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Bar cla ys Bank PLC
An nual Rep ort
31 December 202 1
Contents
Page
Strategic Report
Performance review
1
Managing risk
5
Performance measures
7
Our People and Culture
9
Section 172(1) Statement
12
Governance
Chairman’s introduction
15
Corporate governance statement
16
Directors’ report
28
Risk review
Risk review contents
32
Risk management strategy
34
Material existing and emerging risks
36
Climate change risk management
49
Principal risk management
51
Risk performance
57
Supervision and regulation
121
Financial statements
Financial statements contents
127
Consolidated financial statements
148
Notes to the financial statements
158
The Strategic Report was approved by the Board of Directors on 22 February 2022 and signed on their behalf by the Chairman.
On 22 February 2022, Tushar Morzaria informed the Board of his intention to retire from the Board and as Group Finance Director and it has been
agreed that this will take effect on 22 April 2022, with Anna Cross succeeding him as a member of the Board and as Group Finance Director on 23 April
2022. Details of these Board changes will be set out in a separate announcement to the market on 23 February 2022.
Overview
Barclays Bank PLC (BBPLC or the Company) is a wholly-owned subsidiary of Barclays PLC. The consolidation of Barclays Bank PLC and its subsidiaries is
referred to as the Barclays Bank Group. The term Barclays refers to either Barclays PLC (or BPLC) or, depending on the context, the B arclays Group as a
whole. The term Barclays Group refers to BPLC together with its subsidiaries.
Barclays Bank PLC is the non ring-fenced bank within the Barclays Group. The Barclays Bank Group contains the majority of the Barclays Group’s
Barclays International division, which is comprised of the Corporate and Investment Bank (CIB) and Consumer, Cards and Payments (CC&P) businesses.
Barclays Bank PLC offers customers and clients a range of products and services spanning consumer and wholesale banking and is supported by the
Barclays g roup-wide service company, Barclays Execution Services Limited (BX), which provides technology, operations and functional services to
businesses across the Barclays Group.
Barclays Bank PLC is focused on delivering for customers and clients around the world, Barclays Bank PLC’s diversified business portfolio provides
balance, resilience and exciting opportunities. Barclays Bank PLC has strong global market positions and continues to invest in people and technology
with the aim of delivering sustainable returns.
Our structure
CIB
The CIB is comprised of the Investment Banking, Corporate Banking and Global Markets businesses, aiding money managers, financial institutions,
governments, supranational organisations and corporate clients to manage their funding, financing, strategic and risk management needs.
•Our Global Markets business provides a broad range of clients with market insight, execution services, tailored risk management and financing
solutions across equities, credit, rates and foreign exchange products.
•Investment Banking provides clients with strategic advice on mergers and acquisitions (M&A), corporate finance and financial risk management
solutions, as well as equity and debt issuance services.
•Corporate Banking provides GBP and EUR working capital, transaction banking (including trade and payments), and lending for multinational,
large and medium corporates, and for financial institutions.
CC&P
CC&P is comprised of our I nternational Cards and Consumer Bank, Private Bank and Unified Payments businesses.
•As part of our International Cards and Consumer Bank, in the US w e have a partnership-focused business model, offering credit cards to
consumers through our relationships, including with Am erican Airlines and AARP. We also offer online retail savings products, instalment
payments and personal loans.
•In Germany, we also offer multiple consumer products, including own-branded and co-branded credit cards, online loans, electronic Point of
Sale (ePOS) financing and deposits.
•Unified Payments enables businesses of all sizes to make and receive payments.
•Our Private Bank offers banking, credit and investment capabilities to meet the needs of our clients across the UK, Europe, the Middle East and
Africa, and Asia.
Market and o perating environment
CIB
The year in the global financial markets was characterised by heightened volatility early on due to COVID-19, with activity decreasing as volatility
stabilised. Equities markets remained buoyant through the year, as a number of indices rallied to record highs. There were significant levels of
investment banking activity, with M&A up 65% on the prior year 1. Similarly, volumes in the initial public offering (IPO) market increased by over 85%
compared with 2020 1.
Across our CIB businesses, the opportunities presented by climate change and the broader environmental, social and governance (ESG) agenda
continued to grow, as demonstrated by the record levels of green bond issuance at £340b n fo r the year 1.
Corporate lending activity declined versus 2020 given the significant amounts of borrowing undertaken at the outset of the pandemic, while
Transaction Banking activity grew steadily in conjunction with improved economic conditions.
Note
1 Dealogic for period covering 1 January 2021 to 31 December 2021
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CC&P
The COVID-19 pandemic and low interest rate environment continued to have a significant impact on CC&P. It accelerated a number of existing trends
in customer behaviour, including consumers saving more and paying down existing debt.
As cash use declines and online transactions grow, the shift towards digital services and payments continued. In Payments, we also saw a continuing
trend towards e-commerce versus in-store transactions, with an accelerating number of Small and Medium Sized Enterprises (SMEs) in particular
pivoting their businesses online and accepting digital payments.
Strategic priorities
CIB
Our aim is to provide comprehensive and integrated services to clients, delivering solutions across Investment Banking, Corporate Banking and Global
Markets.
•Becoming an electronic-first Global Markets busine ss, grow ing in targeted areas: In G lobal Mark ets, w e will prioritise simplification of our systems
architecture, while seeking to close gaps in our i ntermediation businesses. We are focused on growing our f inancing capabilities to build a more
diversified portfolio that performs better across the economic cycle.
•Investing in high growth sectors and maintaining high returns in Investment Banking: We are continuing to invest in high growth sectors such as
Technology and Healthcare, and we aim to sustain the investment we have made in our high returning, fee-driven M&A and Equities businesses.
•Capturing opportunities as we transition to a low-carbon economy: We are focused on opportunities to deepen relationships. We aim to support
clients who want to make their business models more sustainable, and, in Global Markets and Investment Banking, using our scale and capital
markets expertise to mobilise capital for green and social infrastructure.
•Diversifying Corporate Banking income: We remain focused on diversifying our Corporate Bank by growing the business in Europe and the US,
growing Transaction Banking and optimising the use of loan capital. We aim to continue the build out of our full service Corporate Banking digital
proposition and other significant multi-year s trategic investment p rogrammes for t rade, payments and wholesale lending.
•Improving integration: Across our businesses we are focused on serving clients in an integrated way. Our efforts to broaden and deepen our CIB
offering across Europe will form an important part of this effort.
CC&P
We strive to deliver next-generation consumer businesses, offering best-in-class consumer finance, private banking and payment solutions.
•Responding to changing consumer behaviour: We continue to invest in the digitisation of our businesses, delivering new products and capabilities
to reflect growing trends. This includes focusing on scaling our existing e-commerce solutions to add further value to our digitally engaged
customers, small businesses and corporates.
•Building a more efficient and seamless business: We are accelerating our automation agenda to drive operational efficiency and create a more
seamless digital customer experience.
•Winning new partnerships: We are focused on broadening relationships with our existing partners and pursuing new partnerships, particularly in the
US. We are also building capabilities to offer new financing solutions across all our markets.
Year in review
CIB
•Our Global Markets business acted as a market-make r and liquidity provider to clients across the globe, playing an important role in helping them
find opportunities and manage risk during a period of continued heightened m arket volatility. In the context of a year in which trading market
conditions changed materially, we had an overall share of 4.6% (2020: 4.8%), m aintaining our global revenue ranking at 6th 2. Gains in Equities were
offset by a reduction in FICC revenues, which were down in comparison with a very strong 2020.
•We continued to invest in enhancing our Global Markets digital proposition, including our electronic trading capabilities and our digital self-service
platform; and our financing platforms across Fixed Income and Equities.
•2021 was a record year for our Investment Banking business on a revenue basis, with significant revenue improvement in target growth areas. This
included Advisory, up 64% on prior year and Equity Capital Markets, up 72%. We regained our position of 6th in overall global fee share 3, having
slipped to 7th in 2020.
•We continued to invest in the strength of our Investment Banking coverage in high growth sectors, including expanding our Sustainable Impact
Banking (SIB) Group. SIB advised on or raised capital for companies in over 50 transactions representing over £18bn, a five-fold increase in
financing volumes from 2020 and a more than doubling in the number of strategic advisory transactions for clients whose businesses are
addressing environmental or social challenge.
•Our Research team continued to deliver differentiated insights through a mix of thematic and single-name content, high touch interactions, and
events. We have continued to further the ESG agenda for Barclays by strengthening our a cross-asset ESG team, which oversees the integration of
ESG into our fundamental research. We leveraged the investments made in our data science platform by p rod ucing mo r e than 300 reports tied to
our data-science insights in 2021. We also played a critical role in driving our thought leadership, for example with the launch of the Eagle Eye
newsletter and the ongoing Flip Side podcast to our clients.
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•Our Corporate Banking business also originated over £2bn in green lending and continued developing our sustainable product set, growing the
number of products from 6 in 2020 to 15 in 2021, including trade, lending and deposits. We collaborated across CIB to deliver financial support to
help our clients meet their crucial ESG targets.
•Our Corporate Banking business continued to play a role in supporting clients impacted by COVID-19 through the UK Government lending schemes
as well as supporting businesses to accelerate growth with the introduction of the new General Export Facility (GEF) in collaboration with UK Export
F inance. Since GEF was made available, Barclays has approved more than £95m of UK Export Finance (UKEF) backed finance accounting for over
40% of the total value of facilities to date. In the UK, Corporate Banking deposit balances grew by 7% during the year.
•We continued monetising our investments in our international footprint of our Corporate Banking business. Despite the challenging environment,
we on-boarded a little under 600 new clients across nine EU countries where our Transaction Banking offering is now live.
Notes
2 Coalition Greenwich, Preliminary FY21 Competitor Analysis. Analysis is based on Barclays internal business structure and internal revenues. Rank result is against the
Coalition Index Banks.
3 Dealogic for the period covering 1 January 2021 to 31 December 2021
CC&P
We established new partnerships across our businesses, notably in the US, where we signed a long-term partnership agreement with Gap Inc., the
largest spe ciality apparel company 4 in the US, to issue both co-branded and private label credit cards. We also renewed our existing partnership
agreement with JetBlue Airlines, among other partners. We maintained our position as a top 10 credit card issuer 5 in the US.
We continued to invest in our digital servicing model, reaching a digital active user rate of 71.8%. W e have seen an improvement on the Net Promoter
Score in the US Consumer Bank, reaching +37 vs +35 in 2020.
Our Payments business maintained its position as one of the largest payment processors in Europe 6. We secured new client relationships, and retained
others, i ncluding with Center Parcs, Musgrave and the Ministry of Defence. We also launched iPortal, our Payments servicing platform to Corporate
clients, enabling the management of merchant services accounts alongside bank accounts and other Corporate services in a single location.
In Germany, we continue to be a leading provider of consumer finance 7 through our credit cards and personal loans business. We have scaled the
business through collaborations with e-commerce providers, including Amazon, providing customers with financial flexibility at the Point of Sale.
Our Private Bank continued to work towards becoming a leading investments house for Ultra High Net-Worth (UHNW) and High Net-Worth (HNW)
clients and Family Offices, by offering more tailored and sustainable solutions as well as providing access to our CIB.
Notes
4 Gap Inc.2020
5 Nilson Report #1204
6 Nilson Report # 1197
7 Deutsche Bundesbank, Advanzia S.A, plus own calculations
Looking ahead
CIB
Across our CIB, we will remain focused on maintaining our client-centric approach and developing opportunities to grow our business and increase
returns. We will continue to focus on growth in high-returning, capital efficient parts of our business and to sustain our focus on cost discipline and
operational rigour.
In Global Markets we are focused on further developing our electronic trading-driven business, driving efficiency and scale and serving the needs of our
investor base. We will continue to invest in m arket share growth in Securitised Products, Emerging Markets, and parts of our Rates and Foreign
E xchange businesses.
I nvestment Banking will continue its investment in high-priority sectors, particularly in Healthcare, where we have more to do to improve fee share, and
in Technology in the US and Europe. More broadly, we aim to build on our established momentum and improve revenue contribution from our equity
and advisory offerings. We will continue to build our SIB offering, with a particular focus on developing our capabilities in Europe and Asia. We are also
looking to broaden the range of ESG capital market product types we offer and to deliver across more client segments.
In Corporate Banking, we will continue to monetise investments in our European and US offering with an emphasis on growing our Transaction Banking
business. Our focus will remain on steadily improving our credit portfolio returns by reallocating risk weighted assets to higher-returning opportunities.
We will keep investing in our trade, payments and wholesale lending offering and we will look to further enhance our digital proposition.
CC&P
Within CC&P, we will continue to invest in building our technology and digital capabilities, meeting consumer demand and responding to changing
behaviour.
We aim to drive further scale in our Payments business. Our goal is to deliver a world-class unified payments experience for customers, combining
payments and banking technology, to contribute to the Barclays’ growth ambition of delivering an additional £900m of income from payments activity
between 2020 and 2023. I n support, we will continue to drive the uptake of our e-commerce solutions.
We will continue to deepen our relationships with corporates, by: c ollaborating with the CIB; strengthening our offerings to small businesses and
targeting continued growth in our European footprint.
In Germany, we will continue to grow and seek to utilise the capabilities built with Amazon to further penetrate the market, as well as pursue new
commercial partnerships that further expand our co-branded cards portfolio.
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As we focus on our partnership-centric business model in the US, we are extending our product set further to include private label credit cards. We will
also scale our existing proposition to deliver more value to our partners across a broader range of sectors, diversifying our business. We hope the launch
of our Gap Inc. partnership in the middle of 2022 will accelerate our entry into the US retail sector.
The Private Bank remains focused on targeted markets, including the UK and offering on-ground coverage in Europe and Asia. We hope to enhance
product capabilities and drive better client experiences by improving automation and delivering our digital agenda. Over the coming 12 to 18 mo nths
we will also integrate our Wealth and Investment Management business from Barclays UK with our Private Bank to provide a more integrated
proposition (subject to regulatory approval).
M easuring success
CIB
a.Income 2021:£12.5bn, 2020:£12.6bn
b.Operating Expenses 2021:£7.2bn, 2020:£7.1bn
c.Profit before Tax 2021:£5.7bn, 2020:£3.9bn
d.Investment Banking global fee ranking 2021:6th, 2020:7th 8
CC&P
a.Income 2021:£3.3bn, 2020:£3.5bn
b.Operating Expenses 2021:£2.4bn, 2020:£2.2bn
c.Profit before Tax 2021:£0.7bn, 2020:£(0.3)bn,
d.US Consumer Bank Net Promoter Score 2021:+37, 2020:+35
e.CC&P US Customer Digital Engagement 2021:71.8%, 2020:71.4%
Note
8 Dealogic for the period covering 1 January 2020 to 31 December 2021
Our role in society
Our success is judged not only by commercial performance, but also by our contribution to society and how we act responsibly for the common good
and the long term. These outcomes are mutually dependent. We believe th at we can, and should, make a positive difference for society – globally and
locally. We do that through the choices we make about how we run our business, and through the commitments we make to support our communities.
We prize sustainability, and recognise our role to play in leaving things better than we found them. We cannot be successful in the long term without
recognising that we are at our best when our clients, customers, communiti e s and colleagues all progress. For detail on our integration of social and
environmental issues into our business, please refer to pages 35 to 39 in the Barclays PLC Annual Report 2021.
Addressing climate change is an urgent and complex challenge. It requires a fundamental transformation of the global economy, so that society stops
adding to the total amount of greenhouse gases in the atmosphere. The financial sector has a critical role to play in supporting the economy to reach
this. It is estimated that at least $3-5 trillion 1 of additional investment will be needed each year, for the next 30 years, in order to finance the transition.
At Barclays, we are determined to play our part. In March 2020, we announced our ambition to be a net zero bank by 2050, becoming one of the first
banks to do so.
We have a strategy to turn that ambition into action:
•Achieving net zero operations - Barclays is working to achieve net zero operations, investing in the continued decarbonisation of our
operations.2
•Reducing our financed emissions - Barclays is committed to aligning its financing with the goals and timelines of the Paris Agreement.
•Financing the transition - Barclays is providing the green and sustainable finance required to transform the economies we serve.
Our strategy is underpinned by the way we assess and manage our exposure to climate-related risk. From 2022, climate risk will be a Principal Risk
under Barclays’ Enterprise Risk Management Framework. You can read more about our approach to climate risk in the Barclays PLC Task Force on
Climate-related Financial Disclosure (TCFD) Report.
Our approach to environmental and social issues is grounded in the work we do every day, right across our business, supported in turn by the
governance and oversight of our management and Board structures.
We engage directly with stakeholders internally and externally to assess our areas of focus against their priorities. That happens through ongoing
conversations, as well as surveys and information requests from investors and ratings agencies. We also monitor closely the relevant ESG frameworks
and reporting guidelines.
For an overview of the Barclays Bank Group’s approach to managing climate change risk, please refer to pages 49 to 50 in the climate change risk
management section. You can read more about our approach to environmental, social and governance issues in the ESG section of the Barclays PLC
Annual Report.
Note
1 $3-5trn as estimated in the GFMA/BCG (Global Financial Markets Association/Boston Consulting Group) Climate Finance Markets and the Real Economy report, December
2020
2 See our ESG Report for further detail on how we are defining our approach to net zero operations.
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The Barclays Bank Group is exposed to internal and external risks as part of its ongoing activities. These risks are managed as part of our business
model.
Enterprise Risk Management Framework
Within the Barclays Bank Group, risks are identified and overseen through the Enterprise Risk Management Framework (ERMF), which supports the
business in its aim to embed effective risk management and a strong risk management culture.
The ERMF governs the way in which the Barclays Bank Group identifies and manages its risks. The ERMF is approved by the Barclays PLC Board on the
recommendation of the Barclays Group Chief Risk Officer; it is then adopted by the Barclays Bank Group with minor modifications where needed.
The management of risk is embedded into each level of the business, with all colleagues being responsible for identifying and controlling risks.
Given the increasing risks associated with climate change, and to support the Barclays Group’s ambition to be a net zero bank by 2050, it was agreed
that climate risk would become a Principal Risk from 2022.
Risk appetite
Risk appetite defines the level of risk we are prepared to accept across the different risk types, taking into consideration varying levels of financial and
operational stress. Risk appetite is key to our decision-making processes, including ongoing business planning and setting of strategy, new product
approvals and business change initiatives.
The Barclays Bank Group may choose to adopt a lower risk appetite than allocated to it by Barclays Group. A Barclays Group level climate risk appetite
was recently introduced in line with the Barclays Group’s risk appetite approach.
Three Lines of Defence
The first line of defence is comprised of the revenue-generating and client-facing areas, along with all associated support functions, including Finance,
Treasury, Human Resources and Operations and Technology. The first line identifies the risks, sets the controls and escalates risk events to the second
line of defence.
The second line of defence is made up of Risk and Compliance and oversees the first line by setting limits, rules and constraints on their operations,
consistent with the risk appetite.
The third line of defence is comprised of Internal Audit, providing independent assurance to the Barclays B ank PLC Board over the effectiveness of
governance, risk management and control over current, systemic and evolving risks.
Although the Legal functio n does not sit in any of the three lines, it wo rks to support them all and plays a key role in overseeing Legal risk throughout
the Barclays Bank Group. The Legal function is also subject to oversight from the Risk and Compliance functions (second line) with respect to the
management of operational and conduct risks.
Monitoring the risk profile
Together with a strong governance process, using business and Barclays Group level Risk Committees, as well as Board level forums, the Barclays Bank
PLC Board receives regular information in respect of the risk profile of the Barclays Bank Group. Information received includes measures of risk profile
against risk appetite as well as the identification of new and emerging risks.
During 2021 Barclays G roup ran a range of stress tests to assess its capital adequacy and resilience under severe but plausible macroeconomic
scenarios. The internal stress test scenario was based on current economic imbalances such as supply chain issues and labour shortage deteriorating
further due to post COVID-19 heightened demand and climate transition pressures. This resulted in high inflation and unexpected increases in base
rates (both in the UK and the US) causing an affordability stress for retail customers and corporates along with hindering the post COVID-19 recovery in
terms of GDP and unemployment.
We believe that our structure and governance supports us in managing risk in the changing economic, political and market environments.
For further detailed analysis of our approach to risk management and risk performance see our full Risk review on pages 200 to 294 in Part 2 of the
Barclays PLC Annual Report.
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Risks are classified into Principal Risks, as below
How risks are managed
Principal
Risk
Credit Risk
The risk of loss to the Barclays Bank Group from the
failure of clients, customers or counterparties (including
sovereigns) to fully honour their obligations to the
Barclays Bank Group, including the whole and timely
payment of principal, interest, collateral and other
receivables.
Credit risk teams identify, evaluate, sanction, limit and
monitor various forms of credit exposure, individually
and in aggregate.
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.
A range of complementary approaches to identify and
evaluate market risk are used to capture exposure to
market risk. These are measured, limited and monitored
by market risk specialists.
Treasury and
Capital Risk
Liquidity Risk:
The risk that the Barclays Bank Group is unable to meet
its contractual or contingent obligations or that it does
not have the appropriate amount, tenor and composition
of funding and liquidity to support its assets.
Treasury and capital risk is identified and managed by
specialists in Capital Planning, Liquidity, Asset and
Liability Management and Market Risk. A range of
approaches are used appropriate to the risk, such as
limits; plan monitoring and stress testing.
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 and
stressed conditions (both actual and as defined for
internal planning or regulatory testing purposes). This
also includes the risk from the Barclays Bank Group’s
pension plans.
Interest Rate Risk in the banking book:
The risk that the Barclays Bank Group is exposed to
capital or income volatility because of a mismatch
between the interest rate exposures of its (non-traded)
assets and liabilities.
Climate Risk
The impact on financial and operational risks arising
from climate change through, physical risks, risks
associated with transitioning to a lower carbon economy
and connected risks arising as a result of second order
impacts on portfolios of these two drivers.
The Barclays Bank Group assesses and manages its
climate risk across its businesses and functions in line
with its net zero ambition by monitoring exposure to
elevated risk sectors, conducting scenario analysis and
risk assessments for key portfolios. Climate risk controls
are embedded across the financial and operational
principal risk types through the Barclays Group's
Frameworks, Policies and Standards.
Operational Risk
The risk of loss to the Barclays Bank Group from
inadequate or failed processes or systems, human
factors or due to external events (for example fraud)
where the root cause is not due to credit or market risks.
The Barclays Bank Group assesses and manages its
operational risk and control environment across its
businesses and functions with a view to maintaining an
acceptable level of residual risk.
Model Risk
The potential for adverse consequences from decisions
based on incorrect or misused model outputs and
reports.
Models are evaluated for approval prior to
implementation, and on an ongoing basis.
Conduct Risk
The risk of poor outcomes for, or harm to, customers,
clients and markets, arising from the delivery of the
Barclays Bank Group's products and services.
The Compliance function sets the minimum standards
required, and provides oversight to monitor that these
risks are effectively managed and escalated where
appropriate.
Reputation Risk
The risk that an action, transaction, investment, event,
decision, or business relationship will reduce trust in the
Barclays Bank Group’s integrity and/or competence.
Reputation risk is managed by embedding our purpose
and values, and maintaining a controlled culture within
the Barclays Bank Group, with the objective of acting
with integrity, enabling strong and trusted relationships
to be built with customers and clients, colleagues and
broader society.
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.
The Legal function supports colleagues in identifying
and limiting legal risks.
Note
The ERMF defines nine principal risks. For further information on how these principal risks apply specifically to the Barclays Bank Group, please see pages 51 to 56.
Strategic report
Managing risk
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Performance measurement
Financial performance measures
The performance of Barclays Bank PLC contributes to the Barclays Group, upon which the delivery of strategy is measured.
Income Statement
Barclays Bank Group results
2021
2020
2019
For the year ended 31 December
£m
£m
£m
Total income
15,408
15,778
14,151
Credit impairment releases/(charges)
277
(3,377)
(1,202)
Net operating income
15,685
12,401
12,949
Operating expenses
(9,885)
(9,383)
(9,718)
Litigation and conduct
(154)
(76)
(264)
Total operating expenses
(10,039)
(9,459)
(9,982)
Other net (expenses)/income
(8)
133
145
Profit before tax
5,638
3,075
3,112
Taxation
(880)
(624)
(332)
Profit after tax
4,758
2,451
2,780
Other equity instrument holders
(631)
(677)
(660)
Attributable profit
4,127
1,774
2,120
Income Statement commentary
The Barclays Bank Group’s profit increased in FY21 primarily reflecting an impairment release, which included an update for an improved
macroeconomic environment, partly offset by lower income and higher costs, which included a structural cost action charge as part of a real estate
review.
2021 compared to 2020
•Profit before tax increased to £5,638 m (2020: £3,075m) driven by an increase in CIB to £5,748 m (2020: £3,929m) and CC&P to £729m (2020:
£292m loss), partially offset by an increased loss in Head Office of £839 m (2020: £562 m)
•Total income decreased 2% to £15,408 m
–CIB income decreased 1% to £12,481 m driven by a 15% decrease in Global Markets, reflecting tighter spreads and the non-recurrence of
prior year client activity levels, partially offset by a 35% increase in Investment Banking fees as the fee pool and Barclays' share improved 1.
Corporate income increased 7% driven by deposits and higher payments volumes, partially offset by the current year fair value loan write-
off on a single name and increased cost of hedging, whilst the prior year included net losses from the mark-to-market of lending and
related hedge positions
–CC&P income decreased 4% to £3,337 m reflecting lower cards balances, partially offset by the non-recurrence of a c.£100m valuation
loss on Barclays’ preference shares in Visa Inc. in Q220, which have subsequently been fully disposed of in FY21
–Head Office income was a net expense of £410 m (2020: £319 m) which primarily reflected hedge accounting and funding costs on a
legacy capital instrument
•Credit impairment net release of £277 m (2020: £3,377 m charge) was driven by an improved macroeconomic outlook
–CIB credit impairment net release of £461 m (2020: £1,565 m charge) was also supported by net single name wholesale loan releases and
a benign credit risk environment
–CC&P credit impairment charge of £185 m (2020: £1,720 m charge) was partially driven by lower delinquencies and higher customer
repayments
–Head Office credit impairment net release was £1 m (2020: £92 m charge)
•Total operating expenses increased 6% to £10,039 m
–CIB total operating expenses increased 1% to £7,186 m due to higher performance costs, that reflect an improvement in performance,
partly offset by a lower bank levy charge primarily due to the reduced rate
–CC&P total operating expenses increased 11% to £2,424 m driven by the impact of higher investment spend, including an increase in
marketing and costs for existing and new partnerships, and customer remediation costs related to a legacy portfolio
–Head Office total operating expenses of £429 m (2020: £154m) included a charge of £266m relating to a structural cost action taken as
part of a real estate review
•Other net income decreased to an £8 m expense (2020: £133 m income) due to the non-recurrence of prior year gains on disposals from the sale of
a number of subsidiaries within the Barclays Group
•The effective tax rate was 15.6% (2020: 20.3%). This reflects a £218m tax benefit recognised for the re-measurement of the Barclays Bank Group’s
UK deferred tax assets as a result of the enactment in 2021 of a UK corporation tax rate increase from 19% to 25% effective from 1 April 2023
Note
1 Data source: Dealogic for the period covering 1 January to 31 December 2021
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Performance measures
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Barclays Bank PLC Annual Report
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Balance Sheet Information
The following assets and liabilities represent key balance sheet items for Barclays Bank Group
2021
2020
As at 31 December
£m
£m
Assets
Cash and balances at central banks
169,085
155,902
Loans and advances at amortised cost
145,259
134,267
Trading portfolio assets
146,871
127,664
Financial assets at fair value through the income statement
188,226
171,761
Derivative financial instruments
262,291
302,693
Liabilities
Deposits at amortised cost
262,828
244,696
Financial liabilities designated at fair value
251,131
249,626
Derivative financial instruments
256,523
300,580
Balance Sheet commentary
•Cash and balances at central banks increased £13.2bn to £169.1 bn from strong client deposit growth
•Loans and advances increased £11.0bn to £145.3 bn due to increased lending across CIB and CC&P
•Trading portfolio assets increased £19.2bn to £146.9 bn predominantly due to increased activity in Equities
•Financial assets at fair value through the income statement increased £16.5bn to £188.2 bn driven by increased secured lending
•Derivative financial instrument assets and liabilities decreased £40.4bn to £262.3 bn and £44.1bn to £256.5 bn respectively driven by an increase in
major interest rate curves and reduced client activity in FICC
•Deposits increased £18.1bn to £262.8bn due to clients increasing liquidity
The financial information above is extracted from the financial statements. This information should be read together with the information included in
the accompanying consolidated financial statements.
Other Metrics and Capital
Barclays Bank PLC is regulated by the Prudential Regulation Authority (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 metrics for Barclays Bank
PLC solo-consolidated.
2021
2020
2019
Common equity tier 1 (CET1) ratio
13.0%
14.2%
13.9%
Total risk weighted assets (RWAs)
£185.5bn
£178.2bn
£158.4bn
Capital Requirements Regulation (CRR) leverage ratio
3.7%
3.9%
3.9%
Note
a.Capital, RWAs and leverage are calculated applying the IFRS 9 transitional arrangement of the Capital Requirements Regulation (CRR) as amended by Capital
Requirements Regulation (CRR II).
Capital Commentary
As at 31 December 2021, Barclays Bank PLC’s solo-consolidated CET1 ratio was 13.0%, which exceeded minimum regulatory capital requirements.
Non-financial performance measures
Barclays Bank PLC is part of the Barclays Group which uses a variety of quantitative and qualitative measures to track and assess holistic strategic
delivery.
Barclays Bank PLC has addressed the Non-Financial Reporting requirements contained in sections 414CA and 414CB of the Companies Act 2006
through the disclosure contained in the Barclays PLC Annual Report 2021 on pages 49 to 50.
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Barclays Bank PLC Annual Report
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We want to recruit, retain and engage the talented people that Barclays needs to succeed, providing an environment that enables them to build their
careers and achievements.
A culture of togetherness
Our colleagues are critical to our success. We know that the past two years have been challenging for a lot of our people, in different ways, impacting
both our personal and professional lives. We are proud of the way colleagues responded to these challenges, and for the way they have continued to
support our customers and clients around the world. We have learnt a lot about ourselves over this period, and we have invested in supporting people in
a number of ways. In particular, our focus has been on culture, mindset, wellbeing and development. As ever, our approach is informed by the latest
thinking in behavioural and data science, and our ability to track effectiveness and progress over time.
The following sub-sections are consistent with those detailed in the People Section of the Barclays PLC Annual Report 2021 and figures mentioned are
for the Barclays Group other than where specifically mentioned.
The Barclays Mindset
At the beginning of the COVID-19 pandemic, we observed a number of improvements in the way people were working at Barclays. We reflected on how
we could capture these positive developments for the long-term and responded this year by launching the Barclays Mindset.
Our Mindset acts as an operating manual for how to get things done at Barclays. It focuses on three key elements that are core to our success –
Empower, Challenge and Drive. Our research shows that when we demonstrate behaviours aligned to these three elements, outcomes are better,
colleagues are more engaged and they are more likely to stay longer to build their career at Barclays.
We have worked hard to encourage this new way of thinking across our organisation, including in the way we hire people, manage performance and
recognise success. We have established a global network of over 330 Mindset Champions, working to support its rollout and communicate with
colleagues. We have also developed a Mindset Dashboard to measure impact and to help leaders identify where we need to do more to embed this way
of thinking.
Initial findings suggest our Mindset resonates with colleagues, with 83% telling us they believe it is the right Mindset to drive success at Barclays, and
89% of colleagues saying they believe their teams do a good job of role modelling our Mindset every day.
Hiring great people
We are focused on hiring people with the skills and capabilities to support our strategy. At the heart of our hiring approach is a focus on strengthening
our relationships with local talent pools in the areas within which we are hiring, including reaching out to local communities and upskilling local
students. For example, our partnerships with universities in Glasgow have been important in developing a robust pipeline of apprentices and graduates
at the global campus we officially opened there this year. Our other global campuses in Whippany and Pune leverage similar local hiring arrangements.
The COVID-19 pandemic has required us to adapt to changes in hiring demands and volumes. This has been particularly important in customer-facing
areas where we know it is critical that we are providing support to our customers. We have also taken steps to enhance our candidate assessment
processes, including factoring in the new Barclays Mindset so we can ensure we're attracting and hiring candidates with the capability to Empower,
Challenge and Drive.
People with different perspectives and life experiences make our organisation stronger, so we are committed to attracting, developing and retaining a
workforce that is as diverse and inclusive as possible. We are an equal opportunities employer and give full and fair consideration to all populations
based on their competencies, strengths and potential. You can find more information in our Diversity and Inclusion Report at home.barclays/
annualreport.
We retain an emphasis on hiring from within. This year, we filled 39% of vacancies internally and added a further 851 graduates to our internal pipeline
of future leaders. We also continue to invest in our flagship career development programmes, including our AFTER programme to support those who
have been in the armed forces. After a period of in-depth research, we launched new global programmes this year, managing 2,039 graduates, interns
and apprentices.
Developing people for the future
At Barclays, we believe that everyone has the potential to continuously grow. We are committed to cultivating a culture of lifelong learning and our
development proposition is designed to support colleagues at every stage of their career.
A wide range of development opportunities are available to help colleagues build their careers, delivered through our digital learning platform, Learning
Lab.
This year we launched a new partnership with LinkedIn Learning, providing extensive digital development to all colleagues globally. We also have a
number of corporate memberships with industry experts, allowing our colleagues to remain up to date with the latest developments and trends. In line
with our professional qualification guidance, Barclays encourages colleagues to study for degree programmes and professional qualifications that
benefit the business and support their development.
We are also committed to cultivating leadership skills among colleagues, whether they are in a leadership role or not. The Barclays Leadership
Framework provides a guide to support colleagues with their own leadership development, and applies across all levels – from new line managers to our
Group Executive Committee. We also continue to operate three flagship leadership development programmes: our Enterprise Leaders Summit, our
Strategic Leaders Programme and Aspire.
We measure the success of our development offering through our colleague surveys, Your View and Here to Listen, tracking the progression of
participants from our leadership development programmes, as well as tracking our levels of retention, and internal mobility. These measures feed into
our training and development approach, enabling us to focus action on the right areas for our workforce.
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We promote a culture of continuous feedback, encouraging all colleagues to have regular performance conversations with their line manager
throughout the year. This happens in addition to the annual performance review process that applies to all permanent employees. In these
conversations, both ‘what’ has been achieved as well as ‘how’ it has been achieved are reviewed. This ensures our colleagues are able to keep
broadening their skills, emphasising their personal development and working in a way that reflects our Values and Mindset.
We also want to help colleagues balance their work life with their personal commitments, supporting career development opportunities at each life
stage. We offer enhanced maternity, paternity, adoption and shared parental entitlements in all our major jurisdictions.
Building a supportiv e and inclusive c ulture
Building a supportive and inclusive culture is not only the right thing to do, but also what is best for our business. It creates a sense of belonging and
enables colleagues to perform to their highest capability.
We focus on six areas of diversity and inclusion: disability, gender, LGBT+, multicultural, multigenerational and socioeconomic inclusion. We have
Employee Resource Groups in place across each of these areas to provide support and advice, create development opportunities and raise awareness of
issues and challenges. Membership of our Employee Resource Groups is at an all-time high, with over 25,000 colleagues now involved in one or more.
Their insight and experiences help influence our people policies and inform the commitments and actions we take as an organisation to give our people
the support they need to succeed.
We strive to embed a culture of inclusion through our allyship initiatives, encouraging colleagues to become allies and to focus on understanding and
eliminating barriers faced by underrepresented groups. We provide a toolkit for these colleagues to help them take conscious, positive steps to make
everyone feel that they belong. In our Your View survey, 79% of colleagues told us they believe we are all in this together at Barclays, while 82% say
they believe leaders are committed to building a diverse workforce.
We remain committed to improving the diversity of our leaders and to closing pay gaps at Barclays. We aim for diverse promotion assessors and panels,
helping us to ensure the widest available pool of talent is considered for promotion. We actively provide development opportunities for leaders of the
future such as ex-officio roles and places on our development programmes. As of the end of 2021, 28% of our global Managing Directors and Directors
were female, and 30% of our UK Managing Directors and Directors were female.
We closely track the ever-changing composition of our people through online dashboards that make sure our senior leaders understand the diverse
makeup and needs of the organisation they lead. Our Inclusion Index, launched in 2020, continues to allow us to measure colleagues’ experience of how
inclusive the Barclays culture is and gives us a benchmark for monitoring progress year on year. Our overall Inclusion Index score for 2021 is 79%, up
from 76% last year. 88% of colleagues say they feel included in their team.
Through our Race at Work Action Plan, we are working to close the gaps in the UK and US where some ethnicities are significantly underrepresented at
Barclays. We are focusing our efforts across four areas: increasing the number of underrepresented minority employees we hire; providing access to
career and development opportunities; creating a culture of allyship across the organisation; and being transparent and measuring our outcomes,
allowing us to see the impact our actions are having over time.
In the UK, we aim to increase the number of underrepresented minority employees by 25% by the end of 2025. This will take us to 5% overall. In the US,
we aim to increase the number of underrepresented minority employees by 20% by the end of 2025. This will take us to 21% overall. In the UK and the
US, we aim to at least double the number of Black employees at Managing Director and Director level by the end of 2022, which we are on track to
meet.
This year, we continued to review the provision of Workplace Adjustments for colleagues with disabilities to further our strategy for a more globally
consistent and supportive experience. We encourage managers to check in regularly with their teams and to emphasise the importance of safe working
and appropriate workstation setup. As part of the UK Government Disability Confident scheme, we encourage applications from people with a disability,
or a physical or mental health condition. We require managers to give full and fair consideration to those with a disability on the basis of strengths,
potential and ability, both when hiring and managing. We also ensure opportunities for training, career development and promotion are available to all.
Mental health and wellbeing continues to be a major focus, with 88% of colleagues telling us their manager supports their efforts to maintain wellbeing.
Through our Be Well programme, we continue to provide expert advice and guidance on the practical steps colleagues can take to look after their
physical and mental health. In 2021, we focused on three key areas in particular: a continued commitment to make Barclays a ‘mental health confident’
organisation, further development of our supportive culture and a renewed emphasis on sustainable working.
This year, we launched a new Wellbeing Index, with a starting score of 84%, giving us a metric for measuring the wellbeing of colleagues and informing
the Be Well programme. We are very pleased to see colleagues’ ability to balance their personal and work demands has improved from 78% in 2020 to
83% in 2021. In time, it will mean we can better understand the impact of particular activities on colleagues wellbeing and continue to evolve the Be
Well programme offering.
We continue to promote our wellbeing offerings, including the global Be Well portal, with 43% of colleagues registered. Throughout the year, we
executed leader-led campaigns to offer practical guidance on looking after physical and mental health, enhancing wellbeing and resilience and a
continued focus on safe working. We also focused on stress manageability through ongoing campaigns, and the promotion of Health and Wellbeing
workshops. We launched Developing our supportive culture e-learning with 89% completion. We were one of the first businesses to sign up to the
Mental Health at Work Commitment and we continue to deploy Mental Health Awareness as required e-learning.
You can find more information in our Diversity and Inclusion Report available at home.barclays/annualreport
Beyond the pandemic
We continue to follow government guidance relating to COVID-19 in all the jurisdictions we operate in, taking a prudent and considered approach to
return to office that prioritises the health, safety and wellbeing of colleagues.
Where possible, and in line with local government guidance, we have undertaken a programme to gradually increase the number of colleagues
returning to working in the office at least some of the time.
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Throughout the pandemic, we have kept our buildings operating safely for key workers by maintaining health and safety measures. In advance of
colleagues returning, we risk-assessed all our buildings and provided training to colleagues on the safety measures that would be in place as they
returned. We continue to evaluate and adjust these measures in accordance with government guidance and the latest epidemiology.
In the early stages of the pandemic, Barclays put in place a set of global principles to ensure we were doing as much as possible to support our
colleagues. We have kept these principles in place and evolved them with the changing nature of the pandemic. The principles and provisions have
helped colleagues cope with some of the personal challenges the pandemic has created, including offering additional paid leave to support self-
quarantine, isolation, vaccination, sickness or care for dependants, and advice made available to help support physical and mental health. Colleagues
who have returned to on-site working did so on a voluntary basis and we have worked closely with any colleagues who have concerns about returning,
to understand those concerns and support them.
We are also thinking carefully about the future of work at Barclays. We want to balance the best of the past with the best of what we have proved
possible during the pandemic. We have adopted the principle that the optimal physical location for a role is largely determined by the nature and
requirements of that role. At the same time, it is important to us that everyone at Barclays, no matter what their role, maintains a strong connection to
their colleagues at a Barclays site.
In support of our approach to future ways of working, we have revised and relaunched our principles, process and guidance on Working Flexibly. At
Barclays, we encourage colleagues to work flexibly to balance and integrate their work and other life commitments, enhance their wellbeing and
effectiveness at work and feel included, irrespective of personal circumstances. We have expanded the opportunity for many colleagues to work in a
hybrid pattern, spending part of their time working from a Barclays site and part of their time working from home. Over the course of the year,
colleagues have begun to transition to this new, hybrid way of working. We are taking a test and learn approach, and ways of working will continue to
iterate into 2022 as we focus on balancing the benefits of working on site with more flexible solutions.
Listening t o colleagues and ke eping them informed
We think colleague engagement should be a two-way exercise, with equal weight placed on listening to our people and on keeping them informed. We
want to be able to consider our colleagues’ perspective when we make decisions, including at the most senior level.
Our Your View survey is the primary mechanism for how we track engagement and monitor our culture. In addition, this year we continued to run
regular Here to Listen surveys, first launched in 2020, to make sure we're staying abreast of colleague feedback during the COVID-19 pandemic. Results
from these regular surveys are shared directly with leadership, so action can be taken to continue to provide the appropriate support for colleagues.
The results from our surveys are also an important part of the conversations our Board and Executive Committee have about our culture and how we
run Barclays. These survey results help our Board and Executive Committee take into account our colleagues' views in their decision-making. We update
the Board and its relevant sub-committees throughout the year and in addition, our leaders engage regularly with colleagues to hear what they thin k,
visiting branches, trading floors and offices as well as hosting virtual forums. Direct engagement, a comprehensive reporting approach and dedicated
time at Board meetings, enables the Board to determine that our workforce engagement approach is effective. We make sure we are keeping everyone
up to date on the strategy, performance and progress of the organisation, through a combination of leader-led engagement, digital and print
communication, blogs, vlogs and podcasts.
Our people are also encouraged to seek the views of colleagues with different perspectives and experiences via a series of monthly events and podcasts
called Courageous Conversations that provides a platform for meaningful conversations on diversity, equity and inclusion topics.
We engage with our people collectively through a strong and effective partnership with Unite, as well as the Barclays Group European Forum,
representing colleagues within the European Union, and other colleague forums. We regularly brief our union partners on the strategy and progress of
the business, seeking their input on ways in which we can improve the colleague experience of working for Barclays. The collective bargaining coverage
of Unite in the UK represents 84% of our UK workforce and 48% of our global workforce. We consult in detail with colleague representatives on major
change programmes affecting our people. We do this to help us minimise compulsory job losses, including through voluntary redundancy and
redeployment, with a focus on reskilling.
We maintain an engagement approach that is in line with the UK’s Financial Reporting Council (FRC) governance recommendations. This extends to
those who work for us indirectly as well, such as contractors. As of 2021, the Barclays Third Party Code of Conduct (TPCoC) states that all third parties
with greater than 250 employees must demonstrate through annual reporting that effective workforce engagement mechanisms are in place to provide
channels for the workforce to share ideas and concerns with senior management and the board.
Our policies
Our people policies are designed to recruit the best people, provide equal opportunities and create an inclusive culture, in line with our Values and in
support of our long-term success. They also reflect relevant employment law, including the provisions of the Universal Declaration of Human Rights and
International Labour Organisation (ILO) Declaration on the Fundamental Principles and Rights at Work.
We expect our people to treat each other with dignity and respect, and do not tolerate discrimination, bullying, harassment or victimisation on any
grounds.
We are committed to paying our people fairly with regards to their specific role, seniority, responsibilities, skills and experience and other factors which
properly affect pay, – in a way that balances the needs of all our stakeholders. That means our remuneration policies reward sustainable performance
that is in line with our Purpose and Values, as well as our risk expectations. You can find more information in our Fair Pay Report in Barclays PLC Annual
Report 2021 at home.barclays/annualreport.
We encourage our people to benefit from Barclays’ performance by enrolling in our share ownership plans, further strengthening their commitment to
the organisation. You can find out more information in the Directors’ Remuneration Report in Barclays PLC Annual Report 2021 at home.barclays/
annualreport.
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Considering the interests of stakeholders as we continue to evolve our strategy
Having regard to our stakeholders in Board decision-making
The Directors provide this statement setting out how they have had regard to the matters set out in Section 172(1)(a) – (f) of the Companies Act 2006
when performing their duty to promote the success of Barclays Bank PLC (the Company) under Section 172. Our Section 172(1) Statement provides
details of how the Directors have engaged with and had regard to the interests of our key stakeholders.
For further details of the work of the Board in 2021, refer to our Governance Report on pages 15 to 31. Details of how the Barclays Group engages with
its stakeholders can be found on pages 14 to 19 of the Barclays PLC Annual Report 2021 and are incorporated by reference into this statement.
How does the Board engage with stakeholders?
The relevance of each stakeholder group may differ depending on the particular decision the Board is taking, as may the method of engagement used
by the Board. The Board engages directly with stakeholders on certain issues, but the number and distribution of the Barclays Bank Group’s
stakeholders and the size of the Barclays Bank Group overall means that stakeholder engagement often takes place at an operational level. The Board
also receives regular reports from individual business areas and from key Barclays Bank Group functions through reports sent in advance of each Board
meeting and through in-person or video-conference presentations. This assists the Board to understand the impact of the Barclays Bank Group’s
operations on, and the interests and views of, the Barclays Bank Group’s key stakeholders.
As a result of its direct interactions and discussion of the reports and information received, the Board has an overview of engagement with stakeholders,
and other relevant factors, which enables the Directors to comply with their legal duty under Section 172(1). In doing so, the Board has to balance
different and, sometimes, competing perspectives which means that it is not always possible to deliver everyone’s desired outcome or necessarily
achieve a positive outcome for all stakeholders.
Engagement in action: Considering the interests of stakeholders as we continue to evolve our strategy
It is the Board's responsibility to establish the Company's strategy. The Board continues to believe that the diversification of our business model is a core
strength and one that we will seek to maintain and increase as we evolve. Significant time has been spent with Executive Committee members
discussing and thinking about the themes which the Board considers will shape much of the Barclays Bank Group’s evolution – the opportunities and
threats of digitisation, the continuing growth of the capital markets, and the overarching importance of our environmental and other societal
responsibilities. The outcome of those discussions has been critical in evolving the Barclays Bank Group’s strategy this year.
During 2021, the Board received an update on the performance of the Barclays Bank Group at every Board meeting. This covered engagement with
clients and key transactions, as well as financial metrics. In September and November, the Board held detailed strategy discussions on the CIB,
particularly looking at significant trends impacting banking over the medium to long term and considering the implications for the businesses and the
wider industry. The Board considered the optimum geographical scope of the activities, products and scale of these important businesses and the
investment required to support this, in particular from a technology and people perspective. The Board has overseen the development of a robust
investment plan which is reflected in the Barclays Bank Group’s Board-approved Medium Term Plan. This works to ensure that the level of investment to
support the delivery of consistent and sustainable returns, including in relation to the technology investment which is key to our operational resiliency,
matched our ambitions. The Board has carefully monitored the governance and risk management framework for the business to ensure that growth
opportunities are subject to appropriate controls, in line with risk appetite and that they are sustainable. The Board also considered key conduct and
customer elements of the strategy which supported effective risk management and oversight.
The Barclays Bank Group remains committed to delivering for its customers and clients, putting them at the heart of our decision-making while, at the
same time, looking to maintain and increase diversification, as well as protecting and strengthening our culture. Within this wider ambition, there are a
number of key areas of strategic focus for both the CIB and CC&P. Further details of th e Barclays Bank Group’s strategy can be found on pages 1 to 8 of
the Strategic Report.
In the context of how the Board established some key elements of the Barclays Bank Group strategic priorities, you will find below further details of how
the Directors have had regard to the matters set out in Section 172 when discharging their duties, and the effect of those considerations in reaching
certain decisions taken by them in relation to certain of our strategic priorit ies.
Customers and clients
During 2021, our Directors met with a number of customers and clients to discuss our strategy, including our strategy to deliver sustainable growth for
the CIB. Most notably:
•O ur Chairman held strategically focused meetings and events on this topic with a range of our largest CIB customers and clients during 2021
•Our Chief Executive pa rticipated in a significant number of direct client meetings with a strong focus on discussing the growth of our CIB
businesses, and hosted a number of C-Suite level meetings with key Barclays India clients.
As well as meeting with clients and customers directly, which allows the Board to hear their views, the Board also analyses a broad range of financial
and non-financial measures. This allows us to respond to the changing behaviours of our customers and clients. This is particularly relevant within
CC&P, where in response to changing consumer behaviour, our Board is overseeing investment in the digitisation of our businesses, delivering new
products and capabilities to reflect the growing trends.
Strategic report
Section 172(1) statement
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Barclays Bank PLC Annual Report
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Colleagues
Colleagues have been kept abreast of changes to our businesses and the evolution of the strategy through a number of events in 2021, including town
halls, blogs and vlogs, fireside chats and all-colleague messages from senior leaders including our Chief Executive and the BBPLC President, Paul
Compton. As part of his trip to our CIB offices in India, C.S. Venkatakrishnan (known as Venkat), participated in his first town hall after becoming Chief
Executive. This provided APAC colleagues not only with an opportunity to hear about the businesses' performance, as well as challenges and growth
opportunities for the region. Colleagues were also able to ask questions, with our Chief Executive responding live to colleagues’ questions on a range of
topics including technology investments, talent retention, career development and digitisation.
The Board has overseen colleague engagement and discussed colleague feedback via the results of Your View surveys as well as more specific channels
such as a communications listening programme within CC&P which provides colleagues with the opportunity to share feedback on the
communications they receive.
Directors have also heard directly from colleagues as part of targeted activities such as:
•a working group empowering CIB colleagues to speak up and share ideas to improve the business and ways of operating with Venkat and Paul
Compton
•a Treasury Event for the Liquidity Trading Team with Mohamed El-Erian, one of our Non-Executive Directors and a highly respected economist.
The Board firmly believes in attracting the very best, diverse talent and investing in colleagues’ development in order to embed capabilities and skills for
the future (particularly digital and technological). The Board has also sought and listened to the views of colleagues through dedicated Board
discussions and updates on matters including wellbeing (particularly in connection with supporting colleagues’ needs in relation to the ongoing
COVID-19 pandemic and the new hybrid way of working) and diversity and inclusion (with Venkat also chairing the Race at Work Steering Committee).
For more information on our people and the opportunities available to them, please refer to pages 9 to 11 of the Strategic Report.
Society
Barclays’ climate ambition is to be a net zero bank by 2050 and the Barclays Group has committed to align all of its financing activities to the goals of
the Paris Agreement. Within this context, the Board is focused on the delivery of this ambition, while at the same time capturing new opportunities to
deepen client relationships during the transition and new growth opportunities for Barclays’ businesses. The Board is clear on the need for transition to
happen in a co-ordinated and orderly way that preserves jobs, living standards, social cohesion and energy security. During the year, the Board reviewed
the Barclays Group’s climate strategy as a whole, having regard to the implications for the Barclays Bank Group. This has included a review of the
strategy’s further evolution, progress made to date and future focus areas.
Mindful of Barclays’ ambition to be a net zero bank by 2050 and as part of the evolution of Barclays' climate strategy, the Board has also overseen the
development of our strategy to provide the green and sustainable finance required to transition the economies we serve. You can read more about ‘Our
role in society’ on page 4 and for an overview of the Barclays Bank Group’s approach to managing climate change risk, please refer to pages 49 to 50 in
the climate change risk management section.
Investors
In order to assist Barclays PLC to fund capital distributions to its shareholders, the Company paid dividends on its ordinary shares totalling £794m
during 2021.
During the course of 2021, members of the Board and senior management met with the Barclays Group’s investors to discuss the strategy and
performance, and notably the benefits of the diversified model. The strength of the CIB through 2020 continued into 2021, enabling constructive
engagement with investors on the strategic opportunities available to Barclays. Throughout the year, representatives of the Board, senior executives and
Investor Relations held discussions with investors focused around:
•market positioning and market share opportunities presented through the strengthened performance of the CIB
•the expansion of our client base, and therefore the additional services and geographies to complement the current offerings
•discussions on the appropriate level of risk appetite for both investors, and for Barclays as a whole.
The feedback from these informative discussions helped to inform the strategic considerations discussed at the Board meetings in September and
November 2021.
The views of investors in the Barclays Group have been a key consideration in terms of how we are reviewing and evolving our climate strategy, with the
feedback received from investors about our policies and investor expectations with respect to our climate strategy, together with evolving industry
trends and public discourse on net zero, helping to inform the Board’s review. In line with the Barclays PLC's commitment to offer shareholders a 'Say on
Climate', Barclays will be publishing an update on our climate strategy, targets and methodology in advance of the Ba rclays PLC 2022 AGM.
Nigel Higgins
Chairman – Barclays Bank PLC
22 February 2022
Strategic report
Section 172(1) statement
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Barclays Bank PLC Annual Report
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Our corporate governance processes and the role they play in supporting the delivery of our strategy.
Governance
Page
•Chairman’s introduction
15
•Corporate Governance Statement
16
•Directors’ report
28
Governance
Contents
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Barclays Bank PLC Annual Report
14
The 2021 corporate governance report (Governance Report) for Barclays Bank PLC (BBPLC or the Company) provides an overview of how the BBPLC
governance framework operates and of the Board’s key areas of focus during the year.
Strategy and performance
The continuation and evolution of the COVID-19 pandemic was the defining backdrop to 2021, together with the associated economic uncertainties.
Colleagues have continued to work hard and adapted to the mixed home/office environment. It is hoped we can settle in to a clearer working pattern in
2022 and fully expect that to encompass a greater degree of choice and flexibility than in the past.
As noted in our Strategic Report, t he COVID-19 pandemic and low interest rate environment had a significant impact on our Consumer, Cards and
Payment (CC&P) businesses, as we faced declines in consumer spending and card balances, with consumers saving more and paying down existing
debt. With cash use declining and online transactions growing, the shift towards digital services and payments continues.
On the other hand, our Corporate and Investment Bank (CIB) saw significant levels of investment banking activity with both M&A and volumes in the
IPO market up on 2020 levels.
In terms of our strategic priorities, our aim in CIB is to provide comprehensive and integrated services to clients, delivering solutions across Investment
Banking, Corporate Banking and Global Markets. Within CC&P, we strive to deliver next-generation consumer businesses, offering best-in-class
consumer finance, private banking and payment solutions.
There are also important issues ahead of us on the environment and we will remain focused on the Barclays Group's net zero ambition and committed
to Paris alignment across all our financing activities.
You can read more about our strategy and performance during 2021 in our Strategic Report on pages 1 to 8.
The Board
We welcomed C.S. Venkatakrishnan (known as Venkat) to the BBPLC Board in his capacity as BBPLC Chief Executive at the same time as Venkat took on
the role of Barclays Group Chief Executive on 1 November 2021, following Jes Staley stepping down on 31 October 2021. As a result of an effective
succession plan in place we had no hesitation in asking Venkat to take on this leadership role. Venkat previously served as Head of Global Markets and
Co-President of BBPLC from October 2020 and as Barclays Group Chief Risk Officer from 2016 to 2020. He is extremely well qualified and experienced
to take on the overall leadership of both BBPLC and the Barclays Group.
Tushar Morzaria has informed the Board of his intention to retire and the Board is delighted to have, in Anna Cross, such a strong internal successor.
Anna was identified over a year ago as the Board’s preferred successor, following a review of potential internal and external candidates. Tushar has been
an outstanding Finance Director and colleague, as well as playing broader roles inside and outside Barclays. The Board is both grateful for his immense
hard work and delighted that he will have a continuing role with Barclays as Chairman of Global Financial Institutions Group in our Investment Bank.
Our clients will be able to benefit further from his deep knowledge of our industry.
W e welcomed Robert Berry to the BBPLC Board as a Non-Executive Director on 8 February 2022, reflecting our commitment to strengthening the Board
through the addition of further highly respected individuals with strong financial services expertise. Robert brings to the Board robust risk management
expertise and a proven track record of risk management for a global financial institution and will take on the role of Chair of the Board Risk Committee
with effect from 1 March 2022 (subject to regulatory approval).
Tim Breedon will retire as a member of the BBPLC Board and as Chair of the Board Risk Committee with effect from 28 February 2022. The Board would
like to express its thanks to Tim for the valuable contribution he has made to BBPLC and the Board Risk Committee during his tenure.
I am extremely grateful for the ongoing support and hard work of all my Board colleagues during 2021. Scheduled Board and Committee meetings were
supplemented by additional meetings (including a number at short notice) in order to discuss key issues arising throughout the year.
The future
The Board continues to believe that the diversification of the Barclays Bank Group remains a key strength and we intend to maintain and look to
increase our diversity as we evolve, driving revenues from across multiple businesses, different types of customers and clients and across different
geographies.
As ever, on behalf of myself and my fellow Board members, our sincere thanks to all those with whom we have worked alongside this year - our
colleagues, clients, customers, regulators and governments.
Nigel Higgins
Chairman – Barclays Bank Group
22 February 2022
Governance
Chairman’s introduction
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Barclays Bank PLC Annual Report
15
Overview of Governance Framework
Following the structural reform programme to realign the Barclays Group and ring-fence the Barclays Group's UK consumer banking business in April
2018, and a further review (post the structural reform programme) of the corporate governance structure of BBPLC and BPLC (reflecting outcomes of
discussions with the Barclays Group's regulators) i n 2019, the membership of the BBPLC and BPLC boards was partially consolidated, such that
membership of the BBPLC Board now co mprises a subset of the BPLC Board, with all members of the BPLC board, except the Barclays Group Senior
Independent Director, the Chair of Barclays Bank UK PLC (BBUKPLC) and one other Non-Executive Director, also serving on the board of BBPLC. This
improved the coordination and efficiency between the two boards and reduced complexity and unnecessary duplication. This structure vests oversight
over the activities of BBPLC in a board the members of which also have direct accountability to BPLC’s shareholders through their separate
responsibilities as members of the BPLC board.
The Board aspires to have high standards of corporate governance and, in accordance with the Companies (Miscellaneous Reporting) Regulations 2018
(the 2018 Regulations), has adopted its own corporate governance arrangements, which it believes are appropriate to apply and are designed to ensure
effective decision-making to promote the Company’s success for the long term.
The Board chose not to adopt and report against the 2018 UK Corporate Governance Code (Code), which is designed for premium listed companies
and, whilst fully supportive of the Wates Corporate Governance Principles for Large Private Companies (in particular the focus on purpose, culture and
employee and stakeholder engagement), the Board considers that those Principles are less appropriate for a wholly-owned subsidiary of a premium
listed company, which is also a complex financial institution subject to a comprehensive regulatory regime. This approach is consistent with the
approach of other significant subsidiaries within the Barclays Group, which are subject to the 2018 Regulations.
The Board’s primary aim is that our governance:
•seeks to ensure that our decision-making is aligned to our Purpose, Values and Mindset
•is effective in providing constructive challenge, advice and support to management
•provides checks and balances and drives informed, collaborative and accountable decision-making
•creates long-term sustainable value for the Company’s shareholder and the ultimate shareholders of BPLC, having regard to the interests of all our
stakeholders.
Set out below are the principles which underpin our corporate governance arrangements and how these principles have been applied during 2021.
Certain additional information, signposted throughout this section, will be available in the Strategic report and the Board and Committee Governance
section on pages 19 to 27.
Our Group-wide governance framework is set by BPLC and has been designed to facilitate the effective management of the Barclays Group. This
includes the setting of Barclays Bank Group policies and approach in relation to matters such as Barclays’ Purpose, Values and Mindset, Barclays’
Remuneration Policy and the Barclays’ Charter of Expectations. Where appropriate, this corporate governance statement makes reference to those
Barclays Group-wide policies, which are relevant to the way in which the Company is governed.
The Company’s corporate governance principles and how the Company has applied them during 2021 and to the date of this report
Principle One: Board leadership and company purpose
A successful company is led by an effective and entrepreneurial board, whose role is to establish the company’s purpose, values and strategy, aligned to
its culture and make decisions to promote its success for the long term benefit of its shareholder, having regard to the interests of other relevant
stakeholders and factors.
▪Through the leadership of the Board, a clear vision for the Company’s Purpose, Values and M indset is articulated, underpinning and defining the
strategy and culture of the organisation. This is embedded at every level of management.
▪During 2020, the Board adopted a new, extended narrative of the Barclays Group’s Purpose and the refreshed descriptions of our Values to make
sure they are still relevant for the challenges ahead. In early 2021, the Board adopted the new Barclays Mindset - Empower, Challenge and Drive -
which defines the way we want to get things done at Barclays. The Board reviewed the newly created Mindset Dashboard which highlights early
insights and areas of focus, as well as management actions that are being taken to embed and enact the Barclays Mindset going forward.
▪The Board believes that positive culture, supported by effective leadership and a consistent ‘tone from the top’ is crucial to our success. Culture
remains a core area of focus for the Board and is reviewed in a number of ways. The Board supports The Barclays Way which sets the framework for
achieving a dynamic and positive culture. The Board receives feedback on our culture through a number of channels, including receiving reports on
the outcome of colleague surveys and direct engagement with colleagues locally, such as town hall meetings and office visits. Refer to Our people
and culture section on pages 9 to 11 for more information on workforce matters.
▪During 2021, the Board continued to monitor Barclays' response to the impact of the COVID-19 pandemic on the Company's activities across the
globe, making decisions to support key stakeholder groups, including customers and clients, colleagues and wider society.
▪Given its fundamental importance, the Board considered strategy matters at each of its 2021 meetings, continuing to deepen its understanding of
the Barclays Bank Group's business and the risks and opportunities the Barclays Group and the wider banking industry faces with a prioritised series
of ‘deep dives’ sessions throughout the year. This enabled the Board to spend a good proportion of its time considering longer-term and strategic
issues. Deep dive topics were informed by discussions with BPLC's shareholders and other stakeholders, as well as formal and informal Board
discussions and included a broad range of topics, including Payments and US Consumer Bank and risk areas such as Cyber, Ransomware and
Cloud, as well as Conduct Risk.
▪Further detail on the Company’s strategy can be found on pages 1 to 4 of the Strategic Report and separately on pages 10 to 11 of the BPLC Annual
Report 2021. Read our Section 172(1) statement on pages 12 to 13 for details of how our Board considered the interests of our stakeholders as it
continued to evolve our strategy.
Governance
Corporate Governance Statement
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Barclays Bank PLC Annual Report
16
Principle Two: Division of responsibilities
An effective board requires a clear division of responsibilities with the Chair leading the board and being responsible for its overall effectiveness, and the
executive leadership of the company’s business being delegated to the Chief Executive Officer. The board should consist of an appropriate combination
of executive and independent non-executive directors, each with a clear understanding of their accountability and responsibilities. The board’s policies
and procedures should support effective decision-making and independent challenge.
▪There is a clear division of responsibilities between the Chair and Chief Executive. Details of the role of each can be found on page 19 of this report.
Page 19 sets out details of who is on the Board with a majority of the Board comprised of independent Non-Executive Directors.
▪Policies and protocols are in place to support effective decision-making and independent challenge, including the Barclays' Charter of Expectations,
setting out clearly the role and responsibilities of each Director. In accordance with the Charter of Expectations, Non-Executive Directors are
responsible for providing effective oversight and scrutiny, strategic guidance and constructive challenge whilst holding the Executive Directors to
account. The Chairman meets privately with the Non-Executive Directors when appropriate, to promote required independence.
▪The Board’s responsibilities are executed in part through Board Committees, each of which has its own Committee terms of reference which clearly
set out its remit and decision-making powers. The Chairs of each of the Board Committees provide a report on the work of the Committee at every
Board meeting. Details of the principal Committees and their core responsibilities and activities in 2021 are set out on pages 21 to 24 of this report.
▪Appropriate information and support is provided to the Board, to enable it to undertake its work with due care and discharge its responsibilities. See
page 20 for further details.
▪The Barclays Group corporate governance manual sets out guidelines as to how the Barclays Group entities and their respective Boards and Board
C ommittees should interact, while also providing guidance and clarity for management and directors as to how these relationships and processes
should work in practice. It is a dynamic document that continues to evolve with the changing nature of the Barclays Group.
Principle Three: Composition, succession and evaluation
A board with the right balance of skills, experience and diversity is critical to the sustainable delivery of value to the company’s shareholder and broader
stakeholders. The size of the board should be guided by the scale and complexity of the company and appointments should be based on merit and
objective criteria, with a view to promoting diversity and subject to a formal, rigorous and transparent procedure, which is underpinned by an effective
succession plan for board and senior management. A successful board is a cohesive board that provides informed and constructive challenge to the
management team and measures its effectiveness.
▪The size and composition of the Board is considered appropriate for the business of the Barclays Bank Group. There is a good balance between
Executive and independent Non-Executive Directors, with the Non-Executive Directors providing independent challenge. The Board members have a
strong combination of technical, finance (including significant financial services experience) and commercial skills and have broader experience in
culture and colleague engagement.
▪The membership of the Board is drawn exclusively from the BPLC Board. On 1 November 2021, the Board appointed Venkat as BBPLC Chief
Executive, following Jes Staley's departure on 31 October 2021. On 22 February 2022, Tushar Morzaria notified the Board of his intention to retire
from the Board and as Group Finance Director and it has been agreed that this will take effect on 22 April 2022, with Anna Cross succeeding him as
a member of the Board and as Group Finance Director on 23 April 2022. The Board appointed Robert Berry as a Non-Executive Director with effect
from 8 February 2022, and announced that Tim Breedon would be retiring as a member of the Board with effect from 28 February 2022.
▪All appointments to the Board and senior management are based on merit and objective criteria, with a continued strong belief in the benefits of
diversity (of gender, social and ethnic backgrounds, cognitive and personal strengths) for an effective Board and organisation. This will remain a key
area of focus as the Company continues to strive to build a workforce that reflects the diversity of its customers and the communities it serves.
▪There is regular review of the leadership and succession needs of the business to maintain the depth and diversity of the talent and succession
pipeline at the Board, Executive and key management level. This remains a key focus to maintain the quality of leadership that is in place to lead the
business in the delivery of the strategy, against a challenging economic and operating environment.
▪The Board approved a number of changes to our Executive Committee during 2021. You can read more about these on page 26 of this report.
▪Effectiveness is supported through routine evaluations of the Board and Board Committees. I n 2021, the Board and Committee effectiveness
evaluations were externally facilitated by Christopher Saul Associates (CSA), an independent, external corporate governance advisory firm with no
connection to the Barclays Bank Group or any individual BBPLC Director other than as disclosed on page 129 of the BPLC Annual Report 2021, in
parallel with the external review of the BPLC Board and Committees. Key findings are included for the Board and each Board Committee on pages
21 to 25 of this report.
▪Ongoing training and professional development is a key focus to provide Board members with a deeper and more granular understanding of the
business, contributing to informed and sound decision-making. Further detail on 'training and induction' can be found on page 27 of this report.
▪Diversity and inclusion (D&I) across the Barclays Group remains a key area of focus. Further information can be found in Barclays’ D&I report, which
will be made available on the Barclays' website. The report explains Barclays’ D&I strategy and progress in this area.
Principle Four: Audit, Risk and Internal Control
A board should establish formal and transparent policies and procedures to (i) identify the nature and extent of principal risks the company is willing to
take in order to achieve its long-term strategic objectives; (ii) manage such risks effectively; (iii) oversee the internal control framework; (iv) promote the
independence and effectiveness of internal and external audit functions; and (v) satisfy itself on the integrity of financial reporting.
▪The Company is committed to operating within a strong system of internal control that enables business to be transacted and risks taken without
exposure to unacceptable potential losses or reputational damage. The principal risks facing the Barclays Bank Group have been identified and
robust processes are in in place to evaluate and manage such risks including regular reporting to, and oversight by, the Risk Committee and the
Board. A key component of the risk management framework is the Enterprise Risk Management Framework (ERMF), which supports the business
in its aim to embed effective risk management and a strong risk management culture. The ERMF is designed to identify and set minimum
requirements, in respect of the main risks, to achieve the Company’s strategic objectives and to provide reasonable assurance that internal controls
are effective. An updated ERMF was adopted by the Board in December 2021 which reflects that Climate Risk became a Principal Risk under the
ERMF from 1 January 2022. Further detail on the principal risks and management of them can be found on pages 5 to 6 of the Strategic Report.
Governance
Corporate Governance Statement
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Barclays Bank PLC Annual Report
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▪The Board approves the Company's risk appetite (the level of risk the Company is prepared to accept across different risk types) within the
parameters set by the BPLC Risk Committee. Significant steps have been taken in recent years to de-risk the business in order to support sustainable
growth and value creation in the future.
▪Effectiveness of risk management and internal controls is reviewed regularly by the Risk Committee (responsible for providing oversight on current
and potential future risk exposures) and the Audit Committee (responsible for controls, including reviewing audit reports, internal controls and risk
management systems). Please see pages 21 to 24 for further detail on the role of these Committees.
▪The Audit Committee continues to provide its oversight of the financial reporting processes and the work of the external and internal auditors
(including independence and effectiveness). Further detail can be found on pages 21 to 22 of this report.
Principle Five: Remuneration
The remuneration policies and practices should support strategy and promote long-term sustainable success, and be developed in accordance with
formal and transparent procedures, ensuring no director is involved in deciding their own remuneration outcome. Executive remuneration should be
aligned to the company’s purpose and values and the successful delivery of the strategy; with outcomes taking account of company and individual
performance, and wider circumstances such as pay across the Company’s workforce and Barclays’ Fair Pay agenda.
▪Barclays’ Remuneration Policy is set by the BPLC Remuneration Committee, but adopted by the Company’s independent Remuneration Committee.
Remuneration is aligned to the Company’s strategy and risk management approach and designed to promote the long-term success of the
Company.
▪Executive and senior management remuneration approaches are developed in accordance with the Group’s formal procedures (ensuring no
Director is involved in deciding their own remuneration outcome) and having regard to workforce remuneration policies and alignment of
incentives and rewards with culture and performance as reviewed annually by the BPLC Remuneration Committee and shared with the Company’s
Remuneration Committee.
▪The Remuneration Committee has clearly defined terms of reference, with responsibility for the development of a remuneration approval
framework to ensure an appropriate level of oversight of senior remuneration decisions, as well as annual consideration of the Company incentive
pool to ensure alignment with delivery of the Company’s strategic ambitions.
▪The Company remains focused on closing its gender and ethnicity pay gaps, where they exist. Barclays is due to publish its 2021 gender pay gap
statistics on the government's gender pay gap reporting portal and the Barclays website on 23 February 2022. This will include the voluntary
disclosure of Barclays' ethnicity pay gaps in the UK. For 2021, Barclays will also publish a Fair Pay report summarising its approach to pay fairness,
and a separate D&I report explaining Barclays' D&I strategy and progress during 2021.
Principle Six: Stakeholder relationships and engagement
Directors should foster effective stakeholder relationships aligned to the company’s purpose. The board should recognise the importance of listening to,
and understanding the views of its stakeholders, including the workforce, and specifically the impact of the company’s behaviour and business on
customers and clients, colleagues, suppliers, communities and society more broadly; having regard to these views and impact when taking decisions.
▪As described under Principle One, the Company has a defined Purpose and strategy; through this the Board has identified key stakeholders on
whom the success of the Company depends. Please see pages 12 of the Strategic Report for details of our key stakeholders.
▪The Board seeks to understand the views of key stakeholders and the impact of the Company’s behaviour and business on customers and clients,
colleagues, suppliers, communities and society more broadly. Refer to our S ection 172(1) statement on pages 12 to 13 of the Strategic Report for
further information.
▪The Company’s long-standing commitment to the importance and value of colleague engagement continues; the Company’s people are its most
valuable asset. Further detail on the Company’s workforce commitment and engagement model can be found on pages 9 to 11 of the Strategic
Report.
▪The Board and management engage throughout the year with the Company's stakeholders.
Governance
Corporate Governance Statement
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Barclays Bank PLC Annual Report
18
The Board
The Directors who served during the financial year ended 31 December 2021 are set out in the table below, together with the composition of each of
the Board’s Committees.
Board
Audit Committee
Risk Committee
Remuneration
Committee
Nominations
Committee
Nigel Higgins
Chairman of the Board
C
C
Mike Ashley
Independent Non-Executive Director
M
C
M
M
Tim Breedon
Independent Non-Executive Director
M
M*
C
M*
M
Mohamed El-Erian
Independent Non-Executive Director
M
M
Dawn Fitzpatrick
Independent Non-Executive Director
M
M
M+
Mary Francis
Independent Non-Executive Director
M
C++
Diane Schueneman
Independent Non-Executive Director
M
M
M
M
C.S. Venkatakrishnan
Executive Director
M+++
Tushar Morzaria
Executive Director
M
Former Directors
Jes Staley
Executive Director
M**
Director appointed post 31 December 2021
but prior to publication of this report
Robert Berry
Independent Non-Executive Director
M
C Chair of Board or Committee
M Member of Board or Committee
* Tim Breedon stepped down from each of the Audit Committee and Remuneration Committee on 31 October 2021
** Jes Staley stepped down from the Board on 31 October 2021
+ Dawn Fitzpatrick joined the Remuneration Committee with effect from 1 July 2021
++ Mary Francis was appointed to the role of Remuneration Committee Chair with effect from 24 May 2021, with Tim Breedon stepping down from this role
+++ With effect 1 November 2021, C.S. Venkatakrishnan took over as Chief Executive, and was appointed as an Executive Director
On 22 February 2022, Tushar Morzaria notified the Board of his intention to retire from the Board and it has been agreed that this will take effect on 22
April 2022, with Anna Cross succeeding him as a member of the Board on 23 April 2022.
W e welcomed Robert Berry to the Board as a Non-Executive Director on 8 February 2022. Robert will take on the role of Chair of the Board Risk
Committee with effect from 1 March 2022 (subject to regulatory approval), when he will also join the Board Audit Committee as an additional member.
Tim Breedon will retire as a member of the Board and as Chair of the Board Risk Committee with effect from 28 February 2022. The Board is grateful to
Tim for the valuable contribution he has made to BBPLC and the Board Risk Committee during his tenure.
Executive and Non-Executive Directors share the same duties and are subject to the same constraints. However, a clear division of responsibilities has
been established. The Chair is responsible for leading the Board and its overall effectiveness, demonstrating objective judgement and promoting a
culture of openness and constructive debate between all Directors. The Chair facilitates the effective contribution of all Non-Executive Directors and
ensures Directors receive accurate, clear and timely information. It is the Board’s responsibility to ensure that management deliver on short-term
objectives, whilst promoting the long-term success of the Company and the Barclays Bank Group. The Board is also responsible for ensuring that
management maintains an effective system of internal control which should provide assurance of effective and efficient operations, internal financial
controls and compliance with law and regulation. In meeting this responsibility, the Board considers what is appropriate for the Company’s business
and reputation, the materiality of financial and other risks and the relevant costs and benefits of implementing controls.
The Board is responsible for the Barclays Bank Group, which contains the majority of the Barclays Group’s Barclays I nternational division, which is
comprised of the CIB and CC&P businesses.
The BBPLC Matters Reserved to the Board ensures that appropriate coordination with the governance of the partially consolidated boards is in place.
The Matters Reserved to the Board specifies those decisions to be taken by the Board, including but not limited to material decisions relating to strategy,
risk appetite, medium term plans, capital and liquidity plans, risk management and controls frameworks, approval of financial statements, approval of
large transactions, approval of share allotments and dividends. The Board has delegated the responsibility for making and implementing operational
decisions and running the Company’s business on a day-to-day basis to the Chief Executive and his senior management team.
The current Board comprises a Chairman, who was independent on appointment, two Executive Directors and seven independent Non-Executive
Directors. The majority of the Board are independent Non-Executive Directors bringing significant expertise (including external perspectives) and
independent challenge. The independence of the Non-Executive Directors is considered annually.
Governance
Corporate Governance Statement
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Barclays Bank PLC Annual Report
19
Attendance
Directors are expected to attend every Board meeting. During 2021 there was one ad hoc Board meeting convened at short notice in addition to the
usual schedule of Board meetings. Attendance was very strong at both the scheduled and ad hoc meetings, as reflected in the table below:
Director
Scheduled eligible meetings
attendance
Additional eligible meetings
attendance
Effective Date
Nigel Higgins
14/14
1/1
Appointed 1 March 2019
Mike Ashley
14/14
1/1
Appointed 25 September 2019
Tim Breedon
13/14
1/1
Appointed 25 September 2019
Mohamed El-Erian
14/14
1/1
Appointed 1 January 2020
Mary Francis
14/14
1/1
Appointed 25 September 2019
Dawn Fitzpatrick
14/14
1/1
Appointed 25 September 2019
Tushar Morzaria
14/14
0/0
Appointed 7 February 2020
Diane Schueneman
14/14
1/1
Appointed 25 September 2019
C.S. Venkatakrishnan
4/4
0/0
Appointed 1 November 2021
Former Director
Jes Staley
10/10
0/0
Stepped down 31 October 2021
What the Board did in 2021
During 2021, the Board focused on the following specific areas:
Strategy and operational matters
▪Continued to monitor our response to the impact of the COVID-19 pandemic on our activities and decisions to support our key stakeholders -
customers and clients, colleagues and society. One of the Board's key considerations in 2021 was the consideration of the strategy regarding the
return to office of our colleagues and how the Barclays Bank Group would move to future ways of working, ensuring a balanced and flexible
approach which will meet the needs of the business whilst also preserving the benefits of flexible working.
▪Received updates on sustainability, and reviewed progress against the Barclays climate strategy and policies and discussed in detail its evolution,
including expanded ambitions and social responsibility. The Board also reviewed the potential financial, operational, commercial and legal
implications of Barclays Bank Group's approach to climate strategy.
▪Discussed regular updates from the Chief Executive and BBPLC (Co-) President(s) on the progress being made against the BBPLC strategy and
business performance, operational and technology matters. These strategy reviews included a prioritised series of deep dives throughout the year
which covered a wide range of topics, including Payments and US Consumer Bank and r isk areas including C yber, Ransomware and Cloud, as well
as Conduct Risk. The Board also held an extensive s trategy deep dive to consider the big trends that will impact the wider banking industry over the
next decade and the implications of these and how they are reflected in the strategy.
▪Adopted the new Barclays Group-wide Mindset - Empower, Challenge and Drive - which defines how we want to get things done at Barclays, and
reviewed the implementation and embedment of Barclays Mindset. As a core part of the Barclays Group culture and significant focus for the Board,
the Board received feedback on culture through various channels, including reports on the outcome of colleague survey results and direct
engagement with colleagues via town halls.
▪Adopted t he Barclays Group's Race at Work ambitions and reviewed progress that has been made against the Race at Work Action plan.
Finance and liquidity
▪Regularly assessed the financial performance of the various businesses and the Barclays Bank Group results through reports from the BBPLC Chief
Financial Officer and through business specific updates to the Board.
▪Reviewed and approved BBPLC’s financial results prior to publication.
▪Reviewed and approved the payment by BBPLC of the 2020 full year dividend paid in March 2021 and the 2021 interim dividends paid in March
2021 and August 2021. Details of dividends paid in 2021 are set out in Note 10 of the financial statements.
▪Considered and approved the BBPLC elements of the Barclays Group Recovery Plan.
▪Considered and approved the BBPLC Medium Term Plan (MTP).
Governance and risk (including regulatory issues)
▪Delegated authority to the Risk Committee to consider and recommend, on behalf of the Board, the adoption by the Company of the Internal Capital
Adequacy Assessment Process and Internal Liquidity Adequacy Assessment Process.
▪Received regular updates on key risk themes, including on the continued impact of the COVID-19 pandemic, and approved the Company’s risk
appetite.
▪Received reports on operational resilience.
▪Considered and approved appointments of senior executives following recommendation from the Nominations Committee. The Board also
approved changes to the BBPLC Executive Committee with effect from November 2021. On Venkat's appointment as Chief Executive, Paul Compton
assumed the role of Global Head of the Corporate and Investment Bank and sole President of BBPLC.
▪Received regular reports from the Chair of each Board Committee. Please see the reports from the Committee Chairs which set out the principal
activities of each Committee, below on pages 21 to 24.
Governance
Corporate Governance Statement
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Barclays Bank PLC Annual Report
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▪Received and considered the feedback from the Barclays Group’s principal regulators.
▪Considered the results of the externally facilitated Board effectiveness evaluation.
Board Committees
The main Board Committees are the Audit Committee, the Nominations Committee, the Remuneration Committee and the Risk Committee. Pursuant to
authority granted under the Company’s Articles of Association, each Board Committee has had specific responsibilities delegated to it by the Board. You
can read about what each of the Committees did during 2021 on the following pages.
The Chair of each Board Committee provides a report on Committee business at each Board meeting, including any matters being recommended by the
Committee for Board approval.
Board Audit Committee
The Audit Committee is comprised solely of independent Non-Executive Directors, with membership of the Audit Committee largely aligned with the
BPLC Audit Committee and designed to provide the breadth of financial expertise and commercial acumen it needs to fulfil its responsibilities. Its
members as a whole have recent and relevant experience of the banking and financial services sector, in addition to general management and
commercial experience, and are financially literate. The Audit Committee is chaired by Mike Ashley who has over 20 years accounting and audit
experience. Diane Schueneman is the other member of the Committee. Tim Breedon was a member of the Committee until he stepped down with effect
from 31 October 2021. Robert Berry will join the Committee as an additional member with effect from 1 March 2022, further to his appointment to the
Board as a Non-Executive Director on 8 February 2022.
Audit Committee meetings were attended by representatives from Barclays Group and/or BBPLC management in respect of matters relevant to their
function or business area, including the Chief Executive, Chief Financial Off icer, President of BBPLC, Barclays Group and/or BBPLC Chief Compliance
Officer , Chief Controls Officer, Barclays Group Chief Operating Officer, Barclays Group Chief Internal Auditor and the BBPLC Chief Internal Auditor, and
the Barclays Group General Counsel, as appropriate, and the Company’s statutory auditors, KPMG.
The Audit Committee held a number of separate private sessions with the Group Chief Internal Auditor and the BBPLC Chief Internal Auditor and with
the lead audit engagement partner of the statutory auditor, which were not attended by management.
As part of the Company’s commitment to effective oversight and allocation of responsibilities between the BPLC Audit Committee, the BBUKPLC Audit
Committee and the Committee, Mike Ashley held frequent meetings during 2021 with the BBUKPLC Audit Committee Chair to share relevant
information and to ensure embedment of information flows and governance practice. In addition, discussions were held with the Audit Committee
Chairs of the Company’s major subsidiaries, Barclays Bank Ireland PLC and Barclays US LLC.
Attendance at the Audit Committee during 2021 was as follows:
Member
Meetings attended/eligible to attend
Effective Date
Mike Ashley (Chair)
11/11
Appointed 25 September 2019
Diane Schueneman
11/11
Appointed 25 September 2019
Tim Breedon
10/10
Stepped down 31 October 2021
The principal role and responsibilities of the Audit Committee, pursuant to its Terms of Reference, are:
▪Assessing the integrity of the Barclays Bank Group’s financial reporting and satisfying itself that any significant financial judgements made by
management are sound.
▪Evaluating the effectiveness of the Barclays Bank Group’s internal controls, including internal financial controls.
▪Scrutinising the activities and performance of the internal and statutory auditors, including monitoring their independence and objectivity.
▪Overseeing the relationship with the Barclays Bank Group’s statutory auditor.
▪Reviewing and monitoring the effectiveness of the Barclays Bank Group’s whistleblowing procedures.
▪Overseeing significant legal and regulatory investigations, including the proposed litigation statement for inclusion in the Company’s statutory
accounts.
During 2021, the principal activities of the Audit Committee included:
▪Financial reporting: assessing the appropriateness of financial disclosures, paying particular attention to the Expected Credit Loss (ECL) judgements
and related IFRS 9 disclosures, having regard to guidance issued by regulators as part of their response to the COVID-19 pandemic.
▪Impairment: assessing the appropriateness of impairment experience against forecast and considering whether impairment provisions were
appropriate. As part of its monitoring, the Committee considered a number of reports from management, including the continuing economic
impact of the COVID-19 pandemic on model performance and outcomes, the impact of the ongoing uncertain macro-economic environment and
model changes and model validation.
▪Conduct provisions: analysing the judgements and estimates made with regard to the Barclays Bank Group’s material conduct provisions.
▪Legal, competition and regulatory provisions: evaluating advice on the status of current legal, competition and regulatory matters and considering
management’s judgements on the level of provisions.
▪Valuations: monitoring the valuation methods applied by management to significant valuation items and areas of judgement and, in particular,
considering valuations in the light of IBOR transition.
▪Tax: o verseeing tax matters relating to the Barclays Bank Group, including tax risk provisions and regulatory matters.
▪Internal controls and business control environment: monitoring and evaluating the status of significant control issues through regular reports from
the Chief Controls Officer, including updates on progress of remediation programmes relevant to the Barclays Bank Group, ongoing COVID-19
related issues, r eturn to office planning, the annual data protection update, an update on operational resilience, and monitoring Client Asset
Sourcebook (CASS) updates and compliance with CASS.
Governance
Corporate Governance Statement
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▪Raising concerns: reviewing management's reports on whistleblowing matters; monitoring whistleblowing metrics and retaliation reports, as well as
considering potential whistleblowing trends which might emerge.
▪Internal audit: receiving reports from Barclays Internal Audit in relation to specific audits, key areas of focus and themes; overseeing issues arising
from unsatisfactory audit reports and monitoring related remediation plans; discussing Barclays Internal Audit’s assessment of the management
control approach and control environment in the Barclays Bank Group; approving the appointment of the Chief Internal Auditor for BBPLC.
▪External audit: reviewing and approving the annual audit plan for the Barclays Bank Group, including the main areas of focus, and assessing the
progress of the 2021 audit. The Audit Committee also reviewed audit quality and discussed KPMG’s feedback on the Barclays Bank Group's critical
accounting estimates and judgements.
The 2021 Committee effectiveness review was externally facilitated by CSA. The review of the Committee was carried out in conjunction with the review
of the BPLC Audit Committee. Feedback from the review confirms that the Committee is operating effectively, with constructive engagement with
management observed in meetings and appropriate challenge. The review also confirms that concurrent meetings of the BPLC Audit Committee and
the Committee continue to be effective, with reporting of Committee proceedings at Board meetings pitched at an appropriate level of detail.
It was noted that the Board’s strategic priorities for Non-Executive Director recruitment included those with recent and relevant financial experience,
which would be of benefit to the Committee. The review recommended that consideration be given to how the Committee’s future agendas might be
shaped more towards ‘bigger picture’ issues, whilst acknowledging the Committee’s broad remit, the complexity of Barclays and the expectations of the
Barclays Group’s regulators. A continued focus on the split of work between the Board and the Committee, and potential overlap between the work of
the Committee and the other Board Audit Committees within the Barclays Group, was considered to be beneficial.
Board Nominations Committee
The Nominations Committee is comprised solely of independent Non-Executive Directors. The Nominations Committee members are Nigel Higgins, as
Chairman of the BBPLC Board, along with Mike Ashley, Tim Breedon and Diane Schueneman. Tim Breedon will retire as a member of the Nominations
Committee with effect from 28 February 2022, when he will also step down from the BBPLC Board and Board Risk Committee.
In addition to scheduled meetings, the Nominations Committee also held three ad hoc meetings during 2021. Attendance by the Nominations
Committee members is shown in the table below. Owing to a prior commitment, Tim Breedon was unable to attend one ad hoc meeting of the
Committee which had been scheduled at short notice. Nominations Committee meetings were attended during the year by the Chief Executive, the
BPLC HR Director and the BBPLC HR Director, as appropriate.
Attendance at the Nominations Committee during 2021 was as follows:
Member
Meetings attended/eligible to attend
Effective Date
Nigel Higgins (Chair)
6/6
Appointed 1 March 2019
Mike Ashley
6/6
Appointed 25 September 2019
Tim Breedon
5/6
Appointed 25 September 2019
Diane Schueneman
6/6
Appointed 25 September 2019
The principal role and responsibilities of the Nominations Committee, pursuant to its Terms of Reference, are:
▪Considering appointments to the Board, its Committees and boards of BBPLC's significant subsidiaries.
▪Considering the composition of the Board and its Committees.
▪Considering succession planning and talent management.
▪Evaluating Board effectiveness.
▪Assessing the length of Directors’ tenure.
▪Considering Board induction and training.
▪Evaluating conflicts of interest.
▪Evaluating governance matters.
During 2021, the principal activities of the Committee included:
▪Reviewing and approving Board and Board Committee size, composition and succession planning, taking into account tenure, time commitment,
skills, knowledge, experience and diversity of the Directors, and identifying any desirable skills to aid the Company in operating and competing
effectively (and leading the search and recruitment process).
▪Receiving updates on the Company’s executive governance framework, talent and succession management, and reviewing and approving proposed
changes to Executive Committee composition (further to the appointment of Venkat as Chief Executive on 1 November 2021), and Executive
Committee succession planning.
▪Continuing to champion, alongside the Board, the Group’s Race at Work Action Plan, designed to increase the number of under-represented
minority employees in our wider workforce; providing more Black and ethnically diverse colleagues with access to career and development
opportunities; creating a culture of allyship; and being transparent and measuring our outcomes. You can read more about D&I, including Barclays’
Global Race at Work Action Plan and data on gender and ethnic diversity, in the Barclays D&I report which will be made available on the Barclays
website.
▪Reviewing and updating the Board Diversity Policy in February 2021, including re-affirming the existing gender diversity target (33% female) and
adopting a new ethnic diversity target aligned with the Parker Review on the ethnic diversity of UK Boards (at least one Board member to be a
Person of Colour). Please refer to page 27 for further information.
▪Receiving updates on succession planning for the Company's main subsidiary company Boards.
▪Considering Director training and development.
▪Review of recommendations arising from the 2020 Board effectiveness review, and overseeing the externally facilitated 2021 Board Effectiveness
Review undertaken by CSA.
Governance
Corporate Governance Statement
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Barclays Bank PLC Annual Report
22
The 2021 Committee effectiveness review was externally facilitated by CSA. The review of the Committee was carried out in conjunction with the review
of the BPLC Nominations Committee. Feedback from the review indicated that the Committee is operating effectively, with a good level of debate and
clear decision-making. The Committee is considered well chaired, with a good level of engagement by other Committee members and constructive
challenge of management observed. Succession planning for the Board and Executive Committee was recognised as having been at the core of the
Committee’s role during the year, noting that the Committee also considered matters relating to Board succession for its key subsidiaries such as
Barclays Bank Ireland PLC.
The review recommended that there may be benefit in further reflection upon Committee membership and the desired composition and scope of
activities of the Committee, given that other Non-Executive Directors attended a number of Committee meetings in 2021 in light of there having been
some important matters to be considered regarding succession planning and the desire to hear from all Non-Executive Directors on these matters.
While routine matters were covered in line with the Committee’s Terms of Reference, it was noted that the Committee may benefit from a more
formalised meeting schedule and training sessions for members, as suggested in previous evaluations. It was acknowledged, however, that a more
formalised meeting schedule might not always be possible in the context of the nature of the Committee’s roles and responsibilities and that
opportunities for in-person training had remained limited in 2021 as a result of the ongoing COVID-19 pandemic. Further consideration will be given to
these points during 2022.
Board Remuneration Committee
The Remuneration Committee is comprised solely of independent Non-Executive Directors. The Remuneration Committee is chaired by Mary Francis
with Dawn Fitzpatrick as the other member. Tim Breedon stepped down as Chair of the Committee in May 2021 and remained a member until he
stepped down from the Committee with effect from 31 October 2021.
The principal role and responsibilities of the Remuneration Committee, pursuant to its Terms of Reference, are to:
▪Adopt the over-arching principles of remuneration policy for the Barclays Bank Group within the parameters set by the BPLC Remuneration
Committee.
▪Consider and endorse the incentive pool for the Company and its subsidiaries and the remuneration of key BBPLC executives and other specified
individuals as determined by the Remuneration Committee from time to time.
▪Exercise oversight of remuneration issues within the Barclays Bank Group.
▪Approve the remuneration and compensation arrangement of employees that fall within the remit of the Remuneration Committee.
In addition to scheduled meetings, the Remuneration Committee also held a number of ad hoc meetings during 2021. Attendance by the Remuneration
Committee members is shown in the table below. Remuneration Committee meetings are attended by management, including the Chief Executive and
the BPLC HR Director.
Attendance at the Remuneration Committee during 2021 was as follows:
Member
Meetings attended/eligible to attend
Effective Date
Mary Francis (Chair, effective 24 May 2021)
7/7
Appointed 25 September 2019
Tim Breedon
5/5
Stepped down 31 October 2021
Dawn Fitzpatrick
3/3
Appointed 1 July 2021
During 2021, the principal activities of the Committee included:
▪Reviewing and adopting the Barclays Group People Risk Reward Policy, Material Risk Taker Identification Methodology and 2021 Incentive Funding
Frameworks.
▪Adopting the funding ratio.
▪Reviewing Fair Pay agenda and pay gaps, and Ethnicity pay gaps reporting.
▪Endorsing the 2021 ex-ante risk adjustments.
▪Considering regular updates on stakeholders, regulatory and legal, financial and risk performance, pay round timings and approach.
▪Reviewing specific remuneration proposals for individuals within the Remuneration Committee’s remit.
▪Reviewing Committee effectiveness.
The 2021 Committee effectiveness review was externally facilitated by CSA. Feedback from the review confirms that the Committee is operating
effectively, with constructive engagement with management and appropriate challenge observed in meetings, coupled with balanced contributions
from Committee members during meetings. Feedback also highlights that the Committee is able to make important decisions at pace. In addition,
feedback noted that consideration was still being given to adding an additional member to the Committee.
Board Risk Committee
The Risk Committee is comprised solely of independent Non-Executive Directors with membership of the Committee broadly aligned with the BPLC Risk
Committee. The Risk Committee is chaired by Tim Breedon. Mike Ashley, Mohamed El-Erian, Dawn Fitzpatrick and Diane Schueneman are the other
members of the Committee. In addition to scheduled meetings, the Risk Committee also held a number of additional meetings during 2021. Robert
Berry will join the Committee as Chair with effect from 1 March 2022 (subject to regulatory approval), further to his appointment as a Non-Executive
Director on 8 February 2022. Tim Breedon will retire as a member and Chair of the Committee with effect from 28 February 2022.
One of the key roles of the Risk Committee is to review and challenge the risk profile and risk appetite of the Barclays Bank Group and to consider key
risk issues and internal control and risk policies concerning the Barclays Bank Group. Risk Committee meetings are attended by management, including
the Chief Executive, Barclays Group Finance Director, BBPLC Chief Financial Officer, BBPLC President, Barclays Group Chief Risk Officer, BBPLC Chief Risk
Officer, Barclays Group Chief Compliance Officer, BBPLC Chief Compliance Officer, Barclays Group Chief Internal Auditor, Barclays Group General
Counsel, as appropriate, and the Company’s statutory auditors, KPMG.
Governance
Corporate Governance Statement
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Barclays Bank PLC Annual Report
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In addition to scheduled meetings, the Risk Committee also held two ad hoc meetings during 2021. Attendance by the Risk Committee members is
shown in the table below. Mohamed El-Erian was unable to attend the one ad hoc meeting of the Committee called at short notice.
Attendance at the Risk Committee during 2021 was as follows:
Member
Meetings attended/eligible to attend
Effective Date
Tim Breedon (Chair)
11/11
Appointed 25 September 2019
Mike Ashley
11/11
Appointed 25 September 2019
Mohamed El-Erian
10/11
Appointed 1 July 2020
Dawn Fitzpatrick
11/11
Appointed 1 January 2020
Diane Schueneman
11/11
Appointed 25 September 2019
The principal role and responsibilities of the Risk Committee, pursuant to its Terms of Reference, are to:
▪Review, on behalf of the Board, the management of the principal risks as set out in the ERMF with the exception of Reputation risk which is a matter
reserved to the Board.
▪Consider and recommend to the Board, within the risk parameters set by the Risk Committee, the Company’s risk appetite and tolerance for those
principal risks.
▪Review, on behalf of the Board, the Barclays Bank Group’s risk profile for those principal risks.
▪Commission, receive and consider reports on key risk issues.
During 2021, the principal activities of the Risk Committee included:
▪Advising the Board on the appropriate risk appetite and risk tolerance for the principal risks in the ERMF when determining strategy, including
recommending to the Board for approval the proposed overall risk appetite statement for the Company; reviewing and/or approving (as
appropriate) risk limits throughout the year.
▪Reviewing reports on key themes arising from the current and prospective macro-economic, geopolitical, macro-prudential and financial
environment and their impact on the Company’s risk appetite and risk profile.
▪Considering and approving the Company’s internal stress test themes and the results of an internal stress test.
▪Reviewing enhancements to the stress testing process and models.
▪Receiving updates on the positive quantitative and qualitative results of Barclays US LLC’s submission to the Federal Reserve Bank (FRB) of its
Comprehensive Capital Analysis and Review.
▪Ensuring that the Company has enough capital, liquidity and financial resources to meet its regulatory requirements and obligations, taking into
account potential impacts of the COVID-19 pandemic and other macro-economic factors.
▪Reviewing and considering the operational risks arising from the Company’s procedures, processes, systems and policies.
▪Evaluating the appropriateness of Barclays’ Model Risk Management framework and receiving and considering reports from management in
relation to managing model risk.
▪Overseeing the management of Conduct risk within BBPLC, and the performance of the Compliance function.
▪Overseeing the Company’s regulatory requirements, as they relate to risk management, including regulatory and internal capital and funding
requirements, approving the Company’s Internal Capital Adequacy Assessment Process and Internal Liquidity Adequacy Assessment Process.
▪Reviewing the frameworks, policies and resources in place to support effective risk management and oversight of the Barclays Bank Group,
including reviewing and recommending to the Board for adoption (following approval by the BPLC Board) the updated ERMF which, from 1 January
2022, has been expanded to include Climate risk.
▪Advising the BBPLC Remuneration Committee when making remuneration decisions for 2021.
▪Discussing reports on key risk areas specific to the Barclays Bank Group which were provided to the Risk Committee throughout the year including,
amongst others, reports on cryptocurrency, structured products, the risk management implications of growth initiatives in emerging markets, as
well as our business plan for China.
The Risk Committee continually considers the impact of issues on the Barclays Bank Group and the risk environment in which it operates. It reviews
steps taken by the business to manage exposures in this context. The Risk Committee also received focused presentations on a number of areas specific
to the business and activities of Barclays Bank Group (including through joint presentations with the BPLC Risk Committee), including a training session
focusing on the financial and operational risks of climate change and one concerned with operational resilience.
The 2021 Committee effectiveness review was externally facilitated by CSA. The review of the Committee was carried out in conjunction with the review
of the BPLC Risk Committee. Feedback from the review confirms that the Committee is operating effectively, considering Barclays’ risk appetite and risk
profile in a thoughtful and forensic way, with its core mandate well understood by its members and pro-active challenge of management. It was noted
that more recent additions to the Committee in 2019 and 2020 brought valuable markets insight and experience. A continued focus on the split of work
between the Board and the Committee, and potential overlap between the work of the Committee and the other Board Risk Committees within the
Barclays Group, was considered to be beneficial. Feedback noted that there was no undue duplication between the Committee and the Board Audit
Committee. The review suggested that there may be benefit in the Committee taking time to reflect further upon likely major risk themes in the macro-
environment over the next three to five years, and how future Committee agendas might be shaped towards bigger picture issues.
Leadership
Individual roles on the Board and their responsibilities are set out in Barclays' Charter of Expectations. This includes role profiles and the behaviours and
competencies required for each role on the Board, namely the Chair, Non-Executive Directors, Executive Directors and Committee Chairs. In accordance
with the Barclays Charter of Expectations, Non-Executive Directors provide effective oversight and scrutiny, strategic guidance and constructive
challenge whilst holding the Executive Directors to account against their agreed performance objectives. A copy of the Barclays Charter of Expectations
can be found at home.barclays/who-we-are/ourgovernance/board-responsibilities.
Governance
Corporate Governance Statement
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Barclays Bank PLC Annual Report
24
Appointment and retirement of Directors
The appointment and retirement of Directors is governed by the Company’s Articles of Association (the Articles), the Companies Act 2006 (the Act) and
related legislation.
The Articles may be amended only by a special resolution of the shareholders. The Board has the power to appoint additional Directors or to fill a casual
vacancy amongst the Directors. Any such Director holds office only until the next Annual General Meeting (AGM) and may offer himself/herself for re-
election.
All appointments to the Board and senior management are viewed through a diversity lens and are based on merit and objective criteria, which focus on
the skills and experience required for the Board’s effectiveness and the delivery of the Company’s strategy. Board appointments are made following a
rigorous and transparent process facilitated by the Nominations Committee, with the aid of an external search consultancy firm. You can read more
about the work of the Nominations Committee on pages 22 to 23.
Diversity across the Barclays Group remains a key area of focus. For more detail on the Barclays Bank Group actions to increase diversity please see
page 27.
The Nominations Committee regularly reviews the composition of the Board, Board Committees and Executive Committee and the core competencies,
diversity and experience required. For the Board, it is standard practice to appoint any new Non-Executive Director or Chair for an initial three-year term,
which may be extended for up to a further three-year term. As such, Non-Executive Directors typically serve up to a minimum of six years but this
period may be extended where the Nominations Committee considers it appropriate.
Effectiveness
Appointments to the Board are made via a formal, rigorous and transparent process, based on merit, taking into account the skills, experience and
diversity needed on the Board in the context of the Company’s strategic direction.
The Company considers the composition of principal Board Committees to meet the independence criteria of the Code, notwithstanding that the
Company has chosen not to adopt and report against the Code, as stated above, and there is appropriate cross-membership on the Board Committees
to further promote effectiveness.
All Directors are expected to commit sufficient time to fulfil their duties to the Company. This includes attending, and being well-prepared for, all Board
and Committee meetings, as well as making time to understand the business and meet with executives. Barclay s' Charter of Expectations sets out
responsibilities for providing the Board with accurate, timely and high-quality information necessary for it to fulfil its duties.
An externally facilitated effectiveness review of the Board and Board Committees, led by CSA, has been concluded, relating to 2021 activity. Feedback
from the review indicated that the Board is operating effectively, that the Board is collegiate, positive, professional and supportive, yet challenging, and
that concurrent meetings of the BPLC and BBPLC Boards remain effective and work well in practice.
The Board is responsible for setting the Barclays Bank Group risk appetite within the overall parameters set by the Barclays G roup, being the level of risk
it is prepared to take in the context of achieving the Barclays G roup's strategic objectives. The ERMF is designed to identify and set minimum
requirements in respect of the main risks to achieving Barclays’ strategic objectives and to provide reasonable assurance that internal controls are
effective.
The Board, assisted by the Risk Committee, conducts robust assessments of the principal risks facing the Company, including those that would threaten
its business model, future performance, solvency or liquidity.
The Audit Committee oversees the effectiveness of BBPLC internal and statutory auditors. The Directors also review the effectiveness of the Barclays
Bank Group’s systems of internal control and risk management.
The Board has put in place processes to support the presentation to stakeholders of fair, balanced and understandable information.
Remuneration
The Remuneration Committee reviews and adopts the Barclays Group’s Remuneration Policy for use in the Barclays Bank Group. The purpose and
activities of this Committee are contained in the Remuneration Committee report on page 23 of this report.
The Board has delegated responsibility to the Remuneration Committee for the consideration and approval of the remuneration arrangements of the
Chair, Executive Directors, other senior executives and certain Barclays Bank Group employees. The Remuneration Committee, when considering the
remuneration policies and practices, seeks to ensure that it supports the Company’s strategy and promotes the long-term success of the Company and
that it is aligned to successful delivery of the Barclays Group’s strategy. All executive and senior management remuneration policies are developed only
in accordance with the Barclays Group’s formal and transparent procedures (ensuring that no Director is involved in deciding his/her own remuneration
outcome) and having regard to workforce remuneration and related policies and the alignment of incentives and rewards with culture. All
Remuneration Committee members are expected to demonstrate independent judgement and discretion when determining and approving
remuneration outcomes. The Board as a whole, with the Non-Executive Directors abstaining, considers annually the fees paid to Non-Executive
Directors.
Controls over financial reporting
A framework of disclosure controls and procedures is in place to support the approval of the financial statements of the Barclays Bank Group. Specific
governance committees are responsible for examining the financial reports and disclosures to ensure that they have been subject to adequate
verification and comply with applicable standards and legislation.
These committees report their conclusions to the Audit Committee, which debates the conclusions and provides further challenge. Finally, the Board
scrutinises and approves results announcements and the BBPLC Annual Report, and ensures that appropriate disclosures have been made. This
governance process ensures that both management and the Board are given sufficient opportunity to debate and challenge the financial statements of
the Barclays Bank Group and other significant disclosures before they are made public.
Governance
Corporate Governance Statement
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Barclays Bank PLC Annual Report
25
Audit, Risk and Internal Control
The Company is committed to operating within a strong system of internal control that enables business to be transacted and risk taken without
exposure to unacceptable potential losses or reputational damage.
As referenced above, the Board is responsible for ensuring that management maintains an effective system of risk management and internal control
and for assessing its effectiveness. Such a system is designed to identify, evaluate and manage, rather than eliminate, the risk of failure to achieve
business objectives and can provide only reasonable, rather than absolute, assurance against material misstatement or loss.
Processes are in place for identifying, evaluating and managing the Principal Risks facing the Company. A key component of the framework is the ERMF
which supports the business in its aim to embed effective risk management and a strong risk management culture. The ERMF is designed to identify
and set minimum requirements, in respect of the main risks, to achieve the Company’s strategic objectives and to provide reasonable assurance that
internal controls are effective. Further detail on the Principal Risks and management of them can be found in the Risk Management section of the
Strategic Report on pages 5 to 6.
The effectiveness of the risk management and internal control systems is reviewed regularly by the Risk Committee and the Audit Committee (as
detailed above).
The Risk Committee is responsible for providing oversight and advice to the Board in relation to current and potential future risk exposures, examining
reports covering the Principal Risks including those that would threaten its business model, future performance, solvency or liquidity, as well as reports
on risk measurement methodologies and risk appetite. Further detail of the work of the Risk Committee can be found on pages 23 to 26 of this report.
As referenced above, the Audit Committee carries out several duties, delegated to it by the Board, including oversight of financial reporting processes,
reviewing the effectiveness of internal controls, considering whistle-blowing arrangements and oversight of the work of the external and internal
auditors. Throughout the year ended 31 December 2021 and to date, the Company has operated a system of internal control that provides reasonable
assurance of effective operations covering all controls, including financial and operational controls and compliance with laws and regulations.
The Board, together with the Audit Committee, is responsible for ensuring the independence and effectiveness of the internal and external audit
functions. For this reason, the Audit Committee members met regularly with both the Group Chief Internal Auditor and the BBPLC Chief Internal Auditor
and the Lead Audit Engagement Partner of the statutory auditor without management present. Further details of the work of the Audit Committee can
be found on pages 21 to 22 of this report.
Management is responsible for establishing and maintaining adequate internal controls over financial reporting under the supervision of the principal
executive and financial officers, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial
statements, in accordance wi th (a) UK-adopted international accounting standards; (b) International Financial Rep orting Standards (IFRS) as issued by
the International Accounting Standards Board (IASB), including interpretations issued by the IFRS Interpretations Committee; and (c) IFRS adopted
pursuant to Regulation (EC) No 1606/2002 as it applies in the European Union. Internal control over financial reporting includes policies and procedures
that pertain to the maintenance of records that, in reasonable detail:
▪Accurately and fairly reflect transactions and dispositions of assets.
▪Provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with IFRS (as
detailed above) and that receipts and expenditures are being made only in accordance with authorisations of management and the respective
Directors.
▪Provide reasonable assurance regarding prevention or timely detection of unauthorised acquisition, use or disposition of assets that could have a
material effect on the financial statements.
Internal control systems, no matter how well designed, have inherent limitations and may not prevent or detect misstatements. Also, projections of any
evaluation of effectiveness to future periods are subject to the risk that internal controls may become inadequate because of changes in conditions, or
that the degree of compliance with the policies or procedures may deteriorate.
Management has assessed the internal control over financial reporting as at 31 December 2021. In making its assessment, management utilised the
criteria set out in the 2013 COSO framework and concluded that, based on its assessment, the internal control over financial reporting was effective as
at 31 December 2021.
The system of internal financial and operational controls is also subject to regulatory oversight in the UK and overseas. Further information on
supervision by the financial services regulators is provided under Supervision and Regulation in the Risk review section on pages 121 to 126.
Changes in internal control over financial reporting
There have been no changes in the Barclays Bank Group’s internal control over financial reporting that occurred during the period, covered by this
report, which have materially affected or are reasonably likely to materially affect the Barclays Bank Group’s internal control over financial reporting.
Executive Committee
Following Venkat's appointment as Chief Executive in November 2021, Paul Compton became sole President of BBPLC and the Global Head of the CIB.
Additional changes to the Executive Committee structure and membership followed which included Stephen Dainton moving into the role of Co-Head
of Global Markets alongside Adeel Khan, and Investment Banking being run by Global Co-Heads, under JF Astier and John Miller, reporting into Paul
Compton. Another change to a key role was Alistair Currie taking over as Global Head of Consumer Banking and Payments from Ashok Vaswani who
stepped down in order to take on a new role within the Barclays Group as Chief Digital Strategy Officer. During 2021, membership of Executive
Committee also inclu ded the Chief Financial Officer, Chief Operating Officer, Chief Risk Officer and other functional partners.
The Executive Committee meets quarterly and is chaired by the Chief Executive. In addition to the day-to-day management of the Company, the
Executive Committee supports the Chief Executive in ensuring that the values, strategy and culture align, are implemented and are communicated
consistently to colleagues – for example through regular leadership team conferences, and communications that are available to all colleagues.
Governance
Corporate Governance Statement
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Non-Executive Directors time commitment and conflict of interest
Non-Executive Directors, including the Chair, are informed of the minimum time commitment prior to their appointment and they are required to
devote sufficient time to the Company to discharge their responsibilities effectively.
The time commitments of Directors are considered by the Board on appointment and are reviewed when appropriate. External appointments must be
agreed with the Chair and disclosed to the Board, before appointment, with an indication of the time involved. The Board is satisfied that there are no
Directors whose time commitment is considered to be a matter for concern.
In accordance with the Act and the Articles, the Board has authority to authorise conflicts of interest, and this ensures that the influence of third parties
does not compromise or overrid e the in dependent judgement of the Board. The Company Secretary maintains a conflicts register, which is a record of
actual and potential conflicts, together with any Board authorisation of the conflict.
Training and induction
Directors are regularly provided with the opportunity to take part in ongoing training and development and can also request specific training they may
consider necessary or useful. Whilst opportunities for in-person Director training remained limited in 2021 due to the impact of the COVID-19 pandemic
and ongoing social distancing guidance, training and development was supported through Board deep dives, briefings for Board members on key risk
topics, and Function reviews. The Board also received an annual briefing on regulatory responsibilities including the Senior Managers Regime and on
Barclays’ conduct and financial crime policies and standards.
There is an induction programme for all new Directors which is tailored to their specific experience and knowledge, providing access to all parts of the
business, to support Directors in understanding the nature of the business and the key issues the Company faces. When a Director joins a Board
Committee, the schedule includes an induction to the operation of that Board Committee.
Diversity and inclusion
The Board recognises the importance of ensuring that there is broad diversity among the Directors inclusive of, but not limited to, gender, ethnicity,
geography and business experience. With this in mind, the Board adopted a revised version of the Board Diversity Policy on 9 February 2021, re-
affirming the existing gender diversity target (33% female) and adopting a new diversity target aligned with the Parker Review on the ethnic diversity of
UK boards (at least one Board member to be a Person of Colour). The Board reconfirmed its commitment to these targets on 9 February 2022.
Further to the appointment of Robert Berry on 8 February 2022 and as at the date of this report, BBPLC Board gender diversity stands at 30% female
(with three female directors on the Board) and we exceed the Board's target of having at least one Board member who is a Person of Colour. Following
the retirement of Tim Breedon from the Board on 28 February 2022, BBPLC Board gender diversity will return to 33% female, meeting the gender
diversity target as set out in the Board Diversity Policy.
In addition, the Company aims to ensure that employees of all backgrounds are treated equally and have the opportunity to be successful. The Barclays
Group’s Global D&I strategy sets objectives, initiatives and plans across six areas of focus: Gender, LGBT+, Disability, Multicultural and Multigenerational
and Socioeconomic inclusion, in support of that ambition. Further information on the Barclays Group’s Board Diversity Policy, as adopted by the Board,
and D&I strategy can be found on page 129 of the BPLC Annual Report 2021.
Governance
Corporate Governance Statement
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The Directors present their report together with the audited accounts for the Company for the year ended 31 December 2021.
Section 414A of the Act requires the Directors to present a Strategic Report in the Annual Report. The information can be found on pages 1 to 13.
BBPLC has addressed the Non-Financial Reporting requirements contained in sections 414CA and 414CB of the Act through the disclosure contained in
the Barclays PLC Annual Report 2021 on pages 49 to 50. In addition, the Company has chosen, in accordance with section 414C(11) of the Act, and as
noted in this Directors’ Report, to include certain matters in its Strategic Report that would otherwise be disclosed in this Directors’ Report.
The particulars of important events affecting the Company since the financial year-end can be found in the notes to the financial statements. An
indication of likely future developments can be found in the Strategic Report.
Other information that is relevant to the Directors’ Report, and which is incorporated by reference into this report, can be located at:
Pages
Performance Measures
7
Corporate Governance Report
16
Risk Management
34
Principal Risks
51
Disclosures required pursuant to Large and Medium-sized Companies and Groups (Accounts and Reports) Regulations 2008 as updated
by the 2018 Regulations can be found on the following pages:
Engagement with employees (Sch.7 Para 11 and 11A Regs 2008/2018 and S172(1) Statement)
11
Policy concerning the employment of disabled persons (Sch.7 Para 10 Regs 2008)
11
Financial Instruments (Sch.7 Para 6 Regs 2008 )
176
Hedge accounting policy (Sch.7 Para 6 Regs 2008 )
178
Profits and dividends
The results of the Barclays Bank Group show statutory profit after tax of £4,758m (2020: £2,451m). The Barclays Bank Group had net assets of
£56,487 m as at 31 December 2021 (2020: £53,710 m).
The Company will pay a £200m dividend to its parent, BPLC. Further details on dividends on ordinary shares paid in 2021 are set out in Note 10 to the
financial statements.
Dividends paid on preference shares for the year ended 31 December 2021 amounted to £27m (2020: £42m).
Share Capital
There was no increase in ordinary share capital during the year. BPLC owns 100% of the issued ordinary shares. There are no restrictions on the transfer
of ordinary shares or agreements between holders of ordinary shares known to the Company which may result in restrictions on the transfer of
securities or voting rights. Further information on the Company’s share capital, including preference shares can be found in Note 27 of the financial
statements.
