remains
uncertain
and
future
impairment
charges
may
be
subject
to
further
volatility
(including
from
changes
to
macroeconomic
variable
forecasts)
depending
on
the
longevity
of
the
COVID
-19
pandemic
and
related
containment
measures,
as
well
as
the
longer
term
effectiveness
of
central
bank,
government
and
other
support
measures.
For
further
details
on
macroeconomic
variables
used
in
the
calculation
of
ECLs,
refer
to
page
12.
In
addition,
ECLs
may
be
adversely
impacted
by
increased
levels
of
default
for
single
name
exposures
in
certain
sectors
directly
impacted
by
the
COVID
-19
pandemic
(such
as
the
oil
and
gas,
retail,
airline,
and
hospitality
and
leisure
sectors).
Furthermore,
the
Barclays
Bank
Group
relies
on
models
to
support
a
broad
range
of
business
and
risk
management
activities,
including
informing
business
decisions
and
strategies,
measuring
and
limiting
risk,
valuing
exposures
(including
the
calculation
of
impairment),
conducting
stress
testing
and
assessing
capital
adequacy.
Models
are,
by
their
nature,
imperfect
and
incomplete
representations
of
reality
because
they
rely
on
assumptions
and
inputs,
and
so
they
may
be
subject
to
errors
affecting
the
accuracy
of
their
outputs
and/or
misused.
This
may
be
exacerbated
when
dealing
with
unprecedented
scenarios,
such
as
the
COVID
-19
pandemic,
due
to
the
lack
of
reliable
historical
reference
points
and
data.
For
further
details
on
model
risk,
refer
to
page
48
of
the
Barclays
Bank
PLC
Annual
Report
2019.
The
disruptio
n
to
economic
activity
globally
caused
by
the
COVID
-19
pandemic
could
adversely
impact
the
Barclays
Bank
Group's
other
assets
such
as
goodwill
and
intangi
bles,
and
the
value
of
Barclays
Bank
PLC
’s
investments
in
subsidiaries.
It
could
also
impact
the
Barclays
Bank
Group's
income
due
to
lower
lending
and
transaction
volumes
due
to
volatility
or
weakness
in
the
capital
markets.
Other
potential
risks
include
credit
rating
migration
which
could
negatively
impact
the
Barclays
Bank
Group's
RWAs
and
capita
l
position,
and
potential
liquidity
stress
due
to
(among
other
things)
increased
customer
drawdowns,
notwithstanding
the
significant
initiatives
that
governments
and
central
banks
have
put
in
place
to
support
funding
and
liquidity.
Furthermore,
a
significant
increase
in
the
utilisation
of
credit
cards
by
customers
could
have
a
negative
impact
on
the
Barclays
Bank
Group's
RWAs
and
capital
position.
Central
bank
and
government
actions
and
other
support
measures
taken
in
response
to
the
COVID
-19
pandemic
may
also
create
restrictions
in
relation
to
capital.
Restrictions
imposed
by
governments
and/or
regulators
may
further
limit
management’s
flexibility
in
managing
the
business
and
taking
action
in
relation
to
capital
distributions
and
capital
allocation.
Any
and
all
such
events
mentioned
above
could
have
a
material
adverse
effect
on
the
Barclays
Bank
Group's
business,
financial
condition,
results
of
operations,
prospects,
liquidity,
capital
position
and
credit
ratings
(including
potential
credit
rating
agency
changes
of
outlooks
or
ratings),
as
well
as
on
the
Barclays
Bank
Group's
customers,
employees
and
suppliers.
Credit
Risk
Barclays
Bank
PLC
8
Loans
and
advances
at
amortised
cost
by
product
The
table
below
presents
a
breakdown
of
loans
and
advances
at
amortised
cost
and
the
impairment
allowance
with
stage
allocation
by
asset
classification
.
Impairment
allowance
under
IFRS
9
considers
both
the
drawn
and
the
undrawn
counterparty
exposure.
For
retail
portfolios,
the
total
impairment
allowance
is
allocated
to
the
drawn
exposure
to
the
extent
that
the
allowance
does
not
exceed
the
exposure,
as
ECL
is
not
reported
separately.
Any
excess
is
reported
on
the
liability
side
of
the
balance
sheet
as
a
provision.
For
wholesale
portfolios,
the
impairment
allowance
on
the
undrawn
exposure
is
reported
on
the
liability
side
of
the
balance
sheet
as
a
provision.
Stage
2
As
at
30.06.20
Stage
1
Not
past
due
<=30
days
past
due
>30
days
past
due
Total
Stage
3
Total
1
Gross
exposure
£m
£m
£m
£m
£m
£m
£m
Home
loans
9,670
638
62
179
879
1,142
11,691
Credit
cards,
unsecured
loans
and
other
retail
lending
20,659
6,077
206
348
6,631
2,036
29,326
Wholesale
loans
75,699
33,288
2,961
634
36,883
2,161
114,743
Total
106,028
40,003
3,229
1,161
44,393
5,339
155,760
Impairment
allowance
Home
loans
12
28
11
15
54
350
416
Credit
cards,
unsecured
loans
and
other
retail
lending
456
1,096
86
158
1,340
1,511
3,307
Wholesale
loans
206
654
92
24
770
858
1,834
Total
674
1,778
189
197
2,164
2,719
5,557
Net
exposure
Home
loans
9,658
610
51
164
825
792
11,275
Credit
cards,
unsecured
loans
and
other
retail
lending
20,203
4,981
120
190
5,291
525
26,019
Wholesale
loans
75,493
32,634
2,869
610
36,113
1,303
112,909
Total
105,354
38,225
3,040
964
42,229
2,620
150,203
Coverage
ratio
%
%
%
%
%
%
%
Home
loans
0.1
4.4
17.7
8.4
6.1
30.6
3.6
Credit
cards,
unsecured
loans
and
other
retail
lending
2.2
18.0
41.7
45.4
20.2
74.2
11.3
Wholesale
loans
0.3
2.0
3.1
3.8
2.1
39.7
1.6
Total
0.6
4.4
5.9
17.0
4.9
50.9
3.6
As
at
31.12.19
Gross
exposure
£m
£m
£m
£m
£m
£m
£m
Home
loans
9,604
544
48
82
674
1,056
11,334
Credit
cards,
unsecured
loans
and
other
retail
lending
29,541
3,806
304
340
4,450
2,129
36,120
Wholesale
loans
89,200
6,489
354
672
7,515
1,163
97,878
Total
128,345
10,839
706
1,094
12,639
4,348
145,332
Impairment
allowance
Home
loans
16
24
9
7
40
292
348
Credit
cards,
unsecured
loans
and
other
retail
lending
362
523
99
162
784
1,471
2,617
Wholesale
loans
114
219
8
7
234
383
731
Total
492
766
116
176
1,058
2,146
3,696
Net
exposure
Home
loans
9,588
520
39
75
634
764
10,986
Credit
cards,
unsecured
loans
and
other
retail
lending
29,179
3,283
205
178
3,666
658
33,503
Wholesale
loans
89,086
6,270
346
665
7,281
780
97,147
Total
127,853
10,073
590
918
11,581
2,202
141,636
Coverage
ratio
%
%
%
%
%
%
%
Home
loans
0.2
4.4
18.8
8.5
5.9
27.7
3.1
Credit
cards,
unsecured
loans
and
other
retail
lending
1.2
13.7
32.6
47.6
17.6
69.1
7.2
Wholesale
loans
0.1
3.4
2.3
1.0
3.1
32.9
0.7
Total
0.4
7.1
16.4
16.1
8.4
49.4
2.5
1
Other
financial
assets
subject
to
impairment
excluded
in
the
table
above
include
cash
collateral
and
settlement
balances,
financial
assets
at
fair
value
through
other
comprehensive
income,
accrued
income
and
sundry
debtors.
These
have
a
total
gross
exposure
of
£187.1bn
(December
2019:
£125.5bn)
and
impairment
allowance
of
£168m
(December
2019:
£22m).
This
comprises
£33m
(December
2019:
£10m)
ECL
on
£181.7bn
(December
2019:
£124.7bn)
Stage
1
assets,
£20m
(December
2019:
£2m)
on
£5.3bn
(December
2019:
£0.8bn)
Stage
2
fair
value
through
other
comprehensive
income
assets
and
£115m
(December
2019:
£10m)
on
£115m
(December
2019:
£10m)
Stage
3
other
assets.
Loan
commitments
and
financial
guarantee
contracts
have
total
ECL
of
£593m
(December
2019:
£252m).
Credit
Risk
Barclays
Bank
PLC
9
Movement
in
gross
exposures
and
impairment
allowance
including
provisions
for
loan
commitments
and
financial
guarantees
The
following
tables
present
a
reconciliation
of
the
opening
to
the
closing
balance
of
the
exposure
and
impairment
allowance.
Explanation
of
the
terms:
12-month
ECL,
lifetime
ECL
and
credit
-impaired
are
included
in
the
Barclays
Bank
PLC
Annual
Report
2019
on
page
149.
Barclays
Bank
Group
does
not
hold
any
material
purchased
or
originated
credit
-impaired
assets
as
at
period
end.
Transfers
between
stages
in
the
tables
have
been
reflected
as
if
they
had
taken
place
at
the
beginning
of
the
year.
The
movements
are
measured
over
a
6-month
period.
Loans
and
advances
at
amortised
cost
Stage
1
Stage
2
Stage
3
Total
Gross
exposure
ECL
Gross
exposure
ECL
Gross
exposure
ECL
Gross
exposure
ECL
£m
£m
£m
£m
£m
£m
£m
£m
Home
loans
As
at
1
January
2020
9,604
16
674
40
1,056
292
11,334
348
Transfers
from
Stage
1
to
Stage
2
(394)
(1)
394
1
-
-
-
-
Transfers
from
Stage
2
to
Stage
1
114
3
(114)
(3)
-
-
-
-
Transfers
to
Stage
3
(64)
-
(67)
(6)
131
6
-
-
Transfers
from
Stage
3
17
-
31
1
(48)
(1)
-
-
Business
activity
in
the
year
410
-
-
-
-
-
410
-
Net
drawdowns,
repayments,
net
re-
measurement
and
movement
due
to
exposure
and
risk
parameter
changes
334
(6)
28
22
39
61
401
77
Final
repayments
(351)
-
(67)
(1)
(29)
(1)
(447)
(2)
Disposals
-
-
-
-
-
-
-
-
Write
-offs
1
-
-
-
-
(7)
(7)
(7)
(7)
As
at
30
June
2020
2
9,670
12
879
54
1,142
350
11,691
416
Credit
cards,
unsecured
loans
and
other
retail
lending
As
at
1
January
2020
29,541
362
4,450
784
2,129
1,471
36,120
2,617
Transfers
from
Stage
1
to
Stage
2
(3,520)
(78)
3,520
78
-
-
-
-
Transfers
from
Stage
2
to
Stage
1
948
134
(948)
(134)
-
-
-
-
Transfers
to
Stage
3
(153)
(10)
(397)
(171)
550
181
-
-
Transfers
from
Stage
3
21
4
50
5
(71)
(9)
-
-
Business
activity
in
the
year
2,416
23
66
11
5
1
2,487
35
Net
drawdowns,
repayments,
net
re-
measurement
and
movement
due
to
exposure
and
risk
parameter
changes
(3,447)
55
259
824
160
513
(3,028)
1,392
Final
repayments
(1,472)
(10)
(94)
(12)
(63)
(4)
(1,629)
(26)
Transfers
to
Barclays
Group
3
(2,182)
(16)
(92)
(25)
(47)
(41)
(2,321)
(82)
Disposals
4
(1,493)
(8)
(183)
(20)
(71)
(45)
(1,747)
(73)
Write
-offs
1
-
-
-
-
(556)
(556)
(556)
(556)
As
at
30
June
2020
2
20,659
456
6,631
1,340
2,036
1,511
29,326
3,307
1
In
H1
2020,
gross
write
-offs
amounted
to
£643m
(H1
2019:
£627m)
and
post
write
-off
recoveries
amounted
to
£1m
(H1
2019:
£47m).
Net
write
-offs
represent
gross
write
-offs
less
post
write
-off
recoveries
and
amounted
to
£642m
(H1
2019:
£580m).
2
Other
financial
assets
subject
to
impairment
excluded
in
the
table
s
above
include
cash
collateral
and
settlement
balances,
financial
assets
at
fair
value
through
other
comprehensive
income
and
other
assets.
These
have
a
total
gross
exposure
of
£187.1
bn
(December
2019:
£125.5bn)
and
impairment
allow
ance
of
£168m
(December
2019:
£22m).
This
comprises
£33m
ECL
(December
2019:
£10m)
on
£181.7bn
Stage
1
assets
(December
2019:
£1
24.7bn),
£20m
(December
2019:
£2m)
on
£5.3bn
Stage
2
fair
value
through
other
comprehensive
income
assets,
cash
collateral
and
settlement
assets
(December
2019:
£0.8bn)
and
£115m
(Dece
mber
2019:
£10m)
on
£115m
Stage
3
other
assets
(December
2019:
£10m).
3
Transfers
to
Barclays
Group
reported
within
Credit
cards,
unsecured
loans
and
other
retail
lending
portfolio
includes
the
transfer
of
the
Barclays
Partner
Finance
retail
portfolio
to
Barclays
Principal
Investments
Limited
during
the
period.
4
Disposals
reported
within
Credit
cards,
unsecured
loans
and
other
retail
lending
portfolio
include
sale
of
the
motor
financing
business
from
the
Barclays
Partner
Finance
business.
Credit
Risk
Barclays
Bank
PLC
10
Loans
and
advances
at
amortised
cost
Stage
1
Stage
2
Stage
3
Total
Gross
exposure
ECL
Gross
exposure
ECL
Gross
exposure
ECL
Gross
exposure
ECL
£m
£m
£m
£m
£m
£m
£m
£m
Wholesale
loans
As
at
1
January
2020
89,200
114
7,515
234
1,163
383
97,878
731
Transfers
from
Stage
1
to
Stage
2
(24,051)
(55)
24,051
55
-
-
-
-
Transfers
from
Stage
2
to
Stage
1
1,589
12
(1,589)
(12)
-
-
-
-
Transfers
to
Stage
3
(688)
(2)
(507)
(39)
1,195
41
-
-
Transfers
from
Stage
3
139
-
109
1
(248)
(1)
-
-
Business
activity
in
the
year
19,309
19
4,128
212
42
12
23,479
243
Net
drawdowns,
repayments,
net
re-
measurement
and
movement
due
to
exposure
and
risk
parameter
changes
10,474
136
4,791
334
349
539
15,614
1,009
Final
repayments
(20,273)
(18)
(1,606)
(15)
(260)
(36)
(22,139)
(69)
Disposals
-
-
(9)
-
-
-
(9)
-
Write
-offs
1
-
-
-
-
(80)
(80)
(80)
(80)
As
at
30
June
2020
2
75,699
206
36,883
770
2,161
858
114,743
1,834
Reconciliation
of
ECL
movement
to
impairment
charge/(release)
for
the
period
£m
Home
loans
75
Credit
cards,
unsecured
loans
and
other
retail
lending
1,319
Wholesale
loans
1,183
ECL
movement
excluding
assets
derecognised
due
to
disposals
and
write-offs
2,577
Recoveries
and
reimbursements
3
(280)
Exchange
and
other
adjustments
4
(103)
Impairment
charge
on
loan
commitments
and
other
financial
guarantees
331
Impairment
charge
on
other
financial
assets
2
149
As
at
30
June
2020
2,674
1
In
H1
2020,
gross
write
-offs
amounted
to
£643m
(H1
2019:
£627m)
and
post
write
-off
recoveries
amounted
to
£1m
(H1
2019:
£47m).
Net
write
-offs
represent
gross
write
-offs
less
post
write
-off
recoveries
and
amounted
to
£642m
(H1
2019:
£580m).
2
Other
financial
assets
subject
to
impairment
excluded
from
the
tables
above
include
cash
collateral
and
settlement
balances,
financial
assets
at
fair
value
through
other
comprehensive
income
and
other
assets.
These
have
a
total
gross
exposure
of
£187.1bn
(December
2019:
£125.5bn)
and
impairment
allowance
of
£168m
(December
2019:
£22m).
This
comprises
£33m
ECL
(December
2019:
£10m)
on
£181.7
bn
Stage
1
assets
(December
2019:
£124.7bn),
£20m
(December
2019:
£2m)
on
£5.3bn
Stage
2
fair
value
through
other
comprehensive
income
assets,
cash
collateral
and
settle
ment
assets
(December
2019:
£0.8bn)
and
£115m
(Dece
mber
2019:
£10m)
on
£115m
Stage
3
other
assets
(December
2019:
£10m).
3
Recoveries
and
reimbursements
includes
a
net
gain
in
relation
to
reimbursements
from
guarantee
contracts
held
with
third
parties
of
£279m
and
post
write
off
recoveries
of
£1m.
4
Includes
foreign
exchange
and
interest
and
fees
in
suspense.
Credit
Risk
Barclays
Bank
PLC
11
Loan
commitments
and
financial
guarantees
Stage
1
Stage
2
Stage
3
Total
Gross
exposure
ECL
Gross
exposure
ECL
Gross
exposure
ECL
Gross
exposure
ECL
£m
£m
£m
£m
£m
£m
£m
£m
Home
loans
As
at
1
January
2020
34
-
-
-
-
-
34
-
Net
transfers
between
stages
-
-
-
-
-
-
-
-
Business
activity
in
the
year
136
-
-
-
-
-
136
-
Net
drawdowns,
repayments,
net
re-
measurement
and
movement
due
to
exposure
and
risk
parameter
changes
10
-
-
-
-
-
10
-
Limit
management
(19)
-
-
-
-
-
(19)
-
As
at
30
June
2020
161
-
-
-
-
-
161
-
Credit
cards,
unsecured
loans
and
other
retail
lending
As
at
1
January
2020
78,257
22
2,053
15
67
14
80,377
51
Net
transfers
between
stages
(2,633)
2
2,394
(1)
239
(1)
-
-
Business
activity
in
the
year
3,641
1
57
-
1
1
3,699
2
Net
drawdowns,
repayments,
net
re-
measurement
and
movement
due
to
exposure
and
risk
parameter
changes
5,735
16
(74)
27
(273)
7
5,388
50
Limit
management
(5,165)
-
(261)
-
(4)
(3)
(5,430)
(3)
As
at
30
June
2020
79,835
41
4,169
41
30
18
84,034
100
Wholesale
loans
As
at
1
January
2020
183,001
63
12,053
97
636
41
195,690
201
Net
transfers
between
stages
(38,412)
(22)
37,380
15
1,032
7
-
-
Business
activity
in
the
year
24,878
7
3,389
30
107
-
28,374
37
Net
drawdowns,
repayments,
net
re-
measurement
and
movement
due
to
exposure
and
risk
parameter
changes
10,996
13
794
285
(232)
(18)
11,558
280
Limit
management
(36,233)
(7)
(2,764)
(18)
(239)
-
(39,236)
(25)
As
at
30
June
2020
144,230
54
50,852
409
1,304
30
196,386
493
Credit
Risk
Barclays
Bank
PLC
12
Measurement
uncertainty
The
Barclays
Bank
Group
uses
a
five-scenario
model
to
calculate
ECL.
Absent
the
conditions
surrounding
the
COVID
-19
pandemic,
a
Baseline
scenario
is
typically
generated
based
on
an
external
consensus
forecast
assembled
from
key
sources,
including
HM
Treasury
(short
and
medium-term
forecasts),
Bloomberg
(based
on
median
of
economic
forecasts)
and
the
Urban
Land
Institute
(for
US
House
Prices).
In
addition,
two
adverse
scenarios
(Downside
1
and
Downside
2)
and
two
favourable
scenarios
(Upside
1
and
Upside
2)
are
derived,
with
associated
probability
weightings.
The
adverse
scenarios
are
typically
calibrated
to
a
similar
severity
to
internal
stress
tests,
whilst
also
considering
IFRS
9
specific
sensitivities
and
non-linearity.
Downside
2
is
typically
benchmarked
to
the
Bank
of
England’s
annual
cyclical
scenarios
and
to
the
most
severe
scenario
from
Moody’s
inventory,
but
is
not
designed
to
be
the
same.
The
favourable
scenarios
are
generally
calibrated
to
be
symmetric
to
the
adverse
scenarios,
subject
to
a
ceiling
calibrated
to
relevant
recent
favourable
benchmark
scenarios.
The
scenarios
include
eight
economic
variables
(GDP,
unemployment,
House
Price
Index
(HPI)
and
base
rates
in
both
the
UK
and
US
markets),
and
expanded
variables
using
statistical
models
based
on
historical
correlations.
The
upside
and
downside
shocks
are
designed
to
evolve
over
a
five-year
stress
horizon,
with
all
five
scenarios
converging
to
a
steady
state
after
approximately
eight
years.
To
calculate
ECL
a
probability
weight
is
assigned
to
each
scenario.
Following
the
onset
of
the
COVID
-19
pandemic,
the
Barclays
Bank
Group
generated
a
Baseline
scenario
in
March
2020
that
reflected
the
most
recent
economic
forecasts
available
in
the
market
(combined
with
internal
assumptions)
and
estimated
impacts
from
significant
support
measures
taken
by
Barclays,
central
banks
and
governments
across
the
Barclays
Bank
Group’s
key
markets.
This
scenario
assumed
a
strong
contraction
in
GDP
and
a
sharp
rise
in
unemployment
in
2020
across
both
the
UK
and
US,
and
required
a
recalibration
of
probability
weights.
This
scenario
was
superseded
by
a
further
revised
Baseline
scenario
generated
in
June
2020,
based
broadly
on
the
latest
economic
forecasts
which
recognise
some
the
impacts
from
the
various
support
measures
still
in
place
across
the
Barclays
Bank
Group’s
key
markets.
Upside
and
downside
scenarios
were
also
regenerated
in
June
2020
(together
with
the
revised
Baseline
scenario,
the
“COVID
-19
Scenarios”).
The
downside
scenarios
reflect
slower
economic
growth
than
the
Baseline
with
social
distancing
measures
continuing
to
drag
GDP.
Economic
growth
begins
to
recover
later
in
2020
in
Downside
1
but
only
in
2021
in
the
Downside
2
scenario.
The
upside
scenarios
reflect
a
fast
er
rebound
in
economic
growth
than
the
Baseline
with
a
sharp
decrease
in
infection
rates
and
an
almost
fully
reopened
economy.
Scenario
weights
were
also
revised
in
June
2020
with
greater
weight
being
applied
to
the
tail
scenarios
(Upside
2
and
Downside
2).
This
reflects
the
significant
range
of
uncertainty
in
the
economic
environment
compared
to
previous
quarters
given
the
conditions
surrounding
the
COVID
-19
pandemic.
The
economic
environment
remains
uncertain
and
future
impairment
charges
may
be
subject
to
further
volatility
(including
from
changes
to
macroeconomic
variable
forecasts)
depending
on
the
longevity
of
the
COVID
-19
pandemic
and
related
containment
measures,
as
well
as
the
longer
term
effectiveness
of
central
bank,
government
and
other
support
measures.
The
tables
on
next
page
show
the
key
macroeconomic
variables
used
in
the
COVID
-19
Baseline
scenario
and
the
probability
weights
applied
to
each
respective
scenario.
Credit
Risk
Barclays
Bank
PLC
13
Baseline
average
macroeconomic
variables
used
in
the
calculation
of
ECL
2020
2021
2022
Expected
Worst
Point
As
at
30.06.20
%
%
%
%
UK
GDP
1
(8.7)
6.1
2.9
(51.4)
UK
unemployment
2
6.6
6.5
4.4
8.0
UK
HPI
3
0.6
2.0
-
(1.5)
UK
bank
rate
0.2
0.1
0.1
0.1
US
GDP
1
(4.2)
4.4
(0.3)
(30.4)
US
unemployment
4
9.3
7.6
5.5
13.4
US
HPI
5
1.1
1.8
(0.8)
(1.9)
US
federal
funds
rate
0.5
0.3
0.3
0.3
1
Avera
ge
Real
GDP
seasonally
adjusted
change
in
year;
expected
worst
point
using
Seasonally
Adjusted
Annual
Rate,
SAAR.
2
Average
UK
unemployment
rate
16-year+.
3
Change
in
average
yearly
UK
HPI
=
Halifax
All
Houses,
All
Buyers
index,
relative
to
prior
year
end;
worst
point
is
based
on
cumulative
drawdown
in
year
relative
to
prior
year
end.
4
Average
US
civilian
unemployment
rate
16-year+.
5
Change
in
average
yearly
US
HPI
=
FHFA
house
price
index,
relative
to
prior
year
end;
worst
point
is
based
on
cumulative
drawdown
in
year
relative
to
prior
year
end.
Scenario
probability
weighting
Upside
2
Upside
1
Baseline
Downside
1
Downside
2
%
%
%
%
%
As
at
30.06.20
Scenario
probability
weighting
20.3
22.4
25.4
17.5
14.4
As
at
31.12.19
Scenario
probability
weighting
10.1
23.1
40.8
22.7
3.3
Credit
Risk
Barclays
Bank
PLC
14
Macroeconomic
variables
(specific
bases)
1
Upside
2
Upside
1
Baseline
Downside
1
Downside
2
As
at
30.06.20
%
%
%
%
%
UK
GDP
2
32.7
26.4
5.4
1.6
1.2
UK
unemployment
3
3.5
3.6
4.9
9.6
10.9
UK
HPI
4
45.3
27.2
2.3
(15.0)
(33.4)
UK
bank
rate
3
0.1
0.1
0.2
0.3
0.2
US
GDP
2
19.1
13.5
3.3
2.0
(3.1)
US
unemployment
3
4.1
4.4
6.3
15.4
18.7
US
HPI
4
32.3
20.9
2.3
(8.8)
(19.7)
US
federal
funds
rate
3
0.3
0.3
0.3
0.4
0.4
As
at
31.12.19
UK
GDP
2
4.2
2.9
1.6
0.2
(4.7)
UK
unemployment
3
3.4
3.8
4.2
5.7
8.7
UK
HPI
4
46.0
32.0
3.1
(8.2)
(32.4)
UK
bank
rate
3
0.5
0.5
0.7
2.8
4.0
US
GDP
2
4.2
3.3
1.9
0.4
(3.4)
US
unemployment
3
3.0
3.5
3.9
5.3
8.5
US
HPI
4
37.1
23.3
3.0
0.5
(19.8)
US
federal
funds
rate
3
1.5
1.5
1.7
3.0
3.5
As
at
30.06.19
UK
GDP
2
4.5
3.1
1.7
0.3
(4.1)
UK
unemployment
3
3.4
3.9
4.3
5.7
8.8
UK
HPI
4
46.4
32.6
3.2
(0.5)
(32.1)
UK
bank
rate
3
0.8
0.8
1.0
2.5
4.0
US
GDP
2
4.8
3.7
2.1
0.4
(3.3)
US
unemployment
3
3.0
3.4
3.7
5.2
8.4
US
HPI
4
36.9
30.2
4.1
-
(17.4)
US
federal
funds
rate
3
2.3
2.3
2.7
3.0
3.5
1
UK
GDP
=
Real
GDP
growth
seasonally
adjusted;
UK
unemployment
=
UK
unemployment
rate
16-year+;
UK
HPI
=
Halifax
All
Houses,
All
Buyers
Index;
US
GDP
=
Real
GDP
growth
seasonally
adjusted;
US
unemployment
=
US
civilian
unemployment
rate
16-year+;
US
HPI
=
FHFA
house
price
index.
Forecast
period
based
on
20
quarters
from
Q3
2020.
2
Upside
scenario
is
the
highest
annual
average
growth
rate
based
on
seasonally
adjusted
quarterly
annualised
rate;
5-year
average
in
Baseline;
downside
is
the
lowest
annual
average
growth
rate
based
on
seasonally
adjusted
quarterly
annualised
rate.
3
Lowest
yearly
average
in
Upside
scenarios;
5-year
average
in
Baseline;
highest
yearly
average
in
Downside
scenarios.
4
Cumulative
growth
(trough
to
peak)
in
Upside
scenarios;
5-year
average
in
Baseline;
cumulative
fall
(peak-
to-trough)
in
Downside
scenarios.
Credit
Risk
Barclays
Bank
PLC
15
Macroeconomic
variables
(5-year
averages)
1
Upside
2
Upside
1
Baseline
Downside
1
Downside
2
As
at
30.06.20
%
%
%
%
%
UK
GDP
8.9
7.2
5.4
5.2
2.8
UK
unemployment
4.0
4.3
4.9
6.2
7.2
UK
HPI
7.8
5.0
2.3
(1.4)
(5.5)
UK
bank
rate
0.4
0.3
0.2
0.1
0.1
US
GDP
5.9
4.4
3.3
2.7
1.8
US
unemployment
4.4
5.1
6.3
8.4
10.9
US
HPI
5.8
3.9
2.3
(0.5)
(3.1)
US
federal
funds
rate
0.6
0.5
0.3
0.3
0.3
As
at
31.12.19
UK
GDP
3.2
2.4
1.6
0.8
(0.7)
UK
unemployment
3.5
3.9
4.2
5.4
7.7
UK
HPI
7.9
5.7
3.1
(1.1)
(6.5)
UK
bank
rate
0.5
0.5
0.7
2.5
3.7
US
GDP
3.5
2.8
1.9
1.0
(0.5)
US
unemployment
3.1
3.6
3.9
5.0
7.5
US
HPI
6.5
4.3
3.0
1.3
(3.7)
US
federal
funds
rate
1.6
1.7
1.7
2.9
3.4
As
at
30.06.19
UK
GDP
3.4
2.6
1.7
0.9
(0.6)
UK
unemployment
3.7
4.0
4.3
5.1
7.9
UK
HPI
7.9
5.8
3.2
0.9
(6.4)
UK
bank
rate
0.8
0.8
1.0
2.3
3.7
US
GDP
3.7
3.0
2.1
1.1
(0.5)
US
unemployment
3.1
3.5
3.7
4.7
7.4
US
HPI
6.5
5.4
4.1
2.4
(2.6)
US
federal
funds
rate
2.3
2.3
2.7
3.0
3.4
1
UK
GDP
=
Real
GDP
growth
seasonally
adjusted;
UK
unemployment
=
UK
unemployment
rate
16-year+;
UK
HPI
=
Halifax
All
Houses,
All
Buyers
Index;
US
GDP
=
Real
GDP
growth
seasonally
adjusted;
US
unemployment
=
US
civilian
unemployment
rate
16-year+;
US
HPI
=
FHFA
house
price
index.
For
GDP
and
HPI,
numbers
represent
average
of
seasonally
adjusted
quarterly
annualised
rates.
Forecast
period
based
on
20
quarters
from
Q3
2020”.
Market
Risk
Barclays
Bank
PLC
16
Analysis
of
management
value
at
risk
(VaR
)
The
table
below
shows
the
total
management
VaR
on
a
diversified
basis
by
risk
factor.
Total
management
VaR
includes
all
trading
positions
in
CIB
and
Treasury
within
Barclays
Bank
Group
and
it
is
calculated
with
a
one-
day
holding
period.
Limits
are
applied
against
each
risk
factor
VaR
as
well
as
total
management
VaR,
which
are
then
cascaded
further
by
risk
managers
to
each
business.
Management
VaR
(95%)
by
asset
class
Half
year
ended
30.06.20
Half
year
ended
31.12.19
Half
year
ended
30.06.19
Average
High
1
Low
1
Average
High
1
Low
1
Average
High
1
Low
1
£m
£m
£m
£m
£m
£m
£m
£m
£m
Credit
risk
22
38
10
13
17
11
11
14
8
Interest
rate
risk
9
17
6
7
11
5
5
9
3
Equity
risk
15
35
6
11
22
5
9
16
5
Basis
risk
9
14
7
9
11
7
7
9
6
Spread
risk
5
9
3
4
5
3
4
5
3
Foreign
exchange
risk
4
7
2
3
5
2
3
5
2
Commodity
risk
1
1
-
1
2
-
1
1
-
Inflation
risk
1
2
1
1
2
1
2
3
2
Diversification
effect
1
(31)
n/a
n/a
(25)
n/a
n/a
(21)
n/a
n/a
Total
management
VaR
35
57
17
24
29
18
21
26
16
1
Diversification
effects
recognise
that
forecast
losses
from
different
assets
or
businesses
are
unlikely
to
occur
concurrently,
hence
the
expected
aggregate
loss
is
lower
than
the
sum
of
the
expected
losses
from
each
area.
Historical
correlations
between
losses
are
taken
into
account
in
making
these
assessments.
The
high
and
low
VaR
figures
reported
for
each
category
did
not
necessarily
occur
on
the
same
day
as
the
high
and
low
VaR
reported
as
a
whole.
Consequently,
a
divers
ification
effect
balance
for
the
high
and
low
VaR
figures
would
not
be
meaningful
and
is
therefore
omitted
from
the
above
table.
Average
management
VaR
increased
46%
to
£35m
in
H120
(H219:
£24m)
as
elevated
market
volatility
resulted
in
an
increase
in
credit
and
equity
risk.
Treasury
and
Capital
Risk
Barclays
Bank
PLC
17
Funding
and
liquidity
Overview
The
liquidity
pool
increased
to
£234bn
(December
2019:
£169bn)
driven
by
customer
deposit
growth
and
actions
to
maintain
a
prudent
funding
and
liquidity
position
in
the
current
environment.
For
the
purpose
of
liquidity
management,
Barclays
Bank
PLC
and
its
subsidiary
Barclays
Capital
Securities
Limited,
a
UK
broker
dealer
entity,
are
monitored
on
a
combined
basis
by
the
PRA
under
Barclays
Bank
PLC
DoLSub
arrangement.
Liquidity
risk
stress
testing
The
liquidity
risk
stress
assessment
measures
the
potential
contractual
and
contingent
stress
outflows
under
a
range
of
scenarios,
which
are
then
used
to
determine
the
size
of
the
liquidity
pool
that
is
immediately
available
to
meet
anticipated
outflows
if
a
stress
occurs.
The
scenarios
include
a
30
day
Barclays
-specific
stress
event,
a
90
day
market
-wide
stress
event
and
a
30
day
combined
scenario
consisting
of
both
a
Barclays
specific
and
market
-wide
stress
event.
The
CRR
(as
amended
by
CRR
II)
Liquidity
Coverage
rati
o
(LCR)
requirement
takes
into
account
the
relative
stability
of
different
sources
of
funding
and
potential
incremental
funding
requirements
in
a
stress.
The
LCR
is
designed
to
promote
short-term
resilience
of
a
bank’s
liquidity
risk
profile
by
holding
sufficient
high
quality
liquid
assets
to
survive
an
acute
stress
scenario
lasting
for
30
days.
As
at
30
June
2020,
Barclays
Bank
PLC
DoLSub
held
eligible
liquid
assets
well
above
100%
of
the
net
stress
outflows
to
its
internal
and
regulatory
requirements.
The
proportion
of
the
liquidity
pool
between
cash
and
deposits
with
central
banks,
government
bonds
and
other
eligible
securities
is
broadly
similar
to
the
Barclays
Group.
A
significant
portion
of
the
liquidity
pool
is
located
in
Barclays
Bank
PLC
and
Barclays
Bank
Ireland
PLC
.
The
residual
portion
of
the
liquidity
pool,
which
is
predominantly
in
the
US
subsidiaries,
is
held
against
entity-
specific
stress
outflows
and
local
regulatory
requirements.
As
at
As
at
30.06.20
31.12.19
£bn
£bn
Barclays
Bank
Group
liquidity
pool
234
169
%
%
Barclays
Bank
PLC
DoLSub
liquidity
coverage
ratio
166
141
Treasury
and
Capital
Risk
Barclays
Bank
PLC
18
Capital
and
leverage
Barclays
Bank
PLC
is
currently
regulated
by
the
PRA
on
a
solo-consolidated
basis.
Barclays
Bank
PLC
solo-consolidated
comprises
Barclays
Bank
PLC
plus
certain
additional
subsidiaries,
subject
to
PRA
approval.
The
disclosures
below
provide
key
capital
metrics
for
Barclays
Bank
PLC
solo-consolidated
with
further
information
on
its
risk
profile
to
be
included
in
the
Barclays
PLC
Pillar
3
Report
H1
2020,
expected
to
be
published
on
14
August
2020,
and
which
will
be
available
at
home.barclays/investor
-relations/reports-
and-events
/latest
-financial-results
.
On
27
June
2019,
CRR
II
came
into
force
amending
CRR.
As
an
amending
regulation,
the
existing
provisions
of
CRR
apply
unless
they
are
amended
by
CRR
II.
Certain
aspects
of
CRR
II
are
dependent
on
final
technical
standards
to
be
issued
by
the
European
Banking
Authority
(EBA)
and
adopted
by
the
European
Commission
as
well
as
UK
implementation
of
the
rules.
On
27
June
2020,
CRR
was
further
amended
to
accelerate
specific
CRR
II
measures
and
implement
a
new
IFRS
9
transitional
relief
calculation.
Previously
due
to
be
implemented
in
June
2021,
the
accelerated
measures
primarily
relate
to
the
CRR
leverage
calculation
to
include
additional
settlement
netting
and
limited
changes
to
the
calculation
of
RWAs
.
The
IFRS
9
transitional
arrangements
have
been
extended
by
two
years
and
a
new
modified
calculation
has
been
introduced.
100%
relief
will
be
applied
to
increases
in
stage
1
and
stage
2
provisions
from
1
January
2020
throughout
2020
and
2021;
75%
in
2022;
50%
in
2023;
25%
in
2024
with
no
relief
applied
from
2025.
The
phasing
out
of
transitional
relief
on
the
“day
1”
impact
of
IFRS
9
as
well
as
increases
in
stage
1
and
stage
2
provisions
between
1
January
2018
and
31
December
2019
under
the
modified
calculation
remain
unchanged
and
continue
to
be
subject
to
70%
transitional
relief
throughout
2020;
50%
for
2021;
25%
for
2022
and
with
no
relief
applied
from
2023.
Also
impacting
own
funds
from
30
June
2020
until
31
December
2020
inclusive
are
amendments
to
the
regulatory
technical
standards
on
prudential
valuation
which
include
an
increase
to
diversification
factors
applied
to
certain
additional
valuation
adjustment
s.
The
disclosures
in
the
following
section
reflect
Barclays’
interpretation
of
the
current
rules
and
guidance.
Capital
ratios
1,2,3
As
at
30.06.20
As
at
31.12.19
CET1
14.3%
13.9%
Tier
1
(T1)
17.8%
18.1%
Total
regulatory
capital
21.0%
22.1%
Capital
resources
£m
£m
CET1
capital
27,197
22,080
T1
capital
33,781
28,600
Total
regulatory
capital
39,965
34,955
Risk
weighted
assets
(RWAs)
190,049
158,393
Leverage
ratio
1,4
£m
£m
CRR
leverage
ratio
4.1%
3.9%
T1
capital
33,781
28,600
CRR
leverage
exposure
817,372
731,715
1
Capital
,
RWAs
and
leverage
are
calculated
applying
the
transitional
arrangements
of
the
CRR
as
amended
by
CRR
II
applicable
as
at
the
reporting
date
.
This
includes
IFRS
9
transitional
arrangements
and
the
grandfathering
of
CRR
and
CRR
II
non-compliant
capital
instruments.
2
The
fully
loaded
CET1
ratio
was
13.8%,
with
£26,116m
of
CET1
capital
and
£189,150
m
of
RWAs
calculated
without
applyin
g
the
transitional
arrangements
of
the
CRR
as
amended
by
CRR
II
applicable
as
at
the
reporting
date
.
3
The
Barclays
PLC
CET1
ratio,
as
is
relevant
for
assessing
against
the
conversion
trigger
in
Barclays
Bank
PLC
Tier
2
Contingent
Capital
Notes,
was
14.2%.
For
this
calculation
CET1
capital
and
RWAs
are
calculated
applying
the
transitional
arrangements
under
the
CRR,
including
the
IFRS
9
transitional
arrangements.
The
benefit
of
the
Financial
Services
Authority
(FSA
)
October
2012
interpretation
of
the
transitional
provisions,
relating
to
the
implementation
of
CRD
IV,
expired
in
December
2017.
4
Barclays
Bank
PLC
solo-consolidated
d
isclose
s
the
CRR
Leverage
Ratio
and
has
no
binding
requirement
as
at
30
June
2020.
Had
the
UK
leverage
rules
been
applied,
which
provide
s
a
similar
exclusion
for
qualifying
claims
on
central
banks
as
under
CRR
II,
the
30
June
leverage
exposure
would
have
reduced
to
£713.2bn
and
the
ratio
would
have
increased
to
4.6%.
The
exclusion
for
qualifying
claims
on
central
banks
under
CRR
II
is
subject
to
PRA
approval
for
all
UK
banks
and
as
at
30
June
2020
this
approval
had
not
been
given.
Condensed
Consolidated
Financial
Statements
Barclays
Bank
PLC
19
Condensed
consolidated
income
statement
(unaudited)
Half
year
ended
Half
year
ended
30.06.20
30.06.19
Notes
1
£m
£m
Interest
and
similar
income
3,173
3,938
Interest
and
similar
expense
(1,502)
(2,117)
Net
interest
income
1,671
1,821
Fee
and
commission
income
3,818
3,790
Fee
and
commission
expense
(939)
(961)
Net
fee
and
commission
income
3
2,879
2,829
Net
trading
income
4,225
2,093
Net
investment
income
(146)
337
Other
income
8
42
Total
income
8,637
7,122
Credit
impairment
charges
(2,674)
(510)
Net
operating
income
5,963
6,612
Staff
costs
(2,191)
(2,354)
Infrastructure,
administration
and
general
expenses
(2,357)
(2,488)
Litigation
and
conduct
(19)
(68)
Operating
expenses
(4,567)
(4,910)
Share
of
post-tax
results
of
associates
and
joint
ventures
1
13
Profit
on
disposal
of
subsidiaries,
associates
and
joint
ventures
126
10
Profit
before
tax
1,523
1,725
Tax
charge
4
(230)
(260)
Profit
after
tax
1,293
1,465
Attributable
to:
Equity
holders
of
the
parent
960
1,171
Other
equity
instrument
holders
333
294
Profit
after
tax
1,293
1,465
1
For
notes
to
the
Financial
Statements
see
pages
25
to
44.
Condensed
Consolidated
Financial
Statements
Barclays
Bank
PLC
20
Condensed
consolidated
statement
of
comprehensive
income
(unaudited)
Half
year
ended
Half
year
ended
30.06.20
30.06.19
Notes
1
£m
£m
Profit
after
tax
1,293
1,465
Other
comprehensive
income/(loss)
that
may
be
recycled
to
profit
or
loss
2
Currency
translation
reserve
12
1,386
232
Fair
value
through
other
comprehensive
income
reserve
12
137
359
Cash
flow
hedging
reserve
12
1,065
612
Other
(6)
-
Other
comprehensive
income
that
may
be
recycled
to
profit
2,582
1,203
Other
comprehensive
income/(loss)
not
recycled
to
profit
or
loss
Retirement
benefit
remeasurements
9
645
(140)
Own
credit
12
496
44
Other
comprehensive
income/(loss)
not
recycled
to
profit
or
loss
1,141
(96)
Other
comprehensive
income
for
the
period
3,723
1,107
Total
comprehensive
income
for
the
period
5,016
2,572
1
For
notes
to
the
Financial
Statements
see
pages
25
to
44.
2
Reported
net
of
tax.
Condensed
Consolidated
Financial
Statements
Barclays
Bank
PLC
21
Condensed
consolidated
balance
sheet
(unaudited)
As
at
As
at
30.06.20
31.12.19
Assets
Notes
1
£m
£m
Cash
and
balances
at
central
banks
155,792
125,940
Cash
collateral
and
settlement
balances
130,873
79,486
Loans
and
advances
at
amortised
cost
150,203
141,636
Reverse
repurchase
agreements
and
other
similar
secured
lending
19,811
1,731
Trading
portfolio
assets
109,461
113,337
Financial
assets
at
fair
value
through
the
income
statement
155,540
129,470
Derivative
financial
instruments
307,650
229,641
Financial
assets
at
fair
value
through
other
comprehensive
income
55,161
45,406
Investments
in
associates
and
joint
ventures
30
295
Goodwill
and
intangible
assets
1,250
1,212
Property,
plant
and
equipment
1,654
1,631
Current
tax
assets
984
898
Deferred
tax
assets
4
2,639
2,460
Retirement
benefit
assets
9
2,848
2,108
Other
assets
2,062
1,421
Total
assets
1,095,958
876,672
Liabilities
Deposits
at
amortised
cost
245,737
213,881
Cash
collateral
and
settlement
balances
113,341
67,682
Repurchase
agreements
and
other
similar
secured
borrowing
4,033
2,032
Debt
securities
in
issue
50,496
33,536
Subordinated
liabilities
7
36,965
33,425
Trading
portfolio
liabilities
50,378
35,212
Financial
liabilities
designated
at
fair
value
222,142
204,446
Derivative
financial
instruments
307,989
228,940
Current
tax
liabilities
310
320
Deferred
tax
liabilities
4
1,084
80
Retirement
benefit
liabilities
9
319
313
Other
liabilities
5,385
5,239
Provisions
8
1,085
951
Total
liabilities
1,039,264
826,057
Equity
Called
up
share
capital
and
share
premium
10
2,348
2,348
Other
equity
instruments
11
8,323
8,323
Other
reserves
12
6,319
3,235
Retained
earnings
39,704
36,709
Total
equity
56,694
50,615
Total
liabilities
and
equity
1,095,958
876,672
1
For
notes
to
the
Financial
Statements
see
pages
25
to
44.
Condensed
Consolidated
Financial
Statements
Barclays
Bank
PLC
22
Condensed
consolidated
statement
of
changes
in
equity
(unaudited)
Called
up
share
capital
and
share
premium
1
Other
equity
instruments
1
Other
reserves
1
Retained
earnings
Total
Half
year
ended
30.06.20
£m
£m
£m
£m
£m
Balance
as
at
1
January
2020
2,348
8,323
3,235
36,709
50,615
Profit
after
tax
-
333
-
960
1,293
Currency
translation
movements
-
-
1,386
-
1,386
Fair
value
through
other
comprehensive
income
reserve
-
-
137
-
137
Cash
flow
hedges
-
-
1,065
-
1,065
Retirement
benefit
remeasurements
-
-
-
645
645
Own
credit
-
-
496
-
496
Other
-
-
-
(6)
(6)
Total
comprehensive
income
for
the
period
-
333
3,084
1,599
5,016
Other
equity
instruments
coupons
paid
-
(333)
-
-
(333)
Equity
settled
share
schemes
-
-
-
475
475
Vesting
of
Barclays
PLC
shares
under
equity
settled
share
schemes
-
-
-
(289)
(289)
Dividends
paid
-
-
-
(263)
(263)
Dividends
paid
-
preference
shares
-
-
-
(28)
(28)
Capital
contribution
from
Barclays
PLC
-
-
-
1,500
1,500
Other
movements
-
-
-
1
1
Balance
as
at
30
June
2020
2,348
8,323
6,319
39,704
56,694
Half
year
ended
31.12.19
Balance
as
at
1
July
2019
2,348
9,402
4,608
36,252
52,610
Profit
after
tax
-
366
-
949
1,315
Currency
translation
movements
-
-
(776)
-
(776)
Fair
value
through
other
comprehensive
income
reserve
-
-
(200)
-
(200)
Cash
flow
hedges
-
-
(101)
-
(101)
Retirement
benefit
remeasurements
-
-
-
(54)
(54)
Own
credit
-
-
(296)
-
(296)
Other
-
-
-
16
16
Total
comprehensive
income
for
the
period
-
366
(1,373)
911
(96)
Issue
and
exchange
of
other
equity
instruments
-
(1,079)
-
(395)
(1,474)
Other
equity
instruments
coupons
paid
-
(366)
-
-
(366)
Equity
settled
share
schemes
-
-
-
194
194
Vesting
of
Barclays
PLC
shares
under
equity
settled
share
schemes
-
-
-
(9)
(9)
Dividends
paid
-
-
-
(233)
(233)
Dividends
paid
-
preference
shares
(14)
(14)
Other
movements
-
-
-
3
3
Balance
as
at
31
December
2019
2,348
8,323
3,235
36,709
50,615
1
Details
of
share
capital,
other
equity
instruments
and
other
reserves
are
shown
on
pages
25
to
44
.
Condensed
Consolidated
Financial
Statements
Barclays
Bank
PLC
23
Condensed
consolidated
statement
of
changes
in
equity
(unaudited)
Called
up
share
capital
and
share
premium
1
Other
equity
instruments
1
Other
reserves
1
Retained
earnings
Total
Non-
controlling
interests
Total
equity
Half
year
ended
30.06.19
£m
£m
£m
£m
£m
£m
£m
Balance
as
at
1
January
2019
2,348
7,595
3,361
34,405
47,709
2
47,711
Profit
after
tax
-
294
-
1,171
1,465
-
1,465
Currency
translation
movements
-
-
232
-
232
-
232
Fair
value
through
other
comprehensive
income
reserve
-
-
359
-
359
-
359
Cash
flow
hedges
-
-
612
-
612
-
612
Retirement
benefit
remeasurements
-
-
-
(140)
(140)
-
(140)
Own
credit
-
-
44
-
44
-
44
Total
comprehensive
income
for
the
period
-
294
1,247
1,031
2,572
-
2,572
Issue
or
exchange
of
other
equity
instruments
-
1,807
-
(11)
1,796
-
1,796
Other
equity
instruments
coupon
paid
(294)
-
(294)
-
(294)
Equity
settled
share
schemes
-
-
-
198
198
-
198
Vesting
of
Barclays
PLC
shares
under
equity
settled
share
schemes
-
-
-
(340)
(340)
-
(340)
Dividends
paid
-
preference
shares
-
-
-
(27)
(27)
-
(27)
Capital
contribution
from
Barclays
PLC
-
-
-
995
995
-
995
Other
movements
-
-
-
1
1
(2)
(1)
Balance
as
at
30
June
2019
2,348
9,402
4,608
36,252
52,610
-
52,610
1
Details
of
share
capital,
other
equity
instruments
and
other
reserves
are
shown
on
pages
25
to
44.
Condensed
Consolidated
Financial
Statements
Barclays
Bank
PLC
24
Condensed
consolidated
cash
flow
statement
(unaudited)
Half
year
ended
Half
year
ended
30.06.20
30.06.19
£m
£m
Profit
before
tax
1,523
1,725
Adjustment
for
non-cash
items
301
314
Net
increase
in
loans
and
advances
at
amortised
cost
(11,096)
(6,368)
Net
increase
in
deposits
at
amortised
cost
32,357
15,553
Net
increase
in
debt
securities
in
issue
16,960
3,188
Changes
in
other
operating
assets
and
liabilities
4,825
(16,727)
Corporate
income
tax
paid
(270)
(260)
Net
cash
from
operating
activities
44,600
(2,575)
Net
cash
from
investing
activities
(7,022)
(9,094)
Net
cash
from
financing
activities
653
2,552
Effect
of
exchange
rates
on
cash
and
cash
equivalents
7,813
652
Net
increase/(decrease)
in
cash
and
cash
equivalents
46,044
(8,465)
Cash
and
cash
equivalents
at
beginning
of
the
period
156,016
167,357
Cash
and
cash
equivalents
at
end
of
the
period
202,060
158,892
Financial
Statement
Notes
Barclays
Bank
PLC
25
1.
Basis
of
preparation
These
condensed
consolidated
interim
financial
statements
for
the
six
months
ended
30
June
2020
have
been
prepared
in
accordance
with
the
Disclosure
and
Transparency
Rules
(DTR)
of
the
Financial
Conduct
Authority
UK
(FCA)
and
with
IAS
34,
Interim
Financial
Reporting,
as
published
by
the
International
Accounting
Standards
Board
(IASB)
and
adopted
by
the
EU.
The
condensed
consolidated
interim
financial
statements
should
be
read
in
conjunction
with
the
annual
financial
statements
for
the
year
ended
31
December
2019,
which
have
been
prepared
in
accordance
with
IFRSs
as
published
by
the
IASB
and
as
adopted
by
the
EU.
The
accounting
policies
and
methods
of
computation
used
in
these
condensed
consolidated
interim
financial
statements
are
the
same
as
those
used
in
the
Barclays
Bank
PLC
Annual
Report
2019.
1.
Going
concern
The
financial
statements
are
prepared
on
a
going
concern
basis,
as
the
Directors
are
satisfied
that
the
Barclays
Bank
Group
and
parent
company
have
the
resources
to
continue
in
business
for
the
foreseeable
future.
In
making
this
assessment,
the
Directors
have
considered
a
wide
range
of
information
relating
to
present
and
future
conditions,
including
future
projection
s
of
profitability,
capital
requirements
and
capital
resources.
2.
Other
disclosures
The
Credit
risk
disclosures
on
pages
8
to
15
form
part
of
these
interim
financial
statements.
Financial
Statement
Notes
Barclays
Bank
PLC
26
2.
Segmental
reporting
Analysis
of
results
by
business
Corporate
and
Investment
Bank
Consumer,
Cards
and
Payments
Head
Office
Barclays
Bank
Group
Half
year
ended
30.06.20
£m
£m
£m
£m
Total
income
6,973
1,742
(78)
8,637
Credit
impairment
charges
(1,320)
(1,299)
(55)
(2,674)
Net
operating
income/(expenses)
5,653
443
(133)
5,963
Operating
expenses
(3,458)
(1,053)
(37)
(4,548)
Litigation
and
conduct
(4)
(8)
(7)
(19)
Total
operating
expenses
(3,462)
(1,061)
(44)
(4,567)
Other
net
income/(expenses)
1
12
115
-
127
Profit/(loss)
before
tax
2,203
(503)
(177)
1,523
As
at
30.06.20
£bn
£bn
£bn
£bn
Total
assets
1,017.1
66.0
12.9
1,096.0
Corporate
and
Investment
Bank
Consumer,
Cards
and
Payments
Head
Office
Barclays
Bank
Group
Half
year
ended
30.06.19
£m
£m
£m
£m
Total
income
5,149
2,193
(220)
7,122
Credit
impairment
charges
(96)
(396)
(18)
(510)
Net
operating
income/(expenses)
5,053
1,797
(238)
6,612
Operating
expenses
(3,589)
(1,207)
(45)
(4,841)
Litigation
and
conduct
(26)
(4)
(39)
(69)
Total
operating
expenses
(3,615)
(1,211)
(84)
(4,910)
Other
net
income/(expenses)
1
15
16
(8)
23
Profit/(loss)
before
tax
1,453
602
(330)
1,725
As
at
31.12.19
£bn
£bn
£bn
£bn
Total
assets
799.6
65.7
11.4
876.7
1
Other
net
income/(expenses)
represents
the
share
of
post
-tax
results
of
associates
and
joint
ventures,
profit
(or
loss)
on
disposal
of
subsidiaries,
associates
and
joint
ventures
and
gains
on
acquisitions.
Split
of
income
by
geographic
region
1
Half
year
ended
Half
year
ended
30.06.20
30.06.19
£m
£m
UK
2,835
2,089
Europe
1,240
783
Americas
3,872
3,680
Africa
and
Middle
East
23
41
Asia
667
529
Total
8,637
7,122
1
The
geographical
analysis
is
now
based
on
the
location
of
office
where
the
transactions
are
recorded,
whereas
in
the
prior
year
it
was
based
on
counterparty
location.
The
approach
was
changed
at
year
-end
2019
and
is
better
aligned
to
the
geographical
view
of
the
business
following
the
implementation
of
structural
reform.
Prior
year
comparatives
have
been
restated.
Financial
Statement
Notes
Barclays
Bank
PLC
27
3.
Net
fee
and
commission
income
Fee
and
commission
income
is
disaggregated
below
and
includes
a
total
for
fees
in
scope
of
IFRS
15,
Revenue
from
Contracts
with
Customers:
Corporate
and
Investment
Bank
Consumer,
Cards
and
Payments
Head
Office
Total
Half
year
ended
30.06.20
£m
£m
£m
£m
Fee
type
Transactional
177
968
-
1,145
Advisory
260
46
-
306
Brokerage
and
execution
654
31
-
685
Underwriting
and
syndication
1,468
-
-
1,468
Other
35
100
19
154
Total
revenue
from
contracts
with
customers
2,594
1,145
19
3,758
Other
non-contract
fee
income
57
3
-
60
Fee
and
commission
income
2,651
1,148
19
3,818
Fee
and
commission
expense
(441)
(497)
(1)
(939)
Net
fee
and
commission
income
2,210
651
18
2,879
Corporate
and
Investment
Bank
Consumer,
Cards
and
Payments
Head
Office
Total
Half
year
ended
30.06.19
£m
£m
£m
£m
Fee
type
Transactional
185
1,168
-
1,353
Advisory
364
41
-
405
Brokerage
and
execution
512
24
-
536
Underwriting
and
syndication
1,240
-
-
1,240
Other
62
124
16
202
Total
revenue
from
contracts
with
customers
2,363
1,357
16
3,736
Other
non-contract
fee
income
54
-
-
54
Fee
and
commission
income
2,417
1,357
16
3,790
Fee
and
commission
expense
(350)
(611)
-
(961)
Net
fee
and
commission
income
2,067
746
16
2,829
Transactional
fees
are
service
charges
on
deposit
accounts,
cash
management
services
and
transactional
processing
fees.
This
includes
interchange
and
merchant
fee
income
generated
from
credit
and
bank
card
usage.
Advisory
fees
are
generated
from
asset
management
services
and
advisory
services
related
to
mergers,
acquisitions
and
financial
restructuring.
Brokerage
and
execution
fees
are
earned
for
executing
client
transactions
with
exchanges
and
over
-the-counter
markets
and
assisting
clients
in
clearing
transactions.
Underwriting
and
syndication
fees
are
earned
for
the
distribution
of
client
equity
or
debt
securities,
and
the
arrangement
and
administration
of
a
loan
syndication.
This
includes
commitment
fees
to
provide
loan
financing.
Financial
Statement
Notes
Barclays
Bank
PLC
28
4.
Tax
The
tax
charge
for
H120
was
£230m
(H119:
£260m),
representing
an
effective
tax
rate
of
15.1%
(H119:
15.1%).
As
at
As
at
30.06.20
31.12.19
Deferred
tax
assets
and
liabilities
£m
£m
USA
2,168
2,052
Other
territories
471
408
Deferred
tax
assets
2,639
2,460
Deferred
tax
liabilities
-
UK
(1,084)
(80)
Analysis
of
deferred
tax
assets
Temporary
differences
2,184
1,937
Tax
losses
455
523
Deferred
tax
assets
2,639
2,460
5.