Powers of Directors to issue or buy back the Company’s shares
The powers of the Directors are determined by the Act and the Articles. No shares were issued or bought back in 2021. The Directors are authorised to
issue and allot shares and to buy back shares subject to annual shareholder ap proval at th e AGM. Such authorities were granted by shareholders at the
2021 AGM. It will be proposed at the 2022 AGM that the Directors be granted new authorities to allot and buy-back shares.
Repurchase of preference shares
No preference shares were redeemed by the Company during 2021.
Directors
The list of current Directors of the Company can be found in the Corporate Governance Statement. Changes to Directors during the year and up to the
date of signing this report are set out below.
Name
Role
Effective date
Jes Staley
Chief Executive Officer
Stepped down 31 October 2021
C.S. Venkatakrishnan
Chief Executive Officer
Appointed 1 November 2021
Robert Berry
Non-Executive Director
Appointed 8 February 2022
Directors’ indemnities
Qualifying third party indemnity provisions (as defined by section 234 of the Act) were in force during the course of the financial year ended
31 December 2021 for the benefit of the then Directors of the Company and the then Directors of certain of the Company's subsidiaries and, at the date
of this report, are in force for the benefit of the Directors of the Company and the Directors of certain of the Company's subsidiaries in relation to certain
losses and liabilities which they may incur (or have incurred) in connection with their duties, powers or office. The Group also maintains Directors’ &
Officers’ Liability Insurance which gives appropriate cover for legal action brought against its Directors.
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Qualifying pension scheme indemnity provisions (as defined by section 235 of the Act) were in force during the course of the financial year ended
31 December 2021 for the benefit of the then directors and, at the date of this report are in force for the benefit of directors of Barclays Pension Funds
Trustees Limited as trustee of the Barclays Bank UK Retirement Fund, and Barclays Executive Schemes Trustees Limited as Trustee of Barclays Capital
International Pension Scheme (No.1) and Barclays PLC Funded Unapproved Retirement Benefits Scheme. The directors of the trustees are indemnified
against liability incurred in connection with the trustee’s activities in relation to the aforementioned schemes.
Political donations
The Barclays Bank Group did not give any money for political purposes in the UK or outside the UK, nor did it make any political donations to political
parties or other political organisations or to any independent election candidates, or incur any political expenditure during the year. Details of any
political contributions made by the wider Barclays Group can be found in the BPLC Annual Report 2021.
Environment
As part of the overall strategy of the Barclays Group, the Barclays Bank Group is determined to play its part in taking a leading role in helping accelerate
the transition to a low-carbon economy. In March 2020, the Barclays Group announced our ambition to be a net zero bank by 2050. We have a strategy,
in three parts, to turn that ambition into action:
•Achieving net zero operations - Barclays is working to achieve net zero operations, investing in the continued decarbonisation of our
operations. Please see the BPLC 2021 Annual Report for further detail on how we are defining our approach to net zero operations.
•Reducing our financed emissions - Barclays is committed to aligning its financing with the goals and timelines of the Paris Agreement.
•Financing the transition - Barclays is providing the green and sustainable finance required to transform the economies we serve.
Our strategy is underpinned by the way we assess and manage our exposure to climate-related risks, and Climate Risk is included as a Principal Risk
under Barclays’ ERMF from 2022.
Scenario analysis forms a key part of the Barclays Group’s, and therefore the Barclays Bank Group’s, approach to assessing and quantifying the impact
from climate change. We have developed our approach to scenario analysis through detailed quantitative and qualitative risk assessments of particular
portfolios and activities. The Barclays Group has developed key metrics and targets to track progress against its climate strategy. The adoption of
consistent and relevant climate-related metrics is crucial for financial sector stakeholders to properly price and manage climate-related risks. Please see
the BPLC 2021 TCFD Report for further details on scenario analysis and key metrics.
Barclays has relationships with customers and clients across a wide range of sectors and geographies, who face risks to their operations, supply chains
and markets from biodiversity loss and land-use change. Recognising the importance of this agenda, we are developing our understanding and
evaluating where our business impacts and depends on nature, and where we can support our customers and clients. For more information about how
the Barclays Group is helping to tackle climate change please refer to the BPLC Annual Report 2021.
Engagement with customers, suppliers and others in a business relationship with the Company
Our engagement with suppliers is important. The Directors have regard, via management oversight, to the need to foster business relationships with
suppliers and, as such, engage with them to seek adherence to the Barclays' Third Party Code of Conduct (TPCoC) and Supplier Control Obligations
(SCO) which cover our expectations of suppliers. For our higher risk suppliers, their adherence to the SCO and TPCoC is captured pre-contractually via a
Pre-Contract Supplier Assurance Attestation. Further, Barclays is a signatory to the Prompt Payment Code in the UK, aiming to pay our suppliers within
clearly defined terms.
Further information on 'Managing our supply chain' is set out in the BPLC Annual Report 2021.
Branches and Country-by-Country reporting
The Barclays Bank Group operates through branches, offices and subsidiaries in the UK and overseas. Those branches are in a number of different
jurisdictions including in Hong Kong, Singapore and New York.
The Company is exempt from publishing information required by The Capital Requirements (Country-by-Country Reporting) Regulations 2013 as this
information is published by its parent BPLC. This information is available on the Barclays website: home.barclays/annualreport.
Research and development
In the ordinary course of business, the Barclays Bank Group develops new products and services in each of its business divisions.
Change of control
There are no significant agreements to which the Company is a party that are affected by a change of control of the Company following a takeover bid.
There are no agreements between the Company and its Directors or employees providing for compensation for loss of office or employment that occurs
because of a takeover bid.
The Auditors
The BPLC Audit Committee reviews the appointment of the statutory auditors, as well as their relationship with the Barclays Group, including
monitoring the Barclays Group’s use of the statutory auditors for non-audit services and the balance of audit and non-audit fees paid to them. The
BBPLC Audit Committee also monitors the use of the statutory auditors for non-audit services within the Barclays Bank Group.
An external audit tender was conducted in 2015 and the decision was made to appoint KPMG as Barclays Group’s statutory auditor with effect from the
2017 financial year, with PwC resigning as Barclays Group’s statutory auditor at the conclusion of the 2016 audit.
The Company is in compliance with the requirements of The Statutory Audit Services for Large Companies Market Investigation (Mandatory Use of
Competitive Tender Processes and Audit Committee Responsibilities) Order 2014, which relates to the frequency and governance of tenders for the
appointment of the statutory auditor and the setting of a policy on the provision of non-audit services.
Provided that KPMG continues to maintain its independence and objectivity, and the BPLC Audit Committee remains satisfied with its performance, the
Barclays Group has no intention of tendering for an alternative statutory auditor before the end of the current required period of 10 years. Accordingly,
any tender would be in respect of the 2027 financial year onwards and is likely to take place in 2025. The BPLC Audit Committee believes it would not
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be appropriate to tender before this date as it recognises that whilst it is important to ensure the audit firm remains objective and does not become
overly familiar with management, there is an important balance to be struck with the investment of time required both from management and any
completely new audit team for them to gain sufficient understanding of such a large complex organisation to ensure a top quality audit. The BPLC
Committee is also conscious that the lead engagement partner will have changed twice since KPMG's tenure and that there have also been significant
changes of senior management - both of which serve to reduce any threat of over-familiarity. The BPLC Audit Committee will give further consideration
over the next two years to its audit tendering strategy to take account, as appropriate, of the outcome of the UK audit reform proposals.
Non-audit services
In order to safeguard the statutory auditor’s independence and objectivity, the Barclays Group has in place a policy setting out the circumstances in
which the statutory auditor may be engaged to provide services other than those covered by the Barclays Group audit. The Barclays Group Policy on the
Provision of Services by the Barclays Group Statutory Auditor (the Policy) applies to all Barclays’ subsidiaries and other material entities over which
Barclays has significant influence. The core principle of the Policy is that non-audit services (other than those legally required to be carried out by the
Barclays Group’s auditor) should be performed by the statutory auditor only in certain controlled circumstances. The Policy sets out those types of
services that are strictly permitted.
Under the Policy, except for specific categories of ‘permitted’ services that require explicit Committee approval, the BPLC audit committee has pre-
approved all permitted services for which fees are less than £100,000. All requests to engage the statutory auditor are assessed by independent
management before work can commence. Requests for permitted service types in respect of which the fees are expected to meet or exceed the above
threshold must be approved by the Chair of the BPLC A udit Committee before work is permitted to begin. Services where the fees are expected to be
£250,000 or higher must be approved by the BPLC Audit Committee as a whole. All expenses and disbursements must be included in the fees
calculation. More information on this can be found in the BPLC Annual Report 2021.
The fees payable to KPMG for the year ended 31 December 2021 amounted to £41 m (2020:£38 m), of which £8m (2020:£8 m) was payable in respect
of non-audit services. A breakdown of the fees payable to the auditor for statutory audit and non-audit work can be found in Note 39 to the financial
statements.
Disclosure of information to the Auditor
Each Director confirms that, so far as he/she is aware, there is no relevant audit information of which the Company’s auditor is unaware and that each
of the Directors has taken all the steps that he/she ought to have taken as a Director to make himself/herself aware of any relevant audit information
and to establish that the Company's auditor is aware of that information. This confirmation is given pursuant to section 418 of the Act and should be
interpreted in accordance with and subject to those provisions.
Directors’ responsibilities
The following statement, which should be read in conjunction with the auditor’s report set out on pages 128 to 147, is made with a view to
distinguishing for shareholders the respective responsibilities of the Directors and of the auditor in relation to the accounts.
Going concern
In preparing each of the Barclays Bank Group and Company financial statements, the Directors are required to:
•assess the Barclays Bank Group and Company’s ability to continue as a going concern, disclosing, as applicable, matters related to going concern;
and
•use the going concern basis of accounting unless they either intend to liquidate the Barclays Bank Group or to cease operations, or have no realistic
alternative but to do so.
The Barclays Bank Group’s business activities, financial position, capital, factors likely to affect its future development and performance, and its
objectives and policies in managing the financial risks to which it is exposed are discussed in the Strategic Report and Risk Management sections of this
report.
The Directors have evaluated these risks in the preparation of the financial statements and consider it appropriate to prepare the financial statements on
a going concern basis.
Preparation of accounts
The Directors are required by the Act to prepare the Company and the Barclays Bank Group accounts for each financial year and, with regard to Barclays
Bank Group accounts, in accordance with UK-adopted international accounting standards. The Directors have prepared these accounts in accordance
with (a) UK-adopted international accounting standards; (b) IFRS as issued by the IASB, including interpretations issued by the IFRS Interpretations
Committee; and (c) IFRS adopted pursuant to Regulation (EC) No 1606/2002 as it applies in the European Union. Pursuant to the Act, the Directors
must not approve the accounts unless they are satisfied that they give a true and fair view of the state of affairs of the Barclays Bank Group and the
Company and of their profit or loss for that period.
The Directors consider that, in preparing the financial statements, the Barclays Bank Group and the Company have used appropriate accounting
policies, supported by reasonable judgements and estimates, and that all accounting standards which they consider to be applicable have been
followed.
The Directors are satisfied that the Annual Report and Financial Statements, taken as a whole, are fair, balanced and understandable, and provide the
information necessary for shareholders to assess the Company’s position and performance, business model and strategy.
Directors are responsible for such internal control as they determine is necessary to enable the preparation of financial statements that are free from
material misstatement, whether due to fraud or error.
Directors’ responsibility statement
The Directors have responsibility for ensuring that the Company and the Barclays Bank Group keeps accounting records which disclose, with reasonable
accuracy, the financial position of the Company and the Barclays Bank Group, and which enable them to ensure that the accounts comply with the Act.
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The Directors are also responsible for preparing a Strategic Report, Directors’ Report and Corporate Governance Statement in accordance with
applicable law and regulations.
The Directors are responsible for the maintenance and integrity of the Annual Report and Financial Statements as they appear on the Company’s
website. Legislation in the UK governing the preparation and dissemination of financial statements may differ from legislation in other jurisdictions.
The Directors have a general responsibility for taking such steps as are reasonably open to them to safeguard the assets of the Company and to prevent
and detect fraud and other irregularities.
The Directors are responsible for preparing the financial statements in accordance with Commission Delegated Regulation (EU) 2019/815 with regard
to regulatory technical standards on the specification of a single electronic reporting format.
The current Directors, whose names and functions are set out on page 19, confirm to the best of their knowledge that:
(a)the financial statements, prepared in accordance with (a) UK-adopted international accounting standards; (b) IFRS as issued by the IASB, including
interpretations issued by the IFRS Interpretations Committee; and (c) IFRS adopted pursuant to Regulation (EC) No 1606/2002 as it applies in the
European Union, give a true and fair view of the assets, liabilities, financial position and profit or loss of the Company and the undertakings included
in the consolidation taken as a whole; and
(b)the management report, on pages 1 to 13, which is incorporated in the Directors’ Report, includes a fair review of the development and
performance of the business and the position of the Company and the undertakings included in the consolidation taken as a whole, together with a
description of the principal risks and uncertainties that they face.
By order of the Board
Stephen Shapiro
Company Secretary
22 February 2022
Ba rclays Bank PL C
Registered in England. Company No. 1026167
Registered offic e, 1Churchill Place, London E14 5HP
Governance
Directors’ report
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The management of risk is a critical underpinning to the execution of the Barclays Bank Group’s strategy. The material risks and uncertainties the
Barclays Bank Group faces across its business and portfolios are key areas of management focus.
Risk management strategy
Page
Overview of the Barclays Bank Group’s approach to risk
management.
▪Enterprise Risk Management Framework (ERMF)
34
▪Segregation of duties – the “Three Lines of Defence” model
34
▪Principal risks
34
▪Risk appetite for the principal risks
34
▪Risk Committees
34
▪Barclays’ risk culture
35
Material existing and emerging risks
Insight into the level of risk across our business and portfolios, the
material existing and emerging risks and uncertainties we face and
the key areas of management focus.
▪Material existing and emerging risks potentially impacting more
than one principal risk
36
▪Climate risk
41
▪Credit risk
41
▪Market risk
42
▪Treasury and capital risk
43
▪Operational risk
44
▪Model risk
46
▪Conduct risk
46
▪Reputation risk
47
Principal risk management
The Barclays Bank Group’s approach to risk management for each
principal risk with focus on organisation and structure and roles
and responsibilities.
▪Climate risk management
49
▪Credit risk management
51
▪Market risk management
52
▪Treasury and capital risk management
52
▪Operational risk management
54
▪Model risk management
55
▪Conduct risk management
55
▪Reputation risk management
56
▪Legal risk management
56
Risk performance
Credit risk: The risk of loss to the Barclays Bank Group from the
failure of clients, customers or counterparties (including
sovereigns), to fully honour their obligations to the Barclays Bank
Group, including the whole and timely payment of principal,
interest, collateral and other receivables.
▪Credit risk overview and summary of performance
58
▪Maximum exposure and effects of netting, collateral and risk
transfer
59
▪Expected credit losses
64
▪Management adjustments to models for impairment
74
▪Measurement uncertainty and sensitivity analysis
76
▪Analysis of the concentration of credit risk
86
▪Approach to the management and representation of credit
quality
90
▪Analysis of specific portfolios and asset types
97
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.
▪Market risk overview and summary of performance
99
▪Review of management measures
99
Treasury and capital risk – Liquidity:
The risk that the Barclays Bank Group is unable to meet its
contractual or contingent obligations or that it does not have the
appropriate amount, tenor and composition of funding and liquidity
to support its assets.
•Liquidity risk overview
102
▪Liquidity risk stress testing
102
▪Contractual maturity of financial assets and liabilities
103
Risk review
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Risk performance continued
Treasury and capital risk – Capital:
The risk that the Barclays Bank Group has an insufficient level or
composition of capital to support its normal business activities and
to meet its regulatory capital requirements under normal operating
environments and stressed conditions (both actual and as defined
for internal planning or regulatory testing purposes). This also
includes the risk from the Barclays Bank Group’s pension plans.
▪Capital risk overview
111
Treasury and capital risk – Interest rate risk in the banking book:
The risk that the Barclays Bank Group is exposed to capital or
income volatility because of a mismatch between the interest rate
exposures of its (non-traded) assets and liabilities.
▪Interest rate risk in the banking book overview and summary of
performance
115
▪Net interest income sensitivity
115
▪Analysis of equity sensitivity
116
▪Volatility of the fair value through other comprehensive income
(FVOCI) portfolio in the liquidity pool
116
Operational risk: The risk of loss to the Barclays Bank Group from
inadequate or failed processes or systems, human factors or due to
external events (for example fraud) where the root cause is not due
to credit or market risks.
▪Operational risk overview and summary of performance
117
▪Operational risk profile
117
Model risk: The potential for adverse consequences from decisions
based on incorrect or misused model outputs and reports.
▪Model risk overview and summary of performance
119
Conduct risk: The risk of poor outcomes for, or harm to,
customers, clients and markets, arising from the delivery of the
Barclays Bank Group's products and services.
▪Conduct risk overview and summary of performance
119
Reputation risk: The risk that an action, transaction, investment,
event, decision, or business relationship will reduce trust in the
Barclays Bank Group’s integrity and/or competence.
▪Reputation risk overview and summary of performance
119
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.
▪Legal risk overview and summary of performance
120
Supervision and regulation
The Barclays Bank Group’s operations, including its overseas
offices, subsidiaries and associates, are subject to a significant body
of rules and regulations.
▪Supervision of the Barclays Bank Group
121
Risk review
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The Barclays Bank Group’s risk management strategy
This section introduces the Barclays Bank Group’s approach to managing and identifying risks, and for fostering a strong risk culture.
Enterprise Risk Management Framework (ERMF)
The ERMF outlines the highest level principles for risk management by setting out standards, objectives and key responsibilities of different groups of
employees of the Barclays Bank Group. It is approved by the Barclays PLC Board on recommendation of the Barclays Group Board Risk Committee and
the Barclays Bank Group Chief Risk Officer (CRO); it is then adopted by the Barclays Bank Group.
The ERMF sets out:
▪Risk Management and Segregation of duties: the ERMF defines a Three Lines of Defence model.
▪Principal risks faced by the Barclays Bank Group which guides the organisation of the risk management function.
▪Risk appetite requirements: t his helps define the level of risk we are willing to undertake in our business.
▪Roles and responsibilities for key risk management and governance structure.
The ERMF is complemented by frameworks, policies and standards which are mainly aligned to individual principal risks:
▪Frameworks cover the management processes for a collection of related activities and define the associated policies used to govern them.
▪Policies set out principles, control objectives and other core requirements for the activities of the Barclays Bank Group. Policies describe “what”
must be done.
▪Standards set out the key control requirements that describe ''how'' the requirements set out in the policy are me t.
Segregation of duties - the "Three Lines of Defence" model
The ERMF sets out a clear lines of defence model. All colleagues are responsible for understanding and managing risks within the context of their
individual roles and responsibilities, as set out below:
▪The First line comprises of all employees engaged in the revenue generating and client facing areas of the Barclays Bank Group and all associated
support functions, including Finance, Operations, Treasury and Human Resources. The first line is responsible for identifying and managing the risks
in which they are engaged , developing a control framework, and escalating risk events to Risk and Compliance.
▪The Second line is comprised of the Risk and Compliance functions. The role of the second line is to establish the limits, rules and constraints,
Policies and Standards under which first line activities shall be performed, consistent with the risk appetite of the Barclays Bank Group, and to
monitor the performance of the first line against these limits, rules and constraints. Controls for first line activities, especially those related to
Operational Risk, will ordinarily be established by the Control Officers operating within the Control Framework of the Barclays Bank Group. These
controls will remain subject to supervision by the second line.
▪The Third line of defence is Internal Audit, who are responsible for providing independent assurance over the effectiveness of governance, risk
management and control over current, systemic and evolving risks.
▪The Legal function provides support to all areas of the Barclays Bank Group and is not formally part of any of the three lines. However, it is subject
to second line oversight with respect to Operational and Conduct Risks.
Principal risks
The ERMF identifies nine principal risks (see managing risks in the strategic report section) namely: credit risk, market risk, treasury and capital risk,
climate risk, operational risk, model risk, conduct risk, reputation risk and legal risk. Note that climate risk was added in January 2022; see page 49 for
more information.
Each of the principal risks is overseen by an accountable executive at the Barclays Group level who is responsible for the framework, policies and
standards that set out associated responsibilities and expectations, and detail the related requirements around risk management. In addition, certain
risks span across more than one principal risk.
Risk appetite
Risk appetite is defined as the level of risk which the Barclays Bank Group is prepared to accept in the conduct of their activities. It provides a basis for
ongoing dialogue between management and Board with respect to the Barclays Bank Group’s current and evolving risk profile, allowing strategic and
financial decisions to be made on an informed basis.
Risk appetite is approved by the Barclays PLC Board in aggregate and disseminated across legal entities and businesses, including the Barclays Bank
Group. The Barclays Bank PLC Board cannot approve a higher risk appetite than that determined by the Barclays PLC Board without the approval of the
Barclays PLC Board but may choose to operate at a lower level of risk appetite than that approved by the Barclays Group.
The Barclays Group’s total risk appetite and its allocation to the Barclays Bank Group are supported by limits to enable and control, specific exposures
and activities that have material concentration risk implications.
Risk Committees
The Barclays Bank Group product/risk type committees consider risk matters relevant to their business, and escalate as required to the Barclays Group
Risk Committee, whose Chairman, in turn, escalates to the Barclays Bank PLC Board Committees and the Barclays Bank PLC Board.
Risk review
Risk management
Barclays’ risk management strategy
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The Barclays Bank PLC Board receives regular information on the risk profile of Barclays Bank Group, and has ultimate responsibility for approval of risk
appetite and capital plans, within the parameters set by the Barclays PLC Board. The Barclays Bank PLC Board is also responsible for the adoption of the
ERMF.
Further, there are two Board-level committees which oversee the application of the ERMF and review and monitor risk across Barclays Bank PLC. These
are: the Barclays Bank PLC Board Risk Committee and the Barclays Bank PLC Board Audit Committee. Additionally, the Barclays Bank PLC Board
Remuneration Committee oversees pay practices focusing on aligning pay to sustainable performance:
▪The Barclays Bank PLC Board Risk Committee (BRC): The BRC monitors Barclays Bank Group’s risk profile against the agreed appetite. Where
actual performance differs from expectations, the actions taken by management are reviewed to ascertain that the BRC is comfortable with them.
The Barclays Bank Group CRO regularly presents a report to the BRC summarising developments in the risk environment and performance trends in
the key portfolios. The BRC also reviews certain key risk methodologies, the effectiveness of risk management, and the Barclays Bank Group risk
profile, including the material issues affecting each business portfolio and forward risk trends. The committee also commissions in-depth analyses
of significant risk topics, which are presented by the Barclays Bank Group CRO or senior risk managers in the businesses.
▪The Barclays Bank PLC Board Audit Committee (BAC): The BAC receives regular reports on the effectiveness of internal control systems, on
material control issues of significance, and on accounting judgements (including impairment), and a quarterly review of the adequacy of
impairment allowances, relative to the risk inherent in the portfolios, the business environment, and Barclays policies and methodologies.
▪The Barclays Bank PLC Board Remuneration Committee (RemCo): The RemCo receives proposals on ex-ante and ex-post risk adjustments to
variable remuneration based on risk management performance including events, issues and the wider risk profile. These inputs are considered in
the setting of performance incentives.
Barclays’ risk culture
Risk culture can be defined as the norms, attitudes and behaviours related to risk awareness, risk taking and risk management. This is reflected in how
the Barclays Group identifies, escalates and manages risk matters.
The Barclays Group is committed to maintaining a robust risk culture in which:
▪management expect, model and reward the right behaviours from a risk and control perspective; and
▪colleagues identify, manage and escalate risk and control matters, and meet their responsibilities around risk management.
The Group CEO works with the Executive Management to embed a strong risk culture within the Group, with particular regard to the identification,
escalation and management of risk matters, in accordance with the ERMF. Specifically, all employees regardless of their positions, functions or locations
must play their part in the Barclays Bank Group’s risk management. Employees are required to be familiar with risk management policies which are
relevant to their responsibilities, know how to escalate actual or potential risk issues, and have a role-appropriate level of awareness of the risk
management process as defined by the ERMF.
Our Code of Conduct – the Barclays Way
Globally, all colleagues must attest to the “Barclays Way”, our Code of Conduct, and comply with all frameworks, policies and standards applicable to
their roles. T he Code of Conduct outlines the Purpose, Values and Mindset which govern our ‘Barclays Way’ of working across our business globally. It
constitutes a reference point covering all aspects of colleagues’ working relationships, and provides guidance on working with other Barclays
employees, customers and clients, governments and regulators, business partners, suppliers, competitors and the broader community.
Risk review
Risk management
Barclays’ risk management strategy
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Material existing and emerging risks to the Barclays Bank Group’s future performance
The Barclays Bank Group has identified a broad range of risks to which its businesses are exposed. Material risks are those to which senior management
pay particular attention and which could cause the delivery of the Barclays Bank Group’s strategy, results of operations, financial condition and/or
prospects to differ materially from expectations. Emerging risks are those which have unknown components, the impact of which could crystallise over
a longer time period. In addition, certain other factors beyond the Barclays Bank Group’s control, including escalation of terrorism or global conflicts,
natural disasters, pandemics and similar events, although not detailed below, could have a similar impact on the Barclays Bank Group.
Material existing and emerging risks potentially impacting more than one principal risk
i)Risks relating to the impact of COVID-19
The COVID-19 pandemic has had, and continues to have, a material impact on businesses around the world and the economic environments in which
they operate. Additionally, the impacts of the economic downturn resulting from the COVID-19 pandemic and post-recovery environment, from a
commercial, regulatory and risk perspective, could be significantly different to past crises and persist for a prolonged period. As a result, there are a
number of factors associated with the COVID-19 pandemic and its impact on global economies that have had and could continue to have a material
adverse effect on the profitability, capital and liquidity of the 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 implemented severe restrictions on the movement of their respective populations, with a resultant significant impact on
economic activity in those jurisdictions. While a number of restrictions have been eased with the roll-out of COVID-19 vaccination programmes, others
still remain in place and future developments are highly uncertain. In some jurisdictions, restrictions that had been previously lifted were re-imposed in
response to a resurgence in cases. These decisions are being taken by the governments of individual jurisdictions (including through the
implementation of emergency powers) and impacts (including any subsequent lifting, extension or reimposition of restrictions) may vary from
jurisdiction to jurisdiction and/or within jurisdictions. It remains unclear how the COVID-19 pandemic will evolve through 2022 (including whether
there will be further waves of the COVID-19 pandemic, whether COVID-19 vaccines continue to prove effective, whether further new strains of
COVID-19 will emerge and whether, and in what manner, additional restrictions will be imposed and/or existing restrictions extended) and the Barclays
Bank Group continues to monitor the situation closely. However, despite the COVID-19 contingency plans established by the Barclays Bank Group, the
ability to conduct business may be adversely affected by disruptions to infrastructure and supply chains, business processes and technology services,
resulting from the unavailability of staff due to illness or the failure of third parties to supply services. This may cause significant customer detriment,
costs to reimburse losses incurred by the Barclays Bank Group’s customers, potential litigation costs (including regulatory fines, penalties and other
sanctions), and reputational damage.
In many of the jurisdictions in which the Barclays Bank Group operates, schemes were initiated by central banks, national governments and regulators
to provide financial support to parts of the economy most impacted by the COVID-19 pandemic. The rapid introduction and varying nature of these
support schemes, as well as customer expectations, required the Barclays Bank Group to implement large-scale changes in a short period of time,
leading to an increase in certain risks faced by the Barclays Bank Group, including operational risk, conduct risk, reputation risk and fraud risk. These
risks are likely to be heightened further as and when those government and other support schemes expire, are withdrawn or are no longer supported.
Furthermore, the impact from participating in government and central bank-supported loan and other financing schemes may be exacerbated if the
Barclays Bank Group is required by any government or regulator to offer forbearance or additional financial relief to borrowers or if the Barclays Bank
Group is unable to rely on guarantees provided by governments in connection with financial support schemes.
As these schemes and other financial support schemes provided by national governments (such as job retention and furlough schemes, payment
deferrals and mass lending schemes) expire, are withdrawn or are no longer supported, there is a risk that economic growth and employment may be
negatively impacted which may, in turn, impact the Barclays Bank Group’s results of operations and profitability. In addition, the Barclays Bank Group
may experience a higher volume of defaults and delinquencies in certain portfolios which may negatively impact the Barclays Bank Group’s RWAs, level
of impairment and, in turn, capital position, and may initiate collection and enforcement actions to recover defaulted debts. The inception of large scale
collections and recovery programmes (including the use of third party debt collection agents) may also create significant risk if (because of the
complexity, speed and scale of these programmes) defaulting borrowers are harmed by the Barclays Bank Group’s conduct which may also 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.
Changes in macroeconomic variables such as gross domestic product (GDP) and unemployment have a significant impact on the modelling of expected
credit losses (ECLs) by the Barclays Bank Group. As a result, the Barclays Bank Group experienced higher ECLs in 2020 compared to prior periods
though this trend was reversed in 2021 as economic conditions partially recovered. The economic environment remains uncertain and future
impairment charges may be subject to further volatility (including from changes to macroeconomic variable forecasts) depending on the longevity of
the COVID-19 pandemic and related containment measures and the continued efficacy of any COVID-19 vaccines, as well as the longer term
effectiveness of central bank, government and other support measures. For further details on macroeconomic variables used in the calculation of ECLs,
refer to the credit risk performance section. In addition, ECLs may be adversely impacted by increased levels of default for single name exposures in
certain sectors directly impacted by the COVID-19 pandemic (such as the 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 ‘(vi) Model risk’ below.
There can be no assurance that economic activity will return to pre-pandemic levels and, accordingly, there could be further adverse impacts on the
Barclays Bank Group’s income and profitability caused by lower lending and transaction volumes due to volatility or weakness in the capital markets.
Furthermore, in order to support lending activity to promote economic growth, governments and/or regulators may limit management’s flexibility in
Risk review
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managing its business, require the deployment of capital in particular business lines or otherwise restrict or limit capital distributions and capital
allocation.
Any and all such events mentioned above could have a material adverse effect on the Barclays Bank Group's business, results of operations, financial
condition, prospects, liquidity, capital position and credit ratings (including potential credit rating agency changes of outlooks or ratings), as well as on
the Barclays Bank Group's customers, employees and suppliers.
ii)Business conditions, general economy and geopolitical issues
The Barclays Bank Group’s operations are subject to potentially unfavourable global and local economic and market conditions, as well as geopolitical
developments, which may have a material effect on the Barclays Bank Group’s business, results of operations, financial condition and prospects.
A deterioration in global or local economic and market conditions may lead to (among other things): (i) deteriorating business, consumer or investor
confidence and lower levels of fixed asset investment and productivity growth, which in turn may lead to lower client activity, including lower demand
for borrowing from creditworthy customers; (ii) higher default rates, delinquencies, write-offs and impairment charges as borrowers struggle with the
burden of additional debt; (iii) subdued asset prices and payment patterns, including the value of any collateral held by the Barclays Bank Group; (iv)
mark-to-market losses in trading portfolios resulting from changes in factors such as credit ratings, share prices and solvency of counterparties; and (v)
revisions to calculated ECLs leading to increases in impairment allowances. In addition, the Barclays Bank Group’s ability to borrow from other financial
institutions or raise funding from external investors may be affected by deteriorating economic conditions and market disruption.
Geopolitical events may lead to further financial instability and affect economic growth. In particular:
•Global GDP growth recovered in 2021 from the severe contraction in 2020 as a result of the COVID-19 pandemic. While government support
packages, accommodative monetary policy and the lifting of certain restrictions on movement bolstered economic growth and confidence in
2021, the global outlook remains highly uncertain especially regarding: (a) ongoing concerns about how the COVID-19 pandemic may
develop; (b) the disruptive impact of the COVID-19 pandemic on supply chains; and (c) how long inflationary pressures will persist and
whether central banks will succeed in normalising monetary policy. These factors could adversely affect economic growth, affect specific
industries or countries or affect the Barclays Bank Group’s employees and business operations in affected countries. Refer to 'i) Risks relating
to the impact of COVID-19' above for further details.
•In the UK, the UK Government’s subsidised job retention and furlough schemes, which were implemented as a response to the COVID-19
pandemic, came to an end on 30 September 2021. Prior to the end of the job retention and furlough schemes, the UK labour market
performed more favourably than initially predicted at the start of the COVID-19 pandemic, with low unemployment rates and the number of
employees on UK company payrolls surpassing pre-pandemic levels. However, the end of the job retention and furlough schemes,
exacerbated by further uncertainty arising from the impact of new strains of COVID-19 (including the Omicron variant), may cause upward
pressure on unemployment which may result in higher impairment charges.
•Recent increases in inflation have been partly driven by a rebalancing of supply and demand, following the relaxation of restrictions on
movement that were imposed during the COVID-19 pandemic. Monetary policy remains highly accommodative, increasing the risk that more
abrupt government action will be necessary later if inflation does not prove transitory. A prolonged period of rising inflation may develop into
slow or stagnant economic growth if combined with slowing economic expansion and elevated unemployment. Inflation may be further
driven by supply chain disruptions and labour shortages, the imposition of further restrictions on movement due to the failure to contain the
spread of COVID-19, and structural changes in the UK economy after the UK's exit from the European Union.
•A significant proportion of the Barclays Bank Group’s portfolio is located in the US, including a major credit card portfolio and a range of
corporate and investment banking exposures. The possibility of significant continued changes in US policy in certain sectors (including trade,
healthcare and commodities) may have an impact on the Barclays Bank Group's associated portfolios. Stress in the US economy, weakening
GDP and the associated exchange rate fluctuations, heightened trade tensions (such as between the US and China), an unexpected rise in
unemployment and/or an increase in interest rates could lead to increased levels of impairment, which may have a material adverse effect on
the Barclays Bank Group’s results of operations and profitability.
•An escalation in geopolitical tensions or increased use of protectionist measures may have a material adverse effect on the Barclays Bank
Group’s business in the affected regions.
•In China the pace of credit growth remains a concern, given the high level of leverage and despite government and regulatory action. A
stronger than expected slowdown could result if authorities fail to manage growth appropriately during the transition from manufacturing
towards services and the end of the investment and credit-led boom. Deterioration in emerging markets could have a material adverse effect
on the Barclays Bank Group's results of operations if contagion results in higher impairment charges via sovereign or counterparty defaults.
•Trading disruption between the EU and the UK may have a significant impact on economic activity in the EU and the UK which, in turn, could
have a material adverse effect on the Barclays Bank Group’s business, results of operations, financial condition and prospects. Unstable
economic conditions could result in (among other things):
◦a recession in the UK and/or one or more member states of the EEA in which it operates, with lower growth, higher unemployment
and falling property prices, which could lead to increased impairments in relation to a number of the Barclays Bank Group’s
portfolios (including, but not limited to, its unsecured lending portfolio (including credit cards) and commercial real estate
exposures);
◦increased market volatility (in particular in currencies and interest rates), which could impact the Barclays Bank Group’s trading
book positions and affect the underlying value of assets in the banking book and securities held by the Barclays Bank Group for
liquidity purposes;
◦a credit rating downgrade for one or more members of the Barclays Bank Group (either directly or indirectly as a result of a
downgrade in the UK sovereign credit ratings), which could significantly increase the Barclays Bank Group’s cost of and/or reduce
Risk review
Material existing and emerging risks
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its access to funding, widen credit spreads and materially adversely affect the Barclays Bank Group’s interest margins and liquidity
position; and/or
◦a widening of credit spreads more generally or reduced investor appetite for the Barclays Bank Group’s debt securities, which could
negatively impact the Barclays Bank Group’s cost of and/or access to funding.
iii)The impact of interest rate changes on the Barclays Bank Group’s prof itability
Changes to interest rates are significant for the Barclays Bank Group, especially given the uncertainty as to the direction of interest rates and the pace at
which they may change particularly in the Barclays Bank Group’s main markets of the UK and the US.
A period of low interest rates and flat yield curves, including any rate cuts and/or negative interest rates, may affect and put pressure on the Barclays
Bank Group’s net interest margins (the difference between its lending income and borrowing costs) and could adversely affect the profitability and
prospects of the Barclays Bank Group.
Interest rate rises could positively impact the Barclays Bank Group’s profitability as retail and corporate business income increases due to margin
decompression. However, further increases in interest rates, if larger or more frequent than expected, could lead to generally weaker than expected
growth, reduced business confidence and higher unemployment. This, combined with the impact interest rate rises may have on the affordability of
loan arrangements for borrowers, could cause stress in the lending portfolio and underwriting activity of the Barclays Bank Group with resultant higher
credit losses driving an increased impairment charge which would most notably impact retail unsecured portfolios and wholesale non-investment grade
lending and could have a material effect on the Barclays Bank Group’s business, results of operations, financial condition and prospects.
In addition, changes in interest rates could have an adverse impact on the value of the securities held in the Barclays Bank Group’s liquid asset portfolio.
Consequently, this could create more volatility than expected through the Barclays Bank Group’s Fair Value through Other Comprehensive Income
(FVOCI) reserve.
iv)Competition in the banking and financial services industry
The Barclays Bank Group operates in a highly competitive environment (in particular, in the UK and US) in which it must evolve and adapt to the
significant changes as a result of financial regulatory reform, technological advances, increased public scrutiny and prevailing economic conditions. The
Barclays Bank Group expects that competition in the financial services industry will continue to be intense and may have a material adverse effect on the
Barclays Bank Group’s future business, results of operations, financial condition and prospects.
New competitors in the financial services industry continue to emerge. Technological advances and the growth of e-commerce have made it possible
for non-banks to offer products and services that traditionally were banking products such as electronic securities trading, payments processing and
online automated algorithmic-based investment advice. Furthermore, payments processing and other services could be significantly disrupted by
technologies, such as blockchain (used in cryptocurrency systems) and "buy now pay later" lending, both of which are currently subject to lower levels
of regulatory oversight. Furthermore, the introduction of Central Bank Digital Currencies could potentially have significant impacts on the banking
system and the role of commercial banks within it by disrupting the current provision of banking products and services. It could allow new competitors,
some previously hindered by banking regulation (such as FinTechs), to provide customers with access to banking facilities and increase
disintermediation of banking services.
New technologies have required and could require the Barclays Bank Group to spend more to modify or adapt its products or make additional capital
investments in its businesses to attract and retain clients and customers or to match products and services offered by its competitors, including
technology companies.
Ongoing or increased competition and/or disintermediation of banking services may put pressure on the pricing for the Barclays Bank Group’s products
and services, which could reduce the Barclays Bank Group's revenues and profitability, or may cause the Barclays Bank Group to lose market share,
particularly with respect to traditional banking products such as deposits, bank accounts and mortgage lending. This competition may be on the basis
of quality and variety of products and services offered, transaction execution, innovation, reputation and price. The failure of any of the Barclays Bank
Group’s businesses to meet the expectations of clients and customers, whether due to general market conditions, under-performance, a decision not to
offer a particular product or service, changes in client and customer expectations or other factors, could affect the Barclays Bank Group’s ability to
attract or retain clients and customers. Any such impact could, in turn, reduce the Barclays Bank Group’s revenues.
v)Regulatory change agenda and impact on business model
The Barclays Bank Group remains subject to ongoing significant levels of regulatory change and scrutiny in many of the countries in which it operates
(including, in particular, the UK and the US). As a result, regulatory risk will remain a focus for senior management. Furthermore, a more intensive
regulatory approach and enhanced requirements together with the potential lack of international regulatory co-ordination as enhanced supervisory
standards are developed and implemented may adversely affect the Barclays Bank Group’s business, capital and risk management strategies and/or
may result in the Barclays Bank Group deciding to modify its legal entity, capital and funding structures and business mix, or to exit certain business
activities altogether or not to expand in areas despite otherwise attractive potential.
There are several significant pieces of legislation and areas of focus which will require considerable management attention, cost and resource, including:
▪Changes in prudential requirements may impact minimum requirements for own funds and eligible liabilities (MREL) (including requirements for
internal MREL), leverage, liquidity or funding requirements, applicable buffers and/or add-ons to such minimum requirements and risk weighted
assets calculation methodologies all as may be set by international, EU or national authorities. This includes the upcoming implementation of the
remaining Basel III reforms, as well as the expected incorporation of risks associated with climate change into the prudential framework and increased
scrutiny of firms’ governance and risk management frameworks (including in respect of climate change and Environmental, Social and Governance
(ESG) risks). Such or similar changes to prudential requirements or additional supervisory and prudential expectations, as well as requirements
imposed by the Barclays Bank Group's regulators under the resolution framework, either individually or in aggregate, may result in, among other
things, a need for further management actions to meet the changed requirements, such as:
–increasing capital, MREL or liquidity resources, reducing leverage and risk weighted assets;
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–modifying the terms of outstanding capital instruments;
–modifying legal entity structure (including with regard to issuance and deployment of capital, MREL and funding);
–changing the Barclays Bank Group’s business mix or exiting other businesses; and/or
–undertaking other actions to strengthen the Barclays Bank Group’s position or resolvability.
▪The derivatives market has been the subject of particular focus for regulators in recent years across the G20 countries and beyond, with regulations
introduced which require the on-venue trading and clearing of standardised over the counter (OTC) derivatives and the mandatory margining of non-
cleared OTC derivatives. These regulations may increase costs for market participants, as well as reduce liquidity in the derivatives markets, in
particular if there are areas of overlapping or conflicting regulation. More broadly, changes to the regulatory framework could entail significant costs
for market participants and may have a significant impact on certain markets in which the Barclays Bank Group operates.
▪The Barclays Group and certain of its members (including Barclays Bank PLC) are subject to supervisory stress testing exercises in a number of
jurisdictions. These exercises currently include the programmes of the Bank of England, the European Banking Authority (EBA) and the Federal
Reserve Board (FRB). Failure to meet the requirements of regulatory stress tests, or the failure by regulators to approve the stress test results and
capital plans of the Barclays Group, could result in the Barclays Group or certain of its members (including Barclays Bank PLC) being required to
enhance their capital position, limit capital distributions or position additional capital in specific subsidiaries.
▪As a result of the on-shoring of EU legislation in the UK, UK-based entities within the Barclays Group are currently subject to substantially the same
rules and regulations as prior to the UK’s withdrawal from the EU. It is the UK’s intention to recast on-shored EU legislation as part of UK legislation
and PRA and FCA rules, which could result in changes to regulatory requirements in the UK. If the regulatory regimes for EU and UK financial services
change further, the provision of cross-border banking and investment services across the Barclays Bank Group may become more complex and costly
which could have a material adverse effect on the Barclays Bank Group’s business and results of operations and could result in the Barclays Bank
Group modifying its legal entity, capital and funding structures and business mix, exiting certain business activities altogether or not expanding in
areas despite otherwise attractive potential returns. This may also be exacerbated if Barclays Bank Ireland PLC expands further and, as a result of its
growth and importance to the Barclays Bank Group and the EEA banking system as a whole, Barclays Bank Ireland PLC is made subject to higher
capital requirements or restrictions are imposed by regulators, on capital allocation and capital distributions by Barclays Bank Ireland PLC.
For further details on the regulatory supervision of, and regulations applicable to, the Barclays Bank Group, refer to the Supervision and regulation
section.
vi)Impact of benchmark interest rate reforms on the Barclays Bank Group
Global regulators and central banks in the UK, US and EU have been driving international efforts to reform key benchmark interest rates and indices,
such as the London Interbank Offered Rate (LIBOR), which are used to determine the amounts payable under a wide range of transactions and make
them more reliable and robust. These benchmark reforms have resulted in significant changes to the methodology and operation of certain benchmarks
and indices, the adoption of alternative risk-free reference rates (RFRs), the discontinuation of certain reference rates (including LIBOR), and the
introduction of implementing legislation and regulations. Specifically, regulators in the UK, US and EU directed that certain non-US dollar LIBOR tenors
would cease at the end of 2021. Furthermore, certain US dollar LIBOR tenors are to cease by the end of June 2023, and restrictions have been imposed
on new use of US dollar LIBOR. Notwithstanding these developments, given the unpredictable consequences of benchmark reform, any of these
developments could have an adverse impact on market participants, including the Barclays Bank Group, in respect of any financial instruments linked to,
or referencing, any of these benchmark interest rates.
Uncertainty associated with such potential changes, including the availability and/or suitability of alternative RFRs, the participation of customers and
third-party market participants in the transition process, challenges with respect to required documentation changes, and impact of legislation to deal
with certain legacy contracts that cannot convert into or add fall-back RFRs before cessation of the benchmark they reference, may adversely affect a
broad range of transactions (including any securities, loans and derivatives which use LIBOR or any other affected benchmark to determine the interest
payable which are included in the Barclays Bank Group’s financial assets and liabilities) that use these reference rates and indices, and present a number
of risks for the Barclays Bank Group, including but not limited to:
▪Conduct risk: in undertaking actions to transition away from using certain reference rates (such as LIBOR) to new alternative RFRs, the Barclays Bank
Group faces conduct risks. These may lead to customer complaints, regulatory sanctions or reputational impact if the Barclays Bank Group is
considered to be (among other things): (i) undertaking market activities that are manipulative or create a false or misleading impression; (ii) misusing
sensitive information or not identifying or appropriately managing or mitigating conflicts of interest; (iii) providing customers with inadequate advice,
misleading information, unsuitable products or unacceptable service; (iv) not taking a consistent approach to remediation for customers in similar
circumstances; (v) unduly delaying the communication and migration activities in relation to client exposure, leaving them insufficient time to
prepare; or (vi) colluding or inappropriately sharing information with competitors.
▪Litigation risk: members of the Barclays Bank Group may face legal proceedings, regulatory investigations and/or other actions or proceedings
regarding (among other things): (i) the conduct risks identified above, (ii) the interpretation and enforceability of provisions in LIBOR-based contracts,
and (iii) the Barclays Bank Group’s preparation and readiness for the replacement of LIBOR with alternative RFRs.
▪Financial risk: the valuation of certain of the Barclays Bank Group’s financial assets and liabilities may change. Moreover, transitioning to alternative
RFRs may impact the ability of members of the Barclays Bank Group to calculate and model amounts receivable by them on certain financial assets
and determine the amounts payable on certain financial liabilities (such as debt securities issued by them) because certain alternative RFRs (such as
the Sterling Overnight Index Average (SONIA) and the Secured Overnight Financing Rate (SOFR)) are look-back rates whereas term rates (such as
LIBOR) allow borrowers to calculate at the start of any interest period exactly how much is payable at the end of such interest period. This may have a
material adverse effect on the Barclays Bank Group’s cash flows.
▪Pricing risk: changes to existing reference rates and indices, discontinuation of any reference rate or indices and transition to alternative RFRs may
impact the pricing mechanisms used by the Barclays Bank Group on certain transactions.
Risk review
Material existing and emerging risks
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▪Operational risk: changes to existing reference rates and indices, discontinuation of any reference rate or index and transition to alternative RFRs may
require changes to the Barclays Bank Group’s IT systems, trade reporting infrastructure, operational processes, and controls. In addition, if any
reference rate or index (such as LIBOR) is no longer available to calculate amounts payable, the Barclays Bank Group may incur additional expenses in
amending documentation for new and existing transactions and/or effecting the transition from the original reference rate or index to a new
reference rate or index.
▪Accounting risk: an inability to apply hedge accounting in accordance with IAS 39 could lead to increased volatility in the Barclays Bank Group’s
financial results and performance.
Any of these factors may have a material adverse effect on the Barclays Bank Group’s business, results of operations, financial condition, prospects and
reputation.
For further details on the impacts of benchmark interest rate reforms on the Barclays Bank Group, refer to Note 40.
vii) Change delivery and execution risks
The Barclays Bank Group will need to adapt and/or transform the way it conducts business in response to changing customer behaviour and needs,
technological developments, regulatory expectations, increased competition and cost management initiatives. Accordingly, effective management of
transformation projects is required to successfully deliver the Barclays Bank Group's strategic priorities, involving delivering both on externally driven
programmes, as well as key business initiatives to deliver revenue growth, product enhancement and operational efficiency outcomes. The magnitude,
complexity and, at times, concurrent demands of the projects required to meet these priorities can result in heightened execution risk.
The ability to execute the Barclays Bank Group’s strategy may be limited by operational capacity and the increasing complexity of the regulatory
environment in which the Barclays Bank Group operates. In addition, whilst the Barclays Bank Group continues to pursue cost management initiatives,
they may not be as effective as expected and cost saving targets may not be met.
The failure to successfully deliver o r achieve any of the expected benefits of these strategic initiatives and/or the failure to meet customer and
stakeholder expectations could have a material adverse effect on the Barclays Bank Group’s business, results of operations, financial condition,
customer outcomes, prospects and reputation.
Risk review
Material existing and emerging risks
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Material existing and emerging risks impacting individual principal risks
i)Climate risk
The risks associated with climate change are subject to rapidly increasing societal, regulatory and political focus, both in the UK and internationally.
Embedding climate risk into the Barclays Bank Group’s risk framework in line with regulatory expectations and requirements, and adapting the Barclays
Bank Group’s operations and strategy to address the financial risks resulting from both: (i) the physical risk of climate change; and (ii) the risk from the
transition to a low-carbon economy, could have a significant impact on the Barclays Bank Group’s business results of operations, financial condition and
prospects, the Barclays Bank Group’s customers and clients and the creditworthiness of the Barclays Bank Group’s counterparties.
Physical risks from climate change arise from a number of factors and relate to specific weather events and longer-term shifts in the climate. The nature
and timing of extreme weather events are uncertain but they are increasing in frequency and their impact on the economy is predicted to be more acute
in the future. The potential impact on the economy includes, but is not limited to, lower GDP growth, higher unemployment and significant changes in
asset prices and profitability of industries. Damage to properties and operations of borrowers could impair asset values and the creditworthiness of
customers leading to increased default rates, delinquencies, write-offs and impairment charges in the Barclays Bank Group’s portfolios. In addition, the
Barclays Bank Group’s premises and resilience may also suffer physical damage due to weather events leading to increased costs for the Barclays Bank
Group.
As the economy transitions to a low-carbon economy, financial institutions such as the Barclays Bank Group may face significant and rapid
developments in stakeholder expectations, policy, law and regulation which could impact the lending activities the Barclays Bank Group undertakes, as
well as the risks associated with its lending portfolios, and the value of the Barclays Bank Group’s financial assets. As sentiment towards climate change
shifts and societal preferences change, the Barclays Bank Group may face greater scrutiny of the type of business it conducts, adverse media coverage
and reputational damage, which may in turn impact customer demand for the Barclays Bank Group's products, returns on certain business activities
and the value of certain assets and trading positions, resulting in impairment charges.
In addition, the impacts of physical and transition climate risks can lead to second order connected risks, which have the potential to affect the Barclays
Bank Group’s retail and wholesale portfolios. The impacts of climate change may increase losses for those sectors sensitive to the effects of physical and
transition risks. Any subsequent increase in defaults and rising unemployment could create recessionary pressures, which may lead to wider
deterioration in the creditworthiness of the Barclays Bank Group’s clients, higher ECLs, and increased charge-offs and defaults among retail customers.
With effect from 1 January 2022, climate risk became one of the principal risks within the Barclays Bank Group’s Enterprise Risk Management
Framework. Failure to adequately embed risks associated with climate change into its risk framework to appropriately measure, manage and disclose
the various financial and operational risks it faces as a result of climate change, or failure to adapt the Barclays Bank Group's strategy and business
model to the changing regulatory requirements and market expectations on a timely basis, may have a material and adverse impact on the Barclays
Bank Group’s level of business growth, competitiveness, profitability, capital requirements, cost of funding, and financial condition.
In March 2020, the Barclays Group announced its ambition to become a net zero bank by 2050 and its commitment to align all of its financing activities
with the goals and timelines of the Paris Agreement. In order to reach these ambitions and targets or any other climate-related ambitions or targets the
Barclays Group may commit to in future, the Barclays Bank Group will need to incorporate climate considerations into its strategy, business model, the
products and services it provides to customers and its financial and non-financial risk management processes (including processes to measure and
manage the various financial and non-financial risks the Barclays Bank Group faces as a result of climate change). The Barclays Bank Group also needs
to ensure that its strategy and business model adapt to changing national and international standards, industry and scientific practices, regulatory
requirements and market expectations regarding climate change, which remain under continuous development and are subject to different
interpretations. There can be no assurance that these standards, practices, requirements and expectations will not be interpreted differently than what
was the Barclays Group’s understanding when defining its climate-related ambitions and targets, or change in a manner that substantially increases the
cost or effort for the Barclays Bank Group to achieve such ambitions and targets. In addition, the Barclays Group’s ambitions and targets may prove to
be considerably more difficult or even impossible to achieve under such changing circumstances. This may be exacerbated if the Barclays Group
chooses or is required to accelerate its climate-related ambitions or targets as a result of (among other things) UK or international regulatory
developments or stakeholder expectations. Achieving the Barclays Group’s climate-related ambitions and targets will also depend on a number of
factors outside the Barclays Bank Group’s control, including (among other things) availability of data to measure and assess the climate impact of the
Barclays Bank Group’s customers, advancements of low-carbon technologies and supportive public policies in the markets where the Barclays Bank
Group operates. If these external factors and other changes do not occur, or do not occur on a timely basis, the Barclays Group may fail to achieve its
climate-related ambitions and targets and this could have a material adverse effect on the Barclays Bank Group’s business, results of operations,
financial condition, prospects and reputation.
For further details on the Barclays Bank Group’s approach to climate change, refer to the climate change risk management section.
ii)Credit risk
Credit risk is the risk of loss to the Barclays Bank Group from the failure of clients, customers or counterparties, including sovereigns, to fully honour
their obligations to members of the Barclays Bank Group, including the whole and timely payment of principal, interest, collateral and other receivables.
a)Impairment
Impairment is calculated in line with the requirements of IFRS9 which results in recognition of loss allowances, based on ECLs, on a forward-looking
basis using a broad scope of financial instruments. Measurement involves complex judgement and impairment charges are potentially volatile,
particularly under stressed conditions, which could have a material adverse effect on the Barclays Bank Group's business, results of operations, financial
condition and prospects.
For further details, refer to Note 7.
Risk review
Material existing and emerging risks
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b)Specific sectors and concentrations
The Barclays Bank Group is subject to risks arising from changes in credit quality and recovery rates of loans and advances due from borrowers and
counterparties in any specific portfolio. Any deterioration in credit quality could lead to lower recoverability and higher impairment in a specific sector.
The following are areas of uncertainties to the Barclays Bank Group’s portfolio which could have a material impact on performance:
▪UK retail, hospitality and leisure: softening demand, rising costs and a structural shift to online shopping, which have been exacerbated due to
restrictions imposed during the COVID-19 pandemic and changes in consumer behaviour, continue to pressurise the UK High Street and other
sectors heavily reliant on consumer discretionary spending. As these sectors continue to reposition themselves, the trend represents a potential risk
in the Barclays Bank Group’s UK corporate portfolio as a higher probability of default exists for retailers, hospitality providers and their landlords
while this transition takes place.
▪Consumer affordability: this has remained a key area of focus, particularly in unsecured lending. Macroeconomic factors, such as unemployment,
higher interest rates or broader inflationary pressures, that impact a customer’s ability to service debt payments, could lead to increased arrears in
both unsecured and secured products. The Barclays Bank Group is exposed to the adverse credit performance of unsecured products, particularly in
the US through its US Cards business.
▪UK real estate market: the Barclays Bank Group’s corporate credit exposure is vulnerable to weakness in retail property, for example, as a result of
reduced rent collections and residential development, and faces the risk of increased impairment from a material fall in property prices. There can
be no assurance that the significant increase in house prices seen during 2021 will continue in 2022. In addition, small segments of the housing
market could be subject to specific valuation impacts such as requirements to remediate issues related to fire safety standards.
▪Leverage finance underwriting: the Barclays Bank Group takes on sub-investment grade underwriting exposure, including single name risk,
particularly in the US and Europe. The Barclays Bank Group is exposed to credit events and market volatility during the underwriting period. Any
adverse events during this period may potentially result in loss for the Barclays Bank Group, or an increased capital requirement should there be a
need to hold the exposure for an extended period.
▪Italian mortgage and wholesale exposure: the Barclays Bank Group is exposed to a decline in the Italian economic environment through a
mortgage portfolio in run-off and positions to wholesale customers. The Italian economy was severely impacted by the COVID-19 pandemic in
2020 and recovery has been slower than anticipated. Should the Italian economy deteriorate further or any recovery take longer to materialise, there
could be a material adverse effect on the Barclays Bank Group’s results of operations including, but not limited to, increased credit losses and higher
impairment charges.
▪Oil & Gas sector: the Barclays Bank Group’s corporate credit exposure includes companies whose performance is dependent on the oil and gas
sector. Whilst market prices have recovered in 2021, a sustained period of lower energy prices in recent years has led to the erosion of balance sheet
strength, particularly for higher cost producers and those businesses which supply goods and services to the oil and gas sector. In the longer term,
costs associated with the transition towards renewable sources of energy may place greater financial demands on companies that the Barclays
Bank Group has exposure to globally. These factors could have a material adverse effect on the Barclays Bank Group’s business, results of
operations, financial condition and prospects through increased impairment charges.
▪Air travel: the COVID-19 pandemic has caused a significant reduction in demand for air travel as both the willingness and ability to travel have
reduced, impacting revenues of the Barclays Bank Group’s clients and their ability to service their debt obligations. While the situation is expected to
improve as travel restrictions are eased, changes in consumer behaviour both due to COVID-19 and climate change create uncertainty for the
sector. Furthermore, the possibility of further global and regional pandemics pose additional risks for the sector.
The Barclays Bank Group also has large individual exposures to single name counterparties, both in its lending activities and in its financial services and
trading activities, including transactions in derivatives and transactions with brokers, central clearing houses, dealers, other banks, mutual and hedge
funds and other institutional clients. The default of such counterparties could have a significant impact on the carrying value of these assets. In addition,
where such counterparty risk has been mitigated by taking collateral, credit risk may remain high if the collateral held cannot be monetised, or has to be
liquidated at prices which are insufficient to recover the full amount of the loan or derivative exposure. Any such defaults could have a material adverse
effect on the Barclays Bank Group’s results due to, for example, increased credit losses and higher impairment charges.
For further details on the Barclays Bank Group’s approach to credit risk, refer to the credit risk management and credit risk performance sections.
iii)Market risk
Market risk is 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.
Economic and financial market uncertainties remain elevated, as the path of the COVID-19 pandemic is inherently difficult to predict. Further waves of
the COVID-19 pandemic, a disruptive adjustment to monetary policy normalisation, intensifying social unrest that weighs on market sentimen t a nd
deteriorating trade and geopolitical tensions are some of the factors that could heighten market risks for the Barclays Bank Group’s portfolios.
In addition, the Barclays Bank Group’s trading business is generally exposed to a prolonged period of elevated asset price volatility, particularly if it
adversely affects market liquidity. Such a scenario could impact the Barclays Bank Group’s ability to execute client trades and may also result in lower
client flow-driven income and/or market-based losses on its existing portfolio of market risks. These can include higher hedging costs from rebalancing
risks that need to be managed dynamically as market levels and their associated volatilities change.
It is difficult to predict changes in market conditions, and such changes could have a material adverse effect on the Barclays Bank Group’s business,
results of operations, financial condition and prospects.
For further details on the Barclays Bank Group’s approach to market risk, refer to the market risk management and market risk performance sections.
Risk review
Material existing and emerging risks
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iv)Treasury and capital risk
There are three primary types of treasury and capital risk faced by the Barclays Bank Group:
a)Liquidity risk
Liquidity risk is the risk that the Barclays Bank Group is unable to meet its contractual or contingent obligations or that it does not have the appropriate
amount, tenor and composition of funding and liquidity to support its assets. This could cause the Barclays Bank Group to fail to meet internal and/or
regulatory liquidity requirements, make repayments as they fall due or be unable to support day-to-day banking activities. Key liquidity risks that the
Barclays Bank Group faces include:
▪Stability of the Barclays Bank Group’s deposit funding profile: deposits which are payable on demand or at short notice could be affected by the
Barclays Bank Group failing to preserve the current level of customer and investor confidence.
▪Ongoing access to wholesale funding: the Barclays Bank Group regularly accesses the money and capital markets to provide short-term and long-
ter m un secured and secured funding to support its operations. A loss of counterparty confidence, or adverse market conditions could lead to a
reduction in the tenor, or an increase in the costs, of the Barclays Bank Group's unsecured and secured wholesale funding.
▪Impacts of market volatility: adverse market conditions, with increased volatility in asset prices can negatively impact the Barclays Bank Group’s
liquidity position through increased derivative margin requirements and/or wider haircuts when monetising liquidity pool securities, and make it
more difficult to execute secured financing transactions.
▪Intraday liquidity usage: increased collateral requirements at payments and securities settlement systems could negatively impact the Barclays
Bank Group’s liquidity position, as cash and liquid assets required for intraday purposes are unavailable to meet other outflows.
▪Off-balance sheet commitments: deterioration in economic and market conditions could cause customers to draw on off-balance sheet
commitments provided to them, for example, revolving credit facilities, negatively affecting the Barclays Bank Group's liquidity position.
▪Credit rating changes and the impact on funding costs: any reductions in a credit rating (in particular, any downgrade below investment grade)
may affect the Barclays Bank Group’s access to the money or capital markets and/or terms on which the Barclays Bank Group is able to obtain
market funding (f or example, this could lead to increased costs of funding and wider credit spreads, the triggering of additional collateral or other
requirements in derivative contracts and other secured funding arrangements, or limits on the range of counterparties who are willing to enter into
transactions with the Barclays Bank Group).
b)Capital risk
Capital risk is the risk that the Barclays Bank Group has an insufficient level or composition of capital to support its normal business activities and to
meet its regulatory capital requirements under normal operating environments and stressed conditions (both actual and as defined for internal planning
or regulatory stress testing purposes). This also includes the risk from the Barclays Bank Group’s pension plans. Key capital risks that the Barclays Bank
Group faces include:
▪Failure to meet prudential capital requirements: This could lead to the Barclays Bank Group being unable to support some or all of its business
activities, a failure to pass regulatory stress tests, increased cost of funding due to deterioration in investor appetite or credit ratings, restrictions on
distributions including the ability to meet dividend targets, and/or the need to take additional measures to strengthen the Barclays Bank Group's
capital or leverage position.
▪Adverse changes in FX rates impacting capital ratios: The Barclays Bank Group has capital resources, risk weighted assets and leverage exposures
denominated in foreign currencies. Changes in foreign currency exchange rates may adversely impact the Sterling equivalent value of these items.
As a result, the Barclays Bank Group’s regulatory capital ratios are sensitive to foreign currency movements. Failure to appropriately manage the
Barclays Bank Group’s balance sheet to take account of foreign currency movements could result in an adverse impact on the Barclays Bank
Group’s regulatory capital and leverage ratios.
▪Adverse movements in the pension fund: Adverse movements in pension assets and liabilities for defined benefit pension schemes could result in
deficits on a technical provision and/or IAS 19 accounting basis. This could lead to the Barclays Bank Group making substantial additional
contributions to its pension plans and/or a deterioration in its capital position. Under IAS 19, the liabilities discount rate is derived from the yields of
high quality corporate bonds. Therefore, the valuation of the Barclays Bank Group’s defined benefits schemes would be adversely affected by a
prolonged fall in the discount rate due to a persistent low interest rate and/or credit spread environment. Inflation is another significant risk driver
to the pension fund as the liabilities are adversely impacted by an increase in long-term inflation expectations.
c)Interest rate risk in the banking book
Interest rate risk in the banking book is the risk that the Barclays Bank Group is exposed to capital or income volatility because of a mismatch between
the interest rate exposures of its (non-traded) assets and liabilities. The Barclays Bank Group’s hedging programmes for interest rate risk in the banking
book rely on behavioural assumptions and, as a result, the effectiveness of the hedging strategy cannot be guaranteed. A potential mismatch in the
balance or duration of the hedging assumptions could lead to earnings deterioration. A decline in interest rates in sterling, US dollars or euros may also
compress net interest margin on retail and corporate portfolios. In addition, the Barclays Bank Group’s liquid asset portfolio is exposed to potential
capital and/or income volatility due to movements in market rates and prices which may have a material adverse effect on the capital position of the
Barclays Bank Group.
For further details on the Barclays Bank Group’s approach to treasury and capital risk, refer to the treasury and capital risk management and treasury
and capital risk performance sections.
Risk review
Material existing and emerging risks
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v)Operational risk
Operational risk is the risk of loss to the Barclays Bank Group from inadequate or failed processes or systems, human factors or due to external events
where the root cause is not due to credit or market risks. Examples include:
a)Operational resilience
The Barclays Bank Group functions in a highly competitive market, with market participants that expect consistent and smooth business processes. The
loss of or disruption to business processing is a material inherent risk within the Barclays Bank Group and across the financial services industry, whether
arising through impacts on the Barclays Bank Group’s technology systems or availability of personnel or services supplied by third parties. Failure to
build resilience and recovery capabilities into business processes or into the services of technology, real estate or suppliers on which the Barclays Bank
Group’s business processes depend, may result in significant customer detriment, costs to reimburse losses incurred by the Barclays Bank Group’s
customers, and reputational damage.
b)Cyberattacks
Cyberattacks continue to be a global threat that is inherent across all industries, with the number and severity of attacks continuing to rise. The financial
sector remains a primary target for cybercriminals, hostile nation states, opportunists and hacktivists. The Barclays Bank Group, like other financial
institutions, experiences numerous attempts to compromise its cybersecurity.
The Barclays Bank Group dedicates significant resources to reducing cybersecurity risks, but it cannot provide absolute security against cyberattacks.
Malicious actors are increasingly sophisticated in their methods, seeking to steal money, gain unauthorised access to, destroy or manipulate data, and
disrupt operations, and some of their attacks may not be recognised until launched, such as zero-day attacks that are launched before patches and
defences can be readied. Cyberattacks can originate from a wide variety of sources and target the Barclays Bank Group in numerous ways, including
attacks on networks, systems, or devices used by the Barclays Bank Group or parties such as service providers and other suppliers, counterparties,
employees, contractors, customers or clients, presenting the Barclays Bank Group with a vast and complex defence perimeter. Moreover, the Barclays
Bank Group does not have direct control over the cybersecurity of the systems of its clients, customers, counterparties and third-party service providers
and suppliers, limiting the Barclays Bank Group’s ability to effectively defend against certain threats. Some of the Barclays Bank Group’s third-party
service providers and suppliers have experienced successful attempts to compromise their cybersecurity. These included ransomware attacks that
disrupted the service providers’ or suppliers’ operations and, in some cases, had a limited impact on the Barclays Bank Group’s operations. Such
cyberattacks are likely to continue.
A failure in the Barclays Bank Group’s adherence to its cybersecurity policies, procedures or controls, employee malfeasance, and human, governance or
technological error could also compromise the Barclays Bank Group’s ability to successfully defend against cyberattacks. Furthermore, certain legacy
technologies that are at or approaching end-of-life may not be able to maintain acceptable levels of security. The Barclays Bank Group has experienced
cybersecurity incidents and near-misses in the past, and it is inevitable that additional incidents will occur in the future. Cybersecurity risks will continue
to increase, due to factors such as the increasing demand across the industry and customer expectations for continued expansion of services delivered
over the Internet; increasing reliance on internet-based products, applications and data storage; and changes in ways of working by the Barclays Bank
Group’s employees, contractors, and third party service providers and suppliers and their subcontractors as a potentially long-term consequence of the
COVID-19 pandemic. Bad actors have taken advantage of remote working practices and modified customer behaviours that have taken hold during the
COVID-19 pandemic, exploiting the situation in novel ways that may elude defences.
Common types of cyberattacks include deployment of malware to obtain covert access to systems and data; ransomware attacks that render systems
and data unavailable through encryption; denial of service and distributed denial of service (DDoS) attacks; infiltration via business email compromise;
social engineering, including phishing, vishing and smishing; automated attacks using botnets; and credential validation or stuffing attacks using login
and password pairs from unrelated breaches. A successful cyberattack of any type has the potential to cause serious harm to the Barclays Bank Group
or its clients and customers, including exposure to potential contractual liability, litigation, regulatory or other government action, loss of existing or
potential customers, damage to the Barclays Bank Group’s brand and reputation, and other financial loss. The impact of a successful cyberattack is also
likely to include operational consequences (such as unavailability of services, networks, systems, devices or data), remediation of which could come at
significant cost.
Regulators worldwide continue to recognise cybersecurity as an increasing systemic risk to the financial sector and have highlighted the need for
financial institutions to improve their monitoring and control of, and resilience to, cyberattacks. A successful cyberattack may, therefore, result in
significant regulatory fines for the Barclays Bank Group.
For further details on the Barclays Bank Group’s approach to cyberattacks, refer to the operational risk performance section. For further details on cyber
security regulation applicable to the Barclays Bank Group, refer to the Supervision and regulation section.
c)New and emergent technology
Technology is fundamental to the Barclays Bank Group’s business and the financial services industry. Technological advancements present
opportunities to develop new and innovative ways of doing business across the Barclays Bank Group, with new solutions being developed both in-house
and in association with third-party companies. For example, payment services and securities, futures and options trading are increasingly occurring
electronically, both on the Barclays Bank Group’s own systems and through other alternative systems, and becoming automated. Whilst increased use
of electronic payment and trading systems and direct electronic access to trading markets could significantly reduce the Barclays Bank Group’s cost
base, it may, conversely, reduce the commissions, fees and margins made by the Barclays Bank Group on these transactions which could have a
material adverse effect on the Barclays Bank Group’s business, results of operations, financial condition and prospects.
Introducing new forms of technology, however, has the potential to increase inherent risk. Failure to evaluate, actively manage and closely monitor risk
exposure during all phases of business development could introduce new vulnerabilities and security flaws and have a material adverse effect on the
Barclays Bank Group’s business, results of operations, financial condition and prospects.
Risk review
Material existing and emerging risks
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d)External fraud
The nature of fraud is wide-ranging and continues to evolve, as criminals continually seek opportunities to target the Barclays Bank Group’s business
activities and exploit changes in customer behaviour and product and channel use (such as the increased use of digital products and enhanced online
services). Fraud attacks can be very sophisticated and are often orchestrated by highly organised crime groups who use ever more sophisticated
techniques to target customers and clients directly to obtain confidential or personal information that can be used to commit fraud. The impact from
fraud can lead to customer detriment, financial losses (including the reimbursement of losses incurred by customers), loss of business, missed business
opportunities and reputational damage, all of which could have a material adverse impact on the Barclays Bank Group’s business, results of operations,
financial condition and prospects.
e)Data management and information protection
The Barclays Bank Group holds and processes large volumes of data, including personal information, intellectual property a nd financial data and the
Barclays Bank Group’s businesses are subject to complex and evolving laws and regulations governing the privacy and protection of personal
information of individuals. The protected parties can include: (i) the Barclays Bank Group’s clients and customers, and prospective clients and
customers; (ii) clients and customers of the Barclays Bank Group’s clients and customers; (iii) employees and prospective employees; and (iv)
employees of the Barclays Bank Group’s suppliers, counterparties and other external parties.
The international nature of both the Barclays Bank Group’s business and its IT infrastructure also means that personal information may be available in
countries other than those from where it originated. Accordingly, the Barclays Bank Group needs to ensure that its collection, use, transfer and storage
of personal information complies with all applicable laws and regulations in all relevant jurisdictions (including as such new and existing regulations
continue to be implemented, interpreted and applied), which could: (i) increase the Barclays Bank Group’s compliance and operating costs, particularly
in the context of ensuring that adequate data protection and data transfer mechanisms are in place; (ii) impact the development of new products or
services, impact the offering of existing products or services, or affect how products and services are offered to clients and customers; (iii) demand
significant oversight by the Barclays Bank Group’s management; and (iv) require the Barclays Bank Group to review some elements of the structure of
its businesses, operations and systems in less efficient ways.
Concerns regarding the effectiveness of the Barclays Bank Group’s measures to safeguard personal information, or even the perception that those
measures are inadequate, could expose the Barclays Bank Group to the risk of loss or unavailability of data or data integrity issues and/or cause the
Barclays Bank Group to lose existing or potential clients and customers, and thereby reduce the Barclays Bank Group’s revenues. Furthermore, any
failure or perceived failure by the Barclays Bank Group to comply with applicable privacy or data protection laws and regulations (and the evolving
standards imposed by data protection authorities in connection therewith) may subject it to potential contractual liability, litigation, regulatory or other
government investigation or action (including significant regulatory fines) and require changes to certain operations or practices which could also
inhibit the Barclays Bank Group’s development or marketing of certain products or services, or increase the costs of offering them to customers. Any of
these events could damage the Barclays Bank Group’s reputation, subject the Barclays Bank Group to material fines or other monetary penalties, make
the Barclays Bank Group liable to the payment of compensatory damages, divert management’s time and attention, lead to enhanced regulatory
o versight and otherwise materially adversely affect its business, results of operations, financial condition and prospects.
For further details on data protection regulation applicable to the Barclays Bank Group, refer to the supervision and regulation section.
f)Algorithmic trading
In some areas of the investment banking business, trading algorithms are used to price and risk manage client and principal transactions. An
algorithmic error could result in erroneous or duplicated transactions, a system outage, or impact the Barclays Bank Group’s pricing abilities, which
could have a material adverse effect on the Barclays Bank Group’s business, results of operations, financial condition, prospects and reputation.
g)Processing errors
The Barclays Bank Group’s businesses are highly dependent on its ability to process and monitor, on a daily basis, a very large number of transactions,
many of which are highly complex and occur at high volumes and frequencies, across numerous and diverse markets in many currencies. As the
Barclays Bank Group’s customer base and geographical reach expand and the volume, speed, frequency and complexity of transactions, especially
electronic transactions (as well as the requirements to report such transactions on a real-time basis to clients, regulators and exchanges) increase,
developing, maintaining and upgrading operational systems and infrastructure becomes more challenging, and the risk of systems or human error in
connection with such transactions increases, as well as the potential consequences of such errors due to the speed and volume of transactions involved
and the potential difficulty associated with discovering errors quickly enough to limit the resulting consequences. Furthermore, events that are wholly or
partially beyond the Barclays Bank Group’s control, such as a spike in transaction volume, could adversely affect the Barclays Bank Group’s ability to
process transactions or provide banking and payment services.
Processing errors could result in the Barclays Bank Group, among other thing s: (i) failing to provide information, services and liquidity to clients and
counterparties in a timely manner; (ii) failing to settle and/or confirm transactions; (iii) causing funds transfers, capital markets trades and/or other
transactions to be executed erroneously, illegally or with unintended consequences; and (iv) adversely affecting financial, trading or currency markets.
Any of these events could materially disadvantage the Barclays Bank Group’s customers, clients and counterparties (including them suffering financial
loss) and/or result in a loss of confidence in the Barclays Bank Group which, in turn, could have a material adverse effect on the Barclays Bank Group’s
business, results of operations, financial condition and prospects.
h)Supplier exposure
The Barclays Bank Group depends on suppliers for the provision of many of its services and the development of technology. Whilst the Barclays Bank
Group depends on suppliers, it remains fully accountable for any risk arising from the actions of suppliers. The dependency on suppliers and sub-
contracting of outsourced services introduces concentration risk where the failure of specific suppliers could have an impact on the Barclays Bank
Group’s ability to continue to provide material services to its customers. Failure to adequately manage supplier risk could have a material adverse effect
on the Barclays Bank Group’s business, results of operations, financial condition and prospects.
Risk review
Material existing and emerging risks
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i)Estimates and judgements relating to critical accounting policies and regulatory disclosures
The preparation of financial statements requires the application of accounting policies and judgements to be made in accordance with IFRS. Regulatory
returns and capital disclosures are prepared in accordance with the relevant capital reporting requirements and also require assumptions and estimates
to be made. The key areas involving a higher degree of judgement or complexity, or areas where assumptions are significant to the consolidated and
individual financial statements, include credit impairment provisions, taxes, fair value of financial instruments, pensions and post-retirement benefits,
and provisions including conduct and legal, competition and regulatory matters (refer to the notes to the audited financial statements for further
details). There is a risk that if the judgement exercised, or the estimates or assumptions used, subsequently turn out to be incorrect, this could result in
material losses to the Barclays Bank Group, beyond what was anticipated or provided for. Further development of accounting standards and regulatory
interpretations could also materially impact the Barclays Bank Group’s results of operations, financial condition and prospects.
j)Tax risk
The Barclays Bank Group is required to comply with the domestic and international tax laws and practice of all countries in which it has business
operations. There is a risk that the Barclays Bank Group could suffer losses due to additional tax charges, other financial costs or reputational damage as
a result of failing to comply with such laws and practice, or by failing to manage its tax affairs in an appropriate manner, with much of this risk
attributable to the international structure of the Barclays Bank Group. In addition, increasing tax authority focus on reporting and disclosure
requirements around the world and the digitisation of the administration of tax has potential to increase the Barclays Bank Group’s tax compliance
obligations further. For example, the OECD and G20 Inclusive Framework on Base Erosion and Profit Shifting has announced plans to introduce a global
minimum tax from 2023 which, if enacted, will increase the Barclays Bank Group’s tax compliance obligations. In addition, the proposed Build Back
Better Act includes proposals to implement changes to US international tax provisions which may require systems and process changes if enacted. Any
systems and process changes associated with these changes introduce additional operational risk.
k)Ability to hire and retain appropriately qualified employees
As a regulated financial institution, the Barclays Bank Group requires diversified and specialist skilled colleagues. The Barclays Bank Group’s ability to
attract, develop and retain a diverse mix of talent is key to the delivery of its core business activity and strategy. This is impacted by a range of external
and internal factors, such as potential effects on employee engagement and wellbeing from long-term periods of working remotely. Failure to attract or
prevent the departure of appropriately qualified and skilled employees could have a material adverse effect on the Barclays Bank Group’s business,
results of operations, financial condition and prospects. Additionally, this may result in disruption to service which could in turn lead to disenfranchising
certain customer groups, customer detriment and reputational damage.
For further details on the Barclays Bank Group’s approach to operational risk, refer to the operational risk management and operational risk
performance sections.
vi)Model risk
Model risk is the potential for adverse consequences from decisions based on incorrect or misused model outputs and reports. The Barclays Bank Group
relies on models to support a broad range of business and risk management activities, including informing business decisions and strategies, measuring
and limiting risk, valuing exposures (including the calculation of impairment), conducting stress testing, assessing capital adequacy, supporting new
business acceptance and risk and reward evaluation, managing client assets, and meeting reporting requirements.
Models are, by their nature, imperfect representations of reality and have some degree of uncertainty because they rely on assumptions and inputs, and
so are subject to intrinsic uncertainty, errors and inappropriate use affecting the accuracy of their outputs. This may be exacerbated when dealing with
unprecedented scenarios, such as the COVID-19 pandemic, due to the lack of reliable historical reference points and data. For instance, the quality of
the data used in models across the Barclays Bank Group has a material impact on the accuracy and completeness of its risk and financial metrics. Model
uncertainty, errors and inappropriate use may result in (among other things) the Barclays Bank Group making inappropriate business decisions and/or
inaccuracies or errors in the Barclays Bank Group’s risk management and regulatory reporting processes. This could result in significant financial loss,
imposition of additional capital requirements, enhanced regulatory supervision and reputational damage, all of which could have a material adverse
effect on the Barclays Bank Group’s business, results of operations, financial condition and prospects.
For further details on the Barclays Bank Group’s approach to model risk, refer to the model risk management and model risk performance sec tions.
vii)Conduct risk
Conduct risk is the risk o f poor outcomes for, or harm to, customer s, clients and markets, arising from the delivery of the Barclays Bank Group's
products and services. This risk could manifest itself in a variety of ways, including:
a)Market integrity
The Barclays Bank Group’s businesses are exposed to risk from potential non-compliance with its policies and standards and instances of wilful and
negligent misconduct by employees, all of which could result in potential customer and client detriment, enforcement action (including regulatory fines
and/or sanctions), increased operation and compliance costs, redress or remediation or reputational damage which in turn could have a material
adverse effect on the Barclays Bank Group’s business, results of operations, financial condition and prospects. Examples of employee misconduct which
could have a material adverse effect on the Barclays Bank Group’s business include: (i) employees improperly selling or marketing the Barclays Bank
Group’s products and services; (ii) employees engaging in insider trading, market manipulation or unauthorised trading; or (iii) employees
misappropriating confidential or proprietary information belonging to the Barclays Bank Group, its customers or third parties. These risks may be
exacerbated in circumstances where the Barclays Bank Group is unable to rely on physical oversight and supervision of employees (such as during the
COVID-19 pandemic where employees have worked remotel y).
b)Customer protection
The Barclays Bank Group must ensure that its customers, particularly those that are vulnerable, are able to make well-informed decisions on how best
to use the Barclays Bank Group’s financial services and understand that they are appropriately protected if something goes wrong. Poor customer
outcomes can result from the failure to: (i) communicate fairly and clearly with customers; (ii) provide services in a timely and fair manner; (iii) handle
Risk review
Material existing and emerging risks
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and protect customer data appropriately; and (iv) undertake appropriate activity to address customer detriment, including the adherence to regulatory
and legal requirements on complaint handling. The Barclays Bank Group is at risk of financial loss and reputational damage as a result.
c)Product design and review risk
Products and services must meet the needs of clients, customers, markets and the Barclays Bank Group throughout their life cycle. H owever, there is a
risk that the design and review of the Barclays Bank Group products and services fail to reasonably consider and address potential or actual negative
outcomes, which may result in customer detriment, enforcement action (including regulatory fines and/or sanctions), redress and remediation and
reputational damage. Both the design and review of products and services are a key area of focus for regulators and the Barclays Bank Group.
d)Financial crime
The Barclays Bank Group may be adversely affected if it fails to effectively mitigate the risk that third parties or its employees facilitate, or that its
products and services are used to facilitate, financial crime (money laundering, terrorist financing, breaches of economic and financial sanctions, bribery
and corruption, and the facilitation of tax evasion). UK and US regulations covering financial institutions continue to focus on combating financial crime.
Failure to comply may lead to enforcement action by the Barclays Bank Group’s regulators, including severe penalties, which may have a material
adverse effect on the Barclays Bank Group’s business, financial condition and prospects.
e)Regulatory focus on culture and accountability
Regulators around the world continue to emphasise the importance of culture and personal accountability and enforce the adoption of adequate
internal reporting and whistleblowing procedures to help to promote appropriate conduct and drive positive outcomes for customers, colleagues,
clients and markets. The requirements and expectations of the UK Senior Managers Regime, Certification Regime and Conduct Rules have reinforced
additional accountabilities for individuals across the Barclays Bank Group with an increased focus on governance and rigour, with similar requirements
also introduced in other jurisdictions globally. Failure to meet these requirements and expectations may lead to regulatory sanctions, both for the
individuals and the Barclays Bank Group.
For further details on the Barclays Bank Group’s approach to conduct risk, refer to the conduct risk management and conduct risk performance
sections.
viii)Reputation risk
Reputation risk is the risk that an action, transaction, investment, event, decision, or business relationship will reduce trust in the Barclays Bank Group’s
integrity and/or competence.
Any material lapse in standards of integrity, compliance, customer service or operating efficiency may represent a potential reputation risk. Stakeholder
expectations constantly evolve, and so reputation risk is dynamic and varies between geographical regions, groups and individuals. A risk arising in one
business area can have an adverse effect upon the Barclays Bank Group’s overall reputation and any one transaction, investment or event (in the
perception of key stakeholders) can reduce trust in the Barclays Bank Group’s integrity and competence. The Barclays Bank Group’s association with
sensitive topics and sectors has been, and in some instances continues to be, an area of concern for stakeholders, including: (i) the financing of, and
investments in, businesses which operate in sectors that are sensitive because of their relative carbon intensity or local environmental impact; (ii)
potential association with human rights violations (including combating modern slavery) in the Barclays Bank Group’s operations or supply chain and
by clients and customers; and (iii) the financing of businesses which manufacture and export military and riot control goods and services.
Reputation risk could also arise from negative public opinion about the actual, or perceived, manner in which the Barclays Bank Group (including its
employees, clients and other associations) conducts its business activities, or the Barclays Bank Group’s financial performance, as well as actual or
perceived practices in banking and the financial services industry generally. Modern technologies, in particular online social media channels and other
broadcast tools that facilitate communication with large audiences in short time frames and with minimal costs, may significantly enhance and
accelerate the distribution and effect of damaging information and allegations. Negative public opinion may adversely affect the Barclays Bank Group’s
ability to retain and attract customers, in particular, corporate and retail depositors, and to retain and motivate staff, and could have a material adverse
effect on the Barclays Bank Group’s business, results of operations, financial condition and prospects.
In addition to the above, reputation risk has the potential to arise from operational issues or conduct matters which cause detriment to customers,
clients, market integrity, effective competition or the Barclays Bank Group (refer to ‘v) Operational risk’ above).
For further details on the Barclays Bank Group’s approach to reputation risk, refer to the reputation risk management and reputation risk performance
sections.
ix)Legal risk and legal, competition and regulatory matters
The Barclays Bank Group conducts activities in a highly regulated global market which exposes it and its employees to legal risk arising from: (i) the
multitude of laws and regulations that apply to the businesses it operates, which are highly dynamic, may vary between jurisdictions and/or conflict,
and are often unclear in their application to particular circumstances especially in new and emerging areas; and (ii) the diversified and evolving nature of
the Barclays Bank Group’s businesses and business practices. In each case, this exposes the Barclays Bank Group and its employees to the risk of loss or
the imposition of penalties, damages or fines from the failure of members of the Barclays Bank Group to meet their respective legal obligations,
including legal or contractual requirements. Legal risk may arise in relation to any number of the material existing and emerging risks identified above.
A breach of applicable legislation and/or regulations by the Barclays Bank Group or its employees could result in criminal prosecution, regulatory
censure, potentially significant fines and other sanctions in the jurisdictions in which the Barclays Bank Group operates. Where clients, customers or
other third parties are harmed by the Barclays Bank Group’s conduct, this may also give rise to civil legal proceedings, including class actions. Other
legal disputes may also arise between the Barclays Bank Group and third parties relating to matters such as breaches or enforcement of legal rights or
obligations arising under contracts, statutes or common law. Adverse findings in any such matters may result in the Barclays Bank Group being liable to
third parties or may result in the Barclays Bank Group’s rights not being enforced as intended.
Details of legal, competition and regulatory matters to which the Barclays Bank Group is currently exposed are set out in Note 25. In addition to matters
specifically described in Note 25, the Barclays Bank Group is engaged in various other legal proceedings which arise in the ordinary course of business.
Risk review
Material existing and emerging risks
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The Barclays Bank Group is also subject to requests for information, investigations and other reviews by regulators, governmental and other public
bodies in connection with business activities in which the Barclays Bank Group is, or has been, engaged and may (from time to time) be subject to legal
proceedings and other investigations relating to financial and non-financial disclosures made by members of the Barclays Bank Group (including, but
not limited to, in relation to ESG disclosures). Additionally, due to the increasing number of new climate and sustainability-related laws and regulations
(or laws and regulatory processes seeking to protect the energy sector from any risks of divestment or challenges in accessing finance), growing
demand from investors and customers for environmentally sustainable products and services, and regulatory scrutiny, financial institutions, including
the Barclays Bank Group, may through their business activities face increasing litigation, conduct, enforcement and contract liability risks related to
climate change, environmental degradation and other social, governance and sustainability-related issues. Furthermore, there is a risk that shareholders,
campaign groups, customers and other interest groups could seek to take legal action against the Barclays Bank Group for financing or contributing to
climate change and environmental degradation.
The outcome of legal, competition and regulatory matters, both those to which the Barclays Bank Group is currently exposed and any others which may
arise in the future, is difficult to predict. In connection with such matters, the Barclays Bank Group may incur significant expense, regardless of the
ultimate outcome, and any such matters could expose the Barclays Bank Group to any of the following outcomes: substantial monetary damages,
settlements and/or fines; remediation of affected customers and clients; other penalties and injunctive relief; additional litigation; criminal prosecution;
the loss of any existing agreed protection from prosecution; regulatory restrictions on the Barclays Bank Group’s business operations including the
withdrawal of authorisations; increased regulatory compliance requirements or changes to laws or regulations; suspension of operations; public
reprimands; loss of significant assets or business; a negative effect on the Barclays Bank Group’s reputation; loss of confidence by investors,
counterparties, clients and/or customers; risk of credit rating agency downgrades; potential negative impact on the availability and/or cost of funding
and liquidity; and/or dismissal or resignation of key individuals. In light of the uncertainties involved in legal, competition and regulatory matters, there
can be no assurance that the outcome of a particular matter or matters (including formerly active matters or those arising after the date of this Annual
Report) will not have a material adverse effect on the Barclays Bank Group’s business, results of operations, financial condition and prospects.
Risk review
Material existing and emerging risks
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Climate risk management
The impact on Financial and Operational Risks arising from climate change through, physical risks, risks associated with transitioning to a lower
carbon economy and connected risks arising as a result of second order impacts on portfolios of these two drivers.
Overview
Given the increasing risks associated with climate change, and to support the Barclays Group’s ambition to be a net zero bank by 2050, it was agreed
that climate risk would become a Principal Risk from 2022.
To support this decision, in 2021 the Barclays Group delivered a Climate Risk Integration Plan with three overarching objectives:
1.Governance Framework: Develop a Principal Risk Framework and Risk Appetite Statement and integrate climate drivers into limit setting.
2.Scenario Analysis: Refine methodologies used for the 2020 scenario analysis to support the Bank of England Biennial Exploratory Scenario on
climate change, with specific focus on wholesale credit and physical risk modelling.
3.Carbon Modelling: Enhance the BlueTrack TM model to further develop the approach for the Energy sector, expand coverage to Cement and
Metals and consider the overall net zero ambition of the Barclays Group.
For more detail on how climate risks arise and their impact on the Barclays Bank Group, refer to the ‘material existing and emerging risks’ section.
Organisation and Structure
On behalf of the Barclays PLC Board, the Barclays PLC Board Risk Committee reviews and approves the Barclays Group’s approach to managing the
financial and operational risks associated with climate change. Reputation risk is the responsibility of the Barclays PLC Board, which directly handles the
most material issues facing the Barclays Group. Broader sustainability matters and other reputation risk issues associated with climate change are
coordinated by the Sustainability team.
In 2021 the Head of Climate Risk took the role of Climate Principal Risk owner, reporting directly to Group Chief Risk Officer.
To support the oversight of Barclays Group climate risk profile a Climate Risk Committee (CRC) has been established. The CRC is a sub-committee of
the Group Risk Committee (GRC), the most senior executive body responsible for review and challenge of risk practices and risk profile, for climate risk
and other principal risk types. The authority of the CRC is delegated by the GRC.
Working groups support the management of climate risk at Barclays Bank Group and Barclays Bank UK Group.
Risk review
Principal risk management
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The Climate Risk Framework (CRF) was developed in 2021 to support the Enterprise Risk Management Framework and outlines the key principles for
managing climate risk.
Climate risk across certain other Principal Risk types is managed via a ‘Climate Change Financial Risk and Operational Risk Policy’, which is embedded in
each of the following Principal Risk Frameworks and contains key principles for identifying and quantifying climate risk, with supporting reporting and
governance.
Risk Type
Risk Identification
Risk Measurement
Credit risk
Identified as part of sovereign, portfolio and
obligor credit annual reviews.
Measured using a Credit Risk Materiality Matrix completed for
obligor/obligee groups with elevated exposure to climate change
risk. Retail portfolios are monitored through regular reporting of
climate metrics and are assessed against mandate triggers where
appropriate.
Market risk
Identified using stress tests, aggregate market risk
exposures from climate related risks.
Measured by using adverse multi-asset stress scenarios applied
to individual risk factors reflecting climate change risks across
sectors, countries and regions.
Treasury and capital risk
Identified using stress tests and analysis to assess
the exposures which may be impacted by climate
related risks.
Measured as part of stress testing and key risk indicator
monitoring.
Operational risk
Confirmed operational risks associated with
climate change are included in the Barclays Bank
Group's Operational Risk Taxonomy. Climate risk
included within the Strategic Risk Assessment
process.
Established reporting on internal and external climate related risk
events to the Operational Risk Committee. Risk tolerances for
premises and resilience risks are reviewed so these adequately
capture climate related risk drivers.
Risks resulting from climate change aligned to Model, Conduct, Reputation and Legal Principal Risks are out of the scope of the CRF and continue to be
managed under their respective Principal Risk Frameworks. As climate risk continues to evolve, the effect upon these risks may change. Specific
consideration of the impact of these changes will be covered as part of these frameworks.
A Climate Risk Appetite at Barclays Group level was introduced in line with the Barclays Group’s risk appetite approach. It establishes a direct link
between strategic plans and risk appetite, supporting the Barclays Group's ambition to be a net zero bank by 2050.
Linking with ESG and Reputation Risk:
Barclays has published a Climate Change Statement, which sets out the strategic ambition to support economies and clients through the net zero
transition, as well as appetite for conducting business with particularly sensitive energy sub-sectors. It is supported by an internal Climate Change
Standard, which outlines the controls and approach to these sectors in more detail, including requirements for enhanced due diligence for restricted
activities (such as outlined in the Barclays Group Forestry & Palm Oil Standard).
These standards are enforced through an existing transaction origination, review and approval process.
A dedicated Sustainability team considers how the Barclays Group approaches wider sustainability and environmental, social and governance (ESG)
matters, working closely with the Environmental Risk Management function.
Risk review
Principal risk management
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Credit risk management (audited)
The risk of loss to the Barclays Bank Group from the failure of clients, customers or counterparties, including sovereigns, to fully honour their
obligations to the Barclays Bank Group, including the whole and timely payment of principal, interest, collateral and other receivables.
Overview
The credit risk that the Barclays Bank Group faces arises from wholesale and retail loans and advances together with the counterparty credit risk arising
from derivative contracts with clients; trading activities, including: debt securities, settlement balances with market counterparties, FVOCI assets and
reverse repurchase loans.
Credit risk management objectives are to:
▪maintain a framework of controls to oversee credit risk;
▪identify, assess and measure credit risk clearly and accurately across the Barclays Bank Group and within each separate business, from the level of
individual facilities up to the total portfolio;
▪control and plan credit risk taking in line with external stakeholder expectations and avoiding undesirable concentrations; and
▪monitor credit risk and adherence to agreed controls.
Organisation, roles and responsibilities
The first line of defence has primary responsibility for managing credit risk within the risk appetite and limits set by the Risk function, supported by a
defined set of policies, standards and controls. In the Barclays Bank Group, business risk committees (attended by the first line) monitor and review the
credit risk profile of each business unit where the most material issues are escalated to the Retail Credit Risk Management Committee, Wholesale Credit
Risk Management Committee and the Barclays Group Risk Committee.
Wholesale and retail portfolios are managed separately to reflect the differing nature of the assets; wholesale balances tend to be larger and are
managed on an individual basis, while retail balances are greater in number but lesser in value and are, therefore, managed in aggregated segments.
The responsibilities of the credit risk management teams in the businesses, the sanctioning team and other shared services include: sanctioning new
credit agreements (principally wholesale); setting strategies for approval of transactions (principally retail); setting risk appetite; monitoring risk against
limits and other parameters; maintaining robust processes, data gathering, quality, storage and reporting methods for effective credit risk management;
performing effective turnaround and workout scenarios for wholesale portfolios via dedicated restructuring and recoveries teams; maintaining robust
collections and recovery processes/units for retail portfolios; and review and validation of credit risk measurement models. The credit risk management
teams in the Barclays Bank Group are accountable to the Barclays Bank PLC CRO, who reports to the Barclays Group CRO.
For wholesale portfolios, credit risk managers are organised in sanctioning teams by geography, industry and/or product. In wholesale portfolios, credit
risk approval is undertaken by experienced credit risk professionals operating within a clearly defined delegated authority framework, with only the most
senior credit officers assigned the higher levels of delegated authority. The largest credit exposures, which are outside the Risk Sanctioning Unit or Risk
Distribution Committee authority, require the support of the Barclays Bank PLC Senior Credit Officers. For exposures in excess of the Barclays Bank PLC
Senior Credit Officers’ authority, approval by the Barclays Group Senior Credit Officer/Barclays PLC Board Risk Committee is also required. The Barclays
Group Credit Risk Committee, attended by the Barclays Bank PLC Senior Credit Officers, provides a formal mechanism for the Barclays Group Senior
Credit Officer to exercise the highest level of credit authority over the most material Barclays Group single name exposures.
Credit risk mitigation
The Barclays Bank Group employs a range of techniques and strategies to actively mitigate credit risks. These can broadly be divided into three types:
▪N etting and set-off.
▪Collateral.
▪Risk transfer.
Netting and set-off
Credit risk exposures can be reduced by applying netting and set-off. For derivative transactions, the Barclays Bank Group’s normal practice is to enter
into standard master agreements with counterparties (e.g. ISDAs). These master agreements typically allow for netting of credit risk exposure to a
counterparty resulting from derivative transactions against the obligations to the counterparty in the event of default, and so produce a lower net credit
exposure. These agreements may also reduce settlement exposure (e.g. for foreign exchange transactions) by allowing payments on the same day in
the same currency to be set-off against one another.
Collateral
The Barclays Bank Group has the ability to call on collateral in the event of default of the counterparty, comprising:
▪H ome loans: a fixed charge over residential property in the form of houses, flats and other dwellings.
▪Wholesale lending: a fixed charge over commercial property and other physical assets, in various forms.
▪Other retail lending: includes charges over motor vehicles and other physical assets; second lien charges over residential property and finance lease
receivables.
▪Derivatives: the Barclays Bank Group also often seeks to enter into a margin agreement (e.g. Credit Support Annex) with counterparties with which
the Barclays Bank Group has master netting agreements in place. These annexes to master agreements provide a mechanism for further reducing
credit risk, whereby collateral (margin) is posted on a regular basis (typically daily) to collateralise the mark to market exposure of a derivative
portfolio measured on a net basis.
▪Reverse repurchase agreements: collateral typically comprises highly liquid securities which have been legally transferred to the Barclays Bank Group
subject to an agreement to return them for a fixed price.
▪Financial guarantees and similar off-balance sheet commitments: cash collateral may be held against these arrangements.
Risk review
Principal risk management
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Risk transfer
A range of instruments including guarantees, credit insurance, credit derivatives and securitisation can be used to transfer credit risk from one
counterparty to another. These mitigate credit risk in two main ways:
▪I f the risk is transferred to a counterparty which is more creditworthy than the original counterparty, then overall credit risk is reduced.
▪Where recourse to the first counterparty remains, both counterparties must default before a loss materialises. This is less likely than the default of
either counterparty individually so credit risk is reduced.
Market risk management (audited)
The risk of loss arising from potential adverse changes in the value of the Barclays Bank Group’s assets and liabilities from fluctuation in market
variables including, but not limited to, interest rates, foreign exchange, equity prices, commodity prices, credit spreads, implied volatilities and asset
correlations.
Overview
Market risk arises primarily as a result of client facilitation in wholesale markets, involving market making activities, risk management solutions and
execution of syndications. Upon execution of a trade with a client, the Barclays Bank Group will look to hedge against the risk of the trade moving in an
adverse direction. Mismatches between client transactions and hedges result in market risk due to changes in asset prices, volatility or correlations.
Organisation, roles and responsibilities
Market risk in the businesses resides primarily in CIB and Treasury. These businesses have the mandate to assume market risk. The front office and
Treasury trading desks are responsible for managing market risk on a day-to-day basis, where they are required to understand and adhere to all limits
applicable to their businesses. The Market Risk team support the trading desks with the day-to-day limit management of market risk exposures through
governance processes which are outlined in supporting market risk policies and standards.
Market risk oversight and challenge is provided by business committees and Barclays Group committees, including the Market Risk Committee (MRC).
The objectives of market risk management are to:
▪Identify, understand and control market risk by robust measurement, limit setting, reporting and oversight.
▪Facilitate business growth within a controlled and transparent risk management framework.
▪Control market risk in the businesses according to the allocated appetite.
To meet the above objectives, a governance structure is in place to manage these risks consistent with the ERMF.
The Barclays Bank PLC Board Risk Committee recommends market risk appetite to the Barclays Bank PLC Board for their approval, within the
parameters set by the Barclays PLC Board.
The Market Risk Committee (MRC) reviews and makes recommendations concerning the Barclays Group-wide market risk profile. This includes
overseeing the operation of the Market Risk Framework and associated standards and policies; reviewing market or regulatory issues and reviewing
limits and utilisation. The committee is chaired by the Market Risk Principal Risk Lead and attendees include the business heads of market risk and
business aligned market risk managers.
In addition to MRC, the Corporate and Investment Bank Risk Committee (CIBRC) is the main forum in which market risk exposures are discussed and
reviewed with senior business heads. The Committee is chaired by the CRO of Barclays International and meets weekly, covering current market events,
notable market risk exposures, and key risk topics. New business initiatives are generally socialised at CIBRC before any changes to risk appetite or
associated limits are considered in other governance committees.
Management value at risk (VaR)
VaR is an estimate of the potential loss arising from unfavourable market movements if the current positions were to be held unchanged for one
business day. For internal market risk management purposes, a historical simulation methodology with a one-year equally weighted historical period, at
the 95% confidence level is used for all trading books and some banking books.
Limits are applied at the total level as well as by risk factor type, which are then cascaded down to particular trading desks and businesses by the market
risk management function.
See page 99 for a review of management VaR.
Treasury and capital risk management
This comprises:
Liquidity risk: The risk that the Barclays Bank Group is unable to meet its contractual or contingent obligations or that it does not have the appropriate
amount, tenor and composition of funding and liquidity to support its assets.
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 and stressed conditions (both actual and as defined for internal
planning or regulatory testing purposes). This also includes the risk from the Barclays Bank Group’s pension plans.
Interest rate risk in the banking book: The risk that the Barclays Bank Group is exposed to capital or income volatility because of a mismatch between
the interest rate exposures of its (non-traded) assets and liabilities.
Risk review
Principal risk management
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The Treasury function manages treasury and capital risk exposure on a day-to-day basis, acting as the principal management body for the Barclays
Bank Group. The Treasury and Capital Risk function is responsible for oversight and provides insight into key capital, liquidity, interest rate risk in the
banking book (IRRBB) and pension risk management activities.
Liquidity risk management (audited)
Overview
The efficient management of liquidity is essential to Barclays Bank PLC in order to retain the confidence of the financial markets and maintain the
sustainability of the business. Treasury and Capital Risk have created a framework that is used to manage all liquidity risk exposures under both normal
and stressed conditions. The framework is designed to maintain liquidity resources that are sufficient in amount, tenor, quality and composition to
remain within the liquidity risk appetite as expressed by the Barclays Bank PLC Board. The liquidity risk appetite is monitored against both internal and
regulatory liquidity metrics.
Organisation, roles and responsibilities
Treasury has the primary responsibility for managing liquidity risk within the set risk appetite. Both Risk and Treasury contribute to the production of the
Internal Liquidity Adequacy Assessment Process (ILAAP). The Treasury and Capital Risk function is responsible for the management and governance of
the liquidity risk mandate, as defined by the Barclays Bank PLC Board.
The framework established by Treasury and Capital Risk is designed to deliver the appropriate term and structure of funding, consistent with the
liquidity risk appetite set by the Barclays Bank PLC Board.
The framework incorporates a range of ongoing business management tools to monitor, limit and stress test the Barclays Bank PLC balance sheet and
contingent liabilities. Limit setting and stress testing are tools that are designed to control the level of liquidity risk taken and drive the appropriate mix
of funds. In addition, Barclays maintains a Barclays Group recovery plan which includes application to Barclays Bank PLC. Together, these tools reduce
the likelihood that a liquidity stress event could lead to an inability to meet Barclays Bank PLC obligations as they fall due.
The Barclays Bank PLC Board approves the Barclays Bank PLC funding plan, recovery plan and liquidity risk appetite. Barclays Bank PLC’s Treasury
Committee is responsible for monitoring and managing liquidity risk in line with Barclays Bank PLC’s funding management objectives, funding plan and
risk appetite. The Barclays Group Treasury and Capital Risk Committee monitors and reviews the liquidity risk profile and control environment, providing
second line oversight of the management of liquidity risk. The Barclays Bank PLC Board Risk Committee reviews the risk profile, and reviews liquidity risk
appetite at least annually and the impact of stress scenarios on Barclays Bank PLC’s funding plan/forecast in order to agree risk appetite in line with
Barclays Bank PLC’s projected funding abilities.
Capital risk management (audited)
Overview
Capital risk is managed through ongoing monitoring and management of the capital position, regular stress testing and a robust capital governance
framework. The objectives of the framework are to maintain adequate capital for the Barclays Bank Group and its legal entities to withstand the impact
of the risks that may arise under normal and stressed conditions, and maintain adequate capital to cover current and forecast business needs and
associated risks to provide a viable and sustainable business offering.
Organisation, roles and responsibilities
Treasury has the primary responsibility for managing and monitoring capital adequacy. The Barclays Bank Group Treasury and Capital Risk function
provides oversight of capital risk. Production of the Barclays Bank PLC Internal Capital Adequacy Assessment Process (ICAAP) is the responsibility of
Treasury.
Capital risk management is underpinned by a control framework and policy. The capital management strategy, outlined in the relevant legal entity
capital plans, is developed in alignment with the control framework and policy for capital risk, and is implemented consistently in order to deliver on the
Barclays Bank Group’s objectives, which are aligned to those of the Barclays Group.
The Barclays Bank PLC Board approves the Barclays Bank PLC capital plan, internal stress tests and results of regulatory stress tests and those of the
relevant Barclays Bank Group entities. The Barclays PLC Board also approves the Barclays Group recovery plan which takes into account management
actions identified at the Barclays Bank Group level. The Barclays Bank PLC Treasury Committee together with the Barclays Group Treasury Committee
are responsible for monitoring and managing capital risk in line with Barclays Bank Group’s capital management objectives, capital plan and risk
frameworks. The BRC monitors and reviews the capital risk profile and control environment, providing second line oversight of the management of
capital risk.
For the relevant Barclays Bank Group subsidiaries, local management assures compliance with an entity’s minimum regulatory capital requirements by
reporting to local Asset and Liability Committees (or equivalents) with oversight by the Barclays Bank PLC Treasury Committee and the Barclays Group
Treasury Committee, as required. In 2021, Barclays complied with all regulatory minimum capital requirements.
Pension risk
The Barclays Bank Group maintains a number of defined benefit pension schemes for past and current employees. The ability of schemes to meet
pension payments is achieved with investments and contributions.
Pension risk arises because the market value of pension fund assets might decline; investment returns might reduce; or the estimated value of pension
liabilities might increase. The Barclays Bank Group monitors the pension risks arising from its defined benefit pension schemes and works with the
relevant pension fund’s trustees to address shortfalls. In these circumstances the Barclays Bank Group could be required or might choose to make extra
contributions to the pension fund. The Barclays Bank Group’s main defined benefit scheme was closed to new entrants in 2012.
Risk review
Principal risk management
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Interest rate risk in the banking book management (IRRBB)
Overview
Interest rate risk in the banking book is driven by customer deposit taking and lending activities, investments in the liquid asset portfolio and funding
activities. As per the Barclays Bank Group’s policy to remain within the defined risk appetite, hedging strategies are executed to mitigate the various
IRRBB risks that result from these activities. However, the Barclays Bank Group remains susceptible to interest rate risk and other non-traded market
risks from the following key sources:
▪Interest rate and repricing risk: the risk that net interest income could be adversely impacted by a change in interest rates, differences in the timing of
interest rate changes between assets and liabilities, and other constraints on interest rate changes as per product terms and conditions.
▪Customer behavioural risk: the risk that net interest income could be adversely impacted by the discretion that customers and counterparties may
have in respect of being able to vary their contractual obligations with the Barclays Bank Group. This risk is often referred to by industry regulators as
‘embedded option risk’.
▪Investment risks in the liquid asset portfolio: the risk that the fair value of assets held in the liquid asset portfolio and associated risk management
portfolios could be adversely impacted by market volatility, creating volatility in capital directly.
Organisation, roles and responsibilities
T he Barclays Bank PLC Treasury Committee, together with the Barclays Group Treasury Committee, are responsible for monitoring and managing
IRRBB risk in line with the Barclays Bank Group’s management objectives and risk frameworks. The BRC and Treasury and Capital Risk Committee
monitors and reviews the IRRBB risk profile and control environment, providing second line oversight of the management of IRRBB. The BRC reviews the
interest rate risk profile, including review of the risk appetite at least annually and the impact of stress scenarios on the interest rate risk of the Barclays
Bank PLC’s banking books.
In addition, the Barclays Bank Group’s IRRBB policy sets out the processes and key controls required to identify all IRRBB risks arising from banking book
operations, to monitor the risk exposures via a set of metrics with a frequency in line with the risk management horizon, and to manage these risks
within agreed risk appetite and limits.
Operational risk management
The risk of loss to the Barclays Bank Group from inadequate or failed processes or systems, human factors or due to external events (for example
fraud) where the root cause is not due to credit or market risks.
Overview
The management of operational risk has three key objectives:
•deliver an operational risk capability owned and used by business leaders to enable sound risk decisions over the long term;
•provide the frameworks, policies and standards to enable management to meet their risk management responsibilities while the second line of
defence provides robust, independent, and effective oversight and challenge; and
•deliver a consistent and aggregated measurement of operational risk that will provide clear and relevant insights, so that the right management
actions can be taken to keep the operational risk profile consistent with the Barclays Bank Group’s strategy, the stated risk appetite and stakeholder
needs.
The Barclays Bank Group operates within a system of internal controls that enables business to be transacted and risk taken without exposing it to
unacceptable potential losses or reputational damages.
Organisation, roles and responsibilities
The prime responsibility for the management of operational risk and the compliance with control requirements rests within the business and functional
units where the risk arises. The operational risk profile and control environment is reviewed by management through business risk committees and
control committees. Operational risk issues escalated from these meetings are considered through the second line of defence review meetings.
Depending on their nature, the outputs of these meetings are presented to the Operational Risk Profile Forum, the Operational Risk Committee, the
Barclays Bank Risk Forum, the Barclays Bank PLC Board Risk Committee or the Barclays Bank PLC Board Audit Committee. In addition, specific reports
are prepared by Operational Risk on a regular basis for the Barclays Bank Risk Forum, GRC and the BRC.
Businesses and functions are required to report their operational risks on both a regular and an event-driven basis. The reports include a profile of the
material risks that may threaten the achievement of their objectives and the effectiveness of key controls, operational risk events and a review of
scenarios.
The Barclays Group Head of Operational Risk is responsible for establishing, owning and maintaining an appropriate Barclays Group-wide Operational
Risk Management Framework, meanwhile the Barclays Bank PLC Head of Operational Risk is responsible for overseeing the portfolio of operational risk
across all Barclays Bank Group businesses.
The Operational Risk function acts in a second line of defence capacity, and is responsible for defining and overseeing the implementation of the
framework and monitoring Barclays Bank Group’s operational risk profile. The Operational Risk function alerts management when risk levels exceed
acceptable tolerance in order to drive timely decision making and actions by the first line of defence.
Operational risk categories
Operational risks are grouped into risk categories to support effective risk management, measurement and reporting. These comprise: Data
Management Risk; Financial Reporting Risk; Fraud Risk; Information Security Risk; Operational Resilience Planning Risk; Payments Process Risk; People
Risk; Premises Risk; Physical Security Risk; Strategic Investment Change Management Risk; Supplier Risk; Tax Risk; Technology Risk; and Transaction
Operations Risk.
In addition to the above, operational risk encompasses risks associated with prudential regulation. This includes the risk of failing to: adhere to
prudential regulatory requirem ents; prov ide regulatory submissions; or monitor and manage adherence to new prudential regulatory requirements.
Risk review
Principal risk management
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Risk themes
The Barclays Bank Group also recognises that there are certain threats/risk drivers that are more thematic and have the potential to impact the Barclays
Bank Group’s strategic objectives. These are risk themes which require an overarching and integrated risk management approach. The Barclays Bank
Group’s risk themes include Cyber, Data and Resilience.
For definitions of the Barclays Bank Group’s operational risk categories and enterprise risk themes, refer to pages 202 to 204 of the Barclays PLC Pillar 3
Report 2021.
Model risk management
The potential for adverse consequences from decisions based on incorrect or misused model outputs and reports.
Overview
The Barclays Bank Group uses models to support a broad range of activities, including informing business decisions and strategies, measuring and
limiting risk, valuing exposures, conducting stress testing, assessing capital adequacy, managing client assets, and meeting reporting requirements.
Organisation, roles and responsibilities
The Barclays Group has a dedicated Model Risk Management (MRM) function that consists of four teams: (i) Independent Validation Unit (IVU),
responsible for model validation and approval; (ii) Model Governance (MG), responsible for model risk governance, controls and reporting, including
ownership of Model Risk Framework, the Group Model Risk Policy, and the associated standards; (iii) Strategy and Transformation responsible for
inventory, strategy, communications and business management; and (iv) Model Risk Measurement and Quantification (MRMQ), responsible for the
design of the framework and methodology to measure and, where possible, quantify model risk. It is also responsible for the strategic Validation Centre
of Excellence (VCoE), which is an independent quality assurance function within MRM with the mandate to review and challenge validation outcomes.
The model risk management framework consists of the model risk policy and standards. The policy prescribes the Barclays Group-wide, end-to-end
requirements for the identification, measurement and management of model risk, covering model documentation, development, monitoring, annual
review, independent validation and approval, change and reporting processes. The policy is supported by global standards covering model inventory,
documentation, validation, complexity and materiality, testing and monitoring, overlays, risk appetite, as well as vendor models and stress testing
challenger models.
The function reports to the Barclays Group CRO and operates a global framework. Implementation of best practice standards is a central objective of the
Barclays Group.
The key model risk management activities include:
▪Correctly identifying models across all relevant areas of the Barclays Bank Group, and recording models in the Barclays Group Models Database
(GMD), the Barclays Group-wide model inventory.
▪Enforcing that every model has a model owner who is accountable for the model. The model owner must sign off models prior to submission to IVU
for validation and maintain that the model presented to IVU is and remains fit for purpose.
▪Overseeing that every model is subject to validation and approval by IVU, prior to being used and on a continual basis.
▪Defining model risk appetite in terms of risk tolerance, and qualitative metrics which are used to track and report model risk.
Conduct risk management
The risk of poor outcomes for, or harm to, customers, clients and markets, arising from the delivery of the Barclays Bank Group's products and
services.
Overview
The Barclays Bank Group defines, manages and mitigates conduct risk with the objective of providing good customer and client outcomes, protecting
market integrity and promoting effective competition.
Conduct risk incorporates market integrity, customer protection, financial crime and product design and review risks.
Organisation, roles and responsibilities
The Conduct Risk Management Framework (CRMF) outlines how the Barclays Bank Group manages and measures its conduct risk profile. The Barclays
Group Chief Compliance Officer is accountable for developing, maintaining and overseeing the CRMF. The Barclays Bank Group Chief Compliance
Officer is responsible for providing effective oversight, management and escalation of conduct risk in line with the CRMF. This includes overseeing the
development and maintenance of the relevant conduct risk policies and standards and monitoring and reporting on the consistent application and
effectiveness of the implementation of controls to manage conduct risk. It is the responsibility of the first line of defence to establish controls to manage
its performance and assess conformance to these policies and controls.
Senior managers are accountable within their areas of responsibility for owning and managing conduct risk in accordance with the CRMF, as defined
within their regulatory Statement of Responsibilities.
Compliance as an independent second line function helps to prevent, detect and manage breaches of applicable laws, rules, regulations and procedures
and has a key role in helping Barclays Bank Group achieve the right conduct outcomes and evolve a conduct-focused culture.