Dividends
on
ordinary
shares
Half
year
ended
30.06.20
Half
year
ended
30.06.19
Dividends
paid
during
the
period
£m
£m
Ordinary
shares
263
-
Preference
shares
28
27
Total
291
27
A
dividend
of
£263m
was
paid
on
25
March
2020
by
Barclays
Bank
PLC
to
its
parent
Barclays
PLC.
This
was
prior
to
the
announcement
made
by
the
PRA
on
31
March
2020
that
capital
be
preserved
for
use
in
serving
Barclays
customers
and
clients
through
the
extraordinary
challenges
presented
by
the
COVID
-19
pandemic.
As
part
of
a
response
to
this
announcement,
Barcl
ays
PLC
took
steps
to
provide
additional
capital
to
Barclays
Bank
PLC
as
part
of
the
£1.5bn
of
capital
contributions
made
during
H120.
Financial
Statement
Notes
Barclays
Bank
PLC
29
6.
Fair
value
of
financial
instruments
This
section
should
be
read
in
conjunction
with
Note
16,
Fair
value
of
financial
instruments
of
the
Barclays
Bank
PLC
Annual
Report
2019
and
Note
1,
Basis
of
preparation
on
page
25,
which
provides
more
detail
about
accounting
policies
adopted,
valuation
methodologies
used
in
calculating
fair
value
and
the
valuation
control
framework
which
governs
oversight
of
valuations.
There
have
been
no
changes
in
the
accounting
policies
adopted
or
the
valuation
methodologies
used.
Valuation
The
following
table
shows
Barclays
Bank
Group’s
assets
and
liabilities
that
are
held
at
fair
value
disaggregated
by
valuation
technique
(fair
value
hierarchy)
and
balance
sheet
classification:
Valuation
technique
using
Quoted
market
prices
Observable
inputs
Significant
unobservable
inputs
(Level
1)
(Level
2)
(Level
3)
Total
As
at
30.06.20
£m
£m
£m
£m
Trading
portfolio
assets
49,106
57,277
3,078
109,461
Financial
assets
at
fair
value
through
the
income
statement
1,824
148,894
4,822
155,540
Derivative
financial
instruments
8,761
291,142
7,747
307,650
Financial
assets
at
fair
value
through
other
comprehensive
income
13,172
41,642
347
55,161
Investment
property
-
-
10
10
Total
assets
72,863
538,955
16,004
627,822
Trading
portfolio
liabilities
(31,333)
(19,045)
-
(50,378)
Financial
liabilities
designated
at
fair
value
(123)
(221,664)
(355)
(222,142)
Derivative
financial
instruments
(8,445)
(290,612)
(8,932)
(307,989)
Total
liabilities
(39,901)
(531,321)
(9,287)
(580,509)
As
at
31.12.19
Trading
portfolio
assets
59,968
51,105
2,264
113,337
Financial
assets
at
fair
value
through
the
income
statement
10,300
115,008
4,162
129,470
Derivative
financial
instruments
5,439
221,048
3,154
229,641
Financial
assets
at
fair
value
through
other
comprehensive
income
11,577
33,400
429
45,406
Investment
property
-
-
13
13
Total
assets
87,284
420,561
10,022
517,867
Trading
portfolio
liabilities
(19,645)
(15,567)
-
(35,212)
Financial
liabilities
designated
at
fair
value
(82)
(204,021)
(343)
(204,446)
Derivative
financial
instruments
(5,305)
(219,646)
(3,989)
(228,940)
Total
liabilities
(25,032)
(439,234)
(4,332)
(468,598)
Financial
Statement
Notes
Barclays
Bank
PLC
30
The
following
table
shows
Barclays
Bank
Group’s
Level
3
assets
and
liabilities
that
are
held
at
fair
value
disaggregated
by
product
type:
As
at
30.06.20
As
at
31.12.19
Assets
Liabilities
Assets
Liabilities
£m
£m
£m
£m
Interest
rate
derivatives
4,152
(3,772)
605
(812)
Foreign
exchange
derivatives
655
(588)
291
(298)
Credit
derivatives
193
(456)
539
(342)
Equity
derivatives
2,730
(4,099)
1,710
(2,528)
Commodity
derivatives
17
(17)
9
(9)
Corporate
debt
516
-
521
-
Reverse
repurchase
and
repurchase
agreements
-
(176)
-
(167)
Non-asset
backed
loans
4,827
-
3,280
-
Asset
backed
securities
740
-
756
-
Equity
cash
products
1,145
-
1,228
-
Private
equity
investments
126
-
112
-
Other
1
903
(179)
971
(176)
Total
16,004
(9,287)
10,022
(4,332)
1
Other
includes
commercial
real
estate
loans,
fund
and
fund
-linked
products,
asset
backed
loans,
issued
debt,
commercial
paper,
government
sponsored
debt
and
investment
property.
Assets
and
liabilities
reclassified
between
Level
1
and
Level
2
During
the
period,
there
were
no
material
transfers
between
Level
1
and
Level
2
(period
ended
December
2019:
no
material
transfers
between
Level
1
and
Level
2).
Level
3
movement
analysis
The
following
table
summarises
the
movements
in
the
balances
of
Level
3
assets
and
liabilities
during
the
period.
The
table
shows
gains
and
losses
and
includes
amounts
for
all
financial
assets
and
liabilities
that
are
held
at
fair
value
transferred
to
and
from
Level
3
during
the
period.
Transfers
have
been
reflected
as
if
they
had
taken
place
at
the
beginning
of
the
year.
Asset
and
liability
moves
between
Level
2
and
Level
3
are
primarily
due
to
i)
an
increase
or
decrease
in
observable
market
activity
relat
ed
to
an
input
or
ii)
a
change
in
the
significance
of
the
unobservable
input,
with
assets
and
liabilities
classified
as
Level
3
if
an
unobservable
input
is
deemed
significant.
Financial
Statement
Notes
Barclays
Bank
PLC
31
Level
3
movement
analysis
Purchases
Sales
Issues
Settle
-
ments
Total
gains
and
losses
in
the
period
recognised
in
the
income
statement
Total
gains
or
losses
recognised
in
OCI
Transfers
As
at
30.06.20
As
at
01.01.20
Trading
income
Other
income
In
Out
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
Corporate
debt
120
25
-
-
-
(26)
-
-
4
(17)
106
Non-asset
backed
loans
974
1,927
(740)
-
(4)
(111)
-
-
97
(320)
1,823
Asset
backed
securities
656
249
(224)
-
(76)
(12)
-
-
41
(11)
623
Equity
cash
products
392
2
(4)
-
-
(67)
-
-
28
(4)
347
Other
122
47
-
-
-
2
-
-
8
-
179
Trading
portfolio
assets
2,264
2,250
(968)
-
(80)
(214)
-
-
178
(352)
3,078
Non-asset
backed
loans
1,964
1,050
(270)
-
(112)
110
-
-
-
-
2,742
Equity
cash
products
835
14
-
-
-
(22)
(29)
-
-
-
798
Private
equity
investments
113
1
(2)
-
-
2
4
-
20
(12)
126
Other
1,250
1,865
(2,017)
-
(13)
(8)
55
-
24
-
1,156
Financial
assets
at
fair
value
through
the
income
statement
4,162
2,930
(2,289)
-
(125)
82
30
-
44
(12)
4,822
Non-asset
backed
loans
343
79
-
-
(157)
-
-
(3)
-
-
262
Asset
backed
securities
86
-
(1)
-
-
1
-
(1)
-
-
85
Financial
assets
at
fair
value
through
other
comprehensive
income
429
79
(1)
-
(157)
1
-
(4)
-
-
347
Investment
property
13
-
(1)
-
-
-
(2)
-
2
(2)
10
Trading
portfolio
liabilities
-
-
-
-
-
-
-
-
-
-
-
Issued
debt
(146)
-
-
(3)
-
-
-
-
(22)
14
(157)
Other
(197)
-
-
-
-
(12)
(1)
-
-
12
(198)
Financial
liabilities
designated
at
fair
value
(343)
-
-
(3)
-
(12)
(1)
-
(22)
26
(355)
Interest
rate
derivatives
(206)
17
-
-
10
268
1
-
300
(10)
380
Foreign
exchange
derivatives
(7)
-
-
-
(12)
89
-
-
5
(8)
67
Credit
derivatives
198
(258)
11
-
(376)
151
1
-
2
8
(263)
Equity
derivatives
(820)
(447)
(1)
-
17
(90)
-
-
(5)
(23)
(1,369)
Commodity
derivatives
-
-
-
-
-
-
-
-
-
-
-
Net
derivative
financial
instruments
1
(835)
(688)
10
-
(361)
418
2
-
302
(33)
(1,185)
Total
5,690
4,571
(3,249)
(3)
(723)
275
29
(4)
504
(373)
6,717
1
Derivative
financial
instruments
are
represented
on
a
net
basis.
On
a
gross
basis,
derivative
financial
assets
were
£7,747m
and
derivative
financial
liabilities
were
£8,932m.
Financial
Statement
Notes
Barclays
Bank
PLC
32
Level
3
movement
analysis
Purchases
Sales
Issues
Settle-
ments
Total
gains
and
losses
in
the
period
recognised
in
the
income
statement
Transfers
As
at
30.06.19
As
at
01.01.19
Trading
income
Other
income
In
Out
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
Government
and
government
sponsored
debt
14
2
-
-
-
-
-
-
(14)
2
Corporate
debt
388
70
(24)
-
(31)
14
-
32
(74)
375
Non-asset
backed
loans
2,263
1,235
(1,260)
-
(19)
12
-
19
(90)
2,160
Asset
backed
securities
664
81
(127)
-
-
5
-
16
(29)
610
Equity
cash
products
136
48
(13)
-
-
(2)
-
116
(20)
265
Other
148
-
-
-
(1)
(10)
-
-
(1)
136
Trading
portfolio
assets
3,613
1,436
(1,424)
-
(51)
19
-
183
(228)
3,548
Non-asset
backed
loans
1,836
2
-
-
(132)
70
-
-
(1)
1,775
Equity
cash
products
559
9
-
-
(10)
4
178
-
-
740
Private
equity
investments
191
4
(3)
-
(1)
-
(6)
-
-
185
Other
2,064
2,334
(2,619)
-
(2)
17
9
24
(840)
987
Financial
assets
at
fair
value
through
the
income
statement
4,650
2,349
(2,622)
-
(145)
91
181
24
(841)
3,687
Non-asset
backed
loans
353
48
-
-
(55)
-
-
-
(218)
128
Asset
backed
securities
-
40
-
-
-
-
-
-
-
40
Equity
cash
products
2
-
-
-
-
-
-
-
-
2
Financial
assets
at
fair
value
through
other
comprehensive
income
355
88
-
-
(55)
-
-
-
(218)
170
Investment
property
9
-
-
-
-
-
(1)
-
-
8
Trading
portfolio
liabilities
(3)
-
-
-
-
2
-
(5)
-
(6)
-
Certificates
of
deposit,
commercial
paper
and
other
money
market
instruments
(10)
-
-
-
1
-
(1)
(11)
-
(21)
Issued
debt
(251)
-
-
(16)
1
5
-
(3)
1
(263)
Financial
liabilities
designated
at
fair
value
(261)
-
-
(16)
2
5
(1)
(14)
1
(284)
Interest
rate
derivatives
22
(3)
-
-
76
116
-
(107)
145
249
Foreign
exchange
derivatives
7
-
-
-
(12)
(41)
-
(51)
17
(80)
Credit
derivatives
1,050
(63)
4
-
(3)
86
-
2
3
1,079
Equity
derivatives
(607)
(122)
(5)
-
23
89
-
(16)
292
(346)
Commodity
derivatives
-
-
-
-
-
-
-
-
-
-
Net
derivative
financial
instruments
1
472
(188)
(1)
-
84
250
-
(172)
457
902
Total
8,835
3,685
(4,047)
(16)
(165)
367
179
16
(829)
8,025
1
Derivative
financial
instruments
are
presented
on
a
net
basis.
On
a
gross
basis,
derivative
financial
assets
were
£5,701m
and
derivative
financial
liabilities
were
£4,799m.
Financial
Statement
Notes
Barclays
Bank
PLC
33
Unrealised
gains
and
losses
on
Level
3
financial
assets
and
liabilities
The
following
table
discloses
the
unrealised
gains
and
losses
recognised
in
the
period
arising
on
Level
3
financial
assets
and
liabilities
held
at
the
period
end.
Half
year
ended
30.06.20
Half
year
ended
30.06.19
Income
statement
Other
compre-
hensive
income
Total
Income
statement
Other
compre-
hensive
income
Total
Trading
income
Other
income
Trading
income
Other
income
£m
£m
£m
£m
£m
£m
£m
£m
Trading
portfolio
assets
(177)
-
-
(177)
21
-
-
21
Financial
assets
at
fair
value
through
the
income
statement
126
(24)
-
102
75
178
-
253
Financial
assets
at
fair
value
through
other
comprehensive
income
-
-
(2)
(2)
-
-
-
-
Investment
properties
-
(2)
-
(2)
-
(1)
-
(1)
Trading
portfolio
liabilities
-
-
-
-
2
-
-
2
Financial
liabilities
designated
at
fair
value
(16)
(1)
-
(17)
6
-
-
6
Net
derivative
financial
instruments
248
-
-
248
212
-
-
212
Total
181
(27)
(2)
152
316
177
-
493
Valuation
techniques
and
sensitivity
analysis
Sensitivity
analysis
is
performed
on
products
with
significant
unobservable
inputs
(Level
3)
to
generate
a
range
of
reasonably
possible
alternative
valuations.
The
sensitivity
methodologies
applied
take
account
of
the
nature
of
valuation
techniques
used,
as
well
as
the
availability
and
reliability
of
observable
proxy
and
historical
data
and
the
impact
of
using
alternative
models.
Sensitivity
analysis
of
valuations
using
unobservable
inputs
As
at
30.06.20
As
at
31.12.19
Favourable
changes
Unfavourable
changes
Favourable
changes
Unfavourable
changes
Income
statement
Equity
Income
Statement
Equity
Income
statement
Equity
Income
Statement
Equity
£m
£m
£m
£m
£m
£m
£m
£m
Interest
rate
derivatives
138
-
(256)
-
44
-
(127)
-
Foreign
exchange
derivatives
7
-
(11)
-
5
-
(7)
-
Credit
derivatives
127
-
(109)
-
73
-
(47)
-
Equity
derivatives
151
-
(158)
-
114
-
(119)
-
Commodity
derivatives
-
-
-
-
-
-
-
-
Corporate
debt
23
-
(23)
11
-
(16)
-
Non-asset
backed
loans
159
4
(322)
(4)
125
8
(228)
(8)
Equity
cash
products
164
-
(206)
-
123
-
(175)
-
Private
equity
investments
18
-
(19)
-
16
-
(25)
-
Other
1
2
-
(2)
-
1
-
(1)
-
Total
789
4
(1,106)
(4)
512
8
(745)
(8)
1
Other
includes
commercial
real
estate
loans,
fund
and
fund
-linked
products,
asset
backed
loans,
issued
debt,
commercial
paper,
government
sponsored
debt
and
investment
propert
y.
The
effect
of
stressing
unobservable
inputs
to
a
range
of
reasonably
possible
alter
natives,
alongside
considering
the
impact
of
using
alternative
models,
would
be
to
increase
fair
values
by
up
to
£793m
(December
2019:
£520m)
or
to
decrease
fair
values
by
up
to
£1,110m
(December
2019:
£753m)
with
substantially
all
the
potential
effect
impacting
profit
and
loss
rather
than
reserves.
Financial
Statement
Notes
Barclays
Bank
PLC
34
Significant
unobservable
inputs
The
valuation
techniques
and
significant
unobservable
inputs
for
assets
and
liabilities
recognised
at
fair
value
and
classified
as
Level
3
are
consistent
with
Note
16,
Fair
value
of
financial
instruments
in
the
Barclays
Bank
PLC
Annual
Report
2019.
The
description
of
the
significant
unobservable
inputs
and
the
sensitivity
of
fair
value
measurement
of
the
instruments
categorised
as
Level
3
assets
or
liabilities
to
increases
in
significant
unobservable
inputs
is
also
found
in
Note
16,
Fair
value
of
financial
instruments
of
the
Barclays
Bank
PLC
Annual
Report
2019.
Fair
value
adjustments
Key
balance
sheet
valuation
adjustments
are
quantified
below:
As
at
As
at
30.06.20
31.12.19
£m
£m
Exit
price
adjustments
derived
from
market
bid-offer
spreads
(564)
(420)
Uncollateralised
derivative
funding
(181)
(57)
Derivative
credit
valuation
adjustments
(378)
(135)
Derivative
debit
valuation
adjustments
148
155
●
Exit
price
adjustments
derived
from
market
bid-offer
spreads
increased
by
£144m
to
£564m
as
a
result
of
movements
in
market
bid
offer
spreads.
●
Uncollateralised
derivative
funding
increased
by
£124m
to
£181m
as
a
result
of
widening
input
funding
spreads
and
an
update
to
methodology.
●
Derivative
credit
valuation
adjust
ments
increased
by
£243m
to
£378m
as
a
result
of
widening
input
counterparty
credit
spreads.
●
Derivative
debit
valuation
adjustments
decreased
by
£7m
to
£148m
as
a
result
of
widening
input
Barclays
Bank
PLC
credit
spreads
and
an
update
to
methodology.
Portfolio
exemption
Barclays
Bank
Group
uses
the
portfolio
exemption
in
IFRS
13,
Fair
Value
Measurement
to
measure
the
fair
value
of
groups
of
financial
assets
and
liabilities.
Instruments
are
measured
using
the
price
that
would
be
received
to
sell
a
net
long
position
(i.e.
an
asset)
for
a
particular
risk
exposure
or
to
transfer
a
net
short
position
(i.e.
a
liability)
for
a
particular
risk
exposure
in
an
orderly
transaction
between
market
participants
at
the
balance
sheet
date
under
current
market
conditions.
Accordingly,
the
Barclays
Bank
Group
measures
the
fair
value
of
the
group
of
financial
assets
and
liabilities
consistently
with
how
market
participants
would
price
the
net
risk
exposure
at
the
measurement
date.
Unrecognised
gains
as
a
result
of
the
use
of
valuation
models
using
unobservable
inputs
The
amount
that
has
yet
to
be
rec
ognised
in
income
that
relates
to
the
difference
between
the
transaction
price
(the
fair
value
at
initial
recognition)
and
the
amount
that
would
have
arisen
had
valuation
models
using
unobservable
inputs
been
used
on
initial
recognition,
less
amounts
subsequently
recognised,
is
£101m
(December
2019:
£100m)
for
financial
instruments
measured
at
fair
value
and
£31m
(December
2019
:
£31m)
for
financial
instruments
carried
at
amortised
cost.
There
are
additions
of
£11m
(December
2019:
£40m)
and
amortisation
and
releases
of
£10m
(December
2019:
£67m)
for
financial
instruments
measured
at
fair
value
and
additions
of
£1m
(December
2019:
£2m)
and
amortisation
and
releases
of
£1m
(December
2019:
£2m)
for
financial
instruments
carried
at
amortised
cost
.
Third
party
credit
enhancements
Structured
and
brokered
certificates
of
deposit
issued
by
Barclays
Bank
Group
are
insured
up
to
$250,000
per
depositor
by
the
Federal
Deposit
Insurance
Corporation
(FDIC)
in
the
United
States.
The
FDIC
is
funded
by
premiums
that
the
Barclays
Bank
Group
and
other
banks
pay
for
deposit
insurance
coverage.
The
carrying
value
of
these
issued
certificates
of
deposit
that
are
designated
under
the
IFRS
9
fair
value
option
includes
this
third
party
credit
enhancement.
The
on-balance
sheet
value
of
these
brokered
certificates
of
deposit
amounted
to
£3,162m
(December
2019:
£3,218m).
Financial
Statement
Notes
Barclays
Bank
PLC
35
Comparison
of
carrying
amounts
and
fair
values
for
assets
and
liabilities
not
held
at
fair
value
Valuation
methodologies
employed
in
calculating
the
fair
value
of
financial
assets
and
liabilities
measured
at
amortised
cost
are
consistent
with
the
Barclays
Bank
PLC
Annual
Report
2019
disclosure.
The
following
table
summarises
the
fair
value
of
financial
assets
and
liabilities
measured
at
amortised
cost
on
the
Barclays
Bank
Group’s
balance
sheet:
As
at
30.06.20
As
at
31.12.19
Carrying
amount
Fair
value
Carrying
amount
Fair
value
Financial
assets
£m
£m
£m
£m
Loans
and
advances
at
amortised
cost
150,203
149,511
141,636
141,251
Reverse
repurchase
agreements
and
other
similar
secured
lending
19,811
19,811
1,731
1,731
Financial
liabilities
Deposits
at
amortised
cost
(245,737)
(245,758)
(213,881)
(213,897)
Repurchase
agreements
and
other
similar
secured
borrowing
(4,033)
(4,033)
(2,032)
(2,032)
Debt
securities
in
issue
(50,496)
(50,568)
(33,536)
(33,529)
Subordinated
liabilities
(36,965)
(37,675)
(33,425)
(34,861)
7.
Subordinated
liabilities
Half
year
ended
Year
ended
30.06.20
31.12.19
£m
£m
Opening
balance
as
at
1
January
33,425
35,327
Issuances
3,162
6,785
Redemptions
(2,814)
(7,804)
Other
3,192
(883)
Closing
balance
36,965
33,425
Issuances
of
£3,162m
comprises
£3,082m
intra
-group
loans
from
Barclays
PLC
as
well
as
£80m
USD
Floating
Rate
Notes
issued
externally
by
a
Barclays
Bank
PLC
subsidiary.
Redemptions
of
£2,814m
comprises
£2,518m
intra
-group
loans
from
Barclays
PLC
as
well
as
£266m
USD
Floating
Rate
Notes
and
£30m
USD
Fixed
Rate
Notes
issued
externally
by
Barclays
Bank
PLC
subsidiaries.
Other
movements
predominantly
include
foreign
exchange
and
fair
value
hedge
adjustments.
8.
Provisions
As
at
As
at
30.06.20
31.12.19
£m
£m
Customer
redress
27
71
Legal,
competition
and
regulatory
matters
250
374
Redundancy
and
restructuring
34
63
Undrawn
contractually
committed
facilities
and
guarantees
593
252
Onerous
contracts
9
20
Sundry
provisions
172
171
Total
1,085
951
Financial
Statement
Notes
Barclays
Bank
PLC
36
9.
Retirement
benefits
As
at
30
June
2020,
Barclays
Bank
Group’s
IAS
19
pension
surplus
across
all
schemes
was
£2.5bn
(December
2019:
£1.8bn).
The
UK
Retirement
Fund
(UKRF),
which
is
the
Group’s
main
scheme,
had
an
IAS
19
pension
surplus
of
£2.8bn
(December
2019:
£2.1bn).
The
movement
for
the
UKRF
was
driven
by
higher
than
assumed
asset
returns
and
lower
than
expected
long-
term
price
inflation,
partially
offset
by
a
decrease
in
the
discount
rate.
UKRF
funding
valuations
The
last
triennial
actuarial
valuation
of
the
UKRF
had
an
effective
date
of
30
September
2019
and
was
completed
in
February
2020.
This
valuation
showed
a
funding
deficit
of
£2.3bn
and
a
funding
level
of
94.0%.
A
revised
deficit
recovery
plan
was
agreed
with
deficit
reduction
contributions
required
from
Barclays
Bank
PLC
of
£500m
in
2019,
£500m
in
2020,
£700m
in
2021,
£294m
in
2022
and
£286m
in
2023.
The
deficit
reduction
contributions
are
in
addition
to
the
regular
contributions
to
meet
the
Group’s
share
of
the
cost
of
benefits
accruing
over
each
year.
On
12
June
2020,
Barclays
Bank
PLC
paid
the
£500m
deficit
reduction
contribu
tion
agreed
for
2020
and
at
the
same
time
the
UKRF
subscribed
for
non-transferrable
listed
senior
fixed
rate
notes
for
£750m,
backed
by
UK
gilts
(the
Senior
Notes).
These
Senior
Notes
entitle
the
UKRF
to
semi-annual
coupon
payments
for
five
years,
and
full
repayment
in
cash
in
three
equal
tranches
in
2023,
2024,
and
at
final
maturity
in
2025.
The
Senior
Notes
were
issued
by
Heron
Issuer
Number
2
Limited
(Heron
2),
an
entity
that
is
consolidated
within
the
Barclays
Bank
Group
under
IFRS
10.
As
a
result
of
the
investment
in
Senior
Notes,
the
regulatory
capital
impact
of
the
£500m
deficit
reduction
contribution
paid
on
12
June
2020
takes
effect
in
2023,
2024
and
2025
on
maturity
of
the
notes.
The
£250m
additional
investment
by
the
UKRF
in
the
Senior
Notes
has
a
positive
capital
impact
in
2020
which
is
reduced
equally
in
2023,
2024
and
2025
on
the
maturity
of
the
notes.
Heron
2
acquired
a
total
of
£750m
of
gilts
from
Barclays
Bank
PLC
for
cash
to
support
payments
on
the
Senior
Notes.
The
next
triennial
actuarial
valuation
of
the
UKRF
is
due
to
be
completed
in
2023
with
an
effective
date
of
30
September
2022.
10.
Called
up
share
capital
Ordinary
shares
As
at
30
June
2020
the
issued
ordinary
share
capital
of
Barclays
Bank
PLC
comprised
2,342m
(December
2019:
2,342m)
ordinary
shares
of
£1
each.
Preference
share
s
As
at
30
June
2020
the
issued
preference
share
capital
of
Barclays
Bank
PLC
of
£6m
(December
2019:
£6m)
comprise
d
1,000
Sterling
Preference
Shares
of
£1
each
(December
2019:
1,000);
31,856
Euro
Preference
Shares
of
€100
each
(December
2019:
31,856);
and
58,133
US
Dollar
Preference
shares
of
$100
each
(December
2019:
58,133).
There
were
no
issuances
or
redemption
s
of
ordinary
or
preference
shares
in
the
six
months
to
30
June
2020.
11.
Other
equity
instruments
Other
equity
instruments
of
£8,323m
(December
2019:
£8,323m)
are
AT1
securities
issued
to
Barclays
PLC
.
Barclays
PLC
uses
funds
from
the
market
issuance
to
purchase
AT1
securities
from
Barclays
Bank
PLC.
There
have
been
no
issuances
or
redemptions
in
the
period.
The
AT1
securities
are
perpetual
securities
with
no
fixed
maturity
and
are
structured
to
qualify
as
AT1
instruments
under
prevailing
capital
rules
applicable
as
at
the
relevant
issue
date.
AT1
securities
are
undated
and
are
redeemab
le,
at
the
option
of
Barclays
Bank
PLC,
in
whole
at
the
initial
call
date,
or
on
any
fifth
anniversary
after
the
initial
call
date.
In
addition,
the
AT1
securities
are
redeemable,
at
the
option
of
Barclays
Bank
PLC,
in
whole
in
the
event
of
certain
changes
in
the
tax
or
regulatory
treatment
of
the
securities.
Any
redemptions
require
the
prior
consent
of
the
PRA.
Financial
Statement
Notes
Barclays
Bank
PLC
37
12.
Other
reserves
As
at
As
at
30.06.20
31.12.19
£m
£m
Currency
translation
reserve
4,769
3,383
Fair
value
through
other
comprehensive
income
reserve
(2)
(139)
Cash
flow
hedging
reserve
1,453
388
Own
credit
reserve
123
(373)
Other
reserves
(24)
(24)
Total
6,319
3,235
Currency
translation
reserve
The
currency
translation
reserve
represents
the
cumulative
gains
and
losses
on
the
retranslation
of
Barclays
Bank
Group’s
net
investment
in
foreign
operations,
net
of
the
effects
of
hedging.
As
at
30
June
2020,
there
was
a
credit
balance
of
£4,769m
(December
2019:
£3,383m
credit)
in
the
currency
translation
reserve.
The
£1,386m
credit
movement
principally
reflected
the
strengthening
of
period
end
USD
exchange
rate
against
GBP.
Fair
value
through
other
comprehensive
income
reserve
The
fair
value
through
other
comprehensive
income
reserve
represents
the
unrealised
change
in
the
fair
value
through
other
comprehensive
income
investments
since
initial
recognition.
As
at
30
June
2020,
there
was
a
debit
balance
of
£2m
(December
2019:
£139m
debit)
in
the
fair
value
through
other
comprehensive
income
reserve.
The
gain
of
£137m
is
principally
driven
by
a
£277
m
gain
from
the
increase
in
fair
value
of
bonds
due
to
decreasing
bond
yields.
This
is
partially
offset
by
£114m
of
net
gains
transferred
to
the
income
statement
and
a
tax
charge
of
£42m.
Cash
flow
hedging
reserve
The
cash
flow
hedging
reserve
represents
the
cumulative
gains
and
losses
on
effective
cash
flow
hedging
instruments
that
will
be
recycled
to
the
income
statement
when
the
hedged
transactions
affect
profit
or
loss.
As
at
30
June
2020,
there
was
a
credit
balance
of
£1,453m
(December
2019:
£388m
credit)
in
the
cash
flow
hedging
reserve.
The
increase
of
£1,065m
principally
reflect
s
a
£1,587m
increase
in
the
fair
value
of
interest
rate
swaps
held
for
hedging
purpose
as
major
interest
ra
te
forward
curves
decreased
.
This
is
partially
offset
by
£117m
of
gains
transferred
to
the
income
statement
and
a
tax
charge
of
£408m.
Own
credit
reserve
The
own
credit
reserve
reflects
the
cumulative
own
credit
gains
and
losses
on
financial
liabilities
at
fair
value.
Amounts
in
the
own
credit
reserve
are
not
recycled
to
profit
or
loss
in
future
periods.
As
at
30
June
2020,
there
was
a
credit
balance
of
£123m
(December
2019:
£373m
debit)
in
the
own
credit
reserve.
The
movement
of
£496m
principally
reflect
s
a
£845m
gain
from
the
widening
of
Barclays
funding
spreads.
This
is
partially
offset
by
other
activity
of
£209m
and
a
tax
charge
of
£144m.
Other
reserves
As
at
30
June
2020,
there
was
a
debit
balance
of
£24m
(December
2019:
£24m
debit)
in
other
reserves
relating
to
redeemed
ordinary
and
preference
shares
issued
by
Barclays
Bank
Group.
Financial
Statement
Notes
Barclays
Bank
PLC
38
13.
Contingent
liabilities
and
commitments
As
at
As
at
30.06.20
31.12.19
Contingent
liabilities
£m
£m
Guarantees
and
letters
of
credit
pledged
as
collateral
security
15,825
17,006
Performance
guarantees,
acceptances
and
endorsements
6,589
6,771
Total
22,414
23,777
Commitments
Documentary
credits
and
other
short-term
trade
related
transactions
1,162
1,291
Standby
facilities,
credit
lines
and
other
commitments
264,376
268,736
Total
265,538
270,027
In
addition
to
the
above,
Note
14
,
Legal,
competition
and
regulatory
matters
details
out
further
contingent
liabilities
where
it
is
not
practicable
to
disclose
an
estimate
of
the
potential
financial
effect
on
Barclays
Bank
Group.
14.
Legal,
competition
and
regulatory
matters
Barclays
Bank
Group
face
legal,
competition
and
regulatory
challenges,
many
of
which
are
beyond
our
control.
The
extent
of
the
impact
of
these
matters
cannot
always
be
predicted
but
may
materially
impact
our
operations,
financial
results,
condition
and
prospects.
Matters
arising
from
a
set
of
similar
circumstances
can
give
rise
to
either
a
contingent
liability
or
a
provision,
or
both,
depending
on
the
relevant
facts
and
circumstances.
The
recognition
of
provisions
in
relation
to
such
matters
involves
critical
accounting
estimates
and
judgments
in
accordance
with
the
relevant
accounting
policies
as
described
in
Note
8,
Provisions.
We
have
not
disclosed
an
estimate
of
the
potential
financial
impact
or
effect
on
the
Barclays
Bank
Group
of
contingent
liabilities
where
it
is
not
currently
practicable
to
do
so.
Various
matters
detailed
in
this
note
seek
damages
of
an
unspecified
amount.
While
certain
matters
specify
the
damages
claimed,
such
claimed
amounts
do
not
necessarily
reflect
the
Barclays
Bank
Group’s
potential
financial
exposure
in
respect
of
those
matters.
Investigations
into
certain
advisory
services
agreements
and
other
matters
and
civil
action
FCA
proceedings
In
2008,
Barclays
Bank
PLC
and
Qatar
Holdings
LLC
entered
into
two
advisory
service
agreements
(the
Agreements).
The
Financial
Conduct
Authority
(FCA)
conducted
an
investigation
into
whether
the
Agreements
may
have
related
to
Barclays
PLC’s
capital
raising
s
in
June
and
November
2008
(the
Capital
Raisings)
and
therefore
should
have
been
disclosed
in
the
announcements
or
public
documents
relating
to
the
Capital
Raisings.
In
2013,
the
FCA
issued
warning
notices
(the
Notices)
finding
that
Barclays
PLC
and
Barcl
ays
Bank
PLC
acted
recklessly
and
in
breach
of
certain
disclosure-related
listing
rules,
and
that
Barclays
PLC
was
also
in
breach
of
Listing
Principle
3.
The
financial
penalty
provided
in
the
Notices
is
£50m.
Barclays
PLC
and
Barclays
Bank
PLC
continue
to
contest
the
findings.
Following
the
conclusion
of
the
Serious
Fraud
Office
(SFO)
proceedings
against
certain
former
Barclays
executives
resulting
in
their
acquittals,
the
FCA
proceedings,
which
were
stayed,
have
resumed.
All
charges
brought
by
the
SFO
agai
nst
Barclays
PLC
and
Barclays
Bank
PLC
in
relation
to
the
Agreements
were
dismissed
in
2018.
Civil
action
PCP
Capital
Partners
LLP
and
PCP
International
Finance
Limited
(PCP)
are
seeking
damages
of
approximately
£1.6bn
from
Barclays
Bank
PLC
for
fraudulent
misrepresentation
and
deceit,
arising
from
alleged
statements
made
by
Barclays
Bank
PLC
to
PCP
in
relation
to
the
terms
on
which
securities
were
to
be
issued
to
potential
investors,
allegedly
including
PCP,
in
the
November
2008
capital
raising.
Barclays
Bank
PLC
is
defending
the
claim
and
trial
commenced
in
June
2020.
Investigations
into
LIBOR
and
other
benchmarks
and
related
civil
actions
Regulators
and
law
enforcement
agencies,
including
certain
competition
authorities,
from
a
number
of
governments
have
conducted
investigations
relating
to
Barclays
Bank
PLC’s
involvement
in
allegedly
manipulating
certain
financial
benchmarks,
such
as
LIBOR.
The
SFO
has
closed
its
investigation
with
no
action
to
be
taken
against
the
Barclays
Group.
Various
individuals
and
corporates
in
a
range
of
jurisdictions
have
threatened
or
brought
civil
actions
against
the
Barclays
Group
and
other
banks
in
relation
to
the
alleged
manipulation
of
LIBOR
and/or
other
benchmarks.
Certain
actions
remain
pending.
USD
LIBOR
civil
actions
The
majority
of
the
USD
LIBOR
cases,
which
have
been
filed
in
various
US
jurisdictions,
have
been
consolidated
for
pre-trial
purposes
in
the
US
District
Court
in
the
Southern
District
of
New
York
(SDNY).
The
complaints
are
substantially
similar
and
allege,
among
other
things,
that
Barclays
PLC,
Barclays
Bank
PLC,
Barclays
Capital
Inc.
(BCI)
and
other
financial
institutions
individually
and
Financial
Statement
Notes
Barclays
Bank
PLC
39
collectively
violated
provisions
of
the
US
Sherman
Antitrust
Act
(Antitrust
Act),
the
US
Commodity
Exchange
Act
(CEA),
the
US
Racketeer
Influenced
and
Corrupt
Organizations
Act
(RICO),
the
Securities
Exchange
Act
of
1934
and
various
state
laws
by
manipulating
USD
LIBOR
rates.
Putative
class
actions
and
individual
actions
seek
unspecified
damages
with
the
exception
of
three
lawsuits,
in
which
the
plaintiffs
are
seeking
a
combined
total
of
approximately
$900m
in
actual
damages
and
additional
punitive
damages
against
all
defendants,
including
Barclays
Bank
PLC.
Some
of
the
lawsuits
also
seek
trebling
of
damages
under
the
Antitrust
Act
and
RICO.
Barclays
has
previously
settled
certai
n
claims.
Two
of
the
class
action
settlements
where
Barclays
has
paid
$20m
and
$7.1m,
respectively,
remain
subject
to
final
court
approval
and/or
the
right
of
class
members
to
opt
out
of
the
settlement
to
file
their
own
claims.
Sterling
LIBOR
civil
actions
In
2016,
two
putative
class
actions
filed
in
the
SDNY
against
Barclays
Bank
PLC,
BCI
and
other
Sterling
LIBOR
panel
banks
alleging,
among
other
things,
that
the
defendants
manipulated
the
Sterling
LIBOR
rate
in
violation
of
the
Antitrust
Act,
CEA
and
RICO,
were
consolidated.
The
defendants’
motion
to
dismiss
the
claims
was
granted
in
December
2018.
The
plaintiffs
have
appealed
the
dismissal.
Japanese
Yen
LIBOR
civil
actions
In
2012,
a
putative
class
action
was
filed
in
the
SDNY
against
Barclays
Bank
PLC
and
other
Japanese
Yen
LIBOR
panel
banks
by
a
lead
plaintiff
involved
in
exchange
-traded
derivatives
and
members
of
the
Japanese
Bankers
Association’s
Euroyen
Tokyo
Interbank
Offered
Rate
(Euroyen
TIBOR)
panel.
The
complaint
alleges,
among
other
things,
manipulation
of
the
Euroyen
TIBOR
and
Yen
LIBOR
rates
and
breaches
of
the
CEA
and
the
Antitrust
Act.
In
2014,
the
court
dismissed
the
plaintiff’s
antitrust
claims
in
full,
but
the
plaintiff’s
CEA
claims
remain
pending.
In
2015,
a
second
putative
class
action,
making
similar
allegations
to
the
above
class
action,
was
filed
in
the
SDNY
against
Barclays
PLC,
Barclays
Bank
PLC
and
BCI.
In
2017,
this
action
was
dismissed
in
full
and
the
plaintiffs
appealed
the
dismissal.
The
appellate
court
reversed
the
dismissal
and
the
matter
has
been
remanded
to
the
lower
court.
SIBOR/SOR
civil
action
In
2016,
a
putative
class
action
was
filed
in
the
SDNY
against
Barclays
PLC,
Barclays
Bank
PLC,
BCI
and
other
defendants,
alleging
manipulation
of
the
Singapore
Interbank
Offered
Rate
(SIBOR)
and
Singapore
Swap
Offer
Rate
(SOR).
In
October
2018,
the
court
dismissed
all
claims
against
Barclays
PLC,
Barclays
Bank
PLC
and
BCI.
The
plaintiffs
have
appealed
the
dismissal.
ICE
LIBOR
civil
actions
In
2019,
several
putative
class
actions
have
been
filed
in
the
SDNY
against
Barclays
PLC,
Barclays
Bank
PLC,
BCI,
other
financial
institution
defendants
and
Intercontinental
Exchange
Inc.
and
certain
of
its
affiliates
(ICE),
asserting
antitrust
claims
that
defendants
manipulated
USD
LIBOR
through
defendants’
submissions
to
ICE.
These
actions
have
been
consolidated.
The
defendants’
motion
to
dismiss
was
granted
in
March
2020.
The
plaintiffs
have
appealed
the
dismissal.
Non
-US
benchmarks
civil
actions
Legal
proceedings
(which
include
the
claims
referred
to
below
in
‘Local
authority
civil
actions
concerning
LIBOR’)
have
been
brought
or
threatened
against
Barclays
Bank
PLC
(and,
in
certain
cases,
Barclays
Bank
UK
PLC)
in
the
UK
in
connection
with
alleged
manipulation
of
LIBOR,
EURIBOR
and
other
benchmarks.
Proceedings
have
also
been
brought
in
a
number
of
other
jurisdictions
in
Europe
and
Israel.
Additional
proceedings
in
other
jurisdictions
may
be
brought
in
the
future.
Foreign
Exchange
investigations
and
related
civil
actions
In
2015,
the
Barclays
Group
reached
settlements
totalling
approximately
$2.38bn
with
various
US
federal
and
state
authorities
and
the
FCA
in
relation
to
investigations
into
certain
sales
and
trading
practices
in
the
Foreign
Exchange
market.
Under
the
related
plea
agreement
with
the
US
Department
of
Justice
(DoJ),
which
received
final
court
approval
in
January
2017,
the
Barclays
Group
agreed
to
a
term
of
probation
of
three
years,
which
expired
in
January
2020.
The
Barclays
Group
also
continues
to
provide
relevant
information
to
certain
authorities.
The
European
Commission
is
one
of
a
number
of
authorities
still
conducting
an
investigation
into
certain
trading
practices
in
Foreign
Exc
hange
markets.
The
European
Commission
announced
two
settlements
in
May
2019
and
the
Barclays
Group
paid
penalties
totalling
approximately
€210m.
In
June
2019,
the
Swiss
Competition
Commission
announced
two
settlements
and
the
Barclays
Group
paid
penalties
totalling
approximately
CHF
27m.
The
financial
impact
of
the
ongoing
matters
is
not
expected
to
be
material
to
the
Barclays
Bank
Group’s
operating
results,
cash
flows
or
financial
position.
A
number
of
individuals
and
corporates
in
a
range
of
jurisdictions
have
also
threatened
or
brought
civil
actions
against
the
Barclays
Group
and
other
banks
in
relation
to
alleged
manipulation
of
Foreign
Exchange
markets,
and
may
do
so
in
the
future.
Certain
actions
remain
pending.
FX
opt
out
civil
action
In
2018,
Barclays
Bank
PLC
and
BCI
settled
a
consolidated
action
filed
in
the
SDNY,
alleging
manipulation
of
Foreign
Exchange
markets
(Consolidated
FX
Action),
for
a
total
amount
of
$384m.
Also
in
2018,
a
group
of
plaintiffs
who
opted
out
of
the
Financial
Statement
Notes
Barclays
Bank
PLC
40
Consolidated
FX
Action
filed
a
complaint
in
the
SDNY
against
Barclays
PLC,
Barclays
Bank
PLC,
BCI
and
other
defendants.
Some
of
the
plaintiff’s
claims
were
dismissed
in
May
2020.
Retail
basis
civil
action
In
2015,
a
putative
class
action
was
filed
against
several
international
banks,
including
Barclays
PLC
and
BCI,
on
behalf
of
a
proposed
class
of
individuals
who
exchanged
currencies
on
a
retail
basis
at
bank
branches
(Retail
Basis
Claims).
The
SDNY
has
ruled
that
the
Retail
Basis
Claims
are
not
co
vered
by
the
settlement
agreement
in
the
Consolidated
FX
Action.
The
Court
subsequently
dismissed
all
Retail
Basis
Claims
against
the
Barclays
Group
and
all
other
defendants.
The
plaintiffs
have
filed
an
amended
complaint.
State
law
FX
civil
action
In
2017,
the
SDNY
dismissed
consolidated
putative
class
actions
brought
under
federal
and
various
state
laws
on
behalf
of
proposed
classes
of
(i)
stockholders
of
Exchange
Traded
Funds
and
others
who
purportedly
were
indirect
investors
in
FX
instruments,
and
(ii)
investors
who
traded
FX
instruments
through
FX
dealers
or
brokers
not
alleged
to
have
manipulated
Foreign
Exchange
Rates.
Barclays
Bank
PLC
and
BCI
have
settled
the
claim,
which
is
subject
to
court
approval.
Non
-US
FX
civil
actions
In
addition
to
the
actions
described
above,
legal
proceedings
have
been
brought
or
are
threatened
against
Barclays
PLC,
Barclays
Bank
PLC,
BCI
and
Barclays
Execution
Services
Limited
(BX)
in
connection
with
alleged
manipulation
of
Foreign
Exchange
in
the
UK,
a
number
of
other
jurisdictions
in
Europe,
Israel
and
Australia
and
additional
proceedings
may
be
brought
in
the
future.
Metals
investigations
and
related
civil
actions
Barclays
Bank
PLC
previously
provided
information
to
the
DoJ,
the
US
Commodity
Futures
Trading
Commission
and
other
authorities
in
connection
with
investigations
into
metals
and
metals
-based
financial
instruments.
A
number
of
US
civil
complaints,
each
on
behalf
of
a
proposed
class
of
plaintiffs,
have
been
consolidated
and
transferred
to
the
SDNY.
The
complaints
allege
that
Barclays
Bank
PLC
and
other
members
of
The
London
Gold
Market
Fixing
Ltd.
manipulated
the
prices
of
gold
and
gold
derivative
contracts
in
violation
of
US
antitrust
and
other
federal
laws.
This
consolidated
putative
class
action
remains
pending.
A
separate
US
civil
complaint
by
a
proposed
class
of
plaintiffs
against
a
number
of
banks,
including
Barclays
Bank
PLC,
BCI
and
BX,
alleging
manipulation
of
the
price
of
silver
in
violation
of
the
CEA,
the
Antitrust
Act
and
state
antitrust
and
consumer
protection
laws,
has
been
dismissed
as
against
the
Barclays
entities.
The
plaintiffs
have
the
option
to
seek
the
court’s
permission
to
appeal.
Civil
actions
have
also
been
filed
in
Canadian
courts
against
Barclays
PLC,
Barclays
Bank
PLC,
Barclays
Capital
Canada
Inc.
and
BCI
on
behalf
of
proposed
classes
of
plaintiffs
alleging
manipulation
of
gold
and
silver
prices.
US
residential
mortgage
relat
ed
civil
actions
There
are
various
pending
civil
actions
relating
to
US
Residential
Mortgage
-Backed
Securities
(RMBS),
including
four
actions
arising
from
unresolved
repurchase
requests
submitted
by
Trustees
for
certain
RMBS,
alleging
breaches
of
various
loan-level
representations
and
warranties
(R&Ws)
made
by
Barclays
Bank
PLC
and/or
a
subsidiary
acquired
in
2007
(the
Acquired
Subsidiary).
The
unresolved
repurchase
requests
received
as
at
31
December
2019
had
an
original
unpaid
principal
balance
of
approx
imately
$2.1bn.
The
Trustees
have
also
alleged
that
the
relevant
R&Ws
may
have
been
breached
with
respect
to
a
greater
(but
unspecified)
amount
of
loans
than
previously
stated
in
the
unresolved
repurchase
requests.
These
repurchase
actions
are
ongoing.
In
one
repurchase
action,
the
New
York
Court
of
Appeals
held
that
claims
related
to
certain
R&Ws
are
time-barred.
Barclays
Bank
PLC
has
reached
a
settlement
to
resolve
two
of
the
repurchase
actions,
which
is
subject
to
final
court
approval.
The
financial
impact
of
the
settlement
is
not
expected
to
be
material
to
the
Barclays
Bank
Group’s
operating
results,
cash
flows
or
financial
position.
The
remaining
two
repurchase
actions
are
pending.
Government
and
agency
securities
civil
actions
and
related
matters
Certain
governmental
authorities
are
conducting
investigations
into
activities
relating
to
the
trading
of
certain
government
and
agency
securities
in
various
markets.
The
Barclays
Group
provided
information
in
cooperation
with
such
investigations.
Civil
actions
have
also
been
filed
on
the
basis
of
similar
allegations,
as
described
below.
Treasury
auction
securities
civil
actions
Consolidated
putative
class
action
complaints
filed
in
US
federal
court
against
Barclays
Bank
PLC,
BCI
and
other
financial
institutions
under
the
Antitrust
Act
and
state
common
law
allege
that
the
defendants
(i)
conspired
to
manipulate
the
US
Treasury
securities
market
and/or
(ii)
conspired
to
prevent
the
creation
of
certain
platforms
by
boycotting
or
threatening
to
boycott
such
trading
platforms.
The
defendants
have
filed
a
motion
to
dismiss.
In
addition,
certain
plaintiffs
have
filed
a
related,
direct
action
against
BCI
and
certain
other
financial
institutions,
alleging
that
defendants
conspired
to
fix
and
manipulate
the
US
Treasury
securities
market
in
violation
of
the
Antitrust
Act,
the
CEA
and
state
common
law.
Financial
Statement
Notes
Barclays
Bank
PLC
41
Supranational,
Sovereign
and
Agency
bonds
civil
actions
Civil
antitrust
actions
have
been
filed
in
the
SDNY
and
Federal
Court
of
Canada
in
Toronto
against
Barclays
Bank
PLC,
BCI,
BX,
Barclays
Capital
Securities
Limited
and,
with
respect
to
the
civil
action
filed
in
Canada
only,
Barclays
Capital
Canada,
Inc.
and
other
financial
institutions
alleging
that
the
defendants
conspired
to
fix
prices
and
restrain
competition
in
the
market
for
US
dollar-
denominated
Supranational,
Sovereign
and
Agency
bonds.
In
one
of
the
actions
filed
in
the
SDNY,
the
court
granted
the
defend
ants’
motion
to
dismiss
the
plaintiffs’
complaint,
which
the
plaintiffs
have
appealed.
The
plaintiffs
have
voluntarily
dismissed
the
other
SDNY
action.
Variable
Rate
Demand
Obligations
civil
actions
Civil
actions
have
been
filed
against
Barclays
Bank
PLC
and
BCI
and
other
financial
institutions
alleging
the
defendants
conspired
or
colluded
to
artificially
inflate
interest
rates
set
for
Variable
Rate
Demand
Obligations
(VRDOs).
VRDOs
are
municipal
bonds
with
interest
rates
that
reset
on
a
periodic
basis,
most
commonly
weekly.
Two
actions
in
state
court
have
been
filed
by
private
plaintiffs
on
behalf
of
the
states
of
Illinois
and
California.
Two
putative
class
action
complaints,
which
have
been
consolidated,
have
been
filed
in
the
SDNY.
Government
bond
civil
actions
In
a
putative
class
action
filed
in
the
SDNY
in
2019,
plaintiffs
alleged
that
BCI
and
certain
other
bond
dealers
conspired
to
fix
the
prices
of
US
government
sponsored
entity
bonds
in
violation
of
US
antitrust
law.
BCI
agreed
to
a
settlement
of
$87m,
which
received
final
court
approval
in
June
2020.
Separately,
various
entities
in
Louisiana,
including
the
Louisiana
Attorney
General
and
the
City
of
Baton
Rouge,
have
filed
complaints
against
Barclays
Bank
PLC
and
other
financial
institutions
making
similar
allegations
as
the
class
action
plaintiffs
.
In
2018,
a
separate
putative
class
action
against
various
financial
institutions
including
Barclays
PLC,
Barclays
Bank
PLC,
BCI,
Barclays
Bank
Mexico,
S.A.,
and
certain
other
subsidiaries
of
the
Barclays
Bank
Group
was
consolidated
in
the
SDNY.
The
plaintiffs
asserted
antitrust
and
state
law
claims
arising
out
of
an
alleged
conspiracy
to
fix
the
prices
of
Mexican
Government
bonds.
Barclays
PLC
has
settled
the
claim
for
$5.7m,
which
is
subject
to
court
approval.
BDC
Finance
L.L.C.
In
2008,
BDC
Finance
L.L.C.
(BDC)
filed
a
complaint
in
the
NY
Supreme
Court,
demanding
damages
of
$298m,
alleging
that
Barclays
Bank
PLC
had
breached
a
contract
in
connection
with
a
portfolio
of
total
return
swaps
governed
by
an
ISDA
Master
Agreement
(collectively,
the
Agreement).
Following
a
trial
on
certain
liability
issues,
the
court
ruled
in
December
2018
that
Barclays
Bank
PLC
was
not
a
defaulting
party,
which
was
affirmed
on
appeal.
Barclays
Bank
PLC’s
counterclaim
against
BDC
remains
pending.
In
2011,
BDC’s
investment
advisor,
BDCM
Fund
Adviser,
L.L.C.
and
its
parent
company,
Black
Diamond
Capital
Holdings,
L.L.C.
also
sued
Barclays
Bank
PLC
and
BCI
in
Connecticut
State
Court
for
unspecified
damages
allegedly
resulting
from
Barclays
Bank
PLC’s
conduct
relating
to
the
Agreement,
asserting
claims
for
violation
of
the
Connecticut
Unfair
Trade
Practices
Act
and
tortious
interference
with
business
and
prospective
business
relations.
This
case
is
curren
tly
stayed.
Civil
actions
in
respect
of
the
US
Anti-Terrorism
Act
There
are
a
number
of
civil
actions,
on
behalf
of
more
than
4,000
plaintiffs,
filed
in
US
federal
courts
in
the
US
District
Court
in
the
Eastern
District
of
New
York
(EDNY)
and
SDNY
against
Barclays
Bank
PLC
and
a
number
of
other
banks.
The
complaints
gene
rally
allege
that
Barclays
Bank
PLC
and
those
banks
engaged
in
a
conspiracy
to
facilitate
US
dollar-
denominated
transactions
for
the
Government
of
Iran
and
various
Iranian
banks,
which
in
turn
funded
acts
of
terrorism
that
injured
or
killed
plaintiffs
or
plaintiffs’
family
members.
The
plaintiffs
seek
to
recover
damages
for
pain,
suffering
and
mental
anguish
under
the
provisions
of
the
US
Anti-
Terrorism
Act,
which
allow
for
the
trebling
of
any
proven
damages.
The
court
granted
the
defendants’
motion
to
dismiss
three
actions
in
the
EDNY.
Plaintiffs
have
appealed
in
one
action.
The
court
also
granted
the
defendants’
motion
to
dismiss
another
action
in
the
SDNY.
The
remaining
actions
are
stayed
pending
decisions
in
these
cases.
Interest
rate
swap
and
credit
default
swap
US
civil
actions
Barclays
PLC,
Barclays
Bank
PLC
and
BCI,
together
with
other
financial
institutions
that
act
as
market
makers
for
interest
rat
e
swaps
(IRS)
are
named
as
defendants
in
several
antitrust
class
actions
which
were
consolidated
in
the
SDNY
in
2016.
The
complaints
allege
the
defendants
conspired
to
prevent
the
development
of
exchanges
for
IRS
and
demand
unspecified
money
damages.
In
2018,
trueEX
LLC
filed
an
antitrust
class
action
in
the
SDNY
against
a
number
of
financial
institutions
including
Barclays
PLC,
Barclays
Bank
PLC
and
BCI
based
on
similar
allegations
with
respect
to
trueEX
LLC’s
development
of
an
IRS
platform.
In
2017,
Ter
a
Group
Inc.
filed
a
separate
civil
antitrust
action
in
the
SDNY
claiming
that
certain
conduct
alleged
in
the
IRS
cases
also
caused
the
plaintiff
to
suffer
harm
with
respect
to
the
Credit
Default
Swaps
market.
In
November
2018
and
July
2019,
respectively,
the
court
dismissed
certain
claims
in
both
cases
for
unjust
enrichment
and
tortious
interference
but
denied
motions
to
dismiss
the
federal
and
state
antitrust
claims,
which
remain
pending.
Financial
Statement
Notes
Barclays
Bank
PLC
42
Odd-lot
corporate
bonds
antitrust
class
action
In
2020,
BCI,
together
with
other
financial
institutions,
were
named
as
defendants
in
a
putative
class
action.
The
complaint
alleges
a
conspiracy
to
boycott
developing
electronic
trading
platforms
for
odd-lots
and
price
fixing.
Plaintiffs
demand
unspecified
money
damages.
Investigation
into
collections
and
recoveries
relating
to
unsecured
lending
Since
February
2018,
the
FCA
has
been
investigating
whether
the
Barclays
Group
implemented
effective
systems
and
controls
with
respect
to
collections
and
recoveries
and
whether
it
paid
due
consideration
to
the
interests
of
customers
in
default
and
arrears.
The
FCA
investigation
is
at
an
advanced
stage.
HM
Revenue
&
Customs
(HMRC)
assessments
concerning
UK
Value
Added
Tax
In
2018,
HMRC
issued
notices
that
have
the
effect
of
removing
certain
overseas
subsidiaries
that
have
operations
in
the
UK
from
Barclays
’
UK
VAT
group,
in
which
group
supplies
between
members
are
generally
free
from
VAT.
The
notices
have
retrospective
effect
and
correspond
to
assessments
of
£181m
(inclusive
of
interest),
of
which
Barclays
would
expect
to
attribute
an
amount
of
approximatel
y
£128m
to
Barclays
Bank
UK
PLC
and
£53m
to
Barclays
Bank
PLC.
HMRC’s
decision
has
been
appealed
to
the
First
Tier
Tribunal
(Tax
Chamber).
Local
authority
civil
actions
concerning
LIBOR
Following
settlement
by
Barclays
Bank
PLC
of
various
governmental
investigations
concerning
certain
benchmark
interest
rate
submissions
referred
to
above
in
‘Investigations
into
LIBOR
and
other
benchmarks
and
related
civil
actions’,
in
the
UK,
certain
local
authorities
have
brought
claims
against
Barclays
Bank
PLC
(and,
in
certain
cases,
Barclays
Bank
UK
PLC)
asserting
that
they
entered
into
loans
in
reliance
on
misrepresentations
made
by
Barclays
Bank
PLC
in
respect
of
its
conduct
in
relation
to
LIBOR.
Barclays
has
applied
to
strike
out
the
claims.
General
The
Barclays
Bank
Group
is
engaged
in
various
other
legal,
competition
and
regulatory
matters
in
the
UK,
the
US
and
a
number
of
other
overseas
jurisdictions.
It
is
subject
to
legal
proceedings
brought
by
and
against
the
Barclays
Bank
Group
which
arise
in
the
ordinary
course
of
business
from
time
to
time,
including
(but
not
limited
to)
disputes
in
relation
to
contracts,
securities,
debt
collection,
consumer
credit,
fraud,
trusts,
client
assets,
competition,
data
management
and
protection,
money
laundering,
financial
crime,
employment,
environmental
and
other
statutory
and
common
law
issues.
The
Barclays
Bank
Group
is
also
subject
to
enquiries
and
examinations,
requests
for
information,
audits,
investigations
and
legal
and
other
proceedings
by
regulators,
gov
ernmental
and
other
public
bodies
in
connection
with
(but
not
limited
to)
consumer
protection
measures,
compliance
with
legislation
and
regulation,
wholesale
trading
activity
and
other
areas
of
banking
and
business
activities
in
which
the
Barclays
Bank
Gro
up
is
or
has
been
engaged.
The
Barclays
Bank
Group
is
cooperating
with
the
relevant
authorities
and
keeping
all
relevant
agencies
briefed
as
appropriate
in
relation
to
these
matters
and
others
described
in
this
note
on
an
ongoing
basis.