The governance of conduct risk within the Barclays Bank Group is fulfilled through management committees and forums operated by the first and
second lines of defence with clear escalation and reporting lines to the Board. The Barclays Group and Barclays Bank Group Risk Committees are the
Risk review
Principal risk management
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primary second line governance committees for the oversight of the Conduct Risk Profile. The risk committees' responsibilities include the identification
and discussion of any emerging conduct risks exposures in the Barclays Group and Barclays Bank Group.
Reputation risk management
The risk that an action, transaction, investment, event, decision, or business relationship will reduce trust in the Barclays Bank Group’s integrity and/or
competence.
Overview
A reduction of trust in the Barclays Bank Group’s integrity and competence may reduce the attractiveness of Barclays Bank Group to stakeholders and
could lead to negative publicity, loss of revenue, regulatory or legislative action, loss of existing and potential client business, reduced workforce morale
and difficulties in recruiting talent. Ultimately it may destroy shareholder value.
Organisation, roles and responsibilities
The governance of reputation risk within the Barclays Bank Group is fulfilled through management committees and forums operated by the First and
Second Lines of Defence, with clear escalation and reporting lines to the relevant Barclays Bank Group Board committees.
The Barclays PLC B oard is responsible for reviewing and monitoring the effectiveness of the Barclays Bank Group's management of reputation risk.
The Reputation Risk Management Framework (RRMF) comprises a number of elements that allow the Barclays Bank Group to manage and measure its
reputation risk profile. The RRMF sets out what is required to manage reputation risk across the Barclays Bank Group.
The Barclays Bank PLC Chief Compliance Officer is responsible for providing independent second line oversight of Businesses' adherence to the RRMF.
Legal risk management
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.
Overview
The Barclays Bank Group has no tolerance for wilful breaches of laws, regulations or other legal obligations. However, the multitude of laws and
regulations across the globe are highly dynamic and their application to particular circumstances is often unclear. This results in a high level of inherent
legal risk which Barclays Bank Group seeks to mitigate through the operation of a Barclays Group-wide legal risk management framework, including the
implementation of Barclays Group-wide legal risk policies requiring the engagement of legal professionals in situations that have the potential for legal
risk. Notwithstanding these mitigating actions, Barclays Bank Group operates with a level of residual legal risk, for which the Barclays Bank Group has
limited tolerance.
Organisation, roles and responsibilities
The Barclays Bank Group’s businesses and functions have primary responsibility for identifying and escalating legal risk in their area as well as
responsibility for adherence to minimum control requirements.
The Legal function organisation and coverage model aligns legal expertise to businesses, functions, products, activities and geographic locations so that
the Barclays Bank Group receives support from appropriate legal professionals, working in partnership to manage legal risk. The senior management of
the Legal function oversees, challenges and monitors the legal risk profile and effectiveness of the legal risk control environment across the Barclays
Group. The Legal function does not sit in any of the Three Lines of Defence but supports them all.
The Barclays Group General Counsel is responsible for developing and maintaining a Barclays Group-wide legal risk management framework. This
includes defining the relevant legal risk policies, developing Barclays Group-wide risk appetite for legal risk, and oversight of the implementation of
c ontrols to manage and escalate legal risk.
The legal risk profile and control environmen t is reviewed by management through business risk committees and control committees. The Barclays
Bank Group Risk Committee is incorporated in the Barclays Group Risk Committee and is the most senior executive body responsible for reviewing and
monitoring the effectiveness of risk management across the Barclays Bank Group. Escalation paths from this committee exist to the Barclays Bank PLC
Board Risk Committee.
Risk review
Principal risk management
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Summary of Contents
Page
Credit risk represents a significant risk to the Barclays Bank
Group and mainly arises from exposure to wholesale and retail
loans and advances together with the counterparty credit risk
arising from derivative contracts entered into with clients.
•Credit risk overview and summary of performance
58
•Maximum exposure and effects of netting, collateral and risk
transfer
60
This section outlines the expected credit loss allowances, the
movements in allowances during the period, material
management adjustments to model output and measurement
uncertainty and sensitivity analysis.
•Expected credit losses
64
–Loans and advances at amortised cost by product
64
–Movement in gross exposure and impairment allowance for
loans and advances at amortised cost including provisions for
loan commitments and financial guarantees
66
–Stage 2 decomposition
74
–Stage 3 decomposition
74
•Management adjustments to models for impairment
74
•Measurement uncertainty and sensitivity analysis
76
The Barclays Bank Group reviews and monitors risk
concentrations in a variety of ways. This section outlines
performance against key concentration risks.
•Analysis of the concentration of credit risk
86
–Geographic concentrations
86
–Industry concentrations
88
•Approach to management and representation of credit quality
90
–Asset credit quality
90
–Debt securities
90
–Balance sheet credit quality
90
–Credit exposures by internal PD grade
93
Credit Risk monitors exposure performance across a range of
significant portfolios.
•Analysis of specific portfolios and asset types
97
–Credit cards, unsecured loans and other retail lending
97
–Government supported loans
97
Risk review
Risk performance
Credit risk
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All disclosures in this section pages 58 to 97 are unaudited unless otherwise stated.
Overview
Credit risk represents a significant risk to the Barclays Bank Group and mainly arises from exposure to wholesale and retail loans and advances together
with the counterparty credit risk arising from derivative contracts entered into with clients.
The continued impact of the COVID-19 pandemic has meant that management was required to monitor economic uncertainty judgement over the
course of 2021. Customer and client default rates have remained relatively stable despite the impact of the pandemic and volatile macroeconomic
environment. In retail cards, credit profiles did not show material deterioration due to continued government support measures in some geographies
and customer deleveraging. In wholesale, watch list balances continue to improve. However, the degree of economic uncertainty remains relatively
high: credit deterioration may still occur when support measures are fully withdrawn; emerging supply chain disruption and inflationary pressures may
challenge economic stability. Given this backdrop, management has maintained economic uncertainty adjustments to modelled outputs to address
these sources of uncertainties and ensure that the potential impact of stress are provided for. This uncertainty continues to be captured in two distinct
ways: firstly, the identification of customers and clients who may be more vulnerable to the withdrawal of support and emerging economic instability
and secondly, model uncertainty which does not capture certain macroeconomic and risk parameter uncertainties which are applied at a portfolio level.
Refer to the Management adjustment to models for impairment section on pages 74 to 75 for further details.
Further detail can be found in the financial statements section in Note 7 Credit impairment charges. Descriptions of terminology can be found in the
glossary, available at home.barclays/annualreport.
Summary of performance in the period
Credit impairment release of £277m (2020: £3,377m charge) was driven by an improved macro-economic outlook. CIB credit impairment release of
£461m (2020: £1,565m charge) was also supported by net single name wholesale loan release and a benign credit environment and CC&P credit
impairment charges of £185m (2020: £1,720m charge) was supported by lower delinquencies and higher customer repayments. As at 31 December
2021, 30 and 90 days arrears rates in US cards were 1.6% (2020: 2.5%) and 0.8% (2020: 1.4%) respectively.
Key metrics
Decrease of £1,837m impairment allowance
Impairment allowances on loans and advances at amortised cost including off-balance sheet elements of the allowance in Barclays Bank Group
decreased by £1,837m to £3,998m (2020: £5,835m) during the year. This is driven by a decrease in Wholesale Loans of £842m, Credit cards, unsecured
loans and other retail lending of £677m and Home Loans £48m and further decrease in off-balance sheet provisions of £270m. Please refer to page 64
Expected Credit loss section for further details.
Please see risk management section on pages 51 to 52 for details of governance, policies and procedures.
Risk review
Risk performance
Credit risk
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Analysis of the Balance Sheet
Barclays Bank Group’s maximum exposure and effects of netting, collateral and risk transfer
Basis of preparation
The following tables present a reconciliation between the Barclays Bank Group’s maximum exposure and its net exposure to credit risk, reflecting the
financial effects of risk mitigation reducing the Barclays Bank Group’s exposure.
For financial assets recognised on the balance sheet, maximum exposure to credit risk represents the balance sheet carrying value after allowance for
impairment. For off-balance sheet guarantees, the maximum exposure is the maximum amount that the Barclays Bank Group would have to pay if the
guarantees were to be called upon. For loan and other credit related commitments that are irrevocable over the life of the respective facilities, the
maximum exposure is the full amount of the committed facilities.
This and subsequent analyses of credit risk exclude other financial assets not subject to credit risk, mainly equity securities. For off-bala nce sheet
exposures certain contingent liabilities not subject to credit risk such as performance guarantees are excluded.
The Barclays Bank Group mitigates the credit risk to which it is exposed through netting and set-off, collateral and risk transfer. Further detail on the
Barclays Bank Group's policies to each of these forms of credit enhancement is presented on pages 51 to 52 of the credit risk management section.
Overview
As at 31 December 2021, the Barclays Bank Group’s net exposure to credit risk, after taking into account credit risk mitigation, increased 3% to
£741.1bn (2020: £719.6 bn). Overall, the extent to which the Barclays Bank Group holds mitigation against its total exposure slightly decreased to 42%
(2020: 43%).
Of the unmitigated on balance sheet exposure, a significant portion relates to cash held at central banks, cash collateral and settlement balances, and
debt securities issued by governments, all of which are considered to be lower risk. The increase in the Barclays Bank Group’s net exposure to credit risk
has been mainly driven by increases in cash and balances at central banks and off-balance sheet loan commitments. Trading portfolio liability positions,
which to a significant extent economically hedge trading portfolio assets but which are not held specifically for risk management purposes, are excluded
from the analysis. The credit quality of counterparties to derivatives, financial investments and wholesale loan assets are predominantly investment
grade and there are no significant changes from prior year. Further analysis on the credit quality of assets is presented on pages 90 to 96.
Collateral obtained
Where collateral has been obtained in the event of default, the Barclays Bank Group does not, ordinarily, use such assets for its own operations and they
are usually sold on a timely basis. The carrying value of assets held by the Barclays Bank Group as at 31 December 2021, as a result of the enforcement
of collateral, was £22m (2020: £6m).
Risk review
Risk performance
Credit risk
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Maximum exposure and effect of netting, collateral and risk transfer (audited)
Maximum
exposure
Netting and
set-off
Cash
collateral
Non-cash
collateral
Risk transfer
Net
exposure
Barclays Bank Group
As at 31 December 2021
£m
£m
£m
£m
£m
£m
On-balance sheet:
Cash and balances at central banks
169,085
—
—
—
—
169,085
Cash collateral and settlement balances
88,085
—
—
—
—
88,085
Loans and advances at amortised cost:
Home loans
10,985
—
(338)
(10,483)
(89)
75
Credit cards, unsecured loans and other retail lending
25,960
—
(968)
(4,229)
(252)
20,511
Wholesale loans
108,314
(5,001)
(118)
(30,287)
(5,080)
67,828
Total loans and advances at amortised cost
145,259
(5,001)
(1,424)
(44,999)
(5,421)
88,414
Of which credit-impaired (Stage 3):
Home loans
615
—
(11)
(604)
—
—
Credit cards, unsecured loans and other retail lending
563
—
(29)
(217)
(3)
314
Wholesale loans
486
—
—
(76)
(22)
388
Total credit-impaired loans and advances at amortised cost
1,664
—
(40)
(897)
(25)
702
Reverse repurchase agreements and other similar secured lending
3,177
—
—
(3,177)
—
—
Trading portfolio assets:
Debt securities
50,700
—
—
(461)
—
50,239
Traded loans
12,525
—
—
(268)
—
12,257
Total trading portfolio assets
63,225
—
—
(729)
—
62,496
Financial assets at fair value through the income statement:
Loans and advances
35,901
—
—
(29,485)
—
6,416
Debt securities
2,256
—
—
(319)
—
1,937
Reverse repurchase agreements
145,186
—
(1,428)
(143,229)
—
529
Other financial assets
85
—
—
—
—
85
Total financial assets at fair value through the income statement
183,428
—
(1,428)
(173,033)
—
8,967
Derivative financial instruments
262,291
(202,347)
(34,149)
(5,804)
(5,738)
14,253
Financial assets at fair value through other comprehensive income
45,907
—
—
(53)
(931)
44,923
Other assets
994
—
—
—
—
994
Total on-balance sheet
961,451
(207,348)
(37,001)
(227,795)
(12,090)
477,217
Off-balance sheet:
Contingent liabilities
23,746
—
(906)
(1,367)
(256)
21,217
Loan commitments
284,451
—
(99)
(40,104)
(1,627)
242,621
Total off-balance sheet
308,197
—
(1,005)
(41,471)
(1,883)
263,838
Total
1,269,648
(207,348)
(38,006)
(269,266)
(13,973)
741,055
Off-balance sheet exposures are shown gross of provisions of £499m (2020: £769m). See Note 24 for further details. In addition to the above, Barclays
Bank Group holds forward starting reverse repos amounting to £39.3bn (2020: £30.8bn). The balances are fully collateralised. Wholesale loans and
advances at amortised cost include £1.0bn (2020: £1.2bn) of CBILs and CLBILs supported by UK government guarantees of £0.8bn (2020: £0.9bn).
Barclays Bank Group has issued £1.7bn (2020: £2.6bn) of guarantees that have been provided to subsidiaries of Barclays PLC outside the Barclays Bank
Group. These guarantees have not been reported in the prior periods and the comparatives have not been restated.
For further information on credit risk mitigation techniques, refer to the Credit risk management section.
Risk review
Risk performance
Credit risk
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Maximum exposure and effects of netting, collateral and risk transfer (audited)
Maximum
exposure
Netting and
set-off
Cash
collateral
Non-cash
collateral
Risk transfer
Net
exposure
Barclays Bank Group
As at 31 December 2020
£m
£m
£m
£m
£m
£m
On-balance sheet:
Cash and balances at central banks
155,902
—
—
—
—
155,902
Cash collateral and settlement balances
97,616
—
—
—
—
97,616
Loans and advances at amortised cost:
Home loans
11,193
—
(283)
(10,782)
(85)
43
Credit cards, unsecured loans and other retail lending
23,368
—
(827)
(3,459)
(195)
18,887
Wholesale loans
99,706
(6,988)
(50)
(24,328)
(4,419)
63,921
Total loans and advances at amortised cost
134,267
(6,988)
(1,160)
(38,569)
(4,699)
82,851
Of which credit-impaired (Stage 3):
Home loans
723
—
(13)
(708)
—
2
Credit cards, unsecured loans and other retail lending
600
—
(10)
(218)
(2)
370
Wholesale loans
1,327
—
(4)
(167)
(85)
1,071
Total credit-impaired loans and advances at amortised cost
2,650
—
(27)
(1,093)
(87)
1,443
Reverse repurchase agreements and other similar secured lending
8,981
—
—
(8,981)
—
—
Trading portfolio assets:
Debt securities
56,196
—
—
(391)
—
55,805
Traded loans
8,348
—
—
(374)
—
7,974
Total trading portfolio assets
64,544
—
—
(765)
—
63,779
Financial assets at fair value through the income statement:
Loans and advances
27,449
—
(9)
(21,819)
—
5,621
Debt securities
1,697
—
—
(292)
—
1,405
Reverse repurchase agreements
138,558
—
(685)
(137,466)
—
407
Other financial assets
315
—
—
—
—
315
Total financial assets at fair value through the income statement
168,019
—
(694)
(159,577)
—
7,748
Derivative financial instruments
302,693
(233,088)
(43,164)
(4,656)
(6,409)
15,376
Financial assets at fair value through other comprehensive income
51,901
—
—
(106)
(1,065)
50,730
Other assets
614
—
—
—
—
614
Total on-balance sheet
984,537
(240,076)
(45,018)
(212,654)
(12,173)
474,616
Off-balance sheet:
Contingent liabilities
20,932
—
(1,095)
(2,135)
(282)
17,420
Loan commitments
265,022
—
(56)
(35,970)
(1,479)
227,517
Total off-balance sheet
285,954
—
(1,151)
(38,105)
(1,761)
244,937
Total
1,270,491
(240,076)
(46,169)
(250,759)
(13,934)
719,553
Risk review
Risk performance
Credit risk
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61
Maximum exposure and effects of netting, collateral and risk transfer (audited)
Maximum
exposure
Netting and
set-off
Cash
collateral
Non-cash
collateral
Risk transfer
Net
exposure
Barclays Bank PLC
As at 31 December 2021
£m
£m
£m
£m
£m
£m
On-balance sheet:
Cash and balances at central banks
144,964
—
—
—
—
144,964
Cash collateral and settlement balances
75,571
—
—
—
—
75,571
Loans and advances at amortised cost:
Home loans
5,982
—
(293)
(5,588)
(39)
62
Credit cards, unsecured loans and other retail lending
4,908
—
(788)
(2,933)
(73)
1,114
Wholesale loans
188,892
(5,003)
(3,571)
(29,623)
(4,323)
146,372
Total loans and advances at amortised cost
199,782
(5,003)
(4,652)
(38,144)
(4,435)
147,548
Of which credit-impaired (Stage 3):
Home loans
418
—
(7)
(409)
—
2
Credit cards, unsecured loans and other retail lending
140
—
(28)
(100)
(3)
9
Wholesale loans
404
—
—
(74)
(22)
308
Total credit-impaired loans and advances at amortised cost
962
—
(35)
(583)
(25)
319
Reverse repurchase agreements and other similar secured lending
4,982
—
—
(4,982)
—
—
Trading portfolio assets:
Debt securities
33,517
—
—
(461)
—
33,056
Traded loans
11,989
—
—
(268)
—
11,721
Total trading portfolio assets
45,506
—
—
(729)
—
44,777
Financial assets at fair value through the income statement:
Loans and advances
45,311
—
—
(16,100)
—
29,211
Debt securities
3,053
—
—
—
—
3,053
Reverse repurchase agreements
188,053
—
(1,346)
(186,707)
—
—
Other financial assets
22
—
—
—
—
22
Total financial assets at fair value through the income statement
236,439
—
(1,346)
(202,807)
—
32,286
Derivative financial instruments
234,409
(183,718)
(26,166)
(5,154)
(5,738)
13,633
Financial assets at fair value through other comprehensive income
44,163
—
—
(53)
(931)
43,179
Other assets
1,018
—
—
—
—
1,018
Total on-balance sheet
986,834
(188,721)
(32,164)
(251,869)
(11,104)
502,976
Off-balance sheet:
Contingent liabilities
55,774
—
(894)
(1,357)
(252)
53,271
Loan commitments
195,103
—
(84)
(43,828)
(1,587)
149,604
Total off-balance sheet
250,877
—
(978)
(45,185)
(1,839)
202,875
Total
1,237,711
(188,721)
(33,142)
(297,054)
(12,943)
705,851
Off-balance sheet exposures are shown gross of provisions of £420m (2020: £654m). See Note 24 for further details. In addition to the above, Barclays
Bank PLC holds forward starting reverse repos amounting to £31.0bn (2020: £29.8bn). The balances are fully collateralised. Wholesale loans and
advances at amortised cost include £1.0bn (2020: £1.2bn) of CBILs and CLBILs supported by UK government guarantees of £0.8bn (2020: £0.9bn).
Barclays Bank PLC has issued £14.5bn (2020: £13.9bn) of guarantees to its subsidiaries and other subsidiaries of Barclays PLC. These guarantees were
not reported in prior periods and the comparatives have been restated. For further information on credit risk mitigation techniques, refer to the credit
risk management section.
Risk review
Risk performance
Credit risk
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62
Maximum exposure and effects of netting, collateral and risk transfer (audited)
Maximum
exposure
Netting and
set-off
Cash
collateral
Non-cash
collateral
Risk transfer
Net
exposure
Barclays Bank PLC
As at 31 December 2020
£m
£m
£m
£m
£m
£m
On-balance sheet:
Cash and balances at central banks
133,386
—
—
—
—
133,386
Cash collateral and settlement balances
87,723
—
—
—
—
87,723
Loans and advances at amortised cost:
Home loans
5,298
—
(241)
(5,004)
(32)
21
Credit cards, unsecured loans and other retail lending
4,188
—
(697)
(2,373)
(45)
1,073
Wholesale loans
182,052
(6,988)
(3,032)
(27,109)
(4,380)
140,543
Total loans and advances at amortised cost
191,538
(6,988)
(3,970)
(34,486)
(4,457)
141,637
Of which credit-impaired (Stage 3):
Home loans
525
—
(7)
(516)
—
2
Credit cards, unsecured loans and other retail lending
141
—
(10)
(112)
(2)
17
Wholesale loans
1,229
—
(4)
(167)
(85)
973
Total credit-impaired loans and advances at amortised cost
1,895
—
(21)
(795)
(87)
992
Reverse repurchase agreements and other similar secured lending
11,535
—
—
(11,535)
—
—
Trading portfolio assets:
Debt securities
35,442
—
—
(391)
—
35,051
Traded loans
8,241
—
—
(374)
—
7,867
Total trading portfolio assets
43,683
—
—
(765)
—
42,918
Financial assets at fair value through the income statement:
Loans and advances
36,117
—
(9)
(11,537)
—
24,571
Debt securities
2,139
—
—
—
—
2,139
Reverse repurchase agreements
164,670
—
(625)
(164,045)
—
—
Other financial assets
22
—
—
—
—
22
Total financial assets at fair value through the income statement
202,948
—
(634)
(175,582)
—
26,732
Derivative financial instruments
297,129
(238,339)
(34,081)
(4,454)
(6,409)
13,846
Financial assets at fair value through other comprehensive income
50,308
—
—
(106)
(1,065)
49,137
Other assets
741
—
—
—
—
741
Total on-balance sheet
1,018,991
(245,327)
(38,685)
(226,928)
(11,931)
496,120
Off-balance sheet:
Contingent liabilities
42,417
—
(1,076)
(2,113)
(269)
38,959
Loan commitments
183,762
—
(15)
(37,437)
(1,457)
144,853
Total off-balance sheet
226,179
—
(1,091)
(39,550)
(1,726)
183,812
Total
1,245,170
(245,327)
(39,776)
(266,478)
(13,657)
679,932
Risk review
Risk performance
Credit risk
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63
Expected Credit Losses
Loans and advances at amortised cost by product
The table below presents a breakdown of loans and advances at amortised cost and the impairment allowance with stage allocation by asset
classification.
Impairment allowance under IFRS 9 considers both the drawn and the undrawn counterparty exposure. For retail portfolios, the total impairment
allowance is allocated to the drawn exposure to the extent that the allowance does not exceed the exposure as ECL is not reported separately. Any
excess is reported on the liability side of the balance sheet as a provision. For wholesale portfolios the impairment allowance on the undrawn exposure
is reported on the liability side of the balance sheet as a provision.
Barclays Bank Group (audited)
Stage 2
As at 31 December 2021
Stage 1
Not past due
<=30 days
past due
>30 days
past due
Total
Stage 3
Total a
Gross exposure
£m
£m
£m
£m
£m
£m
£m
Home loans
9,760
548
22
83
653
958
11,371
Credit cards, unsecured loans and other retail lending
24,011
2,402
198
182
2,782
1,469
28,262
Wholesale loans
95,242
12,275
301
386
12,962
921
109,125
Total
129,013
15,225
521
651
16,397
3,348
148,758
Impairment allowance
Home loans
8
33
1
1
35
343
386
Credit cards, unsecured loans and other retail lending
605
677
39
75
791
906
2,302
Wholesale loans
183
188
3
2
193
435
811
Total
796
898
43
78
1,019
1,684
3,499
Net exposure
Home loans
9,752
515
21
82
618
615
10,985
Credit cards, unsecured loans and other retail lending
23,406
1,725
159
107
1,991
563
25,960
Wholesale loans
95,059
12,087
298
384
12,769
486
108,314
Total
128,217
14,327
478
573
15,378
1,664
145,259
Coverage ratio
%
%
%
%
%
%
%
Home loans
0.1
6.0
4.5
1.2
5.4
35.8
3.4
Credit cards, unsecured loans and other retail lending
2.5
28.2
19.7
41.2
28.4
61.7
8.1
Wholesale loans
0.2
1.5
1.0
0.5
1.5
47.2
0.7
Total
0.6
5.9
8.3
12.0
6.2
50.3
2.4
As at 31 December 2020
Gross exposure
£m
£m
£m
£m
£m
£m
£m
Home loans
9,627
761
53
87
901
1,099
11,627
Credit cards, unsecured loans and other retail lending
18,923
4,987
393
191
5,571
1,853
26,347
Wholesale loans
83,254
14,184
1,066
688
15,938
2,167
101,359
Total
111,804
19,932
1,512
966
22,410
5,119
139,333
Impairment allowance
Home loans
6
40
6
6
52
376
434
Credit cards, unsecured loans and other retail lending
399
1,092
111
124
1,327
1,253
2,979
Wholesale loans
280
475
49
9
533
840
1,653
Total
685
1,607
166
139
1,912
2,469
5,066
Net exposure
Home loans
9,621
721
47
81
849
723
11,193
Credit cards, unsecured loans and other retail lending
18,524
3,895
282
67
4,244
600
23,368
Wholesale loans
82,974
13,709
1,017
679
15,405
1,327
99,706
Total
111,119
18,325
1,346
827
20,498
2,650
134,267
Coverage ratio
%
%
%
%
%
%
%
Home loans
0.1
5.3
11.3
6.9
5.8
34.2
3.7
Credit cards, unsecured loans and other retail lending
2.1
21.9
28.2
64.9
23.8
67.6
11.3
Wholesale loans
0.3
3.3
4.6
1.3
3.3
38.8
1.6
Total
0.6
8.1
11.0
14.4
8.5
48.2
3.6
Note
a.Other financial assets subject to impairment excluded in the table above include cash collateral and settlement balances, financial assets at fair value through other
comprehensive income, accrued income and sundry debtors. These have a total gross exposure of £135.5bn (2020: £150.3bn) and impairment allowance of £104m
(2020: £145m). This comprises £4m (2020: £7m) ECL on £135.3bn (2020: £146.3bn) Stage 1 assets, £0m (2020: £6m) on £65m (2020: £3.8bn) Stage 2 fair value
through other comprehensive income assets, cash collateral and settlement assets and £100m (2020: £132m) on £100m (2020: £132m) Stage 3 other assets. Loan
commitments and financial guarantee contracts have total ECL of £499m (2020: £769m).
The increase in coverage on Credit cards, unsecured loans and other retail lending Stage 2 not past due is driven by a reduction in balances and the
economic uncertainty adjustments held for specific customers and clients who may be more vulnerable to the full withdrawal of support and emerging
economic uncertainty.
Risk review
Risk performance
Credit risk
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64
Barclays Bank PLC
Stage 2
As at 31 December 2021
Stage 1
Not past due
<=30 days
past due
>30 days
past due
Total
Stage 3
Total a
Gross exposure
£m
£m
£m
£m
£m
£m
£m
Home loans
5,350
133
17
70
220
724
6,294
Credit cards, unsecured loans and other retail lending
4,367
346
63
50
459
201
5,027
Wholesale loans
176,701
11,709
293
139
12,141
806
189,648
Total
186,418
12,188
373
259
12,820
1,731
200,969
Impairment allowance
Home loans
5
1
—
—
1
306
312
Credit cards, unsecured loans and other retail lending
36
16
3
3
22
61
119
Wholesale loans
180
170
3
1
174
402
756
Total
221
187
6
4
197
769
1,187
Net exposure
Home loans
5,345
132
17
70
219
418
5,982
Credit cards, unsecured loans and other retail lending
4,331
330
60
47
437
140
4,908
Wholesale loans
176,521
11,539
290
138
11,967
404
188,892
Total
186,197
12,001
367
255
12,623
962
199,782
Coverage ratio
%
%
%
%
%
%
%
Home loans
0.1
0.8
—
—
0.5
42.3
5.0
Credit cards, unsecured loans and other retail lending
0.8
4.6
4.8
6.0
4.8
30.3
2.4
Wholesale loans
0.1
1.5
1.0
0.7
1.4
49.9
0.4
Total
0.1
1.5
1.6
1.5
1.5
44.4
0.6
As at 31 December 2020
Gross exposure
£m
£m
£m
£m
£m
£m
£m
Home loans
4,630
55
23
68
146
863
5,639
Credit cards, unsecured loans and other retail lending
3,576
390
168
10
568
205
4,349
Wholesale loans
166,521
13,396
1,005
680
15,081
2,020
183,622
Total
174,727
13,841
1,196
758
15,795
3,088
193,610
Impairment allowance
Home loans
2
1
—
—
1
338
341
Credit cards, unsecured loans and other retail lending
54
26
13
4
43
64
161
Wholesale loans
280
450
41
8
499
791
1,570
Total
336
477
54
12
543
1,193
2,072
Net exposure
Home loans
4,628
54
23
68
145
525
5,298
Credit cards, unsecured loans and other retail lending
3,522
364
155
6
525
141
4,188
Wholesale loans
166,241
12,946
964
672
14,582
1,229
182,052
Total
174,391
13,364
1,142
746
15,252
1,895
191,538
Coverage ratio
%
%
%
%
%
%
%
Home loans
—
1.8
—
—
0.7
39.2
6.0
Credit cards, unsecured loans and other retail lending
1.5
6.7
7.7
40.0
7.6
31.2
3.7
Wholesale loans
0.2
3.4
4.1
1.2
3.3
39.2
0.9
Total
0.2
3.4
4.5
1.6
3.4
38.6
1.1
Note
a.Other financial assets subject to impairment not included in the table above include cash collateral and settlement balances, financial assets at fair value through other
comprehensive income, accrued income and sundry debtors. These have a total gross exposure of £120.8bn (2020: £138.9bn) and impairment allowance of £101m
(2020: £146m). This comprises £5m ECL (2020: £13m) on £120.7bn Stage 1 assets (2020: £134.9bn), £0m (2020: £5m) on £65m Stage 2 fair value through other
comprehensive income assets, cash collateral and settlement assets (2020: £3.8bn) and £96m (2020: £128m) on £96m Stage 3 other assets (2020: £128m). Loan
commitments and financial guarantee contracts have total ECL of £420m (2020: £654m).
Risk review
Risk performance
Credit risk
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65
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. An explanation of the
methodology used to determine credit impairment provisions is included in page 167. Transfers between stages in the tables have been reflected as if
they had taken place at the beginning of the year. The movements are measured over a 12-month period.
Loans and advances at amortised cost (audited)
Stage 1
Stage 2
Stage 3
Total
Barclays Bank Group
Gross
ECL
Gross
ECL
Gross
ECL
Gross
ECL
£m
£m
£m
£m
£m
£m
£m
£m
Home loans
As at 1 January 2021
9,627
6
901
52
1,099
376
11,627
434
Transfers from Stage 1 to Stage 2
(253)
—
253
—
—
—
—
—
Transfers from Stage 2 to Stage 1
331
22
(331)
(22)
—
—
—
—
Transfers to Stage 3
(80)
—
(52)
(5)
132
5
—
—
Transfers from Stage 3
22
—
49
4
(71)
(4)
—
—
Business activity in the year a
1,745
2
—
—
—
—
1,745
2
Refinements to models used for calculation b
—
—
—
(4)
—
38
—
34
Net drawdowns, repayments, net re-measurement
and movements due to exposure and risk parameter
changes
(742)
(22)
(25)
11
(70)
(50)
(837)
(61)
Final repayments
(890)
—
(142)
(1)
(114)
(4)
(1,146)
(5)
Disposals
—
—
—
—
—
—
—
—
Write-offs c
—
—
—
—
(18)
(18)
(18)
(18)
As at 31 December 2021 d
9,760
8
653
35
958
343
11,371
386
Credit cards, unsecured loans and other retail lending
As at 1 January 2021
18,923
399
5,571
1,327
1,853
1,253
26,347
2,979
Transfers from Stage 1 to Stage 2
(897)
(41)
897
41
—
—
—
—
Transfers from Stage 2 to Stage 1
2,520
548
(2,520)
(548)
—
—
—
—
Transfers to Stage 3
(307)
(13)
(362)
(165)
669
178
—
—
Transfers from Stage 3
21
5
13
9
(34)
(14)
—
—
Business activity in the year a
4,731
84
106
23
16
5
4,853
112
Refinements to models used for calculation b
—
(3)
—
(27)
—
—
—
(30)
Net drawdowns, repayments, net re-measurement
and movements due to exposure and risk parameter
changes
509
(360)
(514)
147
(96)
337
(101)
124
Final repayments
(1,489)
(14)
(409)
(16)
(76)
(5)
(1,974)
(35)
Disposals e
—
—
—
—
(37)
(22)
(37)
(22)
Write-offs c
—
—
—
—
(826)
(826)
(826)
(826)
As at 31 December 2021 d
24,011
605
2,782
791
1,469
906
28,262
2,302
Wholesale loans
As at 1 January 2021
83,254
280
15,938
533
2,167
840
101,359
1,653
Transfers from Stage 1 to Stage 2
(4,122)
(14)
4,122
14
—
—
—
—
Transfers from Stage 2 to Stage 1
5,454
179
(5,454)
(179)
—
—
—
—
Transfers to Stage 3
(32)
(1)
(164)
(12)
196
13
—
—
Transfers from Stage 3
363
3
145
5
(508)
(8)
—
—
Business activity in the year a
27,946
74
1,674
15
37
23
29,657
112
Refinements to models used for calculation b
—
—
—
3
—
—
—
3
Net drawdowns, repayments, net re-measurement
and movements due to exposure and risk parameter
changes
2,448
(301)
1,072
(14)
(82)
47
3,438
(268)
Final repayments
(19,481)
(29)
(4,322)
(168)
(504)
(125)
(24,307)
(322)
Disposals e
(588)
(8)
(49)
(4)
(71)
(41)
(708)
(53)
Write-offs c
—
—
—
—
(314)
(314)
(314)
(314)
As at 31 December 2021 d
95,242
183
12,962
193
921
435
109,125
811
Notes
a.Business activity in the year does not include additional drawdowns on the existing facility which are reported under “Net drawdowns, repayments, net re-measurement
and movements due to exposure and risk parameter changes”.
b.Refinement s to models used for calculation include a £34m movement in Home loans, £30m in Credit cards, unsecured loans and other retail lending and £3m in
Wholesale loans. These reflect methodology changes made during the year. Barclays Bank Group continually revie ws the output of models to determine accuracy of the
ECL calculation including review of model monitoring, external benchmarking and experience of model operation over an extended period of time. This ensures that the
models used continue to reflect the risks inherent across the businesses.
c.In 2021, gross write-offs amounted to £1,158m (2020: £1,337m) and post write-off recoveries amounted to £31m (2020: £4m). Net write-offs represent gross write-offs
less post write-off recoveries and amounted to £1,127m (2020: £1,333m).
d.Other financial assets subject to impairment excluded in the table above include cash collateral and settlement balances, financial assets at fair value through other
comprehensive income, accrued income and sundry debtors. These have a total gross exposure of £135.5bn (2020: £150.3bn) and impairment allowance of £104m
(2020: £145m). This comprises £4m (2020: £7m) ECL on £135.3bn (2020: £146.3bn) Stage 1 assets, £0m (2020: £6m) on £65m (2020: £3.8bn) Stage 2 fair value
through other comprehensive income assets, cash collateral and settlement assets and £100m (2020: £132m) on £100m (2020: £132m) Stage 3 other assets.
Risk review
Risk performance
Credit risk
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66
e.The £37m of disposals reported within Credit cards, unsecured loans and other retail lending portfolio relate to debt sales undertaken during the year. The £708m of
disposals reported within Wholesale loans include debt sales and sale of Barclays Asset Finance.
Reconciliation of ECL movement to credit impairment (release)/charge for the period
£m
Home loans
(30)
Credit cards, unsecured loans and other retail lending
171
Wholesale loans
(475)
ECL movement excluding assets derecognised due to disposals and write-offs
(334)
Recoveries and reimbursements a
259
Exchange and other adjustments b
70
Credit impairment release on loan commitments and financial guarantees
(257)
Credit impairment release on other financial assets c
(15)
Credit impairment release for the year
(277)
Notes
a Recoveries and reimbursements includes a net reduction in amounts recoverable from financial guarantee contracts held with third parties of £290m and cash recoveries
of previously written off amounts of £31m.
b Includes foreign exchange and interest and fees in suspense.
c Other financial assets subject to impairment excluded in the table above include cash collateral and settlement balances, financial assets at fair value through other
comprehensive income, accrued income and sundry debtors. These have a total gross exposure of £135.5b n (2020: £150.3b n) and impairment allowance of £104m
(2020: £145m). This comprises £4m (2020: £7m) ECL on £135.3b n (2020: £146.3bn) Stage 1 assets, £0m (2020: £6m) on £65m (2020: £3.8b n) Stage 2 fair value
through other comprehensive income assets, cash collateral and settlement assets and £100m (2020: £132m) on £100m (2020: £132m) Stage 3 other assets.
Loan commitments and financial guarantees
(audited)
Stage 1
Stage 2
Stage 3
Total
Barclays Bank Group
Gross
ECL
Gross
ECL
Gross
ECL
Gross
ECL
£m
£m
£m
£m
£m
£m
£m
£m
Home loans
As at 1 January 2021
125
—
2
—
4
—
131
—
Net transfers between stages
—
—
—
—
—
—
—
—
Business activity in the year
19
—
—
—
—
—
19
—
Net drawdowns, repayments, net re-
measurement and movement due to
exposure and risk parameter changes
(4)
—
—
—
—
—
(4)
—
Limit management and final repayments
(87)
—
(2)
—
(3)
—
(92)
—
As at 31 December 2021
53
—
—
—
1
—
54
—
Credit cards, unsecured loans and other retail lending
As at 1 January 2021
68,211
34
6,244
33
30
23
74,485
90
Net transfers between stages
2,992
(4)
(3,431)
(2)
439
6
—
—
Business activity in the year
10,628
—
410
—
2
—
11,040
—
Net drawdowns, repayments, net re-
measurement and movement due to
exposure and risk parameter changes
3,712
6
585
2
(437)
(9)
3,860
(1)
Limit management and final repayments
(6,888)
—
(594)
—
(2)
—
(7,484)
—
As at 31 December 2021
78,655
36
3,214
33
32
20
81,901
89
Wholesale loans d
As at 1 January 2021
160,404
205
39,426
446
2,031
28
201,861
679
Net transfers between stages
7,801
220
(6,730)
(214)
(1,071)
(6)
—
—
Business activity in the year
45,395
14
4,658
102
9
—
50,062
116
Net drawdowns, repayments, net re-
measurement and movement due to
exposure and risk parameter changes
10,551
(232)
2
12
539
(13)
11,092
(233)
Limit management and final repayments
(46,145)
(40)
(8,939)
(105)
(491)
(7)
(55,575)
(152)
As at 31 December 2021
178,006
167
28,417
241
1,017
2
207,440
410
d Barclays Bank Group has issued £1.7bn (2020: £2.6bn) of guarantees that have been provided to subsidiaries of Barclays PLC outside the Barclays Bank Group. These
guarantees have not been reported in the prior periods and the comparatives have not been restated.
Risk review
Risk performance
Credit risk
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67
Loans and advances at amortised cost
(audited)
Stage 1
Stage 2
Stage 3
Total
Barclays Bank PLC
Gross
ECL
Gross
ECL
Gross
ECL
Gross
ECL
£m
£m
£m
£m
£m
£m
£m
£m
Home loans
As at 1 January 2021
4,630
2
146
1
863
338
5,639
341
Transfers from Stage 1 to Stage 2
(169)
—
169
—
—
—
—
—
Transfers from Stage 2 to Stage 1
48
1
(48)
(1)
—
—
—
—
Transfers to Stage 3
(64)
—
(26)
—
90
—
—
—
Transfers from Stage 3
16
—
17
2
(33)
(2)
—
—
Business activity in the year a
1,526
1
—
—
—
—
1,526
1
Refinements to models used for calculation b
—
—
—
(3)
—
30
—
27
Net drawdowns, repayments, net re-
measurement and movements due to
exposure and risk parameter changes
(173)
1
35
2
(74)
(41)
(212)
(38)
Final repayments
(464)
—
(73)
—
(106)
(3)
(643)
(3)
Disposals
—
—
—
—
—
—
—
—
Write-offs c
—
—
—
—
(16)
(16)
(16)
(16)
As at 31 December 2021 d
5,350
5
220
1
724
306
6,294
312
Credit cards, unsecured loans and other retail lending
As at 1 January 2021
3,576
54
568
43
205
64
4,349
161
Transfers from Stage 1 to Stage 2
(262)
(3)
262
3
—
—
—
—
Transfers from Stage 2 to Stage 1
60
12
(60)
(12)
—
—
—
—
Transfers to Stage 3
(45)
(1)
(9)
(5)
54
6
—
—
Transfers from Stage 3
3
—
—
1
(3)
(1)
—
—
Business activity in the year a
1,364
7
29
1
9
—
1,402
8
Refinements to models used for calculation b
—
(3)
—
(1)
—
—
—
(4)
Net drawdowns, repayments, net re-
measurement and movements due to
exposure and risk parameter changes
190
(28)
(7)
(2)
6
15
189
(15)
Final repayments
(519)
(2)
(324)
(6)
(48)
(1)
(891)
(9)
Disposals e
—
—
—
—
—
—
—
—
Write-offs c
—
—
—
—
(22)
(22)
(22)
(22)
As at 31 December 2021 d
4,367
36
459
22
201
61
5,027
119
Wholesale loans
As at 1 January 2021
166,521
280
15,081
499
2,020
791
183,622
1,570
Transfers from Stage 1 to Stage 2
(3,649)
(13)
3,649
13
—
—
—
—
Transfers from Stage 2 to Stage 1
5,126
162
(5,126)
(162)
—
—
—
—
Transfers to Stage 3
(31)
(1)
(134)
(5)
165
6
—
—
Transfers from Stage 3
363
4
113
5
(476)
(9)
—
—
Business activity in the year a
37,978
74
1,836
12
37
23
39,851
109
Refinements to models used for calculation b
—
—
—
2
—
—
—
2
Net drawdowns, repayments, net re-
measurement and movements due to
exposure and risk parameter changes
(1,553)
(289)
1,056
(19)
(75)
72
(572)
(236)
Final repayments
(27,421)
(29)
(4,285)
(167)
(502)
(123)
(32,208)
(319)
Transfer to Barclays Bank Ireland
(45)
—
—
—
(3)
—
(48)
—
Disposals e
(588)
(8)
(49)
(4)
(44)
(42)
(681)
(54)
Write-offs c
—
—
—
—
(316)
(316)
(316)
(316)
As at 31 December 2021 d
176,701
180
12,141
174
806
402
189,648
756
Notes
a Business activity in the year does not include additional drawdowns on the existing facility which are reported under “Net drawdowns, repayments, net re-measurement
and movements due to exposure and risk parameter changes”.
b Refinements to models used for calculation include a £27m movement in Home loans, £4m in Credit cards, unsecured loans and other retail lending and £2m i n Wholesale
loans. These reflect methodology changes made during the year. Barclays continually review the output of models to determine accuracy of the ECL calculation including
review of model monitoring, external benchmarking and experience of model operation over an extended period of time. This ensures that the models used continue to
reflect the risks inherent across the businesses.
c In 2021, gross write-offs amounted to £354m (2020: £301m) and post write-off recoveries amounted to £3m (2020: £4m). Net write-offs represent gross write-offs less
post write-off recoveries and amounted to £351m (2020: £297m).
d Other financial assets subject to impairment not included in the table above include cash collateral and settlement balances, financial assets at fair value through other
comprehensive income, accrued income and sundry debtors. These have a total gross exposure of £120.8bn (2020: £138.9bn) and impairment allowance of £101m
(2020: £146m). This comprises £5m ECL (2020: £13m) on £120.7bn Stage 1 assets (2020: £134.9bn), £0m (2020: £5m) on £65m Stage 2 fair value through other
comprehensive income assets, cash collateral and settlement assets (2020: £3.8bn) and £96m (2020: £128m) on £96m Stage 3 other assets (2020: £128m).
Risk review
Risk performance
Credit risk
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68
e The £681m of disposals reported within Wholesale loans include debt sales and sale of Barclays Asset Finance.
Reconciliation of ECL movement to credit impairment (release)/charge for the period
£m
Home loans
(13)
Credit cards, unsecured loans and other retail lending
(20)
Wholesale loans
(444)
ECL movement excluding assets derecognised due to disposals and write-offs
(477)
Recoveries and reimbursements a
274
Exchange and other adjustments b
21
Credit impairment release on loan commitments and financial guarantees
(213)
Credit impairment release on other financial assets c
(19)
Credit impairment release for the year
(414)
Notes
a Recoveries and reimbursements includes a net reduction in amounts recoverable from financial guarantee contracts held with third parties of £277m and cash recoveries
of previously written off amounts of £3m.
b Includes foreign exchange and interest and fees in suspense.
c Other financial assets subject to impairment not included in the table above include cash collateral and settlement balances, financial assets at fair value through other
comprehensive income, accrued income and sundry debtors. These have a total gross exposure of £120.8bn (2020: £138.9bn) and impairment allowance of £101m
(2020: £146m). This comprises £5m ECL (2020: £13m) on £120.7bn Stage 1 assets (2020: £134.9bn), £0m (2020: £5m) on £65m Stage 2 fair value through other
comprehensive income assets, cash collateral and settlement assets (2020: £3.8bn) and £96m (2020: £128m) on £96m Stage 3 other assets (2020: £128m).
Loan commitments and financial guarantees
(audited)
Stage 1
Stage 2
Stage 3
Total
Barclays Bank PLC
Gross
ECL
Gross
ECL
Gross
ECL
Gross
ECL
£m
£m
£m
£m
£m
£m
£m
£m
Home loans
As at 1 January 2021
26
—
2
—
—
—
28
—
Net transfers between stages
—
—
—
—
—
—
—
—
Business activity in the year
14
—
—
—
—
—
14
—
Net drawdowns, repayments, net re-
measurement and movement due to
exposure and risk parameter changes
—
—
—
—
—
—
—
—
Limit management and final repayments
(6)
—
(2)
—
—
—
(8)
—
As at 31 December 2021
34
—
—
—
—
—
34
—
Credit cards, unsecured loans and other retail lending
As at 1 January 2021
5,173
11
667
7
29
23
5,869
41
Net transfers between stages
142
(4)
(181)
(2)
39
6
—
—
Business activity in the year
1,018
—
13
—
1
—
1,032
—
Net drawdowns, repayments, net re-
measurement and movement due to
exposure and risk parameter changes
(222)
—
139
(1)
(46)
(10)
(129)
(11)
Limit management and final repayments
(692)
—
(115)
—
(2)
—
(809)
—
As at 31 December 2021
5,419
7
523
4
21
19
5,963
30
Wholesale loans d
As at 1 January 2021
174,115
187
35,279
398
1,926
28
211,320
613
Net transfers between stages
7,926
189
(6,922)
(182)
(1,004)
(7)
—
—
Business activity in the year
53,175
17
3,923
98
9
—
57,107
115
Net drawdowns, repayments, net re-
measurement and movement due to
exposure and risk parameter changes
11,827
(201)
457
17
404
(12)
12,688
(196)
Transfer to Barclays Bank Ireland
(952)
—
(155)
—
(3)
—
(1,110)
—
Limit management and final repayments
(43,509)
(36)
(8,664)
(100)
(475)
(6)
(52,648)
(142)
As at 31 December 2021
202,582
156
23,918
231
857
3
227,357
390
d Barclays Bank PLC has issued £14.5bn (2020: £13.9bn) of guarantees to its subsidiaries and other subsidiaries of Barclays PLC. These guarantees were not reported in prior
periods and the comparatives have been restated.
Risk review
Risk performance
Credit risk
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Barclays Bank PLC Annual Report
69
Loans and advances at amortised cost
(audited)
Stage 1
Stage 2
Stage 3
Total
Barclays Bank Group
Gross
ECL
Gross
ECL
Gross
ECL
Gross
ECL
£m
£m
£m
£m
£m
£m
£m
£m
Home loans
As at 1 January 2020
9,604
16
674
40
1,056
292
11,334
348
Transfers from Stage 1 to Stage 2
(537)
(1)
537
1
—
—
—
—
Transfers from Stage 2 to Stage 1
204
7
(204)
(7)
—
—
—
—
Transfers to Stage 3
(157)
—
(52)
(7)
209
7
—
—
Transfers from Stage 3
29
—
55
1
(84)
(1)
—
—
Business activity in the year a
1,193
1
—
—
1
—
1,194
1
Refinements to models used for calculation
—
—
—
—
—
—
—
—
Net drawdowns, repayments, net re-
measurement and movements due to
exposure and risk parameter changes
133
(17)
(62)
25
32
96
103
104
Final repayments
(842)
—
(47)
(1)
(98)
(1)
(987)
(2)
Write-offs b
—
—
—
—
(17)
(17)
(17)
(17)
As at 31 December 2020 c
9,627
6
901
52
1,099
376
11,627
434
Credit cards, unsecured loans and other retail lending
As at 1 January 2020
29,541
362
4,450
784
2,129
1,471
36,120
2,617
Transfers from Stage 1 to Stage 2
(4,116)
(92)
4,116
92
—
—
—
—
Transfers from Stage 2 to Stage 1
994
139
(994)
(139)
—
—
—
—
Transfers to Stage 3
(464)
(19)
(516)
(188)
980
207
—
—
Transfers from Stage 3
21
12
59
8
(80)
(20)
—
—
Business activity in the year a
3,467
35
130
32
29
7
3,626
74
Refinements to models used for calculation
—
—
—
—
—
—
—
—
Net drawdowns, repayments, net re-
measurement and movements due to
exposure and risk parameter changes
(4,613)
15
(1,231)
806
38
731
(5,806)
1,552
Final repayments
(2,232)
(29)
(168)
(23)
(68)
(8)
(2,468)
(60)
Transfers to Barclays Group d
(2,182)
(16)
(92)
(25)
(47)
(41)
(2,321)
(82)
Disposals e
(1,493)
(8)
(183)
(20)
(92)
(58)
(1,768)
(86)
Write-offs b
—
—
—
—
(1,036)
(1,036)
(1,036)
(1,036)
As at 31 December 2020 c
18,923
399
5,571
1,327
1,853
1,253
26,347
2,979
Wholesale loans
As at 1 January 2020
89,200
114
7,515
234
1,163
383
97,878
731
Transfers from Stage 1 to Stage 2
(10,213)
(31)
10,213
31
—
—
—
—
Transfers from Stage 2 to Stage 1
2,651
25
(2,651)
(25)
—
—
—
—
Transfers to Stage 3
(772)
(3)
(642)
(50)
1,414
53
—
—
Transfers from Stage 3
189
—
34
1
(223)
(1)
—
—
Business activity in the year a
19,773
44
1,954
144
393
67
22,120
255
Refinements to models used for calculation
—
—
—
—
—
—
—
—
Net drawdowns, repayments, net re-
measurement and movements due to
exposure and risk parameter changes
7,033
154
2,969
248
5
687
10,007
1,089
Final repayments
(24,098)
(22)
(2,844)
(28)
(283)
(59)
(27,225)
(109)
Transfers to Barclays Group d
(509)
(1)
(600)
(22)
(18)
(6)
(1,127)
(29)
Disposals e
—
—
(10)
—
—
—
(10)
—
Write-offs b
—
—
—
—
(284)
(284)
(284)
(284)
As at 31 December 2020 c
83,254
280
15,938
533
2,167
840
101,359
1,653
Notes
a.Business activity during the year does not include additional drawdowns on the existing facility which are reported under “Net drawdowns, repayments, net re-
measurement and movements due to exposure and risk parameter changes”.
b.In 2020, gross write-offs amounted to £1,337m (2019: £1,293m) and post write-off recoveries amounted to £4m (2019: £73m). Net write-offs represent gross write-offs
less post write-off recoveries and amounted to £1,333m (2019: £1,220m).
c.Other financial assets subject to impairment not included in the table above include cash collateral and settlement balances, financial assets at fair value through other
comprehensive income, accrued income and sundry debtors. These have a total gross exposure of £150.3b n (2019: £125.5b n) and impairment allowance of £145m
(2019: £22m). This comprises £7m ECL (2019 £10m) on £146.3b n stage 1 assets (2019: £124.7b n), £6m (2019: £2m) on £3.8b n stage 2 fair value through other
comprehensive income assets, cash collateral and settlement assets (2019: £0.8b n) and £132m (2019: £10m) on £132m Stage 3 other assets (2019: £10m).
d.Transfers to Barclays Group include a £2.3b n transfer of the Barclays Partner Finance retail portfolio reported within Credit cards, unsecured loans and other retail lending
and £1.1b n transfer of the Barclays Mercantile Business Finance Limited reported within loans to Barclays Principal Investments Limited.
Risk review
Risk performance
Credit risk
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70
e.The £1.8bn disposals reported within Credit cards, unsecured loans and other retail lending portfolio include sale of motor financing business within Barclays Partner
Finance business. Disposal within Wholesale loans include sale of debt securities as part of Group Treasury Operations.
Reconciliation of ECL movement to credit impairment (release)/charge for the period
£m
Home loans
103
Credit cards, unsecured loans and other retail lending
1,484
Wholesale loans
1,206
ECL movement excluding assets derecognised due to disposals and write-offs
2,793
Recoveries and reimbursements a
(368)
Exchange and other adjustments b
267
Credit impairment charge on loan commitments and financial guarantees
547
Credit impairment charge on other financial assets c
138
Credit impairment charge for the year
3,377
Notes
a Recoveries and reimbursements includes £364m for reimbursements expected to be received under the arrangement where Group has entered into financial guarantee
contracts which provide credit protection over certain loan assets with third parties. Cash recoveries of previously written off amounts to £4m.
b Includes foreign exchange and interest and fees in suspense.
c Other financial assets subject to impairment not included in the table above include cash collateral and settlement balances, financial assets at fair value through other
comprehensive income, accrued income and sundry debtors. These have a total gross exposure of £150.3b n (2019: £125.5bn) and impairment allowance of £145m
(2019: £22m). This comprises £7m ECL (2019: £10m) on £146.3bn stage 1 assets (2019: £124.7bn), £6m (2019: £2m) on £3.8b n stage 2 fair value through other
comprehensive income assets, cash collateral and settlement assets (2019: £0.8b n) and £132m (2019: £10m) on £132m Stage 3 other assets (2019: £10m).
Loan commitments and financial guarantees
(audited)
Stage 1
Stage 2
Stage 3
Total
Barclays Bank Group
Gross
ECL
Gross
ECL
Gross
ECL
Gross
ECL
£m
£m
£m
£m
£m
£m
£m
£m
Home loans
As at 1 January 2020
34
—
—
—
—
—
34
—
Net transfers between stages
(4)
—
4
—
—
—
—
—
Business activity in the year
113
—
—
—
—
—
113
—
Net drawdowns, repayments, net re-
measurement and movement due to
exposure and risk parameter changes
1
—
—
—
4
—
5
—
Limit management and final repayments
(19)
—
(2)
—
—
—
(21)
—
As at 31 December 2020
125
—
2
—
4
—
131
—
Credit cards, unsecured loans and other retail lending
As at 1 January 2020
78,257
22
2,053
15
67
14
80,377
51
Net transfers between stages
(4,124)
6
3,603
(2)
521
(4)
—
—
Business activity in the year
4,591
2
128
1
1
1
4,720
4
Net drawdowns, repayments, net re-
measurement and movement due to
exposure and risk parameter changes
1,471
5
1,076
20
(553)
15
1,994
40
Limit management and final repayments
(11,984)
(1)
(616)
(1)
(6)
(3)
(12,606)
(5)
As at 31 December 2020
68,211
34
6,244
33
30
23
74,485
90
Wholesale loans a
As at 1 January 2020
183,001
63
12,053
97
636
41
195,690
201
Net transfers between stages
(28,048)
67
27,052
(72)
996
5
—
—
Business activity in the year
42,904
32
4,705
102
774
2
48,383
136
Net drawdowns, repayments, net re-
measurement and movement due to
exposure and risk parameter changes
12,755
50
(219)
334
(79)
(19)
12,457
365
Limit management and final repayments
(50,208)
(7)
(4,165)
(15)
(296)
(1)
(54,669)
(23)
As at 31 December 2020
160,404
205
39,426
446
2,031
28
201,861
679
Note
a Barclays Bank Group has issued £1.7bn (2020: £2.6bn) of guarantees that have been provided to subsidiaries of Barclays PLC outside the Barclays Bank Group. These
guarantees have not been reported in the prior periods and the comparatives have not been restated.
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Loans and advances at amortised cost
(audited)
Stage 1
Stage 2
Stage 3
Total
Barclays Bank PLC
Gross
ECL
Gross
ECL
Gross
ECL
Gross
ECL
£m
£m
£m
£m
£m
£m
£m
£m
Home loans
As at 1 January 2020
4,138
9
112
2
878
271
5,128
282
Transfers from Stage 1 to Stage 2
(69)
—
69
—
—
—
—
—
Transfers from Stage 2 to Stage 1
33
—
(33)
—
—
—
—
—
Transfers to Stage 3
(123)
—
(8)
—
131
—
—
—
Transfers from Stage 3
29
—
31
1
(60)
(1)
—
—
Business activity in the year a
958
1
—
—
—
—
958
1
Net drawdowns, repayments, net re-
measurement and movements due to
exposure and risk parameter changes
85
(8)
4
(2)
19
80
108
70
Final repayments
(421)
—
(29)
—
(93)
—
(543)
—
Disposals
—
—
—
—
—
—
—
—
Write-offs
—
—
—
—
(12)
(12)
(12)
(12)
As at 31 December 2020 b
4,630
2
146
1
863
338
5,639
341
Credit cards, unsecured loans and other retail lending
As at 1 January 2020
3,619
24
562
35
287
76
4,468
135
Transfers from Stage 1 to Stage 2
(211)
(3)
211
3
—
—
—
—
Transfers from Stage 2 to Stage 1
107
9
(107)
(9)
—
—
—
—
Transfers to Stage 3
(43)
(1)
(21)
(8)
64
9
—
—
Transfers from Stage 3
8
2
50
1
(58)
(3)
—
—
Business activity in the year a
1,004
7
2
1
2
—
1,008
8
Net drawdowns, repayments, net re-
measurement and movements due to
exposure and risk parameter changes
(222)
17
(61)
26
(7)
19
(290)
62
Final repayments
(686)
(1)
(68)
(6)
(48)
(2)
(802)
(9)
Disposals
—
—
—
—
—
—
—
—
Write-offs
—
—
—
—
(35)
(35)
(35)
(35)
As at 31 December 2020 b
3,576
54
568
43
205
64
4,349
161
Wholesale loans
As at 1 January 2020
145,094
112
6,957
237
1,131
349
153,182
698
Transfers from Stage 1 to Stage 2
(9,233)
(27)
9,233
27
—
—
—
—
Transfers from Stage 2 to Stage 1
2,499
23
(2,499)
(23)
—
—
—
—
Transfers to Stage 3
(678)
(2)
(598)
(50)
1,276
52
—
—
Transfers from Stage 3
189
—
34
1
(223)
(1)
—
—
Business activity in the year a
48,192
45
1,732
143
393
67
50,317
255
Net drawdowns, repayments, net re-
measurement and movements due to
exposure and risk parameter changes
7,062
152
3,014
193
(12)
634
10,064
979
Final repayments
(26,325)
(22)
(2,695)
(26)
(282)
(51)
(29,302)
(99)
Transfer to Barclays Bank Ireland
(279)
(1)
(87)
(3)
(9)
(5)
(375)
(9)
Disposals c
—
—
(10)
—
—
—
(10)
—
Write-offs d
—
—
—
—
(254)
(254)
(254)
(254)
As at 31 December 2020 b
166,521
280
15,081
499
2,020
791
183,622
1,570
Notes
a.Business activity during the year does not include additional drawdowns on the existing facility which are reported under “Net drawdowns, repayments, net re-
measurement and movements due to exposure and risk parameter changes”.
b.Other financial assets subject to impairment not included in the table above include cash collateral and settlement balances, financial assets at fair value through other
comprehensive income, accrued income and sundry debtors. These have a total gross exposure of £138.9bn (2019: £120.3bn) and impairment allowance of £146m
(2019: £19m). This comprises £13m ECL (2019: £11m) on £134.9bn stage 1 assets (2019: £119.5bn), £5m (2019: £2m) on £3.8bn stage 2 fair value through other
comprehensive income assets, cash collateral and other settlement balances (2019: £0.8bn) and £128m (2019: £6m) on £128m Stage 3 other assets (2019: £6m).
c.Disposal within Wholesale loans include sale of debt securities as part of Group Treasury operations.
d.In 2020, gross write-offs amounted to £301m (2019: £154m) and post write-off recoveries amounted to £4m (2019: £39m). Net write-offs represent gross write-offs less
post write-off recoveries and amounted to £297m (£115m).
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Reconciliation of ECL movement to credit impairment (release)/charge for the period
£m
Home loans
71
Credit cards, unsecured loans and other retail lending
61
Wholesale loans
1,126
ECL movement excluding assets derecognised due to disposals and write-offs
1,258
Recoveries and reimbursements a
(352)
Exchange and other adjustments b
60
Credit impairment charge on loan commitments and financial guarantees
469
Credit impairment charge on other financial assets c
142
Credit impairment charge for the year
1,577
Notes
a Recoveries and reimbursements include s £348m for reimbursements expected to be received under the arrangement where the Bank has entered into financial guarantee
contracts which provide credit protection over certain loan assets with third parties. Cash recoveries of previously written off amounts to £4m.
b Includes foreign exchange and interest and fees in suspense.
c Other financial assets subject to impairment not included in the table above include cash collateral and settlement balances, financial assets at fair value through other
comprehensive income, accrued income and sundry debtors. These have a total gross exposure of £138.9bn (2019: £120.3bn) and impairment allowance of £146m
(2019: £19m). This comprises £13m ECL (2019: £11m) on £134.9bn stage 1 assets (2019: £119.5bn), £5m (2019: £2m) on £3.8bn stage 2 fair value through other
comprehensive income assets, cash collateral and other settlement balances (2019: £0.8bn) and £128m (2019: £6m) on £128m Stage 3 other assets (2019: £6m).
Loan commitments and financial guarantees
(audited)
Stage 1
Stage 2
Stage 3
Total
Barclays Bank PLC
Gross
ECL
Gross
ECL
Gross
ECL
Gross
ECL
£m
£m
£m
£m
£m
£m
£m
£m
Home loans
As at 1 January 2020
11
—
—
—
—
—
11
—
Net transfers between stages
(4)
—
4
—
—
—
—
—
Business activity in the year
38
—
—
—
—
—
38
—
Net drawdowns, repayments, net re-
measurement and movement due to
exposure and risk parameter changes
—
—
—
—
—
—
—
—
Limit management and final repayments
(19)
—
(2)
—
—
—
(21)
—
As at 31 December 2020
26
—
2
—
—
—
28
—
Credit cards, unsecured loans and other retail lending
As at 1 January 2020
5,071
7
663
3
27
13
5,761
23
Net transfers between stages
88
5
(205)
(2)
117
(3)
—
—
Business activity in the year
770
2
29
1
1
1
800
4
Net drawdowns, repayments, net re-
measurement and movement due to
exposure and risk parameter changes
(293)
(2)
236
6
(110)
15
(167)
19
Limit management and final repayments
(463)
(1)
(56)
(1)
(6)
(3)
(525)
(5)
As at 31 December 2020
5,173
11
667
7
29
23
5,869
41
Wholesale loans d
As at 1 January 2020
183,702
57
11,040
92
613
42
195,355
191
Net transfers between stages
(26,586)
67
25,674
(72)
912
5
—
—
Business activity in the year
39,929
30
3,929
80
772
2
44,630
112
Net drawdowns, repayments, net re-
measurement and movement due to
exposure and risk parameter changes d
29,134
42
(498)
316
(69)
(20)
28,567
338
Limit management and final repayments
(3,990)
(2)
(886)
(4)
(6)
—
(4,882)
(6)
Transfer to Barclays Bank Ireland
(48,074)
(7)
(3,980)
(14)
(296)
(1)
(52,350)
(22)
As at 31 December 2020
174,115
187
35,279
398
1,926
28
211,320
613
d Barclays Bank PLC has issued £14.5bn (2020: £13.9bn) of guarantees to its subsidiaries and other subsidiaries of Barclays PLC. These guarantees were not reported in prior
periods and the comparatives have been restated.
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Stage 2 decomposition
Loans and advances at amortised cost a
2021
2020
Gross Exposure
Impairment
allowance
Gross Exposure
Impairment
allowance
As at 31 December
£m
£m
£m
£m
Quantitative test
13,289
679
17,434
1,698
Qualitative test
2,593
314
3,228
180
30 days past due backstop
515
26
1,748
34
Total Stage 2
16,397
1,019
22,410
1,912
Note
a Where balances satisfy more than one of the above three criteria for determining a significant increase in credit risk, the corresponding gross exposure and ECL has been
assigned in order of categories presented.
Stage 2 exposures are predominantly identified using quantitative tests where the lifetime probability of default (PD) has deteriorated more than a pre-
determined amount since origination during the year driven by changes in macro-economic variables. This is augmented by inclusion of accounts
meeting the designated high risk criteria (including watchlist) for the portfolio under the qualitative test. Qualitative tests include £1.4b n (2020: £2.0b n)
relating to Corporate and Investment Bank and £1.1b n (2020: £1.0b n) relating to Consumer, Cards and Payments.
A small number of other accounts (3% of impairment allowances and 3% of gross exposure) are included in Stage 2. These accounts are not otherwise
identified by the quantitative or qualitative tests but are more than 30 days past due. The percentage triggered by these backstop criteria is a measure of
the effectiveness of the Stage 2 criteria in identifying deterioration prior to delinquency. These balances include items in Corporate and Investment Bank
for reasons such as outstanding interest and fees rather than principal balances.
For further detail on the three criteria for determining a significant increase in credit risk required for Stage 2 classification, refer to Note 7.
Stage 3 decomposition
Loans and advances at amortised cost
2021
2020
Gross Exposure
Impairment
allowance
Gross Exposure
Impairment
allowance
As at 31 December
£m
£m
£m
£m
Exposures not charged-off including within cure period a
904
319
1,294
398
Exposures individually assessed or in recovery book b
2,444
1,365
3,825
2,071
Total Stage 3
3,348
1,684
5,119
2,469
Notes
a Includes £0.7b n (2020: £0.6b n) of gross exposure in a cure period that must remain in Stage 3 for a minimum of 12 months before moving to Stage 2.
b Exposures individually assessed or in recovery book cannot cure out of Stage 3.
Management adjustments to models for impairment (audited)
Management adjustments to impairment models are applied in order to factor in certain conditions or changes in policy that are not fully incorporated
into the impairment models, or to reflect additional facts and circumstances at the period end. Management adjustments are reviewed and incorporated
into future model development where applicable.
Total management adjustments to impairment allowance are presented by product below:
Overview of management adjustments to models for impairment (audited)a
2021
2020
Management
adjustments to
impairment
allowances
Proportion of total
impairment
allowances
Management
adjustments to
impairment
allowances
Proportion of total
impairment
allowances
As at 31 December
£m
%
£m
%
Home loans
34
8.8
54
12.4
Credit cards, unsecured loans and other retail lending
966
40.4
960
31.3
Wholesale loans
142
11.6
(78)
(3.3)
Total
1,142
28.6
936
16.0
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Management adjustments to models are presented by product below: (audited)a
Impairment
allowance pre
management
adjustments b
Economic
uncertainty
adjustments (a)
Other
adjustments (b)
Total
adjustments
(a+b)
Total impairment
allowance c
As at 31 December, 2021
£m
£m
£m
£m
£m
Home loans
352
34
—
34
386
Credit cards, unsecured loans and other retail lending
1,425
771
195
966
2,391
Wholesale loans
1,079
244
(102)
142
1,221
Total
2,856
1,049
93
1,142
3,998
As at 31 December, 2020
£m
£m
£m
£m
£m
Home loans
380
21
33
54
434
Credit cards, unsecured loans and other retail lending
2,109
986
(26)
960
3,069
Wholesale loans
2,410
379
(457)
(78)
2,332
Total
4,899
1,386
(450)
936
5,835
Notes:
a.Positive values reflect an increase in impairment allowance and negative values reflect a reduction in the impairment allowance.
b.Includes £2.2bn (2020: £3.9bn) of modelled ECL, £0.5b n (2020: £0.8bn) of individually assessed impairments and £0.2b n (2020: £0.2bn) ECL from non-modelled
exposures.
c.Total impairment allowance consists of ECL stock on drawn and undrawn exposures.
Economic un certain ty adjustments
Throughout the COVID-19 pandemic in 2020 and 2021, macroeconomic forecasts anticipated lasting impacts to unemployment levels and customer
and client stress. More recent macroeconomic forecasts indicated that the outlook has improved, with measures of government and bank support
starting to taper down and no material deterioration in customer delinquencies observed to date. However, the degree of economic uncertainty remains
relatively high: credit deterioration may still occur when support measures are fully withdrawn across geographies; emerging supply chain disruption
and inflationary pressures may challenge economic stability; and economic consensus may not capture the range of economic uncertainty associated
with fast moving new COVID-19 variants such as Omicron.
Given this backdrop, management has recognised economic uncertainty adjustments to modelled outputs to address these sources of uncertainties
and ensure that the potential impacts of stress are provided for. This uncertainty continues to be captured in two distinct ways. Firstly, customer
uncertainty: the identification of customers and clients who may be more vulnerable to the withdrawal of support schemes and emerging economic
instability; and secondly, model uncertainty: to capture the impact from model limitations and sensitivities to specific macroeconomic parameters which
are applied at a portfolio level.
The economic uncertainty adjustments of £1.0b n (2020 £1.4b n) include customer and client uncertainty provisions of £0.9b n (2020 £1.1b n) and model
uncertainty provisions of £0.1b n (2020 £0.3b n).
Customer uncertainty provisions comprise:
a. An adjustment of £0.1b n (2020: £0.1b n) to adjust the probability of default (PDs) to pre-COVID-19 levels to offset the temporary improvement to
PDs in light of reduced customer spend behaviour and support measures.
b. A vulnerable customer adjustment of £0.8b n (2020: £1.0b n) has been applied to customers and clients considered potentially vulnerable to the
withdrawal of support schemes and emerging economic instability against which lifetime coverage is applied. This has marginally reduced considering
the improved macro-economic and low customer delinquencies observed in 2021. This is split between credit cards, unsecured loans and other retail
lending of £0.6b n (2020: £0.8b n) and wholesale loans of £0.2b n (2020: £0.2 bn).
Model uncertainty provisions reduced by £0.2b n reflecting an update in adjustment in response to the modelled provisions following the update in the
Q421 scenarios.
Other adjustments
Other adjustments are operational in nature and are expected to remain in place until they can be corrected in the underlying models. These
adjustments result from data limitations and model performance related issues identified through established governance processes. The quantum of
adjustments reduced in response to the Q421 scenarios as well as model enhancements made during the year. Material adjustments consist of the
following:
Credit cards, unsecured loans and other retail lending: Includes an adjustment for model inaccuracies informed by model monitoring.
Wholesale loans: Represents the net adjustments for model inaccuracies informed by model monitoring. Further, it includes an adjustment to offset
modelled ECL output in the Investment Bank to limit excessive ECL sensitivity to the macroeconomic variable for Federal Tax Receipts.
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Measurement uncertainty and sensitivity analysis
Management has applied economic uncertainty and other adjustments to modelled ECL outputs. Economic uncertainty adjustments reflect the
potential for specific customers and clients who may be more vulnerable to the full withdrawal of support and emerging economic instability and the
degree to which economic consensus may not have captured the range of economic uncertainty associated with continued developments resulting
from COVID-19. As a result, ECL is higher than would be the case if it were based on forecast economic scenarios alone.
The measurement of modelled ECL involves complexity and judgement, including estimation of probabilities of default (PD), loss given default (LGD), a
range of unbiased future economic scenarios, estimation of expected lives, estimation of exposures at default (EAD) and assessing significant increases
in credit risk. The Barclays Bank Group uses a five-scenario model to calculate ECL. An external consensus forecast is assembled from key sources,
including HM Treasury (short and medium term forecasts), Bloomberg (based on median of economic forecasts) and the Urban Land Institute (for US
House Prices), which forms the Baseline scenario. In addition, two adverse scenarios (Downside 1 and Downside 2) and two favourable scenarios
(Upside 1 and Upside 2) are derived, with associated probability weightings. The adverse scenarios are calibrated to a broadly similar severity to
Barclays' internal stress tests and stress scenarios provided by regulators whilst also considering IFRS 9 specific sensitivities and non-linearity. The
favourable scenarios are designed to reflect plausible upside risks to the Baseline scenario which are broadly consistent with the economic narrative
approved by the Senior Scenario Review Committee. All scenarios are regenerated at a minimum semi-annually. The scenarios include eight key
economic variables, (GDP, unemployment, House Price Index (HPI) and base rates in both the UK and US markets), and expanded variables using
statistical models based on historical correlations. The upside and downside shocks are designed to evolve over a five-year stress horizon, with all five
scenarios converging to a steady state after approximately eight years.
Scenarios used to calculate the Barclays Bank Group’s ECL charge were reviewed and updated regularly throughout 2021, following the continuation of
the COVID-19 pandemic throughout the year, including the emergence of the Omicron variant and the global vaccination rollout. The current Baseline
scenario reflects the latest consensus economic forecasts; the steady recovery in GDP in both the UK and US continues with UK GDP returning to pre-
COVID-19 pandemic levels by Q222. UK unemployment peaks at 5.0% in Q122 and US unemployment continues to decline. In the Downside 2 scenario,
inflation continues to accelerate and the UK bank rate is increased to 4.0% and the US federal funds rate is increased to 3.5%, by the end of 2022,
leading to a further downturn in GDP until Q323. Unemployment peaks in Q323 at 9.2% in the UK and 9.5% in the US. In the Upside 2 scenario, inflation
expectations and global energy prices stabilise and GDP growth rises as COVID-19 risks continue to decline helping to release more of the pent-up
demand and accumulated household savings into the economy. Unemployment rates decline gradually.
The methodology for estimating probability weights used in calculating ECL involves simulating a range of future paths for UK and US GDP using
historical data. The five scenarios are mapped against the distribution of these future paths, with the median centred around the Baseline such that
scenarios further from the Baseline attract a lower weighting. A single set of five scenarios is used across all portfolios and all five weights are
normalised to equate to 100%. The same scenarios and weights that are used in the estimation of expected credit losses are also used for internal
planning purposes. The impacts across the portfolios are different because of the sensitivities of each of the portfolios to specific macroeconomic
variables, for example, mortgages are highly sensitive to house prices, and credit cards and unsecured consumer loans are highly sensitive to
unemployment.
The changes to the scenario weights in 2021 primarily reflect changes made to the severity of the scenarios. The Downside 2 scenario has been aligned
with the internal stress test, which is informed by a weaker GDP outlook. The effect of this is to move the Downside 2 scenario further away from the
Baseline, resulting in a lower weighting. For further details see page 79.
Although the macroeconomic outlook has improved, the level of uncertainty remains relatively high. A key judgement is the extent to which economic
uncertainty experienced throughout the COVID-19 pandemic now reflects additional challenges, namely inflationary pressures and global supply chain
disruptions. Inflationary headwinds have yet to materially impact customer affordability and corporate profitability data. A balanced approach has
therefore been adopted in the sizing of expert judgements as we move away from a period characterised by significant customer support.
The economic uncertainty adjustments of £1.0bn (FY20: £1.4bn) have been applied as overlays to the modelled ECL output. These adjustments consist
of a customer and client uncertainty provision of £0.9bn (FY20 £1.1bn) and a model uncertainty provision of £0.1bn (FY20 £0.3bn). For further details
see page 75.
The tables below show the key macroeconomic variables used in the five scenarios (5 year annual paths), the probability weights applied to each
scenario and the macroeconomic variables by scenario using ‘specific bases’ i.e. the most extreme position of each variable in the context of the
scenario, for example, the highest unemployment for downside scenarios and the lowest unemployment for upside scenarios. 5-year average tables and
movement over time graphs provide additional transparency. Annual paths show quarterly averages for the year (unemployment and base rate) or
change in the year (GDP and HPI).
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Baseline average macroeconomic variables used in the calculation of ECL
2021
2022
2023
2024
2025
As at 31 December 2021
%
%
%
%
%
UK GDP a
6.2
4.9
2.3
1.9
1.7
UK unemployment b
4.8
4.7
4.5
4.3
4.2
UK HPI c
4.7
1.0
1.9
1.9
2.3
UK bank rate
0.1
0.8
1.0
1.0
0.8
US GDP a
5.5
3.9
2.6
2.4
2.4
US unemployment d
5.5
4.2
3.6
3.6
3.6
US HPI e
11.8
4.5
5.2
4.9
5.0
US federal funds rate
0.2
0.3
0.9
1.2
1.3
2020
2021
2022
2023
2024
As at 31 December 2020
%
%
%
%
%
UK GDP a
(10.1)
6.3
3.3
2.6
2.0
UK unemployment b
4.5
6.7
6.4
5.8
5.1
UK HPI c
6.1
2.4
2.3
5.0
2.4
UK bank rate
0.2
—
(0.1)
—
0.1
US GDP a
(4.4)
3.9
3.1
2.9
2.9
US unemployment d
8.4
6.9
5.7
5.6
5.6
US HPI e
2.3
2.8
4.7
4.7
4.7
US federal funds rate
0.5
0.3
0.3
0.3
0.4
Downside 2 average macroeconomic variables used in the calculation of ECL
2021
2022
2023
2024
2025
As at 31 December 2021
%
%
%
%
%
UK GDP a
6.2
0.2
(4.0)
2.8
4.3
UK unemployment b
4.8
7.2
9.0
7.6
6.3
UK HPI c
4.7
(14.3)
(21.8)
11.9
15.2
UK bank rate
0.1
2.2
3.9
3.1
2.2
US GDP a
5.5
(0.8)
(3.5)
2.5
3.2
US unemployment d
5.5
6.4
9.1
8.1
6.4
US HPI e
11.8
(6.6)
(9.0)
5.9
6.7
US federal funds rate
0.2
2.1
3.4
2.6
2.0
2020
2021
2022
2023
2024
As at 31 December 2020
%
%
%
%
%
UK GDP a
(10.1)
(3.9)
6.5
2.6
1.4
UK unemployment b
4.5
8.0
9.3
7.8
6.3
UK HPI c
6.1
(13.6)
(10.8)
0.5
1.5
UK bank rate
0.2
(0.2)
(0.2)
(0.1)
(0.1)
US GDP a
(4.4)
(2.4)
3.6
2.1
2.0
US unemployment d
8.4
13.4
11.9
10.1
8.2
US HPI e
2.3
(17.2)
(0.7)
0.6
1.3
US federal funds rate
0.5
0.3
0.3
0.3
0.3
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Downside 1 average macroeconomic variables used in the calculation of ECL
2021
2022
2023
2024
2025
As at 31 December 2021
%
%
%
%
%
UK GDP a
6.2
2.8
(0.7)
2.3
2.9
UK unemployment b
4.8
6.2
6.8
6.0
5.3
UK HPI c
4.7
(6.8)
(10.5)
6.9
8.6
UK bank rate
0.1
1.6
2.7
2.3
1.6
US GDP a
5.5
1.6
(0.4)
2.4
2.7
US unemployment d
5.5
5.4
6.6
6.1
5.2
US HPI e
11.8
(1.2)
(2.1)
4.8
5.2
US federal funds rate
0.2
1.3
2.3
2.1
1.8
2020
2021
2022
2023
2024
As at 31 December 2020
%
%
%
%
%
UK GDP a
(10.1)
(3.9)
6.5
2.6
1.4
UK unemployment b
4.5
8.0
9.3
7.8
6.3
UK HPI c
6.1
(13.6)
(10.8)
0.5
1.5
UK bank rate
0.2
(0.2)
(0.2)
(0.1)
(0.1)
US GDP a
(4.4)
(2.4)
3.6
2.1
2.0
US unemployment d
8.4
13.4
11.9
10.1
8.2
US HPI e
2.3
(17.2)
(0.7)
0.6
1.3
US federal funds rate
0.5
0.3
0.3
0.3
0.3
Upside 2 average macroeconomic variables used in the calculation of ECL
2021
2022
2023
2024
2025
As at 31 December 2021
%
%
%
%
%
UK GDP a
6.2
7.2
4.0
2.7
2.1
UK unemployment b
4.8
4.5
4.1
4.0
4.0
UK HPI c
4.7
8.5
9.0
5.2
4.2
UK bank rate
0.1
0.2
0.5
0.5
0.3
US GDP a
5.5
5.3
4.1
3.5
3.4
US unemployment d
5.5
3.9
3.4
3.3
3.3
US HPI e
11.8
10.6
8.5
7.2
6.6
US federal funds rate
0.2
0.3
0.4
0.7
1.0
2020
2021
2022
2023
2024
As at 31 December 2020
%
%
%
%
%
UK GDP a
(10.1)
12.2
5.3
3.9
2.9
UK unemployment b
4.5
6.2
5.5
4.8
4.4
UK HPI c
6.1
6.6
10.4
10.8
7.3
UK bank rate
0.2
0.1
0.3
0.3
0.5
US GDP a
(4.4)
7.1
4.6
4.0
3.5
US unemployment d
8.4
5.5
4.3
4.1
4.1
US HPI e
2.3
8.8
9.1
8.9
7.5
US federal funds rate
0.5
0.3
0.4
0.6
0.9
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Upside 1 average macroeconomic variables used in the calculation of ECL
2021
2022
2023
2024
2025
As at 31 December 2021
%
%
%
%
%
UK GDP a
6.2
6.0
3.1
2.3
1.9
UK unemployment b
4.8
4.6
4.3
4.2
4.1
UK HPI c
4.7
5.0
5.0
3.9
3.3
UK bank rate
0.1
0.6
0.8
0.8
0.5
US GDP a
5.5
4.6
3.4
2.9
2.9
US unemployment d
5.5
4.0
3.5
3.5
3.5
US HPI e
11.8
8.3
7.0
6.0
5.7
US federal funds rate
0.2
0.3
0.6
1.0
1.1
2020
2021
2022
2023
2024
As at 31 December 2020
%
%
%
%
%
UK GDP a
(10.1)
9.3
3.9
3.4
2.5
UK unemployment b
4.5
6.4
6.0
5.2
4.7
UK HPI c
6.1
4.6
6.1
6.1
4.7
UK bank rate
0.2
0.1
0.1
0.3
0.3
US GDP a
(4.4)
5.5
4.0
3.7
3.3
US unemployment d
8.4
6.0
4.8
4.6
4.6
US HPI e
2.3
6.8
6.7
6.3
5.6
US federal funds rate
0.5
0.3
0.3
0.5
0.8
Notes
a Average Real GDP seasonally adjusted change in year.
b Average UK unemployment rate 16-year+.
c Change in year end UK HPI = Halifax All Houses, All Buyers index, relative to prior year end.
d Average US civilian unemployment rate 16-year+.
e Change in year end US HPI = FHFA house price index, relative to prior year end.
Scenario probability weighting (audited)
Upside 2
Upside 1
Baseline
Downside 1
Downside 2
%
%
%
%
%
As at 31 December 2021
Scenario probability weighting
20.9
27.2
30.1
14.8
7.0
As at 31 December 2020
Scenario probability weighting
20.2
24.2
24.7
15.5
15.4
Specific bases show the most extreme position of each variable in the context of the scenario, for example, the highest unemployment for downside
scenarios, average unemployment for baseline scenarios and lowest unemployment for upside scenarios. GDP and HPI downside and upside scenario
data represents the lowest and highest points relative to the start point in the 20 quarter period.
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Macroeconomic variables used in the calculation of ECL (specific bases) (audited)a
Upside 2
Upside 1
Baseline
Downside 1
Downside 2
%
%
%
%
%
As at 31 December 2021
UK GDP b
21.4
18.3
3.4
(1.6)
(1.6)
UK unemployment c
4.0
4.1
4.5
7.0
9.2
UK HPI d
35.7
23.8
2.4
(12.7)
(29.9)
UK bank rate c
0.1
0.1
0.7
2.8
4.0
US GDP b
22.8
19.6
3.4
1.5
(1.3)
US unemployment c
3.3
3.5
4.1
6.8
9.5
US HPI d
53.3
45.2
6.2
2.2
(5.0)
US federal funds rate c
0.1
0.1
0.8
2.3
3.5
As at 31 December 2020
UK GDP b
14.2
8.8
0.7
(22.1)
(22.1)
UK unemployment c
4.0
4.0
5.7
8.4
10.1
UK HPI d
48.2
30.8
3.6
(4.5)
(18.3)
UK bank rate c
0.1
0.1
—
0.6
0.6
US GDP b
15.7
12.8
1.6
(10.6)
(10.6)
US unemployment c
3.8
3.8
6.4
13.0
13.7
US HPI d
42.2
30.9
3.8
(3.7)
(15.9)
US federal funds rate c
0.1
0.1
0.3
1.3
1.3
Average basis represents the average quarterly value of variables in the 20 quarter period with GDP and HPI based on yearly average and quarterly
CAGRs respectively.
Macroeconomic variables used in the calculation of ECL (5 year averages) (audited)a
Upside 2
Upside 1
Baseline
Downside 1
Downside 2
%
%
%
%
%
As at 31 December 2021
UK GDP e
4.4
3.9
3.4
2.7
1.8
UK unemployment f
4.3
4.4
4.5
5.8
7.0
UK HPI g
6.3
4.4
2.4
0.3
(2.0)
UK bank rate f
0.3
0.5
0.7
1.7
2.3
US GDP e
4.4
3.9
3.4
2.4
1.3
US unemployment f
3.9
4.0
4.1
5.7
7.1
US HPI g
8.9
7.7
6.2
3.6
1.4
US federal funds rate f
0.5
0.6
0.8
1.5
2.1
As at 31 December 2020
UK GDP e
2.5
1.6
0.7
0.1
(0.9)
UK unemployment f
5.0
5.3
5.7
6.5
7.2
UK HPI g
8.2
5.5
3.6
(0.2)
(3.6)
UK bank rate f
0.3
0.2
—
—
(0.1)
US GDP e
2.9
2.4
1.6
0.8
0.1
US unemployment f
5.3
5.7
6.4
8.3
10.4
US HPI g
7.3
5.5
3.8
0.8
(3.0)
US federal funds rate f
0.5
0.5
0.3
0.3
0.3
Notes
a UK GDP = Real GDP growth seasonal ly adjusted; UK unemployment = UK unemployment rate 16-year+; UK HPI = Halifax All Houses, All Buyers Index; US GDP = Real GDP
growth seasonall y adjusted; US unemployment = US civilian unemployment rate 16-year+; US HPI = FHFA house price index. 20 quarter period starts from Q121 (2020:
Q120).
b Maximum growth relative to Q420 (2020: Q419), based on 20 quarter period in Upside scenarios; 5-year yearly average CAGR in Baseline; minimum growth relative to
Q 420 (2020: Q 419), based on 20 quarter period in Downside scenarios.
c Lowest quarter in Upside scenarios; 5-year average in Baseline; highest quarter in Downside scenarios. Period based on 20 quarters from Q 121 (2020: Q120).
d Maximum growth relative to Q420 (2020: Q419), based on 20 quarter period in Upside scenarios; 5-year quarter end CAGR in Baseline; minimum growth relative to Q 420
(2020: Q 419), based on 20 quarter period in Downside scenarios.
e 5-year yearly average CAGR, starting 2020 (2020: 2019)
f 5-year average. Period based on 20 quarters from Q 121 (2020: Q 120)
g 5-year quarter end CAGR, starting Q 420 (2020: Q 419)
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The graphs below plot the historical data for GDP growth rate and unemployment rate in the UK and US as well as the forecasted data under each of the
five scenarios.
UK GDP
%
UK unemployment
%
US GDP
%
US unemployment
%
GDP growth based on year on year growth each quarter (Q/(Q-4))
ECL under 100% weighted scenarios for modelled portfolios (audited)
The table below shows the Expected Credit Los s (ECL) assuming scenarios have been 100% weighted. Model exposures are allocated to a stage based
on the individual scenario rather than through a probability-weighted approach as required for Barclays Bank Group reported impairment allowances.
As a result, it is not possible to back solve to the final reported weighted ECL from the individual scenarios as a balance may be assigned to a different
stage dependent on the scenario. Model exposure uses Exposure At Default (EAD) values and is not directly comparable to gross exposure used in prior
disclosures. For c redit cards, unsecured loans and other retail lending, an average EAD measure is used (12 month or lifetime depending on stage
allocation in each scenario). Therefore, the model exposure movement into Stage 2 is higher than the corresponding Stage 1 reduction.
All ECL using a model is included, with the exception of Treasury assets (£3.0m of ECL), Non-modelled exposures and management adjustments are
excluded. Management adjustments can be found on page 74.
Model exposures allocated to Stage 3 do not change in any of the scenarios as the transition criteria relies only on observable evidence of default as at
31 December 2021 and not on macroeconomic scenarios.
The Downside 2 scenario represents a severe global recession with substantial falls in UK GDP. Unemployment rises towards 9.2% in UK markets and
9.5% in US markets and there are substantial falls in asset prices including housing.
Under the Downside 2 scenario, model exposure moves between stages as the economic environment weakens. This can be seen in the movement of
£12.4bn of model exposure into Stage 2 between the Weighted and Downside 2 scenarios. ECL increases in Stage 2 predominantly due to unsecured
portfolios as economic conditions deteriorate.
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Scenarios
As at 31 December 2021
Weighted
Upside 2
Upside 1
Baseline
Downside 1
Downside 2
Stage 1 Model exposure (£m)
Home loans
3,905
3,915
3,911
3,906
3,885
3,868
Credit cards, unsecured loans and other retail lending
19,001
19,357
19,284
19,201
17,445
13,785
Wholesale loans
142,804
145,097
144,688
143,967
140,402
135,764
Stage 1 Model ECL (£m)
Home loans
2
2
2
2
3
3
Credit cards, unsecured loans and other retail lending
221
157
164
173
254
332
Wholesale loans
219
189
200
216
250
282
Stage 1 Coverage (%)
Home loans
0.1
0.1
0.1
0.1
0.1
0.1
Credit cards, unsecured loans and other retail lending
1.2
0.8
0.9
0.9
1.5
2.4
Wholesale loans
0.2
0.1
0.1
0.2
0.2
0.2
Stage 2 Model exposure (£m)
Home loans
228
219
222
227
249
266
Credit cards, unsecured loans and other retail lending
1,991
1,584
1,683
1,793
3,605
7,331
Wholesale loans
29,124
26,831
27,240
27,961
31,525
36,163
Stage 2 Model ECL (£m)
Home loans
12
10
10
11
18
24
Credit cards, unsecured loans and other retail lending
365
264
295
333
599
2,278
Wholesale loans
506
395
420
462
712
1,229
Stage 2 Coverage (%)
Home loans
5.3
4.6
4.5
4.8
7.2
9.0
Credit cards, unsecured loans and other retail lending
18.3
16.7
17.5
18.6
16.6
31.1
Wholesale loans
1.7
1.5
1.5
1.7
2.3
3.4
Stage 3 Model exposure (£m)
Home loans
610
610
610
610
610
610
Credit cards, unsecured loans and other retail lending
1,028
1,028
1,028
1,028
1,028
1,028
Wholesale loans a
—
—
—
—
—
—
Stage 3 Model ECL (£m)
Home loans
297
290
292
296
310
320
Credit cards, unsecured loans and other retail lending
696
685
690
696
710
722
Wholesale loans a
—
—
—
—
—
—
Stage 3 Coverage (%)
Home loans
48.7
47.5
47.9
48.5
50.8
52.5
Credit cards, unsecured loans and other retail lending
67.7
66.6
67.1
67.7
69.1
70.2
Wholesale loans a
—
—
—
—
—
—
Total Model ECL (£m)
Home loans
311
302
304
309
331
347
Credit cards, unsecured loans and other retail lending
1,282
1,106
1,149
1,202
1,563
3,332
Wholesale loans a
725
584
620
678
962
1,511
Total ECL
2,318
1,992
2,073
2,189
2,856
5,190
Note
a Material wholesale loan defaults are individually assessed across different recovery strategies. As a result, ECL of £463m is reported as individually assessed impairments in
the table below.
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Reconciliation to total ECL
£m
Total model ECL
2,318
ECL from individually assessed impairments
463
ECL from non-modelled and other management adjustments a
1,217
Total ECL
3,998
Note
a Includes £1.1bn of post model adjustments of which £0.1 b n is included as part of the total model ECL and £0.2bn ECL from non-modelled exposures.
The dispersion of results around the Baseline is an indication of uncertainty around the future projections. The disclosure highlights the results of the
alternative scenarios enabling the reader to understand the extent of the impact on exposure and ECL from the upside/downside scenarios.
Consequently, the use of five scenarios with associated weightings results in a total weighted ECL uplift from the Baseline ECL of 5.9%, largel y driven by
credit card losses which have more linear loss profiles than wholesale loan positions.
Home loans: Total weighted ECL of £311m represents a 0.6% increase over the Baseline ECL (£309m) reflecting the nature of the Italy portfolio.
Credit cards, unsecured loans and other retail lending: Total weighted ECL of £1,282m represents a 6.7% increase over the Baseline ECL (£1,202m)
reflecting the range of economic scenarios used, mainly impacted by unemployment and key retail variables. Total ECL increases to £3,332m under the
Downside 2 scenario, mainly driven by Stage 2, where coverage rates increase to 31.1% from a weighted scenario approach of 18.3% and a £5.3b n
increase in model exposure that meets the Significant Increase in Credit Risk criteria and transitions from Stage 1t o Stage 2.
Wholesale loans: Total weighted ECL of £725m represents a 6.9% increase over the Baseline ECL (£678m) reflecting the range of economic scenarios
used, with exposures in the Investment Bank particularly sensitive to the Downside 2 scenario.
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Scenarios
As at 31 December 2020
Weighted
Upside 2
Upside 1
Baseline
Downside 1
Downside 2
Stage 1 Model exposure (£m)
Home loans
4,404
4,422
4,416
4,407
4,387
4,365
Credit cards, unsecured loans and other retail lending
24,980
24,929
25,097
24,820
24,411
24,247
Wholesale loans
115,949
121,769
120,741
118,930
113,027
101,759
Stage 1 Model ECL (£m)
Home loans
4
4
4
4
5
5
Credit cards, unsecured loans and other retail lending
236
187
204
230
258
263
Wholesale loans
219
239
231
205
218
221
Stage 1 Coverage (%)
Home loans
0.1
0.1
0.1
0.1
0.1
0.1
Credit cards, unsecured loans and other retail lending
0.9
0.8
0.8
0.9
1.1
1.1
Wholesale loans
0.2
0.2
0.2
0.2
0.2
0.2
Stage 2 Model exposure (£m)
Home loans
557
539
545
554
575
597
Credit cards, unsecured loans and other retail lending
3,171
2,111
2,462
3,215
4,721
5,796
Wholesale loans
29,834
24,015
25,043
26,853
32,757
44,024
Stage 2 Model ECL (£m)
Home loans
33
31
31
32
36
40
Credit cards, unsecured loans and other retail lending
512
327
382
481
796
1,045
Wholesale loans
1,358
922
1,010
1,174
1,683
2,751
Stage 2 Coverage (%)
Home loans
5.9
5.8
5.7
5.8
6.3
6.7
Credit cards, unsecured loans and other retail lending
16.1
15.5
15.5
15.0
16.9
18.0
Wholesale loans
4.6
3.8
4.0
4.4
5.1
6.2
Stage 3 Model exposure (£m)
Home loans
728
728
728
728
728
728
Credit cards, unsecured loans and other retail lending
1,279
1,279
1,279
1,279
1,279
1,279
Wholesale loans a
863
863
863
863
863
863
Stage 3 Model ECL (£m)
Home loans
298
278
281
284
306
363
Credit cards, unsecured loans and other retail lending
1,190
1,170
1,180
1,191
1,211
1,210
Wholesale loans a
25
20
21
23
29
40
Stage 3 Coverage (%)
Home loans
40.9
38.2
38.6
39.0
42.0
49.9
Credit cards, unsecured loans and other retail lending
93.0
91.5
92.3
93.1
94.7
94.6
Wholesale loans a
2.9
2.3
2.4
2.7
3.4
4.6
Total Model ECL (£m)
Home loans
335
313
316
320
347
408
Credit cards, unsecured loans and other retail lending
1,938
1,684
1,766
1,902
2,265
2,518
Wholesale loans a
1,602
1,181
1,262
1,402
1,930
3,012
Total ECL
3,875
3,178
3,344
3,624
4,542
5,938
Note
a Material wholesale loan defaults are individually assessed across different recovery strategies. As a result, ECL of £835m is reported as individually assessed impairments in
the table below.
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Reconciliation to total ECL a
£m
Total model ECL
3,875
ECL from individually assessed impairments
835
ECL from non-modelled and other management adjustments
1,125
Total ECL
5,835
Note
a Includes £0.9b n of post model adjustment and £0.2b n ECL from non-model exposures.
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Analysis of the concentration of credit risk
A concentration of credit risk exists when a number of counterparties are located in a common geographical region or are engaged in similar activities
and have similar economic characteristics that would cause their ability to meet contractual obligations to be similarly affected by changes in economic
or other conditions. Barclays Bank Group implements limits on concentrations in order to mitigate the risk. The analyses of credit risk concentrations
presented below are based on the location of the counterparty or customer or the industry in which they are engaged.
Geographic concentrations
Exposure is concentrated in the Americas 44% (2020: 41%), in the UK 25% (2020: 25%) and Europe 24% (2020: 26%).
Credit risk concentrations by geography (audited)
Barclays Bank Group
United
Kingdom
Americas
Europe
Asia
Africa and
Middle East
Total
As at 31 December 2021
£m
£m
£m
£m
£m
£m
On-balance sheet:
Cash and balances at central banks
45,470
38,735
76,846
7,789
245
169,085
Cash collateral and settlement balances
30,107
28,272
21,754
7,210
742
88,085
Loans and advances at amortised cost
62,269
50,718
23,576
4,775
3,921
145,259
Reverse repurchase agreements and other similar secured lending
9
123
351
2,508
186
3,177
Trading portfolio assets
12,852
29,478
15,062
4,943
890
63,225
Financial assets at fair value through the income statement
26,096
95,456
30,080
21,798
9,998
183,428
Derivative financial instruments
78,449
91,992
75,245
14,709
1,896
262,291
Financial assets at fair value through other comprehensive income
4,525
20,750
15,603
4,666
363
45,907
Other assets
747
224
17
6
—
994
Total on-balance sheet
260,524
355,748
258,534
68,404
18,241
961,451
Off-balance sheet:
Contingent liabilities
7,926
10,329
3,957
1,131
403
23,746
Loan commitments
46,616
192,270
38,567
5,079
1,919
284,451
Total off-balance sheet
54,542
202,599
42,524
6,210
2,322
308,197
Total
315,066
558,347
301,058
74,614
20,563
1,269,648
As at 31 December 2020
On-balance sheet:
Cash and balances at central banks
31,235
36,063
69,962
17,987
655
155,902
Cash collateral and settlement balances
30,261
27,255
30,105
9,487
508
97,616
Loans and advances at amortised cost
61,754
40,403
23,931
4,859
3,320
134,267
Reverse repurchase agreements and other similar secured lending
10
152
323
8,285
211
8,981
Trading portfolio assets
9,787
31,003
16,861
5,947
946
64,544
Financial assets at fair value through the income statement
31,745
88,302
25,706
14,742
7,524
168,019
Derivative financial instruments
93,685
90,796
101,099
14,532
2,581
302,693
Financial assets at fair value through other comprehensive income
6,921
19,451
22,138
3,276
115
51,901
Other assets
392
185
37
—
—
614
Total on-balance sheet
265,790
333,610
290,162
79,115
15,860
984,537
Off-balance sheet:
Contingent liabilities
5,200
10,121
3,809
1,222
580
20,932
Loan commitments
46,746
175,893
36,713
4,132
1,538
265,022
Total off-balance sheet
51,946
186,014
40,522
5,354
2,118
285,954
Total
317,736
519,624
330,684
84,469
17,978
1,270,491
Risk review
Risk performance
Credit risk
home.barclays/annualreport
Barclays Bank PLC Annual Report
86
Credit risk concentrations by geography (audited)
Barclays Bank PLC
United
Kingdom
Americas
Europe
Asia
Africa and
Middle East
Total
As at 31 December 2021
£m
£m
£m
£m
£m
£m
On-balance sheet:
Cash and balances at central banks
45,470
35,829
56,056
7,364
245
144,964
Cash collateral and settlement balances
40,278
20,257
10,270
4,121
645
75,571
Loans and advances at amortised cost
144,342
30,232
16,760
5,653
2,795
199,782
Reverse repurchase agreements and other similar secured lending
11
491
922
3,372
186
4,982
Trading portfolio assets
12,672
20,092
9,010
2,879
853
45,506
Financial assets at fair value through the income statement
83,822
79,636
34,951
28,245
9,785
236,439
Derivative financial instruments
88,631
72,823
56,779
14,283
1,893
234,409
Financial assets at fair value through other comprehensive income
4,524
20,524
14,123
4,629
363
44,163
Other assets
970
25
12
10
1
1,018
Total on-balance sheet
420,720
279,909
198,883
70,556
16,766
986,834
Off-balance sheet:
Contingent liabilities
32,496
12,491
9,310
1,085
392
55,774
Loan commitments
44,850
126,170
17,558
5,001
1,524
195,103
Total off-balance sheet
77,346
138,661
26,868
6,086
1,916
250,877
Total
498,066
418,570
225,751
76,642
18,682
1,237,711
As at 31 December 2020
On-balance sheet:
Cash and balances at central banks
31,235
32,376
51,306
17,815
654
133,386
Cash collateral and settlement balances
34,134
28,329
18,323
6,475
462
87,723
Loans and advances at amortised cost
141,961
23,611
15,574
7,764
2,628
191,538
Reverse repurchase agreements and other similar secured lending
10
2
1,756
9,556
211
11,535
Trading portfolio assets
9,530
17,812
11,241
4,214
886
43,683
Financial assets at fair value through the income statement
75,052
73,769
30,176
16,487
7,464
202,948
Derivative financial instruments
101,898
79,020
99,398
14,236
2,577
297,129
Financial assets at fair value through other comprehensive income
6,570
19,450
20,936
3,237
115
50,308
Other assets
703
20
10
7
1
741
Total on-balance sheet
401,093
274,389
248,720
79,791
14,998
1,018,991
Off-balance sheet:
Contingent Liabilities a
26,827
12,290
1,574
1,173
553
42,417
Loan Commitments
43,908
117,490
17,168
4,042
1,154
183,762
Total off-balance sheet
70,735
129,780
18,742
5,215
1,707
226,179
Total
471,828
404,169
267,462
85,006
16,705
1,245,170
Note
a.Barclays Bank PLC has issued £14.5bn (2020: £13.9bn) of guarantees to its subsidiaries and other subsidiaries of Barclays PLC. These guarantees were not reported in prior
periods and the comparatives have been restated. Barclays Bank Group has issued £1.7bn (2020: £2.6bn) of guarantees that have been provided to subsidiaries of Barclays
PLC outside the Barclays Bank Group. These guarantees have not been reported in the prior periods and the comparatives have not been restated.
Risk review
Risk performance
Credit risk
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87
Industry concentrations
Total exposures concentrated in banks and other financial institutions is 48% (2020: 51%), predominantly within derivative financial instruments and
financial assets. The proportion of the overall exposure concentrated in governments and central banks is 22% (2020: 21%). Further details on material
and emerging risks can be found on pages 36 to 48.
Credit risk concentrations by industry (audited)
Barclays Bank Group
Banks
Other
financial
insti-
tutions
Manu-
facturing
Const-
ruction
and
property
Govern-
ment and
central
bank
Energy
and
water
Wholesale
and retail
distribution
and leisure
Business
and other
services
Home
loans
Cards,
unsecured
loans and
other
personal
lending
Other
Total
As at 31 December 2021
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
On-balance sheet:
Cash and balances at
central banks
28
—
—
—
169,057
—
—
—
—
—
—
169,085
Cash collateral and
settlement balances
14,605
61,252
320
79
10,684
390
60
354
—
—
341
88,085
Loans and advances at
amortised cost
7,955
33,563
5,821
13,714
15,462
4,244
7,266
13,881
10,985
26,477
5,891
145,259
Reverse repurchase
agreements and other
similar secured lending
595
2,049
—
—
533
—
—
—
—
—
—
3,177
Trading portfolio assets
2,560
8,818
4,881
1,048
32,483
4,043
1,734
4,716
—
—
2,942
63,225
Financial assets at fair value
through the income
statement
26,239
131,232
763
5,444
13,935
76
181
3,547
1,595
—
416
183,428
Derivative financial
instruments
120,607
117,050
4,168
1,898
7,233
3,544
1,172
2,825
—
—
3,794
262,291
Financial assets at fair value
through other
comprehensive income
9,942
2,972
—
514
31,975
—
—
444
—
—
60
45,907
Other assets
401
474
1
—
8
—
—
105
—
—
5
994
Total on-balance sheet
182,932
357,410
15,954
22,697
281,370
12,297
10,413
25,872
12,580
26,477
13,449
961,451
Off-balance sheet:
Contingent liabilities
1,005
7,772
3,080
1,342
1,092
3,284
1,182
3,118
—
73
1,798
23,746
Loan commitments
1,340
53,212
42,434
15,752
1,360
26,447
15,811
25,201
341
76,759
25,794
284,451
Total off-balance sheet
2,345
60,984
45,514
17,094
2,452
29,731
16,993
28,319
341
76,832
27,592
308,197
Total
185,277
418,394
61,468
39,791
283,822
42,028
27,406
54,191
12,921
103,309
41,041
1,269,648
As at 31 December 2020
On-balance sheet:
Cash and balances at
central banks
3
—
—
—
155,899
—
—
—
—
—
—
155,902
Cash collateral and
settlement balances
17,961
66,696
375
35
10,828
871
30
576
—
—
244
97,616
Loans and advances at
amortised cost
8,649
24,766
7,122
12,889
13,759
4,554
7,814
13,528
11,193
23,955
6,038
134,267
Reverse repurchase
agreements and other
similar secured lending
656
7,964
—
—
361
—
—
—
—
—
—
8,981
Trading portfolio assets
2,752
11,464
4,104
516
35,607
3,052
1,883
2,625
—
—
2,541
64,544
Financial assets at fair value
through the income
statement
22,766
131,929
603
2,481
5,519
13
64
3,479
971
—
194
168,019
Derivative financial
instruments
155,986
116,421
4,126
2,725
11,649
3,288
1,235
2,496
—
—
4,767
302,693
Financial assets at fair value
through other
comprehensive income
13,003
4,258
1
333
33,774
—
—
527
—
—
5
51,901
Other assets
303
193
5
3
1
10
1
95
—
—
3
614
Total on-balance sheet
222,079
363,691
16,336
18,982
267,397
11,788
11,027
23,326
12,164
23,955
13,792
984,537
Off-balance sheet:
Contingent liabilities
1,150
5,501
3,187
1,260
1,028
3,223
978
2,283
—
155
2,167
20,932
Loan commitments
1,773
51,900
39,447
12,843
1,398
25,766
16,626
24,001
134
69,646
21,488
265,022
Total off-balance sheet
2,923
57,401
42,634
14,103
2,426
28,989
17,604
26,284
134
69,801
23,655
285,954
Total
225,002
421,092
58,970
33,085
269,823
40,777
28,631
49,610
12,298
93,756
37,447
1,270,491
Risk review
Risk performance
Credit risk
home.barclays/annualreport
Barclays Bank PLC Annual Report
88
Credit risk concentrations by industry (audited)
Barclays Bank PLC
Banks
Other
financial
insti-
tutions
Manu-
facturing
Const-
ruction
and
property
Govern-
ment and
central
bank
Energy
and
water
Wholesale
and retail
distribution
and leisure
Business
and other
services
Home
loans
Cards,
unsecured
loans and
other
personal
lending
Other
Total
As at 31 December 2021
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
On-balance sheet:
Cash and balances at
central banks
2
—
—
—
144,962
—
—
—
—
—
—
144,964
Cash collateral and
settlement balances
11,687
53,084
273
74
9,873
183
46
135
—
—
216
75,571
Loans and advances at
amortised cost
13,186
114,520
5,410
12,284
15,090
3,419
6,781
12,438
5,979
5,345
5,330
199,782
Reverse repurchase
agreements and other
similar secured lending
1,073
3,376
—
—
533
—
—
—
—
—
—
4,982
Trading portfolio assets
1,691
4,081
4,344
941
22,429
3,968
1,625
4,010
—
—
2,417
45,506
Financial assets at fair value
through the income
statement
29,023
184,547
610
5,433
12,300
16
149
2,691
1,303
—
367
236,439
Derivative financial
instruments
115,445
99,649
3,616
1,759
4,232
2,581
1,106
2,700
—
—
3,321
234,409
Financial assets at fair value
through other
comprehensive income
8,499
2,972
—
514
31,674
—
—
443
—
—
61
44,163
Other assets
412
547
—
—
—
—
—
59
—
—
—
1,018
Total on-balance sheet
181,018
462,776
14,253
21,005
241,093
10,167
9,707
22,476
7,282
5,345
11,712
986,834
Off-balance sheet:
Contingent Liabilities
9,282
33,733
2,096
1,076
1,092
2,960
1,043
2,892
—
47
1,553
55,774
Loan commitments
1,216
56,124
36,469
14,708
1,360
22,303
14,806
23,477
62
1,592
22,986
195,103
Total off-balance sheet
10,498
89,857
38,565
15,784
2,452
25,263
15,849
26,369
62
1,639
24,539
250,877
Total
191,516
552,633
52,818
36,789
243,545
35,430
25,556
48,845
7,344
6,984
36,251
1,237,711
As at 31 December 2020
On-balance sheet:
Cash and balances at
central banks
—
—
—
—
133,386
—
—
—
—
—
—
133,386
Cash collateral and
settlement balances
19,530
57,176
312
34
9,626
347
28
506
—
—
164
87,723
Loans and advances at
amortised cost
13,321
106,865
6,606
12,271
13,411
4,031
7,488
11,763
5,287
4,688
5,807
191,538
Reverse repurchase
agreements and other
similar secured lending
1,939
9,235
—
—
361
—
—
—
—
—
—
11,535
Trading portfolio assets
1,544
5,399
3,823
438
23,337
2,914
1,743
2,298
—
—
2,187
43,683
Financial assets at fair value
through the income
statement
24,164
167,811
472
2,160
5,084
—
63
2,501
637
—
56
202,948
Derivative financial
instruments
170,453
104,384
3,777
2,481
6,197
2,255
1,154
2,296
—
—
4,132
297,129
Financial assets at fair value
through other
comprehensive income
11,824
4,258
1
333
33,360
—
—
527
—
—
5
50,308
Other assets
561
127
—
—
—
—
—
53
—
—
—
741
Total on-balance sheet
243,336
455,255
14,991
17,717
224,762
9,547
10,476
19,944
5,924
4,688
12,351
1,018,991
Off-balance sheet:
Contingent Liabilities a
5,729
24,078
2,081
918
1,028
2,871
912
2,054
—
61
2,685
42,417
Loan commitments
1,537
54,469
35,222
11,783
1,398
21,258
15,327
22,755
29
1,567
18,417
183,762
Total off-balance sheet
7,266
78,547
37,303
12,701
2,426
24,129
16,239
24,809
29
1,628
21,102
226,179
Total
250,602
533,802
52,294
30,418
227,188
33,676
26,715
44,753
5,953
6,316
33,453
1,245,170
Note
a.Barclays Bank PLC has issued £14.5bn (2020: £13.9bn) of guarantees to its subsidiaries and other subsidiaries of Barclays PLC. These guarantees were not reported in prior
periods and the comparatives have been restated. Barclays Bank Group has issued £1.7bn (2020: £2.6bn) of guarantees that have been provided to subsidiaries of Barclays
PLC outside the Barclays Bank Group. These guarantees have not been reported in the prior periods and the comparatives have not been restated
Risk review
Risk performance
Credit risk
home.barclays/annualreport
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89
Approach to management and representation of credit quality
Asset credit quality
The credit quality distribution is based on the IFRS 9 12 month probability of default (PD) at the reporting date to ensure comparability with other ECL
disclosures in Expected Credit Losses section on pages 64 to 74.
The Barclays Bank Group uses the following internal measures to determine credit quality for loans:
Default Grade
Retail and Wholesale
lending
Probability of default
Credit Quality Description
1-3
0.0 to < 0.05%
Strong
4-5
0.05 to < 0.15%
6-8
0.15 to < 0.30%
9-11
0.30 to < 0.60%
12-14
0.60 to < 2.15%
Satisfactory
15-19
2.15 to < 10%
19
10 to < 11.35%
20-21
11.35% to < 100%
Higher Risk
22
100%
Credit Impaired
For retail clients, a range of analytical tools is used to derive the probability of default of clients at inception and on an ongoing basis.
These credit quality descriptions can be summarised as follows:
Strong: there is a very high likelihood of the asset being recovered in full.
Satisfactory: while there is a high likelihood that the asset will be recovered and therefore, of no cause for concern to the Barclays Bank Group, the asset
may not be collateralised, or may relate to unsecured retail facilities. At the lower end of this grade there are customers that are being more carefully
monitored, for example, corporate customers which are indicating some evidence of deterioration, mortgages with a high loan to value, and unsecured
retail loans operating outside normal product guidelines.
Higher risk: there is concern over the obligor’s ability to make payments when due. However, these have not yet converted to actual delinquency. There
may also be doubts over the value of collateral or security provided. However, the borrower or counterparty is continuing to make payments when due
and is expected to settle all outstanding amounts of principal and interest.
Debt securities
For assets held at fair value, the carrying value on the balance sheet will include, among other things, the credit risk of the issuer. Most listed and some
unlisted securities are rated by external rating agencies. The Barclays Bank Group mainly uses external credit ratings provided by Standard & Poor’s,
Fitch or Moody’s. Where such ratings are not available or are not current, the Barclays Bank Group will use its own internal ratings for the securities.
Balance sheet credit quality
The following tables present the credit quality of Barclays Bank Group assets exposed to credit risk.
Overview
As at 31 December 2021, the ratio of the Barclays Bank Group’s on-balance sheet assets classified as strong (0.0 < 0.60%) remained stable at 86%
(2020: 86%) of total assets exposed to credit risk.
Risk review
Risk performance
Credit risk
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Balance sheet credit quality (audited)
Barclays Bank Group
PD Range
0.0 to
<0.60%
0.60 to
<11.35%
11.35% to
100%
Total
0.0 to
<0.60%
0.60 to
<11.35%
11.35% to
100%
Total
As at 31 December 2021
£m
£m
£m
£m
%
%
%
%
Cash and balances at central banks
169,085
—
—
169,085
100
—
—
100
Cash collateral and settlement balances
78,881
9,194
10
88,085
90
10
—
100
Loans and advances at amortised cost
Home loans
9,519
809
657
10,985
87
7
6
100
Credit cards, unsecured loans and other retail lending
18,460
6,178
1,322
25,960
71
24
5
100
Wholesale loans
78,239
26,992
3,083
108,314
72
25
3
100
Total loans and advances at amortised cost
106,218
33,979
5,062
145,259
73
23
4
100
Reverse repurchase agreements and other similar
secured lending
3,091
86
—
3,177
97
3
—
100
Trading portfolio assets:
Debt securities
44,488
5,735
477
50,700
88
11
1
100
Traded loans
2,172
10,144
209
12,525
17
81
2
100
Total trading portfolio assets
46,660
15,879
686
63,225
74
25
1
100
Financial assets at fair value through the income
statement:
Loans and advances
16,977
18,896
28
35,901
47
53
—
100
Debt securities
1346
858
52
2,256
60
38
2
100
Reverse repurchase agreements
108,609
36,047
530
145,186
75
25
—
100
Other financial assets
67
18
—
85
79
21
—
100
Total financial assets at fair value through the
income statement
126,999
55,819
610
183,428
70
30
—
100
Derivative financial instruments
246,347
15,678
266
262,291
94
6
—
100
Financial assets at fair value through other
comprehensive income
45,901
6
—
45,907
100
—
—
100
Other assets
948
46
—
994
95
5
—
100
Total on-balance sheet
824,130
130,687
6,634
961,451
86
13
1
100
As at 31 December 2020
Cash and balances at central banks
155,902
—
—
155,902
100
—
—
100
Cash collateral and settlement balances
86,882
10,725
9
97,616
89
11
—
100
Loans and advances at amortised cost
Home loans
7,582
2,840
771
11,193
68
25
7
100
Credit cards, unsecured loans and other retail lending
10,742
11,259
1,367
23,368
46
48
6
100
Wholesale loans
75,672
20,828
3,206
99,706
76
21
3
100
Total loans and advances at amortised cost
93,996
34,927
5,344
134,267
70
26
4
100
Reverse repurchase agreements and other similar
secured lending
8,969
12
—
8,981
100
—
—
100
Trading portfolio assets:
Debt securities
51,109
4,871
216
56,196
91
9
—
100
Traded loans
704
5,107
2,537
8,348
9
61
30
100
Total trading portfolio assets
51,813
9,978
2,753
64,544
80
16
4
100
Financial assets at fair value through the income
statement:
Loans and advances
13,174
14,232
43
27,449
48
52
—
100
Debt securities
1,136
515
46
1,697
67
30
3
100
Reverse repurchase agreements
96,318
41,566
674
138,558
70
30
—
100
Other financial assets
302
13
—
315
96
4
—
100
Total financial assets at fair value through the
income statement
110,930
56,326
763
168,019
66
34
—
100
Derivative financial instruments
282,864
19,352
477
302,693
94
6
—
100
Financial assets at fair value through other
comprehensive income
51,893
8
—
51,901
100
—
—
100
Other assets
572
42
—
614
93
7
—
100
Total on-balance sheet
843,821
131,370
9,346
984,537
86
13
1
100
Risk review
Risk performance
Credit risk
home.barclays/annualreport
Barclays Bank PLC Annual Report
91
Balance sheet credit quality (audited)
Barclays Bank PLC
PD Range
0.0 to
<0.60%
0.60 to
<11.35%
11.35% to
100%
Total
0.0 to
<0.60%
0.60 to
<11.35%
11.35% to
100%
Total
As at 31 December 2021
£m
£m
£m
£m
%
%
%
%
Cash and balances at central banks
144,964
—
—
144,964
100
—
—
100
Cash collateral and settlement balances
70,264
5,301
6
75,571
93
7
—
100
Loans and advances at amortised cost
Home loans
5,343
219
420
5,982
89
4
7
100
Credit cards, unsecured loans and other retail lending
3,997
756
155
4,908
82
15
3
100
Wholesale loans
160,262
25,717
2,913
188,892
84
14
2
100
Total loans and advances at amortised cost
169,602
26,692
3,488
199,782
85
13
2
100
Reverse repurchase agreements and other similar
secured lending
4,896
86
—
4,982
98
2
—
100
Trading portfolio assets:
Debt securities
28,100
4,952
465
33,517
84
15
1
100
Traded loans
2,058
9,728
203
11,989
17
81
2
100
Total trading portfolio assets
30,158
14,680
668
45,506
66
32
2
100
Financial assets at fair value through the income
statement:
Loans and advances
36,709
8,600
2
45,311
81
19
—
100
Debt securities
2,443
574
36
3,053
80
19
1
100
Reverse repurchase agreements
155,374
32,158
521
188,053
83
17
—
100
Other financial assets
22
—
—
22
100
—
—
100
Total financial assets at fair value through the
income statement
194,548
41,332
559
236,439
83
17
—
100
Derivative financial instruments
220,905
13,239
265
234,409
94
6
—
100
Financial assets at fair value through other
comprehensive income
44,157
6
—
44,163
100
—
—
100
Other assets
978
40
—
1,018
96
4
—
100
Total on-balance sheet
880,472
101,376
4,986
986,834
89
10
1
100
As at 31 December 2020
Cash and balances at central banks
133,386
—
—
133,386
100
—
—
100
Cash collateral and settlement balances
81,327
6,392
4
87,723
93
7
—
100
Loans and advances at amortised cost
Home loans
4,630
140
528
5,298
87
3
10
100
Credit cards, unsecured loans and other retail lending
3,228
811
149
4,188
77
19
4
100
Wholesale loans
159,177
19,973
2,902
182,052
87
11
2
100
Total loans and advances at amortised cost
167,035
20,924
3,579
191,538
87
11
2
100
Reverse repurchase agreements and other similar
secured lending
11,523
12
—
11,535
100
—
—
100
Trading portfolio assets:
Debt securities
30,750
4,496
196
35,442
87
12
1
100
Traded loans
597
5,107
2,537
8,241
7
62
31
100
Total trading portfolio assets
31,347
9,603
2,733
43,683
72
22
6
100
Financial assets at fair value through the income
statement:
Loans and advances
29,272
6,833
12
36,117
81
19
—
100
Debt securities
1,836
257
46
2,139
86
12
2
100
Reverse repurchase agreements
126,667
37,384
619
164,670
77
23
—
100
Other financial assets
22
—
—
22
100
—
—
100
Total financial assets at fair value through the
income statement
157,797
44,474
677
202,948
78
22
—
100
Derivative financial instruments
278,882
17,775
472
297,129
94
6
—
100
Financial assets at fair value through other
comprehensive income
50,300
8
—
50,308
100
—
—
100
Other assets
720
21
—
741
97
3
—
100
Total on-balance sheet
912,317
99,209
7,465
1,018,991
89
10
1
100
Risk review
Risk performance
Credit risk
home.barclays/annualreport
Barclays Bank PLC Annual Report
92
Credit exposures by internal PD grade
The below tables represents credit risk profile by PD grade for loans and advances at amortised cost, contingent liabilities and loan commitments.
Stage 1 higher risk assets, presented gross of associated collateral held, are of weaker credit quality but have not significantly deteriorated since
origination.
IFRS 9 Stage 1 and Stage 2 classification is not dependent solely on the absolute probability of default but on elements that determine a Significant
Increase in Credit Risk (see Note 7 to the financial statements on page 167), including relative movement in probability of default since initial
recognition. There is therefore no direct relationship between credit quality and IFRS 9 stage classification.
Barclays Bank Group
As at 31 December 2021
Credit risk profile by internal PD grade for loans and advances at amortised cost (audited)
Gross carrying amount
Allowance for ECL
Net
exposure
Coverage
ratio
PD range
Credit quality
description
Stage 1
Stage 2
Stage 3
Total
Stage 1
Stage 2
Stage 3
Total
Grading
%
£m
£m
£m
£m
£m
£m
£m
£m
£m
%
1-3
0.0 to < 0.05%
Strong
52,756
855
—
53,611
280
6
—
286
53,325
0.5
4-5
0.05 to < 0.15%
Strong
17,797
211
—
18,008
6
2
—
8
18,000
—
6-8
0.15 to < 0.30%
Strong
10,764
1,220
—
11,984
15
7
—
22
11,962
0.2
9-11
0.30 to < 0.60%
Strong
21,865
1,136
—
23,001
55
15
—
70
22,931
0.3
12-14
0.60 to < 2.15%
Satisfactory
16,429
3,508
—
19,937
160
116
—
276
19,661
1.4
15-19
2.15 to < 10%
Satisfactory
6,653
4,995
—
11,648
169
302
—
471
11,177
4.0
19
10 to < 11.35%
Satisfactory
2,156
1,276
—
3,432
39
252
—
291
3,141
8.5
20-21
11.35 to < 100%
Higher Risk
593
3,196
—
3,789
72
319
—
391
3,398
10.3
22
100%
Credit Impaired
—
—
3,348
3,348
—
—
1,684
1,684
1,664
50.3
Total
129,013
16,397
3,348
148,758
796
1,019
1,684
3,499
145,259
2.4
As at 31 December 2020
Credit risk profile by internal PD grade for loans and advances at amortised cost (audited)
Gross carrying amount
Allowance for ECL
Net
exposure
Coverage
ratio
PD range
Credit quality
description
Stage 1
Stage 2
Stage 3
Total
Stage 1
Stage 2
Stage 3
Total
Grading
%
£m
£m
£m
£m
£m
£m
£m
£m
£m
%
1-3
0.0 to < 0.05%
Strong
36,388
689
—
37,077
2
3
—
5
37,072
—
4-5
0.05 to < 0.15%
Strong
17,008
627
—
17,635
17
4
—
21
17,614
0.1
6-8
0.15 to < 0.30%
Strong
13,667
2,463
—
16,130
34
52
—
86
16,044
0.5
9-11
0.30 to < 0.60%
Strong
21,049
2,432
—
23,481
88
127
—
215
23,266
0.9
12-14
0.60 to < 2.15%
Satisfactory
16,951
4,913
—
21,864
293
351
—
644
21,220
2.9
15-19
2.15 to < 10%
Satisfactory
5,264
6,661
—
11,925
183
651
—
834
11,091
7.0
19
10 to < 11.35%
Satisfactory
1,042
1,698
—
2,740
25
99
—
124
2,616
4.5
20-21
11.35 to < 100%
Higher Risk
435
2,927
—
3,362
43
625
—
668
2,694
19.9
22
100%
Credit Impaired
—
—
5,119
5,119
—
—
2,469
2,469
2,650
48.2
Total
111,804
22,410
5,119
139,333
685
1,912
2,469
5,066
134,267
3.6
As at 31 December 2021
Credit risk profile by internal PD grade for contingent liabilities a (audited)
Gross carrying amount
Allowance for ECL
Net
exposure
Coverage
ratio
PD range
Credit quality
description
Stage 1
Stage 2
Stage 3
Total
Stage 1
Stage 2
Stage 3
Total
Grading
%
£m
£m
£m
£m
£m
£m
£m
£m
£m
%
1-3
0.0 to < 0.05%
Strong
8,240
172
—
8,412
2
1
—
3
8,409
—
4-5
0.05 to < 0.15%
Strong
3,479
503
—
3,982
2
2
—
4
3,978
0.1
6-8
0.15 to < 0.30%
Strong
1,996
199
—
2,195
2
2
—
4
2,191
0.2
9-11
0.30 to < 0.60%
Strong
2,794
216
—
3,010
4
1
—
5
3,005
0.2
12-14
0.60 to < 2.15%
Satisfactory
1,990
286
—
2,276
19
8
—
27
2,249
1.2
15-19
2.15 to < 10%
Satisfactory
817
479
—
1,296
5
10
—
15
1,281
1.2
19
10 to < 11.35%
Satisfactory
607
254
—
861
21
42
—
63
798
7.3
20-21
11.35 to < 100%
Higher Risk
141
1,162
—
1,303
3
77
—
80
1,223
6.1
22
100%
Credit Impaired
—
—
180
180
—
—
1
1
179
0.6
Total
20,064
3,271
180
23,515
58
143
1
202
23,313
0.9
Risk review
Risk performance
Credit risk
home.barclays/annualreport
Barclays Bank PLC Annual Report
93
As at 31 December 2020
Credit risk profile by internal PD grade for contingent liabilities a (audited)
Gross carrying amount
Allowance for ECL
Net
exposure
Coverage
ratio
PD range
Credit quality
description
Stage 1
Stage 2
Stage 3
Total
Stage 1
Stage 2
Stage 3
Total
Grading
%
£m
£m
£m
£m
£m
£m
£m
£m
£m
%
1-3
0.0 to < 0.05%
Strong
5,502
188
—
5,690
1
—
—
1
5,689
—
4-5
0.05 to < 0.15%
Strong
2,765
428
—
3,193
3
2
—
5
3,188
0.2
6-8
0.15 to < 0.30%
Strong
1,468
165
—
1,633
3
4
—
7
1,626
0.4
9-11
0.30 to < 0.60%
Strong
3,524
552
—
4,076
5
33
—
38
4,038
0.9
12-14
0.60 to < 2.15%
Satisfactory
2,712
546
—
3,258
8
25
—
33
3,225
1.0
15-19
2.15 to < 10%
Satisfactory
305
398
—
703
7
21
—
28
675
4.0
19
10 to < 11.35%
Satisfactory
264
423
—
687
17
83
—
100
587
14.6
20-21
11.35 to < 100%
Higher Risk
40
769
—
809
—
61
—
61
748
7.5
22
100%
Credit Impaired
—
—
654
654
—
—
10
10
644
1.5
Total
16,580
3,469
654
20,703
44
229
10
283
20,420
1.4
As at 31 December 2021
Credit risk profile by internal PD grade for loan commitments a (audited)
Gross carrying amount
Allowance for ECL
Net
exposure
Coverage
ratio
PD range
Credit quality
description
Stage 1
Stage 2
Stage 3
Total
Stage 1
Stage 2
Stage 3
Total
Grading
%
£m
£m
£m
£m
£m
£m
£m
£m
£m
%
1-3
0.0 to < 0.05%
Strong
92,864
3,002
—
95,866
5
3
—
8
95,858
—
4-5
0.05 to < 0.15%
Strong
55,979
5,345
—
61,324
10
5
—
15
61,309
—
6-8
0.15 to < 0.30%
Strong
22,345
2,079
—
24,424
7
6
—
13
24,411
0.1
9-11
0.30 to < 0.60%
Strong
23,445
2,312
—
25,757
5
5
—
10
25,747
—
12-14
0.60 to < 2.15%
Satisfactory
23,189
3,240
—
26,429
79
23
—
102
26,327
0.4
15-19
2.15 to < 10%
Satisfactory
6,362
2,749
—
9,111
20
21
—
41
9,070
0.5
19
10 to < 11.35%
Satisfactory
10,270
2,964
—
13,234
8
13
—
21
13,213
0.2
20-21
11.35 to < 100%
Higher Risk
2,196
6,669
—
8,865
11
55
—
66
8,799
0.7
22
100%
Credit Impaired
—
—
870
870
—
—
21
21
849
2.4
Total
236,650
28,360
870
265,880
145
131
21
297
265,583
0.1
As at 31 December 2020
Credit risk profile by internal PD grade for loan commitments a (audited)
Gross carrying amount
Allowance for ECL
Net
exposure
Coverage
ratio
PD range
Credit quality
description
Stage 1
Stage 2
Stage 3
Total
Stage 1
Stage 2
Stage 3
Total
Grading
%
£m
£m
£m
£m
£m
£m
£m
£m
£m
%
1-3
0.0 to < 0.05%
Strong
52,522
5,311
—
57,833
3
1
—
4
57,829
—
4-5
0.05 to < 0.15%
Strong
62,677
5,730
—
68,407
11
8
—
19
68,388
—
6-8
0.15 to < 0.30%
Strong
41,621
6,260
—
47,881
15
20
—
35
47,846
0.1
9-11
0.30 to < 0.60%
Strong
25,461
6,187
—
31,648
14
19
—
33
31,615
0.1
12-14
0.60 to < 2.15%
Satisfactory
20,730
6,978
—
27,708
113
18
—
131
27,577
0.5
15-19
2.15 to < 10%
Satisfactory
3,621
2,991
—
6,612
23
44
—
67
6,545
1.0
19
10 to < 11.35%
Satisfactory
4,778
4,971
—
9,749
11
25
—
36
9,713
0.4
20-21
11.35 to < 100%
Higher Risk
750
3,775
—
4,525
5
115
—
120
4,405
2.7
22
100%
Credit Impaired
—
—
1,411
1,411
—
—
41
41
1,370
2.9
Total
212,160
42,203
1,411
255,774
195
250
41
486
255,288
0.2
Notes
a Excludes loan commitments and financial guarantees carried at fair value of £18.8bn (2020: £9.5bn) for Barclays Bank Group.
b Barclays Bank Group has issued £1.7bn (2020: £2.6bn) of guarantees that have been provided to subsidiaries of Barclays PLC outside the Barclays Bank Group. These
guarantees have not been reported in the prior periods and the comparatives have not been restated.
Risk review
Risk performance
Credit risk
home.barclays/annualreport
Barclays Bank PLC Annual Report
94
Barclays Bank PLC
As at 31 December 2021
Credit risk profile by internal PD grade for loans and advances at amortised cost (audited)
Gross carrying amount
Allowance for ECL
Net
exposure
Coverage
ratio
PD range
Credit quality
description
Stage 1
Stage 2
Stage 3
Total
Stage 1
Stage 2
Stage 3
Total
Grading
%
£m
£m
£m
£m
£m
£m
£m
£m
£m
%
1-3
0.0 to < 0.05%
Strong
113,131
533
—
113,664
5
1
—
6
113,658
—
4-5
0.05 to < 0.15%
Strong
14,859
176
—
15,035
—
1
—
1
15,034
—
6-8
0.15 to < 0.30%
Strong
8,541
949
—
9,490
13
3
—
16
9,474
0.2
9-11
0.30 to < 0.60%
Strong
30,377
1,106
—
31,483
37
10
—
47
31,436
0.1
12-14
0.60 to < 2.15%
Satisfactory
12,785
2,942
—
15,727
102
30
—
132
15,595
0.8
15-19
2.15 to < 10%
Satisfactory
4,464
3,938
—
8,402
34
57
—
91
8,311
1.1
19
10 to < 11.35%
Satisfactory
2,058
773
—
2,831
27
18
—
45
2,786
1.6
20-21
11.35 to < 100%
Higher Risk
203
2,403
—
2,606
3
77
—
80
2,526
3.1
22
100%
Credit Impaired
—
—
1,731
1,731
—
—
769
769
962
44.4
Total
186,418
12,820
1,731
200,969
221
197
769
1,187
199,782
0.6
As at 31 December 2020
Credit risk profile by internal PD grade for loans and advances at amortised cost (audited)
Gross carrying amount
Allowance for ECL
Net
exposure
Coverage
ratio
PD range
Credit quality
description
Stage 1
Stage 2
Stage 3
Total
Stage 1
Stage 2
Stage 3
Total
Grading
%
£m
£m
£m
£m
£m
£m
£m
£m
£m
%
1-3
0.0 to < 0.05%
Strong
121,776
482
—
122,258
4
—
—
4
122,254
—
4-5
0.05 to < 0.15%
Strong
13,138
598
—
13,736
7
3
—
10
13,726
0.1
6-8
0.15 to < 0.30%
Strong
10,575
2,292
—
12,867
16
14
—
30
12,837
0.2
9-11
0.30 to < 0.60%
Strong
16,456
1,861
—
18,317
58
41
—
99
18,218
0.5
12-14
0.60 to < 2.15%
Satisfactory
9,540
2,978
—
12,518
185
19
—
204
12,314
1.6
15-19
2.15 to < 10%
Satisfactory
2,198
4,170
—
6,368
46
171
—
217
6,151
3.4
19
10 to < 11.35%
Satisfactory
935
1,620
—
2,555
18
78
—
96
2,459
3.8
20-21
11.35 to < 100%
Higher Risk
109
1,794
—
1,903
2
217
—
219
1,684
11.5
22
100%
Credit Impaired
—
—
3,088
3,088
—
—
1,193
1,193
1,895
38.6
Total
174,727
15,795
3,088
193,610
336
543
1,193
2,072
191,538
1.1
As at 31 December 2021
Credit risk profile by internal PD grade for contingent liabilities a (audited)
Gross carrying amount
Allowance for ECL
Net
exposure
Coverage
ratio
PD range
Credit quality
description
Stage 1
Stage 2
Stage 3
Total
Stage 1
Stage 2
Stage 3
Total
Grading
%
£m
£m
£m
£m
£m
£m
£m
£m
£m
%
1-3
0.0 to < 0.05%
Strong
42,632
162
—
42,794
8
1
—
9
42,785
—
4-5
0.05 to < 0.15%
Strong
3,024
413
—
3,437
1
2
—
3
3,434
0.1
6-8
0.15 to < 0.30%
Strong
1,407
168
—
1,575
1
2
—
3
1,572
0.2
9-11
0.30 to < 0.60%
Strong
2,346
124
—
2,470
3
1
—
4
2,466
0.2
12-14
0.60 to < 2.15%
Satisfactory
1,663
242
—
1,905
19
8
—
27
1,878
1.4
15-19
2.15 to < 10%
Satisfactory
742
346
—
1,088
5
8
—
13
1,075
1.2
19
10 to < 11.35%
Satisfactory
607
253
—
860
21
42
—
63
797
7.3
20-21
11.35 to < 100%
Higher Risk
139
1,144
—
1,283
3
76
—
79
1,204
6.2
22
100%
Credit Impaired
—
131
131
—
—
1
1
130
0.8
Total
52,560
2,852
131
55,543
61
140
1
202
55,341
0.4
Risk review
Risk performance
Credit risk
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Barclays Bank PLC Annual Report
95
As at 31 December 2020
Credit risk profile by internal PD grade for contingent liabilities a (audited)
Gross carrying amount
Allowance for ECL
Net
exposure
Coverage
ratio
PD range
Credit quality
description
Stage 1
Stage 2
Stage 3
Total
Stage 1
Stage 2
Stage 3
Total
Grading
%
£m
£m
£m
£m
£m
£m
£m
£m
£m
%
1-3
0.0 to < 0.05%
Strong
28,850
188
—
29,038
1
—
—
1
29,037
—
4-5
0.05 to < 0.15%
Strong
2,962
378
—
3,340
2
2
—
4
3,336
0.1
6-8
0.15 to < 0.30%
Strong
1,203
117
—
1,320
2
2
—
4
1,316
0.3
9-11
0.30 to < 0.60%
Strong
2,694
294
—
2,988
3
12
—
15
2,973
0.5
12-14
0.60 to < 2.15%
Satisfactory
2,443
484
—
2,927
8
25
—
33
2,894
1.1
15-19
2.15 to < 10%
Satisfactory
204
288
—
492
5
16
—
21
471
4.3
19
10 to < 11.35%
Satisfactory
264
423
—
687
17
83
—
100
587
14.6
20-21
11.35 to < 100%
Higher Risk
40
733
—
773
—
56
—
56
717
7.2
22
100%
Credit Impaired
—
—
623
623
—
—
10
10
613
1.6
Total
38,660
2,905
623
42,188
38
196
10
244
41,944
0.6
As at 31 December 2021
Credit risk profile by internal PD grade for loan commitments a (audited)
Gross carrying amount
Allowance for ECL
Net
exposure
Coverage
ratio
PD range
Credit quality
description
Stage 1
Stage 2
Stage 3
Total
Stage 1
Stage 2
Stage 3
Total
Grading
%
£m
£m
£m
£m
£m
£m
£m
£m
£m
%
1-3
0.0 to < 0.05%
Strong
48,591
1,836
—
50,427
1
1
—
2
50,425
—
4-5
0.05 to < 0.15%
Strong
43,714
3,706
—
47,420
3
3
—
6
47,414
—
6-8
0.15 to < 0.30%
Strong
15,777
1,697
—
17,474
3
2
—
5
17,469
—
9-11
0.30 to < 0.60%
Strong
14,440
1,602
—
16,042
1
2
—
3
16,039
—
12-14
0.60 to < 2.15%
Satisfactory
15,731
2,541
—
18,272
60
9
—
69
18,203
0.4
15-19
2.15 to < 10%
Satisfactory
4,855
1,914
—
6,769
17
14
—
31
6,738
0.5
19
10 to < 11.35%
Satisfactory
10,249
2,790
—
13,039
8
11
—
19
13,020
0.1
20-21
11.35 to < 100%
Higher Risk
2,118
5,503
—
7,621
9
53
—
62
7,559
0.8
22
100%
Credit Impaired
—
—
747
747
—
—
21
21
726
2.8
Total
155,475
21,589
747
177,811
102
95
21
218
177,593
0.1
As at 31 December 2020
Credit risk profile by internal PD grade for loan commitments a (audited)
Gross carrying amount
Allowance for ECL
Net
exposure
Coverage
ratio
PD range
Credit quality
description
Stage 1
Stage 2
Stage 3
Total
Stage 1
Stage 2
Stage 3
Total
Grading
%
£m
£m
£m
£m
£m
£m
£m
£m
£m
%
1-3
0.0 to < 0.05%
Strong
51,130
4,419
—
55,549
2
1
—
3
55,546
—
4-5
0.05 to < 0.15%
Strong
39,752
4,158
—
43,910
6
4
—
10
43,900
—
6-8
0.15 to < 0.30%
Strong
14,155
4,716
—
18,871
7
13
—
20
18,851
0.1
9-11
0.30 to < 0.60%
Strong
14,240
4,303
—
18,543
9
12
—
21
18,522
0.1
12-14
0.60 to < 2.15%
Satisfactory
13,520
5,081
—
18,601
104
10
—
114
18,487
0.6
15-19
2.15 to < 10%
Satisfactory
2,395
1,949
—
4,344
18
29
—
47
4,297
1.1
19
10 to < 11.35%
Satisfactory
4,764
4,953
—
9,717
11
25
—
36
9,681
0.4
20-21
11.35 to < 100%
Higher Risk
698
3,464
—
4,162
3
115
—
118
4,044
2.8
22
100%
Credit Impaired
—
—
1,332
1,332
—
—
41
41
1,291
3.1
Total
140,654
33,043
1,332
175,029
160
209
41
410
174,619
0.2
Notes
a Excludes loan commitments and financial guarantees carried at fair value of £17.5 bn (2020: £9.0bn) for Barclays Bank PLC.
b Barclays Bank PLC has issued £14.5bn (2020: £13.9bn) of guarantees to its subsidiaries and other subsidiaries of Barclays PLC. These guarantees were not reported in prior
periods and the comparatives have been restated.
Risk review
Risk performance
Credit risk
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Barclays Bank PLC Annual Report
96
Analysis of specific portfolios and asset types
Credit cards, unsecured loans and other retail lending
The principal portfolios listed below accounted for 76% (2020: 77%) of Barclays Bank Group’s total credit cards, unsecured loans and other retail
lending.
Credit Cards and unsecured loans principal portfolio
Gross Exposure
30 Day Arrears,
excluding
recoveries book
90 Day Arrears,
excluding
recoveries book
Annualised
Gross Write-off
Rates
Annualised Net
Write-off Rates
£m
%
%
%
%
As at 31 December 2021
US cards
17,779
1.6
0.8
4.3
4.2
Germany consumer lending
3,559
1.5
0.7
0.9
0.8
As at 31 December 2020
US cards
16,845
2.5
1.4
5.6
5.6
Germany consumer lending
3,458
1.9
0.8
1.2
1.1
US cards: 30 and 90 day arrears rates improved and remain below pre-pandemic levels due to continued benefit from government support schemes
throughout the pandemic and industry payment deferrals that were made available to consumers.
Germany consumer lending: 30 and 90 day arrears rates reduced in 2021 due to improved payment behaviour of formerly high-risk customers as
unemployment eased, and the benefit from government support in the local market continued.
Government supported loans
Throughout the COVID-19 pandemic Barclays Group has supported its customers and clients by participating in the UK Government's Coronavirus
Business Interruption Loan Scheme (CBILs), Coronavirus Large Business Interruption Loan Scheme (CLBILs) and the Recovery Loan Scheme (RLS).
Government supported loans
Gross exposure
Impairment allowance
Impairment coverage
Government
guaranteed
exposure
Stage 1
Stage 2
Stage 3
Total
Modelled
Impairment
Management
adjustment
Impairment
post
Management
adjustment
Pre
Management
adjustment
Post
Management
adjustment
Total
£m
£m
£m
£m
£m
£m
£m
%
%
£m
As at 31 December 2021
Barclays International
CBILs
619
146
6
771
5
—
5
0.6
0.6
617
CLBILs
163
56
2
221
1
—
1
0.4
0.4
177
RLSs
1
—
—
1
—
—
—
4.7
4.7
1
Total
783
202
8
993
6
—
6
0.6
0.6
795
As at 31 December 2020
Barclays International
CBILs
846
112
1
959
12
—
12
1.2
1.2
768
CLBILs
184
23
8
215
2
—
2
0.8
0.8
171
RLSs
—
—
—
—
—
—
—
—
—
—
Total
1,030
135
9
1,174
14
—
14
1.2
1.2
939
The CBILs scheme was launched to provide financial support to smaller and medium-sized businesses and CLBILs for larger businesses in the UK who
may experience financial difficulties as a result of the COVID-19 outbreak. The RLS aims to help UK businesses access finance as they recover and grow
following the COVID-19 pandemic. These loans are guaranteed by the Government at 80% for CBILs, CLBILs and RLS as at the balance sheet date.
Risk review
Risk performance
Credit risk
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Barclays Bank PLC Annual Report
97
Summary of Contents
Page
■Market risk overview
99
Outlines key measures used to summarise the market risk profile of the
Barclays Bank Group such as VaR.
■Measures of market risk in the Barclays Bank Group and
accounting measures
99
■Summary of performance in the period
99
■Traded market risk
99
The Barclays Bank Group discloses details on management measures of
market risk. Total management VaR includes all trading positions and is
presented on a diversified basis by risk factor.
■Review of management measures
99
–The daily average, maximum and minimum values of
management VaR
99
–Business scenario stresses
100
This section also outlines the macroeconomic conditions modelled as
part of the Barclays Bank Group’s risk management framework.
Risk review
Risk performance
Market risk
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Barclays Bank PLC Annual Report
98
All disclosures in this section pages 99 to 100 are unaudited unless otherwise stated.
Overview
This section contains key statistics describing the market risk profile of the Barclays Bank Group:
•The market risk management section on page 52 provides a description of management VaR. Management measures are shown on page 99.
Measures of market risk in the Barclays Bank Group and accounting measures
Traded market risk measures such as VaR and balance sheet exposure measures have fundamental differences:
•Balance sheet measures show accruals-based balances or marked to market values as at the reporting date.
•VaR measures also take account of current marked to market values but, in addition, hedging effects between positions are considered.
•Market risk measures are expressed in terms of changes in value or volatilities as opposed to static values.
For these reasons, it is not possible to present direct reconciliations of traded market risk and accounting measures.
Summary of performance in the period
Average management VaR decreased by 39% to £19m (2020: £31m), driven by reduced risk taking, lower market volatility and the impact of a
methodology update in March 2021 which changed the historical lookback period of the VaR model from two years to one year. The methodology
change has increased the responsiveness of the model to changes over time in volatility levels in the lookback period.
Traded market risk review
Review of management measures
The following disclosures provide details of management measures of market risk.
The table below shows the total management VaR on a diversified basis by risk factor. Total management VaR includes all trading positions in CIB and
the supporting Barclays Bank Group Treasury desks.
Limits are applied against each risk factor VaR as well as total management VaR, which are then cascaded further by risk managers to each business.
The daily average, maximum and minimum values of management VaR
Management VaR (95%, one day) (audited)
2021
2020
Average
High
Low
Average
High
Low
For the year ended 31 December
£m
£m
£m
£m
£m
£m
Credit risk
14
30
7
20
38
10
Interest rate risk
7
14
4
10
17
6
Equity risk
9
29
4
13
35
6
Basis risk
5
10
3
9
14
7
Spread risk
4
6
3
5
9
3
Foreign exchange risk
4
16
1
4
7
2
Commodity risk
—
1
—
1
1
—
Inflation risk
3
5
2
2
3
1
Diversification effect a
(27)
n/a
n/a
(33)
n/a
n/a
Total management VaR
19
36
6
31
57
17
Note
a Diversification effects recognise that forecast losses from different assets or businesses are unlikely to occur concurrently, hence the expected aggregate loss is lower than
the sum of the expected losses from each area. Historical correlations between losses are taken into account in making these assessments. The high and low VaR figures
reported for each category did not necessarily occur on the same day as the high and low VaR reported as a whole. Consequently, a diversification effect balance for the
high and low VaR figures would not be meaningful and is therefore omitted from the above table.
Risk review
Risk performance
Market risk
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Barclays Bank PLC Annual Report
99
Barclays Bank Group Management VaR a (£m)
Business scenario stresses
As part of the Barclays Bank Group’s risk management framework, on a regular basis the performance of the trading business in hypothetical scenarios
characterised by severe macroeconomic conditions is modelled. Up to seven global scenarios are modelled on a regular basis, for example, a sharp
deterioration in liquidity, a slowdown in the global economy, global recession and a sharp increase in economic growth.
In 2021, the scenario analyses showed that the largest market risk related impacts would be due to a severe deterioration in financial liquidity and a
global recession.
Risk review
Risk performance
Market risk
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Barclays Bank PLC Annual Report
100
Summary of Contents
Page
Liquidity risk performance
■Liquidity risk overview
101
The risk that the firm is unable to meet its contractual or contingent
obligations or that it does not have the appropriate amount, tenor
and composition of funding and liquidity to support its assets.
This section provides an overview of the Barclays Bank Group’s
liquidity risk.
■Liquidity risk stress testing
102
■Contractual maturity of financial assets and liabilities
103
Provides details on the contractual maturity of all financial
instruments and other assets and liabilities.
Capital risk performance
■Capital risk overview
111
Capital risk is the risk that the firm has an insufficient level or
composition of capital to support its normal business activities and
to meet its regulatory capital requirements under normal operating
environments or stressed conditions (both actual and as defined for
internal planning or regulatory testing purposes). This also includes
the risk from the firm’s pension plans.
This section details Barclays Bank Group’s capital and leverage
position.
–Capital ratios
111
–Capital resources
111
–Capital Requirements Regulation (CRR) leverage ratio
111
■Foreign exchange risk
112
Barclays Bank Group discloses the two sources of
foreign exchange risk that it is exposed to.
–Transactional foreign currency exposure
112
–Translational foreign exchange exposure
112
–Functional currency of operations
112
■Pension risk review
113
A review focusing on the UK retirement fund, which represents the
majority of Barclays Bank Group’s total retirement benefit obligation.
–Assets
113
–Liabilities
113
–IAS 19 position
114
–Risk measurement
114
Interest rate risk in the banking book performance
■Interest rate risk in the banking book overview and summary of
performance
115
A description of the non-traded market risk framework is provided.
Barclays Bank Group discloses a sensitivity analysis on pre-tax net
interest income for non-trading financial assets and liabilities. The
analysis is carried out by currency.
Barclays Bank Group discloses the overall impact of a parallel shift in
interest rates on other comprehensive income and cash flow
hedges.
Barclays Bank Group measures the volatility of the value of the
FVOCI instruments in the liquidity pool through non-traded market
risk VaR.
■Net interest income sensitivity
115
■Analysis of equity sensitivity
116
■Volatility of the FVOCI portfolio in the liquidity pool
116
Risk review
Risk performance
Treasury and Capital risk
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Barclays Bank PLC Annual Report
101
Liqui dity risk
All disclosures in this section pages 102 to 110 are unaudited unless otherwise stated.
Overview
The efficient management of liquidity is essential to the Barclays Bank Group in order to retain the confidence of markets and maintain the sustainability
of the business. The liquidity risk control framework is used to manage all liquidity risk exposures under both BAU and stressed conditions. The
framework is designed to maintain liquidity resources that are sufficient in amount, quality and funding tenor profile to support the liquidity risk appetite
as expressed by the Barclays Bank PLC Board. The liquidity risk appetite is monitored against both internal and regulatory liquidity metrics.
For the purpose of liquidity management, Barclays Bank PLC and its subsidiary Barclays Capital Securities Limited, a UK broker dealer entity, are
monitored on a combined basis by the PRA under a Domestic Liquidity Sub-Group (Barclays Bank PLC DoLSub) arrangement.
Liquidity risk stress testing
The liquidity risk assessment measures the potential contractual and contingent stress outflows under a range of stress scenarios, which are then used
to determine the size of the liquidity pool that is immediately available to meet anticipated outflows if a stress occurs. The scenarios include a 30 day
Barclays-specific stress event, a 90 day market-wide stress event and a 30 day combined scenario consisting of both a Barclays specific and market-
wide stress event.
The Liquidity Coverage Ratio (LCR) requirement takes into account the relative stability of different sources of funding and potential incremental
funding requirements in a stress. The LCR is designed to promote short-term resilience of a bank’s liquidity risk profile by holding sufficient high quality
liquid assets to survive an acute stress scenario lasting for 30 days.
As at 31 December 2021, Barclays Bank PLC DoLSub held eligible liquid assets well above 100% of net stressed outflows to its internal and regulatory
requirements. The split of the liquidity pool between cash and deposits with central banks, government bonds and other eligible securities is broadly
similar to the Barclays Group.
A significant proportion of the liquidity pool is located in Barclays Bank PLC and Barclays Bank Ireland PLC. The residual portion of the liquidity pool,
which is predominantly in the US subsidiaries, is held against entity-specific stress outflows and local regulatory requirements.
The liquidity pool declined slightly to £205b n (December 2020: £206b n), while the LCR remained above the 100% regulatory requirement at 140%
(December 2020:145%). The liquidity pool movement was driven by further growth in deposits, borrowing from the Bank of England's Term Funding
Scheme with additional incentives for SMEs (TFSME) and an increase in wholesale funding, which were offset by an increase in business funding
consumption.
2021
2020
As at 31 December
£bn
£bn
Barclays Bank Group liquidity pool
205
206
%
%
Barclays Bank PLC DoLSub Liquidity Coverage Ratio
140
145
The Barclays Bank Group has direct access to US, European and Asian capital markets through its global investment banking operations and to long-
term investors through its clients worldwide. Key sources of wholesale funding include money markets, certificates of deposit, commercial paper,
medium term issuances (including structured notes) and securitisations. This funding capacity enables the Barclays Bank Group to maintain a stable
and diversified funding base.
The Barclays Bank Group also supports various central bank monetary initiatives, such as the Bank of England’s Term Funding Scheme (TFS) and Term
Funding Scheme with additional incentives for SMEs (TFSME), and the European Central Bank’s Targeted Long-Term Refinancing Operations (TLTRO).
These are reported under ‘repurchase agreements and other similar secured borrowing’ on the balance sheet. In 2021, Barclays Bank Group repaid the
remaining £1.4b n TFS balance outstanding at the beginning of the year, and drew an additional £3.4bn under TFSME and an additional £0.5bn under
TLTRO during the year; £7.0bn TFSME and £2.7bn TLTRO balances were outstanding at the year-end.
Risk review
Risk performance
Treasury and Capital risk
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Barclays Bank PLC Annual Report
102
Contractual maturity of financial assets and liabilities
The table below provides detail on the contractual maturity of all financial instruments and other assets and liabilities. Derivatives (other than those
designated in a hedging relationship) and trading portfolio assets and liabilities are included in the ‘on demand’ column at their fair value. Liquidity risk
on these items is not managed on the basis of contractual maturity since these items are not held for settlement according to such maturity and will
frequently be settled before contractual maturity at fair value. Derivatives designated in a hedging relationship are included according to their
contractual maturity.
Contractual maturity of financial assets and liabilities (audited)
Barclays Bank Group
On
demand
Not more
than three
months
Over three
months but
not more
than six
months
Over six
months but
not more
than nine
months
Over nine
months but
not more
than one
year
Over one
year
but not
more than
two years
Over two
years but
not more
than three
years
Over three
years but
not more
than five
years
Over five
years but
not more
than ten
years
Over ten
years
Total
As at 31 December 2021
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
Assets
Cash and balances at
central banks
168,881
204
—
—
—
—
—
—
—
—
169,085
Cash collateral and
settlement balances
2,743
85,342
—
—
—
—
—
—
—
—
88,085
Loans and advances at
amortised cost
17,470
7,855
6,745
4,238
9,611
19,162
20,813
27,416
14,420
17,529
145,259
Reverse repurchase
agreements and other
similar secured lending
58
2,934
—
—
—
184
—
—
—
1
3,177
Trading portfolio assets
146,871
—
—
—
—
—
—
—
—
—
146,871
Financial assets at fair
value through the income
statement
24,174
127,244
9,280
7,036
3,336
5,351
5,376
2,062
1,996
2,371
188,226
Derivative financial
instruments
262,046
36
1
—
—
—
—
184
15
9
262,291
Financial assets at fair
value through other
comprehensive income
—
3,194
1,080
449
547
2,656
5,389
10,093
13,823
8,677
45,908
Other financial assets
607
255
130
2
—
—
—
—
—
—
994
Total financial assets
622,850
227,064
17,236
11,725
13,494
27,353
31,578
39,755
30,254
28,587
1,049,896
Other assets
11,882
Total assets
1,061,778
Liabilities
Deposits at amortised cost
201,501
41,632
12,380
1,920
2,898
558
435
242
1,031
231
262,828
Cash collateral and
settlement balances
2,951
76,096
—
—
—
—
—
—
—
—
79,047
Repurchase agreements
and other similar secured
borrowing
20
5,022
—
—
—
3,216
4,424
—
—
87
12,769
Debt securities in issue
—
18,274
12,150
5,845
3,254
463
3,319
1,792
2,654
637
48,388
Subordinated liabilities
—
1,005
—
74
1,243
7,030
2,251
5,714
8,490
6,378
32,185
Trading portfolio liabilities
53,291
—
—
—
—
—
—
—
—
—
53,291
Financial liabilities
designated at fair value
14,342
158,237
17,065
10,556
3,909
7,855
9,185
8,558
7,746
13,678
251,131
Derivative financial
instruments
255,471
4
22
—
2
121
151
279
111
362
256,523
Other financial liabilities
87
3,656
15
15
12
443
52
102
183
27
4,592
Total financial liabilities
527,663
303,926
41,632
18,410
11,318
19,686
19,817
16,687
20,215
21,400
1,000,754
Other liabilities
4,537
Total liabilities
1,005,291
Cumulative liquidity gap
95,187
18,325
(6,071)
(12,756)
(10,580)
(2,913)
8,848
31,916
41,955
49,142
56,487
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Contractual maturity of financial assets and liabilities (audited)
Barclays Bank Group
On
demand
Not more
than three
months
Over three
months but
not more
than six
months
Over six
months but
not more
than nine
months
Over nine
months but
not more
than one
year
Over one
year
but not
more than
two years
Over two
years but
not more
than three
years
Over three
years but
not more
than five
years
Over five
years but
not more
than ten
years
Over ten
years
Total
As at 31 December 2020
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
Assets
Cash and balances at
central banks
155,122
182
598
—
—
—
—
—
—
—
155,902
Cash collateral and
settlement balances
1,281
96,335
—
—
—
—
—
—
—
—
97,616
Loans and advances at
amortised cost
12,854
11,149
6,291
3,770
4,314
21,271
16,663
22,387
14,127
21,441
134,267
Reverse repurchase
agreements and other
similar secured lending
150
8,648
—
—
—
—
183
—
—
—
8,981
Trading portfolio assets
127,664
—
—
—
—
—
—
—
—
—
127,664
Financial assets at fair
value through the income
statement
17,377
123,948
7,547
6,959
4,027
4,294
1,216
2,284
1,853
2,256
171,761
Derivative financial
instruments
302,429
24
—
—
—
15
15
112
77
21
302,693
Financial assets at fair
value through other
comprehensive income
—
3,086
1,627
151
95
3,059
3,770
12,741
19,236
8,137
51,902
Other financial assets
213
286
107
5
—
3
—
—
—
—
614
Total financial assets
617,090
243,658
16,170
10,885
8,436
28,642
21,847
37,524
35,293
31,855
1,051,400
Other assets
8,331
Total assets
1,059,731
Liabilities
Deposits at amortised cost
181,455
39,409
13,975
3,665
2,283
1,144
532
602
1,252
379
244,696
Cash collateral and
settlement balances
1,944
83,605
—
—
—
—
—
—
—
—
85,549
Repurchase agreements
and other similar secured
borrowing
4
2,545
—
—
—
1,400
2,329
4,073
—
92
10,443
Debt securities in issue
—
12,207
3,808
3,833
1,791
2,124
640
2,815
1,995
210
29,423
Subordinated liabilities
—
3,708
3,222
459
143
3,545
4,811
6,241
5,629
4,247
32,005
Trading portfolio liabilities
46,139
—
—
—
—
—
—
—
—
—
46,139
Financial liabilities
designated at fair value
15,555
172,250
8,677
5,067
2,928
8,593
6,939
8,576
8,344
12,697
249,626
Derivative financial
instruments
299,637
—
50
—
—
66
67
174
183
403
300,580
Other financial liabilities
70
2,072
15
15
16
233
50
90
187
62
2,810
Total financial liabilities
544,804
315,796
29,747
13,039
7,161
17,105
15,368
22,571
17,590
18,090
1,001,271
Other liabilities
4,750
Total liabilities
1,006,021
Cumulative liquidity gap
72,286
148
(13,429)
(15,583)
(14,308)
(2,771)
3,708
18,661
36,364
50,129
53,710
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Contractual maturity of financial assets and liabilities (audited)
Barclays Bank PLC
On
demand
Not more
than three
months
Over three
months but
not more
than six
months
Over six
months but
not more
than nine
months
Over nine
months but
not more
than one
year
Over one
year
but not
more than
two years
Over two
years but
not more
than three
years
Over three
years but
not more
than five
years
Over five
years but
not more
than ten
years
Over ten
years
Total
As at 31 December 2021
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
Assets
Cash and balances at
central banks
144,760
204
—
—
—
—
—
—
—
—
144,964
Cash collateral and
settlement balances
8,058
67,513
—
—
—
—
—
—
—
—
75,571
Loans and advances at
amortised cost
17,520
57,990
10,915
8,812
10,383
17,666
18,948
26,642
20,916
9,990
199,782
Reverse repurchase
agreements and other
similar secured lending
—
4,503
—
—
—
184
—
294
—
1
4,982
Trading portfolio assets
96,724
—
—
—
—
—
—
—
—
—
96,724
Financial assets at fair
value through the income
statement
105
185,447
14,221
9,949
4,176
7,281
5,456
3,638
4,715
1,589
236,577
Derivative financial
instruments
234,195
36
1
—
—
—
—
153
15
9
234,409
Financial assets at fair
value through other
comprehensive
—
1,520
1,021
439
547
2,654
5,389
10,093
13,823
8,677
44,163
Other financial assets
589
67
362
—
—
—
—
—
—
—
1,018
Total financial assets
501,951
317,280
26,520
19,200
15,106
27,785
29,793
40,820
39,469
20,266
1,038,190
Other assets
26,481
Total assets
1,064,671
Liabilities
Deposits at amortised cost
186,425
57,965
12,328
1,618
2,468
356
2,023
1,670
2,714
19,194
286,761
Cash collateral and
settlement balances
1,849
54,570
—
—
—
—
—
—
—
—
56,419
Repurchase agreements
and other similar secured
borrowing
—
13,258
2,014
297
1,993
1,921
3,966
5,666
—
87
29,202
Debt securities in issue
—
10,931
10,342
4,514
3,009
69
1,049
558
2,113
—
32,585
Subordinated liabilities
—
932
—
—
1,158
7,030
2,173
5,714
8,490
6,378
31,875
Trading portfolio liabilities
50,116
—
—
—
—
—
—
—
—
—
50,116
Financial liabilities
designated at fair value
21
204,425
19,548
13,178
4,509
10,143
8,639
10,138
8,166
12,295
291,062
Derivative financial
instruments
226,920
4
22
—
2
121
151
279
111
381
227,991
Other financial liabilities
44
3,143
4
4
4
133
19
43
117
14
3,525
Total financial liabilities
465,375
345,228
44,258
19,611
13,143
19,773
18,020
24,068
21,711
38,349
1,009,536
Other liabilities
2,273
Total liabilities
1,011,809
Cumulative liquidity gap
36,576
8,628
(9,110)
(9,521)
(7,558)
454
12,227
28,979
46,737
28,654
52,862
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Contractual maturity of financial assets and liabilities (audited)
Barclays Bank PLC
On
demand
Not more
than three
months
Over three
months but
not more
than six
months
Over six
months but
not more
than nine
months
Over nine
months but
not more
than one
year
Over one
year
but not
more than
two years
Over two
years but
not more
than three
years
Over three
years but
not more
than five
years
Over five
years but
not more
than ten
years
Over ten
years
Total
As at 31 December 2020
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
Assets
Cash and balances at
central banks
132,788
—
598
—
—
—
—
—
—
—
133,386
Cash collateral and
settlement balances
536
87,187
—
—
—
—
—
—
—
—
87,723
Loans and advances at
amortised cost
12,827
72,469
6,745
3,165
5,631
17,405
13,533
23,868
21,419
14,476
191,538
Reverse repurchase
agreements and other
similar secured lending
—
10,772
580
—
—
—
183
—
—
—
11,535
Trading portfolio assets
84,089
—
—
—
—
—
—
—
—
—
84,089
Financial assets at fair
value through the income
statement
96
162,737
10,394
9,743
4,127
4,341
3,121
3,051
4,050
1,413
203,073
Derivative financial
instruments
296,734
118
88
—
—
15
15
81
66
12
297,129
Financial assets at fair
value through other
comprehensive income
—
1,595
1,590
148
95
3,059
3,770
12,741
19,174
8,136
50,308
Other financial assets
176
131
432
—
—
2
—
—
—
—
741
Total financial assets
527,246
335,009
20,427
13,056
9,853
24,822
20,622
39,741
44,709
24,037
1,059,522
Other assets
22,030
Total assets
1,081,552
Liabilities
Deposits at amortised cost
171,943
52,851
13,295
3,626
2,161
1,574
204
3,001
2,297
21,238
272,190
Cash collateral and
settlement balances
1,440
67,422
—
—
—
—
—
—
—
—
68,862
Repurchase agreements
and other similar secured
borrowing
—
12,224
1,797
440
1,485
1,400
157
10,127
—
92
27,722
Debt securities in issue
—
5,629
2,930
3,598
1,063
1,384
45
1,219
1,353
—
17,221
Subordinated liabilities
—
3,635
3,222
385
143
3,545
4,805
6,241
5,629
4,247
31,852
Trading portfolio liabilities
48,093
—
—
—
—
—
—
—
—
—
48,093
Financial liabilities
designated at fair value
22
203,962
9,349
6,834
2,787
7,698
7,854
8,227
9,399
11,005
267,137
Derivative financial
instruments
291,595
—
50
—
—
66
67
174
183
403
292,538
Other financial liabilities
2
1,376
4
4
4
18
21
38
113
40
1,620
Total financial liabilities
513,095
347,099
30,647
14,887
7,643
15,685
13,153
29,027
18,974
37,025
1,027,235
Other liabilities
3,174
Total liabilities
1,030,409
Cumulative liquidity gap
14,151
2,061
(8,159)
(9,990)
(7,780)
1,357
8,826
19,540
45,275
32,287
51,143
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Expected maturity date may differ from the contractual dates, to account for:
▪Trading portfolio assets and liabilities and derivative financial instruments, which may not be held to maturity as part of the Barclays Bank Group’s
trading strategies.
▪Corporate and retail deposits, reported under deposits at amortised cost, are repayable on demand or at short notice on a contractual basis. In
practice, their behavioural maturity is typically longer than their contractual maturity, and therefore provide stable funding for the Barclays Bank
Group’s operations and liquidity needs.
▪Loans to corporate and retail customers, which are included within loans and advances at amortised cost and financial assets at fair value, may be
repaid earlier in line with terms and conditions of the contrac t.
▪Debt securities in issue, subordinated liabilities, and financial liabilities designated at fair value, may include early redemption features.
Contractual maturity of financial liabilities on an undiscounted basis
The following table presents the cash flows payable by the Barclays Bank Group under financial liabilities by remaining contractual maturities at the
balance sheet date. The amounts disclosed in the table are the contractual undiscounted cash flows of all financial liabilities (i.e. nominal values).
The balances in the below table do not agree directly to the balances in the consolidated balance sheet as the table incorporates all cash flows, on an
undiscounted basis, related to both principal as well as those associated with all future coupon payments.
Derivative financial instruments held for trading and trading portfolio liabilities are included in the on demand column at their fair value.
Contractual maturity of financial liabilities - undiscounted (audited)
Barclays Bank Group
On
demand
Not more
than three
months
Over three
months but
not more
than six
months
Over six
months but
not more
than one
year
Over one
year
but not
more than
three years
Over three
years but
not more
than five
years
Over five
years but
not more
than ten
years
Over ten
years
Total
£m
£m
£m
£m
£m
£m
£m
£m
£m
As at 31 December 2021
Deposits at amortised cost
201,501
41,632
12,380
4,818
996
240
1,048
261
262,876
Cash collateral and settlement
balances
2,951
76,096
—
—
—
—
—
—
79,047
Repurchase agreements and
other similar secured borrowing
20
5,022
—
—
7,798
—
—
146
12,986
Debt securities in issue
—
18,293
12,168
9,075
3,879
1,832
2,938
744
48,929
Subordinated liabilities
—
1,061
—
1,404
9,328
5,917
8,918
8,752
35,380
Trading portfolio liabilities
53,291
—
—
—
—
—
—
—
53,291
Financial liabilities designated at
fair value
14,342
158,273
17,096
14,557
17,440
8,865
7,949
21,522
260,044
Derivative financial instruments
255,471
4
22
2
276
291
122
449
256,637
Other financial liabilities
87
3,658
19
38
526
122
208
29
4,687
Total financial liabilities
527,663
304,039
41,685
29,894
40,243
17,267
21,183
31,903
1,013,877
As at 31 December 2020
Deposits at amortised cost
181,455
39,409
13,975
5,949
1,686
600
1,258
385
244,717
Cash collateral and settlement
balances
1,944
83,605
—
—
—
—
—
—
85,549
Repurchase agreements and
other similar secured borrowing
4
2,545
—
—
3,729
4,087
—
154
10,519
Debt securities in issue
—
12,226
3,818
5,629
2,799
2,923
2,098
277
29,770
Subordinated liabilities
—
3,716
3,342
703
8,845
6,555
6,922
6,500
36,583
Trading portfolio liabilities
46,139
—
—
—
—
—
—
—
46,139
Financial liabilities designated at
fair value
15,555
172,282
8,684
7,998
15,599
8,586
8,369
20,398
257,471
Derivative financial instruments
299,637
4
50
—
133
175
190
442
300,631
Other financial liabilities
70
2,076
19
39
313
113
227
86
2,943
Total financial liabilities
544,804
315,863
29,888
20,318
33,104
23,039
19,064
28,242
1,014,322
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Contractual maturity of financial liabilities - undiscounted (audited)
On
demand
Not more
than three
months
Over three
months but
not more
than six
months
Over six
months but
not more
than one
year
Over one
year
but not
more than
three years
Over three
years but
not more
than five
years
Over five
years but
not more
than ten
years
Over ten
years
Total
Barclays Bank PLC
£m
£m
£m
£m
£m
£m
£m
£m
£m
As at 31 December 2021
Deposits at amortised cost
186,425
57,965
12,328
4,086
2,400
1,785
2,949
25,785
293,723
Cash collateral and settlement
balances
1,849
54,570
—
—
—
—
—
—
56,419
Repurchase agreements and
other similar secured borrowing
—
13,258
2,014
2,290
6,041
5,740
—
146
29,489
Debt securities in issue
—
10,930
10,355
7,502
1,195
592
2,380
—
32,954
Subordinated liabilities
—
988
—
1,245
9,251
5,917
8,918
8,752
35,071
Trading portfolio liabilities
50,116
—
—
—
—
—
—
—
50,116
Financial liabilities designated at
fair value
21
204,433
19,578
17,770
19,183
10,438
8,387
19,544
299,354
Derivative financial instruments
226,920
4
22
2
276
291
122
468
228,105
Other financial liabilities
44
3,147
7
14
169
58
134
15
3,588
Total financial liabilities
465,375
345,295
44,304
32,909
38,515
24,821
22,890
54,710
1,028,819
As at 31 December 2020
Deposits at amortised cost
171,943
52,854
13,293
5,788
1,791
3,018
2,548
24,613
275,848
Cash collateral and settlement
balances
1,440
67,422
—
—
—
—
—
—
68,862
Repurchase agreements and
other similar secured borrowing
—
12,224
1,798
1,926
1,557
10,088
—
154
27,747
Debt securities in issue
—
5,629
2,935
4,662
1,462
1,325
1,452
—
17,465
Subordinated liabilities
—
3,716
3,269
630
8,839
6,555
6,922
6,499
36,430
Trading portfolio liabilities
48,093
—
—
—
—
—
—
—
48,093
Financial liabilities designated at
fair value
22
203,994
9,355
9,625
15,619
8,242
9,510
18,045
274,412
Derivative financial instruments
291,595
—
50
—
134
176
191
443
292,589
Other financial liabilities
2
1,379
7
13
63
57
137
73
1,731
Total financial liabilities
513,095
347,218
30,707
22,644
29,465
29,461
20,760
49,827
1,043,177
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Maturity of off-balance sheet commitments received and given
The table below presents the maturity split of the Barclays Bank Group’s off-balance sheet commitments received and given at the balance sheet date.
The amounts disclosed in the table are the undiscounted cash flows (i.e. nominal values) on the basis of earliest opportunity at which they are available.
Maturity analysis of off-balance sheet commitments received (audited)
On
demand
Not more
than three
months
Over three
months but
not more
than six
months
Over six
months but
not more
than nine
months
Over nine
months but
not more
than one
year
Over one
year but not
more than
two years
Over two
years but
not more
than three
years
Over three
years but
not more
than five
years
Over five
years but
not more
than ten
years
Over ten
years
Total
Barclays Bank Group
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
As at 31 December 2021
Guarantees, letters of
credit and credit insurance
7,258
31
21
10
12
4
12
83
65
19
7,515
Other commitments
received
455
—
—
—
—
—
—
—
—
—
455
Total off-balance sheet
commitments received
7,713
31
21
10
12
4
12
83
65
19
7,970
As at 31 December 2020
Guarantees, letters of
credit and credit insurance
6,462
86
37
68
8
18
14
47
40
25
6,805
Other commitments
received
92
—
—
—
—
—
—
—
—
—
92
Total off-balance sheet
commitments received
6,554
86
37
68
8
18
14
47
40
25
6,897
Maturity analysis of off-balance sheet commitments given (audited)
On
demand
Not more
than three
months
Over three
months but
not more
than six
months
Over six
months but
not more
than nine
months
Over nine
months but
not more
than one
year
Over one
year but not
more than
two years
Over two
years but
not more
than three
years
Over three
years but
not more
than five
years
Over five
years but
not more
than ten
years
Over ten
years
Total
Barclays Bank Group
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
As at 31 December 2021
Contingent liabilities
23,607
135
4
—
—
—
—
—
—
—
23,746
Documentary credits and
other short-term trade
related transactions
1,582
2
—
—
—
—
—
—
—
—
1,584
Standby facilities, credit
lines and other
commitments
282,867
—
—
—
—
—
—
—
—
—
282,867
Total off-balance sheet
commitments given
308,056
137
4
—
—
—
—
—
—
—
308,197
As at 31 December 2020
Contingent liabilities
20,630
213
57
6
1
25
—
—
—
—
20,932
Documentary credits and
other short-term trade
related transactions
1,084
1
1
—
—
—
—
—
—
—
1,086
Standby facilities, credit
lines and other
commitments
262,586
564
93
123
95
49
196
202
21
7
263,936
Total off-balance sheet
commitments given
284,300
778
151
129
96
74
196
202
21
7
285,954
The above table on Maturity analysis of off-balance sheet commitments given for Barclays Bank Group includes £1.7bn (2020: £2.6bn) of guarantees that have been
provided to subsidiaries of Barclays PLC outside the Barclays Bank Group. These guarantees have not been reported in the prior periods and the comparatives have not been
restated. These are all On demand.
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Maturity analysis of off-balance sheet commitments received (audited)
On
demand
Not more
than three
months
Over three
months but
not more
than six
months
Over six
months but
not more
than one
year
Over one
year but not
more than
three years
Over three
years but
not more
than five
years
Over five
years but
not more
than ten
years
Over ten
years
Total
Barclays Bank PLC
£m
£m
£m
£m
£m
£m
£m
£m
£m
As at 31 December 2021
Guarantees, letters of credit and
credit insurance
7,128
3
2
4
10
9
657
1
7,814
Other commitments received
—
—
—
—
—
—
—
—
—
Total off balance sheet
commitments received
7,128
3
2
4
10
9
657
1
7,814
As at 31 December 2020
Guarantees, letters of credit and
credit insurance
6,375
37
—
4
16
31
40
25
6,528
Other commitments received
—
—
—
—
—
—
—
—
—
Total off balance sheet
commitments received
6,375
37
—
4
16
31
40
25
6,528
Maturity analysis of off-balance sheet commitments given (audited)
On
demand
Not more
than three
months
Over three
months but
not more
than six
months
Over six
months but
not more
than nine
months
Over nine
months but
not more
than one
year
Over one
year but not
more than
two years
Over two
years but
not more
than three
years
Over three
years but
not more
than five
years
Over five
years but
not more
than ten
years
Over ten
years
Total
Barclays Bank PLC
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
As at 31 December 2021
Contingent liabilities
55,635
135
4
—
—
—
—
—
—
—
55,774
Documentary credits and
other short-term trade
related transactions
1,460
2
—
—
—
—
—
—
—
—
1,462
Standby facilities, credit
lines and other
commitments
193,641
—
—
—
—
—
—
—
—
—
193,641
Total off-balance sheet
commitments given
250,736
137
4
—
—
—
—
—
—
—
250,877
As at 31 December 2020
Contingent liabilities
42,116
213
57
6
—
25
—
—
—
—
42,417
Documentary credits and
other short-term trade
related transactions
1,027
1
1
—
—
—
—
—
—
—
1,029
Standby facilities, credit
lines and other
commitments
181,650
475
49
89
94
39
111
198
21
7
182,733
Total off-balance sheet
commitments given
224,793
689
107
95
94
64
111
198
21
7
226,179
The above table on Maturity analysis of off-balance sheet commitments given for Barclays Bank PLC includes £14.5bn (2020: £13.9bn) of guarantees to its subsidiaries and
other subsidiaries of Barclays PLC. These guarantees were not reported in prior periods and the comparatives have been restated. These are all O n demand.
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Capital risk
All disclosures in this section (pages 111 to 114) are unaudited unless otherwise stated.
Overview
Barclays Bank PLC is currently regulated by the PRA on a solo-consolidated basis. Barclays Bank PLC solo-consolidated comprises Barclays Bank PLC
plus certain additional subsidiaries, subject to PRA approval. The disclosures below provide key capital metrics for Barclays Bank PLC solo-consolidated
with further information on its risk profile to be included in the Barclays PLC Pillar 3 Report 2021, due to be published on 23 February 2022, and which
will be available at home.barclays/investor-relations/reports-and-events/annual-reports.
Following the withdrawal of the UK from the EU, any references to CRR as amended by CRR II mean, unless otherwise specified, CRR as amended by
CRR II, as it forms part of UK law pursuant to the European Union (Withdrawal) Act 2018 and subject to the temporary transitional powers (TTP)
available to UK regulators to delay or phase-in on-shoring changes to UK regulatory requirements arising at the end of the transition period until 31
March 2022, as at the applicable reporting date.
On 8 October 2021, the PRA published its Policy Statement on the UK leverage ratio framework. The Policy Statement confirms that UK banks will be
s ubject to a single UK leverage ratio requirement meaning that the CRR leverage ratio will no longer apply for UK banks from 1 January 2022. Whilst
largely upholding the existing framework, technical changes generally align to the Basel III standards with the exception of the qualifying claims on
central banks exemption. From 1 January 2022 central bank claims can be excluded from the UK leverage ratio measure as long as they are matched by
qualifying liabilities (rather than deposits). Minimum requirements are expected to be applied at the individual level from 1 January 2023. Individual
requirements may be replaced with a sub-consolidated measure, subject to permission from the PRA.
Capital ratios a,b,c
As at 31 December
2021
2020
CET1
13.0%
14.2%
Tier 1 (T1)
17.6%
18.1%
Total regulatory capital
20.6%
21.0%
Capital resources (audited)
2021
2020
As at 31 December
£m
£m
CET1 capital
24,128
25,227
T1 capital
32,595
32,172
Total regulatory capital
38,154
37,493
Total risk weighted assets (RWAs) (unaudited)
185,467
178,156
Capital Requirements Regulation (CRR) leverage ratio a
2021
2020
As at 31 December
£m
£m
CRR leverage ratio
3.7%
3.9%
T1 capital
32,595
32,172
CRR leverage exposure
881,464
826,371
Notes
a Capital, RWAs and leverage are calculated applying the transitional arrangements of the CRR as amended by CRR II. This includes IFRS 9 transitional arrangements and the
grandfathering of CRR and CRR II non-compliant capital instruments.
b The fully loaded CET1 ratio was 12.7%, with £23.6bn of CET1 capital and £185bn of RWAs, calculated without applying the transitional arrangements of the CRR as
amended by CRR II.
c The Barclays PLC CET1 ratio, as is relevant for assessing against the conversion trigger in Barclays Bank PLC 7.625% Contingent Capital Notes, was 15.1%. For this
calculation CET1 capital and RWAs are calculated applying the transitional arrangements under the CRR, as amended by CRR II, including the IFRS 9 transitional other
metrics and capital 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.
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Foreign exchange risk (audited)
The Barclays Bank Group is exposed to two sources of foreign exchange risk.
a)Transactional foreign currency exposure
Transactional foreign currency exposures represent exposure on banking assets and liabilities, denominated in currencies other than the functional
currency of the transacting entity.
The Barclays Bank Group’s risk management policies are designed to prevent the holding of significant open positions in foreign currencies outside the
trading portfolio which is monitored through VaR.
Banking book transactional foreign exchange risk is mon itored on a daily basis by the market risk function and minimised by the businesses.
b)Translational foreign exchange exposure
The Barclays Bank Group's investments in overseas subsidiaries and branches create capital resources denominated in foreign currencies, principally
USD and EUR. Changes in the GBP value of the net investments due to foreign currency movements are captured in the currency translation reserve,
resulting in a movement in shareholders’ equity.
Functional currency of operations (audited)
Foreign
currency net
investments
Borrowings
which hedge
the net
investments
Derivatives
which hedge
the net
investments
Structural
currency
exposures pre-
economic
hedges
Economic
hedges
Remaining
structural
currency
exposures
£m
£m
£m
£m
£m
£m
As at 31 December 2021
USD
26,023
(5,512)
(2,356)
18,155
(7,111)
11,044
EUR
8,342
(1,324)
(3)
7,015
(267)
6,748
JPY
614
(97)
—
517
—
517
Other
2,085
—
(64)
2,021
—
2,021
Total
37,064
(6,933)
(2,423)
27,708
(7,378)
20,330
As at 31 December 2020
USD
24,262
(4,512)
(764)
18,986
(5,918)
13,068
EUR
5,174
(278)
(3)
4,893
(286)
4,607
JPY
582
—
—
582
—
582
Other
1,596
(42)
(24)
1,530
—
1,530
Total
31,614
(4,832)
(791)
25,991
(6,204)
19,787
Economic hedges relate to exposures arising on foreign currency denominated preference share and AT1 instruments. These instruments are
accounted for at historical cost under IFRS and do not qualify as hedges for accounting purposes. The gain or loss arising from changes in the GBP value
of these instruments is recognised on redemption in retained earnings.
During 2021, total structural currency exposure net of hedging instruments increased by £0.5b n to £20.3b n (2020: £19.8b n). Foreign currency
net investments increased by £5.5b n to £37.1b n (2020: £31.6b n) driven predominantly by a £3.2b n increase in Euro, £1.8b n increase in US dollars and
£0.5b n increase in other currencies. The hedges associated with these foreign currency investments increased by £3.8b n to £9.4b n (2020: £5.6b n).
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Pension risk review
The UK Retirement Fund (UKRF) r epresents approximately 97% (2020: 97%) of the Barclays Bank Group’s total retirement benefit obligations globally.
As such this risk review section focuses exclusively on the UKRF. The UKRF is closed to new entrants and there is no new final salary benefit being
accrued. Existing active members accrue a combination of a cash balance benefit and a defined contribution element. Pension risk arises as the market
value of the pension fund assets may decline, investment returns may reduce or the estimated value of the pension liabilities may increase.
Assets
The Trustee Board of the UKRF defines its overall long-term investment strategy with investments across a broad range of asset classes. This results in
an appropriate mix of return seeking assets as well as liability matching assets to better match future pension obligations. The two largest market risks
within the asset portfolio are interest rates and equities. The split of scheme assets is shown within Note 31 to th e financial statements. The fair value of
the UKRF assets was £34.7b n as at 31 December 2021 (2020: £33.9b n).
Liabilities
The UKRF retirement benefit obligations are a series of future cash flows with relatively long duration. On an IAS 19 basis these cash flows are sensitive
to changes in the expected long-term price inflation rate (RPI) and the discount rate (GBP AA corporate bond yield):
▪An increase in long-term expected inflation corresponds to an increase in liabilities.
▪A decrease in the discount rate corresponds to an increase in liabilities.
Pension risk is generated through the Barclays Bank Group’s defined benefit schemes and this risk is set to reduce over time as the main defined benefit
scheme is closed to new entrants. The chart below outlines the shape of the UKRF’s liability cash flow profile as at 31 December 2021 that takes
account of the future inflation indexing of payments to beneficiaries. The majority of the cash flows (approximately 95%) fall between 0 and 40 years,
peaking between 11 and 20 years and reducing thereafter. The shape may vary depending on changes to inflation and longevity expectations and any
members who elect to transfer out. Transfers out will bring forward the liability cash flows.
For more detail on the UKRF’s financial and demographic valuation assumptions see Note 31 to th e financial statements.
Proportion of liability cash flows
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IAS 19 pension position in 2020
The graph above shows the evolution of the UKRF’s net IAS 19 position over the last two years. During 2021 the increase in the IAS 19 pension surplus
was driven by high asset returns and scheduled deficit reduction contributions. Higher realised inflation over the year had a negative impact by
increasing the projected liabilities, which was partially offset by updates to the demographic assumptions.
Refer to Note 31 to the financial statements for the sensitivity of the UKRF to changes in key assumptions.
Risk measurement
In line with the Barclays Bank Group's risk management framework the assets and liabilities of the UKRF are modelled within a VaR framework to show
the volatility of the pension position at a total portfolio level. This enables the risks, diversification and liability matching characteristics of the UKRF
obligations and investments to be adequately captured. VaR is measured and monitored on a monthly basis. Risks are reviewed and reported regularly
at forums including the Barclays PLC Board Risk Committee, the Barclays Group Risk C ommittee, the Pensions Management Group and the Pension
Executive Board. The VaR model takes into account the valuation of the liabilities on an IAS 19 basis (see No te 31 to the financial statements). The
Trustee receives quarterly VaR measures on a funding basis.
The pension liability is also sensitive to post-retirement mortality assumptions which are reviewed regularly (See Note 31 to the financial statements).
To mitigate part of this risk the UKRF has entered into a longevity swap hedging approximately a quarter of current pensioner liabilities.
In addition, the impact of pension risk to the Barclays Bank Group is taken into account as part of the stress testing process. Stress testing is performed
internally on at least an annual basis. The UKRF exposure is also included as part of regulatory stress tests.
The Barclays Bank Group's defined benefit pension schemes affect capital in two ways:
•An IAS 19 deficit is treated as a liability on the Barclays Bank Group’s balance sheet. Movement in a deficit due to remeasurements, including
actuarial losses, are recognised immediately through Other Comprehensive Income and as such reduces shareholders’ equity and CET1 capital. An
IAS 19 surplus is treated as an asset on the balance sheet and increases shareholders’ equity; however, it is deducted for the purposes of
determining CET1 capital.
•In the Barclays Bank Group’s statutory balance sheet an IAS 19 surplus or deficit is partially offset by a deferred tax liability or asset respectively.
These may or may not be recognised for calculating CET1 capital depending on the overall deferred tax position of the Barclays Bank Group at the
particular time.
Pension risk is taken into account in the Pillar 2A capital assessment undertaken by the PRA at least annually. The Pillar 2A requirement forms part of
the Barclays Bank Group’s Overall Capital Requirement for CET1 capital, Tier 1 capital and total capital. More detail on minimum regulatory
requirements can be found in the Overall capital requirements section.
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Interest rate risk in the banking book
All disclosures in this section (pages 115 to 116) are unaudited unless otherwise stated.
Overview
The treasury and capital risk framework covers interest rate sensitive exposures held in the banking book, mostly relating to accrual accounted and
FVOCI instruments. The potential volatility of net interest income (NII) is measured by an Annual Earnings at Risk (AEaR) metric which is monitored
regularly and reported to senior management and the Barclays Bank PLC Board Risk Committee as part of the limit monitoring framework.
Summary of performance in the period
NII sensitivity to a -25bps shock to rates has decreased year on year due to reduced margin compression exposure driven by actual and expected
central bank rate increases.
Key metrics
-£99m
AEaR across the Barclays Bank Group from a -25 bps shock to forward interest rate curves.
Net interest income sensitivity
The table below shows a sensitivity analysis on pre-tax net interest income for non-traded financial assets and liabilities, including the effect of any
hedging. This analysis is not a forward guidance on NII and is intended as a quantification of risk exposure utilising the AEaR metric as described on
page 200 of the Barclays PLC Pillar 3 Report 2021 (unaudited). Note that this metric assumes an instantaneous parallel change to forward interest rate
curves. The model does not apply floors to shocked market rates, but does recognise contractual product specific interest rate floors where relevant.
The main model assumptions are: (i) one-year ahead time horizon; (ii) balance sheet is held constant; (iii) balances are adjusted for customer behaviour
(i.e. considers that customers may prepay before the contractual maturity or withdraw their deposits) and (iv) behavioural assumptions are kept
unchanged in all rate scenarios.
Net Interest Income sensitivity (AEaR) by currency (audited)
2021
2020
+25 basis
points
-25 basis
points
+25 basis
points
-25 basis
points
Barclays Bank Group
£m
£m
£m
£m
GBP
21
(37)
32
(169)
USD
55
(59)
47
(61)
EUR
(5)
(4)
9
(32)
Other currencies
(3)
1
(2)
(1)
Total
68
(99)
86
(263)
Note
+25bps A EaR refle cts refined modelling of pricing assumptions for 2021. Based on these assumptions, the 2020 scenario would have shown a GBP AEaR of £67m.
Net Interest Income sensitivity (AEaR) by currency (audited)
2021
2020
+25 basis
points
-25 basis
points
+25 basis
points
-25 basis
points
Barclays Bank PLC
£m
£m
£m
£m
GBP
23
(39)
32
(168)
USD
48
(52)
7
(20)
EUR
(9)
6
(5)
(8)
Other currencies
(5)
3
(6)
2
Total
57
(82)
28
(194)
Note
+25bps AEaR reflects refined modelling of pricing assumptions for 2021. Based on these assumptions, the 2020 scenario would have shown a GBP AEaR of £67m.
NII asymmetry arises due to the current low interest rate levels and the effect of embedded floors in customer products. NII sensitivity to a -25bps shock
to rates has decreased year on year due to reduced margin compression exposure driven by actual and expected central bank rate increases. NII
sensitivity to a +25 bps shock has similarly decreased year on year driven by the expectation of rate rises in the outlook and the decompression of
product margins in the base case.
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Analysis of equity sensitivity
The analysis of equity sensitivity table measures the overall impact of a +/- 25bps movement in interest rates on retained earnings, FVOCI, cash flow
hedge reserves and pensions. For non-NII items a DV01 metric is used, which is an indicator of the shift in value for a 1bp movement in the yield curve.
Analysis of equity sensitivity (audited)
31 December 2021
31 December 2020
+25 basis
points
-25 basis
points
+25 basis
points
-25 basis
points
Barclays Bank Group
£m
£m
£m
£m
Net interest income
68
(99)
86
(263)
Taxation effects on the above
(12)
18
(21)
63
Effect on profit for the year
56
(81)
65
(200)
As percentage of net profit after tax
1.2%
(1.7%)
2.7%
(8.2%)
Effect on profit for the year (per above)
56
(81)
65
(200)
Fair value through other comprehensive income reserve
(449)
380
(417)
433
Cash flow hedge reserve
(626)
626
(554)
554
Taxation effects on the above
290
(272)
262
(266)
Effect on equity
(729)
653
(644)
521
As percentage of equity
(1.3%)
1.2%
(1.2%)
1.0%
Note
+25bps AEaR reflects refined modelling of pricing assumptions for 2021. Based on these assumptions, the 2020 scenario would have shown an effect on equity o f £(617)m.
Analysis of equity sensitivity (audited)
31 December 2021
31 December 2020
+25 basis
points
-25 basis
points
+25 basis
points
-25 basis
points
Barclays Bank PLC
£m
£m
£m
£m
Net interest income
57
(82)
28
(193)
Taxation effects on the above
(10)
15
(7)
46
Effect on profit for the year
47
(67)
21
(147)
As percentage of net profit after tax
1.3%
(1.9%)
1.0%
(6.9%)
Effect on profit for the year (per above)
47
(67)
21
(147)
Fair value through other comprehensive income reserve
(450)
379
(417)
433
Cash flow hedge reserve
(587)
587
(534)
534
Taxation effects on the above
280
(261)
257
(261)
Effect on equity
(710)
638
(673)
559
As percentage of equity
(1.3%)
1.2%
(1.3%)
1.1%
Note
+25bps AEaR reflects refined modelling of pricing assumptions for 2021. Based on these assumptions, the 2020 scenario would have shown an effect on equity of £(646)m.
Movements in the FVOCI reserve impact CET1 capital. However, movements in the cash flow hedge reserve and pensions remeasurement reserve
recognised in FVOCI do not affect CET1 capital.
Volatility of the FVOCI portfolio in the liquidity pool
Changes in value of FVOCI exposures flow directly through capita l via the FVOCI reserve. The volatility in the value of the FVOCI investments in the
liquidity pool is captured and managed through a value measure rather than an earning measure, i.e. non-traded market risk VaR.
Although the underlying methodology to calculate the non-traded VaR is identical to the one used in traded management VaR, the two measures are
not directly comparable. The non-traded VaR represents the volatility to capital driven by the FVOCI exposures. These exposures are in the banking
book and do not meet the criteria for trading book treatment.
Analysis of volatility of the FVOCI portfolio in the liquidity pool
2021
2020
Average
High
Low
Average
High
Low
For the year ended 31 December
£m
£m
£m
£m
£m
£m
Non-traded market value at risk (daily, 95%)
47
57
34
47
59
31
VaR remained in a ~£10m range in H1 2021. The range widened in H2 2021 and was generally driven by outright interest rates risk positioning, which
was initially reduced before subsequently being increased. The portfolio de-risked in both outright and asset swap in Q4 2021 which caused a
downward trend in VaR.
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All disclosures in this section (pages 117 - 118) are unaudited unless otherwise stated.
Overview
Operational risks are inherent in the Barclays Bank Group’s business activities and it is not cost effective or possible to attempt to eliminate all
operational risks. The Operational Risk Framework is therefore focused on identifying operational risks, assessing them and managing them within the
Barclays Bank Group’s approved risk appetite.
The Operational Risk principal risk comprises the following risks: Data Management Risk; Financial Reporting Risk; Fraud Risk; Information Security Risk;
Operational Recovery Planning Risk; Pa yments Process Risk; People Risk; Physical Security Risk; Premises Risk; Risk Reporting; Strategic Investment
Change Management Risk; Supplier Risk; Tax Risk; Technology Risk and Transaction Operations Risk. The operational risk profile is also informed by a
number of risk themes: Cyber; Data; and Resilience. These themes represent threats to the Barclays Bank Group that extend across multiple risk types,
and therefore require an integrated risk management approach.
For definitions of these risks refer to pages 202 to 203 of the Barclays PLC Pillar 3 Report 2021. In order to provide complete coverage of the potential
adverse impacts on the Barclays Bank Group arising from operational risk, the operational risk taxonomy extends beyond the risks listed above to cover
operational risks associated with other principal risks too.
This section provides an analysis of the Barclays Bank Group’s operational risk profile, including events above the Barclays Bank Group’s reportable
threshold, which have had a financial impact in 2021. The Barclays Bank Group’s operational risk profile is informed by bottom-up risk assessments
undertaken by each business unit and top-down qualitative review for each risk type. Fraud, Transaction Operations, Information Security and
Technology continue to be highlighted as key operational risk exposures.
For information on conduct risk events, see the conduct risk section.
Summary of performance in the period
During 2021, tot al operatio nal risk losses a decreased to £54m (2020: £112m) and the number of recorded events for 2021 decreased to 588 from 870
events recorded during the prior year. The total operational risk losses for the year were mainly driven by events falling within the Execution, Delivery &
Process Management and External Fraud categories, which tend to be high volume but low impact events.
Key metrics
71%
of the Barclays Bank Group’s net reportable operational risk events had a loss value of £50,000 or less
53%
of events by number are due to Execution, Delivery and Process Management
40%
of events by number are due to External Fraud
81%
of losses are from events aligned to Execution, Delivery and Process Management
Operational risk profile
Within operational risk, there are a large number of small value risk events. In 2021, 71% (2020: 71%) of the Barclays Bank Group’s reportable
operational risk events by volume had a value of less than £50,000 each. Cumulatively, events under this £50,000 threshold accounted for only 16%
(2020: 10%) of the Barclays Bank Group’s total net operational risk losses. A small proportion of operational risk events have a material impact on the
financial results of the Barclays Bank Group.
Risk review
Risk performance
Operational risk
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The analysis below presents the Barclays Bank Group’s operational risk events by Basel event category:
Note
a The data disclosed includes operational risk losses for reportable events impacting the Barclays Bank Group business areas, having impact of > £10,000 and excludes Gain
or Insurance Recovery impacts, events that are Conduct or Legal risk, aggregate and boundary events. A boundary event is an operational risk event that results in a credit
risk impact. Due to the nature of risk events that keep evolving, data for prior year losses are updated.
▪Execution, Delivery and Process Management impacts during 2021 decreased to £44m (2020: £95m) and accounted for 81% of total operational risk
losses (2020: 86%). The events in this category are typical of the banking industry as a whole where high volumes of transactions are processed on a
daily basis, mapping mainly to Barclays Transaction Operations risk type. The overall frequency of events in this category remained stable in 2021 at
53% of total events by volume (2020: 55%).
▪External Fraud impacts and frequency remained broadly stable in 2021 compared to the previous year. Impacts of £8m accounted for 15% of total
events by value (2020: £8m / 8%). Volume of events dropped to 237 accounting for 40% of total event volume (2020: 319 / 37%). In this category,
high volume, low value events are driven by transactional fraud often related to debit and credit card usage.
Investment continues to be made in improving the control environment across the Barclays Bank Group. Particular areas of focus include new and
enhanced fraud prevention systems and tools to combat the increasing level of fraud attempts being made whilst minimising disruption to genuine
transactions. Fraud remains an industry wide threat and the Barclays Bank Group continues to work closely with external partners on various prevention
initiatives.
Operational Resilience remains a key area of focus for the Barclays Bank Group. The COVID-19 pandemic is the most severe global health emergency
the World Health Organization (WHO) has ever declared. While overall, the Barclays Bank Group has continued to prove resilient and actual losses have
not materially increased due to the effects of the pandemic, the COVID-19 pandemic has caused disruption to the Barclays Bank Group’s customers,
suppliers, and staff globally. The COVID-19 pandemic has reinforced our focus on resilience and the Barclays Bank Group continues to monitor potential
operational disruptions associated with both the Barclays Bank Group’s and its suppliers’ transition to a Work-from-Home environment and in response
to initially high market volatility. The Barclays Bank Group continues to strengthen its resilience approach across its most important business services to
improve recoverability and assurance thereof.
Operational risk associated with cybersecurity remains a top focus for the Barclays Bank Group. The sophistication of threat actors continues to grow as
noted by multiple external risk events observed throughout the year. Ransomware attacks across the global Barclays supplier base were observed and
we worked closely with the affected suppliers to manage potential impacts to the Barclays Bank Group and its clients and customers. The Barclays Bank
Group’s cybersecurity events were managed within its risk tolerances and there were no material loss events associated with cybersecurity recorded
within the event categories above.
For further information, refer to the operational risk management section.
Risk review
Risk performance
Operational risk
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All disclosures in these model risk, conduct risk, reputation risk and legal risk sections on pages 119 to 120 are unaudited unless otherwise stated.
Model risk
The Barclays Bank Group is committed to continuously improving model risk management and made a number of enhancements in 2021, including:
•S trengthening the periodic assessment of the design and operating effectiveness of model risk controls to ensure adherence to model risk
framework, policies and standards across the model risk lifecycle.
•Enhancing model risk assessment and appetite management with the design of a new Model Risk Uncertainty Assessment to measure and report
model uncertainty, enabling risk-based decision making and remediation prioritisation.
•Improving model risk governance through the implementation and embedment of MRM l ed forums.
•Expanding its quality assurance function and its operating model to improve consistency and quality of the challenges raised, assess the relevance
and soundness of the responses received from model owners, and continue to review the rationale for decisions made by validators.
•Improving model inventory data quality through enhanced platform controls and related processes.
In 2022, MRM will continue to focus on the validation of additional low materiality models, embedding of validation and governance activities, further
roll-out of Model Risk Uncertainty Assessment across the model population and expanding the coverage of the MRM framework to new/emerging
model types
Conduct risk
The Barclays Bank Group is committed to continuing to drive the right culture throughout all levels of the organisation. The Barclays Bank Group will
continue to enhance effective management of conduct risk and appropriately consider the relevant tools, governance and management information in
decision-making processes. Focus on management of conduct risk is ongoing and, alongside other relevant business and control management
information, the Barclays Bank Group conduct risk dashboards is a key component of this.
The Barclays Bank Group continues to review the role and impact of conduct risk events and issues in remuneration decisions at bo th the individual and
business level.
Throughout 2021, the Barclays Bank Group maintained focus on the new and heightened inherent conduct risk created by the coronavirus pandemic
and continues to monitor these on an ongoing basis.
Businesses have continued to assess the potential customer, client and market impacts of strategic change. As part of the 2021 Medium-Term Planning
Process and associated Strategic Risk Assessment, material conduct risks associated with strategic and financial plans were assessed.
Throughout 2021, conduct risks were raised by each business area for consideration by the Barclays PLC and Barclays Bank PLC Board Risk
Committees. The Committees reviewed the risks raised and whether management’s proposed actions were appropriate to mitigate the risks effectively.
The Barclays Bank Group continued to incur costs in relation to litigation and conduct matters, please refer to Note 25 to the financial statements
(Legal, competition and regulatory matters) and Note 23 to the financial statements (Provisions), for further details. Related costs include customer
redress and remediation, as well as fines and settlements. Resolution of these litigation and conduct matters remains a necessary and important part of
delivering the Barclays Bank Group’s strategy and an ongoing commitment to improve oversight of culture and conduct.
The Barclays Bank PLC Board Risk Committee and senior management received conduct risk dashboards setting out key indicators in relation to
conduct risk. These continue to be evolved and enhanced to allow effective oversight and decision-making. The Barclays Bank Group has operated at
the overall set tolerance for conduct risk throughout 2021. The tolerance adherence is assessed by the business through key indicators and reported to
the Barclays Bank PLC Board Risk Committee as part of the conduct risk dashboard.
The Barclays Bank Group remains focused on continuous improvements being made to manage risk effectively with an emphasis on enhancing
governance and management information to identify risk at earlier stages.
Reputation risk
The Barclays Bank Group is committed to continuing to drive the right culture throughout all levels of the organisation. The Barclays Bank Group will
continue to enhance effective management of reputation risk and appropriately consider the relevant tools, governance and management information
in decision-making processes.
The Barclays Bank PLC Board considers reputation risks raised by businesses. The Board has also considered whether management’s proposed actions
have been appropriate to mitigate the risks effectively.
The Barclays Bank Group continued to incur costs in relation to litigation and conduct matters, please refer to Note 25 to the financial statements
(Legal, competition and regulatory matters) and Note 23 to the financial statements (Provisions), for further details. Related costs include customer
redress and remediation, as well as fines and settlements. Resolution of these matters remain an ongoing commitment to improve oversight of culture
and conduct and management of reputation risks.
The Barclays Bank Group remains focused on the continuous improvements being made to manage risk effectively, with an emphasis on enhancing
governance and management information to help identify risks at earlier stages.
Risk review
Risk performance
Model risk, Conduct risk, Reputation risk and Legal risk
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Legal risk
Summary of performance in the year
The Barclays Bank Group remains committed to continuous improvements in managing legal risk effectively. During 2021, improvements included a
refresh of the Barclays Group-wide legal risk management framework and a review and update of the supporting legal risk policies, standards and
mandatory training, reinforced by ongoing engagement with and education of the Barclays Group’s businesses and functions by Legal function
colleagues. Legal risk tolerances and legal risk appetite have also been reviewed.
Throughout 2021, the Barclays Bank Group has operated within set tolerances for legal risk. Tolerances adherence is assessed through key indicators,
which are also used to evaluate the legal risk profile and are reviewed, at least annually, through the relevant risk and control committees. Minimum
mandatory controls to manage legal risks are set out in the legal risk standards and are subject to ongoing monitoring.
Risk review
Risk performance
Model risk, Conduct risk, Reputation risk and Legal risk
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Supervision of the Barclays Bank Group
The Barclays Bank Group’s operations, including its overseas branches, subsidiaries and associates, are subject to a large number of rules and
regulations that are a condition for authorisation to conduct banking and financial services business in each of the jurisdictions in which the Barclays
Bank Group operates. These apply to business operations, impact financial returns and include capital, leverage and liquidity requirements,
authorisation, registration and reporting requirements, restrictions on certain activities, conduct of business regulations and many others.
Regulatory developments impact the Barclays Bank Group globally. We focus particularly on UK, US and EU regulation due to the location of the Barclays
Bank Group’s principal areas of business. Regulations elsewhere may also have a significant impact on the Barclays Bank Group due to the location of its
branches, subsidiaries and, in some cases, clients. For more information on the risks related to the supervision and regulation of the Barclays Bank
Group, including regulatory change, see the material existing and emerging risk entitled ‘Regulatory Change agenda and impact on Business Model’ in
the Material existing and emerging risks section.
Supervision in the UK
In the UK, day-to-day regulation and supervision of the Barclays Bank Group is divided between the Prudential Regulation Authority (PRA) (a division of
the Bank of England (BoE)) and the Financial Conduct Authority (FCA). In addition, the Financial Policy Committee (FPC) of the BoE has influence on the
prudential requirements that may be imposed on the banking system through its powers of direction and recommendation. The Barclays Group is also
subject to regulatory initiatives undertaken by the UK Payment Systems Regulator (PSR), as a participant in payment systems regulated by the PSR.
Barclays Bank PLC is an authorised credit institution and subject to prudential supervision by the PRA and subject to conduct regulation and supervision
by the FCA. The Barclays Group is also subject to prudential supervision by the PRA on a group consolidated basis. Barclays PLC has submitted an
application for approval by the PRA as a financial holding company. Barclays Capital Securities Limited is authorised and supervised by the PRA as a
PRA-designated investment firm and subject to conduct regulation and supervision by the FCA. Barclays Execution Services Limited is an appointed
representative of Barclays Bank PLC, Barclays Bank UK PLC and Clydesdale Financial Services Limited.
The PRA’s supervision of the Barclays Group is conducted through a variety of regulatory tools, including the collection of information by way of
prudential returns or cross-firm reviews, reports obtained from skilled persons, regular supervisory visits to firms and regular meetings with
management and directors to discuss issues such as strategy, governance, financial resilience, operational resilience, risk management, and recovery
and resolution.
Both the PRA and the FCA apply standards that either anticipate or go beyond requirements established by global or EU standards, whether in relation
to capital, leverage and liquidity, resolvability and resolution or matters of conduct.
The FCA’s supervision of the UK firms in the Barclays Group is carried out through a combination of proactive engagement, regular thematic work and
project work based on the FCA’s sector assessments, which analyse the different areas of the market and the risks that may lie ahead.
The FCA and the PRA also apply the Senior Managers and Certification Regime (the SMCR) which imposes a regulatory approval, individual
accountability and fitness and propriety framework in respect of senior or key individuals within relevant firms.
FCA supervision has focused on conduct risk and customer/client outcomes, including product design, customer behaviour, market operations, fair
pricing, affordability, access to cash, and fair treatment of vulnerable customers.
PRA supervision has focused on financial resilience, credit risk management, Board effectiveness, operational resilience, climate risk and resolvability,
where resolvability is reviewed in conjunction with the Resolution Directorate (a separate division of the BoE).
Both the PRA and the FCA have assessed the impact of COVID-19 and Brexit on UK financial markets and customers as well as the orderly transition
away from LIBOR.
Supervision in the EU
The Barclays Bank Group’s operations in Europe are authorised and regulated by a combination of its home regulators and host regulators in the
European countries where the Barclays Bank Group operates.
Barclays Bank Ireland PLC is licensed as a credit institution by the Central Bank of Ireland (CBI) and is designated as a significant institution falling under
direct supervision on a solo basis by the European Central Bank (ECB) for prudential purposes. Barclays Bank Ireland PLC’s EU branches are supervised
by the ECB and are also subject to direct supervision for local conduct purposes by national supervisory authorities in the jurisdictions where they are
established. Barclays Bank Ireland PLC is also subject to supervision by the CBI as home state or competent authority under various EU financial services
directives and regulations.
The Barclays Group provides the majority of its cross-border banking and investment services to EEA clients via Barclays Bank Ireland PLC. Additionally,
in certain EEA Member States, Barclays Bank PLC and Barclays Capital Securities Limited (BCSL) have cross-border licences to enable them to continue
to conduct a limited range of activities, including accessing EEA trading venues and interdealer trading. BBPLC also has a Paris branch (to facilitate
access to Target 2), which is regulated by the ACPR.
Supervision in the US
Barclays PLC, Barclays Bank PLC and its New York branch, and Barclays Bank PLC’s US subsidiaries are subject to a comprehensive regulatory
framework involving numerous statutes, rules and regulations in the US. For example, the Barclays Bank Group’s US activities and operations are subject
to supervision and regulation by the Board of Governors of the Federal Reserve System (FRB), as well as additional supervision, requirements and
restrictions imposed by other federal and state regulators and self-regulatory organisations (SROs). In some cases, US requirements may impose
restrictions on the Barclays Bank Group’s global activities, in addition to its activities in the US.
Barclays PLC, Barclays Bank PLC, Barclays US Holdings Limited (BUSHL), Barclays US LLC (BUSL) and Barclays Group US Inc. (BGUS) are regulated as
bank holding companies (BHCs) by the FRB. BUSL is the Barclays Bank Group’s top-tier US holding company that holds substantially all of the Barclays
Bank Group’s US subsidiaries (including Barclays Capital Inc. and Barclays Bank Delaware). BUSL is subject to requirements in respect of capital
Risk review
Supervision and regulation
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adequacy, capital planning and stress testing, risk management and governance, liquidity, leverage limits, large exposure limits, activities restrictions
and financial regulatory reporting. Barclays Bank PLC’s New York branch is also subject to enhanced prudential standards relating to, among other
things, liquidity and risk management.
Barclays PLC, Barclays Bank PLC, BUSHL and BUSL have financial holding company (FHC) status under the Bank Holding Company Act of 1956. FHC
status allows these entities to engage in a variety of financial and related activities, directly or through subsidiaries, including underwriting, dealing and
market making in securities. Failure to maintain FHC status could result in increasingly stringent penalties and, ultimately, in the closure or cessation of
certain operations in the US.
In addition to oversight by the FRB, Barclays Bank PLC’s New York branch and many of the Barclays Bank Group’s subsidiaries are regulated by
additional authorities based on the location or activities of those entities. The New York branch of Barclays Bank PLC is subject to supervision and
regulation by the New York State Department of Financial Services (NYSDFS). Barclays Bank Delaware, a Delaware chartered bank, is subject to
supervision and regulation by the Delaware Office of the State Bank Commissioner, the Federal Deposit Insurance Corporation (FDIC), the FRB and the
Consumer Financial Protection Bureau (CFPB). The deposits of Barclays Bank Delaware are insured by the FDIC. Barclays PLC, Barclays Bank PLC,
BUSHL, BUSL, and BGUS are required to act as a source of strength for Barclays Bank Delaware. This could, among other things, require these entities to
inject capital into Barclays Bank Delaware if it fails to meet applicable regulatory capital requirements.
The Barclays Bank Group’s US securities broker/dealer and investment banking operations, are conducted primarily through Barclays Capital Inc., and
are also subject to ongoing supervision and regulation by the Securities and Exchange Commission (SEC), the Financial Industry Regulatory Authority
(FINRA) and other government agencies and SROs under US federal and state securities laws. BCI is also registered as Futures Commission Merchant
with the Commodity Futures Trading Commission (CFTC), through which the Barclays Group conducts its US futures and options on futures business,
including client clearing operations, which are subject to ongoing supervision and regulation by the CFTC, the National Futures Association and other
SROs.
Under the US framework for regulating swaps and security-based swaps established under Title VII of the Dodd-Frank Act, the Commodity Futures
Trading Commission (CFTC) has regulatory authority over swaps, the SEC has regulatory authority over security-based swaps, and the Commissions
jointly regulate mixed swaps. Accordingly, the Barclays Group’s US swaps and security-based swaps related activities are conducted by Barclays Bank
PLC and are subject to ongoing supervision and regulation by, the CFTC and the National Futures Association, and the SEC and FINRA, respectively.
Barclays Bank PLC is provisionally registered as a Swap Dealer with the CFTC and conditionally registered as a Security-based Swap Dealer with the SEC.
Barclays Bank PLC is also subject to the FRB swaps rules with respect to margin and capital requirements.
Supervision in Asia Pacific
The Barclays Bank Group’s operations in Asia Pacific are supervised and regulated by a broad range of national banking and financial services
regulators.
Prudential regulation
Certain Basel III standards were implemented in EU law through the Capital Requirements Regulation (CRR) and the Capital Requirements Directive IV
(CRD IV), as amended by CRR II and CRD V. These standards were retained in the UK regulatory framework via a series of onshoring instruments as part
of the UK’s withdrawal from the European Union. Beyond the minimum standards required by CRR, the PRA has expected the Barclays Group, in
common with other major UK banks and building societies, to meet a 7% Common Equity Tier 1 (CET1) ratio at the level of the consolidated group
since 1 January 2016.
Global systemically important banks (G-SIBs), such as the Barclays Group, are subject to a number of additional prudential requirements, including the
requirement to hold additional loss-absorbing capacity and additional capital buffers above the level required by Basel III standards. The level of the G-
SIB buffer is set by the Financial Stability Board (FSB) according to a bank’s systemic importance and can range from 1% to 3.5% of risk-weighted
assets (RWAs). The G-SIB buffer must be met with CET1. In November 2021, the FSB published an update to its list of G-SIBs, maintaining the 1.5% G-
SIB buffer that applies to the Barclays Group.
The Barclays Group is also subject to a ‘combined buffer requirement’ consisting of (i) a capital conservation buffer, and (ii) a countercyclical capital
buffer (CCyB). The CCyB is based on rates determined by the regulatory authorities in each jurisdiction in which the Barclays Group maintains
exposures. In March 2020, the FPC cut the UK CCyB rate to 0% with immediate effect in order to support the supply of credit expected as a result of the
COVID-19 pandemic. At its meeting in December 2021 the FPC agreed that it would raise the UK CCyB rate to 1% with effect from 13 December 2022.
The PRA requires UK firms to hold additional capital to cover risks which the PRA assesses are not fully captured by the Pillar 1 capital requirement. The
PRA sets this additional capital requirement (Pillar 2A) at least annually, derived from each firm's individual capital guidance. Under current PRA rules,
the Pillar 2A must be met with at least 56.25% CET1 capital and no more than 25% tier 2 capital. In addition, the capital that firms use to meet their
minimum requirements (Pillar 1 and Pillar 2A) cannot be counted towards meeting the combined buffer requirement.
The PRA may also impose a 'PRA buffer' to cover risks over a forward looking planning horizon, including with regard to firm-specific stresses or
management and governance weaknesses. If the PRA buffer is imposed on a specific firm, it must be met separately to the combined buffer
requirement, and must be met fully with CET1 capital.
In July 2021 and October 2021, the PRA, respectively published a policy statement and confirmation, setting out its planned implementation of certain
Basel III standards, including the net stable funding ratio (NSFR), the new counterparty credit risk standard (SA-CCR) and rules on large exposures. As
part of this policy statement, the PRA also confirmed that it would maintain its approach of requiring the deduction of software assets from capital. The
PRA will consult shortly on the implementation of the remaining Basel III standards, which include a revised standardised approach for credit risk, the
elimination of modelled approaches for certain credit risk exposure categories, a new standardised approach for operational risk, a new market risk
approach and the implementation of an output floor requiring reported RWAs calculated under standardised and modelled approaches to be a
minimum of 72.5% of fully standardised calculations. The EU has also launched its legislative process for implementing these remaining Basel III
reforms. In October 2021, the FPC and PRA published a policy statement setting out changes to the leverage ratio framework, including applying the
leverage ratio requirement on an individual basis and making sub-consolidation available as an alternative to individual application where a firm has
subsidiaries that can be consolidated.
Risk review
Supervision and regulation
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In the US, in October 2019, the FRB and other US regulatory agencies released final rules to tailor the applicability of prudential requirements for large
domestic US banking organisations, foreign banking organisations and their intermediate holding companies (IHCs), including BUSL. BUSL is a
“Category III” IHC. BUSL (and Barclays Bank Delaware) is therefore subject to reduced (calibrated at 85%) standardised liquidity requirements, including
the liquidity coverage ratio and NSFR.
In June 2018 and October 2019, the FRB finalised rules regarding single counterparty credit limits (SCCL). The SCCL apply to the largest US BHCs and
foreign banks’ (including the Barclays Bank Group’s) US operations. The SCCL creates two separate limits for foreign banks, the first on combined US
operations (CUSO) and the second on the US IHC (BUSL). The SCCL for US BHCs, including BUSL, requires that exposure to an unaffiliated counterparty
of BUSL not exceed 25% of BUSL’s tier 1 capital. With respect to the CUSO, the SCCL rule allows certification to the FRB that a foreign bank complies
with comparable home country regulation.
Barclays Bank PLC was not required to comply with the CUSO requirement until 1 January 2022, with the first certification applicable for Q1 2022
results.
Stress testing
The Barclays Group and certain of its members, including Barclays Bank PLC, are subject to supervisory stress testing exercises in a number of
jurisdictions, designed to assess the resilience of banks to adverse economic or financial developments and ensure that they have robust, forward-
looking capital planning processes that account for the risks associated with their business profile. Assessment by regulators is on both a quantitative
and qualitative basis, the latter focusing on such elements as data provision, stress testing capability including model risk management and internal
management processes and controls.
Recovery and Resolution
Stabilisation and resolution framework
The UK framework for recovery and resolution was established by the Banking Act 2009, as amended. The EU framework was established by the 2014
Bank Recovery and Resolution Directive (BRRD), as amended by BRRD II.
The BoE, as the UK resolution authority, has the power to resolve a UK financial institution that is failing or likely to fail by exercising several stabilisation
options, including transferring such institution’s business or securities to a commercial purchaser or a ‘bridge bank’ owned by the BoE or transferring
the institution into temporary public ownership. When exercising any of its stabilisation powers, the BoE must generally provide that shareholders bear
first losses, followed by creditors in accordance with the priority of their claims in insolvency.
In order to enable the exercise of its stabilisation powers, the BoE may impose a temporary stay on the rights of creditors to terminate, accelerate or
close out contracts, or override events of default or termination rights that might otherwise be invoked as a result of a resolution action and modify
contractual arrangements in certain circumstances (including a variation of the terms of any securities). HM Treasury may also amend the law for the
purpose of enabling it to use its powers under this regime effectively, potentially with retrospective effect.
In addition, the BoE has the power to permanently write-down, or convert into equity, tier 1 capital instruments, tier 2 capital instruments and internal
eligible liabilities at the point of non-viability of the bank.
The BoE’s preferred approach for the resolution of the Barclays Group is a bail-in strategy with a single point of entry at Barclays PLC. Under such a
strategy, Barclays PLC’s subsidiaries would remain operational while Barclays PLC’s capital instruments and eligible liabilities would be written down or
converted to equity in order to recapitalise the Barclays Group and allow for the continued provision of services and operations throughout the
resolution. The order in which the bail-in tool is applied reflects the hierarchy of capital instruments under CRD IV and otherwise respecting the
hierarchy of claims in an ordinary insolvency. Accordingly, the more subordinated the claim, the more likely losses will be suffered by owners of the
claim.
The PRA has made rules that require authorised firms to draw up recovery plans and resolution packs, as required by the BRRD. Recovery plans are
designed to outline credible actions that authorised firms could implement in the event of severe stress in order to restore their business to a stable and
sustainable condition. Removal of potential impediments to an orderly resolution of a banking group or one or more of its subsidiaries is considered as
part of the BoE’s and PRA’s supervisory strategy for each firm, and the PRA can require firms to make significant changes in order to enhance
resolvability. The Barclays Group currently provides the PRA with a recovery plan annually and with a resolution pack as requested.
Under the Resolvability Assessment Framework (RAF), firms are required to have in place capabilities covering three resolvability outcomes: (i) adequate
financial resources; (ii) being able to continue to do business through resolution and restructuring; and (iii) being able to communicate and co-ordinate
within the firm and with authorities. The first self-assessment report on these capabilities was submitted by the Barclays Group to the PRA/BoE in 2021
with public disclosures required by both firms and the PRA/BoE in June 2022 (and every two years thereafter).
While regulators in many jurisdictions have indicated a preference for single point of entry resolution for the Barclays Group, additional resolution or
bankruptcy provisions may apply to certain Barclays Bank Group entities or branches.
In the US, BUSL is subject to the Orderly Liquidation Authority established by Title II of the Dodd-Frank Act (DFA), a regime for the orderly liquidation of
systemically important financial institutions by the FDIC, as an alternative to proceedings under the US Bankruptcy Code. In addition, the licensing
authorities of Barclays Bank PLC New York branch and of Barclays Bank Delaware have the authority to take possession of the business and property of
the applicable branch or entity they license and/or to revoke or suspend such licence.
In the US, Title I of the DFA, as amended, and the implementing regulations issued by the FRB and the FDIC require each bank holding company with
assets of $250bn or more, including those within the Barclays Group, to prepare and submit a plan for the orderly resolution of subsidiaries and
operations in the event of future material financial distress or failure. The Barclays Group submitted a “targeted plan” in December 2021. The Barclays
Group’s next submission of the US Resolution Plan in respect of its US operations will be a “full plan” due in 2024.
Barclays Bank Ireland PLC, as a significant institution under the Single Resolution Mechanism Regulation (SRMR), is subject to the powers of the Single
Resolution Board (SRB) as the Eurozone resolution authority. The CBI and the ECB require Barclays Bank Ireland PLC to submit a standalone BRRD-
compliant recovery plan on an annual basis. The SRB has the power to require data submissions specific to Barclays Bank Ireland PLC under powers
Risk review
Supervision and regulation
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conferred upon it by the BRRD and the SRMR. The SRB will exercise these powers to determine the optimal resolution strategy for Barclays Bank Ireland
PLC in the context of the BoE’s preferred resolution strategy of single point of entry with bail-in at Barclays PLC. The SRB also has the power under the
BRRD and the SRMR to develop a resolution plan for Barclays Bank Ireland PLC.
TLAC and MREL
The Barclays Group is subject to a Minimum Requirement for own funds and Eligible Liabilities (MREL), which includes a component reflecting the FSB’s
standards on total loss absorbency capacity (TLAC).
The MREL requirements were fully implemented by 1 January 2022, at which time G-SIBs with resolution entities incorporated in the UK will be required
to meet an MREL equivalent to the higher of: (i) two times the sum of their Pillar 1 and Pillar 2A requirements; or (ii) the higher of two times their
leverage ratio or 6.75% of leverage exposures. Internal MREL for operating subsidiaries is subject to a scalar in the 75-90% range of the external
requirement that would apply to the subsidiary if it were a resolution entity. The starting point for the scalar is 90% for ring-fenced bank sub-groups.
Barclays Bank Ireland PLC is subject to the SRB’s MREL policy, as issued in May 2021, in respect of the internal MREL that it will be required to issue to
Barclays Bank Group. The SRB’s current calibration of internal MREL for non-resolution entities is expressed as two ratios that have to be met in parallel:
(a) two times the sum of: (i) the firm’s Pillar 1 requirement; (ii) its Pillar 2 requirement; and (b) two times the leverage ratio. The SRB’s policy does not
envisage the application of any scalar in respect of the internal MREL requirement.
In the US, the FRB’s TLAC rule includes provisions that require BUSL to have: (i) a specified outstanding amount of eligible long-term debt; (ii) a specified
outstanding amount of TLAC (consisting of common and preferred equity regulatory capital plus eligible long-term debt); and (iii) a specified common
equity buffer. In addition, the FRB’s TLAC rule prohibits BUSL, for so long as the Barclays Group’s overall resolution plan treats BUSL as a non-resolution
entity, from issuing TLAC to entities other than those within the Barclays Group.
Bank Levy and FSCS
The BRRD established a requirement for EU member states to set up a pre-funded resolution financing arrangement with funding equal to 1% of
covered deposits by 31 December 2024 to cover the costs of bank resolutions. The UK has implemented this requirement by way of a tax on the balance
sheets of banks known as the ‘Bank Levy’.
In addition, the UK has a statutory compensation fund called the Financial Services Compensation Scheme (FSCS), which is funded by way of annual
levies on most authorised financial services firms.
Structural reform
In the UK, the Financial Services (Banking Reform) Act 2013 put in place a framework for ring-fencing certain operations of large banks. Ring-fencing
requires, among other things, the separation of the retail and smaller deposit-taking business activities of UK banks into a legally distinct, operationally
separate and economically independent entity, which is not permitted to undertake a range of activities.
US regulation places further substantive limits on the activities that may be conducted by banks and holding companies, including foreign banking
organisations such as the Barclays Group. The ‘Volcker Rule’, which was part of the DFA and which came into effect in the US in 2015, prohibits banking
entities from undertaking certain proprietary trading activities and limits such entities’ ability to sponsor or invest in certain private equity funds and
hedge funds (in each case broadly defined). As required by the rule, the Barclays Group has developed and implemented an extensive compliance and
monitoring programme addressing proprietary trading and covered fund activities (both inside and outside of the US).
Market infrastructure regulation
In recent years, regulators as well as global-standard setting bodies such as the International Organisation of Securities Commissions (IOSCO) have
focused on improving transparency and reducing risk in markets, particularly risks related to over-the-counter (OTC) transactions. This focus has
resulted in a variety of new regulations across the G20 countries and beyond that require or encourage on-venue trading, clearing, posting of margin
and disclosure of pre-trade and post-trade information.
The European Market Infrastructure Regulation (EMIR) has introduced requirements designed to improve transparency and reduce the risks associated
with the derivatives market. EMIR has potential operational and financial impacts on the Barclays Group, including by imposing new collateral
requirements on a broader range of market participants from 2022. If not extended, the EU’s equivalence decision for UK Central Clearing
Counterparties (CCPs), and exemption for certain intragroup transactions from the EMIR derivatives clearing and margin obligations, both due to expire
at the end of June 2022, could also have operational and financial impacts on the Barclays Group.
The Markets in Financial Instruments Directive and Markets in Financial Instruments Regulation (collectively referred to as MiFID II) have affected many
of the markets in which the Barclays Group operates, the instruments in which it trades and the way it transacts with market counterparties and other
customers. MiFID II is currently undergoing a review process in both the EU and the UK, including as part of the EU’s ongoing focus on the development
of a stronger Capital Markets Union and the UK’s Wholesale Markets Review.
The EU Regulation on Sustainability-Related Disclosures introduces disclosure obligations requiring financial institutions to explain how they integrate
environmental, social and governance factors in their investment decisions for certain financial products. In addition, the EU Taxonomy Regulation
provides for a general framework for the development of an EU-wide classification system for environmentally sustainable economic activities. In the
UK, the FCA has announced that the UK Green Taxonomy Technical Screening Criteria will be finalised by the end of 2022. Reporting against the
Taxonomy will form part of the UK’s new Sustainability Disclosure Requirements (SDR). Certain companies will be required to disclose which portion of
their activities are Taxonomy-aligned. The structure of the Taxonomy draws on the EU approach and has six environmental objectives (climate change
mitigation, climate change adaptation, sustainable use and protection of water and marine resources, transition to a circular economy, pollution
prevention and control and protection and restoration of biodiversity). The UK regulators are also consulting on a new SDR Framework for firms as well
as investment product disclosures, including a new sustainable investment labelling regime.
The EU and UK Benchmarks Regulation apply to the administration, contribution and use of benchmarks within the EU and the UK, respectively.
Financial institutions within the EU or the UK, as applicable, are prohibited from using benchmarks unless their administrators are authorised, registered
or otherwise recognised in the EU or the UK, respectively. The FCA has stated that it does not intend to support LIBOR after the end of 2021.
Risk review
Supervision and regulation
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G lobal regulators in conjunction with the industry have developed and are continuing to develop alternative benchmarks and risk-free rate fallback
arrangements, including updates to existing, as well as new, applicable legislation.
US regulators have imposed similar rules as the EU with respect to the mandatory on-venue trading and clearing of certain derivatives, and post-trade
transparency, as well as in relation to the margining of OTC derivatives. US regulators have finalised certain aspects of their rules with respect to their
application on a cross-border basis, including with respect to their registration requirements in relation to non-US swap dealers and security-based
swap dealers. The regulators may adopt further rules, or provide further guidance, regarding cross-border applicability. In December 2017, the CFTC
and the European Commission recognised the trading venues of each other’s jurisdiction to allow market participants to comply with mandatory on-
venue trading requirements while trading on certain venues recognised by the other jurisdiction. In November 2021, the CFTC extended temporary relief
that would permit trading venues and market participants located in the UK to continue to rely on this mutual recognition framework following the
withdrawal of the UK from the EU.
Certain participants in US swap markets are required to register with the CFTC as ‘swap dealers’ or ‘major swap participants’ and with the SEC as
‘security-based swap dealers’ or ‘major security-based swap participants’. Such registrants are subject to CFTC and SEC regulation and oversight.
Entities required to register as swap dealers and security-based swap dealers are subject to business conduct, record-keeping and reporting
requirements under both CFTC and SEC rules. Barclays Bank PLC is also subject to regulation by the FRB, and is both provisionally registered with the
CFTC as a swap dealer and conditionally registered with the SEC as a security-based swap dealer.
Accordingly, Barclays Bank PLC is subject to CFTC rules on business conduct, record-keeping and reporting and to FRB rules on capital and margin. The
CFTC has approved certain comparability determinations that permit substituted compliance with non-US regulatory regimes for certain swap
regulations. Substituted compliance is permitted for certain transaction-level requirements, where applicable, only with respect to transactions between
a non-US swap dealer and certain non-US counterparties, whereas entity-level determinations generally apply on an entity-wide basis regardless of
counterparty status. In November 2021, the CFTC extended temporary relief that would permit swap dealers located in the UK to continue to rely on
existing CFTC substituted compliance determinations with respect to EU requirements in the event of a withdrawal of the UK from the EU. In July 2020
the CFTC adopted no-action relief from application of CFTC transaction level requirements to transactions between a non-US swap dealer and a non-US
counterparty that are “arranged, negotiated or executed” by personnel of the swap dealer or its agent in the US. The final rules also codify certain
aspects of the CFTC’s current cross-border framework with respect to internal and external business conduct requirements.