At
the
present
time,
Barclays
Bank
PLC
does
not
expect
the
ultimate
resolution
of
any
of
these
other
matters
to
have
a
material
adverse
effect
on
its
financial
position.
However,
in
light
of
the
uncertainties
involved
in
such
matters
and
the
matters
specifically
described
in
this
note,
there
can
be
no
assurance
that
the
outcome
of
a
particular
matter
or
matters
(including
formerly
active
matters
or
those
matters
arising
after
the
date
of
this
note)
will
not
be
material
to
Barclays
Bank
PLC’s
results,
operations
or
cash
flow
for
a
particular
period,
depending
on,
among
other
things,
the
amount
of
the
loss
resulting
from
the
matter(s)
and
the
amount
of
profit
otherwise
reported
for
the
reporting
period.
Financial
Statement
Notes
Barclays
Bank
PLC
43
15.
Related
party
transactions
Related
party
transactions
in
the
half
year
ended
30
June
2020
were
similar
in
nature
to
those
disclosed
in
the
Barclays
Bank
PLC
Annual
Report
2019.
Amounts
included
in
the
Barclays
Bank
Group’s
financial
statements
with
other
Barclays
Group
companies
are
as
follows:
Half
year
ended
30.06.20
Half
year
ended
30.06.19
Parent
Fellow
subsidiaries
Parent
Fellow
subsidiaries
£m
£m
£m
£m
Total
income
(346)
31
(275)
32
Operating
expenses
(34)
(1,443)
(46)
(1,546)
As
at
30.06.20
As
at
31.12.19
Parent
Fellow
subsidiaries
Parent
Fellow
subsidiaries
£m
£m
£m
£m
Total
assets
5,793
1,952
2,097
2,165
Total
liabilities
27,262
2,531
24,876
1,600
Except
for
the
above,
no
related
party
transactions
that
have
taken
place
in
the
half
year
ended
30
June
2020
have
materially
affected
the
financial
position
or
performance
of
the
Barclays
Bank
Group
during
this
period.
Financial
Statement
Notes
Barclays
Bank
PLC
44
16.
Barclays
Bank
PLC
parent
condensed
balance
sheet
As
at
As
at
30.06.20
31.12.19
Assets
£m
£m
Cash
and
balances
at
central
banks
128,461
112,287
Cash
collateral
and
settlement
balances
115,391
75,822
Loans
and
advances
at
amortised
cost
186,606
161,663
Reverse
repurchase
agreements
and
other
similar
secured
lending
22,926
4,939
Trading
portfolio
assets
73,646
79,079
Financial
assets
at
fair
value
through
the
income
statement
187,575
162,500
Derivative
financial
instruments
304,807
229,338
Financial
assets
at
fair
value
through
other
comprehensive
income
53,475
43,760
Investment
in
associates
and
joint
ventures
16
119
Investment
in
subsidiaries
16,653
16,105
Goodwill
and
intangible
assets
114
115
Property,
plant
and
equipment
419
426
Current
tax
assets
1,045
946
Deferred
tax
assets
1,203
1,115
Retirement
benefit
assets
2,797
2,062
Other
assets
1,234
845
Total
assets
1,096,368
891,121
Liabilities
Deposits
at
amortised
cost
268,286
240,631
Cash
collateral
and
settlement
balances
94,744
59,448
Repurchase
agreements
and
other
similar
secured
borrowing
9,778
9,185
Debt
securities
in
issue
34,926
19,883
Subordinated
liabilities
36,937
33,205
Trading
portfolio
liabilities
53,953
45,130
Financial
liabilities
designated
at
fair
value
234,510
207,765
Derivative
financial
instruments
306,288
225,607
Current
tax
liabilities
287
221
Deferred
tax
liabilities
1,083
80
Retirement
benefit
liabilities
105
104
Other
liabilities
3,297
2,807
Provisions
885
630
Total
liabilities
1,045,079
844,696
Equity
Called
up
share
capital
and
share
premium
2,348
2,348
Other
equity
instruments
11,089
11,089
Other
reserves
2,763
678
Retained
earnings
35,089
32,310
Total
equity
51,289
46,425
Total
liabilities
and
equity
1,096,368
891,121
In
H120,
Barclays
Bank
PLC
sold
its
investments
in
Barclaycard
International
Payments
Limited,
Entercard
Group
AB,
Carnegie
Holdings
Limited
and
Barclays
Mercantile
Business
Finance
Limited
to
Barclays
Principal
Investments
Limited,
a
fellow
group
company,
at
their
fair
values
of
£102m,
£292m,
£188m
and
£154m
respectively.
Barclays
Bank
PLC
recorded
profit
on
disposal
of
£56m,
£192m,
£133m
and
£23m
in
respect
of
these
transactions.
The
Barclays
Bank
Group
recorded
profit
on
disposal
of
£45m,
£13m,
£57m
and
£11m.
Barclays
Bank
PLC
considers
the
carrying
value
of
its
investment
in
subsidiaries
to
be
fully
recoverable
.
Other
Information
Barclays
Bank
PLC
45
Results
timetable
1
Date
2020
Annual
Report
11
February
2021
%
Change
3
Exchange
rates
2
30.06.20
31.12.19
30.06.19
31.12.19
30.06.19
Period
end
-
USD/GBP
1.24
1.33
1.27
(7%)
(2%)
6
month
average
-
USD/GBP
1.26
1.26
1.29
-
(2%)
3
month
average
-
USD/GBP
1.24
1.29
1.29
(4%)
(4%)
Period
end
-
EUR/GBP
1.10
1.18
1.12
(7%)
(2%)
6
month
average
-
EUR/GBP
1.14
1.14
1.15
-
(1%)
3
month
average
-
EUR/GBP
1.13
1.16
1.14
(3%)
(1%)
For
further
information
please
contact
Investor
relations
Media
relations
Chris
Manners
+44
(0)
20
7773
2136
Thomas
Hoskin
+44
(0)
20
7116
4755
More
information
on
Barclays
Bank
PLC
can
be
found
on
our
website:
home.barclays.
Registered
office
1
Churchill
Place,
London,
E14
5HP,
United
Kingdom.
Tel:
+44
(0)
20
7116
1000.
Company
number:
1026167.
1
Note
that
this
date
is
provisional
and
subject
to
change
.
2
The
average
rates
shown
above
are
derived
from
daily
spot
rates
during
the
year.
3
The
change
is
the
impact
to
GBP
reported
information.
Glossary
of
Terms
Barclays
Bank
PLC
46
‘A
-IRB’
/
‘Advanced
-Internal
Ratings
Based’
See
‘Internal
Ratings
Based
(IRB)’.
‘Acceptances
and
endorsements’
An
acceptance
is
an
undertaking
by
a
bank
to
pay
a
bill
of
exchange
drawn
on
a
customer.
The
Barclays
Bank
Group
expects
most
acceptances
to
be
presented,
but
reimbursement
by
the
customer
is
normally
immediate.
Endorsements
are
residual
liabilities
of
the
Barclays
Bank
Group
in
respect
of
bills
of
exchange
which
have
been
paid
and
subsequently
rediscounted.
‘Additional
Tier
1
(AT1)
capital’
AT1
capital
largely
comprises
eligible
non-common
equity
capital
securities
and
any
related
share
premium.
‘Additi
onal
Tier
1
(AT1)
securities’
Non-common
equity
securities
that
are
eligible
as
AT1
capital.
‘Advanced
Measurement
Approach
(AMA)’
Under
the
AMA,
banks
are
allowed
to
develop
their
own
empirical
model
to
quantify
required
capital
for
operational
risk.
Banks
can
only
use
this
approach
subject
to
approval
from
their
local
regulators.
‘Agencies’
Bonds
issued
by
state
and
/
or
governmen
t
agencies
or
government
-
sponsored
entities.
‘Agency
Mortgage
-Backed
Securities’
Mortgage
-Backed
Securities
issued
by
government
-sponsored
entities.
‘All
price
risk
(APR)’
An
estimate
of
all
the
material
market
risks,
including
rating
migration
and
defaul
t
for
the
correlation
trading
portfolio.
‘American
Depository
Receipts
(ADR)’
A
negotiable
certificate
that
represents
the
ownership
of
shares
in
a
non-US
company
(for
example
Barclays)
trading
in
US
financial
markets.
‘Americas’
Geographic
segment
comprising
the
US,
Canada
and
countries
where
Barclays
Bank
Group
operates
within
Latin
America.
‘Annual
Earnings
at
Risk
(AEaR)’
A
measure
of
the
potential
change
in
Net
Interest
Income
(NII)
due
to
an
interest
rate
movement
over
a
one-year
period.
‘Annualised
cumulative
weighted
average
lifetime
PD’
The
probability
of
default
over
the
remaining
life
of
the
asset,
expressed
as
an
annual
rate,
reflecting
a
range
of
possible
economic
scenarios.
‘Application
scorecards’
Algorithm
based
decision
tools
used
to
aid
business
decisions
and
manage
credit
risk
based
on
available
customer
data
at
the
point
of
application
for
a
product.
‘Arrears’
Customers
are
said
to
be
in
arrears
when
they
are
behind
in
fulfilling
their
obligations
with
the
result
that
an
outstanding
loan
is
unpaid
or
overdue.
Such
customers
are
also
said
to
be
in
a
state
of
delinquency.
When
a
customer
is
in
arrears,
their
entire
outstanding
balance
is
said
to
be
delinquent,
meaning
that
delinquent
balances
are
the
total
outstanding
loans
on
which
payments
are
overdue.
‘Asia’
Geographic
segment
comprising
countries
where
Barclays
Bank
Group
operates
within
Asia
and
the
Middle
East.
‘Asset
Backed
Commercial
Paper’
Typically
short-term
notes
secured
on
specified
assets
issued
by
consolidated
special
purpose
entities
for
funding
purposes.
‘Asset
Backed
Securities
(ABS)’
Securities
that
represent
an
interest
in
an
underlying
pool
of
referenced
assets.
The
referenced
pool
can
comprise
any
assets
which
attract
a
set
of
associated
cash
flows
but
are
commonly
pools
of
residential
or
commercial
mortgages
and,
in
the
case
of
Collateralised
Debt
Obligations
(CDOs),
the
referenced
pool
may
be
ABS
or
other
classes
of
assets.
‘Attributable
profit’
Profit
after
tax
that
is
attributable
to
ordinary
equity
holders
of
Barclays
Bank
Group
adjusted
for
the
after
tax
amounts
of
capital
securities
classified
as
equity.
‘Average
allocated
tangible
equity’
Calculated
as
the
average
of
the
previous
month’s
period
end
allocated
tangible
equity
and
the
current
month’s
period
end
allocated
tangible
equity.
The
average
allocated
tangible
equity
for
the
period
is
the
average
of
the
monthly
averages
within
that
period.
Glossary
of
Terms
Barclays
Bank
PLC
47
‘Average
tangible
shareholders’
equity’
Calculated
as
the
average
of
the
previous
month’s
period
end
tangible
equity
and
the
current
month’s
period
end
tangible
equity.
The
average
tangible
shareholders’
equity
for
the
period
is
the
average
of
the
monthly
averages
within
that
period.
‘Average
UK
leverage
ratio’
As
per
the
PRA
rulebook,
is
calculated
as
the
average
capital
measure
based
on
the
last
day
of
each
month
in
the
quarter
divided
by
the
average
exposure
measure
for
the
quarter,
where
the
average
exposure
is
based
on
each
day
in
the
quarter.
‘Back
testing’
Includes
a
number
of
techniques
that
assess
the
continued
statistical
validity
of
a
model
by
simulating
how
the
model
would
have
predicted
recent
experience.
‘Barclays
Africa’
or
‘Absa’
Barclays
Africa
Group
Limited
(now
Absa
Group
Limited),
which
was
previously
a
subsidiary
of
the
Barclays
Group.
Following
a
sell
down
of
shares
resulting
in
a
loss
of
control,
the
Barclays
Group’s
shareholding
in
Absa
Group
Limited
is
now
classified
as
a
financial
asset
at
fair
value
through
other
comprehensive
income.
‘Balance
weighted
Loan
to
Value
(LTV)
ratio’
In
the
context
of
the
credit
risk
disclosures
on
secured
home
loans,
a
means
of
calculating
marked
to
market
LTVs
derived
by
calculating
individual
LTVs
at
account
level
and
weighting
it
by
the
balances
to
arrive
at
the
average
position.
Balance
weighted
loan
to
value
is
calculated
using
the
following
formula:
LTV
=
((loan
balance
1
x
MTM
LTV%
for
loan
1)
+
(loan
balance
2
x
MTM
LTV%
for
loan
2)
+
...)
/
total
outstandings
in
portfolio.
‘Barclaycard’
An
international
consumer
payments
business
serving
the
needs
of
businesses
and
consumers
through
credit
cards,
consumer
lending,
merchant
acquiring,
commercial
cards
and
point
of
sale
finance.
Barclaycard
has
scaled
operations
in
the
UK,
US,
Germany
and
Scandinavia.
‘Barclaycard
Consumer
UK’
The
UK
Barclaycard
business.
‘Barclays’
or
’Barclays
Group’
Barclays
PLC,
together
with
its
subsidiaries.
‘Barclays
Bank
Group’
Barclays
Bank
PLC,
together
with
its
subsidiaries.
‘Barclays
Bank
UK
Group’
Barclays
Bank
UK
PLC,
together
with
its
subsidiaries.
‘Barclays
Bank
Group
Operating
businesses’
The
core
Barclays
Bank
Group
businesses
operated
by
Corporate
and
Investment
Bank
(which
include
the
the
large
UK
Corporate
business;
the
international
Corporate
and
the
Investment
Bank)
and
Consumer,
Cards
and
Payments
(the
Private
Bank
businesses;
the
international
Barclaycard
business;
and
payments).
‘Barclays
Execution
Services’
or
‘BX’
or
‘BSerL’
or
‘Group
Service
Company’
Barclays
Execution
Services
Limited,
the
Barclays
Group
services
company
set
up
to
provide
services
to
Barclays
UK
and
Barclays
International
to
deliver
operational
continuity.
‘Barclays
International’
The
segment
of
Barclays
Bank
held
by
Barclays
Bank
PLC.
The
division
includes
the
large
UK
Corporate
business;
the
international
Corporate
and
Private
Bank
businesses;
the
Investment
Bank;
the
international
Barclaycard
business;
and
payments.
‘Barclays
UK’
The
segment
of
Barclays
held
by
Barclays
Bank
UK
PLC.
The
division
includes
the
UK
Personal
banking;
UK
business
banking
and
the
Barclaycard
consumer
UK
businesses.
‘Basel
3’
The
third
of
the
Basel
Accords,
setting
minimum
requirements
and
standards
that
apply
to
internationally
active
banks.
Basel
3
is
a
set
of
measures
developed
by
the
Basel
Committee
on
Banking
Supervision
aiming
to
strengthen
the
regulation,
supervision
and
risk
management
of
banks.
‘Basel
Committee
of
Banking
Supervision
(BCBS
or
The
Basel
Committee)’
A
forum
for
regular
cooperation
on
banking
supervisory
matters
which
develops
global
supervisory
standards
for
the
banking
industry.
Its
45
members
are
officials
from
central
banks
or
prudential
supervisors
from
28
jurisdictions.
‘Basic
Indicator
Approach
(BIA)’
Under
the
BIA,
banks
are
required
to
hold
regulatory
capital
for
operational
risk
equal
to
15%
of
the
annual
average,
calculated
over
a
rolling
three-year
period,
of
the
relevant
income
indicator
for
the
bank
as
whole.
‘Basis
point(s)’
/
‘bp(s)’
One
hundredth
of
a
per
cent
(0.01%);
100
basis
points
is
1%.
The
measure
is
used
in
quoting
movements
in
interest
rates,
yields
on
securities
and
for
other
purposes.
Glossary
of
Terms
Barclays
Bank
PLC
48
‘Basis
risk’
Index/Tenor
risk,
that
arises
when
floating
rate
products
are
linked
to
different
interest
rate
indices,
which
are
imperfectly
correlated,
especially
under
stressed
market
conditions.
‘Behavioural
scorecards’
Algorithm
based
decision
tools
used
to
aid
business
decisions
and
manage
credit
risk
based
on
existing
customer
data
derived
from
account
usage.
‘Book
quality’
In
the
context
of
the
Capital
Risk
section,
changes
in
RWAs
caused
by
factors
such
as
underlying
customer
behaviour
or
demographics
leading
to
changes
in
risk
profile.
‘Book
size’
In
the
con
text
of
the
Capital
Risk
section
,
changes
in
RWAs
driven
by
business
activity,
including
net
originations
or
repayments
.
‘Bounce
Back
Loan
Scheme
(BBLS)’
A
government
(British
Business
Bank)
backed
loan
scheme
which
allows
small
and
medium-
sized
businesses
to
borrow
between
£2,000
and
£50,000.
The
UK
government
guarantees
100%
of
the
loan
and
pays
the
first
12
months
of
interest
on
behalf
of
the
borrowers,
subject
to
terms
and
conditions.
‘Business
Banking’
Offers
specialist
advice,
products
and
services
to
small
and
medium
enterprises
in
the
UK.
‘Business
scenario
stresses’
Multi
asset
scenario
analysis
of
extreme,
but
plausible
events
that
may
impact
the
market
risk
exposures
of
the
Investment
Bank.
‘Buy
to
let
mortgage’
A
mortgage
where
the
intention
of
the
customer
(investor)
was
to
let
the
property
at
origination.
‘Capital
Conservation
Buffer
(CCB)’
A
capital
buffer
of
2.5%
of
a
bank’s
total
exposures
that
needs
to
be
met
with
an
additional
amount
of
Common
Equity
Tier
1
capital
above
the
4.5%
minimum
requirement
for
Common
Equity
Tier
1
set
out
in
CRR.
Its
objective
is
to
conserve
a
bank’s
capital
by
ensuring
that
banks
build
up
surplus
capital
outside
periods
of
stress
which
can
be
drawn
down
if
losses
are
incurred.
‘Capital
ratios’
Key
financial
ratios
measuring
the
Bank's
capital
adequacy
or
financial
strength
expressed
as
a
percentage
of
RWAs.
‘Capital
Requirements
Directive
(CRD)’
Directive
2013/36/EU,
a
component
of
the
CRD
IV
package
which
accompanies
the
Capital
Requirements
Regulation
and
sets
out
macroprudential
standards
including
the
countercyclical
capital
buffer
and
capital
buffers
for
systemically
important
institutions.
Directive
(EU)
2019/878,
published
as
part
of
the
EU
Risk
Reduction
Measure
package
amends
CRD.
These
amendments
enter
into
force
from
27
June
2019,
with
EU
member
states
required
to
adopt
the
measures
within
the
Directive
by
28
December
2020.
‘Capital
Requirements
Regulation
(CRR)’
Regulation
(EU)
No
575/2013,
a
component
of
the
CRD
IV
package
which
accompanies
the
Capital
Requirements
Direct
ive
and
sets
out
detailed
rules
for
capital
eligibility,
the
calculation
of
RWAs,
the
measurement
of
leverage,
the
management
of
large
exposures
and
minimum
standards
for
liquidity.
Between
27
June
2019
and
28
June
2023,
this
regulation
will
be
amended
in
line
with
the
requirements
of
amending
Regulation
(EU)
2019/876
(CRR
II).
‘Capital
Requirements
Regulation
II
(CRR
II)’
Regulation
(EU)
2019/876,
amending
Regulation
(EU)
No
575/2013
(CRR).
This
is
a
component
of
the
EU
Risk
Reduction
Measure
package.
The
requirements
set
out
in
CRR
II
will
be
introduced
between
27
June
2019
and
28
June
2023.
‘Capital
requirements
on
the
underlying
exposures
(KIRB)’
An
approach
available
to
banks
when
calculating
RWAs
for
securitisation
exposures.
This
is
based
upon
the
RWA
amounts
that
would
be
calculated
under
the
IRB
approach
for
the
underlying
pool
of
securitised
exposures
in
the
program,
had
such
exposures
not
been
securitised.
‘Capital
resources’
Common
Equity
Tier
1,
Additional
Tier
1
and
Tier
2
capital
that
are
eligible
to
satisfy
capital
requirements
under
CRD.
Referred
to
as
‘own
funds’
within
EU
regulatory
texts.
‘Capital
risk’
The
risk
that
the
Barclays
Bank
Group
has
an
insufficient
level
or
composition
of
capital
to
support
its
normal
business
activities
and
to
meet
its
regulatory
capital
requirements
under
normal
operating
environments
or
stressed
conditions
(both
actual
and
as
defined
for
internal
planning
or
regulatory
testing
purposes).
This
includes
the
risk
from
the
Barclays
Bank
Group’s
pension
plans.
Glossary
of
Terms
Barclays
Bank
PLC
49
‘Central
Counterparty’
/
‘Central
Clearing
Counterparties
(CCPs)’
A
clearing
house
mediating
between
the
buyer
and
the
seller
in
a
financial
transaction,
such
as
a
derivative
contract
or
repurchase
agreement
(repo).
Where
a
central
counterparty
is
used,
a
single
bi-lateral
contract
between
the
buyer
and
seller
is
replaced
with
two
contracts,
one
between
the
buyer
and
the
CCP
and
one
between
the
CCP
and
the
seller.
The
use
of
CCPs
allows
for
greater
oversight
and
improved
credit
risk
mitigation
in
over
-the-
counter
(OTC)
markets.
‘Charge
-off’
In
the
re
tail
segment
this
refers
to
the
point
in
time
when
collections
activity
changes
from
the
collection
of
arrears
to
the
recovery
of
the
full
balance.
This
is
normally
when
six
payments
are
in
arrears.
‘Client
Assets’
Assets
managed
or
administered
by
Barcla
ys
Bank
Group
on
behalf
of
clients
including
assets
under
management
(AUM),
custody
assets,
assets
under
administration
and
client
deposits.
‘CLOs
and
Other
insured
assets’
Highly
rated
CLO
positions
wrapped
by
monolines,
non-CLOs
wrapped
by
monolines
and
other
assets
wrapped
with
Credit
Support
Annex
(CSA)
protection.
‘Collateralised
Debt
Obligation
(CDO)’
Securities
issued
by
a
third
party
which
reference
Asset
Backed
Securities
(ABSs)
(defined
above)
and/or
certain
other
related
assets
purchased
by
the
issuer.
CDOs
may
feature
exposure
to
sub-prime
mortgage
assets
through
the
underlying
assets.
‘Collateralised
Loan
Obligation
(CLO)’
A
security
backed
by
the
repayments
from
a
pool
of
commercial
loans.
The
payments
may
be
made
to
different
classes
of
owners
(in
tranches).
‘Collateralised
Mortgage
Obligation
(CMO)’
A
type
of
security
backed
by
mortgages.
A
special
purpose
entity
receives
income
from
the
mortgages
and
passes
them
on
to
investors
of
the
security.
‘Combined
Buffer
Requirement’
In
the
context
of
the
CRD
capital
obligations,
the
combined
requirements
of
the
Capital
Conservation
Buffer,
the
GSII
Buffer,
the
OSII
buffer,
the
Systemic
Risk
buffer
and
an
institution
specific
counter
-cyclical
buffer.
‘Commercial
paper
(CP)’
Short-term
notes
issued
by
entities,
including
banks,
for
funding
purposes.
‘Commercia
l
real
estate
(CRE)’
Commercial
real
estate
includes
office
buildings,
industrial
property,
medical
centres,
hotels,
retail
stores,
shopping
centres,
farm
land,
multifamily
housing
buildings,
warehouses,
garages,
and
industrial
properties
and
other
similar
properties.
Commercial
real
estate
loans
are
loans
backed
by
a
package
of
commercial
real
estate.
Note:
for
the
purposes
of
the
Credit
Risk
section,
the
UK
CRE
portfolio
includes
property
investment,
development,
trading
and
housebuilders
but
excludes
social
housing
contractors.
‘Commissions
and
other
incentives’
Includes
commission-based
arrangements,
guaranteed
incentives
and
Long
Term
Incentive
Plan
awards.
‘Committee
of
Sponsoring
Organisations
of
the
Treadway
Commission
Framework
(COSO)’
A
joint
initiative
of
five
private
sector
organisations
dedicated
to
the
development
of
frameworks
and
providing
guidance
on
enterprise
risk
management,
internal
control
and
fraud
deterrence.
‘Commodity
derivatives’
Exchange
traded
and
over
-the-counter
(OTC)
derivatives
based
on
an
underlying
commodity
(e.g.
metals,
precious
metals,
oil
and
oil
related,
power
and
natural
gas).
‘Commodity
risk’
Measures
the
impact
of
changes
in
commodity
prices
and
volatilities,
including
the
basis
between
related
commodities
(e.g.
Brent
vs.
WTI
crude
prices).
‘Common
Equity
Tier
1
(CET1)
capital’
The
highest
quality
form
of
regulatory
capital
under
CRR
that
comprises
common
shares
issued
and
related
share
premium,
retained
earnings
and
other
reserves,
less
specified
regulatory
adjustments.
‘Common
Equity
Tier
1
(CET1)
ratio’
A
measure
of
Common
Equity
Tier
1
capital
expressed
as
a
percentage
of
RWAs.
‘Compensation:
income
ratio’
The
ratio
of
compensation
expense
over
total
income.
Compensation
represents
total
staff
costs
less
non-compensation
items
consisting
of
outsourcing,
staff
training,
redundancy
costs
and
retirement
costs.
Glossary
of
Terms
Barclays
Bank
PLC
50
‘
Comprehensive
Capital
Analysis
and
Review
(CCAR)’
An
annual
exercise,
required
by
and
evaluated
by
the
Federal
Reserve,
through
which
the
largest
bank
holding
companies
operating
in
the
US
assess
whether
they
have
sufficient
capital
to
continue
operations
through
periods
of
economic
and
financial
stress
and
have
robust
capital
-planning
processes
that
account
for
their
unique
risks.
‘Comprehensive
Risk
Measure
(CRM)’
An
estimate
of
all
the
material
market
risks,
including
rating
migration
and
default
for
the
correlation
trading
portfolio.
Also
referred
to
as
All
Price
Risk
(APR)
and
Comprehensive
Risk
Capital
Charge
(CRCC).
‘Conduct
risk’
The
risk
of
detriment
to
customers,
clients,
market
integrity,
competition
or
Barclays
Bank
Group
from
the
inappropriate
supply
of
financial
services,
including
instances
of
wilful
or
negligent
misconduct.
‘Constant
Currency
Basis’
Excluding
the
impact
of
foreign
currency
conversion
to
GBP
when
comparing
financial
results
in
two
different
financial
periods.
‘Consumer,
Cards
and
Payments’
Barclays
US
Consumer
Bank,
Barclaycard
Germany,
Barclaycard
Commercial
Payments,
Barclaycard
Payment
Solutions
(including
merchant
acquiring)
and
the
international
Wealth
business.
‘Contingent
capital
notes
(CCNs)’
Interest
bearing
debt
securities
issued
by
Barclays
Bank
Group
or
its
subsidiaries
that
are
either
permanently
written
off
or
converted
into
an
equity
instrument
from
the
issuer's
perspective
in
the
event
of
the
Common
Equity
Tier
1
(CET1)
ratio
of
the
relevant
Barclays
Bank
Group
entity
falling
below
a
specific
level,
or
at
the
direction
of
regulators.
‘Conversion
Trigger’
Used
in
the
context
of
Contingent
Capital
Notes
and
AT1
securities.
A
capital
adequacy
trigger
event
occurs
when
the
CET1
ratio
of
the
bank
falls
below
a
certain
level
(the
trigger)
as
defined
in
the
Terms
&
Conditions
of
the
instruments
issued.
See
‘Contingent
capital
notes’.
‘Coronavirus
Business
Interr
uption
Loan
Scheme
(CBILS)’
A
loan
scheme
by
the
British
Business
Bank
(BBB)
to
support
UK
based
small
and
medium-
sized
businesses
(turnover
of
up
to
£45
million)
adversely
impacted
by
COVID
-19,
.
The
CBILS
scheme
provides
loans
up
to
£5
million
which
are
backed
by
an
80%
government
(BBB)
guarantee.
The
UK
government
will
pay
interest
and
fees
for
the
first
12
months
on
behalf
of
the
borrowers,
subject
to
terms
and
conditions.
Coronavirus
Large
Business
Interruption
Loan
Scheme
(CLBILS)’
A
loan
scheme
by
the
British
Business
Bank
(BBB)
to
support
UK
based
medium-sized
businesses
(turnover
above
£45
million,
but
with
no
access
to
CCFF)
adversely
impacted
by
COVID
-19,
The
CBILS
scheme
provides
loans
up
to
£50
million
which
are
backed
by
an
80%
government
(BBB)
guarantee.
‘Corporate
and
Investment
Bank
(CIB)’
Barclays
Bank
Corporate
and
Investment
Bank
businesses.
‘Correlation
risk’
Refers
to
the
change
in
marked
to
market
value
of
a
security
when
the
correlation
between
the
underlying
assets
changes
over
time.
‘Cost:
income
ratio’
Total
operating
expenses
divided
by
total
income.
‘Cost
of
Equity’
The
rate
of
return
targeted
by
the
equity
holders
of
a
company.
‘Cost:
income
jaws’
Relationship
of
the
percentage
change
movement
in
operating
expenses
relative
to
total
income.
‘Countercyclical
Capital
Buffer
(CCyB)’
An
additional
buffer
introduced
as
part
of
the
CRD
IV
package
that
requires
banks
to
have
an
additional
cushion
of
CET
1
capital
with
which
to
absorb
potential
losses,
enhancing
their
resilience
and
contributing
to
a
stable
financial
system.