As of 1 November 2021, Barclays Bank PLC became conditionally registered as a security-based swap dealer with the SEC and subject to SEC rules on
business conduct, recordkeeping and reporting, similar to the CFTC rules noted above. The SEC approved certain comparability determinations that
permit conditional substituted compliance with non-US regulatory regimes for certain security-based swap regulations. Due to the conditionality of the
determinations Barclays Bank PLC is relying on substituted compliance only with respect to a few entity-wide regulations. Many of the regulations under
the CFTC and SEC regimes are complementary, however, the SEC does require non-US security-based swap dealers to comply with certain SEC rules in
connection with transactions that are “arranged, negotiated or executed” from the US expanding the scope and impact of the SEC regime to
transactions with a greater number of non-US counterparties. As noted above, Barclays Bank PLC is subject to FRB rules on capital and margin.
Other regulation
Consumer protection, culture and diversity and inclusion
In May 2021, the FCA published a consultation paper proposing the imposition of a new consumer duty on firms. The duty looks to set higher
expectations for the standard of care that firms provide to customers and will impact all aspects of Barclays’ retail businesses, including every customer
journey, product and service as well as our relationships with partners, suppliers and third parties. This will result in significant implementation costs
and there will also be higher ongoing costs for the industry as a result of extensive monitoring and evidential requirements. Final rules are due to be
published by July 2022.
Our regulators have enhanced their focus on the promotion of cultural values as a key area for banks, although they generally view the responsibility for
reforming culture as primarily sitting with the industry. The UK regulators have also begun focusing on diversity and inclusion in financial services firms,
with the Bank of England, PRA and FCA having published a joint discussion paper and the FCA having published a consultation paper on this topic in
July 2021.
Data protection and PSD2
Most countries where Barclays Group operates have comprehensive laws requiring openness and transparency about the collection and use of personal
information, and protection against loss and unauthorised or improper access. Regulations regarding data protection are increasing in number, as well
as levels of enforcement, as manifested in increased amounts of fines and the severity of other penalties. We expect that personal privacy and data
protection will continue to receive attention and focus from regulators, as well as public scrutiny and attention.
The EU’s General Data Protection Regulation (GDPR) created a broadly harmonised privacy regime across EU member states, introducing mandatory
breach notification, enhanced individual rights, a need to openly demonstrate compliance, and significant penalties for breaches. The extraterritorial
effect of the GDPR means entities established outside the EU may fall within the Regulation’s ambit when offering goods or services to European based
customers or clients. Following the UK’s withdrawal from the EU, the UK continues to apply the GDPR framework (as onshored into UK law and hence
now referred to as the ‘UK GDPR’ - this sits alongside an amended version of the UK Data Protection Act 2018). The GDPR has become the global
touchstone as countries around the world either usher in or contemplate similar data privacy laws, or align their existing legislation. In 2020, the
European Court of Justice (CJEU) invalidated the EU-US Privacy Shield as a mechanism for transferring EU personal data to the US and placed additional
requirements on the use of standard contractual clauses (SCCs) for transfers of personal information to third countries. In 2021, the European
Commission published new SCCs to meet the requirements of GDPR and the CJEU decision, known as Schrems II. Implementing the new SCCs, which
involve case-by-case transfer impact assessments and other safeguards, is likely to result in increased compliance costs for the Barclays Bank Group.
During 2020 and 2021 new privacy laws were passed in Switzerland, took effect in Brazil, Mainland China and Dubai, and were proposed in India.
Noncompliance with any of these requirements could lead to regulatory fines and other penalties.
In the US, Barclays US Consumer Bank is subject to the US Federal Gramm-Leach-Bliley Act (GLBA) the California Consumer Privacy Act of 2018, which
came into effect on 1 January 2020 (CCPA) and the California Privacy Rights Act which was passed in November 2020 (CPRA) and will take effect in
January 2023 with respect to data collected as early as January 2022. The GLBA limits the use and disclosure of non-public personal information to non-
affiliated third parties and requires financial institutions to provide written notice of their privacy policies and practices and implement certain
Risk review
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information security policies and practices. Any violations of the GLBA could subject the US Consumer Bank to additional reporting requirements or
regulatory investigation or audits by the financial regulators. The CCPA applies to personal information that is not collected, processed, sold or disclosed
pursuant to the GLBA, and it requires the US Consumer Bank to provide California consumers (as defined in the law) with additional disclosures
regarding the collection, use and sharing of personal information, and grants California consumers access, deletion, and other rights with respect to
their personal information, including the right to opt-out of certain sales or transfers of such personal information. The CCPA subjects the US Consumer
Bank to enforcement penalties by the Attorney General of the State of California, and grants a private right of action with respect to certain data
breaches. The CPRA significantly modifies the CCPA, including by imposing additional obligations on covered companies and expanding consumers’
rights with respect to certain sensitive personal information, and creates a new state agency that will be vested with authority to implement and enforce
both the CCPA and the CPRA, potentially resulting in further uncertainty in the interpretation and enforcement of both laws. In addition, all 50 states
have laws including obligations to provide notification of security breaches of computer databases that contain personal information to affected
individuals, state officers and others.
In addition, on 28 May 2020, the National People’s Congress of the PRC approved the PRC Civil Code, which took effect on 1 January 2021. Pursuant to
the PRC Civil Code, the collection, storage, use, process, transmission, provision and disclosure of personal information shall follow the principles of
legitimacy, properness and necessity.
From 2019, new rules apply under the revised Payment Services Directive (PSD2) that affect the way banks and other payment services providers check
that the person requesting access to an account or trying to make a payment is permitted to do so. This is referred to as strong customer authentication
(SCA). The deadline for implementing SCA for e-commerce has been extended by the FCA to 14 March 2022.
Cyber security and operational resilience
Regulators in the UK, the EU and the US continue to focus on cyber security risk management, organisational operational resilience and overall
soundness across all financial services firms, with customer and market expectations of continuous access to financial services remaining at an all-time
high.
The regulatory focus has been further heightened by the increasing number of high-profile ransomware and other supply chain attacks seen across the
industry during the COVID-19 pandemic. This is evidenced by the continuing publication of laws and changes to regulatory frameworks globally. For
example, legislation has been introduced in the US that aims to expand cyber security notification requirements for critical infrastructure, whilst in the
UK a new framework for operational resilience focused on the identification of, and setting impact tolerances for, important business services came into
effect in March 2021. In 2022, the European Union’s Digital Operational Resilience Act (DORA) is expected to introduce comprehensive and sector
specific regulation on ICT incident reporting, testing and third party risk management, and provide for direct oversight of critical third party ICT
providers servicing the EU financial services sector. However, such measures are likely to result in increased technology and compliance costs for the
Barclays Bank Group.
Sanctions and financial crime
The UK Bribery Act 2010 introduced a new form of corporate criminal liability focused broadly on a company’s failure to prevent bribery on its behalf.
The Criminal Finances Act 2017 introduced new corporate criminal offences of failing to prevent the facilitation of UK and overseas tax evasion. Both
pieces of legislation have broad application and in certain circumstances may have extraterritorial impact on entities, persons or activities located
outside the UK, including Barclays PLC’s subsidiaries outside the UK. The UK Bribery Act requires the Barclays Bank Group to have adequate procedures
to prevent bribery which, due to the extraterritorial nature of the Act, makes this both complex and costly. Additionally, the Criminal Finances Act
requires the Barclays Group to have reasonable prevention procedures in place to prevent the criminal facilitation of tax evasion by persons acting for, or
on behalf of, the Barclays Group.
The Sanctions and Anti-Money Laundering Act became law in the UK in 2018. The Act allows for the adoption of an autonomous UK sanctions regime,
as well as a more flexible licensing regime post-Brexit. On 6 July 2020, the UK Government announced the first sanctions that have been implemented
independently by the UK outside the auspices of the UN and EU. The autonomous UK sanctions regime came into force on 1 January 2021. The
sanctions apply within the UK and in relation to the conduct of all UK persons wherever they are in the world; they also apply to overseas branches of UK
companies.
In the US, the Bank Secrecy Act, the USA PATRIOT Act 2001, the Anti-Money Laundering Act of 2020 and regulations thereunder contain numerous
anti-money laundering and anti-terrorist financing requirements for financial institutions. In addition, the Barclays Bank Group is subject to the US
Foreign Corrupt Practices Act, which prohibits, among other things, corrupt payments to foreign government officials. It is also subject to various
economic sanctions laws, regulations and executive orders administered by the US government, which prohibit or restrict some or all business activities
and other dealings with or involving certain individuals, entities, groups, countries and territories.
In some cases, US state and federal regulations addressing sanctions, money laundering and other financial crimes may impact entities, persons or
activities located or undertaken outside the US, including Barclays PLC and its subsidiaries. US government authorities have aggressively enforced these
laws against financial institutions in recent years. Failure of a financial institution to ensure compliance with such laws could have serious legal, financial
and reputational consequences for the institution.
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Detailed analysis of our financial statements, independently audited and providing in-depth disclosure on the financial performance of the Barclays Bank
PLC.
Consolidated financial statements
Page
Note
▪Independent Auditor’s Report
128
n/a
▪Consolidated income statement
148
n/a
▪Consolidated statement of comprehensive income
149
n/a
▪Consolidated balance sheet
150
n/a
▪Consolidated statement of changes in equity
151
n/a
▪Consolidated cash flow statement
153
n/a
Parent company accounts
▪Parent company accounts
154-157
n/a
Notes to the financial statements
▪Significant accounting policies
158
1
Financial performance and returns
▪Segmental reporting
162
2
▪Net interest income
163
3
▪Net fee and commission income
164
4
▪Net trading income
166
5
▪Net investment income
167
6
▪Credit impairment charges
167
7
▪Operating expenses
171
8
▪Tax
171
9
▪Dividends on ordinary shares and preference shares
175
10
Assets and liabilities held at fair value
▪Trading portfolio
176
11
▪Financial assets at fair value through the income statement
176
12
▪Derivative financial instruments
178
13
▪Financial assets at fair value through other comprehensive income
191
14
▪Financial liabilities designated at fair value
192
15
▪Fair value of financial instruments
192
16
▪Offsetting financial assets and financial liabilities
205
17
Assets at amortised cost and other investments
▪Loans and advances and deposits at amortised cost
207
18
▪Property, plant and equipment
208
19
▪Leases
209
20
▪Goodwill and intangible assets
211
21
Accruals, provisions, contingent liabilities and legal
proceedings
▪Other liabilities
215
22
▪Provisions
215
23
▪Contingent liabilities and commitments
216
24
▪Legal, competition and regulatory matters
217
25
Capital instruments, equity and reserves
▪Subordinated liabilities
222
26
▪Ordinary shares, preference shares and other equity
227
27
▪Reserves
230
28
Employee benefits
▪Staff costs
231
29
▪Share-based payments
231
30
▪Pensions and post-retirement benefits
233
31
Scope of consolidation
▪Principal subsidiaries
240
32
▪Structured entities
242
33
▪Investments in associates and joint ventures
245
34
▪Securitisations
245
35
▪Assets pledged, collateral received and assets transferred
247
36
Other disclosure matters
▪Related party transactions and Directors’ remuneration
250
37
▪Disposal of business
253
38
▪Auditor’s remuneration
253
39
▪Interest rate benchmark reform
253
40
▪Related undertakings
258
41
Financial statements
Contents
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1.OUR OPINION IS UNMODIFIED
In our opinion:
•the financial statements of Barclays Bank PLC give a true and fair view of the Group’s and of the Parent Company’s affairs as at 31 December
2021, and of the Group’s profit for the year then ended;
•the Group financial statements have been properly prepared in accordance with UK-adopted international accounting standards;
•the Parent Company financial statements have been properly prepared in accordance with UK-adopted international accounting standards as
applied in accordance with the provisions of the Companies Act 2006;
•the financial statements have been prepared in accordance with the requirements of the Companies Act 2006.
WHAT OUR OPINION COVERS
We have audited the Group and Parent Company financial statements of Barclays Bank PLC for the year ended 31 December 2021 (FY21) included in the
Annual Report and Accounts, which comprise:
Group (Barclays Bank PLC and its subsidiaries)
Parent Company (Barclays Bank PLC)
Consolidated income statement
Balance sheet
Consolidated statement of comprehensive income
Statement of changes in equity
Consolidated balance sheet
Cash flow statement
Consolidated statement of changes in equity
Consolidated cash flow statement
Notes 1 to 41 of the Consolidated Financial Statements, including the
summary of significant accounting policies
ADDITIONAL OPINION IN RELATION TO IFRS AS ADOPTED BY THE EUROPEAN UNION
As explained in note 1 to the group financial statements, the group and the parent company, in addition to complying with its legal obligation to apply
UK-adopted international accounting standards, has also applied International Financial Reporting Standards adopted pursuant to Regulation (EC) No
1606/2002 as it applies in the European Union (“IFRSs as adopted by the EU”). In our opinion the group and the parent company financial statements
have been properly prepared in accordance with IFRSs as adopted by the EU.
BASIS FOR OPINION
We conducted our audit in accordance with International Standards on Auditing (UK) (“ISAs (UK)”) and applicable law. Our responsibilities are
described below. We believe that the audit evidence we have obtained is a sufficient and appropriate basis for our opinion. Our audit opinion and
matters included in this report are consistent with discussions with and our report to the Board Audit Committee.
We have fulfilled our ethical responsibilities under, and we remain independent of the Group in accordance with, UK ethical requirements including the
FRC Ethical Standard as applied to public interest entities.
Independent Auditor’s report
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2.OVERVIEW OF OUR AUDIT
Key Audit Matters
FACTORS
DRIVING OUR
VIEW OF RISKS
Following our FY20 audit and considering
developments affecting the Barclays Bank PLC Group
since then, we have updated our risk assessment.
The macro-economic environment has demonstrated
resilience during the emergence from the COVID-19
pandemic. This has contributed to a reduction in
expected credit loss (“ECL”) provisions compared to
2020. Income in the markets business has fallen versus
the prior year due to tighter spreads and a lower
volume of customer transactions while improved
capital market activity contributed to increased fee
income. Interest and fee income in Consumer, Cards
and Payments (CC&P,) businesses continued to be
under pressure due to lower customer activity resulting
in reduced average cards balances
As part of our risk assessment, we have maintained our
focus on future economic assumptions used by the Group
in estimates such as ECL and the valuation of the defined
benefit pension obligation. We have also maintained our
focus on the post model adjustments used in the
determination of the ECL provisions and on the
valuation of financial instruments held at fair value.
As a result of the improved macro-economic outlook
and reduced market volatility, the risks relating to the
valuation of certain property and private equity assets
of the defined benefit obligation scheme has reduced
and this has been removed from the Key Audit Matter
relating to the valuation of the UK pension scheme. The
reduction in risk is largely due to lower volatility.
Item
Impairment allowance on loans and
advance at amortised cost
4.1
Valuation of financial instruments held at
fair value
4.2
UK Pension scheme valuation
4.3
User access management
4.4
Similar risk to FY20
Decreased risk since FY20
Independent Auditor’s report
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OUR USE OF
SPECIALISTS
AND
INNOVATION
Using the work of specialists and specific team members with expertise in a specialised area of accounting or
auditing: We used our specialists and specific team members with expertise in a specialised area of accounting and
auditing to assist us in various aspects of our audit. This includes, for example:
–Credit risk modellers for our testing of the ECL models
–Economics specialists for our work related to the macro economic variables and scenarios used in the
determination of the ECL provisions
–Valuation specialists for our independent repricing of samples of financial instruments
–Actuarial pensions specialists for our work on the valuation of the defined benefit obligation
Incorporating unpredictability into our audit: A requirement of the auditing standards is that we undertake procedures
which are deliberately unexpected and could not have reasonably been predicted by Barclays’ management. As an
example, we performed audit procedures over Private Bank and Overseas Services (‘PBOS’) deposit and loans and
advances balances in different locations, including Monaco and Switzerland in the current year.
Innovation in the audit: Our audit is committed to driving innovation and the increased use of technology. In 2021 we
have continued to deploy a large number of data and analytics tools across our audit. We used control analytics to
perform some of our IT audit procedures over complete populations.
BOARD AUDIT
COMMITTEE
(“BAC”)
INTERACTION
During the year, the BAC met 11 times. KPMG is invited to attend all BAC meetings and is provided an opportunity to meet with
the BAC in private sessions without the Executive Directors being present. For each Key Audit Matter, we have set out
communications with the BAC in section 4 and have highlighted those matters that required particular judgement.
In addition, our audit team includes a senior partner who has specific responsibility for ensuring audit quality (our “Audit Quality
partner”). The Board Audit Committee met with the Audit Quality Partner, without the audit team present, to receive a report on
his assessment of audit quality.
The matters included in the BAC Chair’s report on page 21 are consistent with our observations of those meetings.
OUR
INDEPENDENCE
We have fulfilled our ethical responsibilities under, and we
remain independent of the Group in accordance with, UK
ethical requirements including the FRC Ethical Standard as
applied to public interest entities.
We have not performed any non-audit services during
FY21, or subsequently, which are prohibited by the FRC
Ethical Standard.
We were first appointed as auditor by the shareholders for
the year ended 31 December 2017. The period of total
uninterrupted engagement is for the five financial years
ended 31 December 2021.
The Group lead engagement partner is required to rotate
after five years. This is Michelle Hinchliffe’s third year as
lead engagement partner.
The average tenure of key audit partners who are
responsible for component audits as set out in section 7
below is three years, with the shortest being their first year
of involvement and longest being five years.
Total audit fee
£33m
Other audit related fees
£7m
Other services
£1m
Date first appointed
31 March 2017
Uninterrupted audit tenure
5 years
Next financial period which require a
tender
31 December
2027
Tenure of Group lead engagement
partner
3 years
Average tenure of key audit partners
3 years
Independent Auditor’s report
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MATERIALITY
(ITEM 6 BELOW)
The scope of our work is influenced by our view of
materiality and our assessed risk of material misstatement.
We have determined overall materiality for the Barclays
Bank PLC Group to be £170m (FY20: £170m).
A key judgement in determining materiality (and
performance materiality) is the appropriate benchmark
to select, based on our perception of the needs of
shareholders. We considered which benchmarks and
key performance indicators have the greatest bearing
on shareholder decisions.
Consistent with FY20, we determined that normalised
profit before tax from continuing operations remains the
key benchmark for the Barclays Bank PLC Group. For FY21
we have normalised profit before tax downward by £1.2bn
to adjust for the fact that ECL charges for the current year
are considered abnormally low in the recovery from the
COVID-19 pandemic. For FY20 we normalised this
benchmark upward by £1.4bn to adjust for the identified
impact of COVID-19 on the ECL charge.
As such, for FY21 we based our materiality on normalised
profit before tax, of which it represents 3.8% (FY20: 3.8%).
We have determined overall materiality for the Parent
Company to be £130m (FY20: £130m). Materiality for the
Parent Company financial statements was determined with
reference to a benchmark of normalised profit before tax
from continuing operations of which it represents 4%
(FY20: 0.3% of the referenced benchmark of net assets).
Normalised profit before tax from
continuing operations
£4,438m (2020: £4,460m)
£170m
Whole financial statements
materiality (2020: £170m)
£130m
Biggest component
materiality
Range of materiality for the
seven components
(£40m-£130m)
(2020: £40m to £130m)
£8m
Misstatements reported to
Board Audit Committee
(2020: £8m)
Our procedures on individual account balances and disclosures
were performed to performance materiality of £125m (2020:
£125m), to reduce to an acceptable level the risk that individually
immaterial misstatements in individual account balances add up to
a material amount across the financial statements as a whole.
Independent Auditor’s report
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GROUP SCOPE
(ITEM 7 BELOW)
We have performed top down risk assessment and
planning to determine the Group’s components that
require involvement from component auditors around
the world for the purpose of our opinion on the
consolidated financial statements.
We have also considered the extent to which the Group
has established central hubs in shared service centre
structures in India. The outputs from these hubs is
included in the financial information of the reporting
components and so the India operations are not
considered to be a separate component.
We have performed audit procedures centrally across
the Group, set out in more detail in Section 7. In
addition, we have performed Group level analysis on
the remaining components to determine whether
further risks of material misstatement exist in those
components.
During the COVID-19 pandemic we actively built a
virtual communication and oversight strategy between
the Group audit team and the components and certain
other participating locations, and this approach has
continued in the current year with limited physical
visits to overseas components. Further details are set
out in section 7.
We consider the scope of our audit, as agreed with the
Board Audit Committee, to be an appropriate basis for
our audit opinion.
■2020 Full scope audit
■2020 Audit of account balances
■2020 Other procedures
■2021 Full scope audit
■2021 Audit of account balances
■2021 Other procedures
Independent Auditor’s report
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THE IMPACT OF CLIMATE
CHANGE ON OUR AUDIT
In planning our audit, we have considered the potential impact of risks arising from climate change on the Group’s business and
its financial statements. The Group has set out its ambition under the Paris Accord to be a net zero bank by 2050. Further
information is provided in the Group’s Environment, Social and Governance report which has been incorporated into the 2021
Annual Report on pages 4.
Climate change risks, opportunities and the Group’s own commitments and changing regulations could have a significant impact
on the Group’s business and operations. There is the possibility that climate change risks, both physical and transitional, could
affect financial statement balances, through estimates such as credit risk and market risk. There is enhanced narrative in the
Annual Report on climate matters.
As part of our audit we performed a risk assessment of the impact of climate change risk and the commitments made by the
Group in respect of climate change on the financial statements and our audit approach. As a part of this we held discussions with
our own climate change professionals to challenge our risk assessment. In doing this we performed the following:
–Understanding management’s processes: We made enquiries to understand management’s assessment of
the potential impact of climate change risk on the Group’s Annual Report and Accounts and the Group’s
preparedness for this. As a part of this we made enquiries to understand management’s risk assessment
process as it relates to possible effects of climate change on the Annual Report and Accounts including
the way in which the accounting policies of the bank are updated to reflect climate change risks.
–Corporate credit risk: We assessed how the Group considers the impact of climate risk on corporate
counterparties through our individual loan assessments where, for performing counterparties, we
assessed how climate change risk impacts certain counterparties within the commercial and investment
bank, including the impact on their credit rating as applicable. The focus of our procedures was on certain
counterparties who operate in industries with greater exposure to climate risk - the energy,
transportation, materials and buildings, agriculture, food and forest product sectors.
–Market risk: We incorporated a consideration of the climate change impact on unobservable inputs used
in the valuation of certain financial instruments in elevated risk sectors including energy, metals and
mining.
–Stress testing: We inspected the climate stress testing performed by the Group which applied the Bank of
England’s 2021 Climate Biennial Exploratory Scenario.
–Annual report narrative: We made enquiries of management to understand the process by which climate
related narrative is developed including the primary sources of data used and the governance process in
place over the narrative. As a part of our risk assessment, we read the climate related information in the
front half of the Annual Report and considered consistency with the financial statements and our audit
knowledge.
On the basis of the procedures performed above, we concluded that, while climate change posed a risk to the
determination of asset values in the current year, the risk was not significant when we considered the nature of the assets
and the relevant contractual terms. As a result, there was no material impact from climate change on our key audit
matters.
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3.GOING CONCERN
GOING CONCERN
We used our knowledge of the Group and Parent Company, the financial services industry, and the
general economic environment to identify the inherent risks to the business model and analysed how
those risks might affect the Group’s and Parent Company’s financial resources or ability to continue
operations over the going concern period. The risks that management considered most likely to
adversely affect the Group’s and Parent Company’s available financial resources over this period and
which we challenged were:
–the availability of funding and liquidity in the event of a market wide stress scenario; and
–the impact on regulatory capital requirements in the event of an economic slowdown or
recession.
We considered whether these risks could plausibly affect the availability of financial resources in the
going concern period by comparing severe, but plausible downside scenarios that could arise from these
risks individually and collectively against the level of available financial resources indicated by the Group’s
financial forecasts.
Our procedures also included an assessment of whether the going concern disclosure in note 1 to the
financial statements gives a complete and accurate description of the Directors’ assessment of going
concern.
Accordingly, we found the use of the going concern basis of preparation without any material
uncertainty for the Group and Parent Company to be acceptable. However, as we cannot predict all
future events or conditions and as subsequent events may result in outcomes that are inconsistent with
judgements that were reasonable at the time they were made, the above conclusions are not a guarantee
that the Group or the Parent Company will continue in operation.
Our conclusions
▪We consider that the Directors’ use of
the going concern basis of
accounting in the preparation of the
Group’s and Parent Company’s
financial statements is appropriate
▪We have not identified, and concur
with the Directors’ assessment that
there is not, a material uncertainty
related to events or conditions that,
individually or collectively, may cast
significant doubt on the Group’s or
Parent Company's ability to continue
as a going concern for the going
concern period
▪We have nothing material to add or
draw attention to in relation to the
Directors’ statement in Note 1 to the
financial statements on the use of the
going concern basis of accounting
with no material uncertainties that
may cast significant doubt over the
Group and Parent Company’s use of
that basis for the going concern
period, and we found the going
concern disclosure in note 1 to be
acceptable
The Directors have prepared the financial statements on the going concern basis as they do not intend to liquidate the Parent Company or the Group or
to cease their operations, and they have concluded that the Parent Company’s and the Group’s financial position means that this is realistic. They have
also concluded that there are no material uncertainties that could have cast significant doubt over their ability to continue as a going concern for at least
a year from the date of approval of the financial statements (“the going concern period”).
4.KEY AUDIT MATTERS
What we mean
Key Audit Matters are those matters that, in our professional judgment, were of most significance in the audit of the financial statements and include
the most significant assessed risks of material misstatement (whether or not due to fraud) identified by us, including those which had the greatest
effect on:
▪the overall audit strategy;
▪the allocation of resources in the audit;
▪and directing the efforts of the engagement team.
We include below the Key Audit Matters in decreasing order of audit significance together with our key audit procedures to address those matters and
our results from those procedures. These matters were addressed, and our results are based on procedures undertaken for the purpose of our audit of
the financial statements as a whole. We do not provide a separate opinion on these matters.
4.1.IMPAIRMENT ALLOWANCES ON LOANS AND ADVANCES AT AMORTISED COST, INCLUDING OFF-BALANCE SHEET
ELEMENTS
Financial Statement Elements
Our assessment of risk vs FY20
Our results
FY21
FY20
Impairment allowances on
loans and advances at
amortised cost, including
off-balance sheet elements
£4bn
£5.8bn
Our assessment is the risk is similar
to FY20. While the macroeconomic
environment has improved during
the year, significant uncertainty
remains with regards to the timing
of the economic recovery as the
full economic impact of the
pandemic unfolds.
FY21: Acceptable
FY20: Acceptable
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Description of the Key Audit Matter
Our response to the risk
Subjective estimate
The estimation of expected credit losses
(“ECL”) on financial instruments, involves
significant judgement and estimates. The key
areas where we identified greater levels of
management judgement and therefore
increased levels of audit focus in the Group and
Parent Company’s estimation of ECLs are:
▪Model estimations – Inherently
judgemental modelling and assumptions
are used to estimate ECL which involves
determining Probabilities of Default
(“PD”), Probabilities of Survival (“PS”),
Loss Given Default (“LGD”), and Exposures
at Default (“EAD”). ECLs may be
inappropriate if certain models or
underlying assumptions do not accurately
predict defaults or recoveries over time,
become out of line with wider industry
experience, or fail to reflect the credit risk
of financial assets. As a result, certain IFRS
9 models and model assumptions are the
key drivers of complexity and subjectivity
in the Group’s calculation of the ECL
estimate.
▪Economic scenarios – IFRS 9 requires the
Group and Parent to measure ECLs on an
unbiased forward-looking basis reflecting
a range of future economic conditions.
Significant management judgement is
applied in determining the forward-looking
economic scenarios used, the probability
weightings associated with the scenarios
and the complexity of models used to
derive the probability weightings.
▪Qualitative adjustments – Adjustments to
the model-driven ECL results are raised by
management to address known
impairment model limitations or emerging
trends as well as risks not captured by
models. They represent approximately
16% net of the ECL. These adjustments are
inherently uncertain and significant
management judgement is involved in
estimating certain post model adjustments
(“PMA’s”) and management overlays.
The effect of these matters is that, as part of
our risk assessment, we determined that the
impairment of loans and advances to
customers including off balance sheet
elements has a high degree of estimation
uncertainty, with a potential range of
reasonable outcomes greater than our
materiality for the financial statements as a
whole, and possibly many times that amount.
The credit risk sections of the financial
statements (page 75-81) disclose the
sensitivities estimated by the Group.
Disclosure quality
The disclosures regarding the Group and
Parent's application of IFRS 9 are key to
explaining the key judgements and material
inputs to the IFRS 9 ECL results.
Our procedures to address the risk included:
Controls testing: We performed end to end process walkthroughs to identify the key systems,
applications and controls used in the ECL processes. We tested the relevant manual, general IT and
applications controls over key systems used in the ECL process.
Key aspects of our controls testing involved evaluating the design and testing the operating
effectiveness of the key controls over the:
•completeness and accuracy of the key inputs into the IFRS 9 impairment models;
•application of the staging criteria;
•model validation, implementation and monitoring;
•authorisation and calculation of post model adjustments and management overlays; and
•selection and implementation of economic variables and the controls over the economic
scenario selection and probabilities.
Our credit risk modelling expertise: We involved our own credit risk modellers specialists who
assisted in the following:
•evaluating the Group and Parent’s impairment methodologies for compliance with IFRS
9;
•inspecting model code for the calculation of certain components of the ECL model to
assess its consistency with the Group and Parent’s approved staging criteria and the
output of the model;
•evaluating for a selection of models which were changed or updated during the year as
to whether the changes (including the updated model code) were appropriate by
assessing the updated model methodology against the applicable accounting standard;
•reperforming the calculation of certain qualitative adjustments to assess consistency
with the qualitative adjustment methodologies;
•evaluating the model output for a selection of models by inspecting the corresponding
model functionality and independently implementing the model by rebuilding the model
code and comparing our independent output with management’s output; and
•assessing and reperforming, for a selection of models, the reasonableness of the model
predictions by comparing them against actual results and evaluating the resulting
differences.
Our economics expertise: We involved our own economic specialists who assisted us in:
•assessing the reasonableness of the Group and Parent’s methodology and models for
determining the economic scenarios used and the probability weightings applied to
them;
•assessing key economic variables which included comparing samples of economic
variables to external sources;
•assessing the overall reasonableness of the economic forecasts by comparing the Group
and Parent’s forecasts to our own modelled forecasts; and
•assessing the reasonableness of the Group and Parent’s qualitative adjustments by
challenging key economic assumptions applied in their calculation based on external
sources.
Test of details: Key aspects of our testing in addition to those set out above involved:
•Sample testing over key inputs into the ECL calculations; and
•Selecting a sample of post model adjustments, considering the size and complexity of
management overlays, in order to assess the reasonableness of the adjustments by
challenging key assumptions, inspecting the calculation methodology and tracing a
sample of the data used back to source data.
Assessing transparency: We assessed whether the disclosures appropriately disclose and address
the uncertainty which exists when determining the ECL. As a part of this, we assessed the
sensitivity analysis disclosures. In addition, we assessed whether the disclosure of the key
judgements and assumptions was sufficiently clear.
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Communications with the Barclays Bank PLC Board Audit Committee
We discussed with and reported to the Board Audit Committee our approach to the audit of the ECL provisions and conclusions arising from our audit
procedures. Areas that were covered included:
•the effectiveness of the control environment operating over the calculation of the ECL provisions;
•the determination of judgemental post model adjustments recognised;
•model monitoring results and adjustments made;
•management’s economic forecast and associated scenario probability weights;
•areas of under and over estimation in the ECL estimate; and
•the disclosures made to explain ECL, including explaining the resulting estimation uncertainty.
Areas of particular auditor judgement
We identified the following as the areas of particular auditor judgement:
•The appropriateness of the model estimations and adjustments recorded to the modelled driven ECL calculations to reflect the economic
uncertainty. This included the appropriateness of macro-economic forecasts and selection of probability weights used in the ECL
calculations.
Based on the risk identified and our procedures performed we considered the ECL charge, provision recognised and the related disclosures to be acceptable
(2020 result: acceptable).
Further information in the Annual Report and Accounts: See the Board Audit Committee Report on page 21 for details on how the Board Audit
Committee considered impairment as an area of focus, page 167 for the accounting policy on accounting for the impairment of financial assets under
IFRS 9, pages 57 - 97 for the credit risk disclosures, and page 167 for the financial disclosure note 7; Credit Impairment charges and other provisions.
4.2 VALUATION OF FINANCIAL INSTRUMENTS HELD AT FAIR VALUE
Financial Statement Elements
Our assessment of risk vs FY20
Our results
FY21
FY20
Level 2 assets at fair value*
(note 16)
£522.9bn
£556.8bn
Our assessment is that the risk
is similar to FY20.
FY21: Acceptable
FY20: Acceptable
Level 2 liabilities at fair value*
(note 16)
£521bn
£557.5bn
Level 3 assets at fair value
(note 16)
£12.4bn
£10.9bn
Level 3 liabilities at fair value
(note 16)
£6.5bn
£6.6bn
*The key audit matter identified relates to one derivatives
portfolio within this balance which we considered to be
harder to value.
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Description of the Key Audit Matter
Our response to the risk
Subjective valuation
The fair value of the Group’s financial instruments is
determined through the application of valuation
techniques which can involve the exercise of significant
judgement by the Group in relation to the choice of the
valuation models, pricing inputs and post-model pricing
adjustments, including fair value adjustments (FVAs) and
credit and funding adjustments (together referred to as
XVAs).
Where significant pricing inputs are unobservable,
management has limited reliable, relevant market data
available in determining the fair value and hence
estimation uncertainty can be high. These financial
instruments are classified as Level 3, with management
having controls in place over the boundary between Level
2 and 3 positions. Our significant audit risk is therefore
primarily over significant Level 3 portfolios.
In addition, there may also be valuation complexity
associated with Level 2 portfolios, specifically where
valuation modelling techniques result in significant
limitations or where there is greater uncertainty around
the choice of an appropriate pricing methodology, and
consequently more than one valuation methodology
could be used for that product across the market.
We identified two areas of such complexity. The first a
derivatives portfolio that we considered to be harder to
value Level 2 due to an element of modelling complexity
associated with the product, and the second the XVA
adjustments made to derivative valuations.
The effect of these matters is that, as part of our risk
assessment, we determined that the subjective estimates
in fair value measurement of certain portfolios, as
detailed above, have a high degree of estimation
uncertainty, with a potential range of reasonable
outcomes greater than our materiality for the financial
statements as a whole, and possibly many times that
amount. The financial statements (note 16) disclose the
sensitivity estimated by the Group and Parent.
As the Company progressed with industry-wide IBOR
transition milestones there were certain difficult-to-value
financial instruments that changed from referencing
IBOR to new risk-free reference (RFR) rates. We
supplemented our fair value audit procedures for these
instruments by testing management’s controls which
address the IBOR transition risks and selecting
incremental samples in our independent pricing of a
sample of financial instruments.
Disclosure quality
The disclosures are key to explaining the valuation
techniques, key judgements, assumptions and material
inputs.
Our procedures to address the risk included:
Risk assessment: We performed granular and detailed risk assessment procedures over
the entirety of Level 1, 2 and Level 3 balances within the Group and Parent’s financial
statements (i.e. all of the fair value financial instruments held by the Group and Parent). As
part of these risk assessment procedures we identified which portfolios have a risk of
material misstatement including those arising from significant judgements over valuation
either due to unobservable inputs or complex models, see left for more explanation.
Control testing: We attended management’s valuation committee throughout the year
and observed discussion and challenge over valuation themes including items related to
the valuation of certain difficult-to-value financial instruments recorded at fair value.
We performed end to end process walkthroughs to identify the key systems, applications
and controls used in the valuations processes. We tested the design and operating
effectiveness of key controls relating specifically to these portfolios. Key aspects of our
controls testing involved evaluating the design and testing the operating effectiveness of
the key controls over:
▪Independent price verification (IPV), performed by a control function, of key
market pricing inputs, including completeness of positions and valuation
inputs subject to the IPV process;
▪FVAs, including exit adjustments (to mark the portfolio to bid or offer prices),
model shortcoming reserves to address model limitations and XVAs;
▪The validation, completeness, implementation and usage of valuation models.
This included controls over assessment of model limitations and assumptions;
and
▪The assessment of the observability of a product and their unobservable
inputs.
Our valuations expertise: We involved our own valuations specialists in the following:
▪Independently re-pricing a selection of fair value financial instruments, including
additional selections for financial instruments referencing new RFRs and challenging
management on the valuations where they were outside our tolerance; and
▪Challenging the appropriateness of significant models and methodologies used in
calculating fair values, risk exposures and in calculating FVAs, including comparison
to industry practice.
Seeking contradictory evidence: For a selection of collateral disputes identified
through management’s control we challenged management’s valuation where
significant fair value differences were observable with the market participant on the
other side of the trade. We also utilised collateral dispute data to identify fair value
financial instruments with significant fair value differences against market
counterparties and selected these to independently reprice.
Inspection of movements: We inspected trading revenue arising on level 3 positions
to assess whether material gains or losses generated were in line with the accounting
standards.
Historical comparison: We performed a retrospective review by inspecting significant
gains and losses on a selection of new fair value financial instruments, position exits,
novations and restructurings and evaluated whether these data points indicated
elements of fair value not incorporated in the current valuation methodologies. We
also inspected movements in unobservable inputs throughout the period to
challenge whether any gain or loss generated was appropriate.
Assessing transparency: We assessed the adequacy of the Group and Parent's
financial statements disclosures in the context of the relevant accounting standards.
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Communications with the Barclays PLC Board Audit Committee
We discussed with and reported to the Board Audit Committee:
▪Our approach to the audit of the fair value of Level 3 and harder-to-value Level 2 financial instrument assets and liabilities. This included
details of our controls and substantive procedures.
▪Our conclusions on the appropriateness of Barclays’ fair value methodology, models, pricing inputs, and fair value adjustments.
Areas of particular auditor judgement
We identified the following as the areas of particular auditor judgement:
▪The appropriateness of the valuation of harder to value level 2 and level 3 financial instruments, and particularly the selection of market data
inputs and valuation models.
Based on the risk identified and our procedures performed, we consider the fair value of Level 3 and harder-to-value Level 2 financial instrument
assets and liabilities recognised to be acceptable (2020 result: acceptable).
Further information in the Annual Report and Accounts: See the Board Audit Committee Report on page 21 for details on how the Board Audit
Committee considered Valuations as an area of focus, page 192 for the accounting policy on financial assets and liabilities, and page 192 for the
financial disclosure note 16; Fair value of financial instruments.
4.3.VALUATION OF THE DEFINED BENEFIT PENSION OBLIGATION IN RESPECT OF THE UK RETIREMENT FUND (‘UKRF’)
Financial Statement Elements
Our assessment of risk vs FY20
Our results
FY21
FY20
Benefit obligation related to
UKRF (note 31)
£30.9bn
£32.1bn
We have not identified any significant
changes to the level of risk relating to the
defined benefit obligation since 2020.
We consider the risk around Level 3
pension scheme asset valuations to have
decreased from 2020 and these have
been removed from the Key Audit Matter.
This reflects the reduced market volatility
associated with COVID-19 compared to
prior year.
FY21: Acceptable
FY20: Acceptable
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Description of the Key Audit Matter
Our response to the risk
Subjective valuation
The valuation of the defined benefit obligation
in respect of the UKRF is dependent on key
actuarial assumptions, including the discount
rates, retail price index (‘RPI’) and mortality
assumptions. Small changes to these
assumptions have a significant impact on the
measurement of the defined benefit pension
obligation.
As part of our risk assessment, we determined
that the defined benefit pension obligation has
a high degree of estimation uncertainty, with a
potential range of reasonable outcomes
greater than our materiality for the financial
statements, and possibly many times that
amount.
At 31 December 2021, Barclays Bank PLC
Group and Parent reported a gross defined
benefit pension obligation of £30.9bn relating
to UKRF.
Disclosure quality
The disclosures regarding the Group and Parent’s
application of IAS 19 (including assumptions and
sources of estimation uncertainty) are key to
explaining the key judgements applied in the IAS
19 Defined Benefit Obligation calculation.
Our procedures to address the risk included:
Control testing: We performed end to end process walkthroughs to identify the key systems,
applications and controls used in the defined benefit obligation process. We tested the design
and operating effectiveness of key controls relating to the process. These included:
▪Controls over management’s review of IAS19 assumptions including the discount rate, RPI and
mortality assumptions.
▪Reconciliation controls of the IAS19 disclosures to underlying data.
Evaluation of management’s expert: We evaluated the objectivity and competence of management’s
actuarial expert involved in the valuation of the defined benefit pension obligation.
Our actuarial expertise: we involved our own actuarial professionals in the following:
▪Evaluating the judgements made and the appropriateness of methodologies used by
management and management’s actuarial expert in determining the key actuarial assumptions.
▪Comparing the assumptions used by Barclays to our independently compiled expected ranges
based on market observable indices and our market experience.
Assessing transparency: We assessed the adequacy of the Group and Parent's financial
statements disclosures in the context of the relevant accounting standards.
Communications with the Barclays Bank PLC Board Audit Committee
We discussed with and reported to the Board Audit Committee:
▪Our definition of the Key Audit Matter relating to the valuation of the defined benefit pension obligation and specifically the rationale for the removal
of pension assets, which was included in the prior year, from the definition of our Key Audit Matter.
▪We also discussed our audit response to the key audit matter which included the use of specialists to challenge key aspects of management’s
actuarial valuation.
Areas of particular auditor judgement
Subjective and complex auditor judgement was required in evaluating the key actuarial assumptions used by the Group and Parent (including the
discount rate, retail price index and mortality assumptions).
Based on the risk identified and our procedures performed we consider the valuation of the defined benefit pension obligation in respect of UKRF to
be acceptable (2020 result: acceptable).
Further information in the Annual Report and Accounts: See page 233 for the accounting policy on defined benefit schemes, and page 233 for the
financial disclosure note 31; Pensions and post-retirement benefits.
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4.4.USER ACCESS MANAGEMENT
Financial Statement Elements
Our assessment of risk vs FY20
Our results
User access management has a potential
impact throughout the financial statements.
Our assessment is the risk is
similar to FY20
FY21 and FY20:
Our testing did not identify unauthorised user
activities in the systems relevant to financial
reporting which would have required us to
significantly expand the extent of our planned
detailed testing.
Description of the Key Audit Matter
Our response to the risk
Control Performance
Operations across several countries support a
wide range of products and services resulting
in a large and complex IT infrastructure are
relevant to the financial reporting processes
and related internal controls.
User access management controls are an
integral part of the IT environment to ensure
both system access and changes made to
systems and data are authorised and
appropriate. Our audit approach relies on the
effectiveness of IT access management
controls. Our audit procedures identified
deficiencies in certain IT access controls for
systems relevant to financial reporting. More
specifically, control deficiencies were identified
around the primary monitoring of activities
performed by privileged users on a small
percentage of infrastructure components.
Management has ongoing programmes to
remediate the deficiencies. Since these
deficiencies were open during the year, we
performed additional procedures to respond to
the risk of unauthorised changes to automated
controls over financial reporting.
Our procedures to address the risk included:
Control testing: We tested the design, implementation and operating effectiveness of automated
controls that support material balances in the financial statements. We also tested the design and
operating effectiveness of the relevant preventative and detective general IT controls over user
access management including:
▪Authorising access rights for new joiners
▪Timely removal of user access rights
▪Logging and monitoring of user activities
▪Privileged user access management and monitoring
▪Developer access to transaction and balance information
▪Segregation of duties; and
▪Re-certification of user access rights.
We performed procedures to assess whether additional detective compensating controls operate
at the required level of precision to support our assessed risk of unauthorised activities and we
tested management’s incremental detective controls.
Communications with the Barclays Bank PLC Board Audit Committee
We discussed with and reported to the Board Audit Committee:
▪Our response to the Key Audit Matter which included the use of IT specialists to perform the testing.
Areas of particular auditor judgement
▪The Key Audit Matter relates to determining whether user access management controls were designed and implemented and operated
effectively. Limited auditor judgement was required relative to the other Key Audit Matters which have been identified.
Based on the risk identified and our procedures performed, we did not identify unauthorised user activities in the systems relevant to financial
reporting which would have required us to significantly expand the extent of our planned detailed testing.
We continue to perform procedures over the valuation of certain hard to value pension assets. However, given the general improvement in the
macroeconomic environment, the level of judgement and estimation uncertainty relating to this matter has reduced since the previous year. We have
therefore not identified this as being one of the significant risks in our current year audit and, therefore, not separately identified it in our report this year.
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5.OUR ABILITY TO DETECT IRREGULARITIES, AND OUR RESPONSE
FRAUD - IDENTIFYING AND RESPONDING TO RISKS OF MATERIAL MISSTATEMENT DUE TO FRAUD
FRAUD RISK
ASSESSMENT
To identify risks of material misstatement due to fraud (“fraud risks”) we assessed events or conditions that could indicate
an incentive or pressure to commit fraud or provide an opportunity to commit fraud.
In this risk assessment we considered the following:
▪Our meetings throughout the year with the Group Head of Risk, Group Head of Compliance and Group Head of Legal and
reviews of Barclays’ internal ethics and compliance reporting summaries, including those concerning investigations;
▪Enquiries of operational managers, internal audit, and the Board Audit Committee and inspection of policy documentation
as to the Group’s high-level policies and procedures relating to:
◦detecting and responding to the risks of fraud and whether they have knowledge of any actual, suspected or
alleged fraud; and
◦the internal controls established to mitigate risks related to fraud, including the appropriateness and impact of
changes made to these controls to facilitate remote/hybrid working;
▪The Group’s remuneration policies and key drivers for remuneration and bonus levels;
▪Discussions among the engagement team regarding how and where fraud might occur in the financial statements
and any potential indicators of fraud. The engagement team includes audit partners and staff who have extensive
experience of working with banks, and this experience was relevant to the discussion about where fraud risks may
arise. The discussions also involved our forensic specialists to assist us in identifying fraud risks based on
discussions of the circumstances of the Group and Company, including consideration of fraudulent schemes that
had arisen in similar sectors and industries. The forensic specialists participated in the initial fraud risk assessment
discussions and were consulted throughout the audit where further guidance was deemed necessary.
FRAUD RISK
COMMUNICATION
We communicated identified fraud risks throughout the audit team and remained alert to any indications of fraud
throughout the audit. This included communication from the Group to component audit teams of relevant fraud risks
identified at the Group level.
FRAUD RISKS AND
OUR PROCEDURES
TO ADDRESS THEM
We identified five fraud risks which were communicated to component audit teams. The nature of these fraud risks is
substantially unchanged from the prior year. The fraud risks we identified are set out below:
1)IFRS 9 ECL: Judgemental qualitative adjustments made to the ECL provision
2)Valuations- risk relating to unobservable pricing inputs used to price level 3 fair value instruments
3)Revenue recognition: Cut-off of the recognition of revenue from investment banking advisory fees
4)Existence and accuracy of unconfirmed over-the-counter bilateral derivatives
5)The risk of management override of controls, common with all audits under ISAs (UK).
As required by auditing standards and taking into account our overall knowledge of the control environment, we perform
procedures to address the above risks, the risk that Group and component management may be in a position to make
inappropriate accounting entries and the risk of bias in accounting estimates and judgements.
Our audit procedures included evaluating the design and implementation and operating effectiveness of relevant internal
controls, assessing significant accounting estimates for bias, as well as substantive procedures to address the fraud risks.
These procedures also included identifying journal entries to test based on risk criteria and comparing the identified entries
to supporting documentation.
Incorporating unpredictability into our audit: A requirement of the auditing standards is that we undertake procedures
which are deliberately unexpected and could not have reasonably been predicted by Barclays’ management. As an
example, we performed audit procedures over Private Bank and Overseas Services (‘PBOS’) deposit and loans and
advances balances in different locations, including Monaco and Switzerland in the current year
LINK TO KEY AUDIT
MATTERS
Further details of the testing we perform over the identified fraud risks for ECL and fair value of financial instruments are
included in the respective key audit matters sections 4.2 and 4.4 of this report, as the procedures relating to those estimates
also address the risk of fraud.
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LAWS AND REGULATIONS - IDENTIFYING AND RESPONDING TO RISKS OF MATERIAL MISSTATEMENT DUE TO NON-
COMPLIANCE WITH LAWS AND REGULATIONS
RISK ASSESSMENT
We identified areas of laws and regulations that could reasonably be expected to have a material effect on the
financial statements. For this risk assessment, matters considered included the following:
▪our general commercial and sector experience;
▪inquiries with the directors and other management (as required by auditing standards);
▪inspection of the Group’s key regulatory and legal correspondence;
▪inspection of the policies and procedures regarding compliance with laws and regulations;
▪relevant discussions with the Group’s external legal counsel; and
▪relevant discussions with the Group’s key regulatory supervisors including the Prudential Regulation
Authority, Financial Conduct Authority, Federal Reserve Board, Federal Deposit Insurance Corporation and
the Joint Supervisory Team.
As the Group operates in a highly regulated environment, our assessment of risks of material misstatement also
considered the control environment, including the Group’s higher-level procedures for complying with regulatory
requirements. Our assessment included inspection of key frameworks, policies and standards in place, understanding
and evaluating the role of the compliance function in establishing these and monitoring compliance and testing of
related controls around whistleblowing and complaints.
RISK COMMUNICATION
Our identified laws and regulations risks was communicated throughout our team and we remained alert to any
indications of non-compliance throughout the audit. This included communication from the Group to component audit
teams of relevant laws and regulations identified at Group level.
DIRECT LAWS CONTEXT
AND LINK TO AUDIT
The potential effect of these laws and regulations on the financial statements varies considerably.
Firstly, the Group is subject to laws and regulations that directly impact the financial statements including:
▪financial reporting legislation (including related companies’ legislation);
▪distributable profits legislation; and
▪taxation legislation (direct and indirect).
We assessed the extent of compliance with these laws and regulations as part of our procedures on the related
financial statement items.
MOST SIGNIFICANT
INDIRECT LAW/
REGULATION AREAS
Secondly, the Group is subject to many other laws and regulations where the consequences of non-compliance could
have a material effect on amounts or disclosures in the financial statements, for instance through the imposition of
fines or litigation or the loss of the Group’s permission to operate in countries where the non-adherence to laws could
prevent trading in such countries.
We identified the following areas as those most likely to have such an effect:
▪Specific aspects of regulatory capital and liquidity
▪Other banking laws and regulations
▪Customer conduct rules
▪Money laundering
▪Sanctions list and financial crime
▪Market abuse regulations
▪Certain aspects of company legislation recognising the financial and regulated nature of the Group’s
activities.
Auditing standards limit the required audit procedures to identify non-compliance with these laws and regulations to
enquiry of the directors and other management and inspection of regulatory and legal correspondence, if any. If a
breach of operational regulations is not disclosed to us or evident from relevant correspondence, an audit will not
detect that breach.
AUDIT RESPONSE
In relation to the legal, competition and regulatory matters disclosed in note 25 we performed audit procedures which
included making enquiries of Barclays internal counsel and inspection of minutes of meetings and regulatory
correspondence. For a subset of these matters which we deem to be more significant we also made enquiries of
external counsel and obtained legal confirmations from Barclays’ external counsel.
In respect of regulatory matters relating to conduct risk our procedures included inspection of regulatory
correspondence, independent enquiry of the Group’s main regulators and performing audit procedures to respond to
risks of material misstatement identified in recognised conduct provisions.
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CONTEXT OF THE
ABILITY OF THE AUDIT
TO DETECT FRAUD OR
BREACHES OF LAW OR
REGULATION
Owing to the inherent limitations of an audit, there is an unavoidable risk that we may not have detected some
material misstatements in the financial statements, even though we have properly planned and performed our audit in
accordance with auditing standards. For example, the further removed non-compliance with laws and regulations is
from the events and transactions reflected in the financial statements, the less likely the inherently limited procedures
required by auditing standards would identify it.
In addition, as with any audit, there remained a higher risk of non-detection of fraud, as these may involve collusion,
forgery, intentional omissions, misrepresentations, or the override of internal controls. Our audit procedures are
designed to detect material misstatement. We are not responsible for preventing non-compliance or fraud and cannot
be expected to detect non-compliance with all laws and regulations.
6.OUR DETERMINATION OF MATERIALITY
The scope of our audit was influenced by our application of materiality. We set quantitative thresholds and overlay qualitative considerations to help us
determine the scope of our audit and the nature, timing and extent of our procedures, and in evaluating the effect of misstatements, both individually
and in the aggregate, on the financial statements as a whole.
MATERIALITY FOR THE
FINANCIAL STATEMENTS
AS A WHOLE
2021: £170m
2020: £170m
What we mean
This is the amount representing the total magnitude of misstatements that we expect to influence the economic
decisions of the users of these financial statements.
Basis for determining materiality and judgements applied
Consistent with FY20, we determined that profit before tax from continuing operations, normalised using our
professional judgement, for items which significantly distort results in any one particular year, remains the key
benchmark for the Barclays Bank PLC Group to use in setting auditor’s materiality. For FY21 we normalised this
benchmark downward by £1.2bn to adjust for the fact that ECL charges for the current year are considered
abnormally low due to the impact of government support provided in response to the COVID-19 pandemic. This
provided a more appropriate amount to use as a benchmark for setting our materiality level. For FY 20 we normalised
this benchmark upward by £1.4bn by excluding the identified impact of COVID-19 on the ECL charge.
Our materiality of £170m (2020: £170m) was determined by applying a percentage to the normalised Profit Before
Tax. When using a profit-related measure to determine overall materiality, KPMG’s approach is to apply a percentage
between 3% and 5% to the pre-tax measure. In setting overall materiality, we applied a rate of 3.8% (2020: 3.8%)
which is lower than the top end of the allowable percentage range.
Materiality for the Parent Company financial statements was set at £130m (2020: £130m), determined with reference
to a benchmark of Parent Company normalised profit before tax from continuing operations (of which it represents
4% (2020: 0.3% of the referenced benchmark of net assets).
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PERFORMANCE
MATERIALITY
2021: £125m
2020: £125m
What we mean
Our procedures on individual account balances and disclosures were performed to performance materiality, so as to
reduce to an acceptable level the risk that individually immaterial misstatements in individual account balances add up
to a material amount across the financial statements as a whole.
Basis for determining performance materiality and judgements applied
We have considered performance materiality at a level of 74% (2020: 74%) of materiality for Barclays Bank PLC
Group’s financial statements as a whole to be appropriate. We applied this percentage in our determination of
performance materiality because we did not identify any factors indicating an elevated level of risk.
The Group performance materiality was set at £125m (2020: £125m).
AUDIT MISSTATEMENT
POSTING THRESHOLD
2021: £8m
2020: £8m
What we mean
This is the amount below which identified misstatements are considered to be clearly trivial from a quantitative point
of view. We may become aware of differences below this threshold which could alter the nature, timing and scope of
our audit procedures, for example if we identify smaller differences which are indicators of fraud.
This is also the amount above which all differences identified are communicated to Barclays Bank PLC’s Board Audit
Committee.
Basis for determining the audit misstatement reporting threshold and judgements applied
The audit misstatement posting threshold has been set at a level of 5% (2020: 5%) of materiality for Barclays Bank
PLC’s Group financial statements. We consider this appropriate based on the number and nature of audit differences
(adjusted and unadjusted) identified during previous audits.
The overall materiality for the Group of £170m (2020: £170m), determined with reference to a benchmark of normalised PBT of which it represents
3.8% (2020: 4.2%), compares as follows to the other main financial statement elements amounts.
Total Revenue
Total Assets
Net Assets
2021
2020
2021
2020
2021
2020
£15,408m
£15,778m
£1,061,778m
£1,059,731m
£56,487m
£53,710m
Group Materiality as % of
caption
1.10%
1.08%
0.02%
0.02%
0.3%
0.32%
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7.THE SCOPE OF OUR AUDIT
GROUP SCOPE
What we mean
We perform our planning and risk assessment procedures to identify balances where there is a risk of material misstatement
and we include these in the scope of our audit.
We were able to rely upon the Group’s internal control over financial reporting in all areas of our audit, and where our controls
testing supported this approach, which enabled us to reduce the extent of our substantive audit work.
We have subjected three (2020: three) of the Group’s seven components to full scope audits for Group purposes. Our
approach to scoping the three components was as follows: for two components, Barclays Bank Delaware and Barclays Capital
Inc, we directly instructed the component audit teams to conduct and report to us on full scope audits; the third full scope
component, Barclays Bank Solus, was subjected to a full scope audit by us.
We have subjected four (2020: one) of the Group’s components to an audit of certain account balances. For Barclays Bank
Ireland PLC and Barclays Capital Securities Ltd, we directly instructed the component audit teams to conduct and report to us
on an audit of certain account balances. We have subjected two additional components to an audit of certain account
balances carried out by us, these components represent less than 4% of total Barclays Bank PLC Group assets.
Scope
Number of components
Range of materiality applied
Full scope audit
3
£50m - £130m
Audit of account balance
4
£40 - £50m
Barclays Bank PLC has centralised certain Group-wide processes in India, the outputs of which are included in the financial
information of the reporting components it services and therefore is not a separate reporting component. These Group-wide
procedures are subject to specified audit procedures, predominantly the testing of transaction processing, reconciliations and
review controls. Additional procedures are performed at certain reporting components to address the audit risks not covered
by the work performed over the shared service centres.
The Group audit team have also performed audit procedures centrally across the Group in the following areas:
▪Testing of IT systems and configurations;
▪Consolidation of the financial information; and
▪Operating expenses and Group recharges.
In addition, outside of the components subject to audit procedures set out above, we have performed Group level
analysis on the remaining components to determine whether further risks of material misstatement exist in those
components.
GROUP AUDIT TEAM
OVERSIGHT
What we mean
The Group audit team is required to instruct the component teams about their responsibilities in relation to the
consolidated Group audit and to understand the approach taken by the components to meet these responsibilities.
The Group audit team is also required to understand the conclusions reached by the component teams and to review
and challenge the work they have performed to reach these conclusions.
A virtual communication and oversight strategy was implemented between the Group audit teams and the
components during the COVID-19 pandemic and this continued to be our primary method of oversight. This included:
–A virtual global planning conference led by the Group audit team to discuss key audit risks and obtain input
from component teams and other participating locations;
–Instructions issued by the Group audit team to component auditors setting out the significant areas to be
covered, including the relevant key audit matters identified above and the information to be reported back to the
Group audit team;
–Review and approval by the Group audit team of the component materiality for all components;
–Risk assessment and challenge sessions with each component audit team in the planning and the final phases
of the audit led by the Group engagement partner and audit quality partner;
–Fortnightly video conferences with the partners and directors of the Group and component audit teams along
with regular adhoc contact via video calls and email exchanges to challenge the component audit approach and
findings;
–Michelle Hinchliffe, the Group Lead Engagement Partner (and Senior Statutory Auditor), attended each Board
Audit Committee for Barclays Bank PLC and at least one Board Audit Committee for each of Barclays Capital Inc.
and Barclays Bank Delaware, and Barclays Bank Ireland;
–Review of key working papers within component audit files (using remote technology capabilities) to
understand and challenge the audit approach and audit findings of each component.
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8.THE STRATEGIC REPORT AND THE DIRECTORS’ REPORT
Our responsibility
The directors are responsible for the strategic report and the directors’ report. Our opinion on the
financial statements does not cover the other information and, accordingly, we do not express an
audit opinion or, except as explicitly stated below, any form of assurance conclusion thereon.
Our responsibility is to read the strategic report and the directors’ report and, in doing so, consider
whether, based on our financial statements audit work, the information therein is materially
misstated or inconsistent with the financial statements or our audit knowledge. Based solely on that
work:
•we have not identified material misstatements in those reports;
•in our opinion the information given in the strategic report and the directors’ report for the
financial year is consistent with the financial statements; and
•in our opinion those reports have been prepared in accordance with the Companies Act 2006.
Our reporting
We have nothing to report in these respects
OTHER MATTERS ON WHICH WE ARE REQUIRED TO REPORT BY EXCEPTION
Our responsibility
Under the Companies Act 2006, we are required to report to you if, in our opinion:
▪adequate accounting records have not been kept by the Parent Company, or returns
adequate for our audit have not been received from branches not visited by us; or
▪the Parent Company financial statements and the part of the Directors’ Remuneration
Report to be audited are not in agreement with the accounting records and returns; or
▪certain disclosures of directors’ remuneration specified by law are not made; or
▪we have not received all the information and explanations we require for our audit.
Our reporting
We have nothing to report in these respects
9.EUROPEAN SINGLE ELECTRONIC FORMAT (ESEF)
Barclays Bank PLC has prepared its consolidated financial statements, which comprise the consolidated income statement, consolidated statement of
comprehensive income, consolidated statement of changes in equity, consolidated balance sheet, and consolidated cash flow statement and the related
notes, in ESEF. The requirements for this format are set out in the Commission Delegated Regulation (EU) 2019/815 with regard to regulatory technical
standards on the specification of a single electronic reporting format (“the ESEF Regulation”).
The Directors are responsible for preparing the financial statements in accordance with the ESEF regulation. We were engaged by Barclays Bank PLC to
report on whether the consolidated financial statements are prepared, in all material respects, in accordance with the ESEF regulation.
We have examined the consolidated financial statements in order to determine whether the consolidated financial statements of the Group as at 31
December 2021 have been prepared in compliance with the relevant requirements in the ESEF Regulation that are applicable to financial statements.
This relates to financial statements prepared in a valid xHTML format, and the XBRL markup of the consolidated financial statements using the core
taxonomy and the common rules on markups specified in the ESEF Regulation.
In our opinion the consolidated financial statements of Barclays Bank PLC as at 31 December 2021, identified as ESEF Reporting Package have been
prepared, in all material respects, in compliance with the requirements of the ESEF Regulation.
10.RESPECTIVE RESPONSIBILITIES
Directors’ responsibilities
As explained more fully in their statement set out on page 30 and 31, the Directors are responsible for: the preparation of the financial statements
including being satisfied that they give a true and fair view; such internal control as they determine is necessary to enable the preparation of financial
statements that are free from material misstatement, whether due to fraud or error; assessing the Group and Parent Company’s ability to continue as a
going concern, disclosing, as applicable, matters related to going concern; and using the going concern basis of accounting unless they either intend to
liquidate the Group or the parent Company or to cease operations, or have no realistic alternative but to do so.
Auditor’s responsibilities
Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due
to fraud or other irregularities, or error, and to issue our opinion in an auditor’s report. Reasonable assurance is a high level of assurance but does not
guarantee that an audit conducted in accordance with ISAs (UK) will always detect a material misstatement when it exists. Misstatements can arise
from fraud, other irregularities or error and are considered material if, individually or in aggregate, they could reasonably be expected to influence the
economic decisions of users taken on the basis of the financial statements.
A fuller description of our responsibilities is provided on the FRC’s website at www.frc.org.uk/auditorsresponsibilities.
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11.THE PURPOSE OF OUR AUDIT WORK AND TO WHOM WE OWE OUR RESPONSIBILITIES
This report is made solely to the Company’s members, as a body, in accordance with Chapter 3 of Part 16 of the Companies Act 2006 and the terms of
our engagement by the Company. Our audit work has been undertaken so that we might state to the Company’s members those matters we are
required to state to them in an auditor’s report and the further matters we are required to state to them in accordance with the terms agreed with the
Company, and for no other purpose. To the fullest extent permitted by law, we do not accept or assume responsibility to anyone other than the
Company and the Company’s members, as a body, for our audit work, for this report, or for the opinions we have formed.
Michelle Hinchliffe
(Senior Statutory Auditor)
for and on behalf of KPMG LLP, Statutory Auditor
Chartered Accountants
15 Canada Square
London
E14 5GL
22 February 2022
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2021
2020
2019
For the year ended 31 December
Notes
£m
£m
£m
Continuing operations
Interest and similar income
3
5,672
6,006
8,085
Interest and similar expense
3
(2,599)
(2,846)
(4,178)
Net interest income
3,073
3,160
3,907
Fee and commission income
4
8,581
7,417
7,664
Fee and commission expense
4
(1,994)
(1,758)
(1,992)
Net fee and commission income
6,587
5,659
5,672
Net trading income
5
5,788
7,076
4,073
Net investment (expense)/income
6
(80)
(121)
420
Other income
40
4
79
Total income
15,408
15,778
14,151
Credit impairment releases/(charges)
7
277
(3,377)
(1,202)
Net operating income
15,685
12,401
12,949
Staff costs
29
(4,456)
(4,365)
(4,565)
Infrastructure costs
8
(1,054)
(816)
(835)
Administration and general expenses
8
(4,375)
(4,202)
(4,318)
Litigation and conduct
8
(154)
(76)
(264)
Operating expenses
8
(10,039)
(9,459)
(9,982)
Share of post-tax results of associates and joint ventures
4
7
57
(Loss)/ profit on disposal of subsidiaries, associates and joint ventures
(12)
126
88
Profit before tax
5,638
3,075
3,112
Taxation
9
(880)
(624)
(332)
Profit after tax
4,758
2,451
2,780
Attributable to:
Equity holders of the parent
4,127
1,774
2,120
Other equity instrument holders
631
677
660
Total equity holders of the parent
4,758
2,451
2,780
Profit after tax
4,758
2,451
2,780
Note
As permit ted by section 408 of the Companies Act 2006 an income statement for the parent company has not been presented. Included in shareholders’ equity for Barclays
Bank plc is a profit after tax for the year ended 31 December 2021 of £3,606m (2020: £2,134m).
Consolidated financial statements
Consolidated income statement
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2021
2020
2019
For the year ended 31 December
£m
£m
£m
Profit after tax
4,758
2,451
2,780
Other comprehensive income/(loss) that may be recycled to profit or loss:
Currency translation reserve
Currency translation differences a
(155)
(647)
(544)
Fair value through other comprehensive income reserve movement relating to debt
securities
Net (losses)/gains from changes in fair value
(1,383)
2,402
2,465
Net gains transferred to net profit on disposal
(248)
(251)
(454)
Net (gains)/losses related to (releases of) impairment
(6)
1
1
Net gains/(losses) due to fair value hedging
1,105
(1,640)
(1,782)
Other movements
—
—
(8)
Tax
170
(130)
(63)
Cash flow hedging reserve
Net (losses)/gains from changes in fair value
(2,212)
1,366
823
Net gains transferred to net profit
(327)
(282)
(141)
Tax
740
(291)
(171)
Other
—
3
16
Other comprehensive (loss)/income that may be recycled to profit or loss
(2,316)
531
142
Other comprehensive income/(loss) not recycled to profit or loss:
Retirement benefit remeasurements
1,299
(77)
(280)
Fair value through other comprehensive income reserve movements relating to equity
instruments
—
1
—
Own credit
(105)
(810)
(316)
Tax
(563)
198
150
Other comprehensive income/(loss) not recycled to profit or loss
631
(688)
(446)
Other comprehensive loss for the year
(1,685)
(157)
(304)
Total comprehensive income for the year
3,073
2,294
2,476
Attributable to:
Equity holders of the parent
3,073
2,294
2,476
Total comprehensive income for the year
3,073
2,294
2,476
Note
a Includes £28m loss (2020: £8m loss; 2019: £15m profit) o n recycling of currency translation differences.
Consolidated financial statements
Consolidated statement of comprehensive income
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2021
2020
As at 31 December
Notes
£m
£m
Assets
Cash and balances at central banks
169,085
155,902
Cash collateral and settlement balances
88,085
97,616
Loans and advances at amortised cost
18
145,259
134,267
Reverse repurchase agreements and other similar secured lending
3,177
8,981
Trading portfolio assets
11
146,871
127,664
Financial assets at fair value through the income statement
12
188,226
171,761
Derivative financial instruments
13
262,291
302,693
Financial assets at fair value through other comprehensive income
14
45,908
51,902
Investments in associates and joint ventures
34
24
24
Goodwill and intangible assets
21
1,449
1,154
Property, plant and equipment
19
1,248
1,537
Current tax assets
589
424
Deferred tax assets
9
2,981
2,552
Retirement benefit assets
31
3,879
1,814
Other assets
2,706
1,440
Total assets
1,061,778
1,059,731
Liabilities
Deposits at amortised cost
18
262,828
244,696
Cash collateral and settlement balances
79,047
85,549
Repurchase agreements and other similar secured borrowing
12,769
10,443
Debt securities in issue
48,388
29,423
Subordinated liabilities
26
32,185
32,005
Trading portfolio liabilities
11
53,291
46,139
Financial liabilities designated at fair value
15
251,131
249,626
Derivative financial instruments
13
256,523
300,580
Current tax liabilities
738
644
Deferred tax liabilities
9
6
225
Retirement benefit liabilities
31
246
232
Other liabilities
22
7,249
5,251
Provisions
23
890
1,208
Total liabilities
1,005,291
1,006,021
Equity
Called up share capital and share premium
27
2,348
2,348
Other equity instruments
27
9,693
8,621
Other reserves
28
861
3,183
Retained earnings
43,585
39,558
Total equity
56,487
53,710
Total liabilities and equity
1,061,778
1,059,731
The Board of Directors approved the financial statements on pages 148 to 262 on 22 February 2022
CS Venkatakrishnan
Barclays Bank Group – Chief Executive Officer
Steven Ewart
Barclays Bank Group – Chief Financial Officer
Consolidated financial statements
Consolidated balance sheet
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Called up
share
capital
and share
premium a
Other
equity
instruments a
Other reserves b
Retained
earnings
Total
equity
£m
£m
£m
£m
£m
Balance as at 1 January 2021
2,348
8,621
3,183
39,558
53,710
Profit after tax
—
631
—
4,127
4,758
Currency translation movements
—
—
(155)
—
(155)
Fair value through other comprehensive income reserve
—
—
(362)
—
(362)
Cash flow hedges
—
—
(1,799)
—
(1,799)
Retirement benefit remeasurement
—
—
—
644
644
Own credit reserve
—
—
(13)
—
(13)
Other
—
—
—
—
—
Total comprehensive income for the year
—
631
(2,329)
4,771
3,073
Issue and redemption of other equity instruments
—
1,072
—
3
1,075
Other equity instruments coupons paid
—
(631)
—
—
(631)
Employee share schemes
—
—
—
436
436
Vesting of Barclays PLC shares under share-based payment schemes
—
—
—
(356)
(356)
Dividends on ordinary shares
—
—
—
(794)
(794)
Dividends on preference shares and other shareholders equity
—
—
—
(27)
(27)
Capital contribution from Barclays Plc
—
—
—
—
—
Other reserve movements
—
—
7
(6)
1
Balance as at 31 December 2021
2,348
9,693
861
43,585
56,487
Notes
a For further details refer to Note 27.
b For further details refer to Note 28.
Consolidated financial statements
Consolidated statement of changes in equity
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Called up
share
capital
and share
premium a
Other
equity
instruments a
Other reserves b
Retained
earnings
Total
equity
£m
£m
£m
£m
£m
Balance as at 1 January 2020
2,348
8,323
3,235
36,709
50,615
Profit after tax
—
677
—
1,774
2,451
Currency translation movements
—
—
(647)
—
(647)
Fair value through other comprehensive income reserve
—
—
383
—
383
Cash flow hedges
—
—
793
—
793
Retirement benefit remeasurement
—
—
—
(108)
(108)
Own credit reserve
—
—
(581)
—
(581)
Other
—
—
—
3
3
Total comprehensive income for the year
—
677
(52)
1,669
2,294
Issue and redemption of other equity instruments
—
298
—
(53)
245
Other equity instruments coupons paid
—
(677)
—
—
(677)
Employee share schemes
—
—
—
349
349
Vesting of Barclays PLC shares under share-based payment schemes
—
—
—
(300)
(300)
Dividends on ordinary shares
—
—
—
(263)
(263)
Dividends on preference shares and other shareholders equity
—
—
—
(42)
(42)
Capital contribution from Barclays Plc
—
—
—
1,500
1,500
Other reserve movements
—
—
—
(11)
(11)
Balance as at 31 December 2020
2,348
8,621
3,183
39,558
53,710
Notes
a For further details refer to Note 27.
b For further details refer to Note 28.
Consolidated financial statements
Consolidated statement of changes in equity
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2021
2020
2019
For the year ended 31 December
Notes
£m
£m
£m
Reconciliation of profit before tax to net cash flows from operating activities:
Profit before tax
5,638
3,075
3,112
Adjustment for non-cash items:
Credit impairment (releases)/charges
(277)
3,377
1,202
Depreciation, amortisation and impairment of property, plant, equipment and intangibles
683
441
459
Other provisions, including pensions
(135)
634
417
Net loss/(profit) on disposal of investments and property, plant and equipment
12
(119)
(84)
Other non-cash movements including exchange rate movements
1,968
(2,362)
(742)
Changes in operating assets and liabilities
Net decrease/(increase) in cash collateral and settlement balances
3,633
4,098
(5,762)
Net (increase)/decrease in loans and advances at amortised cost
(7,190)
7,142
3,937
Net decrease/(increase) in reverse repurchase agreements and other similar secured lending
5,804
(7,250)
(118)
Net increase in deposits at amortised cost
18,132
31,148
14,544
Net increase/(decrease) in debt securities in issue
18,965
(4,113)
(5,762)
Net increase/(decrease) in repurchase agreements and other similar secured borrowing
2,326
8,411
(5,346)
Net (increase)/decrease in derivative financial instruments
(3,655)
(1,604)
2,390
Net increase in trading portfolio assets
(19,207)
(14,327)
(9,299)
Net increase/(decrease) in trading portfolio liabilities
7,152
10,927
(1,402)
Net (increase)/decrease in financial assets and liabilities at fair value through the income
statement
(14,960)
2,889
2,485
Net increase in other assets
(2,235)
(93)
(44)
Net increase/(decrease) in other liabilities
2,082
13
(991)
Corporate income tax (paid)/received
(1,239)
(12)
894
Net cash from operating activities
17,497
42,275
(110)
Purchase of debt securities at amortised cost
(6,931)
(7,890)
(8,565)
Proceeds from sale or redemption of debt securities at amortised cost
2,424
3,527
1,305
Purchase of financial assets at fair value through other comprehensive income
(44,058)
(57,640)
(67,056)
Proceeds from sale or redemption of financial assets at fair value through other
comprehensive income
47,601
53,367
67,743
Purchase of property, plant and equipment and intangibles
(758)
(303)
(610)
Disposal of subsidiaries and associates, net of cash disposed
65
736
617
Other cash flows associated with investing activities
4
11
95
Net cash from investing activities
(1,653)
(8,192)
(6,471)
Dividends paid and other coupon payments on equity instruments
(1,452)
(982)
(934)
Issuance of subordinated liabilities
26
9,099
3,856
6,785
Redemption of subordinated liabilities
26
(7,241)
(4,746)
(6,574)
Issue of shares and other equity instruments
1,072
1,134
2,292
Repurchase of shares and other equity instruments
—
(903)
(1,970)
Vesting of employee share schemes
(356)
(300)
(349)
Net cash from financing activities
1,122
(1,941)
(750)
Effect of exchange rates on cash and cash equivalents
(4,231)
1,669
(3,345)
Net increase/(decrease) in cash and cash equivalents
12,735
33,811
(10,676)
Cash and cash equivalents at beginning of year
173,125
139,314
149,990
Cash and cash equivalents at end of year
185,860
173,125
139,314
Cash and cash equivalents comprise:
Cash and balances at central banks
169,085
155,902
125,940
Loans and advances to banks with original maturity less than three months
6,473
7,281
8,158
Cash collateral balances with central banks with original maturity less than three months
9,690
9,086
4,736
Treasury and other eligible bills with original maturity less than three months
612
856
480
Cash and cash equivalents at end of year
185,860
173,125
139,314
Interest received by the Barclays Bank Group was £11,616m (2020: £12,860m) and interest paid by the Barclays Bank Group was £7,493m (2020:
£8,653m). These amounts include interest paid and received arising from trading activities.
The Barclays Bank Group is required to maintain balances with central banks and other regulatory authorities and these amounted to £4,260m (2020:
£3,119m).
Consolidated financial statements
Consolidated cash flow statement
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Balance sheet
2021
2020
As at 31 December
Notes
£m
£m
Assets
Cash and balances at central banks
144,964
133,386
Cash collateral and settlement balances
75,571
87,723
Loans and advances at amortised cost
18
199,782
191,538
Reverse repurchase agreements and other similar secured lending
4,982
11,535
Trading portfolio assets
11
96,724
84,089
Financial assets at fair value through the income statement
12
236,577
203,073
Derivative financial instruments
13
234,409
297,129
Financial assets at fair value through other comprehensive income
14
44,163
50,308
Investments in associates and joint ventures
34
12
13
Investment in subsidiaries
32
19,134
17,780
Goodwill and intangible assets
21
109
112
Property, plant and equipment
19
128
425
Current tax assets
671
545
Deferred tax assets
9
1,679
1,171
Retirement benefit assets
31
3,825
1,812
Other assets
1,941
913
Total assets
1,064,671
1,081,552
Liabilities
Deposits at amortised cost
18
286,761
272,190
Cash collateral and settlement balances
56,419
68,862
Repurchase agreements and other similar secured borrowing
29,202
27,722
Debt securities in issue
32,585
17,221
Subordinated liabilities
26
31,875
31,852
Trading portfolio liabilities
11
50,116
48,093
Financial liabilities designated at fair value
15
291,062
267,137
Derivative financial instruments
13
227,991
292,538
Current tax liabilities
392
336
Deferred tax liabilities
9
6
225
Retirement benefit liabilities
31
104
104
Other liabilities
22
4,597
3,145
Provisions
23
699
984
Total liabilities
1,011,809
1,030,409
Equity
Called up share capital and share premium
27
2,348
2,348
Other equity instruments
27
14,400
13,328
Other reserves
28
(1,236)
776
Retained earnings
37,350
34,691
Total equity
52,862
51,143
Total liabilities and equity
1,064,671
1,081,552
Note
a As permitted by section 408 of the Companies Act 2006 an income state ment for the parent company has not been presented. Included in shareholders’ equity for
Barclays Bank plc is a profit after tax for the year ended 2021 of £3,606m (2020: £2,134m).
The Board of Directors approved the financial statements on pages 148 to 262 on 22 February 2022.
CS Venkatakrishnan
Barclays Bank Group – Chief Executive Officer
Steven Ewart
Barclays Bank Group – Chief Financial Officer
Financial statements of Barclays Bank PLC
Parent company accounts
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Statement of changes in equity
Called up
share
capital
and share
premium a
Other
equity
instruments a, b
Other reserves c
Retained
earnings
Total equity
£m
£m
£m
£m
£m
Balance as at 1 January 2021
2,348
13,328
776
34,691
51,143
Profit after tax
—
795
—
2,811
3,606
Currency translation movements
—
—
128
—
128
Fair value through other comprehensive income reserve
—
—
(363)
—
(363)
Cash flow hedges
—
—
(1,815)
—
(1,815)
Retirement benefit remeasurement
—
—
—
612
612
Own credit reserve
—
—
31
—
31
Total comprehensive income for the year
—
795
(2,019)
3,423
2,199
Issue and redemption of other equity instruments
—
1,072
—
3
1,075
Other equity instruments coupons paid
—
(795)
—
—
(795)
Employee share schemes
—
—
—
418
418
Vesting of Barclays PLC shares under share-based
payment schemes
—
—
—
(356)
(356)
Dividends paid on ordinary shares
—
—
—
(794)
(794)
Dividends paid on preference shares and other
shareholders' equity
—
—
—
(27)
(27)
Other reserve movements
—
—
7
(8)
(1)
Balance as at 31 December 2021
2,348
14,400
(1,236)
37,350
52,862
Notes
a For further details refer to Note 27.
b Other equity instruments includes AT1 securities issued by Barclays Bank PLC and borrowings o f $6bn from a wholly-owned, indirect subsidiary of Barclays Bank PLC. The
borrowings have been recorded as equity since, under their terms, interest payments are non cumulative and discretionary whilst repayment of principal is perpetually
deferrable by Barclays Bank PLC. Should Barclays Bank PLC make a discretionary dividend payment on its ordinary shares in the six months preceding the date of an
interest payment, it will be obliged to make that interest payment. In 2021, interest paid on these borrowin gs wa s £164m.
c For further details refer to Note 28.
Financial statements of Barclays Bank PLC
Parent company accounts
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Statement of changes in equity
Called up
share
capital
and share
premium a
Other
equity
instruments a, b
Other reserves c
Retained
earnings
Total equity
£m
£m
£m
£m
£m
Balance as at 1 January 2020
2,348
11,089
678
32,310
46,425
Profit after tax
—
829
—
1,305
2,134
Currency translation movements
—
—
(519)
—
(519)
Fair value through other comprehensive income reserve
—
—
389
—
389
Cash flow hedges
—
—
788
—
788
Retirement benefit remeasurement
—
—
—
(113)
(113)
Own credit reserve
—
—
(560)
—
(560)
Other
—
—
—
2
2
Total comprehensive income for the year
—
829
98
1,194
2,121
Issue and redemption of other equity instruments
—
2,239
—
(53)
2,186
Other equity instruments coupons paid
—
(829)
—
—
(829)
Employee share schemes
—
—
—
349
349
Vesting of Barclays PLC shares under share-based
payment schemes
—
—
—
(300)
(300)
Dividends paid on ordinary shares
—
—
—
(263)
(263)
Dividends paid on preference shares and other
shareholders' equity
—
—
—
(42)
(42)
Capital contribution from Barclays PLC
—
—
—
1,500
1,500
Other reserve movements
—
—
—
(4)
(4)
Balance as at 31 December 2020
2,348
13,328
776
34,691
51,143
Notes
a For further details refer to Note 27.
b Other equity instruments includes AT1 securities issued by Barclays Bank PLC and borrowings of $6bn from a wholly-owned, indirect subsidiary of Barclays Bank PLC. The
borrowings have been recorded as equity since, under their terms, interest payments are non cumulative and discretionary whilst repayment of principal is perpetually
deferrable by Barclays Bank PLC. Should Barclays Bank PLC make a discretionary dividend payment on its ordinary shares in the six months preceding the date of an
interest payment, it will be obliged to make that interest payment. In 2020, interest paid on these borrowings was £152m.
c For further details refer to Note 28.
Financial statements of Barclays Bank PLC
Parent company accounts
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Cash flow statement
2021
2020
2019
For the year ended 31 December
Notes
£m
£m
£m
Reconciliation of profit before tax to net cash flows from operating activities:
Profit before tax
3,543
2,155
2,018
Adjustment for non-cash items:
Credit impairment (releases)/charges
(414)
1,577
235
Depreciation, amortisation and impairment of property, plant, equipment and
intangibles
331
66
67
Other provisions, including pensions
(145)
505
268
Net profit on disposal of investments and property, plant and equipment
(49)
(397)
(128)
Other non-cash movements including exchange rate movements
1,109
(2,045)
1,203
Changes in operating assets and liabilities
Net decrease/(increase) in cash collateral and settlement balances
313
1,863
(7,110)
Net (increase)/decrease in loans and advances at amortised cost
(10,255)
(29,049)
5,483
Net decrease/(increase) in reverse repurchase agreements and other similar secured
lending
6,553
(6,596)
1,551
Net increase in deposits at amortised cost
14,571
32,059
9,614
Net increase/(decrease) in debt securities in issue
15,364
(2,662)
(12,454)
Net increase in repurchase agreements and other similar secured borrowing
1,480
18,537
899
Net increase in derivative financial instruments
(1,827)
(860)
(3,863)
Net increase in trading portfolio assets
(12,635)
(5,010)
(5,599)
Net increase/(decrease) in trading portfolio liabilities
2,023
2,963
(1,496)
Net (increase)/decrease in financial assets and liabilities at fair value through the
income statement
(9,579)
18,799
7,290
Net increase in other assets
(1,989)
(83)
(349)
Net increase/(decrease) in other liabilities
1,557
380
(1,006)
Corporate income tax (paid)/received
(373)
354
919
Net cash from operating activities
9,578
32,556
(2,458)
Purchase of debt securities at amortised cost
(5,442)
(7,129)
(7,688)
Proceeds from sale or redemption of debt securities at amortised cost
1,278
3,054
232
Purchase of financial assets at fair value through other comprehensive income
(37,842)
(51,368)
(61,877)
Proceeds from sale or redemption of financial assets at fair value through other
comprehensive income
41,544
47,254
62,915
Purchase of property, plant and equipment and intangibles
(20)
(27)
(139)
Disposal of subsidiaries and associates, net of cash disposed
65
736
587
Increase in investment in subsidiaries
(1,473)
(1,907)
(1,494)
Other cash flows associated with investing activities
—
8
—
Net cash from investing activities
(1,890)
(9,379)
(7,464)
Dividends paid and other coupon payments on equity instruments
(1,616)
(1,134)
(1,113)
Issuance of subordinated liabilities
26
8,788
3,700
6,627
Redemption of subordinated liabilities
26
(7,095)
(4,580)
(6,402)
Issue of shares and other equity instruments
1,072
3,075
2,292
Repurchase of shares and other equity instruments
—
(903)
(1,970)
Vesting of shares under employee share schemes
(356)
(300)
(349)
Net cash from financing activities
793
(142)
(915)
Effect of exchange rates on cash and cash equivalents
(2,913)
1,169
(2,753)
Net increase/(decrease) in cash and cash equivalents
5,568
24,204
(13,590)
Cash and cash equivalents at beginning of year
153,491
129,287
142,877
Cash and cash equivalents at end of year
159,059
153,491
129,287
Cash and cash equivalents comprise:
Cash and balances at central banks
144,964
133,386
112,287
Loans and advances to banks with original maturity less than three months
3,793
10,174
11,823
Cash collateral balances with central banks with original maturity less than three
months
9,690
9,086
4,736
Treasury and other eligible bills with original maturity less than three months
612
845
441
Cash and cash equivalents at end of year
159,059
153,491
129,287
Interest received by Barclays Bank PLC w as £7,284m (2020: £7,921m) and interest paid by Barclays Bank PLC was £5,496m (2020: £6,441m). These
amounts include interest paid and received arising from trading activities. Dividends received were £1,174m (2020: £610m).
Barclays Bank PLC was required to maintain balances with central banks and other regulatory authorit ie s of £1,585m (2 020: £1,353m).
Financial statements of Barclays Bank PLC
Parent company accounts
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This section describes Barclays Bank Group’s significant policies and critical accounting estimates that relate to the financial statements and notes as a
whole. If an accounting policy or a critical accounting estimate relates to a particular note, the accounting policy and/or critical accounting estimate is
contained with the relevant note.
1 Sign ificant accoun ting policies
1.Reporting entity
Barclays Bank PLC is a public company limited by shares registered in England under company number 1026167, having its registered office at 1
Churchill Place, London, E14 5HP.
These financial statements are prepared for Barclays Bank PLC and its subsidiaries (the Barclays Bank Group) under Section 399 of the Companies Act
2006. The Barclays Bank Group is a major global financial services provider engaged in credit cards, wholesale banking, investment banking, wealth
management and investment management services. In addition, separate financial statements have been presented for the holding company.
2.Compliance with International Financial Reporting Standards
The consolidated financial statements of the Barclays Bank Group, and the separate financial statements of Barclays Bank PLC, have been prepared in
accordance with UK-adopted international accounting standards.
The consolidated financial statements of the Barclays Bank Group, and the separate financial statements of Barclays Bank PLC, have also been prepared
in accordance with (1) International Financial Reporting Standards (IFRS) as issued by the International Accounting Standards Board (IASB), including
interpretations issued by the IFRS Interpretations Committee, as there are no applicable differences from IFRS as issued by the IASB for the periods
presented; and (2) IFRS adopted pursuant to Regulation (EC) No. 1606/2002 as it applies in the European Union (“IFRS as adopted by the EU”).
There are currently no differences between UK-adopted international accounting standards and IFRS as adopted by the EU and therefore no
reconciliation of variances is provided.
T he principal accounting policies applied in the preparation of the consolidated and separate financial statements are set out below, and in the relevant
notes to the financial statements. These policies have been consistently applied, with the exception of the Interest Rate Benchmark Reform Phase 2
amendments (amendments to IFRS 9, IAS 39, IFRS 7, IFRS 4 and IFRS 16) which were applied from 1 January 2020.
3.Basis of preparation
The consolidated and separate financial statements have been prepared under the historical cost convention modified to include the fair valuation of
investment property, and particular financial instruments, to the extent required or permitted under IFRS as set out in the relevant accounting policies.
The financial statements are stated in millions of pounds Sterling (£m), the functional currency of Barclays Bank PLC.
The financial statements have been prepared on a going concern basis, in accordance with the Companies Act 2006 as applicable to companies using
IFRS. The financial statements are prepared on a going concern basis as the Board is satisfied that the Barclays Bank Group and parent company have
the resources to continue in business for a period of at least 12 months from approval of the financial statements.
In making this assessment, the Board has considered a wide range of information relating to present and future conditio ns and includes a review of a
working capital report (WCR). The WCR is used by the Board to assess the future performance of the Barclays Bank Group and whether it has the
resources in place that are required to meet its ongoing regulatory requirements. The assessment is based upon business plans which contain future
forecasts of profitability taken from the Barclays Bank Group’s medium term plan as well as projections of regulatory capital requirements and business
funding needs. The WCR also includes an assessment the impact of internally generated stress testing scenarios on the liquidity and capital requirement
forecasts. The stress tests used were based upon an assessment of reasonably possible downside economic scenarios that the Barclays Bank Group
could experience.
The WCR showed that the Barclays Bank Group had sufficient capital and liquidity in place to support its future business requirements and remained
above its regulatory minimum requirements in the stress scenarios. Accordingly, the Board concluded that there was a reasonable expectation that the
Barclays Bank Group has adequate resources to continue as a going concern for a period of at least 12 months from the date of approval of the financial
statements.
4.Accounting policies
The Barclays Bank Group prepares financial statements in accordance with IFRS. The Barclays Bank Group’s significant accounting policies relating to
specific financial statement items, together with a description of the accounting estimates and judgements that were critical to preparing those items,
are set out under the relevant notes. Accounting policies that affect the financial statements as a whole are set out below.
(i)Consolidation
The Barclays Bank Group applies IFRS 10 Consolidated financial statements.
The consolidated financial statements combine the financial statements of Barclays Bank PLC and all its subsidiaries. Subsidiaries are entities over which
Barclays Bank PLC has control. The Barclays Bank Group has control over another entity when the Barclays Bank Group has all of the following:
1)power over the relevant activities of the investee, for example through voting or other rights
2)exposure to, or rights to, variable returns from its involvement with the investee and
3)the ability to affect those returns through its power over the investee.
The assessment of control is based on the consideration of all facts and circumstances. The Barclays Bank Group reassesses whether it controls an
investee if facts and circumstances indicate that there are changes to one or more of the three elements of control.
Intra-group transactions and balances are eliminated on consolidation. Consistent accounting policies are used throughout the Barclays Bank Group for
the purposes of the consolidation.
Changes in ownership interests in subsidiaries are accounted for as equity transactions if they occur after control has already been obtained and they do
not result in loss of control.
Notes to the financial statements
For the year ended 31 December 202 1
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As the consolidated financial statements include partnerships where the Barclays Bank Group member is a partner, advantage has been taken of the
exemption under Regulation 7 of the Partnership (Accounts) Regulations 2008 with regard to preparing and filing of individual partnership financial
statements.
Details of the principal subsidiaries are given in Note 32.
(ii)Foreign currency translation
The Barclays Bank Group applies IAS 21T he Effects of Changes in Foreign Exchange Rates. Transactions in foreign currencies are translated into Sterling
at the rate ruling on the date of the transaction. Foreign currency monetary balances are translated into Sterling at the period end exchange rates.
Exchange gains and losses on such balances are taken to the income statement. Non-monetary foreign currency balances in relation to items measured
in terms of historical cost are carried at historical transaction date exchange rates. Non-monetary foreign currency balances in relation to items
measured at fair value are translated using the exchange rate at the date when the fair value was measured.
The Barclays Bank Group’s foreign operations (including subsidiaries, joint ventures, associates and branches) based mainly outside the UK may have
different functional currencies. The functional currency of an operation is the currency of the main economy to which it is exposed.
Prior to consolidation (or equity accounting) the assets and liabilities of non-Sterling operations are translated at the period end exchange rate and
items of income, expense and other comprehensive income are translated into Sterling at the rate on the date of the transactions. Exchange differences
arising on the translation of foreign operations are included in currency translation reserves within equity. These are transferred to the income
statement when the Barclays Bank Group disposes of the entire interest in a foreign operation, when partial disposal results in the loss of control of an
interest in a subsidiary, when an investment previously accounted for using the equity method is accounted for as a financial asset, or on the disposal of
a foreign operation within a branch.
(iii)Financial assets and liabilities
The Barclays Bank Group applies IFRS 9 Financial Instruments to the recognition, classification and measurement, and derecognition of financial assets
and financial liabilities and the impairment of financial assets. The Barclays Bank Group applies the requirements of IAS 39 Financial Instruments:
Recognition and Measurement for hedge accounting purposes.
Recognition
The Barclays Bank Group recognises financial assets and liabilities when it becomes a party to the terms of the contract. Trade date or settlement date
accounting is applied depending on the classification of the financial asset.
Classification and measurement
Financial assets are classified on the basis of two criteria:
i)the business model within which financial assets are managed; and
ii)their contractual cash flow characteristics (whether the cash flows represent ‘solely payments of principal and interest’ (SPPI)).
The Barclays Bank Group assesses the business model criteria at a portfolio level. Information that is considered in determining the applicable business
model includes (i) policies and objectives for the relevant portfolio, (ii) how the performance and risks of the portfolio are managed, evaluated and
reported to management, and (iii) the frequency, volume and timing of sales in prior periods, sales expectation for future periods, and the reasons for
such sales.
The contractual cash flow characteristics of financial assets are assessed with reference to whether the cash flows represent SPPI. In assessing whether
contractual cash flows are SPPI compliant, interest is defined as consideration primarily for the time value of money and the credit risk of the principal
outstanding. The time value of money is defined as the element of interest that provides consideration only for the passage of time and not
consideration for other risks or costs associated with holding the financial asset. Terms that could change the contractual cash flows so that it would
not meet the condition for SPPI are considered, including: (i) contingent and leverage features, (ii) non-recourse arrangements and (iii) features that
could modify the time value of money.
Financial assets are measured at amortised cost if they are held within a business model whose objective is to hold financial assets in order to collect
contractual cash flows, and their contractual cash flows represent SPPI.
Financial assets are measured at fair value through other comprehensive income if they are held within a business model whose objective is achieved by
both collecting contractual cash flows and selling financial assets, and their contractual cash flows represent SPPI.
Other financial assets are measured at fair value through profit and loss. There is an option to make an irrevocable election on initial recognition for non
traded equity investments to be measured at fair value through other comprehensive income, in which case dividends are recognised in profit or loss,
but gains or losses are not reclassified to profit or loss upon derecognition, and the impairment requirements of IFRS 9 do not apply.
The accounting policy for each type of financial asset or liability is included within the relevant note for the item. The Barclays Bank Group’s policies for
determining the fair values of the assets and liabilities are set out in Note 16.
Derecognition
The Barclays Bank Group derecognises a financial asset, or a portion of a financial asset, from its balance sheet where (i) the contractual rights to cash
flows from the asset have expired, or (ii) the contractual rights to the cash flows from the asset have been transferred (usually by sale) and with them
either (a) substantially all the risks and rewards of the asset have been transferred, or (b) where neither substantially all the risks and rewards have been
transferred or retained, where control over the asset has been lost.
Financial liabilities are de-recognised when the liability has been settled, has expired or has been extinguished. An exchange of an existing financial
liability for a new liability with the same lender on substantially different terms – generally a difference of 10% or more in the present value of the cash
flows or a substantive qualitative amendment – is accounted for as an extinguishment of the original financial liability and the recognition of a new
financial liability.
Transactions in which the Barclays Bank Group transfers assets and liabilities, portions of them, or financial risks associated with them can be complex
and it may not be obvious whether substantially all of the risks and rewards have been transferred. It is often necessary to perform a quantitative
Notes to the financial statements
For the year ended 31 December 202 1
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analysis. Such an analysis compares the Barclays Bank Group’s exposure to variability in asset cash flows before the transfer with its retained exposure
after the transfer.
A cash flow analysis of this nature may require judgement. In particular, it is necessary to estimate the asset’s expected future cash flows as well as
potential variability around this expectation. The method of estimating expected future cash flows depends on the nature of the asset, with market and
market-implied data used to the greatest extent possible. The potential variability around this expectation is typically determined by stressing underlying
parameters to create reasonable alternative upside and downside scenarios. Probabilities are then assigned to each scenario. Stressed parameters may
include default rates, loss severity, or prepayment rates.
Accounting for reverse repurchase and repurchase agreements including other similar lending and borrowing
Reverse repurchase agreements (and stock borrowing or similar transactions) are a form of secured lending whereby the Barclays Bank Group provides
a loan or cash collateral in exchange for the transfer of collateral, generally in the form of marketable securities subject to an agreement to transfer the
securities back at a fixed price in the future. Repurchase agreements are where the Barclays Bank Group obtains such loans or cash collateral, in
exchange for the transfer of collateral.
The Barclays Bank Group purchases (a reverse repurchase agreement) or borrows securities subject to a commitment to resell or return them. The
securities are not included in the balance sheet as the Barclays Bank Group does not acquire the risks and rewards of ownership. Consideration paid (or
cash collateral provided) is accounted for as a loan asset at amortised cost, unless it is designated or mandatorily at fair value through profit and loss.
The Barclays Bank Group may also sell (a repurchase agreement) or lend securities subject to a commitment to repurchase or redeem them. The
securities are retained on the balance sheet as the Barclays Bank Group retains substantially all the risks and rewards of ownership. Consideration
received (or cash collateral provided) is accounted for as a financial liability at amortised cost, unless it is designated at fair value through profit and loss.
(iv)Issued debt and equity instruments
The Barclays Bank Group applies IAS 32, Financial Instruments: Presentation, to determine whether funding is either a financial liability (debt) or equity.
Issued financial instruments or their components are classified as liabilities if the contractual arrangement results in the Barclays Bank Group having an
obligation to either deliver cash or another financial asset, or a variable number of equity shares, to the holder of the instrument. If this is not the case,
the instrument is generally an equity instrument and the proceeds included in equity, net of transaction costs. Dividends and other returns to equity
holders are recognised when paid or declared by the members at the Annual General Meeting and treated as a deduction from equity.
Where issued financial instruments contain both liability and equity components, these are accounted for separately. The fair value of the debt is
estimated first and the balance of the proceeds is included within equity.
(v) Changes in the basis for determining contractual cash flows resulting from interest rate benchmark reform
A change in the basis for determining the contractual cash flows of a financial instrument that is required by interest rate benchmark reform is
accounted for by updating the effective interest rate, without the recognition of an immediate gain or loss. This practical expedient is only applied where
(1) the change to the contractual cash flows is necessary as a direct consequence of the reform and (2) the new basis for determining the contractual
cash flows is economically equivalent to the previous basis. For changes made in addition to those required by the interest rate benchmark reform, the
practical expedient is applied first, after which the normal IFRS 9 requirements for modifications of financial instruments is applied.
Refer to Note 13 for further details regarding hedge accounting policies in respect of interest rate benchmark reform.
Refer to Note 40 for further disclosure related to interest rate benchmark reform.
(vi) Cash flow statement
Cash comprises cash on hand and balances at central banks. Cash equivalents comprise loans and advances to banks, cash collateral balances with
central banks related to payment schemes and treasury and other eligible bills, all with original maturities of three months or less. Repurchase and
reverse repurchase agreements are not considered to be part of cash equivalents.
Investments in debt securities at amortised cost, presented within loans and advances on the balance sheet, are deemed to be investing activities for the
purposes of the cash flow statement, except those instruments considered to be cash equivalents.
5.New and amended standards and interpretations
The accounting policies adopted have been consistently applied, with the exception of the Interest Rate Benchmark Reform Phase 2 amendments
(amendments to IFRS 9, IAS 39, IFRS 7, IFRS 4 and IFRS 16) which were applied from 1 January 2020.
Future accounting developments
The following accounting standards have been issued by the IASB but are not yet effective:
IFRS 17 – Insurance contracts
In May 2017, the IASB issued IFRS 17 Insurance Contracts, a comprehensive new accounting standard for insurance contracts covering recognition and
measurement, presentation and disclosure. Once effective, IFRS 17 will replace IFRS 4 Insurance Contracts that was issued in 2005.
IFRS 17 applies to all types of insurance contracts (i.e. life, non-life, direct insurance and re-insurance), regardless of the type of entities that issue them,
as well as to certain guarantees and financial instruments with discretionary participation features. A few scope exceptions will apply.
In June 2020, the IASB published amendments to IFRS 17. The amendments that are relevant to the Barclays Bank Group are the scope exclusion for
credit card contracts and similar contracts that provide insurance coverage, the optional scope exclusion for loan contracts that transfer significant
insurance risk, and clarification that only financial guarantees issued are in scope of IFRS 9.
The amendments also defer the effective date of IFRS 17, including the above amendments, to annual reporting periods beginning on or after 1 January
2023.
Notes to the financial statements
For the year ended 31 December 202 1
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IFRS 17, including the 2020 amendments to IFRS 17, has been endorsed by the EU. Following the UK’s withdrawal from the EU on 31 December 2020,
the UK-adopted international accounting standards will be applicable. IFRS 17, including the amendments to IFRS 17, has not yet been endorsed by the
UK. The Barclays Bank Group does not expect the impact of IFRS 17 to be material.
Disclosure of Accounting Policies - Amendments to IAS 1 and IFRS Practice Statement 2
In February 2021 the IASB issued amendments to IAS 1 that require entities to disclose their material accounting policies rather than their significant
accounting policies. The amendments to IFRS Practice Statement 2 provide guidance on the concept of materiality and its application to accounting
policy information.
Under the amendments, accounting policy information is material if, when considered together with other information included in an entity’s financial
statements, it can reasonably be expected to influence decisions that the primary users of general purpose financial statements make on the basis of
those financial statements.
The amendments are effective for annual periods beginning on or after 1 January 2023, and will be applied from that date.
Definition of Accounting Estimate - Amendments to IAS 8
In February 2021 the IASB issued amendments to IAS 8 that replace the definition of a change in accounting estimates with a definition of accounting
estimates.
Under the new definition, accounting estimates are clarified as monetary amounts in financial statements that are subject to measurement uncertainty.
Where an entity's accounting policy requires an item to be measured at monetary amounts that cannot be observed directly, it should develop an
accounting estimate to achieve this objective.
The amendments are effective for annual periods beginning on or after 1 January 2023, and will be applied from that date.
6.Critical accounting estimates and judgements
The preparation of financial statements in accordance with IFRS requires the use of estimates. It also requires management to exercise judgement in
applying the accounting policies. The key areas involving a higher degree of judgement or complexity or areas where assumptions are significant to the
consolidated and individual financial statements are highlighted under the relevant note. Critical accounting estimates and judgements are disclosed in:
▪Credit impairment ch arges on pages 167 to 170
▪Tax on pages 171 to 175
▪Fair value of financial instruments on pages 192 to 205
▪Pensions and post-retirement benefits – obligations on pages 233 to 240
▪Provisions including conduct and legal, competition and regulatory matters on pages 215 to 216
7.Other disclosures
To improve transparency and ease of reference, by concentrating related information in one place, certain disclosures required under IFRS have been
included within the Risk review section as follows:
▪Credit risk on pages 51 to 52 and on pages 59 to 97
▪Market risk on page 52 and on pages 98 to 100
▪Treasury and capital risk – capital on pages 52 to 53 and on page 111
▪Treasury and capital risk – liquidity on pages 52 to 53 and on page 102
These disclosures are covered by the Audit opinion (included on pages 128 to 147) where referenced as audited.
Notes to the financial statements
For the year ended 31 December 202 1
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The notes included in this section focus on the results and performance of the Barclays Bank Group. Information on the segmental performance,
income generated, expenditure incurred, tax, and dividends are included here.
2 Segmental reporting
Presentation of segmental reporting
The Barclays Bank Group’s segmental reporting is in accordance with IFRS 8 Operating Segments. Operating segments are reported in a manner
consistent with the internal reporting provided to the Executive Committee, which is responsible for allocating resources and assessing performance
of the operating segments, and has been identified as the chief operating decision maker. All transactions between business segments are conducted
on an arm’s-length basis, with intra-segment revenue and costs being eliminated in Head Office. Income and expenses directly associated with each
segment are included in determining business segment performance.
The Barclays Bank Group divisions have been for segmental reporting purposes defined as Corporate and Investment Bank and Consumer, Cards and
Payments.
▪Corporate and Investment Bank which includes the Global Markets, Investment Banking and Corporate Banking businesses.
▪Consumer, Cards and Payments which includes the International Cards and Consumer Bank, Private Bank and Unified Payments businesses.
The below table also includes Head Office which comprises head office and certain central support functions including the Barclays Bank Group service
company full time equivalent employees.
Analysis of results by business
Corporate and
Investment Bank
Consumer, Cards
and Payments
Head
Office
Barclays Bank
Group
£m
£m
£m
£m
For the year ended 31 December 2021
Total income
12,481
3,337
(410)
15,408
Credit impairment releases/(charges)
461
(185)
1
277
Net operating income/(expenses)
12,942
3,152
(409)
15,685
Operating expenses
(7,169)
(2,316)
(400)
(9,885)
Litigation and conduct
(17)
(108)
(29)
(154)
Total operating expenses
(7,186)
(2,424)
(429)
(10,039)
Other net (expenses)/income a
(8)
1
(1)
(8)
Profit/(loss) before tax
5,748
729
(839)
5,638
Total assets (£bn)
986.2
64.4
11.2
1,061.8
Number of employees (full time equivalent)
7,800
2,600
9,800
20,200
Average number of employees (full time equivalent)
20,300
Corporate and
Investment Bank
Consumer, Cards
and Payments
Head
Office
Barclays Bank
Group
£m
£m
£m
£m
For the year ended 31 December 2020
Total income
12,607
3,490
(319)
15,778
Credit impairment charges
(1,565)
(1,720)
(92)
(3,377)
Net operating income/(expenses)
11,042
1,770
(411)
12,401
Operating expenses
(7,125)
(2,132)
(126)
(9,383)
Litigation and conduct
(4)
(44)
(28)
(76)
Total operating expenses
(7,129)
(2,176)
(154)
(9,459)
Other net income a
16
114
3
133
Profit/(loss) before tax
3,929
(292)
(562)
3,075
Total assets (£bn)
990.9
57.8
11.0
1,059.7
Number of employees (full time equivalent)
7,800
3,000
10,100
20,900
Average number of employees (full time equivalent)
20,145
Note
a Other net income/(expenses) represents the share of post-tax results of associates and joint ventures, profit (or loss) on disposal of subsidiaries, associates and joint
ventures, and gains on acquisitions.
Notes to the financial statements
Financial performance and returns
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Corporate and
Investment Bank
Consumer, Cards
and Payments
Head
Office
Barclays Bank
Group
£m
£m
£m
£m
For the year ended 31 December 2019
Total income
10,009
4,462
(320)
14,151
Credit impairment charges
(157)
(1,016)
(29)
(1,202)
Net operating income/(expenses)
9,852
3,446
(349)
12,949
Operating expenses
(7,267)
(2,359)
(92)
(9,718)
Litigation and conduct
(108)
(7)
(149)
(264)
Total operating expenses
(7,375)
(2,366)
(241)
(9,982)
Other net income/(expenses)a
113
40
(8)
145
Profit/(loss) before tax
2,590
1,120
(598)
3,112
Total assets (£bn)
799.6
65.7
11.4
876.7
Number of employees (full time equivalent)
8,100
3,100
9,300
20,500
Average number of employees (full time equivalent)
21,700
Note
a Other net income/(expenses) represents the share of post-tax results of associates and joint ventures, profit (or loss) on disposal of subsidiaries, associates and joint
ventures, and gains on acquisitions.
Income by geographic region a
2021
2020
2019
For the year ended 31 December
£m
£m
£m
United Kingdom
4,585
4,954
4,084
Europe
2,358
2,119
1,752
Americas
7,326
7,590
7,251
Africa and Middle East
45
37
62
Asia
1,094
1,078
1,002
Total
15,408
15,778
14,151
Income from individual countries which represent more than 5% of total income a
2021
2020
2019
For the year ended 31 December
£m
£m
£m
United Kingdom
4,585
4,954
4,084
United States
7,162
7,471
7,121
Note
a The geographical analysis is based on the location of the office where the transactions are recorded.
3 Net interest income
Accounting for interest income and expenses
Interest income on loans and advances at amortised cost and financial assets at fair value through other comprehensive income, and interest expense
on financial liabilities held at amortised cost, are calculated using the effective interest method which allocates interest, and direct and incremental
fees and costs, over the expected lives of the assets and liabilities.
The effective interest method requires the Barclays Bank Group to estimate future cash flows, in some cases based on its experience of customers’
behaviour, considering all contractual terms of the financial instrument, as well as the expected lives of the assets and liabilities.
The Barclays Bank Group incurs certain costs to originate credit card balances with the most significant being co-brand partner fees. To the extent
these costs are attributed to customers that continuously carry an outstanding balance (revolvers) and incremental to the origination of credit card
balances, they are capitalised and subsequently included within the calculation of the effective interest rate. They are amortised to interest income
over the period of expected repayment of the originated balance. Costs attributed to customers that settle their outstanding balances each period
(transactors) are deferred on the balance sheet as a cost of obtaining a contract and amortised to fee and commission expense over the life of the
customer relationship (refer to Note 4). There are no other individual estimates involved in the calculation of effective interest rates that are material to
the results or financial position.
Notes to the financial statements
Financial performance and returns
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2021
2020
2019
£m
£m
£m
Cash and balances at central banks
128
226
919
Loans and advances at amortised cost
4,265
4,510
5,514
Fair value through other comprehensive income
380
604
831
Negative interest on liabilities
248
68
13
Other
651
598
808
Interest and similar income
5,672
6,006
8,085
Deposits at amortised cost
(331)
(644)
(1,778)
Debt securities in issue a
(413)
(424)
(873)
Subordinated liabilities
(934)
(1,112)
(1,096)
Negative interest on assets
(374)
(325)
(250)
Other
(547)
(341)
(181)
Interest and similar expense
(2,599)
(2,846)
(4,178)
Net interest income
3,073
3,160
3,907
Notes
a Barclays Bank Group has amended the presentation of the premium paid for purchased financial guarantees which are embedded in notes it issues directly to the market.
From 2020 onwards, the full note coupon is presented as interest and similar expense within net interest income. The financial guarantee element of the coupon had
previously been recognised in net investment income. The comparative of £25m in 2019 has not been restated.
Interest and similar income presented above represents interest revenue calculated using the effective interest method. Costs to originate credit card
balances of £623m (2020: £687m; 2019: £684m) have been amortised to interest and similar income during the period. Interest and similar income
includes £7m (2020: £9m; 2019: £9m) accrued on impaired loans. Other interest expense includes £20m (2020: £23m, 2019: £25 m) relating to IFRS 16
lease interest expenses.
4 Net fee and commission income
Accounting for net fee and commission income
The Barclays Bank Group applies IFRS 15 Revenue from Contracts with Customers. IFRS 15 establishes a five-step model governing revenue
recognition. The five-step model requires the Barclays Bank Group to (i) identify the contract with the customer, (ii) identify each of the performance
obligations included in the contract, (iii) determine the amount of consideration in the contract, (iv) allocate the consideration to each of the identified
performance obligations and (v) recognise revenue as each performance obligation is satisfied.
The Barclays Bank Group recognises fee and commission income charged for services provided by the Barclays Bank Group as the services are
provided, for example, on completion of the underlying transaction. Where the contractual arrangements also result in the Barclays Bank Group
recognising financial instruments in scope of IFRS 9, such financial instruments are initially recognised at fair value in accordance with IFRS 9 before
applying the provisions of IFRS 15.
Fee and commission income is disaggregated below by fee types that reflect the nature of the services offered across the Barclays Bank Group and
operating segments, in accordance with IFRS 15. The below table includes a total for fees in scope of IFRS 15. Refer to Note 2 for more detailed
information about operating segments.
2021
Corporate and
Investment Bank
Consumer, Cards
and Payments
Head Office
Total
£m
£m
£m
£m
Fee type
Transactional
390
2,158
—
2,548
Advisory
968
128
—
1,096
Brokerage and execution
1,082
53
—
1,135
Underwriting and syndication
3,425
—
—
3,425
Other
80
155
21
256
Total revenue from contracts with customers
5,945
2,494
21
8,460
Other non-contract fee income
116
5
—
121
Fee and commission income
6,061
2,499
21
8,581
Fee and commission expense
(781)
(1,207)
(6)
(1,994)
Net fee and commission income
5,280
1,292
15
6,587
Notes to the financial statements
Financial performance and returns
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2020
Corporate and
Investment Bank
Consumer, Cards
and Payments
Head Office
Total
£m
£m
£m
£m
Fee type
Transactional
357
1,973
—
2,330
Advisory
593
100
—
693
Brokerage and execution
1,116
57
—
1,173
Underwriting and syndication
2,867
—
—
2,867
Other
54
152
29
235
Total revenue from contracts with customers
4,987
2,282
29
7,298
Other non-contract fee income
114
5
—
119
Fee and commission income
5,101
2,287
29
7,417
Fee and commission expense
(768)
(988)
(2)
(1,758)
Net fee and commission income
4,333
1,299
27
5,659
2019
Corporate and
Investment Bank
Consumer, Cards
and Payments
Head Office
Total
£m
£m
£m
£m
Fee type
Transactional
391
2,418
—
2,809
Advisory
821
83
—
904
Brokerage and execution
1,082
49
—
1,131
Underwriting and syndication
2,358
—
—
2,358
Other
90
227
30
347
Total revenue from contracts with customers
4,742
2,777
30
7,549
Other non-contract fee income
110
5
—
115
Fee and commission income
4,852
2,782
30
7,664
Fee and commission expense
(743)
(1,249)
—
(1,992)
Net fee and commission income
4,109
1,533
30
5,672
Fee types
Transactional
Transactional fees are service charges on deposit accounts, cash management services and transactional processing fees. These include interchange
and merchant fee income generated from credit and bank card usage. Transaction and processing fees are recognised at the point in time the
transaction occurs or service is performed. Interchange and merchant fees are recognised upon settlement of the card transaction payment.
The Barclays Bank Group incurs certain card related costs including those related to cardholder reward programmes and payments to co-brand
partners. Cardholder reward programmes costs related to customers that settle their outstanding balance each period (transactors) are expensed when
incurred and presented in fee and commission expense while costs related to customers that continuously carry an outstanding balance (revolvers) are
included in the effective interest rate of the receivable (refer to Note 3). Payments to partners for new cardholder account originations related to
transactor accounts are deferred as costs to obtain a contract under IFRS 15, while costs related to revolver accounts are included in the effective
interest rate of the receivable (refer to Note 3). Those costs deferred under IFRS 15 are capitalised and amortised over the estimated life of the customer
relationship. Payments to co-brand partners based on revenue sharing are presented as a reduction of fee and commission income while payments
based on profitability are presented in fee and commission expense.
Advisory
Advisory fees are generated from wealth management services and investment banking advisory services related to mergers, acquisitions and financial
restructurings. Wealth management advisory fees are earned over the period the services are provided and are generally recognised quarterly when the
market value of client assets is determined. Investment banking advisory fees are recognised at the point in time when the services related to the
transaction have been completed under the terms of the engagement. Investment banking advisory costs are recognised as incurred in fee and
commission expense if direct and incremental to the advisory services or are otherwise recognised in operating expenses.
Brokerage and execution
Brokerage and execution fees are earned for executing client transactions with various exchanges and over-the-counter markets and assisting clients in
clearing transactions. Brokerage and execution fees are recognised at the point in time the associated service has been completed which is generally the
trade date of the transaction.
Notes to the financial statements
Financial performance and returns
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Underwriting and syndication
Underwriting and syndication fees are earned for the distribution of client equity or debt securities and the arrangement and administration of a loan
syndication. This includes commitment fees to provide loan financing. Underwriting fees are generally recognised on trade date if there is no remaining
contingency, such as the transaction being conditional on the closing of an acquisition or another transaction. Underwriting costs are deferred and
recognised in fee and commission expense when the associated underwriting fees are recorded. Syndication fees are earned for arranging and
administering a loan syndication; however, the associated fee may be subject to variability until the loan has been syndicated to other syndicate
members or until other contingencies have been resolved and therefore the fee revenue is deferred until the uncertainty is resolved.
Included in underwriting and syndication fees are loan commitment fees which are not presented as part of the carrying value of the loan in accordance
with IFRS 9. Such commitment fees are recognised over time through to the contractual maturity of the commitment.
Contract assets and contract liabilities
The Barclays Bank Group had no material contract assets or contract liabilities as at 31 December 2021 (2020: £nil; 2019: nil).
Impairment of fee receivables and contract assets
During 2021, there have been no material impairments recognised in relation to fees receivable and contract assets (2020: £nil; 2019: £nil). Fees in
relation to transactional business can be added to outstanding customer balances. These amounts may be subsequently impaired as part of the overall
loans and advances balance.
Remaining performance obligations
The Barclays Bank Group applies the practical expedient of IFRS 15 and does not disclose information about remaining performance obligations that
have original expected durations of one year or less or because the Barclays Bank Group has a right to consideration that corresponds directly with the
value of the service provided to the client or customer.
Costs incurred in obtaining or fulfilling a contract
The Barclays Bank Group expects that incremental costs of obtaining a contract such as success fee and commission fees paid are recoverable and
therefore capitalised such contract costs. Capitalised contract costs net of amortisation as at 31 December 2021 is £148m (2020: £135m; 2019:
£153m).
Capitalised contract costs are amortised based on the transfer of services to which the asset relates which typically ranges over the expected life of the
relationship. In 2021, the amount of amortisation w as £35m (2020: £35m; 2019: £29m) and there was no impairment loss recognised in connection
with the capitalised contract costs (2020: £nil; 2019: £nil).
5 Net trading income
Accounting for net trading income
In accordance with IFRS 9, trading positions are held at fair value, and the resulting gains and losses are included in the income statement, together
with interest and dividends arising from long and short positions and funding costs relating to trading activities.
Income arises from both the sale and purchase of trading positions, margins which are achieved through market making and customer business and
from changes in fair value caused by movements in interest and exchange rates, equity prices and other market variables.
Gains or losses on non-trading financial instruments designated or mandatorily at fair value with changes in fair value recognised in the income
statement are included in net trading income where the business model is to manage assets and liabilities on a fair value basis which includes use of
derivatives or where an instrument is designated at fair value to eliminate an accounting mismatch and the related instrument's gain and losses are
reported in trading income.
2021
2020
2019
£m
£m
£m
Net gains on financial instruments held for trading
3,999
5,392
2,795
Net gains on financial instruments designated at fair value
682
695
240
Net gains on financial instruments mandatorily at fair value
1,107
989
1,038
Net trading income
5,788
7,076
4,073
Notes to the financial statements
Financial performance and returns
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6 Net investment (expense)/income
Accounting for net investment income
Dividends are recognised when the right to receive the dividend has been established. Other accounting policies relating to net investment income are
set out in Note 12 and Note 14.
2021
2020
2019
£m
£m
£m
Net (losses)/gains from financial assets mandatorily at fair value
(116)
(39)
218
Net gains from disposal of debt instruments at fair value through other comprehensive
income
248
251
454
Net gains/(losses) from disposal of financial assets and liabilities measured at amortised cost a
22
(128)
(38)
Dividend income
—
—
—
Net losses on other investments b
(234)
(205)
(214)
Net investment (expense)/income
(80)
(121)
420
Notes
a Included within the 2021 balance are gains of £25m relating to the sale o f municipal bo nds . Included within the 2020 balance are losses of £115m relating to partial
redemption of contingent capital note.
b Barclays has amended the presentation of the premium paid for purchased financial guarantees which are embedded in notes it issues directly to the market. From 2020
onwards, the full note coupon is presented as interest expense within net interest income. The financial guarantee element of the coupon had previously been recognised
in net investment income. The comparative of £25m in 2019 has not been restated.
7 Credit impairment (release)/charge
Accounting for the impairment of financial assets
Impairment
In accordance with IFRS 9, the Barclays Bank Group is required to recognise expected credit losses (ECLs) based on unbiased forward-looking
information for all financial assets at amortised cost, lease receivables, debt financial assets at fair value through other comprehensive income, loan
commitments and financ ial guarantee co ntracts. Intercompany exposures in the individual financial statements, including loan commitments and
financial guarantee contracts, are also in scope of IFRS 9 for ECL purposes.
At the reporting date, an allowance (or provision for loan commitments and financial guarantees) is required for the 12 month (Stage 1) ECLs. If the
credit risk has significantly increased since initial recognition (Stage 2), or if the financial instrument is credit impaired (Stage 3), an allowance (or
provision) should be recognised for the lifetime ECLs.
The measurement of ECL is calculated using three main components: (i) probability of default (PD) (ii) loss given default (LGD) and (iii) the exposure at
default (EAD).
The 12 month and lifetime ECLs are calculated by multiplying the respective PD, LGD and the EAD. The 12 month and lifetime PDs represent the PD
occurring over the next 12 months and the remaining maturity of the instrument respectively. The EAD represents the expected balance at default,
taking into account the repayment of principal and interest from the balance sheet date to the default event together with any expected drawdowns of
committed facilities. The LGD represents expected losses on the EAD given the event of default, taking into account, among other attributes, the
mitigating effect of collateral value at the time it is expected to be realised and the time value of money.
Determining a significant increase in credit risk since initial recognition:
The Barclays Bank Group assesses when a significant increase in credit risk has occurred based on quantitative and qualitative assessments. The credit
risk of an exposure is considered to have significantly increased when:
i)Quantitative test
The annualised lifetime PD has increased by more than an agreed threshold relative to the equivalent at origination.
PD deterioration thresholds are defined as percentage increases, and are set at an origination score band and segment level to ensure the test
appropriately captures significant increases in credit risk at all risk levels. Generally, thresholds are inversely correlated to the origination PD, i.e. as the
origination PD increases, the threshold value reduces.
The assessment of the point at which a PD increase is deemed ‘significant’, is based upon analysis of the portfolio’s risk profile against a common set of
principles and performance metrics (consistent across both retail and wholesale businesses), incorporating expert credit judgement where appropriate.
Application of quantitative PD floors does not represent the use of the low credit risk exemption as exposures can separately move into stage 2 via the
qualitative route described below.
Wholesale assets apply a 100% increase in PD and 0.2% PD floor to determine a significant increase in credit risk.
Retail assets apply bespoke relative increase and absolute PD thresholds based on product type and origination PD. Thresholds are subject to
maximums defined by Barclays Bank Group policy and typically apply minimum relative thresholds of 50%-100% and a maximum relative threshold of
400%.
For existing/historical exposures where origination point scores or data are no longer available or do not represent a comparable estimate of lifetime
PD, a proxy origination score is defined, based upon:
▪back-population of the approved lifetime PD score either to origination date or, where this is not feasible, as far back as possible (subject to a data
start point no later than 1 January 2015); or
▪use of available historical account performance data and other customer information, to derive a comparable ‘proxy’ estimation of origination PD.
Notes to the financial statements
Financial performance and returns
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ii)Qualitative test
This is relevant for accounts that meet the portfolio’s ‘high risk’ criteria and are subject to closer credit monitoring.
High risk customers may not be in arrears but either through an event or an observed behaviour exhibit credit distress. The definition and assessment of
high risk includes as wide a range of information as reasonably available, such as industry and Barclays Bank Group-wide customer level data, including
but not limited to bureau scores and high consumer indebtedness index, wherever possible or relevant.
Whilst the high risk populations applied for IFRS 9 impairment purposes are aligned with risk management processes, they are also regularly reviewed
and validated to ensure that they capture any incremental segments where there is evidence of credit deterioration.
iii)Backstop criteria
This is relevant for accounts that are more than 30 calendar days past due. The 30 days past due criteria is a backstop rather than a primary driver of
moving exposures into Stage 2.
The criteria for determining a significant increase in credit risk for assets with bullet repayments follows the same principle as all other assets, i.e.
quantitative, qualitative and backstop tests are all applied.
Exposures will move back to Stage 1 once they no longer meet the criteria for a significant increase in credit risk. This means that, at a minimum all
payments must be up-to-date, the PD deterioration test is no longer met, the account is no longer classified as high risk, and the customer has
evidenced an ability to maintain future payments.
Exposures are only removed from Stage 3 and re-assigned to Stage 2 once the original default trigger event no longer applies. Exposures being removed
from Stage 3 must no longer qualify as credit impaired, and:
a)the obligor will also have demonstrated consistently good payment behaviour over a 12-month period, by making all consecutive contractual
payments due and, for forborne exposures, the relevant EBA defined probationary period has also been successfully completed or;
b)(for non-forborne exposures) the performance conditions are defined and approved within an appropriately sanctioned restructure plan, including 12
months’ payment history have been met.
Management overlays and other exceptions to model outputs are applied only if consistent with the objective of identifying significant increases in
credit risk.
Forward-looking information
The measurement of ECL involves complexity and judgement, including estimation of PD, LGD, a range of unbiased future economic scenarios,
estimation of expected lives (where contractual life is not appropriate), and estimation of EAD and assessing significant increases in credit risk.
Credit losses are the expected cash shortfalls from what is contractually due over the expected life of the financial instrument, discounted at the original
effective interest rate (EIR). ECLs are the unbiased probability-weighted credit losses determined by evaluating a range of possible outcomes and
considering future economic conditions.
The Barclays Bank Group uses a five-scenario model to calculate ECL. An external consensus forecast is assembled from key sources, including HM
Treasury (short and medium term forecasts), Bloomberg (based on median of economic forecasters) and the Urban Land Institute (for US House
Prices), which forms the baseline scenario. In addition, two adverse scenarios (Downside 1 and Downside 2) and 2 favourable scenarios (Upside 1 and
Upside 2) are derived, with associated probability weightings. The adverse scenarios are calibrated to a similar severity to internal stress tests, whilst also
considering IFRS 9 specific sensitivities and non-linearity. Downside 2 is benchmarked to the Bank of England’s annual cyclical scenarios and to the
most severe scenario from Moody’s inventory, but is not designed to be the same. The favourable scenarios are calibrated to be symmetric to the
adverse scenarios, subject to a ceiling calibrated to relevant recent favourable benchmark scenarios. The scenarios include eight economic variables
(GDP, unemployment, House Price Index (HPI) and base rates in both the UK and US markets) and expanded variables using statistical models based on
historical correlations. The upside and downside shocks are designed to evolve over a five-year stress horizon, with all five scenarios converging to a
steady state after approximately eight-years.
The methodology for estimating probability weights for each of the scenarios involves a comparison of the distribution of key historical UK and US
macroeconomic variables against the forecast paths of the 5 scenarios. The methodology works such that the baseline (reflecting current consensus
outlook) has the highest weight and the weights of adverse and favourable scenarios depend on the deviation from the baseline; the further from the
baseline, the smaller the weight. A single set of five scenarios is used across all portfolios and all five weights are normalised to equate to 100%. The
same scenarios and weights that are used in the estimation of expected credit losses are also used for the Barclays Bank Group’s internal planning
purposes. The impacts across the portfolios are different because of the sensitivities of each of the portfolios to specific macroeconomic variables, for
example, mortgages are highly sensitive to house prices, and credit cards and unsecured consumer loans are highly sensitive to unemployment.
Definition of default, credit impaired assets, write-offs, and interest income recognition
The definition of default for the purpose of determining ECLs, and for internal credit risk management purposes, has been aligned to the Regulatory
Capital CRR Article 178 definition of default, to maintain a consistent approach with IFRS 9 and associated regulatory guidance. The Regulatory Capital
CRR Article 178 definition of default considers indicators that the debtor is unlikely to pay, includes exposures in forbearance and is no later than when
the exposure is more than 90 days past due or 180 days past due in the case of UK mortgages. When exposures are identified as credit impaired at the
time when they are purchased or originated interest income is calculated on the carrying value net of the impairment allowance.
An asset is considered credit impaired when one or more events occur that have a detrimental impact on the estimated future cash flows of the
financial asset. This comprises assets defined as defaulted and other individually assessed exposures where imminent default or actual loss is identified.
Uncollectible loans are written off against the related allowance for loan impairment on completion of the Barclays Bank Group’s internal processes and
when all reasonably expected recoverable amounts have been collected. Subsequent recoveries of amounts previously written off are credited to the
income statement. The timing and extent of write-offs may involve some element of subjective judgement. Nevertheless, a write-off will often be
prompted by a specific event, such as the inception of insolvency proceedings or other formal recovery action, which makes it possible to establish that
some or the entire advance is beyond realistic prospect of recovery.
Notes to the financial statements
Financial performance and returns
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Accounting for purchased financial guarantee contracts
The Barclays Bank Group may enter into a financial guarantee contract which requires the issuer of such contract to reimburse the Barclays Bank Group
for a loss it incurs because a specified debtor fails to make payment when due in accordance with the terms of a debt instrument. For these separate
financial guarantee contracts, the Barclays Bank Group recognises a reimbursement asset aligned with the recognition of the underlying ECLs, if it is
considered virtually certain that a reimbursement would be received if the specified debtor fails to make payment when due in accordance with the
terms of the debt instrument.
Loan modifications and renegotiations that are not credit-impaired
When modification of a loan agreement occurs as a result of commercial restructuring activity rather than due to the credit risk of the borrower, an
assessment must be performed to determine whether the terms of the new agreement are substantially different from the terms of the existing
agreement. This assessment considers both the change in cash flows arising from the modified terms as well as the change in overall instrument risk
profile. In respect of payment holidays granted to borrowers which are not due to forbearance, if the revised cash flows on a present value basis (based
on the original EIR) are not substantially different from the original cash flows, the loan is not considered to be substantially modified.
Where terms are substantially different, the existing loan will be derecognised and a new loan will be recognised at fair value, with any difference in
valuation recognised immediately within the income statement, subject to observability criteria.
Where terms are not substantially different, the loan carrying value will be adjusted to reflect the present value of modified cash flows discounted at the
original EIR, with any resulting gain or loss recognised immediately within the income statement as a modification gain or loss.
Note 1 sets out details for changes in the basis of determining the contractual cash flows of a financial instrument that are required by interest rate
benchmark reform.
Expected life
Lifetime ECLs must be measured over the expected life. This is restricted to the maximum contractual life and takes into account expected prepayment,
extension, call and similar options. The exceptions are certain revolver financial instruments, such as credit cards and bank overdrafts, that include both
a drawn and an undrawn component where the entity’s contractual ability to demand repayment and cancel the undrawn commitment does not limit
the entity’s exposure to credit losses to the contractual notice period. For revolving facilities, expected life is analytically derived to reflect behavioural life
of the asset, i.e. the full period over which the business expects to be exposed to credit risk. Behavioural life is typically based upon historical analysis of
the average time to default, closure or withdrawal of facility. Where data is insufficient or analysis inconclusive, an additional ‘maturity factor’ may be
incorporated to reflect the full estimated life of the exposures, based upon experienced judgement and/or peer analysis. Potential future modifications
of contracts are not taken into account when determining the expected life or EAD until they occur.
Discounting
ECLs are discounted at the EIR at initial recognition or an approximation thereof and consistent with income recognition. For loan commitments the EIR
is the rate that is expected to apply when the loan is drawn down and a financial asset is recognised. Issued financial guarantee contracts are
discounted at the risk free rate. Lease receivables are discounted at the rate implicit in the lease. For variable/floating rate financial assets, the spot rate
at the reporting date is used and projections of changes in the variable rate over the expected life are not made to estimate future interest cash flows or
for discounting.
Modelling techniques
The regulatory Basel Committee of Banking Supervisors (BCBS) ECL calculations are leveraged for IF RS 9 mod elling but adjusted for key differences
which include:
▪BCBS requires 12 month through the economic cycle losses whereas IFRS 9 requires 12 months or lifetime point in time losses based on conditions at
the reporting date and multiple forecasts of the future economic conditions over the expected lives;
▪IFRS 9 models do not include certain conservative BCBS model floors and downturn assessments and require discounting to the reporting date at the
original EIR rather than using the cost of capital to the date of default;
▪m anagement adjustments are made to modelled output to account for situations where known or expected risk factors and information have not
been considered in the modelling process, for example forecast economic scenarios for uncertain political events; and
▪ECL is measured at the individual financial instrument level, however a collective approach where financial instruments with similar risk
characteristics are grouped together, with apportionment to individual financial instruments, is used where effects can only be seen at a collective
level, for example for forward-looking information.
For the IFRS 9 impairment assessment, the Barclays Bank Group’s risk models are used to determine the PD, LGD and EAD. For Stage 2 and 3, the
Barclays Bank Group applies lifetime PDs but uses 12 month PDs for Stage 1. The ECL drivers of PD, EAD and LGD are modelled at an account level
which considers vintage, among other credit factors. Also, the assessment of significant increase in credit risk is based on the initial lifetime PD curve,
which accounts for the different credit risk underwritten over time.
Forbearance
A financial asset is subject to forbearance when it is modified due to the credit distress of the borrower. A modification made to the terms of an asset
due to forbearance will typically be assessed as a non-substantial modification that does not result in derecognition of the original loan, except in
circumstances where debt is exchanged for equity.
Both performing and non-performing forbearance assets are classified as Stage 3 except where it is established that the concession granted has not
resulted in diminished financial obligation and that no other regulatory definitions of default criteria have been triggered, in which case the asset is
classified as Stage 2. The minimum probationary period for non-performing forbearance is 12 months and for performing forbearance, 24 months.
Hence, a minimum of 36 months is required for non-performing forbearance to move out of a forborne state.
No financial instrument in forbearance can transfer back to Stage 1 until all of the S tage 2 threshol ds are no longer met and can only move out of Stage
3 when no longer credit impaired.
Notes to the financial statements
Financial performance and returns
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Critical accounting estimates and judgements
IFRS 9 impairment involves several important areas of judgement, including estimating forward looking modelled parameters (PD, LGD and EAD),
developing a range of unbiased future economic scenarios, estimating expected lives and assessing significant increases in credit risk, based on the
Barclays Bank Group’s experience of managing credit risk. The determination of expected life is most material for Barclays credit card portfolios which is
obtained via behavioural life analysis to materially capture the risk of these facilities.
Within the retail and small businesses portfolios, which comprise large numbers of small homogenous assets with similar risk characteristics where
credit scoring techniques are generally used, the impairment allowance is calculated using forward looking modelled parameters which are typically run
at account level. There are many models in use, each tailored to a product, line of business or customer category. Judgement and knowledge is needed
in selecting the statistical methods to use when the models are developed or revised. Management adjustments to impairment models, which contain
an element of subjectivity, are applied in order to factor in certain conditions or changes in policy that are not fully incorporated into the impairment
models, or to reflect additional facts and circumstances at the period end. Management adjustments are reviewed and incorporated into future model
development where appropriate.
For individually significant assets in Stage 3, impairment allowances are calculated on an individual basis and all relevant considerations that have a
bearing on the expected future cash flows across a range of economic scenarios are taken into account. These considerations can be particularly
subjective and can include the business prospects for the customer, the realisable value of collateral, the Barclays Bank Group’s position relative to other
claimants, the reliability of customer information and the likely cost and duration of the work-out process. The level of the impairment allowance is the
difference between the value of the discounted expected future cash flows (discounted at the loan’s original effective interest rate), and its carrying
amount. Furthermore, judgements change with time as new information becomes available or as work-out strategies evolve, resulting in frequent
revisions to the impairment allowance as individual decisions are taken. Changes in these estimates would result in a change in the allowances and have
a direct impact on the impairment charge.
Temporary adjustments to calculated IFRS 9 impairment allowances may be applied in limited circumstances to account for situations where known or
expected risk factors or information have not been considered in the ECL assessment or modelling process. For further information please see page 74
in credit risk performance.
2021
2020
2019
Impairment
Charges
Recoveries and
Reimbursements a
Total
Impairment
Charges
Recoveries and
Reimbursements
Total
Impairment
Charges
Recoveries and
Reimbursements
Total
£m
£m
£m
£m
£m
£m
£m
£m
£m
Loans and advances
(264)
259
(5)
3,060
(368)
2,692
1,214
(73)
1,141
Provision for undrawn contractually
committed facilities and guarantees
provided
(257)
—
(257)
547
—
547
55
—
55
Loans impairment
(521)
259
(262)
3,607
(368)
3,239
1,269
(73)
1,196
Cash collateral and settlement balances
(4)
—
(4)
2
—
2
1
—
1
Financial instruments at fair value
through OCI
(6)
—
(6)
—
—
—
—
—
—
Other financial assets measured at cost
(5)
—
(5)
136
—
136
5
—
5
Credit impairment (release)/charge
(536)
259
(277)
3,745
(368)
3,377
1,275
(73)
1,202
Notes
a.Recoveries and reimbursements include a net reduction in amounts recoverable from financial guarantee contracts held with third parties of £290m (2020: £364 m) and
cash recoveries of previously written off amounts of £31m (2020: £4 m).
Write-offs that can be subjected to enforcement activity
The contractual amount outstanding on financial assets that were written off during the year and that can still be subjected to enforcement activity is
£752m (2020: £816m). This is lower than the write-offs presented in the movement in gross exposures and impairment allowance table due to assets
sold during the year post write-offs and post write-off recoveries.
Modification of financial assets
Financial assets of £3,260m (2020: £3,781m) were subject to non-substantial modification during the year, with a resulting loss of £2m (2020: £21m).
The gross carrying amount at 31 December 2021 of financial assets subject to non-substantial modification for which the loss allowance has changed
to a 12 month ECL during the year amounts to £419m (2020: £1,194m).
Notes to the financial statements
Financial performance and returns
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8 Operating expenses
2021
2020
2019
£m
£m
£m
Infrastructure costs
Property and equipment
367
373
368
Depreciation and amortisation
403
421
457
Lease payments
4
1
7
Impairment of property, equipment and intangible assets a
280
21
3
Total infrastructure costs
1,054
816
835
Administration and general expenses
Consultancy, legal and professional fees
390
345
362
Marketing and advertising
235
176
258
UK bank levy
134
249
185
Other administration and general expenses
3,616
3,432
3,513
Total administration and general expenses
4,375
4,202
4,318
Staff costs b
4,456
4,365
4,565
Litigation and conduct
154
76
264
Operating expenses
10,039
9,459
9,982
Note
a Impairment of property, equipment and intangi ble asset s includes £266m relating to structural cost actions taken as part of the real estate review conducted in 2021 (see
Note 19).
b For further details on staff costs including accounting policies, refer to Note 29.
9 Tax
Accounting for income taxes
The Barclays Bank Group applies IAS 12 Income Taxes in accounting for taxes on income. Income tax payable on taxable profits (current tax) is
recognised as an expense in the periods in which the profits arise. Withholding taxes are also treated as income taxes. Income tax recoverable on tax
allowable losses is recognised as a current tax asset only to the extent that it is regarded as recoverable by offsetting against taxable profits arising in
the current or prior periods. Current tax is measured using tax rates and tax laws that have been enacted or substantively enacted at the balance sheet
date.
Deferred tax assets are recognised to the extent that it is probable that taxable profit will be available against which the deductible temporary
differences, and the carry forward of unused tax credits and unused tax losses can be utilised. Deferred tax liabilities are recognised for all taxable
temporary differences except from the initial recognition of goodwill. Deferred tax is not recognised where the temporary difference arises from the
initial recognition of an asset or liability in a transaction that is not a business combination and, at the time of the transaction, affects neither the
accounting profit nor taxable profit or loss. Deferred tax is determined using tax rates and legislation enacted or substantively enacted by the balance
sheet date which are expected to apply when the deferred tax asset is realised or the deferred tax liability is settled. Deferred tax assets and liabilities are
only offset when there is both a legal right to set-off and an intention to settle on a net basis.
The Barclays Bank Group considers an uncertain tax position to exist when it considers that ultimately, in the future, the amount of profit subject to tax
may be greater than the amount initially reflected in the Barclays Bank Group’s tax returns. The Barclays Bank Group accounts for provisions in respect
of uncertain tax positions in two different ways.
A current tax provision is recognised when it is considered probable that the outcome of a review by a tax authority of an uncertain tax position will
alter the amount of cash tax due to, or from, a tax authority in the future. From recognition, the current tax provision is then measured at the amount
the Barclays Bank Group ultimately expects to pay the tax authority to resolve the position. The accrual of interest and penalty amounts in respect of
uncertain income tax positions is recognised as an expense within profit before tax.
Deferred tax provisions are adjustments made to the carrying value of deferred tax assets in respect of uncertain tax positions. A deferred tax provision
is recognised when it is considered probable that the outcome of a review by a tax authority of an uncertain tax position will result in a reduction in the
carrying value of the deferred tax asset. From recognition of a provision, measurement of the underlying deferred tax asset is adjusted to take into
account the expected impact of resolving the uncertain tax position on the loss or temporary difference giving rise to the deferred tax asset.
The approach taken to measurement takes account of whether the uncertain tax position is a discrete position that will be reviewed by the tax authority
in isolation from any other position, or one of a number of issues which are expected to be reviewed together concurrently and resolved simultaneously
with a tax authority. The Barclays Bank Group’s measurement of provisions is based upon its best estimate of the additional profit that will become
subject to tax. For a discrete position, consideration is given only to the merits of that position. Where a number of issues are expected to be reviewed
and resolved together, the Barclays Bank Group will take into account not only the merits of its position in respect of each particular issue but also the
overall level of provision relative to the aggregate of the uncertain tax positions across all the issues that are expected to be resolved at the same time. In
addition, in assessing provision levels, it is assumed that tax authorities will review uncertain tax positions and that all facts will be fully and
transparently disclosed.
Critical accounting estimates and judgements
There are two key areas of judgement that impact the reported tax position. Firstly, the level of provisioning for uncertain tax positions; and secondly,
the recognition and measurement of deferred tax assets.
Notes to the financial statements
Financial performance and returns
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The Barclays Bank Group does not consider there to be a significant risk of a material adjustment to the carrying amount of current and deferred tax
balances, including provisions for uncertain tax positions in the next financial year. The provisions for uncertain tax positions cover a diverse range of
issues and reflect advice from external counsel where relevant. It should be noted that only a proportion of the total uncertain tax positions will be
under audit at any point in time, and could therefore be subject to challenge by a tax authority over the next year.
Deferred tax assets have been recognised based on business profit forecasts. Details on the recognition of deferred tax assets are provided in this note.
2021
2020
2019
£m
£m
£m
Current tax charge/(credit)
Current year
954
993
327
Adjustments in respect of prior years
393
3
(50)
1,347
996
277
Deferred tax (credit)/charge
Current year
(179)
(563)
157
Adjustments in respect of prior years
(288)
191
(102)
(467)
(372)
55
Tax charge
880
624
332
The table below shows the reconciliation between the actual tax charge and the tax charge that would result from applying the standard UK corporation
tax rate to the Barclays Bank Group’s profit before tax.
2021
2021
2020
2020
2019
2019
£m
%
£m
%
£m
%
Profit before tax from continuing operations
5,638
3,075
3,112
Tax charge based on the standard UK corporation tax rate of 19% (2020: 19%,
2019: 19%)
1,071
19.0%
584
19.0%
593
19.0%
Impact of profits/losses earned in territories with different statutory rates to the
UK (weighted average tax rate is 24.0% (2020: 25.0% , 2019: 26.0%))
281
5.0%
183
6.0%
217
7.0%
Recurring items:
Non-creditable taxes including withholding taxes
124
2.2%
107
3.4%
146
4.7%
Adjustments in respect of prior years
105
1.9%
194
6.3%
(152)
(4.9%)
Non-deductible expenses
61
1.1%
28
0.9%
34
1.1%
Impact of UK bank levy being non-deductible
25
0.4%
48
1.6%
35
1.1%
Impact of Barclays Bank PLC's overseas branches being taxed both locally and in
the UK
25
0.4%
25
0.8%
15
0.5%
Tax adjustments in respect of share-based payments
(5)
(0.1%)
14
0.5%
(7)
(0.2%)
Banking surcharge and other items
(48)
(0.8%)
(70)
(2.3%)
(103)
(3.3%)
Tax relief on payments made under AT1 instruments
(113)
(2.0%)
(124)
(4.0%)
(121)
(3.9%)
Changes in recognition of deferred tax and effect of unrecognised tax losses
(140)
(2.5%)
(123)
(4.0%)
(85)
(2.7%)
Non-taxable gains and income
(309)
(5.5%)
(200)
(6.5%)
(240)
(7.7%)
Non-recurring items:
Remeasurement of UK deferred tax assets due to tax rate changes
(218)
(3.9%)
(43)
(1.4%)
—
—
Non-deductible provisions for UK customer redress
21
0.4%
7
0.2%
—
—
Non-deductible provisions for investigations and litigation
—
—
(6)
(0.2%)
—
—
Total tax charge
880
15.6%
624
20.3%
332
10.7%
Factors driving the effective tax rate
The effective tax rate of 15.6% is lower than the UK corporation tax rate of 19% primarily due to the impact of non-taxable gains and income,
adjustments for the remeasurement of UK deferred tax assets as a result of the enactment in 2021 of an increase in the UK corporation tax rate to 25%
from 1 April 2023, the use of unrecognised tax losses in the period and tax relief on payments made under AT 1 instruments. These factors, which have
each decreased the effective tax rate, are partially offset by profits earned outside the UK being taxed at local statutory tax rates that are higher than the
UK tax rate and non-creditable taxes.
The Barclays Bank Group’s future tax charge will be sensitive to the geographic mix of profits earned, the tax rates in force and changes to the tax rules
in the jurisdictions that the Barclays Bank Group operates in. In its Budget held in October 2021, the UK Government announced that the banking
surcharge rate will be reduced from 8% to 3% from 1 April 2023. This reduction in the banking surcharge rate was substantively enacted on 2 February
2022 and is a non-adjusting post balance sheet event. I f the reduction in the banking surcharge rate had been substantively enacted at the balance
sheet date then this would have resulted in the Barclays Bank Group’s UK deferred tax assets being remeasured and decreasing with a tax charge in the
income statement of £183m and tax credit within other comprehensive income of £122m.
Notes to the financial statements
Financial performance and returns
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In October 2021, the OECD and G20 Inclusive Framework on Base Erosion and Profit Shifting announced plans to introduce a global minimum tax rate
of 15% from 2023. The model rules, which set out the scope of and the mechanism for calculating the global minimum tax, were released by the OECD
on 20 December 2021. The Barclays Bank Group is reviewing the model rules and awaiting the OECD’s anticipated publication of further guidance, as
well as new legislation expected to be released by governments implementing this new tax regime, and will assess the potential impact of new
legislation during 2022.
In the USA, a proposed Build Back Better Act has been passed by the House of Representatives but has not been passed by the Senate and at this time it
is uncertain whether the Act will progress further. The proposed Act passed by the House of Representatives included proposals to implement material
changes to international tax provisions, including amendments to the Base Erosion and Anti-Abuse Tax and the imposition of an alternative minimum
tax based on accounting profits. It is unclear at this time whether any of these proposals could have a significant impact on the Barclays Bank Group if
enacted. The Barclays Bank Group will continue to monitor developments and assess the potential impact of any future legislative changes ultimately
enacted.
Tax in the consolidated statement of comprehensive income
Tax relating to each component of other comprehensive income can be found in the consolidated statement of comprehensive income which includes
within Other a tax credit of £nil (2020: £3m). The total amount recognised in relation to the remeasurement of UK deferred tax through other
comprehensive income was a £148 m charge (2020: £49 m).
Tax included directly in equity
Tax included directly in equity c omp rises a £38 m credit (2020: £14 m) relating to share-based payments and deductible costs on issuing other equity
instruments.
Deferred tax assets and liabilities
The deferred tax amounts on the balance sheet were as follows:
Barclays Bank Group
2021
2020
£m
£m
US Intermediate Holding Company Tax Group ("IHC Tax Group")
1,004
1,001
US Branch Tax Group
1,002
1,048
UK Tax Group
576
—
Other (outside the UK and US tax groups)
399
503
Deferred tax asset
2,981
2,552
Deferred tax liability
(6)
(225)
Net deferred tax
2,975
2,327
Barclays Bank PLC
2021
2020
£m
£m
US Branch Tax Group
1,002
1,048
UK Tax Group
578
—
Other (outside the UK and US tax groups)
99
123
Deferred tax asset
1,679
1,171
Deferred tax liability
(6)
(225)
Net deferred tax
1,673
946
US deferred tax assets in the IHC and the US Branch Tax Groups
The deferred tax asset in the IHC Tax Group of £1,004m (2020: £1,001m) includes £1m (2020: £nil) relating to tax losses, with the balance relating to
temporary differences. The deferred tax asset in Barclays Bank PLC’s US Branch Tax Group of £1,002m (2020: £1,048m) relates entirely to temporary
differences.
In relation to the IHC Tax Group, these temporary differences include £301m (2020: £330m) arising from New York State and City prior net operating
loss conversion which can be carried forward and will expire in 2034. Business profit forecasts indicate these amounts will be fully recovered before
expiry.
UK Tax Group deferred tax assets and liabilities
The net deferred tax asset in the UK Tax Group of £576 m (2020: £225m liability) includes a deferred tax asset of £1,074m (2020: £541m) relating to tax
losses which is offset by a deferred tax liability of £498m (2020: £766m) relating to temporary differences. There is no time limit on utilisation of UK tax
losses and business profit forecasts indicate these losses will be fully recovered.
Other deferred tax assets (outside the UK and US tax groups)
The deferred tax asset of £399m (2020: £503m) in other entities within the Barclays Bank Group includes £121m (2020: £170m) relating to tax losses.
These deferred tax assets relate to a number of different territories and their recognition is based on profit forecasts or local country law which indicate
that it is probable that those deferred tax assets will be fully recovered.
Of the deferred tax asset of £399m (2020: £503m), an amount of £9m (2020: £8m) relates to entities which have suffered a loss in either the current or
prior year and the utilisation of which is dependent upon future taxable profits. This has been taken into account in reaching the above conclusion that
these deferred tax assets will be fully recovered in the future.
Notes to the financial statements
Financial performance and returns
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The table below shows movements on deferred tax assets and liabilities during the year. The amounts are different from those disclosed on the balance
sheet and in the preceding table as they are presented before offsetting asset and liability balances where there is a legal right to set-off and an intention
to settle on a net basis.
Barclays Bank Group
Fixed asset
timing
differences
Fair value
through other
comprehensive
income
Cash flow
hedges
Retirement
benefit
obligations
Loan
impairment
allowance
Other
provisions
Share based
payments and
deferred
compensation
Other
temporary
differences
Tax losses
carried
forward
Total
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
Assets
659
—
—
30
455
139
317
1,377
711
3,688
Liabilities
(33)
(21)
(441)
(826)
—
—
—
(40)
—
(1,361)
As at 1 January 2021
626
(21)
(441)
(796)
455
139
317
1,337
711
2,327
Income statement
14
(6)
—
1
38
3
(13)
(55)
485
467
Other comprehensive
income and reserves
—
170
750
(855)
—
—
20
97
—
182
Other movements
8
1
—
—
(12)
—
3
(1)
—
(1)
648
144
309
(1,650)
481
142
327
1,378
1,196
2,975
Assets
678
144
309
24
481
142
327
1,418
1,196
4,719
Liabilities
(30)
—
—
(1,674)
—
—
—
(40)
—
(1,744)
As at 31 December 2021
648
144
309
(1,650)
481
142
327
1,378
1,196
2,975
Assets
719
110
—
31
284
127
305
1,329
523
3,428
Liabilities
(29)
(18)
(139)
(640)
—
—
—
(222)
—
(1,048)
As at 1 January 2020
690
92
(139)
(609)
284
127
305
1,107
523
2,380
Income statement
(39)
—
—
—
164
18
15
23
191
372
Other comprehensive
income and reserves
—
(112)
(291)
(191)
—
—
3
238
—
(353)
Other movements
(25)
(1)
(11)
4
7
(6)
(6)
(31)
(3)
(72)
626
(21)
(441)
(796)
455
139
317
1,337
711
2,327
Assets
659
—
—
30
455
139
317
1,377
711
3,688
Liabilities
(33)
(21)
(441)
(826)
—
—
—
(40)
—
(1,361)
As at 31 December 2020
626
(21)
(441)
(796)
455
139
317
1,337
711
2,327
Barclays Bank PLC
Fixed asset
timing
differences
Fair value
through other
comprehensive
income
Cash flow
hedges
Retirement
benefit
obligations
Loan
impairment
allowance
Other
provisions
Share based
payments and
deferred
compensation
Other
temporary
differences
Tax losses
carried
forward
Total
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
Assets
538
—
—
—
263
82
106
712
543
2,244
Liabilities
(7)
(25)
(441)
(825)
—
—
—
—
—
(1,298)
As at 1 January 2021
531
(25)
(441)
(825)
263
82
106
712
543
946
Income statement
3
—
—
—
(51)
(4)
11
63
533
555
Other comprehensive
income and reserves
—
172
748
(848)
—
—
11
90
—
173
Other movements
7
—
—
—
(12)
—
—
4
—
(1)
541
147
307
(1,673)
200
78
128
869
1,076
1,673
Assets
555
147
307
—
200
78
128
869
1,076
3,360
Liabilities
(14)
—
—
(1,673)
—
—
—
—
—
(1,687)
As at 31 December 2021
541
147
307
(1,673)
200
78
128
869
1,076
1,673
Assets
602
108
—
—
172
71
90
618
352
2,013
Liabilities
(12)
(18)
(139)
(638)
—
—
—
(171)
—
(978)
As at 1 January 2020
590
90
(139)
(638)
172
71
90
447
352
1,035
Income statement
(34)
(1)
—
—
87
15
13
42
193
315
Other comprehensive
income and reserves
—
(114)
(291)
(186)
—
—
2
225
—
(364)
Other movements
(25)
—
(11)
(1)
4
(4)
1
(2)
(2)
(40)
531
(25)
(441)
(825)
263
82
106
712
543
946
Assets
538
—
—
—
263
82
106
712
543
2,244
Liabilities
(7)
(25)
(441)
(825)
—
—
—
—
—
(1,298)
As at 31 December 2020
531
(25)
(441)
(825)
263
82
106
712
543
946
Notes to the financial statements
Financial performance and returns
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Other movements include the impact of changes in foreign exchange rates as well as deferred tax amounts relating to acquisitions and disposals.
The amount of deferred tax asset expected to be recovered after more than 12 months for the Barclays Bank Group is £4,328m (2020: £3,356m) and
for Barclays Bank PLC is £3,017 m (2020: £2,147 m). T he amount of deferred tax liability expected to be settled after more than 12 months for the
Barclays Bank Group is £1,740m (2020: £1,359m) and for Barclays Bank PLC is £1,687 m (2020: £1,298 m). These amounts are before offsetting asset
and liability balances where there is a legal right to set-off and an intention to settle on a net basis.
Unrecognised deferred tax
Tax losses and temporary differences
The Barclays Bank Group has deferred tax assets not recognised in respect of gross deductible temporary differences of £110m (2020: £123m), unused
tax credits of £283m (2020: £236m), and gross tax losses of £22,496m (2020: £19,953m). The tax losses include capital losses of £3,642m (2020:
£2,987m). Of these tax losses, £63m (2020: £139m) expire within five years, £370m (2020: £236m) expire within six to ten years, £10,529m (2020:
£7,271m) expire within 11 to 20 years and £11,534m (2020: £12,307m) can be carried forward indefinitely. Deferred tax assets have not been
recognised in respect of these items because it is not probable that future taxable profits and gains will be available against which they can be utilised.
For Barclays Bank PLC, deferred tax assets have not been recognised in respect of gross deductible temporary differences of £11 m (2020: £22 m),
unused tax credits of £206 m (2020: £205 m), and gross tax losses of £4,138 m (2020: £4,161 m) which includes capital losses of £2,883 m (2020:
£2,643 m). Of these tax losses, £56 m (2020: £133m) expire within five years and £4,082 m (2020: £4,028 m) can be carried forward indefinitely. Deferred
tax assets have not been recognised in respect of these items because it is not probable that future taxable profits and gains will be available against
which they can be utilised.
Barclays Bank Group investments in subsidiaries, branches and associates
Deferred tax is not recognised in respect of the value of Barclays Bank Group's investments in subsidiaries, branches and associates where the Barclays
Bank Group is able to control the timing of the reversal of the temporary differences and it is probable that such differences will not reverse in the
foreseeable future. The aggregate amount of these temporary differences for which deferred tax liabilities have not been recognised was £0.9b n (2020:
£0.8b n).
10 Dividends on ordinary shares and preference shares
The 2021 financial statements include £794m (2020: £263m) of dividends paid on ordinary shares. This comprises one interim dividend declared in
relation to the prior year of £174m (2020: £263m) and two interim dividends in relation to 2021 of £520m, declared in February 2021, and £100m,
declared in July 2021 (2020: nil ).
This results in a total dividend for the ye ar of £0.34 (2020: £0.11) p er ordinary share.
Dividends paid on preference shares amounted to £27m (2020: £42m). Dividends paid on the Euro preference shares amounted to £14.37 per share
(2020: £439.21). Dividends paid on the 6.278% US$100 preference shares amounted to £459.69 per share (2020: £485.75).
The Directors have approved a third interim dividend in respect of 2021 of £200m.
Notes to the financial statements
Financial performance and returns
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The notes included in this section focus on assets and liabilities the Barclays Bank Group holds and recognises at fair value. Fair value refers to the
price that would be received to sell an asset or the price that would be paid to transfer a liability in an orderly transaction between market participants
at the measurement date, which may be an observable market price or, where there is no quoted price for the instrument, may be an estimate based
on available market data. Details regarding the Barclays Bank Group’s approach to managing market risk can be found on page 52.
11 Trading portfolio
Accounting for trading portfolio assets and liabilities
In accordance with IFRS 9, all assets and liabilities held for trading purposes are held at fair value with gains and losses in the changes in fair value
taken to the income statement in net trading income (Note 5).
Barclays Bank Group
2021
2020
£m
£m
Debt securities and other eligible bills
50,700
56,196
Equity securities
83,113
62,192
Traded loans
12,525
8,348
Commodities
533
928
Trading Portfolio Assets
146,871
127,664
Debt securities and other eligible bills
(34,079)
(28,836)
Equity securities
(19,212)
(17,303)
Trading Portfolio Liabilities
(53,291)
(46,139)
Barclays Bank PLC
2021
2020
£m
£m
Debt securities and other eligible bills
33,517
35,442
Equity securities
50,837
39,616
Traded loans
11,989
8,241
Commodities
381
790
Trading Portfolio assets
96,724
84,089
Debt securities and other eligible bills
(21,307)
(19,159)
Equity securities
(28,809)
(28,934)
Trading Portfolio liabilities
(50,116)
(48,093)
12 Financial assets at fair value through the income statemen t
Accounting for financial assets mandatorily at fair value
Financial assets that are held for trading are recognised at fair value through profit or loss. In addition, financial assets are held at fair value through
profit or loss if they do not contain contractual terms that give rise on specified dates to cash flows that are SPPI, or if the financial asset is not held in
a business model that is either (i) a business model to collect the contractual cash flows or (ii) a business model that is achieved by both collecting
contractual cash flows and selling.
Accounting for financial assets designated at fair value
Financial assets, other than those held for trading, are classified in this category if they are so irrevocably designated at inception and the use of the
designation removes or significantly reduces an accounting mismatch.
Subsequent changes in fair value for these instruments are recognised in the income statement in net investment income, except if reporting it in
trading income reduces an accounting mismatch.
The details on how the fair value amounts are derived for financial assets at fair value are described in Note 16.
Notes to the financial statements
Assets and liabilities held at fair value
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Barclays Bank Group
2021
2020
£m
£m
Loans and advances
2,813
2,170
Debt securities
318
291
Reverse repurchase agreements and other similar secured lending
—
19
Financial assets designated at fair value
3,131
2,480
Loans and advances
33,089
25,279
Debt securities
1,937
1,406
Equity securities
4,798
3,742
Reverse repurchase agreements and other similar secured lending
145,186
138,539
Other financial assets
85
315
Financial assets mandatorily at fair value
185,095
169,281
Total
188,226
171,761
Barclays Bank PLC
2021
2020
£m
£m
Loans and advances
2,813
2,170
Reverse repurchase agreements and other similar secured lending
—
19
Financial assets designated at fair value
2,813
2,189
Loans and advances
42,498
33,947
Debt securities
3,053
2,139
Equity securities
138
125
Reverse repurchase agreements and other similar secured lending
188,053
164,651
Other financial assets
22
22
Financial assets mandatorily at fair value
233,764
200,884
Total
236,577
203,073
Credit risk of financial assets designated at fair value and related credit derivatives
The following table shows the maximum exposure to credit risk, the changes in fair value attributable to changes in credit risk, and the cumulative
changes in fair value since initial recognition for loans and advances. The table does not include debt securities and reverse repurchase agreements and
other similar secured lending designated at fair value as they have minimal exposure to credit risk. Reverse repurchase agreements are collateralised
and debt securities are primarily relating to high quality sovereigns.
Barclays Bank Group
Maximum exposure as at 31
December
Changes in fair value during the
year ended
Cumulative changes in fair value
from inception
2021
2020
2021
2020
2021
2020
£m
£m
£m
£m
£m
£m
Loans and advances designated at fair value,
attributable to credit risk
2,813
2,170
1
(46)
(3)
(51)
Value mitigated by related credit derivatives
1,617
795
(3)
3
(3)
3
Barclays Bank PLC
Maximum exposure as at 31
December
Changes in fair value during the
year ended
Cumulative changes in fair value
from inception
2021
2020
2021
2020
2021
2020
£m
£m
£m
£m
£m
£m
Loans and advances designated at fair value,
attributable to credit risk
2,813
2,170
1
(46)
(3)
(51)
Value mitigated by related credit derivatives
1,617
795
(3)
3
(3)
3
Notes to the financial statements
Assets and liabilities held at fair value
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13 Derivative financial instruments
Accounting for derivatives
Derivative instruments are contracts whose value is derived from one or more underlying financial instruments or indices defined in the contract. They
include swaps, forward-rate agreements, futures, options and combinations of these instruments and primarily affect the Barclays Bank Group’s net
interest income, net trading income and derivative assets and liabilities. Notional amounts of the contracts are not recorded on the balance sheet.
Derivatives are used to hedge interest rate, credit risk, inflation risk, exchange rate, commodity, equity exposures and exposures to certain indices such
as house price indices and retail price indices related to non-trading positions.
All derivative instruments are held at fair value through profit or loss, except for derivatives that are in a designated cash flow or net investment hedge
accounting relationship. Derivatives are classified as assets when their fair value is positive or as liabilities when their fair value is negative. This includes
terms included in a contract or financial liability (the h ost) wh ich, had they been a standalone contract, would have met the definition of a derivative. If
these are separated from the host, i.e. when the economic characteristics of the embedded derivative are not closely related with those of the host
contract and the combined instrument is not measured at fair value through profit or loss, then they are accounted for in the same way as derivatives.
For financial assets, the requirements are whether the financial assets contain contractual terms that give rise on specified dates to cash flows that are
SPPI, and consequently the requirements for accounting for embedded derivatives are not applicable to financial assets.
Hedge accounting
The Barclays Bank Group applies the requirements of IAS 39 Financial Instruments: Recognition and Measurement for hedge accounting purposes. The
Barclays Bank Group applies hedge accounting to represent the economic effects of its interest rate, currency and contractually linked inflation risk
management strategies. Where derivatives are held for risk management purposes, and when transactions meet the required criteria for documentation
and hedge effectiveness, the Barclays Bank Group applies fair value hedge accounting, cash flow hedge accounting, or hedging of a net investment in a
foreign operation, as appropriate to the risks being hedged.
The Barclays Bank Group applies the ‘Amendments to IFRS 9, IAS 39 and IFRS 7 Interest Rate Benchmark Reform’ issued in September 2019 (the Phase
1 amendments).
The amendments provide temporary relief from applying specific hedge accounting requirements to hedging relationships directly affected by IBOR
(‘Interbank Offered Rates’) reform. The reliefs have the effect that IBOR reform should not generally cause hedge accounting to terminate. However, any
hedge ineffectiveness continues to be recorded in the income statement. Furthermore, the amendments set out triggers for when the reliefs will end,
which include the uncertainty arising from interest rate benchmark reform no longer being present.
In summary, the reliefs provided by the Phase 1 amendments are:
▪When considering the ‘highly probable’ requirement, the Barclays Bank Group has assumed that the IBOR interest rates upon which our hedged items
are based do not change as a result of IBOR Reform.
▪In assessing whether the hedge is expected to be highly effective on a forward-looking basis the Barclays Bank Group has assumed that the IBOR
interest rates upon which the cash flows of the hedged items and the interest rate swaps that hedge them are based are not altered by IBOR reform.
▪The Barclays Bank Group will not discontinue hedge accounting during the period of IBOR-related uncertainty solely because the retrospective
effectiveness falls outside the require d 80% –125% r ange.
▪The Barclays Bank Group has not recycled the cash flow hedge reserve relating to the period after the reforms are expected to take effect.
▪The Barclays Bank Group has assessed whether the hedged IBOR risk component is a separately identifiable risk only when it first designates a
hedged item in a fair value hedge and not on an ongoing basis.
The Barclays Bank Group also applies the ‘Amendments to IFRS 9, IAS 39, IFRS 7, IFRS 4 and IFRS 16 Interest Rate Benchmark Reform – Phase 2’ issued
in August 2020. The Phase 2 amendments provide relief when changes are made to hedge relationships as a result of the interest rate benchmark
reform.
In summary, the reliefs provided by the Phase 2 amendments are:
▪Under a temporary exception, the Barclays Bank Group has considered that changes to the hedge designation and hedge documentation due to the
interest rate benchmark reform would not constitute the discontinuation of the hedge relationship nor the designation of a new hedging relationship.
▪In respect of the retrospective hedge effectiveness assessment, the Barclays Bank Group may elect, on a hedge-by-hedge basis, to reset the
cumulative fair value changes to zero when the exception to the retrospective assessment ends (Phase 1 relief). Any hedge ineffectiveness will
continue to be measured and recognised in full in profit or loss.
▪The Barclays Bank Group has deemed the amounts accumulated in the cash flow hedge reserve to be based on the alternative benchmark rate (on
which the hedge future cash flows are determined) when there is a change in basis for determining the contractual cash flows.
▪For hedges of groups of items (such as those forming part of a macro cash flow hedging strategy), the amendments provide relief for items within a
designated group of items that are amended for changes directly required by the reform.
▪In respect of whether a risk component of a hedged item is separately identifiable, the amendments provide temporary relief to entities to meet this
requirement when an alternative risk free rate (RFR) financial instrument is designated as a risk component. These amendments allow the Barclays
Bank Group upon designation of the hedge to assume that the separately identifiable requirement is met if the Barclays Bank Group reasonably
expects the RFR risk will become separately identifiable within the next 24 months. The Barclays Bank Group applies this relief to each RFR on a rate-
by-rate basis and starts when the Barclays Bank Group first designates the RFR as a non-contractually specified risk component.
Fair value hedge accounting
Changes in fair value of derivatives that qualify and are designated as fair value hedges are recorded in the income statement, together with changes in
the fair value of the hedged asset or liability that are attributable to the hedged risk. The fair value changes adjust the carrying value of the hedged asset
or liability held at amortised cost.
If hedge relationships no longer meet the criteria for hedge accounting, hedge accounting is discontinued. For fair value hedges of interest rate risk, the
fair value adjustment to the hedged item is amortised to the income statement over the period to maturity of the previously designated hedge
relationship using the effective interest method. If the hedged item is sold or repaid, the unamortised fair value adjustment is recognised immediately in
the income statement. For items classified as fair value through other comprehensive income, the hedge accounting adjustment is included in other
comprehensive income.
Notes to the financial statements
Assets and liabilities held at fair value
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Cash flow hedge accounting
For qualifying cash flow hedges, the fair value gain or loss associated with the effective portion of the cash flow hedge is recognised initially in other
comprehensive income, and then recycled to the income statement in the periods when the hedged item will affect profit or loss. Any ineffective portion
of the gain or loss on the hedging instrument is recognised in the income statement immediately.
When a hedging instrument expires or is sold, or when a hedge no longer meets the criteria for hedge accounting, any cumulative gain or loss existing
in equity at that time remains in equity and is recognised when the hedged item is ultimately recognised in the income statement. When a forecast
transaction is no longer expected to occur, the cumulative gain or loss that was recognised in equity is immediately transferred to the income
statement.
Hedges of net investments
The Barclays Bank Group’s net investments in foreign operations, including monetary items accounted for as part of the net investment, are hedged for
foreign currency risks using both derivatives and foreign currency borrowings. Hedges of net investments are accounted for similarly to cash flow
hedges; the effective portion of the gain or loss on the hedging instrument is being recognised directly in other comprehensive income and the
ineffective portion being recognised immediately in the income statement. The cumulative gain or loss recognised in other comprehensive income is
recognised in the income statement on the disposal or partial disposal of the foreign operation, or other reductions in the Barclays Bank Group’s
investment in the operation.
Barclays Bank Group
2021
2020
Notional
contract
amount
Fair value
Notional
contract
amount
Fair value
Assets
Liabilities
Assets
Liabilities
£m
£m
£m
£m
£m
£m
Total derivative assets/(liabilities) held for trading
47,286,623
262,046
(255,471)
42,515,577
302,429
(299,637)
Total derivative assets/(liabilities) held for risk management
126,292
245
(1,052)
110,028
264
(943)
Derivative assets/(liabilities)
47,412,915
262,291
(256,523)
42,625,605
302,693
(300,580)
Barclays Bank PLC
2021
2020
Notional
contract
amount
Fair value
Notional
contract
amount
Fair value
Assets
Liabilities
Assets
Liabilities
£m
£m
£m
£m
£m
£m
Total derivative assets/(liabilities) held for trading
37,699,677
234,195
(226,920)
30,866,297
296,734
(291,595)
Total derivative assets/(liabilities) held for risk management
125,747
214
(1,071)
112,400
395
(943)
Derivative assets/(liabilities)
37,825,424
234,409
(227,991)
30,978,697
297,129
(292,538)
As part of the industry wide I BOR transition during the year, interest rate swap contracts held with Central Clearing Counterparties (CCPs) have been
converted to alternative benchmarks. Operationally, this involved the CCPs splitting each contract into multiple component operational parts in order to
preserve accrued IBOR cash flows. Legally, Barclays Bank Group remains party to only one contract, and as such all notionals amounts quoted in this
disclosure reflect the legal contract notional. In total, 'operational-only' trade no tionals of £1,717bn primarily with London Clearing House & Japan
Securities Clearing Corporation have been explicitly excluded from these disclosures.
Further information on netting arrangements of derivative financial instruments can be found within Note 17.
Notes to the financial statements
Assets and liabilities held at fair value
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The fair values and notional amounts of derivatives held for trading are set out in the following table:
Derivatives held for trading and risk management
2021
2020
Barclays Bank Group
Notional
contract
amount
Fair value
Notional
contract
amount
Fair value
Assets
Liabilities
Assets
Liabilities
£m
£m
£m
£m
£m
£m
Derivatives held for trading
Foreign exchange derivatives
OTC derivatives
5,700,055
76,055
(74,014)
5,463,632
84,518
(83,912)
Derivatives cleared by central counterparty
99,664
171
(208)
78,946
335
(335)
Exchange traded derivatives
20,084
10
(3)
14,034
3
(3)
Foreign exchange derivatives
5,819,803
76,236
(74,225)
5,556,612
84,856
(84,250)
Interest rate derivatives
OTC derivatives
14,229,139
124,187
(113,098)
13,551,506
171,244
(161,223)
Derivatives cleared by central counterparty
18,865,670
1,055
(762)
18,330,003
965
(795)
Exchange traded derivatives
5,200,838
905
(907)
2,971,966
371
(360)
Interest rate derivatives
38,295,647
126,147
(114,767)
34,853,475
172,580
(162,378)
Credit derivatives
OTC derivatives
606,504
4,007
(4,752)
384,900
3,674
(3,909)
Derivatives cleared by central counterparty
665,600
1,675
(1,809)
462,945
931
(1,095)
Credit derivatives
1,272,104
5,682
(6,561)
847,845
4,605
(5,004)
Equity and stock index derivatives
OTC derivatives
278,370
18,793
(24,440)
213,078
18,803
(26,091)
Exchange traded derivatives
1,469,078
32,901
(33,174)
927,114
20,165
(20,521)
Equity and stock index derivatives
1,747,448
51,694
(57,614)
1,140,192
38,968
(46,612)
Commodity derivatives
OTC derivatives
4,670
56
(107)
4,244
89
(110)
Exchange traded derivatives
146,951
2,231
(2,197)
113,209
1,331
(1,283)
Commodity derivatives
151,621
2,287
(2,304)
117,453
1,420
(1,393)
Derivative assets/(liabilities) held for trading
47,286,623
262,046
(255,471)
42,515,577
302,429
(299,637)
Total OTC derivatives
20,818,738
223,098
(216,411)
19,617,360
278,328
(275,245)
Total derivatives cleared by central counterparty
19,630,934
2,901
(2,779)
18,871,894
2,231
(2,225)
Total exchange traded derivatives
6,836,951
36,047
(36,281)
4,026,323
21,870
(22,167)
Derivative assets/(liabilities) held for trading
47,286,623
262,046
(255,471)
42,515,577
302,429
(299,637)
Derivatives held for risk management
Derivatives designated as cash flow hedges
Currency Swaps
1,000
155
—
1,000
67
—
Interest rate swaps
465
—
(3)
1,819
49
—
Interest rate derivatives cleared by central counterparty
63,584
—
—
43,499
—
—
Derivatives designated as cash flow hedges
65,049
155
(3)
46,318
116
—
Derivatives designated as fair value hedges
Interest rate swaps
5,856
53
(1,045)
7,986
123
(943)
Forward foreign exchange
—
—
—
—
—
—
Interest rate derivatives cleared by central counterparty
52,964
—
—
54,933
—
—
Derivatives designated as fair value hedges
58,820
53
(1,045)
62,919
123
(943)
Derivatives designated as hedges of net investments
Forward foreign exchange
2,423
37
(4)
791
25
—
Derivatives designated as hedges of net investments
2,423
37
(4)
791
25
—
Derivative assets/(liabilities) held for risk management
126,292
245
(1,052)
110,028
264
(943)
Total OTC derivatives
9,744
245
(1,052)
11,596
264
(943)
Total derivatives cleared by central counterparty
116,548
—
—
98,432
—
—
Derivative assets/(liabilities) held for risk management
126,292
245
(1,052)
110,028
264
(943)
Notes to the financial statements
Assets and liabilities held at fair value
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Derivatives held for trading and risk management
2021
2020
Barclays Bank PLC
Notional
contract
amount
Fair value
Notional
contract
amount
Fair value
Assets
Liabilities
Assets
Liabilities
£m
£m
£m
£m
£m
£m
Derivatives held for trading
Foreign exchange derivatives
OTC derivatives
5,352,739
71,484
(69,675)
5,187,879
80,315
(79,022)
Derivatives cleared by central counterparty
99,664
171
(208)
78,946
335
(335)
Exchange traded derivatives
11,745
—
—
2,877
—
—
Foreign exchange derivatives
5,464,148
71,655
(69,883)
5,269,702
80,650
(79,357)
Interest rate derivatives
OTC derivatives
9,363,973
104,588
(94,109)
7,578,003
149,393
(135,956)
Derivatives cleared by central counterparty
13,538,082
809
(539)
11,874,470
521
(539)
Exchange traded derivatives
2,607,494
154
(66)
1,489,818
20
(41)
Interest rate derivatives
25,509,549
105,551
(94,714)
20,942,291
149,934
(136,536)
Credit derivatives
OTC derivatives
433,015
3,776
(4,245)
291,763
3,482
(3,700)
Derivatives cleared by central counterparty
504,601
1,646
(1,763)
378,062
920
(1,061)
Credit derivatives
937,616
5,422
(6,008)
669,825
4,402
(4,761)
Equity and stock index derivatives
OTC derivatives
254,932
18,355
(23,423)
195,917
18,438
(25,210)
Exchange traded derivatives
371,161
3,459
(3,789)
325,826
3,207
(3,429)
Equity and stock index derivatives
626,093
21,814
(27,212)
521,743
21,645
(28,639)
Commodity derivatives
OTC derivatives
4,120
55
(103)
3,739
81
(89)
Exchange traded derivatives
20,436
419
(311)
14,041
350
(229)
Commodity derivatives
24,556
474
(414)
17,780
431
(318)
Derivatives with subsidiaries
5,137,715
29,279
(28,689)
3,444,956
39,672
(41,984)
Derivative assets/(liabilities) held for trading
37,699,677
234,195
(226,920)
30,866,297
296,734
(291,595)
Total OTC derivatives
15,408,779
198,258
(191,555)
13,257,301
251,709
(243,977)
Total derivatives cleared by central counterparty
14,142,347
2,626
(2,510)
12,331,478
1,776
(1,935)
Total exchange traded derivatives
3,010,836
4,032
(4,166)
1,832,562
3,577
(3,699)
Derivatives with subsidiaries
5,137,715
29,279
(28,689)
3,444,956
39,672
(41,984)
Derivative assets/(liabilities) held for trading
37,699,677
234,195
(226,920)
30,866,297
296,734
(291,595)
Derivatives held for risk management
Derivatives designated as cash flow hedges
Currency Swaps
1,000
155
—
1,000
67
—
Interest rate swaps
359
—
(5)
1,920
25
—
Interest rate derivatives cleared by central counterparty
62,482
—
—
42,892
—
—
Derivatives designated as cash flow hedges
63,841
155
(5)
45,812
92
—
Derivatives designated as fair value hedges
Interest rate swaps
5,758
36
(1,045)
7,738
97
(943)
Forward foreign exchange
2,312
—
(20)
2,360
72
—
Interest rate derivatives cleared by central counterparty
52,530
—
—
54,584
—
—
Derivatives designated as fair value hedges
60,600
36
(1,065)
64,682
169
(943)
Derivatives designated as hedges of net investments
Forward foreign exchange
1,306
23
(1)
1,906
134
—
Derivatives designated as hedges of net investments
1,306
23
(1)
1,906
134
—
Derivative assets/(liabilities) held for risk management
125,747
214
(1,071)
112,400
395
(943)
Total OTC derivatives
10,735
214
(1,071)
14,924
395
(943)
Total derivatives cleared by central counterparty
115,012
—
—
97,476
—
—
Derivative assets/(liabilities) held for risk management
125,747
214
(1,071)
112,400
395
(943)
Notes to the financial statements
Assets and liabilities held at fair value
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Hedge accounting
Hedge accounting is applied predominantly for the following risks:
▪Interest rate risk – arises due to a mismatch between fixed interest rates and floating interest rates. Interest rate risk also includes exposure to
inflation risk for certain types of investments.
▪Currency risk – arises due to assets or liabilities being denominated in different currencies than the functional currency of the relevant entity. At a
consolidated level, currency risk also arises when the functional currency of subsidiaries are different from the parent.
▪Contractually linked inflation risk – arises from financial instruments within contractually specified inflation ris k. The Barclays Bank Group does not
hedge inflation risk that arises from other activities.
In order to hedge these risks, the Barclays Bank Group uses the following hedging instruments:
▪Interest rate derivatives to swap interest rate exposure into either fixed or variable rates.
▪Currency derivatives to swap foreign currency exposures into the entity’s functional currency, and net investment exposure to local currency.
▪Inflation derivatives to swap inflation exposure into either fixed or variable interest rates.
In some cases, certain items which are economically hedged may be ineligible hedged items for the purposes of IAS 39, such as core deposits and
equity. In these instances, a proxy hedging solution can be utilised whereby portfolios of floating rate assets are designated as eligible hedged items in
cash flow hedges.
In some hedging relationships, the Barclays Bank Group designates risk components of hedged items as follows:
▪Benchmark interest rate risk as a component of interest rate risk, such as the LIBOR or Risk Free Rate (RFR) component.
▪Inflation risk as a contractually specified component of a debt instrument.
▪Spot exchange rate risk for foreign currency financial assets or financial liabilities.
▪Components of cash flows of hedged items, for example certain interest payments for part of the life of an instrument.
Using the benchmark interest rate risk results in other risks, such as credit risk and liquidity risk, being excluded from the hedge accounting relationship.
Following market-wide interest rate benchmark reform, sensitivity to risk-free rates is considered to be the predominant interest rate risk and therefore
the hedged items (which often reference risk-free or similar 'overnight' rates) change in fair value on a proportionate basis with reference to this risk.
In respect of many of the Barclays Bank Group’s hedge accounting relationships, the hedged item and hedging instrument change frequently due to the
dynamic nature of the risk management and hedge accounting strategy. The Barclays Bank Group applies hedge accounting to dynamic scenarios,
predominantly in relation to interest rate risk, with a combination of hedged items in order for its financial statements to reflect as closely as possible the
economic risk management undertaken. In some cases, if the hedge accounting objective changes, the relevant hedge accounting relationship is de-
designated and is replaced with a different hedge accounting relationship.
Changes in the GBP value of net investments due to foreign currency movements are captured in the currency translation reserve, resulting in a
movement in CET 1 capital. The Barclays Bank Group mitigates this by matching the CET 1 capital movements to the revaluation of the foreign currency
RWA exposures. Net investment hedges are designated where necessary to reduce the exposure to movement in a particular exchange rate to within
limits mandated by Risk. As far as possible, existing external currency liabilities are designated as the hedging instruments.
The hedging instruments share the same risk exposures as the hedged items. Hedge effectiveness is determined with reference to quantitative tests,
predominantly regression testing, but to the extent hedging instruments are exposed to different risks than the hedged items, this could result in hedge
ineffectiveness or hedge accounting failures.
Sources of ineffectiveness include the following:
▪Mismatches between the contractual terms of the hedged item and hedging instrument, including basis differences.
▪Changes in credit risk of the hedging instruments.
▪If a hedging relationship becomes over-hedged, for example in hedges of net investments if the net asset value designated at the start of the period
falls below the amount of the hedging instrument.
▪Cash flow hedges using external swaps with non-zero fair values.
▪The effects of the reforms to IBOR, because these might take effect at a different time and have a different impact on hedged items and hedging
instruments.
The Barclays Bank Group's risk exposure continues, in part, to be affected by interest rate benchmark reform. In most cases, hedged items and hedging
instruments are expected to transition to relevant risk-free rates at the end of their current cash flow period. For GBP LIBOR contracts, where
uncertainty around the timing and effects of LIBOR reform continues beyond the end of the current cash flow period, financial instruments are generally
expected to utilise 'synthetic LIBOR' (as permitted by the FCA on a temporary basis until their contracts are fully remediated). USD LIBOR linked hedge
accounting relationships are still exposed to uncertainty regarding the precise timing and effects of benchmark reform. USD LIBOR benchmarks will
cease to be published from 30 June 2023, but certain hedged items and hedging instruments continue to contractually reference these benchmarks
beyond the cessation date.
Notes to the financial statements
Assets and liabilities held at fair value
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The following table summarises the significant hedge accounting exposures impacted by the IBOR reform as at 31 December 2021:
Barclays Bank Group
Nominal amount
of hedged items
directly impacted
by IBOR reform
Nominal amount
of hedging
instruments
directly impacted
by IBOR reform
Current benchmark rate
Expected convergence to RFR
£m
£m
GBP London Interbank Offered rate (LIBOR)
Reformed Sterling Overnight Index Average (SONIA)
9,718
200
USD LIBOR
Secured Overnight Financing Rate (SOFR)
19,945
20,013
JPY LIBOR
Tokyo Overnight Average (TONA)
—
52
Singapore Swap Offered Rate (SOR)
Singapore Overnight Rate Average (SORA)
110
110
Total IBOR Notionals
29,773
20,375
Barclays Bank PLC
Nominal amount
of hedged items
directly impacted
by IBOR reform
Nominal amount
of hedging
instruments
directly impacted
by IBOR reform
Current benchmark rate
Expected convergence to RFR
£m
£m
GBP London Interbank Offered rate (LIBOR)
Reformed Sterling Overnight Index Average (SONIA)
9,503
200
USD LIBOR
Secured Overnight Financing Rate (SOFR)
17,616
17,684
JPY LIBOR
Tokyo Overnight Average (TONA)
—
52
Singapore Swap Offered Rate (SOR)
Singapore Overnight Rate Average (SORA)
110
110
Total IBOR Notionals
27,229
18,046
The disparity in outstanding GBP notionals between hedged items and hedging instruments results from a temporary timing mismatch where derivative
contracts have been transitioned to SONIA prior to 31 December 2021, whereas hedged items are expected to transition early 2022.
Notes to the financial statements
Assets and liabilities held at fair value
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Hedged items in fair value hedges
Barclays Bank Group
Accumulated fair value adjustment
included in carrying amount
Carrying amount
Total
Of which:
Accumulated fair
value adjustment
on items no
longer in a hedge
relationship
Change in fair
value used as a
basis to
determine
ineffectiveness
Hedge
ineffectiveness
recognised in the
income
statement a
Hedged item statement of financial position classification and risk
category
£m
£m
£m
£m
£m
2021
Assets
Loans and advances at amortised cost
- Interest rate risk
1,257
24
6
(77)
(1)
- Inflation risk
556
354
—
9
—
Debt securities classified as amortised cost
- Interest rate risk
1,378
(39)
—
(75)
(18)
- Inflation risk
4,087
400
—
(16)
(1)
Financial assets at fair value through other comprehensive
income b
- Interest rate risk
22,895
(293)
28
(1,122)
35
- Inflation risk
6,271
386
(32)
81
10
Total Assets
36,444
832
2
(1,200)
25
Liabilities
Debt securities in issue
- Interest rate risk
(26,691)
(622)
(320)
769
6
Total Liabilities
(26,691)
(622)
(320)
769
6
Total Hedged Items
9,753
210
(318)
(431)
31
2020
Assets
Loans and advances at amortised cost
- Interest rate risk
835
99
2
55
—
- Inflation risk
545
345
—
25
3
Debt securities classified as amortised cost
- Interest rate risk
1,440
23
—
17
(7)
- Inflation risk
4,071
(43)
—
453
3
Financial assets at fair value through other comprehensive
income b
- Interest rate risk
27,959
964
322
864
(33)
- Inflation risk
7,782
319
(9)
249
(9)
Total Assets
42,632
1,707
315
1,663
(43)
Liabilities
Debt securities in issue
- Interest rate risk
(26,978)
(1,477)
(414)
(797)
(6)
Total Liabilities
(26,978)
(1,477)
(414)
(797)
(6)
Total Hedged Items
15,654
230
(99)
866
(49)
Note
a Hedge ineffectiveness is recognised in net interest income.
b For items classified as fair value through other comprehensive income, the hedge accounting adjustment is not included in the carrying amount, but rather adjusts other
comprehensive income.
Notes to the financial statements
Assets and liabilities held at fair value
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Hedged items in fair value hedges
Barclays Bank PLC
Accumulated fair value adjustment
included in carrying amount
Carrying amount
Total
Of which:
Accumulated fair
value adjustment
on items no
longer in a hedge
relationship
Change in fair
value used as a
basis to
determine
ineffectiveness
Hedge
ineffectiveness
recognised in the
income
statement a
Hedged item statement of financial position classification and risk
category
£m
£m
£m
£m
£m
2021
Assets
Loans and advances at amortised cost
- Interest rate risk
1,257
24
6
(77)
(1)
- Inflation risk
556
354
—
9
—
Debt securities classified as amortised cost
- Interest rate risk
1,378
(39)
—
(75)
(18)
- Inflation risk
4,087
400
—
(16)
(1)
Financial assets at fair value through other comprehensive
income b
- Interest rate risk
22,895
(299)
25
(1,122)
31
- Inflation risk
6,271
386
(32)
81
10
Investments in subsidiaries c
- Foreign exchange risk
1,455
(1)
1
19
—
- Other risk
1,607
—
—
35
—
Total Assets
39,506
825
—
(1,146)
21
Liabilities
Debt securities in issue
- Interest rate risk
(26,138)
(523)
(318)
722
10
Total Liabilities
(26,138)
(523)
(318)
722
10
Total Hedged items
13,368
302
(318)
(424)
31
2020
Assets
Loans and advances at amortised cost
- Interest rate risk
835
99
2
55
—
- Foreign exchange risk
1,638
3
1
(112)
—
- Inflation risk
545
345
—
25
3
Debt securities classified as amortised cost
- Interest rate risk
1,440
23
—
17
(7)
- Inflation risk
4,071
(43)
—
453
3
Financial assets at fair value through other comprehensive
income b
- Interest rate risk
27,959
958
318
863
(36)
- Inflation risk
7,782
319
(9)
249
(9)
Total Assets
44,270
1,704
312
1,550
(46)
Liabilities
Debt securities in issue
- Interest rate risk
(26,163)
(1,314)
(393)
(793)
5
Total Liabilities
(26,163)
(1,314)
(393)
(793)
5
Total Hedged items
18,107
390
(81)
757
(41)
Note
a Hedge ineffectiveness is recognised in net interest income.
b For items classified as fair value through other comprehensive income, the hedge accounting adjustment is not included in the carrying amount, but rather adjusts other
comprehensive income.
c Amounts presented in 2020 under Loans and advances at amortised cost - Foreign exchange risk have been represented in 2021 under Investments in subsidiaries - Other
risk
Notes to the financial statements
Assets and liabilities held at fair value
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Amount, timing and uncertainty of future cash flows
The following table shows the fair value hedging instruments which are carried on the Barclays Bank Group’s balance sheet:
Barclays Bank Group
Carrying value
Nominal
amount
Change in fair
value used as a
basis to
determine
ineffectiveness
Nominal amount
directly impacted
by IBOR reform
Derivative
assets
Derivative
liabilities
Loan liabilities
Hedge type
Risk category
£m
£m
£m
£m
£m
£m
As at 31 December 2021
Fair value
Interest rate risk
53
—
—
51,219
527
8,855
Inflation risk
—
(1,045)
—
7,601
(65)
1,624
Total
53
(1,045)
—
58,820
462
10,479
As at 31 December 2020
Fair value
Interest rate risk
117
(164)
—
55,093
(185)
17,697
Inflation risk
6
(779)
—
7,826
(730)
1,487
Total
123
(943)
—
62,919
(915)
19,184
Barclays Bank PLC
Carrying value
Nominal
amount
Change in fair
value used as a
basis to
determine
ineffectiveness
Nominal amount
directly impacted
by IBOR reform
Derivative
assets
Derivative
liabilities
Loan liabilities
Hedge type
Risk category
£m
£m
£m
£m
£m
£m
As at 31 December 2021
Fair value
Interest rate risk
36
—
—
50,669
574
8,855
Foreign exchange risk
—
(20)
(1,199)
3,529
(54)
—
Inflation risk
—
(1,045)
—
7,601
(65)
1,624
Total
36
(1,065)
(1,199)
61,799
455
10,479
As at 31 December 2020
Fair value
Interest rate risk
91
(164)
—
54,496
(181)
17,288
Foreign exchange risk
72
—
—
2,360
112
—
Inflation risk
6
(779)
—
7,826
(730)
1,487
Total
169
(943)
—
64,682
(799)
18,775
The following table profiles the expected notional values of current hedging instruments for fair value hedging in future years:
2021
2022
2023
2024
2025
2026
2027 and
later
As at 31 December 2021
£m
£m
£m
£m
£m
£m
£m
Barclays Bank Group
Fair value hedges of:
Interest rate risk (outstanding notional amount)
51,219
49,156
43,857
37,590
31,635
27,011
22,555
Inflation risk (outstanding notional amount)
7,601
7,435
6,603
5,341
4,283
3,131
818
For Barclays Bank Group, there are 618 (2020: 586) interest rate risk fair value hedges with an average fixed rate of 1.1% (2020: 1.2%) across the
relationships and 60 (2020: 70) inflation risk fair value hedges with an average rate of 0.59% (2020: 0.52%) across the relationships.
2021
2022
2023
2024
2025
2026
2027 and
later
As at 31 December 2021
£m
£m
£m
£m
£m
£m
£m
Barclays Bank PLC
Fair value hedges of interest rate risk
Interest rate risk (outstanding notional amount)
50,669
48,776
43,481
37,218
31,220
26,912
22,371
Foreign exchange risk (outstanding notional
amount)
3,529
1,199
1,199
1,199
1,199
1,199
1,199
Inflation risk (outstanding notional amount)
7,601
7,435
6,603
5,341
4,283
3,131
818
Notes to the financial statements
Assets and liabilities held at fair value
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Hedged items in cash flow hedges and hedges of net investments in foreign operations
Barclays Bank Group
Change in value
of hedged item
used as the
basis for
recognising
ineffectiveness
Balance in cash
flow hedging
reserve for
continuing
hedges
Balance in
currency
translation
reserve for
continuing
hedges
Balances
remaining in
cash flow
hedging reserve
for which hedge
accounting is no
longer applied
Balances
remaining in
currency
translation
reserve for
which hedge
accounting is no
longer applied
Hedging gains
or losses
recognised in
other
comprehensive
income
Hedge
ineffectiveness
recognised in
the income
statement a
Description of hedge relationship and hedged risk
£m
£m
£m
£m
£m
£m
£m
2021
Cash flow hedge of:
Interest rate risk
Loans and advances at amortised cost
2,042
935
—
(192)
—
2,042
(211)
Foreign exchange risk
Loans and advances at amortised cost
(88)
(16)
—
—
—
(88)
1
Inflation risk
Debt securities classified at amortised cost
252
204
—
(12)
—
252
(22)
Total cash flow hedges
2,206
1,123
—
(204)
—
2,206
(232)
Hedge of net investment in foreign operations
USD foreign operations
143
—
1,184
—
—
143
—
EUR foreign operations
(49)
—
(39)
—
—
(49)
—
Other foreign operations
(3)
—
44
—
186
(3)
—
Total foreign operations
91
—
1,189
—
186
91
—
2020
Cash flow hedge of:
Interest rate risk
Loans and advances at amortised cost
(1,260)
(758)
—
(780)
—
(1,260)
40
Foreign exchange risk
Loans and advances at amortised cost
(70)
(15)
—
—
—
(70)
—
Inflation risk
Debt securities classified at amortised cost
(41)
(65)
—
—
—
(41)
1
Total cash flow hedges
(1,371)
(838)
—
(780)
—
(1,371)
41
Hedge of net investment in foreign operations
USD foreign operations
(83)
—
1,097
—
—
(83)
—
EUR foreign operations
(2)
—
16
—
—
(2)
—
Other foreign operations
(9)
—
55
—
162
(9)
—
Total foreign operations
(94)
—
1,168
—
162
(94)
—
Note
a Hedge ineffectiveness is recognised in net interest income
Notes to the financial statements
Assets and liabilities held at fair value
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Hedged items in cash flow hedges and hedges of net investments in foreign operations
Barclays Bank PLC
Change in
value of
hedged item
used as the
basis for
recognising
ineffectiveness
Balance in
cash flow
hedging
reserve for
continuing
hedges
Balance in
currency
translation
reserve for
continuing
hedges
Balances
remaining in
cash flow
hedging
reserve for
which hedge
accounting is
no longer
applied
Balances
remaining in
currency
translation
reserve for
which hedge
accounting is
no longer
applied
Hedging gains
or losses
recognised in
other
comprehensiv
e income
Hedge
ineffectivenes
s recognised
in the income
statement a
Description of hedge relationship and hedged risk
£m
£m
£m
£m
£m
£m
£m
2021
Cash flow hedge of:
Interest rate risk
Loans and advances at amortised cost
2,051
964
—
(209)
—
2,051
(168)
Foreign exchange risk
Loans and advances at amortised cost
(88)
(16)
—
—
—
(88)
1
Inflation risk
Debt securities classified at amortised cost
252
204
—
(12)
252
(23)
Total cash flow hedges
2,215
1,152
—
(221)
—
2,215
(190)
Hedge of net investment in foreign operations
USD foreign operations
34
—
1,050
—
—
34
—
EUR foreign operations
2
—
(2)
—
2
2
—
Other foreign operations
—
—
—
—
—
—
—
Total foreign operations
36
—
1,048
—
2
36
—
2020
Cash flow hedge of:
Interest rate risk
Loans and advances at amortised cost
(1,273)
(792)
—
(759)
—
(1,273)
41
Foreign exchange risk
Loans and advances at amortised cost
(70)
(15)
—
—
—
(70)
—
Inflation risk
Debt securities classified at amortised cost
(41)
(65)
—
—
—
(41)
1
Total cash flow hedges
(1,384)
(872)
—
(759)
—
(1,384)
42
Hedge of net investment in foreign operations
USD foreign operations
3
—
1,060
—
—
3
—
EUR foreign operations
—
—
—
—
2
—
—
Other foreign operations
—
—
—
—
—
—
—
Total foreign operations
3
—
1,060
—
2
3
—
Note
a Hedge ineffectiveness is recognised in net interest income.
Notes to the financial statements
Assets and liabilities held at fair value
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The following table shows the cash flow and net investment hedging instruments which are carried on the Barclays Bank Group’s balance sheet:
Barclays Bank Group
Carrying value
Nominal
amount
Change in fair
value used as a
basis to
determine
ineffectiveness
Nominal
amount directly
impacted by
IBOR reform
Derivative
assets
Derivative
liabilities
Loan liabilities
Hedge type
Risk category
£m
£m
£m
£m
£m
£m
As at 31 December 2021
Cash flow
Interest rate risk
—
—
—
59,957
(2,253)
9,896
Foreign exchange risk
155
—
—
1,000
89
—
Inflation risk
—
(3)
—
4,092
(274)
—
Total
155
(3)
—
65,049
(2,438)
9,896
Net investment
Foreign exchange risk
37
(4)
(6,933)
9,356
(91)
—
As at 31 December 2020
Cash flow
Interest rate risk
47
—
—
42,520
1,300
27,160
Foreign exchange risk
67
—
—
1,000
70
—
Inflation risk
2
—
—
2,798
42
0
Total
116
—
—
46,318
1,412
27,160
Net investment
Foreign exchange risk
25
—
(4,832)
5,623
94
—
Barclays Bank PLC
Carrying value
Nominal
amount
Change in fair
value used as a
basis to
determine
ineffectiveness
Nominal
amount directly
impacted by
IBOR reform
Derivative
assets
Derivative
liabilities
Loan liabilities
Hedge type
Risk category
£m
£m
£m
£m
£m
£m
As at 31 December 2021
Cash flow
Interest rate risk
—
(2)
—
58,689
(2,219)
7,567
Foreign exchange risk
155
—
—
1,000
89
—
Inflation risk
—
(3)
—
4,152
(275)
—
Total
155
(5)
—
63,841
(2,405)
7,567
Net investment
Foreign exchange risk
23
(1)
(1,335)
2,641
(36)
—
As at 31 December 2020
Cash flow
Interest rate risk
23
—
—
42,013
1,314
26,490
Foreign exchange risk
67
—
—
1,000
70
—
Inflation risk
2
—
—
2,799
42
—
Total
92
—
—
45,812
1,426
26,490
Net investment
Foreign exchange risk
134
—
—
1,906
(3)
—
For B a rclays Bank Group, there is 1 (2020: 1) foreign exchange risk cash flow hedge with an average foreign exchange rate of JPY 133.03: GBP 1 (2020:
JPY 133.03: GBP 1) and for Bar clays Bank PLC, there is 1 (2020: 1) foreign exchange risk cash flow hedge with an average foreign exchange rate of JPY
133.03: GBP 1 (2020: JPY 133.03: GBP 1).
Notes to the financial statements
Assets and liabilities held at fair value
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The effect on the income statement and other comprehensive income of recycling amounts in respect of cash flow hedges and net investment hedges
of foreign operations is set out in the following table:
Barclays Bank Group
2021
2020
Amount recycled from
other comprehensive
income due to hedged
item affecting income
statement
Amount recycled from
other comprehensive
income due to sale of
investment, or cash
flows no longer expected
to occur
Amount recycled from
other comprehensive
income due to hedged
item affecting income
statement
Amount recycled from
other comprehensive
income due to sale of
investment, or cash flows
no longer expected to
occur
Description of hedge relationship and hedged risk
£m
£m
£m
£m
Cash flow hedge of interest rate risk
Recycled to net interest income
228
13
239
37
Cash flow hedge of foreign exchange risk
Recycled to net interest income
87
—
55
—
Hedge of net investment in foreign operations
Recycled to other income
—
(28)
—
(4)
Barclays Bank PLC
2021
2020
Amount recycled from
other comprehensive
income due to hedged
item affecting income
statement
Amount recycled from
other comprehensive
income due to sale of
investment, or cash
flows no longer expected
to occur
Amount recycled from
other comprehensive
income due to hedged
item affecting income
statement
Amount recycled from
other comprehensive
income due to sale of
investment, or cash flows
no longer expected to
occur
Description of hedge relationship and hedged risk
£m
£m
£m
£m
Cash flow hedge of interest rate risk
Recycled to net interest income
235
11
237
53
Cash flow hedge of foreign exchange risk
Recycled to net interest income
87
—
55
—
Hedge of net investment in foreign operations
Recycled to other income
—
—
—
—
A detailed reconciliation of the movements of the cash flow hedging reserve a nd the currency translation reserve i s as follows:
Barclays Bank Group
2021
2020
Cash flow hedging
reserve
Currency
translation reserve
Cash flow hedging
reserve
Currency
translation reserve
£m
£m
£m
£m
Balance on 1 January
1,181
2,736
388
3,383
Currency translation movements
(6)
(92)
50
(745)
Hedging (losses)/gains for the year
(2,206)
(91)
1,316
94
Amounts reclassified in relation to cash flows affecting profit or loss
(327)
28
(282)
4
Tax
740
—
(291)
—
Balance on 31 December
(618)
2,581
1,181
2,736
In 2020, amounts recycled from other comprehensive incom e £55m i n respect of cash flow hedges of foreign exc hange risk were presented within
'Hedging gains/(losses) for the year'. For 2021, the corresponding current year amounts of £87m were presented within 'Amounts reclassified in
relation to cash flows affecting profit or loss'.
Notes to the financial statements
Assets and liabilities held at fair value
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Barclays Bank PLC
2021
2020
Cash flow hedging
reserve
Currency
translation reserve
Cash flow hedging
reserve
Currency
translation reserve
£m
£m
£m
£m
Balance on 1 January
1,191
140
403
659
Currency translation movements
(15)
164
51
(516)
Hedging (losses)/gains for the year
(2,215)
(36)
1,329
(3)
Amounts reclassified in relation to cash flows affecting profit or loss
(333)
—
(290)
—
Tax
748
—
(302)
—
Balance on 31 December
(624)
268
1,191
140
In 2020, amounts recycled from other comprehensive income of £55m in respect of cash flow hedges of foreign exchange risk were presented within
'Hedging gains/(losses) for the year'. For 2021, the corresponding current year amounts of £87m were presented within 'Amounts reclassified in
relation to cash flows affecting profit or loss'.
14 Financial assets at fair value through other comprehensive income
Accounting for financial assets at fair value through other comprehensive income (FVOCI)
Financial assets that are debt instruments held in a business model that is achieved by both collecting contractual cash flows and selling and that
contain contractual terms that give rise on specified dates to cash flows that are SPPI are measured at FVOCI. They are subsequently re-measured at
fair value and changes therein (except for those relating to impairment, interest income and foreign currency exchange gains and losses) are
recognised in other comprehensive income until the assets are sold. Interest (calculated using the effective interest method) is recognised in the
income statement in net interest income (Note 3). Upon disposal, the cumulative gain or loss recognised in other comprehensive income is included in
net investment income (Note 6).
In determining whether the business model is achieved by both collecting contractual cash flows and selling financial assets, it is determined that both
collecting contractual cash flows and selling financial assets are integral to achieving the objective of the business model. The Barclays Bank Group
will consider past sales and expectations about future sales to establish if the business model is achieved.
For equity securities that are not held for trading, the Barclays Bank Group may make an irrevocable election on initial recognition to present
subsequent changes in the fair value of the instrument in other comprehensive income (except for dividend income which is recognised in profit or
loss). Gains or losses on the de-recognition of these equity securities are not transferred to profit or loss. These assets are also not subject to the
impairment requirements and therefore no amounts are recycled to the income statement. Where the Barclays Bank Group has not made the
irrevocable election to present subsequent changes in the fair value of the instrument in other comprehensive income, equity securities are measured
at fair value through profit or loss.
Barclays Bank Group
2021
2020
£m
£m
Debt securities and other eligible bills
45,854
51,710
Equity securities
1
1
Loans and advances
53
191
Financial assets at fair value through other comprehensive income
45,908
51,902
Barclays Bank PLC
2021
2020
£m
£m
Debt securities and other eligible bills
44,110
50,117
Loans and advances
53
191
Financial assets at fair value through other comprehensive income
44,163
50,308
Notes to the financial statements
Assets and liabilities held at fair value
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15 Financial liabilities designated at fair value
Accounting for liabilities designated at fair value through profit and loss
In accordance with IFRS 9, financial liabilities may be designated at fair value, with gains and losses taken to the income statement within net trading
income (Note 5) and net investment income (Note 6). Movements in own credit are reported through other comprehensive income, unless the effects
of changes in the liability's credit risk would create or enlarge an accounting mismatch in profit and loss. In these scenarios, all gains and losses on
that liability (including the effects of changes in the credit risk of the liability) are presented in profit and loss. On derecognition of the financial liability
no amount relating to own credit risk are recycled to the income statement. The Barclays Bank Group has the ability to make the fair value designation
when holding the instruments at fair value reduces an accounting mismatch (caused by an offsetting liability or asset being held at fair value), or is
managed by the Barclays Bank Group on the basis of its fair value, or includes terms that have substantive derivative characteristics (Note 13).
The details on how the fair value amounts are arrived at for financial liabilities designated at fair value are described in Note 16.
Barclays Bank Group
2021
2020
Fair value
Contractual
amount due
on maturity
Fair value
Contractual
amount due
on maturity
£m
£m
£m
£m
Debt securities
53,164
61,333
50,216
57,650
Deposits
29,409
29,836
21,718
22,120
Repurchase agreements and other similar secured borrowing
168,075
168,144
177,455
177,513
Subordinated debt a
483
613
—
—
Other financial liabilities
—
—
237
237
Financial liabilities designated at fair value
251,131
259,926
249,626
257,520
Barclays Bank PLC
2021
2020
Fair value
Contractual
amount due
on maturity
Fair value
Contractual
amount due
on maturity
£m
£m
£m
£m
Debt securities
52,362
60,335
48,872
56,082
Deposits
20,722
20,836
14,075
14,127
Repurchase agreements and other similar secured borrowing
217,495
217,547
204,190
204,201
Subordinated debt a
483
613
—
—
Financial liabilities designated at fair value
291,062
299,331
267,137
274,410
The cumulative own credit net loss recognised for Barclays Bank Group is £960m (2020: £954m) and for Barclays Bank PLC is £837 m (2020: £875 m)
Note
a.S ubo rdinated debt measured at fair value (2020: £221m) was previously disclosed in Note 26 Subordina ted Liabilities. For the current year, it is disclosed within Financial
Liabilities designated at fair value to better reflect that it is accounted for at fair value.
16 Fair value of financial instruments
Accounting for financial assets and liabilities – fair values
Financial instruments that are held for trading are recognised at fair value through profit or loss. In addition, financial assets are held at fair value
through profit or loss if they do not contain contractual terms that give rise on specified dates to cash flows that are SPPI, or if the financial asset is not
held in a business model that is either (i) a business model to collect the contractual cash flows or (ii) a business model that is achieved by both
collecting contractual cash flows and selling. Subsequent changes in fair value for these instruments are recognised in the income statement in net
investment income, except if reporting it in trading income reduces an accounting mismatch.
All financial instruments are initially recognised at fair value on the date of initial recognition (including transaction costs, other than financial
instruments held at fair value through profit or loss) and depending on the subsequent classification of the financial asset or liability, may continue to be
held at fair value either through profit or loss or other comprehensive income. The fair value of a financial instrument is the price that would be received
to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.
Wherever possible, fair value is determined by reference to a quoted market price for that instrument. For many of the Barclays Bank Group’s financial
assets and liabilities, especially derivatives, quoted prices are not available and valuation models are used to estimate fair value. The models calculate the
expected cash flows under the terms of each specific contract and then discount these values back to a present value. These models use as their basis
independently sourced market inputs including, for example, interest rate yield curves, equities and commodities prices, option volatilities and currency
rates.
For financial liabilities measured at fair value, the carrying amount reflects the effect on fair value of changes in own credit spreads derived from
observable market data such as in primary issuance and redemption activity for structured notes.
On initial recognition, it is presumed that the transaction price is the fair value unless there is observable information available in an active market to the
contrary. The best evidence of an instrument’s fair value on initial recognition is typically the transaction price. However, if fair value can be evidenced
by comparison with other observable current market transactions in the same instrument, or is based on a valuation technique whose inputs include
only data from observable markets, then the instrument should be recognised at the fair value derived from such observable market data.
Notes to the financial statements
Assets and liabilities held at fair value
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For valuations that have made use of unobservable inputs, the difference between the model valuation and the initial transaction price (Day One profit)
is recognised in profit or loss either: on a straight-line basis over the term of the transaction; or over the period until all model inputs will become
observable where appropriate; or released in full when previously unobservable inputs become observable.
Various factors influence the availability of observable inputs and these may vary from product to product and change over time. Factors include the
depth of activity in the relevant market, the type of product, whether the product is new and not widely traded in the marketplace, the maturity of
market modelling and the nature of the transaction (bespoke or generic). To the extent that valuation is based on models or inputs that are not
observable in the market, the determination of fair value can be more subjective, dependent on the significance of the unobservable input to the overall
valuation. Unobservable inputs are determined based on the best information available, for example by reference to similar assets, similar maturities or
other analytical techniques.
The sensitivity of valuations used in the financial statements to possible changes in significant unobservable inputs is shown on page 202.
Critical accounting estimates and judgements
The valuation of financial instruments often involves a significant degree of judgement and complexity, in particular where valuation models make use
of unobservable inputs (‘Level 3’ assets and liabilities). This note provides information on these instruments, including the related unrealised gains and
losses recognised in the period, a description of significant valuation techniques and unobservable inputs, and a sensitivity analysis.
Valuation
IFRS 13 Fair value measurement requires an entity to classify its assets and liabilities according to a hierarchy that reflects the observability of significant
market inputs. The three levels of the fair value hierarchy are defined below.
Quoted market prices – Level 1
Assets and liabilities are classified as Level 1 if their value is observable in an active market. Such instruments are valued by reference to unadjusted
quoted prices for identical assets or liabilities in active markets where the quoted price is readily available, and the price represents actual and regularly
occurring market transactions. An active market is one in which transactions occur with sufficient volume and frequency to provide pricing information
on an ongoing basis.
Valuation technique using observable inputs – Level 2
Assets and liabilities classified as Level 2 have been valued using models whose inputs are observable either directly or indirectly. Valuations based on
observable inputs include assets and liabilities such as swaps and forwards which are valued using market standard pricing techniques, and options that
are commonly traded in markets where all the inputs to the market standard pricing models are observable.
Valuation technique using significant unobservable inputs – Level 3
Assets and liabilities are classified as Level 3 if their valuation incorporates significant inputs that are not based on observable market data
(unobservable inputs). A valuation input is considered observable if it can be directly observed from transactions in an active market, or if there is
compelling external evidence demonstrating an executable exit price. Unobservable input levels are generally determined via reference to observable
inputs, historical observations or using other analytical techniques.
The following table shows Barclays Bank Group’s assets and liabilities that are held at fair value disaggregated by valuation technique (fair value
hierarchy) and balance sheet classification:
Assets and liabilities held at fair value
2021
2020
Valuation technique using
Valuation technique using
Level 1
Level 2
Level 3
Total
Level 1
Level 2
Level 3
Total
Barclays Bank Group
£m
£m
£m
£m
£m
£m
£m
£m
Trading portfolio assets
80,836
63,754
2,281
146,871
60,619
65,182
1,863
127,664
Financial assets at fair value through the
income statement
4,953
177,194
6,079
188,226
4,439
162,930
4,392
171,761
Derivative financial assets
6,150
252,131
4,010
262,291
9,154
289,071
4,468
302,693
Financial assets at fair value through other
comprehensive income
16,070
29,800
38
45,908
12,150
39,599
153
51,902
Investment property
—
—
7
7
—
—
10
10
Total assets
108,009
522,879
12,415
643,303
86,362
556,782
10,886
654,030
Trading portfolio liabilities
(26,701)
(26,563)
(27)
(53,291)
(23,331)
(22,780)
(28)
(46,139)
Financial liabilities designated at fair value
(174)
(250,553)
(404)
(251,131)
(159)
(249,126)
(341)
(249,626)
Derivative financial liabilities
(6,571)
(243,893)
(6,059)
(256,523)
(8,762)
(285,579)
(6,239)
(300,580)
Total liabilities
(33,446)
(521,009)
(6,490)
(560,945)
(32,252)
(557,485)
(6,608)
(596,345)
The following table shows Barclays Bank PLC’s assets and liabilities that are held at fair value disaggregated by valuation technique (fair value hierarchy)
and balance sheet classification:
Notes to the financial statements
Assets and liabilities held at fair value
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Assets and liabilities held at fair value
2021
2020
Valuation technique using
Valuation technique using
Level 1
Level 2
Level 3
Total
Level 1
Level 2
Level 3
Total
Barclays Bank PLC
£m
£m
£m
£m
£m
£m
£m
£m
Trading portfolio assets
48,365
46,372
1,987
96,724
37,915
44,782
1,392
84,089
Financial assets at fair value through the
income statement
344
230,870
5,363
236,577
30
199,557
3,486
203,073
Derivative financial assets
4
231,034
3,371
234,409
—
292,773
4,356
297,129
Financial assets at fair value through other
comprehensive income
14,363
29,762
38
44,163
10,596
39,559
153
50,308
Investment property
—
—
3
3
—
—
5
5
Total assets
63,076
538,038
10,762
611,876
48,541
576,671
9,392
634,604
Trading portfolio liabilities
(34,148)
(15,948)
(20)
(50,116)
(32,210)
(15,855)
(28)
(48,093)
Financial liabilities designated at fair value
(21)
(290,650)
(391)
(291,062)
(22)
(266,794)
(321)
(267,137)
Derivative financial liabilities
(2)
(222,539)
(5,450)
(227,991)
—
(286,568)
(5,970)
(292,538)
Total liabilities
(34,171)
(529,137)
(5,861)
(569,169)
(32,232)
(569,217)
(6,319)
(607,768)
The following table shows Barclays Bank Group’s Level 3 assets and liabilities that are held at fair value disaggregated by product type:
Level 3 Assets and liabilities held at fair value by product type
2021
2020
Assets
Liabilities
Assets
Liabilities
Barclays Bank Group
£m
£m
£m
£m
Interest rate derivatives
1,091
(1,351)
1,613
(1,615)
Foreign exchange derivatives
376
(374)
144
(143)
Credit derivatives
323
(709)
196
(351)
Equity derivatives
2,220
(3,625)
2,497
(4,112)
Corporate debt
1,205
(21)
698
(3)
Reverse repurchase and repurchase agreements
13
(172)
—
(174)
Non-asset backed loans
3,743
—
3,093
—
Asset backed securities
558
—
767
(24)
Equity cash products
393
—
542
—
Private equity investments
148
—
84
—
Other a
2,345
(238)
1,252
(186)
Total
12,415
(6,490)
10,886
(6,608)
Note
a Other includes commercial real estate loans, asset backed loans, funds and fund-linked products, issued debt, government sponsored debt, commodity derivatives and
investment property.
Valuation techniques and sensitivity analysis
Sensitivity analysis is performed on products with significant unobservable inputs (Level 3) to generate a range of reasonably possible alternative
valuations. The sensitivity methodologies applied take account of nature of the valuation techniques used, as well as availability and reliability of
observable proxy and historical data and impact of using alternative models.
Sensitivities are dynamically calculated on a monthly basis. The calculation is based on range or spread data of a reliable reference source or a scenario
based on relevant market analysis alongside the impact of using alternative models. Sensitivities are calculated without reflecting the impact of any
diversification in the portfolio.
The valuation techniques used, observability and sensitivity analysis for material products within Level 3, are described below.
Interest rate derivatives
Description: Derivatives linked to interest rates or inflation indices. The category includes futures, interest rate and inflation swaps, swaptions, caps,
floors, inflation options, balance guaranteed swaps and other exotic interest rate derivatives.
Valuation: Interest rate and inflation derivatives are generally valued using curves of forward rates constructed from market data to project and discount
the expected future cash flows of trades. Instruments with optionality are valued using volatilities implied from market inputs, and use industry standard
or bespoke models depending on the product type.
Observability: In general, inputs are considered observable up to liquid maturities which are determined separately for each input and underlying.
Unobservable inputs are generally set by referencing liquid market instruments and applying extrapolation techniques or inferred via another reasonable
method.
Notes to the financial statements
Assets and liabilities held at fair value
home.barclays/annualreport
Barclays Bank PLC Annual Report
194
Foreign exchange derivatives
Description: Derivatives linked to the foreign exchange (FX) market. The category includes FX forward contracts, FX swaps and FX options. The majority
are traded as over the counter (OTC) derivatives.
Valuation: FX derivatives are valued using industry standard and bespoke models depending on the product type. Valuation inputs include FX rates,
interest rates, FX volatilities, interest rate volatilities, FX interest rate correlations and others as appropriate.
Observability: FX correlations, forwards and volatilities are generally observable up to liquid maturities which are determined separately for each input
and underlying. Unobservable inputs are set by referencing liquid market instruments and applying extrapolation techniques, or inferred via another
reasonable method.
Credit derivatives
Description: Derivatives linked to the credit spread of a referenced entity, index or basket of referenced entities or a pool of referenced assets (e.g. a
securitised product). The category includes single name and index credit default swaps (CDS) and total return swaps (TRS).
Valuation: CDS are valued on industry standard models using curves of credit spreads as the principal input. Credit spreads are observed directly from
broker data, third party vendors or priced to proxies.
Observability: CDS contracts referencing entities that are actively traded are generally considered observable. Other valuation inputs are considered
observable if products with significant sensitivity to the inputs are actively traded in a liquid market. Unobservable valuation inputs are generally
determined with reference to recent transactions or inferred from observable trades of the same issuer or similar entities.
Equity derivatives
Description: Exchange traded or OTC derivatives linked to equity indices and single names. The category includes vanilla and exotic equity products.
Valuation: Equity derivatives are valued using industry standard models. Valuation inputs include stock prices, dividends, volatilities, interest rates,
equity repurchase curves and, for multi-asset products, correlations.
Observability: In general, valuation inputs are observable up to liquid maturities which are determined separately for each input and underlying.
Unobservable inputs are set by referencing liquid market instruments and applying extrapolation techniques, or inferred via another reasonable method.
Corporate debt
Description: Primarily corporate bonds.
Valuation: Corporate bonds are valued using observable market prices sourced from broker quotes, inter-dealer prices or other reliable pricing sources.
Observability: Prices for actively traded bonds are considered observable. Unobservable bonds prices are generally determined by reference to bond
yields or CDS spreads for actively traded instruments issued by or referencing the same (or a similar) issuer.
Reverse repurchase and repurchase agreements
Description: Includes securities purchased under resale agreements, securities sold under repurchase agreements, and other similar secured lending
agreements. The agreements are primarily short-term in nature.
Valuation: Repurchase and reverse repurchase agreements are generally valued by discounting the expected future cash flows using industry standard
models that incorporate market interest rates and repurchase rates, based on the specific details of the transaction.
Observability: Inputs are deemed observable up to liquid maturities, and are determined based on the specific features of the transaction. Unobservable
inputs are generally set by referencing liquid market instruments and applying extrapolation techniques, or inferred via another reasonable method.
Non-asset backed loans
Description: Largely made up of fixed rate loans.
Valuation: Fixed rate loans are valued using models that discount expected future cash flows based on interest rates and loan spreads.
Observability: Within this loan population, the loan spread is generally unobservable. Unobservable loan spreads are determined by incorporating
funding costs, the level of comparable assets such as gilts, issuer credit quality and other factors.
Asset backed securities
Description: Securities that are linked to the cash flows of a pool of referenced assets via securitisation. The category includes residential mortgage
backed securities, commercial mortgage backed securities, CDOs, collateralised loan obligations (CLOs) and other asset backed securities.
Valuation: Where available, valuations are based on observable market prices sourced from broker quotes and inter-dealer prices. Otherwise, valuations
are determined using industry standard discounted cash flow analysis that calculates the fair value based on valuation inputs such as constant default
rate, conditional prepayment rate, loss given default and yield. These inputs are determined by reference to a number of sources including proxying to
observed transactions, market indices or market research, and by assessing underlying collateral performance.
Proxying to observed transactions, indices or research requires an assessment and comparison of the relevant securities’ underlying attributes including
collateral, tranche, vintage, underlying asset composition (historical losses, borrower characteristics and loan attributes such as loan to value ratio and
geographic concentration) and credit ratings (original and current).
Observability: Where an asset backed product does not have an observable market price and the valuation is determined using a discounted cash flow
analysis, the instrument is considered unobservable.
Equity cash products
Description: Includes listed equities, Exchange Traded Funds (ETF) and preference shares.
Valuation: Valuation of equity cash products is primarily determined through market observable prices.
Notes to the financial statements
Assets and liabilities held at fair value
home.barclays/annualreport
Barclays Bank PLC Annual Report
195
Observability: Prices for actively traded equity cash products are considered observable. Unobservable equity prices are generally determined by
reference to actively traded instruments that are similar in nature, or inferred via another reasonable method.
Private equity investments
Description: Includes investments in equity holdings in operating companies not quoted on a public exchange.
Valuation: Private equity investments are valued in accordance with the ‘International Private Equity and Venture Capital Valuation Guidelines’ which
require the use of a number of individual pricing benchmarks such as the prices of recent transactions in the same or similar entities, discounted cash
flow analysis and comparison with the earnings multiples of listed companies. While the valuation of unquoted equity instruments is subjective by
nature, the relevant methodologies are commonly applied by other market participants and have been consistently applied over time.
Observability: Inputs are considered observable if there is active trading in a liquid market of products with significant sensitivity to the inputs.
Unobservable inputs include earnings estimates, multiples of comparative companies, marketability discounts and discount rates.
Other
Description: Other includes commercial real estate loans, funds and fund-linked products, asset backed loans, issued debt, Government sponsored debt,
commodity derivatives and investment property.
Assets and liabilities reclassified between Level 1 and Level 2
During the year, there were no material transfers between Level 1 to Level 2. (2020: there were no material transfers between Level 1 and Level 2).
Level 3 movement analysis
The following table summarises the movements in the Level 3 balances during the year. Transfers have been reflected as if they had taken place at the
beginning of the year.
Assets and liabilities included in disposal groups classified as held for sale and measured at fair value less cost to sell are not included as these are
measured at fair value on a non-recurring basis.
Asset and liability transfers between Level 2 and Level 3 are primarily due to 1) an increase or decrease in observable market activity related to an input
or 2) a change in the significance of the unobservable input, with assets and liabilities classified as Level 3 if an unobservable input is deemed significant.
Notes to the financial statements
Assets and liabilities held at fair value
home.barclays/annualreport
Barclays Bank PLC Annual Report
196
Analysis of movements in Level 3 assets and liabilities
As at 1
January
2021
Total gains and
(losses) in the
period recognised in
the income
statement
Total gains
or losses
recognised
in OCI
Transfers
As at 31
December
2021
Purchases
Sales
Issues
Settlements
Trading
income
Other
income
In
Out
Barclays Bank Group
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
Corporate debt
151
310
(123)
—
(12)
38
—
—
41
(16)
389
Non-asset backed loans
709
1,580
(1,409)
—
(85)
(1)
—
—
45
(81)
758
Asset backed securities
686
209
(370)
—
—
(69)
—
—
114
(116)
454
Equity cash products
214
45
(53)
—
4
23
—
—
80
(10)
303
Other
103
117
(2)
—
(61)
(3)
—
—
248
(25)
377
Trading portfolio assets
1,863
2,261
(1,957)
—
(154)
(12)
—
—
528
(248)
2,281
Non-asset backed loans
2,280
1,379
(306)
—
(248)
(59)
(174)
—
113
—
2,985
Equity cash products
320
3
(247)
—
—
—
7
—
1
—
84
Private equity investments
88
68
(7)
—
(8)
—
10
—
35
(38)
148
Other
1,704
11,253
(9,981)
—
(184)
2
21
—
48
(1)
2,862
Financial assets at fair value
through the income statement
4,392
12,703
(10,541)
—
(440)
(57)
(136)
—
197
(39)
6,079
Non-asset backed loans
106
—
—
—
—
—
—
—
—
(106)
—
Asset backed securities
47
—
—
—
(7)
—
—
(2)
—
—
38
Financial assets at fair value
through other comprehensive
income
153
—
—
—
(7)
—
—
(2)
—
(106)
38
Investment property
10
—
(2)
—
—
—
(1)
—
—
—
7
Trading portfolio liabilities
(28)
(5)
23
—
—
(6)
—
—
(12)
1
(27)
Financial liabilities designated
at fair value
(341)
(4)
—
(101)
66
21
—
—
(68)
23
(404)
Interest rate derivatives
(2)
20
—
—
105
(255)
—
—
90
(218)
(260)
Foreign exchange derivatives
1
—
—
—
40
(2)
—
—
10
(47)
2
Credit derivatives
(155)
(239)
9
—
(45)
34
—
—
10
—
(386)
Equity derivatives
(1,615)
90
(1)
—
(15)
(3)
—
—
(3)
142
(1,405)
Net derivative financial
instruments a
(1,771)
(129)
8
—
85
(226)
—
—
107
(123)
(2,049)
Total
4,278
14,826
(12,469)
(101)
(450)
(280)
(137)
(2)
752
(492)
5,925
Notes to the financial statements
Assets and liabilities held at fair value
home.barclays/annualreport
Barclays Bank PLC Annual Report
197
Analysis of movements in Level 3 assets and liabilities
As at 1
January
2020
Total gains and
losses in the period
recognised in the
income statement
Total gains
or losses
recognised
in OCI
Transfers
As at 31
December
2020
Purchases
Sales
Issues
Settlements
Trading
income
Other
income
In
Out
Barclays Bank Group
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
Corporate debt
120
77
(6)
—
—
(35)
—
—
12
(17)
151
Non-asset backed loans
974
1,955
(2,182)
—
(12)
(10)
—
—
39
(55)
709
Asset backed securities
656
458
(428)
—
(40)
(25)
—
—
99
(34)
686
Equity cash products
392
5
(149)
—
—
(41)
—
—
11
(4)
214
Other
122
—
—
—
—
(21)
—
—
2
—
103
Trading portfolio assets
2,264
2,495
(2,765)
—
(52)
(132)
—
—
163
(110)
1,863
Non-asset backed loans
1,964
1,102
(283)
—
(293)
142
—
—
—
(352)
2,280
Equity cash products
835
9
(404)
—
—
(93)
(36)
—
9
—
320
Private equity investments
113
2
(20)
—
(1)
—
(9)
—
15
(12)
88
Other
1,250
3,716
(3,606)
—
(26)
32
(48)
—
386
—
1,704
Financial assets at fair value
through the income statement
4,162
4,829
(4,313)
—
(320)
81
(93)
—
410
(364)
4,392
Non-asset backed loans
343
—
—
—
(237)
—
—
—
—
—
106
Asset backed securities
86
—
(35)
—
—
—
—
(4)
—
—
47
Financial assets at fair value
through other comprehensive
income
429
—
(35)
—
(237)
—
—
(4)
—
—
153
Investment property
13
—
(2)
—
—
—
(1)
—
—
—
10
Trading portfolio liabilities
—
(27)
—
—
—
(1)
—
—
—
—
(28)
Financial liabilities designated
at fair value
(343)
—
1
(21)
1
21
—
—
(38)
38
(341)
Interest rate derivatives
(206)
17
(12)
—
85
109
—
—
(18)
23
(2)
Foreign exchange derivatives
(7)
—
—
—
21
(16)
—
—
(19)
22
1
Credit derivatives
198
(125)
24
—
(371)
24
—
—
(21)
116
(155)
Equity derivatives
(820)
(699)
(43)
—
105
(101)
—
—
(13)
(44)
(1,615)
Net derivative financial
instruments a
(835)
(807)
(31)
—
(160)
16
—
—
(71)
117
(1,771)
Total
5,690
6,490
(7,145)
(21)
(768)
(15)
(94)
(4)
464
(319)
4,278
Note
a The derivative financial instruments are represented on a net basis. On a gross basis, derivative financial assets are £4,010m (2020: £4,468m) and derivative financial
liabilities are £6,059m (2020: £6,239m).
Notes to the financial statements
Assets and liabilities held at fair value
home.barclays/annualreport
Barclays Bank PLC Annual Report
198
Analysis of movements in Level 3 assets and liabilities
As at 1
January
2021
Total gains and
(losses) in the
period recognised in
the income
statement
Total gains
or losses
recognised
in OCI
Transfers
31
December
2021
Purchases
Sales
Issues
Settlements
Trading
income
Other
income
In
Out
Barclays Bank PLC
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
Trading portfolio assets
1,392
1,989
(1,543)
—
(158)
(23)
—
—
457
(127)
1,987
Financial assets at fair value
through the income statement
3,486
12,486
(10,266)
—
(278)
(71)
(159)
7
158
—
5,363
Fair value through other
comprehensive income
153
—
—
—
(7)
—
—
(2)
—
(106)
38
Investment property
5
—
(2)
—
—
—
—
—
—
—
3
Trading portfolio liabilities
(28)
(5)
27
—
—
(6)
—
—
(9)
1
(20)
Financial liabilities designated at
fair value
(321)
(13)
—
(92)
67
21
—
—
(68)
15
(391)
Net derivative financial
instruments a
(1,614)
(129)
6
—
20
(322)
—
—
97
(137)
(2,079)
Total
3,073
14,328
(11,778)
(92)
(356)
(401)
(159)
5
635
(354)
4,901
Analysis of movements in Level 3 assets and liabilities
As at 1
January
2020
Total gains and
(losses) in the
period recognised in
the income
statement
Total gains
or losses
recognised
in OCI
Transfers
As at 31
December
2020
Purchases
Sales
Issues
Settlements
Trading
income
Other
income
In
Out
Barclays Bank PLC
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
Trading portfolio assets
1,899
2,009
(2,294)
—
(54)
(157)
—
—
63
(74)
1,392
Financial assets at fair value
through the income statement
2,909
4,696
(3,870)
—
(292)
68
(52)
—
28
(1)
3,486
Fair value through other
comprehensive income
429
—
(35)
—
(237)
—
—
(4)
—
—
153
Investment property
5
—
—
—
—
—
—
—
—
—
5
Trading portfolio liabilities
—
(27)
—
—
—
(1)
—
—
—
—
(28)
Financial liabilities designated at
fair value
(321)
—
3
(21)
1
21
—
—
(32)
28
(321)
Net derivative financial
instruments a
(706)
(807)
(30)
—
(37)
(88)
—
—
(44)
98
(1,614)
Total
4,215
5,871
(6,226)
(21)
(619)
(157)
(52)
(4)
15
51
3,073
Note
a The derivative financial instruments are represented on a net basis. On a gross basis, derivative financial assets are £3,371m (2020: £4,356 m) and derivative financial
liabilities are £5,450m (2020: £5,970 m).