‘Countercyclical
leverage
ratio
buffer
(CCLB)’
A
macroprudential
buffer
that
has
applied
to
specific
PRA
regulated
institutions
since
2018
and
is
calculated
at
35%
of
any
risk
weighted
countercyclical
capital
buffer
set
by
the
Financial
Policy
Committee
(FPC).
The
CCLB
applies
in
addition
to
the
minimum
of
3.25%
and
any
G-SII
additional
Leverage
Ratio
Buffer
that
applies.
‘Counterparty
credit
risk’
The
risk
related
to
a
counterparty
defaulting
before
the
final
settlement
of
a
transaction’s
cash
flows.
In
the
context
of
RWAs,
a
component
of
RWAs
that
represents
the
risk
of
loss
in
derivatives,
repurchase
agreements
and
similar
transactions
resulting
from
the
default
of
the
counterparty.
‘Coverage
ratio’
This
represents
the
percentage
of
impairment
allowance
reserve
against
the
gross
exposure.
Glossary
of
Terms
Barclays
Bank
PLC
51
‘Covered
bonds’
Debt
securities
backed
by
a
portfolio
of
mortgages
that
are
segregated
from
the
issuer’s
other
assets
solely
for
the
benefit
of
the
holders
of
the
covered
bonds.
‘Covid
Corporate
Finance
Facility
(CCFF)’:
Bank
of
England
(BOE)
scheme
to
support
liquidity
among
larger
investment
grade
firms
which
make
a
material
UK
contribution,
helping
to
bridge
coronavirus
disruption
to
their
cash
flows.
The
Bank
of
England
provides
liquidity
by
purchasing
short-term
debt
in
the
form
of
commercial
paper
from
corporates
.
Barclays
Bank
Group
acts
as
dealer.
‘CRD
IV’
The
Fourth
Capital
Requirements
Directive,
an
EU
Directive
and
an
accompanying
Regulation
(CRR)
that
together
prescribe
EU
capital
adequacy
and
liquidity
requirements
and
implements
Basel
3
in
the
European
Union.
‘CRD
V’
The
Fifth
Capital
Requirements
Directive,
comprising
an
EU
amending
Directive
and
an
accompanying
amending
Regulation
(CRR
II)
that
together
prescribe
EU
capital
adequacy
and
liquidity
requirements
and
implements
enhanced
Basel
3
proposals
in
the
European
Union.
‘Credit
conversion
factor
(CCF)’
Factor
used
to
estimate
the
risk
from
off
-balance
sheet
commitments
for
the
purpose
of
calculating
the
total
Exposure
at
Default
(EAD)
used
to
calculate
RWAs.
‘Credit
default
swaps
(CDS)’
A
contract
under
which
the
protection
seller
receives
premiums
or
interest
-related
payments
in
return
for
contracting
to
make
payments
to
the
protection
buyer
in
the
event
of
a
defined
credit
event.
Credit
events
normally
include
bankruptcy,
payment
defau
lt
on
a
reference
asset
or
assets,
or
downgrades
by
a
rating
agency.
‘Credit
derivatives
(CDs)’
An
arrangement
whereby
the
credit
risk
of
an
asset
(the
reference
asset)
is
transferred
from
the
buyer
to
the
seller
of
the
protection.
‘Credit
impairment
charges’
Also
known
as
‘credit
impairment’.
Impairment
charges
on
loans
and
advances
to
customers
and
banks
and
impairment
charges
on
fair
value
through
other
comprehensive
income
assets
and
reverse
repurchase
agreements.
‘Credit
market
exposures’
Assets
and
other
instruments
relating
to
commercial
real
estate
and
leveraged
finance
businesses
that
have
been
significantly
impacted
by
the
deterioration
in
the
global
credit
markets.
The
exposures
include
positions
subject
to
fair
value
movements
in
the
Income
Statement,
positions
that
are
classified
as
loans
and
advances
and
available
for
sale
and
other
assets.
‘Credit
quality
step’
In
the
context
of
the
Standardised
Approach
to
calculating
credit
risk
RWAs,
a
“credit
quality
assessment
scale”
maps
the
credit
assessments
of
a
recognised
credit
rating
agency
or
export
credit
agency
to
credit
quality
steps
that
determine
the
risk
weight
to
be
applied
to
an
exposure.
‘Credit
Rating’
An
evaluation
of
the
creditworthiness
of
an
entity
seeking
to
enter
into
a
credit
agreement.
‘Credit
risk’
The
risk
of
loss
to
Barclays
Bank
Group
from
the
failure
of
clients,
custo
mers
or
counterparties,
including
sovereigns,
to
fully
honour
their
obligations
to
Barclays
Bank
Group,
including
the
whole
and
timely
payment
of
principal,
interest,
collateral
and
other
receivables.
In
the
context
of
RWAs,
it
is
the
component
of
RWAs
that
represents
the
risk
of
loss
in
loans
and
advances
and
similar
transactions
resulting
from
the
default
of
the
counterparty.
‘Credit
risk
mitigation’
A
range
of
techniques
and
strategies
to
actively
mitigate
credit
risks
to
which
the
bank
is
exposed.
These
can
be
broadly
divided
into
three
types;
collateral,
netting
and
set-off,
and
risk
transfer.
‘Credit
spread’
The
premium
over
the
benchmark
or
risk-free
rate
required
by
the
market
to
accept
a
lower
credit
quality.
‘Credit
Valuation
Adjustment
(CVA)’
The
difference
between
the
risk-free
value
of
a
portfolio
of
trades
and
the
market
value
which
takes
into
account
the
counterparty’s
risk
of
default.
The
CVA
therefore
represents
an
estimate
of
the
adjustment
to
fair
value
that
a
market
participant
would
make
to
incorporate
the
credit
risk
of
the
counterparty
due
to
any
failure
to
perform
on
contractual
agreements.
‘CRR
leverage
exposure’
Is
calculated
in
accordance
with
article
429
as
per
the
CRR.
‘CRR
leverage
ratio’
Is
calculated
using
the
CRR
definition
of
Tier
1
capital
for
the
numerator
and
the
CRR
definition
of
leverage
exposure
as
the
denominator.
Glossary
of
Terms
Barclays
Bank
PLC
52
‘Customer
assets’
Represents
loans
and
advances
to
customers.
Average
balances
are
calculated
as
the
sum
of
all
daily
balances
for
the
year
to
date
divided
by
number
of
days
in
the
year
to
date.
‘Customer
deposits’
In
the
context
of
the
Liquidity
Risk
section,
money
deposited
by
all
individuals
and
companies
that
are
not
credit
institutions.
Such
funds
are
recorded
as
liabilities
in
the
Barclays
Bank
Group’s
balance
sheet
under
deposits
at
amortised
cost.
‘Customer
liabilities’
See
‘Customer
deposits’.
‘Daily
Value
at
Risk
(DVaR)’
An
estimate
of
the
potential
loss
which
might
arise
from
market
movements
under
normal
market
conditions,
if
the
current
positions
were
to
be
held
unchanged
for
one
business
day,
measured
to
a
specified
confidence
level.
‘DBRS’
A
credit
rating
agency.
‘Debit
Valuation
Adjustment
(DVA)’
The
opposite
of
Credit
Valuation
Adjustment
(CVA).
It
is
the
difference
between
the
risk-free
value
of
a
portfolio
of
trades
and
the
market
value
which
takes
into
account
the
Barclays
Bank
Group’s
risk
of
default.
The
DVA,
therefore,
represents
an
estimate
of
the
adjustment
to
fair
value
that
a
market
participant
would
make
to
incorporate
the
credit
risk
of
the
Barclays
Bank
Group
due
to
any
failure
to
perform
on
contractual
obligations.
The
DVA
decreases
the
value
of
a
liability
to
take
into
account
a
reduction
in
the
remaining
balance
that
would
be
settled
should
the
Barclays
Bank
Group
default
or
not
perform
any
contractual
obligations.
‘Debt
buybacks’
Purchases
of
the
Barclays
Bank
Group’s
issued
debt
securities,
including
equity
accounted
instruments,
leading
to
their
de-recognition
from
the
balance
sheet.
‘Debt
securities
in
issue’
Transferable
securities
evidencing
indebtedness
of
the
Barclays
Bank
Group.
These
are
liabilities
of
the
Barclays
Bank
Group
and
include
certificates
of
deposit
and
commercial
paper.
‘Default
grades’
Barclays
Bank
Group
classify
ranges
of
default
probabilities
into
a
set
of
21
intervals
called
default
grades,
in
order
to
distinguish
differences
in
the
probability
of
default
risk.
‘Default
fund
contributions’
The
amount
of
contribution
made
by
members
of
a
central
counterparty
(CCP).
All
members
are
required
to
contribute
to
this
fund
in
advance
of
using
a
CCP.
The
default
fund
can
be
used
by
the
CCP
to
cover
losses
incurred
by
the
CCP
where
losses
are
greater
than
the
margins
provided
by
that
member.
‘Derivatives
netting’
Adjustments
applied
across
asset
and
liability
mark-to
-market
derivative
positions
pursuant
to
legally
enforceable
bilateral
netting
agreements
and
eligible
cash
co
llateral
received
in
derivative
transactions
that
meet
the
requirements
of
BCBS
270.
‘Diversification
effect’
Reflects
the
fact
the
risk
of
a
diversified
portfolio
is
smaller
than
the
sum
of
the
risks
of
its
constituent
parts.
It
is
measured
as
the
sum
of
the
individual
asset
class
DVaR
estimates
less
the
total
DVaR.
‘Dodd-Frank
Act
(DFA)’
The
US
Dodd-Frank
Wall
Street
Reform
and
Consumer
Protection
Act
of
2010.
‘Economic
Value
of
Equity
(EVE)’
A
measure
of
the
potential
change
in
value
of
expected
future
cash
flows
due
to
an
adverse
interest
rate
movement,
based
on
existing
balance
sheet
run-off
profile.
'Effec
tive
Expected
Positive
Exposure
(EEPE)'
The
weighted
average
over
time
of
effective
expected
exposure.
The
weights
are
the
proportion
that
an
individual
exposure
represents
of
the
entire
exposure
horizon
time
interval.
‘Eligible
liabilities’
Liabilities
and
capital
instruments
that
are
eligible
to
meet
MREL
that
do
not
already
qualify
as
own
funds.
‘Encumbrance’
The
use
of
assets
to
secure
liabilities,
such
as
by
way
of
a
lien
or
charge.
‘Enterprise
Risk
Management
Framework
(ERMF)’
Barclays
Bank
Group
risk
management
responsibilities
are
laid
out
in
the
Enterprise
Risk
Management
Framework,
which
describes
how
Barclays
Bank
Group
identifies
and
manages
risk.
The
framework
identifies
the
principal
risks
faced
by
the
Barclays
Bank
Gro
up;
sets
out
risk
appetite
requirements;
sets
out
roles
and
responsibilities
for
risk
management;
and
sets
out
risk
committee
structure.
‘Equities’
Trading
businesses
encompassing
Cash
Equities,
Equity
Derivatives
&
Equity
Financing
Glossary
of
Terms
Barclays
Bank
PLC
53
‘Equity
and
stock
index
derivatives’
Derivatives
whose
value
is
derived
from
equity
securities.
This
category
includes
equity
and
stock
index
swaps
and
options
(including
warrants,
which
are
equity
options
listed
on
an
exchange).
The
Barclays
Bank
Group
also
enters
into
fund-linked
derivatives,
being
swaps
and
options
whose
underlyings
include
mutual
funds,
hedge
funds,
indices
and
multi-asset
portfolios.
An
equity
swap
is
an
agreement
between
two
parties
to
exchange
periodic
payments,
based
upon
a
notional
principal
amount,
with
one
side
paying
fixed
or
floating
interest
and
the
other
side
paying
based
on
the
actual
return
of
the
stock
or
stock
index.
An
equity
option
provides
the
buyer
with
the
right,
but
not
the
obligation,
either
to
purchase
or
sell
a
specified
stock,
basket
of
stocks
or
stock
index
at
a
specified
price
or
level
on
or
before
a
specified
date.
‘Equity
risk’
In
the
context
of
trading
book
capital
requirements,
the
risk
of
change
in
market
value
of
an
equity
investment.
‘Equity
structural
hedge’
An
interest
rate
hedge
in
place
to
reduce
earnings
volatility
of
the
overnight
/
short
term
equity
investment
and
to
smoothen
the
income
over
a
medium/long
term.
‘EU
Risk
Reduction
Measure
package’
A
collection
of
amending
Regulations
and
Directives
that
update
core
EU
regulatory
texts
and
which
came
into
force
on
27
June
2019.
‘Euro
Interbank
Offered
Rate
(EURIBOR)’
A
benchmark
interest
rate
at
which
banks
can
borrow
funds
from
other
banks
in
the
European
interbank
market.
‘Europe’
Geographic
segment
comprising
countries
in
which
Barclays
Bank
Group
operates
within
the
EU
(excluding
UK),
Northern
Continental
and
Eastern
Europe.
‘European
Banking
Authority
(EBA)’
The
European
Banking
Authority
(EBA)
is
an
independent
EU
Authority
which
works
to
ensure
effective
and
consistent
prudential
regulation
and
supervision
across
the
European
banking
sector.
Its
overall
objectives
are
to
maintain
financial
stability
in
the
EU
and
to
safeguard
the
integrity,
efficiency
and
orderly
functioning
of
the
banking
sector.
‘European
Securities
and
Markets
Authority
(ESMA)’
An
independent
European
Supervisory
Authority
with
the
remit
of
enhancing
the
protection
of
investors
and
reinforcing
stable
and
well-functioning
financial
markets
in
the
Euro
pean
Union.
‘Eurozone’
Represents
the
19
European
Union
countries
that
have
adopted
the
euro
as
their
common
currency.
The
19
countries
are
Austria,
Belgium,
Cyprus,
Estonia,
Finland,
France,
Germany,
Greece,
Ireland,
Italy,
Latvia,
Lithuania,
Luxembourg,
Malta,
Netherlands,
Portugal,
Slovakia,
Slovenia
and
Spain.
‘Expected
Credit
Losses
(ECL)’
A
present
value
measure
of
the
credit
losses
expected
to
result
from
default
events
that
may
occur
during
a
specified
period
of
time.
ECLs
must
reflect
the
present
value
of
cash
shortfalls,
and
must
reflect
the
unbiased
and
probability
weighted
assessment
of
a
range
of
outcomes.
‘Expected
Losses’
A
regulatory
measure
of
anticipated
losses
for
exposures
captured
under
an
internals
ratings
based
credit
risk
approach
for
capital
adequacy
calculations.
It
is
measured
as
the
Barclays
Bank
Group's
modelled
view
of
anticipated
losses
based
on
Probability
of
Default
(PD),
Loss
Given
Default
(LGD)
and
Exposure
at
Default
(EAD),
with
a
one-
year
time
horizon.
’Expert
lender
models’
Models
of
risk
measures
that
are
used
for
parts
of
the
portfolio
where
the
risk
drivers
are
specific
to
a
particular
counterparty,
but
where
there
is
insufficient
data
to
support
the
construction
of
a
statistical
model.
These
models
utilise
the
knowledge
of
credit
experts
that
have
in
depth
experience
of
the
specific
customer
type
being
modelled.
‘Exposure’
Generally
refers
to
positions
or
actions
taken
by
the
bank,
or
consequences
thereof,
that
may
put
a
certain
amount
of
a
bank’s
resource
s
at
risk.
‘Exposure
at
Default
(EAD)’
The
estimation
of
the
extent
to
which
Barclays
Bank
Group
may
be
exposed
to
a
customer
or
counterparty
in
the
event
of,
and
at
the
time
of,
that
counterparty’s
default.
At
default,
the
customer
may
not
have
drawn
the
loan
fully
or
may
already
have
repaid
some
of
the
principal,
so
that
exposure
may
be
less
than
the
approved
loan
limit.
‘External
Credit
Assessment
Institutions
(ECAI)’
Institutions
whose
credit
assessments
may
be
used
by
credit
institutions
for
the
determination
of
risk
weight
exposures
according
to
CRR.
‘Federal
Reserve
Board
(FRB)’
Is
the
governing
board
of
the
Federal
Reserve
System
of
the
US,
in
charge
of
making
the
country's
monetary
policy
.
'FICC'
Represents
Macro
(including
rates
and
currency),
Credit
and
Securitised
products.
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of
Terms
Barclays
Bank
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54
'Financial
Policy
Committee
(FPC)'
The
Bank
of
England’s
Financial
Policy
Committee
(FPC)
identifies,
monitors
and
takes
action
to
remove
or
reduce
systemic
risks
with
a
view
to
protecting
and
enhancing
the
resilience
of
the
UK
financial
system.
The
FPC
also
has
a
secondary
objective
to
support
the
economic
policy
of
the
UK
Government.
‘F-IRB’/
'Foundation-Internal
Ratings
Based’
See
‘Internal
Ratings
Based
(IRB)’.
‘Financial
Conduct
Authority
(FCA)’
The
statutory
body
responsible
for
conduct
of
business
regulation
and
supervision
of
UK
authorised
firms.
The
FCA
also
has
responsibility
for
the
prudential
regulation
of
firms
that
do
not
fall
within
the
PRA’s
scope.
‘Financial
Services
Compensation
Scheme
(FSCS)’
The
UK’s
fund
for
compensation
of
authorised
financial
services
firms
that
are
unable
to
pay
claims.
‘Financial
collateral
comprehensive
method
(FCCM)’
A
counterparty
credit
risk
exposure
calculation
approach
which
applies
volatility
adjustments
to
the
market
value
of
exposure
and
collateral
when
calculating
RWA
values.
‘Financial
Stability
Board
(FSB)’
An
international
body
that
monitors
and
makes
recommendations
about
the
global
financial
system.
It
promotes
international
financial
stability
by
coordinating
national
financial
authorities
and
international
standard
-
setting
bodies
as
they
work
toward
developing
strong
regulatory,
supervisory
and
other
financial
sector
policies.
It
fosters
a
level
playing
field
by
encouraging
coherent
implementation
of
these
policies
across
sectors
and
jurisdictions.
‘Fitch’
A
credit
rating
agency.
‘Forbearance
Programmes’
Forbearance
programmes
to
assist
customers
in
financial
difficulty
through
agreements
to
accept
less
than
contractual
amounts
due
where
financial
distress
would
otherwise
prevent
satisfactory
repayment
within
the
original
terms
and
conditions
of
the
contract.
These
agreements
may
be
initiated
by
the
customer,
Barclays
Bank
Group
or
a
third
party
and
include
approved
debt
counselling
plans,
minimum
due
reductions,
interest
rate
concessions
and
switches
from
capital
and
interest
repayments
to
interest
-only
payments.
‘Foreclosures
in
Progress’
The
process
by
which
the
bank
initiates
legal
action
against
a
customer
with
the
intention
of
terminating
a
loan
agreement
whereby
the
bank
may
repossess
the
property
subject
to
local
law
and
recover
amounts
it
is
owed.
‘Foreign
exchange
derivatives’
The
Barclays
Bank
Group’s
principal
exchange
rate
-
related
contracts
are
forward
foreign
exchange
co
ntracts,
currency
swaps
and
currency
options.
Forward
foreign
exchange
contracts
are
agreements
to
buy
or
sell
a
specified
quantity
of
foreign
currency,
usually
on
a
specified
future
date
at
an
agreed
rate.
Currency
swaps
generally
involves
the
exchange,
or
notional
exchange,
of
equivalent
amounts
of
two
currencies
and
a
commitment
to
exchange
interest
periodically
until
the
principal
amounts
are
re
-exchanged
on
a
future
date.
Currency
options
provide
the
buyer
with
the
right,
but
not
the
obligation,
either
to
purchase
or
sell
a
fixed
amount
of
a
currency
at
a
specified
exchange
rate
on
or
before
a
future
date.
As
compensation
for
assuming
the
option
risk,
the
option
writer
generally
receives
a
premium
at
the
start
of
the
option
period.
‘Foreign
exchange
risk’
In
the
context
of
DVaR,
the
impact
of
changes
in
foreign
exchange
rates
and
volatilities.
‘Full
time
equivalent’
Full
time
equivalent
units
are
the
on-job
hours
paid
for
employee
services
divided
by
the
number
of
ordinary-
time
hours
normally
paid
for
a
full-time
staff
member
when
on
the
job
(or
contract
employees
where
applicable).
‘Fully
loaded’
When
a
measure
is
presented
or
described
as
being
on
a
fully
loaded
basis,
it
is
calculated
without
applying
the
transitional
provisions
set
out
in
Part
Ten
of
CRR.
‘Funded
credit
protection’
Is
a
technique
of
credit
risk
mitigation
where
the
reduction
of
the
credit
risk
on
the
exposure
of
an
institution
derives
from
the
right
of
that
institution,
in
the
event
of
the
default
of
the
counterparty
or
on
the
occurrence
of
other
specified
credit
events
relating
to
the
counterparty,
to
liquidate,
or
to
obtain
transfer
or
appropriation
of,
or
to
retain
certain
assets
or
amounts,
or
to
reduce
the
amount
of
the
exposure
to,
or
to
replace
it
with,
the
amount
of
the
difference
between
the
amount
of
the
exposure
and
the
amount
of
a
claim
on
the
institution.
‘Gains
on
acquisitions’
The
amount
by
which
the
acquirer’s
interest
in
the
net
fair
val
ue
of
the
identifiable
assets,
liabilities
and
contingent
liabilities,
recognised
in
a
business
combination,
exceeds
the
cost
of
the
combination.
‘General
Data
Protection
Regulation
(GDPR)’
GDPR
(Regulation
(EU)
2016/679)
is
a
regulation
by
which
the
Euro
pean
Parliament,
the
Council
of
the
European
Union
and
the
European
Commission
intend
to
strengthen
and
unify
data
protection
for
all
individuals
within
the
European
Union.
Glossary
of
Terms
Barclays
Bank
PLC
55
‘General
market
risk’
The
risk
of
a
price
change
in
a
financial
instrument
due
to
a
change
in
level
of
interest
rates
or
owing
to
a
broad
equity
market
movement
unrelated
to
any
specific
attributes
of
individual
securities.
‘Global
-Systemically
Important
Banks
(G-SIBs
or
G-SIIs)’
Global
financial
institutions
whose
size,
complexity
and
systemic
interconnectedness,
mean
that
their
distress
or
failure
would
cause
significant
disruption
to
the
wider
financial
system
and
economic
activity.
The
Financial
Stability
Board
and
the
Basel
Committee
on
Banking
Supervision
publish
a
list
of
globally
systemically
important
banks.
‘G
-SII
additional
leverage
ratio
buffer
(G-SII
ALRB)’
A
macroprudential
buffer
that
applies
to
globally
systemically
important
banks
(G-SIBs)
and
other
major
domestic
UK
banks
and
building
societies,
including
banks
that
are
subject
to
ring-fencing
requirements.
The
G-SII
ALRB
will
be
calibrated
as
35%
(on
a
phased
basis)
of
the
combined
systemic
risk
buffers
that
applies
to
the
bank.
‘GSII
Buffer’
Common
Equity
Tier
1
capital
required
to
be
held
under
CRD
to
ensure
that
G-
SIBs
build
up
surplus
capital
to
compensate
for
the
systemic
risk
that
such
institutions
represent
to
the
financial
system.
’Grandfathering’
In
the
context
of
capital
resources,
the
phasing
in
of
the
application
of
instrument
eligibility
rules
which
allows
CRR
and
CRR
II
non-compliant
capital
instruments
to
be
included
in
regulatory
capital
subject
to
certain
thresholds
which
decrease
over
the
transitional
period.
‘Gross
charge-off
rates’
Represent
s
the
balances
charged
-off
to
recoveries
in
the
reporting
period,
expressed
as
a
percentage
of
average
outstanding
balances
excluding
balances
in
recoveries.
Charge-off
to
recoveries
generally
occurs
when
the
collections
focus
switches
from
the
collection
of
arrears
to
the
recovery
of
the
entire
outstanding
balance,
and
represents
a
fundamental
change
in
the
relationship
between
the
bank
and
the
customer.
This
is
a
measure
of
the
proportion
of
customers
that
have
gone
into
default
during
the
period.
‘Gros
s
write-off
rates’
Expressed
as
a
percentage
and
represents
balances
written
off
in
the
reporting
period
divided
by
gross
loans
and
advances
held
at
amortised
cost
at
the
balance
sheet
date.
‘Gross
new
lending’
New
lending
advanced
to
customers
during
the
period.
‘Guarantee’
Unless
otherwise
described,
an
undertaking
by
a
third
party
to
pay
a
creditor
should
a
debtor
fail
to
do
so.
It
is
a
form
of
credit
substitution.
‘Head
Office’
A
division
comprising
Brand
and
Marketing,
Finance,
Head
Office,
Human
Res
ources,
Internal
Audit,
Legal,
Compliance,
Risk,
Treasury
and
Tax
and
other
operations.
‘High-Net-Worth’
Businesses
that
provide
banking
and
other
services
to
high
net
worth
customers.
‘High
Risk’
In
retail
banking,
‘High
Risk’
is
defined
as
the
subset
of
up-to
-date
customers
who,
either
through
an
event
or
observed
behaviour
exhibit
potential
financial
difficulty.
Where
appropriate,
these
customers
are
proactively
contacted
to
assess
whether
assistance
is
required.
‘Home
loan’
A
loan
to
purchase
a
residential
property.
The
property
is
then
used
as
collateral
to
guarantee
repayment
of
the
loan.
The
borrower
gives
the
lender
a
lien
against
the
property
and
the
lender
can
foreclose
on
the
property
if
the
borrower
does
not
repay
the
loan
per
the
agreed
terms.
Also
known
as
a
residential
mortgage.
‘IHC’
or
‘US
IHC’
Barclays
US
LLC,
the
intermediate
holding
company
established
by
Barclays
Bank
Group
in
July
2016,
which
holds
most
of
Barclays
Bank’
subsidiaries
and
assets
in
the
US.
‘IMA’
/
'Internal
Model
Approach’
In
the
context
of
RWAs,
RWAs
for
which
the
exposure
amount
has
been
derived
via
the
use
of
a
PRA
approved
internal
market
risk
model.
‘IMM’
/
'Internal
Model
Method’
In
the
context
of
RWAs,
RWAs
for
which
the
exposure
amount
has
been
derived
via
the
use
of
a
PRA
approved
internal
counterparty
credit
risk
model.
‘Identified
Impairment
(II)’
Specific
impairment
allowances
for
financial
assets,
individually
estimated.
‘IFRS
9
transitional
arrangements’
Following
the
application
of
IFRS
9
as
of
1
January
2018,
Article
473a
of
CRR
permits
institutions
to
phase-in
the
impact
on
capital
and
leverage
ratios
of
the
impairment
requirements
under
the
new
accounting
standard.
Glossary
of
Terms
Barclays
Bank
PLC
56
‘Impairment
Allowances’
A
provision
held
on
the
balance
sheet
as
a
result
of
the
raising
of
a
charge
against
profit
for
expected
losses
in
the
lending
book.
An
impairment
allowance
may
either
be
identified
or
unidentified
and
individual
or
collective.
‘Income’
Total
income,
unless
otherwise
specified.
‘Incremental
Risk
Charge
(IRC)’
An
estimate
of
the
incremental
risk
arising
from
rating
migrations
and
defaults
for
traded
debt
instruments
beyond
what
is
already
captured
in
specific
market
risk
VaR
for
the
non-correlation
trading
portfolio.
‘Independent
Validation
Unit
(IVU)’
The
function
within
the
bank
responsible
for
independent
review,
challenge
and
approval
of
all
models.
‘Individual
liquidity
guidance
(ILG)’
Guidance
given
to
a
bank
about
the
amount,
quality
and
funding
profile
of
liquidity
resources
that
the
PRA
has
asked
the
bank
to
maintain.
‘Inflation
risk’
In
the
context
of
DVaR,
the
impact
of
changes
in
inflation
rates
and
volatilities
on
cash
instruments
and
derivatives.
‘Insurance
Risk’
The
risk
of
the
Barclays
Bank
Group’s
aggregate
insurance
premiums
received
from
policyholders
under
a
portfolio
of
insurance
contracts
being
inadequate
to
cover
the
claims
arising
from
those
policies.
‘Interchange’
Income
paid
to
a
credit
card
issuer
for
the
clearing
and
settlement
of
a
sale
or
cash
advance
transaction.
‘Interest
-only
home
loans’
Under
the
terms
of
these
loans,
the
customer
makes
payments
of
interest
only
for
the
entire
term
of
the
mortgage,
although
customers
may
make
early
repayments
of
the
principal
within
the
terms
of
their
agreement.
The
customer
is
responsible
for
repaying
the
entire
outstanding
principal
on
maturity,
which
may
require
the
sale
of
the
mortgaged
property.
‘Interest
rate
derivatives’
Derivatives
linked
to
interest
rates.
This
category
includes
interest
rate
swaps,
collars,
floors
options
and
swaptions.
An
interest
rate
swap
is
an
agreement
between
two
parties
to
exchange
fixed
rate
and
floating
rate
interest
by
means
of
periodic
payments
based
upon
a
notional
principal
amount
and
the
intere
st
rates
defined
in
the
contract.
Certain
agreements
combine
interest
rate
and
foreign
currency
swap
transactions,
which
may
or
may
not
include
the
exchange
of
principal
amounts.