Notes to the financial statements
Assets and liabilities held at fair value
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199
Unrealised gains and losses on Level 3 financial assets and liabilities
The following tables disclose the unrealised gains and losses recognised in the year arising on Level 3 financial assets and liabilities held at year end.
Unrealised gains and losses recognised during the period on Level 3 assets and liabilities held at year end
2021
2020
Income statement
Other
compre-
hensive
income
Income statement
Other
compre-
hensive
income
Barclays Bank Group
Trading
income
Other
income
Total
Trading
income
Other
income
Total
As at 31 December
£m
£m
£m
£m
£m
£m
£m
£m
Trading portfolio assets
(67)
—
—
(67)
(114)
—
—
(114)
Financial assets at fair value through the income
statement
(53)
22
—
(31)
115
(89)
—
26
Fair value through other comprehensive income
—
—
—
—
—
—
(1)
(1)
Investment property
—
—
—
—
—
(1)
—
(1)
Trading portfolio liabilities
(5)
—
—
(5)
—
—
—
—
Financial liabilities designated at fair value
16
(1)
—
15
20
(1)
—
19
Net derivative financial instruments
(196)
—
—
(196)
(91)
—
—
(91)
Total
(305)
21
—
(284)
(70)
(91)
(1)
(162)
Unrealised gains and losses recognised during the period on Level 3 assets and liabilities held at year end
2021
2020
Income statement
Other
compre-
hensive
income
Total
Income statement
Other
compre-
hensive
income
Total
Barclays Bank PLC
Trading
income
Other
income
Trading
income
Other
income
As at 31 December
£m
£m
£m
£m
£m
£m
£m
£m
Trading portfolio assets
(55)
—
—
(55)
(153)
—
—
(153)
Financial assets at fair value through the income
statement
(68)
17
—
(51)
103
(50)
—
53
Fair value through other comprehensive income
—
—
—
—
—
—
(1)
(1)
Trading portfolio liabilities
(5)
—
—
(5)
—
—
—
—
Financial liabilities designated at fair value
9
—
—
9
21
—
—
21
Net derivative financial instruments
(276)
—
—
(276)
(72)
—
—
(72)
Total
(395)
17
—
(378)
(101)
(50)
(1)
(152)
Notes to the financial statements
Assets and liabilities held at fair value
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Barclays Bank PLC Annual Report
200
Significant unobservable inputs
The following table discloses the valuation techniques and significant unobservable inputs for assets and liabilities recognised at fair value and classified
as Level 3 along with the range of values used for those significant unobservable inputs:
Valuation technique(s)a
Significant unobservable inputs
2021
2020
Range
Range
Barclays Bank Group
Min
Max
Min
Max
Units b
Derivative financial
instruments c
Interest rate derivatives
Discounted cash flows
Inflation forwards
—
3
1
3
%
Credit spread
9
1,848
17
1,831
bps
Correlation Model
Inflation forwards
(20)
(13)
(20)
(13)
%
Comparable pricing
Price
—
38
—
84
points
Option model
Inflation volatility
31
130
31
227
bps vol
Interest rate volatility
5
600
6
489
bps vol
FX - IR correlation
(20)
78
(30)
78
%
IR - IR correlation
(100)
99
(20)
99
%
Credit derivatives
Discounted cash flows
Credit spread
2
2,925
5
480
bps
Comparable pricing
Price
—
—
—
100
points
Equity derivatives
Option model
Equity volatility
2
108
1
110
%
Equity - equity correlation
10
100
(45)
100
%
Discounted cash flow
Discounted margin
(129)
93
(225)
3,000
bps
Foreign exchange derivatives
Option Model
Option Volatility
—
100
—
30
points
Non-derivative financial
instruments
Non-asset backed loans
Discounted cash flows
Loan spread
31
811
32
477
bps
Credit spread
200
300
200
300
bps
Price
—
112
—
104
points
Yield
3
10
5
8
%
Comparable pricing
Price
—
145
—
137
points
Asset backed securities
Comparable pricing
Price
—
120
—
112
points
Corporate debt
Comparable pricing
Price
—
284
—
127
points
Discounted cash flows
Loan spread
229
854
—
—
bps
Price
—
100
—
104
points
Commercial Real Estate
loans
Discounted cash flows
Credit spread
68
543
146
483
bps
Equity cash products
Discounted cash flows
Discount margin
26
34
49
49
bps
Notes
a A range has not been provided for Net Asset Value as there would be a wide range reflecting the diverse nature of the positions.
b The units used to disclose ranges for significant unobservable inputs are percentages, points and basis points. Points are a percentage of par; for example, 100 points
equals 100% of par. A basis point equals 1/100 th of 1%; for example, 150 basis points equals 1.5%.
c Certain derivative instruments are classified as Level 3 due to a significant unobservable credit spread input into the calculation of the Credit Valuation Adjustment for the
instruments. The range of significant unobservable credit spreads is between 32bps- 1,848bps (2020: 17bps-1,831bps).
The following section describes the significant unobservable inputs identified in the table above, and the sensitivity of fair value measurement of the
instruments categorised as Level 3 assets or liabilities to increases in significant unobservable inputs. Where sensitivities are described, the inverse
relationship will also generally apply.
Where reliable interrelationships can be identified between significant unobservable inputs used in fair value measurement, a description of those
interrelationships is included below.
Forwards
A price or rate that is applicable to a financial transaction that will take place in the future.
In general, a significant increase in a forward in isolation will result in a fair value increase for the contracted receiver of the underlying (currency, bond,
commodity, etc.), but the sensitivity is dependent on the specific terms of the instrument.
Credit spread
Credit spreads typically represent the difference in yield between an instrument and a benchmark security or reference rate. Credit spreads reflect the
additional yield that a market participant demands for taking on exposure to the credit risk of an instrument and form part of the yield used in a
discounted cash flow calculation.
Notes to the financial statements
Assets and liabilities held at fair value
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In general, a significant increase in credit spread in isolation will result in a movement in a fair value decrease for a cash asset.
For a derivative instrument, a significant increase in credit spread in isolation can result in a fair value increase or decrease depending on the specific
terms of the instrument.
Volatility
Volatility is a measure of the variability or uncertainty in return for a given derivative underlying. It is an estimate of how much a particular underlying
instrument input or index will change in value over time. In general, volatilities are implied from observed option prices. For unobservable options the
implied volatility may reflect additional assumptions about the nature of the underlying risk, and the strike/maturity profile of a specific contract.
In general a significant increase in volatility in isolation will result in a fair value increase for the holder of a simple option, but the sensitivity is dependent
on the specific terms of the instrument.
There may be interrelationships between unobservable volatilities and other unobservable inputs (e.g. when equity prices fall, implied equity volatilities
generally rise) but these are generally specific to individual markets and may vary over time.
Correlation
Correlation is a measure of the relationship between the movements of two variables. Correlation can be a significant input into valuation of derivative
contracts with more than one underlying instrument. Credit correlation generally refers to the correlation between default processes for the separate
names that make up the reference pool of a CDO structure.
A significant increase in correlation in isolation can result in a fair value increase or decrease depending on the specific terms of the instrument.
Comparable price
Comparable instrument prices are used in valuation by calculating an implied yield (or spread over a liquid benchmark) from the price of a comparable
observable instrument, then adjusting that yield (or spread) to account for relevant differences such as maturity or credit quality. Alternatively, a price-
to-price basis can be assumed between the comparable and unobservable instruments in order to establish a value.
In general, a significant increase in comparable price in isolation will result in an increase in the price of the unobservable instrument. For derivatives, a
change in the comparable price in isolation can result in a fair value increase or decrease depending on the specific terms of the instrument.
Loan spread
Loan spreads typically represent the difference in yield between an instrument and a benchmark security or reference rate. Loan spreads typically reflect
credit quality, the level of comparable assets such as gilts and other factors, and form part of the yield used in a discounted cash flow calculation.
The ESHLA portfolio primarily consists of long-dated fixed rate loans extended to counterparties in the UK Education, Social Housing and Local
Authority sectors. The loans are categorised as Level 3 in the fair value hierarchy due to their illiquid nature and the significance of unobservable loan
spreads to the valuation. Valuation uncertainty arises from the long-dated nature of the portfolio, the lack of secondary market in the loans and the lack
of observable loan spreads. The majority of ESHLA loans are to borrowers in heavily regulated sectors that are considered extremely low credit risk, and
have a history of near zero defaults since inception. While the overall loan spread range is f rom 31 bps to 601bps (2020: 32bps to 477bps), the vast
majority of spreads are concentrated towards the bottom end of this range, with 99% (2020: 98%) of the loan notional being valued with spreads less
than 200bps consistently for both years.
In general, a significant increase in loan spreads in isolation will result in a fair value decrease for a loan.
Sensitivity analysis of valuations using unobservable inputs
2021
2020
Favourable changes
Unfavourable changes
Favourable changes
Unfavourable changes
Income
statement
Equity
Income
statement
Equity
Income
statement
Equity
Income
statement
Equity
Barclays Bank Group
£m
£m
£m
£m
£m
£m
£m
£m
Interest rate derivatives
51
—
(79)
—
82
—
(123)
—
Foreign exchange derivatives
20
—
(28)
—
6
—
(11)
—
Credit derivatives
112
—
(103)
—
55
—
(44)
—
Equity derivatives
181
—
(190)
—
174
—
(179)
—
Corporate debt
38
—
(28)
—
16
—
(14)
—
Non asset backed loans
99
—
(150)
—
104
3
(190)
(3)
Equity cash products
25
—
(42)
—
158
—
(141)
—
Private equity investments
10
—
(11)
—
15
—
(15)
—
Other a
19
—
(20)
—
23
—
(23)
—
Total
555
—
(651)
—
633
3
(740)
(3)
Note
a Other includes commercial real estate loans, asset backed loans, funds and fund-linked products, issued debt, government sponsored debt, commodity derivatives and
investment property.
The effect of stressing unobservable inputs to a range of reasonably possible alternatives, alongside considering the impact of using alternative models,
would be to increase fair values by up to £555m (2020: £636m) or to decrease fair values by up to £651m (2020: £743m) with substantially all the
potential effect impacting profit and loss rather than reserves.
Notes to the financial statements
Assets and liabilities held at fair value
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Fair value adjustments
Key balance sheet valuation adjustments are quantified below:
2021
2020
Barclays Bank Group
£m
£m
Exit price adjustments derived from market bid-offer spreads
(498)
(483)
Uncollateralised derivative funding
(127)
(115)
Derivative credit valuation adjustments
(212)
(268)
Derivative debit valuation adjustments
91
113
Exit price adjustments derived from market bid-offer spreads
Barclays Bank Group uses mid-market pricing where it is a market maker and has the ability to transact at, or better than, mid price (which is the case
for certain equity, bond and vanilla derivative markets). For other financial assets and liabilities, bid-offer adjustments are recorded to reflect the exit
level for the expected close out strategy. The methodology for determining the bid-offer adjustment for a derivative portfolio involves calculating the net
risk exposure by offsetting long and short positions by strike and term in accordance with the risk management and hedging strategy.
Bid-offer levels are generally derived from market quotes such as broker data. Less liquid instruments may not have a directly observable bid-offer level.
In such instances, an exit price adjustment may be derived from an observable bid-offer level for a comparable liquid instrument, or determined by
calibrating to derivative prices, or by scenario or historical analysis.
Exit price adjustments derived from market bid-offer spreads have increased by £15m to £498m.
Discounting approaches for derivative instruments
Collateralised
In line with market practice, the methodology for discounting collateralised derivatives takes into account the nature and currency of the collateral that
can be posted within the relevant credit support annex (CSA). The CSA aware discounting approach recognises the ‘cheapest to deliver’ option that
reflects the ability of the party posting collateral to change the currency of the collateral.
Uncollateralised
A fair value adjustment of £127m is applied to account for the impact of incorporating the cost of funding into the valuation of uncollateralised and
partially collateralised derivative portfolios and collateralised derivatives where the terms of the agreement do not allow the rehypothecation of
collateral received. This adjustment is referred to as the Funding Fair Value Adjustment (FFVA). FFVA has increased by £12m to £127m as a result of
underlying moves in the exposure profile of the derivative portfolio in scope.
Derivative credit and debit valuation adjustments
CVA and DVA are incorporated into derivative valuations to reflect the impact on fair value of counterparty credit risk and Barclays Bank Group’s own
credit quality respectively. These adjustments are calculated for uncollateralised and partially collateralised derivatives across all asset classes. CVA and
DVA are calculated using estimates of exposure at default, probability of default and recovery rates, at a counterparty level. Counterparties include (but
are not limited to) corporates, sovereigns and sovereign agencies and supranationals.
Exposure at default is generally estimated through the simulation of underlying risk factors through approximating with a more vanilla structure, or by
using current or scenario-based mark to market as an estimate of future exposure.
Probability of default and recovery rate information is generally sourced from the CDS markets. Where this information is not available, or considered
unreliable, alternative approaches are taken based on mapping internal counterparty ratings onto historical or market-based default and recovery
information.
CVA decreased by £56m to £212m as a result of tightening input counterparty credit spreads. DVA decreased by £22m to £91m, as a result of
tightening input own credit spreads.
Correlation between counterparty credit and underlying derivative risk factors, termed ‘wrong-way,’ or ‘right-way’ risk, is not systematically
incorporated into the CVA calculation but is adjusted where the underlying exposure is directly related to the counterparty.
Barclays Bank Group continues to monitor market practices and activity to ensure the approach to uncollateralised derivative valuation remains
appropriate.
Portfolio exemptions
Barclays Bank Group uses the portfolio exemption in IFRS 13 Fair Value Measurement 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, 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 recognised in income that relates to the difference between the transaction price (the fair value at initial recognition) and
the amount that would have arisen had valuation models using unobservable inputs been used on initial recognition, less amounts subsequently
recognised, is £122m (2020: £103m) for financial instruments measured at fair value and £28m (2020: £30m) for financial instruments carried at
amortised cost. The increase in financial instruments measured at fair value of £19m (2020: £3m increase) was driven by additions of £59m (2020:
£26m) and £40m (2020: £23m) of amortisation and releases. The decrease of £2m (2020: £1m) in financial instruments carried at amortised cost was
driven by £2m (2020: £2m) of amortisation and releases offset by additions of £nil (2020: £1m).
Third party credit enhancements
Structured and brokered certificates of deposit issued by Barclays Bank Group are insured up to $250,000 per depositor by the Federal Deposit
Insurance Corporation (FDIC) in the US. The FDIC is funded by premiums that Barclays Bank Group and other banks pay for deposit insurance coverage.
Notes to the financial statements
Assets and liabilities held at fair value
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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 £790m (2020: £1,494m).
Comparison of carrying amounts and fair values
The following tables summarises the fair value of financial assets and liabilities measured at amortised cost on Barclays Bank Group’s and Barclays Bank
PLC's balance sheet:
Barclays Bank Group
2021
2020
Carrying
amount
Fair value
Level 1
Level 2
Level 3
Carrying
amount
Fair value
Level 1
Level 2
Level 3
As at 31 December
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
Financial assets
Loans and advances at amortised
cost
145,259
145,665
15,406
63,948
66,311
134,267
134,537
8,824
65,267
60,446
Reverse repurchase agreements
and other similar secured lending
3,177
3,177
—
3,177
—
8,981
8,981
—
8,981
—
Financial liabilities
Deposits at amortised cost
(262,828)
(262,843)
(180,829)
(82,014)
—
(244,696)
(244,738)
(165,909)
(78,769)
(60)
Repurchase agreements and other
similar secured borrowing
(12,769)
(12,776)
—
(12,776)
—
(10,443)
(10,443)
—
(10,443)
—
Debt securities in issue
(48,388)
(48,350)
—
(46,201)
(2,149)
(29,423)
(29,486)
—
(27,630)
(1,856)
Subordinated liabilities
(32,185)
(33,598)
—
(33,598)
—
(32,005)
(33,356)
—
(33,356)
—
Barclays Bank PLC
2021
2020
Carrying
amount
Fair value
Level 1
Level 2
Level 3
Carrying
amount
Fair value
Level 1
Level 2
Level 3
As at 31 December
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
Financial assets
Loans and advances at amortised
cost
199,782
198,943
11,891
150,019
37,033
191,538
190,811
8,832
146,142
35,837
Reverse repurchase agreements
and other similar secured lending
4,982
4,982
—
4,982
—
11,535
11,535
—
11,535
—
Financial liabilities
Deposits at amortised cost
(286,761)
(286,756)
(152,350)
(134,406)
—
(272,190)
(272,189)
(139,051)
(133,078)
(60)
Repurchase agreements and other
similar secured borrowing
(29,202)
(29,208)
—
(29,208)
—
(27,722)
(27,720)
—
(27,720)
—
Debt securities in issue
(32,585)
(32,542)
—
(32,542)
—
(17,221)
(17,272)
—
(17,272)
—
Subordinated liabilities
(31,875)
(33,287)
—
(33,287)
—
(31,852)
(33,205)
—
(33,205)
—
The fair value is an estimate of the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market
participants at the measurement date. As a wide range of valuation techniques are available, it may not be appropriate to directly compare this fair value
information to independent market sources or other financial institutions. Different valuation methodologies and assumptions can have a significant
impact on fair values which are based on unobservable inputs.
Financial assets
The carrying value of financial assets held at amortised cost (including loans and advances to banks and customers, and other lending such as reverse
repurchase agreements and cash collateral on securities borrowed) is determined in accordance with the relevant accounting policy in Note 18.
Loans and advances at amortised cost
The fair value of loans and advances, for the purpose of this disclosure, is derived from discounting expected cash flows in a way that reflects the
current market price for lending to issuers of similar credit quality. Where market data or credit information on the underlying borrowers is unavailable,
a number of proxy/extrapolation techniques are employed to determine the appropriate discount rates.
Reverse repurchase agreements and other similar secured lending
The fair value of reverse repurchase agreements approximates carrying amount as these balances are generally short dated and fully collateralised.
Financial liabilities
The carrying value of financial liabilities held at amortised cost (including customer accounts, other deposits, repurchase agreements and cash collateral
on securities lent, debt securities in issue and subordinated liabilities) is determined in accordance with the accounting policy in Note 1.
Deposits at amortised cost
In many cases, the fair value disclosed approximates carrying value because the instruments are short term in nature or have interest rates that reprice
frequently, such as customer accounts and other deposits and short-term debt securities.
The fair value for deposits with longer-term maturities, mainly time deposits, are estimated using discounted cash flows applying either market rates or
current rates for deposits of similar remaining maturities. Consequently the fair value discount is minimal.
Notes to the financial statements
Assets and liabilities held at fair value
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Repurchase agreements and other similar secured borrowing
The fair value of repurchase agreements approximates carrying amounts as these balances are generally short dated.
Debt securities in issue
Fair values of other debt securities in issue are based on quoted prices where available, or where the instruments are short dated, carrying amount
approximates fair value.
Subordinated liabilities
Fair values for dated and undated convertible and non-convertible loan capital are based on quoted market rates for the issuer concerned or issuers
with similar terms and conditions.
17 Offsetting financial assets and financial liabilities
In accordance with IAS 32 Financial Instruments: Presentation, the Barclays Bank Group reports financial assets and financial liabilities on a net basis on
the balance sheet only if there is a legally enforceable right to set-off the recognised amounts and there is intention to settle on a net basis, or to realise
the asset and settle the liability simultaneously. The following table shows the impact of netting arrangements on:
▪All financial assets and liabilities that are reported net on the balance sheet.
▪All derivative financial instruments and reverse repurchase and repurchase agreements and other similar secured lending and borrowing agreements
that are subject to enforceable master netting arrangements or similar agreements, but do not qualify for balance sheet netting.
The ‘Net amounts’ presented in the table below are not intended to represent the Barclays Bank Group’s actual exposure to credit risk, as a variety of
credit mitigation strategies are employed in addition to netting and collateral arrangements.
Barclays Bank Group
Amounts subject to enforceable netting arrangements
Amounts not
subject to
enforceable
netting
arrangements c
Balance
sheet total d
Effects of offsetting on-balance sheet
Related amounts not offset
Gross
amounts
Amounts
offset a
Net amounts
reported on
the balance
sheet
Financial
instruments
Financial
collateral b
Net amount
As at 31 December 2021
£m
£m
£m
£m
£m
£m
£m
£m
Derivative financial assets
279,286
(24,137)
255,149
(202,347)
(39,953)
12,849
7,142
262,291
Reverse repurchase agreements
and other similar secured
lending e
519,855
(375,376)
144,479
—
(143,976)
503
3,884
148,363
Total assets
799,141
(399,513)
399,628
(202,347)
(183,929)
13,352
11,026
410,654
Derivative financial liabilities
(273,996)
23,606
(250,390)
202,347
34,151
(13,892)
(6,133)
(256,523)
Repurchase agreements and
other similar secured borrowing e
(540,462)
375,376
(165,086)
—
165,086
—
(15,758)
(180,844)
Total liabilities
(814,458)
398,982
(415,476)
202,347
199,237
(13,892)
(21,891)
(437,367)
As at 31 December 2020
Derivative financial assets
342,896
(44,305)
298,591
(233,088)
(47,820)
17,683
4,102
302,693
Reverse repurchase agreements
and other similar secured
lending e
448,377
(305,749)
142,628
—
(142,244)
384
4,911
147,539
Total assets
791,273
(350,054)
441,219
(233,088)
(190,064)
18,067
9,013
450,232
Derivative financial liabilities
(333,748)
41,982
(291,766)
233,088
46,592
(12,086)
(8,814)
(300,580)
Repurchase agreements and
other similar secured borrowing e
(475,616)
305,749
(169,867)
—
169,867
—
(18,031)
(187,898)
Total liabilities
(809,364)
347,731
(461,633)
233,088
216,459
(12,086)
(26,845)
(488,478)
Notes
a Amounts offset for derivative financial assets additionally includes cash collateral netted of £3,815m (2020: £4,990m). Amounts offset for derivative financial liabilities
additionally includes cash collateral netted of £4,346m (2020: £7,313m). Settlements assets and liabilities have been offset amounting to £22,837m (2020: £18,143m).
b Financial collateral of £39,953m (2020: £47,820m) was received in respect of derivative assets, including £34,149m (2020: £43,164m) of cash collateral and £5,804m
(2020: £4,656m) of non-cash collateral. Financial collateral of £34,151m (2020: £46,592m) was placed in respect of derivative liabilities, including £31,861m (2020:
£42,518m) of cash collateral and £2,290m (2020: £4,074m) of non-cash collateral. The collateral amounts are limited to net balance sheet exposure so as to not include
over-collateralisation.
c This column includes contractual rights of set-off that are subject to uncertainty under the laws of the relevant jurisdiction.
d The balance sheet total is the sum of ‘Net amounts reported on the balance sheet’ that are subject to enforceable netting arrangements and ‘Amounts not subject to
enforceable netting arrangements’.
e Reverse Repurchase agreements and other similar secured lending of £148,363m (2020: £147,539m) is split by fair value £145,186m (2020: £138,558m) and amortised
cost £3,177m (2020: £8,981m). Repurchase agreements and other similar secured borrowing of £180,844m (2020: £187,898m) is split by fair value £168,075m (2020:
£177,455m) and amortised cost £12,769m (2020: £10,443m).
Derivative assets and liabilities
The ‘Financial instruments’ column identifies financial assets and liabilities that are subject to set off under netting agreements, such as the ISDA Master
Agreement or derivative exchange or clearing counterparty agreements, whereby all outstanding transactions with the same counterparty can be offset
and close-out netting applied across all outstanding transactions covered by the agreements if an event of default or other predetermined events occur.
Financial collateral refers to cash and non-cash collateral obtained, typically daily or weekly, to cover the net exposure between counterparties by
enabling the collateral to be realised in an event of default or if other predetermined events occur.
Notes to the financial statements
Assets and liabilities held at fair value
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Reverse repurchase and repurchase agreements and other similar secured lending and borrowing
The ‘Financial instruments’ column identifies financial assets and liabilities that are subject to set off under netting agreements, such as Global Master
Repurchase Agreements and Global Master Securities Lending Agreements, whereby all outstanding transactions with the same counterparty can be
offset and close-out netting applied across all outstanding transactions covered by the agreements if an event of default or other predetermined events
occur.
Financial collateral typically comprises highly liquid securities which are legally transferred and can be liquidated in the event of counterparty default.
These offsetting collateral arrangements and other credit risk mitigation strategies used by the Barclays Bank Group are further explained in the Credit
risk mitigation section on pages 51 and 52.
Barclays Bank PLC
Amounts subject to enforceable netting arrangements
Amounts not
subject to
enforceable
netting
arrangements c
Balance
sheet total d
Effects of offsetting on-balance sheet
Related amounts not offset
Gross
amounts
Amounts
offset a
Net amounts
reported on
the balance
sheet
Financial
instruments
Financial
collateral b
Net amount
As at 31 December 2021
£m
£m
£m
£m
£m
£m
£m
£m
Derivative financial assets
244,885
(17,415)
227,470
(183,718)
(31,320)
12,432
6,939
234,409
Reverse repurchase agreements
and other similar secured lending e
561,851
(372,048)
189,803
—
(189,803)
—
3,232
193,035
Total assets
806,736
(389,463)
417,273
(183,718)
(221,123)
12,432
10,171
427,444
Derivative financial liabilities
(239,385)
17,208
(222,177)
183,718
26,460
(11,999)
(5,814)
(227,991)
Repurchase agreements and
other similar secured borrowing e
(606,183)
372,048
(234,135)
—
234,135
—
(12,562)
(246,697)
Total liabilities
(845,568)
389,256
(456,312)
183,718
260,595
(11,999)
(18,376)
(474,688)
As at 31 December 2020
£m
£m
£m
£m
£m
£m
£m
£m
Derivative financial assets
329,314
(35,480)
293,834
(238,339)
(38,535)
16,960
3,295
297,129
Reverse repurchase agreements
and other similar secured lending e
506,836
(334,701)
172,135
—
(172,135)
—
4,070
176,205
Total assets
836,150
(370,181)
465,969
(238,339)
(210,670)
16,960
7,365
473,334
Derivative financial liabilities
(319,283)
34,318
(284,965)
238,339
35,989
(10,637)
(7,573)
(292,538)
Repurchase agreements and
other similar secured borrowing e
(551,064)
334,701
(216,363)
—
216,363
—
(15,549)
(231,912)
Total liabilities
(870,347)
369,019
(501,328)
238,339
252,352
(10,637)
(23,122)
(524,450)
Notes
a Amounts offset for derivative financial assets additionally includes cash collateral netted of £2,736 m (2020: £4,183 m). Amounts offset for derivative financial liabilities
additionally includes cash collateral netted of £2,943 m (2020: £5,345 m). Settlements assets and liabilities have been offset amounting to £16,459 m (2020: £13,950 m).
b Financial collateral of £31,320 m (2020: £38,535 m) was received in respect of derivative assets, including £26,166 m (2020: £34,081 m) of cash collateral and £5,154 m
(2020: £4,454 m) of non-cash collateral. Financial collateral of £26,460 m (2020: £35,989 m) was placed in respect of derivative liabilities, including £24,860 m (2020:
£33,444 m) of cash collateral and £1,600 m (2020: £2,545 m) of non-cash collateral. The collateral amounts are limited to net balance sheet exposure so as to not include
over-collateralisation.
c This column includes contractual rights of set-off that are subject to uncertainty under the laws of the relevant jurisdiction.
d The ba lance sheet total is the sum of ‘Net amounts reported on the balance sheet’ that are subject to enforceable netting arrangements and ‘Amounts not subject to
enforceable netting arrangements’.
e Reverse Re purchase agreements and other similar secured lending of £193,035 m (2020: £176,205 m) is split by fair value £188,053 m (2020: £164,670 m) and amortised
cost £4,982 m (2020: £11,535 m). Repurchase agreements and other similar secured borrowing of £246,697 m (2020: £231,912 m) is split by fair value £217,495 m (2020:
£204,190 m) and amortised cost £29,202 m (2020: £27,722 m).
Derivative assets and liabilities
The ‘Financial instruments’ column identifies financial assets and liabilities that are subject to set off under netting agreements, such as the ISDA Master
Agreement or derivative exchange or clearing counterparty agreements, whereby all outstanding transactions with the same counterparty can be offset
and close-out netting applied across all outstanding transactions covered by the agreements if an event of default or other predetermined events occur.
Financial collateral refers to cash and non-cash collateral obtained, typically daily or weekly, to cover the net exposure between counterparties by
enabling the collateral to be realised in an event of default or if other predetermined events occur.
Reverse repurchase and repurchase agreements and other similar secured lending and borrowing
The ‘Financial instruments’ column identifies financial assets and liabilities that are subject to set off under netting agreements, such as Global Master
Repurchase Agreements and Global Master Securities Lending Agreements, whereby all outstanding transactions with the same counterparty can be
offset and close-out netting applied across all outstanding transactions covered by the agreements if an event of default or other predetermined events
occur.
Financial collateral typically comprises highly liquid securities which are legally transferred and can be liquidated in the event of counterparty default.
These offsetting collateral arrangements and other credit risk mitigation strategies used by the Barclays Bank PLC are further explained in the Credit risk
mitigation section on pages 51 and 52.
Notes to the financial statements
Assets and liabilities held at fair value
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The notes included in this section focus on the Barclays Bank Group’s loans and advances and deposits at amortised cost, leases, property, plant and
equipment and goodwill and intangible assets. Details regarding the Barclays Bank Group’s liquidity and capital position can be found on pages 101 to
116.
18 Loans and advances and deposits at amortised cost
Accounting for loans and advances and deposits held at amortised cost
Loans and advances to customers and banks, customer accounts, debt securities and most financial liabilities, are held at amortised cost. That is, the
initial fair value (which is normally the amount advanced or borrowed) is adjusted for repayments and the amortisation of coupon, fees and expenses to
represent the effective interest rate of the asset or liabil ity. Balances deferred on-balance sheet as effective interest rate adjustments are amortised to
interest income over the life of the financial instrument to which they relate.
Financial assets that are held in a business model to collect the contractual cash flows and that contain contractual terms that give rise on specified
dates to cash flows that are SPPI are measured at amortised cost. The carrying value of these financial assets at initial recognition includes any directly
attributable transaction costs. Refer to Note 1 for details of ‘solely payments of principal and interest’.
In determining whether the business model is a ‘hold to collect’ model, the objective of the business model must be to hold the financial asset to collect
contractual cash flows rather than holding the financial asset for trading or short-term profit taking purposes. While the objective of the business model
must be to hold the financial asset to collect contractual cash flows this does not mean the Barclays Bank Group is required to hold the financial assets
until maturity. When determining if the business model objective is to collect contractual cash flows the Barclays Bank Group will consider past sales
and expectations about future sales.
Loans and advances and deposits at amortised cost
Barclays Bank Group
2021
2020
As at 31 December
£m
£m
Loans and advances at amortised cost to banks
8,750
9,003
Loans and advances at amortised cost to customers
117,014
110,101
Debt securities at amortised cost
19,495
15,163
Total loans and advances at amortised cost
145,259
134,267
Deposits at amortised cost from banks
17,911
17,348
Deposits at amortised cost from customers
244,917
227,348
Total deposits at amortised cost
262,828
244,696
Loans and advances and deposits at amortised cost
Barclays Bank PLC
2021
2020
As at 31 December
£m
£m
Loans and advances at amortised cost to banks
13,969
13,672
Loans and advances at amortised cost to customers
168,665
164,677
Debt securities at amortised cost
17,148
13,189
Total loans and advances at amortised cost
199,782
191,538
Deposits at amortised cost from banks
16,364
16,906
Deposits at amortised cost from customers
270,397
255,284
Total deposits at amortised cost
286,761
272,190
Notes to the financial statements
Assets at amortised cost and other investments
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19 Property, plant and equipment
Accounting for property, plant and equipment
The Barclays Bank Group applies IAS 16 Proper ty Plant and Equipment and IAS 40 Investment Properties.
Property, plant and equipment is stated at cost, which includes direct and incremental ac quisition costs less accumulated depreciation and provisions
for impairment, if required. Subsequent costs are capitalised if these result in enhancement of the asset.
Depreciation is provided on the depreciable amount of items of property, plant and equipment on a straight-line basis over their estimated useful
economic lives. Depreciation rates, methods and the residual values underlying the calculation of depreciation of items of property, plant and
equipment are kept under review to take account of any change in circumstances. The Barclays Bank Group uses the following annual rates in
calculating depreciation:
Annual rates in calculating depreciation
Depreciation rate
Freehold land
Not depreciated
Freehold buildings and long-leasehold property (more than 50 years to run)
2%-3.3%
Leasehold property over the remaining life of the lease (less than 50 years to run)
Over the remaining life of the lease
Costs of adaptation of freehold and leasehold property
6%-10%
Equipment installed in freehold and leasehold property
6%-10%
Computers and similar equipment
17%-33%
Fixtures and fittings and other equipment
9%-20%
Costs of adaptation and installed equipment are depreciated over the shorter of the life of the lease or the depreciation rates noted in the table above.
Investment property
The Barclays Bank Group initially recognises investment property at cost, and subsequently at fair value at each balance sheet date, reflecting market
conditions at the reporting date. Gains and losses on remeasurement are included in the income statement.
Barclays Bank Group
Investment
property
Property
Equipment
Right of use
assets a
Total
£m
£m
£m
£m
£m
Cost
As at 1 January 2021
10
1,619
987
688
3,304
Additions
—
85
70
27
182
Disposals
(2)
(32)
(12)
(58)
(104)
Exchange and other movements
(1)
30
13
58
100
As at 31 December 2021
7
1,702
1,058
715
3,482
Accumulated depreciation and impairment
As at 1 January 2021
—
(730)
(821)
(216)
(1,767)
Depreciation charge
—
(70)
(55)
(68)
(193)
Impairment charge b
—
(108)
—
(160)
(268)
Disposals
—
27
10
9
46
Exchange and other movements
—
(39)
(11)
(2)
(52)
As at 31 December 2021
—
(920)
(877)
(437)
(2,234)
Net book value
7
782
181
278
1,248
Cost
As at 1 January 2020
13
1,635
1,080
621
3,349
Additions
—
39
35
28
102
Disposals
(1)
(25)
(97)
(6)
(129)
Exchange and other movements
(2)
(30)
(31)
45
(18)
As at 31 December 2020
10
1,619
987
688
3,304
Accumulated depreciation and impairment
As at 1 January 2020
—
(697)
(875)
(146)
(1,718)
Depreciation charge
—
(72)
(61)
(77)
(210)
Impairment charge
—
—
—
(2)
(2)
Disposals
—
22
93
1
116
Exchange and other movements
—
17
22
8
47
As at 31 December 2020
—
(730)
(821)
(216)
(1,767)
Net book value
10
889
166
472
1,537
Notes to the financial statements
Assets at amortised cost and other investments
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Barclays Bank PLC
Investment
property
Property
Equipment
Right of use
assets a
Total
£m
£m
£m
£m
£m
Cost
As at 1 January 2021
5
278
265
308
856
Additions
—
4
12
1
17
Disposals
(1)
(6)
(2)
(4)
(13)
Exchange and other movements
(1)
19
6
18
42
As at 31 December 2021
3
295
281
323
902
Accumulated depreciation and impairment
As at 1 January 2021
—
(135)
(227)
(69)
(431)
Depreciation charge
—
(15)
(15)
(28)
(58)
Impairment charge b
—
(106)
—
(160)
(266)
Disposals
—
3
2
1
6
Exchange and other movements
—
(19)
(6)
—
(25)
As at 31 December 2021
—
(272)
(246)
(256)
(774)
Net book value
3
23
35
67
128
Cost
As at 1 January 2020
5
282
298
271
856
Additions
—
5
17
27
49
Disposals
(1)
(8)
(46)
(4)
(59)
Exchange and other movements
1
(1)
(4)
14
10
As at 31 December 2020
5
278
265
308
856
Accumulated depreciation and impairment
As at 1 January 2020
—
(127)
(261)
(42)
(430)
Depreciation charge
—
(15)
(16)
(28)
(59)
Disposals
—
7
46
1
54
Exchange and other movements
—
—
4
—
4
As at 31 December 2020
—
(135)
(227)
(69)
(431)
Net book value
5
143
38
239
425
Notes
a Right of use (ROU) asset balances relate to Property Leases under IFRS 16. Refer to Note 20 for further details.
b Impairment charge includes £266m related to structural cost action in relation to the real estate review.
Property rentals of £6m (2020: £8m) have been included in other income within The Barclays Bank Group.
The fair value of investment property is determined by reference to current market prices for similar properties, adjusted as necessary for condition and
location, or by reference to recent transactions updated to reflect current economic conditions. Discounted cash flow techniques may be employed to
calculate fair value where there have been no recent transactions, using current external market inputs such as market rents and interest rates.
Valuations are carried out by management with the support of appropriately qualified independent valuers.
20 Leases
Accounting for leases
IFRS 16 applies to all leases with the exception of licenses of intellectual property, rights held by licensing agreement within the scope of IAS 38
Intangible Assets, service concession arrangements, le ases of biological assets within the scope of IAS 41 Agriculture and leases of minerals, oil, natural
gas and similar non-regenerative resources. IFRS 16 includes an accounting policy choice for a lessee to elect not to apply IFRS 16 to remaining assets
within the scope of IAS 38 Intangible Assets which the Barclays Bank Group ha s decided to apply.
When the Barclays Bank Group is the lessee, it is required to recognise both:
▪a lease liability, measured at the present value of remaining cash flows on the lease; and
▪a right of use (ROU) asset, measured at the amount of the initial measurement of the lease liability, plus any lease payments made prior to
commencement date, initial direct costs, and estimated costs of restoring the underlying asset to the condition required by the lease, less any lease
incentives received.
Subsequently the lease liability will increase for the accrual of interest, resulting in a constant rate of return throughout the life of the lease, and reduce
when payments are made. The right of use asset will amortise to the income statement over the life of the lease. The lease liability is remeasured when
there is a change in the one of the following:
▪f uture lease payments arising from a change in an index or rate;
▪the Barclays Bank Group’s estimate of the amount expected to be payable under a residual value guarantee; or
▪the Barclays Bank Group’s assessment of whether it will exercise a purchase, extension or termination option.
When the lease liability is remeasured a corresponding adjustment is made to the carrying amount of the ROU asset, or is recorded in the income
statement if the carrying amount of the ROU asset has been reduced to nil.
On the balance sheet, the ROU assets are included within property, plant and equipment and the lease liabilities are included within other liabilities.
Notes to the financial statements
Assets at amortised cost and other investments
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The Barclays Bank Group applies the recognition exemption in IFRS 16 for leases with a term not exceeding 12 months. For these leases the lease
payments are recognised as an expense on a straight line basis over the lease term unless another systematic basis is more appropriate.
When the Barclays Bank Group is the lessor, the lease must be classified as either a finance lease or an operating lease. A finance lease is a lease which
confers substantially all the risks and rewards of the leased assets on the lessee. An operating lease is a lease where substantially all of the risks and
rewards of the leased asset remain with the lessor.
When the lease is deemed a finance lease, the leased asset is not held on the balance sheet; instead a finance lease receivable is recognised representing
the minimum lease payments receivable under the terms of the lease, discounted at the rate of interest implicit in the lease.
When the lease is deemed an operating lease, the lease income is recognised on a straight-line basis over the period of the lease unless another
systematic basis is more appropriate. The Barclays Bank Group holds the leased assets on-balance sheet within property, plant and equipment.
As a Lessor
Finance lease receivables are included within loans and advances at amortised cost. During the previous year, Barclays Partner Finance sold the majority
of its motor point of sale finance portfolio and the remaining balance was transferred to the Barclays Group. The Barclays Bank Group does not have any
material operating leases as a lessor.
Finance lease income
Finance lease income is included within interest income. The following table shows amounts recognised in the income statement during the year.
Barclays Bank Group
2021
2020
£m
£m
Finance income from net investment in lease
—
10
Loss on sales
—
(27)
As a Lessee
The Barclays Bank Group leases various offices, branches and other premises under non-cancellable lease arrangements to meet its operational
business requirements. In some instances, the Barclays Bank Group will sublease property to third parties when it is no longer needed to meet business
requirements. Currently, the Barclays Bank Group does not have any material subleasing arrangements.
ROU asset balances relate to property leases only. Refer to Note 19 for a breakdown of the carrying amount of ROU assets.
The Barclays Bank Group has not recognised any expense related to short term leases during the current and previous year. The portfolio of short term
leases to which the Barclays Bank Group is exposed at the end of the year is not dissimilar to the expenses recognised in the year.
Lease liabilities
Barclays Bank Group
2021
2020
£m
£m
As at 1 January
515
529
Interest expense
20
23
New leases
38
27
Disposals
(45)
(5)
Cash payments
(92)
(114)
Exchange and other movements
59
55
As at 31 December (see Note 22)
495
515
Lease liabilities
Barclays Bank PLC
2021
2020
£m
£m
As at 1 January
259
242
Interest expense
11
12
New leases
12
27
Disposals
(8)
(4)
Cash payments
(43)
(35)
Exchange and other movements
16
17
As at 31 December (see Note 22)
247
259
Notes to the financial statements
Assets at amortised cost and other investments
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The below table sets out a maturity analysis of undiscounted lease liabilities, showing the lease payments to be paid after the reporting date.
Undiscounted lease liabilities maturity analysis
Barclays Bank Group
2021
2020
£m
£m
Not more than one year
81
91
One to two years
77
70
Two to three years
74
60
Three to four years
66
58
Four to five years
60
55
Five to ten years
210
227
Greater than ten years
30
68
Total undiscounted lease liabilities as at 31 December
598
629
Undiscounted lease liabilities maturity analysis
Barclays Bank PLC
2021
2020
£m
£m
Not more than one year
34
34
One to two years
33
34
Two to three years
32
29
Three to four years
31
29
Four to five years
29
28
Five to ten years
134
134
Greater than ten years
16
42
Total undiscounted lease liabilities as at 31 December
309
330
In addition to the cash flows identified above, the Barclays Bank Group is exposed to:
•Variable lease payments: This variability will typically arise from either inflation index instruments or market based pricing adjustments.
Currently, the Barclays Bank Group has 47 leases (2020: 59 leases) out of the total 110 leases (2020: 121 leases) which have variable lease payment
terms based on market based pricing adjustments. Of the gross cash flows identified above, £362m (2020: £121m) is attributable to leases with
some degree of variability predominately linked to market based pricing adjustments.
Currently, the Barclays Bank PLC has 31 leases (2020: 44 leases) out of the total 53 leases (2020: 69 leases) which have variable lease payment terms
based on market based pricing adjustments. Of the gross cash flows identified above, £282m (2020: £38m) is attributable to leases with some
degree of variability predominately linked to market based pricing adjustments
•Extension and termination options: The table above represents the Barclays Bank Group’s and the Barclays Bank PLC’s best estimate of future cash
out flows for leases, including assumptions regarding the exercising of contractual extension and termination options. The above gross cash flows
have been reduced by £408m (2020: £395m) and £10m (2020: £3m) for leases where the Barclays Bank Group and the Barclays Bank PLC are highly
expected to exercise an early termination option. However, there is no significant impact whe re the Barclays Bank Group and the Barclays Bank PLC is
expected to exercise an extension option.
I n 2021, the Barclays Bank Group recorded a ga in on sale relating to a sale and leaseback transaction of the Monaco branch premises of £33m.
The Barclays Bank Group and Barclays Bank PLC does not ha ve any restrictions or covenants imposed by the lessor on its property leases which restrict
its businesses.
21 Goodwill and intangible assets
Accounting for goodwill and intangible assets
Goodwill
The carrying value of goodwill is determined in accordance with IFRS 3 B usiness Combinations and IAS 36 Impairment of Assets.
Goodwill arising on the acquisition of subsidiaries represents the excess of the fair value of the purchase consideration over the fair value of the Barclays
Bank Group’s share of the assets acquired and the liabilities and contingent liabilities assumed on the date of the acquisition.
Goodwill is reviewed annually for impairment, or more frequently when there are indications that impairment may have occurred. The test involves
comparing the carrying value of the cash generating unit (CGU) including goodwill with the present value of the pre-tax cash flows, discounted at a rate
of interest that reflects the inherent risks, of the CGU to which the goodwill relates, or the CGU's fair value if this is higher.
Intangible assets
Intangible assets other than goodwill are accounted for in accordance with IFRS 3 Business Combinations and IAS 38 Intangible Assets.
Intangible assets are initially recognised when they are separable or arise from contractual or other legal rights, the cost can be measured reliably and, in
the case of intangible assets not acquired in a business combination, where it is probable that future economic benefits attributable to the assets will
flow from their use.
Notes to the financial statements
Assets at amortised cost and other investments
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For internally generated intangible assets, only costs incurred during the development phase are capitalised. Expenditure in the research phase is
expensed when it is incurred.
Intangible assets are stated at cost (which is, in the case of assets acquired in a business combination, the acquisition date fair value) less accumulated
amortisation and provisions for impairment, if any, and are amortised over their useful lives in a manner that reflects the pattern to which they
contribute to future cash flows, generally using the amortisation periods set out below:
Goodwill
Not amortised
Internally generated software a
12 months to 6 years
Other software
12 months to 6 years
Customer lists
12 months to 25 years
Licences and other
12 months to 25 years
Annual rates in calculating amortisation
Amortisation period
Note
a Exceptions to the above period relate to useful lives of certain core banking platforms that are assessed individually and, if appropriate, amortised over longer periods
ranging from 10 years to 15 years.
Intangible assets are reviewed for impairment when there are indications that impairment may have occurred. Intangible assets not yet available for use
are reviewed annually for impairment.
Intangible assets
Goodwill
Internally
generated
software
Other software
Customer lists
Licences and
other
Total
£m
£m
£m
£m
£m
£m
Barclays Bank Group
Cost
As at 1 January 2021
324
1,539
106
1,325
457
3,751
Additions a
—
195
1
—
405
601
Disposals
—
(148)
(12)
(5)
(2)
(167)
Exchange and other movements
2
(78)
—
19
16
(41)
As at 31 December 2021
326
1,508
95
1,339
876
4,144
Accumulated amortisation and impairment
As at 1 January 2021
(68)
(964)
(55)
(1,158)
(352)
(2,597)
Disposals
—
148
12
5
2
167
Amortisation charge
—
(126)
(6)
(36)
(42)
(210)
Impairment charge
—
(12)
—
—
—
(12)
Exchange and other movements
—
(12)
(3)
(18)
(10)
(43)
As at 31 December 2021
(68)
(966)
(52)
(1,207)
(402)
(2,695)
Net book value
258
542
43
132
474
1,449
Note
a.Ad ditions in 'Licences and others' primarily relate to new and renewed long-term partnership agreements.
Notes to the financial statements
Assets at amortised cost and other investments
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Goodwill
Internally
generated
software
Other software
Customer lists
Licences and
other
Total
£m
£m
£m
£m
£m
£m
Barclays Bank Group
Cost
As at 1 January 2020
406
1,430
81
1,371
458
3,746
Additions and disposals
(77)
169
21
—
20
133
Exchange and other movements
(5)
(60)
4
(46)
(21)
(128)
As at 31 December 2020
324
1,539
106
1,325
457
3,751
Accumulated amortisation and impairment
As at 1 January 2020
(111)
(870)
(54)
(1,159)
(340)
(2,534)
Disposals
43
22
9
—
4
78
Amortisation charge
—
(132)
(8)
(40)
(31)
(211)
Impairment charge
—
(18)
—
—
—
(18)
Exchange and other movements
—
34
(2)
41
15
88
As at 31 December 2020
(68)
(964)
(55)
(1,158)
(352)
(2,597)
Net book value
256
575
51
167
105
1,154
Intangible assets
Goodwill
Internally
generated
software
Other software
Customer lists
Licences and
other
Total
£m
£m
£m
£m
£m
£m
Barclays Bank PLC
Cost
As at 1 January 2021
164
27
3
11
18
223
Additions and disposals
—
—
—
—
4
4
Exchange and other movements
—
(1)
—
—
—
(1)
As at 31 December 2021
164
26
3
11
22
226
Accumulated amortisation and impairment
As at 1 January 2021
(69)
(21)
(1)
(11)
(9)
(111)
Amortisation charge
—
(2)
—
—
(5)
(7)
Exchange and other movements
—
1
—
—
—
1
As at 31 December 2021
(69)
(22)
(1)
(11)
(14)
(117)
Net book value
95
4
2
—
8
109
Goodwill
Internally
generated
software
Other software
Customer lists
Licences and
other
Total
£m
£m
£m
£m
£m
£m
Barclays Bank PLC
Cost
As at 1 January 2020
164
27
3
11
14
219
Additions and disposals
—
—
—
—
5
5
Exchange and other movements
—
—
—
—
(1)
(1)
As at 31 December 2020
164
27
3
11
18
223
Accumulated amortisation and impairment
As at 1 January 2020
(69)
(17)
(1)
(11)
(6)
(104)
Amortisation charge
—
(4)
—
—
(3)
(7)
As at 31 December 2020
(69)
(21)
(1)
(11)
(9)
(111)
Net book value
95
6
2
—
9
112
Notes to the financial statements
Assets at amortised cost and other investments
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Goodwill
Goodwill is allocated to business operations according to business segments as follows:
Barclays Bank Group
2021
2020
£m
£m
Consumer, Cards and Payments
258
256
Total net book value of goodwill
258
256
Barclays Bank PLC
2021
2020
£m
£m
Consumer, Cards and Payments
95
95
Total net book value of goodwill
95
95
2021 impairment review
The 2021 impairment review was performed during Q4 2021. A detailed assessment has been performed, with the approach and results of this analysis
set out below.
Determining the carrying value of CGUs
The carrying value for each CGU is the sum of the tangible equity, goodwill and intangible asset balances associated with that CGU.
The Barclays Bank Group manages the assets and liabilities of its CGUs with reference to the tangible equity of the respective businesses. That tangible
equity is derived from the level of risk weighted assets (RWAs) and capital required to be deployed in the CGU and therefore reflects its relative risk, as
well as the level of capital that management considers a market participant would be required to hold and retain to support business growth.
The goodwill held across the Barclays Bank Group has been allocated to the CGU where it originated, based upon historical records. The intangible asset
balances are allocated to the CGUs based upon their expected usage of these assets.
Cash flows
The 5-year cash flows used in the calculation of value in use are based on the formally agreed medium term plans approved by the Board. These are
prepared using macroeconomic assumptions which management considers reasonable and supportable, and reflect business agreed initiatives for the
forecast period.
Discount rates
IAS 36 requires that the discount rate used in a value in use calculation reflects the pre-tax rate an investor would require if they were to choose an
investment that would generate similar cash flows to those that the entity expects to generate from the asset. In determining the discount rate,
management has identified the cost of equity associated with market participants that closely resemble the Barclays Bank Group's CGUs and adjusted
them for tax to arrive at the pre-tax equivalent rate. A range of discount rates have been used across the CGUs ranging from 12.5% to 14.7% (2020:
12.0% to 16.3%).
Terminal growth rate
The terminal growth rate is used to estimate the effect of projecting cash flows to the end of an asset’s useful economic life. It is management’s
judgement that the cash flows associated with the CGUs will grow in line with the major economies in which the Barclays Bank Group operate. The UK
inflation rate is used as an approximation for the future growth rates. The terminal growth rate used is 2.0% (2020: 2.0%).
Outcome of goodwill and intangibles review
Based on management’s plans and assumptions the value in use exceeds the carrying value of the CGUs and no impairment has been indicated by the
2021 impairment review.
Other intangible assets
Determining the estimated useful lives of intangible assets (such as those arising from contractual relationships) requires an analysis of circumstances.
The assessment of whether an asset is exhibiting indicators of impairment as well as the calculation of impairment, which requires the estimate of
future cash flows and fair values less costs to sell, also requires the preparation of cash flow forecasts and fair values for assets that may not be regularly
bought and sold.
Notes to the financial statements
Assets at amortised cost and other investments
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The notes included in this section focus on the Barclays Bank Group’s accruals, provisions and contingent liabilities. Provisions are recognised for
present obligations arising as consequences of past events where it is probable that a transfer of economic benefit will be necessary to settle the
obligation, and it can be reliably estimated. Contingent liabilities reflect potential liabilities that are not recognised on the balance sheet.
22 Other liabilities
Barclays Bank Group
2021
2020
£m
£m
Accruals and deferred income
2,657
2,428
Other creditors
4,030
2,250
Items in the course of collection due to other banks
67
58
Lease liabilities (refer to Note 20)
495
515
Other liabilities
7,249
5,251
Barclays Bank PLC
2021
2020
£m
£m
Accruals and deferred income
1,072
1,023
Other creditors
3,252
1,873
Items in the course of collection due to other banks
26
(10)
Lease liabilities (refer to Note 20)
247
259
Other liabilities
4,597
3,145
23 Provisions
Accounting for provisions
The Barclays Bank Group applies IAS 37 Provisions, Contingent Liabilities and Contingent Assets in accounting for non-financial liabilities.
Provisions are recognised for present obligations arising as consequences of past events where it is more likely than not that a transfer of economic
benefit will be necessary to settle the obligation, which can be reliably estimated. Provision is made for the anticipated cost of restructuring, including
redundancy costs, when an obligation exists; for example, when the Barclays Bank Group has a detailed formal plan for restructuring a business and has
raised valid expectations in those affected by the restructuring by announcing its main features or starting to implement the plan.
Critical accounting estimates and judgements
The financial reporting of provisions involves a significant degree of judgement and is complex. Identifying whether a present obligation exists and
estimating the probability, timing, nature and quantum of the outflows that may arise from past events requires judgements to be made based on the
specific facts and circumstances relating to individual events and often requires specialist professional advice. When matters are at an early stage,
accounting judgements and estimates can be difficult because of the high degree of uncertainty involved. Management continues to monitor matters as
they develop to re-evaluate on an ongoing basis whether provisions should be recognised, however there can remain a wide range of possible
outcomes and uncertainties, particularly in relation to legal, competition and regulatory matters, and as a result it is often not practicable to make
meaningful estimates even when matters are at a more advanced stage.
The complexity of such matters often requires the input of specialist professional advice in making assessments to produce estimates. Customer redress
and legal, competition and regulatory matters are areas where a higher degree of professional judgement is required. The amount that is recognised as
a provision can also be very sensitive to the assumptions made in calculating it. This gives rise to a large range of potential outcomes which require
judgement in determining an appropriate provision level. See Note 25 for more detail of legal, competition and regulatory matters.
Onerous
contracts
Redundancy
and
restructuring
Undrawn
contractually
committed
facilities and
guarantees
provided a
Customer
redress
Legal,
competition
and regulatory
matters
Sundry
provisions
Total
£m
£m
£m
£m
£m
£m
£m
Barclays Bank Group
As at 1 January 2021
6
44
769
44
222
123
1,208
Additions
1
55
129
15
54
28
282
Amounts utilised
(2)
(39)
—
(4)
(45)
(29)
(119)
Unused amounts reversed
(3)
(11)
(386)
(7)
(18)
(26)
(451)
Exchange and other movements
—
(3)
(13)
(2)
(2)
(10)
(30)
As at 31 December 2021
2
46
499
46
211
86
890
Notes to the financial statements
Accruals, provisions, contingent liabilities and legal proceedings
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Onerous
contracts
Redundancy
and
restructuring
Undrawn
contractually
committed
facilities and
guarantees
provided a
Customer
redress
Legal,
competition
and regulatory
matters
Sundry
provisions
Total
£m
£m
£m
£m
£m
£m
£m
Barclays Bank PLC
As at 1 January 2021
2
16
654
44
200
68
984
Additions
—
29
136
4
41
22
232
Amounts utilised
(2)
(17)
—
(4)
(40)
(29)
(92)
Unused amounts reversed
—
(5)
(349)
(4)
(15)
(24)
(397)
Exchange and other movements
—
(2)
(21)
(2)
(3)
—
(28)
As at 31 December 2021
—
21
420
38
183
37
699
Note
a Undrawn contractually committed facilities and guarantees provisions are accounted for under IFRS 9
Provisions expected to be recovered or settled within no more than 12 months after 31 December 2021 for Barclays Bank Group were £803m (2020:
£787m) and for Barclays Bank PLC were £661 m (2020: £609 m).
Onerous contracts
Onerous contract provisions comprise an estimate of the costs involved with fulfilling the terms and conditions of contracts net of any expected benefits
to be received.
Redundancy and restructuring
These provisions comprise the estimated cost of restructuring, including redundancy costs where an obligation exists. Additions made during the year
relate to formal restructuring plans and have either been utilised, or reversed where total costs are now expected to be lower than the original provision
amount.
Undrawn contractually committed facilities and guarantees
Impairment allowance under IFRS 9 considers both the drawn and the undrawn counterparty exposure. For retail portfolios, the total impairment
allowance is allocated to the drawn exposure to the extent that the allowance does not exceed the exposure as ECL is not reported separately. Any
excess is reported on the liability side of the balance sheet as a provision. For wholesale portfolios the impairment allowance on the undrawn exposure
is reported on the liability side of the balance sheet as a provision. For further information, refer to the Credit Risk section for loan commitments and
financial guarantees on pages 66 to 73.
Customer redress
Customer redress provisions comprise the estimated cost of making redress payments to customers, clients and counterparties for losses or damages
associated with inappropriate judgement in the execution of the Barclays Bank Group’s business activities.
Legal, competition and regulatory matters
The Barclays Bank Group is engaged in various legal proceedings, both in the UK and a number of other overseas jurisdictions, including the US. For
further information in relation to legal proceedings and discussion of the associated uncertainties, please refer to Note 25.
Sundry provisions
This category includes provisions that do not fit into any of the other categories, such as fraud losses and dilapidation provisions.
24 Contingent liabilities and commitments
Accounting for contingent liabilities
Contingent liabilities are possible obligations whose existence will be confirmed only by uncertain future events and present obligations where the
transfer of economic resources is uncertain or cannot be reliably measured. Contingent liabilities are not recognised on the balance sheet but are
disclosed unless the likelihood of an outflow of economic resources is remote.
The following table summarises the nominal principal amount of contingent liabilities and commitments which are not recorded on-balance sheet:
Barclays Bank Group
2021
2020
£m
£m
Guarantees and letters of credit pledged as collateral security
15,759
15,138
Performance guarantees, acceptances and endorsements
7,987
5,794
Total contingent liabilities and financial guarantees a
23,746
20,932
Of which: Financial guarantees carried at fair value
231
229
Documentary credits and other short-term trade related transactions
1,584
1,086
Standby facilities, credit lines and other commitments
282,867
263,936
Total commitments
284,451
265,022
Of which: Loan commitments carried at fair value
18,571
9,248
Notes to the financial statements
Accruals, provisions, contingent liabilities and legal proceedings
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Barclays Bank PLC
2021
2020
£m
£m
Guarantees and letters of credit pledged as collateral security
45,289
31,448
Performance guarantees, acceptances and endorsements
10,485
10,969
Total contingent liabilities and financial guarantees a
55,774
42,417
Of which: Financial guarantees carried at fair value
231
229
Documentary credits and other short-term trade related transactions
1,462
1,029
Standby facilities, credit lines and other commitments
193,641
182,733
Total commitments
195,103
183,762
Of which: Loan commitments carried at fair value
17,292
8,733
Note
a Barclays Bank PLC has issue d £14.5bn (2020: £13.9bn) of guarantees to its subsidiaries and other subsidiaries of Barclays PLC. These guarantees were not reported in prior
periods and the comparatives have been restated. Barclays Bank Group has issued £1.7bn (2020: £2.6bn) of guarantees that have been provided to subsidiaries of Barclays
PLC outside the Barclays Bank Group. These guarantees have not been reported in the prior periods and the comparatives have not been restated.
Expected credit losses held against contingent liabilities and commitments equal £499m (2020: £769m) for Barclays Bank Group and £420 m (2020:
£654 m) for Barclays Bank PLC and are reported in Note 23.
Further details on contingent liabilities relating to legal and competition and regulatory matters can be found in Note 25.
25 Leg al, competition and regulatory matters
The Barclays Bank Group faces legal, competition and regulatory challenges, many of which are beyond our control. The extent of the impact of these
matters cannot always be predicted but may materially impact our operations, financial results, condition and prospects. Matters arising from a set of
similar circumstances can give rise to either a contingent liability or a provision, or both, depending on the relevant facts and circumstances.
The recognition of provisions in relation to such matters involves critical accounting estimates and judgments in accordance with the relevant
accounting policies applicable to Note 23, Provisions. We have not disclosed an estimate of the potential financial impact or effect on the Barclays Bank
Group of contingent liabilities where it is not currently practicable to do so. Various matters detailed in this note seek damages of an unspecified
amount. While certain matters specify the damages claimed, such claimed amounts do not necessarily reflect the Barclays Bank Group’s potential
financial exposure in respect of those matters.
Investigations into certain advisory services agreements
FCA proceedings
In 2008, Barclays Bank PLC and Qatar Holdings LLC entered int o two ad visory service agreements (the Agreements). The Financial Conduct Authority
(FCA) conducted an investigation into whether the Agreements may have related to Barclays PLC’s capital raisings in June and November 2008 (the
Capital Raisings) and therefore should have been disclosed in the announcements or public documents relating to the Capital Raisings. In 2013, the FCA
issued warning notices (the Notices) finding that Barclays PLC and Barclays Bank PLC acted recklessly and in breach of certain disclosure-related listing
rules, and that Barclays PLC was also in breach of Listing Principle 3. The financial penalty provided in the Notices is £50m. Barclays PLC and Barclays
Bank PLC continue to contest the findings. Following the conclusion of the Serious Fraud Office (SFO) proceedings against certain former Barclays
executives resulting in their acquittals, the FCA proceedings, which were stayed, have resumed and a hearing before the Regulatory Decisions
Committee is scheduled for the first quarter of 2022.
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. Various individuals and corporates in
a range of jurisdictions have threatened or brought civil actions against the Barclays Bank Group and other banks in relation to the alleged manipulation
of LIBOR and/or other benchmarks.
USD LIBOR civil actions
The majority of the USD LIBOR cases, which have been filed in various US jurisdictions, have been consolidated for pre-trial purposes in the US District
Court in the Southern District of New York (SDNY). The complaints are substantially similar and allege, among other things, that Barclays PLC, Barclays
Bank PLC, Barclays Capital Inc. (BCI) and other financial institutions individually and collectively violated provisions of the US Sherman Antitrust Act
(Antitrust Act), the US Commodity Exchange Act (CEA), the US Racketeer Influenced and Corrupt Organizations Act (RICO), the Securities Exchange Act
of 1934 and various state laws by manipulating USD LIBOR rates.
Putative class actions and individual actions seek unspecified damages with the exception of three la wsuits, in which the plaintiffs are seeking a
combined total of approximately $100m in actual damages and additional punitive damages against all defendants, including Barclays Bank PLC. Some
of the lawsuits also seek trebling of damages under the Antitrust Act and RICO. Barclays Bank PLC has previously settled certain claims. Two cla ss
action settlements where Barclays Bank PLC has respectively paid $7.1m and $20m have received final court approval. Barclays Bank PLC also settled a
further matter for $7.5m.
Sterling LIBOR civil actions
In 2016, two putative class actions filed in the SDNY against Barclays Bank PLC, BCI and other Sterling LIBOR panel banks alleging, among other things,
that the defendants manipulated the Sterling LIBOR rate in violation of the Antitrust Act, CEA and RICO, were consolidated. The defendants’ motion to
dismiss the claims was granted in 2018. The plaintiffs have appealed the dismissal.
Japanese Yen LIBOR civil actions
In 2012, a putative class action was filed in the SDNY against Barclays Bank PLC and other Japanese Yen LIBOR panel banks by a lead plaintiff involved in
exchange-traded derivatives and members of the Japanese Bankers Association’s Euroyen Tokyo Interbank Offered Rate (Euroyen TIBOR) panel. The
Notes to the financial statements
Accruals, provisions, contingent liabilities and legal proceedings
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217
complaint alleges, among other things, manipulation of the Euroyen TIBOR and Yen LIBOR rates and breaches of the CEA and the Antitrust Act. In 2014,
the court dismissed the plaintiff’s antitrust claims, and, in 2020, the court dismissed the plaintiff’s remaining CEA claims. The plaintiff has appealed the
lower court’s dismissal of such claims.
In 2015, a second putative class action, making similar allegations to the above class action, was filed in the SDNY against Barclays PLC, Barclays Bank
PLC and BCI. The plaintiffs filed an amended complaint in 2020. In 2021, the case was dismissed as against most defendants, including the Barclays
entities. The plaintiffs and remaining defendants are seeking reconsideration of the decision.
SIBOR/SOR civil action
In 2016, a putative class action was filed in the SDNY against Barclays PLC, Barclays Bank PLC, BCI and other defendants, alleging manipulation of the
Singapore Interbank Offered Rate (SIBOR) and Singapore Swap Offer Rate (SOR). In 2018, the court dismissed all claims against Barclays PLC, Barclays
Bank PLC and BCI. The plaintiffs’ appeal of the dismissal of their claims was granted in March 2021 and the matter has been remanded to the lower
court for further proceedings. Defendants’ petition for U.S. Supreme Court review was denied. Additionally, plaintiffs have filed an amended complaint,
which defendants have moved to dismiss.
ICE LIBOR civil actions
In 2019, several putative class actions were filed in the SDNY against a panel of banks, including Barclays PLC, Barclays Bank PLC, BCI, other financial
institution defendants and Intercontinental Exchange Inc. and certain of its affiliates (ICE), asserting antitrust claims that defendants manipulated USD
LIBOR through defendants’ submissions to ICE. These actions have been consolidated. The defendants’ motion to dismiss was granted in 2020 and the
plaintiffs appealed. In February 2022, the dismissal was affirmed on appeal.
In August 2020, an ICE LIBOR-related action was filed by a group of individual plaintiffs in the US District Court for the Northern District of California on
behalf of individual borrowers and consumers of loans and credit cards with variable interest rates linked to USD ICE LIBOR. Plaintiffs’ motions seeking,
among other things, preliminary and permanent injunctions to enjoin the defendants from continuing to set LIBOR or enforce any financial instrument
that relies in whole or in part on USD LIBOR were denied. The defendants have moved to dismiss the case.
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) and other banks 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.
Credit Default Swap civil action
A putative antitrust class action is pending in New Mexico federal court against Barclays Bank PLC, BCI, and various other financial institutions. The
plaintiffs, the New Mexico State Investment Council and certain New Mexico pension funds, allege that the defendants conspired to manipulate the
benchmark price used to value Credit Default Swap (CDS) contracts at settlement (i.e. the CDS final auction price). The plaintiffs allege violations of US
antitrust laws and the CEA, and unjust enrichment under state law.
Foreign Exchange investigations and related civil actions
In 2015, the Barclays Bank 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.
The European Commission announced two settlements in May 2019 and the Barclays Bank Group paid penalties totalling approximately €210m. In June
2019, the Swiss Competition Commission announced two settlements and the Barclays Bank Group paid penalties totalling approximately CHF27m. In
December 2021, the European Commission announced a final settlement which required the Barclays Bank Group to pay penalties totalling
approximately €54m, which amount has been provided for in previous periods. The financial impact of any ongoing matters is not expected to be
material to the Barclays Bank Group’s operating results, cash flows or financial position.
Various individuals and corporates in a range of jurisdictions have threatened or brought civil actions against the Barclays Bank Group and other banks
in relation to alleged manipulation of Foreign Exchange markets.
FX opt out civil action
In 2018, Barclays Bank PLC and BCI settled a consolidated action filed in the SDN Y, alleging manipulation of Foreign Exchange markets (Consolidated FX
Action), for a total amount of $384m. Also in 2018, a group of plaintiffs who opted out of the Consolidated FX Action filed a complaint in the SDNY
against Barclays PLC, Barclays Bank PLC, BCI and other defendants. Some of the plaintiff’s claims were dismissed in 2020.
Retail basis civil action
In 2015, a putative class action was filed against several international banks, including Barclays PLC and BCI, on behalf of a proposed class of individuals
who exchanged currencies on a retail basis at bank branches (Retail Basis Claims). The SDNY has ruled that the Retail Basis Claims are not covered by
the settlement agreement in the Consolidated FX Action. The Court subsequently dismissed all Retail Basis Claims against the Barclays Bank Group and
all other defendants. The plaintiffs have filed an amended complaint.
Non-US FX civil actions
Legal proceedings have been brought or are threatened against Barclays PLC, Barclays Bank PLC, BCI and Barclays Execution Services Limited (BX) in
connection with alleged manipulation of Foreign Exchange in the UK, a number of other jurisdictions in Europe, Israel, Brazil and Australia and additional
proceedings may be brought in the future.
These include two purported class actions filed against Barclays PLC, Barclays Bank PLC, BX, BCI a nd other financial institutions in the UK Competition
Appeal Tribunal in 2019 following the settlements with the European Commission described above. Also in 2019, a separate claim was filed in the UK in
the High Court of Justice (High Court), and subsequently transferred to the UK Competition Appeal Tribunal, by various banks and asset management
firms against Barclays Bank PLC and other financial institutions alleging breaches of European and UK competition laws related to FX trading.
Notes to the financial statements
Accruals, provisions, contingent liabilities and legal proceedings
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Metals related civil actions
A number of US civil complaints, each on behalf of a proposed class of plaintiffs, have been consolidated and transferred to the SDNY. The complaints
allege that Barclays Bank PLC and other members of The London Gold Market Fixing Ltd. manipulated the prices of gold and gold derivative contracts in
violation of the Antitrust Act and other federal laws. The parties have reached a joint settlement to resolve this matter for $50m, which is subject to
court approval. The financial impact of Barclays’ share of the joint settlement is not expected to be material to the Barclays Bank Group’s operating
results, cash flows or financial position. A separate US civil complaint by a proposed class of plaintiffs against a number of banks, including Barclays
Bank PLC, BCI and BX, alleging manipulation of the price of silver in violation of the CEA, the Antitrust Act and state antitrust and consumer protection
laws, has been dismissed as against the Barclays entities. The plaintiffs have the option to seek the court’s permission to appeal.
Civil actions have also been filed in Canadian courts against Barclays PLC, Barclays Bank PLC, Barclays Capital Canada Inc. and BCI on behalf of proposed
classes of plaintiffs alleging manipulation of gold and silver prices.
US residential mortgage related civil actions
There are various pending civil actions relating to US Residential Mortgage-Backed Securities (RMBS), including four actions arising from unresolved
repurchase requests submitted by Trustees for certain RMBS, alleging breaches of various loan-level representations and warranties (R&Ws) made by
Barclays Bank PLC and/or a subsidiary acquired in 2007. The unresolved repurchase requests had an original principal balance of approximately $2.1bn.
The Trustees have also alleged that the relevant R&Ws may have been breached with respect to a greater (but unspecified) amount of loans than
previously stated in the unresolved repurchase requests.
These repurchase actions are ongoing. In one repurchase action, the New York Court of Appeals held that claims related to certain R&Ws are time-
barred. Barclays Bank PLC has reached settlements to resolve two of the repurchase actions, subject to final court approval. Final court approval has
been granted in one of those matters and payment will be completed in the first quarter of 2022. The other matter is scheduled for a hearing in 2022 to
approve the settlement. The financial impact of the settlement is not expected to be material to the Barclays Bank Group’s operating results, cash flows
or financial position. The remaining two repurchase actions are pending.
In 2020, a civil litigation claim was filed in the New Mexico First Judicial District Court by the State of New Mexico against six banks, including BCI, on
behalf of two New Mexico state pension funds and the New Mexico State Investment Council relating to legacy RMBS purchases. As to BCI, the
complaint alleges that the funds purchased approximately $22m in RMBS underwritten by BCI. The parties have reached a joint settlement to resolve
this matter for $32.5m. The financial impact of BCI’s share of the joint settlement is not material to the Barclays Bank Group’s operating results, cash
flows or financial position.
Government and agency securities civil actions
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 court dismissed the consolidated action in March
2021. The plaintiffs have filed an amended complaint, which the defendants have moved to dismiss.
In addition, certain plaintiffs have filed a related, direct action against BCI and certain other financial institutions, alleging that defendants conspired to
fix and manipulate the US Treasury securities market in violation of the Antitrust Act, the CEA and state common law.
Supranational, Sovereign and Agency bonds civil actions
Civil antitrust actions have been filed in the SDNY and Federal Court of Canada in Toronto against Barclays Bank PLC, BCI, BX, Barclays Capital Securities
Limited and, with respect to the civil action filed in Canada only, Barclays Capital Canada Inc. and other financial institutions alleging that the defendants
conspired to fix prices and restrain competition in the market for US dollar-denominated Supranational, Sovereign and Agency bonds.
In one of the actions filed in the SDNY, the court granted the defendants’ motions to dismiss the plaintiffs’ complaint. The dismissal was affirmed on
appeal and this matter is now concluded. The plaintiffs have voluntarily dismissed the other SDNY action. In the Federal Court of Canada action, the
plaintiffs reached settlements with a small number of banks in 2020 (not including Barclays Capital Canada Inc.), but the plaintiffs have not commenced
the class certification process and the action remains at an early stage.
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.
Three putative class action complaints have been consolidated in the SDNY. In the consolidated SDNY class action, certain of the plaintiff’s claims were
dismissed in November 2020 and defendants’ motion for partial dismissal of the amended consolidated complaint is pending. In the California action,
the plaintiffs’ claims were dismissed in June 2021. The plaintiffs have appealed the dismissal.
Government bond civil actions
In a putative class action filed in the SDNY in 2019, plaintiffs alleged that BCI and certain other bond dealers conspired to fix the prices of US
Government sponsored entity bonds in violation of US antitrust law. BCI agreed to a settlement of $87m, which received final court approval in 2020.
Separately, various entities in Louisiana, including the Louisiana Attorney General and the City of Baton Rouge, commenced litigation against Barclays
Bank PLC and other financial institutions making similar allegations as the SDNY class action plaintiffs. The parties have reached a settlement to resolve
these matters. The financial impact of the settlement is not material to the Barclays Bank Group’s operating results, cash flows or financial position.
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. The Barclays entities have settled the claim for $5.7m, and the settlement has
received final court approval.
Odd-lot corporate bonds antitrust class action
In 2020, BCI, together with other financial institutions, were named as defendants in a putative class action. The complaint alleges a conspiracy to
boycott developing electronic trading platforms for odd-lots and price fixing. Plaintiffs demand unspecified money damages. The defendants’ motion to
dismiss was granted in 2021. Plaintiffs have appealed the dismissal.
Notes to the financial statements
Accruals, provisions, contingent liabilities and legal proceedings
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Barclays Bank PLC Annual Report
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Interest rate swap and credit default swap US civil actions
Barclays PLC, Barclays Bank PLC and BCI, together with other financial institutions that act as market makers for interest rate swaps (IRS) are named as
defendants in several antitrust class actions which were consolidated in the SDNY in 2016. The complaints allege the defendants conspired to prevent
the development of exchanges for IRS and demand unspecified money damages.
In 2018, trueEX LLC filed an antitrust class action in the SDNY against a number of financial institutions including Barclays PLC, Barclays Bank PLC and
BCI based on similar allegations with respect to trueEX LLC’s development of an IRS platform. In 2017, Tera Group Inc. filed a separate civil antitrust
action in the SDNY claiming that certain conduct alleged in the IRS cases also caused the plaintiff to suffer harm with respect to the Credit Default
Swaps market. In 2018 and 2019, respectively, the court dismissed certain claims in both cases for unjust enrichment and tortious interference but
denied motions to dismiss the federal and state antitrust claims, which remain pending.
BDC Finance L.L.C.
In 2008, BDC Finance L.L.C. (BDC) filed a complaint in the Supreme Court of the State of New York (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 (the Agreement). Following a trial, the court ruled in 2018 that Barclays Bank PLC was not a defaulting party, which was affirmed on appeal.
In April 2021, the trial court entered judgement in favour of Barclays Bank PLC for $3.3m and as yet to be determined legal fees and costs. BDC
appealed. In January 2022, the appellate court reversed the trial court’s summary judgment decision in favour of Barclays Bank PLC and remanded the
case to the lower court for further proceedings.
In 2011, BDC’s investment advisor, BDCM Fund Adviser, L.L.C. and its parent company, Black Diamond Capital Holdings, L.L.C. a lso sued Barclays Bank
PLC and BCI in Connecticut State Court for unspecified damages allegedly resulting from Barclays Bank PLC’s conduct relating to the Agreement,
asserting claims for violation of the Connecticut Unfair Trade Practices Act and tortious interference with business and prospective business relations.
This case is currently stayed.
Civil actions in respect of the US Anti-Terrorism Act
There are a number of civil actions, on behalf of more than 4,000 plaintiffs, filed in US federal courts, in the US District Court in the Eastern District of
New York (EDNY) and SDNY against Barclays Bank PLC and a number of other banks. The complaints generally allege that Barclays Bank PLC and those
banks engaged in a conspiracy to facilitate US dollar-denominated transactions for the Iranian Government 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’ motions to dismiss three out of the six actions in the EDNY. Plaintiffs have appealed in one action. The remaining
actions are stayed pending a decision on the appeal. Out of the two actions in the SDNY, the court also granted the defendants’ motion to dismiss the
first action, which is stayed pending a decision on the EDNY appeal. The second SDNY action is stayed, pending any appeal on the dismissal of the first.
Shareholder derivative action
In November 2020, a purported Barclays shareholder filed a putative derivative action in New York state court against BCI and a number of current and
former members of the Board of Directors of Barclays PLC and senior executives or employees of the Barclays Bank Group. The shareholder filed the
claim on behalf of nominal defendant Barclays PLC, alleging that the individual defendants harmed the company through breaches of their duties,
including under the Companies Act 2006. The plaintiff seeks damages on behalf of Barclays PLC for the losses that Barclays PLC allegedly suffered as a
result of these alleged breaches. An amended complaint was filed in April 2021, which BCI and certain other defendants have moved to dismiss.
Derivative transactions civil action
In 2021, Vestia (a Dutch housing association) brought a claim against Barclays Bank PLC in the UK in the High Court in relation to a series of derivative
transactions entered into with Barclays Bank PLC between 2008 and 2011, seeking damages of £329m. Barclays Bank PLC is defending the claim and
has made a counterclaim.
Timeshare loans, skilled person review and associated matters
In August 2020, the FCA granted an application by Clydesdale Financial Services Limited (CFS), which trades as Barclays Partner Finance and houses
Barclays’ point-of-sale finance business, for a validation order with respect to certain loans to customers brokered between April 2014 and April 2016 by
Azure Services Limited (ASL), a timeshare operator, which did not, at the point of sale, hold the necessary broker licence. As a condition to the
validation order, the FCA required CFS to undertake a skilled person review of the assessment of affordability processes for the loans brokered by ASL
(ASL Loans) as well as CFS’ policies and procedures for assessing affordability and oversight of brokers more generally, and dictated a remediation
methodology in the event that ASL Loans did not pass the affordability test. CFS has voluntarily agreed to remediate the ASL Loans, which is expected to
amount to £37m, i n accordance with the FCA’s methodology and the remediation exercise is at an advanced stage. The remaining scope of the skilled
person review is complete. The skilled person made a number of observations, some of which were adverse, about both current and historic
affordability practices as well as current oversight practices. CFS is not required to conduct a full back book review but, subject to agreement with the
FCA, will be reviewing discrete cohorts of loans to determine whether historic affordability and/or broker oversight practices may have caused customer
harm. Where harm is identified, CFS’ intention is to remediate.
Following on from the skilled person review, there is ongoing dialogue with the FCA regarding other loans brokered by ASL and entered into outside the
April 2014 to April 2016 period. Separately there is ongoing dialogue with the Financial Ombudsman Service (FOS) regarding a number of other
complaints involving timeshare loans.
It is not currently possible to predict the outcome of this dialogue with the FCA or the FOS or the financial impact on the Barclays Bank Group.
Investigation into UK cards’ affordability
The FCA has been investigating certain aspects of the affordability assessment processes used by Barclays Bank UK PLC and Barclays Bank PLC for
credit card applications made to Ba rclays’ UK credit card business. In October 2021, the FCA confirmed that this investigation was closed with no
further action.
Notes to the financial statements
Accruals, provisions, contingent liabilities and legal proceedings
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HM Revenue & Customs (HMRC) assessments concerning UK Value Added Tax
In 2018, HMRC issued notices that have the effect of removing certain overseas subsidiaries that have operations in the UK from Barclays’ UK VAT
group, in which group supplies between members are generally free from VAT. The notices have retrospective effect and correspond to assessments of
£181m (inclusive of interest), of which Barclays would expect to attribute an amount of approximately £128m to Barclays Bank UK PLC and £53m to
Barclays Bank PLC. HMRC’s decision has been appealed to the First Tier 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 brought claims in 2018 against
Barclays Bank PLC and Barclays Bank UK PLC asserting that they entered into loans between 2006 and 2008 in reliance on misrepresentations made by
Barclays Bank PLC in respect of its conduct in relation to LIBOR. Barclays Bank PLC and Barclays Bank UK PLC were successful in their applications to
strike out the claims. The claims have been settled on terms such that the parties have agreed not to pursue these claims further and to bear their own
costs. The financial impact of the settlements is not material to the Barclays Bank Group's operating results, cash flows or financial position.
General
The Barclays Bank Group is engaged in various other legal, competition and regulatory matters in the UK, the US and a number of other overseas
jurisdictions. It is subject to legal proceedings brought by and against the Barclays Bank Group which arise in the ordinary course of business from time
to time, including (but not limited to) disputes in relation to contracts, securities, debt collection, consumer credit, fraud, trusts, client assets,
competition, data management and protection, intellectual property, money laundering, financial crime, employment, environmental and other
statutory and common law issues.
The Barclays Bank Group is also subject to enquiries and examinations, requests for information, audits, investigations and legal and other proceedings
by regulators, governmental and other public bodies in connection with (but not limited to) consumer protection measures, compliance with legislation
and regulation, wholesale trading activity and other areas of banking and business activities in which the Barclays Bank Group is or has been engaged.
The Barclays Bank Group is cooperating with the relevant authorities and keeping all relevant agencies briefed as appropriate in relation to these matters
and others described in this note on an ongoing basis.
At the present time, Barclays Bank PLC does not expect the ultimate resolution of any of these other matters to have a material adverse effect on its
financial position. However, in light of the uncertainties involved in such matters and the matters specifically described in this note, there can be no
assurance that the outcome of a particular matter or matters (including formerly active matters or those matters arising after the date of this note) will
not be material to Barclays Bank PLC’s results, operations or cash flow for a particular period, depending on, among other things, the amount of the loss
resulting from the matter(s) and the amount of profit otherwise reported for the reporting period.
Notes to the financial statements
Accruals, provisions, contingent liabilities and legal proceedings
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The notes included in this section focus on the Barclays Bank Group’s loan capital and shareholders’ equity including issued share capital, retained
earnings, other equity balances and interests of minority shareholders in our subsidiary entities (non-controlling interests). For more information on
capital management and how the Barclays Bank Group maintains sufficient capital to meet our regulatory requirements refer to pages 52 to 53.
26 Subordinated liabilities
Accounting for subordinated liabilities
Subordinated liabilities are measured at amortised cost using the effective interest method under IFRS 9, unless they are irrevocably designated at fair
value through profit or loss at initial recognition because such designation eliminates or significantly reduces an accounting mismatch. Refer to Note 15
for details about accounting for liabilities designated at fair value through profit or loss.
Barclays Bank Group
2021
2020
£m
£m
At amortised cost
As at 1 January
32,005
33,425
Issuances
9,099
3,856
Redemptions
(7,241)
(5,954)
Other
(1,678)
678
As at 31 December
32,185
32,005
Designated at fair value (Note 15)
483
—
Total subordinated liabilities
32,668
32,005
Barclays Bank PLC
2021
2020
£m
£m
As at 1 January
31,852
33,205
Issuances
8,788
3,700
Redemptions
(7,095)
(5,582)
Other
(1,670)
529
As at 31 December
31,875
31,852
Designated at fair value (Note 15)
483
—
Total subordinated liabilities
32,358
31,852
Issuances of £9,099m comprise £8,788m intra-group loans from Barclays PLC and £229m USD Floating Rate Notes and £82m ZAR Floating Rate Notes
issued externally by Barclays Bank PLC subsidiaries.
Redemptions of £7,241m comprise £4,736m notes issued externally by Barclays Bank PLC, £2,359m intra-group loans from Barclays PLC and £146m
USD Floating Rate Notes issued externally by a Barclays Bank PLC subsidiary. £4,736m notes issued externally by Barclays Bank PLC comprise £1,961m
GBP 10% Fixed Rate Subordinated Notes, £1,339m EUR 6% Fixed Rate Subordinated Notes, £1,075m USD 10.179% Fixed Rate Subordinated Notes,
£200m GBP 9.5% Subordinated Bon ds, £86m EUR Subordinated Floating Rate Notes and £75m GBP 9.25% Perpetual Subordinated Bonds.
Other movements predominantly comprise fair value hedge adjustments, foreign exchange movements and reclassification of dated intra-group loans
from Barclays PLC of £221m, and measured at fair value, from Subordinated liabilities to Financial liabilities designated at fair value (Note 15).
Subordinated liabilities include accrued interest and comprise undated and dated subordinated liabilities as follows:
Barclays Bank Group
2021
2020
£m
£m
Undated subordinated liabilities
795
905
Dated subordinated liabilities
31,873
31,100
Total subordinated liabilities
32,668
32,005
Barclays Bank PLC
2021
2020
£m
£m
Undated subordinated liabilities
796
906
Dated subordinated liabilities
31,562
30,946
Total subordinated liabilities
32,358
31,852
None of the Barclays Bank Group’s subordinated liabilities are secured.
Notes to the financial statements
Capital instruments, equity and reserves
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Undated subordinated liabilities a
Barclays Bank Group
2021
2020
Initial call date
£m
£m
Barclays Bank PLC externally issued subordinated liabilities
Tier One Notes (TONs)
6% Callable Perpetual Core Tier One Notes
2032
15
17
6.86% Callable Perpetual Core Tier One Notes (USD 179m)
2032
194
205
Reserve Capital Instruments (RCIs)
5.3304% Step-up Callable Perpetual Reserve Capital Instruments
2036
51
56
Undated Notes
6.125% Undated Subordinated Notes
2027
39
43
Junior Undated Floating Rate Notes (USD 38m)
Any interest payment date
28
28
Undated Floating Rate Primary Capital Notes Series 1 (USD 167m)
Any interest payment date
90
89
Undated Floating Rate Primary Capital Notes Series 2 (USD 295m)
Any interest payment date
189
186
Undated Floating Rate Primary Capital Notes Series 3
Any interest payment date
21
21
Bonds
9.25% Perpetual Subordinated Bonds (ex-Woolwich Plc)
2021
—
78
9% Permanent Interest Bearing Capital Bonds (GBP 40m)
At any time
42
44
Loans
5.03% Reverse Dual Currency Undated Subordinated Loan (JPY 8,000m)
2028
51
57
5% Reverse Dual Currency Undated Subordinated Loan (JPY 12,000m)
2028
75
83
Total undated subordinated liabilities
795
905
Undated subordinated liabilities a
Barclays Bank PLC
2021
2020
Initial call date
£m
£m
Barclays Bank PLC externally issued subordinated liabilities
Tier One Notes (TONs)
6% Callable Perpetual Core Tier One Notes
2032
15
17
6.86% Callable Perpetual Core Tier One Notes (USD 179m)
2032
194
205
Reserve Capital Instruments (RCIs)
5.3304% Step-up Callable Perpetual Reserve Capital Instruments
2036
51
56
Undated Notes
6.125% Undated Subordinated Notes
2027
40
44
Junior Undated Floating Rate Notes (USD 38m)
Any interest payment date
28
28
Undated Floating Rate Primary Capital Notes Series 1 (USD 167m)
Any interest payment date
90
89
Undated Floating Rate Primary Capital Notes Series 2 (USD 295m)
Any interest payment date
189
186
Undated Floating Rate Primary Capital Notes Series 3
Any interest payment date
21
21
Bonds
9.25% Perpetual Subordinated Bonds (ex-Woolwich Plc)
2021
—
78
9% Permanent Interest Bearing Capital Bonds (GBP 40m)
At any time
42
44
Loans
5.03% Reverse Dual Currency Undated Subordinated Loan (JPY 8,000m)
2028
51
57
5% Reverse Dual Currency Undated Subordinated Loan (JPY 12,000m)
2028
75
83
Total undated subordinated liabilities
796
906
Note
a Instrument values are disclosed to the nearest million.
Notes to the financial statements
Capital instruments, equity and reserves
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Undated subordinated liabilities
Undated subordinated liabilities are issued by Barclays Bank PLC and its subsidiaries for the development and expansion of their businesses and to
strengthen their capital bases. The principal terms of the undated subordinated liabilities are described below:
Subordination
All undated subordinated liabilities rank behind the claims against the bank of depositors and other unsecured unsubordinated creditors and holders of
dated subordinated liabilities in the following order: Junior Undated Floating Rate Notes; other issues of Undated Notes, Bonds and Loans ranking pari
passu with each other; followed by TONs and RCIs ranking pari passu with each other.
Interest
All undated subordinated liabilities bear a fixed rate of interest until the initial call date, with the exception of the 9% B onds which are fixed for the life of
the issue, and the Junior and Series 1, Series 2 and Series 3 Undated Notes which are floating rate at rates fixed periodically in advance based on the
related market rate.
After the initial call date, in the event that they are not redeemed, the 6.125% Undated Notes will b ear interest at rates fixed periodically in advance for
five-year periods based on market rates. All other undated subordinated liabilities will bear interest at rates fixed periodically in advance based on
market rates.
Payment of interest
Apart from the Junior Undated Floating Rate Notes, Barclays Bank PLC is not obliged to make a payment of interest on its Undated Notes, Bonds and
Loans if, in the preceding six months, a dividend has not been declared or paid on any class of shares of Barclays PLC or, in certain cases, any class of
preference shares of Barclays Bank PLC. Interest not paid becomes payable in each case if such a dividend is subsequently paid or in certain other
circumstances. During the year, Barclays Bank PLC paid interest on each of its Undated Notes, Bonds and Loans.
No payment of principal or any interest may be made unless Barclays Bank PLC satisfies a specified solvency test.
Barclays Bank PLC may elect to defer any payment of interest on the RCIs. Any such deferred payment of interest must be paid on the earlier of: (i) the
date of redemption of the RC Is; an d (ii) the coupon payment date falling on or nearest to the tenth anniversary of the date of deferral of such payment.
Whilst such deferral is continuing, (i) neither Barclays Bank PLC nor Barclays PLC may declare or pay a dividend, subject to certain exceptions, on any of
its ordinary shares or preference shares and (ii) certain restrictions on the redemption, purchase or reduction of their respective share capital and
certain other securities also apply.
Barclays Bank PLC may elect to defer any payment of interest on the TONs if it determines that it is, or such payment would result in it being, in non-
compliance with capital adequacy requirements and policies of the PRA. Any such deferred payment of interest will only be payable on a redemption of
the TONs. Until such time as Barclays Bank PLC next makes a payment of interest on the TONs, (i) neither Barclays Bank PLC nor Barclays PLC may
declare or pay a dividend, subject to certain exceptions, on any of their respective ordinary shares or preference shares, or make payments of interest in
respect of Barclays Bank PLC’s Reserve Capital Instruments and (ii) certain restrictions on the redemption, purchase or reduction of their respective
share capital and certain other securities also apply.
Repayment
All undated subordinated liabilities are repay able at the op tion of Barclays Bank PLC generally in whole at the initial call date and on any subsequent
coupon or interest payment date or in the case of the 6.125% Undated Notes on any fifth anniversary after the initial call date. In addition, each issue of
undated subordinated liabilities is repayable, at the option of Barclays Bank PLC, in whole for certain tax reasons, either at any time, or on an interest
payment date. There are no events of default except non-payment of principal or mandatory interest. Any repayments require the prior consent of the
PRA.
Other
All issues of undated subordinated liabilities are non-convertible.
Notes to the financial statements
Capital instruments, equity and reserves
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Dated subordinated liabilities a
Barclays Bank Group
2021
2020
Initial call date
Maturity date
£m
£m
Barclays Bank PLC externally issued subordinated liabilities
10% Fixed Rate Subordinated Notes
2021
—
2,108
6% Fixed Rate Subordinated Notes (EUR 1,500m)
2021
—
1,427
10.179% Fixed Rate Subordinated Notes (USD 1,521m)
2021
—
1,101
9.5% Subordinated Bonds (ex-Woolwich Plc)
2021
—
221
Subordinated Floating Rate Notes (EUR 100m)
2021
—
90
7.625% Contingent Capital Notes (USD 3,000m)
2022
1,159
1,189
6.625% Fixed Rate Subordinated Notes (EUR 1,000m)
2022
889
982
Subordinated Floating Rate Notes (EUR 50m)
2022
42
45
Subordinated Floating Rate Notes (EUR 50m)
2023
42
45
5.75% Fixed Rate Subordinated Notes
2026
322
351
5.4% Reverse Dual Currency Subordinated Loan (JPY 15,000m)
2027
97
108
6.33% Subordinated Notes (GBP 50m)
2032
59
64
Subordinated Floating Rate Notes (EUR 68m)
2040
57
61
External issuances by other subsidiaries
2026
311
146
Barclays Bank PLC notes issued intra-group to Barclays PLC
2% Fixed Rate Subordinated Callable Notes (EUR 1,500)
2023
2028
1,288
1,388
3.75% Fixed Rate Resetting Subordinated Callable Notes (SGD 200m)
2025
2030
113
119
5.20% Fixed Rate Subordinated Notes (USD 1,367m)
2026
1,037
1,069
1.125% Fixed Rate Resetting Subordinated Callable Notes (EUR 1,000m)
2026
2031
831
—
4.836% Fixed Rate Subordinated Callable Notes (USD 1,200m)
2027
2028
937
973
5.088% Fixed-to-Floating Rate Subordinated Callable Notes (USD 1,300m)
2029
2030
1,005
1,049
3.811% Fixed Rate Resetting Subordinated Callable Notes (USD 1,000m)
2041
2042
778
—
5.25% Fixed Rate Subordinated Notes (USD 827m)
2045
618
660
4.95% Fixed Rate Subordinated Notes (USD 1,250m)
2047
896
960
Floating Rate Subordinated Notes (USD 456m)
2047
341
337
Barclays Bank PLC intra-group loans from Barclays PLC
Various Fixed Rate Subordinated Loans
7,184
9,563
Various Subordinated Floating Rate Loans
646
489
Various Fixed Rate Subordinated Callable Loans
11,016
5,838
Various Subordinated Floating Rate Callable Loans
1,725
500
Zero Coupon Callable Loans
2051
483
221
Total dated subordinated liabilities
31,873
31,100
Notes
a Instrument values are disclosed to the nearest million
Notes to the financial statements
Capital instruments, equity and reserves
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Dated subordinated liabilities a
Barclays Bank PLC
2021
2020
Initial call date
Maturity date
£m
£m
Barclays Bank PLC externally issued subordinated liabilities
10% Fixed Rate Subordinated Notes
2021
—
2,108
6% Fixed Rate Subordinated Notes (EUR 1,500m)
2021
—
1,427
10.179% Fixed Rate Subordinated Notes (USD 1,521m)
2021
—
1,101
9.5% Subordinated Bonds (ex-Woolwich Plc)
2021
—
221
Subordinated Floating Rate Notes (EUR 100m)
2021
—
90
7.625% Contingent Capital Notes (USD 3,000m)
2022
1,158
1,187
6.625% Fixed Rate Subordinated Notes (EUR 1,000m)
2022
889
982
Subordinated Floating Rate Notes (EUR 50m)
2022
42
45
Subordinated Floating Rate Notes (EUR 50m)
2023
42
45
5.75% Fixed Rate Subordinated Notes
2026
322
351
5.4% Reverse Dual Currency Subordinated Loan (JPY 15,000m)
2027
97
108
6.33% Subordinated Notes (GBP 50m)
2032
59
64
Subordinated Floating Rate Notes (EUR 68m)
2040
57
61
Barclays Bank PLC notes issued intra-group to Barclays PLC
2% Fixed Rate Subordinated Callable Notes (EUR 1,500m)
2023
2028
1,288
1,388
3.75% Fixed Rate Resetting Subordinated Callable Notes (SGD 200m)
2025
2030
113
119
5.20% Fixed Rate Subordinated Notes (USD 1,367m)
2026
1,037
1,069
1.125% Fixed Rate Resetting Subordinated Callable Notes (EUR 1,000m)
2026
2031
831
—
4.836% Fixed Rate Subordinated Callable Notes (USD 1,200m)
2027
2028
937
973
5.088% Fixed-to-Floating Rate Subordinated Callable Notes (USD 1,300m)
2029
2030
1,005
1,049
3.811% Fixed Rate Resetting Subordinated Callable Notes (USD 1,000m)
2041
2042
778
—
5.25% Fixed Rate Subordinated Notes (USD 827m)
2045
618
660
4.95% Fixed Rate Subordinated Notes (USD1,250m)
2047
896
960
Floating Rate Subordinated Notes (USD 456m)
2047
341
337
Barclays Bank PLC intra-group loans from Barclays PLC
Various Fixed Rate Subordinated Loans
7,183
9,563
Various Subordinated Floating Rate Loans
646
489
Various Fixed Rate Subordinated Callable Loans
11,015
5,834
Various Subordinated Floating Rate Callable Loans
1,725
500
Zero Coupon Callable Notes
2051
483
221
Total dated subordinated liabilities
31,562
30,946
Notes
a Instrument values are disclosed to the nearest million
Dated subordinated liabilities
Dated subordinated liabilities are issued by Barclays Bank PLC and its subsidiaries for the development and expansion of their businesses and to
strengthen their respective capital bases. The principal terms of the dated subordinated liabilities are described below:
Cur rency and maturity
In addition to the i ndividual dated subordinated liabilities listed in the table, the £21,052m (2020: £16,607m) of intra-group loans is made up of various
fixed, fixed to floating r ate, floating and zero coupon loans from Barclays PLC with notional amounts denominated in USD 14,809m, EUR 5,937m, GBP
1,250m, JPY 252,600m, AUD 2,315m, SEK 500m, NOK 970m, CAD 450m and CHF 435m, with maturities ranging from 2023 to 2051. Certain intra-
group loans have a call date one year prior to their maturity.
Subordination
All dated subordinated liabilities, both externally issued and issued intra-group to Barclays PLC, rank behind the claims against Barclays Bank PLC of
depositors and other unsecured unsubordinated creditors but before the claims of the undated subordinated liabilities and the holders of Barclays Bank
PLC equity. The Barclays Bank PLC intra-group loans from Barclays PLC rank pari passu amongst themselves but ahead of the Barclays Bank PLC notes
issued intra-group to Barclays PLC and the Barclays Bank PLC externally issued subordinated liabilities. The external dated subordinated liabilities issued
by subsidiaries are similarly subordinated as the external subordinated liabilities issued by Barclays Bank PLC.
Interest
Interest on floating rate notes and loans is set by reference to market rates at the time of issuance and fixed periodically in advance, based on the related
market rates.
Interest on fixed rate notes and loans is set by reference to market rates at the time of issuance and fixed until maturity.
Notes to the financial statements
Capital instruments, equity and reserves
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Interest on fixed rate callable notes and loans is set by reference to market rates at the time of issuance and fixed until the call date or maturity as
applicable. After the call da te (w here relevant), in the event that the notes or loans are not redeemed, the interest rate will be re-set to either a fixed or
floating rate until maturity based on market rates.
No interest is paid on zero coupon notes.
Repayment
Those subordinated liabilities with a call date are repayable at the option of Barclays Bank PLC o n such call date in accordance with the conditions
governing the respective debt obligations, some in whole or in part, and some only in whole, or otherwise on matur ity. The remaining dated
subordinated liabilities outstanding at 31 December 2021 are redeemable only on maturity, subject, in particular cases, to provisions allowing an early
redemption in the event of certain changes in tax l aw or to certai n changes in legislation or regulations.
Any repayments prior to maturity may require, in the case of Barclays Bank PLC, the prior consent of the PRA or B oE or, in th e case of the overseas
issues, the consent of the local regulator for that jurisdiction and of the PRA in certain circumstances.
There are no committed facilities in existence at the balance sheet date which permit the refinancing of debt beyond the date of maturity.
Other
The 7.625% Contingent Capital Notes will be automatically transferred from investors to Barclays PLC (or another entity within the Barclays Group) for
nil consideration in the event the Barclays PLC transitional CET1 ratio falls below 7%
27 Ordinary shares, preference shares and other equity
Called up share capital, allotted and fully paid and
other equity instruments
Barclays Bank Group and Barclays Bank PLC
Barclays Bank
Group
Barclays Bank PLC
Ordinary share
capital
Preference share
capital
Total share capital
Other equity
instruments
Other equity
instruments
£m
£m
£m
£m
£m
As at 1 January 2021
2,342
6
2,348
8,621
13,328
AT1 securities issuance
—
—
—
1,072
1,072
As at 31 December 2021
2,342
6
2,348
9,693
14,400
As at 1 January 2020
2,342
6
2,348
8,323
11,089
AT1 securities issuance
—
—
—
1,134
1,134
Increase in borrowings from subsidiary
—
—
—
—
1,941
AT1 securities redemption
—
—
—
(836)
(836)
As at 31 December 2020
2,342
6
2,348
8,621
13,328
Ordinary shares
The issued ordinary share capital of Barclays Bank PLC, as at 31 December 2021, comprised 2,342m (2020: 2,342m) ordinary shares of £1 each.
Preference shares
The issued preference share capital of Barclays Bank PLC, as at 31 December 2021, comprised 1,000 Sterling Preference Shares of £1 each (2020:
1,000); 31,856 Euro Preference Shares of €100 each (2020: 31,856); and 58,133 US Dollar Preference Shares of $100 each (2020: 58,133).
Ordinary share capital and preference share capital constitutes 100% (2020: 100%) of total share capital issued.
Sterling £1 Preference Shares
1,000 Sterling cumulative callable preference shares of £1 each (the £1 Preference Shares) were issued on 31 December 2004 at nil premium.
The £1 Preference Shares entitle the holders thereof to receive Sterling cumulative cash dividends out of distributable profits of Barclays Bank PLC,
semi-annually at a rate reset semi-annually equal to the Sterling interbank offered rate for six-month sterling deposits.
Barclays Bank PLC shall be obliged to pay such dividends if: (1) it has profits available for the purpose of distribution under the Companies Act 2006 as
at each dividend payment date; and (2) it is solvent on the relevant dividend payment date, provided that a capital regulations condition is satisfied on
such dividend payment date. The dividends shall not be due and payable on the relevant dividend payment date except to the extent that Barclays Bank
PLC could make such payment and still be solvent immediately thereafter. Barclays Bank PLC shall be considered solvent on any date if: (1) it is able to
pay its debts to senior creditors as they fall due; and (2) its auditors have reported within the previous six months that its assets exceed its liabilities. If
Barclays Bank PLC shall not pay, or shall pay only in part, a dividend for a period of seven days or more after the due date for payment, the holders of the
£1 Preference Shares may institute proceedings for the winding-up of Barclays Bank PLC. No remedy against Barclays Bank PLC shall be available to the
holder of any £1 Preference Shares for the recovery of amounts owing in respect of £1 Preference Shares other than the institution of proceedings for
the winding-up of Barclays Bank PLC and/or proving in such winding-up.
On a winding-up or other return of capital (other than a redemption or purchase by Barclays Bank PLC of any of its issued shares, or a reduction of
share capital, permitted by the Articles of Barclays Bank PLC and under applicable law), the assets of Barclays Bank PLC available to shareholders shall
be applied in priority to any payment to the holders of ordinary shares and any other class of shares in the capital of Barclays Bank PLC then in issue
ranking junior to the £1 Preference Shares on such a return of capital and pari passu on such a return of capital with the holders of any other class of
shares in the capital of Barclays Bank PLC then in issue (other than any class of shares in the capital of Barclays Bank PLC then in issue ranking in priority
to the £1 Preference Shares on a winding-up or other such return of capital), in payment to the holders of the £1 Preference Shares of a sum equal to
Notes to the financial statements
Capital instruments, equity and reserves
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the aggregate of: (1) an amount equal to the dividends accrued thereon for the then current dividend period (and any accumulated arrears thereof) to
the date of the commencement of the winding-up or other such return of capital; and (2) an amount equal to £1 per £1 Preference Share. After
payment of the full amount of the liquidating distributions to which they are entitled, the holders of the £1 Preference Shares will have no right or claim
to any of the remaining assets of Barclays Bank PLC and will not be entitled to any further participation in such return of capital.
The £1 Preference Shares are redeemable at the option of Barclays Bank PLC, in whole but not in part only, subject to the Companies Act 2006 and
Barclays Bank PLC's Articles. Holders of the £1 Preference Shares are not entitled to receive notice of, or to attend, or vote at, any general meeting of
Barclays Bank PLC.
Euro Preference Shares
140,000 Euro non-cumulative callable preference shares of €100 each (the Euro Preference Shares) were issued on 15 March 2 005 for a consideration
of €1,383.3m (£966.7m), of which the nominal value was €14m and the balance was share premium. The Euro Preference Shares entitled the holders
thereof to receive Euro non-cumulative cash dividends out of distributable profits of Barclays Bank PLC, annually at a fixed rate of 4.75% per annum on
the amount of €10,000 per preference share until 15 March 2020, and since 15 March 2020 quarterly at a rate reset quarterly equal to 0.71% per
annum above the Euro interbank offered rate for three-month Euro deposits. The board of directors of Barclays Bank PLC may resolve, in its absolute
discretion, not to pay in full, or at all, the dividend on the Euro Preference Shares in respect of a particular dividend period.
The Euro Preference Shares are redeemable at the option of Barclays Bank PLC, in whole but not in part only, on each dividend payment date at €10,000
per share plus any dividends accrued for the then current dividend period to the date fixed for redemption.
US Dollar Preference Shares
100,000 US Dollar non-cumulative callable preference shares of $100 each (the US Dollar Preference Shares), represented by 100,000 American
Depositary Shares, Series 1, were issued on 8 June 2005 for a consideration of $995.4m (£548.1m), of which the nominal value was $10m and the
balance was share premium. The US Dollar Preference Shares entitle the holders thereof to receive US Dollar non-cumulative cash dividends out of
distributable profits of Barclays Bank PLC, semi-annually at a fixed rate of 6.278% per annum on the amount of $10,000 per preference share until 15
December 2034, and thereafter quarterly at a rate reset quarterly equal to 1.55% per annum above the London interbank offered rate for three-month
US Dollar deposits. The board of directors of Barclays Bank PLC may resolve, for any reason and in its absolute discretion, not to declare or pay in full or
in part any dividends on the US Dollar Preference Shares in respect of a particular dividend period.
The US Dollar Preference Shares are redeemable at the option of Barclays Bank PLC, in whole but not in part only, on 15 December 2034, and on each
dividend payment date thereafter at $10,000 per share plus any dividends accrued for the then current dividend period to the date fixed for redemption.
No redemption or purchase of any Euro Preference Shares and US Dollar Preference Shares (together, the Preference Shares) may be made by Barclays
Bank PLC without the prior consent of the PRA and any such redemption will be subject to the Companies Act 2006 and the Articles of Barclays Bank
PLC.
On a winding-up of Barclays Bank PLC or other return of capital (other than a redemption or purchase of shares of Barclays Bank PLC, or a reduction of
share capital), a holder of Preference Shares will rank in the application of assets of Barclays Bank PLC available to shareholders: (1) junior to the holder
of any shares of Barclays Bank PLC in issue ranking in priority to the Preference Shares; (2) equally in all respects with holders of other preference shares
and any other shares of Barclays Bank PLC in issue ranking pari passu with the Preference Shares; and (3) in priority to the holders of ordinary shares
and any other shares of Barclays Bank PLC in issue ranking junior to the Preference Shares.
The holders of the £13m 6% Callable Perpetual Core Tier One Notes and the $179m 6.86% Callable Perpetual Core Tier One Notes of Barclays Bank PLC
(together, the TONs) and the holders of the £35m 5.3304% Step-up Callable Perpetual Reserve Capital Instruments of Barclays Bank PLC (the RCIs)
would, for the purposes only of calculating the amounts payable in respect of such securities on a winding-up of Barclays Bank PLC, subject to limited
exceptions and to the extent that the TONs and the RCIs are then in issue, rank pari passu with the holders of the most senior class or classes of
preference shares then in issue in the capital of Barclays Bank PLC. Accordingly, the holders of the preference shares would rank equally with the
holders of such TONs and RCIs on such a winding-up of Barclays Bank PLC (unless one or more classes of shares of Barclays Bank PLC ranking in
priority to the preference shares are in issue at the time of such winding-up, in which event the holders of such TONs and RCIs would rank equally with
the holders of such shares and in priority to the holders of the preference shares).
Subject to such ranking, in such event, holders of the preference shares will be entitled to receive out of assets of Barclays Bank PLC available for
distributions to shareholders, liquidating distributions in the amount of €10,000 per Euro Preference Share and $10,000 per US Dollar Preference Share,
plus, in each case, an amount equal to the accrued dividend for the then current dividend period to the date of the commencement of the winding-up or
other such return of capital.
If a dividend is not paid in full on any preference shares on any dividend payment date, then a dividend restriction shall apply. This dividend restriction
will mean that neither Barclays Bank PLC nor Barclays PLC may (a) declare or pay a dividend (other than payment by Barclays PLC of a final dividend
declared by its shareholders prior to the relevant dividend payment date, or a dividend paid by Barclays Bank PLC to Barclays PLC) on any of their
respective ordinary shares, other preference shares or other share capital or (b) redeem, purchase, reduce or otherwise acquire any of their respective
share capital, other than shares of Barclays Bank PLC held by Barclays PLC or a wholly owned subsidiary, until the earlier of: (1)the date on which
Barclays Bank PLC next declares and pays in full a preference share dividend; and (2)the date on or by which all the preference shares are redeemed in
full or purchased by Barclays Bank PLC.
Holders of the preference shares are not entitled to receive notice of, or to attend, or vote at, any general meeting of Barclays Bank PLC. Barclays Bank
PLC is not permitted to create a class of shares ranking as regards participation in the profits or assets of Barclays Bank PLC in priority to the preference
shares, save with the sanction of a special resolution of a separate general meeting of the holders of the preference shares (requiring a majority of not
less than three-fourths of the holders of the preference shares voting at the separate general meeting) or with the consent in writing of the holders of
three-fourths of the preference shares.
Except as described above, the holders of the preference shares have no right to participate in the surplus assets of Barclays Bank PLC.
Notes to the financial statements
Capital instruments, equity and reserves
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Other equity instruments
Other equity instruments issued by Barclays Bank PLC of £14,400m (2020: £13,328m) include AT 1 securities issued to Barclays PLC and borrowings of
$6bn from a wholly-owned, indirect subsidiary of Barclays Bank PLC. As a result, the other equity instruments balance recorded b y Barcla ys Bank Group
is £9,693m (2020: £8,621m).
The borrowings o f $6bn from a wholly-owned, indirect subsidiary of Barclays Bank PLC have been recorded as equity since, under their terms, interest
payments are non cumulative and discretionary whilst repayment of principal is perpetually deferrable by Barclays Bank PLC. Should Barclays Bank PLC
make a discretionary dividend payment on its ordinary shares in the six months preceding the date of an interest payment, it will be obliged to make
that interest payment. In 2021, interest paid on these borrowings was £164m.
Barclays PLC uses funds from its own market issuance of AT1 securities to purchase AT1 securities from the Barclays Bank Group. The AT1 securities
are perpetual securities with no fixed maturity and are structured to qualify as AT1 instruments under prevailing capital rules applicable as at the
relevant issue date.
In 2021, there was one issuance of AT 1 instruments, in the form of Fixed Rate Resetting Perpetual Subordinated Contingent Convertible Securities for
£1,072m (2020: one issuance for £1,134m). There were no redemptions in 2021 (2020: one redemption of £836m).
AT1 equity instruments
2021
2020
Initial call date
£m
£m
AT1 equity instruments - Barclays Bank Group
7.875% Perpetual Subordinated Contingent Convertible Securities
2022
1,000
1,000
7.875% Perpetual Subordinated Contingent Convertible Securities (USD 1,500m)
2022
1,136
1,136
7.25% Perpetual Subordinated Contingent Convertible Securities
2023
500
500
7.75% Perpetual Subordinated Contingent Convertible Securities (USD 2,500m)
2023
1,925
1,925
5.875% Perpetual Subordinated Contingent Convertible Securities
2024
623
623
8% Perpetual Subordinated Contingent Convertible Securities (USD 2,000m)
2024
1,509
1,509
7.125% Perpetual Subordinated Contingent Convertible Securities
2025
299
299
6.375% Perpetual Subordinated Contingent Convertible Securities
2025
495
495
6.125% Perpetual Subordinated Contingent Convertible Securities (USD 1,500m)
2025
1,134
1,134
4.375% Perpetual Subordinated Contingent Convertible Securities (USD 1,500m)
2028
1,072
—
9,693
8,621
Notes to the financial statements
Capital instruments, equity and reserves
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28 Reserves
Currency translation reserve
The currency translation reserve represents the cumulative gains and losses on the retranslation of the Barclays Bank Group's net investments in foreign
operations, net of the effects of hedging.
Fair value through other comprehensive income reserve
The fair value through other comprehensive income reserve represents the changes in the fair value of fair value through other comprehensive income
investments since initial recognition.
Cash flow hedging reserve
The cash flow hedging reserve represents the cumulative gains and losses on effective cash flow hedging instruments that will be recycled to the
income statement when the hedged transactions affect profit or loss.
Own credit reserve
The own credit reserve reflects the cumulative own credit gains and losses on financial liabilities at fair value. Amounts in the own credit reserve are not
recycled to profit or loss in future periods.
Other reserves
Other reserves includes redeemed ordinary and preference shares issued by the Barclays Bank Group.
Barclays Bank Group
2021
2020
£m
£m
Currency translation reserve
2,581
2,736
Fair value through other comprehensive income reserve
(118)
244
Cash flow hedging reserve
(618)
1,181
Own credit reserve
(960)
(954)
Other reserves
(24)
(24)
Total
861
3,183
Barclays Bank PLC
2021
2020
£m
£m
Currency translation reserve
268
140
Fair value through other comprehensive income reserve
(115)
248
Cash flow hedging reserve
(624)
1,191
Own credit reserve
(837)
(875)
Other reserves
72
72
Total
(1,236)
776
Notes to the financial statements
Capital instruments, equity and reserves
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The notes included in this section focus on the costs and commitments associated with employing our staff.
29 Staff costs
Accounting for staff costs
The Barclays Bank Group applies IAS 19 Employee benefits in its accounting for most of the components of staff costs.
Short-term employee benefits – salaries, accrued performance costs and social security are recognised over the period in which the employees provide
the services to which the payments relate.
Performance costs – recognised to the extent that the Barclays Bank Group has a present obligation to its employees that can be measured reliably and
are recognised over the period of service that employees are required to work to qualify for the payments.
Deferred cash and share awards are made to employees to incentivise performance over the period employees provide services. To receive payment
under an award, employees must provide service over the vesting period. The period over which the expense for deferred cash and share awards is
recognised is based upon the period employees consider their services contribute to the awards. For past awards, the Barclays Bank Group considers
that it is appropriate to recognise the awards over the period from the date of grant to the date that the awards vest. In relation to awards granted from
2017, the Barclays Bank Group, taking into account the changing employee understanding surrounding those awards, considered it appropriate for
expense to be recognised over four years including the financial year prior to the grant date.
The accounting policies for share-based payments, and pensions and other post-retirement benefits, are included in Note 30 and Note 31 respectively.