A
basis
swap
is
a
form
of
interest
rate
swap,
in
which
both
parties
exchange
interest
payments
based
on
floating
rates,
where
the
floating
rates
are
based
upon
different
underlying
reference
indices.
In
a
forward
rate
agreement,
two
parties
agree
a
future
settlement
of
the
difference
between
an
agreed
rate
and
a
future
interest
rat
e,
applied
to
a
notional
principal
amount.
The
settlement,
which
generally
occurs
at
the
start
of
the
contract
period,
is
the
discounted
present
value
of
the
payment
that
would
otherwise
be
made
at
the
end
of
that
period.
‘Interest
rate
risk’
The
risk
of
interest
rate
volatility
adversely
impacting
the
Barclays
Bank
Group’s
net
interest
margin.
In
the
context
of
the
calculation
of
market
risk
DVaR,
measures
the
impact
of
changes
in
interest
(swap)
rates
and
volatilities
on
cash
instruments
and
derivatives.
‘Interest
rate
risk
in
the
banking
book
(IRRBB)’
The
risk
that
the
Barclays
Bank
Group
is
exposed
to
capital
or
income
volatility
because
of
a
mismatch
between
the
interest
rate
exposures
of
its
(non-traded)
assets
and
liabilities.
‘Internal
Assessment
Approach
(IAA)’
One
of
three
types
of
calculation
that
a
bank
with
permission
to
use
the
Internal
Ratings
Based
(IRB)
approach
may
apply
to
securitisation
exposures.
It
consists
of
mapping
a
bank's
internal
rating
methodology
for
credi
t
exposures
to
those
of
an
External
Credit
Assessment
Institution
(ECAI)
to
determine
the
appropriate
risk
weight
based
on
the
ratings
based
approach.
Its
applicability
is
limited
to
ABCP
programmes
related
to
liquidity
facilities
and
credit
enhancement.
‘Internal
Capital
Adequacy
Assessment
Process
(ICAAP)’
Companies
are
required
to
perform
a
formal
Internal
Capital
Adequacy
Assessment
Process
(ICAAP)
as
part
of
the
Pillar
2
requirements
(BIPRU)
and
to
provide
this
document
to
the
PRA
on
a
yearly
basis.
The
ICAAP
document
summarises
the
Barclays
Bank
Group’s
risk
management
framework,
including
approach
to
managing
all
risks
(i.e.
Pillar
1
and
non-Pillar
1
risks);
and,
the
Barclays
Bank
Group’s
risk
appetite,
economic
capital
and
stress
testing
frameworks.
‘Internal
Ratings
Based
(IRB)’
An
approach
under
the
CRR
framework
that
relies
on
the
bank’s
internal
models
to
derive
the
risk
weights.
The
IRB
approach
is
divided
into
two
alternative
applications,
Advanced
and
Foundation:
–
Advanced
IRB
(A-IRB):
the
bank
uses
its
own
estimates
of
probability
of
default
(PD),
loss
given
default
(LGD)
and
credit
conversion
factor
to
model
a
given
risk
exposure.
–
Foundation
IRB:
the
bank
applies
its
own
PD
as
for
Advanced,
but
it
uses
standard
parameters
for
the
LGD
and
the
credit
conversion
factor.
The
Foundation
IRB
approach
is
specifically
designed
for
wholesale
credit
exposures.
Hence
retail,
equity,
securitisation
positions
and
non-credit
obligations
asset
exposures
are
treated
under
standardised
or
A-IRB.
Glossary
of
Terms
Barclays
Bank
PLC
57
‘Investme
nt
Bank’
The
Barclays
Bank
Group’s
investment
bank
which
consists
of
origination
led
and
returns
focused
markets
and
banking
business
which
forms
part
of
the
Corporate
and
Investment
Bank
segment.
‘Investment
Banking
Fees’
In
the
context
of
Investment
Bank
Analysis
of
Total
Income,
fees
generated
from
origination
activity
businesses
–
including
financial
advisory,
debt
and
equity
underwriting.
‘Investment
grade’
A
debt
security,
treasury
bill
or
similar
instrument
with
a
credit
rating
of
AAA
to
BBB
as
measured
by
external
credit
rating
agencies.
‘ISDA
Master
Agreement’
The
most
commonly
used
master
contract
for
OTC
derivative
transactions
internationally.
It
is
part
of
a
framework
of
documents,
designed
to
enable
OTC
derivatives
to
be
documented
fully
and
flexibly.
The
framework
consists
of
a
master
agreement,
a
schedule,
confirmations,
definition
booklets,
and
a
credit
support
annex.
The
ISDA
master
agreement
is
published
by
the
International
Swaps
and
Derivatives
Association
(ISDA).
‘Key
Risk
Scenarios
(KRS)’
Key
Risk
Scenarios
are
a
summary
of
the
extreme
potential
risk
exposure
for
each
Key
Risk
in
each
business
and
function,
including
an
assessment
of
the
potential
frequency
of
risk
events,
the
average
size
of
losses
and
three
extreme
scenarios.
The
Key
Risk
Scenario
assessments
are
a
key
input
to
the
Advanced
Measurement
Approach
calculation
of
regulatory
and
economic
capital
requirements.
‘Large
exposure’
A
large
exposure
is
defined
as
the
total
exposure
of
a
bank
to
a
counterparty
or
group
of
connected
clients,
whether
in
the
banking
book
or
trading
book
or
both,
which
in
aggregate
equals
or
exceeds
10%
of
the
bank's
eligible
capital.
‘Legal
risk’
The
risk
of
loss
or
imposition
of
penalties,
damages
or
fines
from
the
failure
of
the
Barclays
Bank
Group
to
meet
its
legal
obligations
including
regulatory
or
contractual
requirements.
‘Lending’
In
the
context
of
Investment
Bank
Analysis
of
Total
Income,
lending
income
includes
net
interest
income,
gains
or
losses
on
loan
sale
activity,
and
risk
management
activity
relating
to
the
loan
portfolio.
‘Letters
of
credit’
A
letter
typically
used
for
the
purposes
of
international
trade
guaranteeing
that
a
debtor’s
payment
to
a
creditor
will
be
made
on
time
and
in
full.
In
the
event
that
the
debtor
is
unable
to
make
payment,
the
bank
will
be
required
to
cover
the
full
or
remaining
amount
of
the
purchase.
‘Level
1
assets’
High
quality
liquid
assets
under
the
Basel
Committee’s
Liquidity
Coverage
Ratio
(LCR),
including
cash,
central
bank
reserves
and
higher
quality
government
securities.
‘Level
2
assets’
Under
the
Basel
Committee’s
Liquidity
Coverage
Ratio
high
quality
liquid
assets
(HQLA)
are
comprised
of
Level
1
and
Level
2
assets,
with
the
latter
comprised
of
Level
2A
and
Level
2B
assets.
Level
2A
assets
include,
for
example,
lower
quality
government
securities,
covered
bonds
and
corporate
debt
securities.
Level
2B
assets
include,
for
example,
lower
rated
corporate
bonds,
residential
mortgage
backed
securities
and
equities
that
meet
certain
conditions.
‘Lifetime
expected
credit
losses’
An
assessment
of
expected
losses
associated
with
default
events
that
may
occur
during
the
life
of
an
exposure,
reflecting
the
present
value
of
cash
shortfalls
over
the
remaining
expected
life
of
the
asset.
‘Lifetime
Probability’
The
likelihood
of
accounts
entering
default
during
the
expected
remaining
life
of
the
asset.
‘Liquidity
Coverage
Ratio
(LCR)’
The
ratio
of
the
stock
of
high
quality
liquid
assets
to
expected
net
cash
outflows
over
the
next
30
days.
High-
quality
liquid
assets
should
be
unencumbered,
liquid
in
markets
during
a
time
of
stress
and,
ideally,
be
central
bank
eligible.
These
include,
for
example,
cash
and
claims
on
central
governments
and
central
banks.
‘Liquidity
Pool’
The
Barclays
Bank
Group
liquidity
pool
comprises
cash
at
central
banks
and
highly
liquid
collateral
specifically
held
by
the
Barclays
Bank
Group
as
a
contingenc
y
to
enable
the
bank
to
meet
cash
outflows
in
the
event
of
stressed
market
conditions.
‘Liquidity
Risk’
The
risk
that
the
Barclays
Bank
Group
is
unable
to
meet
its
contractual
or
contingent
obligations
or
that
is
does
not
have
the
appropriate
amount,
tenor
and
composition
of
funding
and
liquidity
to
support
its
assets.
‘Liquidity
risk
appetite
(LRA)’
The
level
of
liquidity
risk
that
the
Barclays
Bank
Group
chooses
to
take
in
pursuit
of
its
business
objectives
and
in
meeting
its
regulatory
obligations.
Glossary
of
Terms
Barclays
Bank
PLC
58
‘Liquidity
Risk
Management
Framework
(the
Liquidity
Framework)’
The
Liquidity
Risk
Management
Framework
(the
Liquidity
Framework),
which
is
sanctioned
by
the
Board
Risk
Committee
(BRC)
and
which
incorporates
liquidity
policies,
systems
and
controls
that
the
Barclays
Bank
Group
has
implemented
to
manage
liquidity
risk
within
tolerances
approved
by
the
Board
and
re
gulatory
agencies.
‘Litigation
and
conduct
charges’
or
‘Litigation
and
conduct’
Litigation
and
conduct
charges
include
regulatory
fines,
litigation
settlements
and
conduct
related
customer
redress.
‘Loan
loss
rate’
Quoted
in
basis
points
and
represents
total
annualised
impairment
charges
divided
by
gross
loans
and
advances
held
at
amortised
cost
at
the
balance
sheet
date.
‘Loan
to
deposit
ratio’
Loans
and
advances
at
amortised
costs
divided
by
deposits
at
amortised
cost.
‘Loan
to
value
(LTV)
ratio’
Expresses
the
amount
borrowed
against
an
asset
(i.e.
a
mortgage)
as
a
percentage
of
the
appraised
value
of
the
asset.
The
ratios
are
used
in
determining
the
appropriate
level
of
risk
for
the
loan
and
are
generally
reported
as
an
average
for
new
mortgages
or
an
entire
portfolio.
Also
see
‘Marked
to
market
(MTM)
LTV
ratio.’
‘London
Interbank
Offered
Rate
(LIBOR)’
A
benchmark
interest
rate
at
which
banks
can
borrow
funds
from
other
banks
in
the
London
interbank
market.
‘Loss
Given
Default
(LGD)’
The
percentage
of
Exposure
at
Default
(EAD)
(defined
above)
that
will
not
be
recovered
following
default.
LGD
comprises
the
actual
loss
(the
part
that
is
not
expected
to
be
recovered),
together
with
the
economic
costs
associated
with
the
recovery
process.
‘Management
VaR’
A
measure
of
the
potential
loss
of
value
arising
from
unfavourable
market
movements
at
a
specific
confidence
level,
if
current
positions
were
to
be
held
unchanged
for
predefined
period.
Corporate
and
Investment
Bank
uses
Management
VaR
with
a
two
-year
equally
weighted
historical
period,
at
a
95%
confidence
level,
with
a
one
day
holding
period.
‘Mandatory
break
clause’
In
the
context
of
counterparty
credit
risk,
a
contract
clause
that
means
a
trade
will
be
ended
on
a
particular
date.
‘Marked
to
market
approach’
A
counterparty
credit
risk
exposure
calculation
approach
which
uses
the
current
mark
to
market
value
of
derivative
positions
as
well
as
a
potential
future
exposure
add-on
to
calculate
an
exposure
to
which
a
risk
weight
can
be
applied.
This
is
also
known
as
the
Current
Exposure
Method.
‘Marked
to
market
(MTM)
LTV
ratio’
The
loan
amount
as
a
percentage
of
the
current
value
of
the
asset
used
to
secure
the
loan.
Also
see
‘Balance
weighted
Loan
to
Value
(LTV)
ratio’
and
‘Valuation
weighte
d
Loan
to
Value
(LTV)
ratio.’
‘Market
risk’
The
risk
of
loss
arising
from
potential
adverse
changes
in
the
value
of
the
Barclays
Bank
Group’s
assets
and
liabilities
from
fluctuation
in
market
variables
including,
but
not
limited
to,
interest
rates,
foreign
exchange,
equity
prices,
commodity
prices,
credit
spreads,
implied
volatilities
and
asset
correlations.
‘Master
netting
agreements’
An
agreement
that
provides
for
a
single
net
settlement
of
all
financial
instruments
and
collateral
covered
by
the
agreemen
t
in
the
event
of
the
counterparty’s
default
or
bankruptcy
or
insolvency,
resulting
in
a
reduced
exposure.
‘Master
trust
securitisation
programmes’
A
securitisation
structure
where
a
trust
is
set
up
for
the
purpose
of
acquiring
a
pool
of
receivables.
The
trust
issues
multiple
series
of
securities
backed
by
these
receivables.
‘Material
Risk
Takers
(MRTs)’
Categories
of
staff
whose
professional
activities
have
or
are
deemed
to
have
a
material
impact
on
Barclays
Bank
Group’
risk
profile,
as
determined
in
accor
dance
with
the
European
Banking
Authority
regulatory
technical
standard
on
the
identification
of
such
staff.
‘Maximum
Distributable
Amount
(MDA)’
The
MDA
is
a
factor
representing
the
available
distributable
profit
whilst
remaining
in
excess
of
its
combined
buffer
requirement.
CRD
IV
places
restrictions
on
a
bank’s
dividend
decisions
depending
on
its
proximity
to
meeting
the
buffer.
Glossary
of
Terms
Barclays
Bank
PLC
59
‘Medium-Term
Notes’
Corporate
notes
(or
debt
securities)
continuously
offered
by
a
company
to
investors
through
a
dealer.
Investors
can
choose
from
differing
maturities,
ranging
from
nine
months
to
30
years.
They
can
be
issued
on
a
fixed
or
floating
coupon
basis
or
with
an
exotic
coupon;
with
a
fixed
maturity
date
(non-callable)
or
with
embedded
call
or
put
options
or
early
repayment
triggers.
MTNs
are
most
generally
issued
as
senior,
unsecured
debt.
‘Methodology
and
policy’
In
the
context
of
the
Capital
Risk
section,
the
effect
on
RWAs
of
methodology
changes
driven
by
regulatory
policy
changes.
‘MiFID
II’
The
Markets
in
Financial
Instruments
Directive
2004/39/EC
(known
as
"MiFID"
I)
as
subsequently
amended
to
MiFID
II
is
a
European
Union
law
that
provides
harmonised
regulation
for
investment
services
across
the
31
member
states
of
the
European
Economic
Area.
‘Minimum
requirement
for
own
funds
and
eligible
liabilities
(MREL)’
A
European
Union
wide
requirement
under
the
Bank
Recovery
and
Resolution
Directive
for
all
European
banks
and
investment
banks
to
hold
a
minimum
level
of
equity
and/or
loss
absorbing
eligible
liabilities
to
ensure
the
operation
of
the
bail-in
tool
to
absorb
losses
and
recapitalise
an
institution
in
resolution.
An
institution’s
MREL
requirement
is
set
by
its
resolution
authority.
Amendments
in
the
EU
Risk
Reduction
Measure
package
are
designed
to
align
MREL
and
TLAC
for
EU
G-SIBs.
‘Model
risk’
The
risk
of
the
potential
adverse
consequences
from
financial
assessments
or
decisions
based
on
incorrect
or
misused
model
outputs
and
reports.
‘Model
updates’
In
the
context
of
the
Capital
Risk
section,
changes
in
RWAs
caused
by
model
implementation,
changes
in
model
scope
or
any
changes
required
to
address
model
malfunctions.
‘Model
validation’
Process
through
which
models
are
independently
challenged,
tested
and
verified
to
prove
that
they
hav
e
been
built,
implemented
and
used
correctly,
and
that
they
continue
to
be
fit-for
-purpose.
‘Modelled—VaR’
In
the
context
of
RWAs,
Market
risk
calculated
using
value
at
risk
models
laid
down
by
the
CRR
and
supervised
by
the
PRA.
‘Money
market
funds’
Investment
funds
typically
invested
in
short-term
debt
securities.
‘Monoline
derivatives’
Derivatives
with
a
monoline
insurer
such
as
credit
default
swaps
referencing
the
underlying
exposures
held.
‘Moody’s’
A
credit
rating
agency.
‘Mortgage
Servicing
Rights
(MSR)’
A
contractual
agreement
in
which
the
right
to
service
an
existing
mortgage
is
sold
by
the
original
lender
to
another
party
that
specialises
in
the
various
functions
involved
with
servicing
mortgages.
‘Multilateral
development
banks’
Financial
institutions
created
for
the
purposes
of
development,
where
membership
transcends
national
boundaries.
‘National
discretion’
Discretions
in
CRD
given
to
member
states
to
allow
the
local
regulator
additional
powers
in
the
application
of
certain
CRD
rules
in
its
jurisdiction.
‘Net
asset
value
per
share’
Calculated
by
dividing
shareholders’
equity,
excluding
non-controlling
interests
and
other
equity
instruments,
by
the
number
of
issued
ordinary
shares.
‘Net
interest
income
(NII)’
The
difference
between
interest
income
on
assets
and
interest
expense
on
liabilities.
‘Net
interest
margin
(NIM)’
Annualised
net
interest
income
divided
by
the
sum
of
average
customer
assets.
‘Net
investment
income’
Changes
in
the
fair
value
of
financial
instruments
designated
at
fair
value,
dividend
income
and
the
net
result
on
disposal
of
available
for
sale
assets.
Glossary
of
Terms
Barclays
Bank
PLC
60
‘Net
Stable
Funding
Ratio
(NSFR)’
The
ratio
of
available
stable
funding
to
required
stable
funding
over
a
one
year
time
horizon,
assuming
a
stressed
scenario.
The
ratio
is
required
to
be
over
100%.
Available
stable
funding
would
include
such
items
as
equity
capital,
preferred
stock
with
a
maturity
of
over
1
year,
or
liabilities
with
a
maturity
of
over
1
year.
The
required
amount
of
stable
funding
is
calculated
as
the
sum
of
the
value
of
the
assets
held
and
funded
by
the
institution,
multiplied
by
a
specific
required
stable
funding
(RSF)
fa
ctor
assigned
to
each
particular
asset
type,
added
to
the
amount
of
potential
liquidity
exposure
multiplied
by
its
associated
RSF
factor.
‘Net
trading
income’
Gains
and
losses
arising
from
trading
positions
which
are
held
at
fair
value,
in
respect
of
both
market
-making
and
customer
business,
together
with
interest,
dividends
and
funding
costs
relating
to
trading
activities.
‘Net
write-off
rate’
Expressed
as
a
percentage
and
represents
balances
written
off
in
the
reporting
period
less
any
post
write-off
rec
overies
divided
by
gross
loans
and
advances
held
at
amortised
cost
at
the
balance
sheet
date.
‘Net
written
credit
protection’
In
the
context
of
leverage
exposure,
the
net
notional
value
of
credit
derivatives
protection
sold
and
credit
derivatives
protectio
n
bought.
‘New
bookings’
The
total
of
the
original
balance
on
accounts
opened
in
the
reporting
period,
including
any
applicable
fees
and
charges
included
in
the
loan
amount.
‘Non-asset
backed
debt
instruments’
Debt
instruments
not
backed
by
collateral,
including
government
bonds;
US
agency
bonds;
corporate
bonds;
commercial
paper;
certificates
of
deposit;
convertible
bonds;
corporate
bonds
and
issued
notes.
‘Non-model
method
(NMM)’
In
the
context
of
RWAs,
Counterparty
credit
risk,
RWAs
where
the
exposure
amount
has
been
derived
through
the
use
of
CRR
norms,
as
opposed
to
an
internal
model.
‘Non-Traded
Market
Risk’
The
risk
that
the
current
or
future
exposure
in
the
banking
book
(i.e.
non-traded
book)
will
impact
bank's
capital
and/or
earnings
due
to
adverse
movements
in
Interest
or
foreign
exchange
rates.
‘Non-Traded
VaR’
Reflects
the
volatility
in
the
value
of
the
fair
value
through
other
comprehensive
income
(FVOCI)
investments
in
the
liquidity
pool
which
flow
directly
through
capital
via
the
FVOCI
reserve.
The
underlying
methodology
to
calculate
non-traded
VaR
is
similar
to
Traded
Management
VaR,
but
the
two
measures
are
not
directly
comparable.
The
Non-Traded
VaR
represents
the
volatility
to
capital
driven
by
the
FVOCI
exposures.
These
exposures
are
in
the
banking
book
and
do
not
meet
the
criteria
for
trading
book
treatment.
‘Notch’
A
single
unit
of
measurement
in
a
credit
rating
scale.
‘Notional
amount’
The
nominal
or
face
amount
of
a
financial
instrument,
such
as
a
loan
or
a
derivative,
that
is
used
to
calculate
payments
made
on
that
instrument.
‘Open
Banking’
The
Payment
Services
Directive
(PSD2)
and
the
Open
API
standards
and
data
sharing
remedy
imposed
by
the
UK
Competition
and
Markets
Authority
following
its
Retail
Banking
Market
Investigation
Order.
‘Operating
leverage’
Operating
expenses
compared
to
total
income
less
credit
impairment
charges
and
other
provisions.
‘Operational
risk’
The
risk
of
loss
to
the
bank
from
inadequate
or
fai
led
processes
or
systems,
human
factors
or
due
to
external
events
(for
example,
fraud)
where
the
root
cause
is
not
due
to
credit
or
market
risks.
‘Operational
Riskdata
eXchange
(ORX)’
The
Operational
Riskdata
eXchange
Association
(ORX)
is
a
not
-for
-profit
industry
association
dedicated
to
advancing
the
measurement
and
management
of
operational
risk
in
the
global
financial
services
industry.
Barclays
Bank
is
a
member
of
ORX.
‘Origination
led’
Focus
on
high
margin,
low
capital
fee
based
activities
and
related
hedging
opportunities.
‘OSII’
Other
systemically
important
institutions
are
institutions
that
are
deemed
to
create
risk
to
financial
stability
due
to
their
systemic
importance.
‘Over
-the-counter
(OTC)
derivatives’
Derivative
contracts
that
are
traded
(and
privately
negotiated)
directly
between
two
parties.
They
offer
flexibility
because,
unlike
standardised
exchange
-traded
products,
they
can
be
tailored
to
fit
specific
needs.
Glossary
of
Terms
Barclays
Bank
PLC
61
‘Ov
erall
capital
requirement’
The
overall
capital
requirement
is
the
sum
of
capital
required
to
meet
the
total
of
a
Pillar
1
requirement,
a
Pillar
2A
requirement,
a
Global
Systemically
Important
Institution
(G-
SII)
buffer,
a
Capital
Conservation
Buffer
(CCB)
and
a
Countercyclical
Capital
Buffer
(CCyB).
‘Own
credit’
The
effect
of
changes
in
the
Barclays
Bank
Group’s
own
credit
standing
on
the
fair
value
of
financial
liabilities.
‘Owner
occupied
mortgage’
A
mortgage
where
the
intention
of
the
customer
was
to
occupy
the
property
at
origination.
‘Own
funds’
The
sum
of
Tier
1
and
Tier
2
capital.
‘Past
due
items’
Refers
to
loans
where
the
borrower
has
failed
to
make
a
payment
when
due
under
the
terms
of
the
loan
contract.
‘Payment
Protection
Insurance
(PPI)
redress’
Provision
for
the
settlement
of
PPI
miss-selling
claims
and
related
claims
management
costs.
‘Pension
Risk’
The
risk
of
the
Barclays
Bank
Group’s
earnings
and
capital
being
adversely
impacted
by
the
Barclays
Bank
Group’s
defined
benefit
obligations
increasing
or
the
value
of
the
assets
backing
these
defined
benefit
obligations
decreasing
due
to
changes
in
both
the
level
and
volatility
of
prices.
‘Performance
costs’
The
accounting
charge
recognised
in
the
period
for
performance
awards.
For
deferred
incentives
and
long-
term
incentives,
the
accounting
charge
is
spread
over
the
relevant
periods
in
which
the
employee
delivers
service.
‘Personal
Banking’
Offers
retail
advice,
products
and
services
to
community
and
premier
customers
in
the
UK.
‘Per
iod
end
allocated
tangible
equity’
Allocated
tangible
equity
is
calculated
as
13.0%
(2018:
13.0%)
of
RWAs
for
each
business,
adjusted
for
capital
deductions,
excluding
goodwill
and
intangible
assets,
reflecting
assumptions
the
Barclays
Bank
Group
uses
for
capital
planning
purposes.
Head
Office
allocated
tangible
equity
represents
the
difference
between
the
Barclays
Bank
Group’s
tangible
shareholders’
equity
and
the
amounts
allocated
to
businesses.
‘Pillar
1
requirements’
The
minimum
regulatory
capital
requirements
to
meet
the
sum
of
credit
(including
counterparty
credit),
market
and
operational
risk.
‘Pillar
2A
requirements’
The
additional
regulatory
capital
requirement
to
meet
risks
not
captured
under
Pillar
1
requirements.
This
requirement
is
the
outcome
of
the
bank’s
Internal
Capital
Adequacy
Assessment
Process
(ICAAP)
and
the
complementary
supervisory
review
and
evaluation
carried
out
by
the
PRA.
‘Post
-model
adjustment
(PMA)’
In
the
context
of
Basel
models,
a
PMA
is
a
short
term
increase
in
regulatory
capital
applied
at
portfolio
level
to
account
for
model
input
data
deficiencies,
inadequate
model
performance
or
changes
to
regulatory
definitions
(e.g.
definition
of
default)
to
ensure
the
model
output
is
accurate,
complete
and
appropriate.
‘Potential
Future
Exposure
(PFE)
on
Derivatives’
A
regulatory
calculation
in
respect
of
the
Barclays
Bank
Group’s
potential
future
credit
exposure
on
both
exchange
traded
and
OTC
derivative
contracts,
calculated
by
assigning
a
standardised
percentage
(based
on
the
underlying
risk
category
and
residual
trade
maturity)
to
the
gross
notional
value
of
each
contract.
‘PRA
waivers’
PRA
approvals
that
specifically
give
permission
to
the
bank
to
either
modify
or
waive
existing
rules.
Waivers
are
specific
to
an
orga
nisation
and
require
applications
being
submitted
to
and
approved
by
the
PRA.
‘Primary
securitisations’
The
issuance
of
securities
(bonds
and
commercial
papers)
for
fund-raising.
‘Primary
Stress
Tests’
In
the
context
of
Traded
Market
Risk,
Stress
Testing
provides
an
estimate
of
potentially
significant
future
losses
that
might
arise
from
extreme
market
moves
or
scenarios.
Primary
Stress
Tests
apply
stress
moves
to
key
liquid
risk
factors
for
each
of
the
major
trading
asset
classes.
‘Prime
Services’
Involves
financing
of
fixed
income
and
equity
positions
using
Repo
and
stock
lending
facilities.
The
Prime
Services
business
also
provides
brokerage
facilitation
services
for
hedge
fund
clients
offering
executi
on
and
clearance
facilities
for
a
variety
of
asset
classes.
‘Principal’
In
the
context
of
a
loan,
the
amount
borrowed,
or
the
part
of
the
amount
borrowed
which
remains
unpaid
(excluding
interest).
Glossary
of
Terms
Barclays
Bank
PLC
62
‘Principal
Investments’
/
‘Private
equity
investments’
Investments
in
equity
securities
in
operating
companies
not
quoted
on
a
public
exchange.
Investment
in
private
equity
often
involves
the
investment
of
capital
in
private
companies
or
the
acquisition
of
a
public
company
that
results
in
the
delisting
of
public
equity.
Capital
for
private
equity
investment
is
raised
by
retail
or
institutional
investors
and
used
to
fund
investment
strategies
such
as
leveraged
buyouts,
venture
capital,
growth
capital,
distressed
investments
and
mezzanine
capital.
‘Principal
Risks’
The
principal
risks
affecting
the
Barclays
Bank
Group
described
in
the
risk
review
section
of
the
Barclays
Bank
PLC
Annual
Report.
‘Pro
-cyclicality’
Movements
in
financial
variables
(including
capital
requirements)
following
natural
fluctuations
in
the
economic
cycle,
where
the
subsequent
impact
on
lending
or
other
market
behaviours
acts
as
an
amplification
of
the
economic
cycle
by
the
financial
sector.
‘Probability
of
Default
(PD)’
The
likelihood
that
a
loan
will
not
be
repaid
and
will
fall
into
default.
PD
may
be
calculated
for
each
client
who
has
a
loan
(normally
applicable
to
wholesale
customers/clients)
or
for
a
portfolio
of
clients
with
similar
attributes
(normally
applicable
to
retail
customers).
To
calculate
PD,
Barclays
Bank
Group
assesses
the
credit
quality
of
borrowers
and
other
counterparties
and
assigns
them
an
internal
risk
rating.
Multiple
rating
methodologies
may
be
used
to
inform
the
rating
decision
on
individual
large
credits,
such
as
internal
and
external
models,
ra
ting
agency
ratings,
and
for
wholesale
assets
market
information
such
as
credit
spreads.
For
smaller
credits,
a
single
source
may
suffice
such
as
the
result
from
an
internal
rating
model.
‘Product
structural
hedge’
An
interest
rate
hedge
in
place
to
reduce
earnings
volatility
on
product
balances
with
an
instant
access
(such
as
non-interest
bearing
current
accounts
and
managed
rate
deposits)
and
to
smoothen
the
income
over
a
medium/long
term.
‘Properties
in
Possession
held
as
’Loans
and
Advances
to
Customers’’
Properties
in
the
UK
and
Italy
where
the
customer
continues
to
retain
legal
title
but
where
the
bank
has
enforced
the
possession
order
as
part
of
the
foreclosure
process
to
allow
for
the
disposal
of
the
asset
or
the
court
has
ordered
the
auction
of
the
property.
‘Properties
in
Possession
held
as
‘Other
Real
Estate
Owned’’
Properties
in
South
Africa,
where
the
bank
has
taken
legal
ownership
of
the
title
as
a
result
of
purchase
at
an
auction
or
similar
and
treated
as
‘Other
Real
Estate
Owned’
within
other
assets
on
the
bank’s
balance
sheet.
‘Proprietary
trading’
When
a
bank,
brokerage
or
other
financial
institution
trades
on
its
own
account,
at
its
own
risk,
rather
than
on
behalf
of
customers
,
so
as
to
make
a
profit
for
itself.
‘Prudential
Regulation
Authority
(PRA)’
The
statutory
body
responsible
for
the
prudential
supervision
of
banks,
building
societies,
insurers
and
a
small
number
of
significant
investment
banks
in
the
UK.
The
PRA
is
a
subsidiary
of
the
Bank
of
England.
‘Prudential
valuation
adjustment
(PVA)’
A
calculation
which
adjusts
the
accounting
values
of
positions
held
on
balance
sheet
at
fair
value
to
comply
with
regulatory
valuation
standards,
which
place
greater
emphasis
on
the
inherent
uncertainty
around
the
value
at
which
a
trading
book
position
could
be
exited.
‘Public
benchmark’
Unsecured
medium
term
notes
issued
in
public
syndicated
transactions.
‘Qualifying
central
bank
claims’
An
amount
calculated
in
line
with
the
PRA
policy
statement
allowing
banks
to
exclude
claims
on
the
central
bank
from
the
calculation
of
the
leverage
exposure
measure,
as
long
as
these
are
matched
by
deposits
denominated
in
the
same
currency
and
of
identical
or
longer
maturity.
‘Qualifying
Revolving
Retail
Exposure
(QRRE)’
In
the
context
of
the
IRB
approach
to
credit
risk
RWA
calculations,
an
exposure
meeting
the
criteria
set
out
in
BIPRU
4.6.42
R
(2).
It
includes
most
types
of
credit
card
exposure.
‘Rates’
In
the
context
of
Investment
Bank
income
analysis,
trading
revenue
relating
to
government
bonds
and
linear
interest
rate
derivatives.
‘Re
-aging’
The
returning
of
a
delinquent
account
to
up-to
-date
status
without
collecting
the
full
arrears
(principal,
interest
and
fees).
‘Real
Estate
Mortgage
Investment
Conduits
(REMICs)’
An
entity
that
holds
a
fixed
pool
of
mortgages
and
that
is
separated
into
multiple
classes
of
interests
for
issuance
to
investors.
Glossary
of
Terms
Barclays
Bank
PLC
63
‘Recovery
book’
Represents
the
total
amount
of
exposure
which
has
been
transferred
to
recovery
units
who
set
and
implement
strategies
to
recover
the
Group’s
exposure.
‘Recovery
book
Impairment
Coverage
Ratio’
Impairment
allowance
held
against
recoveries
balances
express
ed
as
a
percentage
of
balance
in
recoveries.
‘Recovery
book
proportion
of
outstanding
balances’
Represents
the
amount
of
recoveries
(gross
month-end
customer
balances
of
all
accounts
that
have
charged
-off)
as
at
the
period
end
compared
to
total
outstanding
balances.
The
size
of
the
recoveries
book
would
ultimately
have
an
impact
on
the
overall
impairment
requirement
on
the
portfolio.
Balances
in
recoveries
will
decrease
if:
assets
are
written
-off;
amounts
are
collected;
or
assets
are
sold
to
a
third
party
(i.e.
debt
sale).
‘Regulatory
capital’
The
amount
of
capital
that
a
bank
holds
to
satisfy
regulatory
requirements.
‘Renegotiated
loans’
Loans
are
generally
renegotiated
either
as
part
of
an
ongoing
customer
relationship
or
in
response
to
an
adverse
change
in
the
circumstances
of
the
borrower.
In
the
latter
case
renegotiation
can
result
in
an
extension
of
the
due
date
of
payment
or
repayment
plans
under
which
the
Barclays
Bank
Group
offers
a
concessionary
rate
of
interest
to
genuinely
distressed
borrowers.
This
will
result
in
the
asset
continuing
to
be
overdue
and
will
be
individually
impaired
where
the
renegotiated
payments
of
interest
and
principal
will
not
recover
the
original
carrying
amount
of
the
asset.
In
other
cases,
renegotiation
will
lead
to
a
new
agreement,
which
is
treated
as
a
new
loan.
‘Repurchase
agreement
(Repo)’
/
‘Reverse
repurchase
agreement
(Reverse
repo)’
Arrangements
that
allow
counterparties
to
use
financial
securities
as
collateral
for
an
interest
bearing
cash
loan.
The
borrower
agrees
to
sell
a
security
to
the
lender
subject
to
a
commitment
to
repurchase
the
asset
at
a
specified
price
on
a
given
date.
For
the
party
selling
the
security
(and
agreeing
to
repurchase
it
in
the
future)
it
is
a
Repurchase
agreement
or
Repo;
for
the
counterp
arty
to
the
transaction
(buying
the
security
and
agreeing
to
sell
in
the
future)
it
is
a
Reverse
repurchase
agreement
or
Reverse
repo.
‘Reputation
risk’
The
risk
that
an
action,
transaction,
investment
or
event
will
reduce
trust
in
the
Barclays
Bank
Group’s
integrity
and
competence
by
clients,
counterparties,
investors,
regulators,
employees
or
the
public.
‘Re
-securitisations’
The
repackaging
of
Securitised
Products
into
securities.
The
resulting
securities
are
therefore
securitisation
positions
where
the
underlying
assets
are
also
predominantly
securitisation
positions.
‘Reserve
Capital
Instruments
(RCIs)’
Hybrid
issued
capit
al
securities
which
may
be
debt
or
equity
accounted,
depending
on
the
terms.
‘Residential
Mortgage
-Backed
Securities
(RMBS)’
Securities
that
represent
interests
in
a
group
of
residential
mortgages.
Investors
in
these
securities
have
the
right
to
cash
received
from
future
mortgage
payments
(interest
and/or
principal).
‘Residual
maturity’
The
remaining
contractual
term
of
a
credit
obligation
associated
with
a
credit
exposure.
‘Restructured
loans’
Comprises
loans
where,
for
economic
or
legal
reasons
related
to
the
debtor’s
financial
difficulties,
a
concession
has
been
granted
to
the
debtor
that
would
not
otherwise
be
considered.
Where
the
concession
results
in
the
expected
cash
flows
discounted
at
the
original
effective
interest
rate
being
less
than
the
loan’s
carrying
value,
an
impairment
allowance
will
be
raised.
‘Retail
Loans’
Loans
to
individuals
or
small
and
medium
sized
enterprises
rather
than
to
financial
institutions
and
larger
businesses.
It
includes
both
secured
and
unsecured
loans
such
as
mortgages
and
credit
card
balances,
as
well
as
loans
to
certain
smaller
business
customers,
typically
with
exposures
up
to
£3m
or
with
a
turnover
up
to
£5m.
‘Return
on
average
Risk
Weighted
Assets’
Stat
utory
profit
after
tax
as
a
proportion
of
average
RWAs.
‘Return
on
average
tangible
shareholders’
equity’
(RoTE)
Annualised
profit
after
tax
attributable
to
ordinary
equity
holders
of
the
parent,
as
a
proportion
of
average
shareholders’
equity
excluding
non-controlling
interests
and
other
equity
instruments
adjusted
for
the
deduction
of
intangible
assets
and
goodwill.
‘Return
on
average
allocated
tangible
equity’
Annualised
profit
after
tax
attributable
to
ordinary
equity
holders
of
the
parent,
as
a
proportion
of
average
allocated
tangible
equity.
‘Risk
appetite’
The
level
of
risk
that
Barclays
Bank
Group
is
prepared
to
accept
whilst
pursuing
its
business
strategy,
recognising
a
range
of
possible
outcomes
as
business
plans
are
implemented.
Glossary
of
Terms
Barclays
Bank
PLC
64
‘Risk
weighted
assets
(RWAs)’
A
measure
of
a
bank’s
assets
adjusted
for
their
associated
risks.
Risk
weightings
are
established
in
accordance
with
the
Basel
rules
as
implemented
by
CRR
and
local
regulators.
‘Risks
not
in
VaR
(RNIVS)’
Refers
to
all
the
key
market
risks
which
are
not
captured
or
not
well
captured
within
the
VaR
model
framework.
‘Sarbanes-Oxley
requirements’
The
Sarbanes-Oxley
Act
2002
(SOX),
which
was
introduced
by
the
US
Government
to
safeguard
against
corporate
governance
scandals
such
as
Enron,
WorldCom
and
Tyco.
All
US-listed
companies
must
comply
with
SOX.
‘Second
Lien’
Debt
that
is
issued
against
the
same
collateral
as
higher
lien
debt
but
that
is
subordinate
to
it.
In
the
case
of
default,
compensation
for
this
debt
will
only
be
received
after
the
first
lien
has
been
repaid
and
thus
represents
a
riskier
investm
ent
than
the
first
lien.
‘Secondary
Stress
Tests’
Secondary
stress
tests
are
used
in
measuring
potential
losses
arising
from
illiquid
market
risks
that
cannot
be
hedged
or
reduced
within
the
time
period
covered
in
Primary
Stress
Tests.
‘Secured
Overnight
Financing
Rate
(SOFR)’
A
broad
measure
of
the
cost
of
borrowing
cash
overnight
collateralized
by
U.S.
Treasury
securities
in
the
repurchase
agreement
(repo)
market.
‘Securities
Financing
Transactions
(SFT)’
In
the
context
of
RWAs,
any
of
the
following
transactions:
a
repurchase
transaction,
a
securities
or
commodities
lending
or
borrowing
transaction,
or
a
margin
lending
transaction
whereby
cash
collateral
is
received
or
paid
in
respect
of
the
transfer
of
a
related
asset.
‘Securities
financing
transactions
adjustments’
In
the
context
of
leverage
ratio,
a
regulatory
add-
on
calculated
as
exposure
less
collateral,
taking
into
account
master
netting
agreements.
‘Securities
lending
arrangements’
Arrangements
whereby
securities
are
legally
transferred
to
a
third
party
subject
to
an
agreement
to
return
them
at
a
future
date.
The
counterparty
generally
provides
collateral
against
non
performance
in
the
form
of
cash
or
other
assets.
‘Securitisation’
Typically,
a
process
by
which
debt
instruments
such
as
mortgage
loans
or
credit
card
balances
are
aggregated
into
a
pool,
which
is
used
to
back
new
securities.
A
company
sells
assets
to
a
special
purpose
vehicle
(SPV)
which
then
issues
securities
backed
by
the
assets.
This
allows
the
credit
quality
of
the
assets
to
be
separated
from
the
credit
rating
of
the
original
borrower
and
transfers
risk
to
external
investors.
‘Set-off
clauses’
In
the
context
of
Counterparty
credit
risk,
contract
clauses
that
allow
Barclays
Bank
Group
to
set
off
amounts
owed
to
us
by
a
counterparty
against
amounts
owed
by
us
to
the
counterparty.
‘Settlement
balances’
Are
receivables
or
payables
recorded
between
the
date
(the
trade
date)
a
financial
instrument
(such
as
a
bond)
is
sold,
purchased
or
otherwise
closed
out,
and
the
date
the
asset
is
delivered
by
or
to
the
entity
(the
settlement
date)
and
cash
is
received
or
paid.
‘Settlement
risk’
The
risk
that
settlement
in
a
transfer
system
will
not
take
place
as
expected,
usually
owing
to
a
party
defaulting
on
one
or
more
settlement
obligations.
‘Significant
Increase
in
Credit
Risk
(SICR)’
Barclays
Bank
Group
assesses
when
a
significant
increase
in
credit
risk
has
occurred
based
on
quantitative
and
qualitative
assessments.
‘Slotting’
Slotting
is
a
Basel
2
approach
that
requires
a
standard
set
of
rules
to
be
used
in
the
calculation
of
RWAs,
based
upon
an
assessment
of
factors
such
as
the
financial
strength
of
the
counterparty.
The
requirements
for
the
application
of
the
Slotting
approach
are
detailed
in
BIPRU
4.5.
‘Sovereign
exposure(s)’
Exposures
to
central
governments,
including
holdings
in
government
bonds
and
local
government
bonds.
‘Specific
market
risk’
A
risk
that
is
due
to
the
individual
nature
of
an
asset
and
can
potentially
be
diversified
or
the
risk
of
a
price
change
in
an
investment
due
to
factors
related
to
the
issuer
or,
in
the
case
of
a
derivative,
the
issuer
of
the
underlying
investment.
‘Spread
risk’
Measures
the
impact
of
changes
to
the
swap
spread,
i.e.
the
difference
between
swap
rates
and
government
bond
yields.
Glossary
of
Terms
Barclays
Bank
PLC
65
‘SRB
ALRB’
The
systemic
risk
buffer
(SRB)
additional
leverage
ratio
buffer
(ALRB)
is
firm
specific
requirement
set
by
the
PRA
using
its
powers
under
section
55M
of
the
Financial
Services
and
Markets
Act
(2000).
Barclays
Bank
PLC
is
required
to
hold
an
amount
of
CET1
capital
that
is
equal
to
or
greater
than
its
ALRB.
‘Stage
1’
This
represents
financial
instruments
where
the
credit
risk
of
the
financial
instrument
has
not
increased
significantly
since
initial
recognition.
Stage
1
financial
instruments
are
required
to
recognise
a
12
month
expected
credit
loss
allowance.
‘Stage
2’
This
represents
financial
instruments
where
the
credit
risk
of
the
financial
instrument
has
increased
significantly
since
initial
recognition.
Stage
2
financial
instruments
are
re
quired
to
recognise
a
lifetime
expected
credit
loss
allowance.
‘Stage
3’
This
represents
financial
instruments
where
the
financial
instrument
is
considered
impaired.
Stage
3
financial
instruments
are
required
to
recognise
a
lifetime
expected
credit
loss
allowance.
‘Standard
&
Poor’s’
A
credit
rating
agency.
‘Standby
facilities,
credit
lines
and
other
commitments’
Agreements
to
lend
to
a
customer
in
the
future,
subject
to
certain
conditions.
Such
commitments
are
either
made
for
a
fixed
period,
or
have
no
specific
maturity
but
are
cancellable
by
the
lender
subject
to
notice
requirements.
‘Statutory’
Line
items
of
income,
expense,
profit
or
loss,
assets,
liabilities
or
equity
stated
in
accordance
with
the
requirements
of
the
UK
Companies
Act
2006
and
the
requirements
of
International
Financial
Reporting
Standards
(IFRS).
‘Statutory
return
on
average
shareholders’
equity’
Statutory
profit
after
tax
attributable
to
ordinary
shareholders
as
a
proportion
of
average
shareholders’
equity.
‘STD’
/
‘Standardised
Approach’
A
method
of
calculating
RWAs
that
relies
on
a
mandatory
framework
set
by
the
regulator
to
derive
risk
weights
based
on
counterparty
type
and
a
credit
rating
provided
by
an
External
Credit
Assessment
Institute.
‘Sterling
Over
Night
Index
Average
(SONIA)’
Reflects
bank
and
building
societies’
wholesale
overnight
funding
rates
in
the
sterling
unsecured
market
administrated
and
calculated
by
the
Bank
of
England.
‘Stress
Testing’
A
process
which
involves
identifying
possible
future
adverse
events
or
changes
in
economic
conditions
that
could
have
unfavourable
effects
on
the
Barclays
Bank
Group
(either
financial
or
non-financial),
assessing
the
Barclays
Bank
Group’s
ability
to
withstand
such
changes,
and
identifying
management
actions
to
mitigate
the
impact.
‘Stressed
Value
at
Risk
(SVaR)’
An
estimate
of
the
potential
loss
arising
from
a
12-month
period
of
significant
financial
stress
calibrated
to
99%
confidence
level
over
a
10-day
holding
period.
‘Structured
entity’
An
entity
in
which
voting
or
similar
rights
are
not
the
dominant
factor
in
deciding
control.
Structured
entities
are
generally
created
to
achieve
a
narrow
and
well
defined
objective
with
restrictions
around
their
ongoing
activities.
‘Structural
hedge’
/
‘hedging’
An
interest
rate
hedge
in
place
to
reduce
earnings
volatility
and
to
smoothen
the
income
over
a
medium/long
term
on
positions
that
exist
within
the
balance
sheet
and
do
not
re-
price
in
line
with
market
rates.
See
also
‘Equity
structural
hedge’
and
‘Product
structural
hedge’.
‘Structural
model
of
default’
A
model
based
on
the
assumption
that
an
obligor
will
default
when
its
assets
are
insufficient
to
cover
its
liabilities.
‘Structured
credit’
Includes
legacy
structured
credit
portfolio
primarily
comprising
derivative
exposure
and
financing
exposure
to
structured
credit
vehicles.
‘Structured
finance/notes’
A
structured
note
is
an
investment
tool
that
pays
a
return
linked
to
the
value
or
level
of
a
specified
asset
or
index
and
sometimes
offers
capital
protection
if
the
value
declines.
Structured
notes
can
be
linked
to
equities,
interest
rates,
funds,
commodities
and
foreign
currency.
‘Sub-prime’
Sub-
prime
is
defined
as
loans
to
borrowers
typically
having
weakened
credit
histories
that
include
payment
delinquencies
and
potentia
lly
more
severe
problems
such
as
court
judgments
and
bankruptcies.
They
may
also
display
reduced
repayment
capacity
as
measured
by
credit
scores,
high
debt-to
-income
ratios,
or
other
criteria
indicating
heightened
risk
of
default.
Glossary
of
Terms
Barclays
Bank
PLC
66
‘Subordinated
liabilities’
Liabilities
which,
in
the
event
of
insolvency
or
liquidation
of
the
issuer,
are
subordinated
to
the
claims
of
depositors
and
other
creditors
of
the
issuer.
‘Supranational
bonds’
Bonds
issued
by
an
international
organisation,
where
membership
transcends
national
boundaries
(e.g.
the
European
Union
or
World
Trade
Organisation).
‘Synthetic
Securitisation
Transactions’
Securitisation
transactions
effected
through
the
use
of
derivatives.
‘Systemic
Risk
Buffer’
CET1
capital
that
may
be
required
to
be
held
as
part
of
the
Combined
Buffer
Requirement
increasing
the
capacity
of
UK
banks
to
absorb
stress
and
limiting
the
damage
to
the
economy
as
a
result
of
restricted
lending.
‘Tangible
net
asset
value
(TNAV)’
Shareholders’
equity
excluding
non-controllin
g
interests
adjusted
for
the
deduction
of
intangible
assets
and
goodwill.
‘Tangible
net
asset
value
per
share’
Calculated
by
dividing
shareholders’
equity,
excluding
non-controlling
interests
and
other
equity
instruments,
less
goodwill
and
intangible
assets,
by
the
number
of
issued
ordinary
shares.
‘Tangible
shareholders’
equity’
Shareholders’
equity
excluding
non-controlling
interests
and
other
equity
instruments
adjusted
for
the
deduction
of
intangible
assets
and
goodwill.
‘Term
premium’
Additional
interest
required
by
investors
to
hold
assets
with
a
longer
period
to
maturity.
‘The
Fundamental
Review
of
the
Trading
Book
(FRTB)’
Is
a
comprehensive
suite
of
capital
rules
developed
by
the
Basel
Committee
on
Banking
Supervision
as
part
of
Basel
III
applicable
to
banks’
wholesale
trading
activities.
‘The
Standardised
Approach
(TSA)’
Under
the
TSA,
banks
are
required
to
hold
regulatory
capital
for
operational
risk
equal
to
the
annual
average,
calculated
over
a
rolling
three-year
period,
of
the
relevant
income
indicator
(across
all
business
lines),
multiplied
by
a
supervisory
defined
percentage
factor
by
business
lines.
‘The
three
lines
of
defence’
The
three
lines
of
defence
operating
model
enables
Barclays
Bank
Group
to
separate
risk
management
activities
between
those
client
facing
areas
of
the
Barclays
Bank
Group
and
associated
support
functions
responsible
for
identifying
risk,
operating
within
applicable
limits
and
escalating
risk
events
(first
line);
colleagues
in
Risk
and
Compliance
who
establish
the
limits,
rules
and
constraints
under
which
the
first
line
operates
and
monitors
their
performance
against
those
limits
and
constraints
(second
line);
and,
colleagues
in
Internal
Audit
who
provide
assurance
to
the
Board
and
Executive
Management
over
the
effectiveness
of
governance,
risk
management
and
control
over
risks
(third
line).
The
Legal
function
does
not
sit
in
any
of
the
three
lines,
but
supports
them
all.
The
Legal
function
is,
however,
subject
to
oversight
from
Risk
and
Compliance
with
respect
to
operational
and
conduct
risks.
‘Tier
1
capital’
The
sum
of
the
Common
Equity
Tier
1
capital
and
Additional
Tier
1
capital.
‘Tier
1
capital
ratio’
The
ratio
which
expresses
Tier
1
capital
as
a
percentage
of
RWAs
under
CRR.
‘Tier
2
(T2)
capita
l’
A
type
of
capital
as
defined
in
the
CRR
principally
composed
of
capital
instruments,
subordinated
loans
and
share
premium
accounts
where
qualifying
conditions
have
been
met.
‘Tier
2
(T2)
securities’
Securities
that
are
treated
as
Tier
2
(T2)
capital
in
the
context
of
CRR.
‘Total
capital
ratio’
Total
Regulatory
capital
as
a
percentage
of
RWAs.
‘Total
Loss
Absorbing
Capacity
(TLAC)’
A
standard
published
by
the
FSB
which
is
applicable
to
G-SIBs
and
requires
a
G-SIB
to
hold
a
prescriptive
minimum
level
of
instruments
and
liabilities
that
should
be
readily
available
for
bail-in
within
resolution
to
absorb
losses
and
recapitalise
the
institution.
‘Total
outstanding
balance’
In
retail
banking,
total
outstanding
balance
is
defined
as
the
gross
month-end
customer
balances
on
all
accounts
including
accounts
charged
off
to
recoveries.
‘Total
return
swap’
An
instrument
whereby
the
seller
of
pro
tection
receives
the
full
return
of
the
asset,
including
both
the
income
and
change
in
the
capital
value
of
the
asset.
The
buyer
of
the
protection
in
return
receives
a
predetermined
amount.
Glossary
of
Terms
Barclays
Bank
PLC
67
‘Total
balances
on
forbearance
programmes
coverage
ratio’
Impairment
allowance
held
against
Forbearance
balances
expressed
as
a
percentage
of
balance
in
forbearance.
‘Traded
Market
Risk’
The
risk
of
a
reduction
to
earnings
or
capital
due
to
volatility
of
trading
book
positions.
‘Trading
book’
All
positions
in
financial
instruments
and
commodities
held
by
an
institution
either
with
trading
intent,
or
in
order
to
hedge
positions
held
with
trading
intent.
‘Traditional
Securitisation
Transactions’
Securitisation
transactions
in
which
an
underlying
pool
of
assets
generates
cash
flows
to
service
payments
to
investors.
‘Transitional’
When
a
measure
is
presented
or
described
as
being
on
a
transitional
basis,
it
is
calculated
in
accordance
with
the
transitional
provisions
set
out
in
Part
Ten
of
CRR.
‘Treasury
and
Capital
Risk’
This
comprises
of
Liquidity
Risk,
Capital
Risk
and
Interest
Rate
Risk
in
the
Banking
Book.
‘Twelve
month
expected
credit
losses’
The
portion
of
the
lifetime
ECL
arising
if
default
occurs
within
12
months
of
the
reporting
date
(or
shorter
period
if
the
expected
life
is
less
than
12
months),
weighted
by
the
probability
of
said
default
occurring.
‘Twelve
month
PD’
The
likelihood
of
accounts
entering
default
within
12
months
of
the
reporting
date.
‘Unencumbered’
Assets
not
used
to
secure
liabilities
or
otherwise
pledged.
‘United
Kingdom
(UK)’
Geographic
segment
where
Barclays
Bank
Group
operates
comprising
the
UK.
Also
see
‘Europe’.
‘UK
Bank
levy’
A
levy
that
applies
to
UK
banks,
building
societies
and
the
UK
operations
of
foreign
banks.
The
levy
is
payable
based
on
a
percentage
of
the
chargeable
equity
and
liabilities
of
the
bank
on
its
balance
sheet
date.
‘UK
leverage
exposure’
Is
calculated
as
per
the
PRA
rulebook,
where
the
exposure
calculation
also
includes
the
FPC’s
recommendation
to
allow
banks
to
exclude
claims
on
the
central
bank
from
the
calculation
of
the
leverage
exposure
measure,
as
long
as
these
are
matched
by
deposits
denominated
in
the
same
currency
and
of
identical
or
longer
maturity.
‘UK
levera
ge
ratio’
As
per
the
PRA
rulebook,
means
a
bank’s
tier
1
capital
divided
by
its
total
exposure
measure,
with
this
ratio
expressed
as
a
percentage.
‘Unfunded
credit
protection’
Is
a
technique
of
credit
risk
mitigation
where
the
reduction
of
the
credit
risk
on
the
exposure
of
an
institution
derives
from
the
obligation
of
a
third
party
to
pay
an
amount
in
the
event
of
the
default
of
the
borrower
or
the
occurrence
of
other
specified
credit
events.
‘US
Partner
Portfolio’
Co-branded
credit
card
programs
with
comp
anies
across
various
sectors
including
travel,
entertainment,
retail
and
financial
sectors.
‘US
Residential
Mortgages’
Securities
that
represent
interests
in
a
group
of
US
residential
mortgages.
‘Valuation
weighted
Loan
to
Value
(LTV)
Ratio’
In
the
contex
t
of
credit
risk
disclosures
on
secured
home
loans,
a
means
of
calculating
marked
to
market
LTVs
derived
by
comparing
total
outstanding
balance
and
the
value
of
total
collateral
we
hold
against
these
balances.
Valuation
weighted
loan
to
value
is
calculated
using
the
following
formula:
LTV
=
total
outstandings
in
portfolio/total
property
values
of
total
outstandings
in
portfolio.
‘Value
at
Risk
(VaR)’
A
measure
of
the
potential
loss
of
value
arising
from
unfavourable
market
movements
at
a
specific
confidence
level
and
within
a
specific
timeframe.
‘Weighted
off
balance
sheet
commitments’
Regulatory
add-ons
to
the
leverage
exposure
measure
based
on
credit
conversion
factors
used
in
the
Standardised
Approach
to
credit
risk.
‘Wholesale
loans’
/
‘lending’
Lending
to
larger
businesses,
financial
institutions
and
sovereign
entities.
Glossary
of
Terms
Barclays
Bank
PLC
68
‘Write
-off
(gross)’
The
point
where
it
is
determined
that
an
asset
is
irrecov
erable,
or
it
is
no
longer
considered
economically
viable
to
try
to
recover
the
asset
or
it
is
deemed
immaterial
or
full
and
final
settlement
is
reached
and
the
shortfall
written
off.
In
the
event
of
write-off,
the
customer
balance
is
removed
from
the
balance
sheet
and
the
impairment
allowance
held
against
the
asset
is
released.
Net
write-offs
represent
gross
write-offs
less
post
write
-
off
recoveries.
‘Wrong
-way
risk’
Arises,
in
a
trading
exposure,
when
there
is
significant
correlation
between
the
underlying
asset
and
the
counterparty,
which
in
the
event
of
default
would
lead
to
a
significant
mark
to
market
loss.
When
assessing
the
credit
exposure
of
a
wrong
-way
trade,
analysts
take
into
account
the
correlation
between
the
counterparty
and
the
underlying
asset
as
part
of
the
sanctioning
process.
h120ex992
Exhibit
99.2
–
Capitalisation
and
Indebtedness
Barclays
Bank
PLC
69
The
following
table
sets
out
the
Barclays
Bank
Group’s
capitalisation,
indebtedness
and
contingent
liabilities
on
a
consolidated
basis,
in
accordance
with
IFRS,
as
at
30
June
2020.
As
at
30.06.20
000
Share
Capital
of
Barclays
Bank
PLC
Ordinary
shares
-
issued
and
fully
paid
shares
of
£1
each
2,342,559
Preference
shares
-
issued
and
fully
paid
shares
of
£1
each
1
Preference
shares
-
issued
and
fully
paid
shares
of
U.S.$100
each
58
Preference
shares
-
issued
and
fully
paid
shares
of
€100
each
32
£m
Group
equity
Called
up
share
capital
and
share
premium
2,348
Other
equity
instruments
8,323
Other
reserves
6,319
Retained
earnings
39,704
Total
equity
56,694
Group
indebtedness
Subordinated
liabilities
36,965
Debt
securities
in
issue
50,496
Total
indebtedness
87,461
Total
capitalisation
and
indebtedness
144,155
Group
contingent
liabilities
and
commitments
Guarantees
and
letters
of
credit
pledged
as
collateral
security
15,825
Performance
guarantees,
acceptances
and
endorsements
6,589
Total
contingent
liabilities
22,414
Documentary
credits
and
other
short-term
trade
related
transactions
1,162
Standby
facilities,
credit
lines
and
other
commitments
264,376
Total
commitments
265,538