2021
2020
2019
£m
£m
£m
Performance costs
1,308
1,145
1,104
Salaries a
2,245
2,285
2,373
Social security costs
297
295
269
Post-retirement benefits b
181
176
184
Other compensation costs
172
208
237
Total compensation costs
4,203
4,109
4,167
Other resourcing costs
Outsourcing
136
142
211
Redundancy and restructuring
49
47
69
Temporary staff costs
17
14
48
Other
51
53
70
Total other resourcing costs
253
256
398
Total staff costs
4,456
4,365
4,565
Notes
a£152m (2020: £156m; 2019: £123m) of compensation was capitalised as internally generated software.
b Post-retirement benefits charge includes £121m (2020: £127m; 2019: £126m) in respect of defined contribution schemes and £60m (2020: £49m; 2019: £58m) in respect
of defined benefit schemes.
30 Share-based payments
Accounting for share-based payments
The Barclays Bank Group applies IFRS 2 Share-based Payments in accounting for employee remuneration in the form of shares.
Employee incentives include awards in the form of shares and share options, as well as offering employees the opportunity to purchase shares on
favourable terms. The cost of the employee services received in respect of the shares or share options granted is recognised in the income statement
over the period that employees provide services. The overall cost of the award is calculated using the number of shares and options expected to vest
and the fair value of the shares or options at the date of grant.
The number of shares and options expected to vest takes into account the likelihood that performance and service conditions included in the terms of
the awards will be met. Failure to meet the non-vesting condition is treated as a cancellation, resulting in an acceleration of recognition of the cost of
the employee services.
The fair value of shares is the market price ruling on the grant date, in some cases adjusted to reflect restrictions on transferability. The fair value of
options granted is determined using option pricing models to estimate the numbers of shares likely to vest. These take into account the exercise price of
the option, the current share price, the risk-free interest rate, the expected volatility of the share price over the life of the option and other relevant
factors. Market conditions that must be met in order for the award to vest are also reflected in the fair value of the award, as are any other non-vesting
conditions – such as continuing to make payments into a share-based savings scheme.
Notes to the financial statements
Employee benefits
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The charge for the year arising from share based payment schemes was as follows:
Charge for the year
2021
2020
2019
£m
£m
£m
Deferred Share Value Plan / Share Value Plan
235
220
244
Others
159
129
148
Total equity settled
394
349
392
Cash settled
4
2
3
Total share based payments
398
351
395
The terms of the main current plans are as follows:
Share Value Plan (SVP)
The SVP was introduced in March 2010. SVP awards have been granted to participants in the form of a conditional right to receive Barclays PLC shares
or provisional allocations of Barclays PLC shares which vest or are considered for release over a period of three, five or seven years. Participants do not
pay to receive an award or to receive a release of shares. For awards granted before December 2017, the grantor may also make a dividend equivalent
payment to participants on release of a SVP award. SVP awards are also made to eligible employees for recruitment purposes. All awards are subject to
potential forfeiture in certain leaver scenarios.
Deferred Share Value Plan (DSVP)
The DSVP was introduced in February 2017. The terms of the DSVP are materially the same as the terms of the SVP as described above, save that
Executive Directors are not eligible to participate in the DSVP and the DSVP operates over market purchase shares only.
Other schemes
In addition to the SVP and DSVP, the Barclays Group operates a number of other schemes settled in Barclays PLC Shares including Sharesave (both UK
and Ireland), Sharepurchase (both UK and overseas), and the Barclays Group Long Term Incentive Plan. A delivery of upfront shares to ‘Material Risk
Takers’ can be made as a Share Incentive Award (Holding Period).
Share option and award plans
The weighted average fair value per award granted, weighted average share price at the date of exercise/release of shares during the year, weighted
average contractual remaining life and number of options and awards outstanding (including those exercisable) at the balance sheet date were as
follows:
2021
2020
Weighted
average fair
value per
award granted
in year
Weighted
average share
price at
exercise/
release during
year
Weighted
average
remaining
contractual
life in years
Number of
options/
awards
outstanding
(000s)
Weighted
average fair
value per award
granted in year
Weighted
average share
price at
exercise/
release during
year
Weighted
average
remaining
contractual
life in years
Number of
options/
awards
outstanding
(000s)
£
£
£
£
DSVP / SVP a.b
1.63
1.76
1.15
370,505
1.04
1.24
1
370,006
Others a
0.64-1.81
1.76-1.92
0-3
47,480
0.24-1.24
1.19-1.67
0-4
53,767
SVP and DSVP are nil cost awards on which the performance conditions are substantially completed at the date of grant. Consequently, the fair value of
these awards is based on the market value at that date.
Notes to the financial statements
Employee benefits
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Movements in options and awards
The movement in the number of options and awards for the major schemes and the weighted average exercise price of options was:
DSVP / SVP a,b
Others a,c
Number (000s)
Number (000s)
Weighted average
ex. price (£)
2021
2020
2021
2020
2021
2020
Outstanding at beginning of year/acquisition date
370,006
297,149
53,767
37,481
0.95
1.27
Transfers in the year d
(2,214)
953
(2,697)
140
—
—
Granted in the year
174,338
203,157
79,050
136,227
1.43
0.84
Exercised/released in the year
(144,943)
(117,355)
(78,273)
(99,465)
1.36
1.21
Less: forfeited in the year
(26,682)
(13,898)
(3,395)
(18,285)
0.95
1.23
Less: expired in the year
—
—
(972)
(2,331)
1.69
1.33
Outstanding at end of year
370,505
370,006
47,480
53,767
0.95
0.95
Of which exercisable:
—
—
4,428
4,746
1.16
1.64
Notes
a Options/award granted over Barclays PLC shares.
b Weighted average exercise price is not applicable for SVP and DSVP awards as these are not share option schemes.
c The number of awards within Others at the end of the year principally relates to Sharesave (number of awards exercisable at end of year was 1,499,920). The weighted
average exercise price relates to Sharesave.
d Awards of employees transferred between the Barclays Bank Group and the rest of the Barclays PLC Group.
Awards and options granted to employees and former employees of the Barclays Bank Group under the Barclays PLC Group share plans may be
satisfied using new issue shares, treasury shares and market purchase shares of Barclays PLC. Awards granted to employees and former employees of
the Barclays Bank Group under DSVP may only be satisfied using market purchase shares of Barclays PLC.
There were no significant modifications to the share based payments arrangements in 2021 and 2020.
As at 31 December 2021, the total liability arising from cash-settled share based payments transactions was £4m (2020: £2m).
31 Pensions and post-retirement benefits
Accounting for pensions and post-retirement benefits
The Barclays Bank Group operates a number of pension schemes and post-employment benefit schemes.
Defined contribution schemes – the Barclays Bank Group recognises contributions due in respect of the accounting period in the income statement. Any
contributions unpaid at the balance sheet date are included as a liability.
Defined benefit schemes – the Barclays Bank Group recognises its obligations to members of each scheme at the period end, less the fair value of the
scheme assets after applying the asset ceiling test.
Each scheme’s obligations are calculated using the projected unit credit method. Scheme assets are stated at fair value as at the period end.
Changes in pension scheme liabilities or assets (remeasurements) that do not arise from regular pension cost, net interest on net defined benefit
liabilities or assets, past service costs, settlements or contributions to the scheme, are recognised in other comprehensive income. Remeasurements
comprise experience adjustments (differences between previous actuarial assumptions and what has actually occurred), the effects of changes in
actuarial assumptions, return on scheme assets (excluding amounts included in the interest on the assets) and any changes in the effect of the asset
ceiling restriction (excluding amounts included in the interest on the restriction).
Post-employment benefit schemes – the cost of providing healthcare benefits to retired employees is accrued as a liability in the financial statements
over the period that the employees provide services to the Barclays Bank Group, using a methodology similar to that for defined benefit pension
schemes.
Pension schemes
UK Retirement Fund (UKRF)
The UKRF is the Barclays Bank Group’s main scheme, representing 97% of the Barclays Bank Group’s total retirement benefit obligations. Barclays Bank
PLC is the principal employer of the UKRF. The UKRF was closed to new entrants on 1 October 2012, and comprises 10 sections, the two most
significant of which are:
▪Afterwork, which comprises a contributory cash balance defined benefit element, and a voluntary defined contribution element. The cash balance
element is accrued each year and revalued until Normal Retirement Age in line with the increase in Retail Price Index (RPI) (up to a maximum of 5%
p.a.). An increase of up to 2% a year may also be added at Barclays Bank PLC’s discretion. The costs of ill-health retirements and death in service
benefits for Afterwork members are borne by the UKRF. The main risks that the Barclays Bank Group runs in relation to Afterwork are limited although
additional contributions are required if pre-retirement investment returns are not sufficient to provide for the benefits.
▪The 1964 Pension Scheme. Most employees recruited before July 1997 built up benefits in this non-contributory defined benefit scheme in respect of
service up to 31 March 2010. Pensions were calculated by reference to service and pensionable salary. From 1 April 2010, members became eligible to
accrue future service benefits in either Afterwork or the Pension Investment Plan (PIP), a historic defined contribution section which is now closed to
future contributions. The risks that the Barclays Bank Group runs in relation to the 1964 section are typical of final salary pension schemes, principally
that investment returns fall short of expectations, that inflation exceeds expectations, and that retirees live longer than expected.
Notes to the financial statements
Employee benefits
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Barclays Pension Savings Plan (BPSP)
The BPSP is a defined contribution scheme providing benefits for all new UK hires from 1 October 2012. BPSP is not subject to the same investment
return, inflation or life expectancy risks for the Barclays Bank Group that defined benefit schemes are. Members’ benefits reflect contributions paid and
the level of investment returns achieved.
Other
Apart from the UKRF and the BPSP, the Barclays Bank Group operates a number of smaller pension and long-term employee benefits and post-
retirement health care plans globally, the largest of which are the US defined benefit and defined contribution schemes. Many of the schemes are
funded, with assets backing the obligations held in separate legal vehicles such as trusts. Others are operated on an unfunded basis. The benefits
provided, the approach to funding, and the legal basis of the schemes, reflect local environments.
Governance
The UKRF operates under trust law and is managed and administered on behalf of the members in accordance with the terms of the Trust Deed and
Rules and all relevant legislation. The Corporate Trustee is Barclays Pension Funds Trustees Limited, a private limited company and a wholly owned
subsidiary of Barclays Bank PLC. The Trustee is the legal owner of the assets of the UKRF which are held separately from the assets of the Barclays Bank
Group.
The Trustee Board comprises six Management Directors selected by Barclays Bank PLC, of whom three are independent Directors with no relationship
with the Barclays Bank Group (and who are not members of the UKRF), plus three Member Nominated Directors selected from eligible active members
of the UKRF, deferred members or pensioner members who apply for the role.
The BPSP is a Group Personal Pension arrangement which operates as a collection of personal pension plans. Each personal pension plan is a direct
contract between the employee and the BPSP provider (Legal & General Assurance Society Limited), and is regulated by the FCA.
Similar principles of pension governance apply to the Barclays Bank Group’s other pension schemes, depending on local legislation.
Amounts recognised
The following tables include amounts recognised in the income statement and an analysis of benefit obligations and scheme assets for all Barclays Bank
Group defined benefit schemes. The net position is reconciled to the assets and liabilities recognised on the balance sheet. The tables include funded
and unfunded post-retirement benefits.
Income statement charge
2021
2020
£m
£m
Current service cost
58
53
Net finance cost
(26)
(40)
Past service cost
—
(4)
Other movements
2
—
Total
34
9
The Barclays Bank PLC is the principal employer of the UKRF and hence Scheme Assets and Defined Benefit Obligations relating to the UKRF are
recognised within the Barclays Bank Group. Barclays Bank UK PLC and Barclays Execution Services Limited are participating employers in the UKRF and
their share of the UKRF service cost is borne by them. Of the £240m current service cost in the table on the next page, £90m relates to Barclays Bank UK
PLC and £92m relates to Barclays Execution Services Limited. While the entire current service cost is accounted for in the Barclays Bank Group on
balance sheet, the income statement charge is accounted for across all the participating employers.
Notes to the financial statements
Employee benefits
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Balance sheet reconciliation
2021
2020
Barclays Bank Group
Total
Of which relates to
UKRF
Barclays Bank Group
Total
Of which relates to
UKRF
£m
£m
£m
£m
Benefit obligation at beginning of the year
(33,131)
(32,108)
(30,298)
(29,304)
Current service cost
(240)
(225)
(232)
(217)
Interest costs on scheme liabilities
(422)
(405)
(573)
(549)
Past service cost
—
—
4
—
Remeasurement gain/(loss) - financial
849
820
(3,439)
(3,358)
Remeasurement gain/(loss) - demographic
53
50
(281)
(286)
Remeasurement gain/(loss) - experience
(249)
(259)
243
237
Employee contributions
(4)
—
(5)
(1)
Benefits paid
1,309
1,268
1,406
1,370
Exchange and other movements
1
—
44
—
Benefit obligation at end of the year
(31,834)
(30,859)
(33,131)
(32,108)
Fair value of scheme assets at beginning of the year
34,713
33,915
32,093
31,362
Interest income on scheme assets
448
434
613
595
Employer contribution
971
955
265
248
Settlements
—
—
—
—
Remeasurement - return on plan assets greater than
discount rate
653
642
3,411
3,328
Employee contributions
4
—
5
1
Benefits paid
(1,309)
(1,268)
(1,406)
(1,370)
Exchange and other movements
(13)
—
(268)
(249)
Fair value of scheme assets at the end of the year
35,467
34,678
34,713
33,915
Net surplus
3,633
3,819
1,582
1,807
Retirement benefit assets
3,879
3,819
1,814
1,807
Retirement benefit liabilities
(246)
—
(232)
—
Net retirement benefit assets
3,633
3,819
1,582
1,807
Notes to the financial statements
Employee benefits
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Balance sheet reconciliation
2021
2020
Barclays Bank PLC Total
Of which relates to
UKRF
Barclays Bank PLC Total
Of which relates to
UKRF
£m
£m
£m
£m
Benefit obligation at beginning of the year
(32,270)
(32,108)
(29,462)
(29,304)
Current service cost
(226)
(225)
(220)
(217)
Interest costs on scheme liabilities
(407)
(405)
(552)
(549)
Remeasurement gain/(loss) - financial
822
820
(3,367)
(3,358)
Remeasurement gain/(loss) - demographic
50
50
(286)
(286)
Remeasurement gain/(loss) - experience
(256)
(259)
240
237
Employee contributions
—
—
(1)
(1)
Benefits paid
1,271
1,268
1,373
1,370
Exchange and other movements
(4)
—
5
—
Benefit obligation at end of the year
(31,020)
(30,859)
(32,270)
(32,108)
Fair value of scheme assets at beginning of the year
33,978
33,915
31,420
31,362
Interest income on scheme assets
434
434
596
595
Employer contribution
956
955
251
248
Remeasurement - return on plan assets greater than
discount rate
645
642
3,329
3,328
Employee contributions
—
—
1
1
Benefits paid
(1,271)
(1,268)
(1,373)
(1,370)
Exchange and other movements
(1)
—
(246)
(249)
Fair value of scheme assets at the end of the year
34,741
34,678
33,978
33,915
Net surplus
3,721
3,819
1,708
1,807
Retirement benefit assets
3,825
3,819
1,812
1,807
Retirement benefit liabilities
(104)
—
(104)
—
Net retirement benefit assets
3,721
3,819
1,708
1,807
Included within the Barclays Bank Group’s benefit obligation is £821m (2020: £866m) relating to overseas pensions and £154m (2020: £157m) relating
to other post-employment benefits.
As at 31 December 2021, the UKRF’s scheme assets were in surplus versus IAS 19 obligations by £3,819m (2020: £1,807m). The movement for the
UKRF during the year i s driven by £700 m of deficit reduction contributions, higher corporate bond yields and favourable asset returns, partially offset by
higher expected long term price inflation.
The weighted average duration of the benefit payments reflected in the defined benefit obligation for the UKRF is 16 years (2020: 17 years). The UKRF
expected benefits are projected to be paid out for in excess of 50 years, although 25% of the total benefits are expected to be paid in the next 10 years;
30% in years 11 to 20 and 25% in years 20 to 30. The remainder of the benefits are expected to be paid beyond 30 years.
Of the £1,268m (2020: £1,370m) UKRF benefits paid out, £419m (2020: £520m) related to transfers out of the fund.
Where a scheme’s assets exceed its obligations, an asset is recognised to the extent that it does not exceed the present value of future contribution
holidays or refunds of contributions (the asset ceiling). In the case of the UKRF the asset ceiling is not applied as, in certain specified circumstances such
as wind-up, the Barclays Bank Group expects to be able to recover any surplus. Similarly, a liability in respect of future minimum funding requirements is
not recognised. The UKRF Trustee does not have a substantive right to augment benefits, nor does it have the right to wind up the plan except in the
dissolution of Barclays Bank PLC or termination of contributions by Barclays Bank PLC. The application of the asset ceiling to other plans and
recognition of additional liabilities in respect of future minimum funding requirements is considered on an individual plan basis.
Critical accounting estimates and judgements
Actuarial valuation of the schemes’ obligations is dependent upon a series of assumptions. Below is a summary of the main financial and demographic
assumptions adopted for the UKRF.
Key UKRF financial assumptions
2021
2020
% p.a.
% p.a.
Discount rate
1.84
1.29
Inflation rate (RPI)
3.56
2.99
The UKRF discount rate assumption for 2021 was based on a standard Willis Towers Watson RATE Link model. The RPI inflation assumption for 2021
was set by reference to the Bank of England’s implied inflation curve. The inflation assumption incorporates a deduction of 20 basis points as an
allowance for an inflation risk premium. The methodology used to derive the discount rate and inflation assumptions is consistent with that used at the
prior year end.
The UKRF’s post-retirement mortality assumptions are based on a best estimate assumption derived from an analysis in 2019 of the UKRF’s own post-
retirement mortality experience and taking account of recent evidence from published mortality surveys. An allowance has been made for future
mortality improvements based on the 2020 core projection model published by the Continuous Mortality Investigation Bureau subject to a long-term
Notes to the financial statements
Employee benefits
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trend of 1.5% per annum in future improvements. The methodology used is consistent with the prior year ends, except that the 2019 core projection
model was used at 2020. The table below shows how the assumed life expectancy at 60, for members of the UKRF, has varied over the past three years.
Assumed life expectancy
2021
2020
2019
Life expectancy at 60 for current pensioners (years)
– Males
27.3
27.2
27.1
– Females
29.6
29.4
29.3
Life expectancy at 60 for future pensioners currently aged 40 (years)
– Males
29.1
29.0
28.9
– Females
31.4
31.2
31.1
The UKRF entered into a £5b n longevity swap in 2020 covering around a quarter of the pensioner liabilities. The swap is part of the UKRF’s investment
portfolio and provides income in the event that pensions are paid out for longer than expected. The swap is not included directly within the balance
sheet of Barclays PLC as it is an asset of the UKRF. At 31 December 2021, the swap is valued at nil (2020: nil) as experience since the swap was effected
has been neutral.
Sensitivity analysis on actuarial assumptions
The sensitivity analysis has been calculated by valuing the UKRF liabilities using the amended assumptions shown in the table below and keeping the
remaining assumptions the same as disclosed in the table above, except in the case of the inflation sensitivity where other assumptions that depend on
assumed inflation have also been amended correspondingly. The difference between the recalculated liability figure and that stated in the balance sheet
reconciliation table above is the figure shown. The selection of these movements to illustrate the sensitivity of the defined benefit obligation to key
assumptions should not be interpreted as Barclays Bank Group expressing any specific view of the probability of such movements happening.
Change in key assumptions
2021
2020
(Decrease)/Increase
in UKRF defined
benefit obligation
(Decrease)/Increase in
UKRF defined benefit
obligation
£bn
£bn
Discount rate
0.50% p.a. increase
(2.3)
(2.5)
0.25% p.a. increase
(1.2)
(1.3)
0.25% p.a. decrease
1.3
1.4
0.50% p.a. decrease
2.6
2.9
Assumed RPI
0.50% p.a. increase
1.6
1.8
0.25% p.a. increase
0.8
0.9
0.25% p.a. decrease
(0.8)
(0.9)
0.50% p.a. decrease
(1.6)
(1.8)
Life expectancy at 60
One year increase
1.2
1.2
One year decrease
(1.2)
(1.2)
Assets
A long-term investment strategy has been set for the UKRF, with its asset allocation comprising a mixture of equities, bonds, property and other
appropriate assets. This recognises that different asset classes are likely to produce different long-term returns and some asset classes may be more
volatile than others. The long-term investment strategy ensures, among other aims, that investments are adequately diversified.
The UKRF also employs derivative instruments, where appropriate, to achieve a desired exposure or return, or to match assets more closely to liabilities.
The value of assets shown reflects the assets held by the schemes, with any derivative holdings reflected on a fair value basis.
Notes to the financial statements
Employee benefits
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The value of the assets of the schemes and their percentage in relation to total scheme assets were as follows:
Analysis of scheme assets
Barclays Bank Group Total
Of which relates to UKRF
Quoted
Unquoted a
Value
% of total
fair value of
scheme
assets
Quoted
Unquoted a
Value
% of total
fair value of
scheme
assets
£m
£m
£m
%
£m
£m
£m
%
As at 31 December 2021
Equities
214
1,377
1,591
4.5
86
1,377
1,463
4.2
Private equities
—
2,991
2,991
8.4
0
2,991
2,991
8.6
Bonds - fixed government
2,387
95
2,482
7.0
2,083
95
2,178
6.3
Bonds - index-linked government
13,478
679
14,157
39.9
13,455
679
14,134
40.8
Bonds - corporate and other
6,223
2,854
9,077
25.6
5,986
2,854
8,840
25.5
Property
14
1,490
1,504
4.3
0
1,490
1,490
4.3
Infrastructure
—
1,815
1,815
5.1
0
1,815
1,815
5.2
Cash and liquid assets
189
1,577
1,766
5.0
176
1,577
1,753
5.1
Mixed investment funds
9
—
9
—
—
—
—
—
Other
19
56
75
0.2
—
14
14
—
Fair value of scheme assets
22,533
12,934
35,467
100.0
21,786
12,892
34,678
100.0
As at 31 December 2020
Equities
567
1,498
2,065
5.9
378
1,498
1,876
5.5
Private equities
—
2,233
2,233
6.4
—
2,233
2,233
6.6
Bonds - fixed government
4,205
110
4,315
12.4
3,932
110
4,042
11.9
Bonds - index-linked government
10,706
1,014
11,720
33.8
10,697
1,014
11,711
34.5
Bonds - corporate and other
7,439
1,678
9,117
26.3
7,214
1,678
8,892
26.2
Property
10
1,416
1,426
4.1
—
1,416
1,416
4.2
Infrastructure
—
1,812
1,812
5.2
—
1,812
1,812
5.3
Cash and liquid assets
64
1,830
1,894
5.5
46
1,830
1,876
5.5
Mixed Investment funds
9
—
9
—
—
—
—
—
Other
14
108
122
0.4
—
57
57
0.2
Fair value of scheme assets
23,014
11,699
34,713
100.0
22,267
11,648
33,915
100.0
Notes to the financial statements
Employee benefits
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Analysis of scheme assets
Barclays Bank PLC Total
Of which relates to UKRF
Value
% of total
fair value of
scheme
assets
Value
% of total
fair value of
scheme
assets
Quoted
Unquoted a
£m
%
Quoted
Unquoted a
£m
%
As at 31 December 2021
Equities
96
1,377
1,473
4.2
86
1,377
1,463
4.2
Private equities
—
2,991
2,991
8.6
—
2,991
2,991
8.6
Bonds - fixed government
2,092
95
2,187
6.3
2,083
95
2,178
6.3
Bonds - index-linked government
13,469
679
14,148
40.7
13,455
679
14,134
40.8
Bonds - corporate and other
5,995
2,854
8,849
25.5
5,986
2,854
8,840
25.5
Property
—
1,493
1,493
4.3
—
1,490
1,490
4.3
Infrastructure
—
1,815
1,815
5.2
—
1,815
1,815
5.2
Cash and liquid assets
176
1,577
1,753
5.1
176
1,577
1,753
5.1
Mixed Investment Funds
—
—
—
—
—
—
—
—
Other
3
29
32
0.1
—
14
14
—
Fair value of scheme assets
21,831
12,910
34,741
100.0
21,786
12,892
34,678
100.0
As at 31 December 2020
Equities
390
1,498
1,888
5.6
378
1,498
1,876
5.5
Private equities
—
2,233
2,233
6.6
—
2,233
2,233
6.6
Bonds - fixed government
3,950
110
4,060
12.0
3,932
110
4,042
11.9
Bonds - index-linked government
10,698
1,014
11,712
34.5
10,697
1,014
11,711
34.5
Bonds - corporate and other
7,230
1,678
8,908
26.2
7,214
1,678
8,892
26.2
Property
—
1,416
1,416
4.2
—
1,416
1,416
4.2
Infrastructure
—
1,812
1,812
5.3
—
1,812
1,812
5.3
Cash and liquid assets
48
1,830
1,878
5.5
46
1,830
1,876
5.5
Other
—
71
71
0.2
—
57
57
0.2
Fair value of scheme assets
22,316
11,662
33,978
100.0
22,267
11,648
33,915
100.0
Notes
a Valuations of unquoted assets are provided by the underlying managers or qualified independent valuers. Valuations of complex instruments are based on UKRF custodian
valuations. All valuations are determined in accordance with relevant industry guidance.
Included within the fair value of scheme assets were nil (2020: nil) relating to shares in Barclays PLC and nil (2020: nil) relating to bonds issued by
Barclays PLC or Barclays Bank PLC. The UKRF invests in pooled investment vehicles which may hold shares or debt issued by Barclays PLC.
The UKRF assets above do not include the Senior Notes asset referred to in the section below on Triennial Valuation, as these are non-transferable
instruments and not recognised under IAS 19.
Approximately 45% of the UKRF assets are invested in liability-driven investment strategies; primarily UK gilts as well as interest rate and inflation
swaps. These swaps are used to better match the assets to its liabilities. The swaps are used to reduce the scheme’s inflation and duration risks against
its liabilities.
Triennial Valuation
The latest annual update as at 30 September 2021 showed the funding position had improved to a surplus of £0.6b n from a deficit of £0.9b n shown at
30 September 2020. The improvement was mainly due to £0.7b n of deficit reduction contributions and favourable asset returns, partially offset by
higher expected long term price inflation.
The main differences between the funding and accounting assumptions are a different approach to setting the discount rate and a more conservative
longevity assumption for funding.
Notes to the financial statements
Employee benefits
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The deficit reduction contributions agreed with the UKRF Trustee as part of the 30 September 2019 triennial valuation recovery plan are shown in the
table below.
Deficit reduction
contributions under the
30 September 2019
valuation
Year
£m
Cash paid:
2019
500
2020
500
2021
700
Future commitments:
2022
294
2023
286
2024 and beyond
—
During 2019 and 2020 the UKRF subscribed for non-transferrable listed senior fixed rate notes for £1,250m, 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 tranches: £250m in 2023,
£750m in 2024, and £250m at final maturity in 2025. The regulatory capital impact, which otherwise would have occurred in 2019 and 2020 from the
regular deficit reduction contributions, takes effect in 2023, 2024 and 2025 on maturity of the notes. As the UKRF's investment in these Senior Notes
does not qualify as a plan asset under IAS 19, the £1,250m does not appear in the IAS 19 plan assets. The Senior Notes were issued by Heron Issuer
Limited (Heron) for £500m and Heron Issuer Number 2 Limited (Heron 2) for £750m, entities consolidated within the Barclays Bank Group under IFRS
10. Heron and Heron 2 acquired a total of £1,250m of gilts from Barclays Bank PLC for cash to support payments on the Senior Notes. There were no
further transactions of this type in 2021.
The deficit reduction contributions are in addition to the regular contributions to meet the Barclays Bank Group’s share of the cost of benefits accruing
over each year. The next funding valuation of the UKRF is due to be completed in 2023 with an effective date of 30 September 20 22.
Other support measures agreed which remain in place
Collateral – The UKRF Trustee and Barclays Bank PLC have entered into an arrangement whereby a collateral pool has been put in place to provide
security for the UKRF funding deficit as it increases or decreases over time. The collateral pool is currently made up of government securities, and
agreement was made with the Trustee to cover at least 100% of the funding deficit with an overall cap of £9b n. The arrangement provides the UKRF
Trustee with dedicated access to the pool of assets in the event of Barclays Bank PLC not paying a deficit reduction contribution to the UKRF or in the
event of Barclays Bank PLC’s insolvency. These assets are included within Note 36 Asse ts pledged, collateral received and assets transferred.
Support from Barclays PLC – In the event of Barclays Bank PLC not paying a deficit reduction contribution payment required by a specified pre-payment
date, Barclays PLC has entered into an arrangement whereby it will be required to use, in first priority, dividends received from Barclays Bank UK PLC (if
any) to invest the proceeds in Barclays Bank PLC (up to the maximum amount of the deficit reduction contribution unpaid by Barclays Bank PLC). The
proceeds of the investment will be used to discharge Barclays Bank PLC’s unpaid deficit reduction contribution.
Participation – As permitted under the Financial Services and Markets Act 2000 (Banking Reform) (Pensions) Regulations 2015, Barclays Bank UK PLC is
a participating employer in the UKRF and will remain so during a transitional phase until September 2025 as set out in a deed of participation. Barclays
Bank UK PLC will make contributions for the future service of its employees who are currently Afterwork members and, in the event of Barclays Bank
PLC’s insolvency during this period, provision has been made to require Barclays Bank UK PLC to become the principal employer of the UKRF. Barclays
Bank PLC’s Section 75 debt would be triggered by the insolvency (the debt would be calculated after allowing for the payment to the UKRF of the
collateral above).
Defined benefit contributions paid with respect to the UKRF were as follows:
Contributions paid
£m
2021
955
2020
748
2019
1,231
There were nil (2020: nil) Section 75 contributions included within the Barclays Bank Group’s contributions paid as no participating employers left the
UKRF in 2021.
The Barclays Bank Group’s expected contribution to the UKRF in respect of defined benefits in 2022 is £352m (2021: £783m). In addition, the expected
contributions to UK defined contribution schemes in 2022 is £6m (2021: £9m) to the UKRF and £42m (2021: £47m) to the BPSP.
The section presents information on the Barclays Bank Group’s investments in subsidiaries, joint ventures and associates and its interests in structured
entities. Detail is also given on securitisation transactions the Barclays Bank Group has entered into and arrangements that are held off-balance sheet.
32 Principal subsidiaries
Barclays Bank Group applies IFRS 10 Consolidated Financial Statements. The consolidated financial statements combine the financial statements of
Barclays Bank PLC and all of its subsidiaries. Subsidiaries are entities over which Barclays Bank Group has control. Under IFRS 10, this is when Barclays
Notes to the financial statements
Employee benefits
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240
Bank Group is exposed to or has rights to variable returns from its involvement in an entity and has the ability to affect those returns through its power
over an entity.
Barclays Bank Group reassesses whether it controls an entity if facts and circumstances indicate that there have been changes to its power, its rights to
variable returns or its ability to use its power to affect the amount of its returns.
Intra-group transactions and balances are eliminated on consolidation and consistent accounting policies are used throughout the Barclays Bank Group
for the purposes of the consolidation. Changes in ownership interests in subsidiaries are accounted for as equity transactions if they occur after control
has been obtained and they do not result in loss of control.
The sign ificant judgements used in applying this policy are set out below.
Accounting for investment in subsidiaries
In the individual financial statements of Barclays Bank PLC, investments in subsidiaries are stated at cost less impairment.
Investments in subsidiaries, the majority of which are engaged in banking related activities, are recorded on the balance sheet at historical cost less any
impairment. At 31 December 2021 the historical cost of investments in subsidiaries was £19,517m (2020: £18,059m), and impairment allowances
recognised against these investments totalled £383m (2020: £279m). The increase in historical cost is predominantly due to capital injections into
Barclays Bank Ireland PLC and Barclays Investment Management Ltd.
At the end of each reporting period an impairment review is undertaken in respect of investment in the ordinary shares of subsidiaries. Where there is
an indicator of impairment, a test of the carrying value against the recoverable value is performed. Impairment arises where the investment exceeds the
recoverable amount. The recoverable amount is calculated as a value in use (VIU), which is derived from the present value of future cash flows expected
to be received from the investment. The investment in Barclays Investment Management Limited of £1,640m showed a recoverable amount of £1,548m
resulting in an impairment being recognised of £92 m in total (£76m in 2021 and £16 m in 2020). The investment in Barclays Investments and Loans
(India) Limited of £55m showed a recoverable amount of £38m, resulting in an impairment being recognised of £17m. The investment in Barclays
Mauritius Overseas Holdings Limited of £57m showed a recoverable amount of £48m, resulting in an impairment being recognised of £9m.
Principal subsidiaries of the Barclays Bank Group are set out below. This includes those subsidiaries that are most significant in the context of the
Barclays Bank Group’s business, results or financial position.
Company Name
Principal place of
business or
incorporation
Nature of business
Percentage of
voting rights held
Non-controlling
interests -
proportion of
ownership
interests
Non-controlling
interests -
proportion of
voting interests
%
%
%
Barclays Bank Ireland PLC
Ireland
Banking
100
—
—
Barclays Capital Inc.
United States
Securities dealing
100
—
—
Barclays Capital Securities Limited
United Kingdom
Securities dealing
100
—
—
Barclays Securities Japan Limited
Japan
Securities dealing
100
—
—
Barclays US LLC
United States
Holding company
100
—
—
Barclays Bank Delaware
United States
Credit card issuer
100
—
—
The country of registration or incorporation is also the principal area of operation of each of the above subsidiaries.
Ownership interests are in some cases different to voting interests due to the existence of non-voting equity interests, such as preference shares.
Significant judgements and assumptions used to determine the scope of the consolidation
Determining whether the Barclays Bank Group has control of an entity is generally straightforward based on ownership of the majority of the voting
capital. However, in certain instances, this determination will involve significant judgement, particularly in the case of structured entities where voting
rights are often not the determining factor in decisions over the relevant activities. This judgement will involve assessing the purpose and design of the
entity. It will also often be necessary to consider whether the Barclays Bank Group, or another involved party with power over the relevant activities, is
acting as a principal in its own right or as an agent on behalf of others.
There is also often considerable judgement involved in the ongoing assessment of control over structured entities. In this regard, where market
conditions have deteriorated such that the other investors’ exposures to the structure’s variable returns have been substantively eliminated, the Barclays
Bank Group may conclude that the managers of the structured entity are acting as its agent and therefore will consolidate the structured entity.
Notes to the financial statements
Scope of consolidation
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An interest in equity voting rights exceeding 50% would typically indicate that the Barclays Bank Group has control of an entity. However, the entity set
out below is excluded from consolidation because the Barclays Bank Group does not have exposure to its variable returns.
Company name
Country of registration or incorporation
Percentage of voting
rights held (%)
Equity shareholders'
funds (£m)
Retained profit for the
year (£m)
Palomino Limited
Cayman Islands
100
—
—
This entity is managed by an external counterparty and consequently is not controlled by the Barclays Bank Group. Interests relating to this entity are
included in Note 33.
Significant restrictions
As is typical for a group of its size and international scope, there are restrictions on the ability of the Barclays Bank Group to obtain distributions of
capital, access the assets or repay the liabilities of members of the Barclays Bank Group due to the statutory, regulatory and contractual requirements of
its subsidiaries and due to the protective rights of non-controlling interests. These are considered below.
Regulatory requirements
The Barclays Bank Group’s principal subsidiary companies have assets and liabilities before intercompany eliminations of £439bn (2020: £417bn) and
£414bn (2020: £393bn) respectively. Certain classes of these assets and liabilities are subject to prudential regulation and regulatory capital
requirements in the countries in which the subsidiaries are regulated. These prudential and regulatory capital requirements require entities to maintain
minimum capital levels which cannot be returned to the parent company, Barclays Bank PLC, on a going concern basis.
In order to meet capital requirements, subsidiaries may issue certain equity accounted and debt accounted financial instruments such as Tier 1 and Tier
2 capital instruments and other forms of subordinated liabilities. Refer to Note 26 and Note 27 for particulars of these instruments. These instruments
may be subject to cancellation clauses or preference share restrictions that would limit the ability of the entity to repatriate the capital on a timely basis.
Liquidity requirements
Regulated subsidiaries of the Barclays Bank Group are required to meet PRA or local regulatory requirements pertaining to liquidity. Some of the
regulated subsidiaries include Barclays Capital Securities Limited (which is regulated for liquidity matters on a combined basis with Barclays Bank PLC
under a Domestic Liquidity Sub-Group (DoLSub) arrangement), Barclays Bank Ireland PLC, Barclays Capital Inc. and Barclays Bank Delaware Inc. See
page 102 for further details of liquidity requirements, including those of the Barclays Bank Group’s significant subsidiaries.
Statutory requirements
The Barclays Bank Group’s subsidiaries are subject to statutory requirements not to make distributions of capital and unrealised profits and generally to
maintain solvency. These requirements restrict the ability of subsidiaries to make remittances of dividends to Barclays Bank PLC, the parent, except in
the event of a legal capital reduction or liquidation. In most cases the regulatory restrictions referred to above exceed the statutory restrictions.
Asset encumbrance
The Barclays Bank Group uses its financial assets to raise finance in the form of securitisations and through the liquidity schemes of central banks, as
well as to provide security to the UK Retirement Fund. Once encumbered, the assets are not available for transfer around the Barclays Bank Group. The
assets typically affected are disclosed in Note 36.
Other restrictions
The Barclays Bank Group is required to maintain balances with central banks and other regulatory authorities and these amounted to £4,260m (2020:
£3,119m).
33 Structured entities
A structured entity is an entity in which voting or similar rights are not the dominant factor in deciding who controls the entity. An example is when
voting rights relate to administrate tasks only and the relevant activities are directed by means of contractual arrangements. Structured entities are
generally created to achieve a narrow and well-defined objective with restrictions around their ongoing activities.
Depending on the Barclays Bank Group’s power over the activities of the entity and its exposure to and ability to influence its own returns, it may
consolidate the entity. In other cases, it may sponsor or have exposure to such an entity but not consolidate it.
Consolidated structured entities
The Barclays Bank Group has contractual arrangements which may require it to provide financial support to the following types of consolidated
structured entities:
▪Securitisation: The Barclays Bank Group uses securitisation as a source of financing and a means of risk transfer. Where entities are controlled by
the Barclays Bank Group, they are consolidated. Refer to Note 35 for further detail.
▪Commercial paper (CP) conduits: These entities issue CP and use the proceeds to lend to clients as part of the Barclays Bank Group's multi-seller
conduit programme. The Barclays Bank Group has provided £17.2b n (2020: £16.9b n) in contractual liquidity facilities to the CP conduits that the
Barclays Bank Group consolidates. These amounts represent the maximum the conduits can lend externally. The amounts of CP conduit lending
(drawn and undrawn) to unconsolidated structured entities can be seen in Other interests in unconsolidated structured entities under multi-seller
conduit programme in the Summary of interests in unconsolidated structured entities table.
▪Tender Option Bond (TOB) tr usts: During 2021, the Barclays Bank Group provided undrawn liquidity facilities of £3.3b n (2020: £2.9b n) to
consolidated TOB trusts. T hese trusts invest in fixed income instruments issued by state, local or other municipalities in the United States, funded
by long-term senior floating-rate notes and junior residual securitie s.
Notes to the financial statements
Scope of consolidation
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Unconsolidated structured entities
The term ‘unconsolidated structured entities’ refers to structured entities not controlled by the Barclays Bank Group, and are established either by
Barclays Bank Group or a t hird party. An interest in a structured entity is any form of contractual or non-contractual involvement which creates
variability in returns arising from the performance of the entity for the Barclays Bank Group. Such interests include holdings of debt or equity securities,
derivatives that transfer financial risks from the entity to the Barclays Bank Group, lending, loan commitments, financial guarantees and investment
management agreements.
Barclays Bank Group enters into transactions with unconsolidated structured entities in the normal course of business to facilitate customer
transactions, to provide risk management services and for specific investment opportunities. This is predominantly within the CIB business. Structured
entities may take the form of funds, trusts, securitisation vehicles, and private investment companies. The largest transactions include loans and
derivatives with hedge fund structures and special purpose entities, multi-seller conduit lending, holding notes issued by securitisation vehicles and
facilitating customer requirements through funds.
The nature and extent of the Barclays Bank Group’s interests in structured entities is summarised below:
Summary of interests in unconsolidated structured entities
Secured
financing
Short-term
traded interests
Traded
derivatives
Other interests
Total
£m
£m
£m
£m
£m
As at 31 December 2021
Assets
Trading portfolio assets
—
7,170
—
—
7,170
Financial assets at fair value through the income statement
61,816
—
—
3,417
65,233
Derivative financial instruments
—
—
5,160
—
5,160
Financial assets at fair value through other comprehensive income
—
—
—
91
91
Loans and advances at amortised cost
—
—
—
22,741
22,741
Reverse repurchase agreements and other similar secured lending
104
—
—
—
104
Other assets
—
—
—
12
12
Total assets
61,920
7,170
5,160
26,261
100,511
Liabilities
Derivative financial instruments
—
—
9,543
—
9,543
As at 31 December 2020
Assets
Trading portfolio assets
—
11,361
—
—
11,361
Financial assets at fair value through the income statement
56,265
—
—
2,780
59,045
Derivative financial instruments
—
—
2,968
—
2,968
Financial assets at fair value through other comprehensive income
—
—
—
153
153
Loans and advances at amortised cost
—
—
—
18,418
18,418
Reverse repurchase agreements and other similar secured lending
10
—
—
—
10
Other assets
—
—
—
11
11
Total assets
56,275
11,361
2,968
21,362
91,966
Liabilities
Derivative financial instruments
—
—
7,075
—
7,075
Secured financing arrangements, short-term traded interests and traded derivatives are typically managed under market risk management policies
described in the Market risk management section which includes an indication of the change of risk measures compared to last year. For this reason,
the total assets of these entities are not considered meaningful for the purposes of understanding the related risks and so have not been presented.
Other interests include conduits and lending where the interest is driven by normal customer demand. As at 31 December 2021, there were 5,696
(2020: 3,162) structured entities that the Barclays Bank Group entered into transactions with.
Secured financing
The Barclays Bank Group routinely enters into reverse repurchase contracts, margin lending, stock borrowing and similar arrangements on normal
commercial terms where the counterparty to the arrangement is a structured entity. Due to the nature of these arrangements, especially the transfer of
collateral and ongoing margining, the Barclays Bank Group is able to manage its variable exposure to the performance of the structured entity
counterparty. The counterparties included in secured financing mainly include hedge fund limited structures, investment companies and special
purpose entities.
Short-term traded interests
As part of its market making activities, the Barclays Bank Group buys and sells interests in structured vehicles, which are predominantly debt securities
issued by asset securitisation vehicles. Such interests are typically held individually or as part of a larger portfolio for no more than 90 days. In such
cases, the Barclays Bank Group typically has no other involvement with the structured entity other than the securities it holds as part of trading activities
and its maximum exposure to loss is restricted to the carrying value of the asset.
Notes to the financial statements
Scope of consolidation
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Barclays Bank PLC Annual Report
243
Traded derivatives
The Barclays Bank Group enters into a variety of derivative contracts with structured entities which reference market risk variables such as interest rates,
foreign exchange rates and credit indices among other things. The main derivative types which are considered interests in structured entities include
index-based and entity specific credit default swaps, balance guaranteed swaps, total return swaps, commodities swaps, and equity swaps. Interest rate
swaps, foreign exchange derivatives that are not complex and which expose the Barclays Bank Group to insignificant credit risk by being senior in the
payment waterfall of a securitisation and derivatives that are determined to introduce risk or variability to a structured entity are not considered to be an
interest in an entity and have been excluded from the disclo sur es.
A description of the types of derivatives and the risk management practices are detailed in Note 13. The risk of loss may be mitigated through ongoing
margining requirements as well as a right to cash flows from the structured entity which are senior in the payment waterfall. Such margining
requirements are consistent with market practice for many derivative arrangements and in line with the Barclays Bank Group’s normal credit policies.
Derivative transactions require the counterparty to provide cash or other collateral under margining agreements to mitigate counterparty credit risk. The
Barclays Bank Group is mainly exposed to settlement risk on these derivatives which is mitigated through daily margining. Total notional contract
amounts were £217,055m (2020: £153,894m).
Except for credit default swaps where the maximum exposure to loss is the swap notional amount, it is not possible to estimate the maximum exposure
to loss in respect of derivative positions as the fair value of derivatives is subject to changes in market rates of interest, exchange rates and credit indices
which by their nature are uncertain. In addition, the Barclays Bank Group’s losses would be subject to mitigating action under its traded market risk and
credit risk policies that require the counterparty to provide collateral in cash or other assets in most cases.
Other interests in unconsolidated structured entities
T he Barclays Bank Group’s interests in structured entities not held for the purposes of short-term trading activities are set out below, summarised by the
nature of the interest and limited to significant categories, based on maximum exposure to loss.
Nature of interest
Multi-seller
conduit
programme
Lending
Other
Total
Of which:
Barclays Bank
Group owned,
not
consolidated
entities 1
£m
£m
£m
£m
£m
As at 31 December 2021
Financial assets at fair value through the income statement
—
2
3,415
3,417
3,335
Financial assets at fair value through other comprehensive income
—
53
38
91
—
Loans and advances at amortised cost
5,184
14,294
3,263
22,741
—
Other assets
8
4
—
12
—
Total on-balance sheet exposures
5,192
14,353
6,716
26,261
3,335
Total off-balance sheet notional amounts
11,015
9,394
—
20,409
—
Maximum exposure to loss
16,207
23,747
6,716
46,670
3,335
Total assets of the entity
65,441
160,611
28,582
254,634
11,513
As at 31 December 2020
Financial assets at fair value through the income statement
—
15
2,765
2,780
2,698
Financial assets at fair value through other comprehensive income
—
106
47
153
—
Loans and advances at amortised cost
5,146
12,475
797
18,418
—
Other assets
8
3
—
11
—
Total on-balance sheet exposures
5,154
12,599
3,609
21,362
2,698
Total off-balance sheet notional amounts
11,750
7,531
—
19,281
—
Maximum exposure to loss
16,904
20,130
3,609
40,643
2,698
Total assets of the entity
87,004
153,990
22,389
263,383
11,008
Maximum exposure to loss
Unless specified otherwise below, the Barclays Bank Group’s maximum exposure to loss is the total of its on-balance sheet positions and its off-balance
sheet arrangements, being loan commitments and financial guarantees. Exposure to loss is mitigated through collateral, financial guarantees, the
availability of netting and credit protection held.
Multi-seller conduit programme
The Barclays Bank Group's multi-seller conduit programme engages in providing financing to various clients and holds whole or partial interests in pools
of receivables or similar obligations. These instruments are protected from loss through over-collateralisation, seller guarantees, or other credit
enhancements provided to the conduit entity. The Barclays Bank Group’s off-balance sheet exposure included in the table above represents liquidity
facilities that are provided to the conduit for the benefit of the holders of the commercial paper issued by the conduit and will only be drawn where the
conduit is unable to access the commercial paper market. If these liquidity facilities are drawn, the Barclays Bank Group is protected from loss through
over-collateralisation, seller guarantees, or other credit enhancements provided to the conduit.
1 Comprises of Barclays Bank Group owned, not consolidated structured entities per IFRS 10 Consolidated Financial Statements, and Barclays Bank Group sponsored entities.
Refer to Note 32 Principal subsidiaries for more details on consolidation.
Notes to the financial statements
Scope of consolidation
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Lending
The portfolio includes lending provided by the Barclays Bank Group to unconsolidated structured entities in the normal course of its lending business to
earn income in the form of interest and lending fees and includes loans to structured entities that are generally collateralised by property, equipment or
other assets. All loans are subject to the Barclays Bank Group’s credit sanctioning process. Collateral arrangements are specific to the circumstances of
each loan with additional guarantees and collateral sought from the sponsor of the structured entity for certain arrangements. During the year the
Barclays Bank Group incurred an impairment charge of £25m (2020: £22m) against such facilities.
Other
This includes fair value loans with structured entities where the market risk is materially hedged with corresponding derivative contracts, interests in
debt securities issued by securitisation vehicles and drawn and undrawn loan facilities to these entities. In addition, other includes investment funds
with interests restricted to management fees based on the performance of the fund and trusts held on behalf of beneficiaries with interests restricted to
unpaid fees.
Assets transferred to sponsored unconsolidated structured entities
The Barclays Bank Group is considered to sponsor another entity if, it had a key role in establishing that entity, it transferred assets to the entity, the
Barclays na me appears in the name of the entity or it provides guarantees on the entity’s performance. As at 31 December 2021, a ssets transferred to
sponsored unconsolidated structured entities were £1,662m (2020: £730m).
34 Investments in associates and joint ventures
Accounting for associates and joint ventures
The Barclays Bank Group applies IAS 28 Investments in Associates and IFRS 11 Joint Arrangements. Associates are entities in which the Barclays Bank
Group has significant influence, but not control, over the operating and financial policies. Generally the Barclays Bank Group holds more than 20%, but
less than 50%, of their voting shares. Joint ventures are arrangements where the Barclays Bank Group has joint control and rights to the net assets of
the entity.
The Barclays Bank Group’s investments in associates and joint ventures are initially recorded at cost and increased (or decreased) each year by the
Barclays Bank Group’s share of the post acquisition profit/(loss). The Barclays Bank Group ceases to recognise its share of the losses of equity
accounted associates when its share of the net assets and amounts due from the entity have been written off in full, unless it has a contractual or
constructive obligation to make good its share of the losses. In some cases, investments in these entities may be held at fair value through profit or loss,
for example, those held by private equity businesses.
There are no individually significant investments in joint ventures or associates held by Barclays Bank Group.
2021
2020
Associates
Joint ventures
Total
Associates
Joint ventures
Total
£m
£m
£m
£m
£m
£m
Equity accounted (Group)
24
—
24
24
—
24
2021
2020
Associates
Joint ventures
Total
Associates
Joint ventures
Total
£m
£m
£m
£m
£m
£m
Equity accounted (Parent)
12
—
12
13
—
13
Summarised financial information for the Barclays Bank Group’s equity accounted associates and joint ventures is set out below. T he amounts shown
are the Barclays Bank Group’s share of the comprehensive income of the investees for the year ended 31 December 2021, with the exception of certain
undertakings for which the amounts are based on accounts made up to dates not earlier than three months before the balance sheet date.
Associates
Joint ventures
2021
2020
2021
2020
£m
£m
£m
£m
(Loss)/profit from continuing operations
—
(1)
—
2
Other comprehensive income / (loss)
1
(3)
—
—
Total comprehensive income/(loss) from continuing operations
1
(4)
—
2
35 Securitisations
Accounting for securitisations
The Barclays Bank Group uses securitisations as a source of finance and a means of risk transfer. Such transactions generally result in the transfer of
contractual cash flows from portfolios of financial assets to holders of issued debt securities.
Securitisations may, depending on the individual arrangement, result in continued recognition of the securitised assets and the recognition of the debt
securities issued in the transaction; lead to partial continued recognition of the assets to the extent of the Barclays Bank Group’s continuing involvement
in those assets or lead to derecognition of the assets and the separate recognition, as assets or liabilities, of any rights and obligations created or
retained in the transfer. Full derecognition only occurs when the Barclays Bank Group transfers both its contractual right to receive cash flows from the
financial assets, or retains the contractual rights to receive the cash flows, but assumes a contractual obligation to pay the cash flows to another party
without material delay or reinvestment, and also transfers substantially all the risks and rewards of ownership, including credit risk, prepayment risk and
interest rate risk.
In the course of its normal banking activities, the Barclays Bank Group makes transfers of financial assets, either where legal rights to the cash flows
from the asset are passed to the counterparty or beneficially, where the Barclays Bank Group retains the rights to the cash flows but assumes a
responsibility to transfer them to the counterparty. Depending on the nature of the transaction, this may result in derecognition of the assets in their
entirety, partial derecognition or no derecognition of the assets subject to the transfer.
Notes to the financial statements
Scope of consolidation
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A summary of the main transactions, and the assets and liabilities and the financial risks arising from these transactions, is set out below:
Transfers of financial assets that do not result in derecognition
Securitisations
The Barclays Bank Group is party to securitisation transactions involving its credit card balances.
In these transactions, the assets, interests in the ass ets, or beneficial interests in the cash flows arising from the a ssets, are tr ansferred to a special
purpose entity, which then issues interest bearing debt securities to third party investors.
Securitisations may, depending on the individual arrangement, result in continued recognition of the securitised assets and the recognition of the debt
securities issued in the transaction. Partial continued recognition of the assets to the extent of the Barclays Bank Group’s continuing involvement in
those assets can also occur or derecognition of the assets and the separate recognition, as assets or liabilities, of any rights and obligations created or
retained in the transfer.
The following table show s the carrying amount of securitised assets that have not resulted in full derecognition, together with the associated liabilities,
for each category of asset on the balance sheet:
2021
2020
Assets
Liabilities
Assets
Liabilities
Carrying
amount
Fair value
Carrying
amount
Fair value
Carrying
amount
Fair value
Carrying
amount
Fair value
£m
£m
£m
£m
£m
£m
£m
£m
Barclays Bank Group
Loans and advances at amortised cost
Credit cards, unsecured loans and other retail
lending
1,303
1,423
(1,225)
(1,219)
963
1,051
(952)
(966)
Balances included within loans and advances at amortised cost represent securitisations where substantially all the risks and rewards of the assets have
been retained by Barclays Bank Group.
The relationship between the transferred assets and the associated liabilities is that holders of notes may only look to cash flows from the securitised
assets for payments of principal and interest due to them under the terms of their notes, although the contractual terms of their notes may be different
to the maturity and interest of the transferred assets.
If the Barclays Bank Group transfers a financial asset but does not transfer or retain substantially all the risk and rewards of the asset and retains control
over it, the transferred assets are recognised to the extent of Barclays Bank Group's’ conti nuing involvement. In 2021, financial assets of £249m (2020:
£nil) were transferred in this manner and the carrying value of the assets representing continued involvement is included in the table above.
For transfers of assets in relation to repurchase agreements, see Note 36.
Continuing involvement in financial assets that have been derecognised
In some cases, the Barclays Bank Group may have transferred a financial asset in its entirety but may have continuing involvement in it. This arises in
asset securitisations where loans and asset backed securities were derecognised as a result of the Barclays Bank Group’s involvement with asset backed
securities, residential mortgage backed securities and commercial mortgage securities. Continuing involvement largely arises from providing financing
into these structures in the form of retained notes, which do not bear first losses.
Notes to the financial statements
Scope of consolidation
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The table below shows the potential financial implications of such continuing involvement:
Continuing involvement a
Gain/(loss) from continuing
involvement
Carrying amount
Fair value
Maximum
exposure to loss
For the year
ended
Cumulative to 31
December
Type of transfer
£m
£m
£m
£m
£m
2021
Asset backed securities
25
25
25
1
2
Residential mortgage backed securities
78
78
78
3
4
Commercial mortgage backed securities
311
307
311
5
11
Total
414
410
414
9
17
2020
Asset backed securities
56
56
56
1
1
Residential mortgage backed securities
49
49
49
1
1
Commercial mortgage backed securities
243
237
243
2
6
Total
348
342
348
4
8
Note
a Assets which represent the Barclays Bank Group’s continuing involvement in derecognised assets are recorded in Loans and advances at amortised cost and Debt
Securities at FVTP&L.
36 Assets pledged, collateral received and a ssets transferred
Assets are pledged or transferred as collateral to secure liabilities under repurchase agreements, securitisations and stock lending agreements or as
security deposits relating to derivatives. Assets transferred are non-cash assets transferred to a third party that do not qualify for derecognition from the
Barclays Bank Group’s balance sheet, for example because the Barclays Bank Group retains substantially all the exposure to those assets under an
agreement to repurchase them in the future for a fixed price.
Where non-cash assets are pledged or transferred as collateral for cash received, the asset continues to be recognised in full, and a related liability is also
recognised on the balance sheet. Where non-cash assets are pledged or transferred as collateral in an exchange for non-cash assets, the transferred
asset continues to be recognised in full, and there is no associated liability as the non-cash collateral received is not recognised on the balance sheet.
The Barclays Bank Group is unable to use, sell or pledge the transferred assets for the duration of the transaction and remains exposed to interest rate
risk and credit risk on these pledged assets. Unless stated, the counterparty's recourse is not limited to the transferred assets.
The following table summarises the nature and carrying amount of the assets pledged as security against these liabilities:
Barclays Bank Group
2021
2020
£m
£m
Cash collateral and settlement balances
63,080
69,271
Loans and advances at amortised cost
29,962
25,437
Trading portfolio assets
71,201
76,750
Financial assets at fair value through the income statement
5,595
5,584
Financial assets at fair value through other comprehensive income
14,699
15,303
Assets pledged
184,537
192,345
Barclays Bank PLC
2021
2020
£m
£m
Cash collateral and settlement balances
57,612
65,925
Loans and advances at amortised cost
30,469
23,068
Trading portfolio assets
47,616
47,590
Financial assets at fair value through the income statement
3,390
2,583
Financial assets at fair value through other comprehensive income
30,175
25,147
Assets pledged
169,262
164,313
Notes to the financial statements
Scope of consolidation
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Barclays Bank PLC Annual Report
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The following table summarises the transferred financial assets and the associated liabilities:
Barclays Bank Group
Transferred assets
Associated liabilities
£m
£m
At 31 December 2021
Derivatives
64,826
(64,826)
Repurchase agreements
48,504
(28,494)
Securities lending arrangements
66,703
—
Other
4,504
(4,174)
184,537
(97,494)
At 31 December 2020
Derivatives
72,732
(72,732)
Repurchase agreements
58,398
(39,044)
Securities lending arrangements
59,824
—
Other
1,391
(1,134)
192,345
(112,910)
Barclays Bank PLC
Transferred assets
Associated liabilities
£m
£m
At 31 December 2021
Derivatives
59,730
(59,730)
Repurchase agreements
44,337
(24,189)
Securities lending arrangements
62,226
—
Other
2,969
(2,969)
169,262
(86,888)
At 31 December 2020
Derivatives
68,404
(68,404)
Repurchase agreements
50,173
(29,958)
Securities lending arrangements
45,588
—
Other
148
(148)
164,313
(98,510)
Included within Other are agreements where a counterparty's recourse is limited to the transferred assets. The relationship between the transferred
assets and the associated liabilities is that holders of notes may only look to cash flows from the securitised assets for payments of principal and interest
due to them under the terms of their notes.
Carrying value
Fair value
Transferred
assets
Associated
liabilities
Transferred
assets
Associated
liabilities
Net position
£m
£m
£m
£m
£m
Barclays Bank Group
2021
Recourse to transferred assets only
1,303
(1,225)
1,423
(1,219)
204
2020
Recourse to transferred assets only
963
(952)
1,051
(966)
85
The Barclays Bank Group has an additional £3.5bn (2020: £3.1bn) of loans and advances within its asset backed funding programmes that can readily
be used to raise additional secured funding and are available to support future issuances.
Total assets pledged includes a collateral pool put in place to provide security for the UKRF funding deficit, as referred to in Note 31.
Notes to the financial statements
Scope of consolidation
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Collateral held as security for assets
Under certain transactions, including reverse repurchase agreements and stock borrowing transactions, the Barclays Bank Group is allowed to resell or
re-pledge the collateral held. The fair value at the balance sheet date of collateral accepted and re-pledged to others was as follows:
Barclays Bank Group
2021
2020
£m
£m
Fair value of securities accepted as collateral
934,363
792,317
Of which fair value of securities re-pledged/transferred to others
819,169
684,389
Barclays Bank PLC
2021
2020
£m
£m
Fair value of securities accepted as collateral
941,774
851,368
Of which fair value of securities re-pledged/transferred to others
847,046
747,125
Additional disclosure has been included in Credit risk on pages 59 to 63.
Notes to the financial statements
Scope of consolidation
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The notes included in this section focus on related party transactions, Auditors’ remuneration, Directors’ remuneration and Transition disclosures.
Related parties include any subsidiaries, associates, joint ventures and Key Management Personnel.
37 Related party transactions and Directors’ remuneration
Related party transactions
Parties are considered to be related if one party has the ability to control the other party or exercise significant influence over the other party in making
financial or operational decisions, or one other party controls both.
Parent company
The parent company, which is also the ultimate parent company, is Barclays PLC, which holds 100% of the issued ordinary shares of Barclays Bank PLC.
Subsidiaries
Transactions between Barclays Bank PLC and its subsidiaries also meet the definition of related party transactions. Where these are eliminated on
consolidation, they are not disclosed in the Barclays Bank Group’s financial statements. A list of the Barclays Bank Group’s principal subsidiaries is
shown in Note 32.
Fellow subsidiaries
Transactions between the Barclays Bank Group and other subsidiaries of the parent company also meet the definition of related party transactions.
Associates and other entities
The Barclays Bank Group provides banking services to its associates and the Barclays Bank Group pension funds (principally the UK Retirement Fund),
providing loans, overdrafts, interest and non-interest bearing deposits and current accounts to these entities as well as other services. Barclays Bank
Group companies also provide investment management and custodian services to the Barclays Bank Group pension schemes. All of these transactions
are conducted on the same terms as third party transactions. Summarised financial information for the Barclays Bank Group’s investments in associates
and joint ventures is set out in Note 34.
Amounts included in the Barclays Bank Group’s financial statements, in aggregate, by category of related party entity are as follows:
Parent
Fellow subsidiaries
Associates
Pension funds
£m
£m
£m
£m
For the year ended and as at 31 December 2021
Total income
(611)
20
—
3
Operating expenses
(64)
(3,195)
—
(1)
Total assets
6,491
909
—
3
Total liabilities
32,141
3,962
177
81
For the year ended and as at 31 December 2020
Total income
(606)
41
—
3
Operating expenses
(62)
(2,937)
—
(1)
Total assets
6,803
1,917
—
4
Total liabilities
25,819
3,954
66
69
Total liabilities include derivatives transacted on behalf of the pensions funds of £18m (2020: £13m).
Notes to the financial statements
Other disclosure matters
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Amounts included in Barclays Bank PLC’s financial statements, in aggregate, by category of related party entity are as follows:
Parent
Subsidiaries
Fellow subsidiaries
Associates
Pension funds
£m
£m
£m
£m
£m
As at 31 December 2021
Total assets
3,655
277,717
890
—
—
Total liabilities
31,669
196,743
3,783
177
78
As at 31 December 2020
Total assets
4,317
272,845
1,899
—
—
Total liabilities
25,368
196,405
3,892
66
63
It is the normal practice of Barclays Bank PLC to provide its subsidiaries with support and assistance by way of guarantees, indemnities, letters of
comfort and commitments, as may be appropriate, with a view to enabling them to meet their obligations and to maintain their good standing,
including commitment of capital and facilities. For dividends paid to Barclays PLC see Note 10.
Key Management Personnel
Key Management Personnel are defined as those persons having authority and responsibility for planning, directing and controlling the activities of
Barclays Bank PLC (directly or indirectly) and comprise the Directors and Officers of Barclays Bank PLC, certain direct reports of the Chief Executive
Officer and the heads of major business units and functions.
The Barclays Bank Group provides banking services to Key Management Personnel and persons connected to them. Transactions during the year and
the balances outstanding were as follows:
Loans outstanding
2021
2020
£m
£m
As at 1 January
—
—
Loans issued during the year a
—
—
Loan repayments during the year b
—
—
As at 31 December
—
—
Notes
a Includes loans issued to existing Key Management Personnel and new or existing loans issued to newly appointed Key Management Personnel.
b Includes loan repayments by existing Key Management Personnel and loans to former Key Management Personnel.
No allowances for impairment were recognised in respect of loans to Key Management Personnel (or any connected person).
Deposits outstanding
2021
2020
£m
£m
As at 1 January
3.4
4.2
Deposits received during the year a
9.0
13.3
Deposits repaid during the year b
(10.3)
(14.1)
As at 31 December
2.1
3.4
Notes
a Includes deposits received from existing Key Management Personnel and new or existing deposits received from newly appointed Key Management Personnel.
b Includes deposits repaid by existing Key Management Personnel and deposits of former Key Management Personnel.
Total commitments outstanding
Total commitments outstanding refer to the total of any undrawn amounts on credit card and/or overdraft facilities provided to Key Management
Personnel. Total commitments outstanding as at 31 December 2021 were £0.1m (2020: £0.2m).
All loans to Key Management Personnel (and persons connected to them) were made in the ordinary course of business; were made on substantially
the same terms, including interest rates and collateral, as those prevailing at the same time for comparable transactions with other persons; and did not
involve more than a normal risk of collectability or present other unfavourable features.
Remuneration of Key Management Personnel
Total remuneration awarded to Key Management Personnel below represents the awards made to individuals that have been approved by the Board
Remuneration Committee as part of the latest remuneration decisions. Costs recognised in the income statement reflect the accounting charge for the
year included within operating expenses. The difference between the values awarded and the recognised income statement charge principally relates to
the recognition of deferred costs for prior year awards. Figures are provided for the period that individuals met the definition of Key Management
Personnel.
Notes to the financial statements
Other disclosure matters
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2021
2020
£m
£m
Salaries and other short-term benefits
35.2
37.5
Pension costs
0.2
0.1
Other long-term benefits
8.5
7.2
Share-based payments
13.2
12.4
Employer social security charges on emoluments
6.0
6.0
Costs recognised for accounting purposes
63.1
63.2
Employer social security charges on emoluments
(6.0)
(6.0)
Other long-term benefits – difference between awards granted and costs recognised
3.3
0.4
Share-based payments – difference between awards granted and costs recognised
6.1
1.3
Total remuneration awarded
66.5
58.9
Disclosure required by the Companies Act 2006
The following information regarding the Barclays Bank PLC Board of Directors is presented in accordance with the Companies Act 2006:
2021
2020
£m
£m
Aggregate emoluments a
6.3
6.4
Amounts paid under LTIPs b
1.2
—
7.5
6.4
Notes
a The aggregate emoluments include amounts paid for the 2021 year. In addition, deferred share awards for 2021 with a total value at grant of £1.4m (2020: £0.6m) will be
made to Directors which will only vest subject to meeting certain conditions.
b The figure above for "Amounts paid under LTIPs" for 2021 relates to LTIP awards that were released to Directors in 2021. This includes the first tranche of the 2017 LTIP,
the release of which was delayed from June 2020 to March 2021. Dividend shares released on the awards are excluded (where applicable).
There were no pension contributions paid to defined contribution schemes on behalf of Directors (2020: £nil). There were no notional pension
contributions to defined contribution schemes.
As at 31 December 2021, there were no Directors accruing benefits under a defined benefit scheme (2020: nil).
The aggregate amount of compensation payable to departing officers in respect of loss of office was £426,139 (2020: £1,850,713).
Of the figures in the table above, the amounts attributable to the highest paid Director in respect of qualifying services are as follows:
2021
2020
£m
£m
Aggregate emoluments a
2.1
3.0
Amounts paid under LTIPs
0.7
—
2.8
3.0
Note
a The aggregate emoluments include amounts paid for the 2021 year.
There were no actual pension contributions paid to defined contribution schemes on behalf of the highest paid Director (2020: £nil). There were no
notional pension contributions to defined contribution schemes (2020: £nil).
Advances and credit to Directors and guarantees on behalf of Directors
In accordance with Section 413 of the Companies Act 2006, the total amount of advances and credits made available in 2021 to persons who served as
Directors during the year was £nil (2020: £nil). The total value of guarantees entered into on behalf of Directors during 2021 was £nil (2020: £nil).
Notes to the financial statements
Other disclosure matters
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38 Disposal of business
During the year, Barclays Bank PLC sold its investment in Barclays Insurance Guernsey PCC to Barclays Principal Investments Limited, a fellow Barclays
PLC Group company, at its fair value of £65m. Barclays Bank PLC recorded profit on disposal of £50m in respect of this transaction. The Barclays Bank
Group recorded a loss on disposal of £10m.
Barclays Bank PLC sold its investment in an SPV holding the lease to premises used by the BBPLC Monaco Branch for consideration of £52m. Barclays
Bank PLC recorded a profit of £49m. Barclays Bank Group treats this transaction as a sale and leaseback and recorded a gain on sale of £33m within
other income.
Following a d ecision to transfer Barclays PLC Group’s European businesses to Barclays Bank Ireland PLC, Barclays Bank PLC transferred its German
business in Q4 2018 and its branches in France, Italy, Netherlands, Portugal, Spain and Sweden in Q1 2019. Throughout 2019 and 2020, Barclays Bank
PLC also transferred positions facing European clients to Barclays Bank Ireland PLC, at the clients’ request.
During 2021, Barclays Bank PLC transferred loans and advances at amortised cost of £49m (2020: £361m) to Barclays Bank Ireland PLC, in exchange
for cash consideration. Barclays Bank PLC also transferred derivative financial instrument assets of £5,886m (2020: £9,692 m) and derivative financial
instrument liabilities of £4,523m (2020: £12,337m) to Barclays Bank Ireland PLC. Concurrently, Barclays Bank PLC entered into new derivative positions
with Barclays Bank Ireland PLC to hedge the risk on the transferring positions. Therefore, there was no net impact on the balance sheet of Barclays Bank
PLC.
39 Auditor’s remuneration
Auditor’s remuneration is included within consultancy, legal and professional fees in administration and general expenses and comprises:
2021
2020
2019
£m
£m
£m
Audit of the Barclays Bank Group's annual accounts
19
17
16
Other services:
Audit of the Barclays Bank PLC subsidiaries a
14
13
12
Other audit related fees b
7
7
6
Other services
1
1
1
Total Auditor's remuneration
41
38
35
Notes
a Comprises the fees for the statutory audit of the subsidiaries both inside and outside UK and fees for the work performed by associates of KPMG in respect of the
consolidated financial statements of the Company.
b Comprises services in relation to statutory and regulatory filings. These include audit services for the review of the interim financial information under the Listing Rules of
the UK listing authority.
40 Interest rate benchmark reform
Following the financial crisis, the reform and replacement of benchmark interest rates such as LIBOR has been a priority for global regulators. As a
result, the UK’s Financial Conduct Authority (FCA) and other global regulators instructed market participants to prepare for the cessation of most LIBOR
rates after the end of 2021 and to adopt “near Risk-Free Rates” (RFRs).
Pursuant to FCA announcements during 2021, panel bank submissions for all GBP, JPY and CHF LIBOR and Euro Overnight Index Average (EONIA)
tenors ceased, and representative LIBOR rates also ceased after 31 December 2021. For USD, certain actively used tenors will continue to be provided
until June 2023; however, in line with the US banking regulators’ joint statement, Barclays ceased issuing or entering into new contracts that use USD
LIBOR as a reference rate from 31 December 2021, other than in relation to those allowable use cases set out under the FCA's prohibition notice (ref
21A). These include market making in support of client activity; or transactions that reduce or hedge Barclays’ or any client of Barclays’ US dollar LIBOR
exposure on contracts entered into before 1 January 2022.
The Barclays Bank Group’s exposure to rates subject to benchmark interest rate reform has been predominantly to GBP, USD, JPY and CHF LIBOR and
EONIA with the vast majority concentrated in derivatives within the Corporate and Investment Bank. Some additional exposure resides on floating rate
loans and advances, repurchase agreements and debt securities held and issued within the Corporate and Investment Bank. Following transition activity
in late 2021 and early 2022, GBP, USD (one week and two month tenors), JPY and CHF LIBOR and EONIA positions (“2021 scope”) have transitioned
onto RFRs, and while there are a number of IBORs yet to cease, Barclays Bank Group’s exposure is now mainly to USD LIBOR.
There are key differences between IBORs and RFRs. IBORs are ‘term rates’, which means that they are published for a borrowing period (for example
three months), and they are ‘forward-looking’, because they are published at the beginning of a borrowing period, based upon an estimated inter-bank
borrowing cost for the period. RFRs are based upon overnight rates from actual transactions, and are therefore published after the end of the overnight
borrowing period. Furthermore, IBORs include a credit spread over the RFRs. Therefore, to transition existing contracts and agreements to RFRs,
adjustments for term and credit differences may need to be applied to RFR-linked rates. The methodologies for these adjustments have been
determined through in-depth consultations by industry working groups, on behalf of the respective global regulators and related market participants.
How the Barclays Group is managing the transition to alternative benchmark rates
Barclays has established a Group-wide LIBOR Transition Programme, with oversight from the Barclays Group Finance Director. The Transition
Programme spans all business lines and has cross-functional governance which includes Legal, Compliance, Conduct Risk, Client Engagement and
Communications, Risk, and Finance. The Transition Programme aims to drive strategic execution, and identify, manage and resolve key risks and issues
as they arise. Barclays’ transition plans primarily focus on G 5 currencies while providing quarterly updates on progress and exposures to the PRA/FCA
and other regulators as required.
The Transition Programme follows a risk based approach, using recognised ‘change delivery’ control standards. Accountable Executives are in place
within key working groups and workstreams, with overall Board oversight delegated to the Board Risk Committee and the Barclays Group Finance
Director. Barclays performs a prominent stewardship role to drive orderly transition via our representation on official sector and industry working
groups across all major jurisdictions and product classes. Additionally, the Barclays Group Finance Director is Chair of the UK’s ‘Working Group on
Notes to the financial statements
Other disclosure matters
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Sterling Risk-Free Reference Rates’ (UK £RFRWG), whose mandate is to catalyse a broad-based transition to using SONIA (‘Sterling Overnight Index
Average’), a s the primary sterling interest rate benchmark in bond, loan and derivatives markets.
Approaches to transition exposure expiring post the expected end dates for LIBOR vary by product and nature of counterparty. The Barclays Group has
actively engaged with the counterparties to transition or include appropriate fallback provisions and transition mechanisms in its floating rate assets and
liabilities with maturities after 2021, when relevant IBORs excluding USD LIBOR ceased to be published. The fallback will provide the relevant
replacement rate. In the case of the ISDA Protocol it is the RFR plus a credit adjusted spread that should be used post cessation or pre-cessation of the
relevant IBOR. For the derivative population, adherence to the ISDA IBOR Fallbacks Protocol has provided Barclays with an efficient mechanism to
amend outstanding trades to incorporate fallbacks. Beyond the ISDA IBOR Fallbacks Protocol, other options have included terminating or bilaterally
agreeing new terms with counterparties. Derivative contracts facing central clearing counterparties have followed a market-wide, standardised
approach to reform through a series of CCP-led conversions.
The FCA has authorised broad usage of synthetic LIBOR as a temporary solution for the ‘tough legacy’ population of unremediated contracts for GBP
and JPY. Given cleared derivatives for the 2021 scope transitioned via CCP driven conversions, synthetic LIBOR does not apply in this context. In line with
regulatory expectations, Barclays’ strategy remains to actively transition LIBOR exposure where viable, and/or to implement and utilise robust
contractual fallbacks where possible. Where contracts remain unremediated, they may be able to utilise synthetic LIBOR on a temporary basis. Barclays
will continue to monitor, assess and limit the reliance on synthetic LIBOR.
As announced by the FCA on 5 March 2021, USD LIBOR tenors (except 1 week and 2 month tenors) will cease to be representative from 30 June 2023.
As detailed above, the key area of focus for transition prior to 2022 was on the other non-USD IBOR currency-tenors that ceased to be published at the
end of 2021. Cessation of new USD LIBOR trading and transition of USD LIBOR exposures is the priority for the Barclays LIBOR Transition Programme in
2022/23. Clients and colleagues have been notified that we have prohibited entering into new USD LIBOR transactions (with narrow permitted
exceptions) from 1 January 2022 in line with regulatory expectations.
Whilst synthetic LIBOR will be published on a temporary basis for 1, 3 and 6 month tenors of GBP and JPY LIBOR to assist the transition of certain
exposures, no synthetic rate has been announced for USD LIBOR. New York State legislation has been enacted (with US Federal legislation to follow)
which provides a solution for contracts governed under New York law for USD LIBOR to the Secured Overnight Financing Rate (SOFR) transition with
the additional benefit of statutory contract continuity and safe harbour protection. This contrasts with the legislation implemented in the UK which
provides for statutory contract continuity with safe harbour protection only for the administrator, and could expose market participants to additional
litigation risk. Clients have been engaged on the transition of their legacy USD LIBOR exposures through active transition or the implementation of
fallbacks, and have been issued with communications on key regulatory developments in the transition away from USD LIBOR.
Progress made during 2021
During 2021, the Barclays Bank Group delivered RFR product capabilities and alternatives to LIBOR across loans, bonds, securities financing transactions
and derivatives required for LIBOR cessation to support transition of legacy contracts. Barclays Bank Group has transitioned over 99% (by gross notional
exposure) of legacy positions in those rates within the 2021 scope, onto new RFRs in line with official sector expectations and milestones. This has
been achieved through bilateral negotiation of contracts with clients, including the use of appropriate fallback provisions (which became effective post
31 December 2021, however, note that the switch onto the RFR may not take place until next reset post 31 December 2021 and so exposures may still
be reported as LIBOR) and taking part in large scale transition events at a number of Central Counterparty Clearing Houses (London Clearing House
(LCH), Chicago Mercantile Exchange (CME), EUREX and Japan Securities Clearing Corporation (JSCC) for OTC derivatives and Intercontinental Exchange
(ICE) EU and LCH CurveGlobal for exchange traded derivatives). In relation to those contracts yet to be transitioned, we remain in active dialogue with
clients. Barclays Bank Group transitioned the EONIA / LIBOR language in all active Credit Support Annexes (CSAs) via a number of mechanisms,
primarily through bilateral CSA amendments but also by means of adherence to the ISDA 2021 EONIA Collateral Agreement Fallbacks Protocol. Barclays
Bank Group delivered technology and business process changes required to ensure operational readiness in preparation for LIBOR cessation and
transitions to RFRs for those benchmark rates ceasing at the end of 2021. Any incremental Technology or Business Process changes required to support
USD LIBOR cessation will be delivered ahead of 30 June 2023. Whilst the majority of IBOR exposures have moved to RFRs, where appropriate other
rates such as fixed rates or Bank of England base rates have also been used.
Risks to which the Barclays Bank Group is exposed as a result of the transition
Global regulators and central banks in the UK, US and EU have been driving international efforts to reform key benchmark interest rates and indices,
such as LIBOR, which are used to determine the amounts payable under a wide range of transactions and make them more reliable and robust. These
benchmark reforms have resulted in significant changes to the methodology and operation of certain benchmarks and indices, the adoption of RFRs,
the discontinuation of certain reference rates (including LIBOR), and the introduction of implementing legislation and regulations. Specifically,
regulators in the UK, US and EU have directed that certain non-US dollar LIBOR tenors cease at the end of 2021. Certain US dollar LIBOR tenors are to
cease by the end of June 2023, and restrictions have been imposed on new use of USD LIBOR. Notwithstanding these developments, given the
unpredictable consequences of benchmark reform, any of these developments could have an adverse impact on market participants, including the
Group, in respect of any financial instruments linked to, or referencing, any of these benchmark interest rates.
Uncertainty associated with such potential changes, including the availability and/or suitability of alternative RFRs, the participation of customers and
third-party market participants in the transition process; challenges with respect to required documentation changes; and impact of legislation to deal
with ‘certain legacy’ contracts that cannot convert into or add fall-back RFRs before cessation of the benchmark they reference, may adversely affect a
broad range of transactions (including any securities, loans and derivatives which use LIBOR or any other affected benchmark to determine the amount
of interest payable that are included in the Barclays Bank Group’s financial assets and liabilities) that use these reference rates and indices, and present a
number of risks for the Barclays Bank Group, including, but not limited to:
•Conduct risk: in undertaking actions to transition away from using certain reference rates (such as LIBOR) to new alternative RFRs, the Barclays
Bank Group faces conduct risks. These may lead to customer complaints, regulatory sanctions or reputational impact if the Barclays Bank Group is
considered to be (among other things) (i) undertaking market activities that are manipulative or create a false or misleading impression, (ii)
misusing sensitive information or not identifying or appropriately managing or mitigating conflicts of interest, (iii) providing customers with
inadequate advice, misleading information, unsuitable products or unacceptable service, (iv) not taking a consistent approach to remediation for
customers in similar circumstances, (v) unduly delaying the communication and migration activities in relation to client exposure, leaving them
insufficient time to prepare, or (vi) colluding or inappropriately sharing information with competitors.
Notes to the financial statements
Other disclosure matters
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•Litigation risk: members of the Barclays Bank Group may face legal proceedings, regulatory investigations and/or other actions or proceedings
regarding (among other things) (i) the conduct risks identified above, (ii) the interpretation and enforceability of provisions in LIBOR-based
contracts, and (iii) the Barclays Bank Group’s preparation and readiness for the replacement of LIBOR with alternative RFRs.
•Financial risk: the valuation of certain of the Barclays Bank Group’s financial assets and liabilities may change. Moreover, transitioning to
alternative RFRs may impact the ability of members of the Barclays Bank Group to calculate and model amounts receivable by them on certain
financial assets and determine the amounts payable on certain financial liabilities (such as debt securities issued by them) because certain
alternative RFRs (such as the SONIA and SOFR) are look-back rates whereas term rates (such as LIBOR) allow borrowers to calculate at the start of
any interest period exactly how much is payable at the end of such interest period. This may have a material adverse effect on the Barclays Bank
Group’s cash flows.
•Pricing risk: changes to existing reference rates and indices, discontinuation of any reference rate or indices and transition to alternative RFRs may
impact the pricing mechanisms used by the Barclays Bank Group on certain transactions.
•Operational risk: changes to existing reference rates and indices, discontinuation of any reference rate or index and transition to alternative RFRs
may require changes to the Barclays Bank Group’s IT systems, trade reporting infrastructure, operational processes, and controls. In addition, if any
reference rate or index (such as LIBOR) is no longer available to calculate amounts payable, the Barclays Bank Group may incur additional
expenses in amending documentation for new and existing transactions and/or effecting the transition from the original reference rate or index to
a new reference rate or index.
•Accounting risk: an inability to apply hedge accounting in accordance with IAS 39 could lead to increased volatility in the Barclays Bank Group’s
financial results and performance.
Any of these factors may have a material adverse effect on the Barclays Bank Group’s business, results of operations, financial condition, prospects and
reputation. While a number of the above risks in relation to transition of legacy 2021 scope onto RFRs have been substantially mitigated, they remain
relevant in relation to USD and related LIBOR rate transitions.
The Barclays Bank Group does not expect material changes to its risk management approach and strategy as a result of interest rate benchmark reform.
The following table summarises the significant exposures impacted by interest rate benchmark reform:
As at 31 December 2021
GBP LIBOR
USD LIBOR
JPY LIBOR
CHF LIBOR
Others b
Total
£m
£m
£m
£m
£m
£m
Non-derivative financial assets
Loans and advances at amortised cost
11,761
15,801
24
222
442
28,250
Reverse repurchase agreements and other similar
secured lending
—
186
—
—
—
186
Financial assets at fair value through the income
statement
101
8,538
5
327
194
9,165
Financial assets at fair value through other
comprehensive income
—
—
—
—
—
—
Non-derivative financial assets
11,862
24,525
29
549
636
37,601
Non-derivative financial liabilities
Debt securities in issue
—
—
—
—
—
—
Subordinated liabilities
(36)
(3,774)
(1,213)
—
(113)
(5,136)
Financial liabilities designated at fair value
(708)
(212)
—
—
—
(920)
Non-derivative financial liabilities
(744)
(3,986)
(1,213)
—
(113)
(6,056)
Equity
Other equity instruments
—
(3,062)
—
—
—
(3,062)
Standby facilities, credit lines and other
commitments a
58,094
42,767
1,284
375
12,973
115,493
Notes to the financial statements
Other disclosure matters
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As at 31 December 2020
GBP LIBOR
USD LIBOR
JPY LIBOR
CHF LIBOR
Others b
Total
£m
£m
£m
£m
£m
£m
Non-derivative financial assets
Loans and advances at amortised cost
19,317
17,990
173
11
1,725
39,216
Reverse repurchase agreements and other similar
secured lending
—
334
—
—
—
334
Financial assets at fair value through the income
statement
1,190
6,373
—
283
209
8,055
Financial assets at fair value through other
comprehensive income
186
106
—
—
8
300
Non-derivative financial assets
20,693
24,803
173
294
1,942
47,905
Non-derivative financial liabilities
Debt securities in issue
—
(1,430)
(22)
—
—
(1,452)
Subordinated liabilities
(21)
(876)
—
—
—
(897)
Financial liabilities designated at fair value
(149)
(1,273)
(759)
—
(139)
(2,320)
Non-derivative financial liabilities
(170)
(3,579)
(781)
—
(139)
(4,669)
Equity
Other equity instruments
(2,122)
(3,062)
—
—
—
(5,184)
Standby facilities, credit lines and other
commitments a
18,169
74,008
—
74
15,951
108,202
Notes
a There has been a change on how exposures for multi currency loan facilities are reported in 2021, from base currency to the currency which needs to be remediated first.
This has resulted in an increase in GBP LIBOR and a corresponding reduction in USD LIBOR exposure of £34bn. 2020 comparatives have not been restated to reflect this
change.
b Includes EUR LIBOR and SOR
The table above represents the exposures to interest rate benchmark reform by balance sheet account, which have yet to transition. The exposure
disclosed is for positions with contractual maturities after 31 December 2021 (apart from USD, which is for maturities after 30 June 2023). Trades with
exposures to other IBORs whose respective cessation dates is in the future and mature before that date have been excluded (2020: exposures are
disclosed for maturities after 31 December 2021 for all rates). Bala nces reported at amortised cost are disclosed at their gross carrying value and do not
include any expected credit losses that may be held against them.
The following table represents the derivative exposures to interest rate benchmark reform, which have yet to transition:
As at 31 December 2021
GBP LIBOR
USD LIBOR
EONIA
JPY LIBOR
CHF LIBOR
Others a
Total
£m
£m
£m
£m
£m
£m
£m
Derivative notional contract amount
OTC interest rate derivatives
245,604
2,283,077
7,811
140,357
4,396
61,937
2,743,182
OTC interest rate derivatives - cleared by central
counterparty
—
2,211,729
—
—
—
168,649
2,380,378
Exchange traded interest rate derivatives
—
466,339
—
—
—
—
466,339
OTC foreign exchange derivatives
183,477
461,680
—
122,823
32,900
1,419
802,299
OTC equity and stock index derivatives
—
9,949
—
—
—
—
9,949
Derivative notional contract amount
429,081
5,432,774
7,811
263,180
37,296
232,005
6,402,147
As at 31 December 2020
GBP LIBOR
USD LIBOR
EONIA
JPY LIBOR
CHF LIBOR
Others a
Total
£m
£m
£m
£m
£m
£m
£m
Derivative notional contract amount
OTC interest rate derivatives
596,564
2,832,339
457,844
754,206
25,681
41,782
4,708,416
OTC interest rate derivatives - cleared by central
counterparty
1,552,637
2,872,962
623,802
1,091,479
119,382
198,113
6,458,375
Exchange traded interest rate derivatives
300,182
333,705
—
—
2,494
—
636,381
OTC foreign exchange derivatives
155,285
589,332
—
93,108
31,257
1,921
870,903
OTC equity and stock index derivatives
1,845
7,946
544
1,929
491
2,141
14,896
Derivative notional contract amount
2,606,513
6,636,284
1,082,190
1,940,722
179,305
243,957
12,688,971
Note
a Includes EUR LIBOR, SOR and STIBOR
The exposure disclosed is for positions with contract ual maturities after 31 December 2021 (apart from USD, which is for maturities after 30 June 2023).
Trades with exposures to other IBORs whose respective cessation dates is in the future and mature before that date have been excluded (2020:
exposures are disclosed for maturities after 31 December 2021 for all rates). Derivatives are reported by using the notional contract amount and where
Notes to the financial statements
Other disclosure matters
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derivatives have both pay and receive legs with exposure to benchmark reform, such as cross currency swaps, the notional contract amount is disclosed
for both legs. As at 31 December 2021, there were £256bn (2020: £264b n) of cross currency swaps where both the pay and receive legs are impacted
by interest rate benchmark reform.
The Barclays Bank Group also had £9bn (2020: £23b n) of Barclays issued debt retained by the Barclays Bank G roup, impacted by the interest rate
benchmark reform, in USD LIBOR (2020: predominately in GBP and USD LIBOR.)
Fallback clauses
The 31 December 2021 exposure has been broken up into those with robust fallbacks and those without. Fallbacks here are defined as any mechanism
involving a ‘switch’ or ‘hardwire’ or a contractual agreement to transition to an automatically selected rate. One of the most commonly used is the ISDA
2020 IBOR Protocol published in October 2020 which enabled market participants to incorporate fallback provisions into legacy non-cleared derivatives
and certain non-derivatives transactions. Market participants who have adhered to the ISDA 2020 IBOR Protocol agree, between adhering parties, that
their legacy contracts will be amended to include the relevant fallback provisions. In addition to this, ISDA developed bilateral Swap Rate Fallbacks
templates for GBP and JPY Swap Rate bilateral derivative trades with the GBP ICE Swap Rate fallback provisions being published in August 2021 and the
JPY ISDA Swap Rate fallback provisions being published in November 2021. Whilst the fallback provisions have been applied to the majority of trades,
with some limited exceptions being worked through, the switch to the replacement rate as a result of fallback provision inclusion may not take place
until the next rate reset post the cessation or pre-cessation event.
The following tables present a breakdown of the exposures to IBOR reform (excluding USD LIBOR and other IBORs whose respective cessation dates is
in the future) with fallbacks in place and those without.
With appropriate fallback clause
Without appropriate fallback clause
GBP
LIBOR
JPY
LIBOR
CHF
LIBOR
EUR
LIBOR
Total
GBP
LIBOR
JPY
LIBOR
CHF
LIBOR
EUR
LIBOR
Total
As at 31 December 2021
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
Non-derivative financial assets
Loans and advances at amortised cost
7,389
—
210
413
8,012
4,372
24
12
29
4,437
Financial assets at fair value through the income
84
5
327
8
424
17
—
—
186
203
Non-derivative financial assets
7,473
5
537
421
8,436
4,389
24
12
215
4,640
Non-derivative financial liabilities
Subordinated liabilities
(36)
(1,213)
—
—
(1,249)
—
—
—
—
—
Financial liabilities designated at fair value
(708)
—
—
—
(708)
—
—
—
—
—
Non-derivative financial liabilities
(744)
(1,213)
—
—
(1,957)
—
—
—
—
—
Standby facilities, credit lines and other commitments
36,087
657
375
9,436
46,555
22,007
627
—
3,538
26,172
The majority of the remaining exposu res without fallbacks in place are eithe r undrawn facilities or syndicated facilities where the transition is led by a
third party agent. Work is ongoing with clients and agents to transition facilities or insert fallbacks prior to the next rate reset. There may be some
scenarios where synthetic LIBOR is temporarily used whilst Barclays continues to work with the client to remediate their exposures, with little
expectation of longer term usage.
With appropriate fallback clause
Without appropriate fallback clause
GBP
LIBOR
EONIA
JPY
LIBOR
CHF
LIBOR
EUR
LIBOR
Total
GBP
LIBOR
EONIA
JPY
LIBOR
CHF
LIBOR
EUR
LIBOR
Total
As at 31 December 2021
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
£m
Derivative notional contract
amount
OTC interest rate derivatives
234,813
7,568
135,720
4,362
3,626
386,089
10,791
244
4,638
35
403
16,111
OTC foreign exchange derivatives
183,203
—
122,822
32,900
—
338,925
274
—
1
—
—
275
Derivative notional contract
amount
418,016
7,568
258,542
37,262
3,626
725,014
11,065
244
4,639
35
403
16,386
Exposures that have not actively transitioned and do not have robust fallbacks in place will not necessarily need to apply the FCA’s approach to ‘tough
legacy’ contracts and utilise synthetic LIBOR rates. In many cases, work is ongoing to transition trades or insert fallbacks prior to the next rate reset.
There may be some scenarios where synthetic LIBOR is temporarily used whilst Barclays continues to work with the client to remediate their exposures,
with little expectation of longer term usage. It is also key to note that not all remaining exposures can leverage synthetic LIBOR. CHF LIBOR, EUR LIBOR
and EONIA do not have any synthetic LIBOR available and only the more commonly used, 1M, 3M and 6M GBP LIBOR and JPY LIBOR tenors have a
synthetic rate being published. The volume of these residual exposures is very low and work is focused on transitioning these prior to next reset.
The majority of remaining exposures where no synthetic rate is available are bilateral derivatives using GBP/JPY Swap Rates within the Markets
businesses. The focus for these is agreeing the bilateral swap rate fallbacks that were published by ISDA in August (for GBP) and November (for JPY)
2021. Continued uptake of these bilateral fallbacks has been seen in early 2022.
Notes to the financial statements
Other disclosure matters
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Barclays Bank PLC Annual Report
257
41. Related undertakings
The Barclays Bank PLC Group’s corporate structure
consists of a number of related undertakings,
comprising subsidiaries, joint ventures, associates and
significant other interests. A full list of these
undertakings, the country of incorporation and the
ownership of each share class is set out below. The
information is provided as at 31 December 2021.
The entities are grouped by the countries in which they
are incorporated. The profits earned by the activities of
these entities are in some cases taxed in countries
other than the country of incorporation, for example
where the entity carries on business through a branch
in a territory outside of that its country of
incorporation. Barclays PLC 2021 Country Snapshot
provides details of where the Barclays PLC Group
carries on its business, where its profits are subject to
tax and the taxes it pays in each country it operates in.
Wholly owned subsidiaries
Unless otherwise stated the undertakings below are
wholly owned and consolidated by Barclays Bank PLC
and the share capital disclosed comprises ordinary
and/or common shares, 100% of the nominal value of
which is held by Barclays Bank PLC or its subsidiaries.
Notes
A
Directly held by Barclays Bank PLC
R
Capital Contribution Shares
B
Partnership Interest
S
Redeemable Class B Shares
C
Membership Interest
T
Non-Redeemable Ordinary Shares
D
Trust Interest
U
Class A Shares
E
Guarantor
V
Class B Shares
F
Preference Shares
W
First Class Common Shares, Second Class
G
A Preference Shares
Common Shares
H
B Preference Shares
X
Class B Redeemable Preference Shares
I
Ordinary/Common Shares in addition to other
Z
Not Consolidated (see Note 33 Structured
shares
entities)
J
A Ordinary Shares
AA
PEF Carry Shares
K
B Ordinary Shares
BB
Tracker 1 Euro, GBP, USD Shares,
L
C Ordinary Shares
UDS Tracker 2 Shares, USD Tracker 3 Shares
M
F Ordinary Shares
N
W Ordinary Shares
O
First Preference Shares, Second Preference
Shares
P
Registered Address not in country of
incorporation
Q
USD Linked Ordinary Shares
Wholly owned subsidiaries
Note
Wholly owned subsidiaries
Note
Wholly owned subsidiaries
Note
United Kingdom
Barsec Nominees Limited
A
RVT CLO Investments LLP
B
- 1 Churchill Place, London, E14 5HP
BB Client Nominees Limited
A
Surety Trust Limited
A
Aequor Investments Limited
Chapelcrest Investments Limited
Swan Lane Investments Limited
Ardencroft Investments Limited
A
Cobalt Investments Limited
A
US Real Estate Holdings No.1 Limited
B D & B Investments Limited
Cornwall Homes Loans Limited
A
US Real Estate Holdings No.2 Limited
B.P.B. (Holdings) Limited
A
DMW Realty Limited
A
US Real Estate Holdings No.3 Limited
Barclays Aldersgate Investments Limited
A
Dorset Home Loans Limited
A
US Real Estate Holdings No.4 Limited
Barclays Capital Asia Holdings Limited
A
Durlacher Nominees Limited
A
US Real Estate Holdings No.5 Limited
A
Barclays Capital Finance Limited
A
Eagle Financial and Leasing Services (UK) Limited
A
US Real Estate Holdings No.6 Limited
A
Barclays Capital Japan Securities Holdings
Finpart Nominees Limited
A
Wedd Jefferson (Nominees) Limited
A
Limited
Foltus Investments Limited
Westferry Investments Limited
A
Barclays Capital Nominees (No.2) Limited
Hawkins Funding Limited
A
Woolwich Qualifying Employee Share
A
Barclays Capital Nominees (No.3) Limited
A
Heraldglen Limited
Ownership Trustee Limited
Barclays Capital Nominees Limited
A
Isle of Wight Home Loans Limited
A
Zeban Nominees Limited
A
Barclays Capital Securities Client Nominee
A
J.V. Estates Limited
A
– Hill House, 1 Little New Street, London, EC4A 3TR
Limited
Kirsche Investments Limited
A
Barclays (Barley) Limited
J, A
Barclays Capital Securities Limited
A, F
Long Island Assets Limited
(In Liquidation)
Barclays CCP Funding LLP
A, B
Maloney Investments Limited
A
Barclays Nominees (Branches) Limited
A
Barclays Directors Limited
A
Menlo Investments Limited
A
(In Liquidation)
Barclays Executive Schemes Trustees Limited
A
Mercantile Credit Company Limited
A
Gerrard Management Services Limited
A
Barclays Group Holdings Limited
A
Mercantile Leasing Company (No.132)
A
(In Liquidation)
Barclays International Holdings Limited
A
Limited
Lombard Street Nominees Limited
A
Barclays Investment Management Limited
A
MK Opportunities LP
B
(In Liquidation)
Barclays Long Island Limited
A
Murray House Investment Management
A
- 745 Seventh Avenue, New York NY 10019
Barclays Marlist Limited
A
Limited (In Liquidation)
Alynore Investments Limited Partnership
B, P
Barclays Nominees (George Yard) Limited
A, Z
Naxos Investments Limited
A
- 5 The North Colonnade, London, E14 4BB
Barclays Pension Funds Trustees Limited
A, Z
Northwharf Nominees Limited
A, AA
Leonis Investments LLP
A, B
Barclays Private Bank
Real Estate Participation Management Limited
- 9, allée Scheffer, L-2520, Luxembourg
Barclays Services (Japan) Limited
A
Real Estate Participation Services Limited
Barclays Claudas Investments Partnership
B, P
Barclays Shea Limited
A
Relative Value Investments UK Limited
B
Barclays Pelleas Investments Limited Partnership
B, P
Barclays Term Funding Limited Liability
B
Liability Partnership
Barclays Blossom Finance General Partnership
B, P
Partnership
Relative Value Trading Limited
Barclays Wealth Nominees Limited
A
Roder Investments No. 1 Limited
A, BB
Barcosec Limited
A
Roder Investments No. 2 Limited
A, BB
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Barclays Bank PLC Annual Report
258
Wholly owned subsidiaries
Note
Wholly owned subsidiaries
Note
Wholly owned subsidiaries
Note
Argentina
Guernsey
Jersey
– 855 Leandro N.Alem Avenue, 8th Floor,
- PO BOX 41, Floor 2, Le Marchant House, Le
- 2nd Floor, Gaspé House, 66-72
Buenos Aires
Truchot, St Peter Port, GY1 3BE
Esplanade, St. Helier, JE1 1GH
Compañía Sudamerica S.A.
A
Barclays Nominees (Guernsey) Limited (In
A
Barclays Services Jersey Limited
A
– Marval, O’Farrell & Mairal, Av. Leandro N.
Liquidation)
- 5 Esplanade, St. Helier, JE2 3QA
Alem 882, Buenos Aires, C1001AAQ
Barclays Wealth Management Jersey Limited
A
Compañia Regional del Sur S.A.
A
Hong Kong
BIFML PTC Limited
A
- 42nd floor Citibank Tower, Citibank Plaza,
– 13 Library Place, St Helier, JE4 8NE
Brazil
3 Garden Road
Barclays Nominees (Jersey) Limited
A, Z
– Av. Brigadeiro Faria Lima, No. 4.440, 12th
Barclays Bank (Hong Kong Nominees) Limited
A
Barclaytrust Channel Islands Limited
A, Z
Floor, Bairro Itaim Bibi, Sao Paulo, CEP,
(in Liquidation)
– Estera Trust (Jersey) Limited, 13-14
04538-132
Barclays Capital Asia Nominees Limited (In
Esplanade, St Helier, JE1 1EE
Barclays Brasil Assessoria Financeira Ltda
A
Liquidation)
MK Opportunities GP Ltd
A
BNC Brazil Consultoria Empresarial Ltda
A
- Level 41, Cheung Kong Center, 2 Queen's
Road, Central
Luxembourg
Canada
Barclays Capital Asia Limited
A
- 9, allée Scheffer, L-2520
– 333 Bay Street, Suite 4910, Toronto ON M5H
Barclays Alzin Investments S.à r.l.
U,V
2R2
India
Barclays Bayard Investments S.à r.l.
J, K
Barclays Capital Canada Inc.
- 208 Ceejay House, Shivsagar Estate, Dr A
Barclays Bedivere Investments S.à r.l.
– Stikeman Elliot LLP, 199 Bay Street, 5300
Beasant Road, Worli, Mumbai, 400 018
Barclays Bordang Investments S.à r.l.
U,V
Commerce Court West, Toronto ON M5L 1B9
Barclays Securities (India) Private Limited
Barclays BR Investments S.à r.l.
Barclays Corporation Limited
A
Barclays Wealth Trustees (India) Private
Barclays Cantal Investments S.à r.l.
Limited
Barclays Capital Luxembourg S.à r.l.
Cayman Islands
- Level 10, Block B6, Nirlon Knowledge
Barclays Capital Trading Luxembourg S.à r.l.
U,V
- Maples Corporate Services Limited, PO Box
Park, Off Western Express Highway
Barclays Claudas Investments S.à r.l.
309, Ugland House, George Town, Grand
Goregaon (East), Mumbai, 40063
Barclays Equity Index Investments S.à r.l.
Cayman, KY1-1104
Barclays Investments & Loans (India)
A, F, I
Barclays International Luxembourg Dollar
Alymere Investments Limited
Private Limited
Holdings S.à r.l.
Analytical Trade UK Limited
A
Barclays Lamorak Investments S.à r.l.
T
Barclays US Holdings Limited
A, J
Ireland
Barclays Leto Investments S.à r.l.
I, K
Barclays Capital (Cayman) Limited
A
- One Molesworth Street, Dublin 2,
Barclays Luxembourg EUR Holdings S.à r.l
T
Barclays Securities Financing Limited
G,H, I
D02RF29
Barclays Luxembourg Finance S.à r.l.
Braven Investments No.1 Limited
Barclays Bank Ireland Public Limited
Barclays Luxembourg GBP Holdings S.à r.l.
T
Calthorpe Investments Limited
Company
Barclays Luxembourg Global Funding S.à r.l.
Capton Investments Limited
A
Barclays Europe Client Nominees
A, Z
Barclays Luxembourg Holdings S.à r.l.
I, Q
Claudas Investments Limited
A
Designated Activity Company
Barclays Luxembourg Holdings SSC
B
Claudas Investments Two Limited
Barclays Europe Firm Nominees Designated
Z
Barclays Pelleas Investments S.à r.l.
Gallen Investments Limited
Activity Company
- 68-70 Boulevard de la Petrusse, L-2320
Hurley Investments No.1 Limited
Barclays Europe Nominees Designated
Z
Adler Toy Holding Sarl
JV Assets Limited
L
Activity Company
-10 rue du Château d’Eau, Leudelange,
Mintaka Investments No. 4 Limited
-70 Sir John Rogerson’s Quay, Dublin 2
Grand Duchy of Luxembourg, L-3364
OGP Leasing Limited
Barclays Finance Ireland
BPM Management GP SARL
A
Palomino Limited
A, Z
- 25-28 North Wall Quay, Dublin 1,
Pelleas Investments Limited
A
D01H104
Mauritius
Pippin Island Investments Limited
A
Erimon Home Loans Ireland Limited
A
- C/O Rogers Capital Corporate Services
Razzoli Investments Limited
A, F, I
Limited, 3rd Floor, Rogers House, No.5
RVH Limited
A, F, I
Isle of Man
President John Kennedy Street, Port Louis
Wessex Investments Limited
- P O Box 9, Victoria Street,
Barclays Capital Mauritius Limited (In Liquidation)
A
- Walkers Corporate Limited, Cayman
Douglas, IM99 1AJ
Barclays Capital Securities Mauritius Limited
A
Corporate Centre, 27 Hospital Road, George
Barclays Holdings (Isle of Man) Limited (In
A
- Fifth Floor, Ebene Esplanade, 24
Town, KY1- 9008
Liquidation)
Cybercity, Ebene
Long Island Holding B Limited
A
Barclays Nominees (Manx) Limited
A
Barclays Mauritius Overseas Holdings Limited
A
Barclays Private Clients International
A, J, K
Germany
Limited
Mexico
- TaunusTurm, Taunustor 1, 60310,
– Paseo de la Reforma 505, 41 Floor, Torre
Frankfurt
Japan
Mayor, Col. Cuauhtemoc, CP 06500
Barclays Capital Effekten GmbH
A
- 10-1, Roppongi 6-chome, Minato-ku,
Barclays Bank Mexico, S.A.
K, M
- Stuttgarter Straße 55-57, 73033
Tokyo
Barclays Capital Casa de Bolsa, S.A. de C.V.
K, M
Göppingen
Barclays Funds and Advisory Japan Limited
Grupo Financiero Barclays Mexico, S.A. de C.V.
A,K,M
Holding Stuttgarter Straße GmbH (In
Barclays Securities Japan Limited
I, G
Servicios Barclays, S.A. de C.V.
Liquidation)
Barclays Wealth Services Limited
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Barclays Bank PLC Annual Report
259
Wholly owned subsidiaries
Note
Wholly owned subsidiaries
Note
Other Related Undertakings
Unless otherwise stated, the undertakings below are
consolidated and the share capital disclosed comprises
ordinary and/or common shares which are held by
Barclays Bank PLC or its subsidiaries. The Barclays Bank
PLC Group’s overall ownership percentage is provided for
each undertaking.
Monaco
Barclays Receivables LLC
C
– 31 Avenue de la Costa, Monte Carlo
Barclays Services Corporation
BP 339
Barclays Services LLC
C
Barclays Private Asset Management
Barclays US CCP Funding LLC
C
(Monaco) S.A.M
Barclays US Investments Inc.
J, K
Barclays US LLC
Saudi Arabia
BCAP LLC
C
Other Related Undertakings
%
Note
- 3rd Floor Al Dahna Center, 114 Al-Ahsa
Crescent Real Estate Member LLC
C
United Kingdom
Street, PO Box 1454, Riyadh 11431
Curve Investments GP
B
– 1 Churchill Place, London, E14 5HP
Barclays Saudi Arabia (In Liquidation)
A
Gracechurch Services Corporation
PSA Credit Company Limited (In Liquidation)
50.00
A,J,L
Lagalla Investments LLC
– 3 - 5 London Road, Rainham, Kent, ME8 7RG
Singapore
Long Island Holding A LLC
C
Trade Ideas Limited
20.00
A,Z
- 10 Marina Boulevard, #25-01 Marina Bay
LTDL Holdings LLC
C
– 50 Lothian Road, Festival Square,
Financial Centre, Tower 2, 018983
Marbury Holdings LLC
Edinburgh, EH3 9WJ
Barclays Capital Futures (Singapore) Private
Procella Investments No.2 LLC
C
Equistone Founder Partner II L.P.
20.00
A,B,Z
Limited (In Liquidation)
Procella Investments No.3 LLC
C
Equistone Founder Partner III L.P.
35.00
A,B,Z
Barclays Capital Holdings (Singapore)
A
Preferred Liquidity, LLC
J
– Enigma, Wavendon Business Park
Private Limited (In Liquidation)
Relative Value Holdings, LLC
Milton Keynes, MK17 8LX
Barclays Merchant Bank (Singapore) Ltd
Surrey Funding Corporation
Intelligent Processing Solutions Limited
19.50
A,Z
Sussex Purchasing Corporation
– 65A Basinghall Street, London, EC2V 5DZ
Spain
Sutton Funding LLC
C
Cyber Defence Alliance Limited
25.00
A,E,Z
- Calle Jose, Abascal 51, 28003, Madrid
TPProperty LLC
C
Barclays Tenedora De Inmuebles SL.
A
US Funding (VISA B Acquisition)LLC
C
Korea, Republic of
BVP Galvani Global, S.A.U.
A
US Secured Investments LLC
R
- 18th Floor, Daishin Finance Center,
Verain Investments LLC
343, Samil-daero, Jung-go, Seoul
Switzerland
Wilmington Riverfront Receivables LLC
V
Woori BC Pegasus
70.00
A,W
- Chemin de Grange Canal 18-20, PO Box
- Corporation Service Company, 100 Pearl Street
Securitization Specialty Co.,
3941, 1211, Geneva
17th Floor, MC-CSC1, Hartford, CT 06103
Limited
Barclays Bank (Suisse) SA
Barclays Capital Inc.
BPB Holdings SA
- Corporation Service Company, 80 State Street
Luxembourg
Albany, NY, 12207-2543
- 9, allée Scheffer, L-2520
United States
Barclays Equity Holdings Inc.
Preferred Funding S.à r.l.
33.33
X
- Corporation Service Company,
-Corporation Service Company, 2626
Preferred Investments S.à r.l.
33.33
I,X
251 Little Falls Drive, Wilmington, DE 19808
Glenwood Ave, Suite 550, Raleigh, NC, 27608
Analytical Trade Holdings LLC
Barclays US GPF Inc.
Malta
Analytical Trade Investments LLC
S
Equifirst Corporation (In Liquidation)
- RS2 Buildings, Fort Road,
Barclays Bank Delaware
-Aon Insurance Managers, 76 Paul Street
Mosta MST 1859
Barclays Capital Derivatives Funding LLC
C
Suite, 500, Burlington VT 05401
RS2 Software PLC
18.25
A,Z
Barclays Capital Energy Inc.
Barclays Insurance U.S. Inc.
Barclays Capital Equities Trading GP
B
Barclays Capital Holdings Inc.
H, I
Zimbabwe
Barclays Capital Real Estate Finance Inc.
- 2 Premium Close, Mount Pleasant Business
Barclays Capital Real Estate Holdings Inc.
Park, Mount Pleasant, Harare
Barclays Capital Real Estate Inc.
Branchcall Computers (Pvt) Limited
A
Barclays Commercial Mortgage Securities LLC
C
Barclays Dryrock Funding LLC
C
Barclays Electronic Commerce Holdings Inc.
Barclays Financial LLC
C
Barclays Group US Inc.
Barclays Oversight Management Inc.
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Barclays Bank PLC Annual Report
260
Other Related Undertakings
%
Note
United States of America
- Corporation Service Company,
251 Little Falls Drive,
1209 Orange Street,
Wilmington DE ,19808
DG Solar Lessee, LLC
75.00
C, Z
- Corporation Trust Company,
Corporation Trust Centre, 1209
Orange Street, Wilmington DE
19801
DG Solar Lessee II, LLC
75.00
C, Z
VS BC Solar Lessee I LLC
50.00
C, Z
Subsidiaries by virtue of control
The related undertakings below are Subsidiaries in
accordance with s.1162 Companies Act 2006 as
Barclays can exercise dominant influence or control
over them.
Subsidiaries by virtue of control
%
Note
United Kingdom
- 1 Churchill Place, London,
E14 5HP
Oak Pension Asset
0.00
Z
Management Limited
Water Street Investments
0.00
Z
Limited
Cayman Islands
- PO Box 309GT, Ugland
House South Church Street,
Grand Cayman, KY1-1104
Hornbeam Limited
0.00
Z
Guernsey
- P.O. Box 33, Dorey Court,
Admiral Park, St. Peter Port,
GY1 4AT
Barclays UKRF No.1 IC Limited
0.00
Z
Barclays UKRF ICC Limited
0.00
Z
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Barclays Bank PLC Annual Report
261
Notes
The term Barclays Bank Group refers to Barcl ays Bank PLC together with its subsidiaries. Unless otherwise stated, the income statement analysis
compares the year ended 31 December 2021 to the corresponding twelve months of 2020 and balance sheet analysis as at 31 December 2021 with
comparatives relating to 31 December 2020. 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 document, which was approved by the Board of Directors on 22 February 2022, does not comprise statutory accounts within the
meaning of Section 434 of the Companies Act 2006. Statutory accounts for the year ended 31 December 2020, which contain an unmodified audit
report under Section 495 of the Companies Act 2006 (which does not make any statements under Section 498 of the Companies Act 2006), will be
delivered to the Registrar of Companies in accordance with Section 441 of the Companies Act 2006.
These results will be filed on a Form 20-F to the US Securities and Exchange Commission (SEC) as soon as practicable following their publication. Once
filed with the SEC, a copy of the Form 20-F will be available from the Barclays Investor Relations website at home.barclays⁄annualreport and from the
SEC’s website at www.sec.gov.
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 Bank Group cautions readers that no
forward-looking statement is a guarantee of future performance and that actual results or other financial condition or performance measures could
differ materially from those contained in the forward-looking statements. These forward-looking statements can be identified by the fact that they do
not relate only to historical or current facts. Forward-looking statements sometimes use words such as ‘may’, ‘will’, ‘seek’, ‘continue’, ‘aim’, ‘anticipate’,
‘target’, ‘projected’, ‘expect’, ‘estimate’, ‘intend’, ‘plan’, ‘goal’, ‘believe’, ‘achieve’ or other words of similar meaning. Forward-looking statements can be
made in writing but also may be made verbally by members of the management of the Barclays Bank Group (including, without limitation, during
management presentations to financial analysts) in connection with this document. Examples of forward-looking statements include, among others,
statements or guidance regarding or relating to the Barclays Bank Group’s future financial position, income growth, assets, impairment charges,
provisions, business strategy, capital, leverage and other regulatory ratios, capital distributions (including dividend pay-out ratios and expected payment
strategies), projected levels of growth in the banking and financial markets, projected costs or savings, any commitments and targets (including,
without limitation, environmental, social and governance (ESG) commitments and targets), estimates of capital expenditures, plans and objectives for
future operations, projected employee numbers, IFRS impacts and other statements that are not historical fact. By their nature, forward-looking
statements involve risk and uncertainty because they relate to future events and circumstances. The forward-looking statements speak only as at the
date on which they are made. Forward-looking statements may be affected by a number of factors, including, without limitation: 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, emerging and developing ESG reporting standards, the outcome of current and future legal proceedings and
regulatory investigations, future levels of conduct provisions, the policies and actions of governmental and regulatory authorities, the Barclays Bank
Group’s ability along with governments and other stakeholders to measure, manage and mitigate the impacts of climate change effectively,
environmental, social and 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 UK’s exit from the European Union (“EU”), the effects of the EU-UK Trade and Cooperation Agreement and the
disruption that may subsequently result in the UK and globally; the risk of cyber-attacks, information or security breaches or technology failures on the
Group’s reputation, business or operations; and the success of future acquisitions, disposals and other strategic transactions. A number of these
influences and factors are beyond the Barclays Bank Group’s control. As a result, the Barclays Bank Group’s actual financial position, future results,
capital distributions, capital, leverage or other regulatory ratios or other financial and non-financial metrics or performance measures or ability to meet
commitments and targets 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 Barclays Bank
PLC’s filings with the SEC (including, without limitation, Barclays Bank PLC’s Annual Report on Form 20-F for the fiscal year ended 31 December 2021),
which are available on the SEC’s website at www.sec.gov.
Subject to Barclays’ 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.
References to Strategic Report
This document contains references throughout to the Barclays Bank PLC Strategic Report and Pillar 3 Report. References to the aforementioned reports
are made for information purposes only, and information found in said reports is not incorporated by reference into this document
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Barclays Bank PLC Annual Report
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